UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-4984
AMERICAN BEACON FUNDS
(Exact name of registrant as specified in charter)
220 East Las Colinas Boulevard, Suite 1200
Irving, Texas 75039
(Address of principal executive offices)-(Zip code)
GENE L. NEEDLES, JR., PRESIDENT
220 East Las Colinas Boulevard, Suite 1200
Irving, Texas 75039
(Name and address of agent for service)
Registrant’s telephone number, including area code: (817)391-6100
Date of fiscal year end: December 31, 2019
Date of reporting period: June 30, 2019
FormN-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 Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-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 Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. | REPORTS TO STOCKHOLDERS. |
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
IONIC STRATEGIC ARBITRAGE FUND
The Fund’s strategy of investing in a variety ofarbitrage strategiesentails certain risks including that thesub-advisor’s judgments about allocation between such strategies, as well as individual arbitrage opportunities, may not perform to expectations, resulting in the Fund’s underperformance or even losses versus other similar funds. Arbitrage is the simultaneous purchase and sale of an asset or assets to take advantage of a perceived pricing anomaly. Because the Fund may invest infewer issuersthan a more diversified portfolio, the fluctuating value of a single holding may have a greater effect on the value of the Fund. The Fund may havehigh portfolio turnover, which could increase the Fund’s transaction costs and possibly have a negative impact on performance.Small- ormid-capitalization stocksmay involve greater volatility and lower liquidity than larger company stocks. The use offixed-income securities, including convertible securities, entails interest rate and credit risks. In addition, the value of aconvertible securitycould fluctuate based on the value of the underlying stock. Investing inforeign securitiesmay involve heightened risk due to currency fluctuations and economic and political risks. Investing inderivative instrumentsinvolves liquidity, credit, interest rate and market risks.Short salesinvolve special risks, including greater reliance on thesub-advisor’s ability to accurately anticipate the future value of a security or instrument; the Fund’s losses are potentially unlimited in a short sale.
Please see the prospectus for a complete discussion of the Funds’ risks. There can be no assurances that the investment objectives of these Funds will be met.
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | June 30, 2019 |
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Renewal and Approval of Management Agreement and Investment Advisory Agreement | 54 |
Back Cover |
Dear Shareholders,
At American Beacon, we take our heritage as a fiduciary very seriously — and we apply that mindset to all aspects of our business as a fund manager. As a result, for more than 30 years, we have endeavored to:
u Identify, engage and oversee the best money managers. As a manager of managers, our goal is to engage the most effective money managers for each asset class, investment style and market strategy we offer. We are committed to partnering with those we judge to be “the best of the best” when it comes to choosingsub-advisors for our mutual funds. Whether ourdue-diligence process results in the selection of onesub-advisor or multiplesub-advisors, we select those we believe show the greatest potential to help us meet the high standards you’ve come to expect. |
u | Offer a variety of innovative investment solutions. Our mutual funds — which span the domestic, international, global, frontier and emerging markets — aresub-advised by experienced money managers who employ distinctive, proprietary investment processes to manage assets through a variety of economic and market conditions. From offering some of the first multi-manager funds, one of the first retirement income funds and the first open-ended mutual fund in the U.S. to focus primarily on frontier-market debt, our robust history includes applying a disciplined, solutions-based approach to our product development process in an effort to help you grow your assets while mitigating risk. |
u | Provide a solutions-based approach to achieving long-term investment goals. We seek to provide investment solutions that might enable you to benefit from taking a more disciplined approach to investing. Our mutual funds provide access to institutional-quality, research-intensive investment managers with diverse processes and styles. Over the long run, having such access and spending time in the market — rather than trying to time the market — may better position you to reach your long-term investment goals during market upswings and potentially insulate against market downswings. |
Our management approach is more than a concept; it’s the cornerstone of American Beacon’s culture. And we strive to employ it at every turn as we seek to provide a well-diversified line of investment solutions to help our shareholders seek long-term rewards.
Thank you for your continued interest in American Beacon. For additional information about our mutual funds or to access your account information, please visit our website atwww.americanbeaconfunds.com.
Best Regards,
Gene L. Needles, Jr.
President
American Beacon Funds
1
American Beacon Ionic Strategic Arbitrage FundSM
Performance Overview
June 30, 2019 (Unaudited)
The Investor Class of the American Beacon Ionic Strategic Arbitrage Fund (the “Fund”) returned 1.79% for the six months ended June 30, 2019.
Average Annual Total Returns for the Period ended June 30, 2019 |
| |||||||||||||||||||||||||||||||
Ticker | 6 Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||||||||||||||||
Institutional Class (1,7) | AHLIX | 2.18 | % | (1.70 | )% | (0.20 | )% | 1.06 | % | 1.46 | % | |||||||||||||||||||||
Y Class (1,2,7) | AHLYX | 2.19 | % | (1.84 | )% | (0.28 | )% | 1.00 | % | 1.41 | % | |||||||||||||||||||||
Investor Class (1,3,7) | AHLPX | 1.79 | % | (2.23 | )% | (0.63 | )% | 0.73 | % | 1.18 | % | |||||||||||||||||||||
A without Sales Charge (1,4,7) | AHLAX | 2.07 | % | (2.02 | )% | (0.57 | )% | 0.77 | % | 1.21 | % | |||||||||||||||||||||
A with Sales Charge (1,4,7) | AHLAX | (2.76 | )% | (6.64 | )% | (2.16 | )% | (0.21 | )% | 0.37 | % | |||||||||||||||||||||
C without Sales Charge (1,5,7) | AHLCX | 1.66 | % | (2.91 | )% | (1.32 | )% | 0.16 | % | 0.69 | % | |||||||||||||||||||||
C with Sales Charge (1,5,7) | AHLCX | 0.66 | % | (3.91 | )% | (1.32 | )% | 0.16 | % | 0.69 | % | |||||||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index (6) | 6.11 | % | 7.87 | % | 2.31 | % | 2.95 | % | 3.35 | % | ||||||||||||||||||||||
ICE BofAML U.S. Dollar LIBOR 3-Month Constant Maturity Index (6) | 1.42 | % | 2.59 | % | 1.65 | % | 1.12 | % | 0.99 | % |
* | Not Annualized |
1. | Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is calculated based on the publishedend-of-day net asset values as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visitwww.americanbeaconfunds.com or call1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only; and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. Simultaneous with the commencement of the Fund’s investment operations on June 30, 2015, the Ionic Absolute Return Fund LLC (“Private Fund”), a privately offered investment fund managed by the Fund’ssub-advisor, transferred its assets to the Institutional Class shares of the Fund. A portion of the fees charged to the Institutional Class of the Fund has been waived since Class inception (June 30, 2015). Performance prior to waiving fees was lower than actual returns shown since inception. |
2. | Fund performance for the five-year and since inception periods represents the total returns achieved by the Institutional Class from 9/1/13 up to 6/30/15, the inception date of the Y Class. Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 9/1/13. A portion of the fees charged to the Y Class of the Fund has been waived since Class inception (June 30, 2015). Performance prior to waiving fees was lower than actual returns shown since inception. |
3. | Fund performance for the five-year and since inception periods represents the total returns achieved by the Institutional Class from 9/1/13 up to 6/30/15, the inception date of the Investor Class. Expenses of the Investor Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Investor Class been in existence since 9/1/13. A portion of the fees charged to the Investor Class of the Fund was waived in 2015, partially recovered in 2016, and waived in 2017 and 2018. Performance prior to waiving fees was lower than actual returns shown for 2015, 2017 and 2018. |
4. | Fund performance for the five-year and since inception periods represents the total returns achieved by the Institutional Class from 9/1/13 up to 6/30/15, the inception date of the A Class. Expenses of the A Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 9/1/13. A portion of the fees charged to the A Class of the Fund has been waived since Class inception (June 30, 2015). Performance prior to waiving fees was lower than actual returns shown since inception. A Class shares have a maximum sales charge of 4.75%. |
5. | Fund performance for the five-year and since inception periods represents the total returns achieved by the Institutional Class from 9/1/13 up to 6/30/15, the inception date of the C Class. Expenses of the C Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 9/1/13. A portion of the fees charged to the C Class of the Fund has been waived since Class inception (June 30, 2015). Performance prior to waiving fees was lower than actual returns shown since inception. C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase. |
6. | The ICE BofAML U.S. Dollar LIBOR 3-Month Constant Maturity Index is based on the assumed purchase of a synthetic instrument having3-months to maturity and with a coupon equal to the closing quote for3-Month LIBOR. That issue is sold the following day (priced at a yield equal to the current day closing3-Month LIBOR rate) and is rolled into a new3-month instrument. The index, therefore, will always have a constant maturity equal to exactly 3 months. The Bloomberg Barclays U.S. Aggregate Bond Index is a market value weighted performance benchmark for government, corporate, mortgage-backed and asset-backed fixed-rate debt securities of all maturities. One cannot directly invest in an index. |
7. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A and C Class shares were 2.63%, 2.69%, 3.37%, 2.93% and 3.78%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
2
American Beacon Ionic Strategic Arbitrage FundSM
Performance Overview
June 30, 2019 (Unaudited)
The Fund’s performance during the first half of the year resulted from mixed performance among the various arbitrage strategies. The Equity Arbitrage Strategy was the biggest positive contributor to performance during the period. The Credit Relative Value Arbitrage and Convertible Arbitrage Strategies also added value over the period. On the negative side, the Fund’s Volatility Arbitrage Strategy detracted from returns as volatility across most asset classes remained subdued for most of the period outside of the spike in U.S. equity markets in May. The Interest Rate Relative Value Arbitrage strategy was the largest detractor, given losses in mortgage holdings that were negatively impacted by sharply lower interest rates and the implied dovish shift in sentiment from the Federal Reserve (the “Fed”).
Equity Arbitrage was the Fund’s largest performance contributor. Gains were attributable to an option-based S&P replacement strategy, exposure to equity closed-end funds and two event driven situations, one a merger and the other a corporate action that benefited an equity warrant position. Losses in the second quarter were primarily attributable to a short-biased equity call spread position in the Consumer sector and across the warrant arbitrage sub strategy, where declining equity volatility was a headwind.
The Convertible Arbitrage Strategy produced gains during the first half. Attribution was primarily driven by positions in the Technology sector. These positions benefited from both credit enhancement and strong underlying stock performance. Of note, underlying volatility also remained high in the sector, which allowed for consistent opportunities to delta trade individual positions. Net exposure to the strategy was reduced marginally over the period.
The Credit Relative Value Arbitrage Strategy was another positive driver of performance, primarily by exposure toclosed-end funds invested in floating rate loans and shorter dated high-yield bonds. Floating rate loan exposure was reduced in the second quarter, while positions in funds invested in shorter dated high yield bonds were increased. Not surprisingly, credit hedges detracted from overall performance in the strategy, but were nonetheless increased in the second quarter given continued tightening in credit spreads.
The Interest Rates Relative Value Arbitrage Strategy was the largest detractor from overall gains during the period. These losses were primarily attributable to mortgage holdings that were negatively impacted explicitly by sharply lower interest rates (in the context of a broad flattening in the yield curve) and implicitly by the increasingly dovish shift in sentiment from the Fed. The Fund had been reducing exposure to this sub strategy during the period.
The Fund’s Volatility Arbitrage Strategy also generated losses for the period, as volatility fell sharply across most asset classes. Specifically, losses were attributable to VIX exposure utilized to hedge overall exposure in the Fund, as well as positions oriented around foreign exchange volatility in the euro and the Canadian dollar. VIX hedges remain in the Fund and foreign exchange exposure was increased in the strategy.
Looking forward, the Fund’ssub-advisor will continue to implement its investment process by allocating the Fund’s assets among the following strategies: Convertible Arbitrage, Credit Relative Value Arbitrage, Interest Rates Relative Value Arbitrage, Equity Arbitrage, and Volatility Arbitrage, seeking capital appreciation with low volatility and reduced correlation to equities and interest rates.
3
American Beacon Ionic Strategic Arbitrage FundSM
Performance Overview
June 30, 2019 (Unaudited)
Positions By Investment Strategy | Fund | |||||||
Convertible Arbitrage | 13 | |||||||
Credit/Rates Relative Value Arbitrage | 7 | |||||||
Equity Arbitrage | 42 | |||||||
Volatility Arbitrage | 7 | |||||||
Total | 69 | |||||||
Investment Strategy Exposure (%) | LMV | * | SMV | ** | ||||
Convertible Arbitrage | 34 | (15 | ) | |||||
Credit/Rates Relative Value Arbitrage | 22 | (3 | ) | |||||
Equity Arbitrage | 42 | (50 | ) | |||||
Volatility Arbitrage | 3 | (14 | ) | |||||
Total | 101 | (82 | ) |
* | Long Market Value |
** | Short Market Value |
Source: Ionic Capital Management LLC
4
American Beacon Ionic Strategic Arbitrage FundSM
Expense Example
June 30, 2019 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees, if applicable, and (2) ongoing costs, including management fees, distribution(12b-1) fees,sub-transfer agent fees, and other Fund expenses. The Examples are intended to help you understand the ongoing cost (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Examples are based on an investment of $1,000 invested at the beginning of the period in each Class and held for the entire period from January 1, 2019 through June 30, 2019.
Actual Expenses
The “Actual” lines of the tables provide information about actual account values and actual expenses. You may use the information on this page, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders of the Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Hypothetical Example for Comparison Purposes
The “Hypothetical” lines of the tables provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in the Funds with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Investor and Institutional Classes that invest in the Funds through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Funds, such as sales charges (loads) or redemption fees, as applicable. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
5
American Beacon Ionic Strategic Arbitrage FundSM
Expense Example
June 30, 2019 (Unaudited)
American Beacon Ionic Strategic Arbitrage Fund |
| ||||||||||||||
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period 1/1/2019-6/30/2019* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,021.80 | $9.47 | ||||||||||||
Hypothetical** | $1,000.00 | $1,015.42 | $9.44 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,020.50 | $10.02 | ||||||||||||
Hypothetical** | $1,000.00 | $1,014.88 | $9.99 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,017.90 | $11.16 | ||||||||||||
Hypothetical** | $1,000.00 | $1,013.74 | $11.13 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $1,020.70 | $11.57 | ||||||||||||
Hypothetical** | $1,000.00 | $1,013.34 | $11.53 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $1,016.60 | $15.20 | ||||||||||||
Hypothetical** | $1,000.00 | $1,009.72 | $15.15 |
* | Expenses are equal to the Fund’s annualized expense ratios for thesix-month period of 1.89%, 2.00%, 2.23%, 2.31%, and 3.04% for the Institutional, Y, Investor, A, and C Classes, respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
6
American Beacon Ionic Strategic Arbitrage FundSM
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
SECURITIES HELD LONG - 122,57% | |||||||||||||||
COMMON STOCKS - 8.98% | |||||||||||||||
Communication Services - 1.28% | |||||||||||||||
Interactive Media & Services - 1.28% | |||||||||||||||
Liberty TripAdvisor Holdings, Inc., Class AA | 12,540 | $ | 155,496 | ||||||||||||
Sohu.com Ltd., ADRA | 9,834 | 137,676 | |||||||||||||
|
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293,172 | |||||||||||||||
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| ||||||||||||||
Total Communication Services | 293,172 | ||||||||||||||
|
| ||||||||||||||
Consumer Discretionary - 5.04% | |||||||||||||||
Automobiles - 0.13% | |||||||||||||||
ElectraMeccanica Vehicles Corp.A | 11,566 | 28,915 | |||||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - 2.53% | |||||||||||||||
Carnival PLC, ADR | 10,179 | 460,803 | |||||||||||||
Marriott International, Inc., Class A | 851 | 119,387 | |||||||||||||
|
| ||||||||||||||
580,190 | |||||||||||||||
|
| ||||||||||||||
Household Durables - 0.11% | |||||||||||||||
Purple Innovation, Inc.A | 86,496 | 25,862 | |||||||||||||
|
| ||||||||||||||
Internet & Direct Marketing Retail - 1.04% | |||||||||||||||
Naspers Ltd., Class N, Sponsored ADR | 4,909 | 237,743 | |||||||||||||
|
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Specialty Retail - 0.11% | |||||||||||||||
Blink Charging Co.A | 9,880 | 26,479 | |||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - 1.12% | |||||||||||||||
Kering S.A. | 246 | 145,486 | |||||||||||||
Swatch Group AG, ADR | 7,842 | 111,905 | |||||||||||||
|
| ||||||||||||||
257,391 | |||||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | 1,156,580 | ||||||||||||||
|
| ||||||||||||||
Energy - 0.46% | |||||||||||||||
Oil, Gas & Consumable Fuels - 0.46% | |||||||||||||||
Petroleo Brasileiro SA, ADR | 6,775 | 105,487 | |||||||||||||
|
| ||||||||||||||
Financials - 1.30% | |||||||||||||||
Banks - 0.94% | |||||||||||||||
Bank of Kyoto Ltd. | 5,600 | 216,334 | |||||||||||||
|
| ||||||||||||||
Insurance - 0.36% | |||||||||||||||
Crawford & Co., Class B | 8,705 | 81,043 | |||||||||||||
Greenlight Capital Re Ltd., Class AA | 18 | 153 | |||||||||||||
|
| ||||||||||||||
81,196 | |||||||||||||||
|
| ||||||||||||||
Total Financials | 297,530 | ||||||||||||||
|
| ||||||||||||||
Industrials - 0.47% | |||||||||||||||
Aerospace & Defense - 0.47% | |||||||||||||||
HEICO Corp., Class A | 1,030 | 106,471 | |||||||||||||
|
| ||||||||||||||
Information Technology - 0.43% | |||||||||||||||
Technology Hardware, Storage & Peripherals - 0.43% | |||||||||||||||
Hewlett Packard Enterprise Co. | 6,650 | 99,417 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks (Cost $2,083,673) | 2,058,657 | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
7
American Beacon Ionic Strategic Arbitrage FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
WARRANTS - 12.01% | |||||||||||||||
Consumer Discretionary - 2.34% | |||||||||||||||
Automobiles - 0.21% | |||||||||||||||
ElectraMeccanica Vehicles Corp., 08/08/2023, Strike Price $4.25A | 95,593 | $ | 47,797 | ||||||||||||
|
| ||||||||||||||
Diversified Consumer Services - 1.08% | |||||||||||||||
OneSpaWorld Holdings Ltd., 03/19/2024, Strike Price $11.50A | 53,059 | 248,847 | |||||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - 0.66% | |||||||||||||||
Del Taco Restaurants, Inc., 06/30/2020, Strike Price $11.50A | 70,328 | 151,205 | |||||||||||||
|
| ||||||||||||||
Internet & Direct Marketing Retail - 0.31% | |||||||||||||||
Yatra Online, Inc., 12/16/2021, Strike Price $11.50A | 498,699 | 70,067 | |||||||||||||
|
| ||||||||||||||
Specialty Retail - 0.08% | |||||||||||||||
Blink Charging Co., 02/08/2023, Strike Price $4.25A | 26,802 | 11,961 | |||||||||||||
Kaixin Auto Holdings CM / Seven Star Acquisition, 04/30/2024, Strike Price $11.50A | 145,895 | 7,295 | |||||||||||||
|
| ||||||||||||||
19,256 | |||||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | 537,172 | ||||||||||||||
|
| ||||||||||||||
Consumer Staples - 1.36% | |||||||||||||||
Food Products - 1.36% | |||||||||||||||
Hostess Brands, Inc., 11/04/2021, Strike Price $11.50A | 164,517 | 312,582 | |||||||||||||
|
| ||||||||||||||
Energy - 0.50% | |||||||||||||||
Oil, Gas & Consumable Fuels - 0.50% | |||||||||||||||
Altus Midstream Co., 11/12/2023, Strike Price $11.50A | 86,160 | 38,763 | |||||||||||||
Falcon Minerals Corp., 08/15/2022, Strike Price $11.50A | 80,169 | 76,161 | |||||||||||||
|
| ||||||||||||||
114,924 | |||||||||||||||
|
| ||||||||||||||
Total Energy | 114,924 | ||||||||||||||
|
| ||||||||||||||
Financials - 2.98% | |||||||||||||||
Banks - 0.03% | |||||||||||||||
Zions Bancorp NA, 05/22/2020, Strike Price $35.70A | 450 | 5,976 | |||||||||||||
|
| ||||||||||||||
Insurance - 2.95% | |||||||||||||||
American International Group, Inc., 01/19/2021, Strike Price $43.12A | 55,190 | 676,078 | |||||||||||||
|
| ||||||||||||||
Total Financials | 682,054 | ||||||||||||||
|
| ||||||||||||||
Health Care - 0.04% | |||||||||||||||
Biotechnology - 0.04% | |||||||||||||||
Xynomic Pharmaceuticals Holdings, Inc., 05/15/2024, Strike Price $11.50A | 44,485 | 9,342 | |||||||||||||
|
| ||||||||||||||
Industrials - 3.88% | |||||||||||||||
Commercial Services & Supplies - 0.99% | |||||||||||||||
NRC Group Holdings Corp., 10/18/2023, Strike Price $11.50A | 137,944 | 227,801 | |||||||||||||
|
| ||||||||||||||
Professional Services - 2.89% | |||||||||||||||
Clarivate Analytics PLC, 10/29/2023, Strike Price $11.50A | 139,246 | 661,418 | |||||||||||||
|
| ||||||||||||||
Total Industrials | 889,219 | ||||||||||||||
|
| ||||||||||||||
Information Technology - 0.91% | |||||||||||||||
IT Services - 0.69% | |||||||||||||||
Verra Mobility Corp., 10/17/2023, Strike Price $11.50A | 39,232 | 158,890 | |||||||||||||
|
| ||||||||||||||
See accompanying notes
8
American Beacon Ionic Strategic Arbitrage FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
WARRANTS - 12.01% (continued) | |||||||||||||||
Information Technology - 0.91% (continued) | |||||||||||||||
Software - 0.22% | |||||||||||||||
GTY Govetech, Inc., 02/14/2024, Strike Price $11.50A | 65,924 | $ | 50,102 | ||||||||||||
|
| ||||||||||||||
Total Information Technology | 208,992 | ||||||||||||||
|
| ||||||||||||||
Total Warrants (Cost $2,496,689) | 2,754,285 | ||||||||||||||
|
| ||||||||||||||
Principal Amount | |||||||||||||||
CORPORATE OBLIGATIONS - 2.61% (Cost $596,009) | |||||||||||||||
Consumer, Cyclical - 2.61% | |||||||||||||||
Marriott Vacations Worldwide Corp., 1.500%, Due 9/15/2022 | $ | 619,000 | 597,681 | ||||||||||||
|
| ||||||||||||||
CONVERTIBLE OBLIGATIONS - 39.69% | |||||||||||||||
Communications - 11.97% | |||||||||||||||
Palo Alto Networks, Inc., 0.750%, Due 7/1/2023B | 668,000 | 703,787 | |||||||||||||
Twitter, Inc., 0.250%, Due 6/15/2024 | 597,000 | 581,394 | |||||||||||||
Vonage Holdings Corp., 1.750%, Due 6/1/2024B | 400,000 | 402,670 | |||||||||||||
YY, Inc., | |||||||||||||||
0.750%, Due 6/15/2025B | 170,000 | 171,478 | |||||||||||||
1.375%, Due 6/15/2026B | 170,000 | 172,551 | |||||||||||||
Zillow Group, Inc., 2.000%, Due 12/1/2021 | 630,000 | 712,932 | |||||||||||||
|
| ||||||||||||||
2,744,812 | |||||||||||||||
|
| ||||||||||||||
Consumer,Non-Cyclical - 8.42% | |||||||||||||||
Exact Sciences Corp., 0.375%, Due 3/15/2027 | 888,000 | 1,120,080 | |||||||||||||
Inovio Pharmaceuticals, Inc., 6.500%, Due 3/1/2024B | 500,000 | 417,698 | |||||||||||||
Tilray, Inc., 5.000%, Due 10/1/2023B | 488,000 | 393,450 | |||||||||||||
|
| ||||||||||||||
1,931,228 | |||||||||||||||
|
| ||||||||||||||
Energy - 2.41% | |||||||||||||||
Chesapeake Energy Corp., 5.500%, Due 9/15/2026 | 692,000 | 552,340 | |||||||||||||
|
| ||||||||||||||
Technology - 16.89% | |||||||||||||||
Altair Engineering, Inc., 0.250%, Due 6/1/2024 | 495,000 | 536,205 | |||||||||||||
j2 Global, Inc., 3.250%, Due 6/15/2029 | 796,000 | 1,109,404 | |||||||||||||
NXP Semiconductors N.V., 1.000%, Due 12/1/2019 | 1,033,000 | 1,088,503 | |||||||||||||
PROS Holdings, Inc., 1.000%, Due 5/15/2024B | 648,000 | 739,763 | |||||||||||||
Zynga, Inc., 0.250%, Due 6/1/2024B | 400,000 | 398,380 | |||||||||||||
|
| ||||||||||||||
3,872,255 | |||||||||||||||
|
| ||||||||||||||
Total Convertible Obligations (Cost $8,787,854) | 9,100,635 | ||||||||||||||
|
| ||||||||||||||
FOREIGN CORPORATE OBLIGATIONS - 3.57% (Cost $940,254) | |||||||||||||||
Financial - 3.57% | |||||||||||||||
Greenlight Capital Re Ltd., 4.000%, Due 8/1/2023B | 937,000 | 818,118 | |||||||||||||
|
| ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 8.94% | |||||||||||||||
Agency CMO Interest Only - 7.38% | |||||||||||||||
Fannie Mae REMIC Trust, 5.500%, Due 12/25/2043,2014-38 QI | 1,006,763 | 176,291 | |||||||||||||
Freddie Mac REMIC Trust, | |||||||||||||||
1.000%, Due 3/15/2038, 3421 IO | 4,199,006 | 128,366 | |||||||||||||
4.500%, Due 12/15/2042, 303 157C | 1,218,724 | 238,958 | |||||||||||||
Ginnie Mae REMIC Trust, | |||||||||||||||
4.000%, Due 2/20/2040,2015-162 LI | 995,742 | 136,237 | |||||||||||||
6.000%, Due 9/20/2040,2016-75 IO | 1,218,767 | 268,908 | |||||||||||||
3.500%, Due 10/20/2041,2013-81 PI | 2,766,710 | 302,958 | |||||||||||||
3.500%, Due 5/16/2042,2015-84 IO | 2,684,568 | 441,411 | |||||||||||||
|
| ||||||||||||||
1,693,129 | |||||||||||||||
|
| ||||||||||||||
See accompanying notes
9
American Beacon Ionic Strategic Arbitrage FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Principal Amount | Fair Value | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 8.94% (continued) | |||||||||||||||
Agency CMO Interest Only Inverse Floater - 1.56% | |||||||||||||||
Freddie Mac REMIC Trust, 0.216%, Due 4/15/2043, 4517 KI,(1-mo. LIBOR + 1.071%)D | $ | 7,017,910 | $ | 218,261 | |||||||||||
Ginnie Mae REMIC Trust, 4.217%, Due 11/20/2033,2003-98 SC,(1-mo. LIBOR + 6.600%)D | 857,623 | 139,674 | |||||||||||||
|
| ||||||||||||||
357,935 | |||||||||||||||
|
| ||||||||||||||
Total Collateralized Mortgage Obligations (Cost $2,032,648) | 2,051,064 | ||||||||||||||
|
| ||||||||||||||
Shares | |||||||||||||||
INVESTMENT COMPANIES - 19.82% | |||||||||||||||
Closed-End Funds - 19.82% | |||||||||||||||
Aberdeen Asia-Pacific Income Fund, Inc. | 66,123 | 276,394 | |||||||||||||
Adams Natural Resources Fund, Inc. | 24,950 | 412,673 | |||||||||||||
BlackRock Floating Rate Income Trust | 12,410 | 154,132 | |||||||||||||
Highland Floating Rate Opportunities FundA | 54,097 | 748,703 | |||||||||||||
Invesco Dynamic Credit Opportunities Fund | 15,164 | 169,534 | |||||||||||||
Invesco Senior Income Trust | 30,943 | 133,674 | |||||||||||||
MFS Intermediate Income Trust | 82,208 | 317,323 | |||||||||||||
Nuveen Credit Strategies Income Fund | 22,932 | 181,621 | |||||||||||||
Nuveen Floating Rate Income Fund | 23,543 | 231,899 | |||||||||||||
Nuveen Floating Rate Income Opportunity Fund | 12,434 | 121,107 | |||||||||||||
Pershing Square Holdings Ltd./Fund | 37,574 | 659,799 | |||||||||||||
PGIM Short Duration High Yield Fund, Inc. | 52,934 | 774,424 | |||||||||||||
Voya Prime Rate Trust | 76,394 | 363,635 | |||||||||||||
|
| ||||||||||||||
TotalClosed-End Funds | 4,544,918 | ||||||||||||||
|
| ||||||||||||||
Total Investment Companies (Cost $4,417,164) | 4,544,918 | ||||||||||||||
|
| ||||||||||||||
EXCHANGE-TRADED INSTRUMENTS - 3.28% (Cost $616,097) | |||||||||||||||
Exchange-Traded Notes - 3.28% | |||||||||||||||
ETRACS Monthly Pay 2xLeveragedClosed-End Fund ETN | 52,144 | 753,481 | |||||||||||||
|
| ||||||||||||||
SHORT-TERM INVESTMENTS - 23.67% (Cost $5,428,781) | |||||||||||||||
Investment Companies - 23.67% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 2.32%E F | 5,428,781 | 5,428,781 | |||||||||||||
|
| ||||||||||||||
TOTAL SECURITIES HELD LONG (Cost $27,399,169) | 28,107,620 | ||||||||||||||
|
| ||||||||||||||
SECURITIES SOLD SHORT - (63.81%) | |||||||||||||||
COMMON STOCKS - (56.93%) | |||||||||||||||
Communication Services - (5.29%) | |||||||||||||||
Diversified Telecommunication Services - (0.68%) | |||||||||||||||
Vonage Holdings Corp.A | (13,688 | ) | (155,085 | ) | |||||||||||
|
| ||||||||||||||
Entertainment - (1.20%) | |||||||||||||||
Nintendo Co., Ltd. | (300 | ) | (109,883 | ) | |||||||||||
Zynga, Inc., Class AA | (27,000 | ) | (165,510 | ) | |||||||||||
|
| ||||||||||||||
(275,393 | ) | ||||||||||||||
|
| ||||||||||||||
Interactive Media & Services - (3.41%) | |||||||||||||||
Tencent Holdings Ltd., ADR | (4,909 | ) | (222,181 | ) | |||||||||||
TripAdvisor, Inc.A | (2,796 | ) | (129,427 | ) | |||||||||||
Twitter, Inc.A | (4,523 | ) | (157,853 | ) | |||||||||||
Zillow Group, Inc., Class CA | (5,867 | ) | (272,170 | ) | |||||||||||
|
| ||||||||||||||
(781,631 | ) | ||||||||||||||
|
| ||||||||||||||
Total Communication Services | (1,212,109 | ) | |||||||||||||
|
| ||||||||||||||
See accompanying notes
10
American Beacon Ionic Strategic Arbitrage FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (56.93%) (continued) | |||||||||||||||
Consumer Discretionary - (8.32%) | |||||||||||||||
Diversified Consumer Services - (2.15%) | |||||||||||||||
OneSpaWorld Holdings Ltd.A | (31,877 | ) | $ | (494,093 | ) | ||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - (4.97%) | |||||||||||||||
Carnival Corp. | (10,179 | ) | (473,832 | ) | |||||||||||
Del Taco Restaurants, Inc.A | (42,880 | ) | (549,722 | ) | |||||||||||
Hilton Worldwide Holdings, Inc. | (1,186 | ) | (115,920 | ) | |||||||||||
|
| ||||||||||||||
(1,139,474 | ) | ||||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - (1.20%) | |||||||||||||||
Cie Financiere Richemont S.A., ADR | (15,469 | ) | (130,558 | ) | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE | (339 | ) | (144,284 | ) | |||||||||||
|
| ||||||||||||||
(274,842 | ) | ||||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | (1,908,409 | ) | |||||||||||||
|
| ||||||||||||||
Consumer Staples - (4.09%) | |||||||||||||||
Food Products - (4.09%) | |||||||||||||||
Hostess Brands, Inc.A | (64,946 | ) | (937,820 | ) | |||||||||||
|
| ||||||||||||||
Energy - (1.85%) | |||||||||||||||
Oil, Gas & Consumable Fuels - (1.85%) | |||||||||||||||
Altus Midstream Co., Class AA | (7,786 | ) | (28,964 | ) | |||||||||||
Chesapeake Energy Corp.A | (15,526 | ) | (30,276 | ) | |||||||||||
Falcon Minerals Corp.A | (26,208 | ) | (220,147 | ) | |||||||||||
Kinder Morgan, Inc. | (1,900 | ) | (39,672 | ) | |||||||||||
Petroleo Brasileiro SA, ADR | (7,419 | ) | (105,350 | ) | |||||||||||
|
| ||||||||||||||
(424,409 | ) | ||||||||||||||
|
| ||||||||||||||
Total Energy | (424,409 | ) | |||||||||||||
|
| ||||||||||||||
Financials - (12.30%) | |||||||||||||||
Banks - (0.19%) | |||||||||||||||
Zions Bancorp NA | (974 | ) | (44,421 | ) | |||||||||||
|
| ||||||||||||||
Insurance - (12.11%) | |||||||||||||||
American International Group, Inc. | (50,381 | ) | (2,684,300 | ) | |||||||||||
Crawford & Co., Class A | (8,705 | ) | (91,663 | ) | |||||||||||
|
| ||||||||||||||
(2,775,963 | ) | ||||||||||||||
|
| ||||||||||||||
Total Financials | (2,820,384 | ) | |||||||||||||
|
| ||||||||||||||
Health Care - (3.83%) | |||||||||||||||
Biotechnology - (3.83%) | |||||||||||||||
Exact Sciences Corp.A | (5,748 | ) | (678,494 | ) | |||||||||||
Inovio Pharmaceuticals, Inc.A | (67,699 | ) | (199,035 | ) | |||||||||||
|
| ||||||||||||||
(877,529 | ) | ||||||||||||||
|
| ||||||||||||||
Total Health Care | (877,529 | ) | |||||||||||||
|
| ||||||||||||||
Industrials - (9.83%) | |||||||||||||||
Aerospace & Defense - (0.49%) | |||||||||||||||
HEICO Corp. | (835 | ) | (111,731 | ) | |||||||||||
|
| ||||||||||||||
Commercial Services & Supplies - (3.12%) | |||||||||||||||
NRC Group Holdings Corp.A | (64,345 | ) | (715,517 | ) | |||||||||||
|
| ||||||||||||||
See accompanying notes
11
American Beacon Ionic Strategic Arbitrage FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - (56.93%) (continued) | |||||||||||||||
Industrials - (9.83%) (continued) | |||||||||||||||
Electrical Equipment - (0.30%) | |||||||||||||||
Nidec Corp. | (500 | ) | $ | (68,288 | ) | ||||||||||
|
| ||||||||||||||
Professional Services - (5.92%) | |||||||||||||||
Clarivate Analytics PLCA | (88,360 | ) | (1,358,977 | ) | |||||||||||
|
| ||||||||||||||
Total Industrials | (2,254,513 | ) | |||||||||||||
|
| ||||||||||||||
Information Technology - (11.42%) | |||||||||||||||
Electronic Equipment, Instruments & Components - (0.28%) | |||||||||||||||
Kyocera Corp. | (600 | ) | (39,151 | ) | |||||||||||
Murata Manufacturing Co., Ltd. | (200 | ) | (8,978 | ) | |||||||||||
Omron Corp. | (300 | ) | (15,638 | ) | |||||||||||
|
| ||||||||||||||
(63,767 | ) | ||||||||||||||
|
| ||||||||||||||
IT Services - (1.11%) | |||||||||||||||
Verra Mobility Corp.A | (19,537 | ) | (255,739 | ) | |||||||||||
|
| ||||||||||||||
Semiconductors & Semiconductor Equipment - (2.45%) | |||||||||||||||
NXP Semiconductors N.V. | (4,964 | ) | (484,536 | ) | |||||||||||
Rohm Co., Ltd. | (100 | ) | (6,715 | ) | |||||||||||
Texas Instruments, Inc. | (620 | ) | (71,151 | ) | |||||||||||
|
| ||||||||||||||
(562,402 | ) | ||||||||||||||
|
| ||||||||||||||
Software - (7.58%) | |||||||||||||||
Altair Engineering, Inc., Class AA | (7,100 | ) | (286,769 | ) | |||||||||||
GTY Govetech, Inc.A | (4,819 | ) | (33,010 | ) | |||||||||||
j2 Global, Inc. | (8,596 | ) | (764,098 | ) | |||||||||||
Palo Alto Networks, Inc.A | (1,171 | ) | (238,603 | ) | |||||||||||
PROS Holdings, Inc.A | (6,560 | ) | (414,986 | ) | |||||||||||
|
| ||||||||||||||
(1,737,466 | ) | ||||||||||||||
|
| ||||||||||||||
Total Information Technology | (2,619,374 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL COMMON STOCKS (Proceeds $(12,511,918)) | (13,054,547 | ) | |||||||||||||
|
| ||||||||||||||
EXCHANGE-TRADED INSTRUMENTS - (6.88%) | |||||||||||||||
Exchange-Traded Funds - (6.88%) | |||||||||||||||
Invesco CurrencyShares Euro Currency TrustA | (1,500 | ) | (162,405 | ) | |||||||||||
iShares ChinaLarge-Cap ETF | (14,000 | ) | (598,780 | ) | |||||||||||
iShares iBoxx High Yield Corporate Bond ETF | (9,400 | ) | (815,678 | ) | |||||||||||
|
| ||||||||||||||
Total Exchange-Traded Funds | (1,576,863 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL EXCHANGE-TRADED INSTRUMENTS (Proceeds $(1,587,235)) | (1,576,863 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $(14,099,153)) | (14,631,410 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS IN SECURITIES (EXCLUDES SECURITIES SOLD SHORT) - 122.57% (Cost $27,399,169) | 28,107,620 | ||||||||||||||
TOTAL PURCHASED OPTIONS CONTRACTS - 8.20% (Premiums Paid $2,525,525) | 1,879,988 | ||||||||||||||
TOTAL WRITTEN OPTIONS CONTRACTS - (1.60%) (Premiums Received $(609,394)) | (367,837 | ) | |||||||||||||
TOTAL SECURITIES SOLD SHORT - (63.81%) (Proceeds $(14,099,153)) | (14,631,410 | ) | |||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 34.64% | 7,943,239 | ||||||||||||||
|
| ||||||||||||||
NET ASSETS - 100.00% | $ | 22,931,600 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
See accompanying notes
12
American Beacon Ionic Strategic Arbitrage FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
ANon-income producing security.
B Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule 144A. At the period end, the value of these securities amounted to $4,217,895 or 18.39% of net assets. The Fund has no right to demand registration of these securities.
C Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end.
D Variable, floating, or adjustable rate securities with an interest rate that changes periodically. Rates are periodically reset with rates that are based on a predetermined benchmark such as a widely followed interest rate such asT-bills, LIBOR or PRIME plus a fixed spread. The interest rate disclosed reflects the rate in effect on June 30, 2019.
E The Fund is affiliated by having the same investment advisor.
F7-day yield.
ADR - American Depositary Receipt.
CMO - Collateralized Mortgage Obligation.
ETF - Exchange-Traded Fund.
ETN - Exchange-Traded Note.
LIBOR - London Interbank Offered Rate.
PLC - Public Limited Company.
PRIME - A rate, charged by banks, based on the U.S. Federal Funds rate.
REMIC - Real Estate Mortgage Investment Conduit.
Short Futures Contracts Open on June 30, 2019: |
| |||||||||||||||
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
S&P 500E-Mini Index Futures | 2 | September 2019 | $ | (295,125 | ) | $ | (294,420 | ) | $ | 705 | ||||||
|
|
|
|
|
| |||||||||||
$ | (295,125 | ) | $ | (294,420 | ) | $ | 705 | |||||||||
|
|
|
|
|
| |||||||||||
Currency Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Canadian Dollar Currency Futures | 26 | September 2019 | $ | (1,967,805 | ) | $ | (1,990,430 | ) | $ | (22,625 | ) | |||||
Euro Currency Futures | 5 | September 2019 | (710,781 | ) | (715,406 | ) | (4,625 | ) | ||||||||
|
|
|
|
|
| |||||||||||
$ | (2,678,586 | ) | $ | (2,705,836 | ) | $ | (27,250 | ) | ||||||||
|
|
|
|
|
|
OTC Swap Agreements Outstanding on June 30, 2019: |
| |||||||||||||||||||||||||||
Total Return Swap Agreements | ||||||||||||||||||||||||||||
Pay/Receive Floating Rate | Description | Reference Entity | Counter- party | Floating Rate | Expiration Date | Reference Quantity | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Pay | 1-Month USD-LIBOR | Zions Bancorp | DUB | 3.594% | 8/5/2019 | 75,101 | 937,636 | $ | - | $ | 58,207 | |||||||||||||||||
Receive | 1-Month USD-LIBOR | Zions Bancorp | DUB | 2.394% | 8/5/2019 | 66,436 | 2,971,682 | - | (80,547 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$ | - | $ | (22,340 | ) | ||||||||||||||||||||||||
|
|
|
|
Purchased Options Contracts Open on June 30, 2019: |
| |||||||||||||||||||||||||||||
Equity Options | ||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Paid | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Call - Caesars Entertainment Corp. | CCP | 8.00 | 7/19/2019 | USD | 196 | 19,600 | $ | 34,646 | $ | 73,500 | $ | 38,854 | ||||||||||||||||||
Call - Zions Bancorp NA | CCP | 52.50 | 7/19/2019 | USD | 59 | 5,900 | 7,505 | 354 | (7,151 | ) | ||||||||||||||||||||
Call - Adams Natural Resources Fund, Inc. | CCP | 17.50 | 8/16/2019 | USD | 73 | 7,300 | 4,114 | 548 | (3,566 | ) | ||||||||||||||||||||
Call - Beyond Meat, Inc. | CCP | 160.00 | 8/16/2019 | USD | 19 | 1,900 | 27,680 | 29,640 | 1,960 | |||||||||||||||||||||
Put - Blink Charging Co. | CCP | 2.50 | 9/20/2019 | USD | 249 | 24,900 | 15,570 | 13,695 | (1,875 | ) | ||||||||||||||||||||
Put - ElectraMeccanica Vehicles Corp. | CCP | 5.00 | 9/20/2019 | USD | 2 | 200 | 521 | 545 | 24 |
See accompanying notes
13
American Beacon Ionic Strategic Arbitrage FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Equity Options | ||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Paid | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Put - ElectraMeccanica Vehicles Corp. | CCP | 2.50 | 9/20/2019 | USD | 1,002 | 100,200 | $ | 65,417 | $ | 50,100 | $ | (15,317 | ) | |||||||||||||||||
Call - Adams Natural Resources Fund, Inc. | CCP | 17.50 | 11/15/2019 | USD | 439 | 43,900 | 23,801 | 17,560 | (6,241 | ) | ||||||||||||||||||||
Put - ElectraMeccanica Vehicles Corp. | CCP | 2.50 | 12/20/2019 | USD | 16 | 1,600 | 1,457 | 1,280 | (177 | ) | ||||||||||||||||||||
Put - Lyft, Inc. | CCP | 30.00 | 1/15/2021 | USD | 47 | 4,700 | 16,904 | 11,750 | (5,154 | ) | ||||||||||||||||||||
Put - Shake Shack, Inc. | CCP | 45.00 | 1/15/2021 | USD | 106 | 10,600 | 56,033 | 28,885 | (27,148 | ) | ||||||||||||||||||||
Put - Uber Technologies, Inc. | CCP | 25.00 | 1/15/2021 | USD | 50 | 5,000 | 16,687 | 8,250 | (8,437 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 270,335 | $ | 236,107 | $ | (34,228 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Exchange-Traded Fund Options | ||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Paid | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Call - iShares iBoxx High Yield Corporate Bond ETF | CCP | 87.00 | 7/19/2019 | USD | 90 | 9,000 | $ | 2,966 | $ | 3,150 | $ | 184 | ||||||||||||||||||
Put - iShares iBoxx High Yield Corporate Bond ETF | CCP | 83.00 | 8/16/2019 | USD | 750 | 75,000 | 18,029 | 12,000 | (6,029 | ) | ||||||||||||||||||||
Put - iShares iBoxx High Yield Corporate Bond ETF | CCP | 82.00 | 8/16/2019 | USD | 185 | 18,500 | 9,675 | 2,775 | (6,900 | ) | ||||||||||||||||||||
Put - iShares iBoxx High Yield Corporate Bond ETF | CCP | 78.00 | 10/18/2019 | USD | 90 | 9,000 | 5,024 | 1,800 | (3,224 | ) | ||||||||||||||||||||
Call - Canadian Dollar Currency Futures | CCP | 75.00 | 12/6/2019 | USD | 48 | 48,000 | 70,798 | 103,200 | 32,402 | |||||||||||||||||||||
Call - Canadian Dollar Currency Futures | CCP | 74.50 | 12/6/2019 | USD | 38 | 38,000 | 52,961 | 96,140 | 43,179 | |||||||||||||||||||||
Call - Euro Currency Futures | CCP | 1.17 | 12/6/2019 | USD | 50 | 6,250,000 | 111,775 | 66,250 | (45,525 | ) | ||||||||||||||||||||
Put - Canadian Dollar Currency Futures | CCP | 77.00 | 12/6/2019 | USD | 8 | 8,000 | 11,840 | 10,560 | (1,280 | ) | ||||||||||||||||||||
Put - Canadian Dollar Currency Futures | CCP | 75.00 | 12/6/2019 | USD | 52 | 52,000 | 68,260 | 28,080 | (40,180 | ) | ||||||||||||||||||||
Put - Canadian Dollar Currency Futures | CCP | 74.50 | 12/6/2019 | USD | 40 | 40,000 | 54,342 | 16,800 | (37,542 | ) | ||||||||||||||||||||
Put - Euro Currency Futures | CCP | 1.14 | 12/6/2019 | USD | 50 | 6,250,000 | 100,394 | 75,000 | (25,394 | ) | ||||||||||||||||||||
Call - CurrencyShares Euro Trust ETF | CCP | 116.00 | 1/17/2020 | USD | 821 | 82,100 | 156,270 | 28,324 | (127,946 | ) | ||||||||||||||||||||
Call - iShares ChinaLarge-Cap ETF | CCP | 37.00 | 1/17/2020 | USD | 160 | 16,000 | 100,326 | 105,200 | 4,874 | |||||||||||||||||||||
Put - iShares ChinaLarge-Cap ETF | CCP | 37.00 | 1/17/2020 | USD | 1,440 | 144,000 | 391,734 | 110,880 | (280,854 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 1,154,394 | $ | 660,159 | $ | (494,235 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Index Options | ||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Paid | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Call - Dow Jones Industrial Average Index | CCP | 280.00 | 7/19/2019 | USD | 100 | 10,000 | $ | 9,654 | $ | 1,500 | $ | (8,154 | ) | |||||||||||||||||
Call - S&P 500 Index | CCP | 2,820.00 | 7/19/2019 | USD | 4 | 400 | 38,942 | 54,176 | 15,234 | |||||||||||||||||||||
Put - S&P 500 Index | CCP | 2,820.00 | 7/19/2019 | USD | 4 | 400 | 13,652 | 4,120 | (9,532 | ) |
See accompanying notes
14
American Beacon Ionic Strategic Arbitrage FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Index Options | ||||||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Paid | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Put - S&P 500 Index | CCP | 2,225.00 | 7/31/2019 | USD | 2 | 200 | $ | 4,331 | $ | 105 | $ | (4,226 | ) | |||||||||||||||||||||
Put - S&P 500 Index | CCP | 2,800.00 | 8/16/2019 | USD | 8 | 800 | 61,284 | 15,920 | (45,364 | ) | ||||||||||||||||||||||||
Call - CBOE SPX Volatility Index | CCP | 20.00 | 8/21/2019 | USD | 350 | 35,000 | 41,139 | 37,800 | (3,339 | ) | ||||||||||||||||||||||||
Put - S&P 500 Index | CCP | 2,450.00 | 10/18/2019 | USD | 3 | 300 | 6,182 | 3,690 | (2,492 | ) | ||||||||||||||||||||||||
Call - S&P 500 Index | CCP | 2,975.00 | 12/20/2019 | USD | 4 | 400 | 37,198 | 37,880 | 682 | |||||||||||||||||||||||||
Put - S&P 500 Index | CCP | 2,575.00 | 12/20/2019 | USD | 3 | 300 | 9,767 | 10,815 | 1,048 | |||||||||||||||||||||||||
Put - S&P 500 Index | CCP | 1,825.00 | 12/20/2019 | USD | 4 | 400 | 7,846 | 960 | (6,886 | ) | ||||||||||||||||||||||||
Call - S&P 500 Index | CCP | 2,925.00 | 3/20/2020 | USD | 2 | 200 | 23,567 | 31,520 | 7,953 | |||||||||||||||||||||||||
Put - S&P 500 Index | CCP | 1,950.00 | 3/20/2020 | USD | 2 | 200 | 3,297 | 1,780 | (1,517 | ) | ||||||||||||||||||||||||
Call - S&P 500 Index | CCP | 3,025.00 | 6/19/2020 | USD | 2 | 200 | 25,131 | 24,356 | (775 | ) | ||||||||||||||||||||||||
Call - S&P 500 Index | CCP | 2,500.00 | 6/19/2020 | USD | 10 | 1,000 | 234,955 | 498,600 | 263,645 | |||||||||||||||||||||||||
Put - S&P 500 Index | CCP | 2,000.00 | 6/19/2020 | USD | 2 | 200 | 3,585 | 3,300 | (285 | ) | ||||||||||||||||||||||||
Put - S&P 500 Index | CCP | 2,700.00 | 6/19/2020 | USD | 20 | 2,000 | 345,211 | 194,000 | (151,211 | ) | ||||||||||||||||||||||||
Put - S&P 500 Index | CCP | 2,500.00 | 6/19/2020 | USD | 10 | 1,000 | 235,055 | 63,200 | (171,855 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 1,100,796 | $ | 983,722 | $ | (117,074 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Written Options Contracts Open on June 30, 2019: |
| |||||||||||||||||||||||||||||||||
Equity Options | ||||||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Received | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Call - Chevron Corp. | CCP | 127.00 | 7/12/2019 | USD | 4 | 400 | $ | (442 | ) | $ | (220 | ) | $ | 222 | ||||||||||||||||||||
Call - ConocoPhillips | CCP | 63.00 | 7/12/2019 | USD | 4 | 400 | (226 | ) | (178 | ) | 48 | |||||||||||||||||||||||
Call - DuPont de Nemours, Inc. | CCP | 76.50 | 7/12/2019 | USD | 2 | 200 | (211 | ) | (159 | ) | 52 | |||||||||||||||||||||||
Call - EOG Resources, Inc. | CCP | 95.00 | 7/12/2019 | USD | 2 | 200 | (316 | ) | (306 | ) | 10 | |||||||||||||||||||||||
Call - Exxon Mobil Corp. | CCP | 78.00 | 7/12/2019 | USD | 11 | 1,100 | (731 | ) | (506 | ) | 225 | |||||||||||||||||||||||
Call - Marathon Petroleum Corp. | CCP | 54.50 | 7/12/2019 | USD | 3 | 300 | (224 | ) | (678 | ) | (454 | ) | ||||||||||||||||||||||
Call - Phillips 66 | CCP | 93.00 | 7/12/2019 | USD | 1 | 100 | (118 | ) | (200 | ) | (82 | ) | ||||||||||||||||||||||
Call - Schlumberger Ltd. | CCP | 40.00 | 7/12/2019 | USD | 3 | 300 | (147 | ) | (204 | ) | (57 | ) | ||||||||||||||||||||||
Call - Chevron Corp. | CCP | 125.00 | 7/19/2019 | USD | 4 | 400 | (458 | ) | (700 | ) | (242 | ) | ||||||||||||||||||||||
Call - Chevron Corp. | CCP | 120.00 | 7/19/2019 | USD | 8 | 800 | (1,561 | ) | (3,920 | ) | (2,359 | ) | ||||||||||||||||||||||
Call - ConocoPhillips | CCP | 62.50 | 7/19/2019 | USD | 12 | 1,200 | (1,113 | ) | (984 | ) | 129 | |||||||||||||||||||||||
Call - DowDuPont, Inc. | CCP | 32.50 | 7/19/2019 | USD | 6 | 600 | (591 | ) | (1,422 | ) | (831 | ) | ||||||||||||||||||||||
Call - DuPont de Nemours, Inc. | CCP | 77.50 | 7/19/2019 | USD | 2 | 200 | (303 | ) | (130 | ) | 173 | |||||||||||||||||||||||
Call - ElectraMeccanica Vehicles Corp. | CCP | 2.50 | 7/19/2019 | USD | 22 | 2,200 | (758 | ) | (440 | ) | 318 | |||||||||||||||||||||||
Call - EOG Resources, Inc. | CCP | 90.00 | 7/19/2019 | USD | 6 | 600 | (1,435 | ) | (2,670 | ) | (1,235 | ) | ||||||||||||||||||||||
Call - Exxon Mobil Corp. | CCP | 77.50 | 7/19/2019 | USD | 12 | 1,200 | (713 | ) | (984 | ) | (271 | ) | ||||||||||||||||||||||
Call - Exxon Mobil Corp. | CCP | 75.00 | 7/19/2019 | USD | 21 | 2,100 | (2,411 | ) | (4,998 | ) | (2,587 | ) | ||||||||||||||||||||||
Call - Kinder Morgan Inc/DE | CCP | 21.00 | 7/19/2019 | USD | 15 | 1,500 | (427 | ) | (525 | ) | (98 | ) | ||||||||||||||||||||||
Call - Marathon Petroleum Corp. | CCP | 52.50 | 7/19/2019 | USD | 13 | 1,300 | (1,542 | ) | (5,330 | ) | (3,788 | ) | ||||||||||||||||||||||
Call - Occidental Petroleum Corp. | CCP | 52.50 | 7/19/2019 | USD | 4 | 400 | (326 | ) | (180 | ) | 146 | |||||||||||||||||||||||
Call - Occidental Petroleum Corp. | CCP | 55.00 | 7/19/2019 | USD | 8 | 800 | (916 | ) | (104 | ) | 812 | |||||||||||||||||||||||
Call - Phillips 66 | CCP | 90.00 | 7/19/2019 | USD | 2 | 200 | (169 | ) | (820 | ) | (651 | ) | ||||||||||||||||||||||
Call - Phillips 66 | CCP | 85.00 | 7/19/2019 | USD | 5 | 500 | (1,057 | ) | (4,600 | ) | (3,543 | ) | ||||||||||||||||||||||
Call - Schlumberger Ltd. | CCP | 40.00 | 7/19/2019 | USD | 7 | 700 | (362 | ) | (847 | ) | (485 | ) | ||||||||||||||||||||||
Call - Schlumberger Ltd. | CCP | 37.50 | 7/19/2019 | USD | 5 | 500 | (387 | ) | (1,385 | ) | (998 | ) | ||||||||||||||||||||||
Call - Kinder Morgan Inc/DE | CCP | 21.50 | 7/26/2019 | USD | 5 | 500 | (157 | ) | (90 | ) | 67 |
See accompanying notes
15
American Beacon Ionic Strategic Arbitrage FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Equity Options | ||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Received | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Call - Beyond Meat, Inc. | CCP | 125.00 | 8/16/2019 | USD | 17 | 1,700 | $ | (50,434 | ) | $ | (59,670 | ) | $ | (9,236 | ) | |||||||||||||||
Call - Blink Charging Co. | CCP | 5.00 | 9/20/2019 | USD | 58 | 5,800 | (3,488 | ) | (145 | ) | 3,343 | |||||||||||||||||||
Call - Blink Charging Co. | CCP | 7.50 | 9/20/2019 | USD | 74 | 7,400 | (2,180 | ) | (370 | ) | 1,810 | |||||||||||||||||||
Call - ElectraMeccanica Vehicles Corp. | CCP | 7.50 | 9/20/2019 | USD | 155 | 15,500 | (3,378 | ) | (1,162 | ) | 2,216 | |||||||||||||||||||
Call - ElectraMeccanica Vehicles Corp. | CCP | 5.00 | 9/20/2019 | USD | 481 | 48,100 | (21,004 | ) | (2,405 | ) | 18,599 | |||||||||||||||||||
Call - Canadian Dollar Currency Futures | CCP | 77.00 | 12/6/2019 | USD | 8 | 8,000 | (7,120 | ) | (7,600 | ) | (480 | ) | ||||||||||||||||||
Call - ElectraMeccanica Vehicles Corp. | CCP | 5.00 | 12/20/2019 | USD | 7 | 700 | (276 | ) | (70 | ) | 206 | |||||||||||||||||||
Call - ElectraMeccanica Vehicles Corp. | CCP | 2.50 | 12/20/2019 | USD | 120 | 12,000 | (8,555 | ) | (4,200 | ) | 4,355 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (113,536 | ) | $ | (108,202 | ) | $ | 5,334 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Exchange-Traded Fund Options | ||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Received | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Call - iShares iBoxx High Yield Corporate Bond ETF | CCP | 86.00 | 7/19/2019 | USD | 1 | 100 | $ | (73 | ) | $ | (116 | ) | $ | (43 | ) | |||||||||||||||
Call - iShares iBoxx High Yield Corporate Bond ETF | CCP | 86.00 | 8/16/2019 | USD | 245 | 24,500 | (37,965 | ) | (30,870 | ) | 7,095 | |||||||||||||||||||
Call - iShares iBoxx High Yield Corporate Bond ETF | CCP | 87.00 | 8/16/2019 | USD | 185 | 18,500 | (7,298 | ) | (9,805 | ) | (2,507 | ) | ||||||||||||||||||
Put - iShares iBoxx High Yield Corporate Bond ETF | CCP | 82.00 | 10/18/2019 | USD | 90 | 9,000 | (11,252 | ) | (3,870 | ) | 7,382 | |||||||||||||||||||
Put - iShares ChinaLarge-Cap ETF | CCP | 40.00 | 1/17/2020 | USD | 800 | 80,000 | (310,366 | ) | (121,200 | ) | 189,166 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (366,954 | ) | $ | (165,861 | ) | $ | 201,093 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Index Options | ||||||||||||||||||||||||||||||
Description | Counter- party | Exercise Price | Expiration Date | Currency | Number of Contracts | Notional Amount | Premiums Received | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Put - S&P 500 Index | CCP | 2,870.00 | 7/5/2019 | USD | 2 | 200 | $ | (8,918 | ) | $ | (1,070 | ) | $ | 7,848 | ||||||||||||||||
Put - S&P 500 Index | CCP | 2,880.00 | 7/12/2019 | USD | 2 | 200 | (8,379 | ) | (3,164 | ) | 5,215 | |||||||||||||||||||
Put - S&P 500 Index | CCP | 2,960.00 | 7/19/2019 | USD | 2 | 200 | (7,965 | ) | (9,520 | ) | (1,555 | ) | ||||||||||||||||||
Put - S&P 500 Index | CCP | 2,920.00 | 7/26/2019 | USD | 2 | 200 | (7,955 | ) | (7,955 | ) | - | |||||||||||||||||||
Put - S&P 500 Index | CCP | 2,590.00 | 7/31/2019 | USD | 2 | 200 | (15,838 | ) | (640 | ) | 15,198 | |||||||||||||||||||
Call - CBOE SPX Volatility Index | CCP | 25.00 | 8/21/2019 | USD | 350 | 35,000 | (20,461 | ) | (18,550 | ) | 1,911 | |||||||||||||||||||
Put - S&P 500 Index | CCP | 2,850.00 | 10/18/2019 | USD | 3 | 300 | (22,453 | ) | (18,420 | ) | 4,033 | |||||||||||||||||||
Call - S&P 500 Index | CCP | 3,300.00 | 12/20/2019 | USD | 4 | 400 | (7,138 | ) | (2,460 | ) | 4,678 | |||||||||||||||||||
Put - S&P 500 Index | CCP | 2,850.00 | 12/20/2019 | USD | 3 | 300 | (24,223 | ) | (26,175 | ) | (1,952 | ) | ||||||||||||||||||
Call - S&P 500 Index | CCP | 3,300.00 | 3/20/2020 | USD | 2 | 200 | (2,475 | ) | (3,020 | ) | (545 | ) | ||||||||||||||||||
Call - S&P 500 Index | CCP | 3,400.00 | 6/19/2020 | USD | 2 | 200 | (3,099 | ) | (2,800 | ) | 299 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (128,904 | ) | $ | (93,774 | ) | $ | 35,130 | |||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes
16
American Beacon Ionic Strategic Arbitrage FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Glossary: | ||
Counterparty Abbreviations: | ||
DUB | Deutsche Bank AG | |
Currency Abbreviations: | ||
USD | United States Dollar | |
Index Abbreviations: | ||
CBOE | Chicago Board Options Exchange. | |
S&P 500 | Standard & Poor’s U.S. EquityLarge-Cap Index. | |
Other Abbreviations: | ||
CCP | Central Counterparty Clearing House. | |
ETF | Exchange-Traded Fund. | |
LIBOR | London Interbank Offered Rate. |
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of June 30, 2019, the investments were classified as described below:
Ionic Strategic Arbitrage Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets |
| |||||||||||||||||||||||||||
Common Stocks | $ | 2,058,657 | $ | - | $ | - | $ | 2,058,657 | ||||||||||||||||||||
Warrants | 2,754,285 | - | - | 2,754,285 | ||||||||||||||||||||||||
Corporate Obligations | - | 597,681 | - | 597,681 | ||||||||||||||||||||||||
Convertible Obligations | - | 9,100,635 | - | 9,100,635 | ||||||||||||||||||||||||
Foreign Corporate Obligations | - | 818,118 | - | 818,118 | ||||||||||||||||||||||||
Collateralized Mortgage Obligations | - | 2,051,064 | - | 2,051,064 | ||||||||||||||||||||||||
Investment Companies | 4,544,918 | - | - | 4,544,918 | ||||||||||||||||||||||||
Exchange-Traded Instruments | 753,481 | - | - | 753,481 | ||||||||||||||||||||||||
Short-Term Investments | 5,428,781 | - | - | 5,428,781 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 15,540,122 | $ | 12,567,498 | $ | - | $ | 28,107,620 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Liabilities |
| |||||||||||||||||||||||||||
Common Stocks (Sold Short) | $ | (13,054,547 | ) | $ | - | $ | - | $ | (13,054,547 | ) | ||||||||||||||||||
Exchange-Traded Instruments Sold Short | (1,576,863 | ) | - | - | (1,576,863 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Liabilities | (14,631,410 | ) | - | - | (14,631,410 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities | $ | 908,712 | $ | 12,567,498 | $ | - | $ | 13,476,210 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||||||
Futures Contracts | $ | 705 | $ | - | $ | - | $ | 705 | ||||||||||||||||||||
Swap Contract Agreements | - | 58,207 | - | 58,207 | ||||||||||||||||||||||||
Purchased Options | 1,879,988 | - | - | 1,879,988 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | 1,880,693 | $ | 58,207 | $ | - | $ | 1,938,900 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||||||
Futures Contracts | $ | (27,250 | ) | $ | - | $ | - | $ | (27,250 | ) | ||||||||||||||||||
Swap Contract Agreements | - | (80,547 | ) | - | (80,547 | ) | ||||||||||||||||||||||
Written Options | (367,837 | ) | - | - | (367,837 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Liabilities | $ | (395,087 | ) | $ | (80,547 | ) | $ | - | $ | (475,634 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires transfers between all levels to/from level 3 be disclosed. During the period ended June 30, 2019, there were no transfers into or out of Level 3.
See accompanying notes
17
American Beacon Ionic Strategic Arbitrage FundSM
Statement of Assets and Liabilities
June 30, 2019 (Unaudited)
Assets: |
| |||
Investments in unaffiliated securities, at fair value† | $ | 22,678,839 | ||
Investments in affiliated securities, at fair value‡ | 5,428,781 | |||
Foreign currency, at fair value^ | 3,435 | |||
Foreign currency with brokers, at fair value# | 25,099 | |||
Purchased options contracts outstanding (premiums paid $2,525,525) | 1,879,988 | |||
Foreign currency deposits with brokers for futures contracts, at fair value | 339 | |||
Cash | 4,290 | |||
Cash with brokers | 7,089,111 | |||
Cash collateral held at custodian for the benefit of the broker | 1,610,000 | |||
Dividends and interest receivable | 117,463 | |||
Deposits with broker for futures contracts | 31,801 | |||
Receivable for investments sold | 2,731,015 | |||
Receivable for fund shares sold | 1,258 | |||
Receivable for tax reclaims | 2,894 | |||
Receivable for expense reimbursement (Note 2) | 8,709 | |||
Unrealized appreciation from swap agreements | 58,207 | |||
Prepaid expenses | 62,338 | |||
|
| |||
Total assets | 41,733,567 | |||
|
| |||
Liabilities: |
| |||
Payable for investments purchased | 1,128,964 | |||
Payable for fund shares redeemed | 2,360,883 | |||
Securities sold short, at fair value± | 14,631,410 | |||
Written options contracts, at fair value (premiums received $609,394) | 367,837 | |||
Dividends and interest expense payable | 1,495 | |||
Management andsub-advisory fees payable (Note 2) | 26,403 | |||
Service fees payable (Note 2) | 69 | |||
Transfer agent fees payable (Note 2) | 6,162 | |||
Custody and fund accounting fees payable | 10,767 | |||
Professional fees payable | 151,902 | |||
Trustee fees payable (Note 2) | 4,808 | |||
Payable for prospectus and shareholder reports | 4,196 | |||
Payable for variation margin from open futures contracts (Note 5) | 26,487 | |||
Unrealized depreciation from swap agreements | 80,547 | |||
Other liabilities | 37 | |||
|
| |||
Total liabilities | 18,801,967 | |||
|
| |||
Net assets | $ | 22,931,600 | ||
|
| |||
Analysis of net assets: |
| |||
Paid-in-capital | $ | 50,581,234 | ||
Total distributable earnings (deficits)A | (27,649,634 | ) | ||
|
| |||
Net assets | $ | 22,931,600 | ||
|
| |||
Shares outstanding at no par value (unlimited shares authorized): |
| |||
Institutional Class | 919,426 | |||
|
| |||
Y Class | 2,099,734 | |||
|
| |||
Investor Class | 23,521 | |||
|
| |||
A Class | 14,615 | |||
|
| |||
C Class | 6,420 | |||
|
| |||
Net assets: |
| |||
Institutional Class | $ | 6,892,443 | ||
|
| |||
Y Class | $ | 15,709,280 | ||
|
| |||
Investor Class | $ | 174,384 | ||
|
| |||
A Class | $ | 108,239 | ||
|
| |||
C Class | $ | 47,254 | ||
|
| |||
Net asset value, offering and redemption price per share: |
| |||
Institutional Class | $ | 7.50 | ||
|
| |||
Y Class | $ | 7.48 | ||
|
| |||
Investor Class | $ | 7.41 | ||
|
| |||
A Class | $ | 7.41 | ||
|
| |||
A Class (offering price) | $ | 7.78 | ||
|
| |||
C Class | $ | 7.36 | ||
|
| |||
† Cost of investments in unaffiliated securities | $ | 21,970,388 | ||
‡ Cost of investments in affiliated securities | $ | 5,428,781 | ||
¤ Cost of foreign currency deposits with broker for futures contracts | $ | 340 | ||
# Cost of foreign currency with brokers | $ | 25,299 | ||
^ Cost of foreign currency | $ | 3,381 | ||
± Proceeds of securities sold short | $ | 14,099,153 | ||
A The Fund’s investments in affiliated securities did not have unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
18
American Beacon Ionic Strategic Arbitrage FundSM
Statement of Operations
For the period ended June 30, 2019 (Unaudited)
Investment income: |
| |||
Dividend income from unaffiliated securities (net of foreign taxes)† | $ | 214,050 | ||
Dividend income from affiliated securities (Note 7) | 109,620 | |||
Interest income | 39,647 | |||
|
| |||
Total investment income | 363,317 | |||
|
| |||
Expenses: |
| |||
Management andsub-advisory fees (Note 2) | 176,258 | |||
Transfer agent fees: | ||||
Institutional Class (Note 2) | 2,455 | |||
Y Class (Note 2) | 11,724 | |||
Investor Class | 643 | |||
A Class | 6 | |||
C Class | 3 | |||
Custody and fund accounting fees | 19,475 | |||
Professional fees | 43,661 | |||
Registration fees and expenses | 30,531 | |||
Service fees (Note 2): | ||||
Investor Class | 439 | |||
A Class | 11 | |||
C Class | 41 | |||
Distribution fees (Note 2): | ||||
A Class | 137 | |||
C Class | 289 | |||
Prospectus and shareholder report expenses | 9,657 | |||
Trustee fees (Note 2) | 6,063 | |||
Dividends and interest on securities sold short | 85,601 | |||
Other expenses | 5,462 | |||
|
| |||
Total expenses | 392,456 | |||
|
| |||
Net fees waived and expenses (reimbursed) (Note 2) | (88,900 | ) | ||
|
| |||
Net expenses | 303,556 | |||
|
| |||
Net investment income | 59,761 | |||
|
| |||
Realized and unrealized gain (loss) from investments: |
| |||
Net realized gain from: | ||||
Investments in unaffiliated securitiesA | 1,562,092 | |||
Purchased options contracts | (842,112 | ) | ||
Foreign currency transactions | (4,396 | ) | ||
Futures contracts | 295,911 | |||
Swap agreements | (27,056 | ) | ||
Written options contracts | 76,687 | |||
Short sales | (735,020 | ) | ||
Change in net unrealized appreciation of: | ||||
Investments in unaffiliated securitiesB | 1,842,091 | |||
Purchased options contracts | (502,734 | ) | ||
Foreign currency transactions | 12,056 | |||
Futures contracts | (164,177 | ) | ||
Swap agreements | 16,553 | |||
Written options contracts | 339,708 | |||
Short sales | (1,229,772 | ) | ||
|
| |||
Net gain from investments | 639,831 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 699,592 | ||
|
| |||
† Foreign taxes | $ | 463 | ||
A The Fund did not recognize net realized gains (losses) from the sale of investments in affiliated securities. |
| |||
B The Fund’s investments in affiliated securities did not have a change in unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
19
American Beacon Ionic Strategic Arbitrage FundSM
Statement of Changes in Net Assets
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||
(unaudited) | ||||||||||||
Increase (decrease) in net assets: |
| |||||||||||
Operations: |
| |||||||||||
Net investment income | $ | 59,761 | $ | 1,366,154 | ||||||||
Net realized gain (loss) from investments in unaffiliated securities, purchased options contracts, foreign currency transactions, futures contracts, swap agreements, written options contracts, and short sales | 326,106 | (6,111,630 | ) | |||||||||
Change in net unrealized appreciation of investments in unaffiliated securities, purchased options contracts, foreign currency transactions, futures contracts, swap agreements, written options contracts, and short sales | 313,725 | 2,484,943 | ||||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 699,592 | (2,260,533 | ) | |||||||||
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||
Total retained earnings: | ||||||||||||
Institutional Class | - | (917,084 | ) | |||||||||
Y Class | - | (2,401,637 | ) | |||||||||
Investor Class | - | (75,180 | ) | |||||||||
A Class | - | (9,603 | ) | |||||||||
C Class | - | (4,388 | ) | |||||||||
|
|
|
| |||||||||
Net distributions to shareholders | - | (3,407,892 | ) | |||||||||
|
|
|
| |||||||||
Capital share transactions (Note 10): |
| |||||||||||
Proceeds from sales of shares | 5,914,560 | 17,689,908 | ||||||||||
Reinvestment of dividends and distributions | - | 3,397,962 | ||||||||||
Cost of shares redeemed | (15,364,815 | ) | (82,447,032 | ) | ||||||||
|
|
|
| |||||||||
Net (decrease) in net assets from capital share transactions | (9,450,255 | ) | (61,359,162 | ) | ||||||||
|
|
|
| |||||||||
Net (decrease) in net assets | (8,750,663 | ) | (67,027,587 | ) | ||||||||
|
|
|
| |||||||||
Net assets: |
| |||||||||||
Beginning of period | 31,682,263 | 98,709,850 | ||||||||||
|
|
|
| |||||||||
End of period | $ | 22,931,600 | $ | 31,682,263 | ||||||||
|
|
|
|
See accompanying notes
20
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) is organized as a Massachusetts business trust. The Fund, a series within the Trust, is registered under the Investment Company Act of 1940, as amended (the “Act”) as anon-diversified,open-end management investment company. As of June 30, 2019, the Trust consists of thirty-three active series, one of which is presented in this filing: American Beacon Ionic Strategic Arbitrage Fund (the “Fund”). The remainingthirty-two active series are reported in separate filings.
American Beacon Advisors, Inc. (the “Manager”) is a Delaware corporation and a wholly-owned subsidiary of Resolute Investment Managers, Inc. (“RIM”) organized in 1986 to provide business management, advisory, administrative, and asset management consulting services to the Trust and other investors. The Manager is registered as an investment advisor under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). RIM is, in turn, a wholly-owned subsidiary of Resolute Acquisition, Inc., which is a wholly-owned subsidiary of Resolute Topco, Inc., a wholly-owned subsidiary of Resolute Investment Holdings, LLC (“RIH”). RIH is owned primarily by Kelso Investment Associates VIII, L.P., KEP VI, LLC and Estancia Capital Partners L.P., investment funds affiliated with Kelso & Company, L.P. (“Kelso”) or Estancia Capital Management, LLC (“Estancia”), which are private equity firms.
Recently Adopted Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”)2017-08,Premium Amortization of Purchased Callable Debt Securities. The amendments in the ASU shorten the premium amortization period on a purchased callable debt security from the security’s contractual life to the earliest call date. It is anticipated that this change will enhance disclosures by reducing losses recognized when a security is called on an earlier date. This ASU is effective for fiscal years beginning after December 15, 2018. The Manager continues to evaluate the impact this ASU will have on the financial statements and other disclosures.
In August 2018, the FASB issued ASU2018-13,Fair Value Measurement (“Topic 820”). The amendments in the ASU impact disclosure requirements for fair value measurement. It is anticipated that this change will enhance the effectiveness of disclosures in the notes to the financial statements. This ASU is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted and can include the entire standard or certain provisions that exclude or amend disclosures. For the period ended June 30, 2019, the Fund has chosen to adopt the standard. The adoption of this ASU guidance did not have a material impact on the financial statements and other disclosures.
Class Disclosure
The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class | Eligible Investors | Minimum Initial Investments | ||||
Institutional | Large institutional investors - sold directly or through intermediary channels. | $ | 250,000 | |||
Y Class | Large institutional retirement plan investors - sold directly or through intermediary channels. | $ | 100,000 | |||
Investor | All investors using intermediary organizations, such as broker-dealers or retirement plan sponsors. | $ | 2,500 | |||
A Class | All investors who invest through intermediary organizations, such as broker-dealers or third-party administrator. Retail investors who invest directly through a financial intermediary such as a broker, bank, or registered investment advisor which may include afront-end sales charge and a contingent deferred sales charge (“CDSC”). | $ | 2,500 | |||
C Class | Retail investors who invest directly through a financial intermediary such as a broker or through employee directed benefit plans with applicable sales charges which may include CDSC. | $ | 1,000 |
21
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Each class offered by the Trust has equal rights as to assets and voting privileges. Income andnon-class specific expenses are allocated daily to each class based on the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include service, distribution, transfer agent fees, andsub-transfer agent fees that vary amongst the classes as described more fully in Note 2.
Significant Accounting Policies
The following is a summary of significant accounting policies, consistently followed by the Fund in preparation of the financial statements. The Fund is considered an investment company and accordingly, follows the investment company accounting and reporting guidance of the FASB Accounting Standards Codification Topic 946,Financial Services – Investment Companies,a part of Generally Accepted Accounting Principles (“U.S. GAAP”).
Security Transactions and Investment Income
Security transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date.
Dividend income, net of foreign taxes, is recorded on theex-dividend date, except certain dividends from foreign securities which are recorded as soon as the information is available to the Fund. Interest income, net of foreign taxes, is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. Realized gains (losses) from securities sold are determined based on specific lot identification.
Distributions to Shareholders
Distributions, if any, of net investment income are generally paid at least annually and recorded on theex-dividend date. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on theex-dividend date. Dividends to shareholders are determined in accordance with federal income tax regulations, which may differ in amount and character from net investment income and realized gains recognized for purposes of U.S. GAAP. To the extent necessary to fully distribute capital gains, the Fund may designate earnings and profits distributed to shareholders on the redemption of shares.
Allocation of Income, Trust Expenses, Gains, and Losses
Investment income, realized and unrealized gains and losses from investments of the Fund is allocated daily to each class of shares based upon the relative proportion of net assets of each class to the total net assets of the Fund. Expenses directly charged or attributable to the Fund will be paid from the assets of the Fund. Generally, expenses of the Trust will be allocated among and charged to the assets of the Fund on a basis that the Trust’s Board of Trustees (the “Board”) deems fair and equitable, which may be based on the relative net assets of the Fund or nature of the services performed and relative applicability to the Fund.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust
22
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
2. Transactions with Affiliates
Management and InvestmentSub-Advisory Agreements
The Fund and the Manager are parties to a Management Agreement that obligates the Manager to provide the Fund with investment advisory and administrative services. As compensation for performing the duties under the Management Agreement, the Manager will receive an annualized management fee based on a percentage of the Fund’s average daily net assets that is calculated and accrued daily, equal to 0.35%.
The Trust, on behalf of the Fund, and the Manager have entered into Investment Advisory Agreements with Ionic Capital Management LLC (the“Sub-Advisors”) for the Ionic Strategic Arbitrage Fund pursuant to which the Fund has agreed to pay an annualizedsub-advisory fee that is calculated and accrued daily equal to 0.80% of the Fund’s average daily net assets.
The Management andSub-Advisory Fees paid by the Fund for the period ended June 30, 2019 were as follows:
Ionic Strategic Arbitrage Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||||||
Management Fees | 0.35 | % | $ | 53,644 | ||||||||||||
Sub-Advisor Fees | 0.80 | % | 122,614 | |||||||||||||
|
|
|
| |||||||||||||
Total | 1.15 | % | $ | 176,258 | ||||||||||||
|
|
|
|
Distribution Plans
The Fund, except for the A and C Classes of the Fund, has adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule12b-1 under the Act, pursuant to which no separate fees may be charged to the Fund for distribution purposes. However, the Plan authorizes the management fee received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.
Separate Distribution Plans (the “Distribution Plans”) have been adopted pursuant to Rule12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plans, as compensation for distribution and shareholder servicing assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into a Service Plan that obligates the Manager to oversee additional shareholder servicing of the Investor, A, and C Classes. of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee up to 0.25% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund.
23
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Sub-Transfer Agent Fees
The Manager has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Institutional and Y Classes of the Fund and has agreed to compensate the intermediaries for providing these services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. Certain services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly by the Fund’s transfer agent. Accordingly, the Fund, pursuant to Board approval, has agreed to reimburse the Manager for certainnon-distribution shareholder services provided by financial intermediaries for the Institutional and Y Classes. The reimbursement amounts(sub-transfer agent fees) paid to the Manager are subject to a fee limit of up to 0.10% of an intermediary’s average net assets in the Institutional and Y Classes on an annual basis. During the period ended June 30, 2019, thesub-transfer agent fees, as reflected in “Transfer agent fees” on the Statement of Operations, were as follows:
Fund | Sub-Transfer Agent Fees | |||
Ionic Strategic Arbitrage | $ | 13,481 |
As of June 30, 2019, the Fund owed the Manager the following reimbursement ofsub-transfer agent fees, as reflected in “Transfer agent fees payable” on the Statement of Assets and Liabilities:
Fund | Reimbursement Sub-Transfer Agent Fees | |||
Ionic Strategic Arbitrage | $ | 5,657 |
Investments in Affiliated Funds
The Fund may invest in the American Beacon U.S. Government Money Market Select Fund (the “USG Select Fund”). The Fund and the USG Select Fund have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the USG Select Fund and receives management fees and administrative fees totaling 0.10% of the average daily net assets of the USG Select Fund. During the period ended June 30, 2019, the Manager earned fees on the Fund’s direct investments in the USG Select Fund as shown below:
Fund | Direct Investments in USG Select Fund | |||
Ionic Strategic Arbitrage | $ | 4,716 |
Interfund Credit Facility
Pursuant to an exemptive order issued by the SEC, the Fund, along with other registered investment companies having management contracts with the Manager, may participate in a credit facility whereby each fund, under certain conditions, is permitted to lend money directly to and borrow directly from other participating funds for temporary purposes. The interfund credit facility is advantageous to the funds because it provides added liquidity and eliminates the need to maintain higher cash balances to meet redemptions. This situation could arise when shareholder redemptions exceed anticipated volumes and certain funds have insufficient cash on hand to satisfy such redemptions or when sales of securities do not settle as expected, resulting in a cash shortfall for a fund. When a fund liquidates portfolio securities to meet redemption requests, they often do not receive payment in settlement for up to two days (or longer for certain foreign transactions). Redemption requests normally are satisfied on the next business day. The credit facility provides a source of immediate, short-term liquidity pending settlement of the sale of portfolio securities. The credit facility is administered by a credit facility team consisting of professionals from the Manager’s asset management, compliance, and accounting areas who report the activities of the credit facility to the Board. During the period ended June 30, 2019, the Fund did not utilize the credit facility.
24
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Expense Reimbursement Plan
The Manager contractually agreed to reduce fees and/or reimburse expenses for the classes of the Fund to the extent that total operating expenses exceed the Fund’s expense cap. During the period ended June 30, 2019, the Manager waived and/or reimbursed expenses as follows:
Fund | Class | Expense Cap | Reimbursed Expenses | (Recouped) Expenses | Expiration of Reimbursed Expenses | |||||||||||||
1/1/2019 - 6/30/2019 | ||||||||||||||||||
Ionic Strategic Arbitrage | Institutional | 1.34 | % | $ | 23,014 | $ | - | 2022 | ||||||||||
Ionic Strategic Arbitrage | Y | 1.44 | % | 63,968 | - | 2022 | ||||||||||||
Ionic Strategic Arbitrage | Investor | 1.72 | % | 1,515 | - | 2022 | ||||||||||||
Ionic Strategic Arbitrage | A | 1.74 | % | 240 | - | 2022 | ||||||||||||
Ionic Strategic Arbitrage | C | 2.49 | % | 163 | - | 2022 |
Of these amounts, $8,709 was disclosed as a receivable from the Manager on the Statement of Assets and Liabilities at June 30, 2019.
The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of such fee reductions and expense reimbursements. Under the policy, the Manager can be reimbursed by the Fund for any contractual or voluntary fee reductions or expense reimbursements if reimbursement to the Manager (a) occurs within three years after the Manager’s own waiver or reimbursement and (b) does not cause the Fund’s annual operating expenses to exceed the lesser of the contractual percentage limit in effect at the time of the waiver/reimbursement or time of recoupment. The reimbursed expenses listed above will expire in 2022. The Fund did not record a liability for potential reimbursement due to the current assessment that a reimbursement is uncertain. The carryover of excess expenses potentially reimbursable to the Manager, but not recorded as a liability are as follows:
Fund | Recouped Expenses | Excess Expense Carryover | Expired Expense Carryover | Expiration of Reimbursed Expenses | ||||||||||||
Ionic Strategic Arbitrage | $ | - | $ | 33,392 | $ | - | 2019 | |||||||||
Ionic Strategic Arbitrage | - | 207,392 | - | 2020 | ||||||||||||
Ionic Strategic Arbitrage | - | 193,214 | - | 2021 |
Sales Commissions
The Fund’s Distributor, Resolute Investment Distributors, Inc. (“RID” or “Distributor”), may receive a portion of Class A sales charges from broker dealers and it may be used to offset distribution related expenses. During the period ended June 30, 2019, there were no sales charges collected by RID from the sale of Class A Shares of the Fund.
A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Fund’s Prospectus. Any applicable CDSC will be 0.50% of the lesser of the original purchase price or the value of the redemption of the Class A Shares redeemed. During the period ended June 30, 2019, there were no CDSC fees collected for Class A Shares of the Fund.
A CDSC of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Fund’s Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. During the period ended June 30, 2019, there were no CDSC fees collected for Class C Shares of the Fund.
25
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Trustee Fees and Expenses
As compensation for their service to the Trusts, each Trustee receives an annual retainer of $120,000, plus $10,000 for each Board meeting attended in person or via teleconference, $2,500 for attendance by Committee members at meetings of the Audit Committee and the Investment Committee, and $1,500 for attendance by Committee members at meetings of the Nominating and Governance Committee, plus reimbursement of reasonable expenses incurred in attending Board meetings, Committee meetings, and relevant educational seminars. The Trustees also may be compensated for attendance at special Board and/or Committee meetings from time to time. The Board Chair receives an additional annual retainer of $50,000 as well as a $2,500 fee each quarter for attendance at the committee meetings. The Chairpersons of the Audit Committee and the Investment Committee each receive an additional annual retainer of $25,000 and the Chairman of the Nominating and Governance Committee receives an additional annual retainer of $10,000. These expenses are allocated on a prorated basis to each fund of the Trusts according to its respective net assets.
3. Security Valuation and Fair Value Measurements
The price of the Fund’s shares is based on the Fund’s Net Asset Value (“NAV”). The NAV of the Fund, or each of its share classes, as applicable, is determined by dividing the total value of portfolio investments and other assets, less any liabilities attributable to the Fund or class, by the total number of shares outstanding of the Fund or class.
Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally at 4:00 p.m. Eastern Time, each day that the Exchange is open for business. Equity securities, including exchange-traded funds (“ETFs”) for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade.
Debt securities normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such asinstitution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Prices of debt securities may be determined using quotes obtained from brokers.
Investments inopen-end mutual funds are valued at the closing NAV per share of the mutual fund on the day of valuation.
Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board.
For valuation purposes, the last quoted prices ofnon-U.S. equity securities may be adjusted under the circumstances described below. If the Manager determines that developments between the close of a foreign market and the close of the Exchange will, in its judgment, materially affect the value of some or all of its portfolio securities, the Manager will adjust the previous closing prices to reflect what it believes to be the fair value of the securities as of the close of the Exchange. In deciding whether it is necessary to adjust closing prices to reflect fair value, the Manager reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. In addition, the Fund may use fair value pricing for securities primarily traded innon-U.S. markets because most foreign markets close well before the Fund’s pricing time of 4:00 p.m. Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. These securities are fair valued using a pricing service and are categorized as Level 2 in the fair value hierarchy. The pricing service, using methods approved by the Board, considers the correlation of the trading patterns of the foreign security to intraday trading in the U.S. markets, based on indices of domestic securities and
26
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
other appropriate indicators such as prices of relevant American Depository Receipts (“ADRs”) and futures contracts. The Valuation Committee, established by the Board, may also fair value securities in other situations, such as when a particular foreign market is closed but a Fund is open. The Fund uses outside pricing services to provide closing prices and information to evaluate and/or adjust those prices. As a means of evaluating its security valuation process, the Valuation Committee routinely compares closing prices, the next day’s opening prices in the same markets, and adjusted prices.
Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to deposit with their futures broker, an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts aremarked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized, but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities.
Other investments, including restricted securities and those financial instruments for which the above valuation procedures are inappropriate or are deemed not to reflect fair value, are stated at fair value, as determined in good faith by the Manager’s Valuation Committee, pursuant to procedures established by the Board.
Valuation Inputs
Various inputs may be used to determine the fair value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 | - | Quoted prices in active markets for identical securities. | ||
Level 2 | - | Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. | ||
Level 3 | - | Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Common stocks, ETFs, preferred securities, and financial derivative instruments, such as futures contracts or options that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are generally categorized as Level 2 of the fair value hierarchy. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the Exchange. These securities are valued using pricing service providers that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Fixed-income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities, andnon-U.S. bonds are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates, and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. Fixed-income securities purchased on a delayed-delivery basis aremarked-to-market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
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Notes to Financial Statements
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Mortgage-related and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows, and market-based yield spreads for each tranche, and incorporates deal collateral performance, as available. Mortgage-related and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Investments in registeredopen-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
OTC financial derivative instruments, such as forward foreign currency contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers. Depending on the product and the terms of the transaction, the fair value of the financial derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends, and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
4. Securities and Other Investments
Agency Mortgage-Backed Securities
Certain mortgage-backed securities (“MBS”) may be issued or guaranteed by the U.S. government or a government sponsored entity, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”). Although these instruments may be guaranteed by the U.S. government or a government sponsored entity, many such MBS are not backed by the full faith and credit of the United States and are still exposed to the risk ofnon-payment.
American Depositary Receipts
ADRs are depositary receipts for foreign issuers in registered form traded in U.S. securities markets. Depositary receipts may not be denominated in the same currency as the securities into which they may be converted. Investing in depositary receipts entails substantially the same risks as direct investment in foreign securities. There is generally less publicly available information about foreign companies and there may be less governmental regulation and supervision of foreign stock exchanges, brokers, and listed companies. In addition, such companies may use different accounting and financial standards (and certain currencies may become unavailable for transfer from a foreign currency), resulting in the Fund’s possible inability to convert immediately into U.S. currency proceeds realized upon the sale of portfolio securities of the affected foreign companies. In addition, the Fund may invest in unsponsored depositary receipts, the issuers of which are not obligated to disclose material information about the underlying securities to investors in the United States. Ownership of unsponsored depositary receipts may not entitle the Fund to the same benefits and rights as ownership of a sponsored depositary receipt or the underlying security.
Common Stock
Common stock generally takes the form of shares in a corporation which represent an ownership interest. It ranks below preferred stock and debt securities in claims for dividends and for assets of the company in a liquidation or bankruptcy. The value of a company’s common stock may fall as a result of factors directly relating to that company, such as decisions made by its management or decreased demand for the company’s products or services. A stock’s value may also decline because of factors affecting not just the company, but also companies in
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Notes to Financial Statements
June 30, 2019 (Unaudited)
the same industry or sector. The price of a company’s stock may also be affected by changes in financial markets that are relatively unrelated to the company, such as changes in interest rates, currency exchange rates or industry regulation. Companies that elect to pay dividends on their common stock generally only do so after they invest in their own business and make required payments to bondholders and on other debt and preferred stock. Therefore, the value of a company’s common stock will usually be more volatile than its bonds, other debt and preferred stock. Common stock may be exchange-traded or OTC. OTC stock may be less liquid than exchange-traded stock.
Convertible Securities
Convertible securities include corporate bonds, notes, preferred stock or other securities that may be converted into or exchanged for a prescribed amount of common stock of the same or a different issuer within a particular period of time at a specified price or formula. A convertible security entitles the holder to receive interest paid or accrued on debt or dividends paid on preferred stock until the convertible security matures or is redeemed, converted or exchanged. While no securities investment is without some risk, investments in convertible securities generally entail less risk than the issuer’s common stock, although the extent to which such risk is reduced depends in large measure upon the degree to which the convertible security sells above its value as a fixed income security. The market value of convertible securities tends to decline as interest rates increase and, conversely, to increase as interest rates decline. While convertible securities generally offer lower interest or dividend yields thannon-convertible debt securities of similar quality, they do enable the investor to benefit from increases in the market price of the underlying common stock. Holders of convertible securities have a claim on the assets of the issuer prior to the common stockholders, but may be subordinated to holders of similarnon-convertible securities of the same issuer. Because of the conversion feature, certain convertible securities may be considered equity equivalents.
Exchange-Traded Notes
The Fund may invest in Exchange-Traded Notes (“ETNs”). ETNs are debt obligations that are traded on exchanges and the returns of which are linked to the performance of market indexes. In addition to trading ETNs on exchanges, investors may redeem ETNs directly with the issuer on a weekly basis, typically in a minimum amount of 50,000 units, or hold the ETNs until maturity. ETNs may be riskier than ordinary debt securities and may have no principal protection. The Fund’s investment in an ETN may be influenced by many unpredictable factors, including highly volatile commodities prices, changes in supply and demand relationships, weather, agriculture, trade, changes in interest rates, and monetary and other governmental policies, action and inaction. Investing in ETNs is not equivalent to investing directly in index components or the relevant index itself. Because ETNs are debt securities, they possess credit risk; if the issuer has financial difficulties or goes bankrupt, the investor may not receive the return it was promised. Because ETNs are unsecured, unsubordinated debt securities, an investment in an ETN exposes the Fund to the risk that an ETN’s issuer may be unable to repay the note upon maturity. As a result, the value of the ETN may decline, including to zero. In addition, as with investments in ETFs and investment companies, the Fund will bear its proportionate share of the fees and expenses of the ETN, which may cause the Fund’s operating expenses to be higher and its performance to be lower than it would if it invested directly in the securities of the index or other reference assets of the ETN. There may be times when an ETN share trades at a premium or discount to its market benchmark. The Fund’s decision to sell its ETN holdings may be limited by the availability of a liquid market. If the Fund must sell some or all of its ETN holdings and the market for such ETN is weak, it may have to sell such holdings at a discount.
Fixed-Income Investments
The Fund may hold debt, including government and corporate debt, and other fixed-income securities. Typically, the values of fixed-income securities change inversely with prevailing interest rates. Therefore, a fundamental risk of fixed-income securities is interest rate risk, which is the risk that their value will generally decline as prevailing interest rates rise, which may cause the Fund’s NAV to likewise decrease, and vice versa. How specific fixed-income securities may react to changes in interest rates will depend on the specific characteristics of
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American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
each security. For example, while securities with longer maturities tend to produce higher yields, they also tend to be more sensitive to changes in prevailing interest rates and are, therefore, more volatile than shorter-term securities and are subject to greater market fluctuations as a result of changes in interest rates. Fixed-income securities are also subject to credit risk, which is the risk that the credit strength of an issuer of a fixed-income security will weaken and/or that the issuer will be unable to make timely principal and interest payments and that the security may go into default. In addition, there is prepayment risk, which is the risk that during periods of falling interest rates, certain fixed-income securities with higher interest rates, such as MBS and ABS, may be prepaid by their issuers thereby reducing the amount of interest payments. This may result in a Fund having to reinvest its proceeds in lower yielding securities. Securities underlying MBS and ABS, which may include subprime mortgages, also may be subject to a higher degree of credit risk, valuation risk, and liquidity risk.
Foreign Securities
The Fund may invest in U.S. dollar-denominated andnon-U.S. dollar denominated equity and debt securities of foreign issuers and foreign branches of U.S. banks, including negotiable certificates of deposit (“CDs”), bankers’ acceptances, and commercial paper. Foreign issuers are issuers organized and doing business principally outside the United States and include corporations, banks,non-U.S. governments, and quasi-governmental organizations. While investments in foreign securities may be intended to reduce risk by providing further diversification, such investments 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 or social instability, nationalization, expropriation, or confiscatory taxation); the potentially adverse effects of unavailability of public information regarding issuers, different 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; different laws and customs governing securities tracking; and possibly limited access to the courts to enforce the Fund’s rights as an investor.
Illiquid and Restricted Securities
Generally, an illiquid asset is an asset that the Funds reasonably expect cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, as determined pursuant to Rule22e-4 under the Investment Company Act or as otherwise permitted or required by SEC rules and interpretations. Historically, illiquid securities have included securities that have not been registered under the Securities Act, securities that are otherwise not readily marketable, and repurchase agreements having a remaining maturity of longer than seven calendar days. Securities that have not been registered under the Securities Act are referred to as private placements or restricted securities and are purchased directly from the issuer or in the secondary market. These securities may be sold only in a privately negotiated transaction or pursuant to an exemption from registration. A large institutional market exists for certain securities that are not registered under the Securities Act, including repurchase agreements, commercial paper, foreign securities, municipal securities and corporate bonds and notes. Institutional investors depend on an efficient institutional market in which the unregistered security can be readily resold or on an issuer’s ability to honor a demand for repayment. However, the fact that there are contractual or legal restrictions on resale of such investments to the general public or to certain institutions may not be indicative of their liquidity.
Limitations on resale may have an adverse effect on the marketability of portfolio securities, and the Fund might be unable to dispose of restricted or other illiquid securities promptly or at reasonable prices and might thereby experience difficulty satisfying redemptions within seven calendar days. In addition, the Fund may get only limited information about an issuer, so it may be less able to predict a loss. The Fund also might have to register such restricted securities in order to dispose of them resulting in additional expense and delay. Adverse market conditions could impede such a public offering of securities. In recognition of the increased size and liquidity of the institutional market for unregistered securities and the importance of institutional investors in the formation of
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American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
capital, the SEC adopted Rule 144A under the Securities Act. Rule 144A is designed to facilitate efficient trading among institutional investors by permitting the sale of certain unregistered securities to qualified institutional buyers. To the extent privately placed securities held by the Fund qualify under Rule 144A and an institutional market develops for those securities, the Fund likely will be able to dispose of the securities without registering them under the Securities Act. To the extent that institutional buyers become, for a time, uninterested in purchasing these securities, investing in Rule 144A securities could increase the level of the Fund’s illiquidity. The Manager or thesub-advisor, as applicable, may determine that certain securities qualified for trading under Rule 144A are liquid. Regulation S under the Securities Act permits the sale abroad of securities that are not registered for sale in the United States and includes a provision for U.S. investors, such as the Fund, to purchase such unregistered securities if certain conditions are met.
Securities sold in private placement offerings made in reliance on the “private placement” exemption from registration afforded by Section 4(a)(2) of the Securities Act and resold to qualified institutional buyers under Rule 144A under the Securities Act (“Section 4(a)(2) securities”) are restricted as to disposition under the federal securities laws, and generally are sold to institutional investors, such as the Fund, that agree they are purchasing the securities for investment and not with an intention to distribute to the public. Any resale by the purchaser must be pursuant to an exempt transaction and may be accomplished in accordance with Rule 144A. Section 4(a)(2) securities normally are resold to other institutional investors through or with the assistance of the issuer or dealers that make a market in the Section 4(a)(2) securities, thus providing liquidity. Restricted securities outstanding during the period ended June 30, 2019 are disclosed in the Notes to the Schedule of Investments.
Interest-Only and Principal-Only Mortgage-Backed Securities
Stripped mortgage-backed securities (“SMBS”) are derivative multi-class mortgage securities. SMBS may be issued by agencies or instrumentalities of the U.S. Government and private originators of, or investors in, mortgage loans, including savings and loan associations, mortgage banks, commercial banks, investment banks and special purpose entities of the foregoing. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. A common type of SMBS will have one class receiving some of the interest and most of the principal from the mortgage assets, while the other class will receive most of the interest and the remainder of the principal. In the most extreme case, one class will receive all of the interest (the “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). The yield to maturity on an IO class is extremely sensitive to the rate of principal payments (includingpre-payments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on a Fund’s yield to maturity from these securities. If the underlying mortgage assets experience greater than anticipatedpre-payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities even if the security is in one of the highest rating categories.
Interest-only instruments generally increase in value in a rising interest rate environment, which typically results in a slower rate of prepayments on the underlying mortgages and extends the period during which interest payments are required to be made on the IO security. Interest only securities are subject to prepayment risk, which is the risk that prepayments will accelerate in a declining interest rate environment and will reduce the number of remaining interest payments even though there is no default on the underlying mortgages. Principal only instruments generally increase in value in a declining interest rate environment, which typically results in a faster rate of prepayments on the underlying mortgages. Since a PO security is usually purchased at a discount, faster prepayments result in a higher rate of return when the face value of the security is paid back sooner than expected.
Mortgage-Backed Securities
MBS often have stated maturities of up to thirty years when they are issued, depending upon the length of the mortgages underlying the securities. In practice however, unscheduled or early payments of principal and interest on the underlying mortgages may make the securities’ effective maturity shorter than this, and the prevailing interest rates may be higher or lower than the current yield of the Fund’s portfolio at the time resulting in reinvestment risk.
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Notes to Financial Statements
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Rising or high interest rates may result in slower than expected principal payments which may tend to extend the duration of MBS, making them more volatile and more sensitive to changes in interest rates. This is known as extension risk.
MBS may have less potential for capital appreciation than comparable fixed-income securities due to the likelihood of increased prepayments of mortgages resulting from foreclosures or declining interest rates. These foreclosed or refinanced mortgages are paid off at face value (par) or less, causing a loss, particularly for any investor who may have purchased the security at a premium or a price above par. In such an environment, this risk limits the potential price appreciation of these securities.
Mortgage-Related and Other Asset-Backed Securities
The Fund may invest in mortgage-backed securities consisting of collateralized mortgage obligations and mortgage pass-through certificates. These securities may include mortgage instruments issued by U.S. government agencies (“agency mortgages”) or those issued by private entities(“non-agency mortgages”). Specific types of instruments may include commercial mortgage-backed securities (“CMBS”), collateralized mortgage obligations (“CMOs”), mortgage pass-through securities, mortgage dollar rolls, CMO residuals or stripped mortgage-backed securities (“SMBS”).
Other Investment Company Securities and Other Exchange-Traded Products
The Fund may invest in shares of other investment companies, including money market funds and ETFs. The Fund may invest in securities of an investment company advised by the Manager or asub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, the Fund become a shareholder of that investment company. As a result, the Fund’s shareholders indirectly will bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses the Fund’s shareholders directly bear in connection with the Fund’s own operations. These other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Fund in their Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.
The Fund can invest free cash balances in registeredopen-end investment companies regulated as money market funds under the Investment Company Act, to provide liquidity or for defensive purposes. The Fund could invest in money market funds rather than purchasing individual short-term investments. If the Fund invests in money market funds, shareholders will bear their proportionate share of the expenses, including for example, advisory and administrative fees, of the money market funds in which the Fund invests, including advisory fees charged by the Manager to any applicable money market funds advised by the Manager.
Preferred Stock
A preferred stock blends the characteristics of a bond and common stock. It can offer the higher yield of a bond and has priority over common stock in equity ownership, but does not have the seniority of a bond and its participation in the issuer’s growth may be limited. Preferred stock generally has preference over common stock in the receipt of dividends and in any residual assets after payment to creditors should the issuer be dissolved. Although the dividend is set at a fixed or variable rate, in some circumstances it can be changed or omitted by the issuer. Preferred stocks are subject to the risks associated with other types of equity securities, as well as additional risks, such as credit risk, interest rate risk, potentially greater volatility and risks related to deferral,non-cumulative dividends, subordination, liquidity, limited voting rights, and special redemption rights.
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Notes to Financial Statements
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Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. The Fundre-characterizes distributions received from REIT investments based on information provided by the REITs into the following categories: ordinary income, long-term capital gains, and return of capital. If information is not available on a timely basis from the REITs, there-characterization will be estimated based on available information, which may include the previous year allocation. If new or additional information becomes available from the REITs at a later date, are-characterization will be made the following year.
Rights and Warrants
Rights are short-term warrants issued in conjunction with new stock or bond issues. Warrants are options to purchase an issuer’s securities at a stated price during a stated term. If the market price of the underlying common stock does not exceed the warrant’s exercise price during the life of the warrant, the warrant will expire worthless. Warrants usually have no voting rights, pay no dividends and have no rights with respect to the assets of the corporation issuing them. The percentage increase or decrease in the value of a warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may be purchased with values that vary depending on the change in value of one or more specified indices (“index warrants”). Index warrants are generally issued by banks or other financial institutions and give the holder the right, at any time during the term of the warrant, to receive upon exercise of the warrant a cash payment from the issuer based on the value of the underlying index at the time of the exercise. The market for warrants or rights may be very limited and it may be difficult to sell them promptly at an acceptable price. There is no specific limit on the percentage of assets the Fund may invest in rights and warrants.
Short Sales
The Fund may enter into short sale transactions. A short sale is a transaction in which a Fund sells a security it does not own in anticipation of a decline in the market price of the security. Securities sold in short sale transactions and the dividends and interest payable on such securities, if any, are reflected as a liability. A Fund is obligated to deliver the security at the market price at the time the short position is closed. The risk of loss on a short sale transaction is theoretically unlimited, because there is no limit to the cost of replacing the security sold short, whereas losses from purchase transactions cannot exceed the total amount invested. As of June 30, 2019, short positions were held by the Fund and are disclosed in the Schedule of Investments.
Special Purpose Acquisition Company
A special purpose acquisition company (“SPAC”) is a collective investment structure that allows public stock market investors to invest in private equity type transactions, particular leveraged buyouts. SPACs are shell or blank-check companies, governed by the SEC, that have no operations but go public with the intention of merging with or acquiring a company with the proceeds of the SPAC’s initial public offering (“IPO”). For the period ended June 30, 2019, the Fund did not hold SPAC securities in the portfolio.
U.S. Treasury Obligations
U.S. Treasury obligations include bills (initial maturities of one year or less), notes (initial maturities between two and ten years), and bonds (initial maturities over ten years) issued by the U.S. Treasury, Separately Traded Registered Interest and Principal component parts of such obligations (known as “STRIPS”) and inflation-indexed securities. The prices of these securities (like all debt securities) change between issuance and maturity in response to fluctuating market interest rates. U.S. Treasury obligations are subject to credit risk and interest rate risk.
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American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Variable or Floating Rate Obligations
The coupon on certain fixed-income securities in which the Fund may invest is not fixed and may fluctuate based upon changes in market rates. The coupon on a floating rate security is generally based on an interest rate such as a money market index, LIBOR or a Treasury bill rate. A variable rate obligation has an interest rate which is adjusted at predesignated periods in response to changes in the market rate of interest on which the interest rate is based. Variable and floating rate obligations are less effective than fixed rate obligations at locking in a particular yield. Nevertheless, such obligations may fluctuate in value in response to interest rate changes if there is a delay between changes in market interest rates and the interest reset date for the obligation, or for other reasons.
As short-term interest rates decline, the coupons on floating rate securities typically decrease. Alternatively, during periods of increasing interest rates, changes in the coupons of floating rate securities may lag behind changes in market rates or may have limits on the maximum increases in the coupon rates. The value of floating rate securities may decline if their coupons do not rise as much, or as quickly, as interest rates in general. Floating rate securities will not generally increase in value if interest rates decline.
5. Financial Derivative Instruments
The Fund may utilize derivative instruments to gain market exposure on cash balances or reduce market exposure in anticipation of liquidity needs. When considering the Funds’ use of derivatives, it is important to note that the Fund does not use derivatives for the purpose of creating financial leverage.
Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Fund may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities or that the counterparty will fail to perform its obligations.
Upon entering into a futures contract, the Fund is required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents a portion of the face value of the futures contract. The Fund usually reflects this amount on the Schedule of Investments as a U.S. Treasury Bill held as collateral for futures contracts or as cash deposited with broker on the Statement of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.
During the period ended June 30, 2019, the Fund entered into futures contracts primarily for hedging purposes.
The Fund’s average futures contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of futures contracts. For the purpose of this disclosure, volume is measured by contracts outstanding at each quarter end.
Average Futures Contracts Outstanding | ||||
Fund | Period Ended June 30, 2019 | |||
Ionic Strategic Arbitrage | 17 |
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American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Options Contracts
The Fund may write (1) call and put options on futures, swaps (“swaptions”), securities, commodities or currencies it owns or in which it may invest and (2) inflation-capped options. Writing put options tends to increase the Fund’s exposure to unfavorable movements of the underlying instrument in exchange for an upfront premium. Writing call options tends to decrease the Fund’s exposure to favorable movements of the underlying instrument in exchange for an upfront premium. When the Fund writes a call, put, or inflation-capped option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. The purpose of inflation-capped options is to protect the buyer from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products. These liabilities are reflected as written options outstanding on the Statement of Assets and Liabilities. Certain options may be written with premiums to be determined on a future date. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain or loss when the underlying transaction is sold. The Fund, as a writer of an option has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.
The Fund may also purchase put and call options. Purchasing call options tends to increase the Fund’s exposure to favorable movements of the underlying instrument in exchange for paying an upfront premium. Purchasing put options tends to decrease the Fund’s exposure to unfavorable movements of the underlying instrument. The Fund pays a premium which is included on the Fund’s Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is sold.
During the period ended June 30, 2019, the Fund purchased/sold options primarily for return enhancement and hedging.
The Fund’s options contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of options contracts. For the purpose of this disclosure, volume is measured by the notional value of contracts outstanding at each quarter end:
Average Option Notional Amounts Outstanding | ||||||||||||
Fund | Purchased Contracts | Written Contracts | ||||||||||
Ionic Strategic Arbitrage | $ | 15,645,375 | $ | 245,850 |
Straddle Options
The Fund may enter into differing forms of straddle options. A straddle is an investment strategy that uses combinations of options that allow a Fund to profit based on the future price movements of the underlying security, regardless of the direction of those movements. A written straddle involves simultaneously writing a call option and a put option on the same security with the same strike price and expiration date. The written straddle increases in value when the underlying security price has little volatility before the expiration date. A purchased straddle involves simultaneously purchasing a call option and a put option on the same security with the same strike price and expiration date. The purchased straddle increases in value when the underlying security price has high volatility, regardless of direction, before the expiration date.
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Notes to Financial Statements
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Swap Agreements
The Fund may invest in swap agreements. Swap agreements are negotiated between the Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies, or market-linked returns at specified, future intervals. Swap agreements are either privately negotiated in theover-the-counter market (“OTC Swaps”) or cleared in a central clearing house (“Centrally Cleared Swaps”). The Fund may enter into credit default, cross-currency, interest rate and other forms of swap agreements to manage its exposure to credit, currency, interest rate, and inflation risk. In connection with these agreements, securities or cash may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Swaps are marked to market daily based upon values from third party vendors or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss on the Statement of Assets and Liabilities. Daily fluctuations in the value of centrally cleared swaps are recorded in variation margin on the Statement of Assets and Liabilities and recorded as unrealized gain or loss. In the event that market quotes are not readily available and the swap cannot be valued pursuant to one of the valuation methods, the value of the swap will be determined in good faith by the Valuation Committee pursuant to procedures approved by the Board.
For OTC payments received or made at the beginning of the measurement period are reflected as such on the Statement of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Centrally cleared swaps provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments for OTC and centrally cleared swaps are recorded as realized gains or losses on the Statement of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statement of Operations. Net periodic payments received or paid by the Fund are included as part of realized gains or losses on the Statement of Operations.
Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk is mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral to the Fund to cover the Fund’s exposure to the counterparty.
Total Return Swap Agreements
The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
36
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
The Fund’s total return swap contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of total return swap contracts. For the purpose of this disclosure, volume is measured by contracts outstanding at each quarter end:
Average Total Return Swap Notional Amounts Outstanding | ||||
Fund | Period Ended June 30, 2019 | |||
Ionic Strategic Arbitrage | 5,386,860 |
The following is a summary of the fair valuations of the Fund’s derivative instruments categorized by risk exposure(1):
Fair values of financial instruments on the Statement of Assets and Liabilities as of June 30, 2019: |
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Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options contracts outstanding | $ | - | $ | - | $ | - | $ | - | $ | 1,879,988 | $ | 1,879,988 | |||||||||||||||||||||||||||||||||||||||||||
Receivable for variation margin from open futures contracts(2) | - | - | - | - | 705 | 705 | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized appreciation from swap agreements | - | - | - | - | 58,207 | 58,207 | |||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Written options contracts outstanding | $ | - | $ | - | $ | - | $ | - | $ | (367,837 | ) | $ | (367,837 | ) | |||||||||||||||||||||||||||||||||||||||||
Payable for variation margin from open futures contracts | - | (27,250 | ) | - | - | - | (27,250 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
Unrealized depreciation from swap agreements | - | - | - | - | (80,547 | ) | (80,547 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
The effect of financial derivative instruments on the Statement of Operations as of June 30, 2019: |
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Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options contracts | $ | - | $ | (380,355 | ) | $ | - | $ | - | $ | (461,757 | ) | $ | (842,112 | ) | ||||||||||||||||||||||||||||||||||||||||
Futures contracts | - | 61,925 | - | 31 | 233,955 | 295,911 | |||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | - | - | - | (135,120 | ) | 108,064 | (27,056 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
Written options contracts | - | - | - | - | 76,687 | 76,687 | |||||||||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options contracts | $ | - | $ | - | $ | - | $ | - | $ | (502,734 | ) | $ | (502,734 | ) | |||||||||||||||||||||||||||||||||||||||||
Futures contracts | - | (29,406 | ) | - | - | (134,771 | ) | (164,177 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | - | - | - | - | 16,553 | 16,553 | |||||||||||||||||||||||||||||||||||||||||||||||||
Written options contracts | - | - | - | - | 339,708 | 339,708 |
(1)See Note 3 in the Notes to Financial Statements for additional information.
(2)Includes cumulative appreciation (depreciation) of futures contracts as reported in the Fund’s Schedule of Investments footnotes. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
Master Agreements
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain forward settling transactions, such as delayed
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American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
delivery or sale-buyback financing transactions by and between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral.
Offsetting Assets and Liabilities
The Fund is a party to enforceable master netting agreements between brokers and counterparties which provide for the right to offset under certain circumstances. The Fund employs multiple money managers and counterparties and has elected not to offset qualifying financial and derivative instruments on the Statement of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. The impacts of netting arrangements that provide the right to offset are detailed below. The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing agreements such as repurchase agreements can only be netted across transactions governed by the same Master Agreement with the same legal entity. All amounts reported below represent the balance as of the report date, June 30, 2019.
Offsetting of Financial and Derivative Assets as of June 30, 2019: | ||||||||||||
Assets | Liabilities | |||||||||||
Futures Contracts(1) | $ | 705 | $ | 27,250 | ||||||||
Swap Agreement - OTC | 58,207 | 80,547 | ||||||||||
Purchased Options Contracts | 1,879,988 | - | ||||||||||
Written Options Contracts | - | 367,837 | ||||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 1,938,900 | $ | 475,634 | ||||||||
|
|
|
| |||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | (1,880,693 | ) | $ | (395,087 | ) | ||||||
|
|
|
| |||||||||
Total derivative assets and liabilities subject to an MNA | $ | 58,207 | $ | 80,547 | ||||||||
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|
|
Financial Assets, Derivatives, and Collateral Received/(Pledged) by Counterparty as of June 30, 2019: |
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Gross Amounts of Assets Presented in the Statement of Assets and Liabilities | Derivatives Available for Offset | Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||||||||
Counterparty | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount | |||||||||||||||||||||||||||||||||
Deutsche Bank AG | $ | 58,207 | $ | (58,207 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||||||
Gross Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Derivatives Available for Offset | Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||||||||
Counterparty | Non-Cash Collateral Received | Cash Collateral Received | Net Amount | |||||||||||||||||||||||||||||||||
Deutsche Bank AG | $ | 80,547 | $ | (58,207 | ) | $ | - | $ | - | $ | 22,340 |
(1) Includes cumulative appreciation or (depreciation) of futures contracts as reported in the Schedule of Investments footnotes. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
6. Principal Risks
Investing in the Fund may involve certain risks including, but not limited to, those described below.
Allocation and Correlation Risk
Thesub-advisor’s judgments about, and allocations between arbitrage strategies, asset classes and market exposures may adversely affect the Fund’s performance. There can be no assurance, particularly during periods of market disruption and stress, that the Fund will, in fact, experience a low level of correlation with a traditional portfolio of stocks and bonds or with the debt or equity markets generally. This risk may be increased by the use of derivatives to increase allocations to various market exposures.
38
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Arbitrage Risk
The Fund may use a variety of arbitrage strategies in pursuing its investment strategy. The underlying relationships among securities and derivative instruments in which the Fund takes long and short positions may change in an adverse manner, in which case the Fund may realize losses. The expected gain on an individual arbitrage investment is normally considerably smaller than the possible loss should the transaction be unexpectedly terminated.
The expected timing of each transaction is also important since the length of time that the Fund’s capital must be committed to any given transaction may affect the rate of return realized by the Fund, and unanticipated delays could cause the Fund to lose money or not achieve the desired rate of return.
The success of the Fund’s investment strategies is dependent on thesub-advisor’s ability to exploit pricing inefficiencies among interrelated instruments. Although arbitrage positions are considered to have a lower risk profile than directional trades as the former attempt to exploit price differentials rather than overall price movements, such strategies are by no means without risk. Pricing inefficiencies, even if correctly identified, may not converge within the time frame within which the Fund maintains its positions. Even pure “riskless” arbitrage – which is rare – can result in significant losses if the arbitrage cannot be sustained (due, for example, to margin calls) until expiration. The Fund’s strategies are subject to the risks of disruptions in historical price relationships, the restricted availability of credit and the obsolescence or inaccuracy of valuation models. Market disruptions may also force the Fund to close out one or more positions. Such disruptions have in the past resulted in substantial losses for funds employing similar strategies.
The Fund expects a major component of its investment strategies to involve spreads between two or more securities. To the extent the price relationships between such securities remain constant, no gain or loss may occur. Such spread strategies do, however, entail a substantial risk that the price differential could change unfavorably and result in losses.
Counterparty Risk
The Fund is subject to the risk that a party or participant to a transaction, such as a broker or derivative counterparty, will be unwilling or unable to satisfy its obligation to make timely principal, interest or settlement payments or to otherwise honor its obligations to the Fund. As a result the Fund may obtain no recovery of its investment or may only obtain a limited recovery, and any recovery may be delayed. Not all derivative transactions require a counterparty to post collateral, which may expose the Fund to greater losses in the event of a default by a counterparty.
Some of the markets in which the Fund may effect derivative transactions are over-the-counter (“OTC”) or “interdealer” markets. The participants in such markets are typically not subject to credit evaluation and regulatory oversight to the same extent as are members of “exchange-based” markets. This exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a credit or liquidity problem with the counterparty and the recent turbulence in the financial markets highlights the importance of being aware of counterparty risk resulting from OTC derivative transactions. The Fund is subject to the risk that a party or participant to a transaction, such as a broker or derivative counterparty, will be unwilling or unable to satisfy its obligation to make timely principal, interest or settlement payments or to otherwise honor its obligations to the Fund. As a result, the Funds may obtain no recovery of its investment or may only obtain a limited recovery, and any recovery may be delayed. Not all derivative transactions require a counterparty to post collateral, which may expose the Funds to greater losses in the event of a default by a counterparty.
39
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Credit Risk
The Fund is subject to the risk that the issuer or guarantor of an obligation, or the counterparty to a transaction, including a derivatives contract or a loan, will fail to make timely payment of interest or principal or otherwise honor its obligations or default completely. The strategies utilized by thesub-advisors require accurate and detailed credit analysis of issuers and there can be no assurance that its analysis will be accurate or complete. The Fund may be subject to substantial losses in the event of credit deterioration or bankruptcy of one or more issuers in its portfolio. Financial strength and solvency of an issuer are the primary factors influencing credit risk. In addition, inadequacy of collateral or credit enhancement for a debt instrument may affect its credit risk. Credit risk may change over the life of an instrument and debt obligations which are rated by rating agencies may be subject to downgrade. The credit ratings of debt instruments and investments represent the rating agencies’ opinions regarding their credit quality and are not a guarantee of future credit performance of such securities. Rating agencies attempt to evaluate the safety of the timely payment of principal and interest (or dividends) and do not evaluate the risks of fluctuations in market value. The ratings assigned to securities by rating agencies do not purport to fully reflect the true risks of an investment. Further, in recent years many highly-rated structured securities have been subject to substantial losses as the economic assumptions on which their ratings were based proved to be materially inaccurate. A decline in the credit rating of an individual security held by the Fund may have an adverse impact on its price and make it difficult for the Fund to sell it. Ratings represent a rating agency’s opinion regarding the quality of the security and are not a guarantee of quality. Rating agencies might not always change their credit rating on an issuer or security in a timely manner to reflect events that could affect the issuer’s ability to make timely payments on its obligations. Credit risk is typically greater for securities with ratings that are below investment grade (commonly referred to as “junk bonds”). Since the Funds can invest significantly in lower quality debt securities considered speculative in nature, this risk will be substantial. A downgrade or default affecting any of the Fund’s securities could affect the Fund’s performance
Currency Risk
The Fund may have exposure to foreign currencies by making direct investments in securities denominated innon-U.S. currencies or by purchasing or selling forward currency exchange contracts innon-U.S. currencies, ornon-U.S. currency futures contracts. Foreign currencies may decline in value relative to the U.S. dollar or, in the case of hedging positions, the U.S. dollar may decline in value relative to the currency being hedged, and thereby affect the Fund’s investments in foreign(non-U.S.) currencies or in securities that trade in, and receive revenues in, or in derivatives that provide exposure to, foreign(non-U.S.) currencies. Currency exchange rates may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, the Fund’s investments in foreign currency denominated securities may reduce the returns of the Fund. Currency futures, forwards or options may not always work as intended, and in specific cases the Fund may be worse off than if it had not used such instrument(s). There may not always be suitable hedging instruments available. Even where suitable hedging instruments are available, the Fund may choose to not hedge its currency risks.
Derivatives Risk
Derivatives may involve significant risk. The use of derivative instruments may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities or other instruments underlying those derivatives, including the high degree of leverage often embedded in such instruments, and potential material and prolonged deviations between the theoretical value and realizable value of a derivative. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment. Derivatives may be illiquid and may be more volatile than other types of investments. The Fund may buy or sell derivatives not traded on an exchange and which may be subject to heightened liquidity and valuation risk. Derivative investments can increase portfolio turnover and transaction costs. Derivatives also are subject to counterparty risk and credit risk. As a
40
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
result, the Fund may obtain no recovery of its investment or may only obtain a limited recovery, and any recovery may be delayed. Not all derivative transactions require a counterparty to post collateral, which may expose the Fund to greater losses in the event of a default by a counterparty.
Equity Investments Risk
Equity securities are subject to market risk. The Fund’s investments in equity securities may include common stocks, preferred stocks, securities convertible into or exchangeable for common stocks, REITs, depositary receipts, and U.S. dollar-denominated foreign stocks traded on U.S. exchanges. Such investments may expose the Fund to additional risk. The value of a company’s common stock may fall as a result of factors affecting the company, companies in the same industry or sector, or the financial markets overall. Common stock generally is subordinate to preferred stock upon the liquidation or bankruptcy of the issuing company. Preferred stocks and convertible securities are sensitive to movements in interest rates. Preferred stocks may be less liquid than common stocks and, unlike common stocks, participation in the growth of an issuer may be limited. Distributions on preferred stocks generally are payable at the discretion of an issuer and after required payments to bond holders. Convertible securities are subject to the risk that the credit standing of the issuer may have an effect on the convertible securities’ investment value. Investments in REITs are subject to the risks associated with investing in the real estate industry such as adverse developments affecting the real estate industry and real property values. Depositary receipts and U.S. dollar-denominated foreign stocks traded on U.S. exchanges are subject to certain of the risks associated with investing directly in foreign securities, including, but not limited to, currency fluctuations and political and financial instability in the home country of a particular depositary receipt or foreign stock.
Foreign Investing Risk
Non-U.S. investments carry potential risks not associated with U.S. investments. Such risks include, but are not limited to: (1) currency exchange rate fluctuations, (2) political and financial instability, (3) less liquidity, (4) lack of uniform accounting, auditing and financial reporting standards, (5) increased price volatility, (6) less government regulation and supervision of foreign stock exchanges, brokers and listed companies, and (7) delays in transaction settlement in some foreign markets. To the extent the Funds invests a significant portion of its assets in securities of a single country or region, it is more likely to be affected by events or conditions of that country or region.
Futures Contracts Risk
Futures contracts are derivative instruments where one party pays a fixed price for an agreed amount of securities or other underlying assets at an agreed date. The use of such derivative instruments may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. Futures contracts may experience potentially dramatic price changes (losses) and imperfect correlation between the price of the contract and the underlying security or index, which will increase the volatility of the Fund and may involve a small investment of cash (the amount of initial and variation margin) relative to the magnitude of the risk assumed (the potential increase or decrease in the price of the futures contract).
Hedging Risk
If the Fund uses a hedging instrument at the wrong time or judges the market conditions incorrectly, or the hedged instrument does not correlate to the risk sought to be hedged, the hedge might be unsuccessful, reduce the Fund’s return, or create a loss.
High Portfolio Turnover Risk
Portfolio turnover is a measure of the Fund’s trading activity over aone-year period. A portfolio turnover rate of 100% would indicate that the Fund sold and replaced the entire value of its securities holdings during the period. High portfolio turnover could increase the Fund’s transaction costs because of increased broker
41
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
commissions resulting from such transactions. These costs are not reflected in the Fund’s annual operating expenses or in the expense example, but they can have a negative impact on performance. Frequent trading by the Fund could also result in increased realized net capital gains, distributions of which are taxable to the Fund’s shareholders (including net short-term capital gain distributions, which are taxable to them as ordinary income).
High-Yield Securities Risk
Investing in high-yield, below investment-grade securities (commonly referred to as “junk bonds”) generally involves significantly greater risks of loss of your money than an investment in investment grade securities.High-yield debt securities may fluctuate more widely in price and yield and may fall in price when the economy is weak or expected to become weak. High-yield securities are considered to be speculative with respect to an issuer’s ability to pay interest and principal and carry a greater risk that the issuers of lower-rated securities will default on the timely payment of principal and interest. Below investment grade securities may experience greater price volatility and less liquidity than investment grade securities.
Illiquid and Restricted Securities Risk
Securities not registered in the U.S. under the Securities Act, including Rule 144A securities, are restricted as to their resale. Such securities may not be listed on an exchange and may have no active trading market. They may be more difficult to purchase or sell at an advantageous time or price because such securities may not be readily marketable in broad public markets. The Fund may not be able to sell a restricted security when thesub-advisor considers it desirable to do so and/or may have to sell the security at a lower price than the Fund believes is its fair market value. In addition, transaction costs may be higher for restricted securities and the Fund may receive only limited information regarding the issuer of a restricted security. The Fund may have to bear the expense of registering restricted securities for resale and the risk of substantial delays in effecting the registration.
Interest Rate Risk
Investments in fixed-income securities or derivatives that are influenced by interest rates are subject to interest rate risk. The Fund may be particularly sensitive to changes in interest rates if it invests in debt securities with intermediate and long terms to maturity. Debt securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than debt securities with shorter durations. For example, if a bond has a duration of four years, a 1% increase in interest rates could be expected to result in a 4% decrease in the value of the bond. Yields of debt securities will fluctuate over time. Following the financial crisis that started in 2008, the Federal Reserve has attempted to stabilize the economy and support the economic recovery by keeping the federal funds rate (the interest rate at which depository institutions lend reserve balances to each other overnight) at or near zero percent. The Federal Reserve has raised the federal funds rate several times since December 2015 and may continue to increase rates in the future. Interest rates may rise significantly and/or rapidly, potentially resulting in substantial losses to the Fund. During periods of very low or negative interest rates, the Fund may be unable to maintain positive returns. Certain European countries and Japan have recently experienced negative interest rates on deposits and debt securities have traded at negative yields. Negative interest rates may become more prevalent amongnon-U.S. issuers, and potentially within the United States. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent the Fund is exposed to such interest rates.
Leverage Risk
The Fund’s use of futures, forward foreign currency contracts, swaps, other derivative instruments and selling securities short will have the economic effect of financial leverage. Financial leverage magnifies the exposure to the swings in prices of an asset or class of assets underlying a derivative instrument and results in increased volatility, which means that the Fund will have the potential for greater losses than if the Fund does not
42
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
use the derivative instruments that have a leveraging effect. Leverage may result in losses that exceed the amount originally invested and may accelerate the rate of losses. Leverage tends to magnify, sometimes significantly, the effect of an increase or decrease in the Fund’s exposure to an asset or class of assets and may cause the Fund’s NAV to be volatile.
Liquidity Risk
When there is little or no active trading market for a specific security it can become more difficult to purchase or sell the securities at or near their perceived value. During such periods, certain investments held by the Fund may be difficult to sell or other investments may be difficult to purchase at favorable times or prices. As a result, the Fund may have to lower the price on certain securities that it is trying to sell, sell other securities instead or forgo an investment opportunity, any of which could have a negative effect on Fund management or performance. Redemptions by a few large investors in the Fund at such times may have a significant adverse effect on the Fund’s NAV and remaining Fund shareholders. In addition, the market-making capacity of dealers in certain types of securities has been reduced in recent years, in part as a result of structural and regulatory changes, such as fewer proprietary trading desks and increased regulatory capital requirements for broker-dealers. Further, many broker-dealers have reduced their inventory of certain debt securities. This could negatively affect the Fund’s ability to buy or sell debt securities and increase the related volatility and trading costs. The Fund may lose money if it is forced to sell certain investments at unfavorable prices to meet redemption requests or other cash needs.
Market Risk
Conditions in the U.S. and many foreign economies have resulted, and may continue to result, in certain instruments experiencing unusual liquidity issues, increased price volatility and, in some cases, credit downgrades and increased likelihood of default. These events have reduced the willingness and ability of some lenders to extend credit, and have made it more difficult for some borrowers to obtain financing on attractive terms, if at all. In some cases, traditional market participants have been less willing to make a market in some types of debt instruments, which has affected the liquidity of those instruments. During times of market turmoil, investors tend to look to the safety of securities issued or backed by the U.S. Treasury, causing the prices of these securities to rise and the yields to decline. Reduced liquidity in fixed income and credit markets may negatively affect many issuers worldwide. In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region. A rise in protectionist trade policies, and the possibility of changes to some international trade agreements, could affect the economies of many nations in ways that cannot necessarily be foreseen at the present time.
In response to the financial crisis, the U.S. and other governments, the Federal Reserve, and certain foreign central banks have taken steps to support financial markets. In some countries where economic conditions are recovering, they are nevertheless perceived as still fragile. Withdrawal of government support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities. The severity or duration of adverse economic conditions may also be affected by policy changes made by governments or quasi-governmental organizations, including changes in tax laws. The impact of new financial regulation legislation on the markets and the practical implications for market participants may not be fully known for some time. Regulatory changes are causing some financial services companies to exit long-standing lines of business, resulting in dislocations for other market participants.
In addition, political and diplomatic events within the U.S. and abroad, such as the U.S. government’s inability at times to agree on a long-term budget and deficit reduction plan, the threat of a federal government shutdown and threats not to increase the federal government’s debt limit, may affect investor and consumer confidence and may adversely impact financial markets and the broader economy, perhaps suddenly and to a significant degree. The U.S. government has recently reduced the federal corporate income tax rate, and future legislative, regulatory and policy changes may result in more restrictions on international trade, less stringent
43
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
prudential regulation of certain players in the financial markets, and significant new investments in infrastructure and national defense. Markets may react strongly to expectations about the changes in these policies, which could increase volatility, especially if the market’s expectations for changes in government policies are not borne out.
Changes in market conditions will not have the same impact on all types of securities. Interest rates have been unusually low in recent years in the U.S. and abroad. Because there is little precedent for this situation, it is difficult to predict the impact of a significant rate increase on various markets. For example, because investors may buy securities or other investments with borrowed money, a significant increase in interest rates may cause a decline in the markets for those investments. Regulators have expressed concern that rate increases may cause investors to sell fixed income securities faster than the market can absorb them, contributing to price volatility. In addition, there is a risk that the prices of goods and services in the U.S. and many foreign economies may decline over time, known as deflation (the opposite of inflation). Deflation may have an adverse effect on stock prices and creditworthiness and may make defaults on debt more likely. If a country’s economy slips into a deflationary pattern, it could last for a prolonged period and may be difficult to reverse.
The precise details and the resulting impact of the United Kingdom’s vote to leave the European Union (the “EU”), commonly referred to as “Brexit,” are not yet known. The effect on the United Kingdom’s economy will likely depend on the nature of trade relations with the EU and other major economies following its exit, which are matters to be negotiated. The outcomes may cause increased volatility and have a significant adverse impact on world financial markets, other international trade agreements, and the United Kingdom and European economies, as well as the broader global economy for some time, which could significantly adversely affect the value of the Fund’s investments in the United Kingdom and Europe.
Mortgage-Backed and Mortgage Related Securities Risk
Investments in mortgage-backed and mortgage-related securities are subject to market risks for fixed-income securities which include, but are not limited to, interest rate risk, credit risk, extension risk and prepayment risk. When mortgages and other obligations are prepaid and when securities are called, a Fund may have to reinvest in securities with a lower yield or fail to recover additional amounts (i.e., premiums) paid for securities with higher interest rates, resulting in an unexpected capital loss and/or a decrease in the amount of dividends and yield.
Non-Diversification Risk
The Fund isnon-diversified, which means the Fund may focus its investments in the securities of a comparatively small number of issuers. Investments in securities of a limited number of issuers exposes the Fund to greater market risk and potential losses than if assets were diversified among the securities of a greater number of issuers.
Options Risk
In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit that might have been realized had it bought the underlying security at the time it purchased the call option. For a put option to be profitable, the market price of the underlying security must decline sufficiently below the exercise price to cover the premium and transaction costs. By using put options in this manner, the Fund will reduce any profit it might otherwise have realized from appreciation of the underlying security by the premium paid for the put option and by transaction costs. If the Fund sell a put option, there is a risk that the Fund may be required to buy the underlying asset at a disadvantageous price. If the Fund sell a call option, there is a risk that the Fund may be required to sell the underlying asset at a disadvantageous price. If the Fund sell a call option on an underlying asset that the Fund owns and the underlying asset has increased in value when the call option is exercised, the Fund will be required to sell the underlying asset at the call price and will not be able to realize any of the underlying asset’s value above the call price.
44
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Other Investment Companies Risk
The Fund may invest in shares of other registered investment companies, including exchange-traded funds (“ETFs”) and closed-end funds. To the extent that the Fund invests in shares of other registered investment companies, the Fund will indirectly bear the fees and expenses, including for example, advisory and administrative fees, charged by those investment companies in addition to the Fund’s direct fees and expenses and will be subject to the risks associated with investments in those companies. For example, the Fund’s investments in money market funds are subject to interest rate risk, credit risk, and market risk. The Fund must rely on the investment company in which it invests to achieve its investment objective. If the investment company fails to achieve its investment objective, the value of the Fund’s investment may decline, adversely affecting the Fund’s performance. ETFs are subject to the following risks that do not apply to conventional funds: (1) the market price of an ETF’s shares may trade at a discount or premium to its NAV; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. An ETF that tracks an index may not precisely replicate the returns of its benchmark index. To the extent the Fund invests in other investment companies that invest in equity securities, fixed-income securities and/or foreign securities, or that track an index, the Fund is subject to the risks associated with the underlying investments held by the investment company or the index fluctuations to which the investment company is subject. ETFs have expenses associated with their operation, typically including advisory fees.
Prepayment and Extension Risk
Prepayment risk is the risk that the principal amount of a bond may be repaid prior to the bond’s maturity date. Due to a decline in interest rates or excess cash flow, a debt security may be called or otherwise prepaid before maturity. If this occurs, no additional interest will be paid on the investment and the Fund may have to invest at a lower rate, may not benefit from an increase in value that may result from declining interest rates, and may lose any premium it paid to acquire the security. Variable and floating rate securities may be less sensitive to prepayment risk. Extension risk is the risk that a decrease in prepayments may, as a result of higher interest rates or other factors, result in the extension of a security’s effective maturity, heighten interest rate risk and increase the potential for a decline in its price.
Short Position Risk
The Fund will incur a loss as a result of a short position if the price of the instrument sold short increases in value between the date of the short sale and the date on which an offsetting position is purchased. Short positions may be considered speculative transactions and involve special risks, including greater reliance on thesub-advisor’s ability to accurately anticipate the future value of a security or instrument. The Fund’s losses are potentially unlimited in a short position transaction.
Swap Agreement Risk
Swaps can involve greater risks than a direct investment in an underlying asset, because swaps typically include a certain amount of embedded leverage and as such are subject to leveraging risk. If swaps are used as a hedging strategy, the Fund is subject to the risk that the hedging strategy may not eliminate the risk that is intended to offset, due to, among other reasons, the occurrence of unexpected price movements or thenon-occurrence of expected price movements. Swaps also may be difficult to value. Interest rate swaps, total return swaps, currency swaps, credit default swaps and commodities swaps are subject to counterparty risk, credit risk and liquidity risk. In addition, interest rate swaps are subject to interest rate risk, total return swaps are subject to market risk, and interest rate risk if the underlying securities are bonds or other debt obligations, currency swaps are subject to currency risk, and commodities swaps are subject to commodities risk.
45
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Valuation Risk
This is the risk that a Fund has valued a security at a price different from the price at which it can be sold. This risk may be especially pronounced for investments, such as derivatives, which may be illiquid or which may become illiquid and for securities that trade in relatively thin markets and/or markets that experience extreme volatility. If market conditions make it difficult to value certain investments, a Fund may value these investments using more subjective methods, such as fair-value methodologies. Investors who purchase or redeem Fund shares on days when a Fund is holding fair-valued securities may receive fewer or more shares, or lower or higher redemption proceeds, than they would have received if the Fund had not fair-valued the securities or had used a different valuation methodology. The value of foreign securities, certain fixed income securities and currencies, as applicable, may be materially affected by events after the close of the markets on which they are traded, but before a Fund determines its NAV. A Fund’s ability to value its investments in an accurate and timely manner may be impacted by technological issues and/or errors by third-party service providers, such as pricing services or accounting agents.
Volatility Risk
The Fund may have investments that appreciate or decrease significantly in value over short periods of time. This may cause the Fund’s NAV to experience significant increases or declines in value over short periods of time.
Warrants Risk
Warrants may be more speculative than certain other types of investments because warrants do not carry with them dividend or voting rights with respect to the underlying securities, or any rights in the assets of the issuer. In addition, the value of a warrant does not necessarily change with the value of the underlying securities, and a warrant ceases to have value if it is not exercised prior to its expiration date.
7. Federal Income and Excise Taxes
It is the policy of the Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, the Fund is treated as a single entity for the purpose of determining such qualification.
The Fund does not have any unrecorded tax liabilities in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2018 remain subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statement of Operations.
The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation (depreciation), as applicable, as the income is earned or capital gains are recorded.
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
46
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
As of June 30, 2019 the tax cost for the Fund and their respective gross unrealized appreciation (depreciation) were as follows:
Fund | Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Ionic Strategic Arbitrage | $ | 31,140,226 | $ | 1,675,125 | $ | (3,713,094 | ) | $ | (2,037,969 | ) |
Under the Regulated Investment Company Modernization Act of 2010 (“RIC MOD”), net capital losses recognized by the Fund in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses.
During the year December 31, 2018, the Fund had the following post RIC MOD capital loss carryforwards:
Fund | Short-Term Capital Loss Carryforwards | Long-Term Capital Loss Carryforwards | ||||||||||
Ionic Strategic Arbitrage | $ | 23,033,314 | $ | 4,939,340 |
8. Investment Transactions
The aggregate cost of purchases and proceeds from sales and maturities of investments, other than short-term obligations, for the period ended June 30, 2019 were as follows:
Fund | Purchases (non-U.S. Government Securities) | Purchases of U.S. Government Securities | Sales (non-U.S. Government Securities) | Sales of U.S. Government Securities | ||||||||||||
Ionic Strategic Arbitrage | $ | 71,168,558 | $ | 9,126 | $ | 75,580,571 | $ | 1,074,786 |
A summary of the Fund’s transactions in the USG Select Fund for the period ended June 30, 2019 are as follows:
Fund | Type of Transaction | December 31, 2018 Shares/Fair Value | Purchases | Sales | June 30, 2019 Shares/Fair Value | Dividend Income | ||||||||||||||||||||||||||||||||||||
Ionic Strategic Arbitrage | Direct | $ | 10,580,670 | $ | 21,608,847 | $ | 26,760,736 | $ | 5,428,781 | $ | 109,620 |
9. Borrowing Arrangements
Effective November 15, 2018 (the “Effective Date”), the Fund, along with certain other funds managed by the Manager (“Participating Funds”), entered into a committed revolving line of credit (the “Committed Line”) agreement with State Street Bank and Trust Company (the “Bank”) to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Committed Line is $250 million with interest at a rate equal to the higher of(a) one-month London Inter-Bank Offered Rate (“LIBOR”) plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on amounts borrowed. Each of the Participating Funds will pay a closing fee of $100,000 on the Effective Date and a quarterly commitment fee at a rate of 0.25% per annum on the unused portion of the Committed Line amount. The Committed Line expires November 14, 2019, unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
On the Effective Date, the Fund, along with certain other Participating Funds managed by the Manager, also entered into an uncommitted discretionary demand revolving line of credit (the “Uncommitted Line”) agreement with the Bank to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Uncommitted Line is $50 million with interest at a rate equal to the higher of(a) one-month LIBOR plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on each outstanding loan. Each of the Participating Funds will pay a closing fee of $35,000 on the Effective Date. The Uncommitted Line expires November 14, 2019 unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
47
American Beacon Ionic Strategic Arbitrage FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
During the period ended June 30, 2019, the Fund did not utilize this facility.
10. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Fund:
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Ionic Strategic Arbitrage Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 69,440 | $ | 519,731 | 369,844 | $ | 3,082,484 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 124,603 | 917,078 | ||||||||||||||||||||||||
Shares redeemed | (467,430 | ) | (3,484,228 | ) | (2,330,102 | ) | (19,288,064 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (397,990 | ) | $ | (2,964,497 | ) | (1,835,655 | ) | $ | (15,288,502 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Ionic Strategic Arbitrage Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 723,701 | $ | 5,394,144 | 1,656,742 | $ | 13,891,665 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 325,403 | 2,391,713 | ||||||||||||||||||||||||
Shares redeemed | (1,526,206 | ) | (11,437,062 | ) | (7,519,109 | ) | (61,521,380 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (802,505 | ) | $ | (6,042,918 | ) | (5,536,964 | ) | $ | (45,238,002 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Ionic Strategic Arbitrage Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 86 | $ | 640 | 72,977 | $ | 608,461 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 10,299 | 75,180 | ||||||||||||||||||||||||
Shares redeemed | (57,577 | ) | (428,720 | ) | (187,306 | ) | (1,512,063 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (57,491 | ) | $ | (428,080 | ) | (104,030 | )�� | $ | (828,422 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Ionic Strategic Arbitrage Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 6 | $ | 45 | 3,052 | $ | 25,298 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 1,319 | 9,603 | ||||||||||||||||||||||||
Shares redeemed | (317 | ) | (2,363 | ) | (3,160 | ) | (25,994 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (311 | ) | $ | (2,318 | ) | 1,211 | $ | 8,907 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Ionic Strategic Arbitrage Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | - | $ | - | 9,885 | $ | 82,000 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 604 | 4,388 | ||||||||||||||||||||||||
Shares redeemed | (1,687 | ) | (12,442 | ) | (12,183 | ) | (99,531 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (1,687 | ) | $ | (12,442 | ) | (1,694 | ) | $ | (13,143 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
11. Subsequent Events
The Board of American Beacon Funds has approved a plan to liquidate and terminate the American Beacon Ionic Strategic Arbitrage Fund on or about October 15, 2019, upon the recommendation of American Beacon Advisors, Inc., the Fund’s investment manager.
48
American Beacon Ionic Strategic Arbitrage FundSM
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | June 30, 2015A to December 31, | ||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.34 | $ | 8.37 | $ | 9.06 | $ | 9.89 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.02 | C | 0.03 | B | 0.33 | 0.16 | 0.04 | |||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.14 | (0.35 | ) | (0.34 | ) | (0.02 | ) | 0.11 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.16 | (0.32 | ) | (0.01 | ) | 0.14 | 0.15 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.71 | ) | (0.61 | ) | (0.45 | ) | (0.06 | ) | |||||||||||||||||||||||||||
Distributions from net realized gains | - | - | (0.07 | ) | (0.52 | ) | (0.20 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | - | (0.71 | ) | (0.68 | ) | (0.97 | ) | (0.26 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 7.50 | $ | 7.34 | $ | 8.37 | $ | 9.06 | $ | 9.89 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | 2.18 | %E | (3.80 | )% | (0.15 | )% | 1.39 | % | 1.46 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 6,892,443 | $ | 9,666,324 | $ | 26,386,023 | $ | 105,989,910 | $ | 63,421,998 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2.51 | %F | 2.48 | % | 2.67 | % | 3.14 | % | 3.55 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursementsG | 1.89 | %F | 2.21 | % | 2.47 | % | 3.10 | % | 2.84 | %F | ||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | (0.12 | )%F | 1.35 | % | 0.15 | % | 1.05 | % | (0.31 | )%F | ||||||||||||||||||||||||||
Net investment income, net of reimbursements | 0.50 | %F | 1.62 | % | 0.35 | % | 1.09 | % | 0.40 | %F | ||||||||||||||||||||||||||
Portfolio turnover rate | 113 | %E | 556 | % | 390 | % | 436 | % | 159 | %E |
A | Commencement of operations. |
B | Includesnon-recurring dividends. Without these dividends, net investment income per share would have been $(0.06). |
C | Per share amounts have been calculated using the average shares method. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Includesnon-operating expenses consisting of prime broker fees and dividends from securities sold short. The Expenses, net of reimbursements, excludingnon-operating expenses is 1.34% for the period ended June 30, 2019. |
See accompanying notes
49
American Beacon Ionic Strategic Arbitrage FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | June 30, 2015A to December 31, | ||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.33 | $ | 8.36 | $ | 9.06 | $ | 9.90 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.01 | C | 0.15 | BC | 0.02 | 0.10 | 0.06 | |||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.14 | (0.47 | ) | (0.04 | ) | 0.03 | 0.10 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.15 | (0.32 | ) | (0.02 | ) | 0.13 | 0.16 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.71 | ) | (0.61 | ) | (0.45 | ) | (0.06 | ) | |||||||||||||||||||||||||||
Distributions from net realized gains | - | - | (0.07 | ) | (0.52 | ) | (0.20 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | - | (0.71 | ) | (0.68 | ) | (0.97 | ) | (0.26 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Redemption fees added to beneficial interests | - | - | - | - | - | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 7.48 | $ | 7.33 | $ | 8.36 | $ | 9.06 | $ | 9.90 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | 2.05 | %E | (3.80 | )% | (0.27 | )% | 1.28 | % | 1.56 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 15,709,280 | $ | 21,259,294 | $ | 70,589,684 | $ | 61,253,803 | $ | 26,059,687 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2.56 | %F | 2.54 | % | 2.94 | % | 3.31 | % | 3.83 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursementsG | 2.00 | %F | 2.33 | % | 2.79 | % | 3.30 | % | 3.27 | %F | ||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | (0.20 | )%F | 1.61 | % | 0.08 | % | 0.88 | % | 0.83 | %F | ||||||||||||||||||||||||||
Net investment income, net of reimbursements | 0.36 | %F | 1.82 | % | 0.23 | % | 0.88 | % | 1.40 | %F | ||||||||||||||||||||||||||
Portfolio turnover rate | 113 | %E | 556 | % | 390 | % | 436 | % | 159 | %E |
A | Commencement of operations. |
B | Includesnon-recurring dividends. Without these dividends, net investment income per share would have been $0.09. |
C | Per share amounts have been calculated using the average shares method. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Includesnon-operating expenses consisting of prime broker fees and dividends from securities sold short. The Expenses, net of reimbursements, excludingnon-operating expenses is 1.44% for the period ended June 30, 2019. |
See accompanying notes
50
American Beacon Ionic Strategic Arbitrage FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | June 30, 2015A to December 31, | ||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.28 | $ | 8.32 | $ | 9.01 | $ | 9.88 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.01 | C | 0.13 | B C | 0.08 | 0.30 | 0.02 | |||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.12 | (0.48 | ) | (0.12 | ) | (0.20 | ) | 0.12 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.13 | (0.35 | ) | (0.04 | ) | 0.10 | 0.14 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.69 | ) | (0.58 | ) | (0.45 | ) | (0.06 | ) | |||||||||||||||||||||||||||
Distributions from net realized gains | - | - | (0.07 | ) | (0.52 | ) | (0.20 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | - | (0.69 | ) | (0.65 | ) | (0.97 | ) | (0.26 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 7.41 | $ | 7.28 | $ | 8.32 | $ | 9.01 | $ | 9.88 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | 1.79 | %E | (4.17 | )% | (0.49 | )% | 0.98 | % | 1.36 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 174,384 | $ | 589,523 | $ | 1,539,554 | $ | 3,339,009 | $ | 2,186,944 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 3.09 | %F | 3.22 | % | 3.00 | % | 3.47 | % | 4.23 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursementsG | 2.23 | %F | 2.60 | % | 2.93 | % | 3.50 | % | 3.23 | %F | ||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | (0.61 | )%F | 0.98 | % | (0.08 | )% | 0.32 | % | (1.52 | )%F | ||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | 0.25 | %F | 1.60 | % | (0.01 | )% | 0.29 | % | (0.53 | )%F | ||||||||||||||||||||||||||
Portfolio turnover rate | 113 | %E | 556 | % | 390 | % | 436 | % | 159 | %E |
A | Commencement of operations. |
B | Includesnon-recurring dividends. Without these dividends, net investment income per share would have been $0.07. |
C | Per share amounts have been calculated using the average shares method. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Includesnon-operating expenses consisting of prime broker fees and dividends from securities sold short. The Expenses, net of reimbursements, excludingnon-operating expenses is 1.72% for the period ended June 30, 2019. |
See accompanying notes
51
American Beacon Ionic Strategic Arbitrage FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | June 30, 2015A to December 31, | ||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.26 | $ | 8.31 | $ | 9.01 | $ | 9.88 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.00 | C | 0.23 | B | 0.03 | 0.07 | 0.08 | |||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.15 | (0.58 | ) | (0.07 | ) | 0.03 | 0.06 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.15 | (0.35 | ) | (0.04 | ) | 0.10 | 0.14 | |||||||||||||||||||||||||||||
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|
|
|
|
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|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.70 | ) | (0.59 | ) | (0.45 | ) | (0.06 | ) | |||||||||||||||||||||||||||
Distributions from net realized gains | - | - | (0.07 | ) | (0.52 | ) | (0.20 | ) | ||||||||||||||||||||||||||||
|
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|
|
|
|
|
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| |||||||||||||||||||||||||||
Total distributions | - | (0.70 | ) | (0.66 | ) | (0.97 | ) | (0.26 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
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|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 7.41 | $ | 7.26 | $ | 8.31 | $ | 9.01 | $ | 9.88 | ||||||||||||||||||||||||||
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|
|
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|
|
| |||||||||||||||||||||||||||
Total returnD | 2.07 | %E | (4.23 | )% | (0.51 | )% | 0.98 | % | 1.36 | %E | ||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 108,239 | $ | 108,393 | $ | 113,957 | $ | 115,308 | $ | 115,261 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2.75 | %F | 2.78 | % | 3.23 | % | 3.65 | % | 7.35 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursementsG | 2.31 | %F | 2.63 | % | 3.08 | % | 3.58 | % | 3.37 | %F | ||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | (0.35 | )%F | 1.58 | % | (0.22 | )% | 0.27 | % | (3.54 | )%F | ||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | 0.09 | %F | 1.73 | % | (0.07 | )% | 0.34 | % | 0.44 | %F | ||||||||||||||||||||||||||
Portfolio turnover rate | 113 | %E | 556 | % | 390 | % | 436 | % | 159 | %E |
A | Commencement of operations. |
B | Includesnon-recurring dividends. Without these dividends, net investment income per share would have been $0.17. |
C | Per share amounts have been calculated using the average shares method. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Includesnon-operating expenses consisting of prime broker fees and dividends from securities sold short. The Expenses, net of reimbursements, excludingnon-operating expenses is 1.74% for the period ended June 30, 2019. |
See accompanying notes
52
American Beacon Ionic Strategic Arbitrage FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | June 30, 2015A to December 31, | ||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.24 | $ | 8.23 | $ | 8.90 | $ | 9.85 | $ | 10.00 | ||||||||||||||||||||||||||
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|
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|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.02 | ) | 0.03 | C | 0.00 | B | (0.01 | ) | 0.05 | |||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.14 | (0.44 | ) | (0.11 | ) | 0.03 | 0.05 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.12 | (0.41 | ) | (0.11 | ) | 0.02 | 0.10 | |||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.58 | ) | (0.49 | ) | (0.45 | ) | (0.05 | ) | |||||||||||||||||||||||||||
Distributions from net realized gains | - | - | (0.07 | ) | (0.52 | ) | (0.20 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | - | (0.58 | ) | (0.56 | ) | (0.97 | ) | (0.25 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 7.36 | $ | 7.24 | $ | 8.23 | $ | 8.90 | $ | 9.85 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | 1.66 | %E | (4.95 | )% | (1.21 | )% | 0.17 | % | 1.00 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 47,254 | $ | 58,729 | $ | 80,632 | $ | 152,859 | $ | 131,408 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 3.61 | %F | 3.63 | % | 3.75 | % | 4.40 | % | 8.14 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursementsG | 3.04 | %F | 3.42 | % | 3.73 | % | 4.34 | % | 4.11 | %F | ||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | (1.23 | )%F | 0.30 | % | (0.83 | )% | (0.46 | )% | (4.30 | )%F | ||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | (0.67 | )%F | 0.51 | % | (0.82 | )% | (0.40 | )% | (0.28 | )%F | ||||||||||||||||||||||||||
Portfolio turnover rate | 113 | %E | 556 | % | 390 | % | 436 | % | 159 | %E |
A | Commencement of operations. |
B | Amount represents less than 0.005% of average net assets. |
C | Includesnon-recurring dividends. Without these dividends, net investment income per share would have been $(0.04). |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Includesnon-operating expenses consisting of prime broker fees and dividends from securities sold short. The Expenses, net of reimbursements, excludingnon-operating expenses is 2.49% for the period ended June 30, 2019. |
See accompanying notes
53
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Renewal and Approval of Management Agreement and Investment Advisory Agreement
Atin-person meetings held on May 9, 2019 and June4-5, 2019 (collectively, the “Meetings”), the Board of Trustees (“Board” or “Trustees”) considered and then, at its June 5, 2019 meeting, approved the renewal of:
(1) the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Trust”), on behalf of the American Beacon Ionic Strategic Arbitrage Fund (“Fund”); and
(2) the Investment Advisory Agreement among the Manager, Ionic Capital Management LLC (the “subadvisor”), and the Trust, on behalf of the Fund.
The Management Agreement and the Investment Advisory Agreement are referred to herein individually as an “Agreement” and collectively as the “Agreements.” In preparation for its consideration of the renewal of the Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisor, Broadridge, Inc. (“Broadridge”) and Morningstar, Inc. (“Morningstar”).The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and the subadvisor.
In advance of the Meetings, the Board’s Investment Committee and/or the Manager coordinated the production of information from Broadridge and Morningstar regarding the performance, fees and expenses of the Fund as well as information from the Manager and the subadvisor. At the Meetings, the Board considered the information provided in connection with the renewal process, as well as information furnished to the Board throughout the year at regular meetings of the Board and its committees. In connection with the Board’s consideration of the Agreements, the Board received and evaluated such information as they deemed necessary. This information is described below in the section summarizing the factors the Board considered in connection with its renewal and approval of the Agreements, as well as the section describing additional Board considerations with respect to the Fund.
The Board noted that the Manager provides management and administrative services to the Fund pursuant to the Management Agreement. The Board considered that many mutual funds have separate contracts governing each type of service and observed that, with respect to such mutual funds, the actual management fee rates provided by Broadridge for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.
A firm may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of the firm based on information that was provided. In such cases, the Board determined that the omission of any such information was not material to its considerations. The class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of investment advisory contracts, such as the Agreements. The memorandum explained the regulatory requirements surrounding the Board’s process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Fund and its shareholders.
54
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Considerations With Respect to the Renewal of the Management Agreement and the Investment Advisory Agreement
In determining whether to renew the Agreements, the Board considered the Fund’s investment management and subadvisory relationships separately. In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of the Fund; (3) the costs incurred by the Manager in rendering services to the Fund and its resulting profits or losses; (4) comparisons of services and fee rates with contracts entered into by the Manager or the subadvisor or their affiliates with other clients (such as pension funds and other institutional clients); (5) the extent to which economies of scale, if any, have been taken into account in setting each fee rate schedule; (6) whether fee rate levels reflect economies of scale, if any, for the benefit of Fund investors; and (7) any other benefits derived or anticipated to be derived by the Manager or the subadvisor from their relationships with the Fund.
Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: the Fund’s long-term performance; the length of service of key investment personnel at the Manager; the cost structure of the Fund; the Manager’s culture of compliance and support that reduce risks to the Fund; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; and the Manager’s efforts to retain key employees and maintain staffing levels.
With respect to the renewal of the Investment Advisory Agreement, the Board considered the level of staffing and the size of the subadvisor. The Board also considered the adequacy of the resources committed to the Fund by the subadvisor, and whether those resources were commensurate with the needs of the Fund and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of the subadvisor. The Board also considered the subadvisor’s representations regarding its compliance program and code of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and the subadvisor were appropriate for the Fund.
Investment Performance. The Board evaluated the comparative information provided by Broadridge and the Manager regarding the performance of the Fund relative to its Broadridge performance universe, Morningstar Category, and benchmark index, as well as the Fund’s Morningstar rating. The Board considered the information provided by Broadridge regarding Broadridge’s independent methodology for selecting the Fund’s Broadridge performance universe. The Board also considered that the performance universes selected by Broadridge may not provide appropriate comparisons for the Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also evaluated the comparative information provided by the subadvisor regarding the performance of the Fund relative to the performance of the Fund’s benchmark index. In addition, the Board considered the Manager’s recommendation to continue to retain the subadvisor. A discussion regarding the Board’s considerations with respect to the Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to the Fund.”
Costs of the Services Provided to the Fund and the Profits Realized by the Manager from its Relationship with the Fund. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager, before and after the payment of distribution-related expenses by the Manager. The profits or losses were noted at both an aggregate level for all funds within the group of mutual funds sponsored by the Manager (the “Fund Complex”) and at an individual Fund level, with the Manager sustaining a loss before and after the payment of distribution-related expenses by the Manager for the Fund. The Board also considered comparative information provided by the Manager regarding the Manager’s overall profitability with respect to the Fund Complex relative to the overall profitability of other firms in the mutual fund industry, as disclosed in publicly available sources. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Fund, the Manager represented that,
55
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
among other matters, the difference is attributable to the fact that the Manager does not perform administrative services fornon-investment company clients and reflects the greater level of responsibility and regulatory requirements associated with managing the Fund.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for the Fund that were in place during the last fiscal year. The Board further considered that, with respect to the Fund, the Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager. The Board also noted that certain share classes of the Fund maintain higher expense ratios in order to compensate third-party financial intermediaries.
In analyzing the fee rates charged by the subadvisor in connection with its investment advisory services to the Fund, the Board considered representations made by the subadvisor that the subadvisor does not manage any comparable client accounts, and therefore could not provide fee schedules for comparable investment accounts managed by the subadvisor. The Board did not request profitability data from the subadvisor because the Board did not view this data as imperative to its deliberations given thearm’s-length nature of the relationship between the Manager and the subadvisor with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that the subadvisor may not account for its profits on anaccount-by-account basis and that different firms likely employ different methodologies in connection with these calculations.
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to the Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to the Fund.”
Economies of Scale.In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as the Fund grows and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered the subadvisor’s representation that it has not experienced and does not currently anticipate experiencing economies of scale with respect to its management of the Fund.
In addition, the Board noted the Manager’s representation that the Management Agreement contains fee schedule breakpoints at higher asset levels with respect to the Fund. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for the Fund provide for a reasonable sharing of benefits from any economies of scale with the Fund.
Benefits Derived from the Relationship with the Fund.The Board considered the“fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisor as a result of the advisory relationships with the Fund, including greater exposure in the marketplace with respect to the Manager’s or the subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisor. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisor by virtue of their relationships with the Fund appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to the Fund
The performance comparisons below were made in comparison to the Fund’s Broadridge performance universe and Morningstar Category. With respect to the Broadridge performance universe, the 1st Quintile represents the top 20 percent of the universe based on performance and the 5th Quintile representing the bottom 20 percent of the universe based on performance. References below to the Fund’s Broadridge performance universe are to the universe of mutual funds with a comparable investment classification/objective included in the analysis provided by Broadridge. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events and not necessarily reflective of manager skill.
56
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
The expense comparisons below were made in comparison to the Fund’s Broadridge expense universe and Broadridge expense group, with the 1st Quintile representing the lowest 20 percent of the universe or group based on lowest total expense and the 5th Quintile representing the highest 20 percent of the universe or group based on highest total expense. References below to the Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Broadridge. A Broadridge expense group consists of the Fund and a representative sample of funds with similar operating structures and asset sizes, as selected by Broadridge. A Broadridge expense universe includes all funds in the investment classification/objective with a similar operating structure as the share class of the Fund included in the Broadridge comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Board also considered the Fund’s Morningstar fee level category. In reviewing expenses, the Board considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the subadvisor’s use of soft dollars was requested from the Manager and was considered by the Board.
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with the subadvisor for the Fund, the Board considered the following additional factors:
Broadridge Total Expenses Excluding12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 4th Quintile | |
Compared to Broadridge Expense Universe | 5th Quintile | |
Morningstar Fee Level Ranking – Institutional Class | High Expense Ratio |
Broadridge and Morningstar Performance Analysis(three-year period ended December 31, 2018)
Compared to Broadridge Performance Universe | 4th Quintile | |
Compared to Morningstar Category | 4thQuintile |
The Board also considered: (1) that the Fund has only been operational since June 30, 2015; (2) the challenges associated with identifying a peer group for evaluating the Fund’s expenses and performance as none of the funds in the Fund’s Broadridge expense group, expense universe, performance universe or Morningstar category pursue a comparable investment strategy; (3) the additional expenses associated with the implementation of the Fund’s arbitrage-based investment strategy, which is broader than the investment strategies pursued by many of the funds in the Fund’s Broadridge expense group and expense universe; (4) the subadvisor’s investment advisory fee rate was reduced, effective December 1, 2018; and (5) the Manager’s representation that, while the Manager was recommending that the Board continue to retain the subadvisor, the Manager continues to evaluate the Fund’s ongoing operational viability and whether to make any further recommendations with respect to the Fund.
Based on these and other considerations, the Board: (1) concluded that the fees paid to the Manager and the subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; and (2) determined that the Fund and its shareholders would benefit from the Manager’s and the subadvisor’s continued management of the Fund.
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Delivery of Documents
eDelivery isNOW AVAILABLE - Stop traditional mail delivery and receive your
shareholder reports and summary prospectuson-line. Sign up at
www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, bye-mail. If you are interested in this option, please go towww.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
ByE-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website atwww.americanbeaconfunds.com | |
By Telephone: Call (800)658-5811 | By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 | |
Availability of Quarterly Portfolio Schedules | Availability of Proxy Voting Policy and Records | |
In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-PORT as of the first and third fiscal quarters. The Fund’s Forms N-PORT are available on the SEC’s website atwww.sec.gov. The Forms N-PORT may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, D.C. 20549-2736. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (800)-SEC-0330. A complete schedule of the Fund’s portfolio holdings is also available atwww.americanbeaconfunds.com approximately sixty days after the end of each month. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s websitewww.americanbeaconfunds.com and by calling1-800-967-9009 or by accessing the SEC’s website atwww.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on FormN-PX. The Fund’s FormsN-PX are available on the SEC’s website atwww.sec.gov. The Fund’s proxy voting record may also be obtained by calling1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Company Boston, Massachusetts | TRANSFER AGENT DST Asset Managers Solutions, Inc. Quincy, Massachusetts | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas | DISTRIBUTOR Resolute Investment Distributors, Inc. Irving, Texas |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds and American Beacon Ionic Strategic Arbitrage Fund are service marks of American Beacon Advisors, Inc.
SAR 6/19
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
AHL MANAGED FUTURES STRATEGY FUND
Investing inderivative instrumentsinvolves liquidity, credit, interest rate and market risks. The use ofquantitative modelsmay lead to high levels of trading and concentration among certain investments, resulting in higher trading costs and return volatility. Investing inforeign and emerging market securitiesmay involve heightened risk due to currency fluctuations and economic and political risks.Regulatory changesmay impair the Fund’s ability to qualify for federal income tax treatment as a regulated investment company, which could result in the Fund and shareholders incurring significant income tax expense. The Fund may havehigh portfolio turnover risk, which could increase the Fund’s transaction costs and possibly have a negative impact on performance. Because the Fund may invest infewer issuersthan a more diversified portfolio, the fluctuating value of a single holding may have a greater effect on the value of the Fund.
AHL TARGETRISK FUND
Investing inderivative instruments involves liquidity, credit, interest rate and market risks. The use ofquantitative models may lead to high levels of trading and concentration among certain investments, resulting in higher trading costs and return volatility. The Fund’s investments inhigh-yield or junk-rated securities are subject to greater levels of credit, interest rate, market and liquidity risks than investment-grade securities. In a period of sustained deflation,inflation index-linked securities may not pay any income and may suffer a loss. Investing inforeign and emerging market securities may involve heightened risk due to currency fluctuations and economic and political risks.Regulatory changes may impair the Fund’s ability to qualify for federal income tax treatment as a regulated investment company, which could result in the Fund and shareholders incurring significant income tax expense. The Fund may havehigh portfolio turnover risk, which could increase the Fund’s transaction costs and possibly have a negative impact on performance. Because the Fund may invest infewer issuers than a more diversified portfolio, the fluctuating value of a single holding may have a greater effect on the value of the Fund.
Please see the prospectus for a complete discussion of the Funds’ risks. There can be no assurances that the investment objectives of these Funds will be met.
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | June 30, 2019 |
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Renewal and Approval of Management Agreement and Investment Advisory Agreement | 77 |
Back Cover |
Dear Shareholders,
At American Beacon, we take our heritage as a fiduciary very seriously — and we apply that mindset to all aspects of our business as a fund manager. As a result, for more than 30 years, we have endeavored to:
u Identify, engage and oversee the best money managers.As a manager of managers, our goal is to engage the most effective money managers for each asset class, investment style and market strategy we offer. We are committed to partnering with those we judge to be “the best of the best” when it comes to choosingsub-advisors for our mutual funds. Whether ourdue-diligence process results in the selection of onesub-advisor or multiplesub-advisors, we select those we believe show the greatest potential to help us meet the high standards you’ve come to expect. |
u | Offer a variety of innovative investment solutions. Our mutual funds — which span the domestic, international, global, frontier and emerging markets — aresub-advised by experienced money managers who employ distinctive, proprietary investment processes to manage assets through a variety of economic and market conditions. From offering some of the first multi-manager funds, one of the first retirement income funds and the first open-ended mutual fund in the U.S. to focus primarily on frontier-market debt, our robust history includes applying a disciplined, solutions-based approach to our product development process in an effort to help you grow your assets while mitigating risk. |
u | Provide a solutions-based approach to achieving long-term investment goals.We seek to provide investment solutions that might enable you to benefit from taking a more disciplined approach to investing. Our mutual funds provide access to institutional-quality, research-intensive investment managers with diverse processes and styles. Over the long run, having such access and spending time in the market — rather than trying to time the market — may better position you to reach your long-term investment goals during market upswings and potentially insulate against market downswings. |
Our management approach is more than a concept; it’s the cornerstone of American Beacon’s culture. And we strive to employ it at every turn as we seek to provide a well-diversified line of investment solutions to help our shareholders seek long-term rewards.
Thank you for your continued interest in American Beacon. For additional information about our mutual funds or to access your account information, please visit our website atwww.americanbeaconfunds.com.
Best Regards,
Gene L. Needles, Jr.
President
American Beacon Funds
1
American Beacon AHL Managed Futures Strategy FundSM
Performance Overview
June 30, 2019 (Unaudited)
The Investor Class of the American Beacon AHL Managed Futures Strategy Fund (the “Fund”) returned 1.14% for the six months ended June 30, 2019.
Average Annual Total Returns for the Period ended June 30, 2019 |
| ||||||||||||||||||||||||||
Ticker | 6 Months* | 1 Year | 3 Years | Since Inception | |||||||||||||||||||||||
Institutional Class (1,5) | AHLIX | 1.32 | % | 5.06 | % | 2.26 | % | 4.21 | % | ||||||||||||||||||
Y Class (1,5) | AHLYX | 1.23 | % | 5.03 | % | 2.15 | % | 4.10 | % | ||||||||||||||||||
Investor Class (1,5) | AHLPX | 1.14 | % | 4.73 | % | 1.86 | % | 3.80 | % | ||||||||||||||||||
A Class without Sales Charge (1,2,5) | AHLAX | 1.05 | % | 4.68 | % | 1.82 | % | 3.77 | % | ||||||||||||||||||
A Class with Sales Charge (1,2,5) | AHLAX | (4.76 | )% | (1.36 | )% | (0.18 | )% | 2.51 | % | ||||||||||||||||||
C Class without Sales Charge (1,3,5) | AHLCX | 0.68 | % | 3.93 | % | 1.09 | % | 3.01 | % | ||||||||||||||||||
C Class with Sales Charge (1,3,5) | AHLCX | (0.32 | )% | 2.93 | % | 1.09 | % | 3.01 | % | ||||||||||||||||||
ICE BofAML 3-Month Treasury Bill Index (4) | 1.24 | % | 2.31 | % | 1.38 | % | 0.89 | % |
* | Not Annualized |
1. | Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is calculated based on the publishedend-of-day net asset values as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visitwww.americanbeaconfunds.com or call1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only; and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of the fees charged to each Class of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than actual returns shown. |
2. | A Class shares have a maximum sales charge of 5.75%. |
3. | C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase. |
4. | The ICE BofAML 3-Month Treasury Bill Index is designed to measure the total return on cash, including price and interest income, based on short-term government Treasury bills of about90-day maturity. One cannot directly invest in an index. |
5. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares were 1.71%, 1.72%, 1.97%, 2.05%, and 2.78%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
For the period, Fixed-Income was the best performing sector. A long position in the German bund (+1.1%) and a long position in the Euribor (+0.8%) were the top markets within the sector.
The remaining three sectors were negative over the period. Currencies were the worst performing sector for the period detracting from Fund performance. A long position in the Japanese yen versus the U.S. dollar detracted the most(-0.8%). Additionally, a long position in the Canadian dollar against the U.S. dollar generated losses of 0.5%.
Equities also realized losses over the period. The largest negative returner was a short position in the Korean Kospi(-0.6%). This was followed by a short position in the Russell 2000 which produced losses of 0.4%.
Lastly, Commodities added losses as well. Leading losses was a short position in West Texas Intermediate Crude Oil(-0.5%). Detracting the second most was a short position in Copper which returned-0.4%.
Looking forward, the Fund’ssub-advisor will continue to implement its trading strategy designed to capitalize on price trends (up or down) in a broad range of global stock index, bond, currency, short-term interest rate and commodity futures markets seeking to achieve the Fund’s goal of capital growth.
2
American Beacon AHL Managed Futures Strategy FundSM
Performance Overview
June 30, 2019 (Unaudited)
Commodities | % of VaR | * | ||||||
Natural Gas | Short | 9.56 | ||||||
Copper | Short | 3.11 | ||||||
Gold | Long | 2.67 | ||||||
Aluminum | Short | 2.00 | ||||||
Silver | Short | 1.11 | ||||||
Currencies | % of VaR | * | ||||||
GBP/USD | Short | 5.33 | ||||||
AUD/USD | Short | 3.11 | ||||||
EUR/USD | Short | 2.67 | ||||||
MXN/USD | Long | 2.44 | ||||||
CAD/USD | Long | 1.78 | ||||||
Equities | % of VaR | * | ||||||
S&P 500 Index | Long | 3.56 | ||||||
Australian SPI 200 Index | Long | 2.89 | ||||||
Euro-STOXX Index | Long | 2.22 | ||||||
FTSE 100 Index | Long | 2.22 | ||||||
South African All Share Index | Long | 2.20 | ||||||
Interest Rate | % of VaR | * | ||||||
U.S. Treasuries | Long | 5.11 | ||||||
German Bund | Long | 2.22 | ||||||
Australian Bonds | Long | 2.00 | ||||||
Japanese Bonds | Long | 1.56 | ||||||
Euribor | Long | 1.33 |
* | Value at Risk (“VaR”) is a measure of the potential loss in value of a portfolio over a defined period for a given confidence interval. Aone-day VaR at the 95% confidence level represents that there is a 5% probability that themark-to-market loss on the portfolio over a one day horizon will exceed this value (assuming normal markets and no trading in the portfolio). |
3
American Beacon AHL TargetRisk FundSM
Performance Overview
June 30, 2019 (Unaudited)
The Investor Class of the American Beacon AHL TargetRisk Fund (the “Fund”) returned 19.90% for the six months ended June 30, 2019.
Average Annual Total Returns for the Period ended June 30, 2019 | |||||||||||||||
Ticker | 6 Months* | Since Inception | |||||||||||||
Institutional Class (1,3) | AHTIX | 20.10 | % | 20.10 | % | ||||||||||
Y Class (1,3) | AHTYX | 20.00 | % | 20.00 | % | ||||||||||
Investor Class (1,3) | AHTPX | 19.90 | % | 19.90 | % | ||||||||||
A Class without Sales Charge (1,2,3) | AHTAX | 20.01 | % | 20.01 | % | ||||||||||
A Class with Sales Charge (1,2,3) | AHTAX | 13.11 | % | 13.11 | % | ||||||||||
C Class without Sales Charge (1,2,3) | AHACX | 19.91 | % | 19.91 | % | ||||||||||
C Class with Sales Charge (1,2,3) | AHACX | 18.91 | % | 18.91 | % |
* | Not Annualized |
1. | Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is calculated based on the publishedend-of-day net asset values as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visitwww.americanbeaconfunds.com or call1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of the fees charged to each Class of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than actual returns shown since inception. Please note that the recent performance of the securities market has helped produce short-term returns that are not typical and may not continue in the future. |
2. | A Class shares have a maximum sales charge of 5.75%. The maximum contingent deferred sales charge for the C Class is 1.00% for shares redeemed within one year of the date of purchase. Fund performance represents the returns achieved by the Investor Class from 12/31/18 up to the 4/30/19 inception date of the A and C Classes and returns of the A and C Classes since 4/20/19. |
3. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A and C Class shares were 2.04%, 2.14%, 2.42%, 2.44% and 3.19%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
4. | The AHL TargetRisk Fund’s annual total return is compared to the TargetRisk Composite Index, which combines the returns of the MSCI World Index Hedged to U.S. Dollars (USD) and the Bloomberg Barclays Global-Aggregate Total Return Index Value Hedged USD in a 60%/40% proportion. The MSCI World Index Hedged to USD represents a close estimation of the performance that can be achieved by hedging the currency exposures of its parent index, the MSCI World Index, to the USD, the “home” currency for the hedged index. The index is 100% hedged to the USD by selling each foreign currency forward at the one-month forward weight. The parent index is composed of large and mid-cap stocks across 23 Developed Markets (DM) countries and its local performance is calculated in 13 different currencies, including the Euro. The MSCI© information contained herein: (1) is provided “as is,” (2) is proprietary to MSCI and/or its content providers, (3) may not be used to create any financial instruments or products or any indexes and (4) may not be copied or distributed without MSCI’s express written consent. MSCI disclaims all warranties with respect to the information. Neither MSCI nor its content providers are responsible for any damages or losses arising from any use of this information. The Bloomberg Barclays Global-Aggregate Total Return Index Value Hedged USD is a flagship measure of global investment grade debt from 24 local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. One cannot directly invest in an index. |
Over the first half of 2019, markets were generally positive with some intermittent volatility along the way in large part due to the up and down trade negotiations between the world’s two largest economies, the U.S. and China. In early January, the U.S. Fed surprised markets by projecting no further rate hikes this year as the economy showed signs of cooling growth. Overall, this backdrop led to a supportive environment for the Fund’s investment strategy.
All sectors within the Fund produced positive returns over the period. Bonds led the way as the top performer returning 9.8%. Within the sector, the best performing markets were the U.S. Inflation-Linked Bonds (up 1.8%) and U.K. 10-Year Gilts (up 1.0%). Equities were the next best performing sector adding approximately 6.7% to Fund performance. Within equities, the FTSE 100 Index (up 1.4%) generated the largest gain, and the S&P 500 Index (up 1.3%) registered second most. Credit gained 3.1%. The U.S. High Yield CDX Index (up 1.5%) performed best followed by the U.S. 5-Year CDX Index (up 0.9%). Lastly, Commodities contributed 0.3% to Fund performance.
Looking forward, the Fund’ssub-advisor will continue to implement its strategy of building a multi-asset portfolio and combining rigorous risk controls to provide a stable level of volatility while seeking to achieve the Fund’s goal of capital growth.
4
American Beacon AHL TargetRisk FundSM
Performance Overview
June 30, 2019 (Unaudited)
Top Ten Holdings | % of VaR | * | ||||||||||
U.S. Treasuries | 0.4 | |||||||||||
Gilts | 0.3 | |||||||||||
BBG Commodityex-Agriculturals Index | 0.2 | |||||||||||
FTSE 100 | 0.2 | |||||||||||
S&P 500 Index | 0.1 | |||||||||||
Euro-BUND | 0.1 | |||||||||||
NASDAQ 100 Index | 0.1 | |||||||||||
US High Yield CDX Index | 0.1 | |||||||||||
French Bonds | 0.1 | |||||||||||
Nikkei | 0.1 |
* | Value at Risk (“VaR”) is a measure of the potential loss in value of a portfolio over a defined period for a given confidence interval. Aone-day VaR at the 95% confidence level represents that there is a 5% probability that themark-to-market loss on the portfolio over a one day horizon will exceed this value (assuming normal markets and no trading in the portfolio). |
5
Expense Examples
June 30, 2019 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees, if applicable, and (2) ongoing costs, including management fees, distribution(12b-1) fees,sub-transfer agent fees, and other Fund expenses. The Examples are intended to help you understand the ongoing cost (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Examples are based on an investment of $1,000 invested at the beginning of the period in each Class and held for the entire period from January 1, 2019 through June 30, 2019.
Actual Expenses
The “Actual” lines of the tables provide information about actual account values and actual expenses. You may use the information on this page, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders of the Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Hypothetical Example for Comparison Purposes
The “Hypothetical” lines of the tables provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in the Funds with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Investor and Institutional Classes that invest in the Funds through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Funds, such as sales charges (loads) or redemption fees, as applicable. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
6
American Beacon FundsSM
Expense Examples
June 30, 2019 (Unaudited)
American Beacon AHL Managed Futures Strategy Fund |
| ||||||||||||||
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period 1/1/2019-6/30/2019* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,012.20 | $7.68 | ||||||||||||
Hypothetical** | $1,000.00 | $1,017.16 | $7.70 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,012.30 | $8.18 | ||||||||||||
Hypothetical** | $1,000.00 | $1,016.66 | $8.20 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,011.40 | $9.58 | ||||||||||||
Hypothetical** | $1,000.00 | $1,015.27 | $9.59 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $1,010.50 | $9.67 | ||||||||||||
Hypothetical** | $1,000.00 | $1,015.17 | $9.69 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $1,006.80 | $13.38 | ||||||||||||
Hypothetical** | $1,000.00 | $1,011.46 | $13.42 |
* | Expenses are equal to the Fund’s annualized expense ratios for thesix-month period of 1.54%, 1.64%, 1.92%, 1.94%, and 2.69% for the Institutional, Y, Investor, A, and C Classes, respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
American Beacon AHL TargetRisk Fund |
| ||||||||||||||
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period 1/1/2019-6/30/2019* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,201.00 | $5.68 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.64 | $5.21 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,200.00 | $6.22 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.14 | $5.71 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,199.00 | $7.74 | ||||||||||||
Hypothetical** | $1,000.00 | $1,017.75 | $7.10 | ||||||||||||
A Class*** | |||||||||||||||
Actual | $1,000.00 | $1,058.30 | $2.48 | ||||||||||||
Hypothetical** | $1,000.00 | $1,017.65 | $7.20 | ||||||||||||
C Class*** | |||||||||||||||
Actual | $1,000.00 | $1,057.40 | $3.77 | ||||||||||||
Hypothetical** | $1,000.00 | $1,013.94 | $10.94 |
* | Expenses are equal to the Fund’s annualized expense ratios for thesix-month period of 1.04%, 1.14%, 1.42%, 1.44%, and 2.19% for the Institutional, Y, Investor, A, and C Classes, respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
*** | American Beacon AHL TargetRisk Fund’s A and C Classes commenced operations on April 30, 2019. Expenses are equal to the fund’s annualized expense ratio for the period, multiplied by the average account value over the period, multiplied by the number of days since inception (61), then divided by the number of days in the year (365) to reflect the period. The Ending Account Value is derived from the fund’s share class actual return since inception. The Hypothetical 5% Annual Return information reflects the (181) day period for the six months ended June 30, 2019 to allow for comparability. |
7
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
SHORT-TERM INVESTMENTS - 90.97% | |||||||||||||||
Investment Companies - 4.34% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 2.32%A B C | 45,380,132 | $ | 45,380,132 | ||||||||||||
|
| ||||||||||||||
Principal Amount | |||||||||||||||
U.S. Treasury Obligations - 86.63% | |||||||||||||||
U.S. Treasury Bills, | |||||||||||||||
2.437%, Due 7/5/2019 | $ | 50,000,000 | 49,989,165 | ||||||||||||
2.416%, Due 7/18/2019A | 30,000,000 | 29,970,941 | |||||||||||||
2.420%, Due 7/18/2019 | 55,000,000 | 54,946,724 | |||||||||||||
2.386%, Due 8/15/2019 | 50,000,000 | 49,869,218 | |||||||||||||
2.391%, Due 8/15/2019A | 32,000,000 | 31,916,300 | |||||||||||||
2.452%, Due 9/5/2019A | 91,000,000 | 90,650,901 | |||||||||||||
2.410%, Due 9/19/2019 | 50,000,000 | 49,769,148 | |||||||||||||
2.354%, Due 9/26/2019A | 82,000,000 | 81,588,804 | |||||||||||||
2.385%, Due 10/3/2019A | 31,000,000 | 30,830,624 | |||||||||||||
2.385%, Due 10/3/2019 | 50,000,000 | 49,726,813 | |||||||||||||
2.419%, Due 10/10/2019 | 50,000,000 | 49,706,118 | |||||||||||||
2.353%, Due 10/17/2019A | 30,000,000 | 29,815,725 | |||||||||||||
2.369%, Due 10/17/2019 | 100,000,000 | 99,385,750 | |||||||||||||
2.305%, Due 10/31/2019 | 40,000,000 | 39,725,839 | |||||||||||||
2.031%, Due 11/7/2019 | 30,000,000 | 29,778,281 | |||||||||||||
2.355%, Due 11/14/2019A | 109,000,000 | 108,153,797 | |||||||||||||
1.995%, Due 12/12/2019A | 30,000,000 | 29,721,713 | |||||||||||||
|
| ||||||||||||||
905,545,861 | |||||||||||||||
|
| ||||||||||||||
Total Short-Term Investments (Cost $950,342,051) | 950,925,993 | ||||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 90.97% (Cost $950,342,051) | 950,925,993 | ||||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 9.03% | 94,428,866 | ||||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 1,045,354,859 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
A All or a portion represents positions held by the American Beacon Cayman Managed Futures Strategy Fund, Ltd.
B The Fund is affiliated by having the same investment advisor.
C7-day yield.
Long Futures Contracts Open on June 30, 2019: | ||||||||||||||||
Commodity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Cocoa FuturesA | 398 | September 2019 | $ | 9,939,896 | $ | 9,651,500 | $ | (288,396 | ) | |||||||
Corn FuturesA | 746 | December 2019 | 16,875,508 | 16,094,950 | (780,558 | ) | ||||||||||
Gasoline RBOB FuturesA | 19 | July 2019 | 1,525,556 | 1,513,487 | (12,069 | ) | ||||||||||
Gold 100oz FuturesA | 536 | August 2019 | 71,470,676 | 75,774,320 | 4,303,644 | |||||||||||
LME Copper FuturesA | 64 | July 2019 | 10,365,576 | 9,587,200 | (778,376 | ) | ||||||||||
LME Copper FuturesA | 56 | August 2019 | 8,389,450 | 8,391,600 | 2,150 | |||||||||||
LME Lead FuturesA | 50 | July 2019 | 2,365,808 | 2,406,875 | 41,067 | |||||||||||
LME Nickel FuturesA | 75 | July 2019 | 5,513,226 | 5,688,000 | 174,774 | |||||||||||
LME Nickel FuturesA | 69 | August 2019 | 5,194,978 | 5,247,864 | 52,886 | |||||||||||
LME Primary Aluminum FuturesA | 294 | July 2019 | 13,150,199 | 13,099,537 | (50,662 | ) | ||||||||||
LME Zinc FuturesA | 58 | July 2019 | 4,170,378 | 3,690,250 | (480,128 | ) | ||||||||||
LME Zinc FuturesA | 58 | August 2019 | 3,810,936 | 3,635,150 | (175,786 | ) | ||||||||||
Sugar #11 World FuturesA | 520 | September 2019 | 7,438,524 | 7,349,888 | (88,636 | ) | ||||||||||
|
|
|
|
|
| |||||||||||
$ | 160,210,711 | $ | 162,130,621 | $ | 1,919,910 | |||||||||||
|
|
|
|
|
|
See accompanying notes
8
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Canadian Dollar Currency Futures | 1,158 | September 2019 | $ | 88,090,693 | $ | 88,650,690 | $ | 559,997 | ||||||||
Japanese Yen Currency Futures | 367 | September 2019 | 43,028,569 | 42,805,963 | (222,606 | ) | ||||||||||
Mexican Peso Futures | 3,569 | September 2019 | 91,803,767 | 91,830,370 | 26,603 | |||||||||||
U.S. Dollar Index Futures | 692 | September 2019 | 66,611,024 | 66,200,872 | (410,152 | ) | ||||||||||
|
|
|
|
|
| |||||||||||
$ | 289,534,053 | $ | 289,487,895 | $ | (46,158 | ) | ||||||||||
|
|
|
|
|
| |||||||||||
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Amsterdam Index Futures | 233 | July 2019 | $ | 29,495,947 | $ | 29,723,046 | $ | 227,099 | ||||||||
CAC40 Index Futures | 515 | July 2019 | 32,176,646 | 32,401,612 | 224,966 | |||||||||||
DAX Index Futures | 157 | September 2019 | 55,021,764 | 55,289,108 | 267,344 | |||||||||||
Euro Stoxx 50 Index Futures | 1,625 | September 2019 | 63,561,935 | 64,044,324 | 482,389 | |||||||||||
FTSE 100 Index Futures | 715 | September 2019 | 66,883,000 | 66,911,534 | 28,534 | |||||||||||
FTSE/JSE Top 40 Index Futures | 1,454 | September 2019 | 54,595,352 | 54,125,756 | (469,596 | ) | ||||||||||
FTSE/MIB Index Futures | 282 | September 2019 | 33,496,874 | 33,919,653 | 422,779 | |||||||||||
Hang Seng China Enterprises Index Futures | 174 | July 2019 | 11,946,937 | 12,067,092 | 120,155 | |||||||||||
Hang Seng Index Futures | 171 | July 2019 | 30,859,040 | 31,199,067 | 340,027 | |||||||||||
IBEX 35 Index Futures | 182 | July 2019 | 18,996,904 | 18,983,728 | (13,176 | ) | ||||||||||
Mini MSCI EAFE Index Futures | 354 | September 2019 | 33,896,321 | 34,042,410 | 146,089 | |||||||||||
Mini MSCI Emerging Markets Index Futures | 217 | September 2019 | 11,319,804 | 11,429,390 | 109,586 | |||||||||||
MSCI Taiwan Stock Index Futures | 1,005 | July 2019 | 38,736,204 | 38,843,250 | 107,046 | |||||||||||
NASDAQ 100E-Mini Futures | 290 | September 2019 | 43,931,787 | 44,623,750 | 691,963 | |||||||||||
Nikkei 225 (SGX) Futures | 227 | September 2019 | 22,301,973 | 22,338,914 | 36,941 | |||||||||||
OMXS30 Index Futures | 1,142 | July 2019 | 19,626,538 | 19,931,796 | 305,258 | |||||||||||
S&P 500E-Mini Index Futures | 721 | September 2019 | 104,771,818 | 106,138,410 | 1,366,592 | |||||||||||
S&P/TSX 60 Index Futures | 397 | September 2019 | 59,181,558 | 59,279,432 | 97,874 | |||||||||||
SPI 200 Futures | 826 | September 2019 | 94,147,313 | 95,088,002 | 940,689 | |||||||||||
|
|
|
|
|
| |||||||||||
$ | 824,947,715 | $ | 830,380,274 | $ | 5,432,559 | |||||||||||
|
|
|
|
|
| |||||||||||
Interest Rate Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
3-Month Euro Euribor Futures | 2,568 | September 2020 | $ | 732,874,544 | $ | 733,595,397 | $ | 720,853 | ||||||||
3-Month Euro Euribor Futures | 2,157 | June 2021 | 615,183,991 | 615,817,945 | 633,954 | |||||||||||
3-Month Euro Euribor Futures | 1,466 | March 2022 | 417,673,030 | 418,080,802 | 407,772 | |||||||||||
90-Day Eurodollar Futures | 690 | September 2020 | 169,573,080 | 169,817,625 | 244,545 | |||||||||||
90-Day Eurodollar Futures | 741 | June 2021 | 182,167,102 | 182,360,100 | 192,998 | |||||||||||
90-Day Eurodollar Futures | 839 | March 2022 | 206,112,742 | 206,310,100 | 197,358 | |||||||||||
90-Day Sterling Futures | 2,904 | September 2020 | 457,551,058 | 457,557,214 | 6,156 | |||||||||||
90-Day Sterling Futures | 2,884 | June 2021 | 454,439,592 | 454,268,649 | (170,943 | ) | ||||||||||
Australian10-Year Bond Futures | 1,086 | September 2019 | 108,812,862 | 109,522,635 | 709,773 | |||||||||||
Australian3-Year Bond Futures | 2,342 | September 2019 | 188,834,050 | 189,079,210 | 245,160 | |||||||||||
Euro-Bobl Futures | 2,113 | September 2019 | 321,738,071 | 323,018,000 | 1,279,929 | |||||||||||
Euro-Bund Futures | 1,159 | September 2019 | 225,307,756 | 227,653,889 | 2,346,133 | |||||||||||
Euro-Buxl Futures | 179 | September 2019 | 40,152,236 | 41,298,455 | 1,146,219 | |||||||||||
Euro-Schatz Futures | 1,665 | September 2019 | 212,218,334 | 212,586,022 | 367,688 | |||||||||||
Japanese10-Year Government Bond Futures | 345 | September 2019 | 490,963,231 | 492,308,584 | 1,345,353 | |||||||||||
Long GILT Futures | 625 | September 2019 | 102,607,823 | 103,421,497 | 813,674 | |||||||||||
U.S. Long Bond Futures | 499 | September 2019 | 75,705,896 | 77,641,281 | 1,935,385 | |||||||||||
U.S. Treasury10-Year Note Futures | 1,047 | September 2019 | 131,539,237 | 133,983,281 | 2,444,044 | |||||||||||
U.S. Treasury2-Year Note Futures | 449 | September 2019 | 96,049,223 | 96,615,680 | 566,457 | |||||||||||
U.S. Treasury5-Year Note Futures | 910 | September 2019 | 106,362,559 | 107,522,188 | 1,159,629 | |||||||||||
U.S. Ultra Bond Futures | 248 | September 2019 | 42,576,044 | 44,035,500 | 1,459,456 | |||||||||||
|
|
|
|
|
| |||||||||||
$ | 5,378,442,461 | $ | 5,396,494,054 | $ | 18,051,593 | |||||||||||
|
|
|
|
|
|
See accompanying notes
9
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Short Futures Contracts Open on June 30, 2019: |
| |||||||||||||||
Commodity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Brent Crude FuturesA | 22 | July 2019 | $ | (1,379,751 | ) | $ | (1,424,280 | ) | $ | (44,529 | ) | |||||
Coffee FuturesA | 152 | September 2019 | (5,663,450 | ) | (6,238,650 | ) | (575,200 | ) | ||||||||
KC Hard Red Winter Wheat FuturesA | 150 | September 2019 | (3,550,317 | ) | (3,461,250 | ) | 89,067 | |||||||||
KC Hard Red Winter Wheat FuturesA | 106 | December 2019 | (2,601,291 | ) | (2,567,850 | ) | 33,441 | |||||||||
LME Copper FuturesA | 64 | July 2019 | (9,895,916 | ) | (9,587,200 | ) | 308,716 | |||||||||
LME Copper FuturesA | 287 | August 2019 | (42,883,338 | ) | (43,006,950 | ) | (123,612 | ) | ||||||||
LME Copper FuturesA | 46 | September 2019 | (6,731,109 | ) | (6,895,400 | ) | (164,291 | ) | ||||||||
LME Copper FuturesA | 511 | September 2019 | (34,134,477 | ) | (34,664,963 | ) | (530,486 | ) | ||||||||
LME Lead FuturesA | 112 | July 2019 | (5,396,646 | ) | (5,391,400 | ) | 5,246 | |||||||||
LME Lead FuturesA | 82 | August 2019 | (3,852,684 | ) | (3,958,550 | ) | (105,866 | ) | ||||||||
LME Lead FuturesA | 7 | September 2019 | (332,817 | ) | (338,100 | ) | (5,283 | ) | ||||||||
LME Nickel FuturesA | 75 | July 2019 | (5,529,478 | ) | (5,688,000 | ) | (158,522 | ) | ||||||||
LME Nickel FuturesA | 73 | August 2019 | (5,204,140 | ) | (5,552,088 | ) | (347,948 | ) | ||||||||
LME Nickel FuturesA | 46 | September 2019 | (3,231,240 | ) | (3,506,580 | ) | (275,340 | ) | ||||||||
LME Primary Aluminum FuturesA | 656 | July 2019 | (30,356,104 | ) | (29,228,900 | ) | 1,127,204 | |||||||||
LME Primary Aluminum FuturesA | 290 | August 2019 | (13,001,594 | ) | (12,997,437 | ) | 4,157 | |||||||||
LME Primary Aluminum FuturesA | 414 | September 2019 | (18,603,531 | ) | (18,632,588 | ) | (29,057 | ) | ||||||||
LME Zinc FuturesA | 58 | July 2019 | (3,727,261 | ) | (3,690,250 | ) | 37,011 | |||||||||
LME Zinc FuturesA | 77 | August 2019 | (4,791,900 | ) | (4,825,975 | ) | (34,075 | ) | ||||||||
LME Zinc FuturesA | 61 | September 2019 | (3,761,385 | ) | (3,814,025 | ) | (52,640 | ) | ||||||||
Low Sulphur Gasoil FuturesA | 128 | July 2019 | (7,129,683 | ) | (7,616,000 | ) | (486,317 | ) | ||||||||
Natural Gas Swap FuturesA | 3,379 | July 2019 | (79,638,207 | ) | (77,987,320 | ) | 1,650,887 | |||||||||
Natural Gas Swap FuturesA | 264 | October 2019 | (1,845,817 | ) | (1,583,340 | ) | 262,477 | |||||||||
Natural Gas Swap FuturesA | 264 | November 2019 | (1,845,817 | ) | (1,712,700 | ) | 133,117 | |||||||||
Natural Gas Swap FuturesA | 264 | December 2019 | (1,845,818 | ) | (1,786,620 | ) | 59,198 | |||||||||
Natural Gas Swap FuturesA | 264 | January 2020 | (1,845,818 | ) | (1,766,820 | ) | 78,998 | |||||||||
Natural Gas Swap FuturesA | 264 | February 2020 | (1,845,817 | ) | (1,717,320 | ) | 128,497 | |||||||||
Natural Gas Swap FuturesA | 344 | March 2020 | (2,189,442 | ) | (2,076,040 | ) | 113,402 | |||||||||
Natural Gas Swap FuturesA | 344 | April 2020 | (2,189,442 | ) | (2,054,540 | ) | 134,902 | |||||||||
Natural Gas Swap FuturesA | 344 | May 2020 | (2,189,442 | ) | (2,088,940 | ) | 100,502 | |||||||||
Natural Gas Swap FuturesA | 344 | June 2020 | (2,189,442 | ) | (2,125,060 | ) | 64,382 | |||||||||
Natural Gas Swap FuturesA | 344 | July 2020 | (2,189,442 | ) | (2,137,960 | ) | 51,482 | |||||||||
Natural Gas Swap FuturesA | 344 | August 2020 | (2,189,442 | ) | (2,127,640 | ) | 61,802 | |||||||||
Natural Gas Swap FuturesA | 344 | September 2020 | (2,189,442 | ) | (2,148,280 | ) | 41,162 | |||||||||
NY Harbor ULSD FuturesA | 128 | July 2019 | (9,824,426 | ) | (10,426,214 | ) | (601,788 | ) | ||||||||
Silver FuturesA | 359 | September 2019 | (27,410,362 | ) | (27,537,095 | ) | (126,733 | ) | ||||||||
Soybean FuturesA | 377 | November 2019 | (17,271,991 | ) | (17,398,550 | ) | (126,559 | ) | ||||||||
WTI Crude FuturesA | 66 | July 2019 | (3,499,950 | ) | (3,859,020 | ) | (359,070 | ) | ||||||||
|
|
|
|
|
| |||||||||||
$ | (373,958,229 | ) | $ | (373,619,895 | ) | $ | 338,334 | |||||||||
|
|
|
|
|
| |||||||||||
Currency Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Austrailian Dollar Currency Futures | 1,988 | September 2019 | $ | (137,894,742 | ) | $ | (139,875,680 | ) | $ | (1,980,938 | ) | |||||
British Pound Currency Futures | 2,982 | September 2019 | (237,725,710 | ) | (237,609,487 | ) | 116,223 | |||||||||
Euro Currency Futures | 1,175 | September 2019 | (166,256,523 | ) | (168,120,469 | ) | (1,863,946 | ) | ||||||||
New Zealand Dollar Currency Futures | 566 | September 2019 | (37,283,971 | ) | (38,074,820 | ) | (790,849 | ) | ||||||||
Swiss Franc Currency Futures | 33 | September 2019 | (4,163,443 | ) | (4,257,825 | ) | (94,382 | ) | ||||||||
|
|
|
|
|
| |||||||||||
$ | (583,324,389 | ) | $ | (587,938,281 | ) | $ | (4,613,892 | ) | ||||||||
|
|
|
|
|
|
See accompanying notes
10
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
KOSPI 200 Index Futures | 761 | September 2019 | $ | (44,980,559 | ) | $ | (45,871,563 | ) | $ | (891,004 | ) | |||||
Russell 2000E-Mini Index Futures | 49 | September 2019 | (3,744,146 | ) | (3,839,395 | ) | (95,249 | ) | ||||||||
TOPIX Index Futures | 41 | September 2019 | (5,910,594 | ) | (5,898,159 | ) | 12,435 | |||||||||
|
|
|
|
|
| |||||||||||
$ | (54,635,299 | ) | $ | (55,609,117 | ) | $ | (973,818 | ) | ||||||||
|
|
|
|
|
|
Forward Foreign Currency Contracts Open on June 30, 2019: |
| |||||||||||||||||||||||||||
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
INR | 36,203 | USD | 35,875 | 7/5/2019 | DUB | $ | 328 | $ | - | $ | 328 | |||||||||||||||||
INR | 36,203 | USD | 35,881 | 7/5/2019 | DUB | 322 | - | 322 | ||||||||||||||||||||
INR | 72,406 | USD | 71,165 | 7/5/2019 | DUB | 1,241 | - | 1,241 | ||||||||||||||||||||
INR | 72,406 | USD | 71,641 | 7/5/2019 | DUB | 765 | - | 765 | ||||||||||||||||||||
INR | 72,406 | USD | 71,338 | 7/5/2019 | DUB | 1,068 | - | 1,068 | ||||||||||||||||||||
INR | 72,406 | USD | 71,430 | 7/5/2019 | DUB | 976 | - | 976 | ||||||||||||||||||||
INR | 72,406 | USD | 71,767 | 7/5/2019 | DUB | 639 | - | 639 | ||||||||||||||||||||
INR | 72,406 | USD | 71,846 | 7/5/2019 | DUB | 560 | - | 560 | ||||||||||||||||||||
INR | 72,406 | USD | 71,841 | 7/5/2019 | DUB | 565 | - | 565 | ||||||||||||||||||||
INR | 72,406 | USD | 71,846 | 7/5/2019 | DUB | 560 | - | 560 | ||||||||||||||||||||
INR | 72,406 | USD | 71,948 | 7/5/2019 | DUB | 458 | - | 458 | ||||||||||||||||||||
INR | 72,406 | USD | 71,939 | 7/5/2019 | DUB | 467 | - | 467 | ||||||||||||||||||||
INR | 72,406 | USD | 71,800 | 7/5/2019 | DUB | 606 | - | 606 | ||||||||||||||||||||
INR | 108,608 | USD | 107,913 | 7/5/2019 | DUB | 695 | - | 695 | ||||||||||||||||||||
INR | 108,608 | USD | 107,735 | 7/5/2019 | DUB | 873 | - | 873 | ||||||||||||||||||||
INR | 112,763 | USD | 111,216 | 7/5/2019 | DUB | 1,547 | - | 1,547 | ||||||||||||||||||||
INR | 144,811 | USD | 142,861 | 7/5/2019 | DUB | 1,950 | - | 1,950 | ||||||||||||||||||||
INR | 144,811 | USD | 142,677 | 7/5/2019 | DUB | 2,134 | - | 2,134 | ||||||||||||||||||||
INR | 144,811 | USD | 142,859 | 7/5/2019 | DUB | 1,952 | - | 1,952 | ||||||||||||||||||||
INR | 144,811 | USD | 142,773 | 7/5/2019 | DUB | 2,038 | - | 2,038 | ||||||||||||||||||||
INR | 144,811 | USD | 143,673 | 7/5/2019 | DUB | 1,138 | - | 1,138 | ||||||||||||||||||||
INR | 144,811 | USD | 143,876 | 7/5/2019 | DUB | 935 | - | 935 | ||||||||||||||||||||
INR | 144,811 | USD | 143,637 | 7/5/2019 | DUB | 1,174 | - | 1,174 | ||||||||||||||||||||
INR | 181,014 | USD | 177,999 | 7/5/2019 | DUB | 3,015 | - | 3,015 | ||||||||||||||||||||
INR | 181,014 | USD | 178,198 | 7/5/2019 | DUB | 2,816 | - | 2,816 | ||||||||||||||||||||
INR | 217,217 | USD | 215,628 | 7/5/2019 | DUB | 1,589 | - | 1,589 | ||||||||||||||||||||
INR | 217,217 | USD | 215,450 | 7/5/2019 | DUB | 1,767 | - | 1,767 | ||||||||||||||||||||
INR | 217,217 | USD | 215,115 | 7/5/2019 | DUB | 2,102 | - | 2,102 | ||||||||||||||||||||
INR | 217,217 | USD | 215,351 | 7/5/2019 | DUB | 1,866 | - | 1,866 | ||||||||||||||||||||
INR | 253,420 | USD | 250,014 | 7/5/2019 | DUB | 3,406 | - | 3,406 | ||||||||||||||||||||
INR | 253,420 | USD | 252,238 | 7/5/2019 | DUB | 1,182 | - | 1,182 | ||||||||||||||||||||
INR | 325,826 | USD | 321,590 | 7/5/2019 | DUB | 4,236 | - | 4,236 | ||||||||||||||||||||
INR | 325,826 | USD | 320,948 | 7/5/2019 | DUB | 4,878 | - | 4,878 | ||||||||||||||||||||
INR | 325,826 | USD | 323,290 | 7/5/2019 | DUB | 2,536 | - | 2,536 | ||||||||||||||||||||
INR | 325,826 | USD | 323,063 | 7/5/2019 | DUB | 2,763 | - | 2,763 | ||||||||||||||||||||
INR | 325,826 | USD | 323,015 | 7/5/2019 | DUB | 2,811 | - | 2,811 | ||||||||||||||||||||
INR | 325,826 | USD | 323,476 | 7/5/2019 | DUB | 2,350 | - | 2,350 | ||||||||||||||||||||
INR | 362,028 | USD | 357,633 | 7/5/2019 | DUB | 4,395 | - | 4,395 | ||||||||||||||||||||
INR | 362,028 | USD | 358,905 | 7/5/2019 | DUB | 3,123 | - | 3,123 | ||||||||||||||||||||
INR | 362,028 | USD | 358,443 | 7/5/2019 | DUB | 3,585 | - | 3,585 | ||||||||||||||||||||
INR | 398,231 | USD | 392,475 | 7/5/2019 | DUB | 5,756 | - | 5,756 | ||||||||||||||||||||
INR | 398,231 | USD | 394,310 | 7/5/2019 | DUB | 3,921 | - | 3,921 | ||||||||||||||||||||
INR | 434,434 | USD | 427,960 | 7/5/2019 | DUB | 6,474 | - | 6,474 | ||||||||||||||||||||
INR | 434,434 | USD | 430,323 | 7/5/2019 | DUB | 4,111 | - | 4,111 | ||||||||||||||||||||
INR | 434,434 | USD | 431,512 | 7/5/2019 | DUB | 2,922 | - | 2,922 | ||||||||||||||||||||
INR | 470,637 | USD | 467,599 | 7/5/2019 | DUB | 3,038 | - | 3,038 | ||||||||||||||||||||
INR | 470,637 | USD | 466,023 | 7/5/2019 | DUB | 4,614 | - | 4,614 | ||||||||||||||||||||
INR | 470,637 | USD | 467,330 | 7/5/2019 | DUB | 3,307 | - | 3,307 |
See accompanying notes
11
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
INR | 470,637 | USD | 467,718 | 7/5/2019 | DUB | $ | 2,919 | $ | - | $ | 2,919 | |||||||||||||||||
INR | 506,840 | USD | 500,395 | 7/5/2019 | DUB | 6,445 | - | 6,445 | ||||||||||||||||||||
INR | 506,840 | USD | 503,670 | 7/5/2019 | DUB | 3,170 | - | 3,170 | ||||||||||||||||||||
INR | 543,043 | USD | 538,376 | 7/5/2019 | DUB | 4,667 | - | 4,667 | ||||||||||||||||||||
INR | 575,091 | USD | 567,217 | 7/5/2019 | DUB | 7,874 | - | 7,874 | ||||||||||||||||||||
INR | 579,245 | USD | 572,766 | 7/5/2019 | DUB | 6,479 | - | 6,479 | ||||||||||||||||||||
INR | 615,448 | USD | 611,674 | 7/5/2019 | DUB | 3,774 | - | 3,774 | ||||||||||||||||||||
INR | 615,448 | USD | 611,765 | 7/5/2019 | DUB | 3,683 | - | 3,683 | ||||||||||||||||||||
INR | 615,448 | USD | 611,903 | 7/5/2019 | DUB | 3,545 | - | 3,545 | ||||||||||||||||||||
INR | 687,854 | USD | 682,697 | 7/5/2019 | DUB | 5,157 | - | 5,157 | ||||||||||||||||||||
INR | 724,057 | USD | 718,556 | 7/5/2019 | DUB | 5,501 | - | 5,501 | ||||||||||||||||||||
INR | 760,260 | USD | 753,683 | 7/5/2019 | DUB | 6,577 | - | 6,577 | ||||||||||||||||||||
INR | 760,260 | USD | 753,228 | 7/5/2019 | DUB | 7,032 | - | 7,032 | ||||||||||||||||||||
INR | 796,462 | USD | 791,355 | 7/5/2019 | DUB | 5,107 | - | 5,107 | ||||||||||||||||||||
INR | 868,868 | USD | 863,235 | 7/5/2019 | DUB | 5,633 | - | 5,633 | ||||||||||||||||||||
INR | 905,071 | USD | 899,578 | 7/5/2019 | DUB | 5,493 | - | 5,493 | ||||||||||||||||||||
INR | 905,071 | USD | 899,423 | 7/5/2019 | DUB | 5,648 | - | 5,648 | ||||||||||||||||||||
INR | 977,477 | USD | 971,517 | 7/5/2019 | DUB | 5,960 | - | 5,960 | ||||||||||||||||||||
INR | 1,122,288 | USD | 1,115,670 | 7/5/2019 | DUB | 6,618 | - | 6,618 | ||||||||||||||||||||
INR | 1,303,302 | USD | 1,294,871 | 7/5/2019 | DUB | 8,431 | - | 8,431 | ||||||||||||||||||||
INR | 1,339,505 | USD | 1,327,945 | 7/5/2019 | DUB | 11,560 | - | 11,560 | ||||||||||||||||||||
INR | 1,846,345 | USD | 1,832,845 | 7/5/2019 | DUB | 13,500 | - | 13,500 | ||||||||||||||||||||
INR | 45,470,766 | USD | 44,796,348 | 7/5/2019 | DUB | 674,418 | - | 674,418 | ||||||||||||||||||||
USD | 39,050,036 | INR | 38,990,458 | 7/5/2019 | DUB | 59,578 | - | 59,578 | ||||||||||||||||||||
USD | 36,023,054 | INR | 36,202,839 | 7/5/2019 | DUB | - | (179,785 | ) | (179,785 | ) | ||||||||||||||||||
USD | 179,585 | INR | 181,014 | 7/5/2019 | DUB | - | (1,429 | ) | (1,429 | ) | ||||||||||||||||||
PHP | 97,564 | USD | 95,726 | 7/10/2019 | DUB | 1,838 | - | 1,838 | ||||||||||||||||||||
PHP | 292,693 | USD | 288,289 | 7/10/2019 | DUB | 4,404 | - | 4,404 | ||||||||||||||||||||
KRW | 1,299,414 | USD | 1,276,878 | 7/10/2019 | DUB | 22,536 | - | 22,536 | ||||||||||||||||||||
KRW | 1,732,552 | USD | 1,705,705 | 7/10/2019 | DUB | 26,847 | - | 26,847 | ||||||||||||||||||||
KRW | 2,858,710 | USD | 2,844,386 | 7/10/2019 | DUB | 14,324 | - | 14,324 | ||||||||||||||||||||
PHP | 2,910,674 | USD | 2,856,997 | 7/10/2019 | DUB | 53,677 | - | 53,677 | ||||||||||||||||||||
PHP | 2,910,674 | USD | 2,857,653 | 7/10/2019 | DUB | 53,021 | - | 53,021 | ||||||||||||||||||||
PHP | 2,910,674 | USD | 2,857,653 | 7/10/2019 | DUB | 53,021 | - | 53,021 | ||||||||||||||||||||
KRW | 3,118,593 | USD | 3,078,633 | 7/10/2019 | DUB | 39,960 | - | 39,960 | ||||||||||||||||||||
KRW | 5,370,910 | USD | 5,324,310 | 7/10/2019 | DUB | 46,600 | - | 46,600 | ||||||||||||||||||||
KRW | 6,237,186 | USD | 6,169,983 | 7/10/2019 | DUB | 67,203 | - | 67,203 | ||||||||||||||||||||
KRW | 7,103,462 | USD | 7,037,418 | 7/10/2019 | DUB | 66,044 | - | 66,044 | ||||||||||||||||||||
KRW | 7,190,090 | USD | 7,127,400 | 7/10/2019 | DUB | 62,690 | - | 62,690 | ||||||||||||||||||||
PHP | 11,171,136 | USD | 10,983,214 | 7/10/2019 | DUB | 187,922 | - | 187,922 | ||||||||||||||||||||
USD | 33,872,441 | KRW | 34,651,035 | 7/10/2019 | DUB | - | (778,594 | ) | (778,594 | ) | ||||||||||||||||||
USD | 385,074 | PHP | 390,258 | 7/10/2019 | DUB | - | (5,184 | ) | (5,184 | ) | ||||||||||||||||||
USD | 292,324 | PHP | 292,694 | 7/10/2019 | DUB | - | (370 | ) | (370 | ) | ||||||||||||||||||
USD | 254,858 | KRW | 259,883 | 7/10/2019 | DUB | - | (5,025 | ) | (5,025 | ) | ||||||||||||||||||
USD | 194,065 | PHP | 195,129 | 7/10/2019 | DUB | - | (1,064 | ) | (1,064 | ) | ||||||||||||||||||
USD | 97,264 | PHP | 97,565 | 7/10/2019 | DUB | - | (301 | ) | (301 | ) | ||||||||||||||||||
USD | 97,590 | PHP | 97,565 | 7/10/2019 | DUB | 25 | - | 25 | ||||||||||||||||||||
USD | 97,562 | PHP | 97,565 | 7/10/2019 | DUB | - | (3 | ) | (3 | ) | ||||||||||||||||||
USD | 48,662 | PHP | 48,782 | 7/10/2019 | DUB | - | (120 | ) | (120 | ) | ||||||||||||||||||
USD | 48,639 | PHP | 48,782 | 7/10/2019 | DUB | - | (143 | ) | (143 | ) | ||||||||||||||||||
USD | 48,632 | PHP | 48,782 | 7/10/2019 | DUB | - | (150 | ) | (150 | ) | ||||||||||||||||||
TWD | 80,535 | USD | 79,940 | 7/11/2019 | DUB | 595 | - | 595 | ||||||||||||||||||||
TWD | 80,535 | USD | 80,778 | 7/11/2019 | DUB | - | (243 | ) | (243 | ) | ||||||||||||||||||
TWD | 161,069 | USD | 159,854 | 7/11/2019 | DUB | 1,215 | - | 1,215 | ||||||||||||||||||||
TWD | 161,069 | USD | 159,881 | 7/11/2019 | DUB | 1,188 | - | 1,188 | ||||||||||||||||||||
TWD | 161,069 | USD | 161,577 | 7/11/2019 | DUB | - | (508 | ) | (508 | ) | ||||||||||||||||||
TWD | 241,604 | USD | 239,747 | 7/11/2019 | DUB | 1,857 | - | 1,857 | ||||||||||||||||||||
TWD | 241,604 | USD | 242,139 | 7/11/2019 | DUB | - | (535 | ) | (535 | ) | ||||||||||||||||||
TWD | 241,604 | USD | 242,154 | 7/11/2019 | DUB | - | (550 | ) | (550 | ) |
See accompanying notes
12
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
TWD | 241,604 | USD | 242,311 | 7/11/2019 | DUB | $ | - | $ | (707 | ) | $ | (707 | ) | |||||||||||||||
TWD | 322,138 | USD | 321,667 | 7/11/2019 | DUB | 471 | - | 471 | ||||||||||||||||||||
TWD | 322,138 | USD | 323,698 | 7/11/2019 | DUB | - | (1,560 | ) | (1,560 | ) | ||||||||||||||||||
TWD | 322,138 | USD | 322,933 | 7/11/2019 | DUB | - | (795 | ) | (795 | ) | ||||||||||||||||||
TWD | 402,673 | USD | 404,361 | 7/11/2019 | DUB | - | (1,688 | ) | (1,688 | ) | ||||||||||||||||||
TWD | 644,277 | USD | 643,252 | 7/11/2019 | DUB | 1,025 | - | 1,025 | ||||||||||||||||||||
TWD | 805,346 | USD | 808,538 | 7/11/2019 | DUB | - | (3,192 | ) | (3,192 | ) | ||||||||||||||||||
TWD | 805,346 | USD | 808,889 | 7/11/2019 | DUB | - | (3,543 | ) | (3,543 | ) | ||||||||||||||||||
TWD | 885,881 | USD | 887,985 | 7/11/2019 | DUB | - | (2,104 | ) | (2,104 | ) | ||||||||||||||||||
TWD | 1,208,019 | USD | 1,209,443 | 7/11/2019 | DUB | - | (1,424 | ) | (1,424 | ) | ||||||||||||||||||
USD | 4,446,562 | TWD | 4,509,938 | 7/11/2019 | DUB | - | (63,376 | ) | (63,376 | ) | ||||||||||||||||||
USD | 957,121 | TWD | 966,415 | 7/11/2019 | DUB | - | (9,294 | ) | (9,294 | ) | ||||||||||||||||||
USD | 238,824 | TWD | 241,604 | 7/11/2019 | DUB | - | (2,780 | ) | (2,780 | ) | ||||||||||||||||||
USD | 238,679 | TWD | 241,604 | 7/11/2019 | DUB | - | (2,925 | ) | (2,925 | ) | ||||||||||||||||||
USD | 239,831 | TWD | 241,604 | 7/11/2019 | DUB | - | (1,773 | ) | (1,773 | ) | ||||||||||||||||||
USD | 239,395 | TWD | 241,604 | 7/11/2019 | DUB | - | (2,209 | ) | (2,209 | ) | ||||||||||||||||||
USD | 159,104 | TWD | 161,069 | 7/11/2019 | DUB | - | (1,965 | ) | (1,965 | ) | ||||||||||||||||||
USD | 159,326 | TWD | 161,069 | 7/11/2019 | DUB | - | (1,743 | ) | (1,743 | ) | ||||||||||||||||||
USD | 159,315 | TWD | 161,069 | 7/11/2019 | DUB | - | (1,754 | ) | (1,754 | ) | ||||||||||||||||||
USD | 79,782 | TWD | 80,535 | 7/11/2019 | DUB | - | (753 | ) | (753 | ) | ||||||||||||||||||
USD | 79,702 | TWD | 80,535 | 7/11/2019 | DUB | - | (833 | ) | (833 | ) | ||||||||||||||||||
USD | 79,865 | TWD | 80,535 | 7/11/2019 | DUB | - | (670 | ) | (670 | ) | ||||||||||||||||||
USD | 79,814 | TWD | 80,535 | 7/11/2019 | DUB | - | (721 | ) | (721 | ) | ||||||||||||||||||
USD | 79,590 | TWD | 80,535 | 7/11/2019 | DUB | - | (945 | ) | (945 | ) | ||||||||||||||||||
INR | 17,868,204 | USD | 17,718,795 | 7/12/2019 | DUB | 149,409 | - | 149,409 | ||||||||||||||||||||
EUR | 5,575,162 | USD | 5,584,200 | 7/18/2019 | DUB | - | (9,038 | ) | (9,038 | ) | ||||||||||||||||||
KRW | 86,650 | USD | 86,492 | 7/19/2019 | DUB | 158 | - | 158 | ||||||||||||||||||||
KRW | 173,300 | USD | 172,865 | 7/19/2019 | DUB | 435 | - | 435 | ||||||||||||||||||||
KRW | 259,950 | USD | 259,769 | 7/19/2019 | DUB | 181 | - | 181 | ||||||||||||||||||||
KRW | 346,600 | USD | 346,640 | 7/19/2019 | DUB | - | (40 | ) | (40 | ) | ||||||||||||||||||
KRW | 346,600 | USD | 346,686 | 7/19/2019 | DUB | - | (86 | ) | (86 | ) | ||||||||||||||||||
KRW | 346,600 | USD | 346,284 | 7/19/2019 | DUB | 316 | - | 316 | ||||||||||||||||||||
KRW | 433,250 | USD | 431,816 | 7/19/2019 | DUB | 1,434 | - | 1,434 | ||||||||||||||||||||
KRW | 433,250 | USD | 431,655 | 7/19/2019 | DUB | 1,595 | - | 1,595 | ||||||||||||||||||||
KRW | 433,250 | USD | 432,766 | 7/19/2019 | DUB | 484 | - | 484 | ||||||||||||||||||||
KRW | 519,901 | USD | 520,328 | 7/19/2019 | DUB | - | (427 | ) | (427 | ) | ||||||||||||||||||
KRW | 606,551 | USD | 604,376 | 7/19/2019 | DUB | 2,175 | - | 2,175 | ||||||||||||||||||||
KRW | 693,201 | USD | 693,591 | 7/19/2019 | DUB | - | (390 | ) | (390 | ) | ||||||||||||||||||
KRW | 693,201 | USD | 693,421 | 7/19/2019 | DUB | - | (220 | ) | (220 | ) | ||||||||||||||||||
KRW | 779,851 | USD | 777,442 | 7/19/2019 | DUB | 2,409 | - | 2,409 | ||||||||||||||||||||
KRW | 779,851 | USD | 777,434 | 7/19/2019 | DUB | 2,417 | - | 2,417 | ||||||||||||||||||||
KRW | 779,851 | USD | 778,528 | 7/19/2019 | DUB | 1,323 | - | 1,323 | ||||||||||||||||||||
KRW | 866,501 | USD | 863,570 | 7/19/2019 | DUB | 2,931 | - | 2,931 | ||||||||||||||||||||
KRW | 866,501 | USD | 867,017 | 7/19/2019 | DUB | - | (516 | ) | (516 | ) | ||||||||||||||||||
KRW | 866,501 | USD | 862,738 | 7/19/2019 | DUB | 3,763 | - | 3,763 | ||||||||||||||||||||
KRW | 953,151 | USD | 948,022 | 7/19/2019 | DUB | 5,129 | - | 5,129 | ||||||||||||||||||||
KRW | 1,039,801 | USD | 1,033,885 | 7/19/2019 | DUB | 5,916 | - | 5,916 | ||||||||||||||||||||
KRW | 1,213,101 | USD | 1,210,653 | 7/19/2019 | DUB | 2,448 | - | 2,448 | ||||||||||||||||||||
KRW | 1,299,752 | USD | 1,292,977 | 7/19/2019 | DUB | 6,775 | - | 6,775 | ||||||||||||||||||||
KRW | 1,299,752 | USD | 1,296,737 | 7/19/2019 | DUB | 3,015 | - | 3,015 | ||||||||||||||||||||
KRW | 1,386,402 | USD | 1,383,784 | 7/19/2019 | DUB | 2,618 | - | 2,618 | ||||||||||||||||||||
KRW | 1,906,302 | USD | 1,893,760 | 7/19/2019 | DUB | 12,542 | - | 12,542 | ||||||||||||||||||||
KRW | 2,426,203 | USD | 2,413,577 | 7/19/2019 | DUB | 12,626 | - | 12,626 | ||||||||||||||||||||
KRW | 3,206,054 | USD | 3,190,563 | 7/19/2019 | DUB | 15,491 | - | 15,491 | ||||||||||||||||||||
USD | 84,631,224 | KRW | 86,650,107 | 7/19/2019 | DUB | - | (2,018,883 | ) | (2,018,883 | ) | ||||||||||||||||||
USD | 3,144,836 | KRW | 3,206,054 | 7/19/2019 | DUB | - | (61,218 | ) | (61,218 | ) | ||||||||||||||||||
USD | 850,188 | KRW | 866,501 | 7/19/2019 | DUB | - | (16,313 | ) | (16,313 | ) | ||||||||||||||||||
PHP | 536,290 | USD | 529,243 | 7/24/2019 | DUB | 7,047 | - | 7,047 | ||||||||||||||||||||
PHP | 16,088,712 | USD | 15,789,776 | 7/24/2019 | DUB | 298,936 | - | 298,936 |
See accompanying notes
13
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
TWD | 80,605 | USD | 80,751 | 7/26/2019 | DUB | $ | - | $ | (146 | ) | $ | (146 | ) | |||||||||||||||
TWD | 80,605 | USD | 80,510 | 7/26/2019 | DUB | 95 | - | 95 | ||||||||||||||||||||
TWD | 161,211 | USD | 161,708 | 7/26/2019 | DUB | - | (497 | ) | (497 | ) | ||||||||||||||||||
TWD | 161,211 | USD | 161,405 | 7/26/2019 | DUB | - | (194 | ) | (194 | ) | ||||||||||||||||||
TWD | 161,211 | USD | 161,483 | 7/26/2019 | DUB | - | (272 | ) | (272 | ) | ||||||||||||||||||
TWD | 241,817 | USD | 242,544 | 7/26/2019 | DUB | - | (727 | ) | (727 | ) | ||||||||||||||||||
TWD | 241,817 | USD | 242,452 | 7/26/2019 | DUB | - | (635 | ) | (635 | ) | ||||||||||||||||||
TWD | 241,817 | USD | 241,727 | 7/26/2019 | DUB | 90 | - | 90 | ||||||||||||||||||||
TWD | 322,422 | USD | 323,116 | 7/26/2019 | DUB | - | (694 | ) | (694 | ) | ||||||||||||||||||
TWD | 322,422 | USD | 323,621 | 7/26/2019 | DUB | - | (1,199 | ) | (1,199 | ) | ||||||||||||||||||
TWD | 403,028 | USD | 402,538 | 7/26/2019 | DUB | 490 | - | 490 | ||||||||||||||||||||
TWD | 403,028 | USD | 404,297 | 7/26/2019 | DUB | - | (1,269 | ) | (1,269 | ) | ||||||||||||||||||
TWD | 403,028 | USD | 404,243 | 7/26/2019 | DUB | - | (1,215 | ) | (1,215 | ) | ||||||||||||||||||
TWD | 483,633 | USD | 485,101 | 7/26/2019 | DUB | - | (1,468 | ) | (1,468 | ) | ||||||||||||||||||
TWD | 483,633 | USD | 484,490 | 7/26/2019 | DUB | - | (857 | ) | (857 | ) | ||||||||||||||||||
USD | 30,799,518 | TWD | 31,274,942 | 7/26/2019 | DUB | - | (475,424 | ) | (475,424 | ) | ||||||||||||||||||
USD | 638,753 | TWD | 644,844 | 7/26/2019 | DUB | - | (6,091 | ) | (6,091 | ) | ||||||||||||||||||
INR | 938,309 | USD | 939,170 | 7/31/2019 | DUB | - | (861 | ) | (861 | ) | ||||||||||||||||||
INR | 36,049 | USD | 36,085 | 8/9/2019 | DUB | - | (36 | ) | (36 | ) | ||||||||||||||||||
INR | 72,098 | USD | 72,175 | 8/9/2019 | DUB | - | (77 | ) | (77 | ) | ||||||||||||||||||
INR | 108,147 | USD | 108,244 | 8/9/2019 | DUB | - | (97 | ) | (97 | ) | ||||||||||||||||||
INR | 108,147 | USD | 108,263 | 8/9/2019 | DUB | - | (116 | ) | (116 | ) | ||||||||||||||||||
INR | 108,147 | USD | 108,232 | 8/9/2019 | DUB | - | (85 | ) | (85 | ) | ||||||||||||||||||
INR | 108,147 | USD | 108,244 | 8/9/2019 | DUB | - | (97 | ) | (97 | ) | ||||||||||||||||||
INR | 144,196 | USD | 144,315 | 8/9/2019 | DUB | - | (119 | ) | (119 | ) | ||||||||||||||||||
INR | 144,196 | USD | 144,378 | 8/9/2019 | DUB | - | (182 | ) | (182 | ) | ||||||||||||||||||
INR | 180,245 | USD | 180,447 | 8/9/2019 | DUB | - | (202 | ) | (202 | ) | ||||||||||||||||||
INR | 684,930 | USD | 681,519 | 8/9/2019 | DUB | 3,411 | - | 3,411 | ||||||||||||||||||||
INR | 829,126 | USD | 826,150 | 8/9/2019 | DUB | 2,976 | - | 2,976 | ||||||||||||||||||||
INR | 1,045,419 | USD | 1,043,728 | 8/9/2019 | DUB | 1,691 | - | 1,691 | ||||||||||||||||||||
INR | 1,081,468 | USD | 1,079,043 | 8/9/2019 | DUB | 2,425 | - | 2,425 | ||||||||||||||||||||
INR | 1,225,664 | USD | 1,226,374 | 8/9/2019 | DUB | - | (710 | ) | (710 | ) | ||||||||||||||||||
INR | 36,048,945 | USD | 35,843,321 | 8/9/2019 | DUB | 205,624 | - | 205,624 | ||||||||||||||||||||
INR | 38,824,714 | USD | 38,875,252 | 8/9/2019 | DUB | - | (50,538 | ) | (50,538 | ) | ||||||||||||||||||
BRL | 26,042 | USD | 24,739 | 7/2/2019 | HUS | 1,303 | - | 1,303 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,532 | 7/2/2019 | HUS | 1,510 | - | 1,510 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,567 | 7/2/2019 | HUS | 1,475 | - | 1,475 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,696 | 7/2/2019 | HUS | 1,346 | - | 1,346 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,693 | 7/2/2019 | HUS | 1,349 | - | 1,349 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,690 | 7/2/2019 | HUS | 1,352 | - | 1,352 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,674 | 7/2/2019 | HUS | 1,368 | - | 1,368 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,694 | 7/2/2019 | HUS | 1,348 | - | 1,348 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,686 | 7/2/2019 | HUS | 1,356 | - | 1,356 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,689 | 7/2/2019 | HUS | 1,353 | - | 1,353 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,698 | 7/2/2019 | HUS | 1,344 | - | 1,344 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,698 | 7/2/2019 | HUS | 1,344 | - | 1,344 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,685 | 7/2/2019 | HUS | 1,357 | - | 1,357 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,788 | 7/2/2019 | HUS | 1,254 | - | 1,254 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,798 | 7/2/2019 | HUS | 1,244 | - | 1,244 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,800 | 7/2/2019 | HUS | 1,242 | - | 1,242 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,804 | 7/2/2019 | HUS | 1,238 | - | 1,238 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,804 | 7/2/2019 | HUS | 1,238 | - | 1,238 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,805 | 7/2/2019 | HUS | 1,237 | - | 1,237 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,805 | 7/2/2019 | HUS | 1,237 | - | 1,237 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,806 | 7/2/2019 | HUS | 1,236 | - | 1,236 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,807 | 7/2/2019 | HUS | 1,235 | - | 1,235 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,799 | 7/2/2019 | HUS | 1,243 | - | 1,243 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,800 | 7/2/2019 | HUS | 1,242 | - | 1,242 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,800 | 7/2/2019 | HUS | 1,242 | - | 1,242 |
See accompanying notes
14
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
BRL | 26,042 | USD | 24,801 | 7/2/2019 | HUS | $ | 1,241 | $ | - | $ | 1,241 | |||||||||||||||||
BRL | 26,042 | USD | 24,801 | 7/2/2019 | HUS | 1,241 | - | 1,241 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,764 | 7/2/2019 | HUS | 1,278 | - | 1,278 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,764 | 7/2/2019 | HUS | 1,278 | - | 1,278 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,776 | 7/2/2019 | HUS | 1,266 | - | 1,266 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,779 | 7/2/2019 | HUS | 1,263 | - | 1,263 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,782 | 7/2/2019 | HUS | 1,260 | - | 1,260 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,781 | 7/2/2019 | HUS | 1,261 | - | 1,261 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,810 | 7/2/2019 | HUS | 1,232 | - | 1,232 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,811 | 7/2/2019 | HUS | 1,231 | - | 1,231 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,808 | 7/2/2019 | HUS | 1,234 | - | 1,234 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,811 | 7/2/2019 | HUS | 1,231 | - | 1,231 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,673 | 7/2/2019 | HUS | 1,369 | - | 1,369 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,677 | 7/2/2019 | HUS | 1,365 | - | 1,365 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,666 | 7/2/2019 | HUS | 1,376 | - | 1,376 | ||||||||||||||||||||
BRL | 26,042 | USD | 24,675 | 7/2/2019 | HUS | 1,367 | - | 1,367 | ||||||||||||||||||||
BRL | 26,042 | USD | 25,037 | 7/2/2019 | HUS | 1,005 | - | 1,005 | ||||||||||||||||||||
BRL | 26,042 | USD | 25,071 | 7/2/2019 | HUS | 971 | - | 971 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,621 | 7/2/2019 | HUS | 2,463 | - | 2,463 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,641 | 7/2/2019 | HUS | 2,443 | - | 2,443 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,666 | 7/2/2019 | HUS | 2,418 | - | 2,418 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,690 | 7/2/2019 | HUS | 2,394 | - | 2,394 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,434 | 7/2/2019 | HUS | 2,650 | - | 2,650 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,418 | 7/2/2019 | HUS | 2,666 | - | 2,666 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,648 | 7/2/2019 | HUS | 2,436 | - | 2,436 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,452 | 7/2/2019 | HUS | 2,632 | - | 2,632 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,444 | 7/2/2019 | HUS | 2,640 | - | 2,640 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,466 | 7/2/2019 | HUS | 2,618 | - | 2,618 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,620 | 7/2/2019 | HUS | 2,464 | - | 2,464 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,603 | 7/2/2019 | HUS | 2,481 | - | 2,481 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,161 | 7/2/2019 | HUS | 2,923 | - | 2,923 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,174 | 7/2/2019 | HUS | 2,910 | - | 2,910 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,399 | 7/2/2019 | HUS | 2,685 | - | 2,685 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,406 | 7/2/2019 | HUS | 2,678 | - | 2,678 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,358 | 7/2/2019 | HUS | 2,726 | - | 2,726 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,368 | 7/2/2019 | HUS | 2,716 | - | 2,716 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,615 | 7/2/2019 | HUS | 2,469 | - | 2,469 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,592 | 7/2/2019 | HUS | 2,492 | - | 2,492 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,595 | 7/2/2019 | HUS | 2,489 | - | 2,489 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,601 | 7/2/2019 | HUS | 2,483 | - | 2,483 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,534 | 7/2/2019 | HUS | 2,550 | - | 2,550 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,552 | 7/2/2019 | HUS | 2,532 | - | 2,532 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,571 | 7/2/2019 | HUS | 2,513 | - | 2,513 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,571 | 7/2/2019 | HUS | 2,513 | - | 2,513 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,575 | 7/2/2019 | HUS | 2,509 | - | 2,509 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,609 | 7/2/2019 | HUS | 2,475 | - | 2,475 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,345 | 7/2/2019 | HUS | 2,739 | - | 2,739 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,319 | 7/2/2019 | HUS | 2,765 | - | 2,765 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,338 | 7/2/2019 | HUS | 2,746 | - | 2,746 | ||||||||||||||||||||
BRL | 52,084 | USD | 49,343 | 7/2/2019 | HUS | 2,741 | - | 2,741 | ||||||||||||||||||||
BRL | 52,084 | USD | 50,181 | 7/2/2019 | HUS | 1,903 | - | 1,903 | ||||||||||||||||||||
BRL | 52,084 | USD | 50,042 | 7/2/2019 | HUS | 2,042 | - | 2,042 | ||||||||||||||||||||
BRL | 52,084 | USD | 50,157 | 7/2/2019 | HUS | 1,927 | - | 1,927 | ||||||||||||||||||||
BRL | 52,084 | USD | 50,030 | 7/2/2019 | HUS | 2,054 | - | 2,054 | ||||||||||||||||||||
BRL | 52,084 | USD | 50,083 | 7/2/2019 | HUS | 2,001 | - | 2,001 | ||||||||||||||||||||
BRL | 52,084 | USD | 50,174 | 7/2/2019 | HUS | 1,910 | - | 1,910 | ||||||||||||||||||||
BRL | 52,084 | USD | 51,148 | 7/2/2019 | HUS | 936 | - | 936 | ||||||||||||||||||||
BRL | 52,084 | USD | 51,153 | 7/2/2019 | HUS | 931 | - | 931 | ||||||||||||||||||||
BRL | 52,084 | USD | 51,157 | 7/2/2019 | HUS | 927 | - | 927 |
See accompanying notes
15
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
BRL | 52,084 | USD | 51,178 | 7/2/2019 | HUS | $ | 906 | $ | - | $ | 906 | |||||||||||||||||
BRL | 52,084 | USD | 51,202 | 7/2/2019 | HUS | 882 | - | 882 | ||||||||||||||||||||
BRL | 52,084 | USD | 51,634 | 7/2/2019 | HUS | 450 | - | 450 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,890 | 7/2/2019 | HUS | 3,236 | - | 3,236 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,437 | 7/2/2019 | HUS | 3,689 | - | 3,689 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,442 | 7/2/2019 | HUS | 3,684 | - | 3,684 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,442 | 7/2/2019 | HUS | 3,684 | - | 3,684 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,468 | 7/2/2019 | HUS | 3,658 | - | 3,658 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,510 | 7/2/2019 | HUS | 3,616 | - | 3,616 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,126 | 7/2/2019 | HUS | 4,000 | - | 4,000 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,218 | 7/2/2019 | HUS | 3,908 | - | 3,908 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,129 | 7/2/2019 | HUS | 3,997 | - | 3,997 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,396 | 7/2/2019 | HUS | 3,730 | - | 3,730 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,134 | 7/2/2019 | HUS | 3,992 | - | 3,992 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,199 | 7/2/2019 | HUS | 3,927 | - | 3,927 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,200 | 7/2/2019 | HUS | 3,926 | - | 3,926 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,379 | 7/2/2019 | HUS | 3,747 | - | 3,747 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,381 | 7/2/2019 | HUS | 3,745 | - | 3,745 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,416 | 7/2/2019 | HUS | 3,710 | - | 3,710 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,134 | 7/2/2019 | HUS | 3,992 | - | 3,992 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,153 | 7/2/2019 | HUS | 3,973 | - | 3,973 | ||||||||||||||||||||
BRL | 78,126 | USD | 74,010 | 7/2/2019 | HUS | 4,116 | - | 4,116 | ||||||||||||||||||||
BRL | 78,126 | USD | 75,064 | 7/2/2019 | HUS | 3,062 | - | 3,062 | ||||||||||||||||||||
BRL | 78,126 | USD | 76,225 | 7/2/2019 | HUS | 1,901 | - | 1,901 | ||||||||||||||||||||
BRL | 78,126 | USD | 76,722 | 7/2/2019 | HUS | 1,404 | - | 1,404 | ||||||||||||||||||||
BRL | 78,126 | USD | 76,738 | 7/2/2019 | HUS | 1,388 | - | 1,388 | ||||||||||||||||||||
BRL | 78,126 | USD | 76,827 | 7/2/2019 | HUS | 1,299 | - | 1,299 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,863 | 7/2/2019 | HUS | 4,305 | - | 4,305 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,243 | 7/2/2019 | HUS | 4,925 | - | 4,925 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,283 | 7/2/2019 | HUS | 4,885 | - | 4,885 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,332 | 7/2/2019 | HUS | 4,836 | - | 4,836 | ||||||||||||||||||||
BRL | 104,168 | USD | 98,869 | 7/2/2019 | HUS | 5,299 | - | 5,299 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,791 | 7/2/2019 | HUS | 4,377 | - | 4,377 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,850 | 7/2/2019 | HUS | 4,318 | - | 4,318 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,997 | 7/2/2019 | HUS | 4,171 | - | 4,171 | ||||||||||||||||||||
BRL | 104,168 | USD | 98,905 | 7/2/2019 | HUS | 5,263 | - | 5,263 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,224 | 7/2/2019 | HUS | 4,944 | - | 4,944 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,232 | 7/2/2019 | HUS | 4,936 | - | 4,936 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,194 | 7/2/2019 | HUS | 4,974 | - | 4,974 | ||||||||||||||||||||
BRL | 104,168 | USD | 98,314 | 7/2/2019 | HUS | 5,854 | - | 5,854 | ||||||||||||||||||||
BRL | 104,168 | USD | 98,941 | 7/2/2019 | HUS | 5,227 | - | 5,227 | ||||||||||||||||||||
BRL | 104,168 | USD | 98,966 | 7/2/2019 | HUS | 5,202 | - | 5,202 | ||||||||||||||||||||
BRL | 104,168 | USD | 99,795 | 7/2/2019 | HUS | 4,373 | - | 4,373 | ||||||||||||||||||||
BRL | 104,168 | USD | 100,349 | 7/2/2019 | HUS | 3,819 | - | 3,819 | ||||||||||||||||||||
BRL | 104,168 | USD | 100,073 | 7/2/2019 | HUS | 4,095 | - | 4,095 | ||||||||||||||||||||
BRL | 104,168 | USD | 100,349 | 7/2/2019 | HUS | 3,819 | - | 3,819 | ||||||||||||||||||||
BRL | 104,168 | USD | 101,696 | 7/2/2019 | HUS | 2,472 | - | 2,472 | ||||||||||||||||||||
BRL | 104,168 | USD | 102,294 | 7/2/2019 | HUS | 1,874 | - | 1,874 | ||||||||||||||||||||
BRL | 104,168 | USD | 102,310 | 7/2/2019 | HUS | 1,858 | - | 1,858 | ||||||||||||||||||||
BRL | 104,168 | USD | 102,724 | 7/2/2019 | HUS | 1,444 | - | 1,444 | ||||||||||||||||||||
BRL | 104,168 | USD | 102,730 | 7/2/2019 | HUS | 1,438 | - | 1,438 | ||||||||||||||||||||
BRL | 104,168 | USD | 103,284 | 7/2/2019 | HUS | 884 | - | 884 | ||||||||||||||||||||
BRL | 104,168 | USD | 103,282 | 7/2/2019 | HUS | 886 | - | 886 | ||||||||||||||||||||
BRL | 104,168 | USD | 103,302 | 7/2/2019 | HUS | 866 | - | 866 | ||||||||||||||||||||
BRL | 130,210 | USD | 124,939 | 7/2/2019 | HUS | 5,271 | - | 5,271 | ||||||||||||||||||||
BRL | 130,210 | USD | 124,105 | 7/2/2019 | HUS | 6,105 | - | 6,105 | ||||||||||||||||||||
BRL | 130,210 | USD | 122,902 | 7/2/2019 | HUS | 7,308 | - | 7,308 | ||||||||||||||||||||
BRL | 130,210 | USD | 123,674 | 7/2/2019 | HUS | 6,536 | - | 6,536 | ||||||||||||||||||||
BRL | 130,210 | USD | 123,671 | 7/2/2019 | HUS | 6,539 | - | 6,539 |
See accompanying notes
16
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
BRL | 130,210 | USD | 123,695 | 7/2/2019 | HUS | $ | 6,515 | $ | - | $ | 6,515 | |||||||||||||||||
BRL | 130,210 | USD | 125,945 | 7/2/2019 | HUS | 4,265 | - | 4,265 | ||||||||||||||||||||
BRL | 130,210 | USD | 126,992 | 7/2/2019 | HUS | 3,218 | - | 3,218 | ||||||||||||||||||||
BRL | 130,210 | USD | 127,074 | 7/2/2019 | HUS | 3,136 | - | 3,136 | ||||||||||||||||||||
BRL | 130,210 | USD | 127,873 | 7/2/2019 | HUS | 2,337 | - | 2,337 | ||||||||||||||||||||
BRL | 130,210 | USD | 127,910 | 7/2/2019 | HUS | 2,300 | - | 2,300 | ||||||||||||||||||||
BRL | 130,210 | USD | 127,916 | 7/2/2019 | HUS | 2,294 | - | 2,294 | ||||||||||||||||||||
BRL | 130,210 | USD | 127,956 | 7/2/2019 | HUS | 2,254 | - | 2,254 | ||||||||||||||||||||
BRL | 130,210 | USD | 128,422 | 7/2/2019 | HUS | 1,788 | - | 1,788 | ||||||||||||||||||||
BRL | 130,210 | USD | 128,449 | 7/2/2019 | HUS | 1,761 | - | 1,761 | ||||||||||||||||||||
BRL | 156,252 | USD | 149,742 | 7/2/2019 | HUS | 6,510 | - | 6,510 | ||||||||||||||||||||
BRL | 156,252 | USD | 148,447 | 7/2/2019 | HUS | 7,805 | - | 7,805 | ||||||||||||||||||||
BRL | 156,252 | USD | 151,118 | 7/2/2019 | HUS | 5,134 | - | 5,134 | ||||||||||||||||||||
BRL | 156,252 | USD | 152,427 | 7/2/2019 | HUS | 3,825 | - | 3,825 | ||||||||||||||||||||
BRL | 156,252 | USD | 152,563 | 7/2/2019 | HUS | 3,689 | - | 3,689 | ||||||||||||||||||||
BRL | 156,252 | USD | 152,621 | 7/2/2019 | HUS | 3,631 | - | 3,631 | ||||||||||||||||||||
BRL | 156,252 | USD | 152,728 | 7/2/2019 | HUS | 3,524 | - | 3,524 | ||||||||||||||||||||
BRL | 156,252 | USD | 153,453 | 7/2/2019 | HUS | 2,799 | - | 2,799 | ||||||||||||||||||||
BRL | 156,252 | USD | 153,425 | 7/2/2019 | HUS | 2,827 | - | 2,827 | ||||||||||||||||||||
BRL | 156,252 | USD | 153,618 | 7/2/2019 | HUS | 2,634 | - | 2,634 | ||||||||||||||||||||
BRL | 156,252 | USD | 155,045 | 7/2/2019 | HUS | 1,207 | - | 1,207 | ||||||||||||||||||||
BRL | 156,252 | USD | 154,936 | 7/2/2019 | HUS | 1,316 | - | 1,316 | ||||||||||||||||||||
BRL | 156,252 | USD | 154,755 | 7/2/2019 | HUS | 1,497 | - | 1,497 | ||||||||||||||||||||
BRL | 156,252 | USD | 154,936 | 7/2/2019 | HUS | 1,316 | - | 1,316 | ||||||||||||||||||||
BRL | 182,294 | USD | 174,634 | 7/2/2019 | HUS | 7,660 | - | 7,660 | ||||||||||||||||||||
BRL | 182,294 | USD | 179,019 | 7/2/2019 | HUS | 3,275 | - | 3,275 | ||||||||||||||||||||
BRL | 182,294 | USD | 179,782 | 7/2/2019 | HUS | 2,512 | - | 2,512 | ||||||||||||||||||||
BRL | 182,294 | USD | 180,986 | 7/2/2019 | HUS | 1,308 | - | 1,308 | ||||||||||||||||||||
BRL | 208,336 | USD | 203,350 | 7/2/2019 | HUS | 4,986 | - | 4,986 | ||||||||||||||||||||
BRL | 208,336 | USD | 203,267 | 7/2/2019 | HUS | 5,069 | - | 5,069 | ||||||||||||||||||||
BRL | 208,336 | USD | 203,423 | 7/2/2019 | HUS | 4,913 | - | 4,913 | ||||||||||||||||||||
BRL | 208,336 | USD | 204,751 | 7/2/2019 | HUS | 3,585 | - | 3,585 | ||||||||||||||||||||
BRL | 208,336 | USD | 205,857 | 7/2/2019 | HUS | 2,479 | - | 2,479 | ||||||||||||||||||||
BRL | 208,336 | USD | 205,740 | 7/2/2019 | HUS | 2,596 | - | 2,596 | ||||||||||||||||||||
BRL | 208,336 | USD | 205,846 | 7/2/2019 | HUS | 2,490 | - | 2,490 | ||||||||||||||||||||
BRL | 208,336 | USD | 206,494 | 7/2/2019 | HUS | 1,842 | - | 1,842 | ||||||||||||||||||||
BRL | 208,336 | USD | 207,755 | 7/2/2019 | HUS | 581 | - | 581 | ||||||||||||||||||||
BRL | 208,336 | USD | 207,787 | 7/2/2019 | HUS | 549 | - | 549 | ||||||||||||||||||||
BRL | 208,336 | USD | 207,835 | 7/2/2019 | HUS | 501 | - | 501 | ||||||||||||||||||||
BRL | 208,336 | USD | 206,681 | 7/2/2019 | HUS | 1,655 | - | 1,655 | ||||||||||||||||||||
BRL | 217,711 | USD | 208,684 | 7/2/2019 | HUS | 9,027 | - | 9,027 | ||||||||||||||||||||
BRL | 234,378 | USD | 228,548 | 7/2/2019 | HUS | 5,830 | - | 5,830 | ||||||||||||||||||||
BRL | 234,378 | USD | 228,786 | 7/2/2019 | HUS | 5,592 | - | 5,592 | ||||||||||||||||||||
BRL | 234,378 | USD | 228,878 | 7/2/2019 | HUS | 5,500 | - | 5,500 | ||||||||||||||||||||
BRL | 234,378 | USD | 229,025 | 7/2/2019 | HUS | 5,353 | - | 5,353 | ||||||||||||||||||||
BRL | 234,378 | USD | 230,250 | 7/2/2019 | HUS | 4,128 | - | 4,128 | ||||||||||||||||||||
BRL | 234,378 | USD | 231,307 | 7/2/2019 | HUS | 3,071 | - | 3,071 | ||||||||||||||||||||
BRL | 234,378 | USD | 231,470 | 7/2/2019 | HUS | 2,908 | - | 2,908 | ||||||||||||||||||||
BRL | 234,378 | USD | 231,119 | 7/2/2019 | HUS | 3,259 | - | 3,259 | ||||||||||||||||||||
BRL | 234,378 | USD | 231,327 | 7/2/2019 | HUS | 3,051 | - | 3,051 | ||||||||||||||||||||
BRL | 234,378 | USD | 231,208 | 7/2/2019 | HUS | 3,170 | - | 3,170 | ||||||||||||||||||||
BRL | 234,378 | USD | 233,730 | 7/2/2019 | HUS | 648 | - | 648 | ||||||||||||||||||||
BRL | 234,378 | USD | 233,760 | 7/2/2019 | HUS | 618 | - | 618 | ||||||||||||||||||||
BRL | 239,261 | USD | 227,690 | 7/2/2019 | HUS | 11,571 | - | 11,571 | ||||||||||||||||||||
BRL | 260,420 | USD | 250,238 | 7/2/2019 | HUS | 10,182 | - | 10,182 | ||||||||||||||||||||
BRL | 260,420 | USD | 254,052 | 7/2/2019 | HUS | 6,368 | - | 6,368 | ||||||||||||||||||||
BRL | 260,420 | USD | 254,220 | 7/2/2019 | HUS | 6,200 | - | 6,200 | ||||||||||||||||||||
BRL | 260,420 | USD | 255,774 | 7/2/2019 | HUS | 4,646 | - | 4,646 | ||||||||||||||||||||
BRL | 260,420 | USD | 255,741 | 7/2/2019 | HUS | 4,679 | - | 4,679 |
See accompanying notes
17
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
BRL | 260,420 | USD | 257,255 | 7/2/2019 | HUS | $ | 3,165 | $ | - | $ | 3,165 | |||||||||||||||||
BRL | 260,420 | USD | 256,832 | 7/2/2019 | HUS | 3,588 | - | 3,588 | ||||||||||||||||||||
BRL | 260,420 | USD | 257,241 | 7/2/2019 | HUS | 3,179 | - | 3,179 | ||||||||||||||||||||
BRL | 260,420 | USD | 259,712 | 7/2/2019 | HUS | 708 | - | 708 | ||||||||||||||||||||
BRL | 261,706 | USD | 259,346 | 7/2/2019 | HUS | 2,360 | - | 2,360 | ||||||||||||||||||||
BRL | 272,139 | USD | 260,865 | 7/2/2019 | HUS | 11,274 | - | 11,274 | ||||||||||||||||||||
BRL | 286,462 | USD | 279,415 | 7/2/2019 | HUS | 7,047 | - | 7,047 | ||||||||||||||||||||
BRL | 286,462 | USD | 279,393 | 7/2/2019 | HUS | 7,069 | - | 7,069 | ||||||||||||||||||||
BRL | 286,462 | USD | 282,580 | 7/2/2019 | HUS | 3,882 | - | 3,882 | ||||||||||||||||||||
BRL | 286,462 | USD | 285,803 | 7/2/2019 | HUS | 659 | - | 659 | ||||||||||||||||||||
BRL | 286,462 | USD | 285,546 | 7/2/2019 | HUS | 916 | - | 916 | ||||||||||||||||||||
BRL | 286,462 | USD | 276,299 | 7/2/2019 | HUS | 10,163 | - | 10,163 | ||||||||||||||||||||
BRL | 287,877 | USD | 285,479 | 7/2/2019 | HUS | 2,398 | - | 2,398 | ||||||||||||||||||||
BRL | 288,287 | USD | 286,396 | 7/2/2019 | HUS | 1,891 | - | 1,891 | ||||||||||||||||||||
BRL | 307,621 | USD | 292,722 | 7/2/2019 | HUS | 14,899 | - | 14,899 | ||||||||||||||||||||
BRL | 312,504 | USD | 305,297 | 7/2/2019 | HUS | 7,207 | - | 7,207 | ||||||||||||||||||||
BRL | 312,504 | USD | 305,421 | 7/2/2019 | HUS | 7,083 | - | 7,083 | ||||||||||||||||||||
BRL | 312,504 | USD | 306,827 | 7/2/2019 | HUS | 5,677 | - | 5,677 | ||||||||||||||||||||
BRL | 312,504 | USD | 306,945 | 7/2/2019 | HUS | 5,559 | - | 5,559 | ||||||||||||||||||||
BRL | 312,504 | USD | 306,960 | 7/2/2019 | HUS | 5,544 | - | 5,544 | ||||||||||||||||||||
BRL | 312,504 | USD | 308,753 | 7/2/2019 | HUS | 3,751 | - | 3,751 | ||||||||||||||||||||
BRL | 317,712 | USD | 304,855 | 7/2/2019 | HUS | 12,857 | - | 12,857 | ||||||||||||||||||||
BRL | 319,201 | USD | 316,306 | 7/2/2019 | HUS | 2,895 | - | 2,895 | ||||||||||||||||||||
BRL | 338,546 | USD | 324,537 | 7/2/2019 | HUS | 14,009 | - | 14,009 | ||||||||||||||||||||
BRL | 338,546 | USD | 335,423 | 7/2/2019 | HUS | 3,123 | - | 3,123 | ||||||||||||||||||||
BRL | 338,546 | USD | 335,995 | 7/2/2019 | HUS | 2,551 | - | 2,551 | ||||||||||||||||||||
BRL | 349,484 | USD | 335,022 | 7/2/2019 | HUS | 14,462 | - | 14,462 | ||||||||||||||||||||
BRL | 364,588 | USD | 356,252 | 7/2/2019 | HUS | 8,336 | - | 8,336 | ||||||||||||||||||||
BRL | 364,588 | USD | 362,262 | 7/2/2019 | HUS | 2,326 | - | 2,326 | ||||||||||||||||||||
BRL | 364,588 | USD | 363,617 | 7/2/2019 | HUS | 971 | - | 971 | ||||||||||||||||||||
BRL | 364,588 | USD | 361,748 | 7/2/2019 | HUS | 2,840 | - | 2,840 | ||||||||||||||||||||
BRL | 366,910 | USD | 364,391 | 7/2/2019 | HUS | 2,519 | - | 2,519 | ||||||||||||||||||||
BRL | 371,217 | USD | 367,613 | 7/2/2019 | HUS | 3,604 | - | 3,604 | ||||||||||||||||||||
BRL | 376,653 | USD | 372,804 | 7/2/2019 | HUS | 3,849 | - | 3,849 | ||||||||||||||||||||
BRL | 380,994 | USD | 365,147 | 7/2/2019 | HUS | 15,847 | - | 15,847 | ||||||||||||||||||||
BRL | 381,255 | USD | 365,653 | 7/2/2019 | HUS | 15,602 | - | 15,602 | ||||||||||||||||||||
BRL | 390,630 | USD | 382,010 | 7/2/2019 | HUS | 8,620 | - | 8,620 | ||||||||||||||||||||
BRL | 390,630 | USD | 387,827 | 7/2/2019 | HUS | 2,803 | - | 2,803 | ||||||||||||||||||||
BRL | 390,630 | USD | 387,337 | 7/2/2019 | HUS | 3,293 | - | 3,293 | ||||||||||||||||||||
BRL | 390,630 | USD | 387,677 | 7/2/2019 | HUS | 2,953 | - | 2,953 | ||||||||||||||||||||
BRL | 394,418 | USD | 390,739 | 7/2/2019 | HUS | 3,679 | - | 3,679 | ||||||||||||||||||||
BRL | 416,672 | USD | 407,363 | 7/2/2019 | HUS | 9,309 | - | 9,309 | ||||||||||||||||||||
BRL | 416,672 | USD | 415,790 | 7/2/2019 | HUS | 882 | - | 882 | ||||||||||||||||||||
BRL | 416,672 | USD | 412,946 | 7/2/2019 | HUS | 3,726 | - | 3,726 | ||||||||||||||||||||
BRL | 416,672 | USD | 415,250 | 7/2/2019 | HUS | 1,422 | - | 1,422 | ||||||||||||||||||||
BRL | 416,672 | USD | 415,649 | 7/2/2019 | HUS | 1,023 | - | 1,023 | ||||||||||||||||||||
BRL | 418,730 | USD | 414,547 | 7/2/2019 | HUS | 4,183 | - | 4,183 | ||||||||||||||||||||
BRL | 419,326 | USD | 416,597 | 7/2/2019 | HUS | 2,729 | - | 2,729 | ||||||||||||||||||||
BRL | 428,665 | USD | 408,876 | 7/2/2019 | HUS | 19,789 | - | 19,789 | ||||||||||||||||||||
BRL | 430,461 | USD | 426,215 | 7/2/2019 | HUS | 4,246 | - | 4,246 | ||||||||||||||||||||
BRL | 442,714 | USD | 432,944 | 7/2/2019 | HUS | 9,770 | - | 9,770 | ||||||||||||||||||||
BRL | 442,714 | USD | 432,724 | 7/2/2019 | HUS | 9,990 | - | 9,990 | ||||||||||||||||||||
BRL | 442,714 | USD | 434,994 | 7/2/2019 | HUS | 7,720 | - | 7,720 | ||||||||||||||||||||
BRL | 442,714 | USD | 440,287 | 7/2/2019 | HUS | 2,427 | - | 2,427 | ||||||||||||||||||||
BRL | 442,714 | USD | 439,492 | 7/2/2019 | HUS | 3,222 | - | 3,222 | ||||||||||||||||||||
BRL | 450,813 | USD | 432,170 | 7/2/2019 | HUS | 18,643 | - | 18,643 | ||||||||||||||||||||
BRL | 460,580 | USD | 439,230 | 7/2/2019 | HUS | 21,350 | - | 21,350 | ||||||||||||||||||||
BRL | 464,628 | USD | 459,039 | 7/2/2019 | HUS | 5,589 | - | 5,589 | ||||||||||||||||||||
BRL | 468,756 | USD | 467,638 | 7/2/2019 | HUS | 1,118 | - | 1,118 |
See accompanying notes
18
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
BRL | 471,742 | USD | 468,915 | 7/2/2019 | HUS | $ | 2,827 | $ | - | $ | 2,827 | |||||||||||||||||
BRL | 489,850 | USD | 470,203 | 7/2/2019 | HUS | 19,647 | - | 19,647 | ||||||||||||||||||||
BRL | 494,798 | USD | 486,058 | 7/2/2019 | HUS | 8,740 | - | 8,740 | ||||||||||||||||||||
BRL | 497,241 | USD | 492,146 | 7/2/2019 | HUS | 5,095 | - | 5,095 | ||||||||||||||||||||
BRL | 509,266 | USD | 490,668 | 7/2/2019 | HUS | 18,598 | - | 18,598 | ||||||||||||||||||||
BRL | 510,424 | USD | 505,623 | 7/2/2019 | HUS | 4,801 | - | 4,801 | ||||||||||||||||||||
BRL | 511,172 | USD | 506,065 | 7/2/2019 | HUS | 5,107 | - | 5,107 | ||||||||||||||||||||
BRL | 520,840 | USD | 509,424 | 7/2/2019 | HUS | 11,416 | - | 11,416 | ||||||||||||||||||||
BRL | 520,840 | USD | 509,087 | 7/2/2019 | HUS | 11,753 | - | 11,753 | ||||||||||||||||||||
BRL | 520,840 | USD | 519,371 | 7/2/2019 | HUS | 1,469 | - | 1,469 | ||||||||||||||||||||
BRL | 520,840 | USD | 519,399 | 7/2/2019 | HUS | 1,441 | - | 1,441 | ||||||||||||||||||||
BRL | 524,158 | USD | 520,828 | 7/2/2019 | HUS | 3,330 | - | 3,330 | ||||||||||||||||||||
BRL | 534,546 | USD | 528,334 | 7/2/2019 | HUS | 6,212 | - | 6,212 | ||||||||||||||||||||
BRL | 540,111 | USD | 517,747 | 7/2/2019 | HUS | 22,364 | - | 22,364 | ||||||||||||||||||||
BRL | 557,306 | USD | 538,610 | 7/2/2019 | HUS | 18,696 | - | 18,696 | ||||||||||||||||||||
BRL | 572,924 | USD | 567,471 | 7/2/2019 | HUS | 5,453 | - | 5,453 | ||||||||||||||||||||
BRL | 572,924 | USD | 568,749 | 7/2/2019 | HUS | 4,175 | - | 4,175 | ||||||||||||||||||||
BRL | 576,573 | USD | 572,970 | 7/2/2019 | HUS | 3,603 | - | 3,603 | ||||||||||||||||||||
BRL | 625,008 | USD | 614,046 | 7/2/2019 | HUS | 10,962 | - | 10,962 | ||||||||||||||||||||
BRL | 625,008 | USD | 614,266 | 7/2/2019 | HUS | 10,742 | - | 10,742 | ||||||||||||||||||||
BRL | 625,008 | USD | 621,094 | 7/2/2019 | HUS | 3,914 | - | 3,914 | ||||||||||||||||||||
BRL | 631,519 | USD | 605,342 | 7/2/2019 | HUS | 26,177 | - | 26,177 | ||||||||||||||||||||
BRL | 636,441 | USD | 610,182 | 7/2/2019 | HUS | 26,259 | - | 26,259 | ||||||||||||||||||||
BRL | 651,050 | USD | 639,926 | 7/2/2019 | HUS | 11,124 | - | 11,124 | ||||||||||||||||||||
BRL | 654,265 | USD | 648,144 | 7/2/2019 | HUS | 6,121 | - | 6,121 | ||||||||||||||||||||
BRL | 675,822 | USD | 667,539 | 7/2/2019 | HUS | 8,283 | - | 8,283 | ||||||||||||||||||||
BRL | 688,437 | USD | 665,665 | 7/2/2019 | HUS | 22,772 | - | 22,772 | ||||||||||||||||||||
BRL | 703,134 | USD | 695,100 | 7/2/2019 | HUS | 8,034 | - | 8,034 | ||||||||||||||||||||
BRL | 703,134 | USD | 695,930 | 7/2/2019 | HUS | 7,204 | - | 7,204 | ||||||||||||||||||||
BRL | 712,063 | USD | 705,695 | 7/2/2019 | HUS | 6,368 | - | 6,368 | ||||||||||||||||||||
BRL | 720,495 | USD | 713,003 | 7/2/2019 | HUS | 7,492 | - | 7,492 | ||||||||||||||||||||
BRL | 721,220 | USD | 696,086 | 7/2/2019 | HUS | 25,134 | - | 25,134 | ||||||||||||||||||||
BRL | 733,820 | USD | 729,031 | 7/2/2019 | HUS | 4,789 | - | 4,789 | ||||||||||||||||||||
BRL | 733,820 | USD | 728,932 | 7/2/2019 | HUS | 4,888 | - | 4,888 | ||||||||||||||||||||
BRL | 750,219 | USD | 718,901 | 7/2/2019 | HUS | 31,318 | - | 31,318 | ||||||||||||||||||||
BRL | 755,218 | USD | 729,853 | 7/2/2019 | HUS | 25,365 | - | 25,365 | ||||||||||||||||||||
BRL | 805,791 | USD | 772,250 | 7/2/2019 | HUS | 33,541 | - | 33,541 | ||||||||||||||||||||
BRL | 819,638 | USD | 809,411 | 7/2/2019 | HUS | 10,227 | - | 10,227 | ||||||||||||||||||||
BRL | 885,428 | USD | 850,808 | 7/2/2019 | HUS | 34,620 | - | 34,620 | ||||||||||||||||||||
BRL | 885,428 | USD | 875,454 | 7/2/2019 | HUS | 9,974 | - | 9,974 | ||||||||||||||||||||
BRL | 903,966 | USD | 895,512 | 7/2/2019 | HUS | 8,454 | - | 8,454 | ||||||||||||||||||||
BRL | 917,916 | USD | 887,607 | 7/2/2019 | HUS | 30,309 | - | 30,309 | ||||||||||||||||||||
BRL | 920,151 | USD | 902,964 | 7/2/2019 | HUS | 17,187 | - | 17,187 | ||||||||||||||||||||
BRL | 920,151 | USD | 902,397 | 7/2/2019 | HUS | 17,754 | - | 17,754 | ||||||||||||||||||||
BRL | 923,044 | USD | 890,295 | 7/2/2019 | HUS | 32,749 | - | 32,749 | ||||||||||||||||||||
BRL | 963,554 | USD | 957,755 | 7/2/2019 | HUS | 5,799 | - | 5,799 | ||||||||||||||||||||
BRL | 971,270 | USD | 953,372 | 7/2/2019 | HUS | 17,898 | - | 17,898 | ||||||||||||||||||||
BRL | 989,596 | USD | 956,552 | 7/2/2019 | HUS | 33,044 | - | 33,044 | ||||||||||||||||||||
BRL | 1,062,877 | USD | 1,013,382 | 7/2/2019 | HUS | 49,495 | - | 49,495 | ||||||||||||||||||||
BRL | 1,098,211 | USD | 1,083,888 | 7/2/2019 | HUS | 14,323 | - | 14,323 | ||||||||||||||||||||
BRL | 1,119,806 | USD | 1,082,769 | 7/2/2019 | HUS | 37,037 | - | 37,037 | ||||||||||||||||||||
BRL | 1,119,806 | USD | 1,112,951 | 7/2/2019 | HUS | 6,855 | - | 6,855 | ||||||||||||||||||||
BRL | 1,183,213 | USD | 1,144,251 | 7/2/2019 | HUS | 38,962 | - | 38,962 | ||||||||||||||||||||
BRL | 1,224,927 | USD | 1,209,730 | 7/2/2019 | HUS | 15,197 | - | 15,197 | ||||||||||||||||||||
BRL | 1,250,016 | USD | 1,242,525 | 7/2/2019 | HUS | 7,491 | - | 7,491 | ||||||||||||||||||||
BRL | 1,290,777 | USD | 1,248,556 | 7/2/2019 | HUS | 42,221 | - | 42,221 | ||||||||||||||||||||
BRL | 1,329,107 | USD | 1,303,781 | 7/2/2019 | HUS | 25,326 | - | 25,326 | ||||||||||||||||||||
BRL | 1,354,184 | USD | 1,326,855 | 7/2/2019 | HUS | 27,329 | - | 27,329 | ||||||||||||||||||||
BRL | 1,381,254 | USD | 1,317,456 | 7/2/2019 | HUS | 63,798 | - | 63,798 |
See accompanying notes
19
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
BRL | 1,750,597 | USD | 1,689,251 | 7/2/2019 | HUS | $ | 61,346 | $ | - | $ | 61,346 | |||||||||||||||||
USD | 36,506,210 | BRL | 39,063,009 | 7/2/2019 | HUS | - | (2,556,799 | ) | (2,556,799 | ) | ||||||||||||||||||
USD | 12,214,337 | BRL | 13,021,003 | 7/2/2019 | HUS | - | (806,666 | ) | (806,666 | ) | ||||||||||||||||||
USD | 7,374,797 | BRL | 7,708,684 | 7/2/2019 | HUS | - | (333,887 | ) | (333,887 | ) | ||||||||||||||||||
USD | 3,200,701 | BRL | 3,348,652 | 7/2/2019 | HUS | - | (147,951 | ) | (147,951 | ) | ||||||||||||||||||
USD | 2,947,418 | BRL | 3,083,473 | 7/2/2019 | HUS | - | (136,055 | ) | (136,055 | ) | ||||||||||||||||||
USD | 866,433 | BRL | 930,072 | 7/2/2019 | HUS | - | (63,639 | ) | (63,639 | ) | ||||||||||||||||||
USD | 776,189 | BRL | 824,663 | 7/2/2019 | HUS | - | (48,474 | ) | (48,474 | ) | ||||||||||||||||||
USD | 709,430 | BRL | 761,051 | 7/2/2019 | HUS | - | (51,621 | ) | (51,621 | ) | ||||||||||||||||||
USD | 683,034 | BRL | 734,385 | 7/2/2019 | HUS | - | (51,351 | ) | (51,351 | ) | ||||||||||||||||||
USD | 645,934 | BRL | 677,092 | 7/2/2019 | HUS | - | (31,158 | ) | (31,158 | ) | ||||||||||||||||||
USD | 573,511 | BRL | 614,591 | 7/2/2019 | HUS | - | (41,080 | ) | (41,080 | ) | ||||||||||||||||||
USD | 561,263 | BRL | 599,545 | 7/2/2019 | HUS | - | (38,282 | ) | (38,282 | ) | ||||||||||||||||||
USD | 513,800 | BRL | 551,106 | 7/2/2019 | HUS | - | (37,306 | ) | (37,306 | ) | ||||||||||||||||||
USD | 511,945 | BRL | 546,882 | 7/2/2019 | HUS | - | (34,937 | ) | (34,937 | ) | ||||||||||||||||||
USD | 504,661 | BRL | 540,386 | 7/2/2019 | HUS | - | (35,725 | ) | (35,725 | ) | ||||||||||||||||||
USD | 491,276 | BRL | 527,041 | 7/2/2019 | HUS | - | (35,765 | ) | (35,765 | ) | ||||||||||||||||||
USD | 496,118 | BRL | 520,840 | 7/2/2019 | HUS | - | (24,722 | ) | (24,722 | ) | ||||||||||||||||||
USD | 462,388 | BRL | 496,038 | 7/2/2019 | HUS | - | (33,650 | ) | (33,650 | ) | ||||||||||||||||||
USD | 472,119 | BRL | 494,798 | 7/2/2019 | HUS | - | (22,679 | ) | (22,679 | ) | ||||||||||||||||||
USD | 448,240 | BRL | 480,344 | 7/2/2019 | HUS | - | (32,104 | ) | (32,104 | ) | ||||||||||||||||||
USD | 448,681 | BRL | 480,343 | 7/2/2019 | HUS | - | (31,662 | ) | (31,662 | ) | ||||||||||||||||||
USD | 440,386 | BRL | 472,377 | 7/2/2019 | HUS | - | (31,991 | ) | (31,991 | ) | ||||||||||||||||||
USD | 415,883 | BRL | 446,134 | 7/2/2019 | HUS | - | (30,251 | ) | (30,251 | ) | ||||||||||||||||||
USD | 366,955 | BRL | 393,647 | 7/2/2019 | HUS | - | (26,692 | ) | (26,692 | ) | ||||||||||||||||||
USD | 359,433 | BRL | 385,422 | 7/2/2019 | HUS | - | (25,989 | ) | (25,989 | ) | ||||||||||||||||||
USD | 340,622 | BRL | 364,009 | 7/2/2019 | HUS | - | (23,387 | ) | (23,387 | ) | ||||||||||||||||||
USD | 324,480 | BRL | 348,885 | 7/2/2019 | HUS | - | (24,405 | ) | (24,405 | ) | ||||||||||||||||||
USD | 324,600 | BRL | 348,885 | 7/2/2019 | HUS | - | (24,285 | ) | (24,285 | ) | ||||||||||||||||||
USD | 324,435 | BRL | 348,885 | 7/2/2019 | HUS | - | (24,450 | ) | (24,450 | ) | ||||||||||||||||||
USD | 318,144 | BRL | 341,161 | 7/2/2019 | HUS | - | (23,017 | ) | (23,017 | ) | ||||||||||||||||||
USD | 305,434 | BRL | 328,362 | 7/2/2019 | HUS | - | (22,928 | ) | (22,928 | ) | ||||||||||||||||||
USD | 297,156 | BRL | 319,015 | 7/2/2019 | HUS | - | (21,859 | ) | (21,859 | ) | ||||||||||||||||||
USD | 267,188 | BRL | 286,462 | 7/2/2019 | HUS | - | (19,274 | ) | (19,274 | ) | ||||||||||||||||||
USD | 267,317 | BRL | 286,462 | 7/2/2019 | HUS | - | (19,145 | ) | (19,145 | ) | ||||||||||||||||||
USD | 261,503 | BRL | 280,200 | 7/2/2019 | HUS | - | (18,697 | ) | (18,697 | ) | ||||||||||||||||||
USD | 244,732 | BRL | 262,431 | 7/2/2019 | HUS | - | (17,699 | ) | (17,699 | ) | ||||||||||||||||||
USD | 242,866 | BRL | 260,420 | 7/2/2019 | HUS | - | (17,554 | ) | (17,554 | ) | ||||||||||||||||||
USD | 218,555 | BRL | 234,378 | 7/2/2019 | HUS | - | (15,823 | ) | (15,823 | ) | ||||||||||||||||||
USD | 218,505 | BRL | 234,378 | 7/2/2019 | HUS | - | (15,873 | ) | (15,873 | ) | ||||||||||||||||||
USD | 198,728 | BRL | 208,336 | 7/2/2019 | HUS | - | (9,608 | ) | (9,608 | ) | ||||||||||||||||||
USD | 195,843 | BRL | 208,336 | 7/2/2019 | HUS | - | (12,493 | ) | (12,493 | ) | ||||||||||||||||||
USD | 194,274 | BRL | 208,336 | 7/2/2019 | HUS | - | (14,062 | ) | (14,062 | ) | ||||||||||||||||||
USD | 179,511 | BRL | 190,975 | 7/2/2019 | HUS | - | (11,464 | ) | (11,464 | ) | ||||||||||||||||||
USD | 173,870 | BRL | 182,294 | 7/2/2019 | HUS | - | (8,424 | ) | (8,424 | ) | ||||||||||||||||||
USD | 171,406 | BRL | 182,294 | 7/2/2019 | HUS | - | (10,888 | ) | (10,888 | ) | ||||||||||||||||||
USD | 169,946 | BRL | 182,294 | 7/2/2019 | HUS | - | (12,348 | ) | (12,348 | ) | ||||||||||||||||||
USD | 149,154 | BRL | 156,252 | 7/2/2019 | HUS | - | (7,098 | ) | (7,098 | ) | ||||||||||||||||||
USD | 148,991 | BRL | 156,252 | 7/2/2019 | HUS | - | (7,261 | ) | (7,261 | ) | ||||||||||||||||||
USD | 149,099 | BRL | 156,252 | 7/2/2019 | HUS | - | (7,153 | ) | (7,153 | ) | ||||||||||||||||||
USD | 148,961 | BRL | 156,252 | 7/2/2019 | HUS | - | (7,291 | ) | (7,291 | ) | ||||||||||||||||||
USD | 148,954 | BRL | 156,252 | 7/2/2019 | HUS | - | (7,298 | ) | (7,298 | ) | ||||||||||||||||||
USD | 148,898 | BRL | 156,252 | 7/2/2019 | HUS | - | (7,354 | ) | (7,354 | ) | ||||||||||||||||||
USD | 145,667 | BRL | 156,252 | 7/2/2019 | HUS | - | (10,585 | ) | (10,585 | ) | ||||||||||||||||||
USD | 123,993 | BRL | 130,210 | 7/2/2019 | HUS | - | (6,217 | ) | (6,217 | ) | ||||||||||||||||||
USD | 124,267 | BRL | 130,210 | 7/2/2019 | HUS | - | (5,943 | ) | (5,943 | ) | ||||||||||||||||||
USD | 124,217 | BRL | 130,210 | 7/2/2019 | HUS | - | (5,993 | ) | (5,993 | ) | ||||||||||||||||||
USD | 124,267 | BRL | 130,210 | 7/2/2019 | HUS | - | (5,943 | ) | (5,943 | ) | ||||||||||||||||||
USD | 124,217 | BRL | 130,210 | 7/2/2019 | HUS | - | (5,993 | ) | (5,993 | ) |
See accompanying notes
20
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
USD | 124,100 | BRL | 130,210 | 7/2/2019 | HUS | $ | - | $ | (6,110 | ) | $ | (6,110 | ) | |||||||||||||||
USD | 122,390 | BRL | 130,210 | 7/2/2019 | HUS | - | (7,820 | ) | (7,820 | ) | ||||||||||||||||||
USD | 99,254 | BRL | 104,168 | 7/2/2019 | HUS | - | (4,914 | ) | (4,914 | ) | ||||||||||||||||||
USD | 99,221 | BRL | 104,168 | 7/2/2019 | HUS | - | (4,947 | ) | (4,947 | ) | ||||||||||||||||||
USD | 99,433 | BRL | 104,168 | 7/2/2019 | HUS | - | (4,735 | ) | (4,735 | ) | ||||||||||||||||||
USD | 99,399 | BRL | 104,168 | 7/2/2019 | HUS | - | (4,769 | ) | (4,769 | ) | ||||||||||||||||||
USD | 99,133 | BRL | 104,168 | 7/2/2019 | HUS | - | (5,035 | ) | (5,035 | ) | ||||||||||||||||||
USD | 99,379 | BRL | 104,168 | 7/2/2019 | HUS | - | (4,789 | ) | (4,789 | ) | ||||||||||||||||||
USD | 99,390 | BRL | 104,168 | 7/2/2019 | HUS | - | (4,778 | ) | (4,778 | ) | ||||||||||||||||||
USD | 99,280 | BRL | 104,168 | 7/2/2019 | HUS | - | (4,888 | ) | (4,888 | ) | ||||||||||||||||||
USD | 74,562 | BRL | 78,126 | 7/2/2019 | HUS | - | (3,564 | ) | (3,564 | ) | ||||||||||||||||||
USD | 74,460 | BRL | 78,126 | 7/2/2019 | HUS | - | (3,666 | ) | (3,666 | ) | ||||||||||||||||||
USD | 74,446 | BRL | 78,126 | 7/2/2019 | HUS | - | (3,680 | ) | (3,680 | ) | ||||||||||||||||||
USD | 74,431 | BRL | 78,126 | 7/2/2019 | HUS | - | (3,695 | ) | (3,695 | ) | ||||||||||||||||||
USD | 74,375 | BRL | 78,126 | 7/2/2019 | HUS | - | (3,751 | ) | (3,751 | ) | ||||||||||||||||||
USD | 74,468 | BRL | 78,126 | 7/2/2019 | HUS | - | (3,658 | ) | (3,658 | ) | ||||||||||||||||||
USD | 74,505 | BRL | 78,126 | 7/2/2019 | HUS | - | (3,621 | ) | (3,621 | ) | ||||||||||||||||||
USD | 74,382 | BRL | 78,126 | 7/2/2019 | HUS | - | (3,744 | ) | (3,744 | ) | ||||||||||||||||||
USD | 73,292 | BRL | 78,126 | 7/2/2019 | HUS | - | (4,834 | ) | (4,834 | ) | ||||||||||||||||||
USD | 73,283 | BRL | 78,126 | 7/2/2019 | HUS | - | (4,843 | ) | (4,843 | ) | ||||||||||||||||||
USD | 73,406 | BRL | 78,126 | 7/2/2019 | HUS | - | (4,720 | ) | (4,720 | ) | ||||||||||||||||||
USD | 49,609 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,475 | ) | (2,475 | ) | ||||||||||||||||||
USD | 49,594 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,490 | ) | (2,490 | ) | ||||||||||||||||||
USD | 49,702 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,382 | ) | (2,382 | ) | ||||||||||||||||||
USD | 49,665 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,419 | ) | (2,419 | ) | ||||||||||||||||||
USD | 49,617 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,467 | ) | (2,467 | ) | ||||||||||||||||||
USD | 49,609 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,475 | ) | (2,475 | ) | ||||||||||||||||||
USD | 49,695 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,389 | ) | (2,389 | ) | ||||||||||||||||||
USD | 49,585 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,499 | ) | (2,499 | ) | ||||||||||||||||||
USD | 49,573 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,511 | ) | (2,511 | ) | ||||||||||||||||||
USD | 49,695 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,389 | ) | (2,389 | ) | ||||||||||||||||||
USD | 49,647 | BRL | 52,084 | 7/2/2019 | HUS | - | (2,437 | ) | (2,437 | ) | ||||||||||||||||||
USD | 48,890 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,194 | ) | (3,194 | ) | ||||||||||||||||||
USD | 48,860 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,224 | ) | (3,224 | ) | ||||||||||||||||||
USD | 48,947 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,137 | ) | (3,137 | ) | ||||||||||||||||||
USD | 48,892 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,192 | ) | (3,192 | ) | ||||||||||||||||||
USD | 48,932 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,152 | ) | (3,152 | ) | ||||||||||||||||||
USD | 48,692 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,392 | ) | (3,392 | ) | ||||||||||||||||||
USD | 48,821 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,263 | ) | (3,263 | ) | ||||||||||||||||||
USD | 48,828 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,256 | ) | (3,256 | ) | ||||||||||||||||||
USD | 48,787 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,297 | ) | (3,297 | ) | ||||||||||||||||||
USD | 48,756 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,328 | ) | (3,328 | ) | ||||||||||||||||||
USD | 48,753 | BRL | 52,084 | 7/2/2019 | HUS | - | (3,331 | ) | (3,331 | ) | ||||||||||||||||||
USD | 24,349 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,693 | ) | (1,693 | ) | ||||||||||||||||||
USD | 24,845 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,197 | ) | (1,197 | ) | ||||||||||||||||||
USD | 24,346 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,696 | ) | (1,696 | ) | ||||||||||||||||||
USD | 24,342 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,700 | ) | (1,700 | ) | ||||||||||||||||||
USD | 24,327 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,715 | ) | (1,715 | ) | ||||||||||||||||||
USD | 24,328 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,714 | ) | (1,714 | ) | ||||||||||||||||||
USD | 24,443 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,599 | ) | (1,599 | ) | ||||||||||||||||||
USD | 24,469 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,573 | ) | (1,573 | ) | ||||||||||||||||||
USD | 24,462 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,580 | ) | (1,580 | ) | ||||||||||||||||||
USD | 24,459 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,583 | ) | (1,583 | ) | ||||||||||||||||||
USD | 24,459 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,583 | ) | (1,583 | ) | ||||||||||||||||||
USD | 24,462 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,580 | ) | (1,580 | ) | ||||||||||||||||||
USD | 24,417 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,625 | ) | (1,625 | ) | ||||||||||||||||||
USD | 24,382 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,660 | ) | (1,660 | ) | ||||||||||||||||||
USD | 24,381 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,661 | ) | (1,661 | ) | ||||||||||||||||||
USD | 24,375 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,667 | ) | (1,667 | ) |
See accompanying notes
21
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
USD | 24,425 | BRL | 26,042 | 7/2/2019 | HUS | $ | - | $ | (1,617 | ) | $ | (1,617 | ) | |||||||||||||||
USD | 24,414 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,628 | ) | (1,628 | ) | ||||||||||||||||||
USD | 24,350 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,692 | ) | (1,692 | ) | ||||||||||||||||||
USD | 24,349 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,693 | ) | (1,693 | ) | ||||||||||||||||||
USD | 24,340 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,702 | ) | (1,702 | ) | ||||||||||||||||||
USD | 24,313 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,729 | ) | (1,729 | ) | ||||||||||||||||||
USD | 24,305 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,737 | ) | (1,737 | ) | ||||||||||||||||||
USD | 24,394 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,648 | ) | (1,648 | ) | ||||||||||||||||||
USD | 24,378 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,664 | ) | (1,664 | ) | ||||||||||||||||||
USD | 24,381 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,661 | ) | (1,661 | ) | ||||||||||||||||||
USD | 24,369 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,673 | ) | (1,673 | ) | ||||||||||||||||||
USD | 24,366 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,676 | ) | (1,676 | ) | ||||||||||||||||||
USD | 24,444 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,598 | ) | (1,598 | ) | ||||||||||||||||||
USD | 24,426 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,616 | ) | (1,616 | ) | ||||||||||||||||||
USD | 24,413 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,629 | ) | (1,629 | ) | ||||||||||||||||||
USD | 24,364 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,678 | ) | (1,678 | ) | ||||||||||||||||||
USD | 24,362 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,680 | ) | (1,680 | ) | ||||||||||||||||||
USD | 24,352 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,690 | ) | (1,690 | ) | ||||||||||||||||||
USD | 24,359 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,683 | ) | (1,683 | ) | ||||||||||||||||||
USD | 24,326 | BRL | 26,042 | 7/2/2019 | HUS | - | (1,716 | ) | (1,716 | ) | ||||||||||||||||||
USD | 19,506,452 | EUR | 19,566,031 | 7/18/2019 | HUS | - | (59,579 | ) | (59,579 | ) | ||||||||||||||||||
USD | 9,548,656 | AUD | 9,641,758 | 7/18/2019 | HUS | - | (93,102 | ) | (93,102 | ) | ||||||||||||||||||
USD | 7,725,416 | HKD | 7,739,924 | 7/18/2019 | HUS | - | (14,508 | ) | (14,508 | ) | ||||||||||||||||||
CLP | 403,314 | USD | 401,999 | 7/22/2019 | HUS | 1,315 | - | 1,315 | ||||||||||||||||||||
CLP | 403,314 | USD | 402,117 | 7/22/2019 | HUS | 1,197 | - | 1,197 | ||||||||||||||||||||
CLP | 410,291 | USD | 410,566 | 7/22/2019 | HUS | - | (275 | ) | (275 | ) | ||||||||||||||||||
CLP | 410,291 | USD | 410,578 | 7/22/2019 | HUS | - | (287 | ) | (287 | ) | ||||||||||||||||||
CLP | 410,291 | USD | 410,615 | 7/22/2019 | HUS | - | (324 | ) | (324 | ) | ||||||||||||||||||
CLP | 537,752 | USD | 535,943 | 7/22/2019 | HUS | 1,809 | - | 1,809 | ||||||||||||||||||||
CLP | 537,752 | USD | 536,093 | 7/22/2019 | HUS | 1,659 | - | 1,659 | ||||||||||||||||||||
CLP | 537,752 | USD | 536,307 | 7/22/2019 | HUS | 1,445 | - | 1,445 | ||||||||||||||||||||
CLP | 547,055 | USD | 547,292 | 7/22/2019 | HUS | - | (237 | ) | (237 | ) | ||||||||||||||||||
CLP | 547,055 | USD | 548,126 | 7/22/2019 | HUS | - | (1,071 | ) | (1,071 | ) | ||||||||||||||||||
CLP | 547,055 | USD | 548,053 | 7/22/2019 | HUS | - | (998 | ) | (998 | ) | ||||||||||||||||||
CLP | 547,055 | USD | 547,551 | 7/22/2019 | HUS | - | (496 | ) | (496 | ) | ||||||||||||||||||
CLP | 547,055 | USD | 547,543 | 7/22/2019 | HUS | - | (488 | ) | (488 | ) | ||||||||||||||||||
CLP | 602,282 | USD | 597,006 | 7/22/2019 | HUS | 5,276 | - | 5,276 | ||||||||||||||||||||
CLP | 602,282 | USD | 597,024 | 7/22/2019 | HUS | 5,258 | - | 5,258 | ||||||||||||||||||||
CLP | 672,189 | USD | 670,165 | 7/22/2019 | HUS | 2,024 | - | 2,024 | ||||||||||||||||||||
CLP | 672,189 | USD | 670,214 | 7/22/2019 | HUS | 1,975 | - | 1,975 | ||||||||||||||||||||
CLP | 683,819 | USD | 684,399 | 7/22/2019 | HUS | - | (580 | ) | (580 | ) | ||||||||||||||||||
CLP | 803,042 | USD | 796,427 | 7/22/2019 | HUS | 6,615 | - | 6,615 | ||||||||||||||||||||
CLP | 1,003,803 | USD | 995,229 | 7/22/2019 | HUS | 8,574 | - | 8,574 | ||||||||||||||||||||
CLP | 1,003,803 | USD | 995,855 | 7/22/2019 | HUS | 7,948 | - | 7,948 | ||||||||||||||||||||
CLP | 1,003,803 | USD | 995,200 | 7/22/2019 | HUS | 8,603 | - | 8,603 | ||||||||||||||||||||
CLP | 1,697,608 | USD | 1,695,040 | 7/22/2019 | HUS | 2,568 | - | 2,568 | ||||||||||||||||||||
CLP | 1,697,608 | USD | 1,696,278 | 7/22/2019 | HUS | 1,330 | - | 1,330 | ||||||||||||||||||||
CLP | 3,838,070 | USD | 3,811,377 | 7/22/2019 | HUS | 26,693 | - | 26,693 | ||||||||||||||||||||
CLP | 4,502,352 | USD | 4,401,078 | 7/22/2019 | HUS | 101,274 | - | 101,274 | ||||||||||||||||||||
CLP | 11,292,784 | USD | 11,224,415 | 7/22/2019 | HUS | 68,369 | - | 68,369 | ||||||||||||||||||||
USD | 20,259,994 | CLP | 20,826,452 | 7/22/2019 | HUS | - | (566,458 | ) | (566,458 | ) | ||||||||||||||||||
USD | 16,528,020 | CLP | 17,271,317 | 7/22/2019 | HUS | - | (743,297 | ) | (743,297 | ) | ||||||||||||||||||
USD | 14,466,841 | CLP | 14,860,221 | 7/22/2019 | HUS | - | (393,380 | ) | (393,380 | ) | ||||||||||||||||||
USD | 12,124,412 | CLP | 12,455,276 | 7/22/2019 | HUS | - | (330,864 | ) | (330,864 | ) | ||||||||||||||||||
USD | 12,104,149 | CLP | 12,455,276 | 7/22/2019 | HUS | - | (351,127 | ) | (351,127 | ) | ||||||||||||||||||
COP | 465,885 | USD | 457,596 | 7/30/2019 | HUS | 8,289 | - | 8,289 | ||||||||||||||||||||
COP | 698,828 | USD | 705,195 | 7/30/2019 | HUS | - | (6,367 | ) | (6,367 | ) | ||||||||||||||||||
COP | 698,828 | USD | 704,914 | 7/30/2019 | HUS | - | (6,086 | ) | (6,086 | ) | ||||||||||||||||||
COP | 698,828 | USD | 704,889 | 7/30/2019 | HUS | - | (6,061 | ) | (6,061 | ) |
See accompanying notes
22
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
COP | 698,828 | USD | 704,669 | 7/30/2019 | HUS | $ | - | $ | (5,841 | ) | $ | (5,841 | ) | |||||||||||||||
COP | 931,771 | USD | 913,832 | 7/30/2019 | HUS | 17,939 | - | 17,939 | ||||||||||||||||||||
COP | 1,397,656 | USD | 1,371,667 | 7/30/2019 | HUS | 25,989 | - | 25,989 | ||||||||||||||||||||
USD | 10,282,713 | COP | 10,435,832 | 7/30/2019 | HUS | - | (153,119 | ) | (153,119 | ) | ||||||||||||||||||
BRL | 25,968 | USD | 25,784 | 8/2/2019 | HUS | 184 | - | 184 | ||||||||||||||||||||
BRL | 25,968 | USD | 25,784 | 8/2/2019 | HUS | 184 | - | 184 | ||||||||||||||||||||
BRL | 25,968 | USD | 25,791 | 8/2/2019 | HUS | 177 | - | 177 | ||||||||||||||||||||
BRL | 25,968 | USD | 25,854 | 8/2/2019 | HUS | 114 | - | 114 | ||||||||||||||||||||
BRL | 25,968 | USD | 25,869 | 8/2/2019 | HUS | 99 | - | 99 | ||||||||||||||||||||
BRL | 25,968 | USD | 25,877 | 8/2/2019 | HUS | 91 | - | 91 | ||||||||||||||||||||
BRL | 25,968 | USD | 25,743 | 8/2/2019 | HUS | 225 | - | 225 | ||||||||||||||||||||
BRL | 25,968 | USD | 26,076 | 8/2/2019 | HUS | - | (108 | ) | (108 | ) | ||||||||||||||||||
BRL | 25,968 | USD | 26,112 | 8/2/2019 | HUS | - | (144 | ) | (144 | ) | ||||||||||||||||||
BRL | 25,968 | USD | 26,111 | 8/2/2019 | HUS | - | (143 | ) | (143 | ) | ||||||||||||||||||
BRL | 25,968 | USD | 26,073 | 8/2/2019 | HUS | - | (105 | ) | (105 | ) | ||||||||||||||||||
BRL | 25,968 | USD | 26,119 | 8/2/2019 | HUS | - | (151 | ) | (151 | ) | ||||||||||||||||||
BRL | 25,968 | USD | 26,116 | 8/2/2019 | HUS | - | (148 | ) | (148 | ) | ||||||||||||||||||
BRL | 25,968 | USD | 26,076 | 8/2/2019 | HUS | - | (108 | ) | (108 | ) | ||||||||||||||||||
BRL | 25,968 | USD | 26,083 | 8/2/2019 | HUS | - | (115 | ) | (115 | ) | ||||||||||||||||||
BRL | 25,968 | USD | 26,076 | 8/2/2019 | HUS | - | (108 | ) | (108 | ) | ||||||||||||||||||
BRL | 25,968 | USD | 26,086 | 8/2/2019 | HUS | - | (118 | ) | (118 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 51,565 | 8/2/2019 | HUS | 371 | - | 371 | ||||||||||||||||||||
BRL | 51,936 | USD | 51,571 | 8/2/2019 | HUS | 365 | - | 365 | ||||||||||||||||||||
BRL | 51,936 | USD | 51,585 | 8/2/2019 | HUS | 351 | - | 351 | ||||||||||||||||||||
BRL | 51,936 | USD | 51,738 | 8/2/2019 | HUS | 198 | - | 198 | ||||||||||||||||||||
BRL | 51,936 | USD | 51,996 | 8/2/2019 | HUS | - | (60 | ) | (60 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 51,900 | 8/2/2019 | HUS | 36 | - | 36 | ||||||||||||||||||||
BRL | 51,936 | USD | 51,714 | 8/2/2019 | HUS | 222 | - | 222 | ||||||||||||||||||||
BRL | 51,936 | USD | 51,885 | 8/2/2019 | HUS | 51 | - | 51 | ||||||||||||||||||||
BRL | 51,936 | USD | 51,925 | 8/2/2019 | HUS | 11 | - | 11 | ||||||||||||||||||||
BRL | 51,936 | USD | 51,871 | 8/2/2019 | HUS | 65 | - | 65 | ||||||||||||||||||||
BRL | 51,936 | USD | 52,183 | 8/2/2019 | HUS | - | (247 | ) | (247 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,228 | 8/2/2019 | HUS | - | (292 | ) | (292 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,160 | 8/2/2019 | HUS | - | (224 | ) | (224 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,143 | 8/2/2019 | HUS | - | (207 | ) | (207 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,139 | 8/2/2019 | HUS | - | (203 | ) | (203 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,138 | 8/2/2019 | HUS | - | (202 | ) | (202 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,140 | 8/2/2019 | HUS | - | (204 | ) | (204 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,146 | 8/2/2019 | HUS | - | (210 | ) | (210 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,147 | 8/2/2019 | HUS | - | (211 | ) | (211 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,239 | 8/2/2019 | HUS | - | (303 | ) | (303 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,050 | 8/2/2019 | HUS | - | (114 | ) | (114 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,064 | 8/2/2019 | HUS | - | (128 | ) | (128 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,132 | 8/2/2019 | HUS | - | (196 | ) | (196 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,140 | 8/2/2019 | HUS | - | (204 | ) | (204 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,146 | 8/2/2019 | HUS | - | (210 | ) | (210 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,235 | 8/2/2019 | HUS | - | (299 | ) | (299 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,132 | 8/2/2019 | HUS | - | (196 | ) | (196 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,157 | 8/2/2019 | HUS | - | (221 | ) | (221 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,154 | 8/2/2019 | HUS | - | (218 | ) | (218 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,160 | 8/2/2019 | HUS | - | (224 | ) | (224 | ) | ||||||||||||||||||
BRL | 51,936 | USD | 52,159 | 8/2/2019 | HUS | - | (223 | ) | (223 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 76,883 | 8/2/2019 | HUS | 1,021 | - | 1,021 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,591 | 8/2/2019 | HUS | 313 | - | 313 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,581 | 8/2/2019 | HUS | 323 | - | 323 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,875 | 8/2/2019 | HUS | 29 | - | 29 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,551 | 8/2/2019 | HUS | 353 | - | 353 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,581 | 8/2/2019 | HUS | 323 | - | 323 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,898 | 8/2/2019 | HUS | 6 | - | 6 |
See accompanying notes
23
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
BRL | 77,904 | USD | 77,806 | 8/2/2019 | HUS | $ | 98 | $ | - | $ | 98 | |||||||||||||||||
BRL | 77,904 | USD | 77,868 | 8/2/2019 | HUS | 36 | - | 36 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,817 | 8/2/2019 | HUS | 87 | - | 87 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,912 | 8/2/2019 | HUS | - | (8 | ) | (8 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 77,704 | 8/2/2019 | HUS | 200 | - | 200 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,890 | 8/2/2019 | HUS | 14 | - | 14 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,781 | 8/2/2019 | HUS | 123 | - | 123 | ||||||||||||||||||||
BRL | 77,904 | USD | 77,367 | 8/2/2019 | HUS | 537 | - | 537 | ||||||||||||||||||||
BRL | 77,904 | USD | 78,272 | 8/2/2019 | HUS | - | (368 | ) | (368 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,263 | 8/2/2019 | HUS | - | (359 | ) | (359 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,221 | 8/2/2019 | HUS | - | (317 | ) | (317 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,250 | 8/2/2019 | HUS | - | (346 | ) | (346 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,368 | 8/2/2019 | HUS | - | (464 | ) | (464 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,100 | 8/2/2019 | HUS | - | (196 | ) | (196 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,109 | 8/2/2019 | HUS | - | (205 | ) | (205 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,247 | 8/2/2019 | HUS | - | (343 | ) | (343 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,275 | 8/2/2019 | HUS | - | (371 | ) | (371 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,282 | 8/2/2019 | HUS | - | (378 | ) | (378 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,188 | 8/2/2019 | HUS | - | (284 | ) | (284 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,247 | 8/2/2019 | HUS | - | (343 | ) | (343 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,260 | 8/2/2019 | HUS | - | (356 | ) | (356 | ) | ||||||||||||||||||
BRL | 77,904 | USD | 78,249 | 8/2/2019 | HUS | - | (345 | ) | (345 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 102,931 | 8/2/2019 | HUS | 941 | - | 941 | ||||||||||||||||||||
BRL | 103,872 | USD | 103,953 | 8/2/2019 | HUS | - | (81 | ) | (81 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 103,942 | 8/2/2019 | HUS | - | (70 | ) | (70 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 103,832 | 8/2/2019 | HUS | 40 | - | 40 | ||||||||||||||||||||
BRL | 103,872 | USD | 103,425 | 8/2/2019 | HUS | 447 | - | 447 | ||||||||||||||||||||
BRL | 103,872 | USD | 103,926 | 8/2/2019 | HUS | - | (54 | ) | (54 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 103,848 | 8/2/2019 | HUS | 24 | - | 24 | ||||||||||||||||||||
BRL | 103,872 | USD | 103,749 | 8/2/2019 | HUS | 123 | - | 123 | ||||||||||||||||||||
BRL | 103,872 | USD | 103,819 | 8/2/2019 | HUS | 53 | - | 53 | ||||||||||||||||||||
BRL | 103,872 | USD | 103,842 | 8/2/2019 | HUS | 30 | - | 30 | ||||||||||||||||||||
BRL | 103,872 | USD | 102,950 | 8/2/2019 | HUS | 922 | - | 922 | ||||||||||||||||||||
BRL | 103,872 | USD | 103,194 | 8/2/2019 | HUS | 678 | - | 678 | ||||||||||||||||||||
BRL | 103,872 | USD | 104,361 | 8/2/2019 | HUS | - | (489 | ) | (489 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 104,459 | 8/2/2019 | HUS | - | (587 | ) | (587 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 104,293 | 8/2/2019 | HUS | - | (421 | ) | (421 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 104,470 | 8/2/2019 | HUS | - | (598 | ) | (598 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 104,075 | 8/2/2019 | HUS | - | (203 | ) | (203 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 104,132 | 8/2/2019 | HUS | - | (260 | ) | (260 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 104,159 | 8/2/2019 | HUS | - | (287 | ) | (287 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 104,319 | 8/2/2019 | HUS | - | (447 | ) | (447 | ) | ||||||||||||||||||
BRL | 103,872 | USD | 104,300 | 8/2/2019 | HUS | - | (428 | ) | (428 | ) | ||||||||||||||||||
BRL | 129,840 | USD | 129,895 | 8/2/2019 | HUS | - | (55 | ) | (55 | ) | ||||||||||||||||||
BRL | 129,840 | USD | 129,993 | 8/2/2019 | HUS | - | (153 | ) | (153 | ) | ||||||||||||||||||
BRL | 129,840 | USD | 129,775 | 8/2/2019 | HUS | 65 | - | 65 | ||||||||||||||||||||
BRL | 129,840 | USD | 129,791 | 8/2/2019 | HUS | 49 | - | 49 | ||||||||||||||||||||
BRL | 129,840 | USD | 129,941 | 8/2/2019 | HUS | - | (101 | ) | (101 | ) | ||||||||||||||||||
BRL | 129,840 | USD | 129,791 | 8/2/2019 | HUS | 49 | - | 49 | ||||||||||||||||||||
BRL | 129,840 | USD | 129,561 | 8/2/2019 | HUS | 279 | - | 279 | ||||||||||||||||||||
BRL | 129,840 | USD | 129,594 | 8/2/2019 | HUS | 246 | - | 246 | ||||||||||||||||||||
BRL | 129,840 | USD | 129,372 | 8/2/2019 | HUS | 468 | - | 468 | ||||||||||||||||||||
BRL | 129,840 | USD | 129,661 | 8/2/2019 | HUS | 179 | - | 179 | ||||||||||||||||||||
BRL | 129,840 | USD | 129,374 | 8/2/2019 | HUS | 466 | - | 466 | ||||||||||||||||||||
BRL | 129,840 | USD | 128,680 | 8/2/2019 | HUS | 1,160 | - | 1,160 | ||||||||||||||||||||
BRL | 129,840 | USD | 130,491 | 8/2/2019 | HUS | - | (651 | ) | (651 | ) | ||||||||||||||||||
BRL | 129,840 | USD | 130,525 | 8/2/2019 | HUS | - | (685 | ) | (685 | ) | ||||||||||||||||||
BRL | 129,840 | USD | 130,144 | 8/2/2019 | HUS | - | (304 | ) | (304 | ) | ||||||||||||||||||
BRL | 129,840 | USD | 130,165 | 8/2/2019 | HUS | - | (325 | ) | (325 | ) |
See accompanying notes
24
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
BRL | 155,808 | USD | 154,401 | 8/2/2019 | HUS | $ | 1,407 | $ | - | $ | 1,407 | |||||||||||||||||
BRL | 155,808 | USD | 155,743 | 8/2/2019 | HUS | 65 | - | 65 | ||||||||||||||||||||
BRL | 155,808 | USD | 155,604 | 8/2/2019 | HUS | 204 | - | 204 | ||||||||||||||||||||
BRL | 155,808 | USD | 155,816 | 8/2/2019 | HUS | - | (8 | ) | (8 | ) | ||||||||||||||||||
BRL | 155,808 | USD | 155,453 | 8/2/2019 | HUS | 355 | - | 355 | ||||||||||||||||||||
BRL | 155,808 | USD | 155,516 | 8/2/2019 | HUS | 292 | - | 292 | ||||||||||||||||||||
BRL | 155,808 | USD | 155,290 | 8/2/2019 | HUS | 518 | - | 518 | ||||||||||||||||||||
BRL | 155,808 | USD | 155,292 | 8/2/2019 | HUS | 516 | - | 516 | ||||||||||||||||||||
BRL | 155,808 | USD | 155,246 | 8/2/2019 | HUS | 562 | - | 562 | ||||||||||||||||||||
BRL | 155,808 | USD | 155,306 | 8/2/2019 | HUS | 502 | - | 502 | ||||||||||||||||||||
BRL | 155,808 | USD | 156,464 | 8/2/2019 | HUS | - | (656 | ) | (656 | ) | ||||||||||||||||||
BRL | 155,808 | USD | 156,507 | 8/2/2019 | HUS | - | (699 | ) | (699 | ) | ||||||||||||||||||
BRL | 155,808 | USD | 156,171 | 8/2/2019 | HUS | - | (363 | ) | (363 | ) | ||||||||||||||||||
BRL | 155,808 | USD | 156,439 | 8/2/2019 | HUS | - | (631 | ) | (631 | ) | ||||||||||||||||||
BRL | 181,776 | USD | 181,166 | 8/2/2019 | HUS | 610 | - | 610 | ||||||||||||||||||||
BRL | 181,776 | USD | 181,048 | 8/2/2019 | HUS | 728 | - | 728 | ||||||||||||||||||||
BRL | 181,776 | USD | 181,143 | 8/2/2019 | HUS | 633 | - | 633 | ||||||||||||||||||||
BRL | 181,776 | USD | 181,672 | 8/2/2019 | HUS | 104 | - | 104 | ||||||||||||||||||||
BRL | 181,776 | USD | 181,696 | 8/2/2019 | HUS | 80 | - | 80 | ||||||||||||||||||||
BRL | 181,776 | USD | 182,539 | 8/2/2019 | HUS | - | (763 | ) | (763 | ) | ||||||||||||||||||
BRL | 181,776 | USD | 182,544 | 8/2/2019 | HUS | - | (768 | ) | (768 | ) | ||||||||||||||||||
BRL | 181,776 | USD | 182,568 | 8/2/2019 | HUS | - | (792 | ) | (792 | ) | ||||||||||||||||||
BRL | 207,744 | USD | 205,000 | 8/2/2019 | HUS | 2,744 | - | 2,744 | ||||||||||||||||||||
BRL | 207,744 | USD | 207,598 | 8/2/2019 | HUS | 146 | - | 146 | ||||||||||||||||||||
BRL | 233,712 | USD | 231,607 | 8/2/2019 | HUS | 2,105 | - | 2,105 | ||||||||||||||||||||
BRL | 233,712 | USD | 234,726 | 8/2/2019 | HUS | - | (1,014 | ) | (1,014 | ) | ||||||||||||||||||
BRL | 259,680 | USD | 257,315 | 8/2/2019 | HUS | 2,365 | - | 2,365 | ||||||||||||||||||||
BRL | 311,615 | USD | 307,693 | 8/2/2019 | HUS | 3,922 | - | 3,922 | ||||||||||||||||||||
BRL | 311,615 | USD | 308,440 | 8/2/2019 | HUS | 3,175 | - | 3,175 | ||||||||||||||||||||
BRL | 389,519 | USD | 384,474 | 8/2/2019 | HUS | 5,045 | - | 5,045 | ||||||||||||||||||||
BRL | 389,519 | USD | 386,296 | 8/2/2019 | HUS | 3,223 | - | 3,223 | ||||||||||||||||||||
BRL | 428,078 | USD | 430,077 | 8/2/2019 | HUS | - | (1,999 | ) | (1,999 | ) | ||||||||||||||||||
BRL | 467,423 | USD | 460,712 | 8/2/2019 | HUS | 6,711 | - | 6,711 | ||||||||||||||||||||
BRL | 519,359 | USD | 515,661 | 8/2/2019 | HUS | 3,698 | - | 3,698 | ||||||||||||||||||||
BRL | 545,327 | USD | 541,723 | 8/2/2019 | HUS | 3,604 | - | 3,604 | ||||||||||||||||||||
BRL | 779,039 | USD | 773,737 | 8/2/2019 | HUS | 5,302 | - | 5,302 | ||||||||||||||||||||
BRL | 1,272,430 | USD | 1,276,913 | 8/2/2019 | HUS | - | (4,483 | ) | (4,483 | ) | ||||||||||||||||||
BRL | 1,337,743 | USD | 1,343,886 | 8/2/2019 | HUS | - | (6,143 | ) | (6,143 | ) | ||||||||||||||||||
USD | 104,022 | BRL | 103,872 | 8/2/2019 | HUS | 150 | - | 150 | ||||||||||||||||||||
CNY | 145,603 | USD | 145,618 | 8/26/2019 | HUS | - | (15 | ) | (15 | ) | ||||||||||||||||||
CNY | 145,603 | USD | 145,539 | 8/26/2019 | HUS | 64 | - | 64 | ||||||||||||||||||||
CNY | 145,603 | USD | 145,551 | 8/26/2019 | HUS | 52 | - | 52 | ||||||||||||||||||||
CNY | 145,603 | USD | 145,355 | 8/26/2019 | HUS | 248 | - | 248 | ||||||||||||||||||||
CNY | 218,405 | USD | 218,116 | 8/26/2019 | HUS | 289 | - | 289 | ||||||||||||||||||||
CNY | 291,207 | USD | 291,057 | 8/26/2019 | HUS | 150 | - | 150 | ||||||||||||||||||||
CNY | 436,811 | USD | 435,275 | 8/26/2019 | HUS | 1,536 | - | 1,536 | ||||||||||||||||||||
CNY | 436,811 | USD | 436,771 | 8/26/2019 | HUS | 40 | - | 40 | ||||||||||||||||||||
CNY | 509,612 | USD | 508,953 | 8/26/2019 | HUS | 659 | - | 659 | ||||||||||||||||||||
CNY | 728,018 | USD | 727,215 | 8/26/2019 | HUS | 803 | - | 803 | ||||||||||||||||||||
USD | 3,916,450 | CNY | 3,931,296 | 8/26/2019 | HUS | - | (14,846 | ) | (14,846 | ) | ||||||||||||||||||
USD | 1,502,766 | CLP | 1,549,214 | 10/2/2019 | HUS | - | (46,448 | ) | (46,448 | ) | ||||||||||||||||||
USD | 1,360,460 | CLP | 1,403,061 | 10/2/2019 | HUS | - | (42,601 | ) | (42,601 | ) | ||||||||||||||||||
USD | 1,359,934 | CLP | 1,403,061 | 10/2/2019 | HUS | - | (43,127 | ) | (43,127 | ) | ||||||||||||||||||
PEN | 2,651,701 | USD | 2,572,168 | 8/22/2019 | RBS | 79,533 | - | 79,533 | ||||||||||||||||||||
PEN | 2,643,160 | USD | 2,636,575 | 11/6/2019 | RBS | 6,585 | - | 6,585 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 4,890,227 | $ | (12,029,068 | ) | $ | (7,138,841 | ) | |||||||||||||||||||||
|
|
|
|
|
|
* | All values denominated in USD. |
See accompanying notes
25
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Glossary: | ||
Counterparty Abbreviations: | ||
DUB | Deutsche Bank AG. | |
HUS | HSBC Bank (USA). | |
RBS | Royal Bank of Scotland PLC. | |
Currency Abbreviations: | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CLP | Chilean Peso | |
CNY | Chinese Yuan | |
COP | Colombian Peso | |
EUR | Euro | |
HKD | Hong Kong Dollar | |
INR | Indian Rupee | |
KRW | South Korean Won | |
PEN | Peruvian Nuevo Sol | |
PHP | Philippine Peso | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
Index Abbreviations: | ||
CAC40 | Euronet Paris - French Stock Market Index. | |
DAX | Deutsche Boerse AG German Stock Index. | |
Euro Stoxx 50 | Eurozone Blue-chip Index. | |
FTSE 100 | Financial Times Stock Exchange 100 Index. | |
FTSE/JSE Top 40 | Largest 40 companies ranked by full market value in the FTSE/JSEAll-Share Index. | |
FTSE/MIB | Borsa Italiana - Italian Stock Market Index. | |
Hang Seng | Hong Kong Stock Market Index. | |
IBEX | Bolsa de Madrid - Spanish Stock Market Index. | |
KOSPI | South Korean Stock Market Index. | |
MSCI | Morgan Stanley Capital International. | |
MSCI EAFE | Morgan Stanley Capital International - Europe, Australasia, and Far East. | |
NASDAQ | National Association of Securities Dealers Automated Quotations. | |
NIKKEI 225 | Nikkei Stock Average. | |
OMXS30 | Stockholm Stock Exchange’s leading share index. | |
S&P 500 | Standard & Poor’s U.S. EquityLarge-Cap Index. | |
S&P/TSX | Canadian Equity Market Index. | |
SPI 200 | Australian Equity Market Index Future. | |
TOPIX | Tokyo Stock Exchange Tokyo Price Index. | |
Exchange Abbreviations: | ||
JSE | Johannesburg Stock Exchange. | |
LME | London Metal Exchange. | |
SGX | Singapore Stock Exchange. | |
Other Abbreviations: | ||
Bobl | Medium term debt that is issued by the Federal Republic of Germany. | |
Bund | German Federal Government Bond. | |
Buxl | Long term debt that is issued by the Federal Republic of Germany. | |
EURIBOR | Euro Interbank Offered Rate. | |
GILT | Bank of England Bonds. | |
LME | London Metal Exchange. | |
RBOB | Reformulated Gasoline Blendstock for Oxygen Blending. | |
Sugar#11 | World Benchmark for raw sugar. | |
ULSD | Ultra-low-sulfur diesel. | |
WTI | West Texas Intermediate. |
See accompanying notes
26
American Beacon AHL Managed Futures Strategy FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of June 30, 2019, the investments were classified as described below:
AHL Managed Futures Strategy Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Short-Term Investments | ||||||||||||||||||||||||||||
Investment Companies | $ | 45,380,132 | $ | - | $ | - | $ | 45,380,132 | ||||||||||||||||||||
U.S. Treasury Obligations | - | 905,545,861 | - | 905,545,861 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 45,380,132 | $ | 905,545,861 | $ | - | $ | 950,925,993 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||||||
Futures Contracts | $ | 33,913,296 | $ | - | $ | - | $ | 33,913,296 | ||||||||||||||||||||
Forward Foreign Currency Contracts | - | 4,890,227 | - | 4,890,227 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | 33,913,296 | $ | 4,890,227 | $ | - | $ | 38,803,523 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||||||
Futures Contracts | $ | (13,804,768 | ) | $ | - | $ | - | $ | (13,804,768 | ) | ||||||||||||||||||
Forward Foreign Currency Contracts | - | (12,029,068 | ) | - | (12,029,068 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments-Liabilities | $ | (13,804,768 | ) | $ | (12,029,068 | ) | $ | - | $ | (25,833,836 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires transfers between all levels to/from level 3 be disclosed. During the period ended June 30, 2019, there were no transfers into or out of Level 3.
See accompanying notes
27
American Beacon AHL TargetRisk FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Principal Amount* | Fair Value | ||||||||||||||
FOREIGN SOVEREIGN OBLIGATIONS - 41.49% | |||||||||||||||
Deutsche Bundesrepublik Inflation-Linked Bond, 0.500%, Due 4/15/2030, Series I/LA B | EUR | 4,228,680 | $ | 5,737,903 | |||||||||||
French Republic Government Bond OAT, 1.850%, Due 7/25/2027, Series OATEA B | EUR | 1,677,630 | 2,386,480 | ||||||||||||
0.100%, Due 3/1/2028, Series OATIA B | EUR | 1,037,080 | 1,286,096 | ||||||||||||
United Kingdom Gilt Inflation-Linked, 0.125%, Due 3/22/2026, Series 3MOA B | GBP | 3,346,830 | 5,073,486 | ||||||||||||
|
| ||||||||||||||
Total Foreign Sovereign Obligations (Cost $14,114,294) | 14,483,965 | ||||||||||||||
|
| ||||||||||||||
U.S. TREASURY OBLIGATIONS - 24.13% | |||||||||||||||
United States Treasury Inflation-Protected Security, 0.625%, Due 4/15/2023A | $ | 3,085,890 | 3,122,233 | ||||||||||||
0.750%, Due 7/15/2028A | 5,089,350 | 5,302,347 | |||||||||||||
|
| ||||||||||||||
Total U.S. Treasury Obligations (Cost $8,086,866) | 8,424,580 | ||||||||||||||
|
| ||||||||||||||
Shares | |||||||||||||||
SHORT-TERM INVESTMENTS - 22.66% | |||||||||||||||
Investment Companies - 10.60% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 2.32%C D | 3,701,122 | 3,701,122 | |||||||||||||
|
| ||||||||||||||
Principal Amount* | |||||||||||||||
U.S. Treasury Obligations - 12.06% | |||||||||||||||
U.S. Treasury Bill, 2.019%, Due 12/12/2019 | $ | 4,250,000 | 4,210,576 | ||||||||||||
|
| ||||||||||||||
Total Short-Term Investments (Cost $7,912,768) | 7,911,698 | ||||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 88.28% (Cost $30,113,928) | 30,820,243 | ||||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 11.72% | 4,090,204 | ||||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 34,910,447 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. *In U.S. Dollars unless otherwise noted. |
A Inflation-Indexed Note.
B Reg S - Security purchased under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.
C The Fund is affiliated by having the same investment advisor.
D7-day yield.
GILT - Bank of England Bonds.
OAT - Obligations Assimilables du Trésor.
Long Futures Contracts Open on June 30, 2019: |
| |||||||||||||||
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Amsterdam Index Futures | 4 | July 2019 | $ | 507,380 | $ | 510,267 | $ | 2,887 | ||||||||
BIST 30 Index Futures | 63 | August 2019 | 134,956 | 136,135 | 1,179 | |||||||||||
CAC40 Index Futures | 11 | July 2019 | 686,988 | 692,073 | 5,085 | |||||||||||
DAX Index Futures | 2 | September 2019 | 700,342 | 704,320 | 3,978 | |||||||||||
Euro Stoxx 50 Index Futures | 23 | September 2019 | 899,006 | 906,474 | 7,468 | |||||||||||
FTSE 100 Index Futures | 43 | September 2019 | 4,009,740 | 4,024,050 | 14,310 | |||||||||||
FTSE China A50 Index Futures | 4 | July 2019 | 53,275 | 54,020 | 745 | |||||||||||
FTSE/JSE Top 40 Index Futures | 4 | September 2019 | 150,219 | 148,902 | (1,317 | ) | ||||||||||
FTSE/MIB Index Futures | 4 | September 2019 | 473,366 | 481,130 | 7,764 | |||||||||||
Hang Seng China Enterprises Index Futures | 4 | July 2019 | 274,042 | 277,404 | 3,362 | |||||||||||
Hang Seng Index Futures | 2 | July 2019 | 360,642 | 364,901 | 4,259 | |||||||||||
IBEX 35 Index Futures | 3 | July 2019 | 312,856 | 312,919 | 63 | |||||||||||
KOSPI 200 Index Futures | 10 | September 2019 | 591,432 | 602,780 | 11,348 |
See accompanying notes
28
American Beacon AHL TargetRisk FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
MSCI SING IX ETS Futures | 7 | July 2019 | $ | 192,717 | $ | 195,643 | $ | 2,926 | ||||||||
MSCI Taiwan Stock Index Futures | 5 | July 2019 | 191,562 | 193,250 | 1,688 | |||||||||||
NASDAQ 100E-Mini Futures | 10 | September 2019 | 1,508,784 | 1,538,750 | 29,966 | |||||||||||
Nikkei 225 (SGX) Futures | 12 | September 2019 | 1,174,872 | 1,180,912 | 6,040 | |||||||||||
OMXS30 Index Futures | 11 | July 2019 | 189,070 | 191,988 | 2,918 | |||||||||||
S&P 500E-Mini Index Futures | 21 | September 2019 | 3,044,193 | 3,091,410 | 47,217 | |||||||||||
S&P/TSX 60 Index Futures | 7 | September 2019 | 1,040,845 | 1,045,229 | 4,384 | |||||||||||
SGX NIFTY 50 Index Futures | 2 | July 2019 | 47,660 | 47,352 | (308 | ) | ||||||||||
SPI 200 Futures | 2 | September 2019 | 228,168 | 230,237 | 2,069 | |||||||||||
TOPIX Index Futures | 4 | September 2019 | 576,687 | 575,429 | (1,258 | ) | ||||||||||
|
|
|
|
|
| |||||||||||
$ | 17,348,802 | $ | 17,505,575 | $ | 156,773 | |||||||||||
|
|
|
|
|
| |||||||||||
Interest Rate Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Canadian10-Year Bond Futures | 10 | September 2019 | $ | 1,082,442 | $ | 1,091,444 | $ | 9,002 | ||||||||
Euro OAT Futures | 13 | September 2019 | 2,406,454 | 2,437,158 | 30,704 | |||||||||||
Euro-Bobl Futures | 29 | September 2019 | 4,416,966 | 4,433,281 | 16,315 | |||||||||||
Euro-BTP Futures | 10 | September 2019 | 1,479,236 | 1,527,126 | 47,890 | |||||||||||
Euro-Bund Futures | 24 | September 2019 | 4,671,941 | 4,714,144 | 42,203 | |||||||||||
Euro-Buxl Futures | 2 | September 2019 | 449,406 | 461,435 | 12,029 | |||||||||||
Japanese10-Year Government Bond Futures | 7 | September 2019 | 9,964,024 | 9,988,870 | 24,846 | |||||||||||
Korea10-Year Government Bond Futures | 6 | September 2019 | 682,917 | 682,025 | (892 | ) | ||||||||||
Korea3-Year Government Bond Futures | 8 | September 2019 | 765,594 | 764,907 | (687 | ) | ||||||||||
Long GILT Futures | 59 | September 2019 | 9,686,937 | 9,762,989 | 76,052 | |||||||||||
U.S. Long Bond Futures | 26 | September 2019 | 3,953,678 | 4,045,437 | 91,759 | |||||||||||
U.S. Treasury10-Year Note Futures | 52 | September 2019 | 6,546,776 | 6,654,375 | 107,599 | |||||||||||
U.S. Treasury2-Year Note Futures | 10 | September 2019 | 2,139,885 | 2,151,797 | 11,912 | |||||||||||
U.S. Treasury5-Year Note Futures | 38 | September 2019 | 4,446,605 | 4,489,938 | 43,333 | |||||||||||
U.S. Ultra Bond Futures | 14 | September 2019 | 2,408,847 | 2,485,875 | 77,028 | |||||||||||
|
|
|
|
|
| |||||||||||
$ | 55,101,708 | $ | 55,690,801 | $ | 589,093 | |||||||||||
|
|
|
|
|
|
Centrally Cleared Swap Agreements Outstanding on June 30, 2019: |
| |||||||||||||||||||||||||
Credit Default Swaps on Credit Indices - Sell Protection(1) | ||||||||||||||||||||||||||
Index/Tranches | Fixed- Rate (%) | Expiration Date | Implied Credit Spread at 6/30/2019(2) (%) | Curr | Notional Amount(3) (000s) | Premiums Paid (Received) | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Markit CDXNA.IG-315-Year Index Version 1 | 1.00 | 6/20/2024 | 0.5422 | USD | 15,000 | $ | 270,529 | $ | 323,967 | $ | 53,438 | |||||||||||||||
iTraxx EuropeES-315-Year Index Version 1 | 1.00 | 6/20/2024 | 0.5210 | EUR | 10,000 | 167,949 | 274,875 | 106,926 | ||||||||||||||||||
Markit CDXNA.HY-325-Year Index Version 1 | 5.00 | 6/20/2024 | 3.2420 | USD | 5,000 | 273,614 | 382,737 | 109,123 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 712,092 | $ | 981,579 | $ | 269,487 | |||||||||||||||||||||
|
|
|
|
|
|
(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swaps agreements on corporate issues and sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(3) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
See accompanying notes
29
American Beacon AHL TargetRisk FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
OTC Swap Agreements Outstanding on June 30, 2019: |
| |||||||||||||||||||||||||||||
Total Return Swap Agreements | ||||||||||||||||||||||||||||||
Pay/Receive Floating Rate | Description | Reference Entity | Counter- party | Floating Rate | Expiration Date | Reference Quantity | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pay | 1-Month USD-LIBOR | BBUXALC INDEX | JPM | 0.000% | 7/3/2019 | 33,000 | 3,698,754 | $ | (949 | ) | $ | (112,699 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
$ | (949 | ) | $ | (112,699 | ) | |||||||||||||||||||||||||
|
|
|
|
Forward Foreign Currency Contracts Open on June 30, 2019: |
| |||||||||||||||||||||||||||
Currency Purchased* | Currency Sold* | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
JPY | 14,645 | USD | 14,593 | 7/18/2019 | SSB | $ | 52 | $ | - | $ | 52 | |||||||||||||||||
GBP | 61,158 | USD | 61,256 | 7/18/2019 | SSB | - | (98 | ) | (98 | ) | ||||||||||||||||||
EUR | 230,979 | USD | 230,791 | 7/18/2019 | SSB | 188 | - | 188 | ||||||||||||||||||||
USD | 5,203,929 | GBP | 5,199,859 | 7/18/2019 | SSB | 4,070 | - | 4,070 | ||||||||||||||||||||
USD | 4,248,161 | EUR | 4,262,909 | 7/18/2019 | SSB | - | (14,748 | ) | (14,748 | ) | ||||||||||||||||||
USD | 3,472,529 | EUR | 3,484,584 | 7/18/2019 | SSB | - | (12,055 | ) | (12,055 | ) | ||||||||||||||||||
USD | 1,437,858 | EUR | 1,439,033 | 7/18/2019 | SSB | - | (1,175 | ) | (1,175 | ) | ||||||||||||||||||
USD | 593,765 | EUR | 602,643 | 7/18/2019 | SSB | - | (8,878 | ) | (8,878 | ) | ||||||||||||||||||
USD | 359,285 | EUR | 364,501 | 7/18/2019 | SSB | - | (5,216 | ) | (5,216 | ) | ||||||||||||||||||
USD | 70,172 | EUR | 70,622 | 7/18/2019 | SSB | - | (450 | ) | (450 | ) | ||||||||||||||||||
USD | 55,829 | GBP | 55,944 | 7/18/2019 | SSB | - | (115 | ) | (115 | ) | ||||||||||||||||||
USD | 28,415 | GBP | 28,476 | 7/18/2019 | SSB | - | (61 | ) | (61 | ) | ||||||||||||||||||
USD | 13,445 | EUR | 13,472 | 7/18/2019 | SSB | - | (27 | ) | (27 | ) | ||||||||||||||||||
USD | 8,596 | JPY | 8,588 | 7/18/2019 | SSB | 8 | - | 8 | ||||||||||||||||||||
USD | 8,545 | CAD | 8,549 | 7/18/2019 | SSB | - | (4 | ) | (4 | ) | ||||||||||||||||||
USD | 7,431 | AUD | 7,575 | 7/18/2019 | SSB | - | (144 | ) | (144 | ) | ||||||||||||||||||
USD | 6,170 | JPY | 6,197 | 7/18/2019 | SSB | - | (27 | ) | (27 | ) | ||||||||||||||||||
USD | 5,948 | JPY | 5,986 | 7/18/2019 | SSB | - | (38 | ) | (38 | ) | ||||||||||||||||||
USD | 5,390 | HKD | 5,387 | 7/18/2019 | SSB | 3 | - | 3 | ||||||||||||||||||||
USD | 3,210 | EUR | 3,256 | 7/18/2019 | SSB | - | (46 | ) | (46 | ) | ||||||||||||||||||
USD | 2,587 | TRY | 2,647 | 7/18/2019 | SSB | - | (60 | ) | (60 | ) | ||||||||||||||||||
USD | 1,359 | SEK | 1,356 | 7/18/2019 | SSB | 3 | - | 3 | ||||||||||||||||||||
USD | 442 | ZAR | 451 | 7/18/2019 | SSB | - | (9 | ) | (9 | ) | ||||||||||||||||||
USD | 236 | SEK | 242 | 7/18/2019 | SSB | - | (6 | ) | (6 | ) | ||||||||||||||||||
USD | 199 | TRY | 206 | 7/18/2019 | SSB | - | (7 | ) | (7 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 4,324 | $ | (43,164 | ) | $ | (38,840 | ) | |||||||||||||||||||||
|
|
|
|
|
|
* | All values denominated in USD. |
Glossary: | ||
Counterparty Abbreviations: | ||
JPM | JPMorgan Chase Bank, N.A. | |
SSB | State Street Bank & Trust Co. | |
Currency Abbreviations: | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | Pound Sterling | |
HKD | Hong Kong Dollar | |
JPY | Japanese Yen | |
SEK | Swedish Krona | |
TRY | Turkish Lira | |
ZAR | South African Rand | |
USD | United States Dollar |
See accompanying notes
30
American Beacon AHL TargetRisk FundSM
Consolidated Schedule of Investments
June 30, 2019 (Unaudited)
Index Abbreviations: | ||
BIST 30 | Bora Instanbul 30 Index. | |
CAC40 | Euronet Paris - French Stock Market Index. | |
DAX | Deutsche Boerse AG German Stock Index. | |
Euro Stoxx 50 | Eurozone Blue-chip Index. | |
FTSE 100 | Financial Times Stock Exchange 100 Index. | |
FTSE China A50 | Financial Times Stock Exchange China A50 Index. | |
FTSE/JFE Top 40 | Largest 40 companies ranked by full market value in the FTSE/JSEAll-Share Index. | |
FTSE/MIB | Borsa Italiana - Italian Stock Market Index. | |
Hang Seng | Hong Kong Stock Market Index. | |
IBEX | Bolsa de Madrid - Spanish Stock Market Index. | |
JSE | Johannesburg Stock Exchange. | |
KOSPI | South Korean Stock Market Index. | |
MSCI | Morgan Stanley Capital International. | |
NASDAQ | National Association of Securities Dealers Automated Quotations. | |
NIKKEI 225 | Nikkei Stock Average. | |
OMXS30 | Stockholm Stock Exchange’s leading share index. | |
S&P 500 | Standard & Poor’s U.S. EquityLarge-Cap Index. | |
S&P/TSX | Canadian Equity Market Index. | |
SGX NIFTY | Singapore Stock Exchange NIFTY. | |
SPI 200 | Australian Equity Market Index Future. | |
TOPIX | Tokyo Stock Exchange Tokyo Price Index. | |
Exchange Abbreviations: | ||
JSE | Johannesburg Stock Exchange. | |
SGX | Singapore Stock Exchange. | |
OTC | Over-the-Counter | |
Other Abbreviations: | ||
Bobl | Medium term debt that is issued by the Federal Republic of Germany. | |
BTP | Buoni del Tesoro Poliennali. | |
Bund | German Federal Government Bond. | |
Buxl | Long term debt that is issued by the Federal Republic of Germany. | |
GILT | Bank of England Bonds. |
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of June 30, 2019, the investments were classified as described below:
AHL TargetRisk Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Foreign Sovereign Obligations | $ | - | $ | 14,483,965 | $ | - | $ | 14,483,965 | ||||||||||||||||||||
U.S. Treasury Obligations | - | 8,424,580 | - | 8,424,580 | ||||||||||||||||||||||||
Short-Term Investments | 3,701,122 | 4,210,576 | - | 7,911,698 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 3,701,122 | $ | 27,119,121 | $ | - | $ | 30,820,243 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets | ||||||||||||||||||||||||||||
Futures Contracts | $ | 750,328 | $ | - | $ | - | $ | 750,328 | ||||||||||||||||||||
Swap Contract Agreements | - | 269,487 | - | 269,487 | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | - | 4,324 | - | 4,324 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | 750,328 | $ | 273,811 | $ | - | $ | 1,024,139 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||||||
Futures Contracts | $ | (4,462 | ) | $ | - | $ | - | $ | (4,462 | ) | ||||||||||||||||||
Swap Contract Agreements | - | (112,699 | ) | - | (112,699 | ) | ||||||||||||||||||||||
Forward Foreign Currency Contracts | - | (43,164 | ) | - | (43,164 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Liabilities | $ | (4,462 | ) | $ | (155,863 | ) | $ | - | $ | (160,325 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires transfers between all levels to/from level 3 be disclosed. During the period ended June 30, 2019, there were no transfers into or out of Level 3.
See accompanying notes
31
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
AHL Managed Futures Strategy FundA | AHL TargetRisk FundA | |||||||||||
Assets: | ||||||||||||
Investments in unaffiliated securities, at fair value† | $ | 905,545,861 | $ | 27,119,121 | ||||||||
Investments in affiliated securities, at fair value‡ | 45,380,132 | 3,701,122 | ||||||||||
Foreign currency, at fair value^ | - | 75,272 | ||||||||||
Foreign currency deposits with brokers for futures contracts and swap agreements, at fair value¤ | 36,806,642 | 716,633 | ||||||||||
Cash | - | 44 | ||||||||||
Cash collateral held at custodian for the benefit of the broker | 15,426,089 | 720,000 | ||||||||||
Dividends and interest receivable | 86,644 | 66,714 | ||||||||||
Deposits with broker for futures contracts and swap agreements | 52,962,440 | 880,535 | ||||||||||
Receivable for investments sold | - | 627,507 | ||||||||||
Receivable for fund shares sold | 2,992,623 | 92,225 | ||||||||||
Receivable for expense reimbursement (Note 2) | 134,184 | 24,494 | ||||||||||
Unrealized appreciation from forward foreign currency contracts | 4,890,227 | 4,324 | ||||||||||
Receivable for variation margin on open futures contracts (Note 5) | - | 826,175 | ||||||||||
Receivable for variation margin on open centrally cleared swap agreements (Note 5) | - | 981,579 | ||||||||||
Prepaid expenses | 103,351 | 125,209 | ||||||||||
|
|
|
| |||||||||
Total assets | 1,064,328,193 | 35,960,954 | ||||||||||
|
|
|
| |||||||||
Liabilities: | ||||||||||||
Payable for investments purchased | - | 675,501 | ||||||||||
Payable for fund shares redeemed | 834,095 | - | ||||||||||
Cash collateral held at broker for the benefit of the custodian | - | 140,000 | ||||||||||
Swap premium received | - | 949 | ||||||||||
Management andsub-advisory fees payable (Note 2) | 1,150,529 | 23,029 | ||||||||||
Service fees payable (Note 2) | 5,389 | 259 | ||||||||||
Transfer agent fees payable (Note 2) | 88,659 | 243 | ||||||||||
Custody and fund accounting fees payable | 401,905 | 45,946 | ||||||||||
Professional fees payable | 38,411 | 7,840 | ||||||||||
Trustee fees payable (Note 2) | 49,682 | - | ||||||||||
Unrealized depreciation from forward foreign currency contracts | 12,029,068 | 43,164 | ||||||||||
Payable for variation margin from open futures contracts (Note 5) | 4,358,110 | - | ||||||||||
Unrealized depreciation from swap agreements | - | 112,699 | ||||||||||
Other liabilities | 17,486 | 877 | ||||||||||
|
|
|
| |||||||||
Total liabilities | 18,973,334 | 1,050,507 | ||||||||||
|
|
|
| |||||||||
Net assets | $ | 1,045,354,859 | $ | 34,910,447 | ||||||||
|
|
|
| |||||||||
Analysis of net assets: | ||||||||||||
Paid-in-capital | $ | 1,016,119,582 | $ | 29,765,183 | ||||||||
Total distributable earnings (deficits)B | 29,235,277 | 5,145,264 | ||||||||||
|
|
|
| |||||||||
Net assets | $ | 1,045,354,859 | $ | 34,910,447 | ||||||||
|
|
|
|
See accompanying notes
32
American Beacon FundsSM
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
AHL Managed Futures Strategy FundA | AHL TargetRisk FundA | |||||||||||
Shares outstanding at no par value (unlimited shares authorized): | ||||||||||||
Institutional Class | 36,705,921 | 2,489,037 | ||||||||||
|
|
|
| |||||||||
Y Class | 58,060,459 | 363,198 | ||||||||||
|
|
|
| |||||||||
Investor Class | 1,726,470 | 23,704 | ||||||||||
|
|
|
| |||||||||
A ClassC | 384,555 | 8,834 | ||||||||||
|
|
|
| |||||||||
C ClassC | 589,833 | 22,191 | ||||||||||
|
|
|
| |||||||||
Net assets: | ||||||||||||
Institutional Class | $ | 395,043,227 | $ | 29,895,658 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 621,847,207 | $ | 4,359,175 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 18,300,747 | $ | 284,173 | ||||||||
|
|
|
| |||||||||
A ClassC | $ | 4,077,098 | $ | 105,852 | ||||||||
|
|
|
| |||||||||
C ClassC | $ | 6,086,580 | $ | 265,589 | ||||||||
|
|
|
| |||||||||
Net asset value, offering and redemption price per share: | ||||||||||||
Institutional Class | $ | 10.76 | $ | 12.01 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 10.71 | $ | 12.00 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 10.60 | $ | 11.99 | ||||||||
|
|
|
| |||||||||
A ClassC | $ | 10.60 | $ | 11.98 | ||||||||
|
|
|
| |||||||||
A Class (offering price) | $ | 11.25 | $ | 12.71 | ||||||||
|
|
|
| |||||||||
C ClassC | $ | 10.32 | $ | 11.97 | ||||||||
|
|
|
| |||||||||
† Cost of investments in unaffiliated securities | $ | 904,961,919 | $ | 26,412,806 | ||||||||
‡ Cost of investments in affiliated securities | $ | 45,380,132 | $ | 3,701,122 | ||||||||
¤ Cost of foreign currency deposits with broker for futures contracts | $ | 36,189,647 | $ | 709,881 | ||||||||
^ Cost of foreign currency | $ | - | $ | 74,657 | ||||||||
A Consolidated financial statement. See Note 1 in the Notes to Financial Statements for additional information. |
| |||||||||||
B The Fund’s investments in affiliated securities did not have unrealized appreciation (depreciation) at period end. |
| |||||||||||
C Class commenced operations April 30, 2019 in the AHL TargetRisk Fund (Note 1). |
|
See accompanying notes
33
American Beacon FundsSM
Statements of Operations
For the period ended June 30, 2019 (Unaudited)
AHL Managed Futures Strategy FundA | AHL TargetRisk FundA | |||||||||||
Investment income: | ||||||||||||
Dividend income from unaffiliated securities | $ | 1,324 | $ | - | ||||||||
Dividend income from affiliated securities (Note 7) | 234,886 | 25,415 | ||||||||||
Interest income (net of foreign taxes)† | 11,017,322 | 174,357 | ||||||||||
|
|
|
| |||||||||
Total investment income | 11,253,532 | 199,772 | ||||||||||
|
|
|
| |||||||||
Expenses: | ||||||||||||
Management andsub-advisory fees (Note 2) | 6,582,173 | 123,933 | ||||||||||
Transfer agent fees: | ||||||||||||
Institutional Class (Note 2) | 75,135 | 2,184 | ||||||||||
Y Class (Note 2) | 272,790 | 1,592 | ||||||||||
Investor Class | 1,158 | 2,015 | ||||||||||
A ClassB | 329 | 183 | ||||||||||
C ClassB | 119 | 183 | ||||||||||
Custody and fund accounting fees | 900,995 | 55,828 | ||||||||||
Professional fees | 57,968 | 53,410 | ||||||||||
Registration fees and expenses | 97,087 | 52,999 | ||||||||||
Service fees (Note 2): | ||||||||||||
Investor Class | 20,960 | 170 | ||||||||||
A ClassB | 1,842 | - | ||||||||||
C ClassB | 1,908 | - | ||||||||||
Distribution fees (Note 2): | ||||||||||||
A ClassB | 4,861 | 42 | ||||||||||
C ClassB | 27,058 | 282 | ||||||||||
Prospectus and shareholder report expenses | 72,749 | 4,230 | ||||||||||
Trustee fees (Note 2) | 89,074 | 950 | ||||||||||
Dividends and interest on securities sold short | 2,997 | - | ||||||||||
Other expenses | 23,787 | 2,646 | ||||||||||
|
|
|
| |||||||||
Total expenses | 8,232,990 | 300,647 | ||||||||||
|
|
|
| |||||||||
Net fees waived and expenses (reimbursed) (Note 2) | (361,704 | ) | (156,537 | ) | ||||||||
|
|
|
| |||||||||
Net expenses | 7,871,286 | 144,110 | ||||||||||
|
|
|
| |||||||||
Net investment income | 3,382,246 | 55,662 | ||||||||||
|
|
|
| |||||||||
Realized and unrealized gain (loss) from investments: | ||||||||||||
Net realized gain from: | ||||||||||||
Investments in unaffiliated securitiesC | (24,896 | ) | 36,496 | |||||||||
Foreign currency transactions | (109,513 | ) | 122,070 | |||||||||
Forward foreign currency contracts | 6,958,096 | 62,420 | ||||||||||
Futures contracts | 24,018,740 | 2,589,025 | ||||||||||
Swap agreements | - | 701,900 | ||||||||||
Change in net unrealized appreciation of: | ||||||||||||
Investments in unaffiliated securitiesD | 583,603 | 706,315 | ||||||||||
Foreign currency transactions | 563,492 | 7,562 | ||||||||||
Forward foreign currency contracts | (7,367,176 | ) | (38,840 | ) | ||||||||
Futures contracts | (11,853,283 | ) | 745,866 | |||||||||
Swap agreements | - | 156,788 | ||||||||||
|
|
|
| |||||||||
Net gain from investments | 12,769,063 | 5,089,602 | ||||||||||
|
|
|
| |||||||||
Net increase in net assets resulting from operations | $ | 16,151,309 | $ | 5,145,264 | ||||||||
|
|
|
| |||||||||
† Foreign taxes | $ | 46,538 | $ | 1,783 | ||||||||
A Consolidated financial statement. See Note 1 in the Notes to Financial Statements for additional information. |
| |||||||||||
B Commencement of operations on April 30, 2018 in the TargetRisk Fund. |
| |||||||||||
C The Fund did not recognize net realized gains (losses) from the sale of investments in affiliated securities. |
| |||||||||||
D The Fund’s investments in affiliated securities did not have a change in unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
34
American Beacon FundsSM
Statements of Changes in Net Assets
AHL Managed Futures Strategy FundA | AHL TargetRisk FundA | |||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | Six Months Ended June 30, 2019 | Period EndedB December 31, 2018 | |||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||
Net investment income | $ | 3,382,246 | $ | 1,065,554 | $ | 55,662 | $ | - | ||||||||||||||||||||
Net realized gain (loss) from investments in unaffiliated securities, foreign currency transactions, forward foreign currency contracts, futures contracts, and swap agreements | 30,842,427 | (356,327 | ) | 3,511,911 | - | |||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments in unaffiliated securities, foreign currency transactions, forward foreign currency contracts, futures contracts, and swap agreements | (18,073,364 | ) | 24,815,639 | 1,577,691 | - | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in net assets resulting from operations | 16,151,309 | 25,524,866 | 5,145,264 | - | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
Total retained earnings: | ||||||||||||||||||||||||||||
Institutional Class | - | (7,171,786 | ) | - | - | |||||||||||||||||||||||
Y Class | - | (8,502,485 | ) | - | - | |||||||||||||||||||||||
Investor Class | - | (252,884 | ) | - | - | |||||||||||||||||||||||
A ClassC | - | (59,819 | ) | - | - | |||||||||||||||||||||||
C ClassC | - | (32,986 | ) | - | - | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net distributions to shareholders | - | (16,019,960 | ) | - | - | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Capital share transactions (Note 10): | ||||||||||||||||||||||||||||
Proceeds from sales of shares | 218,451,804 | 562,411,814 | 4,765,173 | 20,000,000 | ||||||||||||||||||||||||
Reinvestment of dividends and distributions | - | 14,959,325 | - | - | ||||||||||||||||||||||||
Cost of shares redeemed | (112,507,829 | ) | (186,100,916 | ) | - | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in net assets from capital share transactions | 105,943,975 | 391,270,223 | 4,765,173 | 20,000,000 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in net assets | 122,095,284 | 400,775,129 | 9,910,437 | 20,000,000 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||
Beginning of period | 923,259,575 | 522,484,446 | 25,000,010 | 5,000,010 | D | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
End of period | $ | 1,045,354,859 | $ | 923,259,575 | $ | 34,910,447 | $ | 25,000,010 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Consolidated financial statement. See Note 1 in the Notes to Financial Statements for additional information. |
| |||||||||||||||||||||||||||
B Commenced operations December 31, 2018 (Note 1). |
| |||||||||||||||||||||||||||
C Class commenced operations April 30, 2019 in the AHL TargetRisk Fund (Note 1). |
| |||||||||||||||||||||||||||
D Seed capital. |
|
See accompanying notes
35
Notes to Financial Statements
June 30, 2019 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) is organized as a Massachusetts business trust. The Funds, each a series within the Trust, are registered under the Investment Company Act of 1940, as amended (the “Act”), asnon-diversified,open-end management investment companies. As of June 30, 2019, the Trust consists of thirty-three active series, two of which are presented in this filing: American Beacon AHL Managed Futures Strategy Fund and American Beacon AHL TargetRisk Fund (collectively, the “Funds” and each individually a “Fund”). The remainingthirty-one active series are reported in separate filings.
American Beacon Advisors, Inc. (the “Manager”) is a Delaware corporation and a wholly-owned subsidiary of Resolute Investment Managers, Inc. (“RIM”) organized in 1986 to provide business management, advisory, administrative, and asset management consulting services to the Trust and other investors. The Manager is registered as an investment advisor under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). RIM is, in turn, a wholly-owned subsidiary of Resolute Acquisition, Inc., which is a wholly-owned subsidiary of Resolute Topco, Inc., a wholly-owned subsidiary of Resolute Investment Holdings, LLC (“RIH”). RIH is owned primarily by Kelso Investment Associates VIII, L.P., KEP VI, LLC and Estancia Capital Partners L.P., investment funds affiliated with Kelso & Company, L.P. (“Kelso”) or Estancia Capital Management, LLC (“Estancia”), which are private equity firms.
The American Beacon AHL TargetRisk Fund commenced operations on December 31, 2018 and is a separate series of the Trust. December 31, 2018 is also the inception date of the Institutional, Y and Investor Classes of the Fund. The Fund constitutes a separate investment portfolio with a distinct investment objective and distinct purpose and strategy.
Recently Adopted Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”)2017-08,Premium Amortization of Purchased Callable Debt Securities. The amendments in the ASU shorten the premium amortization period on a purchased callable debt security from the security’s contractual life to the earliest call date. It is anticipated that this change will enhance disclosures by reducing losses recognized when a security is called on an earlier date. This ASU is effective for fiscal years beginning after December 15, 2018. The Manager continues to evaluate the impact this ASU will have on the financial statements and other disclosures.
In August 2018, the FASB issued ASU2018-13,Fair Value Measurement (“Topic 820”). The amendments in the ASU impact disclosure requirements for fair value measurement. It is anticipated that this change will enhance the effectiveness of disclosures in the notes to the financial statements. This ASU is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted and can include the entire standard or certain provisions that exclude or amend disclosures. For the period ended June 30, 2019, the Funds have chosen to adopt the standard. The adoption of this ASU guidance did not have a material impact on the financial statements and other disclosures.
Class Disclosure
On April 30, 2019, the AHL TargetRisk Fund created the A and C Classes, new classes made available for sale through intermediary organizations pursuant to the Fund’s registration statement filed with the United States Securities and Exchange Commission (the “SEC”). Refer to the AHL TargetRisk Prospectus for more details.
36
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Each Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class | Eligible Investors | Minimum Initial Investments | ||||
Institutional | Large institutional investors - sold directly or through intermediary channels. | $ | 250,000 | |||
Y Class | Large institutional retirement plan investors - sold directly or through intermediary channels. | $ | 100,000 | |||
Investor | All investors using intermediary organizations, such as broker-dealers or retirement plan sponsors. | $ | 2,500 | |||
A Class | All investors who invest through intermediary organizations, such as broker-dealers or third party administrator. Retail investors who invest directly through a financial intermediary such as a broker, bank, or registered investment advisor which may include afront-end sales charge and a contingent deferred sales charge (“CDSC”). | $ | 2,500 | |||
C Class | Retail investors who invest directly through a financial intermediary such as a broker or through employee directed benefit plans with applicable sales charges which may include CDSC. | $ | 1,000 |
Each class offered by the Trust has equal rights as to assets and voting privileges. Income andnon-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include service, distribution, transfer agent fees, andsub-transfer agent fees that vary amongst the classes as described more fully in Note 2.
Consolidation of Subsidiaries
The Schedules of Investments of the AHL Managed Futures Strategy Fund and the AHL TargetRisk Fund (the controlled foreign corporation “CFC Funds”) are consolidated to include the accounts of the American Beacon Cayman Managed Futures Strategy Fund, Ltd. and American Beacon Cayman TargetRisk Fund, Ltd., respectively, each of which are wholly-owned and controlled subsidiaries (the “Subsidiaries”) of the CFC Funds. All inter-company accounts and transactions have been eliminated in consolidation for the CFC Funds.
For Federal tax purposes, taxable income for the CFC Funds and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (the “Code”) and each Subsidiary’s taxable income is included in the calculation of the applicable CFC Fund’s taxable income. Net losses of the Subsidiarys’ are not deductible by the CFC Funds either in the current period or future periods. The Subsidiaries have a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
Each CFC Fund may invest up to 25% of its total assets in its Subsidiary, which acts as an investment vehicle in order to effect certain investments consistent with the CFC Fund’s investment objectives and policies. The CFC Funds expect to achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the CFC Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.
Fund | Inception Date of Subsidiary | Subsidiary Net Assets at June 30, 2019 | % of Total Net Assets of the CFC Fund at June 30, 2019 | |||||||
American Beacon Cayman Managed Futures Strategy | August 19, 2014 | $ | 246,153,271 | 23.5 | % | |||||
American Beacon Cayman TargetRisk Fund, Ltd. | December 31, 2018 | 7,609,623 | 21.8 | % |
37
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
CFTC Regulation
On August 13, 2013, the Commodity Futures Trading Commission (“CFTC”) adopted rules to harmonize conflicting SEC and CFTC disclosure, reporting and recordkeeping requirements for registered investment companies that do not meet an exemption from the definition of commodity pool. The harmonization rules provide that the CFTC will accept the SEC’s disclosure, reporting, and recordkeeping regime as substituted compliance for substantially all of the otherwise applicable CFTC regulations as long as such investment companies meet the applicable SEC requirements.
The CFC Funds are commodity pools, as defined in the regulation of the CFTC and operated by the Manager, a commodity pool operator regulated by the CFTC.
Significant Accounting Policies
The following is a summary of significant accounting policies, consistently followed by the Funds in preparation of the financial statements. The Funds are considered investment companies and accordingly, follow the investment company accounting and reporting guidance of the FASB Accounting Standards Codification Topic 946,Financial Services – Investment Companies,a part of Generally Accepted Accounting Principles (“U.S. GAAP”).
Security Transactions and Investment Income
Security transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date.
Dividend income, net of foreign taxes, is recorded on theex-dividend date, except certain dividends from foreign securities which are recorded as soon as the information is available to the Funds. Interest income, net of foreign taxes, is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. Realized gains (losses) from securities sold are determined on the basis of specific lot identification.
Distributions to Shareholders
Distributions, if any, of net investment income are generally paid at least annually and recorded on theex-dividend date. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on theex-dividend date. Dividends to shareholders are determined in accordance with federal income tax regulations, which may differ in amount and character from net investment income and realized gains recognized for purposes of U.S. GAAP. To the extent necessary to fully distribute capital gains, the Funds may designate earnings and profits distributed to shareholders on the redemption of shares.
Allocation of Income, Trust Expenses, Gains, and Losses
Investment income, realized and unrealized gains and losses from investments of the Funds are allocated daily to each class of shares based upon the relative proportion of net assets of each class to the total net assets of the Funds. Expenses directly charged or attributable to the Fund will be paid from the assets of the Fund. Generally, expenses of the Trust will be allocated among and charged to the assets of the Funds on a basis that the Trust’s Board of Trustees (the “Board”) deems fair and equitable, which may be based on the relative net assets of the Funds or nature of the services performed and relative applicability to the Funds.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
38
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
Concentration of Ownership
From time to time, the Funds may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of accounts that represent a significant ownership of more than 5% of the Funds’ outstanding shares could have a material impact on the Funds. As of June 30, 2019, based on management’s evaluation of the shareholder account base, 2 accounts have been identified as representing an affiliated significant ownership of approximately 86% for the AHL TargetRisk Fund, respectively.
2.�� Transactions with Affiliates
Management and InvestmentSub-Advisory Agreements
The AHL Managed Futures Fund and the Manager are parties to a Management Agreement that obligates the Manager to provide the Fund with investment advisory and administrative services. As compensation for performing the duties under the Management Agreement, the Manager will receive an annualized management fee based on a percentage of the Fund’s average daily net assets that is calculated and accrued daily, equal to 0.35%.
The AHL TargetRisk Fund and the Manager are parties to a Management Agreement that obligates the Manager to provide the Fund with investment advisory and administrative services. As compensation for preforming the duties under the Management Agreement, the Manager will receive an annualized management fee based on a percentage of the Fund’s average daily net assets that is calculated and accrued daily according to the following schedule:
First $5 billion | 0.35 | % | ||
Next $5 billion | 0.325 | % | ||
Next $10 billion | 0.30 | % | ||
Over $20 billion | 0.275 | % |
The Trust, on behalf of the Funds, and the Manager have entered into an Investment Advisory Agreement with AHL Partners LLP (the“Sub-Advisor”), pursuant to which each Fund has agreed to pay an annualizedsub-advisory fee that is calculated and accrued daily based on the Funds’ average daily net assets according to the following schedules:
AHL Managed Futures Strategy Fund
All Assets | 1.00 | % |
AHL TargetRisk Fund
First $500 million | 0.55 | % | ||
Next $500 million | 0.50 | % | ||
Next $500 million | 0.45 | % | ||
Over $1.5 billion | 0.40 | % |
39
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
The Management andSub-Advisory Fees paid by the Funds for the period ended June 30, 2019 were as follows:
AHL Managed Futures Strategy Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.35 | % | $ | 1,706,489 | ||||||||
Sub-Advisor Fees | 1.00 | % | 4,875,684 | |||||||||
|
|
|
| |||||||||
Total | 1.35 | % | $ | 6,582,173 | ||||||||
|
|
|
|
AHL TargetRisk Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.35 | % | $ | 48,196 | ||||||||
Sub-Advisor Fees | 0.55 | % | 75,737 | |||||||||
|
|
|
| |||||||||
Total | 0.90 | % | $ | 123,933 | ||||||||
|
|
|
|
Distribution Plans
The Funds, except for the A and C Classes of the Funds, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule12b-1 under the Act, pursuant to which no separate fees may be charged to the Funds for distribution purposes. However, the Plan authorizes the management fee received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Funds do not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.
Separate Distribution Plans (the “Distribution Plans”) have been adopted pursuant to Rule12b-1 under the Act for the A and C Classes of the Funds. Under the Distribution Plans, as compensation for distribution and shareholder servicing assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the Investor, A, and C Classes of the Funds. As compensation for performing the duties required under the Service Plans, the Manager receives an annualized fee up to 0.25% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Funds.
Sub-Transfer Agent Fees
The Manager has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Institutional and Y Classes of the Funds and has agreed to compensate the intermediaries for providing these services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. Certain services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly by the Funds’ transfer agent. Accordingly, the Funds, pursuant to Board approval, have agreed to reimburse the Manager for certainnon-distribution shareholder services provided by financial intermediaries for the Institutional and Y Classes. The reimbursement amounts(sub-transfer agent fees) paid to the Manager are subject to a fee limit of up to 0.10% of an intermediary’s average net assets in the Institutional and Y
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Classes on an annual basis. During the period ended June 30, 2019, thesub-transfer agent fees, as reflected in “Transfer agent fees” on the Statements of Operations, were as follows:
Fund | Sub-Transfer Agent Fees | |||
AHL Managed Futures Strategy | $ | 339,429 | ||
AHL TargetRisk | - |
As of June 30, 2019, the Funds owed the Manager the following reimbursement ofsub-transfer agent fees, as reflected in “Transfer agent fees payable” on the Statements of Assets and Liabilities:
Fund | ReimbursementSub-Transfer Agent Fees | |||
AHL Managed Futures Strategy | $ | 88,659 | ||
AHL TargetRisk | - |
Investments in Affiliated Funds
The Funds may invest in the American Beacon U.S. Government Money Market Select Fund (the “USG Select Fund”). The Funds and the USG Select Fund have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the USG Select Fund and receives management fees and administrative fees totaling 0.10% of the average daily net assets of the USG Select Fund. During the period ended June 30, 2019, the Manager earned fees on the Funds’ direct investments and securities lending collateral investments in the USG Select Fund as shown below:
Fund | Direct Investments in USG Select Fund | |||
AHL Managed Futures Strategy | $ | 11,171 | ||
AHL TargetRisk | 1,149 |
Interfund Credit Facility
Pursuant to an exemptive order issued by the SEC, the Funds, along with other registered investment companies having management contracts with the Manager, may participate in a credit facility whereby each fund, under certain conditions, is permitted to lend money directly to and borrow directly from other participating funds for temporary purposes. The interfund credit facility is advantageous to the funds because it provides added liquidity and eliminates the need to maintain higher cash balances to meet redemptions. This situation could arise when shareholder redemptions exceed anticipated volumes and certain funds have insufficient cash on hand to satisfy such redemptions or when sales of securities do not settle as expected, resulting in a cash shortfall for a fund. When a fund liquidates portfolio securities to meet redemption requests, they often do not receive payment in settlement for up to two days (or longer for certain foreign transactions). Redemption requests normally are satisfied on the next business day. The credit facility provides a source of immediate, short-term liquidity pending settlement of the sale of portfolio securities. The credit facility is administered by a credit facility team consisting of professionals from the Manager’s asset management, compliance, and accounting areas who report the activities of the credit facility to the Board. During the period ended June 30, 2019, the Funds did not utilize the credit facility.
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Expense Reimbursement Plan
The Manager contractually agreed to reduce fees and/or reimburse expenses for the classes of the Funds to the extent that total operating expenses exceed the Funds’ expense cap. During the period ended June 30, 2019, the Manager waived and/or reimbursed expenses as follows:
Expense Cap | Expiration of Reimbursed Expenses | |||||||||||||||||
Fund | Class | 1/1/2019 - 6/30/2019 | Reimbursed Expenses | (Recouped) Expenses | ||||||||||||||
AHL Managed Futures Strategy | Institutional | 1.54 | % | $ | 196,910 | $ | – | 2022 | ||||||||||
AHL Managed Futures Strategy | Y | 1.64 | % | 169,059 | – | 2022 | ||||||||||||
AHL Managed Futures Strategy | Investor | 1.92 | % | 3,387 | (7,805 | ) | 2022 | |||||||||||
AHL Managed Futures Strategy | A | 1.94 | % | 786 | (307 | ) | 2022 | |||||||||||
AHL Managed Futures Strategy | C | 2.69 | % | 1,093 | (1,419 | ) | 2022 | |||||||||||
AHL TargetRisk | Institutional | 1.04 | % | 148,367 | – | 2022 | ||||||||||||
AHL TargetRisk | Y | 1.14 | % | 4,545 | – | 2022 | ||||||||||||
AHL TargetRisk | Investor | 1.42 | % | 2,684 | – | 2022 | ||||||||||||
AHL TargetRisk | A | 1.44 | % | 392 | – | 2022 | ||||||||||||
AHL TargetRisk | C | 2.19 | % | 549 | – | 2022 |
Of these amounts, $134,184 and $24,494 were disclosed as a receivable from the Manager on the Statements of Assets and Liabilities at June 30, 2019 for the AHL Managed Futures Strategy Fund and the AHL TargetRisk Fund, respectively.
The Funds have adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of such fee reductions and expense reimbursements. Under the policy, the Manager can be reimbursed by the Funds for any contractual or voluntary fee reductions or expense reimbursements if reimbursement to the Manager (a) occurs within three years after the Manager’s own waiver or reimbursement and (b) does not cause the Funds’ annual operating expenses to exceed the lesser of the contractual percentage limit in effect at the time of the waiver/reimbursement or time of recoupment. The reimbursed expenses listed above will expire in 2022. The Funds did not record a liability for potential reimbursement due to the current assessment that a reimbursement is unlikely. The carryover of excess expenses potentially reimbursable to the Manager, but not recorded as a liability are as follows:
Fund | Recouped Expenses | Excess Expense Carryover | Expired Expense Carryover | Expiration of Reimbursed Expenses | ||||||||||||
AHL Managed Futures Strategy | $ | (9,531 | ) | $ | 1,430,943 | $ | – | 2019 | ||||||||
AHL Managed Futures Strategy | – | 2,099,369 | – | 2020 | ||||||||||||
AHL Managed Futures Strategy | – | 913,005 | – | 2021 | ||||||||||||
AHL TargetRisk | - | 61,866 | - | 2021 |
Sales Commissions
The Funds’ Distributor, Resolute Investment Distributors, Inc. (“RID” or “Distributor”), may receive a portion of Class A sales charges from broker dealers and it may be used to offset distribution related expenses. During the period ended June 30, 2019, RID collected $109 for AHL Managed Futures Strategy Fund from the sale of Class A Shares. During the period ended June 30, 2019, there were no sales charges collected by RID for the AHL TargetRisk Fund from the sale of Class A Shares.
A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Funds’ Prospectus. Any applicable CDSC will be 0.50% of the lesser of the original purchase price or the value of the redemption of the Class A Shares redeemed. During the period ended June 30, 2019, there were no CDSC fees collected for Class A Shares of the Funds.
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A CDSC of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Funds’ Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. During the period ended June 30, 2019, CDSC fees of $774 were collected for the Class C Shares of AHL Managed Futures Strategy Fund. During the period ended June 30, 2019, there were no CDSC fees collected for Class C Shares of the AHL TargetRisk Fund.
Trustee Fees and Expenses
As compensation for their service to the Trusts, each Trustee receives an annual retainer of $120,000, plus $10,000 for each Board meeting attended in person or via teleconference, $2,500 for attendance by Committee members at meetings of the Audit Committee and the Investment Committee, and $1,500 for attendance by Committee members at meetings of the Nominating and Governance Committee, plus reimbursement of reasonable expenses incurred in attending Board meetings, Committee meetings, and relevant educational seminars. The Trustees also may be compensated for attendance at special Board and/or Committee meetings from time to time. The Board Chair receives an additional annual retainer of $50,000 as well as a $2,500 fee each quarter for attendance at the committee meetings. The Chairpersons of the Audit Committee and the Investment Committee each receive an additional annual retainer of $25,000 and the Chairman of the Nominating and Governance Committee receives an additional annual retainer of $10,000. These expenses are allocated on a prorated basis to each fund of the Trusts according to its respective net assets.
3. Security Valuation and Fair Value Measurements
The price of the Fund’s shares is based on its net asset value (“NAV”) per share. The Fund’s NAV is computed by adding total assets, subtracting all the Fund’s liabilities, and dividing the result by the total number of shares outstanding.
The NAV of each class of the Fund’s shares is determined based on a pro rata allocation of the Fund’s investment income, expenses and total capital gains and losses. The Fund’s NAV per share is determined each business day as of the regular close of trading on the New York Stock Exchange (“NYSE” or “Exchange”), which is typically 4:00 p.m. Eastern Time (“ET”). However, if trading on the NYSE closes at a time other than 4:00 p.m. ET, the Fund’s NAV per share typically would still be determined as of the regular close of trading on the NYSE. The Fund does not price its shares on days that the NYSE is closed. Foreign exchanges may permit trading in foreign securities on days when the Fund is not open for business, which may result in the value of the Fund’s portfolio investments being affected at a time when you are unable to buy or sell shares.
Equity securities, including shares ofclosed-end funds and exchange-traded funds (“ETFs”), are valued at the last sale price or official closing price taken from the primary exchange in which each security trades. Investments in other mutual funds are valued at the closing NAV per share on the day of valuation. Debt securities are valued at bid quotes from broker/dealers or evaluated bid prices from pricing services, who may consider a number of inputs and factors, such as prices of comparable securities, yield curves, spreads, credit ratings, coupon rates, maturity, default rates, and underlying collateral. Futures are valued based on their daily settlement prices. Exchange-traded andover-the-counter (“OTC”) options are valued at the last sale price. Options with no last sale for the day are priced at mid quote. Swaps are valued at evaluated mid prices from pricing services.
The valuation of securities traded on foreign markets and certain fixed-income securities will generally be based on prices determined as of the earlier closing time of the markets on which they primarily trade unless a significant event has occurred. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. ET.
Securities may be valued at fair value, as determined in good faith and pursuant to procedures approved by the Board, under certain limited circumstances. For example, fair value pricing will be used when market quotations are not readily available or reliable, as determined by the Manager, such as when (i) trading for a security is restricted or stopped; (ii) a security’s trading market is closed (other than customary closings); or (iii) a
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security has beende-listed from a national exchange. A security with limited market liquidity may require fair value pricing if the Manager determines that the available price does not reflect the security’s true market value. In addition, if a significant event that the Manager determines to affect the value of one or more securities held by the Fund occurs after the close of a related exchange but before the determination of the Fund’s NAV, fair value pricing may be used on the affected security or securities. Securities of small-capitalization companies are also more likely to require a fair value determination using these procedures because they are more thinly traded and less liquid than the securities of larger-capitalization companies. The Fund may fair value securities as a result of significant events occurring after the close of the foreign markets in which the Fund invests as described below. In addition, the Fund may invest in illiquid securities requiring these procedures.
The Fund may use fair value pricing for securities primarily traded innon-U.S. markets because most foreign markets close well before the Fund’s pricing time of 4:00 p.m. ET. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. If the Manager determines that the last quoted prices ofnon-U.S. securities will, in its judgment, materially affect the value of some or all its portfolio securities, the Manager can adjust the previous closing prices to reflect what it believes to be the fair value of the securities as of the close of the Exchange. In deciding whether it is necessary to adjust closing prices to reflect fair value, the Manager reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. These securities are fair valued using a pricing service, using methods approved by the Board, that considers the correlation of the trading patterns of the foreign security to intraday trading in the U.S. markets, based on indices of domestic securities and other appropriate indicators such as prices of relevant American Depositary Receipts (“ADRs”) and futures contracts. The Valuation Committee, established by the Board, may also fair value securities in other situations, such as when a particular foreign market is closed but the Fund is open. The Fund uses outside pricing services to provide closing prices and information to evaluate and/or adjust those prices. As a means of evaluating its security valuation process, the Valuation Committee routinely compares closing prices, the next day’s opening prices in the same markets and adjusted prices.
Attempts to determine the fair value of securities introduce an element of subjectivity to the pricing of securities. As a result, the price of a security determined through fair valuation techniques may differ from the price quoted or published by other sources and may not accurately reflect the market value of the security when trading resumes. If a reliable market quotation becomes available for a security formerly valued through fair valuation techniques, the Manager compares the new market quotation to the fair value price to evaluate the effectiveness of the Fund’s fair valuation procedures. If any significant discrepancies are found, the Manager may adjust the Fund’s fair valuation procedures.
Valuation Inputs
Various inputs may be used to determine the fair value of the Funds’ investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 | - | Quoted prices in active markets for identical securities. | ||
Level 2 | - | Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. | ||
Level 3 | - | Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Common stocks, ETFs, preferred securities, and financial derivative instruments, such as futures contracts or options that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not
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applied, they are categorized as Level 1 of the fair value hierarchy. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the Exchange. These securities are valued using pricing service providers that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are generally categorized as Level 2 of the fair value hierarchy.
Fixed-income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities, andnon-U.S. bonds are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates, and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. Fixed-income securities purchased on a delayed-delivery basis aremarked-to-market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows, and market-based yield spreads for each tranche, and incorporates deal collateral performance, as available. Mortgage-related and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Investments in registeredopen-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
OTC financial derivative instruments, such as forward foreign currency contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers. Depending on the product and the terms of the transaction, the fair value of the financial derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends, and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
4. Securities and Other Investments
Commodity Instruments
Exposure to physical commodities may subject the Funds to greater volatility than investments in traditional securities. The value of such investments may be affected by overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as supply and demand, drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Their value may also respond to investor perception of instability in the national or international economy, whether or not justified by the facts. However, these investments may help to moderate fluctuations in the value of the Funds’ other holdings, because these investments may not correlate with investments in traditional securities. Economic and other events (whether real or perceived) can reduce the demand for commodities, which may reduce market prices and cause the value of the Funds’ shares to fall. No active trading market may exist for certain commodities investments, which may impair the ability of the Funds to sell or realize
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the full value of such investments in the event of the need to liquidate such investments. Certain commodities are subject to limited pricing flexibility because of supply and demand factors. Others are subject to broad price fluctuations as a result of the volatility of the prices for certain raw materials and the instability of supplies of other materials. These additional variables may create additional investment risks and result in greater volatility than investments in traditional securities. Because physical commodities do not generate investment income, the return on such investments will be derived solely from the appreciation or depreciation on such investments. Certain types of commodities instruments (such as commodity-linked swaps and commodity-linked structured notes) are subject to the risk that the counterparty to the instrument will not perform or will be unable to perform in accordance with the terms of the instrument.
Fixed-Income Investments
The Funds may hold debt, including government and corporate debt, and other fixed-income securities. Typically, the values of fixed-income securities change inversely with prevailing interest rates. Therefore, a fundamental risk of fixed-income securities is interest rate risk, which is the risk that their value will generally decline as prevailing interest rates rise, which may cause the Funds’ NAV to likewise decrease, and vice versa. How specific fixed-income securities may react to changes in interest rates will depend on the specific characteristics of each security. For example, while securities with longer maturities tend to produce higher yields, they also tend to be more sensitive to changes in prevailing interest rates and are, therefore, more volatile than shorter-term securities and are subject to greater market fluctuations as a result of changes in interest rates. Fixed-income securities are also subject to credit risk, which is the risk that the credit strength of an issuer of a fixed-income security will weaken and/or that the issuer will be unable to make timely principal and interest payments and that the security may go into default. In addition, there is prepayment risk, which is the risk that during periods of falling interest rates, certain fixed-income securities with higher interest rates, such as MBS and ABS, may be prepaid by their issuers thereby reducing the amount of interest payments. This may result in a Fund having to reinvest its proceeds in lower yielding securities. Securities underlying MBS and ABS, which may include subprime mortgages, also may be subject to a higher degree of credit risk, valuation risk, and liquidity risk.
Foreign Securities
The Funds may invest in U.S. dollar-denominated andnon-U.S. dollar denominated equity and debt securities of foreign issuers and foreign branches of U.S. banks, including negotiable certificates of deposit (“CDs”), bankers’ acceptances, and commercial paper. Foreign issuers are issuers organized and doing business principally outside the United States and include corporations, banks,non-U.S. governments, and quasi-governmental organizations. While investments in foreign securities may be intended to reduce risk by providing further diversification, such investments 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 or social instability, nationalization, expropriation, or confiscatory taxation); the potentially adverse effects of unavailability of public information regarding issuers, different 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; different laws and customs governing securities tracking; and possibly limited access to the courts to enforce the Funds’ rights as an investor.
Other Investment Company Securities and Other Exchange-Traded Products
The Funds may invest in shares of other investment companies, including money market funds and ETFs. The Funds may invest in securities of an investment company advised by the Manager or asub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, the Funds become a shareholder of that investment company. As a result, the Funds’ shareholders indirectly will bear the Funds’ proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses the Funds’ shareholders
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directly bear in connection with the Funds’ own operations. These other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Funds in their Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.
The Funds can invest free cash balances in registeredopen-end investment companies regulated as money market funds under the Investment Company Act, to provide liquidity or for defensive purposes. The Funds could invest in money market funds rather than purchasing individual short-term investments. If the Funds invests in money market funds, shareholders will bear their proportionate share of the expenses, including for example, advisory and administrative fees, of the money market funds in which the Funds invest, including advisory fees charged by the Manager to any applicable money market funds advised by the Manager.
U.S. Treasury Obligations
U.S. Treasury obligations include bills (initial maturities of one year or less), notes (initial maturities between two and ten years), and bonds (initial maturities over ten years) issued by the U.S. Treasury, Separately Traded Registered Interest and Principal component parts of such obligations (known as “STRIPS”) and inflation-indexed securities. The prices of these securities (like all debt securities) change between issuance and maturity in response to fluctuating market interest rates. U.S. Treasury obligations are subject to credit risk and interest rate risk.
5. Financial Derivative Instruments
The Funds may utilize derivative instruments to gain market exposure on cash balances or reduce market exposure in anticipation of liquidity needs. When considering the Funds’ use of derivatives, it is important to note that the Funds do not use derivatives for the purpose of creating financial leverage.
Forward Foreign Currency Contracts
The Funds may enter into forward foreign currency contracts to hedge the exchange rate risk on investment transactions or to hedge the value of the Funds’ securities denominated in foreign currencies. Forward foreign currency contracts are valued at the forward exchange rate prevailing on the day of valuation. The Funds may also use currency contracts to increase exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. The Funds bear the market risk that arises from changes in foreign exchange rates, and accordingly, the unrealized gain (loss) on these contracts is reflected in the accompanying financial statements. The Funds also bear the credit risk if the counterparty fails to perform under the contract.
During the period ended June 30, 2019, the Funds entered into forward foreign currency contracts primarily for speculative purposes.
The Funds’ forward foreign currency contract notional dollar values outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of forward foreign currency contracts. For the purpose of this disclosure, volume is measured by the amounts bought and sold in USD at each quarter end.
Average Forward Foreign Currency Notional Amounts Outstanding | ||||||||
Fund | Purchased Contracts | Sold Contracts | ||||||
AHL Managed Futures Strategy | $ | 241,094,366 | $ | 341,672,560 | ||||
AHL TargetRisk | 102,261 | 9,589,061 |
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Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Funds may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities or that the counterparty will fail to perform its obligations.
Upon entering into a futures contract, the Funds are required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents a portion of the face value of the futures contract. The Funds usually reflects this amount on the Schedules of Investments as a U.S. Treasury Bill held as collateral for futures contracts or as cash deposited with broker on the Statements of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.
During the period ended June 30, 2019, the Funds entered into futures contracts primarily for investing and hedging purposes.
The Funds’ average futures contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of futures contracts. For the purpose of this disclosure, volume is measured by contracts outstanding at each quarter end.
Average Futures Contracts Outstanding | ||||
Fund | Period Ended June 30, 2019 | |||
AHL Managed Futures Strategy | 51,244 | |||
AHL TargetRisk | 332 |
Swap Agreements
A swap is a transaction in which a Fund and a counterparty agree to pay or receive payments at specified dates based upon or calculated by reference to changes in specified prices or rates (e.g., interest rates in the case of interest rate swaps) or the performance of specified securities or indices based on a specified amount (the “notional” amount). Nearly any type of derivative, including forward contracts, can be structured as a swap.
Swap agreements can be structured to provide exposure to a variety of different types of investments or market factors. For example, in an interest rate swap, fixed-rate payments may be exchanged for floating rate payments; in a currency swap, U.S. dollar-denominated payments may be exchanged for payments denominated in a foreign currency; and in a total return swap, payments tied to the investment return on a particular asset, group of assets or index may be exchanged for payments that are effectively equivalent to interest payments or for payments tied to the return on another asset, group of assets, or index. Swaps may have a leverage component, and adverse changes in the value or level of the underlying asset, reference rate or index can result in gains or losses that are substantially greater than the amount invested in the swap itself.
Some swaps currently are, and more in the future will be, centrally cleared. Swaps that are centrally-cleared are exposed to the creditworthiness of the clearing organizations (and, consequently, that of their members—generally, banks and broker-dealers) involved in the transaction. For example, an investor could lose margin payments it has deposited with the clearing organization as well as the net amount of gains not yet paid by the clearing organization if it breaches its agreement with the investor or becomes insolvent or goes into
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bankruptcy. In the event of bankruptcy of the clearing organization, the investor may be able to recover only a portion of the net amount of gains on its transactions and of the margin owed to it, potentially resulting in losses to the investor.
Swaps that are not centrally cleared, involve the risk that a loss may be sustained as a result of the insolvency or bankruptcy of the counterparty or the failure of the counterparty to make required payments or otherwise comply with the terms of the agreement. To mitigate this risk, the Fund will only enter into swap agreements with counterparties considered by asub-advisor to present minimum risk of default and the Fund normally obtains collateral to secure its exposure. Changing conditions in a particular market area, whether or not directly related to the referenced assets that underlie the swap agreement, may have an adverse impact on the creditworthiness of a counterparty.
The centrally cleared and OTC swap agreements into which a Fund enters normally provide for the obligations of the Fund and its counterparty in the event of a default or other early termination to be determined on a net basis. Similarly, periodic payments on a swap transaction that are due by each party on the same day normally are netted. To the extent that a swap agreement is subject to netting, the Fund’s cover and asset segregation responsibilities will normally be with respect to the net amount owed by the Fund. However, the Fund may be required to segregate liquid assets equal to the full notional amount of certain swaps, such as written credit default swaps on physically settled forwards or written options. The amount that the Fund must segregate may be reduced by the value of any collateral that it has pledged to secure its own obligations under the swap.
Credit Default Swap Agreements
Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed-rate of periodic premiums throughout the term of the swap provided that there is no credit event. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be
subject to investment exposure up to the notional amount of the swap.
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Credit default swap agreements on corporate issues, sovereign issues of an emerging country or U.S. municipal issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in acheapest-to-deliver option (the buyer
49
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
of protection’s right to choose the deliverable obligation with the lowest value following a credit event). The Fund may use credit default swaps on corporate issues, sovereign issues of an emerging country or U.S. municipal issues to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where the Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.
Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Unlike credit default swaps on corporate issues, sovereign issues of an emerging country or U.S. municipal issues, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. The Fund may use credit default swaps on asset- backed securities to provide a measure of protection against defaults of the referenced obligation that the Fund owns or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default that the Fund does not own.
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high-yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. The Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, sovereign issues of an emerging country or U.S. municipal issues as of period end are disclosed in the Notes to the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent a market participant view of the likelihood or risk of default for the underlying referenced security to credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of June 30, 2019, for which the Fund is the seller of protection is disclosed in the Notes to the Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.
50
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
During the year ended June 30, 2019, the AHL TargetRisk Fund entered into credit default swaps primarily for return enhancement, and hedging.
The Fund’s credit default swap contract notional amounts outstanding fluctuate throughout the operating year as required to meet the strategic requirements. The following table illustrates the average quarterly volume of credit default swap contracts. For the purpose of this disclosure, the volume is measure by the notional amounts outstanding at each quarter end.
Average Credit Default Swap Notional Amounts Outstanding | ||||
Fund | Period Ended June 30, 2019 | |||
AHL TargetRisk | $ | 28,333,333 |
Total Return Swap Agreements
The Funds may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Funds are subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Funds will receive a payment from or make a payment to the counterparty.
The Funds’ total return swap contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of total return swap contracts. For the purpose of this disclosure, volume is measured by contracts outstanding at each quarter end:
Average Total Return Swap Notional Amounts Outstanding | ||||
Fund | Period Ended June 30, 2019 | |||
AHL TargetRisk | $ | 2,224,993 |
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure(1):
AHL Managed Futures Strategy Fund
Fair values of financial instruments on the Statements of Assets and Liabilities as of June 30, 2019: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized appreciation of forward foreign currency contracts | $ | – | $ | 4,890,227 | – | $ | – | $ | – | $ | 4,890,227 | ||||||||||||||||||||||||||||||||||||||||||||
Receivable for variation margin from open futures contracts(2) | – | 702,823 | 9,060,171 | 18,222,536 | 5,927,766 | 33,913,296 | |||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized depreciation of forward foreign currency contracts | $ | – | $ | (12,029,068 | ) | – | $ | – | �� | $ | – | $ | (12,029,068 | ) | |||||||||||||||||||||||||||||||||||||||||
Payable for variation margin from open futures contracts(2) | – | (5,362,873 | ) | (6,801,927 | ) | (170,943 | ) | (1,469,025 | ) | (13,804,768 | ) | ||||||||||||||||||||||||||||||||||||||||||||
51
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
The effect of financial derivative instruments on the Statements of Operations as of June 30, 2019: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | – | $ | 6,958,096 | $ | – | $ | – | $ | – | $ | 6,958,096 | |||||||||||||||||||||||||||||||||||||||||||
Futures contracts | – | (13,321,041 | ) | (10,988,945 | ) | 69,242,238 | (20,913,512 | ) | 24,018,740 | ||||||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | – | $ | (7,367,176 | ) | $ | – | $ | – | $ | – | $ | (7,367,176 | ) | |||||||||||||||||||||||||||||||||||||||||
Futures contracts | – | (5,019,805 | ) | (9,538,197 | ) | 3,601,472 | (896,753 | ) | (11,853,283 | ) |
AHL TargetRisk Fund
Fair values of financial instruments on the Statements of Assets and Liabilities as of June 30, 2019: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized appreciation of forward foreign currency contracts | $ | – | $ | 4,324 | – | $ | – | $ | – | $ | 4,324 | ||||||||||||||||||||||||||||||||||||||||||||
Receivable for variation margin from open futures contracts(2) | – | – | – | 590,672 | 159,656 | 750,328 | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized appreciation from swap agreements | 269,487 | – | – | – | – | 269,487 | |||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized depreciation of forward foreign currency contracts | $ | – | $ | (43,164 | ) | – | $ | – | $ | – | $ | (43,164 | ) | ||||||||||||||||||||||||||||||||||||||||||
Payable for variation margin from open futures contracts(2) | – | – | – | (1,579 | ) | (2,883 | ) | (4,462 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Unrealized depreciation from swap agreements | – | – | – | – | (112,699 | ) | (112,699 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
The effect of financial derivative instruments on the Statements of Operations as of June 30, 2019: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | – | $ | 62,420 | $ | – | $ | – | $ | – | $ | 62,420 | |||||||||||||||||||||||||||||||||||||||||||
Futures contracts | – | – | – | 1,511,519 | 1,077,506 | 2,589,025 | |||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 523,651 | – | – | – | 178,249 | 701,900 | |||||||||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | – | $ | (38,840 | ) | $ | – | $ | – | $ | – | $ | (38,840 | ) | |||||||||||||||||||||||||||||||||||||||||
Futures contracts | – | – | – | 589,093 | 156,773 | 745,866 | |||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 269,487 | – | – | – | (112,699 | ) | 156,788 |
(1) See Note 3 in the Notes to Financial Statements for additional information.
(2) Includes cumulative appreciation (depreciation) of futures contracts as reported in the Fund’s Schedule of Investments footnotes. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
52
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Master Agreements
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain forward settling transactions, such as delayed delivery or sale-buyback financing transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral.
Offsetting Assets and Liabilities
The Funds are parties to enforceable master netting agreements between brokers and counterparties which provide for the right to offset under certain circumstances. The Funds employ multiple money managers and counterparties and have elected not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. The impacts of netting arrangements that provide the right to offset are detailed below. The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing agreements such as repurchase agreements can only be netted across transactions governed by the same Master Agreement with the same legal entity. All amounts reported below represent the balance as of the report date, June 30, 2019.
AHL Managed Futures Strategy Fund
Offsetting of Financial and Derivative Assets as of June 30, 2019: |
| |||||||||||
Assets | Liabilities | |||||||||||
Futures Contracts | $ | 33,913,296 | $ | 13,804,768 | ||||||||
Forward Foreign Currency Contracts | 4,890,227 | 12,029,068 | ||||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | 38,803,523 | $ | 25,833,836 | ||||||||
|
|
|
| |||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | 33,913,296 | $ | 13,804,768 | ||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities subject to an MNA | $ | 4,890,227 | $ | 12,029,068 | ||||||||
|
|
|
|
Financial Assets, Derivatives, and Collateral Received/(Pledged) by Counterparty as of June 30, 2019: |
| |||||||||||||||||||||||||||||||||||
Gross Amounts of Assets Presented in the Statements of Assets and Liabilities | Derivatives Available for Offset | Gross Amounts Not Offset in the Statements of Assets and Liabilities | ||||||||||||||||||||||||||||||||||
Counterparty | Non-Cash Collateral Pledged |
| Cash Collateral Pledged | Net Amount | ||||||||||||||||||||||||||||||||
Deutsche Bank AG | $ | 2,439,161 | $ | (2,439,161 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||||||
HSBC Bank (USA) | 2,364,948 | (2,364,948 | ) | - | - | - | ||||||||||||||||||||||||||||||
Royal Bank of Scotland PLC | 86,118 | — | - | - | 86,118 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 4,890,227 | $ | (4,804,109 | ) | $ | - | $ | - | $ | 86,118 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities | Derivatives Available for Offset | Gross Amounts Not Offset in the Statements of Assets and Liabilities | ||||||||||||||||||||||||||||||||||
Counterparty | Non-Cash Collateral Received |
| Cash Collateral Received | Net Amount | ||||||||||||||||||||||||||||||||
Deutsche Bank AG | $ | 3,731,697 | $ | (2,439,161 | ) | $ | - | $ | - | $ | 1,292,536 | |||||||||||||||||||||||||
HSBC Bank (USA) | 8,297,371 | (2,364,948 | ) | - | - | 5,932,423 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 12,029,068 | $ | (4,804,109 | ) | $ | - | $ | - | $ | 7,224,959 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
53
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
AHL TargetRisk Fund
Offsetting of Financial and Derivative Assets as of June 30, 2019: |
| |||||||||||
| Assets | Liabilities | ||||||||||
Futures Contracts | $ | 750,328 | $ | 4,462 | ||||||||
Swap Agreement - Centrally Cleared | 269,487 | - | ||||||||||
Swap Agreement - OTC | - | 112,699 | ||||||||||
Forward Foreign Currency Contracts | 4,324 | 43,164 | ||||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | 1,024,139 | $ | 160,325 | ||||||||
|
|
|
| |||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | 1,019,815 | $ | 117,161 | ||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities subject to an MNA | $ | 4,324 | $ | 43,164 | ||||||||
|
|
|
|
Financial Assets, Derivatives, and Collateral Received/(Pledged) by Counterparty as of June 30, 2019: |
| |||||||||||||||||||||||||||||||||||
Gross Amounts of Assets Presented in the Statements of Assets and Liabilities | Derivatives Available for Offset | Gross Amounts Not Offset in the Statements of Assets and Liabilities | ||||||||||||||||||||||||||||||||||
Counterparty | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount | |||||||||||||||||||||||||||||||||
State Street Bank & Trust Co. | $ | 4,324 | $ | (4,324 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 4,324 | $ | (4,324 | ) | $ | - | $ | - | $ | - | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities | Derivatives Available for Offset | Gross Amounts Not Offset in the Statements of Assets and Liabilities | ||||||||||||||||||||||||||||||||||
Counterparty | Non-Cash Collateral Received | Cash Collateral Received | Net Amount | |||||||||||||||||||||||||||||||||
State Street Bank & Trust Co. | $ | 43,164 | $ | (4,324 | ) | $ | - | $ | - | $ | 38,840 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 43,164 | $ | (4,324 | ) | $ | - | $ | - | $ | 38,840 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
6. Principal Risks
Investing in the Funds may involve certain risks including, but not limited to, those described below.
Commodities Risk
The Funds’ investments in commodity-linked derivative instruments may subject the Funds to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as changes in supply and demand, drought, floods, weather, livestock disease, embargoes, tariffs, war, acts of terrorism and international economic, political and regulatory developments. The Funds and the Subsidiaries each may concentrate its assets in a particular sector of the commodities market (such as oil, metal or agricultural products). As a result, the Funds and the Subsidiaries may be more susceptible to risks associated with those sectors. The Funds’ investments in commodity-related instruments may lead to losses in excess of the Funds’ investment in such products. Such losses can significantly and adversely affect the NAV of the Funds and, consequently, a shareholder’s interest in the Funds.
Counterparty Risk
There are two separate categories of counterparty risk that arise out of a Fund’s investments in derivatives. The first relates to the risk that its swap counterparty defaults, and the second category relates to the risk that a futures commission merchant (“FCM”) would default on an obligation set forth in an agreement between a Fund and the FCM. As for the first category of risk, entering into derivatives in the OTC market involves counterparty risk, which is the risk that the dealer providing the derivative or other product will fail to timely perform its payment and other obligations or experience financial difficulties, which may include filing for bankruptcy. Therefore, to the extent that a Fund engages in trading in OTC markets, the Fund could be exposed to greater risk
54
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
of loss through default than if it confined its trading to transactions that are centrally cleared. The second category of risk exists at and from the time that a Fund enters into derivatives transactions that are centrally cleared. In such cases, a clearing organization becomes the Fund’s counterparty and the principal counterparty risk is that the clearing organization itself will default. In addition, the FCM may hold margin posted in connection with those contracts and that margin may be re-hypothecated (or re-pledged) by the FCM and lost or its return delayed due to a default by the FCM or other customer of the FCM. The FCM may itself file for bankruptcy, which would either delay the return of, or jeopardize altogether the assets posted by the FCM as margin in response to margin calls relating to cleared positions. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruptions, a Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund.
Credit Risk
The Funds are subject to the risk that the issuer or guarantor of a debt security, or the counterparty to a derivatives contract or a loan will fail to make timely payment of interest or principal or otherwise honor its obligations or default completely. A decline in the credit rating of an individual security held by the Funds may have an adverse impact on its price and make it difficult for the Funds to sell it. Ratings represent a rating agency’s opinion regarding the quality of the security and are not a guarantee of quality. Rating agencies might not always change their credit rating on an issuer or security in a timely manner to reflect events that could affect the issuer’s ability to make timely payments on its obligations. Credit risk is typically greater for securities with ratings that are below investment grade. Since the Funds can invest significantly in high-yield investments considered speculative in nature, this risk may be substantial.
Currency Risk
The Funds may have exposure to foreign currencies by investing in securities denominated innon-U.S. currencies or in securities denominated innon-U.S. currencies, purchasing or selling forward currency exchange contracts innon-U.S. currencies,non-U.S. currency futures contracts, options onnon-U.S. currencies andnon-U.S. currency futures and swaps for cross-currency investments. Foreign currencies may decline in value relative to the U.S. dollar, or, in the case of hedging positions, the U.S. dollar may decline in value relative to the currency being hedged, and thereby affect a Fund’s investments in foreign(non-U.S.) currencies or in securities that trade in, and receive revenues in, or in derivatives that provide exposure to, foreign(non-U.S.) currencies. Currency exchange rates may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, the Fund’s investments in foreign currency denominated securities may reduce the returns of the Funds. Currency futures, forwards, options or swaps may not always work as intended, and in specific cases, the Funds may be worse off than if it had not used such instrument(s). There may not always be suitable hedging instruments available. Even where suitable hedging instruments are available, the Funds may choose to not hedge its currency risks
Derivatives Risk
Derivatives may involve significant risk. The use of derivative instruments may expose the Funds to additional risks that they would not be subject to if they invested directly in the securities or other instruments underlying those derivatives, including the high degree of leverage often embedded in such instruments, and potential material and prolonged deviations between the theoretical value and realizable value of a derivative. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds’ initial investment. Derivatives may be illiquid and may be more volatile than other types of investments. The Funds may buy or sell derivatives not traded on an exchange and which may be subject to heightened liquidity and valuation risk. Derivative investments can increase portfolio turnover and transaction costs. Derivatives also are subject to counterparty risk and credit risk. As a result, the Funds may obtain no recovery of their investment or may only obtain a limited recovery, and any recovery may be delayed. Not all derivative transactions require a counterparty to post collateral, which may expose the Funds to greater losses in the event of a default by a counterparty.
55
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Foreign Investing and Emerging Markets Risk
Non-U.S. investments carry potential risks not associated with U.S. investments. Such risks include, but are not limited to: (1) currency exchange rate fluctuations, (2) political and financial instability, (3) less liquidity, (4) lack of uniform accounting, auditing and financial reporting standards, (5) increased price volatility, (6) less government regulation and supervision of foreign stock exchanges, brokers and listed companies, and (7) delays in transaction settlement in some foreign markets. To the extent the Funds invests a significant portion of its assets in securities of a single country or region, it is more likely to be affected by events or conditions of that country or region. In addition, the economies and political environments of emerging market countries tend to be more unstable than those of developed countries, resulting in more volatile rates of return than the developed markets and substantially greater risk to investors. There may be very limited oversight of certain foreign banks or securities depositories that hold foreign securities and currency and the laws of certain countries may limit the ability to recover such assets if a foreign bank or depository or their agents goes bankrupt. When investing in emerging markets, the risks of investing in foreign securities are heightened. Emerging markets have unique risks that are greater than, or in addition to, investing in developed markets because emerging markets are generally smaller, less developed, less liquid and more volatile than the securities markets of the U.S. and other developed markets. There are also risks of: greater political uncertainties; an economy’s dependence on revenues from particular commodities or on international aid or development assistance; currency transfer restrictions; a limited number of potential buyers for such securities, resulting in increased volatility and limited liquidity for emerging market securities; trading suspensions; and delays and disruptions in securities settlement procedures. In addition, there may be less information available to make investment decisions and more volatile rates of return.
Futures Contracts Risk
Futures contracts are derivative instruments where one party pays a fixed price for an agreed amount of securities or other underlying assets at an agreed date. The use of such derivative instruments may expose the Funds to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. Futures contracts may experience potentially dramatic price changes (losses) and imperfect correlation between the price of the contract and the underlying security or index, which will increase the volatility of the Funds and may involve a small investment of cash (the amount of initial and variation margin) relative to the magnitude of the risk assumed (the potential increase or decrease in the price of the futures contract).
Hedging Risk
If the Funds use a hedging instrument at the wrong time or judges the market conditions incorrectly, or the hedged instrument does not correlate to the risk sought to be hedged, the hedge might be unsuccessful, reduce the Funds’ return, or create a loss.
High Portfolio Turnover Risk
Portfolio turnover is a measure of the Funds’ trading activity over aone-year period. A portfolio turnover rate of 100% would indicate that the Funds sold and replaced the entire value of its securities holdings during the period. High portfolio turnover could increase the Funds’ transaction costs because of increased broker commissions resulting from such transactions. These costs are not reflected in the Funds’ annual operating expenses or in the expense example, but they can have a negative impact on performance. Frequent trading by the Funds could also result in increased realized net capital gains, distributions of which are taxable to the Funds’ shareholders (including net short-term capital gain distributions, which are taxable to them as ordinary income).
High-Yield Securities Risk
Investing in high-yield, below investment-grade securities (commonly referred to as “junk bonds”) generally involves significantly greater risks of loss of your money than an investment in investment grade securities. High-yield debt securities may fluctuate more widely in price and yield and may fall in price when the economy is weak
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American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
or expected to become weak. High-yield securities are considered to be speculative with respect to an issuer’s ability to pay interest and principal and carry a greater risk that the issuers of lower-rated securities will default on the timely payment of principal and interest. Below investment grade securities may experience greater price volatility and less liquidity than investment grade securities.
Interest Rate Risk
Investments in investment-grade and non-investment grade fixed-income securities or derivatives that are influenced by interest rates are subject to interest rate risk. The value of a Fund’s fixed-income investments typically will fall when interest rates rise. A Fund may be particularly sensitive to changes in interest rates if it invests in debt securities with intermediate and long terms to maturity. Debt securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than debt securities with shorter durations. For example, if a bond has a duration of eight years, a 1% increase in interest rates could be expected to result in an 8% decrease in the value of the bond. Yields of debt securities will fluctuate over time. Following the financial crisis that started in 2008, the Federal Reserve attempted to stabilize the economy and support the economic recovery by keeping the federal funds rate (the interest rate at which depository institutions lend reserve balances to each other overnight) at or near zero percent. The Federal Reserve has raised the federal funds rate several times since December 2015 and may continue to increase rates in the future. Interest rates may rise significantly and/or rapidly, potentially resulting in substantial losses to a Fund. During periods of very low or negative interest rates, a Fund may be unable to maintain positive returns. Certain European countries and Japan have recently experienced negative interest rates on deposits and debt securities have traded at negative yields. Negative interest rates may become more prevalent among non-U.S. issuers, and potentially within the United States. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent a Fund is exposed to such interest rates.
Leverage Risk
Financial leverage magnifies the exposure to the movement in prices of an asset or class of assets underlying a derivative instrument and results in increased volatility, which means that a Fund will have the potential for greater losses than if a Fund does not use the derivative instruments that have a leveraging effect. Leverage tends to magnify, sometimes significantly, the effect of any increase or decrease in a Fund’s exposure to an asset or class of assets and may cause a Fund’s NAV to be volatile.
A Fund may experience leveraging risk in connection with investments in derivatives because its investments in derivatives may be purchased with a fraction of the assets that would be needed to purchase the securities directly, so that the remainder of the assets may be invested in other investments. Such investments may have the effect of leveraging a Fund because a Fund may experience gains or losses not only on its investments in derivatives, but also on the investments purchased with the remainder of the assets. If the value of a Fund’s investments in derivatives is increasing, this could be offset by declining values of a Fund’s other investments. Conversely, it is possible that the rise in the value of a Fund’s non-derivative investments could be offset by a decline in the value of a Fund’s investments in derivatives. In either scenario, a Fund may experience losses. In a market where the value of a Fund’s investments in derivatives is declining and the value of its other investments is declining, a Fund may experience substantial losses. The use of leverage may cause a Fund to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or to meet any required asset segregation requirements. In addition, the costs that a Fund pays to engage in these practices are additional costs borne by a Fund and could reduce or eliminate any net investment profits.
Liquidity Risk
When there is little or no active trading market for a specific type of security, it can become more difficult to purchase or sell the securities at or near their perceived value. During such periods, certain investments held by the Funds may be difficult to sell or other investments may be difficult to purchase at favorable times or prices. As
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American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
a result, the Funds may have to lower the price on certain securities that it is trying to sell, sell other securities instead or forgo an investment opportunity, any of which could have a negative effect on Fund management or performance. Redemptions by a few large investors in the Funds at such times may have a significant adverse effect on the Funds’ NAV and remaining Fund shareholders. In addition, the market-making capacity of dealers in certain types of securities has been reduced in recent years, in part as a result of structural and regulatory changes, such as fewer proprietary trading desks and increased regulatory capital requirements for broker-dealers. Further, many broker-dealers have reduced their inventory of certain debt securities. This could negatively affect the Funds’ ability to buy or sell debt securities and increase the related volatility and trading costs. The Funds may lose money if it is forced to sell certain investments at unfavorable prices to meet redemption requests or other cash needs.
Market Direction Risk
Since the Funds will typically hold both long and short positions, an investment in the Funds will involve market risks associated with different types of investment decisions than those made for a typical “long only” fund. The Funds’ results could suffer both when there is a general market advance and the Funds hold significant “short” positions, and when there is a general market decline and the Funds hold significant “long” positions. In recent years, the markets have shown considerable volatility from day to day and even in intra-day trading.
Market Risk
Conditions in the U.S. and many foreign economies have resulted, and may continue to result, in certain instruments experiencing unusual liquidity issues, increased price volatility and, in some cases, credit downgrades and increased likelihood of default. These events have reduced the willingness and ability of some lenders to extend credit, and have made it more difficult for some borrowers to obtain financing on attractive terms, if at all. In some cases, traditional market participants have been less willing to make a market in some types of debt instruments, which has affected the liquidity of those instruments. During times of market turmoil, investors tend to look to the safety of securities issued or backed by the U.S. Treasury, causing the prices of these securities to rise and the yields to decline. Reduced liquidity in fixed-income and credit markets may negatively affect many issuers worldwide. In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region. A rise in protectionist trade policies, risks associated with the United Kingdom’s vote to leave the European Union, the risk of a “trade war” between the United States and China, and the possibility of changes to some international trade agreements, could affect the economies of many nations, including the United States, in ways that cannot necessarily be foreseen at the present time.
In response to the financial crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. In some countries where economic conditions are recovering, they are nevertheless perceived as still fragile. Withdrawal of government support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities. The severity or duration of adverse economic conditions may also be affected by policy changes made by governments or quasi-governmental organizations, including changes in tax laws. The impact of new financial regulation legislation on the markets and the practical implications for market participants may not be fully known for some time. Regulatory changes are causing some financial services companies to exit long-standing lines of business, resulting in dislocations for other market participants.
In addition, political and diplomatic events within the U.S. and abroad, such as the United States government’s inability at times to agree on a long-term budget and deficit reduction plan, the threat of a federal government shutdown and threats not to increase the federal government’s debt limit, may affect investor and consumer confidence and may adversely impact financial markets and the broader economy, perhaps suddenly and to a significant degree. The U.S. government has recently reduced the federal corporate income tax rates, and future legislative, regulatory and policy changes may result in more restrictions on international trade, less
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American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
stringent prudential regulation of certain players in the financial markets, and significant new investments in infrastructure and national defense. Markets may react strongly to expectations about the changes in these policies, which could increase volatility, especially if the markets’ expectations for changes in government policies are not borne out.
Changes in market conditions will not have the same impact on all types of securities. Interest rates have been unusually low in recent years in the United States and abroad. Because there is little precedent for this situation, it is difficult to predict the impact of a significant rate increase on various markets. For example, because investors may buy securities or other investments with borrowed money, a significant increase in interest rates may cause a decline in the markets for those investments. Because of the sharp decline in the worldwide price of oil, there is a concern that oil producing nations may withdraw significant assets now held in U.S. Treasuries, which could force a substantial increase in interest rates. Regulators have expressed concern that rate increases may cause investors to sell fixed-income securities faster than the market can absorb them, contributing to price volatility. In addition, there is a risk that the prices of goods and services in the U.S. and many foreign economies may decline over time, known as deflation (the opposite of inflation). Deflation may have an adverse effect on stock prices and creditworthiness and may make defaults on debt more likely. If a country’s economy slips into a deflationary pattern, it could last for a prolonged period and may be difficult to reverse.
The precise details and the resulting impact of the United Kingdom’s vote to leave the European Union (the “EU”), commonly referred to as “Brexit,” are not yet known. The effect on the United Kingdom’s economy will likely depend on the nature of trade relations with the EU and other major economies following its exit, which are matters to be negotiated. The outcomes may cause increased volatility and have a significant adverse impact on world financial markets, other international trade agreements, and the United Kingdom and European economies, as well as the broader global economy for some time, which could significantly adversely affect the value of the Fund’s investments in the United Kingdom and Europe.
Non-Diversification Risk
When a Fund is non-diversified, it may invest a high percentage of its assets in a limited number of issuers. When a Fund invests in a relatively small number of issuers it may be more susceptible to risks associated with a single economic, political or regulatory occurrence than a more diversified portfolio might be. Some of those issuers also may present substantial credit or other risks. When a Fund is non-diversified, its NAV and total return may also fluctuate more or be subject to declines in weaker markets than a diversified mutual fund.
Obsolescence Risk
The Funds are unlikely to be successful in its quantitative trading strategies unless the assumptions underlying the models are realistic and either remain realistic and relevant in the future or are adjusted to account for changes in the overall market environment. If such assumptions are inaccurate or become inaccurate and are not promptly adjusted, it is likely that profitable trading signals will not be generated. If and to the extent that the models do not reflect certain factors, and thesub-advisor does not successfully address such omission through its testing and evaluation and modify the models accordingly, major losses may result – all of which will be borne by the Funds. The sub-advisor will continue to test, evaluate and add new Models, which may lead to the Models being modified from time to time. Any modification of the Models or strategies will not be subject to any requirement that shareholders receive notice of the change or that they consent to it. There can be no assurance as to the effects (positive or negative) of any modification to the Models or strategies on a Fund’s performance.
Options Risk
In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit that might have been realized had it bought the underlying security at the time it purchased the call option. For a put option to be profitable, the market price of the underlying security must decline sufficiently below the exercise price to
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American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
cover the premium and transaction costs. By using put options in this manner, the Funds will reduce any profit it might otherwise have realized from appreciation of the underlying security by the premium paid for the put option and by transaction costs. If the Funds sell a put option, there is a risk that the Funds may be required to buy the underlying asset at a disadvantageous price. If the Funds sell a call option, there is a risk that the Funds may be required to sell the underlying asset at a disadvantageous price. If the Funds sell a call option on an underlying asset that the Funds own and the underlying asset has increased in value when the call option is exercised, the Funds will be required to sell the underlying asset at the call price and will not be able to realize any of the underlying asset’s value above the call price.
Other Investment Companies Risk
The Funds may invest in shares of other registered investment companies, including exchange-traded funds (“ETFs”) and money market funds. To the extent that the Funds invest in shares of other registered investment companies, the Funds will indirectly bear the fees and expenses, including for example, advisory and administrative fees, charged by those investment companies in addition to the Funds’ direct fees and expenses and will be subject to the risks associated with investments in those companies. For example, the Funds’ investments in money market funds are subject to interest rate risk, credit risk, and market risk. The Funds must rely on the investment company in which it invests to achieve its investment objective. If the investment company fails to achieve its investment objective, the value of the Funds’ investment may decline, adversely affecting the Funds’ performance. ETFs are subject to the following risks that do not apply to conventional funds: (1) the market price of an ETF’s shares may trade at a discount or premium to its NAV; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. An ETF that tracks an index may not precisely replicate the returns of its benchmark index. To the extent the Funds invest in other investment companies that invest in equity securities, fixed-income securities and/or foreign securities, or that track an index, the Funds are subject to the risks associated with the underlying investments held by the investment company or the index fluctuations to which the investment company is subject. ETFs have expenses associated with their operation, typically including advisory fees.
Short Position Risk
The Funds will incur a loss as a result of a short position if the price of the instrument sold short increases in value between the date of the short sale and the date on which an offsetting position is purchased. Short positions may be considered speculative transactions and involve special risks, including greater reliance on thesub-advisor’s ability to accurately anticipate the future value of a security or instrument. The Funds’ losses are potentially unlimited in a short position transaction.
Sovereign and Quasi-Sovereign Debt Risk
An investment in sovereign and quasi-sovereign debt obligations involves special risks not present in corporate debt obligations. Sovereign and quasi-sovereign debt securities are issued or guaranteed by a sovereign government or entity affiliated with or backed by a sovereign government. The issuer of the sovereign or quasi-sovereign debt that controls the repayment of the debt may be unable or unwilling to repay principal or interest when due, and a Fund may have limited recourse in the event of a default. In addition, these investments are subject to risk of payment delays or defaults due to: (1) country cash flow problems, (2) insufficient foreign currency reserves, (3) political considerations, (4) large debt positions relative to the country’s economy, (5) policies toward foreign lenders or investors, (6) the failure to implement economic reforms required by the International Monetary Fund or other multilateral agencies, or (7) an inability or unwillingness to repay debts. It may be particularly difficult to enforce the rights of debt holders in emerging markets. A governmental entity that defaults on an obligation may request additional time in which to pay or receive further loans or may seek to restructure its obligations to reduce interest rates or outstanding principal. There is no legal process for collecting
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American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
sovereign and quasi-sovereign debt that a government does not pay nor are there bankruptcy proceedings through which all or part of the sovereign debt that a governmental entity has not repaid may be collected. Sovereign and quasi-sovereign debt risk is increased for emerging markets issuers, which are among the largest debtors to commercial banks and foreign governments. At times, certain emerging market countries have declared moratoria on the payment of principal and interest on external debt. Certain emerging market countries have experienced difficulty in servicing their sovereign debt on a timely basis, which has led to defaults and the restructuring of certain indebtedness.
Subsidiary Risk
There can be no assurance that the investment objective of a Subsidiary will be achieved. The Subsidiaries are not registered under the Investment Company Act, and are not subject to all the investor protections of the Investment Company Act. However, each Fund wholly owns and controls its respective Subsidiary, and each Fund and its respective Subsidiary are both managed by the Manager and the sub-advisor pursuant to separate agreements, making it unlikely that a Subsidiary will take action contrary to the interests of its respective Fund and its shareholders. The Board has oversight responsibility for the investment activities of the Funds, including its investment in the Subsidiaries, and each Fund’s role as sole shareholder of its respective Subsidiary. Changes in the laws of the United States and/or the Cayman Islands, under which the Funds and Subsidiaries, respectively, are organized, could result in the inability of the Funds and/or Subsidiaries to operate as described in the Prospectus and could negatively affect the Funds and their respective shareholders. For example, the Cayman Islands government has undertaken not to impose any income, corporate or capital gains tax, estate duty, inheritance tax, gift tax or withholding tax on the Subsidiaries. If Cayman Islands law changes such that the Subsidiaries must pay Cayman Islands taxes, Fund shareholders would likely suffer decreased investment returns. Rulemaking by the CFTC or other regulatory initiatives may affect the Funds’ ability to use its respective Subsidiary to pursue its investment strategies.
Swap Agreement Risk
Swaps can involve greater risks than a direct investment in an underlying asset, because swaps typically include a certain amount of embedded leverage and as such are subject to leveraging risk. If swaps are used as a hedging strategy, the Funds are subject to the risk that the hedging strategy may not eliminate the risk that is intended to offset, due to, among other reasons, the occurrence of unexpected price movements or thenon-occurrence of expected price movements. Swaps also may be difficult to value. Interest rate swaps, total return swaps, currency swaps, credit default swaps and commodities swaps are subject to counterparty risk, credit risk and liquidity risk. In addition, interest rate swaps are subject to interest rate risk, total return swaps are subject to market risk, and interest rate risk if the underlying securities are bonds or other debt obligations, currency swaps are subject to currency risk, and commodities swaps are subject to commodities risk.
Tax Risk
To qualify as a regulated investment company under Subchapter M (“RIC”), the Funds must derive at least 90 percent of its gross income for each taxable year from “qualitying income” under Subchaper M. Although qualifying income does not include income derived directly from commodities, including certain commodity-linked derivative instruments — and a Fund, therefore will restrict its gross income from direct investments therein to a maximum of 10% of its gross income for each taxable year — a Fund’s investment in a Subsidiary is expected to provide a Fund with exposure to the commodities markets within the limitations of the requirements of Subchapter M.
The IRS issued a large number of private letter rulings (“PLRs”) (which the Funds may not cite as precedent) from 2006 through 2011 that income a RIC derives from a wholly owned foreign subsidiary (a “controlled foreign corporation” or “CFC”) (such as a Subsidiary) that earns income derived from commodity-linked derivative instruments is qualifying income. Treasury regulations published on March 19, 2019, provide that income inclusions of a RIC from a CFC are qualifying income for the RIC whether or not the CFC makes distributions to the RIC out of
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American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
its associated earnings and profits for the applicable taxable year. The federal income tax treatment of a Fund’s commodity-linked investments and income from a Subsidiary may be materially adversely affected further by future legislation, other Treasury regulations, and/or guidance issued by the IRS that could affect whether income from such investments is qualifying income under Subchapter M or otherwise materially affect the character, timing or recognition, and/or amount of a Fund’s taxable income and/or net capital gains and, therefore, the distributions a Fund makes. If a Fund were unable to qualify as a RIC for one or more taxable years, it would incur potentially significant federal income tax expense. In certain such instances, its income available for distribution to shareholders would be reduced and all such distributions from current or accumulated earnings and profits would be taxable to them as dividend income. In that event, a Fund may not utilize all the potential additional investment strategies.
Valuation Risk
This is the risk that a Fund has valued a security at a price different from the price at which it can be sold. This risk may be especially pronounced for investments, such as derivatives, which may be illiquid or which may become illiquid and for securities that trade in relatively thin markets and/or markets that experience extreme volatility. If market conditions make it difficult to value certain investments, a Fund may value these investments using more subjective methods, such as fair-value methodologies. Investors who purchase or redeem Fund shares on days when a Fund is holding fair-valued securities may receive fewer or more shares, or lower or higher redemption proceeds, than they would have received if the Fund had not fair-valued the securities or had used a different valuation methodology. The value of foreign securities, certain fixed-income securities and currencies, as applicable, may be materially affected by events after the close of the markets on which they are traded, but before a Fund determines its NAV. A Fund’s ability to value its investments in an accurate and timely manner may be impacted by technological issues and/or errors by third-party service providers, such as pricing services or accounting agents.
Volatility Risk
The Funds may have investments that appreciate or decrease significantly in value over short periods of time. This may cause a Fund’s NAV to experience significant increases or declines in value over short periods of time. Because the Funds may use some derivatives that involve economic leverage, this economic leverage will increase the volatility of a derivative instrument, as they may increase or decrease in value more quickly than the reference asset.
7. Federal Income and Excise Taxes
It is the policy of each Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.
The Funds do not have any unrecorded tax liabilities in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2018 remain subject to examination by the Internal Revenue Service for AHL Managed Futures Fund. The period ended December 31, 2018 remains subject to examination by the Internal Revenue Service for AHL TargetRisk Fund. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.
The Funds may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation (depreciation), as applicable, as the income is earned or capital gains are recorded.
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American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. The Funds also utilize earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction.
As of June 30, 2019 the tax cost for each Fund and their respective gross unrealized appreciation (depreciation) were as follows:
Fund | Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
AHL Managed Futures Strategy | $ | 998,304,254 | $ | 23,821,715 | $ | (51,763,086 | ) | $ | (27,941,371 | ) | ||||||||||||||||||
AHL TargetRisk | 29,838,492 | 1,377,699 | (205,253 | ) | 1,172,446 |
Under the Regulated Investment Company Modernization Act of 2010 (“RIC MOD”), net capital losses recognized by the Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses.
As of December 31, 2018, the Funds did not have any capital loss carryforwards.
8. Investment Transactions
The aggregate cost of purchases and proceeds from sales and maturities of investments, other than short-term obligations, for the period ended June 30, 2019 were as follows:
Fund | Purchases (non-U.S. Government Securities) | Purchases of U.S. Government Securities | Sales (non-U.S. Government Securities) | Sales of U.S. Government Securities | ||||||||||||
AHL Managed Futures Strategy | $ | – | $ | – | $ | – | $ | – | ||||||||
AHL TargetRisk | 15,778,270 | 7,987,341 | 1,574,258 | – |
A summary of the Funds’ transactions in the USG Select Fund for the period ended June 30, 2019 are as follows:
Fund | Type of Transaction | December 31, 2018 Shares/Fair Value | Purchases | Sales | June 30, 2019 Shares/Fair Value | Dividend Income | ||||||||||||||||||||||||||||||||||||||
AHL Managed Futures Strategy | Direct | $ | 20,760,352 | $ | 478,410,301 | $ | 453,790,521 | $ | 45,380,132 | $ | 234,886 | |||||||||||||||||||||||||||||||||
AHL TargetRisk | Direct | - | 50,593,698 | 46,892,576 | 3,701,122 | 25,415 |
9. Borrowing Arrangements
Effective November 15, 2018 (the “Effective Date”), the Funds, along with certain other funds managed by the Manager (“Participating Funds”), entered into a committed revolving line of credit (the “Committed Line”) agreement with State Street Bank and Trust Company (the “Bank”) to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Committed Line is $250 million with interest at a rate equal to the higher of(a) one-month London Inter-Bank Offered Rate (“LIBOR”) plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on amounts borrowed. Each of the Participating Funds will pay a closing fee of $100,000 on the Effective Date and a quarterly commitment fee at a rate of 0.25% per annum on the unused portion of the Committed Line amount. The Committed Line expires November 14, 2019, unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
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American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
On the Effective Date, the Funds, along with certain other Participating Funds managed by the Manager, also entered into an uncommitted discretionary demand revolving line of credit (the “Uncommitted Line”) agreement with the Bank to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Uncommitted Line is $50 million with interest at a rate equal to the higher of(a) one-month LIBOR plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on each outstanding loan. Each of the Participating Funds will pay a closing fee of $35,000 on the Effective Date. The Uncommitted Line expires November 14, 2019 unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
During the period ended June 30, 2019, the Funds did not utilize this facility.
10. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Funds:
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
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AHL Managed Futures Strategy Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 2,910,256 | $ | 30,343,044 | 5,973,429 | $ | 62,786,869 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 615,079 | 6,482,930 | ||||||||||||||||||||||||
Shares redeemed | (3,478,422 | ) | (36,537,933 | ) | (6,356,582 | ) | (66,708,717 | ) | ||||||||||||||||||||
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Net increase (decrease) in shares outstanding | (568,166 | ) | $ | (6,194,889 | ) | 231,926 | $ | 2,561,082 | ||||||||||||||||||||
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Y Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
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AHL Managed Futures Strategy Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 17,483,986 | $ | 180,910,979 | 46,402,937 | $ | 482,140,377 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 776,199 | 8,142,322 | ||||||||||||||||||||||||
Shares redeemed | (6,735,519 | ) | (70,296,213 | ) | (9,511,262 | ) | (99,100,466 | ) | ||||||||||||||||||||
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Net increase in shares outstanding | 10,748,467 | $ | 110,614,766 | 37,667,874 | $ | 391,182,233 | ||||||||||||||||||||||
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Investor Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
AHL Managed Futures Strategy Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 269,529 | $ | 2,815,310 | 1,056,484 | $ | 10,980,221 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 24,122 | 250,869 | ||||||||||||||||||||||||
Shares redeemed | (192,431 | ) | (1,974,160 | ) | (1,370,470 | ) | (14,058,394 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | 77,098 | $ | 841,150 | (289,864 | ) | $ | (2,827,304 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
AHL Managed Futures Strategy Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 272,919 | $ | 2,837,647 | 450,225 | $ | 4,711,443 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 5,476 | 56,952 | ||||||||||||||||||||||||
Shares redeemed | (298,711 | ) | (3,100,250 | ) | (369,052 | ) | (3,812,812 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (25,792 | ) | $ | (262,603 | ) | 86,649 | $ | 955,583 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
64
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
C Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
AHL Managed Futures Strategy Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 152,772 | $ | 1,544,824 | 175,816 | $ | 1,792,904 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 2,581 | 26,252 | ||||||||||||||||||||||||
Shares redeemed | (59,541 | ) | (599,273 | ) | (241,190 | ) | (2,420,527 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | 93,231 | $ | 945,551 | (62,793 | ) | $ | (601,371 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | December 31, 2018A to December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
AHL TargetRisk Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 9,037 | $ | 103,938 | 2,480,000 | B | $ | 24,800,000 | B | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 9,037 | $ | 103,938 | 2,480,000 | $ | 24,800,000 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | December 31, 2018A to December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
AHL TargetRisk Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 353,198 | $ | 4,149,636 | 10,000 | B | $ | 100,000 | B | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 353,198 | $ | 4,149,636 | 10,000 | $ | 100,000 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | December 31, 2018A to December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
AHL TargetRisk Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 13,703 | $ | 160,024 | 10,001 | B | $ | 100,010 | B | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 13,703 | $ | 160,024 | 10,001 | $ | 100,010 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
April 30, 2019A to June 30, 2019 | ||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||
AHL TargetRisk Fund | Shares | Amount | ||||||||||||||||||||||||||
Shares sold | 8,834 | $ | 100,000 | |||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Net increase in shares outstanding | 8,834 | $ | 100,000 | |||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
April 30, 2019A to June 30, 2019 | ||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||
AHL TargetRisk Fund | Shares | Amount | ||||||||||||||||||||||||||
Shares sold | 22,191 | $ | 251,575 | |||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Net increase in shares outstanding | 22,191 | $ | 251,575 | |||||||||||||||||||||||||
|
|
|
|
A Commencement of operations.
B Seed capital was received on December 31, 2018 in the amount of $24,800,000 for the Institutional Class, $100,000 for the Y Class, and $100,010 for the Investor Class. Shares were issued in the amount of 2,480,000 for the Institutional Class, 10,000 for the Y Class, and 10,001 for the Investor Class.
11. Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Funds’ financial statements through this date.
65
American Beacon AHL Managed Futures Strategy FundSM
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | August 19, 2014A to December 31, | ||||||||||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.63 | $ | 10.57 | $ | 10.44 | $ | 10.46 | $ | 10.95 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.04 | (0.02 | ) | (0.08 | ) | 0.20 | (0.06 | ) | 0.24 | |||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.09 | 0.28 | 0.63 | (0.22 | ) | (0.07 | ) | 1.10 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.13 | 0.26 | 0.55 | (0.02 | ) | (0.13 | ) | 1.34 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.14 | ) | - | - | (0.21 | ) | (0.31 | ) | |||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.06 | ) | (0.42 | ) | - | (0.15 | ) | (0.08 | ) | ||||||||||||||||||||||||||||||||||
Tax return of capital | - | - | - | - | (0.00 | )B | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.20 | ) | (0.42 | ) | - | (0.36 | ) | (0.39 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.76 | $ | 10.63 | $ | 10.57 | $ | 10.44 | $ | 10.46 | $ | 10.95 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnC | 1.22 | %D | 2.42 | % | 5.31 | % | (0.19 | )% | (1.15 | )% | 13.43 | %D | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 395,043,227 | $ | 396,044,490 | $ | 391,617,624 | $ | 353,601,987 | $ | 20,932,502 | $ | 28,765,259 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.64 | %E | 1.71 | % | 1.98 | % | 1.90 | % | 2.25 | % | 4.97 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.54 | %E | 1.54 | % | 1.54 | % | 1.54 | % | 1.54 | % | 1.54 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 0.67 | %E | (0.40 | )% | (1.20 | )% | (1.69 | )% | (2.29 | )% | 2.73 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | 0.77 | %E | (0.23 | )% | (0.77 | )% | (1.33 | )% | (1.57 | )% | 6.17 | %E | ||||||||||||||||||||||||||||||||
Portfolio turnover rateF | - | % | - | % | - | % | - | % | - | % | - | % |
A | Commencement of operations. |
B | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover is based on the lesser of long-term purchases or sales divided by the average long-term fair value during the period. The Fund did not invest in any long-term securities during the reporting period. |
See accompanying notes
66
American Beacon AHL Managed Futures Strategy FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | August 19, 2014A to December 31, | ||||||||||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.58 | $ | 10.53 | $ | 10.41 | $ | 10.45 | $ | 10.94 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.05 | 0.10 | (0.07 | ) | (0.08 | ) | (0.05 | ) | 0.30 | |||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.08 | 0.14 | 0.61 | 0.04 | (0.08 | ) | 1.03 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.13 | 0.24 | 0.54 | (0.04 | ) | (0.13 | ) | 1.33 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.13 | ) | - | - | (0.21 | ) | (0.31 | ) | |||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.06 | ) | (0.42 | ) | - | (0.15 | ) | (0.08 | ) | ||||||||||||||||||||||||||||||||||
Tax return of capital | - | - | - | - | (0.00 | )B | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.19 | ) | (0.42 | ) | - | (0.36 | ) | (0.39 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Redemption fees added to beneficial interests | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.71 | $ | 10.58 | $ | 10.53 | $ | 10.41 | $ | 10.45 | $ | 10.94 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnC | 1.23 | %D | 2.28 | % | 5.23 | % | (0.38 | )% | (1.15 | )% | 13.33 | %D | ||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 621,847,207 | $ | 500,530,112 | $ | 101,513,775 | $ | 52,391,912 | $ | 33,817,374 | $ | 464,644 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.70 | %E | 1.72 | % | 2.04 | % | 1.97 | % | 2.28 | % | 7.71 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.64 | %E | 1.64 | % | 1.64 | % | 1.64 | % | 1.64 | % | 1.64 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 0.61 | %E | 0.71 | % | (1.25 | )% | (1.76 | )% | (1.70 | )% | 12.50 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | 0.67 | %E | 0.79 | % | (0.84 | )% | (1.44 | )% | (1.06 | )% | 18.58 | %E | ||||||||||||||||||||||||||||||||
Portfolio turnover rateF | - | % | - | % | - | % | - | % | - | % | - | % |
A | Commencement of operations. |
B | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover is based on the lesser of long-term purchases or sales divided by the average long-term fair value during the period. The Fund did not invest in any long-term securities during the reporting period. |
See accompanying notes
67
American Beacon AHL Managed Futures Strategy FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | August 19, 2014A to December 31, | ||||||||||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.48 | $ | 10.44 | $ | 10.35 | $ | 10.41 | $ | 10.93 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.03 | (0.12 | ) | (0.11 | ) | (0.25 | ) | (0.09 | ) | 0.30 | ||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.09 | 0.31 | 0.62 | 0.19 | (0.08 | ) | 1.02 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.12 | 0.19 | 0.51 | (0.06 | ) | (0.17 | ) | 1.32 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.09 | ) | - | - | (0.20 | ) | (0.31 | ) | |||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.06 | ) | (0.42 | ) | - | (0.15 | ) | (0.08 | ) | ||||||||||||||||||||||||||||||||||
Tax return of capital | - | - | - | - | (0.00 | )B | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.15 | ) | (0.42 | ) | - | (0.35 | ) | (0.39 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.60 | $ | 10.48 | $ | 10.44 | $ | 10.35 | $ | 10.41 | $ | 10.93 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnC | 1.14 | %D | 1.85 | % | 4.98 | % | (0.58 | )% | (1.54 | )% | 13.23 | %D | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 18,300,747 | $ | 17,292,936 | $ | 20,241,387 | $ | 31,223,150 | $ | 37,185,001 | $ | 3,023,636 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.87 | %E | 1.97 | % | 2.20 | % | 2.13 | % | 2.40 | % | 5.98 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.92 | %E | 1.92 | % | 1.92 | % | 1.92 | % | 1.92 | % | 1.92 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 0.44 | %E | (0.95 | )% | (1.48 | )% | (1.93 | )% | (2.07 | )% | 10.41 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | 0.39 | %E | (0.90 | )% | (1.20 | )% | (1.72 | )% | (1.59 | )% | 14.47 | %E | ||||||||||||||||||||||||||||||||
Portfolio turnover rateF | - | % | - | % | - | % | - | % | - | % | - | % |
A | Commencement of operations. |
B | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover is based on the lesser of long-term purchases or sales divided by the average long-term fair value during the period. The Fund did not invest in any long-term securities during the reporting period. |
See accompanying notes
68
American Beacon AHL Managed Futures Strategy FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | August 19, 2014A to December 31, | ||||||||||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.49 | $ | 10.53 | $ | 10.36 | $ | 10.44 | $ | 10.93 | $ | 10.00 | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.02 | B | (0.06 | )B | (0.41 | ) | 0.23 | (0.52 | ) | 0.32 | ||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.09 | 0.18 | 1.00 | (0.31 | ) | 0.36 | 1.00 | |||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.11 | 0.12 | 0.59 | (0.08 | ) | (0.16 | ) | 1.32 | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.10 | ) | - | - | (0.18 | ) | (0.31 | ) | |||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.06 | ) | (0.42 | ) | - | (0.15 | ) | (0.08 | ) | ||||||||||||||||||||||||||||||||||
Tax return of capital | - | - | - | - | (0.00 | )C | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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|
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| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.16 | ) | (0.42 | ) | - | (0.33 | ) | (0.39 | ) | ||||||||||||||||||||||||||||||||||
|
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|
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| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.60 | $ | 10.49 | $ | 10.53 | $ | 10.36 | $ | 10.44 | $ | 10.93 | ||||||||||||||||||||||||||||||||
|
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| |||||||||||||||||||||||||||||||||
Total returnD | 1.05 | %E | 1.14 | % | 5.77 | % | (0.77 | )% | (1.45 | )% | 13.23 | %E | ||||||||||||||||||||||||||||||||
|
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| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 4,077,098 | $ | 4,303,787 | $ | 3,408,861 | $ | 23,330,824 | $ | 9,890,720 | $ | 9,019,308 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.97 | %F | 2.05 | % | 2.35 | % | 2.29 | % | 2.55 | % | 5.31 | %F | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.94 | %F | 1.94 | % | 1.94 | % | 1.94 | % | 1.94 | % | 1.94 | %F | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 0.34 | %F | (0.72 | )% | (1.62 | )% | (2.08 | )% | (3.59 | )% | 32.48 | %F | ||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | 0.36 | %F | (0.61 | )% | (1.21 | )% | (1.74 | )% | (2.98 | )% | 35.85 | %F | ||||||||||||||||||||||||||||||||
Portfolio turnover rateG | - | % | - | % | - | % | - | % | - | % | - | % |
A | Commencement of operations. |
B | Per share amounts have been calculated using the average shares method. |
C | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover is based on the lesser of long-term purchases or sales divided by the average long-term fair value during the period. The Fund did not invest in any long-term securities during the reporting period. |
See accompanying notes
69
American Beacon AHL Managed Futures Strategy FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | August 19, 2014A to December 31, | ||||||||||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.25 | $ | 10.19 | $ | 10.20 | $ | 10.34 | $ | 10.90 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
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|
|
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|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.02 | )B | (0.17 | ) | (0.17 | ) | (0.08 | ) | (0.09 | ) | 0.27 | |||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 0.09 | 0.30 | 0.58 | (0.06 | ) | (0.16 | ) | 1.02 | ||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 0.07 | 0.13 | 0.41 | (0.14 | ) | (0.25 | ) | 1.29 | ||||||||||||||||||||||||||||||||||||
|
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|
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|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.01 | ) | - | - | (0.16 | ) | (0.31 | ) | |||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.06 | ) | (0.42 | ) | - | (0.15 | ) | (0.08 | ) | ||||||||||||||||||||||||||||||||||
Tax return of capital | - | - | - | - | (0.00 | )C | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
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|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.07 | ) | (0.42 | ) | - | (0.31 | ) | (0.39 | ) | ||||||||||||||||||||||||||||||||||
|
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|
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|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.32 | $ | 10.25 | $ | 10.19 | $ | 10.20 | $ | 10.34 | $ | 10.90 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnD | 0.68 | %E | 1.30 | % | 4.06 | % | (1.35 | )% | (2.30 | )% | 12.93 | %E | ||||||||||||||||||||||||||||||||
|
|
|
|
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|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 6,086,580 | $ | 5,088,250 | $ | 5,702,799 | $ | 4,300,637 | $ | 2,151,492 | $ | 401,475 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2.68 | %F | 2.78 | % | 3.10 | % | 3.04 | % | 3.32 | % | 8.75 | %F | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 2.69 | %F | 2.69 | % | 2.69 | % | 2.69 | % | 2.69 | % | 2.68 | %F | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | (0.37 | )%F | (1.61 | )% | (2.31 | )% | (2.84 | )% | (2.88 | )% | 7.02 | %F | ||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | (0.38 | )%F | (1.52 | )% | (1.90 | )% | (2.49 | )% | (2.25 | )% | 13.09 | %F | ||||||||||||||||||||||||||||||||
Portfolio turnover rateG | - | % | - | % | - | % | - | % | - | % | - | % |
A | Commencement of operations. |
B | Per share amounts have been calculated using the average shares method. |
C | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover is based on the lesser of long-term purchases or sales divided by the average long-term fair value during the period. The Fund did not invest in any long-term securities during the reporting period. |
See accompanying notes
70
American Beacon AHL TargetRisk FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||
Six Months Ended June 30, 2019 | Period Ended December 31, 2018A | |||||||||||
(unaudited) | ||||||||||||
Net asset value, beginning of period | $ | 10.00 | $ | 10.00 | ||||||||
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.02 | - | ||||||||||
Net gains on investments (both realized and unrealized) | 1.99 | - | ||||||||||
|
|
|
| |||||||||
Total income from investment operations | 2.01 | - | ||||||||||
|
|
|
| |||||||||
Net asset value, end of period | $ | 12.01 | $ | 10.00 | ||||||||
|
|
|
| |||||||||
Total returnB | 20.10 | %C | - | % | ||||||||
|
|
|
| |||||||||
Ratios and supplemental data: |
| |||||||||||
Net assets, end of period | $ | 29,895,658 | $ | 24,800,000 | ||||||||
Ratios to average net assets: | ||||||||||||
Expenses, before reimbursements | 2.15 | %D | 89.10 | %D | ||||||||
Expenses, net of reimbursements | 1.04 | %D | 0.00 | %E | ||||||||
Net investment (loss), before expense reimbursements | (0.75 | )%D | (89.10 | )%D | ||||||||
Net investment income, net of reimbursements | 0.36 | %D | 0.00 | % | ||||||||
Portfolio turnover rate | 9 | %C | - | % |
A | Commenced operations on December 31, 2018. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | The Manager agreed to voluntarily waive expenses as of 12/31/18, despite expense caps being in place, due to the one day of operations on the Fund. |
See accompanying notes
71
American Beacon AHL TargetRisk FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||
Six Months Ended June 30, 2019 | Period Ended December 31, 2018A | |||||||||||
(unaudited) | ||||||||||||
Net asset value, beginning of period | $ | 10.00 | $ | 10.00 | ||||||||
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.02 | - | ||||||||||
Net gains on investments (both realized and unrealized) | 1.98 | - | ||||||||||
|
|
|
| |||||||||
Total income from investment operations | 2.00 | - | ||||||||||
|
|
|
| |||||||||
Net asset value, end of period | $ | 12.00 | $ | 10.00 | ||||||||
|
|
|
| |||||||||
Total returnB | 20.00 | %C | - | % | ||||||||
|
|
|
| |||||||||
Ratios and supplemental data: |
| |||||||||||
Net assets, end of period | $ | 4,359,175 | $ | 100,000 | ||||||||
Ratios to average net assets: | ||||||||||||
Expenses, before reimbursements | 2.97 | %D | 241.64 | %D | ||||||||
Expenses, net of reimbursements | 1.14 | %D | 0.00 | %E | ||||||||
Net investment income (loss), before expense reimbursements | 0.70 | %D | (241.64 | )%D | ||||||||
Net investment income, net of reimbursements | 2.53 | %D | 0.00 | % | ||||||||
Portfolio turnover rate | 9 | %C | - | % |
A | Commenced operations on December 31, 2018. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | The Manager agreed to voluntarily waive expenses as of 12/31/18, despite expense caps being in place, due to the one day of operations on the Fund. |
See accompanying notes
72
American Beacon AHL TargetRisk FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||
Six Months Ended June 30, 2019 | Period Ended December 31, 2018A | |||||||||||
(unaudited) | ||||||||||||
Net asset value, beginning of period | $ | 10.00 | $ | 10.00 | ||||||||
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.01 | - | ||||||||||
Net gains on investments (both realized and unrealized) | 1.98 | - | ||||||||||
|
|
|
| |||||||||
Total income from investment operations | 1.99 | - | ||||||||||
|
|
|
| |||||||||
Net asset value, end of period | $ | 11.99 | $ | 10.00 | ||||||||
|
|
|
| |||||||||
Total returnB | 19.90 | %C | - | % | ||||||||
|
|
|
| |||||||||
Ratios and supplemental data: |
| |||||||||||
Net assets, end of period | $ | 284,173 | $ | 100,010 | ||||||||
Ratios to average net assets: | ||||||||||||
Expenses, before reimbursements | 5.37 | %D | 241.89 | %D | ||||||||
Expenses, net of reimbursements | 1.42 | %D | 0.00 | %E | ||||||||
Net investment (loss), before expense reimbursements | (3.71 | )%D | (241.89 | )%D | ||||||||
Net investment income, net of reimbursements | 0.24 | %D | 0.00 | % | ||||||||
Portfolio turnover rate | 9 | %C | - | % |
A | Commenced operations on December 31, 2018. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | The Manager agreed to voluntarily waive expenses as of 12/31/18, despite expense caps being in place, due to the one day of operations on the Fund. |
E | Annualized. |
See accompanying notes
73
American Beacon AHL TargetRisk FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||
Period Ended June 30, 2019A | ||||
(unaudited) | ||||
Net asset value, beginning of period | $ | 11.32 | ||
|
| |||
Income from investment operations: | ||||
Net investment income | 0.05 | |||
Net gains on investments (both realized and unrealized) | 0.61 | |||
|
| |||
Total income from investment operations | 0.66 | |||
|
| |||
Net asset value, end of period | $ | 11.98 | ||
|
| |||
Total returnB | 5.83 | %C | ||
|
| |||
Ratios and supplemental data: |
| |||
Net assets, end of period | $ | 105,852 | ||
Ratios to average net assets: | ||||
Expenses, before reimbursements | 3.80 | %D | ||
Expenses, net of reimbursements | 1.44 | %D | ||
Net investment income, before expense reimbursements | 0.28 | %D | ||
Net investment income, net of reimbursements | 2.64 | %D | ||
Portfolio turnover rate | 9 | %C |
A | Commenced operations on April 30, 2019. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
See accompanying notes
74
American Beacon AHL TargetRisk FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||
Period EndedA June 30, 2019 | ||||
(unaudited) | ||||
Net asset value, beginning of period | $ | 11.32 | ||
|
| |||
Income from investment operations: | ||||
Net investment income | 0.03 | |||
Net gains on investments (both realized and unrealized) | 0.62 | |||
|
| |||
Total income from investment operations | 0.65 | |||
|
| |||
Net asset value, end of period | $ | 11.97 | ||
|
| |||
Total returnB | 5.74 | %C | ||
|
| |||
Ratios and supplemental data: |
| |||
Net assets, end of period | $ | 265,589 | ||
Ratios to average net assets: | ||||
Expenses, before reimbursements | 4.14 | %D | ||
Expenses, net of reimbursements | 2.19 | %D | ||
Net investment income, before expense reimbursements | 0.24 | %D | ||
Net investment income, net of reimbursements | 2.19 | %D | ||
Portfolio turnover rate | 9 | %C |
A | Commenced operations on April 30, 2019. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
See accompanying notes
75
American Beacon FundsSM
Affirmation of the Commodity Pool Operator
June 30, 2019 (Unaudited)
To the best of my knowledge and belief, the information contained in the attached financial statements for the American Beacon AHL Managed Futures Strategy Fund and American Beacon AHL TargetRisk Fund for the period from January 1, 2019 to June 30, 2019, is accurate and complete.
Melinda G. Heika, Treasurer American Beacon Advisors, Inc. Commodity Pool Operator for the American Beacon AHL Managed Futures Strategy Fund and American Beacon AHL TargetRisk Fund |
76
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Renewal and Approval of Management Agreement and Investment Advisory Agreement
Atin-person meetings held on May 9, 2019 and June4-5, 2019 (collectively, the “Meetings”), the Board of Trustees (“Board” or “Trustees”) considered and then, at its June 5, 2019 meeting, approved the renewal of:
(1) the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Trust”), on behalf of the American Beacon AHL Managed Futures Strategy Fund (“Fund”); and
(2) the Investment Advisory Agreement among the Manager, AHL Partners LLP (the “subadvisor”), and the Trust, on behalf of the Fund.
The Management Agreement and the Investment Advisory Agreement are referred to herein individually as an “Agreement” and collectively as the “Agreements.” In preparation for its consideration of the renewal of the Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisor, Broadridge, Inc. (“Broadridge”) and Morningstar, Inc. (“Morningstar”).The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and the subadvisor.
In advance of the Meetings, the Board’s Investment Committee and/or the Manager coordinated the production of information from Broadridge and Morningstar regarding the performance, fees and expenses of the Fund as well as information from the Manager and the subadvisor. At the Meetings, the Board considered the information provided in connection with the renewal process, as well as information furnished to the Board throughout the year at regular meetings of the Board and its committees. In connection with the Board’s consideration of the Agreements, the Board received and evaluated such information as they deemed necessary. This information is described below in the section summarizing the factors the Board considered in connection with its renewal and approval of the Agreements, as well as the section describing additional Board considerations with respect to the Fund.
The Board noted that the Manager provides management and administrative services to the Fund pursuant to the Management Agreement. The Board considered that many mutual funds have separate contracts governing each type of service and observed that, with respect to such mutual funds, the actual management fee rates provided by Broadridge for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.
A firm may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of the firm based on information that was provided. In such cases, the Board determined that the omission of any such information was not material to its considerations. The class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of investment advisory contracts, such as the Agreements. The memorandum explained the regulatory requirements surrounding the Board’s process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Fund and its shareholders.
77
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Considerations With Respect to the Renewal of the Management Agreement and the Investment Advisory Agreement
In determining whether to renew the Agreements, the Board considered the Fund’s investment management and subadvisory relationships separately. In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of the Fund; (3) the costs incurred by the Manager in rendering services to the Fund and its resulting profits or losses; (4) comparisons of services and fee rates with contracts entered into by the Manager or the subadvisor or their affiliates with other clients (such as pension funds and other institutional clients); (5) the extent to which economies of scale, if any, have been taken into account in setting each fee rate schedule; (6) whether fee rate levels reflect economies of scale, if any, for the benefit of Fund investors; and (7) any other benefits derived or anticipated to be derived by the Manager or the subadvisor from their relationships with the Fund.
Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: the Fund’s long-term performance; the length of service of key investment personnel at the Manager; the cost structure of the Fund; the Manager’s culture of compliance and support that reduce risks to the Fund; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; and the Manager’s efforts to retain key employees and maintain staffing levels.
With respect to the renewal of the Investment Advisory Agreement, the Board considered the level of staffing and the size of the subadvisor. The Board also considered the adequacy of the resources committed to the Fund by the subadvisor, and whether those resources were commensurate with the needs of the Fund and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of the subadvisor. The Board also considered the subadvisor’s representations regarding its compliance program and code of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and the subadvisor were appropriate for the Fund.
Investment Performance.The Board evaluated the comparative information provided by Broadridge and the Manager regarding the performance of the Fund relative to its Broadridge performance universe, Morningstar Category, and benchmark index, as well as the Fund’s Morningstar rating. The Board considered the information provided by Broadridge regarding Broadridge’s independent methodology for selecting the Fund’s Broadridge performance universe. The Board also considered that the performance universes selected by Broadridge may not provide appropriate comparisons for the Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also evaluated the comparative information provided by the subadvisor regarding the performance of the Fund relative to the performance of the Fund’s benchmark index. In addition, the Board considered the Manager’s recommendation to continue to retain the subadvisor. A discussion regarding the Board’s considerations with respect to the Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to the Fund.”
Costs of the Services Provided to the Fund and the Profits Realized by the Manager from its Relationship with the Fund.In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager, before and after the payment of distribution-related expenses by the Manager. The profits or losses were noted at both an aggregate level for all funds within the group of mutual funds sponsored by the Manager (the “Fund Complex”) and at an individual Fund level, with the Manager earning a profit before and after the payment of distribution-related expenses by the Manager for the Fund. The Board also considered comparative information provided by the Manager regarding the Manager’s overall profitability with respect to the Fund Complex relative to the overall profitability of other firms in the mutual fund industry, as disclosed in publicly available sources. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Fund, the Manager represented that, among other matters, the difference is attributable to the fact that the Manager does not perform administrative
78
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
services fornon-investment company clients and reflects the greater level of responsibility and regulatory requirements associated with managing the Fund.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for the Fund that were in place during the last fiscal year. The Board further considered that, with respect to the Fund, the Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager. The Board also noted that certain share classes of the Fund maintain higher expense ratios in order to compensate third-party financial intermediaries.
In analyzing the fee rates charged by the subadvisor in connection with its investment advisory services to the Fund, the Board considered representations made by the subadvisor that the subadvisor does not manage any comparable client accounts, and therefore could not provide fee schedules for comparable investment accounts managed by the subadvisor. The Board did not request profitability data from the subadvisor because the Board did not view this data as imperative to its deliberations given thearm’s-length nature of the relationship between the Manager and the subadvisor with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that the subadvisor may not account for its profits on anaccount-by-account basis and that different firms likely employ different methodologies in connection with these calculations.
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to the Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to the Fund.”
Economies of Scale.In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as the Fund grows and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered the subadvisor’s representation that it believes that its fee is competitive and reflects economies of scale for the benefit of the Fund’s shareholders.
In addition, the Board noted the Manager’s representation that the Management Agreement contains fee schedule breakpoints at higher asset levels with respect to the Fund. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for the Fund provide for a reasonable sharing of benefits from any economies of scale with the Fund.
Benefits Derived from the Relationship with the Fund.The Board considered the“fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisor as a result of the advisory relationships with the Fund, including greater exposure in the marketplace with respect to the Manager’s or the subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisor. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisor by virtue of their relationships with the Fund appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to the Fund
The performance comparisons below were made in comparison to the Fund’s Broadridge performance universe and Morningstar Category. With respect to the Broadridge performance universe, the 1st Quintile represents the top 20 percent of the universe based on performance and the 5th Quintile representing the bottom 20 percent of the universe based on performance. References below to the Fund’s Broadridge performance universe are to the universe of mutual funds with a comparable investment classification/objective included in the analysis provided by Broadridge. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events and not necessarily reflective of manager skill.
79
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
The expense comparisons below were made in comparison to the Fund’s Broadridge expense universe and Broadridge expense group, with the 1st Quintile representing the lowest 20 percent of the universe or group based on lowest total expense and the 5th Quintile representing the highest 20 percent of the universe or group based on highest total expense. References below to the Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Broadridge. A Broadridge expense group consists of the Fund and a representative sample of funds with similar operating structures and asset sizes, as selected by Broadridge. A Broadridge expense universe includes all funds in the investment classification/objective with a similar operating structure as the share class of the Fund included in the Broadridge comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Board also considered the Fund’s Morningstar fee level category. In reviewing expenses, the Board considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the subadvisor’s use of soft dollars was requested from the Manager and was considered by the Board.
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with the subadvisor for the Fund, the Board considered the following additional factors:
Broadridge Total Expenses Excluding12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 3rd Quintile | |
Compared to Broadridge Expense Universe | 3rd Quintile | |
Morningstar Fee Level Ranking – Institutional Class | Average Expense Ratio |
Broadridge and Morningstar Performance Analysis(three-year period ended December 31, 2018)
Compared to Broadridge Performance Universe | 1st Quintile | |
Compared to Morningstar Category | 1st Quintile |
The Board also considered the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations, the Board: (1) concluded that the fees paid to the Manager and the subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; and (2) determined that the Fund and its shareholders would benefit from the Manager’s and the subadvisor’s continued management of the Fund.
80
Delivery of Documents
eDelivery isNOW AVAILABLE - Stop traditional mail delivery and receive your
shareholder reports and summary prospectuson-line. Sign up at
www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, bye-mail. If you are interested in this option, please go towww.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
ByE-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website atwww.americanbeaconfunds.com | |
By Telephone: Call (800)658-5811 | By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 | |
Availability of Quarterly Portfolio Schedules | Availability of Proxy Voting Policy and Records | |
In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-PORT as of the first and third fiscal quarters. The Fund’s Forms N-PORT are available on the SEC’s website atwww.sec.gov. TheForms N-PORT may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, D.C. 20549-2736. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (800)-SEC-0330. A complete schedule of the Fund’s portfolio holdings is also available atwww.americanbeaconfunds.com approximately sixty days after the end of each calendar quarter. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s websitewww.americanbeaconfunds.com and by calling1-800-967-9009 or by accessing the SEC’s website atwww.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website atwww.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Company Boston, Massachusetts | TRANSFER AGENT DST Asset Managers Solutions, Inc. Quincy, Massachusetts | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas | DISTRIBUTOR Resolute Investment Distributors, Inc. Irving, Texas |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds, American Beacon AHL Managed Futures Strategy Fund and American Beacon AHL TargetRisk Fund are service marks of American Beacon Advisors, Inc.
SAR 6/19
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
BAHL & GAYNOR SMALL CAP GROWTH FUND
Investing insmall-capitalization stocks may involve greater volatility and lower liquidity than larger company stocks. Investing inforeign securities may involve heightened risk due to currency fluctuations and economic and political risks.Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. The use offutures contracts for cash management may subject the Fund to losing more money than invested. The Fund participates in asecurities lending program. Please see the prospectus for a complete discussion of the Fund’s risks. There can be no assurances that the investment objectives of this Fund will be met.
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions, and, therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | June 30, 2019 |
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Renewal and Approval of Management Agreement and Investment Advisory Agreement | 35 |
Back Cover |
Dear Shareholders,
At American Beacon, we take our heritage as a fiduciary very seriously — and we apply that mindset to all aspects of our business as a fund manager. As a result, for more than 30 years, we have endeavored to:
u Identify, engage and oversee the best money managers.As a manager of managers, our goal is to engage the most effective money managers for each asset class, investment style and market strategy we offer. We are committed to partnering with those we judge to be “the best of the best” when it comes to choosingsub-advisors for our mutual funds. Whether ourdue-diligence process results in the selection of onesub-advisor or multiplesub-advisors, we select those we believe show the greatest potential to help us meet the high standards you’ve come to expect. |
u | Offer a variety of innovative investment solutions. Our mutual funds — which span the domestic, international, global, frontier and emerging markets — aresub-advised by experienced money managers who employ distinctive, proprietary investment processes to manage assets through a variety of economic and market conditions. From offering some of the first multi-manager funds, one of the first retirement income funds and the first open-ended mutual fund in the U.S. to focus primarily on frontier-market debt, our robust history includes applying a disciplined, solutions-based approach to our product development process in an effort to help you grow your assets while mitigating risk. |
u | Provide a solutions-based approach to achieving long-term investment goals. We seek to provide investment solutions that might enable you to benefit from taking a more disciplined approach to investing. Our mutual funds provide access to institutional-quality, research-intensive investment managers with diverse processes and styles. Over the long run, having such access and spending time in the market — rather than trying to time the market — may better position you to reach your long-term investment goals during market upswings and potentially insulate against market downswings. |
Our management approach is more than a concept; it’s the cornerstone of American Beacon’s culture. And we strive to employ it at every turn as we seek to provide a well-diversified line of investment solutions to help our shareholders seek long-term rewards.
Thank you for your continued interest in American Beacon. For additional information about our mutual funds or to access your account information, please visit our website atwww.americanbeaconfunds.com.
Best Regards,
Gene L. Needles, Jr.
President
American Beacon Funds
1
American Beacon Bahl & Gaynor Small Cap Growth FundSM
June 30, 2019 (Unaudited)
The Investor Class of the American Beacon Bahl & Gaynor Small Cap Growth Fund (the “Fund”) returned 16.21% for thesix-month period ended June 30, 2019. The Fund lagged the Russell 2000 Growth Index (the “Index”) return of 20.36% for the period.
Average Annual Total Returns for the Period ended June 30, 2019 |
| ||||||||||||||||||||||||||
Ticker | 6 Months* | 1 Year | 3 Years | Since Inception | |||||||||||||||||||||||
Institutional Class (1,5) | GBSIX | 16.44 | % | (3.41 | )% | 11.38 | % | 9.08 | % | ||||||||||||||||||
Y Class (1,5) | GBSYX | 16.34 | % | (3.49 | )% | 11.27 | % | 8.97 | % | ||||||||||||||||||
Investor Class (1,5) | GBSPX | 16.21 | % | (3.81 | )% | 10.94 | % | 8.66 | % | ||||||||||||||||||
A without Sales Charge (1,2,5) | GBSAX | 16.20 | % | (3.83 | )% | 10.94 | % | 8.64 | % | ||||||||||||||||||
A with Sales Charge (1,2,5) | GBSAX | 9.49 | % | (9.33 | )% | 8.76 | % | 7.35 | % | ||||||||||||||||||
C without Sales Charge (1,3,5) | GBSCX | 15.78 | % | (4.46 | )% | 10.12 | % | 7.84 | % | ||||||||||||||||||
C with Sales Charge (1,3,5) | GBSCX | 14.78 | % | (5.46 | )% | 10.12 | % | 7.84 | % | ||||||||||||||||||
Russell 2000 Growth Index (4) | 20.36 | % | (0.49 | )% | 14.69 | % | 9.57 | % | |||||||||||||||||||
S&P 500 Index (4) | 18.54 | % | 10.42 | % | 14.19 | % | 10.63 | % |
* | Not Annualized. |
1. | Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is calculated based on the publishedend-of-day net asset values as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visitwww.americanbeaconfunds.com or call1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only; and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of the fees charged to each Class of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than actual returns shown since inception. Please note that the recent performance of the securities market has helped produce short-term returns that are not typical and may not continue in the future. |
2. | A Class shares have a maximum sales charge of 5.75%. |
3. | C Class shares have a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase. |
4. | The Russell 2000® Growth Index is an unmanaged index of those stocks in the Russell 2000® Index with higherprice-to-book ratios and higher forecasted growth values. The Russell 2000 Growth Index and the Russell 2000 Index are registered trademarks of Frank Russell Company. Frank Russell Company (“Russell”) is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company. Neither Russell nor its licensors accept any liability for any errors or omissions in the Russell Indexes and/or Russell ratings or underlying data, and no party may rely on any Russell Indexes and/or Russell ratings and/or underlying data contained in this communication. No further distribution of Russell Data is permitted without Russell’s express written consent. Russell does not promote, sponsor or endorse the content of this communication. The S&P 500 Index is an unmanaged index of common stocks publicly traded in the United States. The S&P 500 Index is a product of S&P Dow Jones Indices LLC, a division of S&P Global or its affiliates (“SPDJI”) and has been licensed for use by American Beacon Advisors. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”). Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The American Beacon Bahl & Gaynor Small Cap Growth Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P or their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions or interruptions of the S&P 500 Index. One cannot directly invest in an index. |
5. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares were 1.26%, 1.34%, 1.53%, 1.61% and 2.35%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund underperformed the Index due to both security selection and sector allocation.
Most of the Fund’s underperformance related to security selection was attributable to holdings in the Industrials and Consumer Discretionary sectors. Within Industrials, Healthcare Services Group, Inc. was down 22.9%, Ritchie Bros. Auctioneers, Inc. ended the period up 2.0% after some volatility, while Matthews International Corp, Class A and Raven Industries, Inc. were down 12.9% and 3.7%, respectively. In Consumer Discretionary, Brunswick Corp. was down 0.5% and Texas Roadhouse, Inc. was down 9.0%. The Fund did not hold Roku Inc., which was up 195.6% for the period.
2
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Performance Overview
June 30, 2019 (Unaudited)
The aforementioned performance was somewhat offset by the Fund’s holdings in the Communication Services sector, with Nexstar Media Group, Inc., Class A up 29.0% and the Fund having avoided Index-positions World Wrestling Entertainment (down 3.1%) and Shenandoah Telecommunications Co. (down 12.9%). Selections in Consumer Staples were also additive to relative returns, with Calavo Growers, Inc. up 31.9%. In addition, the Fund did not hold WD 40 Co. (down 12.6%) and Usana Health Sciences, Inc. (down 32.5%).
From a sector allocation perspective, the Fund’s relative performance was hurt by an overweight to Consumer Staples, which was the lowest performing sector in the Index. An overweight to Financials also served as a detractor. Partially offsetting this underperformance were underweights to Consumer Discretionary and Energy.
Looking forward, the Fund’ssub-advisor will continue to maintain a disciplined, long-term approach to equity investing in high-quality, smaller capitalization, dividend-paying stocks with above-average growth potential.
Top Ten Holdings (% Net Assets) | ||||||||
John Bean Technologies Corp. | 2.8 | |||||||
Chemed Corp. | 2.7 | |||||||
CSG Systems International, Inc. | 2.7 | |||||||
Kinsale Capital Group, Inc. | 2.6 | |||||||
Calavo Growers, Inc. | 2.5 | |||||||
Inter Parfums, Inc. | 2.5 | |||||||
Pegasystems, Inc. | 2.3 | |||||||
First Financial Bancorp | 2.2 | |||||||
US Physical Therapy, Inc. | 2.2 | |||||||
Federal Signal Corp. | 2.1 | |||||||
Total Fund Holdings | 71 | |||||||
Sector Allocation (% Equities) | ||||||||
Industrials | 20.2 | |||||||
Information Technology | 19.8 | |||||||
Health Care | 17.4 | |||||||
Financials | 12.6 | |||||||
Consumer Discretionary | 9.9 | |||||||
Consumer Staples | 8.4 | |||||||
Materials | 3.8 | |||||||
Utilities | 3.0 | |||||||
Communication Services | 2.7 | |||||||
Real Estate | 2.2 |
3
American Beacon Bahl & Gaynor Small Cap Growth FundSM
June 30, 2019 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees, if applicable, and (2) ongoing costs, including management fees, distribution(12b-1) fees,sub-transfer agent fees, and other Fund expenses. The Example is intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period in each Class and held for the entire period from January 1, 2019 through June 30, 2019.
Actual Expenses
The “Actual” lines of the table provide information about actual account values and actual expenses. You may use the information on this page, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders of the Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Hypothetical Example for Comparison Purposes
The “Hypothetical” lines of the table provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in the Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund, such as sales charges (loads) or redemption fees, as applicable. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
4
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Expense Example
June 30, 2019 (Unaudited)
American Beacon Bahl & Gaynor Small Cap Growth Fund |
| ||||||||||||||
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period 1/1/2019-6/30/2019* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,164.40 | $5.26 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.94 | $4.91 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,163.40 | $5.79 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.44 | $5.41 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,162.10 | $7.29 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.05 | $6.81 | ||||||||||||
A Class | �� | ||||||||||||||
Actual | $1,000.00 | $1,162.00 | $7.40 | ||||||||||||
Hypothetical** | $1,000.00 | $1,017.95 | $6.90 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $1,157.80 | $11.40 | ||||||||||||
Hypothetical** | $1,000.00 | $1,014.23 | $10.64 |
* | Expenses are equal to the Fund’s annualized expense ratios for thesix-month period of 0.98%, 1.08%, 1.36%, 1.38%, and 2.13% for the Institutional, Y, Investor, A, and C Classes, respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
5
American Beacon Bahl & Gaynor Small Cap Growth FundSM
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 98.99% | |||||||||||||||
Communication Services - 2.70% | |||||||||||||||
Entertainment - 0.40% | |||||||||||||||
Cinemark Holdings, Inc. | 4,865 | $ | 175,627 | ||||||||||||
|
| ||||||||||||||
Media - 2.30% | |||||||||||||||
Meredith Corp. | 3,720 | 204,823 | |||||||||||||
Nexstar Media Group, Inc., Class A | 7,936 | 801,536 | |||||||||||||
|
| ||||||||||||||
1,006,359 | |||||||||||||||
|
| ||||||||||||||
Total Communication Services | 1,181,986 | ||||||||||||||
|
| ||||||||||||||
Consumer Discretionary - 9.82% | |||||||||||||||
Auto Components - 1.32% | |||||||||||||||
LCI Industries | 6,423 | 578,070 | |||||||||||||
|
| ||||||||||||||
Automobiles - 0.96% | |||||||||||||||
Thor Industries, Inc. | 3,215 | 187,917 | |||||||||||||
Winnebago Industries, Inc. | 6,042 | 233,523 | |||||||||||||
|
| ||||||||||||||
421,440 | |||||||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - 3.05% | |||||||||||||||
Marriott Vacations Worldwide Corp. | 5,523 | 532,417 | |||||||||||||
Ruth’s Hospitality Group, Inc. | 8,610 | 195,533 | |||||||||||||
Texas Roadhouse, Inc. | 11,291 | 605,988 | |||||||||||||
|
| ||||||||||||||
1,333,938 | |||||||||||||||
|
| ||||||||||||||
Household Durables - 0.26% | |||||||||||||||
Hooker Furniture Corp. | 5,627 | 116,029 | |||||||||||||
|
| ||||||||||||||
Leisure Products - 2.93% | |||||||||||||||
Brunswick Corp. | 13,531 | 620,938 | |||||||||||||
Johnson Outdoors, Inc., Class A | 8,856 | 660,392 | |||||||||||||
|
| ||||||||||||||
1,281,330 | |||||||||||||||
|
| ||||||||||||||
Specialty Retail - 0.70% | |||||||||||||||
Winmark Corp. | 1,780 | 308,207 | |||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - 0.60% | |||||||||||||||
Superior Group of Cos., Inc. | 15,396 | 263,733 | |||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | 4,302,747 | ||||||||||||||
|
| ||||||||||||||
Consumer Staples - 8.33% | |||||||||||||||
Food Products - 5.81% | |||||||||||||||
Calavo Growers, Inc. | 11,320 | 1,095,097 | |||||||||||||
J&J Snack Foods Corp. | 5,532 | 890,376 | |||||||||||||
Lancaster Colony Corp. | 3,749 | 557,101 | |||||||||||||
|
| ||||||||||||||
2,542,574 | |||||||||||||||
|
| ||||||||||||||
Personal Products - 2.52% | |||||||||||||||
Inter Parfums, Inc. | 16,617 | 1,104,864 | |||||||||||||
|
| ||||||||||||||
Total Consumer Staples | 3,647,438 | ||||||||||||||
|
| ||||||||||||||
Financials - 12.45% | |||||||||||||||
Banks - 6.21% | |||||||||||||||
Chemical Financial Corp. | 5,999 | 246,619 | |||||||||||||
First Financial Bancorp | 39,763 | 963,060 | |||||||||||||
First Interstate BancSystem, Inc., Class A | 20,655 | 818,144 | |||||||||||||
Glacier Bancorp, Inc. | 7,086 | 287,337 |
See accompanying notes
6
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 98.99% (continued) | |||||||||||||||
Financials - 12.45% (continued) | |||||||||||||||
Banks - 6.21% (continued) | |||||||||||||||
S&T Bancorp, Inc. | 10,854 | $ | 406,808 | ||||||||||||
|
| ||||||||||||||
2,721,968 | |||||||||||||||
|
| ||||||||||||||
Capital Markets - 1.80% | |||||||||||||||
Evercore, Inc., Class A | 8,905 | 788,716 | |||||||||||||
|
| ||||||||||||||
Insurance - 4.44% | |||||||||||||||
Horace Mann Educators Corp. | 19,515 | 786,260 | |||||||||||||
Kinsale Capital Group, Inc. | 12,638 | 1,156,124 | |||||||||||||
|
| ||||||||||||||
1,942,384 | |||||||||||||||
|
| ||||||||||||||
Total Financials | 5,453,068 | ||||||||||||||
|
| ||||||||||||||
Health Care - 17.23% | |||||||||||||||
Health Care Equipment & Supplies - 8.08% | |||||||||||||||
Atrion Corp. | 657 | 560,250 | |||||||||||||
Cantel Medical Corp. | 7,881 | 635,524 | |||||||||||||
CONMED Corp. | 7,791 | 666,676 | |||||||||||||
LeMaitre Vascular, Inc. | 28,205 | 789,176 | |||||||||||||
Mesa Laboratories, Inc. | 3,627 | 886,221 | |||||||||||||
|
| ||||||||||||||
3,537,847 | |||||||||||||||
|
| ||||||||||||||
Health Care Providers & Services - 4.84% | |||||||||||||||
Chemed Corp. | 3,240 | 1,169,122 | |||||||||||||
US Physical Therapy, Inc. | 7,757 | 950,775 | |||||||||||||
|
| ||||||||||||||
2,119,897 | |||||||||||||||
|
| ||||||||||||||
Health Care Technology - 3.41% | |||||||||||||||
Omnicell, Inc.A | 7,438 | 639,891 | |||||||||||||
Simulations Plus, Inc. | 29,931 | 854,829 | |||||||||||||
|
| ||||||||||||||
1,494,720 | |||||||||||||||
|
| ||||||||||||||
Pharmaceuticals - 0.90% | |||||||||||||||
Phibro Animal Health Corp., Class A | 12,432 | 394,965 | |||||||||||||
|
| ||||||||||||||
Total Health Care | 7,547,429 | ||||||||||||||
|
| ||||||||||||||
Industrials - 19.95% | |||||||||||||||
Aerospace & Defense - 2.01% | |||||||||||||||
BWX Technologies, Inc. | 16,914 | 881,219 | |||||||||||||
|
| ||||||||||||||
Building Products - 4.17% | |||||||||||||||
AAON, Inc. | 8,856 | 444,394 | |||||||||||||
Simpson Manufacturing Co., Inc. | 12,622 | 838,858 | |||||||||||||
Universal Forest Products, Inc. | 14,248 | 542,279 | |||||||||||||
|
| ||||||||||||||
1,825,531 | |||||||||||||||
|
| ||||||||||||||
Commercial Services & Supplies - 6.35% | |||||||||||||||
Healthcare Services Group, Inc. | 22,888 | 693,964 | |||||||||||||
MSA Safety, Inc. | 8,059 | 849,338 | |||||||||||||
Ritchie Bros Auctioneers, Inc. | 17,483 | 580,786 | |||||||||||||
Tetra Tech, Inc. | 8,351 | 655,971 | |||||||||||||
|
| ||||||||||||||
2,780,059 | |||||||||||||||
|
| ||||||||||||||
See accompanying notes
7
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 98.99% (continued) | |||||||||||||||
Industrials - 19.95% (continued) | |||||||||||||||
Machinery - 4.87% | |||||||||||||||
Federal Signal Corp. | 33,680 | $ | 900,940 | ||||||||||||
John Bean Technologies Corp. | 10,169 | 1,231,771 | |||||||||||||
|
| ||||||||||||||
2,132,711 | |||||||||||||||
|
| ||||||||||||||
Professional Services - 1.19% | |||||||||||||||
Barrett Business Services, Inc. | 6,320 | 522,032 | |||||||||||||
|
| ||||||||||||||
Road & Rail - 0.96% | |||||||||||||||
Landstar System, Inc. | 3,898 | 420,945 | |||||||||||||
|
| ||||||||||||||
Trading Companies & Distributors - 0.40% | |||||||||||||||
MSC Industrial Direct Co., Inc., Class A | 2,359 | 175,179 | |||||||||||||
|
| ||||||||||||||
Total Industrials | 8,737,676 | ||||||||||||||
|
| ||||||||||||||
Information Technology - 19.60% | |||||||||||||||
Electronic Equipment, Instruments & Components - 2.05% | |||||||||||||||
Littelfuse, Inc. | 1,913 | 338,429 | |||||||||||||
SYNNEX Corp. | 5,684 | 559,305 | |||||||||||||
|
| ||||||||||||||
897,734 | |||||||||||||||
|
| ||||||||||||||
IT Services - 5.04% | |||||||||||||||
CSG Systems International, Inc. | 23,795 | 1,161,910 | |||||||||||||
Hackett Group, Inc. | 33,800 | 567,502 | |||||||||||||
ManTech International Corp., Class A | 7,279 | 479,322 | |||||||||||||
|
| ||||||||||||||
2,208,734 | |||||||||||||||
|
| ||||||||||||||
Semiconductors & Semiconductor Equipment - 5.77% | |||||||||||||||
Brooks Automation, Inc. | 13,955 | 540,756 | |||||||||||||
Cabot Microelectronics Corp. | 2,069 | 227,756 | |||||||||||||
Monolithic Power Systems, Inc. | 4,511 | 612,504 | |||||||||||||
Power Integrations, Inc. | 6,130 | 491,503 | |||||||||||||
Silicon Motion Technology Corp., ADR | 14,700 | 652,386 | |||||||||||||
|
| ||||||||||||||
2,524,905 | |||||||||||||||
|
| ||||||||||||||
Software - 6.74% | |||||||||||||||
Blackbaud, Inc. | 7,634 | 637,439 | |||||||||||||
LogMeIn, Inc. | 3,483 | 256,627 | |||||||||||||
Pegasystems, Inc. | 14,346 | 1,021,579 | |||||||||||||
Progress Software Corp. | 17,070 | 744,593 | |||||||||||||
QAD, Inc., Class A | 7,300 | 293,533 | |||||||||||||
|
| ||||||||||||||
2,953,771 | |||||||||||||||
|
| ||||||||||||||
Total Information Technology | 8,585,144 | ||||||||||||||
|
| ||||||||||||||
Materials - 3.79% | |||||||||||||||
Chemicals - 3.79% | |||||||||||||||
Balchem Corp. | 8,000 | 799,760 | |||||||||||||
PolyOne Corp. | 9,918 | 311,326 | |||||||||||||
Stepan Co. | 6,003 | 551,736 | |||||||||||||
|
| ||||||||||||||
1,662,822 | |||||||||||||||
|
| ||||||||||||||
Total Materials | 1,662,822 | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
8
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 98.99% (continued) | |||||||||||||||
Real Estate - 2.13% | |||||||||||||||
Equity Real Estate Investment Trusts (REITs) - 1.63% | |||||||||||||||
CoreSite Realty Corp. | 6,192 | $ | 713,133 | ||||||||||||
|
| ||||||||||||||
Real Estate Management & Development - 0.50% | |||||||||||||||
RE/MAX Holdings, Inc., Class A | 7,187 | 221,072 | |||||||||||||
|
| ||||||||||||||
Total Real Estate | 934,205 | ||||||||||||||
|
| ||||||||||||||
Utilities - 2.99% | |||||||||||||||
Gas Utilities - 2.99% | |||||||||||||||
Chesapeake Utilities Corp. | 4,516 | 429,110 | |||||||||||||
ONE Gas, Inc. | 9,748 | 880,245 | |||||||||||||
|
| ||||||||||||||
1,309,355 | |||||||||||||||
|
| ||||||||||||||
Total Utilities | 1,309,355 | ||||||||||||||
|
| ||||||||||||||
Total Common Stocks (Cost $38,064,748) | 43,361,870 | ||||||||||||||
|
| ||||||||||||||
SHORT-TERM INVESTMENTS - 0.84% (Cost $367,907) | |||||||||||||||
Investment Companies - 0.84% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 2.32%B C | 367,907 | 367,907 | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 99.83% (Cost $38,432,655) | 43,729,777 | ||||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 0.17% | 74,183 | ||||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 43,803,960 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
ANon-income producing security.
B The Fund is affiliated by having the same investment advisor.
C7-day yield.
ADR - American Depositary Receipt.
Long Futures Contracts Open on June 30, 2019: |
| |||||||||||||||
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
Russell 2000E-Mini Index Futures | 4 | September 2019 | $ | 306,656 | $ | 313,420 | $ | 6,764 | ||||||||
|
|
|
|
|
| |||||||||||
$ | 306,656 | $ | 313,420 | $ | 6,764 | |||||||||||
|
|
|
|
|
|
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of June 30, 2019, the investments were classified as described below:
Bahl & Gaynor Small Cap Growth Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Common Stocks | $ | 43,361,870 | $ | - | $ | - | $ | 43,361,870 | ||||||||||||||||||||
Short-Term Investments | 367,907 | - | - | 367,907 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 43,729,777 | $ | - | $ | - | $ | 43,729,777 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||||||
Futures Contracts | $ | 6,764 | $ | - | $ | - | $ | 6,764 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | 6,764 | $ | - | $ | - | $ | 6,764 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires transfers between all levels to/from level 3 be disclosed. During the period ended June 30, 2019, there were no transfers into or out of Level 3.
See accompanying notes
9
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Statement of Assets and Liabilities
June 30, 2019 (Unaudited)
Assets: |
| |||
Investments in unaffiliated securities, at fair value† | $ | 43,361,870 | ||
Investments in affiliated securities, at fair value‡ | 367,907 | |||
Dividends and interest receivable | 32,755 | |||
Deposits with broker for futures contracts | 15,440 | |||
Receivable for fund shares sold | 17,584 | |||
Receivable for expense reimbursement (Note 2) | 9,603 | |||
Receivable for variation margin on open futures contracts (Note 5) | 6,803 | |||
Prepaid expenses | 62,413 | |||
|
| |||
Total assets | 43,874,375 | |||
|
| |||
Liabilities: |
| |||
Payable for fund shares redeemed | 6,746 | |||
Management andsub-advisory fees payable (Note 2) | 31,583 | |||
Service fees payable (Note 2) | 697 | |||
Transfer agent fees payable (Note 2) | 2,432 | |||
Custody and fund accounting fees payable | 4,283 | |||
Professional fees payable | 17,485 | |||
Trustee fees payable (Note 2) | 3,293 | |||
Payable for prospectus and shareholder reports | 3,618 | |||
Other liabilities | 278 | |||
|
| |||
Total liabilities | 70,415 | |||
|
| |||
Net assets | $ | 43,803,960 | ||
|
| |||
Analysis of net assets: |
| |||
Paid-in-capital | $ | 40,056,895 | ||
Total distributable earnings (deficits)A | 3,747,065 | |||
|
| |||
Net assets | $ | 43,803,960 | ||
|
| |||
Shares outstanding at no par value (unlimited shares authorized): |
| |||
Institutional Class | 1,237,305 | |||
|
| |||
Y Class | 1,600,455 | |||
|
| |||
Investor Class | 233,373 | |||
|
| |||
A Class | 159,897 | |||
|
| |||
C Class | 22,955 | |||
|
| |||
Net assets: |
| |||
Institutional Class | $ | 16,745,351 | ||
|
| |||
Y Class | $ | 21,546,751 | ||
|
| |||
Investor Class | $ | 3,095,206 | ||
|
| |||
A Class | $ | 2,121,975 | ||
|
| |||
C Class | $ | 294,677 | ||
|
| |||
Net asset value, offering and redemption price per share: |
| |||
Institutional Class | $ | 13.53 | ||
|
| |||
Y Class | $ | 13.46 | ||
|
| |||
Investor Class | $ | 13.26 | ||
|
| |||
A Class | $ | 13.27 | ||
|
| |||
A Class (offering price) | $ | 14.08 | ||
|
| |||
C Class | $ | 12.84 | ||
|
| |||
† Cost of investments in unaffiliated securities | $ | 38,064,748 | ||
‡ Cost of investments in affiliated securities | $ | 367,907 |
A The Fund’s investments in affiliated securities did not have unrealized appreciation (depreciation) at period end.
See accompanying notes
10
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Statement of Operations
For the period ended June 30, 2019 (Unaudited)
Investment income: | ||||
Dividend income from unaffiliated securities (net of foreign taxes)† | $ | 332,418 | ||
Dividend income from affiliated securities (Note 8) | 6,027 | |||
Interest income | 125 | |||
|
| |||
Total investment income | 338,570 | |||
|
| |||
Expenses: | ||||
Management andsub-advisory fees (Note 2) | 191,447 | |||
Transfer agent fees: | ||||
Institutional Class (Note 2) | 3,158 | |||
Y Class (Note 2) | 10,855 | |||
Investor Class | 722 | |||
A Class | 109 | |||
C Class | 24 | |||
Custody and fund accounting fees | 16,266 | |||
Professional fees | 16,563 | |||
Registration fees and expenses | 32,493 | |||
Service fees (Note 2): | ||||
Investor Class | 3,768 | |||
A Class | 1,516 | |||
C Class | 145 | |||
Distribution fees (Note 2): | ||||
A Class | 3,204 | |||
C Class | 1,571 | |||
Prospectus and shareholder report expenses | 8,267 | |||
Trustee fees (Note 2) | 5,085 | |||
Other expenses | 5,186 | |||
|
| |||
Total expenses | 300,379 | |||
|
| |||
Net fees waived and expenses (reimbursed) (Note 2) | (62,542 | ) | ||
|
| |||
Net expenses | 237,837 | |||
|
| |||
Net investment income | 100,733 | |||
|
| |||
Realized and unrealized gain (loss) from investments: | ||||
Net realized gain (loss) from: | ||||
Investments in unaffiliated securitiesA | (489,932 | ) | ||
Futures contracts | 58,419 | |||
Change in net unrealized appreciation of: | ||||
Investments in unaffiliated securitiesB | 6,630,367 | |||
Futures contracts | 1,704 | |||
|
| |||
Net gain from investments | 6,200,558 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 6,301,291 | ||
|
| |||
† Foreign taxes | $ | 1,168 |
A The Fund did not recognize net realized gains (losses) from the sale of investments in affiliated securities.
B The Fund’s investments in affiliated securities did not have a change in unrealized appreciation (depreciation) at period end.
See accompanying notes
11
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Statement of Changes in Net Assets
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||
(unaudited) | ||||||||||||
Increase (decrease) in net assets: | ||||||||||||
Operations: | ||||||||||||
Net investment income | $ | 100,733 | $ | 152,139 | ||||||||
Net realized gain (loss) from investments in unaffiliated securities and futures contracts | (431,513 | ) | 960,355 | |||||||||
Change in net unrealized appreciation (depreciation) of investments in unaffiliated securities and futures contracts | 6,632,071 | (6,775,452 | ) | |||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 6,301,291 | (5,662,958 | ) | |||||||||
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||
Total retained earnings: | ||||||||||||
Institutional Class | - | (804,590 | ) | |||||||||
Y Class | - | (1,089,668 | ) | |||||||||
Investor Class | - | (170,642 | ) | |||||||||
A Class | - | (233,558 | ) | |||||||||
C Class | - | (18,746 | ) | |||||||||
Tax return of capital: | ||||||||||||
Institutional Class | - | (4,403 | ) | |||||||||
Y Class | - | (5,963 | ) | |||||||||
Investor Class | - | (934 | ) | |||||||||
A Class | - | (1,312 | ) | |||||||||
C Class | - | (111 | ) | |||||||||
|
|
|
| |||||||||
Net distributions to shareholders | - | (2,329,927 | ) | |||||||||
|
|
|
| |||||||||
Capital share transactions (Note 11): | ||||||||||||
Proceeds from sales of shares | 7,214,049 | 25,901,810 | ||||||||||
Reinvestment of dividends and distributions | 78 | 2,250,379 | ||||||||||
Cost of shares redeemed | (8,458,672 | ) | (21,844,616 | ) | ||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets from capital share transactions | (1,244,545 | ) | 6,307,573 | |||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets | 5,056,746 | (1,685,312 | ) | |||||||||
|
|
|
| |||||||||
Net assets: | ||||||||||||
Beginning of period | 38,747,214 | 40,432,526 | ||||||||||
|
|
|
| |||||||||
End of period | $ | 43,803,960 | $ | 38,747,214 | ||||||||
|
|
|
|
See accompanying notes
12
American Beacon Bahl & Gaynor Small Cap Growth FundSM
June 30, 2019 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) is organized as a Massachusetts business trust. The Fund, a series within the Trust, is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified,open-end management investment company. As of June 30, 2019, the Trust consists of thirty-three active series, one of which is presented in this filing: American Beacon Bahl & Gaynor Small Cap Growth Fund (the “Fund”). The remainingthirty-two active series are reported in separate filings.
American Beacon Advisors, Inc. (the “Manager”) is a Delaware corporation and a wholly-owned subsidiary of Resolute Investment Managers, Inc. (“RIM”) organized in 1986 to provide business management, advisory, administrative, and asset management consulting services to the Trust and other investors. The Manager is registered as an investment advisor under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). RIM is, in turn, a wholly-owned subsidiary of Resolute Acquisition, Inc., which is a wholly-owned subsidiary of Resolute Topco, Inc., a wholly-owned subsidiary of Resolute Investment Holdings, LLC (“RIH”). RIH is owned primarily by Kelso Investment Associates VIII, L.P., KEP VI, LLC and Estancia Capital Partners L.P., investment funds affiliated with Kelso & Company, L.P. (“Kelso”) or Estancia Capital Management, LLC (“Estancia”), which are private equity firms.
Recently Adopted Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”)2017-08,Premium Amortization of Purchased Callable Debt Securities. The amendments in the ASU shorten the premium amortization period on a purchased callable debt security from the security’s contractual life to the earliest call date. It is anticipated that this change will enhance disclosures by reducing losses recognized when a security is called on an earlier date. This ASU is effective for fiscal years beginning after December 15, 2018. The Manager continues to evaluate the impact this ASU will have on the financial statements and other disclosures.
In August 2018, the FASB issued ASU2018-13,Fair Value Measurement (“Topic 820”). The amendments in the ASU impact disclosure requirements for fair value measurement. It is anticipated that this change will enhance the effectiveness of disclosures in the notes to the financial statements. This ASU is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted and can include the entire standard or certain provisions that exclude or amend disclosures. For the period ended June 30, 2019, the Fund has chosen to adopt the standard. The adoption of this ASU guidance did not have a material impact on the financial statements and other disclosures.
Class Disclosure
The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class | Eligible Investors | Minimum Initial Investments | ||||
Institutional | Large institutional investors - sold directly or through intermediary channels. | $ | 250,000 | |||
Y Class | Large institutional retirement plan investors - sold directly or through intermediary channels. | $ | 100,000 | |||
Investor | All investors using intermediary organizations, such as broker-dealers or retirement plan sponsors. | $ | 2,500 | |||
A Class | All investors who invest through intermediary organizations, such as broker-dealers or third party administrator. Retail investors who invest directly through a financial intermediary such as a broker, bank, or registered investment advisor which may include afront-end sales charge and a contingent deferred sales charge (“CDSC”). | $ | 2,500 | |||
C Class | Retail investors who invest directly through a financial intermediary such as a broker or through employee directed benefit plans with applicable sales charges which may include CDSC. | $ | 1,000 |
13
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Each class offered by the Trust has equal rights as to assets and voting privileges. Income andnon-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include service, distribution, transfer agent fees, andsub-transfer agent fees that vary amongst the classes as described more fully in Note 2.
Significant Accounting Policies
The following is a summary of significant accounting policies, consistently followed by the Fund in preparation of the financial statements. The Fund is considered an investment company and accordingly, follows the investment company accounting and reporting guidance of the FASB Accounting Standards Codification Topic 946,Financial Services – Investment Companies,a part of Generally Accepted Accounting Principles (“U.S. GAAP”).
Security Transactions and Investment Income
Security transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date.
Dividend income, net of foreign taxes, is recorded on theex-dividend date, except certain dividends from foreign securities which are recorded as soon as the information is available to the Fund. Interest income, net of foreign taxes, is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For convertible securities, premiums attributable to the conversion feature are not amortized. Realized gains (losses) from securities sold are determined on the basis of specific lot identification. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation (depreciation) on investments on the Statement of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the Statement of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income on the Statement of Operations. Income or short-term capital gain distributions received from registered investment companies, if any, are recorded as dividend income. Long-term gain distributions received from registered investment companies, if any, are recorded as realized gains.
Debt obligations may be placed on anon-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed fornon-accrual when the issuer resumes interest payments or when collectability of interest is probable. Realized gains (losses) from securities sold are determined on the basis of specific lot identification.
Distributions to Shareholders
Distributions, if any, of net investment income are generally paid at least annually and recorded on theex-dividend date. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on theex-dividend date. Dividends to shareholders are determined in accordance with federal income tax regulations, which may differ in amount and character from net investment income and realized gains recognized for purposes of U.S. GAAP. To the extent necessary to fully distribute capital gains, the Fund may designate earnings and profits distributed to shareholders on the redemption of shares.
Commission Recapture
The Fund has established brokerage commission recapture arrangements with certain brokers or dealers. If the Fund’s investment advisor chooses to execute a transaction through a participating broker, the broker rebates
14
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
a portion of the commission back to the Fund. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Fund. This amount is reported with the net realized gain in the Fund’s Statement of Operations, if applicable.
Allocation of Income, Trust Expenses, Gains, and Losses
Investment income, realized and unrealized gains and losses from investments of the Fund is allocated daily to each class of shares based upon the relative proportion of net assets of each class to the total net assets of the Fund. Expenses directly charged or attributable to the Fund will be paid from the assets of the Fund. Generally, expenses of the Trust will be allocated among and charged to the assets of the Fund on a basis that the Trust’s Board of Trustees (the “Board”) deems fair and equitable, which may be based on the relative net assets of the Fund or nature of the services performed and relative applicability to the Fund.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
2. Transactions with Affiliates
Management and InvestmentSub-Advisory Agreements
The Fund and the Manager are parties to a Management Agreement that obligates the Manager to provide the Fund with investment advisory and administrative services. As compensation for performing the duties under the Management Agreement, the Manager will receive an annualized management fee based on a percentage of the Fund’s average daily net assets that is calculated and accrued daily according to the following schedule:
First $5 billion | 0.35 | % | ||
Next $5 billion | 0.325 | % | ||
Next $10 billion | 0.30 | % | ||
Over $20 billion | 0.275 | % |
The Trust, on behalf of the Fund, and the Manager have entered into an Investment Advisory Agreement with the Bahl & Gaynor, Inc. (the“Sub-Advisor”) pursuant to which the Fund has agreed to pay an annualizedsub-advisory fee that is calculated and accrued daily based on the Fund’s average daily net assets according to the following schedule:
First $500 million | 0.525 | % | ||
Over $500 million | 0.50 | % |
The Management andSub-Advisory Fees paid by the Fund for the period ended June 30, 2019 were as follows:
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.350 | % | $ | 76,579 | ||||||||
Sub-Advisor Fees | 0.525 | % | 114,868 | |||||||||
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| |||||||||
Total | 0.875 | % | $ | 191,447 | ||||||||
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15
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Distribution Plans
The Fund, except for the A and C Classes of the Fund, has adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule12b-1 under the Act, pursuant to which no separate fees may be charged to the Fund for distribution purposes. However, the Plan authorizes the management fee received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.
Separate Distribution Plans (the “Distribution Plans”) have been adopted pursuant to Rule12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plans, as compensation for distribution and shareholder servicing assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into a Service Plan that obligates the Manager to oversee additional shareholder servicing of the Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee up to 0.25% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund.
Sub-Transfer Agent Fees
The Manager has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Institutional and Y Classes of the Fund and has agreed to compensate the intermediaries for providing these services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. Certain services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly by the Fund’s transfer agent. Accordingly, the Fund, pursuant to Board approval, has agreed to reimburse the Manager for certainnon-distribution shareholder services provided by financial intermediaries for the Institutional and Y Classes. The reimbursement amounts(sub-transfer agent fees) paid to the Manager are subject to a fee limit of up to 0.10% of an intermediary’s average net assets in the Institutional and Y Classes on an annual basis. During the period ended June 30, 2019, thesub-transfer agent fees, as reflected in “Transfer agent fees” on the Statement of Operations, were as follows:
Fund | Sub-Transfer Agent Fees | |||
Bahl & Gaynor Small Cap Growth | $ | 13,361 |
As of June 30, 2019, the Fund owed the Manager the following reimbursement ofsub-transfer agent fees, as reflected in “Transfer agent fees payable” on the Statement of Assets and Liabilities:
Fund | Reimbursement Sub-Transfer Agent Fees | |||
Bahl & Gaynor Small Cap Growth | $ | 1,791 |
Investments in Affiliated Funds
The Fund may invest in the American Beacon U.S. Government Money Market Select Fund (the “USG Select Fund”). Cash collateral received by the Fund in connection with securities lending may also be invested in the USG Select Fund. The Fund and the USG Select Fund have the same investment advisor and therefore, are considered to
16
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
be affiliated. The Manager serves as investment advisor to the USG Select Fund and receives management fees and administrative fees totaling 0.10% of the average daily net assets of the USG Select Fund. During the period ended June 30, 2019, the Manager earned fees on the Fund’s direct investments and securities lending collateral investments in the USG Select Fund as shown below:
Fund | Direct Investments in USG Select Fund | Securities Lending Collateral Investments in USG Select Fund | Total | |||||||||
Bahl & Gaynor Small Cap Growth | $ | 259 | $ | 27 | $ | 286 |
Interfund Credit Facility
Pursuant to an exemptive order issued by the SEC, the Fund, along with other registered investment companies having management contracts with the Manager, may participate in a credit facility whereby each fund, under certain conditions, is permitted to lend money directly to and borrow directly from other participating funds for temporary purposes. The interfund credit facility is advantageous to the funds because it provides added liquidity and eliminates the need to maintain higher cash balances to meet redemptions. This situation could arise when shareholder redemptions exceed anticipated volumes and certain funds have insufficient cash on hand to satisfy such redemptions or when sales of securities do not settle as expected, resulting in a cash shortfall for a fund. When a fund liquidates portfolio securities to meet redemption requests, they often do not receive payment in settlement for up to two days (or longer for certain foreign transactions). Redemption requests normally are satisfied on the next business day. The credit facility provides a source of immediate, short-term liquidity pending settlement of the sale of portfolio securities. The credit facility is administered by a credit facility team consisting of professionals from the Manager’s asset management, compliance, and accounting areas who report the activities of the credit facility to the Board. During the period ended June 30, 2019, the Fund borrowed on average $388,405 for 6 days at an average interest rate of 3.07% with interest charges of $195. These amounts are recorded as “Other expenses” in the Statement of Operations.
Expense Reimbursement Plan
The Manager contractually agreed to reduce fees and/or reimburse expenses for the classes of the Fund to the extent that total operating expenses exceed the Fund’s expense cap. During the period ended June 30, 2019, the Manager waived and/or reimbursed expenses as follows:
Expense Cap | ||||||||||||||||||
Fund | Class | 1/1/2019 - 6/30/2019 | Reimbursed Expenses | (Recouped) Expenses | Expiration of Reimbursed Expenses | |||||||||||||
Bahl & Gaynor Small Cap Growth | Institutional | 0.98 | % | $ | 25,943 | $ | - | 2022 | ||||||||||
Bahl & Gaynor Small Cap Growth | Y | 1.08 | % | 30,081 | - | 2022 | ||||||||||||
Bahl & Gaynor Small Cap Growth | Investor | 1.36 | % | 2,959 | - | 2022 | ||||||||||||
Bahl & Gaynor Small Cap Growth | A | 1.38 | % | 3,193 | - | 2022 | ||||||||||||
Bahl & Gaynor Small Cap Growth | C | 2.13 | % | 366 | - | 2022 |
Of these amounts, $9,603 was disclosed as a receivable from the Manager on the Statement of Assets and Liabilities at June 30, 2019.
The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of such fee reductions and expense reimbursements. Under the policy, the Manager can be reimbursed by the Fund for any contractual or voluntary fee reductions or expense reimbursements if reimbursement to the Manager (a) occurs within three years after the Manager’s own waiver or reimbursement and (b) does not cause the Fund’s annual operating expenses to exceed the lesser of the contractual percentage limit in effect at the time of the waiver/reimbursement or time of recoupment. The reimbursed expenses listed above will expire in 2022. The Fund did not
17
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
record a liability for potential reimbursement due to the current assessment that a reimbursement is unlikely. The carryover of excess expenses potentially reimbursable to the Manager, but not recorded as a liability are as follows:
Fund | Recouped Expenses | Excess Expense Carryover | Expired Expense Carryover | Expiration of Reimbursed Expenses | ||||||||||||
Bahl & Gaynor Small Cap Growth | $ | - | $ | 99,554 | $ | - | 2019 | |||||||||
Bahl & Gaynor Small Cap Growth | - | 98,429 | - | 2020 | ||||||||||||
Bahl & Gaynor Small Cap Growth | - | 117,878 | - | 2021 |
Sales Commissions
The Fund’s Distributor, Resolute Investment Distributors, Inc. (“RID” or “Distributor”), may receive a portion of Class A sales charges from broker dealers and it may be used to offset distribution related expenses. During the period ended June 30, 2019, there were no fees collected for Class A Shares of the Fund.
A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Fund’s Prospectus. Any applicable CDSC will be 0.50% of the lesser of the original purchase price or the value of the redemption of the Class A Shares redeemed. During the period ended June 30, 2019, CDSC fees of $83 were collected for Class A Shares of the Fund.
A CDSC of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Fund’s Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. During the period ended June 30, 2019, CDSC fees of $87 were collected for Class C Shares of the Fund.
Trustee Fees and Expenses
As compensation for their service to the Trusts, each Trustee receives an annual retainer of $120,000, plus $10,000 for each Board meeting attended in person or via teleconference, $2,500 for attendance by Committee members at meetings of the Audit Committee and the Investment Committee, and $1,500 for attendance by Committee members at meetings of the Nominating and Governance Committee, plus reimbursement of reasonable expenses incurred in attending Board meetings, Committee meetings, and relevant educational seminars. The Trustees also may be compensated for attendance at special Board and/or Committee meetings from time to time. The Board Chair receives an additional annual retainer of $50,000 as well as a $2,500 fee each quarter for attendance at the committee meetings. The Chairpersons of the Audit Committee and the Investment Committee each receive an additional annual retainer of $25,000 and the Chairman of the Nominating and Governance Committee receives an additional annual retainer of $10,000. These expenses are allocated on a prorated basis to each fund of the Trusts according to its respective net assets.
3. Security Valuation and Fair Value Measurements
The price of the Fund’s shares is based on its net asset value (“NAV”) per share. The Fund’s NAV is computed by adding total assets, subtracting all the Fund’s liabilities, and dividing the result by the total number of shares outstanding.
The NAV of each class of the Fund’s shares is determined based on a pro rata allocation of the Fund’s investment income, expenses and total capital gains and losses. The Fund’s NAV per share is determined each business day as of the regular close of trading on the New York Stock Exchange (“NYSE” or “Exchange”), which is typically 4:00 p.m. Eastern Time (“ET”). However, if trading on the NYSE closes at a time other than 4:00 p.m. ET, the Fund’s NAV per share typically would still be determined as of the regular close of trading on the NYSE. The
18
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Fund does not price its shares on days that the NYSE is closed. Foreign exchanges may permit trading in foreign securities on days when the Fund is not open for business, which may result in the value of the Fund’s portfolio investments being affected at a time when you are unable to buy or sell shares.
Equity securities, including shares ofclosed-end funds and exchange-traded funds (“ETFs”), are valued at the last sale price or official closing price taken from the primary exchange in which each security trades. Investments in other mutual funds are valued at the closing NAV per share on the day of valuation. Debt securities are valued at bid quotes from broker/dealers or evaluated bid prices from pricing services, who may consider a number of inputs and factors, such as prices of comparable securities, yield curves, spreads, credit ratings, coupon rates, maturity, default rates, and underlying collateral. Futures are valued based on their daily settlement prices. Exchange-traded andover-the-counter (“OTC”) options are valued at the last sale price. Options with no last sale for the day are priced at mid quote. Swaps are valued at evaluated mid prices from pricing services.
The valuation of securities traded on foreign markets and certain fixed income securities will generally be based on prices determined as of the earlier closing time of the markets on which they primarily trade unless a significant event has occurred. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. ET.
Securities may be valued at fair value, as determined in good faith and pursuant to procedures approved by the Board, under certain limited circumstances. For example, fair value pricing will be used when market quotations are not readily available or reliable, as determined by the Manager, such as when (i) trading for a security is restricted or stopped; (ii) a security’s trading market is closed (other than customary closings); or (iii) a security has beende-listed from a national exchange. A security with limited market liquidity may require fair value pricing if the Manager determines that the available price does not reflect the security’s true market value. In addition, if a significant event that the Manager determines to affect the value of one or more securities held by the Fund occurs after the close of a related exchange but before the determination of the Fund’s NAV, fair value pricing may be used on the affected security or securities. Securities of small-capitalization companies are also more likely to require a fair value determination using these procedures because they are more thinly traded and less liquid than the securities of larger-capitalization companies. The Fund may fair value securities as a result of significant events occurring after the close of the foreign markets in which the Fund invests as described below. In addition, the Fund may invest in illiquid securities requiring these procedures.
The Fund may use fair value pricing for securities primarily traded innon-U.S. markets because most foreign markets close well before the Fund’s pricing time of 4:00 p.m. ET. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. If the Manager determines that the last quoted prices ofnon-U.S. securities will, in its judgment, materially affect the value of some or all its portfolio securities, the Manager can adjust the previous closing prices to reflect what it believes to be the fair value of the securities as of the close of the Exchange. In deciding whether it is necessary to adjust closing prices to reflect fair value, the Manager reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. These securities are fair valued using a pricing service, using methods approved by the Board, that considers the correlation of the trading patterns of the foreign security to intraday trading in the U.S. markets, based on indices of domestic securities and other appropriate indicators such as prices of relevant American Depositary Receipts (“ADRs”) and futures contracts. The Valuation Committee, established by the Board, may also fair value securities in other situations, such as when a particular foreign market is closed but the Fund is open. The Fund uses outside pricing services to provide closing prices and information to evaluate and/or adjust those prices. As a means of evaluating its security valuation process, the Valuation Committee routinely compares closing prices, the next day’s opening prices in the same markets and adjusted prices.
Attempts to determine the fair value of securities introduce an element of subjectivity to the pricing of securities. As a result, the price of a security determined through fair valuation techniques may differ from the
19
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
price quoted or published by other sources and may not accurately reflect the market value of the security when trading resumes. If a reliable market quotation becomes available for a security formerly valued through fair valuation techniques, the Manager compares the new market quotation to the fair value price to evaluate the effectiveness of the Fund’s fair valuation procedures. If any significant discrepancies are found, the Manager may adjust the Fund’s fair valuation procedures.
Investments inopen-end mutual funds are valued at the closing NAV per share of the mutual fund on the day of valuation.
Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board.
Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to deposit with their futures broker, an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts aremarked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized, but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities.
Other investments for which the above valuation procedures are inappropriate or are deemed not to reflect fair value, are stated at fair value as determined in good faith by the Manager’s Valuation Committee, pursuant to procedures established by the Board.
Valuation Inputs
Various inputs may be used to determine the fair value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 | - | Quoted prices in active markets for identical securities. | ||
Level 2 | - | Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. | ||
Level 3 | - | Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Common stocks, preferred securities, ETFs, and financial derivative instruments, such as futures contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are generally categorized as Level 2 of the fair value hierarchy.
Investments in registeredopen-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
20
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
4. Securities and Other Investments
Common Stock
Common stock generally takes the form of shares in a corporation which represent an ownership interest. It ranks below preferred stock and debt securities in claims for dividends and for assets of the company in a liquidation or bankruptcy. The value of a company’s common stock may fall as a result of factors directly relating to that company, such as decisions made by its management or decreased demand for the company’s products or services. A stock’s value may also decline because of factors affecting not just the company, but also companies in the same industry or sector. The price of a company’s stock may also be affected by changes in financial markets that are relatively unrelated to the company, such as changes in interest rates, currency exchange rates or industry regulation. Companies that elect to pay dividends on their common stock generally only do so after they invest in their own business and make required payments to bondholders and on other debt and preferred stock. Therefore, the value of a company’s common stock will usually be more volatile than its bonds, other debt and preferred stock. Common stock may be exchange-traded or OTC. OTC stock may be less liquid than exchange-traded stock.
Other Investment Company Securities and Other Exchange-Traded Products
The Fund may invest in shares of other investment companies, includingopen-end funds,closed-end funds, business development companies, ETFs, unit investment trusts, and other investment companies of the Trust. The Fund may invest in investment company securities advised by the Manager or asub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, the Fund becomes a shareholder of that investment company. As a result, the Fund’s shareholders indirectly will bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses the Fund’s shareholders directly bear in connection with the Fund’s own operations. These other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Fund in its Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. The Fundre-characterizes distributions received from REIT investments based on information provided by the REITs into the following categories: ordinary income, long-term capital gains, and return of capital. If information is not available on a timely basis from the REITs, there-characterization will be estimated based on available information, which may include the previous year allocation. If new or additional information becomes available from the REITs at a later date, are-characterization will be made the following year.
5. Financial Derivative Instruments
The Fund may utilize derivative instruments to enhance return, hedge risk, gain efficient exposure to an asset class or to manage liquidity. When considering the Fund’s use of derivatives, it is important to note that the Fund does not use derivatives for the purpose of creating financial leverage.
Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Fund may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or
21
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities or that the counterparty will fail to perform its obligations.
Upon entering into a futures contract, the Fund is required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents a portion of the face value of the futures contract. The Fund usually reflects this amount on the Schedule of Investments as a U.S. Treasury Bill held as collateral for futures contracts or as cash deposited with broker on the Statement of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.
During the period ended June 30, 2019, the Fund entered into futures contracts primarily for exposing cash to markets.
The Fund’s average futures contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of futures contracts. For the purpose of this disclosure, volume is measured by contracts outstanding at each quarter end.
Average Futures Contracts Outstanding | ||||
Fund | Period Ended June 30, 2019 | |||
Bahl & Gaynor Small Cap Growth | 6 |
The following is a summary of the fair valuations of the Fund’s derivative instruments categorized by risk exposure(1):
Fair values of financial instruments on the Statement of Assets and Liabilities as of June 30, 2019: |
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Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Receivable for variation margin from open futures contracts(2) | $ | – | $ | – | $ | – | $ | – | $ | 6,764 | $ | 6,764 |
The effect of financial derivative instruments on the Statement of Operations as of June 30, 2019: |
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Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | – | $ | – | $ | – | $ | – | $ | 58,419 | $ | 58,419 | |||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | – | $ | – | $ | – | $ | – | $ | 1,704 | $ | 1,704 |
(1)See Note 3 in the Notes to Financial Statements for additional information.
(2)Includes cumulative appreciation (depreciation) of futures contracts as reported in the Fund’s Schedule of Investments footnotes. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
Offsetting Assets and Liabilities
The Fund is a party to enforceable master netting agreements between brokers and counterparties which provide for the right to offset under certain circumstances. The Fund employs multiple money managers and
22
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
counterparties and has elected not to offset qualifying financial and derivative instruments on the Statement of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. The impacts of netting arrangements that provide the right to offset are detailed below. The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing agreements such as repurchase agreements can only be netted across transactions governed by the same Master Agreement with the same legal entity. All amounts reported below represent the balance as of the report date, June 30, 2019.
Offsetting of Financial and Derivative Assets as of June 30, 2019: |
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Assets | Liabilities | |||||||||||
Futures Contracts | $ | 6,764 | $ | - | ||||||||
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Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 6,764 | $ | - | ||||||||
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Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | (6,764 | ) | $ | - | |||||||
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6. Principal Risks
Investing in the Fund may involve certain risks including, but not limited to, those described below.
Dividend Risk
An issuer of stock held by the Fund may choose not to declare a dividend or the dividend rate might not remain at current levels. Dividend paying stocks might not experience the same level of earnings growth or capital appreciation asnon-dividend paying stocks.
Equity Investments Risk
Equity securities are subject to market risk. The Fund’s investments in equity securities may include common stocks, preferred stocks, securities convertible into or exchangeable for common stocks, REITs, depositary receipts, and U.S. dollar-denominated foreign stocks traded on U.S. exchanges. Such investments may expose the Fund to additional risk. The value of a company’s common stock may fall as a result of factors affecting the company, companies in the same industry or sector, or the financial markets overall. Common stock generally is subordinate to preferred stock upon the liquidation or bankruptcy of the issuing company. Preferred stocks are sensitive to movements in interest rates. Preferred stocks may be less liquid than common stocks and, unlike common stocks, participation in the growth of an issuer may be limited. Distributions on preferred stocks generally are payable at the discretion of an issuer and after required payments to bond holders. Convertible securities are subject to the risk that the credit standing of the issuer may have an effect on the convertible securities’ investment value. Investments in REITs are subject to the risks associated with investing in the real estate industry such as adverse developments affecting the real estate industry and real property values. Depositary receipts are subject to certain of the risks associated with investing directly in foreign securities, including, but not limited to, currency exchange rate fluctuations, political and financial instability in the home country of a particular depositary receipt, less liquidity and more volatility, less government regulation and supervision and delays in transaction settlement.
Foreign Investing Risk
Non-U.S. investments carry potential risks not associated with U.S. investments. Such risks include, but are not limited to: (1) currency exchange rate fluctuations, (2) political and financial instability, (3) less liquidity, (4) lack of uniform accounting, auditing and financial reporting standards, (5) increased price volatility, (6) less government regulation and supervision of foreign stock exchanges, brokers and listed companies, and (7) delays in transaction settlement in some foreign markets.
23
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Futures Contracts Risk
Futures contracts are derivative instruments where one party pays a fixed price for an agreed amount of securities or other underlying assets at an agreed date. The use of such derivative instruments may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. Futures contracts may experience potentially dramatic price changes (losses) and imperfect correlation between the price of the contract and the underlying security or index, which will increase the volatility of the Fund and may involve a small investment of cash (the amount of initial and variation margin) relative to the magnitude of the risk assumed (the potential increase or decrease in the price of the futures contract).
Investment Risk
An investment in the Fund is not a deposit with a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. When you sell your shares of the Fund, they could be worth less than what you paid for them. Therefore, you may lose money by investing in the Fund.
Market Risk
Conditions in the U.S. and many foreign economies have resulted, and may continue to result, in certain instruments experiencing unusual liquidity issues, increased price volatility and, in some cases, credit downgrades and increased likelihood of default. These events have reduced the willingness and ability of some lenders to extend credit, and have made it more difficult for some borrowers to obtain financing on attractive terms, if at all. In some cases, traditional market participants have been less willing to make a market in some types of debt instruments, which has affected the liquidity of those instruments. During times of market turmoil, investors tend to look to the safety of securities issued or backed by the U.S. Treasury, causing the prices of these securities to rise and the yields to decline. Reduced liquidity in fixed income and credit markets may negatively affect many issuers worldwide. In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region. A rise in protectionist trade policies, and the possibility of changes to some international trade agreements, could affect the economies of many nations in ways that cannot necessarily be foreseen at the present time.
In response to the financial crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. In some countries where economic conditions are recovering, they are nevertheless perceived as still fragile. Withdrawal of government support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities. The severity or duration of adverse economic conditions may also be affected by policy changes made by governments or quasi-governmental organizations, including changes in tax laws. The impact of new financial regulation legislation on the markets and the practical implications for market participants may not be fully known for some time. Regulatory changes are causing some financial services companies to exit long-standing lines of business, resulting in dislocations for other market participants. In addition, political and diplomatic events within the U.S. and abroad, such as the United States government’s inability at times to agree on a long-term budget and deficit reduction plan, the threat of a federal government shutdown and threats not to increase the federal government’s debt limit, may affect investor and consumer confidence and may adversely impact financial markets and the broader economy, perhaps suddenly and to a significant degree. The U.S. government has recently reduced the federal corporate income tax rates, and future legislative, regulatory and policy changes may result in more restrictions on international trade, less stringent prudential regulation of certain players in the financial markets, and significant new investments in infrastructure and national defense. Markets may react strongly to expectations about the changes in these policies, which could increase volatility, especially if the markets’ expectations for changes in government policies are not borne out.
24
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Changes in market conditions will not have the same impact on all types of securities. Interest rates have been unusually low in recent years in the United States and abroad. Because there is little precedent for this situation, it is difficult to predict the impact of a significant rate increase on various markets. For example, because investors may buy securities or other investments with borrowed money, a significant increase in interest rates may cause a decline in the markets for those investments. Because of the sharp decline in the worldwide price of oil, there is a concern that oil producing nations may withdraw significant assets now held in U.S. Treasuries, which could force a substantial increase in interest rates. Regulators have expressed concern that rate increases may cause investors to sell fixed income securities faster than the market can absorb them, contributing to price volatility. In addition, there is a risk that the prices of goods and services in the U.S. and many foreign economies may decline over time, known as deflation (the opposite of inflation). Deflation may have an adverse effect on stock prices and creditworthiness and may make defaults on debt more likely. If a country’s economy slips into a deflationary pattern, it could last for a prolonged period and may be difficult to reverse.
The precise details and the resulting impact of the United Kingdom’s vote to leave the European Union (the “EU”), commonly referred to as “Brexit,” are not yet known. The effect on the United Kingdom’s economy will likely depend on the nature of trade relations with the EU and other major economies following its exit, which are matters to be negotiated. The outcomes may cause increased volatility and have a significant adverse impact on world financial markets, other international trade agreements, and the United Kingdom and European economies, as well as the broader global economy for some time, which could significantly adversely affect the value of the Fund’s investments in the United Kingdom and Europe.
Other Investment Companies Risk
The Fund may invest in shares of other registered investment companies, including money market funds that are advised by the Manager. To the extent that the Fund invests in shares of other registered investment companies, the Fund will indirectly bear the fees and expenses, including for example advisory and administrative fees, charged by those investment companies in addition to the Fund’s direct fees and expenses and will be subject to the risks associated with investments in those companies. For example, the Fund’s investments in money market funds are subject to interest rate risk, credit risk, and market risk. The Fund must rely on the investment company in which it invests to achieve its investment objective. If the investment company fails to achieve its investment objective, the value of the Fund’s investment will decline, adversely affecting the Fund’s performance. To the extent the Fund invests in other investment companies that invest in equity securities, fixed income securities and/or foreign securities, or track an index, the Fund is subject to the risks associated with the underlying investments held by the investment company or the index fluctuations to which the investment company is subject.
Securities Lending Risk
A Fund may lend its portfolio securities to brokers, dealers and financial institutions to seek income. There is a risk that a borrower may default on its obligations to return loaned securities; however, a Fund’s securities lending agent indemnifies the Fund against that risk. There is a risk that the assets of a Fund’s securities lending agent may be insufficient to satisfy any contractual indemnification requirements to the Fund. Borrowers of a Fund’s securities typically provide collateral in the form of cash that is reinvested in securities. A Fund will be responsible for the risks associated with the investment of cash collateral, including any collateral invested in an affiliated money market fund. A Fund may lose money on its investment of cash collateral or may fail to earn sufficient income on its investment to meet obligations to the borrower. In addition, delays may occur in the recovery of securities from borrowers, which could interfere with a Fund’s ability to vote proxies or to settle transactions and there is the risk of possible loss of rights in the collateral should the borrower fail financially. In any case in which the loaned securities are not returned to the Fund before anex-dividend date, the payment in lieu of the dividend that the Fund receives from the securities’ borrower would not be treated as a dividend for federal income tax purposes and thus would not qualify for treatment as “qualified dividend income”.
25
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
7. Federal Income and Excise Taxes
It is the policy of the Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, the Fund is treated as a single entity for the purpose of determining such qualification.
The Fund does not have any unrecorded tax liabilities in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2018 remain subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statement of Operations.
The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation (depreciation), as applicable, as the income is earned or capital gains are recorded.
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
As of June 30, 2019 the tax cost for the Fund and their respective gross unrealized appreciation (depreciation) were as follows:
Fund | Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Bahl & Gaynor Small Cap Growth | $ | 38,835,543 | $ | 6,152,813 | $ | (1,258,579 | ) | $ | 4,894,234 |
Under the Regulated Investment Company Modernization Act of 2010 (“RIC MOD”), net capital losses recognized by the Fund in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses.
As of December 31, 2018, the Fund did not have any capital loss carryforwards.
8. Investment Transactions
The aggregate cost of purchases and proceeds from sales and maturities of investments, other than short-term obligations, for the period ended June 30, 2019 were as follows:
Fund | Purchases (non-U.S. Government Securities) | Sales (non-U.S. Government Securities) | ||||||||||
Bahl & Gaynor Small Cap Growth | $ | 11,815,784 | $ | 12,258,996 |
A summary of the Fund’s transactions in the USG Select Fund for the period ended June 30, 2019 were as follows:
Fund | Type of Transaction | December 31, 2018 Shares/Fair Value | Purchases | Sales | June 30, 2019 Shares/Fair Value | Dividend Income | ||||||||||||||||||||||||||||||||||||
Bahl & Gaynor Small Cap Growth | Direct | $ | 361,200 | $ | 7,247,250 | $ | 7,240,543 | $ | 367,907 | $ | 6,027 | |||||||||||||||||||||||||||||||
Bahl & Gaynor Small Cap Growth | Securities Lending | 177,337 | 4,157,738 | 4,335,075 | - | N/A |
26
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
9. Securities Lending
The Fund may lend its securities to qualified financial institutions, such as certain broker-dealers, to earn additional income. The borrowers are required to secure their loans continuously with collateral in an amount at least equal to the fair value of the securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is monitored andmarked-to-market daily. Dailymark-to-market amounts are required to be paid to the borrower or received from the borrower by the end of the following business day. This one day settlement formark-to-market amounts may result in the collateral being temporarily less than the value of the securities on loan or temporarily more than the required minimum collateral.
To the extent that a loan is collateralized by cash, such cash collateral shall be invested by the securities lending agent (the “Agent”) in money market mutual funds and other short-term investments, provided the investments meet certain quality and diversification requirements. Securities purchased with cash collateral proceeds are listed in the Fund’s Schedule of Investments and the collateral is shown on the Statement of Assets and Liabilities as a payable.
Securities lending income is generated from the demand premium (if any) paid by the borrower to borrow a specific security and from the return on investment of cash collateral, reduced by negotiated rebate fees paid to the borrower and transaction costs. To the extent that a loan is secured bynon-cash collateral, securities lending income is generated as a demand premium reduced by transaction costs. The Fund, the Agent, and the Manager retained 80%, 10%, and 10%, respectively, of the income generated from securities lending.
While securities are on loan, the Fund continues to receive certain income associated with that security and any gain or loss in the market price that may occur during the term of the loan. In the case of domestic equities, the value of any dividend is received in the form of a substitute payment approximately equal to the dividend. In the case of foreign securities, a negotiated amount is received that is less than the actual dividend, but higher than the dividend amount minus the foreign tax that the Fund would be subject to on the dividend.
Securities lending transactions pose certain risks to the Fund, including that the borrower may not provide additional collateral when required or return the securities when due, that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower, thatnon-cash collateral may be subject to legal constraints in the event of a borrower bankruptcy, and that the cash collateral investments could become illiquid and unable to be used to return collateral to the borrower. The Fund could also experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower and any action which impairs its ability to liquidatenon-cash collateral to satisfy a borrower default.
Cash collateral is listed on the Fund’s Schedule of Investments and is shown on the Statement of Assets and Liabilities. Income earned on these investments is included in “Income derived from securities lending” on the Statement of Operations.
Non-cash collateral received by the Fund may not be sold orre-pledged except to satisfy a borrower default. Therefore,non-cash collateral is not included on the Fund’s Schedule of Investments or Statement of Assets and Liabilities.
The Fund did not have any securities on loan or hold any securities lending collateral as of the period ended June 30, 2019.
27
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
10. Borrowing Arrangements
Effective November 15, 2018 (the “Effective Date”), the Fund, along with certain other funds managed by the Manager (“Participating Funds”), entered into a committed revolving line of credit (the “Committed Line”) agreement with State Street Bank and Trust Company (the “Bank”) to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Committed Line is $250 million with interest at a rate equal to the higher of(a) one-month London Inter-Bank Offered Rate (“LIBOR”) plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on amounts borrowed. Each of the Participating Funds will pay a closing fee of $100,000 on the Effective Date and a quarterly commitment fee at a rate of 0.25% per annum on the unused portion of the Committed Line amount. The Committed Line expires November 14, 2019, unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
On the Effective Date, the Fund, along with certain other Participating Funds managed by the Manager, also entered into an uncommitted discretionary demand revolving line of credit (the “Uncommitted Line”) agreement with the Bank to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Uncommitted Line is $50 million with interest at a rate equal to the higher of(a) one-month LIBOR plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on each outstanding loan. Each of the Participating Funds will pay a closing fee of $35,000 on the Effective Date. The Uncommitted Line expires November 14, 2019 unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
The Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Other expenses” on the Statement of Operations, along with commitment fees, that have been allocated among the Participating Funds based on average daily net assets.
During the period ended June 30, 2019, the Fund did not utilize this facility.
11. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Fund:
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bahl & Gaynor Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 105,939 | $ | 1,312,663 | 329,292 | $ | 4,592,069 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 71,089 | 808,993 | ||||||||||||||||||||||||
Shares redeemed | (62,424 | ) | (825,883 | ) | (390,684 | ) | (5,654,166 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | 43,515 | $ | 486,780 | 9,697 | $ | (253,104 | ) | |||||||||||||||||||||
|
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|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bahl & Gaynor Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 430,871 | $ | 5,358,557 | 984,130 | $ | 14,247,967 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 90,866 | 1,028,605 | ||||||||||||||||||||||||
Shares redeemed | (376,186 | ) | (4,731,516 | ) | (617,367 | ) | (8,242,731 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 54,685 | $ | 627,041 | 457,629 | $ | 7,033,841 | ||||||||||||||||||||||
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|
|
|
|
|
| |||||||||||||||||||||
28
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bahl & Gaynor Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 32,511 | $ | 415,514 | 334,760 | $ | 4,781,116 | ||||||||||||||||||||||
Reinvestment of dividends | 7 | 78 | 15,351 | 171,479 | ||||||||||||||||||||||||
Shares redeemed | (38,940 | ) | (499,161 | ) | (426,169 | ) | (6,075,485 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (6,422 | ) | $ | (83,569 | ) | (76,058 | ) | $ | (1,122,890 | ) | ||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bahl & Gaynor Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 9,080 | $ | 114,322 | 148,996 | $ | 2,119,325 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 19,956 | 223,104 | ||||||||||||||||||||||||
Shares redeemed | (195,732 | ) | (2,340,729 | ) | (110,139 | ) | (1,534,614 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (186,652 | ) | $ | (2,226,407 | ) | 58,813 | $ | 807,815 | ||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bahl & Gaynor Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 1,029 | $ | 12,993 | 11,307 | $ | 161,333 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 1,676 | 18,198 | ||||||||||||||||||||||||
Shares redeemed | (4,921 | ) | (61,383 | ) | (24,881 | ) | (337,620 | ) | ||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (3,892 | ) | $ | (48,390 | ) | (11,898 | ) | $ | (158,089 | ) | ||||||||||||||||||
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|
|
12. Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.
29
American Beacon Bahl & Gaynor Small Cap Growth FundSM
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | July 15, 2014A to December 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.62 | $ | 13.93 | $ | 12.77 | $ | 10.17 | $ | 10.71 | $ | 10.00 | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.04 | 0.07 | 0.04 | 0.03 | 0.08 | 0.02 | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 1.87 | (1.66 | ) | 1.71 | 2.60 | (0.39 | ) | 0.71 | ||||||||||||||||||||||||||||||||||||
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|
|
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|
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|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 1.91 | (1.59 | ) | 1.75 | 2.63 | (0.31 | ) | 0.73 | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.05 | ) | (0.05 | ) | (0.03 | ) | (0.06 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.67 | ) | (0.54 | ) | - | (0.16 | ) | - | |||||||||||||||||||||||||||||||||||
Tax return of capital | - | (0.00 | )B | - | - | (0.01 | )G | - | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.72 | ) | (0.59 | ) | (0.03 | ) | (0.23 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 13.53 | $ | 11.62 | $ | 13.93 | $ | 12.77 | $ | 10.17 | $ | 10.71 | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Total returnC | 16.44 | %D | (11.27 | )% | 13.65 | % | 25.88 | % | (2.96 | )% | 7.28 | %D | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 16,745,351 | $ | 13,875,243 | $ | 16,498,344 | $ | 7,563,970 | $ | 3,231,461 | $ | 3,102,721 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.30 | %E | 1.26 | % | 1.32 | % | 1.85 | % | 3.04 | % | 8.98 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 0.98 | %E | 0.98 | % | 0.98 | % | 0.98 | % | 0.98 | % | 0.98 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 0.25 | %E | 0.17 | % | 0.18 | % | (0.30 | )% | (1.33 | )% | (7.51 | )%E | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements | 0.57 | %E | 0.45 | % | 0.52 | % | 0.57 | % | 0.72 | % | 0.49 | %E | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 28 | %D | 42 | % | 38 | % | 23 | % | 54 | % | 12 | %F |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from July 15, 2014 through December 31, 2014 and is not annualized. |
G | Tax return of capital is based on outstanding shares at the time of distribution. |
See accompanying notes
30
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | July 15, 2014A to December 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.57 | $ | 13.89 | $ | 12.75 | $ | 10.16 | $ | 10.71 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
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|
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|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.03 | 0.05 | 0.05 | 0.04 | 0.06 | 0.01 | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 1.86 | (1.65 | ) | 1.68 | 2.58 | (0.38 | ) | 0.72 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 1.89 | (1.60 | ) | 1.73 | 2.62 | (0.32 | ) | 0.73 | ||||||||||||||||||||||||||||||||||||
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|
|
|
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|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.05 | ) | (0.05 | ) | (0.03 | ) | (0.06 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.67 | ) | (0.54 | ) | - | (0.16 | ) | - | |||||||||||||||||||||||||||||||||||
Tax return of capital | - | (0.00 | )B | - | - | (0.01 | )G | - | ||||||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.72 | ) | (0.59 | ) | (0.03 | ) | (0.23 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||
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|
|
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|
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|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 13.46 | $ | 11.57 | $ | 13.89 | $ | 12.75 | $ | 10.16 | $ | 10.71 | ||||||||||||||||||||||||||||||||
|
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|
|
|
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|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnC | 16.34 | %D | (11.37 | )% | 13.52 | % | 25.80 | % | (3.05 | )% | 7.28 | %D | ||||||||||||||||||||||||||||||||
|
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|
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|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 21,546,751 | $ | 17,879,581 | $ | 15,114,316 | $ | 6,856,954 | $ | 2,711,465 | $ | 387,622 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.36 | %E | 1.34 | % | 1.38 | % | 1.98 | % | 2.76 | % | 11.71 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.08 | %E | 1.08 | % | 1.08 | % | 1.08 | % | 1.08 | % | 1.08 | %E | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 0.19 | %E | 0.13 | % | 0.12 | % | (0.43 | )% | (0.98 | )% | (10.06 | )%E | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements | 0.47 | %E | 0.39 | % | 0.42 | % | 0.47 | % | 0.70 | % | 0.57 | %E | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 28 | %D | 42 | % | 38 | % | 23 | % | 54 | % | 12 | %F |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from July 15, 2014 through December 31, 2014 and is not annualized. |
G | Tax return of capital is based on outstanding shares at the time of distribution. |
See accompanying notes
31
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | July 15, 2014A to December 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.41 | $ | 13.75 | $ | 12.65 | $ | 10.12 | $ | 10.69 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.01 | (0.00 | )B | 0.02 | 0.03 | 0.05 | 0.01 | |||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 1.84 | (1.62 | ) | 1.66 | 2.53 | (0.39 | ) | 0.70 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 1.85 | (1.62 | ) | 1.68 | 2.56 | (0.34 | ) | 0.71 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.05 | ) | (0.04 | ) | (0.03 | ) | (0.06 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.67 | ) | (0.54 | ) | - | (0.16 | ) | - | |||||||||||||||||||||||||||||||||||
Tax return of capital | - | (0.00 | )B | - | - | (0.01 | )G | - | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.72 | ) | (0.58 | ) | (0.03 | ) | (0.23 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 13.26 | $ | 11.41 | $ | 13.75 | $ | 12.65 | $ | 10.12 | $ | 10.69 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnC | 16.21 | %D | (11.64 | )% | 13.23 | % | 25.31 | % | (3.25 | )% | 7.08 | %D | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 3,095,206 | $ | 2,736,498 | $ | 4,344,476 | $ | 3,595,277 | $ | 498,128 | $ | 239,138 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.56 | %E | 1.53 | % | 1.57 | % | 2.09 | % | 3.19 | % | 12.62 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.36 | %E | 1.36 | % | 1.36 | % | 1.36 | % | 1.36 | % | 1.36 | %E | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.02 | )%E | (0.14 | )% | (0.09 | )% | (0.51 | )% | (1.47 | )% | (11.12 | )%E | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements | 0.18 | %E | 0.03 | % | 0.12 | % | 0.23 | % | 0.35 | % | 0.14 | %E | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 28 | %D | 42 | % | 38 | % | 23 | % | 54 | % | 12 | %F |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from July 15, 2014 through December 31, 2014 and is not annualized. |
G | Tax return of capital is based on outstanding shares at the time of distribution. |
See accompanying notes
32
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | July 15, 2014A to December 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.42 | $ | 13.75 | $ | 12.64 | $ | 10.11 | $ | 10.69 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.01 | B | 0.02 | 0.03 | 0.04 | 0.03 | 0.00 | C | ||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 1.84 | (1.64 | ) | 1.65 | 2.52 | (0.38 | ) | 0.71 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 1.85 | (1.62 | ) | 1.68 | 2.56 | (0.35 | ) | 0.71 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.04 | ) | (0.03 | ) | (0.03 | ) | (0.06 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.67 | ) | (0.54 | ) | - | (0.16 | ) | - | |||||||||||||||||||||||||||||||||||
Tax return of capital | - | (0.00 | )C | - | - | (0.01 | )H | - | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.71 | ) | (0.57 | ) | (0.03 | ) | (0.23 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 13.27 | $ | 11.42 | $ | 13.75 | $ | 12.64 | $ | 10.11 | $ | 10.69 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnD | 16.20 | %E | (11.70 | )% | 13.30 | % | 25.34 | % | (3.34 | )% | 7.08 | %E | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 2,121,975 | $ | 3,958,224 | $ | 3,955,277 | $ | 2,321,426 | $ | 454,614 | $ | 163,704 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.63 | %F | 1.61 | % | 1.69 | % | 2.18 | % | 2.88 | % | 13.84 | %F | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.38 | %F | 1.38 | % | 1.38 | % | 1.38 | % | 1.38 | % | 1.38 | %F | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.13 | )%F | (0.16 | )% | (0.20 | )% | (0.61 | )% | (1.08 | )% | (12.35 | )%F | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements | 0.12 | %F | 0.07 | % | 0.11 | % | 0.18 | % | 0.41 | % | 0.10 | %F | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 28 | %E | 42 | % | 38 | % | 23 | % | 54 | % | 12 | %G |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Per share amounts have been calculated using the average shares method. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover rate is for the period from July 15, 2014 through December 31, 2014 and is not annualized. |
H | Tax return of capital is based on outstanding shares at the time of distribution. |
See accompanying notes
33
American Beacon Bahl & Gaynor Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | July 15, 2014A to December 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.09 | $ | 13.42 | $ | 12.42 | $ | 10.00 | $ | 10.65 | $ | 10.00 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment (loss) | (0.11 | ) | (0.21 | ) | (0.06 | ) | (0.05 | ) | (0.01 | ) | (0.02 | ) | ||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 1.86 | (1.45 | ) | 1.60 | 2.49 | (0.41 | ) | 0.69 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 1.75 | (1.66 | ) | 1.54 | 2.44 | (0.42 | ) | 0.67 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | (0.02 | ) | (0.06 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (0.67 | ) | (0.54 | ) | - | (0.16 | ) | - | |||||||||||||||||||||||||||||||||||
Tax return of capital | - | (0.00 | )B | - | - | (0.01 | )G | - | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (0.67 | ) | (0.54 | ) | (0.02 | ) | (0.23 | ) | (0.02 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 12.84 | $ | 11.09 | $ | 13.42 | $ | 12.42 | $ | 10.00 | $ | 10.65 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnC | 15.78 | %D | (12.26 | )% | 12.38 | % | 24.35 | % | (4.01 | )% | 6.68 | %D | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 294,677 | $ | 297,668 | $ | 520,113 | $ | 412,390 | $ | 308,822 | $ | 142,469 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 2.36 | %E | 2.35 | % | 2.44 | % | 3.09 | % | 3.84 | % | 13.72 | %E | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 2.13 | %E | 2.13 | % | 2.13 | % | 2.13 | % | 2.13 | % | 2.13 | %E | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.83 | )%E | (0.92 | )% | (0.96 | )% | (1.56 | )% | (2.09 | )% | (12.23 | )%E | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements | (0.60 | )%E | (0.70 | )% | (0.65 | )% | (0.60 | )% | (0.38 | )% | (0.64 | )%E | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 28 | %D | 42 | % | 38 | % | 23 | % | 54 | % | 12 | %F |
A | Commencement of operations. |
B | Amount represents less than $0.01 per share. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from July 15, 2014 through December 31, 2014 and is not annualized. |
G | Tax return of capital is based on outstanding shares at the time of distribution. |
See accompanying notes
34
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Atin-person meetings held on May 9, 2019 and June4-5, 2019 (collectively, the “Meetings”), the Board of Trustees (“Board” or “Trustees”) considered and then, at its June 5, 2019 meeting, approved the renewal of:
(1) the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Trust”), on behalf of the American Beacon Bahl & Gaynor Small Cap Growth Fund (“Fund”); and
(2) the Investment Advisory Agreement among the Manager, Bahl & Gaynor Investment Counsel, Inc. (the “subadvisor”), and the Trust, on behalf of the Fund.
The Management Agreement and the Investment Advisory Agreement are referred to herein individually as an “Agreement” and collectively as the “Agreements.” In preparation for its consideration of the renewal of the Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisor, Broadridge, Inc. (“Broadridge”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and the subadvisor.
In advance of the Meetings, the Board’s Investment Committee and/or the Manager coordinated the production of information from Broadridge and Morningstar regarding the performance, fees and expenses of the Fund as well as information from the Manager and the subadvisor. At the Meetings, the Board considered the information provided in connection with the renewal process, as well as information furnished to the Board throughout the year at regular meetings of the Board and its committees. In connection with the Board’s consideration of the Agreements, the Board received and evaluated such information as they deemed necessary. This information is described below in the section summarizing the factors the Board considered in connection with its renewal and approval of the Agreements, as well as the section describing additional Board considerations with respect to the Fund.
The Board noted that the Manager provides management and administrative services to the Fund pursuant to the Management Agreement. The Board considered that many mutual funds have separate contracts governing each type of service and observed that, with respect to such mutual funds, the actual management fee rates provided by Broadridge for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.
A firm may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of the firm based on information that was provided. In such cases, the Board determined that the omission of any such information was not material to its considerations. The class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of investment advisory contracts, such as the Agreements. The memorandum explained the regulatory requirements surrounding the Board’s process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Fund and its shareholders.
35
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Considerations With Respect to the Renewal of the Management Agreement and the Investment Advisory Agreement
In determining whether to renew the Agreements, the Board considered the Fund’s investment management and subadvisory relationships separately. In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of the Fund; (3) the costs incurred by the Manager in rendering services to the Fund and its resulting profits or losses; (4) comparisons of services and fee rates with contracts entered into by the Manager or the subadvisor or their affiliates with other clients (such as pension funds and other institutional clients); (5) the extent to which economies of scale, if any, have been taken into account in setting each fee rate schedule; (6) whether fee rate levels reflect economies of scale, if any, for the benefit of Fund investors; and (7) any other benefits derived or anticipated to be derived by the Manager or the subadvisor from their relationships with the Fund.
Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: the Fund’s long-term performance; the length of service of key investment personnel at the Manager; the cost structure of the Fund; the Manager’s culture of compliance and support that reduce risks to the Fund; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; and the Manager’s efforts to retain key employees and maintain staffing levels.
With respect to the renewal of the Investment Advisory Agreement, the Board considered the level of staffing and the size of the subadvisor. The Board also considered the adequacy of the resources committed to the Fund by the subadvisor, and whether those resources were commensurate with the needs of the Fund and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of the subadvisor. The Board also considered the subadvisor’s representations regarding its compliance program and code of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and the subadvisor were appropriate for the Fund.
Investment Performance. The Board evaluated the comparative information provided by Broadridge and the Manager regarding the performance of the Fund relative to its Broadridge performance universe, Morningstar Category, and benchmark index, as well as the Fund’s Morningstar rating. The Board considered the information provided by Broadridge regarding Broadridge’s independent methodology for selecting the Fund’s Broadridge performance universe. The Board also considered that the performance universes selected by Broadridge may not provide appropriate comparisons for the Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also evaluated the comparative information provided by the subadvisor regarding the performance of the Fund relative to the performance of the Fund’s benchmark index and a composite of similar accounts. In addition, the Board considered the Manager’s recommendation to continue to retain the subadvisor. A discussion regarding the Board’s considerations with respect to the Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to the Fund.”
Costs of the Services Provided to the Fund and the Profits Realized by the Manager from its Relationship with the Fund. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager, before and after the payment of distribution-related expenses by the Manager. The profits or losses were noted at both an aggregate level for all funds within the group of mutual funds sponsored by the Manager (the “Fund Complex”) and at an individual Fund level, with the Manager sustaining a loss before and after the payment of distribution-related expenses by the Manager for the Fund. The Board also considered comparative information provided by the Manager regarding the Manager’s overall profitability with respect to the Fund Complex relative to the overall profitability of other firms in the mutual fund industry, as disclosed in publicly available sources. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Fund, the Manager represented that,
36
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
among other matters, the difference is attributable to the fact that the Manager does not perform administrative services fornon-investment company clients and reflects the greater level of responsibility and regulatory requirements associated with managing the Fund.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for the Fund that were in place during the last fiscal year. The Board further considered that, with respect to the Fund, the Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager. In addition, the Board considered that the Manager receives fees for overseeing the securities lending program on behalf of the Fund. The Board also noted that certain share classes of the Fund maintain higher expense ratios in order to compensate third-party financial intermediaries.
In analyzing the fee rates charged by the subadvisor in connection with its investment advisory services to the Fund, the Board considered representations made by the subadvisor that the Manager has negotiated the lowest fee rate that the subadvisor charges for any comparable client accounts. The Board did not request profitability data from the subadvisor because the Board did not view this data as imperative to its deliberations given thearm’s-length nature of the relationship between the Manager and the subadvisor with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that the subadvisor may not account for its profits on anaccount-by-account basis and that different firms likely employ different methodologies in connection with these calculations.
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to the Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to the Fund.”
Economies of Scale. In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as the Fund grows and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered that the Manager has negotiated breakpoints in the subadvisory fee rate for the Fund.
In addition, the Board noted the Manager’s representation that the Management Agreement contains fee schedule breakpoints at higher asset levels with respect to the Fund. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for the Fund provide for a reasonable sharing of benefits from any economies of scale with the Fund.
Benefits Derived from the Relationship with the Fund. The Board considered the“fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisor as a result of the advisory relationships with the Fund, including greater exposure in the marketplace with respect to the Manager’s or the subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisor. The Board also considered that the Manager may invest the Fund’s cash balances and cash collateral provided by the borrowers of the Fund’s securities in the American Beacon U.S. Government Money Market Select Fund, which the Manager manages directly. In addition, the Board noted that the subadvisor benefits from soft dollar arrangements for proprietary and/or third-party research. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisor by virtue of their relationships with the Fund appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to the Fund
The performance comparisons below were made in comparison to the Fund’s Broadridge performance universe and Morningstar Category. With respect to the Broadridge performance universe, the 1st Quintile represents the top 20 percent of the universe based on performance and the 5th Quintile representing the bottom 20 percent of the universe based on performance. References below to the Fund’s Broadridge performance
37
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
universe are to the universe of mutual funds with a comparable investment classification/objective included in the analysis provided by Broadridge. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events and not necessarily reflective of manager skill.
The expense comparisons below were made in comparison to the Fund’s Broadridge expense universe and Broadridge expense group, with the 1st Quintile representing the lowest 20 percent of the universe or group based on lowest total expense and the 5th Quintile representing the highest 20 percent of the universe or group based on highest total expense. References below to the Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Broadridge. A Broadridge expense group consists of the Fund and a representative sample of funds with similar operating structures and asset sizes, as selected by Broadridge. A Broadridge expense universe includes all funds in the investment classification/objective with a similar operating structure as the share class of the Fund included in the Broadridge comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Board also considered the Fund’s Morningstar fee level category. In reviewing expenses, the Board considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the subadvisor’s use of soft dollars was requested from the Manager and was considered by the Board.
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with the subadvisor for the Fund, the Board considered the following additional factors:
Broadridge Total Expense Analysis Excluding12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 2nd Quintile | |
Compared to Broadridge Expense Universe | 4th Quintile | |
Morningstar Fee Level Ranking – Institutional Class | Average Expense Ratio |
Broadridge and Morningstar Performance Analysis(three-year period ended December 31, 2018)
Compared to Broadridge Performance Universe | 1st Quintile | |
Compared to Morningstar Category | 3rd Quintile |
The Board also considered: (1) information provided by the subadvisor regarding fee rates charged for managing assets in the same or a similar strategy as the subadvisor manages the Fund; and (2) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations, the Board: (1) concluded that the fees paid to the Manager and the subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; and (2) determined that the Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund.
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Delivery of Documents
eDelivery isNOW AVAILABLE - Stop traditional mail delivery and receive your shareholder reports and summary prospectus on-line. Sign up at
www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, bye-mail. If you are interested in this option, please go towww.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
ByE-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website atwww.americanbeaconfunds.com | |
By Telephone: Call (800)658-5811 | By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 | |
Availability of Quarterly Portfolio Schedules | Availability of Proxy Voting Policy and Records | |
In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-PORT as of the first and third fiscal quarters. The Fund’s Forms N-PORT are available on the SEC’s website atwww.sec.gov. The Forms N-PORT may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, D.C. 20549-2736. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling(800)-SEC-0330. A complete schedule of the Fund’s portfolio holdings is also available atwww.americanbeaconfunds.com approximately twenty days after the end of each month. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s websitewww.americanbeaconfunds.com and by calling1-800-967-9009 or by accessing the SEC’s website atwww.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on FormN-PX. The Fund’s FormsN-PX are available on the SEC’s website atwww.sec.gov. The Fund’s proxy voting record may also be obtained by calling1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Company Boston, Massachusetts | TRANSFER AGENT DST Asset Manager Solutions, Inc. Quincy, Massachusetts | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas | DISTRIBUTOR Resolute Investment Distributors, Inc. Irving, Texas |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds and American Beacon Bahl & Gaynor Small Cap Growth Fund are service marks of American Beacon Advisors, Inc.
SAR 6/19
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
BRIDGEWAY LARGE CAP GROWTH FUND
Growth stockstypically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Investing inforeign securitiesmay involve heightened risk due to currency fluctuations and economic and political risks. While the Fund is managed pursuant to a tax management strategy, the Fund’s investments could createcapital gains. The use offutures contractsfor cash management may subject the Fund to losing more money than invested. The Fund participates in asecurities lendingprogram. Please see the prospectus for a complete discussion of the Fund’s risks. There can be no assurances that the investment objectives of this Fund will be met.
BRIDGEWAY LARGE CAP VALUE FUND
Investing invalue stocksmay limit downside risk over time; however, the Fund may produce more modest gains than riskier stock funds as atrade-off for this potentially lower risk. Investing inforeign securitiesmay involve heightened risk due to currency fluctuations and economic and political risks. While the Fund is managed pursuant to a tax management strategy, the Fund’s investments could createcapital gains. The use offutures contractsfor cash management may subject the Fund to losing more money than invested. The Fund participates in asecurities lendingprogram. Please see the prospectus for a complete discussion of the Fund’s risks. There can be no assurances that the investment objectives of this Fund will be met.
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions, and, therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | June 30, 2019 |
Contents
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Renewal and Approval of Management Agreement and Investment Advisory Agreement | 51 |
Back Cover |
Dear Shareholders,
At American Beacon, we take our heritage as a fiduciary very seriously — and we apply that mindset to all aspects of our business as a fund manager. As a result, for more than 30 years, we have endeavored to:
u Identify, engage and oversee the best money managers.As a manager of managers, our goal is to engage the most effective money managers for each asset class, investment style and market strategy we offer. We are committed to partnering with those we judge to be “the best of the best” when it comes to choosingsub-advisors for our mutual funds. Whether ourdue-diligence process results in the selection of onesub-advisor or multiplesub-advisors, we select those we believe show the greatest potential to help us meet the high standards you’ve come to expect. |
u | Offer a variety of innovative investment solutions. Our mutual funds — which span the domestic, international, global, frontier and emerging markets — aresub-advised by experienced money managers who employ distinctive, proprietary investment processes to manage assets through a variety of economic and market conditions. From offering some of the first multi-manager funds, one of the first retirement income funds and the first open-ended mutual fund in the U.S. to focus primarily on frontier-market debt, our robust history includes applying a disciplined, solutions-based approach to our product development process in an effort to help you grow your assets while mitigating risk. |
u | Provide a solutions-based approach to achieving long-term investment goals. We seek to provide investment solutions that might enable you to benefit from taking a more disciplined approach to investing. Our mutual funds provide access to institutional-quality, research-intensive investment managers with diverse processes and styles. Over the long run, having such access and spending time in the market — rather than trying to time the market — may better position you to reach your long-term investment goals during market upswings and potentially insulate against market downswings. |
Our management approach is more than a concept; it’s the cornerstone of American Beacon’s culture. And we strive to employ it at every turn as we seek to provide a well-diversified line of investment solutions to help our shareholders seek long-term rewards.
Thank you for your continued interest in American Beacon. For additional information about our mutual funds or to access your account information, please visit our website atwww.americanbeaconfunds.com.
Best Regards,
Gene L. Needles, Jr.
President
American Beacon Funds
1
American Beacon Bridgeway Large Cap Growth FundSM
June 30, 2019 (Unaudited)
The Investor Class of the American Beacon Bridgeway Large Cap Growth Fund (the “Fund”) returned 21.04% for the six months ended June 30, 2019, compared to the Russell 1000® Growth Index (the “Index”) return of 21.49% for the same period.
Average Annual Total Returns for the Period ended June 30, 2019 |
| |||||||||||||||||||||||||||||||
Ticker | 6 Months* | 1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||||||||||||||
Institutional Class (1,8) | BRLGX | 21.24 | % | 5.76 | % | 16.18 | % | 11.94 | % | 15.24 | % | |||||||||||||||||||||
Y Class (1,2,8) | BLYYX | 21.22 | % | 5.68 | % | 16.07 | % | 11.88 | % | 15.21 | % | |||||||||||||||||||||
Investor Class (1,3,8) | BLYPX | 21.04 | % | 5.34 | % | 15.73 | % | 11.65 | % | 15.09 | % | |||||||||||||||||||||
A without Sales Charge (1,4,8) | BLYAX | 21.06 | % | 5.36 | % | 15.75 | % | 11.68 | % | 15.11 | % | |||||||||||||||||||||
A with Sales Charge (1,4,8) | BLYAX | 14.11 | % | (0.70 | )% | 13.49 | % | 10.36 | % | 14.43 | % | |||||||||||||||||||||
C without Sales Charge (1,5,8) | BLYCX | 20.57 | % | 4.55 | % | 14.86 | % | 11.09 | % | 14.80 | % | |||||||||||||||||||||
C with Sales Charge (1,5,8) | BLYCX | 19.57 | % | 3.55 | % | 14.86 | % | 11.09 | % | 14.80 | % | |||||||||||||||||||||
R6 Class (1,6,8) | BLYRX | 21.32 | % | 5.80 | % | 16.20 | % | 11.95 | % | 15.25 | % | |||||||||||||||||||||
Russell 1000® Growth Index (7) | 21.49 | % | 11.56 | % | 18.07 | % | 13.39 | % | 16.28 | % |
* | Not Annualized. |
1. | Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is calculated based on the publishedend-of-day net asset values as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visitwww.americanbeaconfunds.com or call1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only; and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of fees charged to the Institutional Class of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than actual returns shown since inception. Please note that the recent performance of the securities market has helped produce short-term returns that are not typical and may not continue in the future. |
2. | Fund performance for the five-year andten-year periods represent the returns achieved by the Institutional Class from 6/30/09 up to 2/5/16, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 6/30/09. A portion of the fees charged to the Y Class has been waived since Class inception (February 5, 2016). Performance prior to waiving fees was lower than actual returns shown since inception. |
3. | Fund performance for the five-year andten-year periods represent the returns achieved by the Institutional Class from 6/30/09 up to 2/5/16, the inception date of the Investor Class, and the returns of the Investor Class since its inception. Expenses of the Investor Class are higher than those of the Institutional Class. Therefore, total returns shown may be higher than they would have been had the Investor Class been in existence since 6/30/09. A portion of the fees charged to the Investor Class of the Fund has been waived since Class inception (February 5, 2016). Performance prior to waiving fees was higher than actual returns shown since inception. |
4. | Fund performance for the five-year andten-year periods represent the returns achieved by the Institutional Class from 6/30/09 through 2/5/16, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/09. A portion of the fees charged to the A Class of the Fund has been waived since Class inception (February 5, 2016). Performance prior to waiving fees was lower than actual returns shown since inception. A Class shares have a maximum sales charge of 5.75%. |
5. | Fund performance for the five-year andten-year periods represent the returns achieved by the Institutional Class from 6/30/09 through 2/5/16, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/09. A portion of fees charged to the C Class of the Fund was waived from Class inception (February 5, 2016) through 2017 and was partially recovered in 2018. Performance prior to waiving fees was lower than actual returns shown through 2017. C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase. |
6. | Fund performance for the three-year, five-year andten-year periods represent the returns achieved by the Institutional Class from 6/30/09 through 4/30/18, the inception date of the R6 Class and the returns of the R6 Class since its inception. Expenses of the R6 Class are lower than the Institutional Class. As a result, total returns shown may be lower than they would have been had the R6 Class been in existence since 6/30/09. A portion of fees charged to the R6 Class of the Fund has been waived since Class inception (April 30, 2018). Performance prior to waiving fees was lower than actual returns shown since inception. |
7. | The Russell 1000® Growth Index measures the performance of thelarge-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higherprice-to-book ratios and higher forecasted growth values. The Russell 1000 Growth Index and Russell 1000 Index are registered trademarks of Frank Russell Company. Frank Russell Company (“Russell”) is the source and owner of the trademarks, service marks and copyrights |
2
American Beacon Bridgeway Large Cap Growth FundSM
Performance Overview
June 30, 2019 (Unaudited)
related to the Russell Indexes. Russell® is a trademark of Frank Russell Company. Neither Russell nor its licensors accept any liability for any errors or omissions in the Russell Indexes and/or Russell ratings or underlying data, and no party may rely on any Russell Indexes and/or Russell ratings and/or underlying data contained in this communication. No further distribution of Russell Data is permitted without Russell’s express written consent. Russell does not promote, sponsor or endorse the content of this communication. One cannot directly invest in an index. |
8. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, C and R6 Class shares were 0.93%, 0.97%, 1.20%, 1.25%, 1.95% and 4.15%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund trailed the Index due to sector allocation, whereas security selection was additive to relative returns.
From a sector allocation perspective, the Fund was overweight Health Care, the lowest performing sector in the Index. An underweight to Information Technology, the top performing sector in the Index, also negatively impacted relative performance. This was slightly offset by the Fund’s underweight to Energy, as well as an overweight to Financials.
Most of the Fund’s performance related to security selection was attributable to holdings in the Consumer Discretionary, Communication Services and Industrials sectors. In Consumer Discretionary, Lululemon Athletica, Inc. (up 48.2%) and Wayfair, Inc., Class A (up 62.1%) contributed significantly to relative performance for the period. The Fund’s absence from Index-position Tesla, Inc., which was down 32.9%, also added relative value. Within the Communication Services sector, the Fund avoided the volatility of Alphabet Inc., while positions in Netflix, Inc., The Walt Disney Co. and Charter Communications, Inc., Class A were up 37.8%, 27.4%, and 32.1%, respectively, which benefited the Fund. In Industrials, The Boeing Co. was up 14.7% and United Rentals, Inc. was up 30.1%. The Fund also avoided Index-position 3M Co., which was down 7.6%.
In contrast, security selections in the Health Care and Materials sectors detracted from performance. Within Health Care, ABIOMED, Inc. was down 20.0%, Cigna Corp. was down 19.5% and Centene Corp. was down 9.0%. In Materials, the primary detractor was Westlake Chemical Corp., which was down 5.3% for the period.
Thesub-advisor continues to invest in a broadly diversified portfolio of companies that they believe have attractive valuations and above-average earnings growth potential. This approach should allow the Fund to benefit over the longer term.
Top Ten Holdings (% Net Assets) |
| |||||||
Amazon.com, Inc. | 3.5 | |||||||
Apple, Inc. | 3.2 | |||||||
Intuit, Inc. | 3.2 | |||||||
Lululemon Athletica, Inc. | 2.7 | |||||||
Netflix, Inc. | 2.6 | |||||||
VeriSign, Inc. | 2.4 | |||||||
Walt Disney Co. | 2.3 | |||||||
Align Technology, Inc. | 2.2 | |||||||
Micron Technology, Inc. | 2.2 | |||||||
HCA Healthcare, Inc. | 2.1 | |||||||
Total Fund Holdings | 76 | |||||||
Sector Allocation (% Equities) |
| |||||||
Information Technology | 31.6 | |||||||
Consumer Discretionary | 17.7 | |||||||
Health Care | 13.6 | |||||||
Industrials | 12.0 | |||||||
Communication Services | 9.0 | |||||||
Financials | 7.6 | |||||||
Consumer Staples | 4.4 | |||||||
Real Estate | 3.0 | |||||||
Materials | 1.1 |
3
American Beacon Bridgeway Large Cap Value FundSM
Performance Overview
June 30, 2019 (Unaudited)
The Investor Class of the American Beacon Bridgeway Large Cap Value Fund (the “Fund”) returned 15.68% for the six months ended June 30, 2019, compared to the Russell 1000® Value Index (the “Index”) return of 16.24% for the same period.
Total Returns for the Period ended June 30, 2019 |
| |||||||||||||||||||||||||||||||
Ticker | 6 Months* | 1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||||||||||||||
Institutional Class (1,8) | BRLGX | 15.88 | % | 1.27 | % | 8.89 | % | 7.05 | % | 13.85 | % | |||||||||||||||||||||
Y Class (1,2,8) | BLYYX | 15.84 | % | 1.19 | % | 8.80 | % | 6.99 | % | 13.80 | % | |||||||||||||||||||||
Investor Class (1,3,8) | BLYPX | 15.68 | % | 0.95 | % | 8.52 | % | 6.71 | % | 13.58 | % | |||||||||||||||||||||
A without Sales Charge (1,4,8) | BLYAX | 15.71 | % | 0.90 | % | 8.50 | % | 6.68 | % | 13.52 | % | |||||||||||||||||||||
A with Sales Charge (1,4,8) | BLYAX | 9.04 | % | (4.89 | )% | 6.37 | % | 5.43 | % | 12.85 | % | |||||||||||||||||||||
C without Sales Charge (1,5,8) | BLYCX | 15.28 | % | 0.18 | % | 7.70 | % | 5.88 | % | 12.92 | % | |||||||||||||||||||||
C with Sales Charge (1,5,8) | BLYCX | 14.28 | % | (0.82 | )% | 7.70 | % | 5.88 | % | 12.92 | % | |||||||||||||||||||||
R6 Class (1,6,8) | BWLRX | 15.94 | % | 1.33 | % | 8.90 | % | 7.06 | % | 13.86 | % | |||||||||||||||||||||
Russell 1000® Value Index (7) | 16.24 | % | 8.46 | % | 10.19 | % | 7.46 | % | 13.19 | % |
* | Not Annualized. |
1. | Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is calculated based on the publishedend-of-day net asset values as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visitwww.americanbeaconfunds.com or call1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total returns based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. A portion of the fees charged to the Institutional Class was waived from 2008 through 2013, partially recovered in 2014 and fully recovered in 2015. Performance prior to waiving fees was lower than the actual returns shown through 2013. Please note that the recent performance of the securities market has helped produce short-term returns that are not typical and may not continue in the future. |
2. | Fund performance for theten-year period represents the returns achieved by the Institutional Class from 6/30/09 up to 2/3/12, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 6/30/09. A portion of the fees charged to the Y Class was waived in 2012, partially recovered in 2013 and fully recovered in 2014. Performance prior to waiving fees was lower than the actual returns shown for 2012. |
3. | Fund performance for theten-year period represents the returns achieved by the Institutional Class from 6/30/09 up to 2/3/12, the inception date of the Investor Class, and the returns of the Investor Class since its inception. Expenses of the Investor Class are higher than those of the Institutional Class. Therefore, total returns shown may be higher than they would have been had the Investor Class been in existence since 6/30/09. A portion of the fees charged to the Investor Class was waived in 2012 and fully recovered in 2013. Performance prior to waiving fees was lower than the actual returns shown for 2012. |
4. | Fund performance for theten-year period represents the returns achieved by the Institutional Class from 6/30/09 through 2/3/12, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/09. A portion of the fees charged to the A Class was waived in 2012 and 2013 and fully recovered in 2014. Performance prior to waiving fees was lower than the actual returns shown for 2012 and 2013. A Class shares have a maximum sales charge of 5.75%. |
5. | Fund performance for theten-year period represents the returns achieved by the Institutional Class from 6/30/09 through 2/3/12, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/09. A portion of the fees charged to the C Class was waived in 2012 and 2013 and fully recovered in 2014. Performance prior to waiving fees was lower than the actual returns shown for 2012 and 2013. C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase. |
6. | Fund performance for the three-year, five-year andten-year periods represent the returns achieved by the Institutional Class from 6/30/09 through 4/28/17, the inception date of the R6 Class, and the returns of the R6 Class since its inception. Expenses of the R6 Class are lower than the Institutional Class. As a result, total returns shown may be lower than they would have been had the R6 Class been in existence since 6/30/09. A portion of the fees charged to the R6 Class of the Fund was waived in 2017, fully recovered in 2018 and waived in 2019. Performance prior to waiving fees was lower than actual returns shown for 2017 and 2019. |
7. | The Russell 1000® Value Index is an unmanaged index of those stocks in the Russell 1000 Index with lowerprice-to-book ratios and lower forecasted growth values. The Russell 1000 Index measures the performance of the 1,000 largest U.S. companies based on total market capitalization. Russell 1000 Value Index and Russell 1000 Index are registered trademarks of the Frank Russell Company. Frank Russell Company (“Russell”) is the source and owner |
4
American Beacon Bridgeway Large Cap Value FundSM
Performance Overview
June 30, 2019 (Unaudited)
of the trademarks, service marks and copyrights related to the Russell Indexes. RussellTM is a trademark of Frank Russell Company. Neither Russell nor its licensors accept any liability for any errors or omissions in the Russell Indexes and/or Russell ratings or underlying data, and no party may rely on any Russell Indexes and/or Russell ratings and/or underlying data contained in this communication. No further distribution of Russell Data is permitted without Russell’s express written consent. Russell does not promote, sponsor or endorse the content of this communication. One cannot directly invest in an index. |
8. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, C and R6 Class shares were 0.72%, 0.79%, 1.05%, 1.07%, 1.79% and 0.70%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund trailed the Index due to stock selection, as sector allocation modestly contributed to relative returns.
Most of the Fund’s performance related to security selection was attributed to holdings in the Health Care, Consumer Staples, and Consumer Discretionary sectors. The Fund’s investments in Cigna Corp. (down 17.6%), Humana, Inc. (down 14.4%), and Amgen, Inc. (down 3.8%) were the primary drivers of underperformance in the Health Care sector. Within Consumer Staples, Walgreens Boots Alliance, Inc. was down 18.8%, while Kroger Co. was down 19.6%. In the Consumer Discretionary sector, Kohl’s Corp. was down 26.6% and Macy’s, Inc. was down 25.5% for the period.
The aforementioned performance was somewhat offset by security selection in the Financials sector. The Fund benefited from not holding Berkshire Hathaway, Inc., which ended the period up 4.4% after several months of volatility. Fund positions that performed well included Synchrony Financial and Ameriprise Financial Inc., up 49.7% and 41.6%, respectively.
The Fund’s underweight to Energy and overweight to Information Technology were additive to overall performance during the period. An underweight to Real Estate, however, detracted from relative returns. A slight overweight to Materials, one of the lowest performing sectors in the Index, also detracted from relative performance.
Thesub-advisor continues to invest in a broadly diversified portfolio of companies that they believe have attractive valuations and above-average earnings growth potential. This approach should allow the Fund to benefit over the longer term.
Top Ten Holdings (% Net Assets) |
| |||||||
HCA Healthcare, Inc. | 1.9 | |||||||
Micron Technology, Inc. | 1.8 | |||||||
Pfizer, Inc. | 1.8 | |||||||
Procter & Gamble Co. | 1.8 | |||||||
AT&T, Inc. | 1.7 | |||||||
Intel Corp. | 1.7 | |||||||
Merck & Co., Inc. | 1.6 | |||||||
Norfolk Southern Corp. | 1.6 | |||||||
American Electric Power Co., Inc. | 1.5 | |||||||
Bank of America Corp. | 1.5 | |||||||
Total Fund Holdings | 98 | |||||||
Sector Allocation (% Equities) |
| |||||||
Financials | 26.4 | |||||||
Information Technology | 12.1 | |||||||
Health Care | 10.9 | |||||||
Consumer Discretionary | 9.4 | |||||||
Industrials | 7.6 | |||||||
Consumer Staples | 7.4 | |||||||
Energy | 6.9 | |||||||
Communication Services | 6.8 | |||||||
Materials | 5.1 | |||||||
Real Estate | 4.2 | |||||||
Utilities | 3.2 |
5
American Beacon FundsSM
June 30, 2019 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees, if applicable, and (2) ongoing costs, including management fees, distribution(12b-1) fees,sub-transfer agent fees, and other Fund expenses. The Examples are intended to help you understand the ongoing cost (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Examples are based on an investment of $1,000 invested at the beginning of the period in each Class and held for the entire period from January 1, 2019 through June 30, 2019.
Actual Expenses
The “Actual” lines of the tables provide information about actual account values and actual expenses. You may use the information on this page, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders of the Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Hypothetical Example for Comparison Purposes
The “Hypothetical” lines of the tables provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in the Funds with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Investor and Institutional Classes that invest in the Funds through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Funds, such as sales charges (loads) or redemption fees, as applicable. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
6
American Beacon FundsSM
Expense Examples
June 30, 2019 (Unaudited)
American Beacon Bridgeway Large Cap Growth Fund |
| ||||||||||||||
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period 1/1/2019-6/30/2019* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,212.90 | $4.44 | ||||||||||||
Hypothetical** | $1,000.00 | $1,020.78 | $4.06 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,212.20 | $4.99 | ||||||||||||
Hypothetical** | $1,000.00 | $1,020.28 | $4.56 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,210.40 | $6.52 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.89 | $5.96 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $1,210.60 | $6.63 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.79 | $6.06 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $1,205.70 | $10.72 | ||||||||||||
Hypothetical** | $1,000.00 | $1,015.08 | $9.79 | ||||||||||||
R6 Class | |||||||||||||||
Actual | $1,000.00 | $1,213.20 | $4.17 | ||||||||||||
Hypothetical** | $1,000.00 | $1,021.03 | $3.81 |
* | Expenses are equal to the Fund’s annualized expense ratios for thesix-month period of 0.81%, 0.91%, 1.19%, 1.21%, 1.96%, and 0.76% for the Institutional, Y, Investor, A, C, and R6 Classes, respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
American Beacon Bridgeway Large Cap Value Fund |
| ||||||||||||||
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period 1/1/2019-6/30/2019* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,158.80 | $3.96 | ||||||||||||
Hypothetical** | $1,000.00 | $1,021.13 | $3.71 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,158.40 | $4.33 | ||||||||||||
Hypothetical** | $1,000.00 | $1,020.78 | $4.06 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,157.30 | $5.78 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.44 | $5.41 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $1,157.10 | $5.83 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.39 | $5.46 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $1,152.80 | $9.66 | ||||||||||||
Hypothetical** | $1,000.00 | $1,015.82 | $9.05 | ||||||||||||
R6 Class | |||||||||||||||
Actual | $1,000.00 | $1,159.40 | $3.80 | ||||||||||||
Hypothetical** | $1,000.00 | $1,021.27 | $3.56 |
* | Expenses are equal to the Fund’s annualized expense ratios for thesix-month period of 0.74%, 0.81%, 1.08%, 1.09%, 1.81%, and 0.71% for the Institutional, Y, Investor, A, C, and R6 Classes, respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
7
American Beacon Bridgeway Large Cap Growth FundSM
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 97.33% | |||||||||||||||
Communication Services - 8.75% | |||||||||||||||
Entertainment - 4.93% | |||||||||||||||
Netflix, Inc.A | 14,100 | $ | 5,179,212 | ||||||||||||
Walt Disney Co. | 32,100 | 4,482,444 | |||||||||||||
|
| ||||||||||||||
9,661,656 | |||||||||||||||
|
| ||||||||||||||
Interactive Media & Services - 1.42% | |||||||||||||||
Match Group, Inc. | 14,100 | 948,507 | |||||||||||||
TripAdvisor, Inc.A | 39,500 | 1,828,455 | |||||||||||||
|
| ||||||||||||||
2,776,962 | |||||||||||||||
|
| ||||||||||||||
Media - 2.40% | |||||||||||||||
Charter Communications, Inc., Class AA | 9,500 | 3,754,210 | |||||||||||||
Comcast Corp., Class A | 22,300 | 942,844 | |||||||||||||
|
| ||||||||||||||
4,697,054 | |||||||||||||||
|
| ||||||||||||||
Total Communication Services | 17,135,672 | ||||||||||||||
|
| ||||||||||||||
Consumer Discretionary - 17.21% | |||||||||||||||
Auto Components - 0.54% | |||||||||||||||
Lear Corp. | 7,600 | 1,058,452 | |||||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - 1.54% | |||||||||||||||
Starbucks Corp. | 36,000 | 3,017,880 | |||||||||||||
|
| ||||||||||||||
Internet & Direct Marketing Retail - 5.39% | |||||||||||||||
Amazon.com, Inc.A | 3,600 | 6,817,068 | |||||||||||||
eBay, Inc. | 50,200 | 1,982,900 | |||||||||||||
Wayfair, Inc., Class AA | 12,000 | 1,752,000 | |||||||||||||
|
| ||||||||||||||
10,551,968 | |||||||||||||||
|
| ||||||||||||||
Specialty Retail - 7.07% | |||||||||||||||
AutoZone, Inc.A | 1,700 | 1,869,099 | |||||||||||||
Best Buy Co., Inc. | 35,600 | 2,482,388 | |||||||||||||
Burlington Stores, Inc.A | 10,600 | 1,803,590 | |||||||||||||
O’Reilly Automotive, Inc.A | 10,100 | 3,730,132 | |||||||||||||
TJX Cos., Inc. | 36,000 | 1,903,680 | |||||||||||||
Tractor Supply Co. | 19,000 | 2,067,200 | |||||||||||||
|
| ||||||||||||||
13,856,089 | |||||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - 2.67% | |||||||||||||||
Lululemon Athletica, Inc.A | 29,000 | 5,226,090 | |||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | 33,710,479 | ||||||||||||||
|
| ||||||||||||||
Consumer Staples - 4.30% | |||||||||||||||
Food & Staples Retailing - 1.07% | |||||||||||||||
Costco Wholesale Corp. | 7,900 | 2,087,654 | |||||||||||||
|
| ||||||||||||||
Food Products - 1.83% | |||||||||||||||
Hershey Co. | 7,500 | 1,005,225 | |||||||||||||
McCormick & Co., Inc. | 16,700 | 2,588,667 | |||||||||||||
|
| ||||||||||||||
3,593,892 | |||||||||||||||
|
| ||||||||||||||
Household Products - 1.40% | |||||||||||||||
Church & Dwight Co., Inc. | 37,500 | 2,739,750 | |||||||||||||
|
| ||||||||||||||
Total Consumer Staples | 8,421,296 | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
8
American Beacon Bridgeway Large Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 97.33% (continued) | |||||||||||||||
Financials - 7.36% | |||||||||||||||
Capital Markets - 2.16% | |||||||||||||||
Charles Schwab Corp. | 33,300 | $ | 1,338,327 | ||||||||||||
Intercontinental Exchange, Inc. | 12,300 | 1,057,062 | |||||||||||||
S&P Global, Inc. | 8,100 | 1,845,099 | |||||||||||||
|
| ||||||||||||||
4,240,488 | |||||||||||||||
|
| ||||||||||||||
Consumer Finance - 2.75% | |||||||||||||||
Capital One Financial Corp. | 19,100 | 1,733,134 | |||||||||||||
Santander Consumer USA Holdings, Inc. | 79,000 | 1,892,840 | |||||||||||||
Synchrony Financial | 50,600 | 1,754,302 | |||||||||||||
|
| ||||||||||||||
5,380,276 | |||||||||||||||
|
| ||||||||||||||
Diversified Financial Services - 1.04% | |||||||||||||||
Berkshire Hathaway, Inc., Class BA | 9,600 | 2,046,432 | |||||||||||||
|
| ||||||||||||||
Insurance - 1.41% | |||||||||||||||
Marsh & McLennan Cos., Inc. | 17,500 | 1,745,625 | |||||||||||||
Progressive Corp. | 12,600 | 1,007,118 | |||||||||||||
|
| ||||||||||||||
2,752,743 | |||||||||||||||
|
| ||||||||||||||
Total Financials | 14,419,939 | ||||||||||||||
|
| ||||||||||||||
Health Care - 13.26% | |||||||||||||||
Biotechnology - 2.00% | |||||||||||||||
Amgen, Inc. | 9,100 | 1,676,948 | |||||||||||||
Incyte Corp.A | 26,500 | 2,251,440 | |||||||||||||
|
| ||||||||||||||
3,928,388 | |||||||||||||||
|
| ||||||||||||||
Health Care Equipment & Supplies - 3.17% | |||||||||||||||
ABIOMED, Inc.A | 7,000 | 1,823,430 | |||||||||||||
Align Technology, Inc.A | 16,000 | 4,379,200 | |||||||||||||
|
| ||||||||||||||
6,202,630 | |||||||||||||||
|
| ||||||||||||||
Health Care Providers & Services - 5.11% | |||||||||||||||
Centene Corp.A | 38,600 | 2,024,184 | |||||||||||||
HCA Healthcare, Inc. | 30,500 | 4,122,685 | |||||||||||||
UnitedHealth Group, Inc. | 15,800 | 3,855,358 | |||||||||||||
|
| ||||||||||||||
10,002,227 | |||||||||||||||
|
| ||||||||||||||
Pharmaceuticals - 2.98% | |||||||||||||||
Eli Lilly & Co. | 22,200 | 2,459,538 | |||||||||||||
Merck & Co., Inc. | 40,300 | 3,379,155 | |||||||||||||
|
| ||||||||||||||
5,838,693 | |||||||||||||||
|
| ||||||||||||||
Total Health Care | 25,971,938 | ||||||||||||||
|
| ||||||||||||||
Industrials - 11.69% | |||||||||||||||
Aerospace & Defense - 1.20% | |||||||||||||||
HEICO Corp., Class A | 22,800 | 2,356,836 | |||||||||||||
|
| ||||||||||||||
Airlines - 3.81% | |||||||||||||||
Delta Air Lines, Inc. | 50,000 | 2,837,500 | |||||||||||||
Southwest Airlines Co. | 35,000 | 1,777,300 | |||||||||||||
United Continental Holdings, Inc.A | 32,500 | 2,845,375 | |||||||||||||
|
| ||||||||||||||
7,460,175 | |||||||||||||||
|
| ||||||||||||||
Commercial Services & Supplies - 1.86% | |||||||||||||||
Waste Management, Inc. | 31,600 | 3,645,692 | |||||||||||||
|
| ||||||||||||||
See accompanying notes
9
American Beacon Bridgeway Large Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 97.33% (continued) | |||||||||||||||
Industrials - 11.69% (continued) | |||||||||||||||
Road & Rail - 3.07% | |||||||||||||||
CSX Corp. | 40,500 | $ | 3,133,485 | ||||||||||||
Union Pacific Corp. | 17,000 | 2,874,870 | |||||||||||||
|
| ||||||||||||||
6,008,355 | |||||||||||||||
|
| ||||||||||||||
Trading Companies & Distributors - 1.75% | |||||||||||||||
United Rentals, Inc.A | 13,400 | 1,777,242 | |||||||||||||
WW Grainger, Inc. | 6,200 | 1,663,026 | |||||||||||||
|
| ||||||||||||||
3,440,268 | |||||||||||||||
|
| ||||||||||||||
Total Industrials | 22,911,326 | ||||||||||||||
|
| ||||||||||||||
Information Technology - 30.75% | |||||||||||||||
Electronic Equipment, Instruments & Components - 0.86% | |||||||||||||||
Zebra Technologies Corp., Class AA | 8,000 | 1,675,920 | |||||||||||||
|
| ||||||||||||||
IT Services - 6.45% | |||||||||||||||
DXC Technology Co. | 26,500 | 1,461,475 | |||||||||||||
EPAM Systems, Inc.A | 8,400 | 1,454,040 | |||||||||||||
Fidelity National Information Services, Inc. | 17,600 | 2,159,168 | |||||||||||||
Fiserv, Inc.A | 31,700 | 2,889,772 | |||||||||||||
VeriSign, Inc.A | 22,300 | 4,664,268 | |||||||||||||
|
| ||||||||||||||
12,628,723 | |||||||||||||||
|
| ||||||||||||||
Semiconductors & Semiconductor Equipment - 6.67% | |||||||||||||||
Advanced Micro Devices, Inc.A | 90,500 | 2,748,485 | |||||||||||||
Micron Technology, Inc.A | 110,900 | 4,279,631 | |||||||||||||
NVIDIA Corp. | 21,600 | 3,547,368 | |||||||||||||
Xilinx, Inc. | 21,200 | 2,499,904 | |||||||||||||
|
| ||||||||||||||
13,075,388 | |||||||||||||||
|
| ||||||||||||||
Software - 12.35% | |||||||||||||||
Cadence Design Systems, Inc.A | 48,400 | 3,427,204 | |||||||||||||
Fortinet, Inc.A | 21,300 | 1,636,479 | |||||||||||||
Intuit, Inc. | 23,700 | 6,193,521 | |||||||||||||
Microsoft Corp. | 14,200 | 1,902,232 | |||||||||||||
Paycom Software, Inc.A | 8,700 | 1,972,464 | |||||||||||||
RingCentral, Inc., Class AA | 7,700 | 884,884 | |||||||||||||
ServiceNow, Inc.A | 8,000 | 2,196,560 | |||||||||||||
Tableau Software, Inc., Class AA | 14,900 | 2,473,698 | |||||||||||||
VMware, Inc., Class A | 9,500 | 1,588,495 | |||||||||||||
Zendesk, Inc.A | 21,600 | 1,923,048 | |||||||||||||
|
| ||||||||||||||
24,198,585 | |||||||||||||||
|
| ||||||||||||||
Technology Hardware, Storage & Peripherals - 4.42% | |||||||||||||||
Apple, Inc. | 31,600 | 6,254,272 | |||||||||||||
Dell Technologies, Inc., Class CA | 47,253 | 2,400,453 | |||||||||||||
|
| ||||||||||||||
8,654,725 | |||||||||||||||
|
| ||||||||||||||
Total Information Technology | 60,233,341 | ||||||||||||||
|
| ||||||||||||||
Materials - 1.06% | |||||||||||||||
Chemicals - 0.56% | |||||||||||||||
Westlake Chemical Corp. | 15,800 | 1,097,468 | |||||||||||||
|
| ||||||||||||||
See accompanying notes
10
American Beacon Bridgeway Large Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 97.33% (continued) | |||||||||||||||
Materials - 1.06% (continued) | |||||||||||||||
Containers & Packaging - 0.50% | |||||||||||||||
Packaging Corp. of America | 10,200 | $ | 972,264 | ||||||||||||
|
| ||||||||||||||
Total Materials | 2,069,732 | ||||||||||||||
|
| ||||||||||||||
Real Estate - 2.95% | |||||||||||||||
Equity Real Estate Investment Trusts (REITs) - 2.95% | |||||||||||||||
Alexandria Real Estate Equities, Inc. | 14,300 | 2,017,587 | |||||||||||||
Equity LifeStyle Properties, Inc. | 15,100 | 1,832,234 | |||||||||||||
Lamar Advertising Co., Class A | 24,000 | 1,937,040 | |||||||||||||
|
| ||||||||||||||
5,786,861 | |||||||||||||||
|
| ||||||||||||||
Total Real Estate | 5,786,861 | ||||||||||||||
|
| ||||||||||||||
Total Common Stocks (Cost $153,119,376) | 190,660,584 | ||||||||||||||
|
| ||||||||||||||
SHORT-TERM INVESTMENTS - 1.25% (Cost $2,445,492) | |||||||||||||||
Investment Companies - 1.25% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 2.32%B C | 2,445,492 | 2,445,492 | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 98.58% (Cost $155,564,868) | 193,106,076 | ||||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 1.42% | 2,780,849 | ||||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 195,886,925 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
ANon-income producing security.
B The Fund is affiliated by having the same investment advisor.
C7-day yield.
Long Futures Contracts Open on June 30, 2019: |
| |||||||||||||||
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
S&P 500E-Mini Index Futures | 16 | September 2019 | $ | 2,316,861 | $ | 2,355,360 | $ | 38,499 | ||||||||
|
|
|
|
|
| |||||||||||
$ | 2,316,861 | $ | 2,355,360 | $ | 38,499 | |||||||||||
|
|
|
|
|
|
Index Abbreviations: | ||
S&P 500 | Standard & Poor’s U.S. EquityLarge-Cap Index. |
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of June 30, 2019, the investments were classified as described below:
Bridgeway Large Cap Growth Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets |
| |||||||||||||||||||||||||||
Common Stocks | $ | 190,660,584 | $ | - | $ | - | $ | 190,660,584 | ||||||||||||||||||||
Short-Term Investments | 2,445,492 | - | - | 2,445,492 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 193,106,076 | $ | - | $ | - | $ | 193,106,076 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||||||
Futures Contracts | $ | 38,499 | $ | - | $ | - | $ | 38,499 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Assets | $ | 38,499 | $ | - | $ | - | $ | 38,499 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires transfers between all levels to/from level 3 be disclosed. During the period ended June 30, 2019, there were no transfers into or out of Level 3.
See accompanying notes
11
American Beacon Bridgeway Large Cap Value FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 99.11% | |||||||||||||||
Communication Services - 6.74% | |||||||||||||||
Diversified Telecommunication Services - 2.54% | |||||||||||||||
AT&T, Inc. | 2,154,000 | $ | 72,180,540 | ||||||||||||
CenturyLink, Inc. | 2,979,300 | 35,036,568 | |||||||||||||
|
| ||||||||||||||
107,217,108 | |||||||||||||||
|
| ||||||||||||||
Entertainment - 1.32% | |||||||||||||||
Walt Disney Co. | 400,000 | 55,856,000 | |||||||||||||
|
| ||||||||||||||
Media - 2.88% | |||||||||||||||
Charter Communications, Inc., Class AA | 51,800 | 20,470,324 | |||||||||||||
Comcast Corp., Class A | 1,098,900 | 46,461,492 | |||||||||||||
DISH Network Corp., Class AA | 1,121,300 | 43,069,133 | |||||||||||||
Liberty Broadband Corp., Class CA | 115,122 | 11,998,015 | |||||||||||||
|
| ||||||||||||||
121,998,964 | |||||||||||||||
|
| ||||||||||||||
Total Communication Services | 285,072,072 | ||||||||||||||
|
| ||||||||||||||
Consumer Discretionary - 9.25% | |||||||||||||||
Auto Components - 1.00% | |||||||||||||||
Lear Corp. | 304,700 | 42,435,569 | |||||||||||||
|
| ||||||||||||||
Automobiles - 1.61% | |||||||||||||||
Ford Motor Co. | 2,102,840 | 21,512,053 | |||||||||||||
General Motors Co. | 1,204,980 | 46,427,880 | |||||||||||||
|
| ||||||||||||||
67,939,933 | |||||||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - 1.46% | |||||||||||||||
McDonald’s Corp. | 207,900 | 43,172,514 | |||||||||||||
Yum! Brands, Inc. | 168,600 | 18,658,962 | |||||||||||||
|
| ||||||||||||||
61,831,476 | |||||||||||||||
|
| ||||||||||||||
Household Durables - 0.76% | |||||||||||||||
PulteGroup, Inc. | 1,019,300 | 32,230,266 | |||||||||||||
|
| ||||||||||||||
Internet & Direct Marketing Retail - 0.56% | |||||||||||||||
eBay, Inc. | 597,200 | 23,589,400 | |||||||||||||
|
| ||||||||||||||
Multiline Retail - 1.49% | |||||||||||||||
Kohl’s Corp. | 695,200 | 33,056,760 | |||||||||||||
Macy’s, Inc. | 1,400,400 | 30,052,584 | |||||||||||||
|
| ||||||||||||||
63,109,344 | |||||||||||||||
|
| ||||||||||||||
Specialty Retail - 1.91% | |||||||||||||||
AutoZone, Inc.A | 37,000 | 40,680,390 | |||||||||||||
Best Buy Co., Inc. | 578,000 | 40,303,940 | |||||||||||||
|
| ||||||||||||||
80,984,330 | |||||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - 0.46% | |||||||||||||||
Capri Holdings Ltd.A | 555,600 | 19,268,208 | |||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | 391,388,526 | ||||||||||||||
|
| ||||||||||||||
Consumer Staples - 7.34% | |||||||||||||||
Food & Staples Retailing - 1.62% | |||||||||||||||
Kroger Co. | 1,148,000 | 24,923,080 | |||||||||||||
Walgreens Boots Alliance, Inc. | 796,100 | 43,522,787 | |||||||||||||
|
| ||||||||||||||
68,445,867 | |||||||||||||||
|
| ||||||||||||||
See accompanying notes
12
American Beacon Bridgeway Large Cap Value FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 99.11% (continued) | |||||||||||||||
Consumer Staples - 7.34% (continued) | |||||||||||||||
Food Products - 2.82% | |||||||||||||||
Hershey Co. | 275,100 | $ | 36,871,653 | ||||||||||||
McCormick & Co., Inc. | 337,200 | 52,269,372 | |||||||||||||
Tyson Foods, Inc., Class A | 375,400 | 30,309,796 | |||||||||||||
|
| ||||||||||||||
119,450,821 | |||||||||||||||
|
| ||||||||||||||
Household Products - 2.90% | |||||||||||||||
Church & Dwight Co., Inc. | 628,500 | 45,918,210 | |||||||||||||
Procter & Gamble Co. | 698,900 | 76,634,385 | |||||||||||||
|
| ||||||||||||||
122,552,595 | |||||||||||||||
|
| ||||||||||||||
Total Consumer Staples | 310,449,283 | ||||||||||||||
|
| ||||||||||||||
Energy - 6.86% | |||||||||||||||
Oil, Gas & Consumable Fuels - 6.86% | |||||||||||||||
Anadarko Petroleum Corp. | 773,700 | 54,592,272 | |||||||||||||
ConocoPhillips | 988,700 | 60,310,700 | |||||||||||||
Devon Energy Corp. | 962,400 | 27,447,648 | |||||||||||||
HollyFrontier Corp. | 729,700 | 33,770,516 | |||||||||||||
Marathon Petroleum Corp. | 1,100,800 | 61,512,704 | |||||||||||||
Phillips 66 | 560,000 | 52,382,400 | |||||||||||||
|
| ||||||||||||||
290,016,240 | |||||||||||||||
|
| ||||||||||||||
Total Energy | 290,016,240 | ||||||||||||||
|
| ||||||||||||||
Financials - 26.19% | |||||||||||||||
Banks - 5.82% | |||||||||||||||
Bank of America Corp. | 2,235,800 | 64,838,200 | |||||||||||||
Citigroup, Inc. | 841,500 | 58,930,245 | |||||||||||||
Fifth Third Bancorp | 1,852,100 | 51,673,590 | |||||||||||||
Regions Financial Corp. | 3,100,900 | 46,327,446 | |||||||||||||
SunTrust Banks, Inc. | 389,800 | 24,498,930 | |||||||||||||
|
| ||||||||||||||
246,268,411 | |||||||||||||||
|
| ||||||||||||||
Capital Markets - 3.99% | |||||||||||||||
Ameriprise Financial, Inc. | 314,600 | 45,667,336 | |||||||||||||
Franklin Resources, Inc. | 1,340,800 | 46,659,840 | |||||||||||||
Intercontinental Exchange, Inc. | 300,000 | 25,782,000 | |||||||||||||
Morgan Stanley | 1,156,400 | 50,661,884 | |||||||||||||
|
| ||||||||||||||
168,771,060 | |||||||||||||||
|
| ||||||||||||||
Consumer Finance - 5.93% | |||||||||||||||
Ally Financial, Inc. | 1,144,100 | 35,455,659 | |||||||||||||
American Express Co. | 370,600 | 45,746,864 | |||||||||||||
Capital One Financial Corp. | 618,600 | 56,131,764 | |||||||||||||
Discover Financial Services | 715,836 | 55,541,715 | |||||||||||||
Synchrony Financial | 1,671,700 | 57,957,839 | |||||||||||||
|
| ||||||||||||||
250,833,841 | |||||||||||||||
|
| ||||||||||||||
Diversified Financial Services - 1.13% | |||||||||||||||
Voya Financial, Inc. | 864,500 | 47,806,850 | |||||||||||||
|
| ||||||||||||||
Insurance - 9.32% | |||||||||||||||
Aflac, Inc. | 754,300 | 41,343,183 | |||||||||||||
Allstate Corp. | 476,800 | 48,485,792 | |||||||||||||
American Financial Group, Inc. | 258,800 | 26,519,236 |
See accompanying notes
13
American Beacon Bridgeway Large Cap Value FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 99.11% (continued) | |||||||||||||||
Financials - 26.19% (continued) | |||||||||||||||
Insurance - 9.32% (continued) | |||||||||||||||
Loews Corp. | 706,200 | $ | 38,607,954 | ||||||||||||
MetLife, Inc. | 545,300 | 27,085,051 | |||||||||||||
Principal Financial Group, Inc. | 848,000 | 49,116,160 | |||||||||||||
Prudential Financial, Inc. | 476,900 | 48,166,900 | |||||||||||||
Reinsurance Group of America, Inc. | 211,200 | 32,953,536 | |||||||||||||
Travelers Cos., Inc. | 385,100 | 57,580,152 | |||||||||||||
Unum Group | 729,900 | 24,488,145 | |||||||||||||
|
| ||||||||||||||
394,346,109 | |||||||||||||||
|
| ||||||||||||||
Total Financials | 1,108,026,271 | ||||||||||||||
|
| ||||||||||||||
Health Care - 10.82% | |||||||||||||||
Biotechnology - 2.19% | |||||||||||||||
Amgen, Inc. | 272,400 | 50,197,872 | |||||||||||||
Biogen, Inc.A | 181,400 | 42,424,018 | |||||||||||||
|
| ||||||||||||||
92,621,890 | |||||||||||||||
|
| ||||||||||||||
Health Care Equipment & Supplies - 0.80% | |||||||||||||||
Boston Scientific Corp.A | 783,500 | 33,674,830 | |||||||||||||
|
| ||||||||||||||
Health Care Providers & Services - 1.94% | |||||||||||||||
HCA Healthcare, Inc. | 608,300 | 82,223,911 | |||||||||||||
|
| ||||||||||||||
Life Sciences Tools & Services - 0.44% | |||||||||||||||
Waters Corp.A | 87,300 | 18,790,452 | |||||||||||||
|
| ||||||||||||||
Pharmaceuticals - 5.45% | |||||||||||||||
Eli Lilly & Co. | 400,000 | 44,316,000 | |||||||||||||
Jazz Pharmaceuticals PLCA | 321,000 | 45,761,760 | |||||||||||||
Merck & Co., Inc. | 787,000 | 65,989,950 | |||||||||||||
Pfizer, Inc. | 1,722,200 | 74,605,704 | |||||||||||||
|
| ||||||||||||||
230,673,414 | |||||||||||||||
|
| ||||||||||||||
Total Health Care | 457,984,497 | ||||||||||||||
|
| ||||||||||||||
Industrials - 7.56% | |||||||||||||||
Airlines - 2.15% | |||||||||||||||
American Airlines Group, Inc. | 811,852 | 26,474,494 | |||||||||||||
Delta Air Lines, Inc. | 369,100 | 20,946,425 | |||||||||||||
United Continental Holdings, Inc.A | 497,800 | 43,582,390 | |||||||||||||
|
| ||||||||||||||
91,003,309 | |||||||||||||||
|
| ||||||||||||||
Commercial Services & Supplies - 2.47% | |||||||||||||||
Republic Services, Inc. | 723,100 | 62,649,384 | |||||||||||||
Waste Management, Inc. | 362,300 | 41,798,551 | |||||||||||||
|
| ||||||||||||||
104,447,935 | |||||||||||||||
|
| ||||||||||||||
Road & Rail - 2.94% | |||||||||||||||
Norfolk Southern Corp. | 344,700 | 68,709,051 | |||||||||||||
Union Pacific Corp. | 329,900 | 55,789,389 | |||||||||||||
|
| ||||||||||||||
124,498,440 | |||||||||||||||
|
| ||||||||||||||
Total Industrials | 319,949,684 | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
14
American Beacon Bridgeway Large Cap Value FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 99.11% (continued) | |||||||||||||||
Information Technology - 11.96% | |||||||||||||||
Communications Equipment - 1.31% | |||||||||||||||
Cisco Systems, Inc. | 602,400 | $ | 32,969,352 | ||||||||||||
Juniper Networks, Inc. | 838,800 | 22,337,244 | |||||||||||||
|
| ||||||||||||||
55,306,596 | |||||||||||||||
|
| ||||||||||||||
Electronic Equipment, Instruments & Components - 1.46% | |||||||||||||||
Corning, Inc. | 1,857,800 | 61,734,694 | |||||||||||||
|
| ||||||||||||||
IT Services - 1.99% | |||||||||||||||
Amdocs Ltd. | 712,600 | 44,245,334 | |||||||||||||
DXC Technology Co. | 349,300 | 19,263,895 | |||||||||||||
Fidelity National Information Services, Inc. | 167,900 | 20,597,972 | |||||||||||||
|
| ||||||||||||||
84,107,201 | |||||||||||||||
|
| ||||||||||||||
Semiconductors & Semiconductor Equipment - 4.75% | |||||||||||||||
Intel Corp. | 1,516,200 | 72,580,494 | |||||||||||||
Micron Technology, Inc.A | 1,991,500 | 76,851,985 | |||||||||||||
QUALCOMM, Inc. | 681,300 | 51,826,491 | |||||||||||||
|
| ||||||||||||||
201,258,970 | |||||||||||||||
|
| ||||||||||||||
Software - 0.86% | |||||||||||||||
Oracle Corp. | 637,900 | 36,341,163 | |||||||||||||
|
| ||||||||||||||
Technology Hardware, Storage & Peripherals - 1.59% | |||||||||||||||
Hewlett Packard Enterprise Co. | 1,924,900 | 28,777,255 | |||||||||||||
Western Digital Corp. | 807,000 | 38,372,850 | |||||||||||||
|
| ||||||||||||||
67,150,105 | |||||||||||||||
|
| ||||||||||||||
Total Information Technology | 505,898,729 | ||||||||||||||
|
| ||||||||||||||
Materials - 5.08% | |||||||||||||||
Chemicals - 3.43% | |||||||||||||||
Air Products & Chemicals, Inc. | 267,500 | 60,553,975 | |||||||||||||
LyondellBasell Industries N.V., Class A | 689,300 | 59,369,409 | |||||||||||||
Westlake Chemical Corp. | 363,600 | 25,255,656 | |||||||||||||
|
| ||||||||||||||
145,179,040 | |||||||||||||||
|
| ||||||||||||||
Containers & Packaging - 0.63% | |||||||||||||||
Ball Corp. | 381,600 | 26,708,184 | |||||||||||||
|
| ||||||||||||||
Metals & Mining - 1.02% | |||||||||||||||
Freeport-McMoRan, Inc. | 3,721,200 | 43,203,132 | |||||||||||||
|
| ||||||||||||||
Total Materials | 215,090,356 | ||||||||||||||
|
| ||||||||||||||
Real Estate - 4.12% | |||||||||||||||
Equity Real Estate Investment Trusts (REITs) - 4.12% | |||||||||||||||
Alexandria Real Estate Equities, Inc. | 400,500 | 56,506,545 | |||||||||||||
Prologis, Inc. | 594,800 | 47,643,480 | |||||||||||||
Realty Income Corp. | 586,700 | 40,464,699 | |||||||||||||
Sun Communities, Inc. | 232,500 | 29,804,175 | |||||||||||||
|
| ||||||||||||||
174,418,899 | |||||||||||||||
|
| ||||||||||||||
Total Real Estate | 174,418,899 | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
15
American Beacon Bridgeway Large Cap Value FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 99.11% (continued) | |||||||||||||||
Utilities - 3.19% | |||||||||||||||
Electric Utilities - 1.53% | |||||||||||||||
American Electric Power Co., Inc. | 732,800 | $ | 64,493,728 | ||||||||||||
|
| ||||||||||||||
Independent Power & Renewable Electricity Producers - 0.25% | |||||||||||||||
AES Corp. | 641,400 | 10,749,864 | |||||||||||||
|
| ||||||||||||||
Multi-Utilities - 1.41% | |||||||||||||||
Ameren Corp. | 244,000 | 18,326,840 | |||||||||||||
CenterPoint Energy, Inc. | 1,442,200 | 41,290,186 | |||||||||||||
|
| ||||||||||||||
59,617,026 | |||||||||||||||
|
| ||||||||||||||
Total Utilities | 134,860,618 | ||||||||||||||
|
| ||||||||||||||
Total Common Stocks (Cost $3,751,735,886) | 4,193,155,175 | ||||||||||||||
|
| ||||||||||||||
SHORT-TERM INVESTMENTS - 0.82% (Cost $34,813,449) | |||||||||||||||
Investment Companies - 0.82% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 2.32%B C | 34,813,449 | 34,813,449 | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 99.93% (Cost $3,786,549,335) | 4,227,968,624 | ||||||||||||||
OTHER ASSETS, NET OF LIABILITIES - 0.07% | 3,060,474 | ||||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 4,231,029,098 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
ANon-income producing security.
B The Fund is affiliated by having the same investment advisor.
C7-day yield.
PLC - Public Limited Company.
Long Futures Contracts Open on June 30, 2019: |
| |||||||||||||||
Equity Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||
S&P 500E-Mini Index Futures | 211 | September 2019 | $ | 31,117,664 | $ | 31,061,310 | $ | (56,354 | ) | |||||||
|
|
|
|
|
| |||||||||||
$ | 31,117,664 | $ | 31,061,310 | $ | (56,354 | ) | ||||||||||
|
|
|
|
|
|
Index Abbreviations: | ||||||||||
S&P 500 | Standard & Poor’s U.S. EquityLarge-Cap Index. |
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of June 30, 2019, the investments were classified as described below:
Bridgeway Large Cap Value Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Common Stocks | $ | 4,193,155,175 | $ | - | $ | - | $ | 4,193,155,175 | ||||||||||||||||||||
Short-Term Investments | 34,813,449 | - | - | 34,813,449 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 4,227,968,624 | $ | - | $ | - | $ | 4,227,968,624 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||||||
Futures Contracts | $ | (56,354 | ) | $ | - | $ | - | $ | (56,354 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Financial Derivative Instruments - Liabilities | $ | (56,354 | ) | $ | - | $ | - | $ | (56,354 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires transfers between all levels to/from level 3 be disclosed. During the period ended June 30, 2019, there were no transfers into or out of Level 3.
See accompanying notes
16
American Beacon FundsSM
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Bridgeway Large Cap Growth Fund | Bridgeway Large Cap Value Fund | |||||||||||
Assets: | ||||||||||||
Investments in unaffiliated securities, at fair value† | $ | 190,660,584 | $ | 4,193,155,175 | ||||||||
Investments in affiliated securities, at fair value‡ | 2,445,492 | 34,813,449 | ||||||||||
Dividends and interest receivable | 84,024 | 5,098,117 | ||||||||||
Deposits with broker for futures contracts | 72,905 | 1,577,952 | ||||||||||
Receivable for investments sold | 5,063,209 | 19,542,329 | ||||||||||
Receivable for fund shares sold | 105,254 | 4,570,680 | ||||||||||
Receivable for expense reimbursement (Note 2) | 147,931 | 6,542 | ||||||||||
Receivable for variation margin on open futures contracts (Note 5) | 38,555 | – | ||||||||||
Prepaid expenses | 51,302 | 168,979 | ||||||||||
|
|
|
| |||||||||
Total assets | 198,669,256 | 4,258,933,223 | ||||||||||
|
|
|
| |||||||||
Liabilities: |
| |||||||||||
Payable for investments purchased | 2,418,453 | 20,337,025 | ||||||||||
Payable for fund shares redeemed | 163,367 | 4,319,224 | ||||||||||
Cash due to broker | – | 32 | ||||||||||
Management andsub-advisory fees payable (Note 2) | 69,503 | 2,167,223 | ||||||||||
Service fees payable (Note 2) | 1,229 | 308,768 | ||||||||||
Transfer agent fees payable (Note 2) | 15,614 | 186,530 | ||||||||||
Custody and fund accounting fees payable | 7,711 | 94,713 | ||||||||||
Professional fees payable | 46,730 | 17,417 | ||||||||||
Trustee fees payable (Note 2) | 18,975 | 356,006 | ||||||||||
Payable for prospectus and shareholder reports | 2,428 | 42,037 | ||||||||||
Payable for variation margin from open futures contracts (Note 5) | – | 55,866 | ||||||||||
Other liabilities | 38,321 | 19,284 | ||||||||||
|
|
|
| |||||||||
Total liabilities | 2,782,331 | 27,904,125 | ||||||||||
|
|
|
| |||||||||
Net assets | $ | 195,886,925 | $ | 4,231,029,098 | ||||||||
|
|
|
| |||||||||
Analysis of net assets: | ||||||||||||
Paid-in-capital | $ | 144,466,356 | $ | 3,791,806,379 | ||||||||
Total distributable earnings (deficits)A | 51,420,569 | 439,222,719 | ||||||||||
|
|
|
| |||||||||
Net assets | $ | 195,886,925 | $ | 4,231,029,098 | ||||||||
|
|
|
| |||||||||
Shares outstanding at no par value (unlimited shares authorized): | ||||||||||||
Institutional Class | 3,840,779 | 57,818,867 | ||||||||||
|
|
|
| |||||||||
Y Class | 91,504 | 56,229,814 | ||||||||||
|
|
|
| |||||||||
Investor Class | 2,383,905 | 34,787,334 | ||||||||||
|
|
|
| |||||||||
A Class | 62,385 | 2,785,726 | ||||||||||
|
|
|
| |||||||||
C Class | 36,253 | 2,765,890 | ||||||||||
|
|
|
| |||||||||
R6 Class | 3,597 | 7,638,776 | ||||||||||
|
|
|
| |||||||||
Net assets: | ||||||||||||
Institutional Class | $ | 117,731,193 | $ | 1,514,895,472 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 2,796,263 | $ | 1,468,435,275 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 72,278,891 | $ | 905,740,992 | ||||||||
|
|
|
| |||||||||
A Class | $ | 1,897,019 | $ | 72,227,502 | ||||||||
|
|
|
| |||||||||
C Class | $ | 1,073,234 | $ | 69,702,791 | ||||||||
|
|
|
| |||||||||
R6 Class | $ | 110,325 | $ | 200,027,066 | ||||||||
|
|
|
| |||||||||
Net asset value, offering and redemption price per share: | ||||||||||||
Institutional Class | $ | 30.65 | $ | 26.20 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 30.56 | $ | 26.11 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 30.32 | $ | 26.04 | ||||||||
|
|
|
| |||||||||
A Class | $ | 30.41 | $ | 25.93 | ||||||||
|
|
|
| |||||||||
A Class (offering price) | $ | 32.27 | $ | 27.51 | ||||||||
|
|
|
| |||||||||
C Class | $ | 29.60 | $ | 25.20 | ||||||||
|
|
|
| |||||||||
R6 Class | $ | 30.67 | $ | 26.19 | ||||||||
|
|
|
| |||||||||
† Cost of investments in unaffiliated securities | $ | 153,119,376 | $ | 3,751,735,886 | ||||||||
‡ Cost of investments in affiliated securities | $ | 2,445,492 | $ | 34,813,449 | ||||||||
A The Fund’s investments in affiliated securities did not have unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
17
American Beacon FundsSM
Statements of Operations
For the period ended June 30, 2019 (Unaudited)
Bridgeway Large Cap Growth Fund | Bridgeway Large Cap Value Fund | |||||||||||
Investment income: | ||||||||||||
Dividend income from unaffiliated securities | $ | 1,089,443 | $ | 53,129,019 | ||||||||
Dividend income from affiliated securities (Note 8) | 42,963 | 537,297 | ||||||||||
Interest income | 454 | 12,255 | ||||||||||
Income derived from securities lending (Note 9) | 12,198 | 214,279 | ||||||||||
|
|
|
| |||||||||
Total investment income | 1,145,058 | 53,892,850 | ||||||||||
|
|
|
| |||||||||
Expenses: | ||||||||||||
Management andsub-advisory fees (Note 2) | 749,223 | 14,064,310 | ||||||||||
Transfer agent fees: | ||||||||||||
Institutional Class (Note 2) | 37,107 | 207,679 | ||||||||||
Y Class (Note 2) | 1,303 | 737,028 | ||||||||||
Investor Class | 3,711 | 17,683 | ||||||||||
A Class | 54 | 4,200 | ||||||||||
C Class | 10 | 4,533 | ||||||||||
R6 Class | 548 | 2,010 | ||||||||||
Custody and fund accounting fees | 23,272 | 225,898 | ||||||||||
Professional fees | 19,962 | 115,656 | ||||||||||
Registration fees and expenses | 55,535 | 99,479 | ||||||||||
Service fees (Note 2): | ||||||||||||
Investor Class | 125,409 | 1,653,743 | ||||||||||
A Class | 1,228 | 48,564 | ||||||||||
C Class | 415 | 32,627 | ||||||||||
Distribution fees (Note 2): | ||||||||||||
A Class | 2,340 | 99,541 | ||||||||||
C Class | 4,907 | 374,965 | ||||||||||
Prospectus and shareholder report expenses | 9,469 | 126,017 | ||||||||||
Trustee fees (Note 2) | 27,536 | 531,727 | ||||||||||
Other expenses | 18,362 | 133,868 | ||||||||||
|
|
|
| |||||||||
Total expenses | 1,080,391 | 18,479,528 | ||||||||||
|
|
|
| |||||||||
Net fees waived and expenses (reimbursed) (Note 2) | (104,744 | ) | (4,871 | ) | ||||||||
|
|
|
| |||||||||
Net expenses | 975,647 | 18,474,657 | ||||||||||
|
|
|
| |||||||||
Net investment income | 169,411 | 35,418,193 | ||||||||||
|
|
|
| |||||||||
Realized and unrealized gain (loss) from investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in unaffiliated securitiesA | 13,723,098 | (9,673,695 | ) | |||||||||
Futures contracts | 721,944 | 9,330,130 | ||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in unaffiliated securitiesB | 28,420,177 | 600,646,852 | ||||||||||
Futures contracts | (11,142 | ) | (1,056,124 | ) | ||||||||
|
|
|
| |||||||||
Net gain from investments | 42,854,077 | 599,247,163 | ||||||||||
|
|
|
| |||||||||
Net increase in net assets resulting from operations | $ | 43,023,488 | $ | 634,665,356 | ||||||||
|
|
|
| |||||||||
A The Fund did not recognize net realized gains (losses) from the sale of investments in affiliated securities. |
| |||||||||||
B The Fund’s investments in affiliated securities did not have a change in unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
18
American Beacon FundsSM
Statements of Changes in Net Assets
Bridgeway Large Cap Growth Fund | Bridgeway Large Cap Value Fund | |||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||
Net investment income | $ | 169,411 | $ | 705,556 | $ | 35,418,193 | $ | 74,081,875 | ||||||||||||||||||||
Net realized gain (loss) from investments in unaffiliated securities and futures contracts | 14,445,042 | 15,861,210 | (343,565 | ) | 169,733,284 | |||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments in unaffiliated securities and futures contracts | 28,409,035 | (29,789,870 | ) | 599,590,728 | (926,602,905 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 43,023,488 | (13,223,104 | ) | 634,665,356 | (682,787,746 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||||||||
Total retained earnings: | ||||||||||||||||||||||||||||
Institutional Class | – | (15,182,919 | ) | – | (126,509,744 | ) | ||||||||||||||||||||||
Y Class | – | (222,964 | ) | – | (134,207,073 | ) | ||||||||||||||||||||||
Investor Class | – | (6,341,212 | ) | – | (75,566,771 | ) | ||||||||||||||||||||||
A Class | – | (162,842 | ) | – | (6,632,802 | ) | ||||||||||||||||||||||
C Class | – | (64,536 | ) | – | (6,082,752 | ) | ||||||||||||||||||||||
R6 ClassA | – | (8,892 | ) | – | (12,669,411 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net distributions to shareholders | – | (21,983,365 | ) | – | (361,668,553 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Capital share transactions (Note 11): | ||||||||||||||||||||||||||||
Proceeds from sales of shares | 7,395,655 | 51,470,483 | 571,978,872 | 1,693,099,714 | ||||||||||||||||||||||||
Reinvestment of dividends and distributions | – | 21,667,625 | – | 346,742,403 | ||||||||||||||||||||||||
Cost of shares redeemed | (76,461,094 | ) | (72,750,374 | ) | (1,109,445,946 | ) | (1,634,032,413 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets from capital share transactions | (69,065,439 | ) | 387,734 | (537,467,074 | ) | 405,809,704 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets | (26,041,951 | ) | (34,818,735 | ) | 97,198,282 | (638,646,595 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||
Beginning of period | 221,928,876 | 256,747,611 | 4,133,830,816 | 4,772,477,411 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
End of period | $ | 195,886,925 | $ | 221,928,876 | $ | 4,231,029,098 | $ | 4,133,830,816 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class commenced operations April 30, 2018 in the Bridgeway Large Cap Growth Fund (Note 1). |
|
See accompanying notes
19
American Beacon FundsSM
June 30, 2019 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) is organized as a Massachusetts business trust. The Funds, each a series within the Trust, are registered under the Investment Company Act of 1940, as amended (the “Act”), as diversified,open-end management investment companies. As of June 30, 2019, the Trust consists of thirty-three active series, two of which are presented in this filing: American Beacon Bridgeway Large Cap Growth Fund and American Beacon Bridgeway Large Cap Value Fund (collectively, the “Funds” and each individually a “Fund”). The remainingthirty-one active series are reported in separate filings.
American Beacon Advisors, Inc. (the “Manager”) is a Delaware corporation and a wholly-owned subsidiary of Resolute Investment Managers, Inc. (“RIM”) organized in 1986 to provide business management, advisory, administrative, and asset management consulting services to the Trust and other investors. The Manager is registered as an investment advisor under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). RIM is, in turn, a wholly-owned subsidiary of Resolute Acquisition, Inc., which is a wholly-owned subsidiary of Resolute Topco, Inc., a wholly-owned subsidiary of Resolute Investment Holdings, LLC (“RIH”). RIH is owned primarily by Kelso Investment Associates VIII, L.P., KEP VI, LLC and Estancia Capital Partners L.P., investment funds affiliated with Kelso & Company, L.P. (“Kelso”) or Estancia Capital Management, LLC (“Estancia”), which are private equity firms.
Recently Adopted Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”)2017-08,Premium Amortization of Purchased Callable Debt Securities. The amendments in the ASU shorten the premium amortization period on a purchased callable debt security from the security’s contractual life to the earliest call date. It is anticipated that this change will enhance disclosures by reducing losses recognized when a security is called on an earlier date. This ASU is effective for fiscal years beginning after December 15, 2018. The Manager continues to evaluate the impact this ASU will have on the financial statements and other disclosures.
In August 2018, the FASB issued ASU2018-13,Fair Value Measurement (“Topic 820”). The amendments in the ASU impact disclosure requirements for fair value measurement. It is anticipated that this change will enhance the effectiveness of disclosures in the notes to the financial statements. This ASU is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted and can include the entire standard or certain provisions that exclude or amend disclosures. For the period ended June 30, 2019, the Funds have chosen to adopt the standard. The adoption of this ASU guidance did not have a material impact on the financial statements and other disclosures.
Class Disclosure
Each Fund has multiple classes of shares designed to meet the needs of different groups of investors; however, not all of the Funds offer all classes. The following table sets forth the differences amongst the classes:
Class | Eligible Investors | Minimum Initial Investments | ||||
Institutional | Large institutional investors - sold directly or through intermediary channels. | $ | 250,000 | |||
Y Class | Large institutional retirement plan investors - sold directly or through intermediary channels. | $ | 100,000 | |||
Investor | All investors using intermediary organizations, such as broker-dealers or retirement plan sponsors. | $ | 2,500 | |||
A Class | All investors who invest through intermediary organizations, such as broker-dealers or third party administrator. Retail investors who invest directly through a financial intermediary such as a broker, bank, or registered investment advisor which may include afront-end sales charge and a contingent deferred sales charge (“CDSC”). | $ | 2,500 |
20
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Class | Eligible Investors | Minimum Initial Investments | ||||
C Class | Retail investors who invest directly through a financial intermediary, such as a broker or through employee directed benefit plans with applicable sales charges which may include CDSC. | $ | 1,000 | |||
R6 Class | Large institutional retirement plan investors - sold through retirement plan sponsors. | None |
Each class offered by the Trust has equal rights as to assets and voting privileges. Income andnon-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include service, distribution, transfer agent fees, andsub-transfer agent fees that vary amongst the classes as described more fully in Note 2.
Significant Accounting Policies
The following is a summary of significant accounting policies, consistently followed by the Funds in preparation of the financial statements. The Funds are considered investment companies and accordingly, follow the investment company accounting and reporting guidance of the FASB Accounting Standards Codification Topic 946,Financial Services – Investment Companies,a part of Generally Accepted Accounting Principles (“U.S. GAAP”).
Security Transactions and Investment Income
Security transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date.
Dividend income, net of foreign taxes, is recorded on theex-dividend date, except certain dividends from foreign securities which are recorded as soon as the information is available to the Funds. Interest income, net of foreign taxes, is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. Realized gains (losses) from securities sold are determined on the basis of specific lot identification.
Distributions to Shareholders
Distributions, if any, of net investment income are generally paid at least annually and recorded on theex-dividend date. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on theex-dividend date. Dividends to shareholders are determined in accordance with federal income tax regulations, which may differ in amount and character from net investment income and realized gains recognized for purposes of U.S. GAAP. To the extent necessary to fully distribute capital gains, the Funds may designate earnings and profits distributed to shareholders on the redemption of shares.
Commission Recapture
The Funds have established brokerage commission recapture arrangements with certain brokers or dealers. If the Funds’ investment advisor chooses to execute a transaction through a participating broker, the broker rebates a portion of the commission back to the Funds. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Funds. This amount is reported with the net realized gain in the Funds’ Statements of Operations, if applicable.
21
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Allocation of Income, Trust Expenses, Gains, and Losses
Investment income, realized and unrealized gains and losses from investments of the Funds are allocated daily to each class of shares based upon the relative proportion of net assets of each class to the total net assets of the Funds. Expenses directly charged or attributable to the Fund will be paid from the assets of the Fund. Generally, expenses of the Trust will be allocated among and charged to the assets of the Funds on a basis that the Trust’s Board of Trustees (the “Board”) deems fair and equitable, which may be based on the relative net assets of the Funds or nature of the services performed and relative applicability to the Funds.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
2. Transactions with Affiliates
Management and InvestmentSub-Advisory Agreements
The Funds and the Manager are parties to a Management Agreement that obligates the Manager to provide the Funds with investment advisory and administrative services. As compensation for performing the duties under the Management Agreement, the Manager will receive an annualized management fee based on a percentage of the Funds’ average daily net assets that is calculated and accrued daily according to the following schedule:
First $5 billion | 0.35 | % | ||
Next $5 billion | 0.325 | % | ||
Next $10 billion | 0.30 | % | ||
Over $20 billion | 0.275 | % |
The Trust, on behalf of the Funds, and the Manager have entered into an Investment Advisory Agreements with Bridgeway Capital Management, Inc. (the“Sub-Advisor”) pursuant to which each Fund has agreed to pay an annualizedsub-advisory fee that is calculated and accrued daily based on the Funds’ average daily net assets according to the following schedule:
First $250 million | 0.40 | % | ||
Next $250 million | 0.35 | % | ||
Over $500 million | 0.30 | % |
The Management andSub-Advisory Fees paid by the Funds for the period ended June 30, 2019 were as follows:
Bridgeway Large Cap Growth Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.35 | % | $ | 359,922 | ||||||||
Sub-Advisor Fees | 0.40 | % | 389,301 | |||||||||
|
|
|
| |||||||||
Total | 0.75 | % | $ | 749,223 | ||||||||
|
|
|
|
22
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Bridgeway Large Cap Value Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.35 | % | $ | 7,537,839 | ||||||||
Sub-Advisor Fees | 0.30 | % | 6,526,471 | |||||||||
|
|
|
| |||||||||
Total | 0.65 | % | $ | 14,064,310 | ||||||||
|
|
|
|
As compensation for services provided by the Manager in connection with securities lending activities conducted by the Funds, the lending Fund pays to the Manager, with respect to cash collateral posted by borrowers, a fee up to 10% of the net monthly interest income (the gross interest income earned by the investment of cash collateral, less the amount paid to borrowers and related expenses) from such activities and, with respect to loan fees paid by borrowers, a fee up to 10% of such loan fees. These fees are included in “Income derived from securities lending” and “Management and investment advisory fees” on the Statements of Operations. During the period ended June 30, 2019, the Manager received securities lending fees of $1,338 and $23,807 for the securities lending activities of the Bridgeway Large Cap Growth Fund and Bridgeway Large Cap Value Fund, respectively.
Distribution Plans
The Funds, except for the A and C Classes of the Funds, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule12b-1 under the Act, pursuant to which no separate fees may be charged to the Funds for distribution purposes. However, the Plan authorizes the management fee received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Funds do not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.
Separate Distribution Plans (the “Distribution Plans”) have been adopted pursuant to Rule12b-1 under the Act for the A and C Classes of the Funds. Under the Distribution Plans, as compensation for distribution and shareholder servicing assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the Investor, A, and C Classes of the Funds. As compensation for performing the duties required under the Service Plans, the Manager receives an annualized fee up to 0.25% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Funds.
Sub-Transfer Agent Fees
The Manager has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Institutional and Y Classes of the Funds and has agreed to compensate the intermediaries for providing these services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. Certain services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly by the Funds’ transfer agent. Accordingly, the Funds, pursuant to Board approval, have agreed to reimburse the Manager for certainnon-distribution shareholder services provided by financial intermediaries for the Institutional and Y Classes. The reimbursement amounts(sub-transfer agent fees) paid to the
23
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Manager are subject to a fee limit of up to 0.10% of an intermediary’s average net assets in the Institutional and Y Classes on an annual basis. During the period ended June 30, 2019, thesub-transfer agent fees, as reflected in “Transfer agent fees” on the Statements of Operations, were as follows:
Fund | Sub-Transfer Agent Fees | |||
Bridgeway Large Cap Growth | $ | 28,821 | ||
Bridgeway Large Cap Value | 861,616 |
As of June 30, 2019, the Funds owed the Manager the following reimbursement ofsub-transfer agent fees, as reflected in “Transfer agent fees payable” on the Statements of Assets and Liabilities:
Fund | Reimbursement Sub-Transfer Agent Fees | |||
Bridgeway Large Cap Growth | $ | 3,971 | ||
Bridgeway Large Cap Value | 142,623 |
Investments in Affiliated Funds
The Funds may invest in the American Beacon U.S. Government Money Market Select Fund (the “USG Select Fund”). Cash collateral received by the Funds in connection with securities lending may also be invested in the USG Select Fund. The Funds and the USG Select Fund have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the USG Select Fund and receives management fees and administrative fees totaling 0.10% of the average daily net assets of the USG Select Fund. During the period ended June 30, 2019, the Manager earned fees on the Funds’ direct investments and securities lending collateral investments in the USG Select Fund as shown below:
Fund | Direct Investments in USG Select Fund | Securities Lending Collateral Investments in USG Select Fund | Total | |||||||||
Bridgeway Large Cap Growth | $ | 1,849 | $ | 101 | $ | 1,950 | ||||||
Bridgeway Large Cap Value | 23,132 | 1,087 | 24,219 |
Interfund Credit Facility
Pursuant to an exemptive order issued by the SEC, the Funds, along with other registered investment companies having management contracts with the Manager, may participate in a credit facility whereby each fund, under certain conditions, is permitted to lend money directly to and borrow directly from other participating funds for temporary purposes. The interfund credit facility is advantageous to the funds because it provides added liquidity and eliminates the need to maintain higher cash balances to meet redemptions. This situation could arise when shareholder redemptions exceed anticipated volumes and certain funds have insufficient cash on hand to satisfy such redemptions or when sales of securities do not settle as expected, resulting in a cash shortfall for a fund. When a fund liquidates portfolio securities to meet redemption requests, they often do not receive payment in settlement for up to two days (or longer for certain foreign transactions). Redemption requests normally are satisfied on the next business day. The credit facility provides a source of immediate, short-term liquidity pending settlement of the sale of portfolio securities. The credit facility is administered by a credit facility team consisting of professionals from the Manager’s asset management, compliance, and accounting areas who report the activities of the credit facility to the Board. During the period ended June 30, 2019, the Bridgeway Large Cap Growth Fund borrowed on average $22,641,543 for 4 days at an average interest rate of 3.02% with interest charges of $7,493 and the Bridgeway Large Cap Value Fund borrowed on average $11,462,268 for 1 day at an average interest rate of 3.06% with interest charges of $961. These amounts are recorded as “Other expenses” in the Statements of Operations.
24
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Expense Reimbursement Plan
The Manager contractually agreed to reduce fees and/or reimburse expenses for the classes of the Funds to the extent that total operating expenses exceed the Funds’ expense cap. During the period ended June 30, 2019, the Manager waived and/or reimbursed expenses as follows:
Expense Cap | Expiration of Reimbursed Expenses | |||||||||||||||||
Fund | Class | 1/1/2019 - 6/30/2019 | Reimbursed Expenses | (Recouped) Expenses | ||||||||||||||
Bridgeway Large Cap Growth | Institutional | 0.81 | % | $ | 82,501 | $ | – | 2022 | ||||||||||
Bridgeway Large Cap Growth | Y | 0.91 | % | 915 | – | 2022 | ||||||||||||
Bridgeway Large Cap Growth | Investor | 1.19 | % | 20,142 | – | 2022 | ||||||||||||
Bridgeway Large Cap Growth | A | 1.21 | % | 538 | – | 2022 | ||||||||||||
Bridgeway Large Cap Growth | C | 1.96 | % | 37 | – | 2022 | ||||||||||||
Bridgeway Large Cap Growth | R6 | 0.76 | % | 611 | – | 2022 | ||||||||||||
Bridgeway Large Cap Value | R6 | 0.70 | % | 4,871 | – | 2022 |
Of these amounts, $147,931 and $6,542 were disclosed as a receivable from the Manager on the Statements of Assets and Liabilities at June 30, 2019 for the Bridgeway Large Cap Growth Fund and Bridgeway Large Cap Value Fund, respectively.
The Funds have adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of such fee reductions and expense reimbursements. Under the policy, the Manager can be reimbursed by the Funds for any contractual fee reductions or expense reimbursements if reimbursement to the Manager (a) occurs within three years after the Manager’s own waiver or reimbursement and (b) does not cause the Funds’ annual operating expenses to exceed the lesser of the contractual percentage limit in effect at the time of the waiver/reimbursement or time of recoupment. The reimbursed expenses listed above will expire in 2022. The Funds did not record a liability for potential reimbursements due to the current assessment that reimbursements are unlikely. The carryover of excess expenses potentially reimbursable to the Manager, but not recorded as a liability are as follows:
Fund | Recouped Expenses | Excess Expense Carryover | Expired Expense Carryover | Expiration of Reimbursed Expenses | ||||||||||||
Bridgeway Large Cap Growth | $ | – | $ | 238,079 | $ | – | 2019 | |||||||||
Bridgeway Large Cap Growth | – | 375,714 | – | 2020 | ||||||||||||
Bridgeway Large Cap Growth | – | 241,324 | – | 2021 |
Sales Commissions
The Funds’ Distributor, Resolute Investment Distributors, Inc. (“RID” or “Distributor”), may receive a portion of Class A sales charges from broker dealers and it may be used to offset distribution related expenses. During the period ended June 30, 2019, RID collected $74 and $3,760 for Bridgeway Large Cap Growth Fund and Bridgeway Large Cap Value Fund, respectively, from the sale of Class A Shares.
A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Funds’ Prospectus. Any applicable CDSC will be 0.50% of the lesser of the original purchase price or the value of the redemption of the Class A Shares redeemed. During the period ended June 30, 2019, CDSC fees of $1,354 were collected for Class A Shares of the Bridgeway Large Cap Value Fund. During the period ended June 30, 2019, there were no CDSC fees collected for Class A Shares of the Bridgeway Large Cap Growth Fund.
A CDSC of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Funds’ Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. During the period ended June 30, 2019, CDSC fees of $123 and $5,970 were collected for the Class C Shares of Bridgeway Large Cap Growth Fund and Bridgeway Large Cap Value Fund, respectively.
25
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Trustee Fees and Expenses
As compensation for their service to the Trusts, each Trustee receives an annual retainer of $120,000, plus $10,000 for each Board meeting attended in person or via teleconference, $2,500 for attendance by Committee members at meetings of the Audit Committee and the Investment Committee, and $1,500 for attendance by Committee members at meetings of the Nominating and Governance Committee, plus reimbursement of reasonable expenses incurred in attending Board meetings, Committee meetings, and relevant educational seminars. The Trustees also may be compensated for attendance at special Board and/or Committee meetings from time to time. The Board Chair receives an additional annual retainer of $50,000 as well as a $2,500 fee each quarter for attendance at the committee meetings. The Chairpersons of the Audit Committee and the Investment Committee each receive an additional annual retainer of $25,000 and the Chairman of the Nominating and Governance Committee receives an additional annual retainer of $10,000. These expenses are allocated on a prorated basis to each fund of the Trusts according to its respective net assets.
3. Security Valuation and Fair Value Measurements
The price of the Fund’s shares is based on its net asset value (“NAV”) per share. The Fund’s NAV is computed by adding total assets, subtracting all the Fund’s liabilities, and dividing the result by the total number of shares outstanding.
The NAV of each class of the Fund’s shares is determined based on a pro rata allocation of the Fund’s investment income, expenses and total capital gains and losses. The Fund’s NAV per share is determined each business day as of the regular close of trading on the New York Stock Exchange (“NYSE” or “Exchange”), which is typically 4:00 p.m. Eastern Time (“ET”). However, if trading on the NYSE closes at a time other than 4:00 p.m. ET, the Fund’s NAV per share typically would still be determined as of the regular close of trading on the NYSE. The Fund does not price its shares on days that the NYSE is closed. Foreign exchanges may permit trading in foreign securities on days when the Fund is not open for business, which may result in the value of the Fund’s portfolio investments being affected at a time when you are unable to buy or sell shares.
Equity securities, including shares ofclosed-end funds and exchange-traded funds (“ETFs”), are valued at the last sale price or official closing price taken from the primary exchange in which each security trades. Investments in other mutual funds are valued at the closing NAV per share on the day of valuation. Debt securities are valued at bid quotes from broker/dealers or evaluated bid prices from pricing services, who may consider a number of inputs and factors, such as prices of comparable securities, yield curves, spreads, credit ratings, coupon rates, maturity, default rates, and underlying collateral. Futures are valued based on their daily settlement prices. Exchange-traded andover-the-counter (“OTC”) options are valued at the last sale price. Options with no last sale for the day are priced at mid quote. Swaps are valued at evaluated mid prices from pricing services.
The valuation of securities traded on foreign markets and certain fixed income securities will generally be based on prices determined as of the earlier closing time of the markets on which they primarily trade unless a significant event has occurred. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. ET.
Securities may be valued at fair value, as determined in good faith and pursuant to procedures approved by the Board, under certain limited circumstances. For example, fair value pricing will be used when market quotations are not readily available or reliable, as determined by the Manager, such as when (i) trading for a security is restricted or stopped; (ii) a security’s trading market is closed (other than customary closings); or (iii) a security has beende-listed from a national exchange. A security with limited market liquidity may require fair value pricing if the Manager determines that the available price does not reflect the security’s true market value. In addition, if a significant event that the Manager determines to affect the value of one or more securities held by the Fund occurs after the close of a related exchange but before the determination of the Fund’s NAV, fair value pricing may be used on the affected security or securities. Securities of small-capitalization companies are also
26
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
more likely to require a fair value determination using these procedures because they are more thinly traded and less liquid than the securities of larger-capitalization companies. The Fund may fair value securities as a result of significant events occurring after the close of the foreign markets in which the Fund invests as described below. In addition, the Fund may invest in illiquid securities requiring these procedures.
The Fund may use fair value pricing for securities primarily traded innon-U.S. markets because most foreign markets close well before the Fund’s pricing time of 4:00 p.m. ET. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. If the Manager determines that the last quoted prices ofnon-U.S. securities will, in its judgment, materially affect the value of some or all its portfolio securities, the Manager can adjust the previous closing prices to reflect what it believes to be the fair value of the securities as of the close of the Exchange. In deciding whether it is necessary to adjust closing prices to reflect fair value, the Manager reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. These securities are fair valued using a pricing service, using methods approved by the Board, that considers the correlation of the trading patterns of the foreign security to intraday trading in the U.S. markets, based on indices of domestic securities and other appropriate indicators such as prices of relevant American Depositary Receipts (“ADRs”) and futures contracts. The Valuation Committee, established by the Board, may also fair value securities in other situations, such as when a particular foreign market is closed but the Fund is open. The Fund uses outside pricing services to provide closing prices and information to evaluate and/or adjust those prices. As a means of evaluating its security valuation process, the Valuation Committee routinely compares closing prices, the next day’s opening prices in the same markets and adjusted prices.
Attempts to determine the fair value of securities introduce an element of subjectivity to the pricing of securities. As a result, the price of a security determined through fair valuation techniques may differ from the price quoted or published by other sources and may not accurately reflect the market value of the security when trading resumes. If a reliable market quotation becomes available for a security formerly valued through fair valuation techniques, the Manager compares the new market quotation to the fair value price to evaluate the effectiveness of the Fund’s fair valuation procedures. If any significant discrepancies are found, the Manager may adjust the Fund’s fair valuation procedures.
Valuation Inputs
Various inputs may be used to determine the fair value of the Funds’ investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 | - | Quoted prices in active markets for identical securities. | ||
Level 2 | - | Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. | ||
Level 3 | - | Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Common stocks, preferred securities, ETFs, and financial derivative instruments, such as futures contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are generally categorized as Level 2 of the fair value hierarchy.
27
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Investments in registeredopen-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
4. Securities and Other Investments
Common Stock
Common stock generally takes the form of shares in a corporation which represent an ownership interest. It ranks below preferred stock and debt securities in claims for dividends and for assets of the company in a liquidation or bankruptcy. The value of a company’s common stock may fall as a result of factors directly relating to that company, such as decisions made by its management or decreased demand for the company’s products or services. A stock’s value may also decline because of factors affecting not just the company, but also companies in the same industry or sector. The price of a company’s stock may also be affected by changes in financial markets that are relatively unrelated to the company, such as changes in interest rates, currency exchange rates or industry regulation. Companies that elect to pay dividends on their common stock generally only do so after they invest in their own business and make required payments to bondholders and on other debt and preferred stock. Therefore, the value of a company’s common stock will usually be more volatile than its bonds, other debt and preferred stock. Common stock may be exchange-traded or OTC. OTC stock may be less liquid than exchange-traded stock.
Other Investment Company Securities and Other Exchange-Traded Products
The Funds may invest in shares of other investment companies, including money market funds. The Funds may invest in investment company securities advised by the Manager or asub-advisor. To the extent that a Fund invests in shares of other registered investment companies, a Fund will indirectly bear fees and expenses, including for example, advisory and administrative fees, charged by those investment companies in addition to a Fund’s direct fees and expenses and will be subject to the risks associated with investments in those companies. For example, a Fund’s investments in money market funds are subject to interest rate risk, credit risk, and market risk. A Fund must rely on the investment company in which it invests to achieve its investment objective. If the investment company fails to achieve its investment objective, the value of a Fund’s investment may decline, adversely affecting a Fund’s performance. To the extent a Fund invests in other investment companies that invest in equity securities, fixed income securities and/or foreign securities, or that track an index, the Fund would be subject to the risks associated with the underlying investments held by the investment company or the index fluctuations to which the investment company is subject.
Real Estate Investment Trusts
The Funds may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. The Fundsre-characterize distributions received from REIT investments based on information provided by the REITs into the following categories: ordinary income, long-term capital gains, and return of capital. If information is not available on a timely basis from the REITs, there-characterization will be estimated based on available information, which may include the previous year allocation. If new or additional information becomes available from the REITs at a later date, are-characterization will be made the following year.
5. Financial Derivative Instruments
The Funds may utilize derivative instruments to enhance return, hedge risk, gain efficient exposure to an asset class or to manage liquidity. When considering the Funds’ use of derivatives, it is important to note that the Funds do not use derivatives for the purpose of creating financial leverage.
Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Funds may enter into financial futures contracts as a method for keeping assets readily
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American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities or that the counterparty will fail to perform its obligations.
Upon entering into a futures contract, the Funds are required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents a portion of the face value of the futures contract. The Funds usually reflects this amount on the Schedules of Investments as a U.S. Treasury Bill held as collateral for futures contracts or as cash deposited with broker on the Statements of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.
During the period ended June 30, 2019, the Funds entered into futures contracts primarily for exposing cash to markets.
The Funds’ average futures contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the average quarterly volume of futures contracts. For the purpose of this disclosure, volume is measured by contracts outstanding at each quarter end.
Average Futures Contracts Outstanding | ||||
Fund | Period Ended June 30, 2019 | |||
Bridgeway Large Cap Growth | 33 | |||
Bridgeway Large Cap Value | 299 |
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure(1):
Bridgeway Large Cap Growth Fund
Fair values of financial instruments on the Statements of Assets and Liabilities as of June 30, 2019: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Receivable for variation margin from open futures contracts(2) | $ | – | $ | – | $ | – | $ | – | $ | 38,499 | $ | 38,499 | |||||||||||||||||||||||||||||||||||||||||||
The effect of financial derivative instruments on the Statements of Operations as of June 30, 2019: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | – | $ | – | $ | – | $ | – | $ | 721,944 | $ | 721,944 | |||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | – | $ | – | $ | – | $ | – | $ | (11,142 | ) | $ | (11,142 | ) |
29
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Bridgeway Large Cap Value Fund
Fair values of financial instruments on the Statements of Assets and Liabilities as of June 30, 2019: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Payable for variation margin from open futures contracts(2) | $ | – | $ | – | $ | – | $ | – | $ | (56,354 | ) | $ | (56,354 | ) | |||||||||||||||||||||||||||||||||||||||||
The effect of financial derivative instruments on the Statements of Operations as of June 30, 2019: |
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gain (loss) from derivatives | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | – | $ | – | $ | – | $ | – | $ | 9,330,130 | $ | 9,330,130 | |||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation | Credit contracts | Foreign exchange contracts | Commodity contracts | Interest rate contracts | Equity contracts | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Futures contracts | $ | – | $ | – | $ | – | $ | – | $ | (1,056,124 | ) | $ | (1,056,124 | ) |
(1)See Note 3 in the Notes to Financial Statements for additional information.
(2)Includes cumulative appreciation (depreciation) of futures contracts as reported in the Fund’s Schedule of Investments footnotes. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
Offsetting Assets and Liabilities
The Funds are parties to enforceable master netting agreements between brokers and counterparties which provide for the right to offset under certain circumstances. The Funds employ multiple money managers and counterparties and have elected not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. The impacts of netting arrangements that provide the right to offset are detailed below. The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing agreements such as repurchase agreements can only be netted across transactions governed by the same Master Agreement with the same legal entity. All amounts reported below represent the balance as of the report date, June 30, 2019.
Bridgeway Large Cap Growth Fund
Offsetting of Financial and Derivative Assets as of June 30, 2019: |
| |||||||||||
Assets | Liabilities | |||||||||||
Futures Contracts | $ | 38,499 | $ | - | ||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | 38,499 | $ | - | ||||||||
|
|
|
| |||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | (38,499 | ) | $ | - | |||||||
|
|
|
|
Bridgeway Large Cap Value Fund
Offsetting of Financial and Derivative Assets as of June 30, 2019: |
| |||||||||||
Assets | Liabilities | |||||||||||
Futures Contracts | $ | - | $ | 56,354 | ||||||||
|
|
|
| |||||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | - | $ | 56,354 | ||||||||
|
|
|
| |||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | $ | - | $ | (56,354 | ) | |||||||
|
|
|
|
30
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
6. Principal Risks
Investing in the Funds may involve certain risks including, but not limited to, those described below.
Equity Investments Risk
Equity securities are subject to market risk. The Funds’ investments in equity securities may include common stocks, preferred stocks, securities convertible into or exchangeable for common stocks, REITs, depositary receipts, and U.S. dollar-denominated foreign stocks traded on U.S. exchanges. Such investments may expose the Funds to additional risk. The value of a company’s common stock may fall as a result of factors affecting the company, companies in the same industry or sector, or the financial markets overall. Common stock generally is subordinate to preferred stock upon the liquidation or bankruptcy of the issuing company. Preferred stocks and convertible securities are sensitive to movements in interest rates. Preferred stocks may be less liquid than common stocks and, unlike common stocks, participation in the growth of an issuer may be limited. Distributions on preferred stocks generally are payable at the discretion of an issuer and after required payments to bond holders. Convertible securities are subject to the risk that the credit standing of the issuer may have an effect on the convertible securities’ investment value. Investments in REITs are subject to the risks associated with investing in the real estate industry such as adverse developments affecting the real estate industry and real property values. Depositary receipts and U.S. dollar-denominated foreign stocks traded on U.S. exchanges are subject to certain of the risks associated with investing directly in foreign securities, including, but not limited to, currency fluctuations and political and financial instability in the home country of a particular depositary receipt or foreign stock.
Foreign Investing Risk
Non-U.S. investments carry potential risks not associated with U.S. investments. Such risks include, but are not limited to: (1) currency exchange rate fluctuations, (2) political and financial instability, (3) less liquidity, (4) lack of uniform accounting, auditing and financial reporting standards, (5) increased price volatility, (6) less government regulation and supervision of foreign stock exchanges, brokers and listed companies, and (7) delays in transaction settlement in some foreign markets.
Futures Contracts Risk
Futures contracts are derivative instruments where one party pays a fixed price for an agreed amount of securities or other underlying assets at an agreed date. The use of such derivative instruments may expose the Funds to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. Futures contracts may experience potentially dramatic price changes (losses) and imperfect correlation between the price of the contract and the underlying security or index, which will increase the volatility of the Funds and may involve a small investment of cash (the amount of initial and variation margin) relative to the magnitude of the risk assumed (the potential increase or decrease in the price of the futures contract).
Market Risk
Conditions in the U.S. and many foreign economies have resulted, and may continue to result, in certain instruments experiencing unusual liquidity issues, increased price volatility and, in some cases, credit downgrades and increased likelihood of default. These events have reduced the willingness and ability of some lenders to extend credit, and have made it more difficult for some borrowers to obtain financing on attractive terms, if at all. In some cases, traditional market participants have been less willing to make a market in some types of debt instruments, which has affected the liquidity of those instruments. During times of market turmoil, investors tend to look to the safety of securities issued or backed by the U.S. Treasury, causing the prices of these securities to rise and the yields to decline. Reduced liquidity in fixed income and credit markets may negatively affect many
31
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
issuers worldwide. In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region. A rise in protectionist trade policies, and the possibility of changes to some international trade agreements, could affect the economies of many nations in ways that cannot necessarily be foreseen at the present time.
In response to the financial crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. In some countries where economic conditions are recovering, they are nevertheless perceived as still fragile. Withdrawal of government support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities. The severity or duration of adverse economic conditions may also be affected by policy changes made by governments or quasi-governmental organizations, including changes in tax laws. The impact of new financial regulation legislation on the markets and the practical implications for market participants may not be fully known for some time. Regulatory changes are causing some financial services companies to exit long-standing lines of business, resulting in dislocations for other market participants. In addition, political and diplomatic events within the U.S. and abroad, such as the United States government’s inability at times to agree on a long-term budget and deficit reduction plan, the threat of a federal government shutdown and threats not to increase the federal government’s debt limit, may affect investor and consumer confidence and may adversely impact financial markets and the broader economy, perhaps suddenly and to a significant degree. The U.S. government has recently reduced the federal corporate income tax rates, and future legislative, regulatory and policy changes may result in more restrictions on international trade, less stringent prudential regulation of certain players in the financial markets, and significant new investments in infrastructure and national defense. Markets may react strongly to expectations about the changes in these policies, which could increase volatility, especially if the markets’ expectations for changes in government policies are not borne out.
Changes in market conditions will not have the same impact on all types of securities. Interest rates have been unusually low in recent years in the United States and abroad. Because there is little precedent for this situation, it is difficult to predict the impact of a significant rate increase on various markets. For example, because investors may buy securities or other investments with borrowed money, a significant increase in interest rates may cause a decline in the markets for those investments. Because of the sharp decline in the worldwide price of oil, there is a concern that oil producing nations may withdraw significant assets now held in U.S. Treasuries, which could force a substantial increase in interest rates. Regulators have expressed concern that rate increases may cause investors to sell fixed income securities faster than the market can absorb them, contributing to price volatility. In addition, there is a risk that the prices of goods and services in the U.S. and many foreign economies may decline over time, known as deflation (the opposite of inflation). Deflation may have an adverse effect on stock prices and creditworthiness and may make defaults on debt more likely. If a country’s economy slips into a deflationary pattern, it could last for a prolonged period and may be difficult to reverse.
The precise details and the resulting impact of the United Kingdom’s vote to leave the European Union (the “EU”), commonly referred to as “Brexit,” are not yet known. The effect on the United Kingdom’s economy will likely depend on the nature of trade relations with the EU and other major economies following its exit, which are matters to be negotiated. The outcomes may cause increased volatility and have a significant adverse impact on world financial markets, other international trade agreements, and the United Kingdom and European economies, as well as the broader global economy for some time, which could significantly adversely affect the value of the Fund’s investments in the United Kingdom and Europe.
Other Investment Companies Risk
The Funds may invest in shares of other registered investment companies, including money market funds that are advised by the Manager. To the extent that the Funds invest in shares of other registered investment companies, the Funds will indirectly bear the fees and expenses, including for example advisory and administrative fees, charged by those investment companies in addition to the Funds’ direct fees and expenses and will be subject
32
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
to the risks associated with investments in those companies. For example, the Funds’ investments in money market funds are subject to interest rate risk, credit risk, and market risk. The Funds must rely on the investment company in which it invests to achieve its investment objective. If the investment company fails to achieve its investment objective, the value of the Funds’ investment will decline, adversely affecting the Funds’ performance. To the extent the Funds invest in other investment companies that invest in equity securities, fixed income securities and/or foreign securities, or track an index, the Funds are subject to the risks associated with the underlying investments held by the investment company or the index fluctuations to which the investment company is subject.
Securities Lending Risk
A Fund may lend its portfolio securities to brokers, dealers and financial institutions to seek income. There is a risk that a borrower may default on its obligations to return loaned securities; however, a Fund’s securities lending agent indemnifies the Fund against that risk. There is a risk that the assets of a Fund’s securities lending agent may be insufficient to satisfy any contractual indemnification requirements to the Fund. Borrowers of a Fund’s securities typically provide collateral in the form of cash that is reinvested in securities. A Fund will be responsible for the risks associated with the investment of cash collateral, including any collateral invested in an affiliated money market fund. A Fund may lose money on its investment of cash collateral or may fail to earn sufficient income on its investment to meet obligations to the borrower. In addition, delays may occur in the recovery of securities from borrowers, which could interfere with a Fund’s ability to vote proxies or to settle transactions and there is the risk of possible loss of rights in the collateral should the borrower fail financially. In any case in which the loaned securities are not returned to the Fund before anex-dividend date, the payment in lieu of the dividend that the Fund receives from the securities’ borrower would not be treated as a dividend for federal income tax purposes and thus would not qualify for treatment as “qualified dividend income”.
7. Federal Income and Excise Taxes
It is the policy of each Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.
The Funds do not have any unrecorded tax liabilities in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2018 remain subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.
The Funds may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation (depreciation), as applicable, as the income is earned or capital gains are recorded.
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
As of June 30, 2019 the tax cost for each Fund and their respective gross unrealized appreciation (depreciation) were as follows:
Fund | Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Bridgeway Large Cap Growth | $ | 155,563,376 | $ | 41,156,069 | $ | (3,613,369 | ) | $ | 37,542,700 | |||||||
Bridgeway Large Cap Value | 3,786,549,335 | 646,066,241 | (204,646,952 | ) | 441,419,289 |
33
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Under the Regulated Investment Company Modernization Act of 2010 (“RIC MOD”), net capital losses recognized by the Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses.
As of December 31, 2018, the Funds did not have any capital loss carryforwards.
8. Investment Transactions
The aggregate cost of purchases and proceeds from sales and maturities of investments, other than short-term obligations, for the period ended June 30, 2019 were as follows:
Fund | Purchases (non-U.S. Government Securities) | Sales (non-U.S. Government Securities) | ||||||||||
Bridgeway Large Cap Growth | $ | 66,371,374 | $ | 133,615,869 | ||||||||
Bridgeway Large Cap Value | 860,968,851 | 1,319,445,828 |
A summary of the Funds’ transactions in the USG Select Fund for the period ended June 30, 2019 are as follows:
Fund | Type of Transaction | December 31, 2018 Shares/Fair Value | Purchases | Sales | June 30, 2019 Shares/Fair Value | Dividend Income | ||||||||||||||||||||||||||||||||||||
Bridgeway Large Cap Growth | Direct | $ | 4,647,290 | $ | 52,786,366 | $ | 54,988,164 | $ | 2,445,492 | $ | 42,963 | |||||||||||||||||||||||||||||||
Bridgeway Large Cap Growth | Securities Lending | - | 7,383,082 | 7,383,082 | - | N/A | ||||||||||||||||||||||||||||||||||||
Bridgeway Large Cap Value | Direct | 41,766,144 | 900,181,369 | 907,134,064 | 34,813,449 | 537,297 | ||||||||||||||||||||||||||||||||||||
Bridgeway Large Cap Value | Securities Lending | - | 49,208,750 | 49,208,750 | - | N/A |
9. Securities Lending
The Funds may lend their securities to qualified financial institutions, such as certain broker-dealers, to earn additional income. The borrowers are required to secure their loans continuously with collateral in an amount at least equal to the fair value of the securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is monitored andmarked-to-market daily. Dailymark-to-market amounts are required to be paid to the borrower or received from the borrower by the end of the following business day. This one day settlement formark-to-market amounts may result in the collateral being temporarily less than the value of the securities on loan or temporarily more than the required minimum collateral.
To the extent that a loan is collateralized by cash, such cash collateral shall be invested by the securities lending agent (the “Agent”) in money market mutual funds and other short-term investments, provided the investments meet certain quality and diversification requirements. Securities purchased with cash collateral proceeds are listed in the Funds’ Schedule of Investments and the collateral is shown on the Statements of Assets and Liabilities as a payable.
Securities lending income is generated from the demand premium (if any) paid by the borrower to borrow a specific security and from the return on investment of cash collateral, reduced by negotiated rebate fees paid to the borrower and transaction costs. To the extent that a loan is secured bynon-cash collateral, securities lending income is generated as a demand premium reduced by transaction costs. The Funds, the Agent, and the Manager retained 80%, 10%, and 10%, respectively, of the income generated from securities lending.
While securities are on loan, the Funds continue to receive certain income associated with that security and any gain or loss in the market price that may occur during the term of the loan. In the case of domestic equities,
34
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
the value of any dividend is received in the form of a substitute payment approximately equal to the dividend. In the case of foreign securities, a negotiated amount is received that is less than the actual dividend, but higher than the dividend amount minus the foreign tax that the Funds would be subject to on the dividend.
Securities lending transactions pose certain risks to the Funds, including that the borrower may not provide additional collateral when required or return the securities when due, that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower, thatnon-cash collateral may be subject to legal constraints in the event of a borrower bankruptcy, and that the cash collateral investments could become illiquid and unable to be used to return collateral to the borrower. The Funds could also experience delays and costs in gaining access to the collateral. The Funds bear the risk of any deficiency in the amount of the cash collateral available for return to the borrower and any action which impairs its ability to liquidatenon-cash collateral to satisfy a borrower default.
Cash collateral is listed on the Funds’ Schedules of Investments and is shown on the Statements of Assets and Liabilities. Income earned on these investments is included in “Income derived from securities lending” on the Statements of Operations.
Non-cash collateral received by the Funds may not be sold orre-pledged except to satisfy a borrower default. Therefore,non-cash collateral is not included on the Funds’ Schedules of Investments or Statements of Assets and Liabilities.
The Funds did not have any securities on loan or hold any securities lending collateral as of the period ended June 30, 2019.
10. Borrowing Arrangements
Effective November 15, 2018 (the “Effective Date”), the Funds, along with certain other funds managed by the Manager (“Participating Funds”), entered into a committed revolving line of credit (the “Committed Line”) agreement with State Street Bank and Trust Company (the “Bank”) to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Committed Line is $250 million with interest at a rate equal to the higher of(a) one-month London Inter-Bank Offered Rate (“LIBOR”) plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on amounts borrowed. Each of the Participating Funds will pay a closing fee of $100,000 on the Effective Date and a quarterly commitment fee at a rate of 0.25% per annum on the unused portion of the Committed Line amount. The Committed Line expires November 14, 2019, unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
On the Effective Date, the Funds, along with certain other Participating Funds managed by the Manager, also entered into an uncommitted discretionary demand revolving line of credit (the “Uncommitted Line”) agreement with the Bank to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Uncommitted Line is $50 million with interest at a rate equal to the higher of(a) one-month LIBOR plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on each outstanding loan. Each of the Participating Funds will pay a closing fee of $35,000 on the Effective Date. The Uncommitted Line expires November 14, 2019 unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
The Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Other expenses” on the Statements of Operations, along with commitment fees, that have been allocated among the Participating Funds based on average daily net assets.
During the period ended June 30, 2019, the Funds did not utilize this facility.
35
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
11. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Funds:
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 196,915 | $ | 5,579,640 | 1,040,789 | $ | 33,050,110 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 601,438 | 14,867,540 | ||||||||||||||||||||||||
Shares redeemed | (2,336,883 | ) | (67,638,289 | ) | (1,621,619 | ) | (51,081,982 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (2,139,968 | ) | $ | (62,058,649 | ) | 20,608 | $ | (3,164,332 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 29,272 | $ | 850,107 | 148,641 | $ | 4,689,413 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 9,042 | 222,964 | ||||||||||||||||||||||||
Shares redeemed | (29,282 | ) | (845,814 | ) | (133,776 | ) | (4,247,166 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (10 | ) | $ | 4,293 | 23,907 | $ | 665,211 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 26,920 | $ | 782,941 | 325,619 | $ | 10,564,180 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 258,809 | 6,340,851 | ||||||||||||||||||||||||
Shares redeemed | (272,883 | ) | (7,741,360 | ) | (358,159 | ) | (11,243,187 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (245,963 | ) | $ | (6,958,419 | ) | 226,269 | $ | 5,661,844 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 849 | $ | 24,070 | 79,808 | $ | 2,553,888 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 6,628 | 162,842 | ||||||||||||||||||||||||
Shares redeemed | (6,141 | ) | (177,174 | ) | (174,526 | ) | (5,758,888 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (5,292 | ) | $ | (153,104 | ) | (88,090 | ) | $ | (3,042,158 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 5,741 | $ | 158,897 | 17,572 | $ | 512,892 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 2,686 | 64,536 | ||||||||||||||||||||||||
Shares redeemed | (2,008 | ) | (58,457 | ) | (14,005 | ) | (419,151 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 3,733 | $ | 100,440 | 6,253 | $ | 158,277 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
R6 Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | April 30, 2018A to December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | – | $ | – | 3,237 | B | $ | 100,000 | B | ||||||||||||||||||||
Reinvestment of dividends | – | – | 360 | 8,892 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | – | $ | – | 3,597 | $ | 108,892 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
36
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 7,844,708 | $ | 194,551,614 | 20,154,772 | $ | 566,575,933 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 5,392,771 | 119,827,368 | ||||||||||||||||||||||||
Shares redeemed | (13,840,997 | ) | (346,915,265 | ) | (15,913,378 | ) | (436,185,153 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (5,996,289 | ) | $ | (152,363,651 | ) | 9,634,165 | $ | 250,218,148 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 8,544,534 | $ | 211,886,728 | 26,074,553 | $ | 741,021,782 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 5,731,412 | 126,950,769 | ||||||||||||||||||||||||
Shares redeemed | (18,967,401 | ) | (474,208,571 | ) | (19,465,093 | ) | (524,126,128 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (10,422,867 | ) | $ | (262,321,843 | ) | 12,340,872 | $ | 343,846,423 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 4,258,401 | $ | 105,501,906 | 7,915,359 | $ | 225,754,431 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 3,409,029 | 75,407,714 | ||||||||||||||||||||||||
Shares redeemed | (8,865,955 | ) | (218,761,716 | ) | (20,764,261 | ) | (577,282,060 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (4,607,554 | ) | $ | (113,259,810 | ) | (9,439,873 | ) | $ | (276,119,915 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 392,972 | $ | 9,558,092 | 1,278,825 | $ | 36,372,119 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 294,620 | 6,490,474 | ||||||||||||||||||||||||
Shares redeemed | (1,159,319 | ) | (28,729,077 | ) | (1,419,507 | ) | (39,139,055 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (766,347 | ) | $ | (19,170,985 | ) | 153,938 | $ | 3,723,538 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 81,780 | $ | 1,954,196 | 549,320 | $ | 14,941,345 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 251,124 | 5,396,667 | ||||||||||||||||||||||||
Shares redeemed | (757,124 | ) | (18,443,682 | ) | (1,071,380 | ) | (27,748,192 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (675,344 | ) | $ | (16,489,486 | ) | (270,936 | ) | $ | (7,410,180 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
R6 Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 2,014,328 | $ | 48,526,336 | 3,785,688 | $ | 108,434,104 | ||||||||||||||||||||||
Reinvestment of dividends | – | – | 570,694 | 12,669,411 | ||||||||||||||||||||||||
Shares redeemed | (887,131 | ) | (22,387,635 | ) | (1,050,587 | ) | (29,551,825 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 1,127,197 | $ | 26,138,701 | 3,305,795 | $ | 91,551,690 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
A | Commencement of operations. |
B | Seed capital was received on April 30, 2018 in the amount of $100,000 for the R6 Class. As a result, shares were issued in the amount of 3,237 for R6 Class. |
37
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
12. Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Funds’ financial statements through this date.
38
American Beacon Bridgeway Large Cap Growth FundSM
(For a share outstanding throughout the period)
Institutional ClassA | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | Year EndedB December 31, | Six Months Ended December 31, | Year Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.27 | $ | 29.88 | $ | 24.47 | $ | 22.77 | $ | 23.71 | $ | 20.51 | $ | 16.18 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.07 | C | 0.13 | 0.10 | 0.04 | 0.07 | 0.17 | D | 0.13 | D | ||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 5.31 | (1.99 | ) | 6.56 | 1.82 | (0.90 | ) | 3.14 | 4.29 | |||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 5.38 | (1.86 | ) | 6.66 | 1.86 | (0.83 | ) | 3.31 | 4.42 | |||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.11 | ) | (0.08 | ) | (0.16 | ) | (0.11 | ) | (0.11 | ) | (0.09 | ) | |||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (2.64 | ) | (1.17 | ) | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Total distributions | - | (2.75 | ) | (1.25 | ) | (0.16 | ) | (0.11 | ) | (0.11 | ) | (0.09 | ) | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 30.65 | $ | 25.27 | $ | 29.88 | $ | 24.47 | $ | 22.77 | $ | 23.71 | $ | 20.51 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Total returnE | 21.29 | %F | (6.03 | )% | 27.21 | % | 8.15 | %F | (3.52 | )% | 16.19 | % | 27.41 | %G | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 117,731,193 | $ | 151,163,119 | $ | 178,062,388 | $ | 133,638,400 | $ | 136,460,611 | $ | 156,493,513 | $ | 56,343,594 | ||||||||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 0.94 | %H | 0.93 | % | 1.06 | % | 1.02 | %H | 0.89 | % | 0.81 | % | 0.87 | % | ||||||||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 0.81 | %H | 0.81 | % | 0.81 | % | 0.81 | %H | 0.83 | % | 0.81 | % | 0.84 | % | ||||||||||||||||||||||||||||||||||||||
Net investment income, before expense reimbursements | 0.18 | %H | 0.26 | % | 0.15 | % | 0.12 | %H | 0.30 | % | 0.75 | % | 0.70 | % | ||||||||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements | 0.31 | %H | 0.38 | % | 0.40 | % | 0.33 | %H | 0.35 | % | 0.75 | % | 0.70 | % | ||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 33 | %F | 60 | % | 78 | % | 40 | %F | 100 | % | 48 | % | 74 | % |
A | Prior to the reorganization on February 5, 2016, the Institutional Class was known as Class N. |
B | On December 15, 2017, pursuant to a plan of Reorganization on termination, the American Beacon Bridgeway Large Cap Growth II Fund (“Target Fund”) transferred all of its property and assets to the American Beacon Bridgeway Large Cap Growth Fund (“Acquiring Fund”) in exchange solely for voting shares of the Acquiring Fund and the assumption of the Target Fund’s liabilities. |
C | Net investment income includes a significant dividend payment from Progressive Corp. amounting to $0.0207. |
D | Per share amounts have been calculated using the average shares method. |
E | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
F | Not annualized. |
G | Total return would have been lower had various fees not been waived during the period. |
H | Annualized. |
See accompanying notes
39
American Beacon Bridgeway Large Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | Year EndedA December 31, 2017 | Six Months Ended December 31, 2016 | February 5, 2016B to June 30, 2016 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.21 | $ | 29.82 | $ | 24.45 | $ | 22.77 | $ | 20.46 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income | 0.03 | C | 0.12 | 0.05 | 0.03 | 0.03 | ||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 5.32 | (1.98 | ) | 6.57 | 1.81 | 2.28 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 5.35 | (1.86 | ) | 6.62 | 1.84 | 2.31 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.11 | ) | (0.08 | ) | (0.16 | ) | - | ||||||||||||||||||||||||||||
Distributions from net realized gains | - | (2.64 | ) | (1.17 | ) | - | - | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | - | (2.75 | ) | (1.25 | ) | (0.16 | ) | - | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 30.56 | $ | 25.21 | $ | 29.82 | $ | 24.45 | $ | 22.77 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | 21.22 | %E | (6.04 | )% | 27.06 | % | 8.06 | %E | 11.29 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 2,796,263 | $ | 2,306,982 | $ | 2,016,161 | $ | 669,530 | $ | 401,220 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 0.98 | %F | 0.97 | % | 1.13 | % | 1.09 | %F | 4.00 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursements | 0.91 | %F | 0.91 | % | 0.91 | % | 0.91 | %F | 0.91 | %F | ||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 0.13 | %F | 0.27 | % | 0.08 | % | 0.11 | %F | (2.69 | )%F | ||||||||||||||||||||||||||
Net investment income, net of reimbursements | 0.20 | %F | 0.33 | % | 0.30 | % | 0.28 | %F | 0.40 | %F | ||||||||||||||||||||||||||
Portfolio turnover rate | 33 | %E | 60 | % | 78 | % | 40 | %E | 100 | %G |
A | On December 15, 2017, pursuant to a plan of Reorganization on termination, the American Beacon Bridgeway Large Cap Growth II Fund (“Target Fund”) transferred all of its property and assets to the American Beacon Bridgeway Large Cap Growth Fund (“Acquiring Fund”) in exchange solely for voting shares of the Acquiring Fund and the assumption of the Target Fund’s liabilities. |
B | Commencement of operations. |
C | Net investment income includes a significant dividend payment from Progressive Corp. amounting to $0.0126. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover rate is for the period from February 5, 2016 through June 30, 2016 and is not annualized. |
See accompanying notes
40
American Beacon Bridgeway Large Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | Year EndedA December 31, 2017 | Six Months Ended December 31, 2016 | February 5, 2016B to June 30, 2016 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.05 | $ | 29.65 | $ | 24.38 | $ | 22.74 | $ | 20.46 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.02 | )C | 0.01 | (0.01 | ) | (0.01 | ) | 0.01 | ||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 5.29 | (1.94 | ) | 6.53 | 1.81 | 2.27 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 5.27 | (1.93 | ) | 6.52 | 1.80 | 2.28 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.03 | ) | (0.08 | ) | (0.16 | ) | - | ||||||||||||||||||||||||||||
Distributions from net realized gains | - | (2.64 | ) | (1.17 | ) | - | - | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | - | (2.67 | ) | (1.25 | ) | (0.16 | ) | - | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 30.32 | $ | 25.05 | $ | 29.65 | $ | 24.38 | $ | 22.74 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | 21.04 | %E | (6.33 | )% | 26.72 | % | 7.90 | %E | 11.14 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 72,278,891 | $ | 65,869,325 | $ | 71,273,896 | $ | 399,798 | $ | 133,696 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.25 | %F | 1.20 | % | 1.40 | % | 1.55 | %F | 8.43 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.19 | %F | 1.19 | % | 1.19 | % | 1.19 | %F | 1.18 | %F | ||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.13 | )%F | (0.01 | )% | (0.66 | )% | (0.35 | )%F | (7.08 | )%F | ||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | (0.07 | )%F | 0.00 | %G | (0.45 | )% | 0.02 | %F | 0.17 | %F | ||||||||||||||||||||||||||
Portfolio turnover rate | 33 | %E | 60 | % | 78 | % | 40 | %E | 100 | %H |
A | On December 15, 2017, pursuant to a plan of Reorganization on termination, the American Beacon Bridgeway Large Cap Growth II Fund (“Target Fund”) transferred all of its property and assets to the American Beacon Bridgeway Large Cap Growth Fund (“Acquiring Fund”) in exchange solely for voting shares of the Acquiring Fund and the assumption of the Target Fund’s liabilities. |
B | Commencement of operations. |
C | Net investment income includes a significant dividend payment from Progressive Corp. amounting to $0.0144. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Amount represents less than 0.005% of average net assets. |
H | Portfolio turnover rate is for the period from February 5, 2016 through June 30, 2016 and is not annualized. |
See accompanying notes
41
American Beacon Bridgeway Large Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | Year EndedA December 31, 2017 | Six Months Ended December 31, 2016 | February 5, 2016B to June 30, 2016 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.12 | $ | 29.70 | $ | 24.39 | $ | 22.74 | $ | 20.46 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.03 | )C | (0.11 | ) | 0.00 | D | 0.00 | D | 0.00 | D | ||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 5.32 | (1.83 | ) | 6.54 | 1.81 | 2.28 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 5.29 | (1.94 | ) | 6.54 | 1.81 | 2.28 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | (0.06 | ) | (0.16 | ) | - | |||||||||||||||||||||||||||||
Distributions from net realized gains | - | (2.64 | ) | (1.17 | ) | - | - | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | - | (2.64 | ) | (1.23 | ) | (0.16 | ) | - | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 30.41 | $ | 25.12 | $ | 29.70 | $ | 24.39 | $ | 22.74 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnE | 21.06 | %F | (6.35 | )% | 26.79 | % | 7.94 | %F | 11.14 | %F | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 1,897,019 | $ | 1,700,188 | $ | 4,625,607 | $ | 135,710 | $ | 159,744 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.27 | %G | 1.25 | % | 1.44 | % | 1.43 | %G | 5.25 | %G | ||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.21 | %G | 1.21 | % | 1.21 | % | 1.21 | %G | 1.21 | %G | ||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.15 | )%G | (0.09 | )% | (0.23 | )% | (0.26 | )%G | (4.01 | )%G | ||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements | (0.09 | )%G | (0.05 | )% | 0.00 | %H | (0.05 | )%G | 0.02 | %G | ||||||||||||||||||||||||||
Portfolio turnover rate | 33 | %F | 60 | % | 78 | % | 40 | %F | 100 | %I |
A | On December 15, 2017, pursuant to a plan of Reorganization on termination, the American Beacon Bridgeway Large Cap Growth II Fund (“Target Fund”) transferred all of its property and assets to the American Beacon Bridgeway Large Cap Growth Fund (“Acquiring Fund”) in exchange solely for voting shares of the Acquiring Fund and the assumption of the Target Fund’s liabilities. |
B | Commencement of operations. |
C | Net investment income includes a significant dividend payment from Progressive Corp. amounting to $0.0143. |
D | Amount represents less than $0.01 per share. |
E | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
F | Not annualized. |
G | Annualized. |
H | Amount rounds to less than 0.005%. |
I | Portfolio turnover rate is for the period from February 5, 2016 through June 30, 2016 and is not annualized. |
See accompanying notes
42
American Beacon Bridgeway Large Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | Year EndedA December 31, 2017 | Six Months Ended December 31, 2016 | February 5, 2016B to June 30, 2016 | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.55 | $ | 29.30 | $ | 24.22 | $ | 22.67 | $ | 20.46 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment (loss) | (0.09 | )C | (0.17 | ) | (0.10 | ) | (0.13 | ) | (0.04 | ) | ||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 5.14 | (1.94 | ) | 6.35 | 1.84 | 2.25 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 5.05 | (2.11 | ) | 6.25 | 1.71 | 2.21 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | (0.16 | ) | - | ||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (2.64 | ) | (1.17 | ) | - | - | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | - | (2.64 | ) | (1.17 | ) | (0.16 | ) | - | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 29.60 | $ | 24.55 | $ | 29.30 | $ | 24.22 | $ | 22.67 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | 20.57 | %E | (7.02 | )% | 25.78 | % | 7.52 | %E | 10.80 | %E | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 1,073,234 | $ | 798,319 | $ | 769,559 | $ | 175,907 | $ | 244,146 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.97 | %F | 1.95 | % | 2.09 | % | 2.18 | %F | 7.33 | %F | ||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.96 | %F | 1.96 | % | 1.96 | % | 1.96 | %F | 1.96 | %F | ||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.84 | )%F | (0.76 | )% | (0.90 | )% | (1.04 | )%F | (5.98 | )%F | ||||||||||||||||||||||||||
Net investment (loss), net of reimbursements or recoupments | (0.83 | )%F | (0.77 | )% | (0.77 | )% | (0.81 | )%F | (0.62 | )%F | ||||||||||||||||||||||||||
Portfolio turnover rate | 33 | %E | 60 | % | 78 | % | 40 | %E | 100 | %G |
A | On December 15, 2017, pursuant to a plan of Reorganization on termination, the American Beacon Bridgeway Large Cap Growth II Fund (“Target Fund”) transferred all of its property and assets to the American Beacon Bridgeway Large Cap Growth Fund (“Acquiring Fund”) in exchange solely for voting shares of the Acquiring Fund and the assumption of the Target Fund’s liabilities. |
B | Commencement of operations. |
C | Net investment income includes a significant dividend payment from Progressive Corp. amounting to $0.0125. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover rate is for the period from February 5, 2016 through June 30, 2016 and is not annualized. |
See accompanying notes
43
American Beacon Bridgeway Large Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
R6 Class | ||||||||||||
Six Months Ended June 30, 2019 | April 30, 2018A to December 31, 2018 | |||||||||||
|
| |||||||||||
(unaudited) | ||||||||||||
Net asset value, beginning of period | $ | 25.28 | $ | 30.89 | ||||||||
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.05 | B | 0.12 | |||||||||
Net gains (losses) on investments (both realized and unrealized) | 5.34 | (2.98 | ) | |||||||||
|
|
|
| |||||||||
Total income (loss) from investment operations | 5.39 | (2.86 | ) | |||||||||
|
|
|
| |||||||||
Less distributions: | ||||||||||||
Dividends from net investment income | - | (0.11 | ) | |||||||||
Distributions from net realized gains | - | (2.64 | ) | |||||||||
|
|
|
| |||||||||
Total distributions | - | (2.75 | ) | |||||||||
|
|
|
| |||||||||
Net asset value, end of period | $ | 30.67 | $ | 25.28 | ||||||||
|
|
|
| |||||||||
Total returnC | 21.32 | %D | (9.07 | )%D | ||||||||
|
|
|
| |||||||||
Ratios and supplemental data: |
| |||||||||||
Net assets, end of period | $ | 110,325 | $ | 90,943 | ||||||||
Ratios to average net assets: | ||||||||||||
Expenses, before reimbursements | 1.94 | %E | 4.15 | %E | ||||||||
Expenses, net of reimbursements | 0.76 | %E | 0.76 | %E | ||||||||
Net investment (loss), before expense reimbursements | (0.82 | )%E | (2.85 | )%E | ||||||||
Net investment income, net of reimbursements | 0.36 | %E | 0.54 | %E | ||||||||
Portfolio turnover rate | 33 | %D | 60 | %F |
A | Commencement of operations. |
B | Net investment income includes a significant dividend payment from Progressive Corp. amounting to $0.0133. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from April 30, 2018 through December 31, 2018 and is not annualized. |
See accompanying notes
44
American Beacon Bridgeway Large Cap Value FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.61 | $ | 28.57 | $ | 26.08 | $ | 22.75 | $ | 23.89 | $ | 21.39 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.23 | 0.45 | 0.37 | 0.38 | 0.28 | 0.10 | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.36 | (4.28 | ) | 3.78 | 3.32 | (0.58 | ) | 2.94 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 3.59 | (3.83 | ) | 4.15 | 3.70 | (0.30 | ) | 3.04 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.47 | ) | (0.39 | ) | (0.35 | ) | (0.29 | ) | (0.17 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (1.66 | ) | (1.27 | ) | (0.02 | ) | (0.55 | ) | (0.37 | ) | |||||||||||||||||||||||||||||||||
Tax return of capital | - | - | - | - | (0.00 | )A | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (2.13 | ) | (1.66 | ) | (0.37 | ) | (0.84 | ) | (0.54 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 26.20 | $ | 22.61 | $ | 28.57 | $ | 26.08 | $ | 22.75 | $ | 23.89 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnB | 15.88 | %C | (13.28 | )% | 15.88 | % | 16.24 | % | (1.23 | )% | 14.18 | % | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 1,514,895,472 | $ | 1,442,789,043 | $ | 1,547,760,278 | $ | 1,185,013,905 | $ | 682,849,171 | $ | 313,660,568 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 0.74 | %D | 0.72 | % | 0.72 | % | 0.73 | % | 0.75 | % | 0.79 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 0.74 | %D | 0.72 | % | 0.72 | % | 0.73 | % | 0.79 | % | 0.84 | % | ||||||||||||||||||||||||||||||||
Net investment income, before expense reimbursements | 1.77 | %D | 1.63 | % | 1.41 | % | 1.69 | % | 1.61 | % | 1.08 | % | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements or recoupments | 1.77 | %D | 1.63 | % | 1.41 | % | 1.69 | % | 1.57 | % | 1.04 | % | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 20 | %C | 49 | % | 48 | % | 56 | % | 43 | % | 31 | % |
A | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
See accompanying notes
45
American Beacon Bridgeway Large Cap Value FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.54 | $ | 28.49 | $ | 26.01 | $ | 22.69 | $ | 23.84 | $ | 21.35 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.22 | 0.44 | 0.33 | 0.32 | 0.27 | 0.13 | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.35 | (4.28 | ) | 3.79 | 3.35 | (0.57 | ) | 2.90 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 3.57 | (3.84 | ) | 4.12 | 3.67 | (0.30 | ) | 3.03 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.45 | ) | (0.37 | ) | (0.33 | ) | (0.30 | ) | (0.17 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (1.66 | ) | (1.27 | ) | (0.02 | ) | (0.55 | ) | (0.37 | ) | |||||||||||||||||||||||||||||||||
Tax return of capital | - | - | - | - | (0.00 | )A | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (2.11 | ) | (1.64 | ) | (0.35 | ) | (0.85 | ) | (0.54 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 26.11 | $ | 22.54 | $ | 28.49 | $ | 26.01 | $ | 22.69 | $ | 23.84 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnB | 15.84 | %C | (13.35 | )% | 15.82 | % | 16.17 | % | (1.26 | )% | 14.15 | % | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 1,468,435,275 | $ | 1,502,519,807 | $ | 1,547,228,114 | $ | 879,852,983 | $ | 414,585,125 | $ | 119,162,044 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 0.81 | %D | 0.79 | % | 0.79 | % | 0.80 | % | 0.81 | % | 0.84 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 0.81 | %D | 0.79 | % | 0.79 | % | 0.80 | % | 0.81 | % | 0.85 | % | ||||||||||||||||||||||||||||||||
Net investment income, before expense reimbursements | 1.70 | %D | 1.57 | % | 1.35 | % | 1.63 | % | 1.55 | % | 1.03 | % | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements or recoupments | 1.70 | %D | 1.57 | % | 1.35 | % | 1.63 | % | 1.55 | % | 1.03 | % | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 20 | %C | 49 | % | 48 | % | 56 | % | 43 | % | 31 | % |
A | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
See accompanying notes
46
American Beacon Bridgeway Large Cap Value FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.50 | $ | 28.41 | $ | 25.93 | $ | 22.64 | $ | 23.77 | $ | 21.28 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.20 | 0.43 | 0.32 | 0.27 | 0.25 | 0.14 | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.34 | (4.33 | ) | 3.71 | 3.31 | (0.61 | ) | 2.82 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 3.54 | (3.90 | ) | 4.03 | 3.58 | (0.36 | ) | 2.96 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.35 | ) | (0.28 | ) | (0.27 | ) | (0.22 | ) | (0.10 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (1.66 | ) | (1.27 | ) | (0.02 | ) | (0.55 | ) | (0.37 | ) | |||||||||||||||||||||||||||||||||
Tax return of capital | - | - | - | - | (0.00 | )A | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (2.01 | ) | (1.55 | ) | (0.29 | ) | (0.77 | ) | (0.47 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 26.04 | $ | 22.50 | $ | 28.41 | $ | 25.93 | $ | 22.64 | $ | 23.77 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnB | 15.73 | %C | (13.60 | )% | 15.52 | % | 15.81 | % | (1.51 | )% | 13.89 | % | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: |
| |||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 905,740,992 | $ | 886,572,501 | $ | 1,387,184,369 | $ | 1,583,853,257 | $ | 977,719,149 | $ | 668,659,150 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.08 | %D | 1.05 | % | 1.06 | % | 1.08 | % | 1.09 | % | 1.11 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.08 | %D | 1.05 | % | 1.06 | % | 1.08 | % | 1.09 | % | 1.11 | % | ||||||||||||||||||||||||||||||||
Net investment income, before expense reimbursements | 1.43 | %D | 1.26 | % | 1.04 | % | 1.35 | % | 1.28 | % | 0.76 | % | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements | 1.43 | %D | 1.26 | % | 1.04 | % | 1.35 | % | 1.28 | % | 0.76 | % | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 20 | %C | 49 | % | 48 | % | 56 | % | 43 | % | 31 | % |
A | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
See accompanying notes
47
American Beacon Bridgeway Large Cap Value FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.41 | $ | 28.32 | $ | 25.82 | $ | 22.53 | $ | 23.66 | $ | 21.22 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.26 | 0.36 | 0.42 | 0.32 | 0.27 | 0.09 | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.26 | (4.25 | ) | 3.58 | 3.24 | (0.64 | ) | 2.84 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 3.52 | (3.89 | ) | 4.00 | 3.56 | (0.37 | ) | 2.93 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.36 | ) | (0.23 | ) | (0.25 | ) | (0.21 | ) | (0.12 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (1.66 | ) | (1.27 | ) | (0.02 | ) | (0.55 | ) | (0.37 | ) | |||||||||||||||||||||||||||||||||
Tax return of capital | - | - | - | - | (0.00 | )A | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (2.02 | ) | (1.50 | ) | (0.27 | ) | (0.76 | ) | (0.49 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 25.93 | $ | 22.41 | $ | 28.32 | $ | 25.82 | $ | 22.53 | $ | 23.66 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnB | 15.71 | %C | (13.60 | )% | 15.46 | % | 15.79 | % | (1.56 | )% | 13.76 | % | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 72,227,502 | $ | 79,610,028 | $ | 96,229,248 | $ | 152,520,884 | $ | 147,394,607 | $ | 103,716,652 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.09 | %D | 1.07 | % | 1.08 | % | 1.12 | % | 1.12 | % | 1.19 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.09 | %D | 1.07 | % | 1.08 | % | 1.12 | % | 1.12 | % | 1.21 | % | ||||||||||||||||||||||||||||||||
Net investment income, before expense reimbursements | 1.42 | %D | 1.28 | % | 1.01 | % | 1.31 | % | 1.25 | % | 0.69 | % | ||||||||||||||||||||||||||||||||
Net investment income, net of reimbursements or recoupments | 1.42 | %D | 1.28 | % | 1.01 | % | 1.31 | % | 1.25 | % | 0.67 | % | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 20 | %C | 49 | % | 48 | % | 56 | % | 43 | % | 31 | % |
A | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
See accompanying notes
48
American Beacon Bridgeway Large Cap Value FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.86 | $ | 27.63 | $ | 25.27 | $ | 22.08 | $ | 23.27 | $ | 21.00 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 0.10 | 0.16 | 0.08 | 0.13 | 0.13 | 0.02 | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.24 | (4.12 | ) | 3.62 | 3.16 | (0.66 | ) | 2.69 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
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Total income (loss) from investment operations | 3.34 | (3.96 | ) | 3.70 | 3.29 | (0.53 | ) | 2.71 | ||||||||||||||||||||||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | (0.15 | ) | (0.07 | ) | (0.08 | ) | (0.11 | ) | (0.07 | ) | |||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (1.66 | ) | (1.27 | ) | (0.02 | ) | (0.55 | ) | (0.37 | ) | |||||||||||||||||||||||||||||||||
Tax return of capital | - | - | - | - | (0.00 | )A | - | |||||||||||||||||||||||||||||||||||||
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Total distributions | - | (1.81 | ) | (1.34 | ) | (0.10 | ) | (0.66 | ) | (0.44 | ) | |||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 25.20 | $ | 21.86 | $ | 27.63 | $ | 25.27 | $ | 22.08 | $ | 23.27 | ||||||||||||||||||||||||||||||||
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Total returnB | 15.28 | %C | (14.23 | )% | 14.62 | % | 14.91 | % | (2.27 | )% | 12.88 | % | ||||||||||||||||||||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 69,702,791 | $ | 75,231,917 | $ | 102,553,616 | $ | 100,447,531 | $ | 84,411,378 | $ | 33,536,254 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.81 | %D | 1.79 | % | 1.83 | % | 1.86 | % | 1.87 | % | 1.92 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursements | 1.81 | %D | 1.79 | % | 1.83 | % | 1.86 | % | 1.87 | % | 1.94 | % | ||||||||||||||||||||||||||||||||
Net investment income (loss), before expense reimbursements | 0.69 | %D | 0.54 | % | 0.28 | % | 0.57 | % | 0.48 | % | (0.05 | )% | ||||||||||||||||||||||||||||||||
Net investment income (loss), net of reimbursements or recoupments | 0.69 | %D | 0.54 | % | 0.28 | % | 0.57 | % | 0.48 | % | (0.08 | )% | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 20 | %C | 49 | % | 48 | % | 56 | % | 43 | % | 31 | % |
A | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
See accompanying notes
49
American Beacon Bridgeway Large Cap Value FundSM
Financial Highlights
(For a share outstanding throughout the period)
R6 Class | ||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | April 28, 2017A to December 31, 2017 | ||||||||||||||||||
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(unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $ | 22.59 | $ | 28.55 | $ | 26.73 | ||||||||||||||
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Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.26 | 0.54 | 0.11 | |||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.34 | (4.37 | ) | 3.37 | ||||||||||||||||
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Total income (loss) from investment operations | 3.60 | (3.83 | ) | 3.48 | ||||||||||||||||
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Less distributions: | ||||||||||||||||||||
Dividends from net investment income | - | (0.47 | ) | (0.39 | ) | |||||||||||||||
Distributions from net realized gains | - | (1.66 | ) | (1.27 | ) | |||||||||||||||
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Total distributions | - | (2.13 | ) | (1.66 | ) | |||||||||||||||
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Net asset value, end of period | $ | 26.19 | $ | 22.59 | $ | 28.55 | ||||||||||||||
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Total returnB | 15.94 | %C | (13.27 | )% | 13.01 | %C | ||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period | $ | 200,027,066 | $ | 147,107,520 | $ | 91,521,786 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses, before reimbursements | 0.71 | %D | 0.70 | % | 0.75 | %D | ||||||||||||||
Expenses, net of reimbursements | 0.71 | %D | 0.70 | % | 0.71 | %D | ||||||||||||||
Net investment income, before expense reimbursements | 1.81 | %D | 1.69 | % | 1.44 | %D | ||||||||||||||
Net investment income, net of reimbursements | 1.82 | %D | 1.69 | % | 1.48 | %D | ||||||||||||||
Portfolio turnover rate | 20 | %C | 49 | % | 48 | %E |
A | Commencement of operations. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Portfolio turnover rate is for the period from April 28, 2017 through December 31, 2017 and is not annualized. |
See accompanying notes
50
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Atin-person meetings held on May 9, 2019 and June4-5, 2019 (collectively, the “Meetings”), the Board of Trustees (“Board” or “Trustees”) considered and then, at its June 5, 2019 meeting, approved the renewal of:
(1) the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Trust”), on behalf of the American Beacon Bridgeway Large Cap Growth Fund (“LCG Fund”) and the American Beacon Bridgeway Large Cap Value Fund (“LCV Fund”) (each, a “Fund” and collectively, the “Funds”); and
(2) the Investment Advisory Agreement among the Manager, Bridgeway Capital Management, Inc. (the “subadvisor”), and the Trust, on behalf of the Funds.
The Management Agreement and the Investment Advisory Agreement are referred to herein individually as an “Agreement” and collectively as the “Agreements.” In preparation for its consideration of the renewal of the Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisor, Broadridge, Inc. (“Broadridge”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and the subadvisor.
In advance of the Meetings, the Board’s Investment Committee and/or the Manager coordinated the production of information from Broadridge and Morningstar regarding the performance, fees and expenses of the Funds as well as information from the Manager and the subadvisor. At the Meetings, the Board considered the information provided in connection with the renewal process, as well as information furnished to the Board throughout the year at regular meetings of the Board and its committees. In connection with the Board’s consideration of the Agreements, the Board received and evaluated such information as they deemed necessary. This information is described below in the section summarizing the factors the Board considered in connection with its renewal and approval of the Agreements, as well as the section describing additional Board considerations with respect to each Fund.
The Board noted that the Manager provides management and administrative services to the Funds pursuant to the Management Agreement. The Board considered that many mutual funds have separate contracts governing each type of service and observed that, with respect to such mutual funds, the actual management fee rates provided by Broadridge for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.
A firm may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of the firm based on information that was provided. In such cases, the Board determined that the omission of any such information was not material to its considerations. For each Fund, the class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of investment advisory contracts, such as the Agreements. The memorandum explained the regulatory requirements surrounding the Board’s process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Funds and their shareholders.
51
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Considerations With Respect to the Renewal of the Management Agreement and the Investment Advisory Agreement
In determining whether to renew the Agreements, the Board considered each Fund’s investment management and subadvisory relationships separately. In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of the Funds; (3) the costs incurred by the Manager in rendering services to the Funds and its resulting profits or losses; (4) comparisons of services and fee rates with contracts entered into by the Manager or the subadvisor or their affiliates with other clients (such as pension funds and other institutional clients); (5) the extent to which economies of scale, if any, have been taken into account in setting each fee rate schedule; (6) whether fee rate levels reflect economies of scale, if any, for the benefit of Fund investors; and (7) any other benefits derived or anticipated to be derived by the Manager or the subadvisor from their relationships with the Funds.
Nature, Extent and Quality of Services.With respect to the renewal of the Management Agreement, the Board considered, among other factors: each Fund’s long-term performance; the length of service of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support that reduce risks to the Funds; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; and the Manager’s efforts to retain key employees and maintain staffing levels.
With respect to the renewal of the Investment Advisory Agreement, the Board considered the level of staffing and the size of the subadvisor. The Board also considered the adequacy of the resources committed to the Funds by the subadvisor, and whether those resources were commensurate with the needs of the Funds and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of the subadvisor. The Board also considered the subadvisor’s representations regarding its compliance program and code of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and the subadvisor were appropriate for each Fund.
Investment Performance.The Board evaluated the comparative information provided by Broadridge and the Manager regarding the performance of each Fund relative to its Broadridge performance universe, Morningstar Category, and benchmark index, as well as the Fund’s Morningstar rating. The Board considered the information provided by Broadridge regarding Broadridge’s independent methodology for selecting each Fund’s Broadridge performance universe. The Board also considered that the performance universes selected by Broadridge may not provide appropriate comparisons for a Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also evaluated the comparative information provided by the subadvisor regarding the performance of each Fund relative to the performance of other comparable investment accounts managed by the subadvisor, the Fund’s benchmark index and an appropriate peer group for the Fund. In addition, the Board considered the Manager’s recommendation to continue to retain the subadvisor. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Costs of the Services Provided to the Funds and the Profits Realized by the Manager from its Relationship with the Funds.In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager, before and after the payment of distribution-related expenses by the Manager. The profits or losses were noted at both an aggregate level for all funds within the group of mutual funds sponsored by the Manager (the “Fund Complex”) and at an individual Fund level, with the Manager earning a profit before and after the payment of distribution-related expenses by the Manager for each Fund. The Board also considered comparative information provided by the Manager regarding the Manager’s overall profitability with respect to the Fund Complex relative to the overall profitability of other firms in the mutual fund industry, as disclosed in publicly available sources. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the Manager represented that,
52
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
among other matters, the difference is attributable to the fact that the Manager does not perform administrative services fornon-investment company clients and reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for the LCG Fund that were in place during the last fiscal year. The Board further considered that, with respect to each Fund, the Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager. In addition, the Board considered that the Manager receives fees for overseeing the securities lending program on behalf of the Funds. The Board also noted that certain share classes of the Funds maintain higher expense ratios in order to compensate third-party financial intermediaries.
In analyzing the fee rates charged by the subadvisor in connection with its investment advisory services to the Funds, the Board considered representations made by the subadvisor that, with respect to the LCG Fund, the subadvisor does not manage any comparable client accounts and therefore could not provide fee schedules for comparable investment accounts managed by the subadvisor, and, with respect to the LCV Fund, the subadvisory fee rate schedule was generally favorable compared to other comparable client accounts. The Board did not request profitability data from the subadvisor because the Board did not view this data as imperative to its deliberations given thearm’s-length nature of the relationship between the Manager and the subadvisor with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that the subadvisor may not account for its profits on anaccount-by-account basis and that different firms likely employ different methodologies in connection with these calculations.
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to each Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Economies of Scale.In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as each Fund grows and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered that the Manager has negotiated breakpoints in the subadvisory fee rate for the Funds.
In addition, the Board noted the Manager’s representation that the Management Agreement contains fee schedule breakpoints at higher asset levels with respect to each Fund. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for each Fund provide for a reasonable sharing of benefits from any economies of scale with each Fund.
Benefits Derived from the Relationship with the Funds.The Board considered the“fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisor as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or the subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisor. The Board also considered that the Manager may invest the Funds’ cash balances and cash collateral provided by the borrowers of the Funds’ securities in the American Beacon U.S. Government Money Market Select Fund, which the Manager manages directly. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisor by virtue of their relationships with the Funds appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to Each Fund
The performance comparisons below were made in comparison to each Fund’s Broadridge performance universe and Morningstar Category. With respect to the Broadridge performance universe, the 1st Quintile represents the top 20 percent of the universe based on performance and the 5th Quintile representing the bottom 20 percent of the universe based on performance. References below to each Fund’s Broadridge performance
53
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
universe are to the universe of mutual funds with a comparable investment classification/objective included in the analysis provided by Broadridge. In reviewing the performance, the Board viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration because relative performance over shorter periods may be significantly impacted by market or economic events and not necessarily reflective of manager skill.
The expense comparisons below were made in comparison to each Fund’s Broadridge expense universe and Broadridge expense group, with the 1st Quintile representing the lowest 20 percent of the universe or group based on lowest total expense and the 5th Quintile representing the highest 20 percent of the universe or group based on highest total expense. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Broadridge. A Broadridge expense group consists of the Fund and a representative sample of funds with similar operating structures and asset sizes, as selected by Broadridge. A Broadridge expense universe includes all funds in the investment classification/objective with a similar operating structure as the share class of the Fund included in the Broadridge comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Board also considered each Fund’s Morningstar fee level category. In reviewing expenses, the Board considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the subadvisor’s use of soft dollars was requested from the Manager and was considered by the Board.
Additional Considerations and Conclusions with Respect to the American Beacon Bridgeway Large Cap Growth Fund
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with the subadvisor for the LCG Fund, the Board considered the following additional factors:
Broadridge Total Expense Analysis Excluding12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 2nd Quintile | |
Compared to Broadridge Expense Universe | 3rd Quintile | |
Morningstar Fee Level Ranking – Institutional Class | Above Average Expense Ratio |
Broadridge and Morningstar Performance Analysis(five-year period ended December 31, 2018)
Compared to Broadridge Performance Universe | 2nd Quintile | |
Compared to Morningstar Category | 2nd Quintile |
The Board also considered: (1) that the LCG Fund acquired all of the assets of the Bridgeway Large Cap Growth Fund (“Acquired Fund”), a series of Bridgeway Funds, Inc., on February 5, 2016, and the LCG Fund’s performance prior to that date is the performance of the Acquired Fund; (2) the Bridgeway Large Cap Growth II Fund assets were merged with the LCG Fund on December 15, 2017; (3) the subadvisor’s representation that it has no other comparable accounts in the same strategy as the subadvisor manages the LCG Fund; and (4) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations, the Board: (1) concluded that the fees paid to the Manager and subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; and (2) determined that the LCG Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the LCG Fund.
54
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Additional Considerations and Conclusions with Respect to the American Beacon Bridgeway Large Cap Value Fund
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with the subadvisor for the LCV Fund, the Board considered the following additional factors:
Broadridge Total Expense Analysis Excluding12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 3rd Quintile | |
Compared to Broadridge Expense Universe | 3rd Quintile | |
Morningstar Fee Level Ranking – Institutional Class | Average Expense Ratio |
Broadridge and Morningstar Performance Analysis(five-year period ended December 31, 2018)
Compared to Broadridge Performance Universe | 2nd Quintile | |
Compared to Morningstar Category | 2nd Quintile |
The Board also considered: (1) information provided by the subadvisor regarding fee rates charged for managing assets in the same or a similar strategy as the subadvisor manages the LCV Fund; and (2) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations, the Board: (1) concluded that the fees paid to the Manager and subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; and (2) determined that the LCV Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the LCV Fund.
55
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56
Delivery of Documents
eDelivery isNOW AVAILABLE - Stop traditional mail delivery and receive your shareholder reports and summary prospectus on-line. Sign up at
www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, bye-mail. If you are interested in this option, please go towww.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
ByE-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website atwww.americanbeaconfunds.com | |
By Telephone: Call (800)658-5811 | By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 | |
Availability of Quarterly Portfolio Schedules | Availability of Proxy Voting Policy and Records | |
In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-PORT as of the first and third fiscal quarters. The Fund’s Forms N-PORT are available on the SEC’s website atwww.sec.gov. The Forms N-PORT may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, D.C. 20549-2736. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling(800)-SEC-0330. A complete schedule of the Fund’s portfolio holdings is also available atwww.americanbeaconfunds.com approximately sixty days after the end of each calendar quarter. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s websitewww.americanbeaconfunds.com and by calling1-800-967-9009 or by accessing the SEC’s website atwww.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on FormN-PX. The Fund’s FormsN-PX are available on the SEC’s website atwww.sec.gov. The Fund’s proxy voting record may also be obtained by calling1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Company Boston, Massachusetts | TRANSFER AGENT DST Asset Manager Solutions, Inc. Quincy, Massachusetts | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas | DISTRIBUTOR Resolute Investment Distributors, Inc. Irving, Texas |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds, American Beacon Bridgeway Large Cap Growth Fund, and American Beacon Bridgeway Large Cap Value Fund are service marks of American Beacon Advisors, Inc.
SAR 6/19
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
STEPHENSMID-CAP GROWTH FUND
Growth stockstypically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Investing inmedium-capitalization stocksmay involve greater volatility and lower liquidity than larger company stocks. Investing inforeign securitiesmay involve heightened risk due to currency fluctuations and economic and political risks. The use offutures contractsfor cash management may subject the Fund to losing more money than invested. The Fund participates in asecurities lendingprogram. Please see the prospectus for a complete discussion of the Fund’s risks. There can be no assurances that the investment objectives of this Fund will be met.
STEPHENS SMALL CAP GROWTH FUND
Growth stockstypically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Investing insmall-capitalization stocksmay involve greater volatility and lower liquidity than larger company stocks. Investing inforeign securitiesmay involve heightened risk due to currency fluctuations and economic and political risks. The use offutures contractsfor cash management may subject the Fund to losing more money than invested. The Fund participates in asecurities lendingprogram. Please see the prospectus for a complete discussion of the Fund’s risks. There can be no assurances that the investment objectives of this Fund will be met.
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions, and, therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | June 30, 2019 |
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Renewal and Approval of Management Agreement and Investment Advisory Agreement | 49 |
Back Cover |
Dear Shareholders,
At American Beacon, we take our heritage as a fiduciary very seriously — and we apply that mindset to all aspects of our business as a fund manager. As a result, for more than 30 years, we have endeavored to:
u Identify, engage and oversee the best money managers.As a manager of managers, our goal is to engage the most effective money managers for each asset class, investment style and market strategy we offer. We are committed to partnering with those we judge to be “the best of the best” when it comes to choosingsub-advisors for our mutual funds. Whether ourdue-diligence process results in the selection of onesub-advisor or multiplesub-advisors, we select those we believe show the greatest potential to help us meet the high standards you’ve come to expect. |
u | Offer a variety of innovative investment solutions.Our mutual funds — which span the domestic, international, global, frontier and emerging markets — aresub-advised by experienced money managers who employ distinctive, proprietary investment processes to manage assets through a variety of economic and market conditions. From offering some of the first multi-manager funds, one of the first retirement income funds and the first open-ended mutual fund in the U.S. to focus primarily on frontier-market debt, our robust history includes applying a disciplined, solutions-based approach to our product development process in an effort to help you grow your assets while mitigating risk. |
u | Provide a solutions-based approach to achieving long-term investment goals.We seek to provide investment solutions that might enable you to benefit from taking a more disciplined approach to investing. Our mutual funds provide access to institutional-quality, research-intensive investment managers with diverse processes and styles. Over the long run, having such access and spending time in the market — rather than trying to time the market — may better position you to reach your long-term investment goals during market upswings and potentially insulate against market downswings. |
Our management approach is more than a concept; it’s the cornerstone of American Beacon’s culture. And we strive to employ it at every turn as we seek to provide a well-diversified line of investment solutions to help our shareholders seek long-term rewards.
Thank you for your continued interest in American Beacon. For additional information about our mutual funds or to access your account information, please visit our website atwww.americanbeaconfunds.com.
Best Regards,
Gene L. Needles, Jr.
President
American Beacon Funds
1
American Beacon Stephens Mid-Cap Growth FundSM
June 30, 2019 (Unaudited)
The Investor Class of the American Beacon StephensMid-Cap Growth Fund (the “Fund”) returned 26.12% for the six months ended June 30, 2019. The Fund outperformed the Russell Midcap® Growth Index (the “Index”) return of 26.08% for the same period.
Average Annual Total Returns for the Period ended June 30, 2019 |
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Ticker | 6 Months* | 1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||||||||||||||
Institutional Class (1,2,8) | SFMIX | 26.38 | % | 14.30 | % | 21.28 | % | 12.03 | % | 16.29 | % | |||||||||||||||||||||
Y Class (1,3,8) | SMFYX | 26.32 | % | 14.17 | % | 21.17 | % | 11.91 | % | 16.14 | % | |||||||||||||||||||||
Investor Class (1,8) | STMGX | 26.12 | % | 13.90 | % | 20.90 | % | 11.63 | % | 15.90 | % | |||||||||||||||||||||
A Class without Sales Charge (1,4,8) | SMFAX | 26.14 | % | 13.86 | % | 20.84 | % | 11.59 | % | 15.86 | % | |||||||||||||||||||||
A Class with Sales Charge (1,4,8) | SMFAX | 18.89 | % | 7.33 | % | 18.48 | % | 10.28 | % | 15.17 | % | |||||||||||||||||||||
C Class without Sales Charge (1,5,8) | SMFCX | 25.68 | % | 13.04 | % | 19.93 | % | 10.76 | % | 15.23 | % | |||||||||||||||||||||
C Class with Sales Charge (1,5,8) | SMFCX | 24.68 | % | 12.04 | % | 19.93 | % | 10.76 | % | 15.23 | % | |||||||||||||||||||||
R6 Class (1,6,8) | SFMRX | 26.42 | % | 14.34 | % | 21.30 | % | 12.03 | % | 16.29 | % | |||||||||||||||||||||
Russell Midcap® Growth Index (7) | 26.08 | % | 13.94 | % | 16.49 | % | 11.10 | % | 16.02 | % | ||||||||||||||||||||||
S&P 500 Index (7) | 18.54 | % | 10.42 | % | 14.19 | % | 10.71 | % | 14.70 | % |
* | Not Annualized. |
1. | Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is calculated based on the publishedend-of-day net asset values as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please call1-800-9687-9009 or visitwww.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only; and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. Please note that the recent performance of the securities market has helped produce short-term returns that are not typical and may not continue in the future. A portion of the fees charged to the Investor Class was waived from 2007 through 2013, partially recovered in 2014, fully recovered in 2015, and waived in 2018 and 2019. Performance prior to waiving fees was lower than the actual returns shown for 2007 through 2013 and for 2018 through 2019. |
2. | A portion of the fees charged to the Institutional Class has been waived since 2009. Performance prior to waiving fees was lower than the actual returns shown since 2009. |
3. | Fund performance for theten-year period represents the returns achieved by the Investor Class from 6/30/09 up to 2/24/12, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are lower than those of the Investor Class. Therefore, total returns shown may be lower than they would have been had the Y Class been in existence since 6/30/09. A portion of the fees charged to the Y Class was waived in 2012 and 2013, partially recovered in 2014, fully recovered in 2015, and waived in 2017 through 2019. Performance prior to waiving fees was lower than the actual returns shown in 2012, 2013, and 2017 through 2019. |
4. | Fund performance for theten-year period represents the returns achieved by the Investor Class from 6/30/09 up to 2/24/12, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. Therefore, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/09. A portion of the fees charged to the A Class was waived in 2012 and 2013, fully recovered in 2015, and waived in 2016, 2018 and 2019. Performance prior to waiving fees was lower than the actual returns shown in 2012, 2013, 2016, 2018 and 2019. A Class has a maximum sales charge of 5.75%. |
5. | Fund performance for the one-year, three-year, five-year andten-year periods represents the returns achieved by the Investor Class from 6/30/09 up to 2/24/12, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. Therefore, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/09. A portion of the fees charged to the C Class was waived from 2012 through 2014, fully recovered in 2015, and waived in 2016 through 2019. Performance prior to waiving fees was lower than actual returns shown for 2012 through 2014 and for 2016 through 2019. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase. |
6. | Fund performance for theten-year period represents the returns achieved by the Institutional Class from 6/30/09 up to 12/31/18, the inception date of the R6 Class, and the returns of the R6 Class since its inception. Expenses of the R6 Class are lower than those of the Institutional Class. Therefore, total returns shown may be lower than they would have been had the R6 Class been in existence since 6/30/09. A portion of the fees charged to the R6 Class has been waived since Class inception. |
7. | The Russell Midcap® Growth Index is an unmanaged index of those stocks in the Russell Midcap Index with higherprice-to-book ratios and higher forecasted growth values. Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index. Russell Midcap Index, |
2
American Beacon Stephens Mid-Cap Growth FundSM
Performance Overview
June 30, 2019 (Unaudited)
Russell Midcap Growth Index and Russell 1000 Index are registered trademarks of Frank Russell Company. Frank Russell Company (“Russell”) is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company. Neither Russell nor its licensors accept any liability for any errors or omissions in the Russell Indexes and/ or Russell ratings or underlying data, and no party may rely on any Russell Indexes and/or Russell ratings and/or underlying data contained in this communication. No further distribution of Russell Data is permitted without Russell’s express written consent. Russell does not promote, sponsor or endorse the content of this communication. The S&P 500 Index is an unmanaged index of common stocks publicly traded in the United States. The S&P 500 Index is a product of S&P Dow Jones Indices LLC, a division of S&P Global or its affiliates (“SPDJI”) and has been licensed for use by American Beacon Advisors. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”). Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The American Beacon StephensMid-Cap Growth Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P or their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions or interruptions of the S&P 500 Index. One cannot directly invest in an index. |
8. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, C and R6 Class shares were 1.03%, 1.07%, 1.27%, 1.32%, 2.06% and 0.98%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund outperformed the Index due to stock selection, as sector allocation detracted from relative performance.
Most of the Fund’s outperformance related to security selection was attributable to holdings in the Industrials and Information Technology sectors. Within Industrials, CoStar Group, Inc. was up 63.5%, HEICO Corp., Class A was up 66.9% and Copart, Inc. was up 56.4%. In the Information Technology sector, Shopify, Inc., Class A was up 116.3%, Euronet Worldwide, Inc. was up 63.0%, Cadence Design Systems, Inc. was up 62.9% and Aspen Technology, Inc. was up 49.3%.
Detracting from relative performance, however, were holdings in the Health Care sector, in which ABIOMED, Inc. was down 20.2% and Covetrus, Inc. was down 42.1%. Selection within Energy also lagged during the period, with Range Resources Corp. down 26.7% and Core Laboratories N.V. down 11.5%.
From a sector allocation perspective, the Fund’s overweights to Energy and Health Care detracted from relative performance. Conversely, the Fund held underweights to both Consumer Staples and Materials during the period which was helpful.
Looking forward, the Fund’ssub-advisor will continue to maintain a disciplined, long-term approach to equity investing in medium capitalization stocks with above-average growth potential.
Top Ten Holdings (% Net Assets) | ||||||||
IDEXX Laboratories, Inc. | 2.2 | |||||||
CoStar Group, Inc. | 2.0 | |||||||
Aspen Technology, Inc. | 1.9 | |||||||
Illumina, Inc. | 1.9 | |||||||
Verisk Analytics, Inc. | 1.9 | |||||||
Cadence Design Systems, Inc. | 1.8 | |||||||
Live Nation Entertainment, Inc. | 1.8 | |||||||
MarketAxess Holdings, Inc. | 1.8 | |||||||
Copart, Inc. | 1.7 | |||||||
Global Payments, Inc. | 1.7 | |||||||
Total Fund Holdings | 95 | |||||||
Sector Allocation (% Equities) | ||||||||
Information Technology | 32.6 | |||||||
Health Care | 22.0 | |||||||
Consumer Discretionary | 15.1 | |||||||
Industrials | 14.7 | |||||||
Communication Services | 5.7 | |||||||
Financials | 5.2 | |||||||
Energy | 2.4 | |||||||
Consumer Staples | 2.3 |
3
American Beacon Stephens Small Cap Growth FundSM
Performance Overview
June 30, 2019 (Unaudited)
The Investor Class of the American Beacon Stephens Small Cap Growth Fund (the “Fund”) returned 22.98% for the six months ended June 30, 2019, outperforming the Russell 2000® Growth Index (the “Index”) return of 20.36% for the same period.
Average Annual Total Returns for the Period ended June 30, 2019 |
| |||||||||||||||||||||||||||||||
Ticker | 6 Months* | 1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||||||||||||||
Institutional Class (1,2,8) | STSIX | 23.14 | % | 7.62 | % | 18.26 | % | 9.67 | % | 14.70 | % | |||||||||||||||||||||
Y Class (1,3,8) | SPWYX | 23.12 | % | 7.53 | % | 18.18 | % | 9.58 | % | 14.57 | % | |||||||||||||||||||||
Investor Class (1,8) | STSGX | 22.98 | % | 7.32 | % | 17.96 | % | 9.36 | % | 14.41 | % | |||||||||||||||||||||
A Class without Sales Charge (1,4,8) | SPWAX | 22.89 | % | 7.28 | % | 17.89 | % | 9.29 | % | 14.31 | % | |||||||||||||||||||||
A Class with Sales Charge (1,4,8) | SPWAX | 15.84 | % | 1.10 | % | 15.58 | % | 8.01 | % | 13.63 | % | |||||||||||||||||||||
C Class without Sales Charge (1,5,8) | SPWCX | 22.55 | % | 6.52 | % | 17.01 | % | 8.47 | % | 13.68 | % | |||||||||||||||||||||
C Class with Sales Charge (1,5,8) | SPWCX | 21.55 | % | 5.52 | % | 17.01 | % | 8.47 | % | 13.68 | % | |||||||||||||||||||||
R6 Class (1,6,8) | STSRX | 23.21 | % | 7.68 | % | 18.28 | % | 9.68 | % | 14.71 | % | |||||||||||||||||||||
Russell 2000® Growth Index (7) | 20.36 | % | (0.49 | )% | 14.69 | % | 8.63 | % | 14.41 | % | ||||||||||||||||||||||
S&P 500 Index (7) | 18.54 | % | 10.42 | % | 14.19 | % | 10.71 | % | 14.70 | % |
* | Not Annualized. |
1. | Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is calculated based on the publishedend-of-day net asset values as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visitwww.americanbeaconfunds.com or call1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only; and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. Please note that the recent performance of the securities market has helped produce short-term returns that are not typical and may not continue in the future. A portion of the fees charged to the Investor Class was waived from 2005 through 2013, fully recovered in 2014, waived in 2015, partially recovered in 2017 and fully recovered in 2018. Performance prior to waiving fees was lower than actual returns shown for 2005 through 2013 and for 2015. |
2. | A portion of the fees charged to the Institutional Class was waived from 2009 through 2013 and fully recovered in 2014. Performance prior to waiving fees was lower than actual returns shown for 2009 through 2013. |
3. | Fund performance for theten-year period represents the returns achieved by the Investor Class from 6/30/09 up to 2/24/12, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are lower than those of the Investor Class. Therefore, total returns shown may be lower than they would have been had the Y Class been in existence since 6/30/09. A portion of the fees charged to the Y Class was waived in 2012 and 2013 and fully recovered in 2014. Performance prior to waiving fees was lower than actual returns shown for 2012 and 2013. |
4. | Fund performance for theten-year period represents the returns achieved by the Investor Class from 6/30/09 up to 2/24/12, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/09. A portion of the fees charged to the A Class was waived in 2012, partially recovered in 2013 and 2014, and fully recovered in 2015. Performance prior to waiving fees was lower than actual returns shown for 2012. A Class has a maximum sales charge of 5.75%. |
5. | Fund performance for theten-year period represents the returns achieved by the Investor Class from 6/30/09 up to 2/24/12, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/09. A portion of the fees charged to the C Class was waived in 2012, partially recovered in 2013 and 2014, and fully recovered in 2015. Performance prior to waiving fees was lower than actual returns shown for 2012. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase. |
6. | Fund performance represents the returns achieved by the Institutional Class from 6/30/09 up to 4/30/19, the inception date of the R6 Class, and the returns of the R6 Class since its inception. Expenses of the R6 Class are lower than those of the Institutional Class. Therefore, total returns shown may be lower than they would have been had the R6 Class been in existence since 6/30/09. |
7. | The Russell 2000® Growth Index is an unmanaged index of those stocks in the Russell 2000 Index with higherprice-to-book ratios and higher forecasted growth values. Russell 2000 Index is an unmanaged index of approximately 2000 smaller-capitalization stocks from various industrial sectors. Russell 2000 Index and Russell 2000 Growth Index are registered trademarks of Frank Russell Company. Frank Russell Company (“Russell”) is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company. Neither Russell nor its licensors accept any liability for any errors or omissions in the Russell Indexes and/or Russell ratings or underlying data, and no party may rely on any Russell Indexes and/or Russell ratings and/or underlying data contained in this communication. No further distribution of Russell Data is permitted without |
4
American Beacon Stephens Small Cap Growth FundSM
Performance Overview
June 30, 2019 (Unaudited)
Russell’s express written consent. Russell does not promote, sponsor or endorse the content of this communication. The S&P 500 Index is an unmanaged index of common stocks publicly traded in the United States. The S&P 500 Index is a product of S&P Dow Jones Indices LLC, a division of S&P Global or its affiliates (“SPDJI”) and has been licensed for use by American Beacon Advisors. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”). Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The American Beacon Stephens Small Cap Growth Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P or their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions or interruptions of the S&P 500 Index. One cannot directly invest in an index. |
8. | The Total Annual Fund Operating Expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, C and R6 Class shares were 1.09%, 1.15%, 1.38%, 1.38%, 2.15% and 1.10%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund outperformed the Index due to both security selection and sector allocation.
As it relates to security selection, the drivers of performance were holdings in the Information Technology, Industrials, and Consumer Discretionary sectors. Companies within Information Technology contributing to performance included PROS Holdings, Inc. (up 101.3%), Euronet Worldwide, Inc. (up 64.3%), Globant S.A. (up 79.1%) and Israel Cyberark Software Ltd. (up 71.4%). Within Industrials, the Fund’s position in HEICO Corp., Class A was up 63.9%, CoStar Group, Inc. was up 65.8%, Kornit Digital Ltd. was up 69.1%, and Kratos Defense & Security Solutions, Inc. was up 62.9% for the period. Further boosts to relative performance included Boot Barn Holdings, Inc. (up 121.9%), Aaron’s, Inc. (up 46.2%) and Wingstop, Inc. (up 52.2%) in the Consumer Discretionary sector.
This positive performance was somewhat offset by security selection in the Communication Services and Energy sectors. Within Communication Services, ANGI Homeservices, Inc., Class A and Boingo Wireless, Inc. were down 19.1% and 12.5%, respectively. The Fund did not hold Sinclair Broadcast Group, which was up 105.5% in the Index. In the Energy sector, Range Resources Corp. was down 26.7% and RigNet, Inc. was down 20.3%.
From a sector allocation perspective, a sizeable overweight to Information Technology, which was the top performing sector in the Index, was a driver of outperformance. An underweight to Health Care also added value for the period. In contrast, the Fund’s cash position served as a drag on relative performance, as did an overweight to Financials.
Looking forward, the Fund’ssub-advisor will continue to maintain a disciplined, long-term approach to equity investing in smaller capitalization stocks with above-average growth potential.
Top Ten Holdings (% Net Assets) | ||||||||
ICON PLC | 2.0 | |||||||
Aaron’s, Inc. | 1.9 | |||||||
Euronet Worldwide, Inc. | 1.9 | |||||||
PROS Holdings, Inc. | 1.9 | |||||||
Aspen Technology, Inc. | 1.8 | |||||||
HEICO Corp., Class A | 1.8 | |||||||
Ollie’s Bargain Outlet Holdings, Inc. | 1.6 | |||||||
Omnicell, Inc. | 1.6 | |||||||
Q2 Holdings, Inc. | 1.6 | |||||||
FirstCash, Inc. | 1.5 | |||||||
Total Fund Holdings | 103 | |||||||
Sector Allocation (% Equities) | ||||||||
Information Technology | 32.2 | |||||||
Health Care | 20.6 | |||||||
Industrials | 16.3 | |||||||
Consumer Discretionary | 13.7 | |||||||
Financials | 9.1 | |||||||
Consumer Staples | 3.1 | |||||||
Communication Services | 2.4 | |||||||
Energy | 1.6 | |||||||
Materials | 1.0 |
5
American Beacon FundsSM
June 30, 2019 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees, if applicable, and (2) ongoing costs, including management fees, distribution(12b-1) fees,sub-transfer agent fees, and other Fund expenses. The Examples are intended to help you understand the ongoing cost (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Examples are based on an investment of $1,000 invested at the beginning of the period in each Class and held for the entire period from January 1, 2019 through June 30, 2019.
Actual Expenses
The “Actual” lines of the tables provide information about actual account values and actual expenses. You may use the information on this page, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders of the Investor and Institutional Classes that invest in the Funds through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Hypothetical Example for Comparison Purposes
The “Hypothetical” lines of the tables provide information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed 5% per year rate of return before expenses (not the Funds’ actual return). You may compare the ongoing costs of investing in the Funds with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Investor and Institutional Classes that invest in the Funds through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Funds, such as sales charges (loads) or redemption fees, as applicable. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
6
American Beacon FundsSM
Expense Examples
June 30, 2019 (Unaudited)
American Beacon StephensMid-Cap Growth Fund |
| ||||||||||||||
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period 1/1/2019-6/30/2019* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,263.80 | $5.00 | ||||||||||||
Hypothetical** | $1,000.00 | $1,020.38 | $4.46 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,263.20 | $5.56 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.89 | $4.96 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,261.20 | $7.06 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.55 | $6.31 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $1,261.40 | $7.29 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.35 | $6.51 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $1,256.80 | $11.42 | ||||||||||||
Hypothetical** | $1,000.00 | $1,014.68 | $10.19 | ||||||||||||
R6 Class*** | |||||||||||||||
Actual | $1,000.00 | $1,264.20 | $4.72 | ||||||||||||
Hypothetical** | $1,000.00 | $1,020.63 | $4.21 |
* | Expenses are equal to the Fund’s annualized expense ratios for thesix-month period of 0.89%, 0.99%, 1.25%, 1.29%, 2.04%, and 0.84% for the Institutional, Y, Investor, A, C, and R6 Classes, respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
*** | American Beacon Stephens Mid-Cap Growth Fund’s R6 Class commenced operations on December 31, 2018. Expenses are equal to the fund’s annualized expense ratio for the period, multiplied by the average account value over the period, multiplied by the number of days since inception (181), then divided by the number of days in the year (365) to reflect the period. The Ending Account Value is derived from the fund’s share class actual return since inception. The Hypothetical 5% Annual Return information reflects the (181) day period for the six months ended June 30, 2019 to allow for comparability. |
American Beacon Stephens Small Cap Growth Fund |
| ||||||||||||||
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period 1/1/2019-6/30/2019* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $1,000.00 | $1,231.40 | $6.14 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.29 | $5.56 | ||||||||||||
Y Class | |||||||||||||||
Actual | $1,000.00 | $1,231.20 | $6.53 | ||||||||||||
Hypothetical** | $1,000.00 | $1,018.94 | $5.91 | ||||||||||||
Investor Class | |||||||||||||||
Actual | $1,000.00 | $1,229.80 | $7.91 | ||||||||||||
Hypothetical** | $1,000.00 | $1,017.70 | $7.15 | ||||||||||||
A Class | |||||||||||||||
Actual | $1,000.00 | $1,228.90 | $7.74 | ||||||||||||
Hypothetical** | $1,000.00 | $1,017.85 | $7.00 | ||||||||||||
C Class | |||||||||||||||
Actual | $1,000.00 | $1,225.50 | $12.03 | ||||||||||||
Hypothetical** | $1,000.00 | $1,013.98 | $10.89 | ||||||||||||
R6 Class*** | |||||||||||||||
Actual | $1,000.00 | $1,007.70 | $1.76 | ||||||||||||
Hypothetical** | $1,000.00 | $1,019.59 | $5.26 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.11%, 1.18%, 1.43%, 1.40%, 2.18%, and 1.05% for the Institutional, Y, Investor, A, C, and R6 Classes, respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
*** | American Beacon Stephens Small Cap Growth Fund’s R6 Class commenced operations on April 30, 2019. Expenses are equal to the fund’s annualized expense ratio for the period, multiplied by the average account value over the period, multiplied by the number of days since inception (61), then divided by the number of days in the year (365) to reflect the period. The Ending Account Value is derived from the fund’s share class actual return since inception. The Hypothetical 5% Annual Return information reflects the (181) day period for the six months ended June 30, 2019 to allow for comparability. |
7
American Beacon StephensMid-Cap Growth FundSM
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 97.36% | |||||||||||||||
Communication Services - 5.50% | |||||||||||||||
Entertainment - 4.33% | |||||||||||||||
Electronic Arts, Inc.A | 18,748 | $ | 1,898,423 | ||||||||||||
Live Nation Entertainment, Inc.A | 63,061 | 4,177,791 | |||||||||||||
Spotify Technology S.A.A | 14,194 | 2,075,447 | |||||||||||||
Take-Two Interactive Software, Inc.A | 16,795 | 1,906,736 | |||||||||||||
|
| ||||||||||||||
10,058,397 | |||||||||||||||
|
| ||||||||||||||
Interactive Media & Services - 1.17% | |||||||||||||||
IAC/InterActiveCorp.A | 12,530 | 2,725,651 | |||||||||||||
|
| ||||||||||||||
Total Communication Services | 12,784,048 | ||||||||||||||
|
| ||||||||||||||
Consumer Discretionary - 14.71% | |||||||||||||||
Diversified Consumer Services - 1.43% | |||||||||||||||
Bright Horizons Family Solutions, Inc.A | 21,973 | 3,315,066 | |||||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - 2.12% | |||||||||||||||
Domino’s Pizza, Inc. | 11,111 | 3,091,969 | |||||||||||||
MGM Resorts International | 64,266 | 1,836,080 | |||||||||||||
|
| ||||||||||||||
4,928,049 | |||||||||||||||
|
| ||||||||||||||
Internet & Direct Marketing Retail - 2.51% | |||||||||||||||
GrubHub, Inc.A | 30,729 | 2,396,555 | |||||||||||||
MercadoLibre, Inc.A | 5,612 | 3,433,253 | |||||||||||||
|
| ||||||||||||||
5,829,808 | |||||||||||||||
|
| ||||||||||||||
Multiline Retail - 0.79% | |||||||||||||||
Ollie’s Bargain Outlet Holdings, Inc.A | 21,147 | 1,842,115 | |||||||||||||
|
| ||||||||||||||
Specialty Retail - 5.77% | |||||||||||||||
Aaron’s, Inc. | 36,059 | 2,214,383 | |||||||||||||
Burlington Stores, Inc.A | 21,550 | 3,666,732 | |||||||||||||
Five Below, Inc.A | 9,833 | 1,180,157 | |||||||||||||
Ross Stores, Inc. | 25,473 | 2,524,884 | |||||||||||||
Ulta Salon Cosmetics & Fragrance, Inc.A | 11,021 | 3,823,075 | |||||||||||||
|
| ||||||||||||||
13,409,231 | |||||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - 2.09% | |||||||||||||||
Canada Goose Holdings, Inc.A B | 37,054 | 1,435,101 | |||||||||||||
Lululemon Athletica, Inc.A | 18,886 | 3,403,446 | |||||||||||||
|
| ||||||||||||||
4,838,547 | |||||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | 34,162,816 | ||||||||||||||
|
| ||||||||||||||
Consumer Staples - 2.26% | |||||||||||||||
Beverages - 2.26% | |||||||||||||||
Brown-Forman Corp., Class B | 37,620 | 2,085,277 | |||||||||||||
Monster Beverage Corp.A | 49,564 | 3,163,670 | |||||||||||||
|
| ||||||||||||||
5,248,947 | |||||||||||||||
|
| ||||||||||||||
Total Consumer Staples | 5,248,947 | ||||||||||||||
|
| ||||||||||||||
Energy - 2.33% | |||||||||||||||
Energy Equipment & Services - 0.34% | |||||||||||||||
Core Laboratories N.V. | 14,923 | 780,175 | |||||||||||||
|
| ||||||||||||||
See accompanying notes
8
American Beacon StephensMid-Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 97.36% (continued) | |||||||||||||||
Energy - 2.33% (continued) | |||||||||||||||
Oil, Gas & Consumable Fuels - 1.99% | |||||||||||||||
Cabot Oil & Gas Corp. | 85,314 | $ | 1,958,809 | ||||||||||||
Parsley Energy, Inc., Class AA | 29,677 | 564,160 | |||||||||||||
Pioneer Natural Resources Co. | 9,843 | 1,514,444 | |||||||||||||
Range Resources Corp.B | 84,088 | 586,934 | |||||||||||||
|
| ||||||||||||||
4,624,347 | |||||||||||||||
|
| ||||||||||||||
Total Energy | 5,404,522 | ||||||||||||||
|
| ||||||||||||||
Financials - 5.04% | |||||||||||||||
Banks - 1.49% | |||||||||||||||
East West Bancorp, Inc. | 16,907 | 790,741 | |||||||||||||
SVB Financial GroupA | 11,902 | 2,673,070 | |||||||||||||
|
| ||||||||||||||
3,463,811 | |||||||||||||||
|
| ||||||||||||||
Capital Markets - 2.69% | |||||||||||||||
MarketAxess Holdings, Inc. | 13,116 | 4,215,745 | |||||||||||||
Tradeweb Markets, Inc., Class A | 46,298 | 2,028,315 | |||||||||||||
|
| ||||||||||||||
6,244,060 | |||||||||||||||
|
| ||||||||||||||
Consumer Finance - 0.86% | |||||||||||||||
FirstCash, Inc. | 20,067 | 2,007,101 | |||||||||||||
|
| ||||||||||||||
Total Financials | 11,714,972 | ||||||||||||||
|
| ||||||||||||||
Health Care - 21.47% | |||||||||||||||
Biotechnology - 1.14% | |||||||||||||||
Alexion Pharmaceuticals, Inc.A | 11,090 | 1,452,568 | |||||||||||||
Exelixis, Inc.A | 55,540 | 1,186,890 | |||||||||||||
|
| ||||||||||||||
2,639,458 | |||||||||||||||
|
| ||||||||||||||
Health Care Equipment & Supplies - 9.58% | |||||||||||||||
ABIOMED, Inc.A | 9,167 | 2,387,912 | |||||||||||||
Align Technology, Inc.A | 6,364 | 1,741,827 | |||||||||||||
DexCom, Inc.A | 20,379 | 3,053,589 | |||||||||||||
Hologic, Inc.A | 45,935 | 2,205,799 | |||||||||||||
IDEXX Laboratories, Inc.A | 18,507 | 5,095,532 | |||||||||||||
Intuitive Surgical, Inc.A | 5,752 | 3,017,212 | |||||||||||||
ResMed, Inc. | 28,584 | 3,488,105 | |||||||||||||
Varian Medical Systems, Inc.A | 9,356 | 1,273,632 | |||||||||||||
|
| ||||||||||||||
22,263,608 | |||||||||||||||
|
| ||||||||||||||
Health Care Providers & Services - 1.90% | |||||||||||||||
Acadia Healthcare Co., Inc.A | 45,631 | 1,594,804 | |||||||||||||
Covetrus, Inc.A | 35,065 | 857,690 | |||||||||||||
Henry Schein, Inc.A | 28,206 | 1,971,599 | |||||||||||||
|
| ||||||||||||||
4,424,093 | |||||||||||||||
|
| ||||||||||||||
Health Care Technology - 3.33% | |||||||||||||||
Cerner Corp. | 39,759 | 2,914,335 | |||||||||||||
Medidata Solutions, Inc.A | 28,045 | 2,538,353 | |||||||||||||
Veeva Systems, Inc., Class AA | 14,037 | 2,275,538 | |||||||||||||
|
| ||||||||||||||
7,728,226 | |||||||||||||||
|
| ||||||||||||||
Life Sciences Tools & Services - 5.05% | |||||||||||||||
ICON PLCA | 20,451 | 3,148,841 | |||||||||||||
Illumina, Inc.A | 11,973 | 4,407,860 | |||||||||||||
PRA Health Sciences, Inc.A | 21,008 | 2,082,943 | |||||||||||||
QIAGEN N.V.A | 51,511 | 2,088,771 | |||||||||||||
|
| ||||||||||||||
11,728,415 | |||||||||||||||
|
|
See accompanying notes
9
American Beacon StephensMid-Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 97.36% (continued) | |||||||||||||||
Health Care - 21.47% (continued) | |||||||||||||||
Pharmaceuticals - 0.47% | |||||||||||||||
Pacira BioSciences, Inc.A | 25,039 | $ | 1,088,946 | ||||||||||||
|
| ||||||||||||||
Total Health Care | 49,872,746 | ||||||||||||||
|
| ||||||||||||||
Industrials - 14.34% | |||||||||||||||
Aerospace & Defense - 2.74% | |||||||||||||||
HEICO Corp., Class A | 30,038 | 3,105,028 | |||||||||||||
L3 Harris Technologies, Inc. | 17,231 | 3,258,899 | |||||||||||||
|
| ||||||||||||||
6,363,927 | |||||||||||||||
|
| ||||||||||||||
Air Freight & Logistics - 0.43% | |||||||||||||||
CH Robinson Worldwide, Inc. | 11,971 | 1,009,754 | |||||||||||||
|
| ||||||||||||||
Commercial Services & Supplies - 1.74% | |||||||||||||||
Copart, Inc.A | 53,960 | 4,032,970 | |||||||||||||
|
| ||||||||||||||
Electrical Equipment - 1.38% | |||||||||||||||
Rockwell Automation, Inc. | 11,208 | 1,836,207 | |||||||||||||
Sensata Technologies Holding PLCA | 27,799 | 1,362,151 | |||||||||||||
|
| ||||||||||||||
3,198,358 | |||||||||||||||
|
| ||||||||||||||
Industrial Conglomerates - 1.05% | |||||||||||||||
Roper Technologies, Inc. | 6,660 | 2,439,291 | |||||||||||||
|
| ||||||||||||||
Machinery - 0.65% | |||||||||||||||
Middleby Corp.A | 11,063 | 1,501,249 | |||||||||||||
|
| ||||||||||||||
Professional Services - 4.84% | |||||||||||||||
CoStar Group, Inc.A | 8,281 | 4,588,171 | |||||||||||||
IHS Markit Ltd.A | 36,702 | 2,338,651 | |||||||||||||
Verisk Analytics, Inc. | 29,414 | 4,307,975 | |||||||||||||
|
| ||||||||||||||
11,234,797 | |||||||||||||||
|
| ||||||||||||||
Road & Rail - 0.74% | |||||||||||||||
JB Hunt Transport Services, Inc. | 18,883 | 1,726,095 | |||||||||||||
|
| ||||||||||||||
Trading Companies & Distributors - 0.77% | |||||||||||||||
Fastenal Co. | 55,268 | 1,801,184 | |||||||||||||
|
| ||||||||||||||
Total Industrials | 33,307,625 | ||||||||||||||
|
| ||||||||||||||
Information Technology - 31.71% | |||||||||||||||
Electronic Equipment, Instruments & Components - 5.02% | |||||||||||||||
Cognex Corp. | 48,346 | 2,319,641 | |||||||||||||
FLIR Systems, Inc. | 65,470 | 3,541,927 | |||||||||||||
IPG Photonics Corp.A | 13,208 | 2,037,334 | |||||||||||||
Keysight Technologies, Inc.A | 24,850 | 2,231,779 | |||||||||||||
National Instruments Corp. | 36,609 | 1,537,212 | |||||||||||||
|
| ||||||||||||||
11,667,893 | |||||||||||||||
|
| ||||||||||||||
IT Services - 8.22% | |||||||||||||||
Euronet Worldwide, Inc.A | 22,700 | 3,819,048 | |||||||||||||
Fiserv, Inc.A | 27,289 | 2,487,665 | |||||||||||||
Global Payments, Inc. | 24,533 | 3,928,469 | |||||||||||||
Shopify, Inc., Class AA | 8,953 | 2,687,243 | |||||||||||||
Square, Inc., Class AA | 40,708 | 2,952,551 | |||||||||||||
WEX, Inc.A | 15,514 | 3,228,464 | |||||||||||||
|
| ||||||||||||||
19,103,440 | |||||||||||||||
|
|
See accompanying notes
10
American Beacon StephensMid-Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 97.36% (continued) | |||||||||||||||
Information Technology - 31.71% (continued) | |||||||||||||||
Semiconductors & Semiconductor Equipment - 3.73% | |||||||||||||||
Microchip Technology, Inc. | 34,586 | $ | 2,998,606 | ||||||||||||
NXP Semiconductors N.V. | 9,407 | 918,217 | |||||||||||||
ON Semiconductor Corp.A | 49,916 | 1,008,803 | |||||||||||||
Xilinx, Inc. | 31,652 | 3,732,404 | |||||||||||||
|
| ||||||||||||||
8,658,030 | |||||||||||||||
|
| ||||||||||||||
Software - 14.74% | |||||||||||||||
2U, Inc.A | 17,811 | 670,406 | |||||||||||||
ANSYS, Inc.A | 9,204 | 1,885,163 | |||||||||||||
Aspen Technology, Inc.A | 35,154 | 4,368,939 | |||||||||||||
Autodesk, Inc.A | 20,679 | 3,368,609 | |||||||||||||
Cadence Design Systems, Inc.A | 59,749 | 4,230,827 | |||||||||||||
DocuSign, Inc.A | 34,019 | 1,691,084 | |||||||||||||
Dropbox, Inc., Class AA | 59,305 | 1,485,590 | |||||||||||||
Fortinet, Inc.A | 22,431 | 1,723,374 | |||||||||||||
Guidewire Software, Inc.A | 8,370 | 848,551 | |||||||||||||
Palo Alto Networks, Inc.A | 10,270 | 2,092,615 | |||||||||||||
Proofpoint, Inc.A | 14,912 | 1,793,168 | |||||||||||||
PTC, Inc.A | 22,069 | 1,980,913 | |||||||||||||
RingCentral, Inc., Class AA | 13,565 | 1,558,890 | |||||||||||||
Splunk, Inc.A | 19,489 | 2,450,742 | |||||||||||||
Tableau Software, Inc., Class AA | 16,528 | 2,743,979 | |||||||||||||
Tyler Technologies, Inc.A | 6,220 | 1,343,644 | |||||||||||||
|
| ||||||||||||||
34,236,494 | |||||||||||||||
|
| ||||||||||||||
Total Information Technology | 73,665,857 | ||||||||||||||
|
| ||||||||||||||
Total Common Stocks (Cost $174,209,417) | 226,161,533 | ||||||||||||||
|
| ||||||||||||||
SHORT-TERM INVESTMENTS - 4.49% (Cost $10,432,899) | |||||||||||||||
Investment Companies - 4.49% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 2.32%C D | 10,432,899 | 10,432,899 | |||||||||||||
|
| ||||||||||||||
SECURITIES LENDING COLLATERAL - 0.57% (Cost $1,315,416) | |||||||||||||||
Investment Companies - 0.57% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 2.32%C D | 1,315,416 | 1,315,416 | |||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 102.42% (Cost $185,957,732) | 237,909,848 | ||||||||||||||
LIABILITIES, NET OF OTHER ASSETS - (2.42%) | (5,618,465 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 232,291,383 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
ANon-income producing security.
B All or a portion of this security is on loan at June 30, 2019.
C The Fund is affiliated by having the same investment advisor.
D7-day yield.
PLC - Public Limited Company.
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of June 30, 2019, the investments were classified as described below:
StephensMid-Cap Growth Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Common Stocks | $ | 226,161,533 | $ | - | $ | - | $ | 226,161,533 | ||||||||||||||||||||
Short-Term Investments | 10,432,899 | - | - | 10,432,899 | ||||||||||||||||||||||||
Securities Lending Collateral | 1,315,416 | - | - | 1,315,416 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 237,909,848 | $ | - | $ | - | $ | 237,909,848 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires transfers between all levels to/from level 3 be disclosed. During the period ended June 30, 2019, there were no transfers into or out of Level 3.
See accompanying notes
11
American Beacon Stephens Small Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 98.37% | |||||||||||||||
Communication Services - 2.36% | |||||||||||||||
Entertainment - 0.94% | |||||||||||||||
Rosetta Stone, Inc.A | 79,411 | $ | 1,816,924 | ||||||||||||
Take-Two Interactive Software, Inc.A | 19,588 | 2,223,825 | |||||||||||||
|
| ||||||||||||||
4,040,749 | |||||||||||||||
|
| ||||||||||||||
Interactive Media & Services - 0.74% | |||||||||||||||
ANGI Homeservices, Inc., Class AA | 247,108 | 3,214,875 | |||||||||||||
|
| ||||||||||||||
Wireless Telecommunication Services - 0.68% | |||||||||||||||
Boingo Wireless, Inc.A | 162,285 | 2,916,262 | |||||||||||||
|
| ||||||||||||||
Total Communication Services | 10,171,886 | ||||||||||||||
|
| ||||||||||||||
Consumer Discretionary - 13.43% | |||||||||||||||
Diversified Consumer Services - 3.59% | |||||||||||||||
Bright Horizons Family Solutions, Inc.A | 41,263 | 6,225,349 | |||||||||||||
Chegg, Inc.A | 148,630 | 5,735,631 | |||||||||||||
Grand Canyon Education, Inc.A | 30,290 | 3,544,536 | |||||||||||||
|
| ||||||||||||||
15,505,516 | |||||||||||||||
|
| ||||||||||||||
Hotels, Restaurants & Leisure - 1.13% | |||||||||||||||
Wingstop, Inc. | 51,470 | 4,876,783 | |||||||||||||
|
| ||||||||||||||
Internet & Direct Marketing Retail - 0.67% | |||||||||||||||
GrubHub, Inc.A | 37,035 | 2,888,360 | |||||||||||||
|
| ||||||||||||||
Leisure Products - 0.53% | |||||||||||||||
Sturm Ruger & Co., Inc. | 41,844 | 2,279,661 | |||||||||||||
|
| ||||||||||||||
Multiline Retail - 1.64% | |||||||||||||||
Ollie’s Bargain Outlet Holdings, Inc.A | 81,241 | 7,076,904 | |||||||||||||
|
| ||||||||||||||
Specialty Retail - 5.11% | |||||||||||||||
Aaron’s, Inc. | 134,039 | 8,231,335 | |||||||||||||
Boot Barn Holdings, Inc.A | 84,805 | 3,022,450 | |||||||||||||
Five Below, Inc.A | 22,733 | 2,728,415 | |||||||||||||
Floor & Decor Holdings, Inc.A | 57,107 | 2,392,783 | |||||||||||||
Monro, Inc. | 49,822 | 4,249,817 | |||||||||||||
Sportsman’s Warehouse Holdings, Inc.A | 375,925 | 1,420,996 | |||||||||||||
|
| ||||||||||||||
22,045,796 | |||||||||||||||
|
| ||||||||||||||
Textiles, Apparel & Luxury Goods - 0.76% | |||||||||||||||
Canada Goose Holdings, Inc.A B | 85,395 | 3,307,348 | |||||||||||||
|
| ||||||||||||||
Total Consumer Discretionary | 57,980,368 | ||||||||||||||
|
| ||||||||||||||
Consumer Staples - 3.06% | |||||||||||||||
Beverages - 0.92% | |||||||||||||||
MGP Ingredients, Inc.B | 59,555 | 3,949,092 | |||||||||||||
|
| ||||||||||||||
Food Products - 2.14% | |||||||||||||||
Calavo Growers, Inc. | 66,129 | 6,397,319 | |||||||||||||
Limoneira Co. | 142,308 | 2,837,622 | |||||||||||||
|
| ||||||||||||||
9,234,941 | |||||||||||||||
|
| ||||||||||||||
Total Consumer Staples | 13,184,033 | ||||||||||||||
|
|
See accompanying notes
12
American Beacon Stephens Small Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 98.37% (continued) | |||||||||||||||
Energy - 1.54% | |||||||||||||||
Energy Equipment & Services - 0.45% | |||||||||||||||
Core Laboratories N.V. | 18,142 | $ | 948,464 | ||||||||||||
RigNet, Inc.A | 98,805 | 995,954 | |||||||||||||
|
| ||||||||||||||
1,944,418 | |||||||||||||||
|
| ||||||||||||||
Oil, Gas & Consumable Fuels - 1.09% | |||||||||||||||
Callon Petroleum Co.A | 265,167 | 1,747,451 | |||||||||||||
Carrizo Oil & Gas, Inc.A | 80,870 | 810,317 | |||||||||||||
PDC Energy, Inc.A | 34,665 | 1,250,020 | |||||||||||||
Range Resources Corp. | 129,972 | 907,205 | |||||||||||||
|
| ||||||||||||||
4,714,993 | |||||||||||||||
|
| ||||||||||||||
Total Energy | 6,659,411 | ||||||||||||||
|
| ||||||||||||||
Financials - 8.98% | |||||||||||||||
Banks - 1.46% | |||||||||||||||
Ameris Bancorp | 89,327 | 3,500,725 | |||||||||||||
Veritex Holdings, Inc. | 108,493 | 2,815,393 | |||||||||||||
|
| ||||||||||||||
6,316,118 | |||||||||||||||
|
| ||||||||||||||
Capital Markets - 1.34% | |||||||||||||||
MarketAxess Holdings, Inc. | 17,990 | 5,782,346 | |||||||||||||
|
| ||||||||||||||
Consumer Finance - 6.18% | |||||||||||||||
Encore Capital Group, Inc.A | 162,816 | 5,514,578 | |||||||||||||
EZCORP, Inc., Class AA | 474,323 | 4,491,839 | |||||||||||||
FirstCash, Inc. | 66,397 | 6,641,028 | |||||||||||||
Green Dot Corp., Class AA | 103,311 | 5,051,908 | |||||||||||||
PRA Group, Inc.A | 176,783 | 4,974,673 | |||||||||||||
|
| ||||||||||||||
26,674,026 | |||||||||||||||
|
| ||||||||||||||
Total Financials | 38,772,490 | ||||||||||||||
|
| ||||||||||||||
Health Care - 20.26% | |||||||||||||||
Biotechnology - 2.65% | |||||||||||||||
Ligand Pharmaceuticals, Inc.A | 42,600 | 4,862,790 | |||||||||||||
Repligen Corp.A | 76,712 | 6,593,396 | |||||||||||||
|
| ||||||||||||||
11,456,186 | |||||||||||||||
|
| ||||||||||||||
Health Care Equipment & Supplies - 4.79% | |||||||||||||||
ABIOMED, Inc.A | 8,857 | 2,307,160 | |||||||||||||
Insulet Corp.A | 34,651 | 4,136,637 | |||||||||||||
Neogen Corp.A | 55,916 | 3,472,943 | |||||||||||||
NuVasive, Inc.A | 66,758 | 3,908,013 | |||||||||||||
Penumbra, Inc.A | 30,593 | 4,894,880 | |||||||||||||
Tandem Diabetes Care, Inc.A | 30,139 | 1,944,568 | |||||||||||||
|
| ||||||||||||||
20,664,201 | |||||||||||||||
|
| ||||||||||||||
Health Care Providers & Services - 2.52% | |||||||||||||||
Acadia Healthcare Co., Inc.A | 104,488 | 3,651,856 | |||||||||||||
BioTelemetry, Inc.A | 59,667 | 2,872,966 | |||||||||||||
Covetrus, Inc.A | 64,998 | 1,589,851 | |||||||||||||
HealthEquity, Inc.A | 42,151 | 2,756,675 | |||||||||||||
|
| ||||||||||||||
10,871,348 | |||||||||||||||
|
| ||||||||||||||
See accompanying notes
13
American Beacon Stephens Small Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 98.37% (continued) | |||||||||||||||
Health Care - 20.26% (continued) | |||||||||||||||
Health Care Technology - 4.74% | |||||||||||||||
HealthStream, Inc.A | 100,197 | $ | 2,591,094 | ||||||||||||
HMS Holdings Corp.A | 162,420 | 5,260,784 | |||||||||||||
Medidata Solutions, Inc.A | 64,392 | 5,828,120 | |||||||||||||
Omnicell, Inc.A | 78,637 | 6,765,141 | |||||||||||||
|
| ||||||||||||||
20,445,139 | |||||||||||||||
|
| ||||||||||||||
Life Sciences Tools & Services - 3.93% | |||||||||||||||
Bio-Techne Corp. | 21,034 | 4,385,379 | |||||||||||||
ICON PLCA | 55,646 | 8,567,815 | |||||||||||||
PRA Health Sciences, Inc.A | 40,677 | 4,033,124 | |||||||||||||
|
| ||||||||||||||
16,986,318 | |||||||||||||||
|
| ||||||||||||||
Pharmaceuticals - 1.63% | |||||||||||||||
Pacira BioSciences, Inc.A | 107,990 | 4,696,485 | |||||||||||||
Supernus Pharmaceuticals, Inc.A | 70,737 | 2,340,688 | |||||||||||||
|
| ||||||||||||||
7,037,173 | |||||||||||||||
|
| ||||||||||||||
Total Health Care | 87,460,365 | ||||||||||||||
|
| ||||||||||||||
Industrials - 16.02% | |||||||||||||||
Aerospace & Defense - 6.31% | |||||||||||||||
Aerovironment, Inc.A | 64,046 | 3,635,891 | |||||||||||||
Axon Enterprise, Inc.A | 81,782 | 5,251,222 | |||||||||||||
HEICO Corp., Class A | 73,356 | 7,582,810 | |||||||||||||
Kratos Defense & Security Solutions, Inc.A | 240,784 | 5,511,546 | |||||||||||||
Mercury Systems, Inc.A | 74,673 | 5,253,246 | |||||||||||||
|
| ||||||||||||||
27,234,715 | |||||||||||||||
|
| ||||||||||||||
Air Freight & Logistics - 1.15% | |||||||||||||||
Echo Global Logistics, Inc.A | 108,564 | 2,265,731 | |||||||||||||
Hub Group, Inc., Class AA | 64,107 | 2,691,212 | |||||||||||||
|
| ||||||||||||||
4,956,943 | |||||||||||||||
|
| ||||||||||||||
Building Products - 1.34% | |||||||||||||||
Trex Co., Inc.A | 80,749 | 5,789,703 | |||||||||||||
|
| ||||||||||||||
Machinery - 4.39% | |||||||||||||||
Kornit Digital Ltd.A B | 173,955 | 5,507,415 | |||||||||||||
Lindsay Corp.B | 22,357 | 1,837,969 | |||||||||||||
Proto Labs, Inc.A | 50,167 | 5,820,375 | |||||||||||||
RBC Bearings, Inc.A | 34,648 | 5,779,633 | |||||||||||||
|
| ||||||||||||||
18,945,392 | |||||||||||||||
|
| ||||||||||||||
Professional Services - 0.97% | |||||||||||||||
CoStar Group, Inc.A | 7,565 | 4,191,464 | |||||||||||||
|
| ||||||||||||||
Trading Companies & Distributors - 1.86% | |||||||||||||||
Beacon Roofing Supply, Inc.A | 94,908 | 3,485,022 | |||||||||||||
SiteOne Landscape Supply, Inc.A | 65,574 | 4,544,278 | |||||||||||||
|
| ||||||||||||||
8,029,300 | |||||||||||||||
|
| ||||||||||||||
Total Industrials | 69,147,517 | ||||||||||||||
|
| ||||||||||||||
See accompanying notes
14
American Beacon Stephens Small Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
COMMON STOCKS - 98.37% (continued) | |||||||||||||||
Information Technology - 31.73% | |||||||||||||||
Electronic Equipment, Instruments & Components - 3.24% | |||||||||||||||
Cognex Corp. | 68,938 | $ | 3,307,645 | ||||||||||||
FLIR Systems, Inc. | 105,527 | 5,709,011 | |||||||||||||
National Instruments Corp. | 61,321 | 2,574,869 | |||||||||||||
nLight, Inc.A | 123,446 | 2,370,163 | |||||||||||||
|
| ||||||||||||||
13,961,688 | |||||||||||||||
|
| ||||||||||||||
IT Services - 3.50% | |||||||||||||||
Euronet Worldwide, Inc.A | 47,552 | 8,000,149 | |||||||||||||
MAXIMUS, Inc. | 31,933 | 2,316,420 | |||||||||||||
WEX, Inc.A | 23,103 | 4,807,734 | |||||||||||||
|
| ||||||||||||||
15,124,303 | |||||||||||||||
|
| ||||||||||||||
Semiconductors & Semiconductor Equipment - 3.65% | |||||||||||||||
CyberOptics Corp.A | 52,047 | 844,723 | |||||||||||||
Inphi Corp.A | 58,901 | 2,950,940 | |||||||||||||
Power Integrations, Inc. | 30,614 | 2,454,631 | |||||||||||||
Semtech Corp.A | 108,690 | 5,222,554 | |||||||||||||
Silicon Laboratories, Inc.A | 41,515 | 4,292,651 | |||||||||||||
|
| ||||||||||||||
15,765,499 | |||||||||||||||
|
| ||||||||||||||
Software - 21.34% | |||||||||||||||
2U, Inc.A | 54,066 | 2,035,044 | |||||||||||||
8x8, Inc.A | 188,250 | 4,536,825 | |||||||||||||
Aspen Technology, Inc.A | 62,050 | 7,711,574 | |||||||||||||
Cornerstone OnDemand, Inc.A | 65,363 | 3,786,479 | |||||||||||||
CyberArk Software Ltd.A | 32,001 | 4,091,008 | |||||||||||||
Envestnet, Inc.A | 82,967 | 5,672,454 | |||||||||||||
FireEye, Inc.A | 211,304 | 3,129,412 | |||||||||||||
Five9, Inc.A | 126,447 | 6,485,467 | |||||||||||||
Globant S.A.A | 59,719 | 6,034,605 | |||||||||||||
Guidewire Software, Inc.A | 32,458 | 3,290,592 | |||||||||||||
Manhattan Associates, Inc.A | 80,434 | 5,576,489 | |||||||||||||
Mimecast Ltd.A | 82,362 | 3,847,129 | |||||||||||||
Proofpoint, Inc.A | 54,496 | 6,553,144 | |||||||||||||
PROS Holdings, Inc.A | 130,298 | 8,242,651 | |||||||||||||
Q2 Holdings, Inc.A | 87,821 | 6,706,012 | |||||||||||||
Qualys, Inc.A | 55,128 | 4,800,546 | |||||||||||||
Rapid7, Inc.A | 42,349 | 2,449,466 | |||||||||||||
SPS Commerce, Inc.A | 32,955 | 3,368,330 | |||||||||||||
Tyler Technologies, Inc.A | 17,402 | 3,759,180 | |||||||||||||
|
| ||||||||||||||
92,076,407 | |||||||||||||||
|
| ||||||||||||||
Total Information Technology | 136,927,897 | ||||||||||||||
|
| ||||||||||||||
Materials - 0.99% | |||||||||||||||
Chemicals - 0.99% | |||||||||||||||
Balchem Corp. | 42,588 | 4,257,522 | |||||||||||||
|
| ||||||||||||||
Total Common Stocks (Cost $251,109,093) | 424,561,489 | ||||||||||||||
|
| ||||||||||||||
SHORT-TERM INVESTMENTS - 1.52% (Cost $6,571,474) | |||||||||||||||
Investment Companies - 1.52% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 2.32%C D | 6,571,474 | 6,571,474 | |||||||||||||
|
| ||||||||||||||
See accompanying notes
15
American Beacon Stephens Small Cap Growth FundSM
Schedule of Investments
June 30, 2019 (Unaudited)
Shares | Fair Value | ||||||||||||||
SECURITIES LENDING COLLATERAL - 1.46% (Cost $6,294,174) | |||||||||||||||
Investment Companies - 1.46% | |||||||||||||||
American Beacon U.S. Government Money Market Select Fund, Select Class, 2.32%C D | 6,294,174 | $ | 6,294,174 | ||||||||||||
|
| ||||||||||||||
TOTAL INVESTMENTS - 101.35% (Cost $263,974,741) | 437,427,137 | ||||||||||||||
LIABILITIES, NET OF OTHER ASSETS - (1.35%) | (5,837,865 | ) | |||||||||||||
|
| ||||||||||||||
TOTAL NET ASSETS - 100.00% | $ | 431,589,272 | |||||||||||||
|
| ||||||||||||||
Percentages are stated as a percent of net assets. |
ANon-income producing security.
B All or a portion of this security is on loan at June 30, 2019.
C The Fund is affiliated by having the same investment advisor.
D7-day yield.
PLC - Public Limited Company.
The Fund’s investments are summarized by level based on the inputs used to determine their values. As of June 30, 2019, the investments were classified as described below:
Stephens Small Cap Growth Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Common Stocks | $ | 424,561,489 | $ | - | $ | - | $ | 424,561,489 | ||||||||||||||||||||
Short-Term Investments | 6,571,474 | - | - | 6,571,474 | ||||||||||||||||||||||||
Securities Lending Collateral | 6,294,174 | - | - | 6,294,174 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Investments in Securities - Assets | $ | 437,427,137 | $ | - | $ | - | $ | 437,427,137 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
U.S. GAAP requires transfers between all levels to/from level 3 be disclosed. During the period ended June 30, 2019, there were no transfers into or out of Level 3.
See accompanying notes
16
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
StephensMid-Cap Growth Fund | Stephens Small Cap Growth Fund | |||||||||||
Assets: | ||||||||||||
Investments in unaffiliated securities, at fair value†§ | $ | 226,161,533 | $ | 424,561,489 | ||||||||
Investments in affiliated securities, at fair value‡ | 11,748,315 | 12,865,648 | ||||||||||
Dividends and interest receivable | 35,608 | 34,557 | ||||||||||
Receivable for investments sold | 236,484 | 1,075,949 | ||||||||||
Receivable for fund shares sold | 1,340,606 | 501,955 | ||||||||||
Receivable for expense reimbursement (Note 2) | 10,572 | 30 | ||||||||||
Prepaid expenses | 55,010 | 64,869 | ||||||||||
|
|
|
| |||||||||
Total assets | 239,588,128 | 439,104,497 | ||||||||||
|
|
|
| |||||||||
Liabilities: |
| |||||||||||
Payable for investments purchased | 5,756,537 | 247,321 | ||||||||||
Payable for fund shares redeemed | 37,426 | 541,814 | ||||||||||
Management andsub-advisory fees payable (Note 2) | 138,865 | 332,048 | ||||||||||
Service fees payable (Note 2) | 4,963 | 14,024 | ||||||||||
Transfer agent fees payable (Note 2) | 12,473 | 17,731 | ||||||||||
Payable upon return of securities loaned (Note 8)§ | 1,315,416 | 6,294,174 | ||||||||||
Custody and fund accounting fees payable | 3,819 | 13,791 | ||||||||||
Professional fees payable | 15,763 | 4,458 | ||||||||||
Trustee fees payable (Note 2) | 9,469 | 34,160 | ||||||||||
Payable for prospectus and shareholder reports | - | 15,250 | ||||||||||
Other liabilities | 2,014 | 454 | ||||||||||
|
|
|
| |||||||||
Total liabilities | 7,296,745 | 7,515,225 | ||||||||||
|
|
|
| |||||||||
Net assets | $ | 232,291,383 | $ | 431,589,272 | ||||||||
|
|
|
| |||||||||
Analysis of net assets: |
| |||||||||||
Paid-in-capital | $ | 169,836,223 | $ | 231,419,833 | ||||||||
Total distributable earnings (deficits)A | 62,455,160 | 200,169,439 | ||||||||||
|
|
|
| |||||||||
Net assets | $ | 232,291,383 | $ | 431,589,272 | ||||||||
|
|
|
| |||||||||
Shares outstanding at no par value (unlimited shares authorized): |
| |||||||||||
Institutional Class | 6,189,516 | 18,019,876 | ||||||||||
|
|
|
| |||||||||
Y Class | 1,012,190 | 3,895,309 | ||||||||||
|
|
|
| |||||||||
Investor Class | 668,548 | 3,411,365 | ||||||||||
|
|
|
| |||||||||
A Class | 274,559 | 361,272 | ||||||||||
|
|
|
| |||||||||
C Class | 158,458 | 69,907 | ||||||||||
|
|
|
| |||||||||
R6 ClassB C | 550,882 | 5,914 | ||||||||||
|
|
|
| |||||||||
Net assets: |
| |||||||||||
Institutional Class | $ | 166,092,624 | $ | 306,904,396 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 26,967,990 | $ | 65,761,073 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 15,010,412 | $ | 52,384,159 | ||||||||
|
|
|
| |||||||||
A Class | $ | 6,133,161 | $ | 5,470,279 | ||||||||
|
|
|
| |||||||||
C Class | $ | 3,303,563 | $ | 968,620 | ||||||||
|
|
|
| |||||||||
R6 ClassB C | $ | 14,783,633 | $ | 100,745 | ||||||||
|
|
|
| |||||||||
Net asset value, offering and redemption price per share: |
| |||||||||||
Institutional Class | $ | 26.83 | $ | 17.03 | ||||||||
|
|
|
| |||||||||
Y Class | $ | 26.64 | $ | 16.88 | ||||||||
|
|
|
| |||||||||
Investor Class | $ | 22.45 | $ | 15.36 | ||||||||
|
|
|
| |||||||||
A Class | $ | 22.34 | $ | 15.14 | ||||||||
|
|
|
| |||||||||
A Class (offering price) | $ | 23.70 | $ | 16.06 | ||||||||
|
|
|
| |||||||||
C Class | $ | 20.85 | $ | 13.86 | ||||||||
|
|
|
| |||||||||
R6 ClassB C | $ | 26.84 | $ | 17.04 | ||||||||
|
|
|
| |||||||||
† Cost of investments in unaffiliated securities | $ | 174,209,417 | $ | 251,109,093 | ||||||||
‡ Cost of investments in affiliated securities | $ | 11,748,315 | $ | 12,865,648 | ||||||||
§ Fair value of securities on loan | $ | 1,298,872 | $ | 6,335,120 | ||||||||
A The Fund’s investments in affiliated securities did not have unrealized appreciation (depreciation) at period end. |
| |||||||||||
B Class launched on December 31, 2018 and commenced operations on January 2, 2019 in the StephensMid-Cap Growth Fund (Note 1). |
| |||||||||||
C Class launched on May 1, 2019 and commenced operations on April 30, 2019 in the Stephens Small Cap Growth Fund (Note 1). |
|
See accompanying notes
17
American Beacon FundsSM
Statements of Operations
For the period ended June 30, 2019 (Unaudited)
StephensMid-Cap Growth Fund | Stephens Small Cap Growth Fund | |||||||||||
Investment income: |
| |||||||||||
Dividend income from unaffiliated securities (net of foreign taxes)† | $ | 317,441 | $ | 404,128 | ||||||||
Dividend income from affiliated securities (Note 7) | 73,328 | 111,984 | ||||||||||
Income derived from securities lending (Note 8) | 2,443 | 13,110 | ||||||||||
|
|
|
| |||||||||
Total investment income | 393,212 | 529,222 | ||||||||||
|
|
|
| |||||||||
Expenses: |
| |||||||||||
Management andsub-advisory fees (Note 2) | 674,367 | 2,008,972 | ||||||||||
Transfer agent fees: | ||||||||||||
Institutional Class (Note 2) | 37,680 | 57,506 | ||||||||||
Y Class (Note 2) | 7,146 | 30,773 | ||||||||||
Investor Class | 1,111 | 1,658 | ||||||||||
A Class | 204 | 184 | ||||||||||
C Class | 100 | 39 | ||||||||||
R6 ClassA B | 1,887 | 61 | ||||||||||
Custody and fund accounting fees | 17,857 | 31,054 | ||||||||||
Professional fees | 28,203 | 39,608 | ||||||||||
Registration fees and expenses | 60,265 | 42,774 | ||||||||||
Service fees (Note 2): | ||||||||||||
Investor Class | 24,926 | 95,120 | ||||||||||
A Class | 5,083 | 2,131 | ||||||||||
C Class | 1,149 | 552 | ||||||||||
Distribution fees (Note 2): | ||||||||||||
A Class | 14,411 | 7,063 | ||||||||||
C Class | 14,813 | 5,564 | ||||||||||
Prospectus and shareholder report expenses | 6,683 | 19,223 | ||||||||||
Trustee fees (Note 2) | 16,003 | 50,824 | ||||||||||
Other expenses | 5,727 | 16,822 | ||||||||||
|
|
|
| |||||||||
Total expenses | 917,615 | 2,409,928 | ||||||||||
|
|
|
| |||||||||
Net fees waived and expenses (reimbursed) (Note 2) | (87,405 | ) | (67 | ) | ||||||||
|
|
|
| |||||||||
Net expenses | 830,210 | 2,409,861 | ||||||||||
|
|
|
| |||||||||
Net investment (loss) | (436,998 | ) | (1,880,639 | ) | ||||||||
|
|
|
| |||||||||
Realized and unrealized gain (loss) from investments: |
| |||||||||||
Net realized gain from: | ||||||||||||
Investments in unaffiliated securitiesC | 2,969,273 | 22,356,010 | ||||||||||
Change in net unrealized appreciation of: | ||||||||||||
Investments in unaffiliated securitiesD | 34,259,588 | 62,504,431 | ||||||||||
|
|
|
| |||||||||
Net gain from investments | 37,228,861 | 84,860,441 | ||||||||||
|
|
|
| |||||||||
Net increase in net assets resulting from operations | $ | 36,791,863 | $ | 82,979,802 | ||||||||
|
|
|
| |||||||||
† Foreign taxes | $ | 2,303 | $ | 2,993 | ||||||||
A Class launched on December 31, 2018 and commenced operations on January 2, 2019 in the StephensMid-Cap Growth Fund (Note 1). |
| |||||||||||
B Class launched on April 30, 2019 and commenced operations on May 1, 2019 in the Stephens Small Cap Growth Fund (Note 1). |
| |||||||||||
C The Funds did not recognize net realized gains (losses) from the sale of investments in affiliated securities. |
| |||||||||||
D The Funds’ investments in affiliated securities did not have a change in unrealized appreciation (depreciation) at period end. |
|
See accompanying notes
18
American Beacon FundsSM
Statements of Changes in Net Assets
StephensMid-Cap Growth Fund | Stephens Small Cap Growth Fund | |||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||
Net investment (loss) | $ | (436,998 | ) | $ | (803,062 | ) | $ | (1,880,639 | ) | $ | (4,305,985 | ) | ||||||||||||||||
Net realized gain from investments in unaffiliated securities | 2,969,273 | 15,570,916 | 22,356,010 | 111,127,480 | ||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments in unaffiliated securities | 34,259,588 | (16,821,873 | ) | 62,504,431 | (66,227,807 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 36,791,863 | (2,054,019 | ) | 82,979,802 | 40,593,688 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||||||||
Total retained earnings: | ||||||||||||||||||||||||||||
Institutional Class | - | (5,425,780 | ) | - | (76,595,283 | ) | ||||||||||||||||||||||
Y Class | - | (757,041 | ) | - | (18,278,992 | ) | ||||||||||||||||||||||
Investor Class | - | (1,251,731 | ) | - | (16,618,636 | ) | ||||||||||||||||||||||
A Class | (79 | ) | (1,124,545 | ) | - | (1,689,188 | ) | |||||||||||||||||||||
C Class | - | (144,407 | ) | - | (366,743 | ) | ||||||||||||||||||||||
R6 Class*† | - | - | - | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net distributions to shareholders | (79 | ) | (8,703,504 | ) | - | (113,548,842 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Capital share transactions (Note 10): |
| |||||||||||||||||||||||||||
Proceeds from sales of shares | 124,440,163 | 78,079,866 | 58,196,907 | 138,657,979 | ||||||||||||||||||||||||
Reinvestment of dividends and distributions | 79 | 8,387,775 | - | 100,058,452 | ||||||||||||||||||||||||
Cost of shares redeemed | (42,935,909 | ) | (58,755,155 | ) | (62,160,549 | ) | (387,151,403 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets from capital share transactions | 81,504,333 | 27,712,486 | (3,963,642 | ) | (148,434,972 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in net assets | 118,296,117 | 16,954,963 | 79,016,160 | (221,390,126 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net assets: |
| |||||||||||||||||||||||||||
Beginning of period | 113,995,266 | 97,040,303 | 352,573,112 | 573,963,238 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
End of period | $ | 232,291,383 | $ | 113,995,266 | $ | 431,589,272 | $ | 352,573,112 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
* Class launched on December 31, 2018 and commenced operations on January 2, 2019 in the StephensMid-Cap Growth Fund (Note 1). |
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† Class launched on May 1, 2019 and commenced operations on April 30, 2019 in the Stephens Small Cap Growth Fund (Note 1). |
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See accompanying notes
19
American Beacon FundsSM
June 30, 2019 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) is organized as a Massachusetts business trust. The Funds, each a series within the Trust, are registered under the Investment Company Act of 1940, as amended (the “Act”), as diversified,open-end management investment companies. As of June 30, 2019, the Trust consists of thirty-three active series, two of which are presented in this filing: American Beacon StephensMid-Cap Growth Fund and American Beacon Stephens Small Cap Growth Fund (collectively, the “Funds” and each individually a “Fund”). The remainingthirty-one active series are reported in separate filings.
American Beacon Advisors, Inc. (the “Manager”) is a Delaware corporation and a wholly-owned subsidiary of Resolute Investment Managers, Inc. (“RIM”) organized in 1986 to provide business management, advisory, administrative, and asset management consulting services to the Trust and other investors. The Manager is registered as an investment advisor under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). RIM is, in turn, a wholly-owned subsidiary of Resolute Acquisition, Inc., which is a wholly-owned subsidiary of Resolute Topco, Inc., a wholly-owned subsidiary of Resolute Investment Holdings, LLC (“RIH”). RIH is owned primarily by Kelso Investment Associates VIII, L.P., KEP VI, LLC and Estancia Capital Partners L.P., investment funds affiliated with Kelso & Company, L.P. (“Kelso”) or Estancia Capital Management, LLC (“Estancia”), which are private equity firms.
Recently Adopted Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”)2017-08,Premium Amortization of Purchased Callable Debt Securities. The amendments in the ASU shorten the premium amortization period on a purchased callable debt security from the security’s contractual life to the earliest call date. It is anticipated that this change will enhance disclosures by reducing losses recognized when a security is called on an earlier date. This ASU is effective for fiscal years beginning after December 15, 2018. The Manager continues to evaluate the impact this ASU will have on the financial statements and other disclosures.
In August 2018, the FASB issued ASU2018-13,Fair Value Measurement (“Topic 820”). The amendments in the ASU impact disclosure requirements for fair value measurement. It is anticipated that this change will enhance the effectiveness of disclosures in the notes to the financial statements. This ASU is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted and can include the entire standard or certain provisions that exclude or amend disclosures. For the period ended June 30, 2019, the Funds have chosen to adopt the standard. The adoption of this ASU guidance did not have a material impact on the financial statements and other disclosures.
Class Disclosure
On April 30, 2019, the Stephens Small Cap Growth Fund created the R6 Class, a new class made available for sale to provide third party intermediaries an investment option for the large 401(K) plans that does not charge12b-1 or sub-transfer agency fees pursuant to the Fund’s registration statement filed with the United States Securities and Exchange Commission. Refer to the Funds Prospectus for more details.
Each Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class | Eligible Investors | Minimum Initial Investments | ||||
Institutional | Large institutional investors - sold directly or through intermediary channels. | $ | 250,000 | |||
Y Class | Large institutional retirement plan investors - sold directly or through intermediary channels. | $ | 100,000 | |||
Investor | All investors using intermediary organizations, such as broker-dealers or retirement plan sponsors. | $ | 2,500 |
20
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Class | Eligible Investors | Minimum Initial Investments | ||||
A Class | All investors who invest through intermediary organizations, such as broker-dealers or third party administrator. Retail investors who invest directly through a financial intermediary such as a broker, bank, or registered investment advisor which may include afront-end sales charge and a contingent deferred sales charge (“CDSC”). | $ | 2,500 | |||
C Class | Retail investors who invest directly through a financial intermediary such as a broker or through employee directed benefit plans with applicable sales charges which may include CDSC. | 1,000 | ||||
R6 Class | All investors participating in retirement plan directly or through intermediary organizations. | None |
Each class offered by the Trust has equal rights as to assets and voting privileges. Income andnon-class specific expenses are allocated daily to each class based on the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include service, distribution, transfer agent fees, andsub-transfer agent fees that vary amongst the classes as described more fully in Note 2.
Significant Accounting Policies
The following is a summary of significant accounting policies, consistently followed by the Funds in preparation of the financial statements. The Funds are considered investment companies and accordingly, follow the investment company accounting and reporting guidance of the FASB Accounting Standards Codification Topic 946,Financial Services – Investment Companies,a part of Generally Accepted Accounting Principles (“U.S. GAAP”).
Security Transactions and Investment Income
Security transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date.
Dividend income, net of foreign taxes, is recorded on theex-dividend date, except certain dividends from foreign securities which are recorded as soon as the information is available to the Funds. Interest income, net of foreign taxes, is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. Realized gains (losses) from securities sold are determined based on specific lot identification.
Distributions to Shareholders
Distributions, if any, of net investment income are generally paid at least annually and recorded on theex-dividend date. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on theex-dividend date. Dividends to shareholders are determined in accordance with federal income tax regulations, which may differ in amount and character from net investment income and realized gains recognized for purposes of U.S. GAAP. To the extent necessary to fully distribute capital gains, the Funds may designate earnings and profits distributed to shareholders on the redemption of shares.
Allocation of Income, Trust Expenses, Gains, and Losses
Investment income, realized and unrealized gains and losses from investments of the Funds are allocated daily to each class of shares based upon the relative proportion of net assets of each class to the total net assets of the Funds. Expenses directly charged or attributable to the Fund will be paid from the assets of the Fund. Generally, expenses of the Trust will be allocated among and charged to the assets of the Funds on a basis that the Trust’s Board of Trustees (the “Board”) deems fair and equitable, which may be based on the relative net assets of the Funds or nature of the services performed and relative applicability to the Funds.
21
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
2. Transactions with Affiliates
Management and InvestmentSub-Advisory Agreements
The Funds and the Manager are parties to a Management Agreement that obligates the Manager to provide the Funds with investment advisory and administrative services. As compensation for performing the duties under the Management Agreement, the Manager will receive an annualized management fee based on a percentage of the Funds’ average daily net assets that is calculated and accrued daily according to the following schedule:
First $5 billion | 0.35 | % | ||
Next $5 billion | 0.325 | % | ||
Next $10 billion | 0.30 | % | ||
Over $20 billion | 0.275 | % |
The Trust, on behalf of the Funds, and the Manager have entered into an Investment Advisory Agreement with Stephens Investment Management Group LLC (the“Sub-Advisor”) pursuant to which each Fund has agreed to pay an annualizedsub-advisory fee that is calculated and accrued daily based on the Funds’ average daily net assets according to the following schedule:
StephensMid-Cap Growth Fund
First $100 million | 0.50 | % | ||
Over $100 million | 0.45 | % |
Stephens Small Cap Growth
First $200 million | 0.65 | % | ||
Over $200 million | 0.60 | % |
The Management andSub-Advisory Fees paid by the Funds for the period ended June 30, 2019 were as follows:
StephensMid-Cap Growth Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.35 | % | $ | 295,189 | ||||||||
Sub-Advisor Fees | 0.45 | % | 379,178 | |||||||||
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Total | 0.80 | % | $ | 674,367 | ||||||||
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22
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Stephens Small Cap Growth Fund
Effective Fee Rate | Amount of Fees Paid | |||||||||||
Management Fees | 0.35 | % | $ | 722,798 | ||||||||
Sub-Advisor Fees | 0.62 | % | 1,286,174 | |||||||||
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Total | 0.97 | % | $ | 2,008,972 | ||||||||
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As compensation for services provided by the Manager in connection with securities lending activities conducted by the Funds, the lending Fund pays to the Manager, with respect to cash collateral posted by borrowers, a fee up to 10% of the net monthly interest income (the gross interest income earned by the investment of cash collateral, less the amount paid to borrowers and related expenses) from such activities and, with respect to loan fees paid by borrowers, a fee up to 10% of such loan fees. These fees are included in “Income derived from securities lending” and “Management and investment advisory fees” on the Statements of Operations. During the period ended June 30, 2019, the Manager received securities lending fees of $312 and $1,451 for the securities lending activities of the StephensMid-Cap Growth Fund and Stephens Small Cap Growth Fund, respectively.
Distribution Plans
The Funds, except for the A and C Classes of the Funds, have adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule12b-1 under the Act, pursuant to which no separate fees may be charged to the Funds for distribution purposes. However, the Plan authorizes the management fee received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Funds do not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.
Separate Distribution Plans (the “Distribution Plans”) have been adopted pursuant to Rule12b-1 under the Act for the A and C Classes of the Funds. Under the Distribution Plans, as compensation for distribution and shareholder servicing assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into a Service Plans that obligates the Manager to oversee additional shareholder servicing of the Investor, A, and C Classes of the Funds. As compensation for performing the duties required under the Service Plans, the Manager receives an annualized fee up to 0.25% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Funds.
Sub-Transfer Agent Fees
The Manager has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Institutional and Y Classes of the Funds and has agreed to compensate the intermediaries for providing these services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. Certain services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly by the Funds’ transfer agent. Accordingly, the Funds, pursuant to Board approval, have agreed to reimburse the Manager for certainnon-distribution shareholder services provided by financial intermediaries for the Institutional and Y Classes. The reimbursement amounts(sub-transfer agent fees) paid to the Manager are subject to a fee limit of up to 0.10% of an intermediary’s average net assets in the Institutional and Y
23
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Classes on an annual basis. During the period ended June 30, 2019, thesub-transfer agent fees, as reflected in “Transfer agent fees” on the Statements of Operations, were as follows:
Fund | Sub-Transfer Agent Fees | |||
StephensMid-Cap Growth | $ | 42,909 | ||
Stephens Small Cap Growth | 81,958 |
As of June 30, 2019, the Funds owed the Manager the following reimbursement ofsub-transfer agent fees, as reflected in “Transfer agent fees payable” on the Statements of Assets and Liabilities:
Fund | Reimbursement Sub-Transfer Agent Fees | |||
StephensMid-Cap Growth | $ | 11,073 | ||
Stephens Small Cap Growth | 14,044 |
Investments in Affiliated Funds
The Funds may invest in the American Beacon U.S. Government Money Market Select Fund (the “USG Select Fund”). Cash collateral received by the Funds in connection with securities lending may also be invested in the USG Select Fund. The Funds and the USG Select Fund have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the USG Select Fund and receives management fees and administrative fees totaling 0.10% of the average daily net assets of the USG Select Fund. During the period ended June 30, 2019, the Manager earned fees on the Funds’ direct investments and securities lending collateral investments in the USG Select Fund as shown below:
Fund | Direct Investments in USG Select Fund | Securities Lending Collateral Investments in USG Select Fund | Total | |||||||||
StephensMid-Cap Growth | $ | 3,156 | $ | 771 | $ | 3,927 | ||||||
Stephens Small Cap Growth | 4,818 | 4,009 | 8,827 |
Interfund Credit Facility
Pursuant to an exemptive order issued by the SEC, the Funds, along with other registered investment companies having management contracts with the Manager, may participate in a credit facility whereby each fund, under certain conditions, is permitted to lend money directly to and borrow directly from other participating funds for temporary purposes. The interfund credit facility is advantageous to the funds because it provides added liquidity and eliminates the need to maintain higher cash balances to meet redemptions. This situation could arise when shareholder redemptions exceed anticipated volumes and certain funds have insufficient cash on hand to satisfy such redemptions or when sales of securities do not settle as expected, resulting in a cash shortfall for a fund. When a fund liquidates portfolio securities to meet redemption requests, they often do not receive payment in settlement for up to two days (or longer for certain foreign transactions). Redemption requests normally are satisfied on the next business day. The credit facility provides a source of immediate, short-term liquidity pending settlement of the sale of portfolio securities. The credit facility is administered by a credit facility team consisting of professionals from the Manager’s asset management, compliance, and accounting areas who report the activities of the credit facility to the Board. During the period ended June 30, 2019, the Stephens Small Cap Growth Fund borrowed on average $6,619,657 for 2 days at an average interest rate of 3.29% with interest charges of $1,200. These amounts are recorded as “Other expenses” in the Statements of Operations. For the period ended June 30, 2019, the Stephens Mid-Cap Value Fund did not utilize the credit facility.
24
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Expense Reimbursement Plan
The Manager contractually agreed to reduce fees and/or reimburse expenses for the classes of the Funds to the extent that total operating expenses exceed the Funds’ expense cap. During the period ended June 30, 2019, the Manager waived and/or reimbursed expenses as follows:
Expense Cap | Expiration of Reimbursed Expenses | |||||||||||||||||
Fund | Class | 1/1/2019 - 6/30/2019 | Reimbursed Expenses | (Recouped) Expenses | ||||||||||||||
StephensMid-Cap Growth | Institutional | 0.89 | % | $ | 82,520 | $ | - | 2022 | ||||||||||
StephensMid-Cap Growth | Y | 0.99 | % | 4,972 | - | 2022 | ||||||||||||
StephensMid-Cap Growth | Investor | 1.25 | % | 4,028 | - | 2022 | ||||||||||||
StephensMid-Cap Growth | A | 1.29 | % | 1,154 | - | 2022 | ||||||||||||
StephensMid-Cap Growth | C | 2.04 | % | 123 | - | 2022 | ||||||||||||
StephensMid-Cap Growth | R6 | 0.84 | % | 2,436 | - | 2022 | ||||||||||||
Stephens Small Cap Growth | R6 | 1.05 | % | 67 | - | 2022 |
Of these amounts, $10,572 and $30 were disclosed as a receivable from the Manager on the Statements of Assets and Liabilities at June 30, 2019 for the StephensMid-Cap Growth Fund and Stephens Small Cap Growth Fund, respectively.
The Funds have adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of such fee reductions and expense reimbursements. Under the policy, the Manager can be reimbursed by the Funds for any contractual or voluntary fee reductions or expense reimbursements if reimbursement to the Manager (a) occurs within three years after the Manager’s own waiver or reimbursement and (b) does not cause the Funds’ annual operating expenses to exceed the lesser of the contractual percentage limit in effect at the time of the waiver/reimbursement or time of recoupment. The reimbursed expenses listed above will expire in 2022. The Funds did not record a liability for potential reimbursements due to the current assessment that reimbursements are unlikely. The carryover of excess expenses potentially reimbursable to the Manager, but not recorded as a liability are as follows:
Fund | Recouped Expenses | Excess Expense Carryover | Expired Expense Carryover | Expiration of Reimbursed Expenses | ||||||||||||
StephensMid-Cap Growth | $ | - | $ | 54,783 | $ | - | 2019 | |||||||||
StephensMid-Cap Growth | - | 47,661 | - | 2020 | ||||||||||||
StephensMid-Cap Growth | - | 103,756 | - | 2021 |
Sales Commissions
The Funds’ Distributor, Resolute Investment Distributors, Inc. (“RID” or “Distributor”), may receive a portion of Class A sales charges from broker dealers and it may be used to offset distribution related expenses. During the period ended June 30, 2019, CDSC fees of $2,492 and $43 were collected for the Class A Shares of StephensMid-Cap Growth Fund and Stephens Small Cap Growth Fund, respectively.
A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Funds’ Prospectus. Any applicable CDSC will be 0.50% of the lesser of the original purchase price or the value of the redemption of the Class A Shares redeemed. During the period ended June 30, 2019, there were no CDSC fees collected for Class A Shares of the Funds.
A CDSC of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Funds’ Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. During the period ended June 30, 2019, CDSC fees of $220 and $100 were collected for the Class C Shares of StephensMid-Cap Growth Fund and Stephens Small Cap Growth Fund, respectively.
25
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Trustee Fees and Expenses
As compensation for their service to the Trusts, each Trustee receives an annual retainer of $120,000, plus $10,000 for each Board meeting attended in person or via teleconference, $2,500 for attendance by Committee members at meetings of the Audit Committee and the Investment Committee, and $1,500 for attendance by Committee members at meetings of the Nominating and Governance Committee, plus reimbursement of reasonable expenses incurred in attending Board meetings, Committee meetings, and relevant educational seminars. The Trustees also may be compensated for attendance at special Board and/or Committee meetings from time to time. The Board Chair receives an additional annual retainer of $50,000 as well as a $2,500 fee each quarter for attendance at the committee meetings. The Chairpersons of the Audit Committee and the Investment Committee each receive an additional annual retainer of $25,000 and the Chairman of the Nominating and Governance Committee receives an additional annual retainer of $10,000. These expenses are allocated on a prorated basis to each fund of the Trusts according to its respective net assets.
3. Security Valuation and Fair Value Measurements
The price of the Fund’s shares is based on its net asset value (“NAV”) per share. The Fund’s NAV is computed by adding total assets, subtracting all the Fund’s liabilities, and dividing the result by the total number of shares outstanding of the Fund or class.
Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally at 4:00 p.m. Eastern Time, each day that the Exchange is open for business. Equity securities, including exchange-traded funds (“ETFs”) for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade.
Investments inopen-end mutual funds are valued at the closing NAV per share of the mutual fund on the day of valuation.
Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board.
Other investments, including restricted securities and those financial instruments for which the above valuation procedures are inappropriate or are deemed not to reflect fair value, are stated at fair value, as determined in good faith by the Manager’s Valuation Committee, pursuant to procedures established by the Board.
Valuation Inputs
Various inputs may be used to determine the fair value of the Funds’ investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 | - | Quoted prices in active markets for identical securities. | ||
Level 2 | - | Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. | ||
Level 3 | - | Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Common stocks, preferred securities, ETFs, and financial derivative instruments, such as futures contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the
26
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are generally categorized as Level 2 of the fair value hierarchy.
Investments in registeredopen-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
4. Securities and Other Investments
Common Stock
Common stock generally takes the form of shares in a corporation which represent an ownership interest. It ranks below preferred stock and debt securities in claims for dividends and for assets of the company in a liquidation or bankruptcy. The value of a company’s common stock may fall as a result of factors directly relating to that company, such as decisions made by its management or decreased demand for the company’s products or services. A stock’s value may also decline because of factors affecting not just the company, but also companies in the same industry or sector. The price of a company’s stock may also be affected by changes in financial markets that are relatively unrelated to the company, such as changes in interest rates, currency exchange rates or industry regulation. Companies that elect to pay dividends on their common stock generally only do so after they invest in their own business and make required payments to bondholders and on other debt and preferred stock. Therefore, the value of a company’s common stock will usually be more volatile than its bonds, other debt and preferred stock. Common stock may be exchange-traded or OTC. OTC stock may be less liquid than exchange-traded stock.
Other Investment Company Securities and Other Exchange-Traded Products
The Funds may invest in shares of other investment companies, includingopen-end funds,closed-end funds, business development companies, ETFs, unit investment trusts, and other investment companies of the Trust. The Funds may invest in investment company securities advised by the Manager or asub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, the Funds become a shareholder of that investment company. As a result, the Funds’ shareholders indirectly will bear the Funds’ proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses the Funds’ shareholders directly bear in connection with the Funds’ own operations. These other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Funds in their Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.
5. Principal Risks
Investing in the Funds may involve certain risks including, but not limited to, those described below.
Equity Investments Risk
Equity securities are subject to market risk. The Funds’ investments in equity securities may include common stocks, preferred stocks, securities convertible into or exchangeable for common stocks, REITs, depositary receipts, and U.S. dollar-denominated foreign stocks traded on U.S. exchanges. Such investments may expose the Funds to additional risk. The value of a company’s common stock may fall as a result of factors affecting the company, companies in the same industry or sector, or the financial markets overall. Common stock generally is subordinate to preferred stock upon the liquidation or bankruptcy of the issuing company. Preferred stocks and convertible securities are sensitive to movements in interest rates. Preferred stocks may be less liquid than common stocks and, unlike common stocks, participation in the growth of an issuer may be limited. Distributions
27
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
on preferred stocks generally are payable at the discretion of an issuer and after required payments to bond holders. Convertible securities are subject to the risk that the credit standing of the issuer may have an effect on the convertible securities’ investment value. Investments in REITs are subject to the risks associated with investing in the real estate industry such as adverse developments affecting the real estate industry and real property values. Depositary receipts and U.S. dollar-denominated foreign stocks traded on U.S. exchanges are subject to certain of the risks associated with investing directly in foreign securities, including, but not limited to, currency fluctuations and political and financial instability in the home country of a particular depositary receipt or foreign stock.
Foreign Investing Risk
Non-U.S. investments carry potential risks not associated with U.S. investments. Such risks include, but are not limited to: (1) currency exchange rate fluctuations, (2) political and financial instability, (3) less liquidity, (4) lack of uniform accounting, auditing and financial reporting standards, (5) increased price volatility, (6) less government regulation and supervision of foreign stock exchanges, brokers and listed companies, and (7) delays in transaction settlement in some foreign markets.
Investment Risk
An investment in the Funds is not a deposit with a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. When you sell your shares of the Funds, they could be worth less than what you paid for them. Therefore, you may lose money by investing in the Funds.
Market Risk
Conditions in the U.S. and many foreign economies have resulted, and may continue to result, in certain instruments experiencing unusual liquidity issues, increased price volatility and, in some cases, credit downgrades and increased likelihood of default. These events have reduced the willingness and ability of some lenders to extend credit, and have made it more difficult for some borrowers to obtain financing on attractive terms, if at all. In some cases, traditional market participants have been less willing to make a market in some types of debt instruments, which has affected the liquidity of those instruments. During times of market turmoil, investors tend to look to the safety of securities issued or backed by the U.S. Treasury, causing the prices of these securities to rise and the yields to decline. Reduced liquidity in fixed income and credit markets may negatively affect many issuers worldwide. In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region. A rise in protectionist trade policies, and the possibility of changes to some international trade agreements, could affect the economies of many nations in ways that cannot necessarily be foreseen at the present time.
In response to the financial crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. In some countries where economic conditions are recovering, they are nevertheless perceived as still fragile. Withdrawal of government support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities. The severity or duration of adverse economic conditions may also be affected by policy changes made by governments or quasi-governmental organizations, including changes in tax laws. The impact of new financial regulation legislation on the markets and the practical implications for market participants may not be fully known for some time. Regulatory changes are causing some financial services companies to exit long-standing lines of business, resulting in dislocations for other market participants. In addition, political and diplomatic events within the U.S. and abroad, such as the United States government’s inability at times to agree on a long-term budget and deficit reduction plan, the threat of a federal government shutdown and threats not to increase the federal government’s debt limit, may affect investor and consumer confidence and may adversely impact financial markets and the broader economy, perhaps suddenly and to a
28
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
significant degree. The U.S. government has recently reduced the federal corporate income tax rates, and future legislative, regulatory and policy changes may result in more restrictions on international trade, less stringent prudential regulation of certain players in the financial markets, and significant new investments in infrastructure and national defense. Markets may react strongly to expectations about the changes in these policies, which could increase volatility, especially if the markets’ expectations for changes in government policies are not borne out.
Changes in market conditions will not have the same impact on all types of securities. Interest rates have been unusually low in recent years in the United States and abroad. Because there is little precedent for this situation, it is difficult to predict the impact of a significant rate increase on various markets. For example, because investors may buy securities or other investments with borrowed money, a significant increase in interest rates may cause a decline in the markets for those investments. Because of the sharp decline in the worldwide price of oil, there is a concern that oil producing nations may withdraw significant assets now held in U.S. Treasuries, which could force a substantial increase in interest rates. Regulators have expressed concern that rate increases may cause investors to sell fixed income securities faster than the market can absorb them, contributing to price volatility. In addition, there is a risk that the prices of goods and services in the U.S. and many foreign economies may decline over time, known as deflation (the opposite of inflation). Deflation may have an adverse effect on stock prices and creditworthiness and may make defaults on debt more likely. If a country’s economy slips into a deflationary pattern, it could last for a prolonged period and may be difficult to reverse.
The precise details and the resulting impact of the United Kingdom’s vote to leave the European Union (the “EU”), commonly referred to as “Brexit,” are not yet known. The effect on the United Kingdom’s economy will likely depend on the nature of trade relations with the EU and other major economies following its exit, which are matters to be negotiated. The outcomes may cause increased volatility and have a significant adverse impact on world financial markets, other international trade agreements, and the United Kingdom and European economies, as well as the broader global economy for some time, which could significantly adversely affect the value of the Fund’s investments in the United Kingdom and Europe.
Other Investment Companies Risk
The Funds may invest in shares of other registered investment companies, including money market funds, exchange-traded funds (“ETFs”). To the extent that the Funds invest in shares of other registered investment companies, the Funds will indirectly bear the fees and expenses, including for example, advisory and administrative fees, charged by those investment companies in addition to the Funds’ direct fees and expenses and will be subject to the risks associated with investments in those companies. For example, the Funds’ investments in money market funds are subject to interest rate risk, credit risk, and market risk. The Funds must rely on the investment company in which it invests to achieve its investment objective. If the investment company fails to achieve its investment objective, the value of the Funds’ investment may decline, adversely affecting the Funds’ performance. ETFs are subject to the following risks that do not apply to conventional funds: (1) the market price of an ETF’s shares may trade at a discount or premium to its NAV; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange’s officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. An ETF that tracks an index may not precisely replicate the returns of its benchmark index. To the extent the Funds invest in other investment companies that invest in equity securities, fixed-income securities and/or foreign securities, or that track an index, the Funds are subject to the risks associated with the underlying investments held by the investment company or the index fluctuations to which the investment company is subject. ETFs have expenses associated with their operation, typically including advisory fees.
Sector Risk
Sector risk is the risk associated with a Fund holding a significant amount of investments in similar businesses, which would be similarly affected by particular economic or market events, which may, in certain
29
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
circumstances, cause the value of the equity and debt securities of companies in a particular sector of the market to change. To the extent a Fund has substantial holdings within a particular sector, the risks to a Fund associated with that sector increase.
To the extent a Fund invests substantially in the information technology sector, the value of the Fund’s shares may be particularly vulnerable to factors affecting that sector, such as a greater degree of market risk and sharp price fluctuations than other types of securities. The value of a Fund’s shares could experience significantly greater volatility than investment companies investing more broadly.
Securities Lending Risk
A Fund may lend its portfolio securities to brokers, dealers and financial institutions to seek income. There is a risk that a borrower may default on its obligations to return loaned securities; however, a Fund’s securities lending agent indemnifies the Fund against that risk. There is a risk that the assets of a Fund’s securities lending agent may be insufficient to satisfy any contractual indemnification requirements to the Fund. Borrowers of a Fund’s securities typically provide collateral in the form of cash that is reinvested in securities. A Fund will be responsible for the risks associated with the investment of cash collateral, including any collateral invested in an affiliated money market fund. A Fund may lose money on its investment of cash collateral or may fail to earn sufficient income on its investment to meet obligations to the borrower. In addition, delays may occur in the recovery of securities from borrowers, which could interfere with a Fund’s ability to vote proxies or to settle transactions and there is the risk of possible loss of rights in the collateral should the borrower fail financially. In any case in which the loaned securities are not returned to the Fund before anex-dividend date, the payment in lieu of the dividend that the Fund receives from the securities’ borrower would not be treated as a dividend for federal income tax purposes and thus would not qualify for treatment as “qualified dividend income”.
Offsetting Assets and Liabilities
The Funds are parties to enforceable master netting agreements between brokers and counterparties which provide for the right to offset under certain circumstances. The Funds employ multiple money managers and counterparties and have elected not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. The impacts of netting arrangements that provide the right to offset are detailed below. The net amount represents the net receivable or payable that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing agreements such as repurchase agreements can only be netted across transactions governed by the same Master Agreement with the same legal entity. All amounts reported below represent the balance as of the report date, June 30, 2019.
StephensMid-Cap Growth Fund
Remaining Contractual Maturity of the Agreements As of June 30, 2019 | ||||||||||||||||||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||||||||||||||||||
Common Stocks | $ | 1,315,416 | $ | - | $ | - | $ | - | $ | 1,315,416 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Borrowings | $ | 1,315,416 | $ | - | $ | - | $ | - | $ | 1,315,416 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 1,315,416 | |||||||||||||||||||||||||||||||||
|
|
30
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
Stephens Small Cap Growth Fund
Remaining Contractual Maturity of the Agreements As of June 30, 2019 | ||||||||||||||||||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||||||||||||||||||
Common Stocks | $ | 6,294,174 | $ | - | $ | - | $ | - | $ | 6,294,174 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Borrowings | $ | 6,294,174 | $ | - | $ | - | $ | - | $ | 6,294,174 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 6,294,174 | |||||||||||||||||||||||||||||||||
|
|
6. Federal Income and Excise Taxes
It is the policy of each Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.
The Funds do not have any unrecorded tax liabilities in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2018 remain subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.
The Funds may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation (depreciation), as applicable, as the income is earned or capital gains are recorded.
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
As of June 30, 2019 the tax cost for each Fund and their respective gross unrealized appreciation (depreciation) were as follows:
Fund | Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
StephensMid-Cap Growth | $ | 187,141,923 | $ | 54,413,481 | $ | (3,645,556 | ) | $ | 50,767,925 | |||||||||||||||||||
Stephens Small Cap Growth | 267,936,910 | 184,340,418 | (14,850,191 | ) | 169,490,227 |
Under the Regulated Investment Company Modernization Act of 2010 (“RIC MOD”), net capital losses recognized by the Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses.
During the year ended December 31, 2018, the Funds did not have any capital loss carryforwards.
7. Investment Transactions
The aggregate cost of purchases and proceeds from sales and maturities of investments, other than short-term obligations, for the period ended June 30, 2019 were as follows:
Fund | Purchases(non-U.S. Government Securities) | Sales(non-U.S. Government Securities) | ||||||||||
StephensMid-Cap Growth | $ | 91,359,362 | $ | 14,450,931 | ||||||||
Stephens Small Cap Growth | 34,448,416 | 53,107,419 |
31
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
A summary of the Funds’ transactions in the USG Select Fund for the period ended June 30, 2019 are as follows:
Fund | Type of Transaction | December 31, 2018 Shares/Fair Value | Purchases | Sales | June 30, 2019 Shares/Fair Value | Dividend Income | ||||||||||||||||||||||||||||||||||||
StephensMid-Cap Growth | Direct | $ | 1,239,434 | $ | 71,216,923 | $ | 62,023,458 | $ | 10,432,899 | $ | 73,328 | |||||||||||||||||||||||||||||||
StephensMid-Cap Growth | Securities Lending | 1,055,421 | 12,701,597 | 12,441,602 | 1,315,416 | N/A | ||||||||||||||||||||||||||||||||||||
Stephens Small Cap Growth | Direct | - | 43,287,990 | 36,716,516 | 6,571,474 | 111,984 | ||||||||||||||||||||||||||||||||||||
Stephens Small Cap Growth | Securities Lending | 11,354,466 | 38,101,074 | 43,161,366 | 6,294,174 | N/A |
8. Securities Lending
The Funds may lend their securities to qualified financial institutions, such as certain broker-dealers, to earn additional income. The borrowers are required to secure their loans continuously with collateral in an amount at least equal to the fair value of the securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is monitored andmarked-to-market daily. Dailymark-to-market amounts are required to be paid to the borrower or received from the borrower by the end of the following business day. This one day settlement formark-to-market amounts may result in the collateral being temporarily less than the value of the securities on loan or temporarily more than the required minimum collateral.
To the extent that a loan is collateralized by cash, such cash collateral shall be invested by the securities lending agent (the “Agent”) in money market mutual funds and other short-term investments, provided the investments meet certain quality and diversification requirements. Securities purchased with cash collateral proceeds are listed in the Funds’ Schedule of Investments and the collateral is shown on the Statements of Assets and Liabilities as a payable.
Securities lending income is generated from the demand premium (if any) paid by the borrower to borrow a specific security and from the return on investment of cash collateral, reduced by negotiated rebate fees paid to the borrower and transaction costs. To the extent that a loan is secured bynon-cash collateral, securities lending income is generated as a demand premium reduced by transaction costs. The Funds, the Agent, and the Manager retained 80%, 10%, and 10%, respectively, of the income generated from securities lending.
While securities are on loan, the Funds continue to receive certain income associated with that security and any gain or loss in the market price that may occur during the term of the loan. In the case of domestic equities, the value of any dividend is received in the form of a substitute payment approximately equal to the dividend. In the case of foreign securities, a negotiated amount is received that is less than the actual dividend, but higher than the dividend amount minus the foreign tax that the Funds would be subject to on the dividend.
Securities lending transactions pose certain risks to the Funds, including that the borrower may not provide additional collateral when required or return the securities when due, that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower, thatnon-cash collateral may be subject to legal constraints in the event of a borrower bankruptcy, and that the cash collateral investments could become illiquid and unable to be used to return collateral to the borrower. The Funds could also experience delays and costs in gaining access to the collateral. The Funds bear the risk of any deficiency in the amount of the cash collateral available for return to the borrower and any action which impairs its ability to liquidatenon-cash collateral to satisfy a borrower default.
32
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
As of June 30, 2019, the value of outstanding securities on loan and the value of collateral were as follows:
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||||||||||||||||||||||
StephensMid-Cap Growth | $ | 1,298,872 | $ | 1,315,416 | $ | - | $ | 1,315,416 | ||||||||||||||||||||
Stephens Small Cap Growth | 6,335,120 | 6,294,174 | - | 6,294,174 |
Cash collateral is listed on the Funds’ Schedules of Investments and is shown on the Statements of Assets and Liabilities. Income earned on these investments is included in “Income derived from securities lending” on the Statements of Operations.
Non-cash collateral received by the Funds may not be sold orre-pledged except to satisfy a borrower default. Therefore,non-cash collateral is not included on the Funds’ Schedules of Investments or Statements of Assets and Liabilities.
9. Borrowing Arrangements
Effective November 15, 2018 (the “Effective Date”), the Funds, along with certain other funds managed by the Manager (“Participating Funds”), entered into a committed revolving line of credit (the “Committed Line”) agreement with State Street Bank and Trust Company (the “Bank”) to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Committed Line is $250 million with interest at a rate equal to the higher of(a) one-month London Inter-Bank Offered Rate (“LIBOR”) plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on amounts borrowed. Each of the Participating Funds will pay a closing fee of $100,000 on the Effective Date and a quarterly commitment fee at a rate of 0.25% per annum on the unused portion of the Committed Line amount. The Committed Line expires November 14, 2019, unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
On the Effective Date, the Funds, along with certain other Participating Funds managed by the Manager, also entered into an uncommitted discretionary demand revolving line of credit (the “Uncommitted Line”) agreement with the Bank to be used to facilitate portfolio liquidity. The maximum borrowing amount under the Uncommitted Line is $50 million with interest at a rate equal to the higher of(a) one-month LIBOR plus 1.25% per annum or (b) the Federal Funds rate plus 1.25% per annum on each outstanding loan. Each of the Participating Funds will pay a closing fee of $35,000 on the Effective Date. The Uncommitted Line expires November 14, 2019 unless extended by the Bank or terminated by the Participating Funds in accordance with the agreement.
The Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Other expenses” on the Statements of Operations, along with commitment fees, that have been allocated among the Participating Funds based on average daily net assets.
During the period ended June 30, 2019, the Funds did not utilize this facility.
33
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
10. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Funds:
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
StephensMid-Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 3,717,644 | $ | 92,302,260 | 2,358,949 | $ | 58,811,049 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 250,100 | 5,174,568 | ||||||||||||||||||||||||
Shares redeemed | (1,041,713 | ) | (26,816,350 | ) | (1,809,263 | ) | (42,838,051 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 2,675,931 | $ | 65,485,910 | 799,786 | $ | 21,147,566 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
StephensMid-Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 553,686 | $ | 14,286,833 | 299,355 | $ | 7,427,070 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 36,061 | 741,056 | ||||||||||||||||||||||||
Shares redeemed | (27,578 | ) | (687,195 | ) | (101,782 | ) | (2,476,639 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 526,108 | $ | 13,599,638 | 233,634 | $ | 5,691,487 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
StephensMid-Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 122,275 | $ | 2,552,213 | 438,488 | $ | 9,927,938 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 69,860 | 1,211,364 | ||||||||||||||||||||||||
Shares redeemed | (258,899 | ) | (5,521,734 | ) | (473,243 | ) | (10,248,837 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (136,624 | ) | $ | (2,969,521 | ) | 35,105 | $ | 890,465 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
StephensMid-Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 16,089 | $ | 327,316 | 33,452 | $ | 726,471 | ||||||||||||||||||||||
Reinvestment of dividends | 5 | 79 | 64,851 | 1,119,326 | ||||||||||||||||||||||||
Shares redeemed | (435,774 | ) | (9,554,839 | ) | (130,372 | ) | (2,604,564 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | (419,680 | ) | $ | (9,227,444 | ) | (32,069 | ) | $ | (758,767 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
StephensMid-Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 30,622 | $ | 606,911 | 63,297 | $ | 1,087,338 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 8,748 | 141,461 | ||||||||||||||||||||||||
Shares redeemed | (17,686 | ) | (354,729 | ) | (29,360 | ) | (587,064 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase in shares outstanding | 12,936 | $ | 252,182 | 42,685 | $ | 641,735 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
34
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
R6 Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Period Ended December 31, 2018A | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
StephensMid-Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 546,212 | $ | 14,364,630 | 4,710 | $ | 100,000 | ||||||||||||||||||||||
Shares redeemed | (40 | ) | (1,062 | ) | - | - | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net (decrease) in shares outstanding | 546,172 | $ | 14,363,568 | 4,710 | $ | 100,000 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 2,461,026 | $ | 38,104,354 | 3,867,303 | $ | 82,471,413 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 4,704,001 | 63,362,893 | ||||||||||||||||||||||||
Shares redeemed | (2,286,884 | ) | (36,690,595 | ) | (13,532,203 | ) | (291,145,177 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | 174,142 | $ | 1,413,759 | (4,960,899 | ) | $ | (145,310,871 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Y Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 1,016,975 | $ | 15,997,163 | 882,266 | $ | 18,176,645 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 1,361,228 | 18,172,394 | ||||||||||||||||||||||||
Shares redeemed | (548,415 | ) | (8,788,615 | ) | (3,157,113 | ) | (57,685,578 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | 468,560 | $ | 7,208,548 | (913,619 | ) | $ | (21,336,539 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 273,986 | $ | 3,952,933 | 1,652,665 | $ | 34,553,602 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 1,355,706 | 16,485,380 | ||||||||||||||||||||||||
Shares redeemed | (1,054,267 | ) | (15,313,445 | ) | (1,734,700 | ) | (34,493,228 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (780,281 | ) | $ | (11,360,512 | ) | 1,273,671 | $ | 16,545,754 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
A Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 632 | $ | 8,957 | 140,666 | $ | 2,978,897 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 140,687 | 1,686,836 | ||||||||||||||||||||||||
Shares redeemed | (69,206 | ) | (1,000,150 | ) | (167,136 | ) | (3,468,914 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (68,574 | ) | $ | (991,193 | ) | 114,217 | $ | 1,196,819 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
C Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||
(unaudited) |
| |||||||||||||||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||
Shares sold | 2,514 | $ | 33,500 | 26,426 | $ | 477,422 | ||||||||||||||||||||||
Reinvestment of dividends | - | - | 31,847 | 350,949 | ||||||||||||||||||||||||
Shares redeemed | (27,723 | ) | (367,744 | ) | (21,527 | ) | (358,506 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net increase (decrease) in shares outstanding | (25,209 | ) | $ | (334,244 | ) | 36,746 | $ | 469,865 | ||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||
35
American Beacon FundsSM
Notes to Financial Statements
June 30, 2019 (Unaudited)
R6 Class | ||||||||||||||||||||||||||||
Period Ended June 30, 2019B | ||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | ||||||||||||||||||||||||||
Shares sold | 5,914 | $ | 100,000 | |||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Net (decrease) in shares outstanding | 5,914 | $ | 100,000 | |||||||||||||||||||||||||
|
|
|
|
A Class launched on December 31, 2018 and commenced operations on January 2, 2019 (Note 1).
B Class launched on April 30, 2019 and commenced operations on May 1, 2019 (Note 1).
11. Subsequent Events
On August 20, 2019, The Board approved: (i) an amendment to the existing investment advisory agreement among the Manager, Stephens Investment Management Group, LLC (“Stephens”) and the Trust, on behalf of the American Beacon Stephens Small Cap Growth Fund (the “Fund”), whereby the fee rate payable to Stephens by the Fund with respect to the first $200 million in assets under management will be 0.60% and thereafter the fee rate payable to Stephens by the Fund will be 0.55%, effective on or about September 1, 2019; (ii) the addition of contractual expense ratio caps for the Fund’s A Class, C Class, Y Class, Institutional Class and Investor Class shares amounting to 1.28%, 2.06%, 1.06%, 0.99, and 1.31%, respectively, effective on or about September 1, 2019; and (iii) the lowering of the contractual expense ratio cap for the Fund’s R6 Class shares to 0.95%, effective on or about September 1, 2019.
36
American Beacon StephensMid-Cap Growth FundSM
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.23 | $ | 22.45 | $ | 18.29 | $ | 18.11 | $ | 19.24 | $ | 19.76 | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment (loss) | (0.05 | )A | (0.12 | )A | (0.07 | ) | (0.26 | ) | (0.13 | ) | (0.04 | ) | ||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 5.65 | 0.57 | 5.26 | 1.49 | (0.11 | ) | 0.72 | |||||||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 5.60 | 0.45 | 5.19 | 1.23 | (0.24 | ) | 0.68 | |||||||||||||||||||||||||||||||||||||
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|
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|
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| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (1.67 | ) | (1.03 | ) | (1.05 | ) | (0.89 | ) | (1.20 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (1.67 | ) | (1.03 | ) | (1.05 | ) | (0.89 | ) | (1.20 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 26.83 | $ | 21.23 | $ | 22.45 | $ | 18.29 | $ | 18.11 | $ | 19.24 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnB | 26.38 | %C | 2.20 | % | 28.38 | % | 6.76 | % | (1.23 | )% | 3.41 | % | ||||||||||||||||||||||||||||||||
|
|
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|
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|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 166,092,624 | $ | 74,603,963 | $ | 60,933,913 | $ | 50,451,447 | $ | 76,666,136 | $ | 87,620,400 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.02 | %D | 1.04 | % | 1.07 | % | 1.09 | % | 1.01 | % | 1.05 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursementsE | 0.89 | %D | 0.94 | %F | 0.99 | % | 1.00 | % | 0.99 | % | 1.00 | % | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.55 | )%D | (0.60 | )% | (0.36 | )% | (0.60 | )% | (0.54 | )% | (0.53 | )% | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements | (0.42 | )%D | (0.50 | )% | (0.28 | )% | (0.51 | )% | (0.53 | )% | (0.48 | )% | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %C | 38 | % | 24 | % | 22 | % | 19 | % | 37 | % |
A | Per share amounts have been calculated using the average shares method. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
F | Expense ratios may exceed stated expense caps in Note 2 due to the change in the contractual expense caps on July 1, 2018. |
See accompanying notes
37
American Beacon StephensMid-Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.09 | $ | 22.34 | $ | 18.22 | $ | 18.06 | $ | 19.22 | ||||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.06 | )A | (0.15 | ) | 0.12 | (0.10 | ) | (0.15 | ) | |||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 5.61 | 0.57 | 5.03 | 1.31 | (0.12 | ) | ||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 5.55 | 0.42 | 5.15 | 1.21 | (0.27 | ) | ||||||||||||||||||||||||||||||
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|
|
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|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | - | - | |||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (1.67 | ) | (1.03 | ) | (1.05 | ) | (0.89 | ) | |||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | - | (1.67 | ) | (1.03 | ) | (1.05 | ) | (0.89 | ) | |||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
Redemption fees added to beneficial interests | - | - | - | - | - | |||||||||||||||||||||||||||||||
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|
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|
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|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 26.64 | $ | 21.09 | $ | 22.34 | $ | 18.22 | $ | 18.06 | ||||||||||||||||||||||||||
|
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|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnB | 26.32 | %C | 2.08 | % | 28.27 | % | 6.67 | % | (1.39 | )% | ||||||||||||||||||||||||||
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|
|
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|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 26,967,990 | $ | 10,252,661 | $ | 5,639,207 | $ | 2,510,649 | $ | 2,479,918 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.05 | %D | 1.08 | % | 1.11 | % | 1.12 | % | 1.06 | % | ||||||||||||||||||||||||||
Expenses, net of reimbursementsE | 0.99 | %D | 1.03 | %F | 1.09 | % | 1.12 | % | 1.09 | % | ||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.57 | )%D | (0.64 | )% | (0.42 | )% | (0.63 | )% | (0.60 | )% | ||||||||||||||||||||||||||
Net investment (loss), net of reimbursements or recoupments | (0.52 | )%D | (0.59 | )% | (0.40 | )% | (0.63 | )% | (0.63 | )% | ||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %C | 38 | % | 24 | % | 22 | % | 19 | % |
A | Per share amounts have been calculated using the average shares method. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
F | Expense ratios may exceed stated expense caps in Note 2 due to the change in the contractual expense caps on July 1, 2018. |
See accompanying notes
38
American Beacon StephensMid-Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.80 | $ | 19.15 | $ | 15.77 | $ | 15.80 | $ | 16.97 | $ | 17.64 | ||||||||||||||||||||||||||||||||
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|
|
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|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment (loss) | (0.42 | ) | (0.12 | ) | (0.21 | ) | (0.27 | ) | (0.32 | ) | (0.36 | ) | ||||||||||||||||||||||||||||||||
Net gains on investments (both realized and unrealized) | 5.07 | 0.44 | 4.62 | 1.29 | 0.04 | 0.89 | ||||||||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 4.65 | 0.32 | 4.41 | 1.02 | (0.28 | ) | 0.53 | |||||||||||||||||||||||||||||||||||||
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|
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|
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|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (1.67 | ) | (1.03 | ) | (1.05 | ) | (0.89 | ) | (1.20 | ) | |||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (1.67 | ) | (1.03 | ) | (1.05 | ) | (0.89 | ) | (1.20 | ) | |||||||||||||||||||||||||||||||||
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|
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| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 22.45 | $ | 17.80 | $ | 19.15 | $ | 15.77 | $ | 15.80 | $ | 16.97 | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Total returnA | 26.12 | %B | 1.91 | % | 27.97 | % | 6.42 | % | (1.63 | )% | 2.97 | % | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 15,010,412 | $ | 14,330,547 | $ | 14,749,984 | $ | 13,078,292 | $ | 14,814,940 | $ | 19,551,562 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.29 | %C | 1.28 | % | 1.29 | % | 1.38 | % | 1.32 | % | 1.27 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursementsD | 1.25 | %C | 1.25 | %E | 1.29 | % | 1.38 | % | 1.35 | % | 1.38 | % | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.84 | )%C | (0.86 | )% | (0.58 | )% | (0.89 | )% | (0.85 | )% | (0.77 | )% | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements or recoupments | (0.80 | )%C | (0.83 | )% | (0.58 | )% | (0.89 | )% | (0.89 | )% | (0.88 | )% | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %B | 38 | % | 24 | % | 22 | % | 19 | % | 37 | % |
A | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
B | Not annualized. |
C | Annualized. |
D | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
E | Expense ratios may exceed stated expense caps in Note 2 due to the change in the contractual expense caps on July 1, 2018. |
See accompanying notes
39
American Beacon StephensMid-Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.71 | $ | 19.08 | $ | 15.72 | $ | 15.77 | $ | 16.94 | $ | 17.61 | ||||||||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment (loss) | (2.00 | ) | (0.24 | ) | (0.28 | ) | (0.14 | ) | (0.20 | ) | (0.19 | ) | ||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 6.63 | 0.54 | 4.67 | 1.14 | (0.08 | ) | 0.72 | |||||||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 4.63 | 0.30 | 4.39 | 1.00 | (0.28 | ) | 0.53 | |||||||||||||||||||||||||||||||||||||
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|
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| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | (0.00 | )E | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (1.67 | ) | (1.03 | ) | (1.05 | ) | (0.89 | ) | (1.20 | ) | |||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (1.67 | ) | (1.03 | ) | (1.05 | ) | (0.89 | ) | (1.20 | ) | |||||||||||||||||||||||||||||||||
|
|
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|
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|
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|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 22.34 | $ | 17.71 | $ | 19.08 | $ | 15.72 | $ | 15.77 | $ | 16.94 | ||||||||||||||||||||||||||||||||
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|
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| |||||||||||||||||||||||||||||||||
Total returnA | 26.14 | %B | 1.81 | % | 27.93 | % | 6.30 | % | (1.63 | )% | 2.97 | % | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 6,133,161 | $ | 12,293,695 | $ | 13,854,727 | $ | 13,886,296 | $ | 13,907,563 | $ | 16,505,844 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.30 | %C | 1.33 | % | 1.39 | % | 1.42 | % | 1.36 | % | 1.45 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursementsD | 1.30 | %C | 1.31 | %F | 1.39 | % | 1.41 | % | 1.39 | % | 1.45 | % | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.86 | )%C | (0.91 | )% | (0.67 | )% | (0.92 | )% | (0.90 | )% | (0.94 | )% | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements or recoupments | (0.86 | )%C | (0.89 | )% | (0.67 | )% | (0.92 | )% | (0.93 | )% | (0.94 | )% | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %B | 38 | % | 24 | % | 22 | % | 19 | % | 37 | % |
A | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
B | Not annualized. |
C | Annualized. |
D | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
E | Amount represents less than $0.01 per share. |
F | Expense ratios may exceed stated expense caps in Note 2 due to the change in the contractual expense caps on July 1, 2018. |
See accompanying notes
40
American Beacon StephensMid-Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.59 | $ | 18.11 | $ | 15.08 | $ | 15.28 | $ | 16.57 | $ | 17.38 | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment (loss) | (0.05 | ) | (0.33 | )A | (0.11 | ) | (0.60 | ) | (0.17 | ) | (0.27 | ) | ||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 4.31 | 0.48 | 4.17 | 1.45 | (0.23 | ) | 0.66 | |||||||||||||||||||||||||||||||||||||
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|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 4.26 | 0.15 | 4.06 | 0.85 | (0.40 | ) | 0.39 | |||||||||||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (1.67 | ) | (1.03 | ) | (1.05 | ) | (0.89 | ) | (1.20 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (1.67 | ) | (1.03 | ) | (1.05 | ) | (0.89 | ) | (1.20 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 20.85 | $ | 16.59 | $ | 18.11 | $ | 15.08 | $ | 15.28 | $ | 16.57 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnB | 25.68 | %C | 1.07 | % | 26.93 | % | 5.52 | % | (2.39 | )% | 2.21 | % | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 3,303,563 | $ | 2,414,400 | $ | 1,862,472 | $ | 1,389,526 | $ | 2,123,334 | $ | 1,901,906 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 2.04 | %D | 2.07 | % | 2.11 | % | 2.19 | % | 2.11 | % | 2.22 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursementsE | 2.04 | %D | 2.06 | %F | 2.11 | % | 2.18 | % | 2.14 | % | 2.20 | % | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (1.58 | )%D | (1.64 | )% | (1.40 | )% | (1.70 | )% | (1.65 | )% | (1.69 | )% | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements or recoupments | (1.58 | )%D | (1.63 | )% | (1.39 | )% | (1.69 | )% | (1.68 | )% | (1.68 | )% | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %C | 38 | % | 24 | % | 22 | % | 19 | % | 37 | % |
A | Per share amounts have been calculated using the average shares method. |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
F | Expense ratios may exceed stated expense caps in Note 2 due to the change in the contractual expense caps on July 1, 2018. |
See accompanying notes
41
American Beacon StephensMid-Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
R6 Class | ||||||||||||
December 31, 2018 to June 30, 2019 | Period EndedA December 31, 2018 | |||||||||||
|
| |||||||||||
(unaudited) | ||||||||||||
Net asset value, beginning of period | $ | 21.23 | $ | 21.23 | ||||||||
|
|
|
| |||||||||
Income from investment operations: | ||||||||||||
Net investment income | (0.00 | )B | - | |||||||||
Net gains on investments (both realized and unrealized) | 5.61 | - | ||||||||||
|
|
|
| |||||||||
Total income from investment operations | 5.61 | - | ||||||||||
|
|
|
| |||||||||
Less distributions: | ||||||||||||
Dividends from net investment income | - | - | ||||||||||
|
|
|
| |||||||||
Net asset value, end of period | $ | 26.84 | $ | 21.23 | ||||||||
|
|
|
| |||||||||
Total return | 26.42 | %C | 0.00 | % | ||||||||
|
|
|
| |||||||||
Ratios and supplemental data: | ||||||||||||
Net assets, end of period | $ | 14,783,633 | $ | 100,000 | ||||||||
Ratios to average net assets: | ||||||||||||
Expenses, before reimbursements | 2.16 | %D | 0.00 | % | ||||||||
Expenses, net of reimbursementsE | 0.84 | %D | 0.00 | % | ||||||||
Net investment income (loss), before expense reimbursements | (1.85 | )%D | 0.00 | % | ||||||||
Net investment income (loss), net of reimbursements | (0.53 | )%D | 0.00 | % | ||||||||
Portfolio turnover rate | 9 | %C | 38 | %C |
A | Class launched on December 31, 2018 and commenced operations on January 2, 2019 (Note 1). |
B | Amount represents less than $0.01 per share. |
C | Not annualized. |
D | Annualized. |
E | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
See accompanying notes
42
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.83 | $ | 19.01 | $ | 16.45 | $ | 15.08 | $ | 16.57 | $ | 17.83 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.06 | ) | (0.33 | )A | (0.23 | ) | 0.00 | B | (0.13 | ) | (0.07 | ) | ||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.26 | 0.80 | 3.44 | 1.51 | (0.65 | ) | (0.49 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 3.20 | 0.47 | 3.21 | 1.51 | (0.78 | ) | (0.56 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (5.65 | ) | (0.65 | ) | (0.14 | ) | (0.71 | ) | (0.70 | ) | |||||||||||||||||||||||||||||||||
Tax return of capitalC | - | - | (0.00 | )C | - | - | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (5.65 | ) | (0.65 | ) | (0.14 | ) | (0.71 | ) | (0.70 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 17.03 | $ | 13.83 | $ | 19.01 | $ | 16.45 | $ | 15.08 | $ | 16.57 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnD | 23.14 | %E | 3.26 | % | 19.52 | % | 9.98 | % | (4.69 | )% | (3.14 | )% | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 306,904,396 | $ | 246,845,478 | $ | 433,520,624 | $ | 450,286,537 | $ | 300,919,215 | $ | 359,958,471 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.11 | %F | 1.09 | % | 1.08 | % | 1.09 | % | 1.08 | % | 1.08 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursementsG | 1.11 | %F | 1.09 | % | 1.08 | % | 1.09 | % | 1.08 | % | 1.10 | % | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.85 | )%F | (0.76 | )% | (0.79 | )% | (0.78 | )% | (0.67 | )% | (0.59 | )% | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements or recoupments | (0.85 | )%F | (0.76 | )% | (0.79 | )% | (0.78 | )% | (0.67 | )% | (0.61 | )% | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %F | 16 | % | 22 | % | 40 | % | 25 | % | 46 | % |
A | Includesnon-recurring dividends. Without these dividends, net investment loss per share would have been $(0.36). |
B | Amount represents less than $0.01 per share. |
C | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
See accompanying notes
43
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | ||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.72 | $ | 18.91 | $ | 16.38 | $ | 15.02 | $ | 16.54 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment (loss) | (0.07 | )A | (0.49 | )B | (0.28 | ) | (0.52 | ) | (0.14 | ) | ||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.23 | 0.95 | 3.46 | 2.02 | (0.67 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total income (loss) from investment operations | 3.16 | 0.46 | 3.18 | 1.50 | (0.81 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | - | - | |||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (5.65 | ) | (0.65 | ) | (0.14 | ) | (0.71 | ) | |||||||||||||||||||||||||||
Tax return of capitalC | - | - | (0.00 | )C | - | - | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total distributions | - | (5.65 | ) | (0.65 | ) | (0.14 | ) | (0.71 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Redemption fees added to beneficial interests | - | - | - | - | - | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 16.88 | $ | 13.72 | $ | 18.91 | $ | 16.38 | $ | 15.02 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total returnD | 23.03 | %E | 3.25 | % | 19.42 | % | 9.96 | % | (4.88 | )% | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 65,761,073 | $ | 46,998,050 | $ | 82,072,563 | $ | 81,069,652 | $ | 142,980,166 | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.18 | %F | 1.15 | % | 1.14 | % | 1.15 | % | 1.14 | % | ||||||||||||||||||||||||||
Expenses, net of reimbursementsG | 1.18 | %F | 1.15 | % | 1.14 | % | 1.15 | % | 1.14 | % | ||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (0.92 | )%F | (0.83 | )% | (0.85 | )% | (0.81 | )% | (0.74 | )% | ||||||||||||||||||||||||||
Net investment (loss), net of reimbursements | (0.92 | )%F | (0.83 | )% | (0.85 | )% | (0.81 | )% | (0.74 | )% | ||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %E | 16 | % | 22 | % | 40 | % | 25 | % |
A | Per share amounts have been calculated using the average shares method. |
B | Includesnon-recurring dividends. Without these dividends, net investment loss per share would have been $(0.52). |
C | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
See accompanying notes
44
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.49 | $ | 17.77 | $ | 15.45 | $ | 14.20 | $ | 15.71 | $ | 16.98 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment (loss) | (0.44 | ) | (0.21 | )A B | (0.37 | ) | (0.41 | ) | (0.82 | ) | (0.16 | ) | ||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.31 | 0.58 | 3.34 | 1.80 | 0.02 | (0.41 | ) | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 2.87 | 0.37 | 2.97 | 1.39 | (0.80 | ) | (0.57 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (5.65 | ) | (0.65 | ) | (0.14 | ) | (0.71 | ) | (0.70 | ) | |||||||||||||||||||||||||||||||||
Tax return of capitalC | - | - | (0.00 | )C | - | - | - | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total distributions | - | (5.65 | ) | (0.65 | ) | (0.14 | ) | (0.71 | ) | (0.70 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 15.36 | $ | 12.49 | $ | 17.77 | $ | 15.45 | $ | 14.20 | $ | 15.71 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total returnD | 22.98 | %E | 2.93 | % | 19.23 | % | 9.76 | % | (5.08 | )% | (3.35 | )% | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 52,384,159 | $ | 52,359,859 | $ | 51,839,469 | $ | 50,544,287 | $ | 55,921,959 | $ | 147,227,308 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.43 | %F | 1.38 | % | 1.29 | % | 1.35 | % | 1.40 | % | 1.31 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursementsG | 1.43 | %F | 1.38 | % | 1.31 | % | 1.35 | % | 1.39 | % | 1.37 | % | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (1.17 | )%F | (1.05 | )% | (1.01 | )% | (1.02 | )% | (1.01 | )% | (0.81 | )% | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements or recoupments | (1.17 | )%F | (1.05 | )%�� | (1.03 | )% | (1.02 | )% | (1.00 | )% | (0.88 | )% | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %E | 16 | % | 22 | % | 40 | % | 25 | % | 46 | % |
A | Includesnon-recurring dividends. Without these dividends, net investment loss per share would have been $(0.24). |
B | Per share amounts have been calculated using the average shares method. |
C | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
See accompanying notes
45
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
A Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.32 | $ | 17.59 | $ | 15.32 | $ | 14.10 | $ | 15.61 | $ | 16.91 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment (loss) | (0.32 | ) | (0.22 | )A B | (0.62 | ) | (0.31 | ) | (0.19 | ) | (0.18 | ) | ||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.14 | 0.60 | 3.54 | 1.67 | (0.61 | ) | (0.42 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total income (loss) from investment operations | 2.82 | 0.38 | 2.92 | 1.36 | (0.80 | ) | (0.60 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | (0.00 | )C | - | - | |||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (5.65 | ) | (0.65 | ) | (0.14 | ) | (0.71 | ) | (0.70 | ) | |||||||||||||||||||||||||||||||||
Tax return of capitalD | - | - | | (0.00 | )C | - | - | - | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
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Total distributions | - | (5.65 | ) | (0.65 | ) | (0.14 | ) | (0.71 | ) | (0.70 | ) | |||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 15.14 | $ | 12.32 | $ | 17.59 | $ | 15.32 | $ | 14.10 | $ | 15.61 | ||||||||||||||||||||||||||||||||
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Total returnE | 22.89 | %F | 3.03 | % | 19.06 | % | 9.61 | % | (5.11 | )% | (3.54 | )% | ||||||||||||||||||||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 5,470,279 | $ | 5,293,719 | $ | 5,553,261 | $ | 7,029,682 | $ | 8,197,136 | $ | 9,701,510 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 1.40 | %G | 1.38 | % | 1.40 | % | 1.46 | % | 1.44 | % | 1.51 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursementsH | 1.40 | %G | 1.38 | % | 1.40 | % | 1.46 | % | 1.48 | % | 1.52 | % | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (1.14 | )%G | (1.09 | )% | (1.11 | )% | (1.14 | )% | (1.03 | )% | (1.02 | )% | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements or recoupments | (1.14 | )%G | (1.09 | )% | (1.11 | )% | (1.14 | )% | (1.08 | )% | (1.03 | )% | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %F | 16 | % | 22 | % | 40 | % | 25 | % | 46 | % |
A | Includesnon-recurring dividends. Without these dividends, net investment loss per share would have been $(0.25). |
B | Per share amounts have been calculated using the average shares method. |
C | Amount represents less than $0.01 per share. |
D | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
E | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
F | Not annualized. |
G | Annualized. |
H | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
See accompanying notes
46
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||||||||
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(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.31 | $ | 16.74 | $ | 14.71 | $ | 13.65 | $ | 15.26 | $ | 16.66 | ||||||||||||||||||||||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||||||||
Net investment (loss) | (0.91 | ) | (0.35 | )A B | (1.25 | ) | (1.08 | ) | (0.31 | ) | (0.24 | ) | ||||||||||||||||||||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 3.46 | 0.57 | 3.93 | 2.28 | (0.59 | ) | (0.46 | ) | ||||||||||||||||||||||||||||||||||||
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Total income (loss) from investment operations | 2.55 | 0.22 | 2.68 | 1.20 | (0.90 | ) | (0.70 | ) | ||||||||||||||||||||||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||||||||||||||||||||||
Dividends from net investment income | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Distributions from net realized gains | - | (5.65 | ) | (0.65 | ) | (0.14 | ) | (0.71 | ) | (0.70 | ) | |||||||||||||||||||||||||||||||||
Tax return of capitalC | - | - | - | | (0.00 | )C | - | - | ||||||||||||||||||||||||||||||||||||
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Total distributions | - | (5.65 | ) | (0.65 | ) | (0.14 | ) | (0.71 | ) | (0.70 | ) | |||||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 13.86 | $ | 11.31 | $ | 16.74 | $ | 14.71 | $ | 13.65 | $ | 15.26 | ||||||||||||||||||||||||||||||||
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Total returnD | 22.55 | %E | 2.19 | % | 18.22 | % | 8.76 | % | (5.89 | )% | (4.20 | )% | ||||||||||||||||||||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period | $ | 968,620 | $ | 1,076,006 | $ | 977,321 | $ | 1,280,971 | $ | 2,348,424 | $ | 2,771,316 | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||||||
Expenses, before reimbursements or recoupments | 2.18 | %F | 2.15 | % | 2.14 | % | 2.23 | % | 2.19 | % | 2.26 | % | ||||||||||||||||||||||||||||||||
Expenses, net of reimbursementsG | 2.18 | %F | 2.15 | % | 2.14 | % | 2.23 | % | 2.26 | % | 2.27 | % | ||||||||||||||||||||||||||||||||
Net investment (loss), before expense reimbursements | (1.92 | )%F | (1.84 | )% | (1.86 | )% | (1.91 | )% | (1.79 | )% | (1.76 | )% | ||||||||||||||||||||||||||||||||
Net investment (loss), net of reimbursements or recoupments | (1.92 | )%F | (1.84 | )% | (1.86 | )% | (1.91 | )% | (1.85 | )% | (1.77 | )% | ||||||||||||||||||||||||||||||||
Portfolio turnover rate | 9 | %E | 16 | % | 22 | % | 40 | % | 25 | % | 46 | % |
A | Includesnon-recurring dividends. Without these dividends, net investment loss per share would have been $(0.38). |
B | Per share amounts have been calculated using the average shares method. |
C | Tax return of capital is based on outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
See accompanying notes
47
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
R6 Class | ||||
Six Months EndedA June 30, 2019 | ||||
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| |||
(unaudited) | ||||
Net asset value, beginning of period | $ | 16.91 | ||
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| |||
Income from investment operations: | ||||
Net investment income (loss) | (0.02 | ) | ||
Net gains on investments (both realized and unrealized) | 0.15 | |||
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Total income from investment operations | 0.13 | |||
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Less distributions: | ||||
Dividends from net investment income | - | |||
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Net asset value, end of period | $ | 17.04 | ||
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Total returnB | 0.77 | %C | ||
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Ratios and supplemental data: | ||||
Net assets, end of period | $ | 100,745 | ||
Ratios to average net assets: | ||||
Expenses, before reimbursements | 1.47 | %D | ||
Expenses, net of reimbursementsE | 1.05 | %D | ||
Net investment income (loss), before expense reimbursements | (1.19 | )%D | ||
Net investment income (loss), net of reimbursements | (0.77 | )%D | ||
Portfolio turnover rate | 9 | %C |
A | Class launched on May 1, 2019 and commenced operations on April 30, 2019 (Note 1). |
B | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with U.S. GAAP and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
E | Expense ratios may exceed stated expense caps in Note 2 due to security lending expenses, which are not reimbursable under the agreement with the Manager. |
See accompanying notes
48
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Atin-person meetings held on May 9, 2019 and June4-5, 2019 (collectively, the “Meetings”), the Board of Trustees (“Board” or “Trustees”) considered and then, at its June 5, 2019 meeting, approved the renewal of:
(1) the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Trust”), on behalf of the American Beacon StephensMid-Cap Growth Fund (“MCG Fund”) and the American Beacon Stephens Small Cap Growth Fund (“SCG Fund”) (each, a “Fund” and collectively, the “Funds”); and
(2) the Investment Advisory Agreement among the Manager, Stephens Investment Management Group, LLC (the “subadvisor”), and the Trust, on behalf of the Funds.
The Management Agreement and the Investment Advisory Agreement are referred to herein individually as an “Agreement” and collectively as the “Agreements.” In preparation for its consideration of the renewal of the Agreements, the Board undertook steps to gather and consider information furnished by the Manager, the subadvisor, Broadridge, Inc. (“Broadridge”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and the subadvisor.
In advance of the Meetings, the Board’s Investment Committee and/or the Manager coordinated the production of information from Broadridge and Morningstar regarding the performance, fees and expenses of the Funds as well as information from the Manager and the subadvisor. At the Meetings, the Board considered the information provided in connection with the renewal process, as well as information furnished to the Board throughout the year at regular meetings of the Board and its committees. In connection with the Board’s consideration of the Agreements, the Board received and evaluated such information as they deemed necessary. This information is described below in the section summarizing the factors the Board considered in connection with its renewal and approval of the Agreements, as well as the section describing additional Board considerations with respect to each Fund.
The Board noted that the Manager provides management and administrative services to the Funds pursuant to the Management Agreement. The Board considered that many mutual funds have separate contracts governing each type of service and observed that, with respect to such mutual funds, the actual management fee rates provided by Broadridge for peer group funds reflect the combined advisory and administrative expenses, reduced by any fee waivers and/or reimbursements.
A firm may not have been able to, or opted not to, provide information in response to certain information requests, in which case the Board conducted its evaluation of the firm based on information that was provided. In such cases, the Board determined that the omission of any such information was not material to its considerations. For each Fund, the class of shares used for comparative performance purposes was the share class with the lowest expenses available for purchase by the general public, which was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of certain factors the Board considered in connection with its renewal and approval of the Agreements. The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of investment advisory contracts, such as the Agreements. The memorandum explained the regulatory requirements surrounding the Board’s process for evaluating investment advisors and the terms of investment advisory contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Funds and their shareholders.
49
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Considerations With Respect to the Renewal of the Management Agreement and the Investment Advisory Agreement
In determining whether to renew the Agreements, the Board considered each Fund’s investment management and subadvisory relationships separately. In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of the Funds; (3) the costs incurred by the Manager in rendering services to the Funds and its resulting profits or losses; (4) comparisons of services and fee rates with contracts entered into by the Manager or the subadvisor or their affiliates with other clients (such as pension funds and other institutional clients); (5) the extent to which economies of scale, if any, have been taken into account in setting each fee rate schedule; (6) whether fee rate levels reflect economies of scale, if any, for the benefit of Fund investors; and (7) any other benefits derived or anticipated to be derived by the Manager or the subadvisor from their relationships with the Funds.
Nature, Extent and Quality of Services.With respect to the renewal of the Management Agreement, the Board considered, among other factors: each Fund’s long-term performance; the length of service of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support that reduce risks to the Funds; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; and the Manager’s efforts to retain key employees and maintain staffing levels.
With respect to the renewal of the Investment Advisory Agreement, the Board considered the level of staffing and the size of the subadvisor. The Board also considered the adequacy of the resources committed to the Funds by the subadvisor, and whether those resources were commensurate with the needs of the Funds and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of the subadvisor. The Board also considered the subadvisor’s representations regarding its compliance program and code of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and the subadvisor were appropriate for each Fund.
Investment Performance.The Board evaluated the comparative information provided by Broadridge and the Manager regarding the performance of each Fund relative to its Broadridge performance universe, Morningstar Category, and benchmark index, as well as the Fund’s Morningstar rating. The Board considered the information provided by Broadridge regarding Broadridge’s independent methodology for selecting each Fund’s Broadridge performance universe. The Board also considered that the performance universes selected by Broadridge may not provide appropriate comparisons for a Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also evaluated the comparative information provided by the subadvisor regarding the performance of each Fund relative to the performance of other comparable investment accounts managed by the subadvisor and the Fund’s benchmark index. In addition, the Board considered the Manager’s recommendation to continue to retain the subadvisor. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Costs of the Services Provided to the Funds and the Profits Realized by the Manager from its Relationship with the Funds.In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager, before and after the payment of distribution-related expenses by the Manager. The profits or losses were noted at both an aggregate level for all funds within the group of mutual funds sponsored by the Manager (the “Fund Complex”) and at an individual Fund level, with the Manager earning a profit before and after the payment of distribution-related expenses by the Manager for the SCG Fund, and earning a profit before the payment of distribution-related and sustaining a loss after the payment of distribution-related expenses by the Manager for the MCG Fund. The Board also considered comparative information provided by the Manager regarding the Manager’s overall profitability with respect to the Fund Complex relative to the overall profitability of other firms in the mutual fund industry, as disclosed in publicly
50
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
available sources. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the Manager represented that, among other matters, the difference is attributable to the fact that the Manager does not perform administrative services fornon-investment company clients and reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for the SCG Fund’s R6 Class shares and for the MCG Fund that were in place during the last fiscal year. The Board further considered that, with respect to each Fund, the Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager. In addition, the Board considered that the Manager receives fees for overseeing the securities lending program on behalf of the Funds. The Board also noted that certain share classes of the Funds maintain higher expense ratios in order to compensate third-party financial intermediaries.
In analyzing the fee rates charged by the subadvisor in connection with its investment advisory services to the Funds, the Board considered representations made by the subadvisor that the Manager has negotiated the lowest fee rate that the subadvisor charges for any comparable client accounts. The Board did not request profitability data from the subadvisor because the Board did not view this data as imperative to its deliberations given thearm’s-length nature of the relationship between the Manager and the subadvisor with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that the subadvisor may not account for its profits on anaccount-by-account basis and that different firms likely employ different methodologies in connection with these calculations.
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to each Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Economies of Scale.In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as each Fund grows and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered that the Manager has negotiated breakpoints in the subadvisory fee rate for the SCG Fund. The Board also considered the subadvisor’s representation that it believes that its fee reflects economies of scale for the benefit of the MCG Fund’s shareholders.
In addition, the Board noted the Manager’s representation that the Management Agreement contains fee schedule breakpoints at higher asset levels with respect to each Fund. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for each Fund provide for a reasonable sharing of benefits from any economies of scale with each Fund.
Benefits Derived from the Relationship with the Funds.The Board considered the“fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisor as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or the subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisor. The Board also considered that the Manager may invest the Funds’ cash balances and cash collateral provided by the borrowers of the Funds’ securities in the American Beacon U.S. Government Money Market Select Fund, which the Manager manages directly. In addition, the Board noted that the subadvisor benefits from soft dollar arrangements for proprietary and/or third-party research. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisor by virtue of their relationships with the Funds appear to be fair and reasonable.
51
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Additional Considerations and Conclusions with Respect to Each Fund
The performance comparisons below were made in comparison to each Fund’s Broadridge performance universe and Morningstar Category. With respect to the Broadridge performance universe, the 1st Quintile represents the top 20 percent of the universe based on performance and the 5th Quintile representing the bottom 20 percent of the universe based on performance. References below to each Fund’s Broadridge performance universe are to the universe of mutual funds with a comparable investment classification/objective included in the analysis provided by Broadridge. In reviewing the performance, the Board viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration because relative performance over shorter periods may be significantly impacted by market or economic events and not necessarily reflective of manager skill.
The expense comparisons below were made in comparison to each Fund’s Broadridge expense universe and Broadridge expense group, with the 1st Quintile representing the lowest 20 percent of the universe or group based on lowest total expense and the 5th Quintile representing the highest 20 percent of the universe or group based on highest total expense. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Broadridge. A Broadridge expense group consists of the Fund and a representative sample of funds with similar operating structures and asset sizes, as selected by Broadridge. A Broadridge expense universe includes all funds in the investment classification/objective with a similar operating structure as the share class of the Fund included in the Broadridge comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Board also considered each Fund’s Morningstar fee level category. In reviewing expenses, the Board considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the subadvisor’s use of soft dollars was requested from the Manager and was considered by the Board.
Additional Considerations and Conclusions with Respect to the American Beacon StephensMid-Cap Growth Fund
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with the subadvisor for the MCG Fund, the Board considered the following additional factors:
Broadridge Total Expense Analysis Excluding12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 2nd Quintile | |
Compared to Broadridge Expense Universe | 4th Quintile | |
Morningstar Fee Level Ranking – Institutional Class | Average Expense Ratio |
Broadridge and Morningstar Performance Analysis(five-year period ended December 31, 2018)
Compared to Broadridge Performance Universe | 2nd Quintile | |
Compared to Morningstar Category | 2nd Quintile |
The Board also considered: (1) that the MCG Fund’s expenses are above the median of its Broadridge expense universe and below the median of its Broadridge expense group; (2) that the MCG Fund’s investment advisory fee rate and contractual expense limitation were reduced, effective July 1, 2018; (3) information provided by the subadvisor regarding fee rates charged for managing assets in the same or a similar strategy as the subadvisor manages the MCG Fund; and (4) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations, the Board: (1) concluded that the fees paid to the Manager and subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; and (2) determined that the MCG Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the MCG Fund.
52
Disclosure Regarding Renewal and Approval of Management and Investment Advisory Agreement
June 30, 2019 (Unaudited)
Additional Considerations and Conclusions with Respect to the American Beacon Stephens Small Cap Growth Fund
In considering the renewal of the Management Agreement and the Investment Advisory Agreement with the subadvisor for the SCG Fund, the Board considered the following additional factors:
Broadridge Total Expense Analysis Excluding12b-1 Fees and Morningstar Fee Level Ranking
Compared to Broadridge Expense Group | 5th Quintile | |
Compared to Broadridge Expense Universe | 5th Quintile | |
Morningstar Fee Level Ranking – Institutional Class | Above Average Expense Ratio |
Broadridge Fund Performance Analysis(five-year period ended December 31, 2018)
Compared to Broadridge Performance Universe | 4th Quintile | |
Compared to Morningstar Category | 4th Quintile |
The Board also considered: (1) that the subadvisor’s investment process focuses on higher-quality, lower-valuation companies, which may cause the SCG Fund to underperform its benchmark index, Broadridge performance universe and Morningstar category in markets that favor lower-quality, higher-valuation issuers; (2) the subadvisor’s improved recent short-term performance; (3) the subadvisor’s longer-term performance, consistent process and consistent team; (4) information provided by the subadvisor regarding fee rates charged for managing assets in the same or a similar strategy as the subadvisor manages the SCG Fund; (5) that the SCG Fund employs a limited-capacity strategy as the subadvisor invests primarily in small-capitalization equities; and (6) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations the Board: (1) concluded that the fees paid to the Manager and the subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; and (2) determined that the SCG Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the SCG Fund.
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If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, bye-mail. If you are interested in this option, please go towww.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
ByE-mail: | On the Internet: | |
american_beacon.funds@ambeacon.com | Visit our website atwww.americanbeaconfunds.com | |
By Telephone: Call (800)658-5811 | By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 | |
Availability of Quarterly Portfolio Schedules | Availability of Proxy Voting Policy and Records | |
In addition to the Schedule of Investments provided in each semi-annual and annual report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-PORT as of the first and third fiscal quarters. The Fund’s Forms N-PORT are available on the SEC’s website atwww.sec.gov. The Forms N-PORT may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, D.C. 20549-2736. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling(800)-SEC-0330. A complete schedule of the Fund’s portfolio holdings is also available atwww.americanbeaconfunds.com approximately twenty days after the end of each month. | A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s websitewww.americanbeaconfunds.com and by calling1-800-967-9009 or by accessing the SEC’s website atwww.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC onForm N-PX. The Fund’s FormsN-PX are available on the SEC’s website atwww.sec.gov. The Fund’s proxy voting record may also be obtained by calling1-800-967-9009. |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Company Boston, Massachusetts | TRANSFER AGENT DST Asset Manager Solutions, Inc. Quincy, Massachusetts | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas | DISTRIBUTOR Resolute Investment Distributors, Inc. Irving, Texas |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds, American Beacon Stephens Mid-Cap Growth Fund and American Beacon Stephens Small Cap Growth Fund are service marks of American Beacon Advisors, Inc.
SAR 6/19
ITEM 2. | CODE OF ETHICS. |
The Trust adopted a code of ethics that applies to its principal executive and financial officers (the “Code”). The Trust amended its code August 19, 2019 to disclose the addition of the American Beacon Sound Point Enhanced Income Fund, American Beacon Apollo Total Return Fund and American Beacon Sound Point Alternative Lending Fund and to disclose a change to limit the value of gifts received by the principal officer or financial officer to $100. The Trust did not grant any waivers to the provisions of the Code during the period covered by the shareholder reports presented in Item 1. The Code is filed herewith as Exhibit 99.CODE ETH.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The Trust’s Board of Trustees has determined that Gilbert G. Alvarado, a member of the Trust’s Audit and Compliance Committee, is an “audit committee financial expert” as defined inForm N-CSR. Mr. Gilbert Alvarado is “independent” as defined inForm N-CSR.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not Applicable.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not Applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
The schedules of investments for each series of the Trust are included in the shareholder reports presented in Item 1.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not Applicable.
ITEM 8. | PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not Applicable.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BYCLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not Applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
The Trust has made no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees since the Trust last disclosed such procedures in Schedule 14A.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective.
(b) There were no changes in the Trust’s internal control over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
ITEM 12. | EXHIBITS. |
(a)(1) Not Applicable.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule30a-2(a) under the Act (17 CFR270.30a-2(a)) is attached hereto asEX-99.CERT.
(a)(3) Not Applicable.
(b) The certifications required by Rule30a-2(b) under the Investment Company Act of 1940 are attached hereto asEX-99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): American Beacon Funds
By /s/ Gene L. Needles, Jr. |
Gene L. Needles, Jr. |
President |
American Beacon Funds |
Date: September 5, 2019
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /s/ Gene L. Needles, Jr. |
Gene L. Needles, Jr. |
President |
American Beacon Funds |
Date: September 5, 2019
By /s/ Melinda G. Heika |
Melinda G. Heika |
Treasurer |
American Beacon Funds |
Date: September 5, 2019