united states
securities and exchange commission
washington, d.c. 20549
form n-csr
certified shareholder report of registered management
investment companies
Investment Company Act file number 811-07254
Johnson Mutual Funds Trust
(Exact name of registrant as specified in charter)
3777 West Fork Road, Cincinnati, Ohio 45247
(Address of principal executive offices) (Zip code)
Marc E. Figgins, CFO, 3777 West Fork Road, Cincinnati, Ohio 45247
(Name and address of agent for service)
Registrant's telephone number, including area code: (513) 661-3100
Date of fiscal year end: 12/31
Date of reporting period: 12/31/16
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to 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.
Annual
Report
December 31, 2016
t | Johnson Equity Income Fund |
t | Johnson Growth Fund |
t | Johnson Opportunity Fund |
t | Johnson Realty Fund |
t | Johnson International Fund |
t | Johnson Fixed Income Fund |
t | Johnson Municipal Income Fund |
Johnson Mutual Funds Trust
3777 West Fork Road | Cincinnati, OH | 45247
(513) 661-3100 (800) 541-0170 fax (513) 661-4901
www.johnsonmutualfunds.com
Table of Contents
Our Message to You | 1 | |||
Performance Review and Management Discussion | ||||
Equity Income Fund | 2 | |||
Growth Fund | 3 | |||
Opportunity Fund | 4 | |||
Realty Fund | 5 | |||
International Fund | 6 | |||
Fixed Income Fund | 7 | |||
Municipal Income Fund | 8 | |||
Portfolio of Investments | ||||
Equity Income Fund | 9 | |||
Growth Fund | 10 | |||
Opportunity Fund | 11 | |||
Realty Fund | 14 | |||
International Fund | 15 | |||
Fixed Income Fund | 17 | |||
Municipal Income Fund | 21 | |||
Statements of Assets and Liabilities | 29 | |||
Statements of Operations | 31 | |||
Statements of Changes in Net Assets | 33 | |||
Financial Highlights | ||||
Equity Income Fund | 35 | |||
Growth Fund | 36 | |||
Opportunity Fund | 37 | |||
Realty Fund | 38 | |||
International Fund | 39 | |||
Fixed Income Fund | 40 | |||
Municipal Income Fund | 41 | |||
Notes to the Financial Statements | 42 | |||
Disclosure of Expenses | 51 | |||
Additional Information | 52 | |||
Report of Independent Registered Public Accounting Firm | 53 | |||
Trustees and Officers | 54 | |||
Trustees & Officers, Transfer Agent & Fund Accountant, Custodian, Independent Registered Public Accounting Firm, Legal Counsel | Back Page |
We are pleased to present you with the Johnson Mutual Funds’ December 31, 2016 Annual Report. On the following pages, we have provided commentary on the performance of each of the Funds for 2016 as well as the relative performance compared to an appropriate index. The remainder of the report provides the holdings of each Johnson Mutual Fund as well as other financial data and notes.
An eventful fourth quarter provided a fitting conclusion to a year that brought significant and often surprising changes in the world and the financial markets. November election results in the U.S. boosted stocks to a strong finish. The Dow Jones Industrial Average gained 6.7% between Election Day and year-end, and nearly reached 20,000 for the first time. The four major U.S. stock indices simultaneously hit all-time highs for the first time since 1999. There were other major moves in addition to stocks, particularly in bond yields and oil prices, both of which essentially doubled during the course of the year.
Market and economic sentiment are at high levels entering 2017, but that was far from true in the early months of 2016. Fears of recession along with China-induced economic distress sent markets tumbling in January and February, and pessimism regarding economic prospects was widespread. Those fears eased in the spring only to be briefly reignited by the shocking outcome of the Brexit vote. Again the market recovered quickly after a short-lived sell-off. Stock futures tumbled as election results rolled in overnight on November 8th, but by morning they had stabilized and a market rally ensued over the following weeks. In the end, an improving economic picture, improving corporate earnings growth, central bank policy, and optimism about potential pro-growth policy changes in the U.S. propelled stocks to healthy gains for the year.
The election set off a spike in bond yields even before the Fed announced its second hike in December. Yields rose abruptly in the wake of the election, dragging down the Bloomberg Barclays Aggregate Bond Index by 2.4% in November, making November the fourth-worst month for bonds since 1994. For the year, this index still returned 2.7%.
While rapidly rising rates may cause bond investors short-term pain, there are also some advantages. First, the upward pressure on yields helped correct an ongoing structural dislocation between bond yields and economic fundamentals. Given the potential for meaningful fiscal stimulus in the coming years, it makes sense that inflation expectations would rise, and for rates to price in modestly better future growth. That is precisely what happened, with inflation and growth expectations both contributing almost equally to the rate increase. The bond market now appears more fairly valued. Next, the long-term benefit of investing at higher yields almost always outweighs the short-term pain of rising rates. As interest rates rise, bond returns may turn negative for short periods, but patient investors are generally rewarded over the following three-to-five year periods.
In order to extend losses and break this pattern, rates would need to rise well above the Fed’s current estimate of long-run equilibrium. The Fed estimates that the Fed Funds rate will plateau at 3.0%, implying longer-dated bond yields don’t have much room to rise beyond current levels. Though fiscal stimulus may help improve economic growth over the short run, our economy faces several long-term structural issues that likely limit the amount rates will rise. Elevated corporate leverage, an aging population, large government deficits, and stubbornly-low productivity are all long-term economic headwinds that will help constrain the terminal rate. In the end, the post-election adjustment in rates has brought yields back to more reasonable levels. We believe that the correction has helped improve the return outlook for traditional bonds going forward.
Thanks again for the opportunity to serve you. We greatly value our relationships with clients and look forward to working with you in the years ahead.
Sincerely,
Jason O. Jackman, CFA, President
1
For the year, the Johnson Equity Income Fund gained 12.16%. The Fund outperformed the Standard and Poors 500 Index (S&P 500) return of 11.96%.
Sector allocations and stock selection made positive contributions in similar proportions to relative performance during the year. Stock selection made the largest positive contribution in the Industrials, Information Technology, and Financials sectors. Railroader Union Pacific and Fortive, the industrials business spin-out from Danaher, were notable positive contributors in the Industrials sector while Iberiabank Corp. and PNC Financial Services Group were two bank stocks that were strong performers within Financials. Within the Information Technology sector, Linear Technology was a big winner after the announcement that it was being acquired by competitor Analog Devices.
As we wrote mid-year in the semi-annual letter, the first half of the year saw stock leadership from the Telecommunications and Utilities sectors, two sectors with defensive and high dividend yield characteristics. However, this leadership changed significantly in the second half of the year as interest rates rose and sentiment improved regarding economic growth, resulting in leadership from more cyclical sectors including Industrials and Financials. The Fund’s overweight in the Financials sector benefitted from the increase in interest rates and a significant positive shift in sentiment toward the Banking industry post-election.
Notable detractors from performance in the Fund during the year were the overweight to, and stock selection within, the defensive-oriented Consumer Staples sector. Also noteworthy, the strong relative performance within the Health Care sector during the first half of the year, reversed completely in the second half as the Fund’s medical equipment stocks lagged the strong post-election rebound in performance from biotechnology and pharmaceutical stocks.
It continues to be a difficult environment to find high quality companies with both attractive valuations and above average dividend yields. Our valuation discipline has led us to new purchases that have lower absolute dividend yields, but higher dividend growth potential. Maintaining our valuation discipline has also resulted in higher cash levels than normal. These cash levels resulted in a nearly one-percent drag on the Fund’s total return for the year. Turnover in the Fund was higher than it has historically been as ten new stocks were purchased during the year while twelve stocks were sold outright from the Fund. We also took advantage of opportunities to execute several position size round-ups and cutbacks in stocks where relative valuations became more or less attractive.
Average Annual Total Returns as of December 31, 2016 | ||||||||
Equity Income Fund | S&P 500 Index | |||||||
One Year | 12.16 | % | 11.96 | % | ||||
Five Years | 11.32 | % | 14.66 | % | ||||
Ten Years | 6.44 | % | 6.95 | % |
Above average dividend income and long-term capital growth is the objective of the Johnson Equity Income Fund, and the primary assets are stocks of large-sized U.S. companies. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 1.00%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any dividends and capital gains. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. The S&P 500 Index is the established benchmark. A shareholder cannot invest directly in the Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
2
For the year ended December 31, 2016, the Johnson Growth Fund gained 7.06%. The Standard & Poors 500 Index (S&P 500), which is the primary benchmark for the Fund, gained 11.96% for the year. In 2016, performance in the S&P 500 was driven primarily by two factors: economic sensitivity and dividend yield. More economically sensitive stocks performed much better than companies whose revenue and earnings are not as dependent on the level of economic activity. On a global basis, less economically sensitive, higher quality growth stocks underperformed lower quality, more economically sensitive stocks by 12%. This is the worst 12 month relative performance for growth stocks since August, 2009. In addition, higher dividend yielding stocks dramatically outperformed stocks that paid little or no dividend. Stocks with yields of 3.5% or higher returned an average of 20.9% in 2016, while stocks with yields less than .6% returned an average of 3.2%. The Growth Fund focuses more on quality growth stocks and less on economic sensitivity and dividend yield. These factors contributed to the underperformance against the benchmark.
The Fund showed strong relative performance in both the Energy and Industrial sectors in 2016. EOG Resources was the largest positive contributor to performance. Chevron also performed very well as oil prices doubled from their lows reached in February. Within the Industrial sector, Union Pacific, Fortive and Parker Hannifin all performed very well as the market rewarded stocks that could benefit from additional infrastructure spending, driven by expanded fiscal policies from the incoming Trump administration. Other stocks that had the largest positive impact on performance included Iberiabank Corp., Broadcom, Apple, Berkshire Hathaway and Chubb.
The Fund’s performance relative to the S&P 500 was largely driven by stock selection within the Healthcare and Technology sectors and by not having any holdings in the Materials, Telecommunication and Utility sectors. Within Technology, which accounts for 29% of the Funds’ holdings, our performance was hurt by the weak relative performance of Red Hat, Cognizant and Alphabet (previously Google). Performance within the Healthcare sector has been hurt by negative political rhetoric, primarily regarding drug pricing. As a result, our holdings in Allergan, Medtronic, Biogen and Gilead Sciences performed poorly. The Telecommunication and Utility sectors- which have high dividend yields, and the Materials sector, which is very economically sensitive, all outperformed the index. Other stocks that had the largest negative impact on performance included CVS, Western Alliance Bancorp, Everbank, Analogic and Proto Labs.
The Fund has its largest overweight position in the Technology sector. We would expect to remain overweight in this sector, given the solid growth opportunities we are finding within it. The largest underweight position is in the Financial sector, where it is difficult to find quality growth stocks. Along with the Telecommunications, Materials and Utility sectors, the Fund has no weight in the Real Estate sector, which was separated from the Financials sector in late 2016.
New stocks purchased in the second half of the year included Mastercard, Zoetis, Paccar, Medtronic and Roper Technologies. Positions eliminated in the period included Mednax, EMC, Nordstrom, PRA Group and Gilead Sciences.
Average Annual Total Returns As of December 31, 2016 | ||||||||
Growth Fund | S&P 500 Index | |||||||
One Year | 7.06 | % | 11.96 | % | ||||
Five Years | 10.96 | % | 14.66 | % | ||||
Ten Years | 4.72 | % | 6.95 | % |
Long-term capital growth is the objective of the Johnson Growth Fund, and the primary assets are stocks of larger-sized U.S. companies. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 1.00%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any dividends and capital gains. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. The S&P 500 Index is the established benchmark. A shareholder cannot invest directly in the Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
3
The Johnson Opportunity Fund had a net total return of 17.90% in 2016, outperforming the Russell 2500 Index’s 17.59% return. The Fund was able to successfully navigate a year of major intra-year swings, ranging from early year recession fears to political surprises in the U.K. and the U.S. to late year economic optimism.
In 2016, Value stocks outperformed Growth stocks by a wide margin. Energy and Materials stocks benefitted from a recovery in most commodity prices, and Financials rallied sharply following the U.S. election amid hope for higher interest rates, lower taxes, decreased regulation, and improved economic conditions. The Fund was well positioned for this style shift, and carried overweight positions in the more economically-sensitive sectors. An underweight in Real Estate also helped the Fund as high valuations corrected when interest rates ticked higher in the second half of the year, reducing the appeal of the sector’s high dividend yield. The worst performing sector in the market was Health Care, and Biotechnology stocks were particularly weak. The Fund had limited exposure to these more speculative growth stocks that struggled amid regulatory and business uncertainty.
During the year, the U.S. markets performed much better than most developed international markets, and U.S. companies with a heavy domestic business mix tended to do well. Some of the Fund’s best performers fit this theme, including consumer-driven Thor Industries, a manufacturer of recreational vehicles (RVs) and Winmark Corporation, a retail franchising and middle market leasing company. Another major industry that is primarily domestic is regional banks, and four of the Fund’s top ten contributors during the year were banks, namely Lakeland Bancorp, German American Bancorp, First Interstate BancSystem, and Iberiabank Corp. An overweight position in banks heading into the big fourth quarter rally was very beneficial to the Fund’s return.
The two biggest performance detractors were medical device companies in a tough year for Health Care. Integer Holdings Corp. (formerly Greatbatch Inc.) failed to meet sales expectations and Natus Medical, struggled with its Venezuelan business as well as a manufacturing quality issue. And although it was a good year for Value stocks, two poor performers with cheap valuations in the Fund that did not participate in the rally were AMC Networks Inc. and Essendant Inc., both of which are facing fundamental growth questions. We lost confidence in their business outlooks and have sold these two positions.
Small and mid-cap stocks outperformed large-cap stocks by a wide margin in the 4th quarter, bringing the historical market-cap valuation relationship roughly back into balance. We do not expect that to quickly reverse course, but it is likely that investors in 2017 will be more discriminating and demand to see that the optimism for government policy changes actually leads to improved earnings prospects. Style shifts and political headlines can move markets in the short run, but our emphasis will remain on investing in quality companies at a reasonable price and staying disciplined within our portfolio construction framework.
Average Annual Total Returns as of December 31, 2016 | ||||||||
Opportunity Fund | Russell 2500 Index | |||||||
One Year | 17.90 | % | 17.59 | % | ||||
Five Years | 14.81 | % | 14.54 | % | ||||
Ten Years | 6.96 | % | 7.69 | % |
Long-term capital growth is the objective of the Johnson Opportunity Fund, and the primary assets are equity securities of medium sized companies. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 1.00%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any dividends and capital gains. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. The Russell 2500 Index is the established benchmark. A shareholder cannot invest directly in the Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
4
The Johnson Realty Fund returned 6.57% for the year ending 2016 compared to a return of 8.49% for the S&P US REIT Index. The year was highlighted by a great deal of volatility related to the anticipation of rising interest rates and an unexpected outcome in the presidential election. The market was exposed to the first of what then was expected to be multiple Federal Reserve (the “Fed”) rate hikes in December of 2015. The next rate hike did not come until December of 2016. In between those rate hikes, the bond market experienced a strong rate rally to new all-time lows and then reversed course in the fall marching higher towards the end of the year. The impact of the direction of interest rates can clearly be seen through this year’s movements. In January, with the expectation that rates would continue to move higher, REIT securities sold off by 3.5%. When it became clear in March that the Fed would be on hold, interest rates rallied as did REITs, up 9.99% in March. Finally, as economic activity improved and rates started to rise, REITs sold off four of the five remaining months in 2016, with only December posting a positive rate of return. Interest rates also declined in the month.
The market is building expectations that yields will continue to move higher as the Fed resumes its course to normalize interest rate policy. REITs historically perform best in flat to declining interest rate environments, which is the environment we have seen over the past many years. As discussed above, rising interest rates provide near term headwind for REITs, especially coming out of a period of exceptionally low interest rates.
The Johnson Realty Fund underperformed the S&P US REIT Index by -1.92%. Our property type allocation was negative to overall performance. We were market weighted to overweight in the three worst performing assets classes, Self-Storage, Retail and Residential. In addition, we were modestly underweight Industrials, Hospitality and Data Centers, which were the three best performing property types.
Security selection was also negative, influenced mainly by capitalization. Large cap stocks underperformed their smaller capitalization counterparts, 5.52% for the top 50 largest REITs versus 8.49% for the broader benchmark. Our focus remains on the higher quality, larger capitalization names and this was a detractor to return in 2016.
REITs continue to possess long term portfolio diversification benefits. We would expect as interest rates rise, yield oriented investors may exit the asset class. This may take several years as the market is coming off of historically low interest rate levels.
Average Annual Total Returns as of December 31, 2016 | ||||||||
Realty Fund | S&P US REIT Index | |||||||
One Year | 6.57 | % | 8.49 | % | ||||
Five Years | 10.49 | % | 11.85 | % | ||||
Ten Years | 3.47 | % | 4.89 | % |
Long-term capital growth and above average dividend income are the objectives of the Johnson Realty Fund, and the primary assets are real estate related equity securities. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 1.00%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any dividends and capital gains. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. The S&P US REIT Index is the primary benchmark. A shareholder cannot invest directly in the Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
5
The Johnson International Fund had a total net return of 3.00% in 2016, underperforming the MSCI ACWI ex-US Index’s 4.50% return. It was a choppy market throughout the year, highlighted by the surprise outcome of a U.K. referendum vote in June (coined “Brexit”), where a majority of British voters elected for their country to exit the European Union. This caught investors off guard, but after a very turbulent end to the second quarter, global markets quickly recovered within a matter of days, and the U.S. dollar rallied throughout most of the second half of the year. While many global markets performed well in local currencies, after converting into U.S. dollars, they struggled to match U.S. equity returns. . For example, the two largest countries in the MSCI ACWI ex-US Index, Japan and the United Kingdom, showed mid-teens price returns in their local currencies, but when returns were translated into U.S. dollars, the full year returns were slightly negative. The Fund invests primarily in U.S. dollar-denominated securities and does not take any direct measures to offset the effect of currency translation.
Emerging markets did well in 2016, with Russia and South America among those benefitting from an oil price recovery and global rally in many commodities. The Fund was underweight emerging markets throughout the year, which limited returns, but these less developed countries did provide some of the Fund’s biggest winners last year. Russian oil company, Lukoil PJSC, was the Fund’s top contributor, up 79% during the year, with rising oil prices pushing earnings higher for the first time in four years. Two of the top ten contributors to the Fund’s performance were Brazilian banks: Banco Bradesco and Itau Unibanco Holding. Other big winners in 2016 for the Fund included Newcrest Mining Ltd, a gold mining stock, and adidas AG, a German shoe and apparel manufacturer with improving earnings growth.
Negative security selection effect is responsible for most of the underperformance compared to the benchmark. The poor performance of several Health Care holdings within the Fund (representing half of the ten largest detractors) were representative of a global threat to drug pricing practices, uncertainty related to U.S. health care reform, and rising competitive pressures. The stocks included globally-exposed Teva Pharmaceuticals, Novo Nordisk, Taro Pharmaceuticals, Roche Holdings, and Novartis. Other large negative performance contributors included Sky PLC, a large British broadcaster, and Lenovo Group Ltd., a Hong Kong computer manufacturer.
On the heels of the two big political surprises of 2016, “Brexit” and the Trump win, a key issue to watch during the upcoming year will be the risk of a shift in global trade relations. It remains to be seen whether policy changes live up to campaign pledges and voter demands; however, the Fund’s focus will remain on keeping a diversified portfolio of stocks and seeking companies with the proper mix of fundamentals and valuation that offers the potential to reward long-term investors who seek exposure to foreign markets.
Average Annual Total Returns as of December 31, 2016 | ||||||||
International Fund | MSCI ACWI ex US Index | |||||||
One Year | 3.00 | % | 4.50 | % | ||||
Five Years | 5.03 | % | 5.00 | % | ||||
Since Inception* | 7.39 | % | 7.85 | % |
Asset Allocation by Country as of December 31, 2016 | ||||||||||||
Japan | 18.34 | % | South Korea | 2.79 | % | |||||||
United Kingdom | 12.66 | % | Hong Kong | 2.68 | % | |||||||
Germany | 8.46 | % | India | 2.41 | % | |||||||
Other* | 8.03 | % | Taiwan | 2.31 | % | |||||||
France | 8.00 | % | Netherlands | 1.69 | % | |||||||
Switzerland | 7.57 | % | Spain | 1.68 | % | |||||||
Canada | 7.24 | % | Russia | 1.62 | % | |||||||
China | 6.77 | % | Brazil | 1.38 | % | |||||||
Australia | 5.05 | % | Norway | 1.32 | % |
* | Countries in “Other” category include: Israel, Mexico, Sweden, Singapore, Belgium, Denmark, Chile, Italy, South Africa, and Phillipines |
* | Fund Inception was December 8, 2008. |
Long-term capital growth is the objective of the Johnson International Fund, and the primary assets are equity securities of foreign companies traded on U.S. exchanges and ADRs (American Depository Receipts). The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 1.00%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any dividends and capital gains. The Fund’s performance is after all fees and expenses, whereas neither Index incurs fees nor expenses. The MSCI ACWI ex US Index is the primary benchmark. A shareholder cannot invest directly in the Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
6
The Johnson Fixed Income Fund provided a total return of 3.08% during 2016, compared to a 2.65% return for the Bloomberg Barclays Capital Aggregate Index. Despite significant midyear volatility, interest rates rose only modestly higher for the full year.
Bond yields began the year at somewhat elevated levels, and the Fund maintained a neutral duration relative to the benchmark as a result. During the first half of the year, bond yields fell as energy prices declined and investors grew anxious over Britain’s vote to leave the European Union. As rates fell, the Fund shortened its duration relative to the benchmark. This positioning was beneficial to relative returns, as rates rose in response to the Presidential Election as well as the Federal Reserve’s (the “Fed”) decision to raise rates once again.
Meanwhile, credit spreads began the year at relatively wide levels, as fear of energy related defaults reverberated throughout the credit market. Spreads continued to widen until mid-February. However, as the price of oil stabilized, credit spreads tightened and led to positive excess returns for credit during the year. Sector performance was uneven though, with financials tightening less than industrials and utilities as energy related industrial credits recovered more than their prior losses. The Fund’s overweight to corporate bonds was a significant driver of performance relative to the Fund’s benchmark during the year, while its focus on high quality credits with lower spread volatility tempered returns. More than half of the Fund’s bond allocation is to investment-grade rated corporate securities which is greater than the Fund’s benchmark index and a key reason why the yield is traditionally higher in the Fund. Over time, this yield advantage is critical to the Fund’s ability to outperform its benchmark. It can also be a helpful strategy to protect against rising interest rates.
Looking forward into next year, we expect the Fed will likely continue to tighten monetary policy, albeit gradually. Although growth in the U.S. has been somewhat disappointing, the promise of fiscal stimulus may provide an economic tailwind in the coming year. Manufacturing has improved alongside the rebound in energy prices and the consumer should continue to benefit from rising wages and solid job creation. Continued improvement in global economic growth as well as powerful global Central Bank stimulus may lead to a continued tightening of credit spreads and the Fund’s overweight to corporate bonds should benefit as a result. The Fund’s duration is slightly short to that of its benchmark and the addition of securities such as floating rate and step-up coupon bonds will help serve as a cushion to rising rates. While inflation expectations have rebounded, the Fund has maintained a position in Treasury Inflation Protected Securities which will benefit as inflation returns to historic averages. Finally, we anticipate continued upward pressure on intermediate bond yields, leading to a slightly muted total return outlook. However, the potential move upward should provide an opportunity to enhance the Fund’s yield over time.
Average Annual Total Returns as of December 31, 2016 | ||||||||
Fixed Income Fund | Bloomberg Barclays Capital Aggregate Index | |||||||
One Year | 3.08 | % | 2.65 | % | ||||
Five Years | 2.33 | % | 2.23 | % | ||||
Ten Years | 4.35 | % | 4.34 | % |
A high level of income over the long term consistent with preservation of capital is the objective of the Johnson Fixed Income Fund, and the primary assets are investment-grade fixed income securities. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 0.85%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. The Bloomberg Barclays Capital Aggregate Index is the benchmark. A shareholder cannot invest directly in the Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
7
The Johnson Municipal Income Fund provided a total return of 0.05% during 2016 compared to -0.52% for the Bloomberg Barclays 5-Year General Obligation Municipal Index. Despite significant midyear volatility, interest rates rose moderately higher for the full year.
During 2016, municipal bond yields rose, leading to the Fund’s relatively flat return. The Fund’s emphasis on higher yielding securities was additive to performance. In addition, the Fund’s laddered maturity structure aided performance as bond yields rose the most on intermediate securities, leading to better returns on short and long maturity bonds. While the benchmark is comprised solely of 4 – 6 year maturity securities, the Fund is constructed with a more diverse laddered maturity profile of bonds primarily due within 1 to 15 years.
New issue supply of municipal securities was strong during 2016 as issuers took advantage of low interest rates to refinance outstanding debt obligations and undertake new projects. Demand for municipal securities was robust for most of the year before cooling after the result of the Presidential Election caused some investors to anticipate lower tax rates in the future. Defaults in the municipal sector remained low on an absolute basis despite headlines surrounding fiscal challenges in Chicago and Puerto Rico. Tax revenues for many municipalities continue to show improvement, with the majority of states and local governments reporting healthy revenue from income, sales, and property tax collections. However, we continue to expect lower quality issuers, primarily in a handful of states such as New Jersey, Illinois and particularly the territory of Puerto Rico, to face financial pressure. The Fund avoids such securities maintaining a strict focus on high quality municipal issuers. Approximately 64% of the Fund is rated AA or higher. Furthermore, the Fund is diversified by issuer, sector and state with approximately 29% of its assets in states other than Ohio.
Looking forward into next year, we expect the Fed will likely continue to tighten monetary policy, albeit gradually. Although growth in the US has been somewhat disappointing, the promise of fiscal stimulus may provide an economic tailwind in the coming year. Manufacturing has improved alongside the rebound in energy prices and the consumer should continue to benefit from rising wages and solid job creation, both of which should continue to benefit municipal budget outlooks in the form of increased income and sales tax collections. Although the potential for tax reform could reduce demand for municipal securities, bond yields have increased and investors have historically shown greater interest in municipal bonds at higher rates. Finally, we anticipate upward pressure on municipal bond yields in the near term, leading to a muted total return outlook. However, municipals have historically outperformed other bond market alternatives during similar periods, and the potential move upward in yields should provide an opportunity to enhance the Fund’s yield over time.
Average Annual Total Returns as of December 31, 2016 | ||||||||
Municipal Income Fund | Bloomberg Barclays 5 Year G.O. Muni Bond Index | |||||||
One Year | 0.05 | % | -0.52 | % | ||||
Five Years | 1.96 | % | 1.54 | % | ||||
Ten Years | 3.37 | % | 3.58 | % |
As rated by either Standard & Poor’s or Moody’s Rating Agencies.
A high level of federally tax-free income over the long term consistent with preservation of capital is the objective of the Johnson Municipal Income Fund, and the primary assets are intermediate term Ohio municipal bonds. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 0.66%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. The Fund’s benchmark is the Bloomberg Barclays Capital 5 Year General Obligation Municipal Bond Index. A shareholder cannot invest directly in the Index. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
8
Common Stocks | Shares | Fair Value | ||||||
Comcast Corp. – Class A | 69,900 | $ | 4,826,595 | |||||
Lowe’s Companies Inc. | 64,600 | 4,594,352 | ||||||
TJX Companies Inc. | 38,300 | 2,877,479 | ||||||
VF Corp. | 74,200 | 3,958,570 | ||||||
10.8% – Total For Consumer Discretionary | $ | 16,256,996 | ||||||
Coca Cola Co. | 105,820 | 4,387,297 | ||||||
CVS Health Corp. | 64,105 | 5,058,526 | ||||||
Nestle SA ADR | 88,400 | 6,341,816 | ||||||
Procter & Gamble Co. | 33,990 | 2,857,879 | ||||||
Unilever PLC | 68,200 | 2,775,740 | ||||||
14.3% – Total For Consumer Staples | $ | 21,421,258 | ||||||
Chevron Corp. | 28,775 | 3,386,818 | ||||||
Royal Dutch Shell PLC, Class B ADR | 77,500 | 4,492,675 | ||||||
Schlumberger Ltd. | 35,150 | 2,950,842 | ||||||
7.2% – Total For Energy | $ | 10,830,335 | ||||||
American Express Co. | 70,800 | 5,244,864 | ||||||
Chubb Ltd. | 36,725 | 4,852,107 | ||||||
Iberiabank Corp. | 41,500 | 3,475,625 | ||||||
Invesco Ltd. | 96,585 | 2,930,389 | ||||||
Marsh & McLennan Companies Inc. | 46,700 | 3,156,453 | ||||||
Morningstar Inc. | 20,900 | 1,537,404 | ||||||
PNC Financial Services Group Inc. | 47,100 | 5,508,816 | ||||||
RenaissanceRe Holdings Ltd. | 23,900 | 3,255,658 | ||||||
20.0% – Total For Financial Services | $ | 29,961,316 | ||||||
Abbott Laboratories | 116,400 | 4,470,924 | ||||||
Danaher Corp. | 54,900 | 4,273,416 | ||||||
Medtronic PLC | 60,200 | 4,288,046 | ||||||
Zimmer Biomet Holdings | 42,700 | 4,406,640 | ||||||
Zoetis Inc. | 88,400 | 4,732,052 | ||||||
14.8% – Total For Health Care | $ | 22,171,078 | ||||||
Fortive Corp. | 30,450 | 1,633,034 | ||||||
Paccar Inc. | 52,000 | 3,322,800 | ||||||
Parker-Hannifin Corp. | 21,500 | 3,010,000 | ||||||
Roper Technologies Inc. | 16,300 | 2,984,204 | ||||||
Union Pacific Corp. | 32,250 | 3,343,680 | ||||||
9.5% – Total For Industrials | $ | 14,293,718 | ||||||
Accenture PLC – Class A | 12,120 | 1,419,616 | ||||||
Apple Inc. | 49,610 | 5,745,830 | ||||||
Automatic Data Processing Inc. | 32,000 | 3,288,960 | ||||||
Cisco Systems Inc. | 94,400 | 2,852,768 | ||||||
Cognizant Technology Solutions Corp.* | 47,000 | 2,633,410 | ||||||
Mastercard Inc. – Class A | 32,000 | 3,304,000 | ||||||
Microsoft Corp. | 48,360 | 3,005,090 |
Common Stocks | Shares | Fair Value | ||||||
Oracle Corp. | 76,400 | $ | 2,937,580 | |||||
SAP SE ADR | 35,700 | 3,085,551 | ||||||
18.8% – Total For Information Technology | $ | 28,272,805 | ||||||
AT&T Inc. | 76,640 | 3,259,499 | ||||||
2.2% – Total For Telecommunication Services | $ | 3,259,499 | ||||||
Total Common Stocks 97.6% | $ | 146,467,005 | ||||||
(Identified Cost $123,583,886) | ||||||||
Cash Equivalents | ||||||||
First American Government Obligation Fund, Class Z** | 3,444,105 | 3,444,105 | ||||||
Total Cash Equivalents 2.3% | $ | 3,444,105 | ||||||
(Identified Cost $3,444,105) | ||||||||
Total Portfolio Value 99.9% | $ | 149,911,110 | ||||||
(Identified Cost $127,027,991) | ||||||||
Other Assets in Excess of Liabilities 0.1% | $ | 108,079 | ||||||
Total Net Assets 100.0% | $ | 150,019,189 |
* | Non-income producing security. |
** | Variable Rate Security; as of December 31, 2016, the 7 day annualized yield was 0.43%. |
ADR – American Depositary Receipt
PLC – Public Liability Company
The accompanying notes are an integral part of these financial statements.
9
Common Stocks | Shares | Fair Value | ||||||
Lowe’s Companies Inc. | 12,310 | $ | 875,487 | |||||
Nike Inc. Class B | 8,200 | 416,806 | ||||||
Priceline Group Inc.* | 610 | 894,297 | ||||||
Starbucks Corp. | 15,560 | 863,891 | ||||||
TJX Companies Inc. | 11,270 | 846,715 | ||||||
Walt Disney Co. | 12,800 | 1,334,016 | ||||||
11.8% – Total For Consumer Discretionary | $ | 5,231,212 | ||||||
Costco Wholesale Corp. | 2,880 | 461,117 | ||||||
CVS Health Corp. | 11,620 | 916,934 | ||||||
Nestle SA ADR | 11,440 | 820,706 | ||||||
Pepsico Inc. | 9,040 | 945,855 | ||||||
Procter & Gamble Co. | 10,680 | 897,974 | ||||||
9.1% – Total For Consumer Staples | $ | 4,042,586 | ||||||
Chevron Corp. | 7,720 | 908,644 | ||||||
EOG Resources Inc. | 13,140 | 1,328,454 | ||||||
Schlumberger Ltd. | 15,705 | 1,318,435 | ||||||
8.0% – Total For Energy | $ | 3,555,533 | ||||||
American Express Co. | 7,230 | 535,598 | ||||||
Berkshire Hathaway Inc. Class B* | 6,800 | 1,108,264 | ||||||
Chubb Ltd. | 6,900 | 911,628 | ||||||
Iberiabank Corp. | 10,710 | 896,963 | ||||||
Invesco Ltd. | 22,500 | 682,650 | ||||||
JP Morgan Chase & Co. | 7,350 | 634,231 | ||||||
Wells Fargo & Co. | 8,790 | 484,417 | ||||||
11.8% – Total For Financial Services | $ | 5,253,751 | ||||||
Allergan PLC* | 3,100 | 651,031 | ||||||
Biogen Inc.* | 2,900 | 822,382 | ||||||
Celgene Corp.* | 13,040 | 1,509,380 | ||||||
Danaher Corp. | 11,330 | 881,927 | ||||||
Johnson & Johnson | 8,175 | 941,842 | ||||||
Medtronic PLC | 11,170 | 795,639 | ||||||
Zoetis Inc. | 26,730 | 1,430,857 | ||||||
15.8% – Total For Health Care | $ | 7,033,058 | ||||||
3M Co. | 5,140 | 917,850 | ||||||
Fortive Corp. | 6,950 | 372,728 | ||||||
General Electric Co. | 30,440 | 961,904 | ||||||
Paccar Inc. | 15,940 | 1,018,566 | ||||||
Parker-Hannifin Corp. | 7,920 | 1,108,800 | ||||||
Roper Technologies Inc. | 4,800 | 878,784 | ||||||
Union Pacific Corp. | 8,760 | 908,237 | ||||||
13.8% – Total For Industrials | $ | 6,166,869 | ||||||
Alphabet Inc. – Class A* | 565 | 447,734 | ||||||
Alphabet Inc. – Class C* | 1,129 | 871,385 |
Common Stocks | Shares | Fair Value | ||||||
Apple Inc. | 19,140 | $ | 2,216,795 | |||||
Broadcom Ltd. | 5,315 | 939,533 | ||||||
Cognizant Technology Solutions Corp.* | 13,120 | 735,114 | ||||||
Facebook Inc. – Class A* | 6,930 | 797,296 | ||||||
Fortinet Inc.* | 13,270 | 399,692 | ||||||
IPG Photonics Corp.* | 4,610 | 455,053 | ||||||
Mastercard Inc. – Class A | 10,000 | 1,032,500 | ||||||
Oracle Corp. | 32,800 | 1,261,160 | ||||||
Red Hat Inc.* | 17,120 | 1,193,264 | ||||||
Salesforce.com Inc.* | 13,930 | 953,648 | ||||||
SAP SE ADR | 10,500 | 907,515 | ||||||
Ultimate Software Group Inc.* | 4,185 | 763,135 | ||||||
29.1% – Total For Information Technology | $ | 12,973,824 | ||||||
Total Common Stocks 99.4% | $ | 44,256,833 | ||||||
(Identified Cost $34,336,166) | ||||||||
Cash Equivalents | ||||||||
First American Government Obligation Fund, Class Z** | 251,712 | 251,712 | ||||||
Total Cash Equivalents 0.6% | $ | 251,712 | ||||||
(Identified Cost $251,712) | ||||||||
Total Portfolio Value 100.0% | $ | 44,508,545 | ||||||
(Identified Cost $34,587,878) | ||||||||
Other Assets in Excess of Liabilities 0.0% | $ | 19,611 | ||||||
Total Net Assets 100.0% | $ | 44,528,156 |
* | Non-income producing security. |
** | Variable Rate Security; as of December 31, 2016, the 7 day annualized yield was 0.43%. |
ADR – American Depositary Receipt
PLC – Public Liability Company
The accompanying notes are an integral part of these financial statements.
10
Common Stocks | Shares | Fair Value | ||||||
Advance Auto Parts Inc. | 2,800 | $ | 473,536 | |||||
Culp Inc. | 15,000 | 557,250 | ||||||
Foot Locker Inc. | 6,000 | 425,340 | ||||||
Gentex Corp. | 33,600 | 661,584 | ||||||
Hasbro Inc. | 7,400 | 575,646 | ||||||
LKQ Corp.* | 24,000 | 735,600 | ||||||
Steven Madden Ltd.* | 10,000 | 357,500 | ||||||
Texas Roadhouse Inc. | 11,300 | 545,112 | ||||||
Thor Industries Inc. | 8,200 | 820,410 | ||||||
Winmark Corp. | 7,300 | 920,895 | ||||||
14.6% – Total For Consumer Discretionary | $ | 6,072,873 | ||||||
Casey’s General Stores Inc. | 5,000 | 594,400 | ||||||
Church & Dwight Co. Inc. | 14,000 | 618,660 | ||||||
Ingredion Inc. | 3,600 | 449,856 | ||||||
Whole Food Market Inc. | 17,000 | 522,920 | ||||||
5.3% – Total For Consumer Staples | $ | 2,185,836 | ||||||
Helmerich & Payne Inc. | 7,800 | 603,720 | ||||||
Oceaneering International Inc. | 17,400 | 490,854 | ||||||
2.6% – Total For Energy | $ | 1,094,574 | ||||||
Argo Group International Holdings Ltd. | 10,164 | 669,808 | ||||||
Assurant Inc. | 6,000 | 557,160 | ||||||
Axis Capital Holdings Ltd. | 7,000 | 456,890 | ||||||
Berkshire Hills Bancorp Inc. | 15,000 | 552,750 | ||||||
Diamond Hill Investment Group Inc. | 1,600 | 336,608 | ||||||
East West Bancorp Inc. | 12,000 | 609,960 | ||||||
Everest Re Group Ltd. | 3,200 | 692,480 | ||||||
First Interstate Bancsystem Inc. | 18,000 | 765,900 | ||||||
German American Bancorp Inc. | 15,000 | 789,150 | ||||||
Home Bancshares Inc. | 14,000 | 388,780 | ||||||
Iberiabank Corp. | 4,800 | 402,000 | ||||||
Invesco Ltd. | 19,900 | 603,766 | ||||||
Lakeland Bancorp Inc. | 41,000 | 799,500 | ||||||
Morningstar Inc. | 8,500 | 625,260 | ||||||
Reinsurance Group of America Inc. | 4,500 | 566,235 | ||||||
RenaissanceRe Holdings Ltd. | 5,000 | 681,100 | ||||||
Westwood Holdings Group Inc. | 10,800 | 647,892 | ||||||
24.4% – Total For Financial Services | $ | 10,145,239 | ||||||
Align Technology Inc.* | 6,300 | 605,619 | ||||||
Analogic Corp. | 3,400 | 282,030 | ||||||
Natus Medical Inc.* | 13,000 | 452,400 | ||||||
Owens & Minor Inc. | 9,000 | 317,610 |
Common Stocks | Shares | Fair Value | ||||||
Prestige Brands Holdings Inc.* | 13,000 | $ | 677,300 | |||||
United Therapeutics Corp.* | 5,300 | 760,179 | ||||||
Universal Health Services Inc. – Class B | 5,000 | 531,900 | ||||||
Varian Medical Systems Inc.* | 5,700 | 511,746 | ||||||
VCA Inc.* | 7,300 | 501,145 | ||||||
11.2% – Total For Health Care | $ | 4,639,929 | ||||||
Alamo Group Inc. | 10,300 | 783,830 | ||||||
American Woodmark Corp.* | 4,000 | 301,000 | ||||||
Deluxe Corp. | 9,200 | 658,812 | ||||||
Fluor Corp. | 10,000 | 525,200 | ||||||
Generac Holdings Inc.* | 7,000 | 285,180 | ||||||
Hillenbrand Inc. | 14,000 | 536,900 | ||||||
HNI Corp. | 9,000 | 503,280 | ||||||
Lincoln Electric Holdings Inc. | 7,800 | 598,026 | ||||||
Old Dominion Freight Line Inc.* | 6,300 | 540,477 | ||||||
Quanta Services Inc.* | 13,000 | 453,050 | ||||||
Snap-On Inc. | 3,100 | 530,937 | ||||||
Standex International Inc. | 5,500 | 483,175 | ||||||
14.9% – Total For Industrials | $ | 6,199,867 | ||||||
Amdocs Ltd. | 9,300 | 541,725 | ||||||
Brocade Communications Systems Inc. | 30,000 | 374,700 | ||||||
Flir Systems Inc. | 9,800 | 354,662 | ||||||
IPG Photonics Corp.* | 7,000 | 690,970 | ||||||
NeuStar Inc. – Class A* | 14,600 | 487,640 | ||||||
PC Connection Inc. | 27,000 | 758,430 | ||||||
Perficient Inc.* | 25,000 | 437,250 | ||||||
Red Hat Inc.* | 8,400 | 585,480 | ||||||
Ultimate Software Group Inc.* | 1,700 | 309,995 | ||||||
11.0% – Total For Information Technology | $ | 4,540,852 | ||||||
AptarGroup Inc. | 6,200 | 455,390 | ||||||
Avery Dennison Corp. | 7,000 | 491,540 | ||||||
Packaging Corp. of America | 7,000 | 593,740 | ||||||
RPM International Inc. | 6,000 | 322,980 | ||||||
Scotts Miracle-Gro Co. – Class A | 6,800 | 649,740 | ||||||
Westlake Chemical Corp. | 8,500 | 475,915 | ||||||
7.2% – Total For Materials | $ | 2,989,305 | ||||||
UGI Corp. | 10,800 | 497,664 | ||||||
1.2% – Total For Utilities | $ | 497,664 | ||||||
Total Common Stocks 92.4% | $ | 38,366,139 | ||||||
(Identified Cost $28,437,052) |
The accompanying notes are an integral part of these financial statements.
11
Real Estate Investment Trusts (REITs) | Shares | Fair Value | ||||||
Apartment Investment & Mangement Co. | 14,000 | $ | 636,300 | |||||
Extra Space Storage Inc. | 6,500 | 502,060 | ||||||
National Retail Properties Inc. | 14,500 | 640,900 | ||||||
Total REITs 4.3% | $ | 1,779,260 | ||||||
(Identified Cost $1,658,189) | ||||||||
Cash Equivalents | ||||||||
First American Government Obligation Fund, Class Z** | 1,386,204 | 1,386,204 | ||||||
Total Cash Equivalents 3.3% | $ | 1,386,204 | ||||||
(Identified Cost $1,386,204) | ||||||||
Total Portfolio Value 100.0% | $ | 41,531,603 | ||||||
(Identified Cost $31,481,445) | ||||||||
Liabilities in Excess of Other Assets 0.0% | $ | (8,596 | ) | |||||
Total Net Assets 100.0% | $ | 41,523,007 |
* | Non-income producing security. |
** | Variable Rate Security; as of December 31, 2016, the 7 day annualized yield was 0.43%. |
ADR – American Depositary Receipt
PLC – Public Liability Company
The accompanying notes are an integral part of these financial statements.
12
Real Estate Investment Trusts (REITs) | Shares | Fair Value | ||||||
American Campus Communities Inc. | 1,600 | $ | 79,632 | |||||
Apartment Investment & Management Co. | 2,624 | 119,261 | ||||||
Avalonbay Communities Inc. | 1,809 | 320,464 | ||||||
Camden Property Trust | 1,200 | 100,884 | ||||||
Equity LifeStyle Properties Inc. | 1,500 | 108,150 | ||||||
Equity Residential | 5,000 | 321,800 | ||||||
Essex Property Trust Inc. | 865 | 201,112 | ||||||
Mid-America Apartment Communities Inc. | 2,234 | 218,704 | ||||||
Senior Housing Properties Trust | 3,500 | 66,255 | ||||||
Sun Communities Inc. | 650 | 49,797 | ||||||
UDR Inc. | 3,807 | 138,879 | ||||||
16.2% – Total For Residential | $ | 1,724,938 | ||||||
American Tower Corp. | 5,839 | 617,066 | ||||||
Brandywine Realty Trust | 3,000 | 49,530 | ||||||
Cousins Properties Inc. | 3,500 | 29,785 | ||||||
Equinix Inc. | 600 | 214,446 | ||||||
Douglas Emmett Inc. | 2,500 | 91,400 | ||||||
Lexington Realty Trust | 3,500 | 37,800 | ||||||
Life Storage Inc. | 450 | 38,367 | ||||||
National Retail Properties Inc. | 2,250 | 99,450 | ||||||
PS Business Parks Inc. | 500 | 58,260 | ||||||
Urban Edge Properties | 1,530 | 42,090 | ||||||
Vornado Realty Trust | 2,561 | 267,292 | ||||||
14.5% – Total For Diversified | $ | 1,545,486 | ||||||
Care Capital Properties Inc. | 1,100 | 27,500 | ||||||
HCP Inc. | 6,500 | 193,180 | ||||||
Healthcare Realty Trust Inc. | 1,500 | 45,480 | ||||||
LTC Properties Inc. | 650 | 30,537 | ||||||
Medical Properties Trust Inc. | 2,800 | 34,440 | ||||||
Omega Healthcare Investors Inc. | 2,500 | 78,150 | ||||||
Quality Care Properties* | 1,300 | 20,150 | ||||||
Universal Health Realty Income Trust | 300 | 19,677 | ||||||
Ventas Inc. | 4,700 | 293,844 | ||||||
Welltower Inc. | 4,750 | 317,917 | ||||||
10.0% – Total For Health Care Facilities | $ | 1,060,875 | ||||||
Diamondrock Hospitality Co. | 4,000 | 46,120 | ||||||
Host Hotels & Resorts Inc. | 10,354 | 195,069 | ||||||
LaSalle Hotel Properties | 1,500 | 45,705 | ||||||
Pebblebrook Hotel Trust | 1,200 | 35,700 | ||||||
RL Lodging Trust | 2,500 | 61,225 | ||||||
Ryman Hospitality Properties | 1,000 | 63,010 | ||||||
4.2% – Total For Hotels/Motels | $ | 446,829 | ||||||
Alexandria Real Estate Equities Inc. | 1,000 | 111,130 | ||||||
Boston Properties Inc. | 2,020 | 254,076 |
Real Estate Investment Trusts (REITs) | Shares | Fair Value | ||||||
CoreSite Realty Corp. | 500 | $ | 39,685 | |||||
Corporate Office Properties Trust | 2,000 | 62,440 | ||||||
Digital Realty Trust Inc. | 2,300 | 225,998 | ||||||
Duke Realty Corp. | 5,000 | 132,800 | ||||||
Dupont Fabros Technology Inc. | 1,800 | 79,074 | ||||||
Equity Commonwealth* | 1,700 | 51,408 | ||||||
Highwoods Properties Inc. | 1,700 | 86,717 | ||||||
Kilroy Realty Corp. | 1,545 | 113,125 | ||||||
Liberty Property Trust | 2,661 | 105,110 | ||||||
Mack-Cali Realty Corp. | 1,500 | 43,530 | ||||||
Parkway Inc.* | 437 | 9,723 | ||||||
Piedmont Office Realty Trust Inc. | 3,500 | 73,185 | ||||||
13.1% – Total For Office | $ | 1,388,001 | ||||||
CubeSmart | 2,500 | 66,925 | ||||||
DCT Industrial Trust Inc. | 1,375 | 65,835 | ||||||
EastGroup Properties Inc. | 600 | 44,304 | ||||||
Extra Space Storage Inc. | 1,750 | 135,170 | ||||||
First Industrial Realty Trust Inc. | 1,675 | 46,984 | ||||||
Prologis Inc. | 7,306 | 385,684 | ||||||
Public Storage | 2,400 | 536,400 | ||||||
12.1% – Total For Industrial | $ | 1,281,302 | ||||||
Acadia Realty Trust | 1,000 | 32,680 | ||||||
Alexander’s Inc. | 100 | 42,687 | ||||||
CBL & Associates Properties Inc. | 2,394 | 27,531 | ||||||
DDR Corp. | 7,055 | 107,730 | ||||||
EPR Properties | 1,000 | 71,770 | ||||||
Equity One Inc. | 1,600 | 49,104 | ||||||
Federal Realty Investment Trust | 1,000 | 142,110 | ||||||
General Growth Properties Inc. | 12,200 | 304,756 | ||||||
Hospitality Properties Trust | 2,100 | 66,654 | ||||||
Kimco Realty Corp. | 5,667 | 142,582 | ||||||
Macerich Co. | 2,192 | 155,281 | ||||||
Realty Income Corp. | 3,569 | 205,146 | ||||||
Regency Centers Corp. | 1,375 | 94,806 | ||||||
Retail Properties of America | 3,500 | 53,655 | ||||||
Simon Property Group Inc. | 4,279 | 760,250 | ||||||
SL Green Realty Corp. | 1,500 | 161,325 | ||||||
Tanger Factory Outlet Centers Inc. | 2,000 | 71,560 | ||||||
Taubman Centers Inc. | 800 | 59,144 | ||||||
Washington Real Estate Investment Trust | 1,500 | 49,035 | ||||||
Weingarten Realty Investors | 2,500 | 89,475 | ||||||
Washington Prime Group Inc. | 3,353 | 34,905 | ||||||
25.6% – Total For Retail | $ | 2,722,186 |
The accompanying notes are an integral part of these financial statements.
13
Real Estate Investment Trusts (REITs) | Shares | Fair Value | ||||||
Rayonier Inc. | 2,000 | $ | 53,200 | |||||
Weyerhaeuser Co. | 10,700 | 321,963 | ||||||
3.5% – Total For Timber | $ | 375,163 | ||||||
Total REITs 99.2% | $ | 10,544,780 | ||||||
(Identified Cost $5,547,155) | ||||||||
Cash Equivalents | ||||||||
First American Government Obligation Fund, Class Z** | 37,542 | 37,542 | ||||||
Total Cash Equivalents 0.4% | $ | 37,542 | ||||||
(Identified Cost $37,542) | ||||||||
Total Portfolio Value 99.6% | $ | 10,582,322 | ||||||
(Identified Cost $5,584,697) | ||||||||
Other Assets in Excess of Liabilities: 0.4% | $ | 39,582 | ||||||
Total Net Assets 100.0% | $ | 10,621,904 |
* | Non-income producing security. |
** | Variable Rate Security; as of December 31, 2016, the 7 day annualized yield was 0.43%. |
The accompanying notes are an integral part of these financial statements.
14
Common Stocks | Shares | Fair Value | ||||||
Adidas AG ADR | 1,500 | $ | 117,825 | |||||
Daimler AG | 600 | 44,490 | ||||||
Honda Motor Co. Ltd. ADR | 1,940 | 56,629 | ||||||
Magna International Inc. | 2,000 | 86,800 | ||||||
Marks & Spencer Group PLC ADR | 5,000 | 42,550 | ||||||
Publicis Groupe SA ADR | 7,800 | 134,121 | ||||||
RTL Group SA ADR | 15,000 | 109,200 | ||||||
Sky PLC ADR | 4,500 | 220,590 | ||||||
Sony Corp. | 2,700 | 75,681 | ||||||
Tata Motors Ltd. | 3,425 | 117,786 | ||||||
Toyota Motor Corp. | 1,800 | 210,960 | ||||||
WPP PLC ADR | 1,300 | 143,858 | ||||||
9.6% – Total For Consumer Discretionary | $ | 1,360,490 | ||||||
Coca-Cola Amatil Ltd. ADR | 10,860 | 78,626 | ||||||
Danone ADR | 6,184 | 77,795 | ||||||
L’Oreal ADR | 2,800 | 101,948 | ||||||
Nestle SA ADR | 2,400 | 172,176 | ||||||
Reckitt Benckiser Group PLC ADR | 5,900 | 99,120 | ||||||
Unilever NV | 2,500 | 102,650 | ||||||
Unilever PLC | 3,000 | 122,100 | ||||||
Wal-Mart De Mexico SAB de CV ADR | 8,000 | 142,960 | ||||||
6.3% – Total For Consumer Staples | $ | 897,375 | ||||||
BP PLC | 2,298 | 85,899 | ||||||
CNOOC Ltd. | 500 | 61,980 | ||||||
Lukoil Corp. ADR | 3,900 | 218,868 | ||||||
Petrochina Co. Ltd. | 300 | 22,110 | ||||||
Royal Dutch Shell PLC, Class B ADR | 1,400 | 81,158 | ||||||
Sasol Ltd. ADR | 2,800 | 80,052 | ||||||
Statoil ASA | 4,000 | 72,960 | ||||||
Suncor Energy Inc. | 3,200 | 104,608 | ||||||
Technip SA ADR | 6,200 | 110,484 | ||||||
Total SA | 2,352 | 119,881 | ||||||
Woodside Petroleum ADR | 5,200 | 116,740 | ||||||
7.6% – Total For Energy | $ | 1,074,740 | ||||||
Allianz SE ADR | 7,900 | 130,192 | ||||||
Australia and New Zealand Banking Group Ltd. | 3,200 | 69,888 | ||||||
Banco Bradesco ADR | 12,100 | 105,391 | ||||||
Banco Santander SA ADR | 17,974 | 93,105 | ||||||
Bank of Montreal | 1,240 | 89,181 | ||||||
Barclays PLC | 10,000 | 110,000 | ||||||
BNP Paribas ADR | 4,000 | 127,400 | ||||||
China Construction Bank ADR | 5,300 | 80,401 |
Common Stocks | Shares | Fair Value | ||||||
Credit Suisse Group ADR | 3,777 | $ | 54,049 | |||||
Deutsche Boerse AG ADR | 7,000 | 55,629 | ||||||
ICICI Bank Ltd. | 8,800 | 65,912 | ||||||
Industrial and Commercial Bank Of China Ltd. ADR | 16,000 | 189,440 | ||||||
Itau Unibanco Holding SA ADR | 7,700 | 79,156 | ||||||
KB Financial Group Inc. | 2,400 | 84,696 | ||||||
Manulife Financial Corp. | 4,420 | 78,764 | ||||||
Mitsubishi UFJ Financial Group Inc. | 35,200 | 216,832 | ||||||
Mizuho Financial Group Inc. ADR | 41,400 | 148,626 | ||||||
Orix Corp. ADR | 1,750 | 136,203 | ||||||
Royal Bank of Canada | 1,600 | 108,336 | ||||||
Sumitomo Mitsui Financial Group Inc. ADR | 31,500 | 240,660 | ||||||
Swiss Re Ltd. ADR | 4,400 | 104,544 | ||||||
Tokio Marine Holdings Inc. ADR | 6,000 | 245,340 | ||||||
Toronto Dominion Bank | 1,400 | 69,076 | ||||||
UBS Group AG* | 4,800 | 75,216 | ||||||
United Overseas Bank Ltd. ADR | 1,900 | 53,466 | ||||||
Westpac Banking Corp. Ltd. | 4,650 | 109,182 | ||||||
Zurich Insurance Group Ltd. ADR | 3,240 | 89,327 | ||||||
21.2% – Total For Financial Services | $ | 3,010,012 | ||||||
Astellas Pharma Inc. ADR | 19,500 | 270,270 | ||||||
Astrazeneca PLC ADR | 1,600 | 43,712 | ||||||
Bayer AG ADR | 1,300 | 135,564 | ||||||
Dr. Reddy’s Laboratories Ltd. | 3,340 | 151,235 | ||||||
Novartis AG | 2,480 | 180,643 | ||||||
Novo Nordisk AS | 2,800 | 100,408 | ||||||
Roche Holdings Ltd. ADR | 7,100 | 202,563 | ||||||
Shire PLC ADR | 600 | 102,228 | ||||||
Taro Pharmaceuticals Ltd.* | 800 | 84,216 | ||||||
Teva Pharmaceuticals ADR | 2,400 | 87,000 | ||||||
9.6% – Total For Health Care | $ | 1,357,839 | ||||||
ABB Ltd. | 2,900 | 61,103 | ||||||
Atlas Copco AB ADR | 3,000 | 91,620 | ||||||
BAE Systems PLC ADR | 1,600 | 46,448 | ||||||
Bunzl PLC ADR | 5,600 | 144,480 | ||||||
Canadian National Railway Co. | 1,400 | 94,360 | ||||||
CK Hutchison Holdings Ltd. ADR | 8,000 | 90,800 | ||||||
Fanuc Corp. ADR | 7,166 | 119,314 | ||||||
Itochu Corp. ADR | 3,700 | 97,680 | ||||||
Keppel Corp. Ltd. ADR | 7,900 | 63,200 | ||||||
Komatsu Ltd. ADR | 4,000 | 90,720 |
The accompanying notes are an integral part of these financial statements.
15
Common Stocks | Shares | Fair Value | ||||||
Mitsui & Co., Ltd. ADR | 300 | $ | 82,500 | |||||
Schneider Electric SE ADR | 10,000 | 138,100 | ||||||
Sensata Technologies Holding NV* | 3,200 | 124,640 | ||||||
Siemens AG | 900 | 110,178 | ||||||
9.6% – Total For Industrials | $ | 1,355,143 | ||||||
Alibaba Group Holdings ADR* | 1,600 | 140,496 | ||||||
Baidu Inc. ADR* | 400 | 65,764 | ||||||
CGI Group Inc.* | 5,100 | 244,953 | ||||||
Ericsson ADR | 5,000 | 29,150 | ||||||
Lenovo Group Ltd. ADR | 11,000 | 132,011 | ||||||
Open Text Corp. | 1,600 | 98,896 | ||||||
SAP SE ADR | 3,100 | 267,933 | ||||||
Siliconware Precision Industries Co. ADR | 4,267 | 31,149 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 8,000 | 230,000 | ||||||
Tencent Holdings Ltd. ADR | 6,500 | 157,430 | ||||||
United Microelectronics ADR | 44,930 | 78,628 | ||||||
10.4% – Total For Information Technology | $ | 1,476,410 | ||||||
BASF SE ADR | 1,850 | 171,255 | ||||||
BHP Billiton Ltd. | 2,550 | 91,239 | ||||||
Air Liquide SA ADR | 3,777 | 84,000 | ||||||
Newcrest Mining Ltd. ADR | 15,000 | 215,400 | ||||||
Nitto Denko Corp. ADR | 4,200 | 164,556 | ||||||
Posco | 1,400 | 73,570 | ||||||
Rio Tinto PLC | 1,570 | 60,382 | ||||||
Syngenta AG | 1,100 | 86,955 | ||||||
6.7% – Total For Materials | $ | 947,357 | ||||||
BT Group PLC ADR | 3,800 | 87,514 | ||||||
China Mobile Ltd. | 2,700 | 141,561 | ||||||
Deutsche Telekom AG ADR | 4,000 | 68,400 | ||||||
KDDI Corp. ADR | 16,000 | 202,400 | ||||||
Nippon Telegraph and Telephone Corp. | 1,200 | 50,484 | ||||||
Orange | 12,000 | 181,680 | ||||||
PLDT Inc. ADR | 1,800 | 49,590 | ||||||
SK Telecom Co. Ltd. | 3,400 | 71,060 | ||||||
SoftBank Group Corp. ADR | 1,800 | 59,454 | ||||||
Telefonica SA | 5,190 | 47,754 | ||||||
Telenor ASA ADR | 6,900 | 102,913 | ||||||
7.5% – Total For Telecommunication Services | $ | 1,062,810 |
Common Stocks | Shares | Fair Value | ||||||
Centrica PLC ADR | 7,000 | $ | 80,710 | |||||
Enel SpA ADR | 21,100 | 92,207 | ||||||
Enel Chile SA ADR | 7,400 | 33,670 | ||||||
Enel Americas SA ADR | 7,400 | 60,754 | ||||||
Iberdrola SA ADR | 3,578 | 93,851 | ||||||
Korea Electric Power Corp. | 7,800 | 144,144 | ||||||
National Grid PLC ADR | 2,800 | 163,324 | ||||||
SSE PLC ADR | 4,000 | 76,080 | ||||||
5.2% – Total For Utilities | $ | 744,740 | ||||||
Total Common Stocks 93.7% | $ | 13,286,916 | ||||||
(Identified Cost $12,023,958) | ||||||||
Real Estate Investment Trusts (REITs) | ||||||||
Sun Hung Kai Properties Ltd. ADR | 11,000 | 138,490 | ||||||
Total REITs 1.0% | $ | 138,490 | ||||||
(Identified Cost $143,141) | ||||||||
Cash Equivalents | ||||||||
First American Government Obligation Fund, Class Z** | 718,228 | 718,228 | ||||||
Total Cash Equivalents 5.1% | $ | 718,228 | ||||||
(Identified Cost $718,228) | ||||||||
Total Portfolio Value 99.8% | $ | 14,143,634 | ||||||
(Identified Cost $12,885,327) | ||||||||
Other Assets in Excess of Liabilities 0.2% | $ | 32,040 | ||||||
Total Net Assets 100.0% | $ | 14,175,674 |
* | Non-income producing security. |
** | Variable Rate Security; as of December 31, 2016, the 7 day annualized yield was 0.43%. |
ADR – American Depositary Receipt
PLC – Public Liability Company
The accompanying notes are an integral part of these financial statements.
16
Fixed Income Securities – Bonds | Face Value | Fair Value | ||||||
Corporate Bonds: | ||||||||
Ace INA Holdings Senior Unsecured Notes, 2.875% Due 11/03/2022 | 2,375,000 | $ | 2,394,432 | |||||
American Express Co. Subordinated Notes, 3.6250% Due 12/05/2024 | 3,000,000 | 3,012,435 | ||||||
AON PLC Senior Unsecured Notes, 3.500% Due 06/14/2024 | 580,000 | 581,771 | ||||||
AON PLC Senior Unsecured Notes, 4.000% Due 11/27/2023 | 3,285,000 | 3,408,342 | ||||||
BB&T Corp. Subordinated Notes, 3.950% Due 03/22/2022 | 2,294,000 | 2,403,188 | ||||||
BB&T Corp. Subordinated Notes, 5.250% Due 11/01/2019 | 2,117,000 | 2,287,234 | ||||||
Chubb INA Holdings Inc. Senior Unsecured Notes, 2.300% Due 11/03/2020 | 2,000,000 | 1,999,542 | ||||||
ERP Operating LP Senior Unsecured Notes, 5.750% Due 06/15/2017 | 1,270,000 | 1,294,883 | ||||||
ERP Operating LP Senior Unsecured Notes, 7.125% Due 10/15/2017 | 885,000 | 922,813 | ||||||
Fifth Third Bancorp Subordinated Notes, 4.300% Due 01/16/2024 | 4,490,000 | 4,611,948 | ||||||
Huntington Bancshares Senior Unsecured Notes, 3.150% Due 03/14/2021 | 4,280,000 | 4,340,344 | ||||||
JPMorgan Chase & Co. Subordinated Notes, 3.875% Due 09/10/2024 | 4,000,000 | 4,047,348 | ||||||
Key Bank NA Subordinated Notes, 4.625% Due 06/15/2018 | 746,000 | 766,589 | ||||||
Keycorp Senior Unsecured Notes, 5.100% Due 03/24/2021 | 3,800,000 | 4,155,429 | ||||||
Marsh & McLennan Companies Inc. Senior Unsecured Notes, 2.300% Due 04/01/2017 | 1,000,000 | 999,681 | ||||||
Marsh & McLennan Companies Inc. Senior Unsecured Notes, 4.800% Due 07/15/2021 | 3,155,000 | 3,429,441 | ||||||
Morgan Stanley Senior Unsecured Notes, 2.125% Due 04/25/2018 | 4,000,000 | 4,015,936 | ||||||
MUFG Americas Holdings Corp. Senior Unsecured Notes, 2.250% Due 02/10/2020 | 2,000,000 | 1,978,694 | ||||||
MUFG Americas Holdings Corp. Senior Unsecured Notes, 3.500% Due 06/18/2022 | 3,924,000 | 4,012,004 | ||||||
National City Corp. Subordinated Notes, 6.875% Due 05/15/2019 | 2,349,000 | 2,585,509 |
Fixed Income Securities – Bonds | Face Value | Fair Value | ||||||
PNC Funding Corp. Bank Guarantee Notes, 5.625% Due 02/01/2017 | 870,000 | $ | 872,632 | |||||
Prudential Financial Inc. Senior Unsecured Notes, 4.500% Due 11/15/2020 | 3,135,000 | 3,359,234 | ||||||
Prudential Financial Inc. Senior Unsecured Notes, 5.375% Due 06/21/2020 | 105,000 | 115,012 | ||||||
Suntrust Banks Inc. Senior Unsecured Notes, 2.900% Due 03/03/2021 | 3,000,000 | 3,042,375 | ||||||
US Bancorp Subordinated Notes, 3.600% Due 09/11/2024 | 4,980,000 | 5,074,979 | ||||||
Wells Fargo & Company Subordinated Notes, 5.606% Due 01/15/2044 | 4,500,000 | 5,098,684 | ||||||
23.4% – Total For Corporate Bonds: Bank and Finance | $ | 70,810,479 | ||||||
AT&T Inc. Senior Unsecured Notes, 3.000% Due 02/15/2022 | 407,000 | 403,027 | ||||||
AT&T Inc. Senior Unsecured Notes, 5.000% Due 03/01/2021 | 2,828,000 | 3,041,548 | ||||||
Becton Dickinson Senior Unsecured Notes, 3.125% Due 11/08/2021 | 3,775,000 | 3,870,239 | ||||||
Burlington Northern Santa Fe Senior Unsecured Notes, 3.450% Due 09/15/2021 | 2,780,000 | 2,903,324 | ||||||
Burlington Northern Santa Fe Senior Unsecured Notes, 3.600% Due 09/01/2020 | 865,000 | 905,966 | ||||||
Chevron Corp. Senior Unsecured Notes, 2.355% Due 12/05/2022 | 5,000,000 | 4,906,795 | ||||||
CR Bard Inc. Senior Unsecured Notes, 4.400% Due 01/15/2021 | 2,110,000 | 2,258,664 | ||||||
CVS Health Corp. Senior Unsecured Notes, 3.500% Due 07/20/2022 | 2,505,000 | 2,573,872 | ||||||
Eaton Corp. Senior Unsecured Notes, 2.750% Due 11/02/2022 | 3,166,000 | 3,135,714 | ||||||
General Electric Capital Corp. Senior Unsecured Floating Rate Notes, 1.680% Due 04/15/2020** | 3,898,000 | 3,958,345 | ||||||
General Electric Capital Corp. Senior Unsecured Floating Rate Notes, 1.963% Due 03/15/2023** | 1,435,000 | 1,453,689 | ||||||
Goodrich Corp. Senior Unsecured Notes, 4.875% Due 03/01/2020 | 1,025,000 | 1,099,352 | ||||||
Johnson Controls International PLC, 5.000% Due 03/30/2020 | 3,495,000 | 3,760,365 |
The accompanying notes are an integral part of these financial statements.
17
Fixed Income Securities – Bonds | Face Value | Fair Value | ||||||
Kroger Co. Senior Unsecured Notes, 3.400% Due 04/15/2022 | 1,600,000 | $ | 1,630,978 | |||||
Kroger Co. Senior Unsecured Notes, 7.000% Due 05/01/2018 | 1,500,000 | 1,601,070 | ||||||
McDonalds Corp. Senior Unsecured Notes, 6.300% Due 03/01/2038 | 3,500,000 | 4,361,669 | ||||||
Norfolk Southern Corp. Senior Unsecured Notes, 5.900% Due 06/15/2019 | 1,728,000 | 1,885,312 | ||||||
Union Pacific Corp. Senior Unsecured Notes, 7.875% Due 01/15/2019 | 500,000 | 557,849 | ||||||
United Technologies Junior Subordinated Notes, 1.778% Due 05/04/2018** | 6,000,000 | 6,001,308 | ||||||
Verizon Communications Senior Unsecured Notes, 4.672% Due 03/15/2055 | 4,392,000 | 4,124,571 | ||||||
18.0% – Total For Corporate Bonds: Industrial | $ | 54,433,657 | ||||||
Berkshire Hathaway Energy Co. Senior Unsecured Notes, 3.500% Due 02/01/2025 | 1,500,000 | 1,529,720 | ||||||
Berkshire Hathaway Energy Co. Senior Unsecured Notes, 3.750% Due 11/15/2023 | 1,159,000 | 1,211,972 | ||||||
Berkshire Hathaway Energy Co. Senior Unsecured Notes, 5.750% Due 04/01/2018 | 3,000,000 | 3,153,411 | ||||||
Duke Energy Corp. Senior Unsecured Notes, 3.550% Due 09/15/2021 | 3,965,000 | 4,104,326 | ||||||
Enterprise Products Senior Unsecured Notes, 3.350% Due 03/15/2023 | 910,000 | 921,244 | ||||||
Enterprise Products Senior Unsecured Notes, 4.050% Due 02/15/2022 | 2,395,000 | 2,524,768 | ||||||
Eversource Energy Senior Unsecured Notes, 1.450% Due 05/01/2018 | 625,000 | 622,944 | ||||||
Eversource Energy Senior Unsecured Notes, 4.500% Due 11/15/2019 | 2,941,000 | 3,121,660 | ||||||
Interstate Power & Light Senior Unsecured Notes, 3.250% Due 12/01/2024 | 725,000 | 726,904 | ||||||
National Rural Utilities Collateral Trust, 10.375% Due 11/01/2018 | 1,005,000 | 1,158,993 |
Fixed Income Securities – Bonds | Face Value | Fair Value | |||||||
Virginia Electric & Power Co. Senior Unsecured Notes, 5.000% Due 06/30/2019 | 498,000 | $ | 534,365 | ||||||
Williams Partners Senior Unsecured Notes, 4.875% Due 05/15/2023 | 4,000,000 | 4,074,672 | |||||||
Xcel Energy Inc. Senior Unsecured Notes, 4.700% Due 05/15/2020 | 2,636,000 | 2,803,381 | |||||||
8.7% – Total For Corporate Bonds: Utilities | $ | 26,488,360 | |||||||
50.1% Total Corporate Bonds | $ | 151,732,496 | |||||||
United States Government Treasury Obligations | |||||||||
Treasury Inflation Protected Security, 1.000% Due 02/15/2046 | 4,080,600 | 4,097,845 | |||||||
United States Treasury Bond, 2.500% Due 02/15/2045 | 14,300,000 | 12,737,611 | |||||||
United States Treasury Floating Rate Notes, 0.746% Due 04/30/2018** | 7,000,000 | 7,012,271 | |||||||
United States Treasury Floating Rate Notes, 0.730% Due 07/31/2018** | 4,000,000 | 4,003,492 | |||||||
United States Treasury Floating Rate Notes, 0.828% Due 01/31/2018** | 6,300,000 | 6,318,068 | |||||||
United States Treasury Notes, 2.500% Due 05/15/2046 | 5,200,000 | 4,621,094 | |||||||
United States Treasury Notes, 2.750% Due 08/15/2042 | 4,250,000 | 4,015,090 | |||||||
United States Treasury Notes, 2.750% Due 11/15/2042 | 10,000,000 | 9,444,920 | |||||||
United States Treasury Notes, 4.625% Due 02/15/2017 | 1,750,000 | 1,758,578 | |||||||
17.8% – Total For United States Government Treasury Obligations | $ | 54,008,969 | |||||||
United States Government Agency Obligations | |||||||||
FHLB Step-up Coupon Notes, 1.500% Due 12/28/2021** | 4,000,000 | 3,995,676 | |||||||
FHLMC Step-up Coupon Notes, 1.400% Due 05/25/2021** | 4,185,000 | 4,170,336 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 06/07/2021** | 7,950,000 | 7,944,165 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 06/21/2021** | 4,000,000 | 3,972,680 | |||||||
FHLMC Step-up Coupon Notes, 1.150% Due 07/12/2021** | 5,000,000 | 4,959,400 | |||||||
8.3% – Total For United States Government Agency Obligations | $ | 25,042,257 |
The accompanying notes are an integral part of these financial statements.
18
Fixed Income Securities – Bonds | Face Value | Fair Value | |||||||
United States Government Agency Obligations – Mortgage Backed Securities | |||||||||
FHLMC 10/1 Hybrid ARM, 3.268% Due 04/01/2042** | 2,777,119 | $ | 2,859,090 | ||||||
FHLMC CMO Series 2877 Class AL, 5.000% Due 10/15/2024 | 441,506 | 472,462 | |||||||
FHLMC CMO Series 2985 Class GE, 5.500% Due 06/15/2025 | 233,256 | 253,545 | |||||||
FHLMC CMO Series 3109 Class ZN, 5.500% Due 02/15/2036 | 2,336,699 | 2,631,250 | |||||||
FHLMC CMO Series 3499 Class PA, 4.500% Due 08/15/2036 | 17,403 | 17,418 | |||||||
FHLMC CMO Series 3946 Class LN, 3.500% Due 04/15/2041 | 577,171 | 600,776 | |||||||
FHLMC CMO Series 3969 Class MP, 4.500% Due 04/15/2039 | 256,497 | 258,856 | |||||||
FHLMC CMO Series 4017 Class MA, 3.000% Due 03/15/2041 | 1,132,242 | 1,148,924 | |||||||
FHLMC CMO Series 4287 Class AB, 2.000% Due 12/15/2026 | 2,106,912 | 2,091,116 | |||||||
FHLMC CMO Series 4517 Class PC, 2.500% Due 05/15/2044 | 3,948,090 | 3,955,581 | |||||||
FHLMC Gold Partner Certificate Pool C01005, 8.000% Due 06/01/2030 | 1,575 | 1,771 | |||||||
FHLMC Gold Partner Certificate Pool G06616, 4.500% Due 12/01/2035 | 774,055 | 834,055 | |||||||
FHLMC Gold Partner Certificate Pool G08068, 5.500% Due 07/01/2035 | 1,626,147 | 1,823,252 | |||||||
FHLMC Gold Partner Certificate Pool G13596, 4.000% Due 07/01/2024 | 1,674,669 | 1,765,856 | |||||||
FHLMC Partner Certificate Pool 780439, 2.723% Due 04/01/2033** | 109,372 | 115,596 | |||||||
FNMA CMO Series 2003-79 Class NJ, 5.000% Due 08/25/2023 | 955,117 | 1,018,276 | |||||||
FNMA CMO Series 2013-21 Class VA, 3.000% Due 07/25/2028 | 4,012,205 | 4,114,016 |
Fixed Income Securities – Bonds | Face Value | Fair Value | ||||||
FNMA CMO Series 2014-04 Class PC, 3.000% Due 02/25/2044 | 4,346,546 | $ | 4,452,157 | |||||
FNMA CMO Series 2014-28 Class PA, 3.500% Due 02/25/2043 | 590,357 | 616,746 | ||||||
FNMA CMO Series 2015-72 Class GB, 2.500% Due 12/25/2042 | 4,845,546 | 4,884,033 | ||||||
FNMA CMO Series 2016-39 Class LA, 2.500% Due 03/25/2045 | 1,425,152 | 1,430,095 | ||||||
FNMA CMO Series 2016-40 Class PA, 3.000% Due 07/25/2045 | 409,102 | 416,985 | ||||||
FNMA Partner Certificate Pool 253300, 7.500% Due 05/01/2020 | 553 | 560 | ||||||
FNMA Partner Certificate Pool 725027, 5.000% Due 11/01/2033 | 549,770 | 603,898 | ||||||
FNMA Partner Certificate Pool 725704, 6.000% Due 08/01/2034 | 210,768 | 242,129 | ||||||
FNMA Partner Certificate Pool 888223, 5.500% Due 01/01/2036 | 795,487 | 892,190 | ||||||
FNMA Partner Certificate Pool 889185, 5.000% Due 12/01/2019 | 68,313 | 70,258 | ||||||
FNMA Partner Certificate Pool 9309, 3.500% Due 10/01/2031 | 2,391,207 | 2,507,011 | ||||||
FNMA Partner Certificate Pool 995112, 5.500% Due 07/01/2036 | 537,713 | 602,405 | ||||||
FNMA Partner Certificate Pool AA4392, 4.000% Due 04/01/2039 | 1,617,596 | 1,707,420 | ||||||
FNMA Partner Certificate Pool MA0384, 5.000% Due 04/01/2030 | 1,560,696 | 1,702,918 | ||||||
GNMA CMO Series 2009-124 Class L, 4.000% Due 11/20/2038 | 245,577 | 252,939 | ||||||
GNMA II Pool 2658, 6.500% Due 10/20/2028 | 24,924 | 28,807 | ||||||
GNMA II Pool 2945, 7.500% Due 07/20/2030 | 4,438 | 5,020 | ||||||
GNMA II Pool 4187, 5.500% Due 07/20/2038 | 16,279 | 17,164 | ||||||
GNMA II Pool 4847, 4.000% Due 11/20/2025 | 442,819 | 460,531 | ||||||
GNMA Pool 780400, 7.000% Due 12/15/2025 | 3,052 | 3,517 | ||||||
GNMA Pool 780420, 7.500% Due 08/15/2026 | 1,776 | 2,041 |
The accompanying notes are an integral part of these financial statements.
19
Fixed Income Securities – Bonds | Face Value | Fair Value | |||||||
GNMA Pool 781397, 5.500% Due 02/15/2017 | 28 | $ | 28 | ||||||
14.8% – Total For Government Agency Obligations – Mortgage Backed Securities | $ | 44,860,692 | |||||||
Taxable Municipal Bonds | |||||||||
Cincinnati Children’s Hospital Medical Center, 2.853% Due 11/15/2026 | 1,085,000 | 1,029,048 | |||||||
Florida Atlantic University Capital Improvement Revenue – Build America Bonds, 6.249% Due 07/01/2020 | 1,000,000 | 1,120,420 | |||||||
Florida Atlantic University Capital Improvement Revenue – Build America Bonds, 7.439% Due 07/01/2030 | 2,125,000 | 2,439,521 | |||||||
Florida Atlantic University Capital Improvement Revenue – Build America Bonds, 7.589% Due 07/01/2037 | 2,500,000 | 2,832,075 | |||||||
Miami University Ohio General Receipts Revenue – Build America Bonds, 4.807% Due 09/01/2017 | 1,250,000 | 1,278,887 | |||||||
State of Kentucky Propery and Buildings Commission Revenue, 6.164% Due 08/01/2023 | 1,000,000 | 1,133,600 | |||||||
State of Ohio Major New Infrastructure Revenue – Build America Bonds, 4.844% Due 12/15/2019 | 2,450,000 | 2,641,002 | |||||||
University of Cincinnati Ohio General Receipts Revenue – Build America Bonds, 4.325% Due 06/01/2017 | 1,375,000 | 1,393,233 | |||||||
University of Cincinnati Ohio General Receipts Revenue – Build America Bonds, 5.616% Due 06/01/2025 | 930,000 | 1,024,758 | |||||||
University of Washington Revenue – Build America Bonds, 5.400% Due 06/01/2036 | 3,000,000 | 3,455,160 | |||||||
6.1% – Total For Taxable Municipal Bonds | $ | 18,347,704 | |||||||
Total Fixed Income Securities – Bonds 97.1% | $ | 293,992,118 | |||||||
(Identified Cost $290,911,166) |
Preferred Stocks | Shares | Fair Value | ||||||
Allstate Corp. Subordinated Debentures, 5.100% Due 01/15/2053 | 140,077 | $ | 3,525,738 | |||||
Total Preferred Stocks 1.1% | $ | 3,525,738 | ||||||
(Identified Cost $3,489,282) | ||||||||
Cash Equivalents | ||||||||
First American Government Obligation Fund, Class Z, 0.43%** | 1,820,707 | 1,820,707 | ||||||
Total Cash Equivalents 0.6% | $ | 1,820,707 | ||||||
(Identified Cost $1,820,707) | ||||||||
Total Portfolio Value 98.8% | $ | 299,338,563 | ||||||
(Identified Cost $296,221,155) | ||||||||
Other Assets in Excess of Liabilities 1.2% | $ | 3,772,138 | ||||||
Total Net Assets 100% | $ | 303,110,701 |
** | Variable Rate Security; the rate shown is as of December 31, 2016. |
ARM – Adjustable Rate Mortgage
CMO – Collateralized Mortgage Obligation
FDIC – Federal Deposit Insurance Corp.
FFCB – Federal Farm Credit Bank
FHLB – Federal Home Loan Bank
FHLMC – Federal Home Loan Mortgage Corp.
FNMA – Federal National Mortgage Association
GNMA – Government National Mortgage Association
The accompanying notes are an integral part of these financial statements.
20
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Akron Ohio GO Limited, 5.000% Due 12/01/2024 | 400,000 | $ | 469,128 | |||||
Cedar Park Texas GO Unlimited, 3.000% Due 02/15/2018 | 400,000 | 408,456 | ||||||
Chillicothe Ohio GO Limited Bond Anticipation Note, 2.000% Due 09/08/2017 | 600,000 | 602,838 | ||||||
Cincinnati Ohio GO Unlimited, 5.250% Due 12/01/2029 | 200,000 | 241,290 | ||||||
Fairborn Ohio GO Limited Bond Anticipation Note, 1.250% Due 03/23/2017 | 664,450 | 664,669 | ||||||
Gahanna Ohio GO Limited, 4.000% Due 12/01/2021 | 420,000 | 458,443 | ||||||
Green Ohio GO Unlimited Bond Anticipation Notes, 2.000% Due 06/09/2017 | 725,000 | 727,588 | ||||||
Groveport Ohio GO Limited (AMBAC Insured), 3.500% Due 12/01/2023 | 185,000 | 193,954 | ||||||
Hurst Texas GO Limited, 4.000% Due 08/15/2031 | 335,000 | 352,236 | ||||||
Lakewood Ohio GO Limited, 4.000% Due 12/01/2028 | 840,000 | 909,258 | ||||||
Lakewood Ohio GO Limited, 4.000% Due 12/01/2029 | 300,000 | 323,136 | ||||||
Licking County Ohio GO Limited Bond Anticipation Notes, 2.000% Due 05/24/2017 | 700,000 | 702,779 | ||||||
Mason Ohio GO Limited, 4.000% Due 12/01/2020* | 375,000 | 389,962 | ||||||
Medina Ohio GO Limited, 2.000% Due 12/01/2020 | 220,000 | 220,565 | ||||||
Newport Kentucky GO Unlimited, 3.000% Due 05/01/2023 | 205,000 | 212,905 | ||||||
Pembroke Pines Florida GO Unlimited, 5.000% Due 09/01/2024 | 200,000 | 238,010 | ||||||
Sandusky Ohio GO Limited, 3.000% Due 12/01/2017 | 300,000 | 305,202 | ||||||
Springboro Ohio GO Limited, 3.000% Due 12/01/2017 | 150,000 | 152,684 | ||||||
Strongsville Ohio GO Limited, 4.000% Due 12/01/2030 | 350,000 | 378,305 | ||||||
Tiffin Ohio GO Unlimited, 3.000% Due 12/01/2018 | 420,000 | 432,508 | ||||||
Tiffin Ohio GO Unlimited, 3.000% Due 12/01/2020 | 225,000 | 233,496 | ||||||
Westerville Ohio GO Limited (AMBAC Insured), 5.000% Due 12/01/2024* | 40,000 | 41,442 |
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Xenia Ohio GO Limited, 2.000% Due 12/01/2017 | 200,000 | $ | 201,670 | |||||
10.1% – Total For General Obligation – City | $ | 8,860,524 | ||||||
Butler County Ohio General Obligation Limited, 5.000% Due 12/01/2024 | 160,000 | 190,298 | ||||||
Franklin County Ohio GO Limited, 4.000% Due 12/01/2018 | 220,000 | 230,674 | ||||||
Greene County Ohio GO Limited (AMBAC Insured), 4.000% Due 12/01/2017 | 450,000 | 462,136 | ||||||
Hamilton County Ohio Various Purpose GO Limited, 4.000% Due 12/01/2018 | 160,000 | 168,197 | ||||||
Portage County Ohio GO Limited, 3.000% Due 12/01/2021 | 270,000 | 274,614 | ||||||
Riversouth Ohio Authority Revenue, 4.000% Due 12/01/2031 | 700,000 | 720,615 | ||||||
Rowan County Kentucky GO Unlimited (AGM Insured), 4.000% Due 06/01/2024 | 390,000 | 421,641 | ||||||
Summit County Ohio GO Limited, 4.000% Due 12/01/2023 | 300,000 | 333,198 | ||||||
3.2% – Total For General Obligation – County | $ | 2,801,373 | ||||||
Ohio GO Unlimited, 4.000% Due 05/01/2017 | 100,000 | 101,017 | ||||||
Ohio GO Unlimited, 5.000% Due 09/01/2022 | 400,000 | 463,392 | ||||||
Ohio GO Unlimited Common Schools – Series C, 4.250% Due 09/15/2022 | 845,000 | 945,859 | ||||||
Ohio Infrastructure Improvement GO Unlimited, 5.000% Due 08/01/2022 | 500,000 | 578,430 | ||||||
2.4% – Total For General Obligation – State | $ | 2,088,698 | ||||||
Arizona Board of Regents Revenue Arizona State University, 5.000% Due 08/01/2028 | 815,000 | 934,764 | ||||||
Arizona Board of Regents Revenue Arizona State University, 5.750% Due 07/01/2023* | 300,000 | 320,082 | ||||||
Arizona Board of Regents Revenue University of Arizona, 5.000% Due 06/01/2029 | 125,000 | 144,178 | ||||||
Cleveland State Ohio General Receipts Revenue, 4.000% Due 06/01/2017 | 150,000 | 151,791 |
The accompanying notes are an integral part of these financial statements.
21
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Colorado Board of Governors University Enterprise System Revenue, 5.000% Due 03/01/2027 | 225,000 | $ | 268,704 | |||||
Colorado Higher Education Lease Financing Program Certificate of Participation, 5.000% Due 11/01/2025 | 290,000 | 344,041 | ||||||
Florida State Board of Governors Florida State University Mandatory Student Fee Revenue Series A, 4.000% Due 07/01/2018 | 600,000 | 624,354 | ||||||
Kent State University Ohio General Receipt Revenue Series B (Assured Guaranty Insured), 5.000% Due 05/01/2017 | 935,000 | 947,230 | ||||||
Kent State University Ohio General Receipt Revenue, 4.000% Due 05/01/2022 | 255,000 | 276,458 | ||||||
Lake County Ohio Community College District GO Unlimited, 2.000% Due 12/01/2018 | 155,000 | 157,123 | ||||||
Lorain County Ohio Community College District General Receipts Revenue Bond, 3.000% Due 06/01/2020 | 190,000 | 196,287 | ||||||
Miami University Ohio General Receipts Revenue, 4.000% Due 09/01/2023 | 1,040,000 | 1,115,702 | ||||||
Miami University Ohio General Receipts Revenue, 5.000% Due 09/01/2020 | 100,000 | 111,195 | ||||||
Miami University Ohio Revenue (AMBAC Insured), 5.250% Due 09/01/2017 | 150,000 | 154,143 | ||||||
Miami University Ohio Revenue, 4.000% Due 09/01/2027 | 300,000 | 322,440 | ||||||
Northern Kentucky University General Receipts Revenue, 3.000% Due 09/01/2021 | 210,000 | 218,528 | ||||||
Ohio Higher Education Facilities Revenue – University of Dayton, 5.500% Due 12/01/2024 | 250,000 | 268,370 | ||||||
Ohio Higher Education Facilities Revenue – Xavier University, 4.500% Due 05/01/2036 | 1,000,000 | 1,030,680 | ||||||
Ohio Higher Education Facilities Revenue Case Western Reserve – Series C, 5.000% Due 12/01/2020* | 155,000 | 160,516 | ||||||
Ohio Higher Educational Facilities Revenue – University of Dayton, 3.000% Due 12/01/2018 | 125,000 | 128,723 |
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Ohio Higher Educational Facilities Revenue – University of Dayton, 4.000% Due 12/01/2017 | 165,000 | $ | 169,193 | |||||
Ohio Higher Educational Facilities Revenue – University of Dayton, 5.000% Due 12/01/2018 | 155,000 | 165,424 | ||||||
Ohio State University General Receipts Revenue, 4.000% Due 06/01/2030 | 200,000 | 214,584 | ||||||
Ohio University General Receipts Revenue Bond, 5.000% Due 12/01/2019 | 135,000 | 146,773 | ||||||
Ohio University General Receipts Revenue Bond, 5.000% Due 12/01/2022 | 110,000 | 125,984 | ||||||
Purdue Indiana University Certificates of Participation, 5.250% Due 07/01/2017 | 300,000 | 306,261 | ||||||
South Dakota Board of Regents Housing and Auxiliary Facilities System Revenue, 5.000% Due 04/01/2026 | 315,000 | 369,378 | ||||||
University of Akron Ohio General Receipts Revenue (AGM Insured), 5.000% Due 01/01/2022 | 350,000 | 380,317 | ||||||
University of Akron Ohio General Receipts Revenue, 5.000% Due 01/01/2028 | 410,000 | 467,863 | ||||||
University of Akron Ohio General Receipts Revenue, 5.000% Due 01/01/2029 | 650,000 | 737,106 | ||||||
University of Akron Ohio General Receipts Revenue, 5.000% Due 01/01/2029 | 335,000 | 383,716 | ||||||
University of Akron Ohio Revenue, 5.000% Due 01/01/2027 | 350,000 | 404,929 | ||||||
University of Cincinnati General Receipts Revenue Series G, 5.000% Due 06/01/2017 | 280,000 | 284,589 | ||||||
University of Cincinnati General Receipts Revenue, 4.000% Due 06/01/2036 | 250,000 | 259,077 | ||||||
University of Cincinnati General Receipts Revenue, 5.000% Due 06/01/2020 | 300,000 | 332,199 | ||||||
University of Cincinnati General Receipts Revenue, 5.000% Due 06/01/2020* | 250,000 | 258,897 | ||||||
University of Cincinnati General Receipts Revenue, 5.000% Due 06/01/2026 | 470,000 | 532,270 |
The accompanying notes are an integral part of these financial statements.
22
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
University of Cincinnati Ohio Receipts Revenue (Assured Guaranty Insured), 5.000% Due 06/01/2019 | 300,000 | $ | 324,417 | |||||
University of Toledo General Receipts Revenue, 5.000% Due 06/01/2017 | 205,000 | 208,081 | ||||||
University of Toledo Revenue, 5.000% Due 06/01/2021 | 300,000 | 336,960 | ||||||
University of Toledo Revenue, 5.000% Due 06/01/2026 | 885,000 | 1,005,652 | ||||||
17.4% – Total For Higher Education | $ | 15,288,979 | ||||||
Allegheny County Pennsylvania Hospital Development Authority Revenue – University of Pittsburgh Medical Center, 5.000% Due 09/01/2017 | 125,000 | 128,199 | ||||||
Allegheny County Pennsylvania Hospital Development Authority Revenue – University of Pittsburgh Medical Center, 5.000% Due 10/15/2024 | 100,000 | 111,859 | ||||||
Allegheny County Pennsylvania Hospital Development Authority Revenue – University of Pittsburgh Medical Center, 6.000% Due 07/01/2027 | 250,000 | 316,548 | ||||||
Franklin County Ohio Hospital Revenue Nationwide Childrens – Series A, 4.500% Due 11/01/2021* | 335,000 | 354,423 | ||||||
Franklin County Ohio Hospital Revenue Nationwide Childrens, 4.000% Due 11/01/2036 | 800,000 | 808,744 | ||||||
Hamilton County Ohio Health Care Facilities Revenue – The Christ Hospital Obligated Group, 5.250% Due 06/01/2027 | 420,000 | 475,327 | ||||||
Hamilton County Ohio Health Care Facilities Revenue – The Christ Hospital, 5.250% Due 06/01/2025 | 950,000 | 1,078,221 | ||||||
Hamilton County Ohio Hospital Facilities Revenue Cincinnati Children’s Hospital, 5.000% Due 05/15/2027 | 100,000 | 115,619 | ||||||
Kentucky Economic Development Finance Authority Hospital Facilities Revenue – St. Elizabeth Medical Center, 5.000% Due 05/01/2024 | 500,000 | 540,740 |
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Monroeville Pennsylvania Finance Authority Revenue – University of Pittsburgh Medical Center, 5.000% Due 02/15/2027 | 300,000 | $ | 358,344 | |||||
Nashville and Davidson County Tennessee Vanderbilt University Medical Center, 5.000% Due 07/01/2031 | 430,000 | 480,224 | ||||||
Ohio Hospital Facilities Revenue – Cleveland Clinic, 5.000% Due 01/01/2018 | 100,000 | 103,815 | ||||||
Ohio Hospital Facilities Revenue – Cleveland Clinic, 5.000% Due 01/01/2020 | 170,000 | 186,125 | ||||||
Ohio Hospital Facilities Revenue – Cleveland Clinic, 5.000% Due 01/01/2025 | 430,000 | 457,894 | ||||||
Pennsylvania Economic Development Financeing Authority – University of Pittsburgh Medical Center Revenue, 5.000% Due 02/01/2029 | 250,000 | 284,545 | ||||||
Pennsylvania Economic Development Financing Authority – University of Pittsburgh Medical Center Revenue, 5.000% Due 02/01/2025 | 450,000 | 524,129 | ||||||
Pennsylvania State Higher Education Facility Bond – University of Pennsylvania Health System, 5.250% Due 08/15/2026* | 500,000 | 575,990 | ||||||
7.8% – Total For Hospital/Health Bonds | $ | 6,900,746 | ||||||
Franklin County Ohio Convention Facilities Authority Revenue, 5.000% Due 12/01/2022 | 500,000 | 575,930 | ||||||
Hopkins County Kentucky Public Properties Corp. Judicial Center Project First Mortgage Revenue, 3.000% Due 06/01/2019 | 300,000 | 308,793 | ||||||
Kentucky Association of Counties Financing Corp. Revenue, 4.250% Due 02/01/2023 | 200,000 | 215,366 | ||||||
Mason Ohio Certificate of Participation – Community Center Project, 3.625% Due 12/01/2018 | 150,000 | 156,051 | ||||||
Mason Ohio Certificate of Participation, 5.000% Due 12/01/2023 | 750,000 | 835,905 | ||||||
Newport Kentucky First Mortgage Court Facilities Project Revenue, 4.000% Due 10/01/2025 | 500,000 | 520,395 |
The accompanying notes are an integral part of these financial statements.
23
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Newport Kentucky First Mortgage Court Facilities Project Revenue, 4.000% Due 10/01/2026 | 100,000 | $ | 103,675 | |||||
Ohio Capital Facilities Lease Appropriation – Parks & Recreational Improvement Revenue, 1.500% Due 08/01/2018 | 100,000 | 100,372 | ||||||
Ohio Capital Facilities Lease Appropriation Revenue, 4.000% Due 04/01/2026 | 150,000 | 159,240 | ||||||
Ohio Capital Facilities Lease Appropriation Revenue, 5.000% Due 04/01/2024 | 275,000 | 306,699 | ||||||
3.7% – Total For Revenue Bonds – Facility | $ | 3,282,426 | ||||||
Akron Ohio Sewer System Revenue (AMBAC Insured), 5.000% Due 12/01/2017 | 400,000 | 411,844 | ||||||
Anderson Indiana Sewage Works Revenue (AGM Insured), 4.000% Due 11/01/2026 | 300,000 | 328,290 | ||||||
Butler County Ohio Water and Sewer GO Limited, 3.500% Due 12/01/2017 | 400,000 | 408,988 | ||||||
Central Ohio Solid Waste Authority GO Limited, 5.000% Due 12/01/2023 | 120,000 | 138,616 | ||||||
Central Ohio Solid Waste Authority GO Limited, 5.000% Due 12/01/2023* | 10,000 | 11,574 | ||||||
Clermont County Ohio Sewer System Revenue, 2.000% Due 08/01/2018 | 300,000 | 303,537 | ||||||
Evansville Indiana Waterworks District Revenue (BAM Insured), 4.000% Due 01/01/2029 | 400,000 | 421,916 | ||||||
Evansville Indiana Waterworks District Revenue (BAM Insured), 5.000% Due 01/01/2022 | 300,000 | 336,468 | ||||||
Lafayette Indiana Sewage Works Revenue, 5.000% Due 07/01/2022 | 150,000 | 170,937 | ||||||
Lima Ohio Sanitary Sewer Revenue, 5.000% Due 12/01/2024 | 200,000 | 227,996 | ||||||
Mt. Vernon Ohio Waterworks Revenue, 3.750% Due 12/01/2018 | 225,000 | 234,862 | ||||||
Ohio Water Development Authority Revenue, 5.000% Due 12/01/2022 | 275,000 | 321,233 | ||||||
Springboro Ohio Sewer System Revenue, 4.000% Due 06/01/2022 | 245,000 | 266,183 |
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
St. Charles County Missouri Public Water Supply Dist. 2 Certificates of Participation, 4.000% Due 12/01/2031 | 400,000 | $ | 413,628 | |||||
Toledo Ohio Water System Revenue, 5.000% Due 11/15/2025 | 255,000 | 301,558 | ||||||
Toledo Ohio Waterworks Revenue, 4.000% Due 11/15/2022 | 365,000 | 399,252 | ||||||
Toledo Ohio Waterworks Revenue, 5.000% Due 11/15/2026 | 500,000 | 601,845 | ||||||
Washington County Oregon Clean Water Services Sewer Revenue Senior Lien Series A, 5.250% Due 10/01/2025* | 290,000 | 319,397 | ||||||
6.4% – Total For Revenue Bonds – Water & Sewer | $ | 5,618,124 | ||||||
Akron Ohio Income Tax Revenue Bond Anticipation Notes, 2.500% Due 12/13/2017 | 500,000 | 505,120 | ||||||
Akron Ohio Income Tax Revenue Commnuity Learning Centers, 5.000% Due 12/01/2028 | 380,000 | 433,109 | ||||||
Aurora Colorado Certificates of Participation, 3.500% Due 12/01/2018 | 280,000 | 290,909 | ||||||
Cincinnati Ohio Economic Development Revenue (Baldwin 300 Project), 4.750% Due 11/01/2030 | 500,000 | 561,590 | ||||||
Cincinnati Ohio Economic Development Revenue (Baldwin 300 Project), 5.000% Due 11/01/2032 | 390,000 | 443,485 | ||||||
Cincinnati Ohio Economic Development Revenue U-Square-the-Loop Project, 3.500% Due 11/01/2024 | 110,000 | 114,002 | ||||||
Cincinnati Ohio Economic Development Revenue, 4.200% Due 11/01/2019 | 150,000 | 157,890 | ||||||
Clermont County Ohio Transportation District Roadway Improvement Revenue Bond, 2.000% Due 12/01/2017 | 240,000 | 242,093 | ||||||
Escambia County Florida Pollution Control Revenue (Gulf Power Company), 2.100% Due 07/01/2022 | 170,000 | 169,028 | ||||||
Escambia County Florida Solid Waste Disposal Revenue (Gulf Power Company), 1.400% Due 04/01/2039 | 555,000 | 555,000 |
The accompanying notes are an integral part of these financial statements.
24
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Florida Board of Education Lottery Revenue, 4.000% Due 07/01/2022 | 105,000 | $ | 111,787 | |||||
Hamilton County Ohio Economic Development King Highland Community Urban Redevelopment Corp. Revenue, 5.000% Due 06/01/2030 | 655,000 | 747,493 | ||||||
Humboldt County Nevada Polution Control Revenue (Sierra Pacific Power Co.), 1.250% Due 10/01/2029 | 300,000 | 294,312 | ||||||
Louisa Virginia Industrial Development Authority (Virginia Electric & Power Co.), 1.850% Due 11/01/2035 | 550,000 | 548,350 | ||||||
Louisa Virginia Industrial Development Authority (Virginia Electric & Power Co.), 2.150% Due 11/01/2035 | 650,000 | 649,766 | ||||||
Mobile Alabama Industrial Development Board Pollution Control Revenue, 1.625% Due 07/15/2034 | 400,000 | 399,896 | ||||||
Montgomery County Ohio Transportation Improvement Special Obligation Revenue, 3.000% Due 12/01/2017 | 200,000 | 201,694 | ||||||
Montgomery County Ohio Transportation Improvement Special Obligation Revenue, 3.500% Due 12/01/2019 | 400,000 | 403,628 | ||||||
Ohio Cultural and Sports Facilities Project Revenue, 4.000% Due 10/01/2019 | 225,000 | 239,535 | ||||||
Ohio Major New Infrastructure Revenue, 5.500% Due 06/15/2020* | 600,000 | 637,008 | ||||||
Ohio Major New State Infrastructure Project Revenue, 5.000% Due 12/15/2022 | 250,000 | 287,530 | ||||||
Ohio Major New State Infrastructure Project Revenue, 5.000% Due 12/15/2023 | 500,000 | 587,935 | ||||||
Ohio Major New State Infrastructure Project Revenue, 5.000% Due 12/15/2026 | 500,000 | 601,770 | ||||||
Ohio Major New State Infrastructure Project Revenue, 6.000% Due 06/15/2017 | 300,000 | 306,795 | ||||||
Ohio Transportation Project Revenue, 2.000% Due 05/15/2018 | 155,000 | 156,837 |
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Ohio Turnpike and Infrastructure Commission (National Re Insured), 5.500% Due 02/15/2019 | 390,000 | $ | 423,739 | |||||
11.5% – Total For Other Revenue Bonds | $ | 10,070,301 | ||||||
Bellbrook-Sugarcreek LSD GO Unlimited, 4.000% Due 12/01/2031 | 325,000 | 344,744 | ||||||
Boone County Kentucky SD Finance Corporation Revenue, 2.500% Due 05/01/2019 | 500,000 | 508,490 | ||||||
Breckinridge County Kentucky SD Finance Corp., 5.000% Due 04/01/2025 | 265,000 | 308,677 | ||||||
Brookville Ohio LSD GO Limited (FSA Insured), 4.000% Due 12/01/2019 | 120,000 | 122,588 | ||||||
Bullitt County Kentucky SD Finance Corp. School Building Revenue Bond, 2.500% Due 07/01/2018 | 315,000 | 319,479 | ||||||
Chillicothe Ohio CSD Special Obligation Revenue, 4.000% Due 12/01/2023 | 130,000 | 140,568 | ||||||
Chillicothe Ohio SD GO Unlimited (AGM Insured), 4.000% Due 12/01/2029 | 400,000 | 426,508 | ||||||
Clark County Kentucky SD Finance Corp. Revenue Bond, 3.000% Due 08/01/2022 | 115,000 | 119,125 | ||||||
Columbus Ohio CSD GO Unlimited, 4.000% Due 12/01/2029 | 400,000 | 428,492 | ||||||
Columbus Ohio CSD School Facilities Construction and Improvement GO, 4.000% Due 12/01/2023 | 175,000 | 185,552 | ||||||
Danville Indiana School Building Corp. First Mortgage Revenue, 4.000% Due 07/15/2017 | 225,000 | 228,568 | ||||||
Dublin Ohio CSD GO Unlimited, 5.000% Due 12/01/2026 | 500,000 | 578,355 | ||||||
Fairfield Ohio CSD GO Unlimited, 5.000% Due 12/01/2020 | 420,000 | 465,599 | ||||||
Fairlawn Ohio LSD GO Unlimited (School District Credit Program), 3.000% Due 12/01/2018 | 170,000 | 175,681 | ||||||
Fort Mill South Carolina School Facilities Corp. Installment Purchase Revenue, 5.000% Due 12/01/2024 | 300,000 | 349,281 |
The accompanying notes are an integral part of these financial statements.
25
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Franklin Indiana Community Multi-School Building Corp., 5.000% Due 01/15/2023 | 200,000 | $ | 229,746 | |||||
Green County Kentucky SD Finance Corp. School Building Revenue (State Seek Insured), 2.750% Due 04/01/2017 | 370,000 | 371,402 | ||||||
Greenville Ohio CSD GO Unlimited (SD Credit Program Insured), 4.000% Due 01/01/2021 | 110,000 | 117,609 | ||||||
Hamilton Ohio CSD GO Unlimited (School District Credit Program), 5.000% Due 12/01/2019 | 300,000 | 327,054 | ||||||
Hardin County Kentucky SD Finance Corp. Revenue, 2.500% Due 06/01/2021 | 100,000 | 101,547 | ||||||
Hardin County Kentucky SD Finance Corp. Revenue, 5.000% Due 05/01/2024 | 500,000 | 579,520 | ||||||
Harper Creek Michigan CSD GO Unlimited, 4.000% Due 05/01/2017 | 220,000 | 221,956 | ||||||
Harrison Hills Ohio CSD GO Unlimited (School District Credit Program), 4.000% Due 11/01/2017 | 215,000 | 220,070 | ||||||
Hillsborough County Florida School Board Certificates of Participation, 5.000% Due 07/01/2025 | 200,000 | 234,192 | ||||||
Jackson Milton Ohio LSD Cercificates of Participation (BAM Insured), 2.000% Due 06/01/2019 | 200,000 | 201,030 | ||||||
Jackson Milton Ohio LSD Cercificates of Participation (BAM Insured), 4.000% Due 06/01/2031 | 270,000 | 278,956 | ||||||
Johnstown-Monroe Ohio LSD GO Unlimited, 4.000% Due 12/01/2029 | 800,000 | 860,984 | ||||||
Keller Texas ISD GO Unlimited, 4.500% Due 02/15/2020 | 5,000 | 5,316 | ||||||
Kenston Ohio LSD Improvement GO Unlimited, 5.000% Due 12/01/2019 | 150,000 | 164,421 | ||||||
Kenton County Kentucky SD Finance Corp. Revenue, 4.000% Due 02/01/2028 | 400,000 | 427,292 | ||||||
Kenton County Kentucky SD Finance Corp. School Building Revenue, 4.500% Due 02/01/2025 | 300,000 | 319,245 |
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Kettering Ohio CSD GO Unlimited, 4.000% Due 12/01/2020 | 240,000 | $ | 258,977 | |||||
Kettering Ohio CSD GO Unlimited, 4.000% Due 12/01/2030 | 400,000 | 426,216 | ||||||
Kettering Ohio CSD GO Unlimited, 4.750% Due 12/01/2018 | 250,000 | 253,845 | ||||||
Lake County Ohio GO Limited Bond Anticipation Notes, 1.000% Due 3/22/2017 | 1,000,000 | 1,000,310 | ||||||
Lake Ohio LSD of Stark County GO Unlimited, 4.000% Due 12/01/2023 | 400,000 | 436,648 | ||||||
Lakota Ohio LSD GO Unlimited, 4.000% Due 12/01/2027 | 125,000 | 136,962 | ||||||
Lakota Ohio LSD GO Unlimited, 5.000% Due 12/01/2021 | 350,000 | 397,946 | ||||||
Lakota Ohio LSD GO, 5.250% Due 12/01/2025 | 205,000 | 247,209 | ||||||
Licking Valley Ohio LSD GO Unlimited, 2.000% Due 12/01/2017 | 200,000 | 201,798 | ||||||
Louisville Ohio CSD GO Unlimited (SDCP), 3.000% Due 12/01/2020 | 370,000 | 384,963 | ||||||
Mahoning County Ohio Career and Technical Center Board of Education Certificates of Participation, 3.500% Due 12/01/2018 | 100,000 | 101,709 | ||||||
Mansfield Texas ISD GO Unlimited, 1.750% Due 08/1/2042 | 400,000 | 401,020 | ||||||
Mariemont Ohio CSD School Facilities Project Certificate of Participation, 1.500% Due 12/01/2017 | 60,000 | 60,253 | ||||||
Marysville Michigan PSD GO Unlimited, 5.000% Due 05/01/2021 | 250,000 | 279,250 | ||||||
Marysville Ohio Exempted Village SD GO Unlimited, 4.000% Due 12/01/2023 | 165,000 | 182,711 | ||||||
Miamisburg Ohio CSD Certificates of Participation, 2.000% Due 12/01/2018 | 160,000 | 162,192 | ||||||
Milford Ohio Exempt Village SD GO Unlimited (AGM Insured), 5.500% Due 12/01/2030 | 950,000 | 1,173,240 |
The accompanying notes are an integral part of these financial statements.
26
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Mt. Healthy Ohio CSD GO Unlimited (School District Credit Program), 5.000% Due 12/01/2018 | 250,000 | $ | 267,007 | |||||
Newark Ohio CSD GO Unlimited, (School District Credit Program), 4.000% Due 12/01/2026 | 235,000 | 257,489 | ||||||
Northwest Ohio LSD Hamilton & Butler Counties Certificates of Participation, 2.500% Due 12/01/2019 | 150,000 | 152,020 | ||||||
Northwest Ohio LSD Hamilton & Butler Counties GO Unlimited, 5.000% Due 12/01/2028 | 100,000 | 116,314 | ||||||
Northwest Ohio LSD Hamilton & Butler Counties GO Unlimited, 5.000% Due 12/01/2029 | 150,000 | 173,748 | ||||||
Parchment Michigan SD GO Unlimited, 4.000% Due 05/01/2018 | 275,000 | 284,001 | ||||||
Princeton Ohio CSD Certificates of Participation, 3.500% Due 12/01/2026 | 275,000 | 280,594 | ||||||
Reynoldsburg Ohio CSD GO, 4.375% Due 12/01/2018 | 200,000 | 209,022 | ||||||
Reynoldsburg Ohio CSD GO, 5.000% Due 12/01/2020* | 200,000 | 210,760 | ||||||
Scott County Kentucky SD Finance Corp. Revenue Bond, 2.500% Due 02/01/2018 | 100,000 | 101,155 | ||||||
South Range Ohio LSD GO Unlimited, 2.000% Due 12/01/2018 | 125,000 | 126,358 | ||||||
Springboro Ohio CSD GO (AGM Insured), 5.250% Due 12/01/2018 | 310,000 | 333,151 | ||||||
Switzerland Ohio LSD GO Unlimited (SDCEP Insured), 4.000% Due 12/01/2026 | 415,000 | 444,009 | ||||||
Toledo Ohio CSD GO Unlimited, 5.000% Due 12/01/2029 | 660,000 | 765,831 | ||||||
Trotwood-Madison Ohio CSD GO Unlimited, 4.000% Due 12/01/2028 | 210,000 | 227,315 | ||||||
Vermillion Ohio LSD Certificates of Participation, 5.000% Due 12/01/2023 | 230,000 | 255,429 | ||||||
Wadsworth Ohio CSD GO Unlimited, 3.000% Due 12/01/2017 | 210,000 | 212,858 | ||||||
Wadsworth Ohio CSD GO Unlimited, 3.500% Due 12/01/2022 | 215,000 | 225,563 |
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Washington County Kentucky SD Finance Corp. Revenue Bond, 3.000% Due 08/01/2019 | 185,000 | $ | 191,027 | |||||
Wayne Trace Ohio LSD GO (SDCEP Insured), 3.000% Due 12/01/2020 | 320,000 | 322,739 | ||||||
Wentzville R-IV SD of Saint Charles County Missouri Certificates of Participation, 2.000% Due 04/01/2017 | 175,000 | 175,478 | ||||||
Wentzville R-IV SD of Saint Charles County Missouri Certificates of Participation, 4.000% Due 04/01/2030 | 395,000 | 417,124 | ||||||
West Clermont Ohio LSD GO Unlimited (School District Credit Program), 4.000% Due 12/01/2017 | 300,000 | 307,734 | ||||||
Western Reserve Ohio LSD GO (SDCEP Insured), 4.000% Due 12/01/2022 | 240,000 | 256,870 | ||||||
Wyoming Ohio CSD GO Unlimited, 5.000% Due 12/01/2023 | 200,000 | 233,598 | ||||||
Wyoming Ohio CSD GO Unlimited, 5.750% Due 12/01/2017 | 460,000 | 479,642 | ||||||
Wyoming Ohio CSD School Improvement GO Unlimited, 3.000% Due 12/01/2018 | 160,000 | 165,286 | ||||||
Zanesville Ohio CSD GO Unlimited (SDCEP Insured), 4.500% Due 12/01/2019 | 200,000 | 214,804 | ||||||
26.1% – Total For School District | $ | 22,874,222 | ||||||
Kentucky Asset and Liability Commission Revenue, 5.250% Due 09/1/2023 | 965,000 | 1,126,753 | ||||||
Kentucky Property and Buildings Commission Revenue, 5.000% Due 08/01/2030 | 600,000 | 676,560 | ||||||
Kentucky Property and Buildings Commission Revenue, 5.000% Due 08/01/2029 | 600,000 | 679,914 | ||||||
Kentucky Property and Buildings Commission Revenue, 5.000% Due 10/01/2023 | 350,000 | 399,280 | ||||||
Ohio Building Authority (FGIC Insured), 5.000% Due 10/01/2017 | 420,000 | 432,424 | ||||||
Ohio Building Authority Revenue, 5.000% Due 10/01/2020 | 215,000 | 234,993 |
The accompanying notes are an integral part of these financial statements.
27
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Ohio Building Authority State Facilities Administrative Building Fund Project B, 5.250% Due 10/01/2017 | 180,000 | $ | 185,656 | |||||
Ohio Department of Administration Certificate of Participation – Multi-Agency Radio Communication Project, 4.000% Due 09/01/2027 | 145,000 | 154,876 | ||||||
Ohio Department of Administration Certificate of Participation – Multi-Agency Radio Communication Project, 5.000% Due 09/01/2020 | 350,000 | 389,970 | ||||||
Ohio Department of Administration Certificate of Participation, 5.000% Due 03/01/2024 | 300,000 | 341,034 | ||||||
Ohio Department of Administration Certificate of Participation, 5.000% Due 09/01/2018 | 435,000 | 460,530 | ||||||
Ohio Department of Administration Certificates of Participation, 5.000% Due 03/01/2017 | 200,000 | 201,266 | ||||||
Ohio Department of Administration Certificates of Participation, 5.000% Due 09/01/2018 | 250,000 | 264,673 | ||||||
6.3% – Total For State Agency | $ | 5,547,929 | ||||||
Missouri State Housing Development Commission Single Family Mortgage Revenue (GNMA/FNMA/FHLMC Insured), 3.550% Due 05/01/2023 | 255,000 | 262,466 | ||||||
Missouri State Housing Development Commission Single Family Mortgage Revenue Series C (GNMA/FNMA/FHLMC Insured), 4.650% Due 09/01/2024 | 45,000 | 46,042 | ||||||
Ohio Housing Finance Agency Residential Mortgage Revenue 2009 Series A, 5.550% Due 09/01/2028 | 140,000 | 143,503 | ||||||
Ohio Housing Finance Agency Residential Mortgage Revenue Series F (FNMA/GNMA/FHLMC Insured), 4.500% Due 09/01/2024 | 205,000 | 210,861 |
Municipal Income Securities – Bonds | Face Value | Fair Value | ||||||
Ohio Housing Finance Agency Revenue, 5.900% Due 09/01/2023 | 105,000 | $ | 107,560 | |||||
0.9% – Total For Housing | $ | 770,432 | ||||||
Total Municipal Income Securities – Bonds 95.8% | $ | 84,103,754 | ||||||
(Identified Cost $83,245,132) | ||||||||
Cash Equivalents | Shares | |||||||
Dreyfus AMT-Free Tax Cash Management Fund** | 2,604,639 | 2,604,639 | ||||||
Total Cash Equivalents 3.0% | $ | 2,604,639 | ||||||
(Identified Cost $2,604,639) | ||||||||
Total Portfolio Value 98.8% | $ | 86,708,393 | ||||||
(Identified Cost $85,849,771) | ||||||||
Other Assets in Excess of Liabilities 1.2% | $ | 1,043,871 | ||||||
Total Net Assets 100.0% | $ | 87,752,264 |
* | Pre-refunded/Escrowed-to-Maturity Bonds; as of December 31, 2016, these bonds represented 3.74% of total assets. |
** | Variable Rate Security; as of December 31, 2016, the 7 day annualized yield was 0.47%. |
AGM – Assured Guaranty Municipal Mortgage Association
AMBAC – American Municipal Bond Assurance Corp.
BAM – Build America Mutual
CSD – City School District
FGIC – Financial Guaranty Insurance Co.
FHLMC – Federal Home Loan Mortgage Corp.
FNMA – Federal National Mortgage Association
FSA – Financial Security Assurance
GNMA – Government National Mortgage Association
GO – General Obligation
LSD – Local School District
MBIA – Municipal Bond Insurance Association
PSD – Public School District
SD – School District
SDCP – Ohio School District Credit Program
SDCEP – Ohio School District Credit Enhancement Program
The accompanying notes are an integral part of these financial statements.
28
Statements of Assets and Liabilities
Equity Income Fund | Growth Fund | Opportunity Fund | ||||||||||
Assets: | ||||||||||||
Investment Securities at Fair Value* | $ | 149,911,110 | $ | 44,508,545 | $ | 41,531,603 | ||||||
Dividends and Interest Receivable | 171,193 | 59,531 | 41,801 | |||||||||
Fund Shares Sold Receivable | 102,816 | 21,824 | 5,273 | |||||||||
Total Assets | $ | 150,185,119 | $ | 44,589,900 | $ | 41,578,677 | ||||||
Liabilities: | ||||||||||||
Accrued Management Fees | $ | 127,636 | $ | 38,459 | $ | 35,113 | ||||||
Fund Shares Redeemed Payable | 38,294 | 23,285 | 20,557 | |||||||||
Total Liabilities | $ | 165,930 | $ | 61,744 | $ | 55,670 | ||||||
Net Assets | $ | 150,019,189 | $ | 44,528,156 | $ | 41,523,007 | ||||||
Net Assets Consist of: | ||||||||||||
Paid in Capital | $ | 126,351,892 | $ | 34,634,658 | $ | 31,472,849 | ||||||
Accumulated Undistributed Net Investment Income (Loss) | — | — | — | |||||||||
Accumulated Net Realized Gain (Loss) from Security Transactions | 784,178 | (27,169 | ) | — | ||||||||
Net Unrealized Gain on Investments | 22,883,119 | 9,920,667 | 10,050,158 | |||||||||
Net Assets | $ | 150,019,189 | $ | 44,528,156 | $ | 41,523,007 | ||||||
Shares Outstanding (Unlimited Amount Authorized) | 6,921,657 | 1,549,071 | 1,024,290 | |||||||||
Offering, Redemption and Net Asset Value Per Share | $ | 21.67 | $ | 28.75 | $ | 40.54 | ||||||
*Identified Cost of Investment Securities | $ | 127,027,991 | $ | 34,587,878 | $ | 31,481,445 |
The accompanying notes are an integral part of these financial statements.
29
Statements of Assets and Liabilities – Continued
Realty Fund | International Fund | Fixed Income Fund | Municipal Income Fund | |||||||||||||
Assets: | ||||||||||||||||
Investment Securities at Fair Value* | $ | 10,582,322 | $ | 14,143,634 | $ | 299,338,563 | $ | 86,708,393 | ||||||||
Cash | — | 1,822 | 417,049 | — | ||||||||||||
Dividends and Interest Receivable | 48,452 | 37,303 | 2,313,199 | 674,576 | ||||||||||||
Receivable for CMO Paydowns | — | — | 69,739 | — | ||||||||||||
Fund Shares Sold Receivable | — | 14,419 | 1,224,998 | 417,000 | ||||||||||||
Total Assets | $ | 10,630,774 | $ | 14,197,178 | $ | 303,363,548 | $ | 87,799,969 | ||||||||
Liabilities: | ||||||||||||||||
Accrued Management Fees | $ | 8,870 | $ | 11,891 | $ | 214,534 | $ | 47,118 | ||||||||
Securities Purchased Payable | — | — | 4,078 | — | ||||||||||||
Fund Shares Redeemed Payable | — | 9,613 | 34,235 | 587 | ||||||||||||
Total Liabilities | $ | 8,870 | $ | 21,504 | $ | 252,847 | $ | 47,705 | ||||||||
Net Assets | $ | 10,621,904 | $ | 14,175,674 | $ | 303,110,701 | $ | 87,752,264 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid in Capital | $ | 5,628,267 | $ | 13,354,874 | $ | 300,172,671 | $ | 86,893,642 | ||||||||
Accumulated Undistributed Net Investment Income | — | (124,451 | ) | — | — | |||||||||||
Accumulated Net Realized Gain (Loss) from Security Transactions | (3,988 | ) | (313,056 | ) | (179,378 | ) | — | |||||||||
Net Unrealized Gain on Investments | 4,997,625 | 1,258,307 | 3,117,408 | 858,622 | ||||||||||||
Net Assets | $ | 10,621,904 | $ | 14,175,674 | $ | 303,110,701 | $ | 87,752,264 | ||||||||
Shares Outstanding (Unlimited Amount Authorized) | 689,920 | 638,535 | 18,180,598 | 5,142,820 | ||||||||||||
Offering, Redemption and Net Asset Value Per Share | $ | 15.40 | $ | 22.20 | $ | 16.67 | $ | 17.06 | ||||||||
*Identified Cost of Investment Securities | $ | 5,590,502 | $ | 12,885,327 | $ | 296,221,155 | $ | 85,849,771 |
The accompanying notes are an integral part of these financial statements.
30
Statements of Operations
Equity Income Fund | Growth Fund | Opportunity Fund | ||||||||||
Year Ended 12/31/2016 | Year Ended 12/31/2016 | Year Ended 12/31/2016 | ||||||||||
Investment Income: | ||||||||||||
Interest | $ | 17,844 | $ | 3,666 | $ | 2,333 | ||||||
Dividends | 3,405,786 | 642,347 | 571,439 | |||||||||
Foreign withholding taxes on dividends | (70,828 | ) | (14,162 | ) | — | |||||||
Total Investment Income | $ | 3,352,802 | $ | 631,851 | $ | 573,772 | ||||||
Expenses: | ||||||||||||
Management Fee | $ | 1,403,391 | $ | 451,845 | $ | 383,141 | ||||||
Net Expenses | $ | 1,403,391 | $ | 451,845 | $ | 383,141 | ||||||
Net Investment Income | $ | 1,949,411 | $ | 180,006 | $ | 190,631 | ||||||
Realized and Unrealized Gains/(Losses): | ||||||||||||
Net Realized Gain from Security Transactions | $ | 2,885,126 | $ | 881,901 | $ | 458,109 | ||||||
Net Change in Unrealized Gain/(Loss) on Investments | 11,368,760 | 2,031,039 | 5,814,150 | |||||||||
Net Gain/(Loss) on Investments | $ | 14,253,886 | $ | 2,912,940 | $ | 6,272,259 | ||||||
Net Change in Net Assets from Operations | $ | 16,203,297 | $ | 3,092,946 | $ | 6,462,890 |
The accompanying notes are an integral part of these financial statements.
31
Statements of Operations – Continued
Realty Fund | International Fund | Fixed Income Fund | Municipal Income Fund | |||||||||||||
Year Ended 12/31/2016 | Year Ended 12/31/2016 | Year Ended 12/31/2016 | Year Ended 12/31/2016 | |||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 248 | $ | 1,142 | $ | 7,063,774 | $ | 1,876,737 | ||||||||
Dividends | 255,782 | 447,372 | 181,690 | 3,577 | ||||||||||||
Foreign withholding taxes on Dividends | — | (55,090 | ) | — | — | |||||||||||
Total Investment Income | $ | 256,030 | $ | 393,424 | $ | 7,245,464 | $ | 1,880,314 | ||||||||
Expenses: | ||||||||||||||||
Management Fee | $ | 105,638 | $ | 133,508 | $ | 2,297,452 | $ | 488,272 | ||||||||
Net Expenses | $ | 105,638 | $ | 133,508 | $ | 2,297,452 | $ | 488,272 | ||||||||
Net Investment Income | $ | 150,392 | $ | 259,916 | $ | 4,948,012 | $ | 1,392,042 | ||||||||
Realized and Unrealized Gains/(Losses): | ||||||||||||||||
Net Realized Gain (Loss) from Security Transactions | $ | 248,320 | $ | (165,641 | ) | $ | 2,532,475 | $ | 7,636 | |||||||
Net Change in Unrealized Gain (Loss) on Investments | 257,277 | 285,358 | (310,179 | ) | (1,556,473 | ) | ||||||||||
Net Gain/(Loss) on Investments | $ | 505,597 | $ | 119,717 | $ | 2,222,296 | $ | (1,548,837) | ||||||||
Net Change in Net Assets from Operations | $ | 655,989 | $ | 379,633 | $ | 7,170,308 | $ | (156,795) |
The accompanying notes are an integral part of these financial statements.
32
Statements of Changes in Net Assets
Equity Income Fund | Growth Fund | Opportunity Fund | ||||||||||||||||||||||
Year Ended 12/31/2016 | Year Ended 12/31/2015 | Year Ended 12/31/2016 | Year Ended 12/31/2015 | Year Ended 12/31/2016 | Year Ended 12/31/2015 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income | $ | 1,949,411 | $ | 2,372,421 | $ | 180,006 | $ | 231,140 | $ | 190,631 | $ | 174,824 | ||||||||||||
Net Realized Gain (Loss) from Security Transactions | 2,885,126 | 3,960,667 | 881,901 | 3,363,484 | 458,109 | 3,279,753 | ||||||||||||||||||
Net Change in Unrealized Gain (Loss) on Investments | 11,368,760 | (16,007,013 | ) | 2,031,039 | (6,411,672 | ) | 5,814,150 | (4,354,527 | ) | |||||||||||||||
Net Change in Net Assets from Operations | $ | 16,203,297 | $ | (9,673,925 | ) | $ | 3,092,946 | $ | (2,817,048 | ) | $ | 6,462,890 | $ | (899,950 | ) | |||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Net Investment Income | $ | (1,957,217 | ) | $ | (2,377,158 | ) | $ | (240,004 | ) | $ | (172,557 | ) | $ | (204,492 | ) | $ | (197,466 | ) | ||||||
Return of Capital | — | — | — | — | (52,540 | ) | — | |||||||||||||||||
Net Realized Gain from Security Transactions | (2,598,374 | ) | (7,125,688 | ) | (343,954 | ) | (2,794,295 | ) | (571,519 | ) | (3,129,840 | ) | ||||||||||||
Net Change in Net Assets from Distributions | $ | (4,555,591 | ) | $ | (9,502,846 | ) | $ | (583,958 | ) | $ | (2,966,852 | ) | $ | (828,551 | ) | $ | (3,327,306 | ) | ||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds From Sale of Shares | $ | 17,598,046 | $ | 12,518,846 | $ | 2,505,993 | $ | 3,972,082 | $ | 3,189,076 | $ | 1,857,598 | ||||||||||||
Shares Issued on Reinvestment of Distributions | 4,534,832 | 9,320,514 | 581,397 | 2,961,925 | 825,174 | 3,312,682 | ||||||||||||||||||
Cost of Shares Redeemed | (15,955,861 | ) | (20,599,274 | ) | (7,742,693 | ) | (7,817,408 | ) | (5,900,389 | ) | (8,048,976 | ) | ||||||||||||
Net Change in Net Assets from Capital Share Transactions | $ | 6,177,017 | $ | 1,240,086 | $ | (4,655,303 | ) | $ | (883,401 | ) | $ | (1,886,139 | ) | $ | (2,878,696 | ) | ||||||||
Net Change in Net Assets | $ | 17,824,723 | $ | (17,936,685) | $ | (2,146,315) | $ | (6,667,301) | $ | 3,748,200 | $ | (7,105,952) | ||||||||||||
Net Assets at Beginning of Year | $ | 132,194,466 | $ | 150,131,151 | $ | 46,674,471 | $ | 53,341,772 | $ | 37,774,807 | $ | 44,880,759 | ||||||||||||
Net Assets at End of Year | $ | 150,019,189 | $ | 132,194,466 | $ | 44,528,156 | $ | 46,674,471 | $ | 41,523,007 | $ | 37,774,807 | ||||||||||||
Including accumulated undistributed net investment income (loss) of | $ | — | $ | — | $ | — | $ | 58,583 | $ | — | $ | — |
The accompanying notes are an integral part of these financial statements.
33
Statements of Changes in Net Assets – Continued
Realty Fund | International Fund | Fixed Income Fund | Municipal Income Fund | |||||||||||||||||||||||||||||
Year Ended 12/31/2016 | Year Ended 12/31/2015 | Year Ended 12/31/2016 | Year Ended 12/31/2015 | Year Ended 12/31/2016 | Year Ended 12/31/2015 | Year Ended 12/31/2016 | Year Ended 12/31/2015 | |||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net Investment Income | $ | 150,392 | $ | 157,525 | $ | 259,916 | $ | 351,532 | $ | 4,948,012 | $ | 4,420,480 | $ | 1,392,042 | $ | 1,249,855 | ||||||||||||||||
Net Realized Gain (Loss) from Security Transactions | 248,320 | 598,065 | (165,641 | ) | 165,310 | 2,532,475 | 2,375,247 | 7,636 | 77,983 | |||||||||||||||||||||||
Net Change in Unrealized Gain (Loss) on Investments | 257,277 | (490,068 | ) | 285,358 | (1,752,796 | ) | (310,179 | ) | (6,008,112 | ) | (1,556,473 | ) | 177,782 | |||||||||||||||||||
Net Change in Net Assets from Operations | $ | 655,989 | $ | 265,522 | $ | 379,633 | $ | (1,235,954 | ) | $ | 7,170,308 | $ | 787,615 | $ | (156,795 | ) | $ | 1,505,620 | ||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||||||||||
Net Investment Income | $ | (275,064 | ) | $ | (241,860 | ) | $ | (284,581 | ) | $ | (398,118 | ) | $ | (5,413,526 | ) | $ | (4,888,116 | ) | $ | (1,399,678 | ) | $ | (1,249,855 | ) | ||||||||
Return of Capital | (7,600 | ) | — | (10,100 | ) | — | (46,870 | ) | — | (2,906 | ) | (9,347 | ) | |||||||||||||||||||
Net Realized Gain from Security Transactions | (137,310 | ) | (504,166 | ) | — | — | (2,154,889 | ) | (1,763,820 | ) | — | (81,196 | ) | |||||||||||||||||||
Net Change in Net Assets from Distributions | $ | (419,974 | ) | $ | (746,026 | ) | $ | (294,681 | ) | $ | (398,118 | ) | $ | (7,615,285 | ) | $ | (6,651,936 | ) | $ | (1,402,584 | ) | $ | (1,340,398 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||||||||||||||||||
Proceeds From Sale of Shares | $ | 400,828 | $ | 460,068 | $ | 2,413,564 | $ | 2,402,454 | $ | 79,070,312 | $ | 45,224,292 | $ | 29,598,842 | $ | 12,961,285 | ||||||||||||||||
Shares Issued on Reinvestment of Distributions | 419,626 | 665,030 | 294,584 | 393,097 | 7,478,888 | 4,360,311 | 1,362,076 | 636,679 | ||||||||||||||||||||||||
Cost of Shares Redeemed | (541,553 | ) | (1,622,116 | ) | (1,708,598 | ) | (6,298,143 | ) | (27,236,734 | ) | (25,617,310 | ) | (8,163,807 | ) | (6,224,838 | ) | ||||||||||||||||
Net Change in Net Assets from Capital Share Transactions | $ | 278,901 | $ | (497,018 | ) | $ | 999,550 | $ | (3,502,592 | ) | $ | 59,312,466 | $ | 23,967,293 | $ | 22,797,111 | $ | 7,373,126 | ||||||||||||||
Net Change in Net Assets | $ | 514,916 | $ | (977,522) | $ | 1,084,502 | $ | (5,136,664) | $ | 58,867,489 | $ | 18,102,972 | $ | 21,237,732 | $ | 7,538,348 | ||||||||||||||||
Net Assets at Beginning of Year | $ | 10,106,988 | $ | 11,084,510 | $ | 13,091,172 | $ | 18,227,836 | $ | 244,243,212 | $ | 226,140,240 | $ | 66,514,532 | $ | 58,976,184 | ||||||||||||||||
Net Assets at End of Year | $ | 10,621,904 | $ | 10,106,988 | $ | 14,175,674 | $ | 13,091,172 | $ | 303,110,701 | $ | 244,243,212 | $ | 87,752,264 | $ | 66,514,532 | ||||||||||||||||
Including accumulated undistributed net investment income (loss) of | $ | — | $ | 13,662 | $ | (124,451 | ) | $ | (108,877 | ) | $ | — | $ | — | $ | — | $ | — |
The accompanying notes are an integral part of these financial statements.
34
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 19.92 | $ | 22.93 | $ | 23.11 | $ | 19.00 | $ | 17.33 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income | 0.29 | 0.38 | 0.30 | 0.27 | 0.29 | |||||||||||||||
Net Gains (Losses) on Securities (Realized & Unrealized) | 2.13 | (1.87 | ) | 1.51 | 5.63 | 2.38 | ||||||||||||||
Total Operations | $ | 2.42 | $ | (1.49 | ) | $ | 1.81 | $ | 5.90 | $ | 2.67 | |||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.29 | ) | (0.38 | ) | (0.30 | ) | (0.27 | ) | (0.30 | ) | ||||||||||
Net Realized Capital Gains | (0.38 | ) | (1.14 | ) | (1.69 | ) | (1.52 | ) | (0.70 | ) | ||||||||||
Total Distributions | $ | (0.67 | ) | $ | (1.52 | ) | $ | (1.99 | ) | $ | (1.79 | ) | $ | (1.00 | ) | |||||
Net Asset Value End of Period | $ | 21.67 | $ | 19.92 | $ | 22.93 | $ | 23.11 | $ | 19.00 | ||||||||||
Total Return(a) | 12.16 | % | (6.56 | )% | 7.73 | % | 31.09 | % | 15.48 | % | ||||||||||
Net Assets, End of Period (Millions) | $ | 150.02 | $ | 132.19 | $ | 150.13 | $ | 131.14 | $ | 90.12 | ||||||||||
Ratios | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.39 | % | 1.62 | % | 1.28 | % | 1.27 | % | 1.61 | % | ||||||||||
Portfolio Turnover Rate | 42.36 | % | 39.41 | % | 27.89 | % | 34.31 | % | 35.15 | % |
(a) | Total Return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
The accompanying notes are an integral part of these financial statements.
35
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 27.21 | $ | 30.77 | $ | 30.66 | $ | 24.43 | $ | 21.70 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income | 0.12 | 0.14 | 0.07 | 0.16 | 0.16 | |||||||||||||||
Net Gains (Losses) on Securities (Realized & Unrealized) | 1.81 | (1.86 | ) | 3.56 | 7.53 | 2.73 | ||||||||||||||
Total Operations | $ | 1.93 | $ | (1.72 | ) | $ | 3.63 | $ | 7.69 | $ | 2.89 | |||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.16 | ) | (0.11 | ) | (0.07 | ) | (0.16 | ) | (0.16 | ) | ||||||||||
Net Realized Capital Gains | (0.23 | ) | (1.73 | ) | (3.45 | ) | (1.30 | ) | — | |||||||||||
Total Distributions | $ | (0.39 | ) | $ | (1.84 | ) | $ | (3.52 | ) | $ | (1.46 | ) | $ | (0.16 | ) | |||||
Net Asset Value End of Period | $ | 28.75 | $ | 27.21 | $ | 30.77 | $ | 30.66 | $ | 24.43 | ||||||||||
Total Return(a) | 7.06 | % | (5.65 | )% | 11.75 | % | 31.50 | % | (13.33 | )% | ||||||||||
Net Assets, End of Period (Millions) | $ | 44.53 | $ | 46.67 | $ | 53.34 | $ | 53.25 | $ | 45.02 | ||||||||||
Ratios | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.40 | % | 0.45 | % | 0.20 | % | 0.52 | % | 0.58 | % | ||||||||||
Portfolio Turnover Rate | 40.18 | % | 31.83 | % | 31.74 | % | 41.17 | % | 49.03 | % |
(a) | Total Return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
The accompanying notes are an integral part of these financial statements.
36
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 35.08 | $ | 39.35 | $ | 42.14 | $ | 31.69 | $ | 27.64 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income | 0.20 | 0.18 | 0.08 | 0.12 | 0.48 | |||||||||||||||
Net Gains (Losses) on Securities (Realized & Unrealized) | 6.09 | (1.08 | ) | 1.80 | 13.33 | 4.08 | ||||||||||||||
Total Operations | $ | 6.29 | $ | (0.90 | ) | $ | 1.88 | $ | 13.45 | $ | 4.56 | |||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.20 | ) | (0.20 | ) | (0.11 | ) | (0.17 | ) | (0.51 | ) | ||||||||||
Return of Capital | (0.05 | ) | — | — | — | — | ||||||||||||||
Net Realized Capital Gains | (0.58 | ) | (3.17 | ) | (4.56 | ) | (2.83 | ) | — | |||||||||||
Total Distributions | $ | (0.83 | ) | $ | (3.37 | ) | $ | (4.67 | ) | $ | (3.00 | ) | $ | (0.51 | ) | |||||
Net Asset Value End of Period | $ | 40.54 | $ | 35.08 | $ | 39.35 | $ | 42.14 | $ | 31.69 | ||||||||||
Total Return(a) | 17.90 | % | (2.39 | )% | 4.37 | % | 42.51 | % | 16.54 | % | ||||||||||
Net Assets, End of Period (Millions) | $ | 41.52 | $ | 37.77 | $ | 44.88 | $ | 44.38 | $ | 32.61 | ||||||||||
Ratios | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.50 | % | 0.40 | % | 0.19 | % | 0.30 | % | 1.49 | % | ||||||||||
Portfolio Turnover Rate | 34.62 | % | 35.17 | % | 38.37 | % | 72.36 | % | 97.80 | % |
(a) | Total Return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
The accompanying notes are an integral part of these financial statements.
37
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 15.03 | $ | 15.76 | $ | 13.20 | $ | 14.05 | $ | 13.32 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income | 0.23 | 0.21 | 0.26 | 0.29 | 0.21 | |||||||||||||||
Net Gains (Losses) on Securities (Realized & Unrealized)* | 0.76 | 0.21 | 3.54 | (0.11 | ) | 1.81 | ||||||||||||||
Total Operations | $ | 0.99 | $ | 0.42 | $ | 3.80 | $ | 0.18 | $ | 2.02 | ||||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.41 | ) | (0.36 | ) | (0.39 | ) | (0.29 | ) | (0.24 | ) | ||||||||||
Return of Capital | (0.01 | ) | — | — | — | — | ||||||||||||||
Net Realized Capital Gains | (0.20 | ) | (0.79 | ) | (0.85 | ) | (0.74 | ) | (1.05 | ) | ||||||||||
Total Distributions | $ | (0.62 | ) | $ | (1.15 | ) | $ | (1.24 | ) | $ | (1.03 | ) | $ | (1.29 | ) | |||||
Net Asset Value End of Period | $ | 15.40 | $ | 15.03 | $ | 15.76 | $ | 13.20 | $ | 14.05 | ||||||||||
Total Return(a) | 6.57 | % | 2.75 | % | 28.92 | % | 1.19 | % | 15.28 | % | ||||||||||
Net Assets, End of Period (Millions) | $ | 10.62 | $ | 10.11 | $ | 11.08 | $ | 10.14 | $ | 11.04 | ||||||||||
Ratios | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.42 | % | 1.51 | % | 1.57 | % | 1.43 | % | 1.34 | % | ||||||||||
Portfolio Turnover Rate | 3.95 | % | 2.28 | % | 1.04 | % | 9.97 | % | 25.78 | % |
* | Realized and unrealized gains and losses per share in the caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the Statement of Operations due to share transactions for the period. |
(a) | Total Return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
The accompanying notes are an integral part of these financial statements.
38
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 22.01 | $ | 24.23 | $ | 25.07 | $ | 22.23 | $ | 19.44 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income (Loss) | 0.43 | 0.57 | 0.54 | 0.39 | 0.44 | |||||||||||||||
Net Gains (Losses) on Securities (Realized & Unrealized) | 0.23 | (2.11 | ) | (0.83 | ) | 2.90 | 2.82 | |||||||||||||
Total Operations | $ | 0.66 | $ | (1.54 | ) | $ | (0.29 | ) | $ | 3.29 | $ | 3.26 | ||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.45 | ) | (0.68 | ) | (0.55 | ) | (0.45 | ) | (0.47 | ) | ||||||||||
Return of Capital | (0.02 | ) | — | — | — | — | ||||||||||||||
Net Realized Capital Gains | — | — | — | — | — | |||||||||||||||
Total Distributions | $ | (0.47 | ) | $ | (0.68 | ) | $ | (0.55 | ) | $ | (0.45 | ) | $ | (0.47 | ) | |||||
Net Asset Value End of Period | $ | 22.20 | $ | 22.01 | $ | 24.23 | $ | 25.07 | $ | 22.23 | ||||||||||
Total Return(a) | 3.00 | % | (6.38 | )% | (1.16 | )% | 14.81 | % | 16.80 | % | ||||||||||
Net Assets, End of Period (Millions) | $ | 14.18 | $ | 13.09 | $ | 18.23 | $ | 16.74 | $ | 13.83 | ||||||||||
Ratios(b) | ||||||||||||||||||||
Ratio of Expenses to | ||||||||||||||||||||
Average Net Assets before Waiver | 1.00 | % | 1.00 | % | 1.00 | % | 1.19 | % | 1.40 | % | ||||||||||
Average Net Assets after Waiver | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of Net Investment Income (Loss) to | ||||||||||||||||||||
Average Net Assets before Waiver | 1.95 | % | 1.85 | % | 2.20 | % | 1.51 | % | 1.77 | % | ||||||||||
Average Net Assets after Waiver | 1.95 | % | 1.85 | % | 2.20 | % | 1.70 | % | 2.17 | % | ||||||||||
Portfolio Turnover Rate | 7.71 | % | 20.49 | % | 10.25 | % | 5.23 | % | 7.15 | % |
(a) | Total Return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
(b) | For the years ended December 31, 2012 and 2013, the Adviser waived a portion of the 1.40% management fee to sustain a fee of 1.00%. Effective May 1, 2013, the Adviser removed the fee waiver, and reduced the management fee to 1.00%. (See Note #4.) |
The accompanying notes are an integral part of these financial statements.
39
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 16.61 | $ | 17.03 | $ | 16.47 | $ | 17.37 | $ | 17.34 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income | 0.30 | 0.32 | 0.35 | 0.35 | 0.43 | |||||||||||||||
Net Gains on Securities (Realized & Unrealized) | 0.21 | (0.27 | ) | 0.71 | (0.76 | ) | 0.32 | |||||||||||||
Total Operations | $ | 0.51 | $ | 0.05 | $ | 1.06 | $ | (0.41 | ) | $ | 0.75 | |||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.32 | ) | (0.35 | ) | (0.39 | ) | (0.41 | ) | (0.48 | ) | ||||||||||
Return of Capital | (0.00 | )(a) | — | — | — | — | ||||||||||||||
Net Realized Capital Gains | (0.13 | ) | (0.12 | ) | (0.11 | ) | (0.08 | ) | (0.24 | ) | ||||||||||
Total Distributions | $ | (0.45 | ) | $ | (0.47 | ) | $ | (0.50 | ) | $ | (0.49 | ) | $ | (0.72 | ) | |||||
Net Asset Value End of Period | $ | 16.67 | $ | 16.61 | $ | 17.03 | $ | 16.47 | $ | 17.37 | ||||||||||
Total Return(b) | 3.08 | % | 0.32 | % | 6.48 | % | (2.36 | )% | 4.37 | % | ||||||||||
Net Assets, End of Period (Millions) | $ | 303.11 | $ | 244.24 | $ | 226.14 | $ | 224.67 | $ | 205.14 | ||||||||||
Ratios(c) | ||||||||||||||||||||
Ratio of Expenses to | ||||||||||||||||||||
Average Net Assets before Waiver | 0.85 | % | 0.85 | % | 0.85 | % | 0.92 | % | 1.00 | % | ||||||||||
Average Net Assets after Waiver | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||
Ratio of Net Investment Income to | ||||||||||||||||||||
Average Net Assets before Waiver | 1.83 | % | 1.90 | % | 2.08 | % | 2.00 | % | 2.30 | % | ||||||||||
Average Net Assets after Waiver | 1.83 | % | 1.90 | % | 2.08 | % | 2.07 | % | 2.45 | % | ||||||||||
Portfolio Turnover Rate | 40.80 | % | 37.09 | % | 27.79 | % | 48.53 | % | 36.11 | % |
(a) | Return of Capital is less than $0.005 per share. |
(b) | Total Return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
(c) | For the years ended December 31, 2012 and 2013, the Adviser waived a portion of the 1.00% management fee to sustain a fee of 0.85%. Effective May 1, 2013, the Adviser removed the fee waiver, and reduced the management fee to 0.85%. (See Note #4.) |
The accompanying notes are an integral part of these financial statements.
40
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 17.36 | $ | 17.32 | $ | 16.83 | $ | 17.49 | $ | 17.35 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income | 0.31 | 0.34 | 0.37 | 0.38 | 0.45 | |||||||||||||||
Net Gains (Losses) on Securities (Realized & Unrealized) | (0.30 | ) | 0.06 | 0.53 | (0.64 | ) | 0.18 | |||||||||||||
Total Operations | $ | 0.01 | $ | 0.40 | $ | 0.90 | $ | (0.26 | ) | $ | 0.63 | |||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.31 | ) | (0.34 | ) | (0.38 | ) | (0.38 | ) | (0.45 | ) | ||||||||||
Return of Capital | (0.00 | )(a) | (0.00 | )(a) | — | — | — | |||||||||||||
Net Realized Capital Gains | — | (0.02 | ) | (0.03 | ) | (0.02 | ) | (0.04 | ) | |||||||||||
Total Distributions | $ | (0.31 | ) | $ | (0.36 | ) | $ | (0.41 | ) | $ | (0.40 | ) | $ | (0.49 | ) | |||||
Net Asset Value End of Period | $ | 17.06 | $ | 17.36 | $ | 17.32 | $ | 16.83 | $ | 17.49 | ||||||||||
Total Return(b) | 0.05 | % | 2.34 | % | 5.41 | % | (1.52 | )% | 3.67 | % | ||||||||||
Net Assets, End of Period (Millions) | $ | 87.75 | $ | 66.51 | $ | 58.98 | $ | 56.29 | $ | 43.79 | ||||||||||
Ratios(c) | ||||||||||||||||||||
Ratio of Expenses to | ||||||||||||||||||||
Average Net Assets before Waiver | 0.65 | % | 0.65 | % | 0.65 | % | 0.81 | % | 1.00 | % | ||||||||||
Average Net Assets after Waiver | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | ||||||||||
Ratio of Net Investment Income to | ||||||||||||||||||||
Average Net Assets before Waiver | 1.85 | % | 1.98 | % | 2.19 | % | 2.10 | % | 2.23 | % | ||||||||||
Average Net Assets after Waiver | 1.85 | % | 1.98 | % | 2.19 | % | 2.26 | % | 2.58 | % | ||||||||||
Portfolio Turnover Rate | 10.05 | % | 13.31 | % | 18.24 | % | 8.96 | % | 13.79 | % |
(a) | Return of Capital is less than $0.005 per share. |
(b) | Total Return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
(c) | For the years ended December 31, 2012 and 2013, the Adviser waived a portion of the 1.00% management fee to sustain a fee of 0.65%. Effective May 1, 2013, the Adviser removed the fee waiver, and reduced the management fee to 0.65%. (See Note #4.) |
The accompanying notes are an integral part of these financial statements.
41
JOHNSON MUTUAL FUNDS
1) Organization
The Johnson Equity Income Fund, Johnson Growth Fund, Johnson Opportunity Fund, Johnson Realty Fund, Johnson International Fund, Johnson Fixed Income Fund, and Johnson Municipal Income Fund (each individually a “Fund” and collectively the “Funds”) are each a series of the Johnson Mutual Funds Trust (the “Trust”), and are registered under the Investment Company Act of 1940, as amended, as no-load, open-end investment companies. The Johnson Mutual Funds Trust was established as an Ohio business trust under an Agreement and Declaration of Trust dated September 30, 1992. The Growth Fund and Fixed Income Fund began offering their shares publicly on January 4, 1993. The Opportunity Fund and Municipal Income Fund began offering their shares publicly on May 16, 1994. The Realty Fund began offering its shares publicly on January 2, 1998. The Equity Income Fund began offering its shares publicly on December 30, 2005. The International Fund began offering its shares publicly on December 8, 2008. All the Funds are managed by Johnson Investment Counsel, Inc. (the “Adviser”).
The investment objectives of the Funds are as follows:
Equity Income Fund | Above average dividend income and long-term capital growth | |
Growth Fund | Long-term capital growth | |
Opportunity Fund | Long-term capital growth | |
Realty Fund | Above average dividend income and long-term capital growth | |
International Fund | Long-term capital growth | |
Fixed Income Fund | A high level of income over the long-term consistent with preservation of capital | |
Municipal Income Fund | A high level of federally tax-free income over the long-term consistent with preservation of capital |
The Funds are each diversified. The Municipal Income Fund invests primarily in debt instruments of municipal issuers whose ability to meet their obligations may be affected by economic and political developments in the state of Ohio.
2) Significant Accounting Policies
Basis of Accounting:
The financial statements are prepared in accordance with accounting principles generally accepted in the United State of America (GAAP). The Funds are investment companies and accordingly follow the investment company guidance of Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
Investment Income and Realized Capital Gains and Losses on Investment Securities:
Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Dividend and interest income are recorded net of foreign taxes. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. Gains and losses on sales of investments are calculated using the specific identification method. Discounts and premiums on securities purchased are amortized over the lives of the respective securities, using the interest method. Distributions received from investments in securities that represent a return of capital or capital gains are recorded as a reduction of the cost of investment or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the calendar year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported. Estimates are based on the most recent REIT distributions information available. Gains and losses on paydowns of mortgage-backed securities are reflected in interest income on the Statements of Operations. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments in a specific country or region.
Income Taxes:
It is the Funds’ policy to distribute annually, prior to the end of the calendar year, dividends sufficient to satisfy excise tax requirements of the Internal Revenue Service. This Internal Revenue Service requirement may cause an excess of distributions over the book year-end accumulated income. In addition, it is the Funds’ policy to distribute annually, after the end of the calendar year, any remaining taxable income to comply with the special provisions of the Internal Revenue Code (the “Code”) available to registered investment companies (“RICs”). Each year the Funds intend to continue to qualify as RICs under Subchapter M of the Code by making distributions as noted above, and complying with the other requirements applicable to RICs. As a result, no provision for income taxes is generally required. See Note 10 for information relating to a deficiency dividend required to be paid by the Equity Income Fund.
42
2) Significant Accounting Policies, continued
Accounting for Uncertainty in Income Taxes:
As of and during the year ended December 31, 2015, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties, except as disclosed in Note 10.
Distributions:
Distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. The Realty Fund, Fixed Income Fund and Municipal Income Fund intend to distribute net investment income on a calendar quarter basis. The Equity Income, Growth, Opportunity and International Funds intend to distribute net investment income, if any, at least once a year. The Funds intend to distribute their net realized long-term capital gains and their net realized short-term capital gains, if any, at least once a year. The treatment for financial reporting purposes of distributions made to shareholders during the year from net investment income or net realized capital gains may differ from their ultimate treatment for federal income tax purposes. These differences are caused primarily by differences in the timing of the recognition of certain components of income, expense or realized capital gain for federal income tax purposes. Where such differences are permanent in nature, they are reclassified in the components of net assets based on their ultimate characterization for federal income tax purposes. Any such reclassifications will have no effect on net assets, results of operations, or net asset values per share of the Funds.
For the year ended December 31, 2016, the Funds made the following reclassifications to increase (decrease) the components of the net assets:
Fund | Paid in Capital | Accumulated Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) | |||||||||
Equity Income Fund | $ | 601,128 | $ | 7,806 | $ | (608,934 | ) | |||||
Growth Fund | (1,138 | ) | 1,415 | (277 | ) | |||||||
Opportunity Fund | — | 13,861 | (13,861 | ) | ||||||||
Realty Fund | — | 111,010 | (111,010 | ) | ||||||||
International Fund | (9,091 | ) | 9,091 | — | ||||||||
Fixed Income Fund | — | 465,514 | (465,514 | ) | ||||||||
Municipal Income Fund | — | 7,636 | (7,636 | ) |
3) Security Valuation and Transactions
The Funds utilize various methods to measure the fair value of their investments on a recurring basis.
Securities for which representative market quotations are not readily available or are considered unreliable by the Investment Adviser are valued as determined in good faith by, or under the direction of, the Board of Trustees. Various inputs may be reviewed in order to make a good faith determination of a security’s fair value. These inputs include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations of investments that would have been used had greater market activity occurred.
GAAP establish a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
¨ | Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
¨ | Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
43
3) Security Valuation and Transactions, continued
¨ | Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Fair Value Measurements:
A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis follows:
Equity Securities (Common Stock, Real Estate Investment Trusts). Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Corporate Bonds. The fair value of corporate bonds is estimated using quotations from pricing vendors, which may consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations for similar securities (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they would be categorized in Level 3.
Municipal Bonds. Municipal Bonds are normally valued using quotations from pricing vendors that incorporate observable market data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. Municipal Bonds are categorized in Level 2 of the fair value hierarchy.
U.S. Government Securities. U.S. government securities, including U.S. Treasury Obligations, are normally valued using market approach valuation techniques that incorporate observable market data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. U.S. government securities are categorized in Level 2 of the fair value hierarchy.
U.S. Agency Securities. U.S. agency securities are comprised of two main categories consisting of agency issued debt and mortgage-backed securities. Agency issued debt securities are generally valued in a manner similar to U.S. government securities. Mortgage-backed securities are generally valued based on models that consider the estimated cash flows of each tranche of the entity, establishes a benchmark yield, and develops an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Depending on market activity levels and whether quotations or other data are used, these securities are typically categorized in Level 2 of the fair value hierarchy.
Preferred Stocks. Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Money Market. Investments in mutual funds, including money market mutual funds (notated throughout these financials as cash equivalents), are generally priced at the ending net asset value (“NAV”) provided by the service agent of the funds. These securities will be categorized as Level 1 securities.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
44
3) Security Valuation and Transactions, continued
The following is a summary of the inputs used to value each Fund’s investment securities as of December 31, 2016:
Equity Income Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* | $ | 146,467,005 | $ | — | $ | — | $ | 146,467,005 | ||||||||
Money Market Fund | 3,444,105 | — | — | 3,444,105 | ||||||||||||
Total | $ | 149,911,110 | $ | — | $ | — | $ | 149,911,110 |
Growth Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* | $ | 44,256,833 | $ | — | $ | — | $ | 44,256,833 | ||||||||
Money Market Fund | 251,712 | — | — | 251,712 | ||||||||||||
Total | $ | 44,508,545 | $ | — | $ | — | $ | 44,508,545 |
Opportunity Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* | $ | 38,366,139 | $ | — | $ | — | $ | 38,366,139 | ||||||||
Real Estate Investment Trusts | 1,779,260 | — | — | 1,779,260 | ||||||||||||
Money Market Fund | 1,386,204 | — | — | 1,386,204 | ||||||||||||
Total | $ | 41,531,603 | $ | — | $ | — | $ | 41,531,603 |
Realty Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Real Estate Investment Trusts* | $ | 10,544,780 | $ | — | $ | — | $ | 10,544,780 | ||||||||
Money Market Fund | 37,542 | — | — | 37,542 | ||||||||||||
Total | $ | 10,582,322 | $ | — | $ | — | $ | 10,582,322 |
International Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* | $ | 13,286,916 | $ | — | $ | — | $ | 13,286,916 | ||||||||
Real Estate Investment Trusts | 138,490 | — | — | 138,490 | ||||||||||||
Money Market Fund | 718,228 | — | — | 718,228 | ||||||||||||
Total | $ | 14,143,634 | $ | — | $ | — | $ | 14,143,634 |
Fixed Income Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Bonds* | $ | — | $ | 151,732,496 | $ | — | $ | 151,732,496 | ||||||||
U.S. Government Treasury Obligations | — | 54,008,969 | — | 54,008,969 | ||||||||||||
U.S. Government Agency Obligations | — | 25,042,257 | — | 25,042,257 | ||||||||||||
U.S. Government Agency Obligations – Mortgage-Backed | — | 44,860,692 | — | 44,860,692 | ||||||||||||
Taxable Municipal Bonds | — | 18,347,704 | — | 18,347,704 | ||||||||||||
Preferred Stocks | 3,525,738 | — | — | 3,525,738 | ||||||||||||
Money Market Fund | 1,820,707 | — | — | 1,820,707 | ||||||||||||
Total | $ | 5,346,445 | $ | 293,992,118 | $ | — | $ | 299,338,563 |
Municipal Income Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Municipal Bonds* | $ | — | $ | 84,103,754 | $ | — | $ | 84,103,754 | ||||||||
Money Market Fund | 2,604,639 | — | — | 2,604,639 | ||||||||||||
Total | $ | 2,604,639 | $ | 84,103,754 | $ | — | $ | 86,708,393 |
* | See Portfolio of Investments for industry classification. |
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3) Security Valuation and Transactions, continued
The Funds did not hold any investments at any time during the reporting period in which unobservable inputs were used in determining fair value. Therefore, no reconciliation of Level 3 Securities is included for this reporting period. As of and during the year ended December 31, 2016, no securities were transferred into or out of Level 1 or Level 2. If any transfers between levels would occur, they would be reflected as of the end of the period.
In accordance with GAAP, the Funds are required to enhance the disclosures relating to transactions in derivatives and hedging activities, including how such activities are accounted for and their effect on the Funds’ financial position, performance, and cash flows. The Funds did not engage in any derivative transactions as of or during the year ended December 31, 2016.
4) Investment Advisory Agreements
The investment advisory agreements provide that the Adviser will pay all of the Funds’ operating expenses, excluding brokerage fees and commissions, borrowing costs (such as (a) interest and (b) dividend expenses on securities sold short), any 12b-1 fees, and extraordinary expenses.
The Adviser received management fees for the year ended December 31, 2016, as indicated below.
Fund | Fee | Management Fee | Payable as of December 31, 2016 | |||||||||
Equity Income Fund | 1.00 | % | $ | 1,403,391 | $ | 127,636 | ||||||
Growth Fund | 1.00 | % | 451,845 | 38,459 | ||||||||
Opportunity Fund | 1.00 | % | 383,141 | 35,113 | ||||||||
Realty Fund | 1.00 | % | 105,638 | 8,870 | ||||||||
International Fund | 1.00 | % | 133,508 | 11,891 | ||||||||
Fixed Income Fund | 0.85 | % | 2,297,452 | 214,534 | ||||||||
Municipal Income Fund | 0.65 | % | 488,272 | 47,118 |
5) Related Party Transactions
All officers and one trustee of the Trust are employees of the Adviser. Total compensation for the independent Trustees as a group was $40,000 for the year ended December 31, 2016, and as a group they received no additional compensation from the Trust. Compensation of the Trustees was paid by the Adviser. The Trust consists of eleven Funds: Johnson Equity Income Fund, Johnson Growth Fund, Johnson Opportunity Fund, Johnson Realty Fund, Johnson International Fund, Johnson Fixed Income Fund, Johnson Municipal Income Fund, Johnson Institutional Short Duration Bond Fund, Johnson Institutional Intermediate Bond Fund, Johnson Institutional Core Bond Fund, and Johnson Enhanced Return Fund. The Adviser is not a registered broker-dealer of securities and thus does not receive commissions on trades made on behalf of the Funds.
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of the Fund, under Section 2(a)(9) of the Investment Company Act of 1940. At December 31, 2016, client accounts managed by the Adviser and held by Charles Schwab & Co, with full advisory discretion, held in aggregate the following:
Equity Income Fund | 63.93 | % | International Fund | 30.03 | % | |||||||
Growth Fund | 29.56 | % | Fixed Income Fund | 85.76 | % | |||||||
Opportunity Fund | 59.17 | % | Municipal Income Fund | 95.82 | % | |||||||
Realty Fund | 74.52 | % |
Johnson Financial, Inc. is a wholly-owned subsidiary of the Adviser. Johnson Financial, Inc. provides transfer agency and administration services to the Funds. These services are paid for by the Adviser.
46
6) Purchases and Sales of Securities
From January 1, 2016 through December 31, 2016, purchases and sales of investment securities aggregated:
Fund | Investment Securities Other Than Short Term Investments and U.S. Government Obligations | U.S. Government Obligations | ||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
Johnson Equity Income Fund | $ | 57,118,993 | $ | 56,514,301 | $ | — | $ | — | ||||||||
Johnson Growth Fund | 17,589,352 | 21,847,903 | — | — | ||||||||||||
Johnson Opportunity Fund | 12,985,679 | 16,687,841 | — | — | ||||||||||||
Johnson Realty Fund | 707,582 | 413,883 | — | — | ||||||||||||
Johnson International Fund | 1,297,992 | 998,049 | — | — | ||||||||||||
Johnson Fixed Income Fund | 119,556,735 | 72,283,256 | 44,555,745 | 35,439,692 | ||||||||||||
Johnson Municipal Income Fund | 26,218,456 | 6,990,100 | — | — |
7) Capital Share Transactions
As of December 31, 2016, there were an unlimited number of shares of beneficial interest authorized for each Fund. Each Fund records purchases of its capital shares at the daily net asset value determined after receipt of a shareholder’s order in proper form. Redemptions are recorded at the net asset value determined following receipt of a shareholder’s written or telephone request in proper form.
Johnson Equity Income Fund | Johnson Growth Fund | Johnson Opportunity Fund | Johnson Realty Fund | |||||||||||||||||||||||||||||
Year ended 12/31/2016 | Year ended 12/31/2015 | Year ended 12/31/2016 | Year ended 12/31/2015 | Year ended 12/31/2016 | Year ended 12/31/2015 | Year ended 12/31/2016 | Year ended 12/31/2015 | |||||||||||||||||||||||||
Shares Sold to Investors | 834,517 | 558,144 | 90,664 | 130,872 | 85,632 | 46,475 | 24,969 | 28,976 | ||||||||||||||||||||||||
Shares Issued on Reinvestment of Dividends | 208,690 | 463,266 | 20,138 | 107,800 | 20,314 | 93,315 | 26,818 | 43,960 | ||||||||||||||||||||||||
Subtotal | 1,043,207 | 1,021,410 | 110,802 | 238,672 | 105,946 | 139,790 | 51,787 | 72,936 | ||||||||||||||||||||||||
Shares Redeemed | (756,216 | ) | (934,006 | ) | (277,022 | ) | (256,868 | ) | (158,510 | ) | (203,517 | ) | (34,388 | ) | (103,874 | ) | ||||||||||||||||
Net Change | 286,991 | 87,404 | (166,220 | ) | (18,196 | ) | (52,564 | ) | (63,727 | ) | 17,399 | (30,938 | ) | |||||||||||||||||||
Shares Outstanding: | ||||||||||||||||||||||||||||||||
Beginning of Year | 6,634,666 | 6,547,262 | 1,715,291 | 1,733,487 | 1,076,854 | 1,140,581 | 672,521 | 703,459 | ||||||||||||||||||||||||
End of Period | 6,921,657 | 6,634,666 | 1,549,071 | 1,715,291 | 1,024,290 | 1,076,854 | 689,920 | 672,521 |
47
7) Capital Share Transactions, continued
Johnson International Fund | Johnson Fixed Income Fund | Johnson Municipal Income Fund | ||||||||||||||||||||||
Year ended 12/31/2016 | Year ended 12/31/2015 | Year ended 12/31/2016 | Year ended 12/31/2015 | Year ended 12/31/2016 | Year ended 12/31/2015 | |||||||||||||||||||
Shares Sold to Investors | 108,893 | 99,392 | 4,630,126 | 2,666,913 | 1,700,903 | 748,400 | ||||||||||||||||||
Shares Issued on Reinvestment of Dividends | 13,293 | 17,723 | 441,591 | 261,306 | 78,169 | 36,727 | ||||||||||||||||||
Subtotal | 122,186 | 117,115 | 5,071,717 | 2,928,219 | 1,779,072 | 785,127 | ||||||||||||||||||
Shares Redeemed | (78,466 | ) | (274,627 | ) | (1,592,047 | ) | (1,507,719 | ) | (468,372 | ) | (358,858 | ) | ||||||||||||
Net Change During Year | 43,720 | (157,512 | ) | 3,479,670 | 1,420,500 | 1,310,700 | 426,269 | |||||||||||||||||
Shares Outstanding: | ||||||||||||||||||||||||
Beginning of Year | 594,815 | 752,327 | 14,700,928 | 13,280,428 | 3,832,120 | 3,405,851 | ||||||||||||||||||
End of Year | 638,535 | 594,815 | 18,180,598 | 14,700,928 | 5,142,820 | 3,832,120 |
8) Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
9) Federal Tax Information
As of December 31, 2016, the composition of unrealized appreciation (the excess of fair value over tax cost) and depreciation (the excess of tax cost over fair value) was as follows:
Fund | Cost of Securities | Appreciation | Depreciation | Net Appreciation | ||||||||||||
Johnson Equity Income Fund | $ | 127,042,553 | $ | 26,558,554 | $ | (3,689,997 | ) | $ | 22,868,557 | |||||||
Johnson Growth Fund | 34,615,047 | 10,640,018 | (746,519 | ) | 9,893,499 | |||||||||||
Johnson Opportunity Fund | 31,481,445 | 10,608,176 | (558,018 | ) | 10,050,158 | |||||||||||
Johnson Realty Fund | 5,588,685 | 5,099,628 | (105,991 | ) | 4,993,637 | |||||||||||
Johnson International Fund | 12,993,993 | 2,403,996 | (1,254,355 | ) | 1,149,641 | |||||||||||
Johnson Fixed Income Fund | 296,400,533 | 5,401,608 | (2,463,578 | ) | 2,938,030 | |||||||||||
Johnson Municipal Income Fund | 85,849,771 | 1,507,095 | (648,473 | ) | 858,622 |
The difference between book value and tax value unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and post-October losses, as well as the mark-to-market on passive Foreign Investment Companies.
48
9) Federal Tax Information, continued
The tax character of the distributions paid is as follows:
Tax Year | Ordinary Income* | Tax-Exempt Income | Net Realized Long-Term Capital Gain | Return of Capital | Total Distributions Paid | |||||||||||||||||||
Johnson Equity Income Fund | 2015 | $ | 2,380,340 | $ | — | $ | 7,122,506 | $ | — | $ | 9,502,846 | |||||||||||||
2016 | 1,949,411 | — | 2,606,180 | — | 4,555,591 | |||||||||||||||||||
Johnson Growth Fund | 2015 | 172,557 | — | 2,794,295 | — | 2,966,852 | ||||||||||||||||||
2016 | 239,727 | — | 344,231 | — | 583,958 | |||||||||||||||||||
Johnson Opportunity Fund | 2015 | 174,824 | — | 3,152,482 | — | 3,327,306 | ||||||||||||||||||
2016 | 301,204 | — | 474,807 | 52,540 | 828,551 | |||||||||||||||||||
Johnson Realty Fund | 2015 | 147,961 | — | 598,065 | — | 746,026 | ||||||||||||||||||
2016 | 183,389 | — | 228,985 | 7,600 | 419,974 | |||||||||||||||||||
Johnson International Fund | 2015 | 398,118 | — | — | — | 398,118 | ||||||||||||||||||
2016 | 284,581 | — | — | 10,100 | 294,681 | |||||||||||||||||||
Johnson Fixed Income Fund | 2015 | 4,922,194 | — | 1,729,742 | — | 6,651,936 | ||||||||||||||||||
2016 | 5,577,177 | — | 1,991,238 | 46,870 | 7,615,285 | |||||||||||||||||||
Johnson Municipal Income Fund | 2015 | 3,213 | 1,249,855 | 77,983 | 9,347 | 1,340,398 | ||||||||||||||||||
2016 | — | 1,392,042 | 7,636 | 2,906 | 1,402,584 |
* | Short-Term Capital Gains were combined with Ordinary Income, as they are taxed at the Ordinary Income tax rate. |
As of December 31, 2016, the following Funds had capital loss carryovers which will reduce each Fund’s taxable income arising from future net realized gain on investments, if any, to the extent permitted by the Code and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. The capital loss carryovers will expire as follows:
Indefinite Long-Term | Indefinite Short-Term | Total Capital Loss Carryover | ||||||||||
Johnson International Fund | $ | 161,517 | $ | 151,258 | $ | 312,775 |
For the year ended December 31, 2016, the Johnson Growth Fund utilized prior year capital loss carryovers of $566,469.
49
9) Federal Tax Information, continued
As of December 31, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Capital Loss Carryover | Undistributed Long-Term Capital Gain | Unrealized Appreciation | Total Distributable Earnings on a tax basis | Post-October/ Late Year Net Investment Losses | |||||||||||||||||||
Johnson Equity Income Fund | $ | — | $ | — | $ | 798,740 | $ | 22,868,557 | $ | 23,667,297 | $ | — | ||||||||||||
Johnson Growth Fund | — | — | — | 9,893,499 | 9,893,499 | — | ||||||||||||||||||
Johnson Opportunity Fund | — | — | — | 10,050,158 | 10,050,158 | — | ||||||||||||||||||
Johnson Realty Fund | — | — | — | 4,993,637 | 4,993,637 | — | ||||||||||||||||||
Johnson International Fund | — | (312,775 | ) | — | 1,149,641 | 820,800 | (16,066 | ) | ||||||||||||||||
Johnson Fixed Income Fund | — | — | — | 2,938,030 | 2,938,030 | — | ||||||||||||||||||
Johnson Municipal Income Fund | — | — | — | 858,622 | 858,622 | — |
10) Subsequent Events
On February 20, 2017, the Board of Trustees approved a deficiency dividend for the Equity Income Fund, in the amount of $630,680. This distribution was paid on February 27, 2017. Interest related to the deficiency dividend is estimated to be approximately $65,000, and will be paid by the Adviser. Management considers the amount to be immaterial, and as such, these amounts are not included in the financial statements. The deficiency dividend is related to a cost basis adjustment in a prior year, which caused taxable income to be understated and, therefore, under-distributed in 2013 fiscal year. Management has adjusted the beginning balances of the components of net assets in the amount $1,231,808 to account for the prior period misstatement. There was no effect on total net assets nor net asset value per share as a result of the adjustment.
50
Shareholders of the Funds incur ongoing operating expenses consisting solely of management fees. The following example is intended to help you understand your ongoing expenses of investing in the Funds and to compare these expenses with similar costs of investing in other mutual funds. The example is based on an investment of $1,000 invested in the Funds on June 30, 2016 and held through December 31, 2016.
The first line of the table below provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6) and then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period.”
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid by a shareholder for the period. Shareholders may use this information to compare the ongoing expenses of investing in the Funds and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in other funds’ shareholder reports.
Beginning Account Value June 30, 2016 | Ending Account Value December 31, 2016 | Expenses Paid During Period* July 1, 2016 – December 31, 2016 | ||||||||||
Johnson Equity Income Fund | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,013.75 | $ | 5.11 | ||||||
Hypothetical Return | $ | 1,000.00 | $ | 1,020.16 | $ | 5.14 | ||||||
Johnson Growth Fund | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,026,36 | $ | 5.17 | ||||||
Hypothetical Return | $ | 1,000.00 | $ | 1,020.16 | $ | 5.14 | ||||||
Johnson Opportunity Fund | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,055.34 | $ | 5.32 | ||||||
Hypothetical Return | $ | 1,000.00 | $ | 1,020.16 | $ | 5.14 | ||||||
Johnson Realty Fund | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 964.14 | $ | 4.86 | ||||||
Hypothetical Return | $ | 1,000.00 | $ | 1,020.16 | $ | 5.14 | ||||||
Johnson International Fund | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,008.01 | $ | 5.08 | ||||||
Hypothetical Return | $ | 1,000.00 | $ | 1,020.16 | $ | 5.14 | ||||||
Johnson Fixed Income Fund | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 980.13 | $ | 4.20 | ||||||
Hypothetical Return | $ | 1,000.00 | $ | 1,020.92 | $ | 4.37 | ||||||
Johnson Municipal Income Fund | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 982.47 | $ | 3.22 | ||||||
Hypothetical Return | $ | 1,000.00 | $ | 1,021.93 | $ | 3.35 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). For the Equity Income, Growth, Opportunity, Realty and International Funds, the expense ratio is 1.00%; for the Fixed Income Fund, the expense ratio is 0.85%; and for the Municipal Income Fund, the expense ratio is 0.65%. |
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Proxy Disclosure
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how the Funds voted those proxies during the most recent 12-month period ended June 30 are available without charge: (1) upon request by calling the Funds at 513-661-3100 or toll free at 1-800-541-0170; or (2) from the Fund’s documents filed with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.
Availability of Schedules of Portfolio Investments:
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available, without charge, (1) upon request by calling the Funds at 513-661-3100 or toll free at 1-800-541-0170; or (2) from the Fund’s documents filed with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.
Code of Ethics
The Trust’s Code of Ethics is available on request without charge; please call for your copy at 513-661-3100 or 1-800-541-0170 or write us at:
Johnson Mutual Funds
3777 West Fork Road
Cincinnati OH 45247
52
To the Shareholders and Board of Trustees of
Johnson Mutual Funds Trust
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Johnson Equity Income Fund, Johnson Growth Fund, Johnson Opportunity Fund, Johnson Realty Fund, Johnson International Fund, Johnson Fixed Income Fund, and Johnson Municipal Income Fund (the “Funds”), each a series of Johnson Mutual Funds Trust, as of December 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds constituting Johnson Mutual Funds Trust as of December 31, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/ COHEN & COMPANY, LTD.
Cleveland, Ohio
February 28, 2017
53
Information pertaining to the Trustees and Officers of the Funds is provided below. Trustees who are not deemed to be interested persons of the Funds, as defined in the Investment Company Act of 1940, are referred to as Independent Trustees. Trustees who are deemed to be “interested persons” of the Funds are referred to as Interested Trustees. The Statement of Additional Information includes additional information about the Funds’ Trustees and may be obtained without charge by calling (513) 661-3100 or (800) 541-0170.
Name, Address and Age | Current Position Held with Trust | Year Service Commenced | Principal Occupation During Past Five Years | Number of Portfolios Overseen | Other Directorships Held During the Past Five Years | |||||
Interested Trustee | ||||||||||
Timothy E. Johnson (74) 3777 West Fork Road Cincinnati, Ohio 45247 | Trustee | Since 1992 | Chairman of Johnson Investment Counsel, Inc., the Trust’s Adviser, and Professor of Finance at the University of Cincinnati; previously President of the Adviser until October 2013. | 11 | None | |||||
Independent Trustees | ||||||||||
Ronald H. McSwain (74) 3777 West Fork Road Cincinnati, Ohio 45247 | Chairman and Trustee | Since 1992 | President of McSwain Carpets, Inc. until 2001; partner of P&R Realty, a real estate development partnership since 1984 | 11 | None | |||||
John R. Green (74) 3777 West Fork Road Cincinnati, Ohio 45247 | Trustee | Since 2006 | Retired from The Procter & Gamble Company | 11 | None | |||||
James J. Berrens (51) 3777 West Fork Road Cincinnati, Ohio 45247 | Trustee | Since 2006 | Chief Executive Officer since May 2015, Chief Financial Officer September 2010 to May 2015 for Christian Community Health | 11 | None | |||||
Dr. Jeri B. Ricketts (59) 3777 West Fork Road Cincinnati, Ohio 45247 | Trustee | Since 2013 | Director of Carl H. Lindner Honors-PLUS Program, University of Cincinnati, since 2002; Associate Professor in Accounting, University of Cincinnati since 1986. | 11 | None |
54
Name, Address and Age | Current Position Held with Trust | Year Service Commenced | Principal Occupation During Past Five Years | Number of Portfolios Overseen | Other Directorships Held During the Past Five Years | |||||
Officers | ||||||||||
Jason O. Jackman (46) 3777 West Fork Road Cincinnati, Ohio 45247 | President | Since 2013 | President and Chief Investment Officer of the Adviser since October 2013; Director of Fixed Income and Institutional Management March 2004 to October 2013. | N/A | N/A | |||||
Dale H. Coates (58) 3777 West Fork Road Cincinnati, Ohio 45247 | Vice President | Since 1992 | Portfolio Manager of the Trust’s Adviser | N/A | N/A | |||||
Marc E. Figgins (52) 3777 West Fork Road Cincinnati, Ohio 45247 | Chief Financial Officer and Treasurer | Since 2002 | Mutual Funds Manager for Johnson Financial, Inc. | N/A | N/A | |||||
Scott J. Bischoff (50) 3777 West Fork Road Cincinnati, Ohio 45247 | Chief Compliance Officer | Since 2005 | Director of Operations of the Trust’s Adviser; Chief Compliance Officer of the Adviser | N/A | N/A | |||||
Jennifer J. Kelhoffer (45) 3777 West Fork Road Cincinnati, Ohio 45247 | Secretary | Since 2007 | Compliance Associate for the Adviser since March 2006 | N/A | N/A |
55
Trustees and Officers
Ronald H. McSwain | Independent Trustee, Chairman | |||
Timothy E. Johnson | Interested Trustee | |||
James J. Berrens | Independent Trustee | |||
John R. Green | Independent Trustee | |||
Jeri B. Ricketts | Independent Trustee | |||
Jason Jackman | President | |||
Dale H. Coates | Vice President | |||
Scott J. Bischoff | Chief Compliance Officer | |||
Marc E. Figgins | Chief Financial Officer, Treasurer | |||
Jennifer J. Kelhoffer | Secretary |
Transfer Agent and Fund Accountant
Johnson Financial, Inc.
3777 West Fork Road
Cincinnati, Ohio 45247
(513) 661-3100 (800) 541-0170
Custodian
US Bank
425 Walnut Street
Cincinnati, Ohio 45202
Independent Registered Public Accounting Firm
Cohen & Company
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115
Legal Counsel
Thompson Hine LLP
312 Walnut Street, 14th Floor
Cincinnati, Ohio 45202
This report is authorized for distribution to prospective investors only when accompanied or preceded
by the Funds’ prospectus, which illustrates each Fund’s objectives, policies, management fees,
and other information that may be helpful in making an investment decision.
Investment Company Act #811-7254
Annual
Report
December 31, 2016
t | Johnson Institutional Short Duration Bond Fund |
t | Johnson Institutional Intermediate Bond Fund |
t | Johnson Institutional Core Bond Fund |
t | Johnson Enhanced Return Fund |
Johnson Mutual Funds Trust
3777 West Fork Road | Cincinnati, OH | 45247
(513) 661-3100 (800) 541-0170 fax (513) 661-4901
www.johnsonmutualfunds.com
Table of Contents
Our Message to You | 1 | |||
Performance Review and Management Discussion | ||||
Institutional Short Duration Bond Fund | 2 | |||
Institutional Intermediate Bond Fund | 3 | |||
Institutional Core Bond Fund | 4 | |||
Enhanced Return Fund | 5 | |||
Portfolio of Investments | ||||
Institutional Short Duration Bond Fund | 6 | |||
Institutional Intermediate Bond Fund | 9 | |||
Institutional Core Bond Fund | 12 | |||
Enhanced Return Fund | 15 | |||
Statements of Assets and Liabilities | 18 | |||
Statements of Operations | 19 | |||
Statements of Changes in Net Assets | 20 | |||
Financial Highlights | ||||
Institutional Short Duration Bond Fund | 21 | |||
Institutional Intermediate Bond Fund | 22 | |||
Institutional Core Bond Fund | 23 | |||
Enhanced Return Fund | 24 | |||
Notes to the Financial Statements | 25 | |||
Disclosure of Expenses | 33 | |||
Additional Information | 34 | |||
Report of Independent Registered Public Accounting Firm | 35 | |||
Trustees and Officers Table | 36 | |||
Trustees & Officers, Transfer Agent & Fund Accountant, Custodian, Independent Registered Public Accounting Firm, Legal Counsel | Back Page |
We are pleased to present you with the Johnson Mutual Funds’ December 31, 2016 Annual Report. On the following pages, we have provided commentary on the performance of each of the Funds for 2016 as well as the relative performance compared to an appropriate index. The remainder of the report provides the holdings of each Johnson Mutual Fund as well as other financial data and notes.
An eventful fourth quarter provided a fitting conclusion to a year that brought significant and often surprising changes in the world and the financial markets. November election results in the U.S. boosted stocks to a strong finish. The Dow Jones Industrial Average gained 6.7% between Election Day and year-end, and nearly reached 20,000 for the first time. The four major U.S. stock indices simultaneously hit all-time highs for the first time since 1999. There were other major moves in addition to stocks, particularly in bond yields and oil prices, both of which essentially doubled during the course of the year.
Market and economic sentiment are at high levels entering 2017, but that was far from true in the early months of 2016. Fears of recession along with China-induced economic distress sent markets tumbling in January and February, and pessimism regarding economic prospects was widespread. Those fears eased in the spring only to be briefly reignited by the shocking outcome of the Brexit vote. Again the market recovered quickly after a short-lived sell-off. Stock futures tumbled as election results rolled in overnight on November 8th, but by morning they had stabilized and a market rally ensued over the following weeks. In the end, an improving economic picture, improving corporate earnings growth, central bank policy, and optimism about potential pro-growth policy changes in the U.S. propelled stocks to healthy gains for the year.
The election set off a spike in bond yields even before the Fed announced its second hike in December. Yields rose abruptly in the wake of the election, dragging down the Bloomberg Barclays Aggregate Bond Index by 2.4% in November, making November the fourth-worst month for bonds since 1994. For the year, this index still returned 2.7%.
While rapidly rising rates may cause bond investors short-term pain, there are also some advantages. First, the upward pressure on yields helped correct an ongoing structural dislocation between bond yields and economic fundamentals. Given the potential for meaningful fiscal stimulus in the coming years, it makes sense that inflation expectations would rise, and for rates to price in modestly better future growth. That is precisely what happened, with inflation and growth expectations both contributing almost equally to the rate increase. The bond market now appears more fairly valued. Next, the long-term benefit of investing at higher yields almost always outweighs the short-term pain of rising rates. As interest rates rise, bond returns may turn negative for short periods, but patient investors are generally rewarded over the following three-to-five year periods.
In order to extend losses and break this pattern, rates would need to rise well above the Fed’s current estimate of long-run equilibrium. The Fed estimates that the Fed Funds rate will plateau at 3.0%, implying longer-dated bond yields don’t have much room to rise beyond current levels. Though fiscal stimulus may help improve economic growth over the short run, our economy faces several long-term structural issues that likely limit the amount rates will rise. Elevated corporate leverage, an aging population, large government deficits, and stubbornly-low productivity are all long-term economic headwinds that will help constrain the terminal rate. In the end, the post-election adjustment in rates has brought yields back to more reasonable levels. We believe that the correction has helped improve the return outlook for traditional bonds going forward.
Thanks again for the opportunity to serve you. We greatly value our relationships with clients and look forward to working with you in the years ahead.
Sincerely,
Jason O. Jackman, CFA, President
1
The Johnson Institutional Short Duration Bond Fund provided a total return of 1.68% during 2016, compared to a 1.29% return for the Bank of America/Merrill Lynch 1 – 3 Year US Corporate & Government Index. Despite significant midyear volatility, interest rates rose only modestly higher for the full year.
Bond yields began the year at somewhat elevated levels, and the Fund maintained a neutral duration relative to the benchmark as a result. During the first half of the year, bond yields fell as energy prices declined and investors grew anxious over Britain’s vote to leave the European Union. As rates fell, the Fund shortened its duration relative to the benchmark. This positioning was beneficial to relative returns, as rates rose in response to the Presidential Election as well as the Federal Reserve’s (the “Fed”) decision to raise rates once again.
Meanwhile, credit spreads began the year at relatively wide levels, as fear of energy related defaults reverberated throughout the credit market. Spreads continued to widen until mid-February. However, as the price of oil stabilized, credit spreads tightened and led to positive excess returns for credit during the year. Sector performance was uneven though, with financials tightening less than industrials and utilities as energy related industrial credits recovered more than their prior losses. The Fund’s overweight to corporate bonds was a significant driver of performance relative to the Fund’s benchmark during the year, while its focus on high quality credits with lower spread volatility tempered returns. More than 60% of the Fund’s bond allocation is to investment-grade rated corporate securities which is greater than the Fund’s benchmark index and a key reason why the yield is traditionally higher in the Fund. Over time, this yield advantage is critical to the Fund’s ability to outperform its benchmark. It can also be a helpful strategy to protect against rising interest rates.
Looking forward into next year, we expect the Fed will likely continue to tighten monetary policy, albeit gradually. Although growth in the US has been somewhat disappointing, the promise of fiscal stimulus may provide an economic tailwind in the coming year. Manufacturing has improved alongside the rebound in energy prices and the consumer should continue to benefit from rising wages and solid job creation. Continued improvement in global economic growth as well as powerful global Central Bank stimulus may lead to a continued tightening of credit spreads and the Fund’s overweight to corporate bonds should benefit as a result. The Fund’s duration is slightly short to that of its benchmark and the addition of securities such as floating rate and step-up coupon bonds will help serve as a cushion to rising rates. While inflation expectations have rebounded, the Fund has maintained a position in Treasury Inflation Protected Securities which will benefit as inflation returns to historic averages. Finally, we anticipate continued upward pressure on short maturity bond yields, leading to a slightly muted total return outlook. However, the potential move upward should provide an opportunity to enhance the Fund’s yield over time.
Average Annual Total Returns as of December 31, 2016 | ||||||||
Johnson Institutional Short Duration Bond Fund | B of A/ML 1 – 3 Year US Corp/Gov’t Index | |||||||
One Year | 1.68 | % | 1.29 | % | ||||
Five Years | 1.26 | % | 0.98 | % | ||||
Ten Years | 2.92 | % | 2.45 | % |
A high level of income over the long term consistent with capital preservation is the objective of the Johnson Institutional Short Duration Bond Fund. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 0.236%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees and expenses, whereas neither Index incurs fees or expenses. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Bank of America/Merrill Lynch 1 – 3 Year US Corporate & Government Index is the established benchmark. A shareholder cannot invest directly in the Index. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
2
The Johnson Institutional Intermediate Bond Fund provided a total return of 3.37% during 2016, compared to a 2.08% return for the Bloomberg Barclay’s Capital Intermediate Government Credit Index. Despite significant midyear volatility, interest rates rose only modestly higher for the full year.
Bond yields began the year at somewhat elevated levels, and the Fund maintained a neutral duration relative to the benchmark as a result. During the first half of the year, bond yields fell as energy prices declined and investors grew anxious over Britain’s vote to leave the European Union. As rates fell, the Fund shortened its duration relative to the benchmark. This positioning was beneficial to relative returns, as rates rose in response to the Presidential Election as well as the Federal Reserve’s (the “Fed”) decision to raise rates once again.
Meanwhile, credit spreads began the year at relatively wide levels, as fear of energy related defaults reverberated throughout the credit market. Spreads continued to widen until mid-February. However, as the price of oil stabilized, credit spreads tightened and led to positive excess returns for credit during the year. Sector performance was uneven though, with financials tightening less than industrials and utilities as energy related industrial credits recovered more than their prior losses. The Fund’s overweight to corporate bonds was a significant driver of performance relative to the Fund’s benchmark during the year, while its focus on high quality credits with lower spread volatility tempered returns. More than half of the Fund’s bond allocation is to investment-grade rated corporate securities which is greater than the Fund’s benchmark index and a key reason why the yield is traditionally higher in the Fund. Over time, this yield advantage is critical to the Fund’s ability to outperform its benchmark. It can also be a helpful strategy to protect against rising interest rates.
Looking forward into next year, we expect the Fed will likely continue to tighten monetary policy, albeit gradually. Although growth in the US has been somewhat disappointing, the promise of fiscal stimulus may provide an economic tailwind in the coming year. Manufacturing has improved alongside the rebound in energy prices and the consumer should continue to benefit from rising wages and solid job creation. Continued improvement in global economic growth as well as powerful global Central Bank stimulus may lead to a continued tightening of credit spreads and the Fund’s overweight to corporate bonds should benefit as a result. The Fund’s duration is slightly short to that of its benchmark and the addition of securities such as floating rate and step-up coupon bonds will help serve as a cushion to rising rates. While inflation expectations have rebounded, the Fund has maintained a position in Treasury Inflation Protected Securities which will benefit as inflation returns to historic averages. Finally, we anticipate continued upward pressure on intermediate bond yields, leading to a slightly muted total return outlook. However, the potential move upward should provide an opportunity to enhance the Fund’s yield over time.
Average Annual Total Returns as of December 31, 2016 | ||||||||
Johnson Institutional Intermediate Bond Fund | Bloomberg Barclays Capital Intermediate Gov’t Credit Index | |||||||
One Year | 3.37 | % | 2.08 | % | ||||
Five Years | 2.50 | % | 1.85 | % | ||||
Ten Years | 4.43 | % | 3.84 | % |
A high level of income over the long term consistent with capital preservation is the objective of the Johnson Institutional Intermediate Bond Fund. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 0.236%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees and expenses, whereas neither Index incurs fees nor expenses. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Bloomberg Barclays Intermediate Government Credit Index is the established benchmark. A shareholder cannot invest directly in the Index. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
3
The Johnson Institutional Core Bond Fund provided a total return of 3.67% during 2016, compared to a 2.65% return for the Bloomberg Barclays Capital Aggregate Index. Despite significant midyear volatility, interest rates rose only modestly higher for the full year.
Bond yields began the year at somewhat elevated levels, and the Fund maintained a neutral duration relative to the benchmark as a result. During the first half of the year, bond yields fell as energy prices declined and investors grew anxious over Britain’s vote to leave the European Union. As rates fell, the Fund shortened its duration relative to the benchmark. This positioning was beneficial to relative returns, as rates rose in response to the Presidential Election as well as the Fed’s decision to raise rates once again.
Meanwhile, credit spreads began the year at relatively wide levels, as fear of energy related defaults reverberated throughout the credit market. Spreads continued to widen until mid-February. However, as the price of oil stabilized, credit spreads tightened and led to positive excess returns for credit during the year. Sector performance was uneven though, with financials tightening less than industrials and utilities as energy related industrial credits recovered more than their prior losses. The Fund’s overweight to corporate bonds was a significant driver of performance relative to the Fund’s benchmark during the year, while its focus on high quality credits with lower spread volatility tempered returns. More than half of the Fund’s bond allocation is to investment-grade rated corporate securities which is greater than the Fund’s benchmark index and a key reason why the yield is traditionally higher in the Fund. Over time, this yield advantage is critical to the Fund’s ability to outperform its benchmark. It can also be a helpful strategy to protect against rising interest rates.
Looking forward into next year, we expect the Fed will likely continue to tighten monetary policy, albeit gradually. Although growth in the US has been somewhat disappointing, the promise of fiscal stimulus may provide an economic tailwind in the coming year. Manufacturing has improved alongside the rebound in energy prices and the consumer should continue to benefit from rising wages and solid job creation. Continued improvement in global economic growth as well as powerful global Central Bank stimulus may lead to a continued tightening of credit spreads and the Fund’s overweight to corporate bonds should benefit as a result. The Fund’s duration is slightly short to that of its benchmark and the addition of securities such as floating rate and step-up coupon bonds will help serve as a cushion to rising rates. While inflation expectations have rebounded, the Fund has maintained a position in Treasury Inflation Protected Securities which will benefit as inflation returns to historic averages. Finally, we anticipate continued upward pressure on intermediate bond yields, leading to a slightly muted total return outlook. However, the potential move upward should provide an opportunity to enhance the Fund’s yield over time.
Average Annual Total Returns as of December 31, 2016 | ||||||||
Johnson Institutional Core Bond Fund | Bloomberg Barclays Capital Aggregate Index | |||||||
One Year | 3.67 | % | 2.65 | % | ||||
Five Years | 2.91 | % | 2.23 | % | ||||
Ten Years | 5.27 | % | 4.34 | % |
A high level of income over the long term consistent with capital preservation is the objective of the Johnson Institutional Core Bond Fund, and the primary assets are investment-grade government and corporate bonds. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 0.236%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees and expenses, whereas neither Index incurs fees or expenses. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Bloomberg Barclays Capital Aggregate Index is the established benchmark. A shareholder cannot invest directly in the Index. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
4
The total return for the Johnson Enhanced Return Fund for 2016 was 12.89% compared to 11.96% for the S&P 500 Index. The outperformance continues to be driven by effective management of the bond portion of the portfolio compared to the cost of carry in the futures contracts.
Stocks were volatile during 2016, experiencing a correction of more than 10% in January before rallying to more than recover those declines. A surprising vote by the British electorate to exit the European Union caused a sharp pullback in late June, but it proved to be short-lived as markets recovered quickly. In November, stock futures plummeted overnight as election results came in, only to stabilize the next morning and rally over the following weeks. In the end, an improving economic picture and optimism about potential pro-growth policy changes in the U.S. propelled stocks to healthy gains for the year. Meanwhile, the Federal Reserve (the “Fed”) chose to wait until December to hike interest rates an additional 25 basis points. Although the Fed anticipated as many as four rate increases during 2016, they chose to be patient after incoming economic data suggested modest growth and a benign inflation outlook. The pace of potential rate increases continues to be instrumental in our strategic positioning of the underlying bond portfolio.
After experiencing significant midyear volatility, interest rates moved higher for short duration fixed income securities in 2016. During the first half of the year, bond yields fell as energy prices declined and investors grew anxious over Britain’s vote to leave the European Union. As rates declined, the Fund shortened its duration, which was beneficial as yields rose later in the year in response to the Presidential Election as well as the Fed’s decision to raise rates once again. Although rising government bond yields were a modest drag to Fund performance in 2016, the Fund benefited from tightening spreads on its corporate bond holdings, leading to good performance overall relative to the Fund’s benchmark. The Fund continues to have a yield advantage over the cost of carry in the futures contracts due to the upward sloping yield curve and relatively attractive corporate yield spreads. More than half of the Fund’s bond allocation is to investment-grade rated corporate securities. Over time, this yield advantage is critical to the Fund’s ability to outperform its benchmark. It can also be a helpful strategy to protect against rising rates.
Looking forward into 2017, we expect the Fed will likely continue to tighten monetary policy, albeit gradually. The Fund is positioned defensively against this risk, maintaining a short duration stance and holding securities such as floating rate and step-up coupon bonds which will help serve as a cushion to higher rates. While inflation expectations have rebounded, the Fund has maintained a position in Treasury Inflation Protected Securities which will benefit as inflation returns to historic averages. Finally, we anticipate upward pressure on short and intermediate bond yields to develop over time, which should provide an opportunity to extend duration in the future and further enhance the Fund’s yield advantage.
Average Annual Total Returns as of December 31, 2016 | ||||||||
Enhanced Return Fund | S&P 500 Index | |||||||
One Year | 12.89 | % | 11.96 | % | ||||
Five Years | 15.28 | % | 14.66 | % | ||||
Ten Years | 8.01 | % | 6.95 | % |
Outperforming the Fund’s benchmark, the S&P 500 Index, over a full market cycle is the objective of the Johnson Enhanced Return Fund, and the primary assets are stock index futures contracts and short-term investment-grade fixed income securities. The data on this page is unaudited. The data on this page represents past performance and is not a guarantee of future results. As of the Fund’s most recent prospectus dated May 1, 2016, the Fund’s total operating expense ratio was 0.36%. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The average annual total return numbers include changes in the Fund’s or Index’s share price, plus reinvestment of any income and capital gains. The Fund’s performance is after all fees and expenses, whereas the Index does not incur fees or expenses. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. A shareholder cannot invest directly in the S&P 500 Index. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month end, please call 1-800-541-0170.
5
Fixed Income Securities | Face Value | Fair Value | ||||||
Corporate Bonds: | ||||||||
Finance | ||||||||
American Express Senior Unsecured Notes, 6.000% Due 09/13/2017 | 1,400,000 | $ | 1,443,280 | |||||
American Express Senior Unsecured Notes, 6.150% Due 08/28/2017 | 1,000,000 | 1,029,835 | ||||||
AON Corp. Senior Unsecured Notes, 5.000% Due 09/30/2020 | 2,100,000 | 2,262,223 | ||||||
BB&T Corp. Subordinated Notes, 5.250% Due 11/01/2019 | 2,400,000 | 2,592,991 | ||||||
ERP Operating LP Senior Unsecured Notes, 5.750% Due 06/15/2017 | 1,808,000 | 1,843,424 | ||||||
Fifth Third Bancorp Subordinated Notes, 4.500% Due 06/01/2018 | 819,000 | 844,835 | ||||||
Fifth Third Bancorp Subordinated Notes, 5.450% Due 01/15/2017 | 458,000 | 458,629 | ||||||
Goldman Sachs Group Inc. Senior Unsecured Floating Rate Notes, 1.586% Due 05/22/2017** | 2,500,000 | 2,504,230 | ||||||
Huntington Bancshares Senior Unsecured Notes, 2.300% Due 01/14/2022 | 2,190,000 | 2,124,048 | ||||||
JPMorgan Chase & Co. Senior Unsecured Notes, 2.750% Due 06/23/2020 | 1,700,000 | 1,715,375 | ||||||
JPMorgan Chase & Co. Subordinated Notes, 6.000% Due 10/01/2017 | 770,000 | 794,628 | ||||||
Key Bank NA Subordinated Notes, 4.625% Due 06/15/2018 | 1,000,000 | 1,027,599 | ||||||
Keycorp Senior Unsecured Notes, 5.100% Due 03/24/2021 | 1,100,000 | 1,202,887 | ||||||
Manufacturers and Traders Trust Co. Subordinated Notes, 6.625% Due 12/04/2017 | 2,400,000 | 2,505,497 | ||||||
Marsh & McLennan Companies Inc. Senior Unsecured Notes, 2.300% Due 04/01/2017 | 2,400,000 | 2,399,234 | ||||||
Morgan Stanley Senior Unsecured Notes, 2.125% Due 04/25/2018 | 2,450,000 | 2,459,761 | ||||||
MUFG Americas Holdings Corp. Senior Unsecured Notes, 2.250% Due 02/10/2020 | 1,500,000 | 1,484,020 | ||||||
National City Corp. Subordinated Notes, 6.875% Due 05/15/2019 | 1,000,000 | 1,100,685 |
Fixed Income Securities | Face Value | Fair Value | ||||||
PNC Bank NA Subordinated Notes, 4.875% Due 09/21/2017 | 1,250,000 | $ | 1,279,896 | |||||
Prudential Financial Inc. Senior Unsecured Notes, 5.375% Due 06/21/2020 | 750,000 | 821,515 | ||||||
Suntrust Banks Inc. Senior Unsecured Notes, 6.000% Due 09/11/2017 | 1,858,000 | 1,913,617 | ||||||
Wells Fargo & Co. Senior Unsecured Notes, 2.100% Due 07/26/2021 | 2,500,000 | 2,432,637 | ||||||
29.1% – Total Finance | $ | 36,240,846 | ||||||
Industrial | ||||||||
AT&T Inc. Senior Unsecured Notes, 4.600% Due 02/15/2021 | 2,200,000 | 2,326,892 | ||||||
Becton Dickinson Senior Unsecured Notes, 2.675% Due 12/15/2019 | 80,000 | 81,169 | ||||||
Becton Dickinson Senior Unsecured Notes, 6.375% Due 08/01/2019 | 2,000,000 | 2,211,848 | ||||||
BP Capital Markets PLC Senior Unsecured Notes, 1.846% Due 05/05/2017 | 1,440,000 | 1,443,132 | ||||||
Burlington Northern Santa Fe Senior Unsecured Notes, 4.700% Due 10/01/2019 | 500,000 | 537,717 | ||||||
Chevron Corp. Senior Unsecured Floating Rate Note, 1.861% Due 05/16/2021** | 1,000,000 | 1,006,283 | ||||||
Chevron Corp. Senior Unsecured Note, 2.427% Due 06/24/2020 | 1,945,000 | 1,963,777 | ||||||
CR Bard Inc. Senior Unsecured Notes, 1.375% Due 01/15/2018 | 2,170,000 | 2,165,530 | ||||||
Dover Corp. Senior Unsecured Notes, 5.450% Due 03/15/2018 | 1,127,000 | 1,181,253 | ||||||
Eaton Electric Holdings Senior Unsecured Notes, 3.875% Due 12/15/2020 | 1,699,000 | 1,772,560 | ||||||
General Electric Capital Corp. Senior Unsecured Notes, 1.680% Due 04/15/2020** | 1,380,000 | 1,401,364 | ||||||
General Electric Capital Corp. Senior Unsecured Notes, 1.963% Due 03/15/2023** | 2,000,000 | 2,026,048 | ||||||
Kroger Co. Senior Unsecured Notes, 6.150% Due 01/15/2020 | 1,400,000 | 1,549,836 |
The accompanying notes are an integral part of these financial statements.
6
Fixed Income Securities | Face Value | Fair Value | ||||||
Norfolk Southern Corp. Senior Unsecured Notes, 5.750% Due 04/01/2018 | 1,000,000 | $ | 1,049,975 | |||||
Schlumberger Norge AS Senior Unsecured Notes, 1.250% Due 08/01/2017* | 2,400,000 | 2,397,086 | ||||||
Shell International Senior Unsecured Notes, 4.375% Due 03/25/2020 | 2,250,000 | 2,403,578 | ||||||
Union Pacific Corp. Senior Unsecured Notes, 5.650% Due 05/01/2017 | 1,575,000 | 1,598,901 | ||||||
United Technologies Junior Subordinated Notes, 1.778% Due 05/04/2018** | 3,000,000 | 3,000,654 | ||||||
Verizon Communications Senior Unsecured Notes, 4.500% Due 09/15/2020 | 2,000,000 | 2,140,226 | ||||||
26.0% – Total Industrial | $ | 32,257,829 | ||||||
Utilities | ||||||||
Berkshire Hathaway Energy Senior Unsecured Notes, 5.750% Due 04/01/2018 | 1,000,000 | 1,051,137 | ||||||
Duke Energy Corp. Senior Unsecured Notes, 5.050% Due 09/15/2019 | 2,194,000 | 2,365,211 | ||||||
Enterprise Products Senior Unsecured Notes, 6.500% Due 01/31/2019 | 2,000,000 | 2,180,168 | ||||||
Eversource Energy Senior Unsecured Notes, 1.450% Due 05/01/2018 | 1,600,000 | 1,594,738 | ||||||
Georgia Power Co. Senior Unsecured Notes, 4.250% Due 12/01/2019 | 1,040,000 | 1,104,049 | ||||||
Georgia Power Co. Senior Unsecured Notes, 5.700% Due 06/01/2017 | 1,000,000 | 1,018,138 | ||||||
Interstate Power & Light Senior Unsecured Notes, 3.650% Due 09/01/2020 | 600,000 | 621,659 | ||||||
National Rural Utilites Corp. Collateral Trust Notes, 5.450% Due 02/01/2018 | 1,000,000 | 1,042,929 | ||||||
National Rural Utilites Corp. Collateral Trust Notes, 5.450% Due 04/10/2017 | 1,150,000 | 1,163,020 |
Fixed Income Securities | Face Value | Fair Value | ||||||
Northern Natural Gas Senior Unsecured Notes, 5.750% Due 07/15/2018* | 1,280,000 | $ | 1,353,119 | |||||
NStar Senior Unsecured Notes, 4.500% Due 11/15/2019 | 600,000 | 636,857 | ||||||
Virginia Electric & Power Co. Senior Unsecured Notes, 5.400% Due 04/30/2018 | 1,000,000 | 1,048,506 | ||||||
Williams Partners LP Senior Unsecured Notes, 7.250% Due 02/01/2017 | 1,205,000 | 1,209,707 | ||||||
Xcel Energy Inc. Senior Unsecured Notes, 4.700% Due 05/15/2020 | 437,000 | 464,749 | ||||||
13.6% – Total Utilities | $ | 16,853,987 | ||||||
68.7% Total Corporate Bonds | $ | 85,352,662 | ||||||
United States Government Treasury Obligations | ||||||||
Treasury Inflation Protected Security, 0.125% Due 04/15/2018 | 4,182,720 | 4,220,762 | ||||||
United States Treasury Floating Rate Notes, 0.746% Due 04/30/2018** | 1,000,000 | 1,001,753 | ||||||
United States Treasury Floating Rate Notes, 0.726% Due 10/31/2018** | 5,000,000 | 5,000,435 | ||||||
United States Treasury Notes, 0.750% Due 10/31/2017 | 5,000,000 | 4,995,510 | ||||||
12.2% – Total United States Government Treasury Obligations | $ | 15,218,460 | ||||||
United States Government Agency Obligations | ||||||||
FHLMC Step-up Coupon Notes, 1.400% Due 05/25/2021** | 2,500,000 | 2,491,240 | ||||||
FHLMC Step-up Coupon Notes, 1.000% Due 07/27/2021** | 1,800,000 | 1,759,930 | ||||||
FHLMC Step-up Coupon Notes, 1.050% Due 08/24/2021** | 1,500,000 | 1,476,547 | ||||||
FHLMC Step-up Coupon Notes, 1.100% Due 11/23/2021** | 2,000,000 | 1,965,196 | ||||||
FHLMC Step-up Coupon Notes, 1.500% Due 12/30/2021** | 2,000,000 | 1,999,900 | ||||||
FHLMC Step-up Coupon Notes, 1.500% Due 06/07/2021** | 1,380,000 | 1,378,987 |
The accompanying notes are an integral part of these financial statements.
7
Fixed Income Securities | Face Value | Fair Value | ||||||
FHLMC Step-up Coupon Notes, 1.500% Due 06/21/2021** | 2,000,000 | $ | 1,986,340 | |||||
10.5% – Total United States Government Agency Obligations | $ | 13,058,140 | ||||||
United States Government Agency Obligations – Mortgage-Backed Securities | ||||||||
FHLMC 10/1 Hybrid ARM, 3.268% Due 04/01/2042** | 610,872 | 628,903 | ||||||
FHLMC CMO Series 2989 Class TG, 5.000% Due 06/15/2025 | 749,996 | 809,357 | ||||||
FHLMC CMO Series 3925 Class VA, 4.000% Due 11/15/2022 | 877,019 | 889,963 | ||||||
FHLMC CMO Series 4009 Class PA, 2.000% Due 06/15/2041 | 541,530 | 533,458 | ||||||
FHLMC CMO Series 4017 Class MA, 3.000% Due 03/15/2041 | 554,799 | 562,973 | ||||||
FNMA 7/1 Hybrid ARM, 2.761% Due 02/01/2046** | 1,025,223 | 1,046,045 | ||||||
FNMA 7/1 Hybrid ARM, 2.800% Due 12/01/2044** | 870,173 | 891,947 | ||||||
FNMA CMO Series 2003-79 Class NJ, 5.000% Due 08/25/2023 | 520,539 | 554,960 | ||||||
FNMA Partner Certificate Pool MA0384, 5.000% Due 04/01/2030 | 990,919 | 1,081,218 | ||||||
GNMA CMO Pool 2004-95 Class QA, 4.500% Due 03/20/2034 | 59,249 | 62,248 | ||||||
GNMA Pool 726475, 4.000% Due 11/15/2024 | 297,606 | 308,436 | ||||||
5.9% – Total United States Government Agency Obligations – Mortgage-Backed Securities | $7,369,508 |
Fixed Income Securities | Face Value | Fair Value | ||||||
Taxable Municipal Bonds | ||||||||
Ohio Higher Education Facilities – Cleveland Clinic Health Systems, 2.731% Due 01/01/2017 | 1,110,000 | $ | 1,110,000 | |||||
0.9% – Total Taxable Municipal Bonds | $ | 1,110,000 | ||||||
Total Fixed Income Securities 98.2% | $ | 122,108,770 | ||||||
(Identified Cost $122,564,129) |
Cash Equivalents | Shares | |||||||
First American Government Obligation Fund, Class Z, 0.43%** | 1,252,222 | 1,252,222 | ||||||
Total Cash Equivalents 1.0% | $ | 1,252,222 | ||||||
(Identified Cost $1,252,222) | ||||||||
Total Portfolio Value 99.2% | $ | 123,360,992 | ||||||
(Identified Cost $123,816,351) | ||||||||
Other Assets in Excess of Liabilities 0.8% | $ | 1,012,204 | ||||||
Total Net Assets 100.0% | $ | 124,373,196 |
* | 144A Restricted Security. The total fair value of such securities as of December 31, 2016 was $3,750,205 and represented 3.02% of net assets. |
- | Schlumberger Norge Bond, Lot 1, purchased on June 23, 2016, for $999,810; price on December 31, 2016 was $99.879. |
- | Northern Natural Gas Co. Bond, Lot 1, was purchased on October 12, 2012, for $1,223,180; price on December 31, 2016 was $105.712. |
- | Northern Natural Gas Co. Bond, Lot 2, was purchased on January 15, 2013, for $72,412.80; price on December 31, 2016 was $105.712. |
- | Northern Natural Gas Co. Bond, Lot 3, was purchased on November 26, 2014, for $249,766; price on December 31, 2016 was $105.712. |
** | Variable Rate Security; the rate shown is as of December 31, 2016. |
ARM – Adjustable Rate Mortgage
CMO – Collateralized Mortgage Obligation
FDIC – Federal Deposit Insurance Corporation
FHLB – Federal Home Loan Bank
FHLMC – Federal Home Loan Mortgage Corporation
FNMA – Federal National Mortgage Association
GNMA – Government National Mortgage Association
The accompanying notes are an integral part of these financial statements.
8
Fixed Income Securities | Face Value | Fair Value | |||||||
Corporate Bonds: | |||||||||
Finance | |||||||||
Ace INA Holdings Senior Unsecured Notes, 2.875% Due 11/03/2022 | 2,000,000 | $ | 2,016,364 | ||||||
American Express Co. Subordinated Notes, 3.6250% Due 12/05/2024 | 1,460,000 | 1,466,052 | |||||||
AON Corp. Senior Unsecured Notes, 4.000% Due 11/27/2023 | 2,116,000 | 2,195,449 | |||||||
BB&T Corp. Subordinated Notes, 3.950% Due 03/22/2022 | 500,000 | 523,798 | |||||||
BB&T Corp. Subordinated Notes, 5.250% Due 11/01/2019 | 1,000,000 | 1,080,413 | |||||||
ERP Operating LP Senior Unsecured Notes, 4.625% Due 12/15/2021 | 1,250,000 | 1,357,757 | |||||||
Fifth Third Bancorp Subordinated Notes, 4.300% Due 01/16/2024 | 2,000,000 | 2,054,320 | |||||||
Huntington Bancshares Senior Unsecured Notes, 2.300% Due 01/14/2022 | 1,600,000 | 1,551,816 | |||||||
JPMorgan Chase & Co. Senior Subordinated Notes, 3.875% Due 09/10/2024 | 1,600,000 | 1,618,939 | |||||||
Key Bank NA Subordinated Notes, 4.625% Due 06/15/2018 | 1,000,000 | 1,027,599 | |||||||
Keycorp Senior Unsecured Notes, 5.100% Due 03/24/2021 | 500,000 | 546,767 | |||||||
Marsh & McLennan Companies Inc. Senior Unsecured Notes, 3.500% Due 06/03/2024 | 1,500,000 | 1,526,365 | |||||||
MUFG Americas Holdings Corp. Senior Unsecured Notes, 3.500% Due 06/18/2022 | 1,290,000 | 1,318,931 | |||||||
PNC Bank NA Subordinated Notes, 6.875% Due 05/15/2019 | 1,500,000 | 1,651,027 | |||||||
Prudential Financial Inc. Senior Unsecured Notes, 4.500% Due 11/15/2020 | 1,000,000 | 1,071,526 | |||||||
Suntrust Banks Inc. Senior Unsecured Notes, 2.900% Due 03/03/2021 | 1,600,000 | 1,622,600 | |||||||
US Bancorp Subordinated Notes, 2.950% Due 07/15/2022 | 1,246,000 | 1,253,385 | |||||||
US Bancorp Subordinated Notes, 3.600% Due 09/11/2024 | 1,000,000 | 1,019,072 |
Fixed Income Securities | Face Value | Fair Value | ||||||
Wells Fargo & Co. Subordinated Notes, 4.300% Due 07/22/2027 | 1,400,000 | $ | 1,440,004 | |||||
Wells Fargo & Co. Subordinated Notes, 4.480% Due 01/16/2024 | 1,220,000 | 1,284,245 | ||||||
24.9% – Total Finance | $ | 27,626,429 | ||||||
Industrial | ||||||||
AT&T Inc. Senior Unsecured Notes, 3.000% Due 02/15/2022 | 1,500,000 | 1,485,358 | ||||||
Becton Dickinson Senior Unsecured Notes, 3.125% Due 11/08/2021 | 1,790,000 | 1,835,160 | ||||||
Chevron Corp. Senior Unsecured Notes, 2.355% Due 12/05/2022 | 1,500,000 | 1,472,038 | ||||||
CR Bard Inc. Senior Unsecured Notes, 4.400% Due 01/15/2021 | 1,310,000 | 1,402,299 | ||||||
CVS Health Corp. Senior Unsecured Notes, 3.500% Due 07/20/2022 | 1,200,000 | 1,232,993 | ||||||
Eaton Corp. Senior Unsecured Notes, 2.750% Due 11/02/2022 | 1,500,000 | 1,485,651 | ||||||
General Electric Capital Corp. Senior Unsecured Notes, 1.680% Due 04/15/2020** | 753,000 | 764,657 | ||||||
General Electric Capital Corp. Senior Unsecured Notes, 1.963% Due 03/15/2023** | 2,230,000 | 2,259,044 | ||||||
Goodrich Corp. Senior Unsecured Notes, 4.875% Due 03/01/2020 | 1,000,000 | 1,072,539 | ||||||
Johnson Controls International PLC, 3.750% Due 12/01/2021 | 990,000 | 1,024,668 | ||||||
Kroger Co. Senior Unsecured Notes, 6.800% Due 12/15/2018 | 1,100,000 | 1,204,167 | ||||||
Norfolk Southern Corp. Senior Unsecured Notes, 5.750% Due 04/01/2018 | 1,000,000 | 1,049,975 | ||||||
Norfolk Southern Corp. Senior Unsecured Notes, 5.900% Due 06/15/2019 | 500,000 | 545,519 | ||||||
Shell International Finance Senior Unsecured Notes, 2.125% Due 05/11/2020 | 1,800,000 | 1,797,849 | ||||||
Shell International Finance Senior Unsecured Notes, 3.250% Due 05/11/2025 | 1,000,000 | 999,180 |
The accompanying notes are an integral part of these financial statements.
9
Fixed Income Securities | Face Value | Fair Value | ||||||
Union Pacific Corp. Senior Unsecured Notes, 5.650% Due 05/01/2017 | 500,000 | $ | 507,588 | |||||
United Technologies Junior Subordinated Notes, 1.778% Due 05/04/2018** | 1,500,000 | 1,500,327 | ||||||
Verizon Communications Senior Unsecured Notes, 4.672% Due 03/15/2055 | 1,782,000 | 1,673,494 | ||||||
21.1% – Total Industrial | $ | 23,312,506 | ||||||
Utilities | ||||||||
Berkshire Hathaway Energy Senior Unsecured Notes, 3.750% Due 11/15/2023 | 1,000,000 | 1,045,705 | ||||||
Berkshire Hathaway Energy Senior Unsecured Notes, 5.750% Due 04/01/2018 | 460,000 | 483,523 | ||||||
Duke Energy Corp. Senior Unsecured Notes, 5.050% Due 09/15/2019 | 620,000 | 668,382 | ||||||
Duke Energy Ohio First Mortgage, 5.450% Due 04/01/2019 | 1,000,000 | 1,075,989 | ||||||
Enterprise Products Senior Unsecured Notes, 3.350% Due 03/15/2023 | 1,500,000 | 1,518,534 | ||||||
Eversource Energy Senior Unsecured Notes, 1.450% Due 05/01/2018 | 1,190,000 | 1,186,086 | ||||||
Georgia Power Co. Senior Unsecured Notes, 2.850% Due 05/15/2022 | 1,111,000 | 1,109,338 | ||||||
National Rural Utilities Corp. Collateral Trust, 10.375% Due 11/01/2018 | 500,000 | 576,614 | ||||||
National Rural Utilities Corp. Collateral Trust, 5.450% Due 02/01/2018 | 1,190,000 | 1,241,086 | ||||||
Northern Natural Gas Senior Unsecured Notes, 5.750% Due 07/15/2018* | 1,000,000 | 1,057,124 | ||||||
NStar Senior Unsecured Notes, 4.500% Due 11/15/2019 | 500,000 | 530,714 | ||||||
Virginia Electric & Power Co. Senior Unsecured Notes, 2.950% Due 01/15/2022 | 415,000 | 420,694 | ||||||
Williams Partners Senior Unsecured Notes, 4.875% Due 05/15/2023 | 1,500,000 | 1,528,002 |
Fixed Income Securities | Face Value | Fair Value | |||||||
Xcel Energy Inc. Senior Unsecured Notes, 4.700% Due 05/15/2020 | 1,000,000 | $ | 1,063,498 | ||||||
12.2% – Total Utilities | $ | 13,505,289 | |||||||
58.2% Total Corporate Bonds | $ | 64,444,224 | |||||||
United States Government Treasury Obligations | |||||||||
Treasury Inflation Protected Security, 1.000% Due 02/15/2046 | 1,734,255 | 1,741,584 | |||||||
United States Treasury Floating Rate Notes, 0.746% Due 04/30/2018** | 5,000,000 | 5,008,765 | |||||||
United States Treasury Floating Rate Notes, 0.726% Due 10/31/2018** | 800,000 | 800,070 | |||||||
United States Treasury Floating Rate Notes, 0.828% Due 01/31/2018** | 4,300,000 | 4,312,332 | |||||||
United States Treasury Notes, 2.500% Due 05/15/2046 | 3,000,000 | 2,666,016 | |||||||
United States Treasury Notes, 2.750% Due 11/15/2042 | 450,000 | 425,021 | |||||||
United States Treasury Notes, 3.000% Due 02/28/2017 | 2,500,000 | 2,509,875 | |||||||
15.8% – Total United States Government Treasury Obligations | $ | 17,463,663 | |||||||
United States Government Agency Obligations | |||||||||
FHLMC Step-up Coupon Notes, 1.050% Due 10/28/2021** | 1,500,000 | 1,488,561 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 06/07/2021** | 3,250,000 | 3,247,615 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 06/21/2021** | 3,000,000 | 2,979,510 | |||||||
FHLMC Step-up Coupon Notes, 1.100% Due 11/23/2021** | 1,500,000 | 1,473,897 | |||||||
FHLMC Step-up Coupon Notes, 1.150% Due 07/12/2021** | 2,000,000 | 1,983,760 | |||||||
10.1% – Total United States Government Agency Obligations | $ | 11,173,343 | |||||||
United States Government Agency Obligations – Mortgage Backed Securities | |||||||||
FHLMC 10/1 Hybrid ARM, 3.268% Due 04/01/2042** | 654,506 | 673,825 | |||||||
FHLMC CMO Pool J12635, 4.000% Due 07/01/2025 | 624,243 | 656,758 |
The accompanying notes are an integral part of these financial statements.
10
Fixed Income Securities | Face Value | Fair Value | ||||||
FHLMC CMO Series 2985 Class GE, 5.500% Due 06/15/2025 | 186,605 | $ | 202,836 | |||||
FHLMC CMO Series 3946 Class LN, 3.500% Due 04/15/2041 | 1,040,093 | 1,082,632 | ||||||
FHLMC CMO Series 4017 Class MA, 3.000% Due 03/15/2041 | 226,448 | 229,785 | ||||||
FHLMC Gold Partner Certificate Pool G08068, 5.500% Due 07/01/2035 | 294,342 | 330,019 | ||||||
FNMA 10/1 Hybrid ARM, 3.257% Due 12/01/2041** | 469,519 | 484,232 | ||||||
FNMA 7/1 Hybrid ARM, 2.800% Due 12/01/2044** | 893,783 | 916,147 | ||||||
FNMA CMO Pool AA4392, 4.000% Due 04/01/2039 | 401,887 | 424,204 | ||||||
FNMA CMO Series 2015-37 Class BA, 3.000% Due 08/25/2044 | 2,033,888 | 2,085,285 | ||||||
FNMA CMO Series 2016-39 Class LA, 2.500% Due 03/25/2045 | 1,425,152 | 1,430,095 | ||||||
FNMA Partner Certificate Pool MA0384, 5.000% Due 04/01/2030 | 396,367 | 432,487 | ||||||
8.1% – Total United States Government Agency Obligations – Mortgage Backed Securities | $ | 8,948,305 | ||||||
Taxable Municipal Bonds | ||||||||
Bowling Green State University Ohio Revenue – Build America Bonds, 5.330% Due 06/01/2020 | 725,000 | 795,173 | ||||||
Florida Atlantic University Capital Improvement Revenue – Build America Bonds, 7.589% Due 07/01/2037 | 1,000,000 | 1,132,830 | ||||||
Kentucky Asset Liability Commission Revenue – Build America Bonds, 4.104% Due 04/01/2019 | 1,000,000 | 1,043,360 | ||||||
Kentucky Asset Liability Commission Revenue – Build America Bonds, 5.339% Due 04/01/2022 | 300,000 | 330,852 |
Fixed Income Securities | Face Value | Fair Value | ||||||
University of Cincinnati Ohio General Receipts Revenue – Build America Bonds, 5.117% Due 06/01/2021 | 1,435,000 | $ | 1,557,018 | |||||
University of North Carolina Chapel Hill Hospital Revenue – Build America Bonds, 3.539% Due 02/01/2017 | 1,315,000 | 1,317,670 | ||||||
5.6% – Total Taxable Municipal Bonds | $ | 6,176,903 | ||||||
Total Fixed Income Securities 97.8% | $ | 108,206,438 | ||||||
(Identified Cost $107,635,964) | ||||||||
Preferred Stocks | Shares | |||||||
Allstate Corp. Subordinated Debentures, 5.100% Due 01/15/2053 | 59,890 | 1,507,431 | ||||||
Total Preferred Stocks 1.3% | $ | 1,507,431 | ||||||
(Identified Cost $1,446,031) | ||||||||
Cash Equivalents | ||||||||
First American Government Obligation Fund, Class Z, 0.43%** | 185,304 | 185,304 | ||||||
Total Cash Equivalents 0.2% | $ | 185,304 | ||||||
(Identified Cost $185,304) | ||||||||
Total Portfolio Value 99.3% | $ | 109,899,173 | ||||||
(Identified Cost $109,267,299) | ||||||||
Other Assets in Excess of Liabilities 0.7% | $ | 808,921 | ||||||
Total Net Assets 100% | $ | 110,708,094 |
* | 144A Restricted Security. The total fair value of such securities as of December 31, 2016 was $1,057,124 and represented 0.94% of net assets. |
- | Northern Natural Gas Co. Bond was purchased on October 12, 2012, for $1,223,180; price on December 31, 2016 was $105.712. |
** | Variable Rate Security; the rate shown is as of December 31, 2016. |
ARM – Adjustable Rate Mortgage
CMO – Collateralized Mortgage Obligation
FDIC – Federal Deposit Insurance Corporation
FHLB – Federal Home Loan Bank
FHLMC – Federal Home Loan Mortgage Corporation
FNMA – Federal National Mortgage Association
TVA – Tennessee Valley Authority
The accompanying notes are an integral part of these financial statements.
11
Fixed Income Securities | Face Value | Fair Value | ||||||
Corporate Bonds: | ||||||||
Finance | ||||||||
American Express Co. Subordinated Notes, 3.6250% Due 12/05/2024 | 1,550,000 | $ | 1,556,425 | |||||
AON Corp. Senior Unsecured Notes, 3.875% Due 12/15/2025 | 750,000 | 764,464 | ||||||
AON Corp. Senior Unsecured Notes, 4.000% Due 11/27/2023 | 1,000,000 | 1,037,547 | ||||||
BB&T Corp. Subordinated Notes, 5.250% Due 11/01/2019 | 1,700,000 | 1,836,702 | ||||||
ERP Operating LP Senior Unsecured Notes, 4.625% Due 12/15/2021 | 1,069,000 | 1,161,154 | ||||||
Fifth Third Bancorp Subordinated Notes, 4.300% Due 01/16/2024 | 1,500,000 | 1,540,740 | ||||||
Huntington Bancshares Senior Unsecured Notes, 3.150% Due 03/14/2021 | 1,500,000 | 1,521,149 | ||||||
JPMorgan Chase & Co. Senior Subordinated Notes, 3.875% Due 09/10/2024 | 1,550,000 | 1,568,347 | ||||||
Key Bank NA Subordinated Notes, 4.625% Due 06/15/2018 | 1,000,000 | 1,027,599 | ||||||
Keycorp Senior Unsecured Notes, 5.100% Due 03/24/2021 | 700,000 | 765,474 | ||||||
Marsh & McLennan Companies Inc. Senior Unsecured Notes, 2.300% Due 04/01/2017 | 1,270,000 | 1,269,595 | ||||||
MUFG Americas Holdings Corp. Senior Unsecured Notes, 2.250% Due 02/10/2020 | 1,500,000 | 1,484,021 | ||||||
MUFG Americas Holdings Corp. Senior Unsecured Notes, 3.500% Due 06/18/2022 | 750,000 | 766,820 | ||||||
PNC Bank NA Subordinated Notes, 6.875% Due 05/15/2019 | 1,000,000 | 1,100,685 | ||||||
PNC Financial Services Subordinated Notes, 3.900% Due 04/29/2024 | 500,000 | 512,551 | ||||||
Prudential Financial Inc. Senior Unsecured Notes, 4.500% Due 11/15/2020 | 1,165,000 | 1,248,328 | ||||||
Suntrust Banks Inc. Senior Unsecured Notes, 2.900% Due 03/03/2021 | 1,700,000 | 1,724,012 | ||||||
US Bancorp Subordinated Notes, 3.600% Due 09/11/2024 | 600,000 | 611,443 |
Fixed Income Securities | Face Value | Fair Value | ||||||
US Bank NA Subordinated Notes, 2.950% Due 07/15/2022 | 1,640,000 | $ | 1,649,720 | |||||
Wells Fargo & Co. Subordinated Notes, 5.606% Due 01/15/2044 | 2,000,000 | 2,266,082 | ||||||
21.8% – Total Finance | $ | 25,412,858 | ||||||
Industrial | ||||||||
AT&T Inc. Senior Unsecured Notes, 5.000% Due 03/01/2021 | 1,500,000 | 1,613,268 | ||||||
Becton Dickinson Senior Unsecured Notes, 3.125% Due 11/08/2021 | 1,700,000 | 1,742,889 | ||||||
Chevron Corp. Senior Unsecured Notes, 2.355% Due 12/05/2022 | 1,250,000 | 1,226,699 | ||||||
CR Bard Inc. Senior Unsecured Notes, 4.400% Due 01/15/2021 | 1,420,000 | 1,520,049 | ||||||
Dover Corp. Senior Unsecured Notes, 5.450% Due 03/15/2018 | 1,395,000 | 1,462,154 | ||||||
Eaton Corp. Senior Unsecured Notes, 2.750% Due 11/02/2022 | 1,700,000 | 1,683,738 | ||||||
General Electric Capital Corp. Senior Unsecured Floating Rate Notes, 1.963% Due 03/15/2023** | 2,000,000 | 2,026,048 | ||||||
Johnson Controls International PLC, 3.625% Due 07/02/2024 | 625,000 | 633,824 | ||||||
Johnson Controls International PLC, 3.750% Due 12/01/2021 | 850,000 | 879,765 | ||||||
Kroger Co. Senior Unsecured Notes, 3.400% Due 04/15/2022 | 385,000 | 392,454 | ||||||
Kroger Co. Senior Unsecured Notes, 6.800% Due 12/15/2018 | 1,000,000 | 1,094,697 | ||||||
McDonalds Corp. Senior Unsecured Notes, 6.300% Due 03/01/2038 | 1,300,000 | 1,620,048 | ||||||
Shell International Finance Senior Unsecured Notes, 2.125% Due 05/11/2020 | 550,000 | 549,343 | ||||||
Shell International Finance Senior Unsecured Notes, 3.250% Due 05/11/2025 | 1,600,000 | 1,598,688 | ||||||
Union Pacific Corp. Senior Unsecured Notes, 5.650% Due 05/01/2017 | 580,000 | 588,801 | ||||||
United Technologies Junior Subordinated Notes, 1.778% Due 05/04/2018** | 1,570,000 | 1,570,342 |
The accompanying notes are an integral part of these financial statements.
12
Fixed Income Securities | Face Value | Fair Value | |||||||
Verizon Communications Senior Unsecured Notes, 4.672% Due 03/15/2055 | 1,732,000 | $ | 1,626,539 | ||||||
18.7% – Total Industrial | $ | 21,829,346 | |||||||
Utilities | |||||||||
Berkshire Hathaway Energy Senior Unsecured Notes, 3.750% Due 11/15/2023 | 1,300,000 | 1,359,416 | |||||||
Duke Energy Corp., Senior Unsecured Notes, 3.550% Due 09/15/2021 | 1,725,000 | 1,785,615 | |||||||
Enterprise Products Senior Unsecured Notes, 3.350% Due 03/15/2023 | 1,655,000 | 1,675,449 | |||||||
Eversource Energy Senior Unsecured Notes, 1.450% Due 05/01/2018 | 500,000 | 498,355 | |||||||
Georgia Power Co. Senior Unsecured Notes, 5.700% Due 06/01/2017 | 425,000 | 432,709 | |||||||
Northern Natural Gas Co. Senior Unsecured Notes, 5.750% Due 07/15/2018* | 1,000,000 | 1,057,124 | |||||||
NStar Senior Unsecured Notes, 4.500% Due 11/15/2019 | 1,000,000 | 1,061,428 | |||||||
Virginia Electric & Power Co. Senior Unsecured Notes, 5.950% Due 09/15/2017 | 1,535,000 | 1,581,623 | |||||||
Williams Partners Senior Unsecured Notes, 4.875% Due 05/15/2023 | 1,465,000 | 1,492,349 | |||||||
Xcel Energy Inc. Senior Unsecured Notes, 4.700% Due 05/15/2020 | 1,000,000 | 1,063,498 | |||||||
10.3% – Total Utilities | $ | 12,007,566 | |||||||
50.8% Total Corporate Bonds | $ | 59,249,770 | |||||||
United States Government Treasury Obligations | |||||||||
Treasury Inflation Protected Security, 1.000% Due 02/15/2046 | 1,734,255 | 1,741,584 | |||||||
United States Treasury Bond, 2.500% Due 02/15/2045 | 3,500,000 | 3,117,597 | |||||||
United States Treasury Floating Rate Notes, 0.746% Due 04/30/2018** | 5,000,000 | 5,008,765 | |||||||
United States Treasury Floating Rate Notes, 0.726% Due 10/31/2018** | 1,800,000 | 1,800,157 |
Fixed Income Securities | Face Value | Fair Value | |||||||
United States Treasury Notes, 2.500% Due 05/15/2046 | 4,500,000 | $ | 3,999,024 | ||||||
United States Treasury Notes, 2.750% Due 08/15/2042 | 3,000,000 | 2,834,181 | |||||||
United States Treasury Notes, 2.750% Due 11/15/2042 | 1,400,000 | 1,322,289 | |||||||
17.0% – Total United States Government Treasury Obligations | $ | 19,823,597 | |||||||
United States Government Agency Obligations | |||||||||
FHLMC Step-up Coupon Notes, 1.050% Due 08/24/2021** | 5,000,000 | 4,921,825 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 06/21/2021** | 1,500,000 | 1,489,755 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 06/23/2021** | 1,500,000 | 1,499,293 | |||||||
FHLMC Step-up Coupon Notes, 1.150% Due 07/12/2021** | 1,500,000 | 1,487,820 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 12/30/2021** | 1,000,000 | 999,950 | |||||||
8.9% – Total United States Government Agency Obligations | $ | 10,398,643 | |||||||
United States Government Agency Obligations – Mortgage Backed Securities | |||||||||
FHLMC 10/1 Hybrid ARM, 3.268% Due 04/01/2042** | 654,506 | 673,825 | |||||||
FHLMC CMO Series 2985 Class GE, 5.500% Due 06/15/2025 | 163,279 | 177,482 | |||||||
FHLMC CMO Series 3946 Class LN, 3.500% Due 04/15/2041 | 1,040,093 | 1,082,632 | |||||||
FHLMC CMO Series 4017 Class MA, 3.000% Due 03/15/2041 | 452,897 | 459,570 | |||||||
FHLMC Gold Partner Certificate Pool G06616, 4.500% Due 12/01/2035 | 266,771 | 287,449 | |||||||
FHLMC Gold Partner Certificate Pool G08068, 5.500% Due 07/01/2035 | 665,469 | 746,131 | |||||||
FHLMC Gold Partner Certificate Pool G13596, 4.000% Due 07/01/2024 | 1,652,920 | 1,742,923 | |||||||
FNMA 10/1 Hybrid ARM, 3.257% Due 12/01/2041** | 469,519 | 484,232 |
The accompanying notes are an integral part of these financial statements.
13
Fixed Income Securities | Face Value | Fair Value | ||||||
FNMA CMO Series 2003-79 Class NJ, 5.000% Due 08/25/2023 | 318,372 | $ | 339,425 | |||||
FNMA CMO Series 2013-21 Class VA, 3.000% Due 07/25/2028 | 1,208,495 | 1,239,161 | ||||||
FNMA CMO Series 2013-83 Class MH, 4.000% Due 08/25/2043 | 547,190 | 580,803 | ||||||
FNMA CMO Series 2014-20 Class AC, 3.000% Due 08/25/2036 | 971,048 | 1,002,372 | ||||||
FNMA CMO Series 2014-28 Class PA, 3.500% Due 02/25/2043 | 590,357 | 616,746 | ||||||
FNMA CMO Series 2015-72 Class GB, 2.500% Due 12/25/2042 | 1,430,590 | 1,441,953 | ||||||
FNMA CMO Series 2016-39 Class LA, 2.500% Due 03/25/2045 | 3,325,355 | 3,336,888 | ||||||
FNMA Partner Certificate Pool 1107, 3.500% Due 07/01/2032 | 1,265,529 | 1,316,245 | ||||||
FNMA Partner Certificate Pool 889050, 6.000% Due 05/01/2037 | 512,765 | 590,311 | ||||||
FNMA Partner Certificate Pool 9309, 3.500% Due 10/01/2031 | 1,449,216 | 1,519,401 | ||||||
FNMA Partner Certificate Pool 995112, 5.500% Due 07/01/2036 | 268,857 | 301,202 | ||||||
FNMA Partner Certificate Pool AA4392, 4.000% Due 04/01/2039 | 401,887 | 424,204 | ||||||
GNMA Pass Thru Certificate Pool 781397, 5.500% Due 02/15/2017 | 28 | 28 | ||||||
15.7% – Total United States Government Agency Obligations – Mortgage Backed Securities | $ | 18,362,983 | ||||||
Taxable Municipal Bonds | ||||||||
Bowling Green State University Ohio Revenue – Build America Bonds, 5.330% Due 06/01/2020 | 750,000 | 822,592 | ||||||
Cincinnati Children’s Hospital Medical Center, 2.853% Due 11/15/2026 | 750,000 | 711,323 | ||||||
Florida Atlantic University Capital Improvement Revenue – Build America Bonds, 7.589% Due 07/01/2037 | 1,785,000 | 2,022,102 |
Fixed Income Securities | Face Value | Fair Value | ||||||
Ohio Higher Education Facilities – Cleveland Clinic Health Systems, 3.849% Due 01/01/2022 | 945,000 | $ | 1,002,258 | |||||
Ohio Major New Infrastructure Revenue – Build America Bonds, 4.994% Due 12/15/2020 | 850,000 | 921,357 | ||||||
4.7% Total Taxable Municipal Bonds | $ | 5,479,632 | ||||||
Total Fixed Income Securities 97.1% | $ | 113,314,625 | ||||||
(Identified Cost $113,094,564) |
Preferred Stocks | Shares | |||||||
Allstate Corp. Subordinated Debentures, 5.100% Due 01/15/2053 | 58,100 | 1,462,377 | ||||||
Total Preferred Stocks 1.3% | $ | 1,462,377 | ||||||
(Identified Cost $1,410,853) | ||||||||
Cash Equivalents | ||||||||
First American Government Obligation Fund, Class Z, 0.43%** | 99,590 | 99,590 | ||||||
Total Cash Equivalents 0.1% | $ | 99,590 | ||||||
(Identified Cost $99,590) | ||||||||
Total Portfolio Value 98.5% | $ | 114,876,592 | ||||||
(Identified Cost $114,605,007) | ||||||||
Other Assets in Excess of Liabilities 1.5% | $ | 1,813,278 | ||||||
Total Net Assets 100.0% | $ | 116,689,870 |
* | 144A Restricted Security. The total fair value of such securities as of December 31, 2016 was $1,057,124 and represented 0.91% of net assets. |
- | Northern Natural Gas Co. Bond was purchased on October 12, 2012, for $1,223,180; price on December 31, 2016 was $105.712. |
** | Variable Rate Security; the rate shown is as of December 31, 2016. |
ARM – Adjustable Rate Mortgage
CMO – Collateralized Mortgage Obligation
FDIC – Federal Deposit Insurance Corporation
FHLMC – Federal Home Loan Mortgage Corporation
FNMA – Federal National Mortgage Association
GNMA – Government National Mortgage Association
The accompanying notes are an integral part of these financial statements.
14
Fixed Income Securities | Face Value | Fair Value | ||||||
Corporate Bonds | ||||||||
Finance | ||||||||
Ace INA Holdings Senior Unsecured Notes, 5.900% Due 06/15/2019 | 679,000 | $ | 743,096 | |||||
American Express Bank Senior Unsecured Notes, 6.000% Due 09/13/2017 | 1,925,000 | 1,984,510 | ||||||
AON Corp. Senior Unsecured Notes, 5.000% Due 09/30/2020 | 1,900,000 | 2,046,773 | ||||||
BB&T Corp. Subordinated Notes, 4.900% Due 06/30/2017 | 1,383,000 | 1,404,651 | ||||||
BB&T Corp. Subordinated Notes, 5.250% Due 11/01/2019 | 1,220,000 | 1,318,104 | ||||||
ERP Operating LP Senior Unsecured Notes, 5.750% Due 06/15/2017 | 1,904,000 | 1,941,305 | ||||||
Goldman Sachs Group Inc. Senior Unsecured Floating Rate Notes, 1.586% Due 05/22/2017** | 2,200,000 | 2,203,722 | ||||||
Huntington Bancshares Senior Unsecured Notes, 2.300% Due 01/14/2022 | 1,500,000 | 1,454,828 | ||||||
JPMorgan Chase & Co. Senior Unsecured Notes, 2.750% Due 06/23/2020 | 2,000,000 | 2,018,088 | ||||||
Keycorp Senior Unsecured Notes, 5.100% Due 03/24/2021 | 1,800,000 | 1,968,361 | ||||||
Manufacturers and Traders Trust Co. Subordinated Notes, 6.625% Due 12/04/2017 | 2,075,000 | 2,166,211 | ||||||
Marsh & McLennan Companies Inc. Senior Unsecured Notes, 2.300% Due 04/01/2017 | 2,000,000 | 1,999,362 | ||||||
Morgan Stanley Senior Unsecured Notes, 2.125% Due 04/25/2018 | 2,165,000 | 2,173,625 | ||||||
MUFG Americas Holdings Corp. Senior Unsecured Notes, 1.625% Due 02/09/2018 | 1,827,000 | 1,820,585 | ||||||
PNC Bank NA Subordinated Notes, 4.875% Due 09/21/2017 | 1,000,000 | 1,023,917 | ||||||
PNC Funding Corp. Guaranteed Notes, 5.625% Due 02/01/2017 | 789,000 | 791,387 | ||||||
Suntrust Banks Inc. Senior Unsecured Notes, 6.000% Due 09/11/2017 | 1,000,000 | 1,029,934 |
Fixed Income Securities | Face Value | Fair Value | ||||||
Travelers Companies Inc. Senior Unsecured Notes, 5.800% Due 05/15/2018 | 1,000,000 | $ | 1,054,930 | |||||
Wells Fargo & Co. Senior Unsecured Notes, 2.100% Due 07/26/2021 | 2,200,000 | 2,140,721 | ||||||
28.4% – Total Finance | $ | 31,284,110 | ||||||
Industrial | ||||||||
AT&T Inc. Senior Unsecured Notes, 4.600% Due 02/15/2021 | 2,000,000 | 2,115,356 | ||||||
Chevron Corp. Senior Unsecured Floating Rate Note, 1.472% Due 03/03/2022** | 2,100,000 | 2,098,303 | ||||||
CR Bard Inc. Senior Unsecured Notes, 1.375% Due 01/15/2018 | 1,700,000 | 1,696,498 | ||||||
Eaton Corp. Senior Unsecured Notes, 5.600% Due 05/15/2018 | 1,000,000 | 1,051,193 | ||||||
Eaton Electric Holdings Senior Unsecured Notes, 3.875% Due 12/15/2020 | 1,025,000 | 1,069,378 | ||||||
General Electric Capital Corp. Senior Unsecured Floating Rate Notes, 1.180% Due 05/13/2024** | 1,100,000 | 1,040,496 | ||||||
General Electric Capital Corp. Senior Unsecured Floating Rate Notes, 1.880% Due 04/15/2023** | 2,000,000 | 2,024,958 | ||||||
Johnson Controls International PLC, 5.000% Due 03/30/2020 | 1,560,000 | 1,678,446 | ||||||
Kroger Co. Senior Unsecured Notes, 6.150% Due 01/15/2020 | 1,600,000 | 1,771,242 | ||||||
McDonald's Corp. Senior Unsecured Notes, 2.200% Due 05/26/2020 | 1,745,000 | 1,745,438 | ||||||
Norfolk Southern Corporation Senior Unsecured Notes, 5.750% Due 04/01/2018 | 1,564,000 | 1,642,161 | ||||||
Schulmberger Norge AS Senior Unsecured Notes, 1.250% Due 08/01/2017* | 2,100,000 | 2,097,451 | ||||||
Shell International Senior Unsecured Notes, 4.300% Due 09/22/2019 | 1,800,000 | 1,909,507 | ||||||
United Technologies Junior Subordinated Notes, 1.778% Due 05/04/2018** | 2,000,000 | 2,000,436 |
The accompanying notes are an integral part of these financial statements.
15
Fixed Income Securities | Face Value | Fair Value | |||||||
Verizon Communications Senior Unsecured Notes, 4.500% Due 09/15/2020 | 2,003,000 | $ | 2,143,436 | ||||||
23.7% – Total Industrials | $ | 26,084,299 | |||||||
Utilities | |||||||||
Berkshire Hathaway Energy Co. Senior Unsecured Notes, 2.000% Due 11/15/2018 | 1,000,000 | 1,004,310 | |||||||
Berkshire Hathaway Energy Co. Senior Unsecured Notes, 5.750% Due 04/01/2018 | 1,000,000 | 1,051,137 | |||||||
Duke Energy Corp. Senior Unsecured Notes, 5.050% Due 09/15/2019 | 1,672,000 | 1,802,476 | |||||||
Enterprise Products Senior Unsecured Notes, 6.500% Due 01/31/2019 | 1,500,000 | 1,635,126 | |||||||
Eversource Energy Senior Unsecured Notes, 1.450% Due 05/01/2018 | 1,425,000 | 1,420,313 | |||||||
Georgia Power Co. Senior Unsecured Notes, 5.700% Due 06/01/2017 | 1,945,000 | 1,980,278 | |||||||
National Rural Utilities Collateral Trust, 5.450% Due 02/01/2018 | 870,000 | 907,348 | |||||||
NStar Senior Unsecured Notes, 4.500% Due 11/15/2019 | 480,000 | 509,486 | |||||||
Virginia Electric & PowerCo. Senior Unsecured notes, 5.400% Due 04/30/2018 | 1,230,000 | 1,289,662 | |||||||
Williams Partners LP Senior Unsecured Notes, 7.250% Due 02/01/2017 | 500,000 | 501,953 | |||||||
Xcel Energy Inc. Senior Unsecured Notes, 4.700% Due 05/15/2020 | 400,000 | 425,399 | |||||||
11.4% – Total Utilities | $ | 12,527,488 | |||||||
63.5% Total Corporate Bonds | $ | 69,895,897 | |||||||
United States Government Treasury Obligations | |||||||||
Treasury Inflation Protected Security, 0.125% Due 04/15/2018 | 4,182,720 | 4,220,762 | |||||||
United States Treasury Floating Rate Notes, 0.726% Due 10/31/2018** | 4,500,000 | 4,500,391 | |||||||
United States Treasury Notes, 0.625% Due 05/31/2017*** | 3,500,000 | 3,500,273 |
Fixed Income Securities | Face Value | Fair Value | |||||||
United States Treasury Notes, 0.750% Due 10/31/2017*** | 6,114,000 | $ | 6,108,510 | ||||||
16.6% – Total United States Government Treasury Obligations | $ | 18,329,936 | |||||||
United States Government Agency Obligations | |||||||||
FHLMC Step-up Coupon Notes, 1.000% Due 07/27/2021** | 2,500,000 | 2,444,347 | |||||||
FHLMC Step-up Coupon Notes, 1.050% Due 08/24/2021** | 1,000,000 | 984,365 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 06/07/2021** | 1,000,000 | 999,266 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 06/23/2021** | 1,200,000 | 1,199,435 | |||||||
FHLMC Step-up Coupon Notes, 1.150% Due 07/12/2021** | 2,000,000 | 1,983,760 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 12/28/2021** | 1,500,000 | 1,499,437 | |||||||
FHLMC Step-up Coupon Notes, 1.500% Due 12/30/2021** | 1,500,000 | 1,499,925 | |||||||
9.6% – Total United States Government Agency Obligations | $ | 10,610,535 | |||||||
United States Government Agency Obligations – Mortgage Backed Securities | |||||||||
FHLMC CMO Series 4009 Class PA, 2.000% Due 06/15/2041 | 1,874,526 | 1,846,584 | |||||||
FHLMC CMO Series 4287 Class AB, 2.000% Due 12/15/2026 | 1,123,687 | 1,115,262 | |||||||
FHLMC Gold Partner Certificate Pool J12635, 4.000% Due 07/01/2025 | 196,191 | 206,410 | |||||||
FNMA 10/1 Hybrid ARM, 3.257% Due 12/01/2041** | 469,520 | 484,232 | |||||||
FNMA CMO Pool 1106, 3.000% Due 07/01/2032 | 1,341,383 | 1,368,661 | |||||||
FNMA CMO Pool 833200, 5.500% Due 09/01/2035 | 814,130 | 922,694 | |||||||
GNMA Pool 726475, 4.000% Due 11/15/2024 | 297,606 | 308,436 | |||||||
GNMA Pool 728920, 4.000% Due 12/15/2024 | 410,193 | 428,676 | |||||||
6.1% – Total United States Government Agency Obligations – Mortgage Backed Securities | $ | 6,680,955 |
The accompanying notes are an integral part of these financial statements.
16
Fixed Income Securities | Face Value | Fair Value | ||||||
Taxable Municipal Bonds | ||||||||
Ohio Higher Education Facilities Commission – Cleveland Clinic Health System, 2.731% Due 01/01/2017 | 1,000,000 | $ | 1,000,000 | |||||
0.9% – Total Municipal Bonds | $ | 1,000,000 | ||||||
Total Fixed Income Securities 96.7% | $ | 106,517,323 | ||||||
(Identified Cost $106,965,566) |
Cash & Cash Equivalents | Shares | |||||||
First American Government Obligation Fund, Class Z, 0.43%** | 3,391,230 | 3,391,230 | ||||||
Total Cash Equivalents 3.1% | $ | 3,391,230 | ||||||
(Identified Cost $3,391,230) | ||||||||
Total Portfolio Value 99.8% | $ | 109,908,553 | ||||||
(Identified Cost $110,356,796) | ||||||||
Other Assets in Excess of Liabilities 0.2% | $ | 274,902 | ||||||
Total Net Assets: 100.0% | $ | 110,183,455 |
Futures Contracts | Long Contracts | Unrealized Depreciation | ||||||
E-mini Standard & Poor's 500 expiring March 2017 (50 units per contract) | ||||||||
(Notional Value of $109,461,990) | 979 | $ | (966,520) |
* | 144A Restricted Security. The total fair value of such securities as of December 31, 2016 was $2,097,451 and represented 1.90% of net assets. |
- | Schlumberger Norge Bond, Lot 1, purchased on June 23, 2016, for $1,799,095; price on December 31, 2016 was $99.879. |
- | Schlumberger Norge Bond, Lot 2, purchased on December 19, 2016, for $299,979; price on December 31, 2016 was $99.879. |
** | Variable Rate Security; the rate shown is as of December 31, 2016. |
*** | Held as collateral by RJ O'Brien for futures contracts |
- | all of US Treasury Note maturing 05/31/2017, and part of US Treasury Note maturing 10/31/2017. |
ARM – Adjustable Rate Mortgage
CMO – Collateralized Mortgage Obligation
FDIC – Federal Deposit Insurance Corporation
FHLB – Federal Home Loan Bank
FHLMC – Federal Home Loan Mortgage Corporation
FNMA – Federal National Mortgage Association
GNMA – Government National Mortgage Association
The accompanying notes are an integral part of these financial statements.
17
Statements of Assets and Liabilities
Johnson Institutional Short Duration Bond Fund | Johnson Institutional Intermediate Bond Fund | Johnson Institutional Core Bond Fund | Johnson Enhanced Return Fund | |||||||||||||
Assets: | ||||||||||||||||
Investment Securities at Fair Value* | $ | 123,360,992 | $ | 109,899,173 | $ | 114,876,592 | $ | 109,908,553 | ||||||||
Due from Broker | — | — | — | 10,150 | ||||||||||||
Interest Receivable | 964,910 | 757,030 | 840,288 | 737,932 | ||||||||||||
Fund Shares Sold Receivable | 57,978 | 60,352 | 982,334 | — | ||||||||||||
Receivable for CMO Paydowns | 15,207 | 16,293 | 16,293 | — | ||||||||||||
Total Assets | $ | 124,399,087 | $ | 110,732,848 | $ | 116,715,507 | $ | 110,656,635 | ||||||||
Liabilities: | ||||||||||||||||
Accrued Management Fee | $ | 23,143 | $ | 22,025 | $ | 22,967 | $ | 32,450 | ||||||||
Payable for Variation Margin on Futures Contracts | — | — | — | 440,730 | ||||||||||||
Other Payables | 894 | 958 | 957 | — | ||||||||||||
Fund Shares Redeemed Payable | 1,854 | 1,771 | 1,713 | — | ||||||||||||
Total Liabilities | $ | 25,891 | $ | 24,754 | $ | 25,637 | $ | 473,180 | ||||||||
Net Assets | $ | 124,373,196 | $ | 110,708,094 | $ | 116,689,870 | $ | 110,183,455 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid in Capital | $ | 124,896,910 | $ | 110,076,220 | $ | 116,418,285 | $ | 104,844,041 | ||||||||
Accumulated Net Investment Income/(Loss) | — | — | — | — | ||||||||||||
Accumulated Net Realized Gain (Loss) from Security Transactions & Futures Contracts | (68,355 | ) | — | — | 6,754,177 | |||||||||||
Net Unrealized Gain (Loss) on Investments | (455,359 | ) | 631,874 | 271,585 | (448,243 | ) | ||||||||||
Net Unrealized (Loss) on Futures Contracts | — | — | — | (966,520 | ) | |||||||||||
Net Assets | $ | 124,373,196 | $ | 110,708,094 | $ | 116,689,870 | $ | 110,183,455 | ||||||||
Shares Outstanding (Unlimited Amount Authorized) | 8,302,175 | 7,116,958 | 7,419,054 | 6,767,797 | ||||||||||||
Offering, Redemption and Net Asset Value Per Share | $ | 14.98 | $ | 15.56 | $ | 15.73 | $ | 16.28 | ||||||||
*Identified Cost of Investment Securities | $ | 123,816,351 | $ | 109,267,299 | $ | 114,605,007 | $ | 110,356,796 |
The accompanying notes are an integral part of these financial statements.
18
Statements of Operations
Johnson Institutional Short Duration Bond Fund | Johnson Institutional Intermediate Bond Fund | Johnson Institutional Core Bond Fund | Johnson Enhanced Return Fund | |||||||||||||
Year Ended 12/31/2016 | Year Ended 12/31/2016 | Year Ended 12/31/2016 | Year Ended 12/31/2016 | |||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 1,852,547 | $ | 2,564,954 | $ | 2,553,869 | $ | 1,584,192 | ||||||||
Dividends | — | 66,000 | 65,886 | — | ||||||||||||
Total Investment Income | $ | 1,852,547 | $ | 2,630,954 | $ | 2,619,755 | $ | 1,584,192 | ||||||||
Expenses: | ||||||||||||||||
Gross Management Fee | $ | 344,424 | $ | 326,600 | $ | 298,073 | $ | 367,634 | ||||||||
Management Fee Waiver (Note #4) | (74,197 | ) | (70,372 | ) | (64,184 | ) | — | |||||||||
Net Expenses | $ | 270,227 | $ | 256,228 | $ | 233,889 | $ | 367,634 | ||||||||
Net Investment Income | $ | 1,582,320 | $ | 2,374,726 | $ | 2,385,866 | $ | 1,216,558 | ||||||||
Realized and Unrealized Gains/(Losses): | ||||||||||||||||
Net Realized Gain from Security Transactions | $ | 179,234 | $ | 270,305 | $ | 654,838 | $ | 100,824 | ||||||||
Net Realized Gain from Futures Contracts | — | — | — | 13,309,488 | ||||||||||||
Net Change in Unrealized Gain (Loss) on Investments | 133,919 | 717,704 | (398,336 | ) | 122,938 | |||||||||||
Net Change in Unrealized (Loss) on Futures Contracts | — | — | — | (1,915,570 | ) | |||||||||||
Net Gain/(Loss) on Investments | $ | 313,153 | $ | 988,009 | $ | 256,502 | $ | 11,617,680 | ||||||||
Net Change in Net Assets from Operations | $ | 1,895,473 | $ | 3,362,735 | $ | 2,642,368 | $ | 12,834,238 |
The accompanying notes are an integral part of these financial statements.
19
Statements of Changes in Net Assets
Johnson Institutional Short Duration Bond Fund | Johnson Institutional Intermediate Bond Fund | Johnson Institutional Core Bond Fund | Johnson Enhanced Return Fund | |||||||||||||||||||||||||||||
Year Ended 12/31/2016 | Year Ended 12/31/2015 | Year Ended 12/31/2016 | Year Ended 12/31/2015 | Year Ended 12/31/2016 | Year Ended 12/31/2015 | Year Ended 12/31/2016 | Year Ended 12/31/2015 | |||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net Investment Income | $ | 1,582,320 | $ | 1,139,641 | $ | 2,374,726 | $ | 2,048,117 | $ | 2,385,866 | $ | 2,001,980 | $ | 1,216,558 | $ | 887,743 | ||||||||||||||||
Net Realized Gain (Loss) from Security Transactions | 179,234 | 39,757 | 270,305 | (36,384 | ) | 654,838 | 792,497 | 100,824 | (25,227 | ) | ||||||||||||||||||||||
Net Realized Gain from Futures Contracts | — | — | — | — | — | — | 13,309,488 | 2,580,724 | ||||||||||||||||||||||||
Net Change in Unrealized Gain (Loss) on Investments | 133,919 | (627,051 | ) | 717,704 | (1,342,550 | ) | (398,336 | ) | (1,919,456 | ) | 122,938 | (404,105 | ) | |||||||||||||||||||
Net Change in Unrealized (Loss) on Futures Contracts | — | — | — | — | — | — | (1,915,570 | ) | (1,727,628 | ) | ||||||||||||||||||||||
Net Change in Net Assets from Operations | $ | 1,895,473 | $ | 552,347 | $ | 3,362,735 | $ | 669,183 | $ | 2,642,368 | $ | 875,021 | $ | 12,834,238 | $ | 1,311,507 | ||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||||||||||
Net Investment Income | $ | (1,761,554 | ) | $ | (1,289,701 | ) | $ | (2,459,539 | ) | $ | (2,124,925 | ) | $ | (2,547,906 | ) | $ | (2,157,724 | ) | $ | (1,419,911 | ) | $ | (1,033,730 | ) | ||||||||
Return of Capital | (15,972 | ) | (11,931 | ) | — | (9,596 | ) | (19,024 | ) | (12,314 | ) | — | (14,030 | ) | ||||||||||||||||||
Net Realized Gain from Security Transactions | — | — | (92,392 | ) | — | (492,798 | ) | (636,753 | ) | (4,052,802 | ) | (4,269,751 | ) | |||||||||||||||||||
Net Change in Net Assets from Distributions | $ | (1,777,526 | ) | $ | (1,301,632 | ) | $ | (2,551,931 | ) | $ | (2,134,521 | ) | $ | (3,059,728 | ) | $ | (2,806,791 | ) | $ | (5,472,713 | ) | $ | (5,317,511 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||||||||||||||||||
Proceeds From Sale of Shares | $ | 46,756,569 | $ | 45,463,374 | $ | 27,848,730 | $ | 36,414,364 | $ | 48,945,493 | $ | 24,627,392 | $ | 25,084,822 | $ | 7,083,579 | ||||||||||||||||
Net Asset Value of Shares Issued on Reinvestment of Distributions | 331,055 | 134,461 | 293,502 | 118,872 | 867,136 | 22,023 | 5,472,547 | 5,315,623 | ||||||||||||||||||||||||
Cost of Shares Redeemed | (30,910,252 | ) | (15,038,393 | ) | (22,604,865 | ) | (10,347,648 | ) | (19,600,901 | ) | (10,639,496 | ) | (25,687,328 | ) | (7,591,404 | ) | ||||||||||||||||
Net Change in Net Assets from Capital Share Transactions | $ | 16,177,372 | $ | 30,559,442 | $ | 5,537,367 | $ | 26,185,588 | $ | 30,211,728 | $ | 14,009,919 | $ | 4,870,041 | $ | 4,807,798 | ||||||||||||||||
Net Change in Net Assets | $ | 16,295,319 | $ | 29,810,157 | $ | 6,348,171 | $ | 24,720,250 | $ | 29,794,368 | $ | 12,078,149 | $ | 12,231,566 | $ | 801,794 | ||||||||||||||||
Net Assets at Beginning of Year | $ | 108,077,877 | $ | 78,267,720 | $ | 104,359,923 | $ | 79,639,673 | $ | 86,895,502 | $ | 74,817,353 | $ | 97,951,889 | $ | 97,150,095 | ||||||||||||||||
Net Assets at End of Year | $ | 124,373,196 | $ | 108,077,877 | $ | 110,708,094 | $ | 104,359,923 | $ | 116,689,870 | $ | 86,895,502 | $ | 110,183,455 | $ | 97,951,889 | ||||||||||||||||
Accumulated (Distribution in Excess of) Undistributed Net Investment Income | $ | (195,206) | $ | — | $ | (84,813) | $ | — | �� | $ | (175,741) | $ | — | $ | (203,353) | $ | — |
The accompanying notes are an integral part of these financial statements.
20
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 14.96 | $ | 15.05 | $ | 15.03 | $ | 15.27 | $ | 15.27 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income | 0.21 | 0.17 | 0.18 | 0.25 | 0.32 | |||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) | 0.04 | (0.07 | ) | 0.04 | (0.22 | ) | 0.04 | |||||||||||||
Total Operations | $ | 0.25 | $ | 0.10 | $ | 0.22 | $ | 0.03 | $ | 0.36 | ||||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.23 | ) | (0.19 | ) | (0.20 | ) | (0.25 | ) | (0.32 | ) | ||||||||||
Return of Capital | (0.00)(a) | (0.00)(a) | — | — | — | |||||||||||||||
Net Realized Capital Gains | — | — | — | (0.02 | ) | (0.04 | ) | |||||||||||||
Total Distributions | $ | (0.23 | ) | $ | (0.19 | ) | $ | (0.20 | ) | $ | (0.27 | ) | $ | (0.36 | ) | |||||
Net Asset Value at End of Period | $ | 14.98 | $ | 14.96 | $ | 15.05 | $ | 15.03 | $ | 15.27 | ||||||||||
Total Return(b) | 1.68 | % | 0.67 | % | 1.44 | % | 0.16 | % | 2.35 | % | ||||||||||
Net Assets End of Period (Millions) | $ | 124.37 | $ | 108.08 | $ | 78.27 | $ | 74.11 | $ | 70.08 | ||||||||||
Ratios(c) | ||||||||||||||||||||
Ratio of Expenses to | ||||||||||||||||||||
Average Net Assets before Waiver | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Average Net Assets after Waiver | 0.24 | % | 0.23 | % | 0.24 | % | 0.24 | % | 0.26 | % | ||||||||||
Ratio of Net Investment Income to | ||||||||||||||||||||
Average Net Assets before Waiver | 1.32 | % | 1.07 | % | 1.14 | % | 1.57 | % | 2.02 | % | ||||||||||
Average Net Assets after Waiver | 1.38 | % | 1.14 | % | 1.20 | % | 1.63 | % | 2.06 | % | ||||||||||
Portfolio Turnover Rate | 73.88 | % | 42.30 | % | 42.41 | % | 56.49 | % | 43.98 | % |
(a) | Return of Capital is less than $0.005 per share. |
(b) | Total Return in the above table represents the rate that the investor would have earned on an investment in the Fund, assuming reinvestment of dividends. |
(c) | In 2016, 2015, 2014, 2013, and 2012, the Adviser waived a portion of the 0.30% management fee to sustain a net fee of 0.24%, 0.23%, 0.24%, 0.24%, and 0.26%, respectively. The Adviser intends this fee waiver to be permanent, although the Adviser retains the right to remove the waiver after April 30, 2017. (Note #4) |
The accompanying notes are an integral part of these financial statements.
21
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 15.41 | $ | 15.61 | $ | 15.40 | $ | 16.24 | $ | 16.06 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income | 0.34 | 0.33 | 0.37 | 0.45 | 0.52 | |||||||||||||||
Net Gains on Securities (Realized and Unrealized) | 0.18 | (0.19 | ) | 0.29 | (0.56 | ) | 0.22 | |||||||||||||
Total Operations | $ | 0.52 | $ | 0.14 | $ | 0.66 | $ | (0.11 | ) | $ | 0.74 | |||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.36 | ) | (0.34 | ) | (0.39 | ) | (0.45 | ) | (0.52 | ) | ||||||||||
Return of Capital | — | (0.00)(a) | — | — | — | |||||||||||||||
Net Realized Capital Gains | (0.01 | ) | — | (0.06 | ) | (0.28 | ) | (0.04 | ) | |||||||||||
Total Distributions | $ | (0.37 | ) | $ | (0.34 | ) | $ | (0.45 | ) | $ | (0.73 | ) | $ | (0.56 | ) | |||||
Net Asset Value at End of Period | $ | 15.56 | $ | 15.41 | $ | 15.61 | $ | 15.40 | $ | 16.24 | ||||||||||
Total Return(b) | 3.37 | % | 0.90 | % | 4.31 | % | (0.68 | )% | 4.70 | % | ||||||||||
Net Assets End of Period (Millions) | $ | 110.71 | $ | 104.36 | $ | 79.64 | $ | 76.12 | $ | 73.63 | ||||||||||
Ratios(c) | ||||||||||||||||||||
Ratio of Expenses to | ||||||||||||||||||||
Average Net Assets before Waiver | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Average Net Assets after Waiver | 0.24 | % | 0.23 | % | 0.24 | % | 0.24 | % | 0.26 | % | ||||||||||
Ratio of Net Investment Income to | ||||||||||||||||||||
Average Net Assets before Waiver | 2.12 | % | 2.06 | % | 2.30 | % | 2.79 | % | 3.05 | % | ||||||||||
Average Net Assets after Waiver | 2.18 | % | 2.13 | % | 2.36 | % | 2.85 | % | 3.09 | % | ||||||||||
Portfolio Turnover Rate | 50.71 | % | 32.75 | % | 34.31 | % | 55.78 | % | 21.08 | % |
(a) | Return of Capital is less than $0.005 per share. |
(b) | Total Return in the above table represents the rate that the investor would have earned on an investment in the Fund, assuming reinvestment of dividends. |
(c) | In 2016, 2015, 2014, 2013, and 2012, the Adviser waived a portion of the 0.30% management fee to sustain a net fee of 0.24%, 0.23%, 0.24%, 0.24%, and 0.26%, respectively. The Adviser intends this fee waiver to be permanent, although the Adviser retains the right to remove the waiver after April 30, 2017. (Note #4) |
The accompanying notes are an integral part of these financial statements.
22
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 15.63 | $ | 15.98 | $ | 15.43 | $ | 16.52 | $ | 16.54 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income | 0.39 | 0.39 | 0.40 | 0.49 | 0.56 | |||||||||||||||
Net Gains on Securities (Realized and Unrealized)* | 0.19 | (0.21 | ) | 0.63 | (0.80 | ) | 0.26 | |||||||||||||
Total Operations | $ | 0.58 | $ | 0.18 | $ | 1.03 | $ | (0.31 | ) | $ | 0.82 | |||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.40 | ) | (0.42 | ) | (0.43 | ) | (0.49 | ) | (0.56 | ) | ||||||||||
Return of Capital | (0.00)(a) | (0.00)(a) | — | — | — | |||||||||||||||
Net Realized Capital Gains | (0.08 | ) | (0.11 | ) | (0.05 | ) | (0.29 | ) | (0.28 | ) | ||||||||||
Total Distributions | $ | (0.48 | ) | $ | (0.53 | ) | $ | (0.48 | ) | $ | (0.78 | ) | $ | (0.84 | ) | |||||
Net Asset Value at End of Period | $ | 15.73 | $ | 15.63 | $ | 15.98 | $ | 15.43 | $ | 16.52 | ||||||||||
Total Return(b) | 3.67 | % | 1.16 | % | 6.79 | % | (1.87 | )% | 5.05 | % | ||||||||||
Net Assets End of Period (Millions) | $ | 116.69 | $ | 86.90 | $ | 74.82 | $ | 71.30 | $ | 73.55 | ||||||||||
Ratios(c) | ||||||||||||||||||||
Ratio of Expenses to | ||||||||||||||||||||
Average Net Assets before Waiver | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Average Net Assets after Waiver | 0.24 | % | 0.23 | % | 0.24 | % | 0.24 | % | 0.26 | % | ||||||||||
Ratio of Net Investment Income to | ||||||||||||||||||||
Average Net Assets before Waiver | 2.34 | % | 2.39 | % | 2.46 | % | 2.99 | % | 3.19 | % | ||||||||||
Average Net Assets after Waiver | 2.40 | % | 2.46 | % | 2.52 | % | 3.04 | % | 3.23 | % | ||||||||||
Portfolio Turnover Rate | 42.29 | % | 29.51 | % | 28.30 | % | 67.39 | % | 23.33 | % |
* | Realized and unrealized gains and losses per share in the caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the Statement of Operations due to share transactions for the period. |
(a) | Return of Capital is less than $0.005 per share. |
(b) | Total Return in the above table represents the rate that the investor would have earned on an investment in the Fund, assuming reinvestment of dividends. |
(c) | In 2016, 2015, 2014, 2013, and 2012, the Adviser waived a portion of the 0.30% management fee to sustain a net fee of 0.24%, 0.23%, 0.24%, 0.24%, and 0.26%, respectively. The Adviser intends this fee waiver to be permanent, although the Adviser retains the right to remove the waiver after April 30, 2017. (Note #4) |
The accompanying notes are an integral part of these financial statements.
23
Selected Data for a Share Outstanding Throughout each Period:
Year Ended December 31 | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Net Asset Value Beginning of Period | $ | 15.17 | $ | 15.82 | $ | 16.27 | $ | 15.50 | $ | 13.43 | ||||||||||
Operations: | ||||||||||||||||||||
Net Investment Income | 0.18 | 0.15 | 0.16 | 0.24 | 0.23 | |||||||||||||||
Net Gains (Losses) on Securities and Futures Contracts (Realized and Unrealized) | 1.76 | 0.07 | 2.21 | 4.58 | 2.24 | |||||||||||||||
Total Operations | $ | 1.94 | $ | 0.22 | $ | 2.37 | $ | 4.82 | $ | 2.47 | ||||||||||
Distributions: | ||||||||||||||||||||
Net Investment Income | (0.21 | ) | (0.17 | ) | (0.17 | ) | (0.24 | ) | (0.23 | ) | ||||||||||
Return of Capital | — | (0.00)(a) | — | — | — | |||||||||||||||
Net Realized Capital Gains | (0.62 | ) | (0.70 | ) | (2.65 | ) | (3.81 | ) | (0.17 | ) | ||||||||||
Total Distributions | $ | (0.83 | ) | $ | (0.87 | ) | $ | (2.82 | ) | $ | (4.05 | ) | $ | (0.40 | ) | |||||
Net Asset Value at End of Period | $ | 16.28 | $ | 15.17 | $ | 15.82 | $ | 16.27 | $ | 15.50 | ||||||||||
Total Return(b) | 12.89 | % | 1.34 | % | 14.42 | % | 31.31 | % | 18.43 | % | ||||||||||
Net Assets End of Period (Millions) | $ | 110.18 | $ | 97.95 | $ | 97.15 | $ | 83.93 | $ | 65.19 | ||||||||||
Ratios(c) | ||||||||||||||||||||
Ratio of Expenses to | ||||||||||||||||||||
Average Net Assets before Waiver | 0.35 | % | 0.35 | % | 0.35 | % | 0.67 | % | 1.00 | % | ||||||||||
Average Net Assets after Waiver | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||
Ratio of Net Investment Income to | ||||||||||||||||||||
Average Net Assets before Waiver | 1.16 | % | 0.91 | % | 0.93 | % | 1.00 | % | 0.85 | % | ||||||||||
Average Net Assets after Waiver | 1.16 | % | 0.91 | % | 0.93 | % | 1.32 | % | 1.50 | % | ||||||||||
Portfolio Turnover Rate | 65.13 | % | 57.75 | % | 56.32 | % | 33.09 | % | 49.63 | % |
(a) | Return of Capital is less than $0.005 per share. |
(b) | Total Return in the above table represents the rate that the investor would have earned on an investment in the Fund, assuming reinvestment of dividends. |
(c) | Prior to May 1, 2013, the Adviser waived a portion of the 1.00% management fee to sustain a fee of 0.35%. Effective May 1, 2013, the Adviser removed the fee waiver, and reduced the management fee to 0.35%. (Note #4) |
The accompanying notes are an integral part of these financial statements.
24
JOHNSON MUTUAL FUNDS
1) Organization
The Johnson Institutional Short Duration Bond Fund, Johnson Institutional Intermediate Bond Fund, Johnson Institutional Core Bond Fund (the “Bond Funds,”) and Johnson Enhanced Return Fund (each individually a “Fund” and collectively the “Funds”) are each a diversified series of the Johnson Mutual Funds Trust (the “Trust”), and are registered under the Investment Company Act of 1940, as amended, as no-load, open-end investment companies. The Johnson Mutual Funds Trust was established as an Ohio business trust under an Agreement and Declaration of Trust dated September 30, 1992. The Bond Funds began offering their shares publicly on August 31, 2000. The Johnson Enhanced Return Fund began offering shares publicly on December 30, 2005. All Funds are managed by Johnson Investment Counsel, Inc. (the “Adviser”).
The investment objective of the Bond Funds is a high level of income over the long term consistent with preservation of capital. The investment objective of the Johnson Enhanced Return Fund is to outperform the Fund’s benchmark, the S&P 500 Composite Stock Index, over a full market cycle.
2) Summary of Significant Accounting Policies
Basis of Accounting:
The financial statements are prepared in accordance with accounting principles generally accepted in the United State of America (GAAP). The Funds are investment companies and accordingly follow the investment company guidance of Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
Financial Futures Contracts:
The Enhanced Return Fund invests in stock index futures (equity risk) in an attempt to replicate the returns of the leading large capitalization companies in the leading industries in the U.S. economy. The Fund enters into S&P 500 E-Mini contracts four times a year generally near the time the contracts would expire (contracts expire the third Friday of March, June, September and December). The contracts are generally held until it is time to roll into the next contracts. The average daily notional value for the year ended December 31, 2016 was $104,046,007. Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin,” are made or received by the Fund each day, depending on the daily fluctuations in the fair value of the futures contract. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. The amount of the daily variation margin is reflected as an asset or liability within the Statements of Assets and Liabilities, while the cumulative change in unrealized gain/loss on futures contracts is reported separately within the Statements of Operations. The Net Unrealized Gains on futures contracts, as of December 31, 2016, is presented separately within the components of net assets on the Statements of Assets and Liabilities. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss at the contract settlement date. A realized gain or loss is recognized when a contract is sold, and is the difference between the fair value of the contract at purchase and the fair value of the contract when sold. Realized gains/losses on futures contracts are reported separately within the Statements of Operations. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged asset, as well as the risk that the counterparty will fail to perform its obligations.
As of December 31, 2016, RJ O’Brien holds cash as collateral in the amount of $10,150 and is restricted from withdrawal. The Fund holds U.S. Treasury Notes with the custodian, which also serve as collateral for future contracts, with a value on December 31, 2016 of $5,676,317. Net variation margin payable on futures contracts as of December 31, 2016 was $440,730.
Offsetting Assets and Liabilities:
The Enhanced Return Fund has adopted financial reporting rules regarding offsetting assets and liabilities and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The Fund’s policy is to recognize a net asset/liability equal to the net variation margin for the futures contracts. As of December 31, 2016, the Fund only has one position and the variation margin applicable to that position is presented in the Statement of Assets and Liabilities.
25
2) Summary of Significant Accounting Policies, continued
The following table presents the Enhanced Return Fund Portfolio’s liability derivatives available for offset under a master netting agreement net of collateral pledged as of December 31, 2016.
Liabilities:
Description | Gross amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts Presented in the Statement of Assets & Liabilities | Gross Amounts Not Offset in the Statement of Assets & Liabilities | ||||||||||||||||||||
Financial Instruments | Cash Collateral Pledged/ Received | Net Amount | ||||||||||||||||||||||
Futures Contracts | $ | 440,730 | $ | — | $ | 440,730 | $ | 440,730 | $ | — | $ | — | ||||||||||||
Total | $ | 440,730 | $ | — | $ | 440,730 | $ | 440,730 | $ | — | $ | — |
Investment Income and Realized Capital Gains and Losses on Investment Securities:
Interest income is recorded on an accrual basis. Gains and losses on sales of investments are calculated using the specific identification method. Discounts and premiums on securities purchased are amortized over the lives of the respective securities, using the interest method. Gains and losses on paydowns of mortgage-backed securities are reflected in interest income on the Statements of Operations. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments in a specific country or region.
Income Taxes:
It is the Funds’ policy to distribute annually, prior to the end of the year, dividends sufficient to satisfy excise tax requirements of the Internal Revenue Service. This Internal Revenue Service requirement may cause an excess of distributions over the book year-end accumulated income. In addition, it is the Funds’ policy to distribute annually, after the end of the calendar year, any remaining net investment income and net capital gains to comply with the special provisions of the Internal Revenue Code available to registered investment companies (“RICs”). Each year, each Fund intends to continue to qualify as a RIC under Subchapter M of the Internal Revenue Code by making distributions as noted above and complying with other requirements applicable to RICs. As a result, no provision for income taxes is required.
Accounting for Uncertainty in Income Taxes:
As of all open tax years ended December 31, 2016, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties.
Distributions:
Distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. The Funds intend to distribute net investment income on a calendar quarter basis. The Funds intend to distribute their net realized long-term capital gains and their net realized short-term capital gains, if any, at least once a year. The treatment for financial reporting purposes of distributions made to shareholders during the year from net investment income or net realized capital gains may differ from their ultimate treatment for federal income tax purposes. These differences are caused primarily by differences in the timing of the recognition of certain components of income, expense or realized capital gain for federal income tax purposes. Where such differences are permanent in nature, they are reclassified in the components of net assets based on their ultimate characterization for federal income tax purposes. Any such reclassifications will have no effect on net assets, results of operations, or net asset values per share of the Funds.
26
2) Summary of Significant Accounting Policies, continued
For the year ended December 31, 2016, the Funds made the following reclassifications to increase (decrease) the components of the net assets:
Paid in Capital | Accumulated Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) | ||||||||||
Short Duration Bond Fund | $ | (10,373 | ) | $ | 179,234 | $ | (168,861 | ) | ||||
Intermediate Bond Fund | (19,816 | ) | (84,813 | ) | (64,997 | ) | ||||||
Core Bond Fund | — | 162,040 | (162,040 | ) | ||||||||
Enhanced Return Fund | — | 203,353 | (203,353 | ) |
3) Security Valuation and Transactions
The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis.
Securities for which representative market quotations are not readily available or are considered unreliable by the Investment Adviser are valued as determined in good faith by, or under the direction of, the Board of Trustees. Various inputs may be reviewed in order to make a good faith determination of a security’s fair value. These inputs include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations of investments that would have been used had greater market activity occurred.
GAAP establish a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
¨ | Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
¨ | Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
¨ | Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level of the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Fair Value Measurements:
A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis follows.
Corporate Bonds. Corporate bonds are generally valued at prices obtained from pricing vendors. The fair value of corporate bonds is estimated using market approach valuation techniques, which may consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations for similar securities (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads
27
3) Security Valuation and Transactions, continued
adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they will be categorized in Level 3.
U.S. Government Securities. U.S. government securities are generally valued at prices obtained from pricing vendors. U.S. government securities, including U.S. Treasury Obligations, are normally valued using market approach valuation techniques that incorporate observable market data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. U.S. government securities are categorized in Level 2 of the fair value hierarchy.
U.S. Agency Securities. U.S. agency securities are generally valued at prices obtained from pricing vendors. U.S. agency securities are comprised of two main categories consisting of agency issued debt and mortgage-backed securities. Agency issued debt securities are generally valued in a manner similar to U.S. government securities. Mortgage-backed securities are generally valued based on models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Depending on market activity levels and whether quotations or other data are used, these securities are typically categorized in Level 2 of the fair value hierarchy.
Municipal Bonds. Municipal bonds are generally valued at prices obtained from pricing vendors. Municipal Bonds are normally valued using a market approach valuation technique that incorporates observable market data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. Municipal Bonds are categorized in Level 2 of the fair value hierarchy.
Preferred Stocks. Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Money Market. Investments in mutual funds, including money market mutual funds (notated throughout these financials as cash equivalents), are generally priced at the ending net asset value (“NAV”) provided by the service agent of the funds. These securities will be categorized as Level 1 securities.
Derivative Instruments. Listed derivatives, including futures contracts that are actively traded, are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy.
The following is a summary of the inputs used to value each Fund’s investments as of December 31, 2016:
Short Duration Bond Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
Corporate Bonds* | $ | — | $ | 85,352,662 | $ | — | $ | 85,352,662 | ||||||||
U.S. Treasury Obligations | — | 15,218,460 | — | 15,218,460 | ||||||||||||
U.S. Agency Obligations | — | 13,058,140 | — | 13,058,140 | ||||||||||||
U.S. Agency Obligations – Mortgage-Backed | — | 7,369,508 | — | 7,369,508 | ||||||||||||
Taxable Municipal Bonds | — | 1,110,000 | — | 1,110,000 | ||||||||||||
Cash Equivalents | 1,252,222 | — | — | 1,252,222 | ||||||||||||
Total | $ | 1,252,222 | $ | 122,108,770 | $ | — | $ | 123,360,992 |
28
3) Security Valuation and Transactions, continued
Intermediate Bond Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
Corporate Bonds* | $ | — | $ | 64,444,224 | — | $ | 64,444,224 | |||||||||
U.S. Treasury Obligations | — | 17,463,663 | — | 17,463,663 | ||||||||||||
U.S. Agency Obligations | — | 11,173,343 | — | 11,173,343 | ||||||||||||
U.S. Agency Obligations – Mortgage-Backed | — | 8,948,305 | — | 8,948,305 | ||||||||||||
Taxable Municipal Bonds | — | 6,176,903 | — | 6,176,903 | ||||||||||||
Preferred Stocks | 1,507,431 | — | — | 1,507,431 | ||||||||||||
Cash Equivalents | 185,304 | — | — | 185,304 | ||||||||||||
Total | $ | 1,692,735 | $ | 108,206,438 | $ | — | $ | 109,899,173 |
Core Bond Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
Corporate Bonds* | $ | — | $ | 59,249,770 | $ | — | $ | 59,249,770 | ||||||||
U.S. Treasury Obligations | — | 19,823,597 | — | 19,823,597 | ||||||||||||
U.S. Agency Obligations | — | 10,398,643 | — | 10,398,643 | ||||||||||||
U.S. Agency Obligations – Mortgage-Backed | — | 18,362,983 | — | 18,362,983 | ||||||||||||
Taxable Municipal Bonds | — | 5,479,632 | — | 5,479,632 | ||||||||||||
Preferred Stocks | 1,462,377 | — | — | 1,462,377 | ||||||||||||
Cash Equivalents | 99,590 | — | — | 99,590 | ||||||||||||
Total | $ | 1,561,967 | $ | 113,314,625 | $ | — | $ | 114,876,592 |
Enhanced Return Fund | Level 1 | Level 2 | Level 3 | Totals | ||||||||||||
Corporate Bonds* | $ | — | $ | 69,895,897 | $ | — | $ | 69,895,897 | ||||||||
U.S. Treasury Obligations | — | 18,329,936 | — | 18,329,936 | ||||||||||||
U.S. Agency Obligations | — | 10,610,535 | — | 10,610,535 | ||||||||||||
U.S. Agency Obligations – Mortgage-Backed | — | 6,680,955 | — | 6,680,955 | ||||||||||||
Taxable Municipal Bonds | — | 1,000,000 | — | 1,000,000 | ||||||||||||
Cash Equivalents | 3,391,230 | — | — | 3,391,230 | ||||||||||||
Sub-Total | $ | 3,391,230 | $ | 106,517,323 | $ | — | $ | 109,908,553 | ||||||||
Other Financial Instruments** | (966,520 | ) | — | — | (966,520 | ) | ||||||||||
Total | $ | 2,424,710 | $ | 106,517,323 | $ | — | $ | 108,942,033 |
* | See Portfolio of Investments for industry classification. |
** | Other financial instruments are futures contracts reflected separately in the Portfolio of Investments, and are reflected at the net unrealized depreciation on the futures contracts. |
The Funds did not hold any investments at any time during the reporting period in which unobservable inputs were used in determining fair value. Therefore, no reconciliation of Level 3 securities is included for this reporting period. As of and during the year ended December 31, 2016, no securities were transferred into or out of Level 1 or Level 2. If any transfers between levels would occur, they would be reflected as of the end of the period.
4) Investment Advisory Agreement
The investment advisory agreements provide that the Adviser will pay all of the Funds’ operating expenses, excluding brokerage fees and commissions, taxes, borrowing costs (such as (a) interest and (b) dividend expenses on securities sold short), any 12b-1 fees, and extraordinary expenses. Under the terms of the investment advisory agreements, each of the Bond Funds pays the Adviser a management fee at the annual rate of 0.30% (before the contractual waiver described below) of the Fund’s average daily net assets, which is accrued daily and paid monthly. The Johnson Enhanced Return Fund pays the Adviser a management fee at the annual rate of 0.35% of the Fund’s average daily net assets.
29
4) Investment Advisory Agreement, continued
The Adviser received management fees for the year ended December 31, 2016 as indicated below. Effective May 1, 2016, the Adviser has agreed to waive a part of the management fee for the Bond Funds from a maximum of 0.30% to an effective fee ratio of 0.236%. This is a change in the fee from the prior period (May 1, 2015 to April 30, 2016) of 0.234%. The Adviser has the right to remove this fee waiver any time after April 30, 2017.
For the year ended December 31, 2016, information regarding fees was as follows:
Fund | Fee | Fee Waiver | Effective Fee Ratio | Management Fee After Waiver | Contractual Waiver | Payable | ||||||||||||||||||
Short Duration Bond Fund | 0.30 | % | 0.064 | % | 0.236 | % | $ | 270,227 | $ | 74,197 | $ | 23,143 | ||||||||||||
Intermediate Bond Fund | 0.30 | % | 0.064 | % | 0.236 | % | 256,228 | 70,372 | 22,025 | |||||||||||||||
Core Bond Fund | 0.30 | % | 0.064 | % | 0.236 | % | 233,889 | 64,184 | 22,967 | |||||||||||||||
Enhanced Return Fund | 0.35 | % | — | 0.35 | % | 367,634 | — | 32,450 |
5) Related Party Transactions
All officers and one Trustee of the Trust are employees of the Adviser. Total compensation for the Independent Trustees as a group was $40,000 for the year ended December 31, 2016, which was paid by the Adviser, and as a group they received no additional compensation from the Trust. The Trust consists of eleven Funds: Johnson Equity Income Fund, Johnson Growth Fund, Johnson Opportunity Fund, Johnson Realty Fund, Johnson International Fund, Johnson Fixed Income Fund, Johnson Municipal Income Fund, Johnson Institutional Short Duration Bond Fund, Johnson Institutional Intermediate Bond Fund, Johnson Institutional Core Bond Fund, and Johnson Enhanced Return Fund. The Adviser is not a registered broker-dealer of securities and thus does not receive commissions on trades made on behalf of the Funds. The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the Fund, under Section 2(a)(9) of the Investment Company Act of 1940. As of December 31, 2016, Covie and Company owned in aggregate 52.14% of the Short Duration Bond Fund, 62.74% of the Intermediate Bond Fund, and 58.31% of the Core Bond Fund. At December 31, 2015, client accounts managed by the Adviser and held by Charles Schwab & Co, held in aggregate 37.15% of the Core Bond Fund, and 91.95% of the Enhanced Return Fund.
Johnson Financial, Inc. is a wholly-owned subsidiary of Johnson Investment Counsel, Inc., the Adviser. Johnson Financial, Inc. provides transfer agency and administration services to the Funds. These fees are paid by the Adviser.
6) Purchases and Sales of Securities
For the year ended December 31, 2016, purchases and sales of investment securities aggregated:
Investment Securities Other Than Short Term Investments and U.S. Government Obligations | U.S. Government Obligations | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
Short Duration Bond Fund | $ | 71,474,102 | $ | 60,793,788 | $ | 13,718,024 | $ | 18,721,111 | ||||||||
Intermediate Bond Fund | 37,704,882 | 32,624,909 | 20,134,910 | 20,463,226 | ||||||||||||
Core Bond Fund | 48,644,389 | 26,644,450 | 21,945,046 | 14,657,696 | ||||||||||||
Enhanced Return Fund | 54,560,580 | 46,695,255 | 12,506,519 | 12,046,904 |
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7) Capital Share Transactions
As of December 31, 2016, there were an unlimited number of shares of beneficial interest authorized for each Fund. Each Fund records purchases of its shares at the daily net asset value determined after receipt of a shareholder’s order in proper form. Redemptions are recorded at the net asset value determined following receipt of a shareholder’s written or telephone request in proper form.
Short Duration Bond Fund | Intermediate Bond Fund | Core Bond Fund | Enhanced Return Fund | |||||||||||||||||||||||||||||
Year ended 12/31/2016 | Year ended 12/31/2015 | Year ended 12/31/2016 | Year ended 12/31/2015 | Year ended 12/31/2016 | Year ended 12/31/2015 | Year ended 12/31/2016 | Year ended 12/31/2015 | |||||||||||||||||||||||||
Shares Sold to Investors | 3,101,189 | 3,012,855 | 1,759,192 | 2,324,335 | 3,017,893 | 1,542,013 | 1,581,898 | 442,597 | ||||||||||||||||||||||||
Shares Issued on Reinvestment of Dividends | 21,971 | 8,939 | 18,633 | 7,629 | 54,300 | 1,396 | 336,530 | 347,143 | ||||||||||||||||||||||||
Subtotal | 3,123,160 | 3,021,794 | 1,777,825 | 2,331,964 | 3,072,193 | 1,543,409 | 1,918,428 | 789,740 | ||||||||||||||||||||||||
Shares Redeemed | (2,045,636 | ) | (999,272 | ) | (1,431,163 | ) | (664,012 | ) | (1,211,185 | ) | (666,187 | ) | (1,609,574 | ) | (470,652 | ) | ||||||||||||||||
Net Increase During Period | 1,077,524 | 2,022,522 | 346,662 | 1,667,952 | 1,861,008 | 877,222 | 308,854 | 319,088 | ||||||||||||||||||||||||
Shares Outstanding: | ||||||||||||||||||||||||||||||||
Beginning of Year | 7,224,651 | 5,202,129 | 6,770,296 | 5,102,344 | 5,558,046 | 4,680,824 | 6,458,943 | 6,139,855 | ||||||||||||||||||||||||
End of Period | 8,302,175 | 7,224,651 | 7,116,958 | 6,770,296 | 7,419,054 | 5,558,046 | 6,767,797 | 6,458,943 |
8) Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
9) Federal Tax Information
For Federal income tax purposes, the cost of investment securities owned on December 31, 2016 the composition of unrealized appreciation (the excess of value over tax cost) and depreciation (the excess of tax cost over value), excluding futures contracts, was as follows:
Fund | Tax Cost of Securities | Appreciation | Depreciation | Net Appreciation (Depreciation) | ||||||||||||
Short Duration Bond Fund | $ | 123,816,351 | $ | 234,580 | $ | (689,939 | ) | $ | (455,359 | ) | ||||||
Intermediate Bond Fund | 109,267,299 | 1,302,526 | (670,652 | ) | 631,874 | |||||||||||
Core Bond Fund | 114,605,007 | 1,475,637 | (1,204,052 | ) | 271,585 | |||||||||||
Enhanced Return Fund | 110,356,796 | 208,280 | (656,523 | ) | (448,243 | ) |
31
9) Federal Tax Information, continued
The tax character of the distributions paid is as follows:
Ordinary Income* | Net Realized Long-Term Capital Gain | Return of Capital | Total Distributions Paid | |||||||||||||||||
Short Duration Bond Fund | 2015 | $ | 1,289,701 | $ | — | $ | 11,931 | $ | 1,301,632 | |||||||||||
2016 | 1,761,554 | — | 15,972 | 1,777,526 | ||||||||||||||||
Intermediate Bond Fund | 2015 | 2,124,684 | 241 | 9,596 | 2,134,521 | |||||||||||||||
2016 | 2,459,539 | 92,392 | — | 2,551,931 | ||||||||||||||||
Core Bond Fund | 2015 | 2,352,818 | 441,659 | 12,314 | 2,806,791 | |||||||||||||||
2016 | 2,547,906 | 492,798 | 19,024 | 3,059,728 | ||||||||||||||||
Enhanced Return Fund | 2015 | 2,774,427 | 2,529,054 | 14,030 | 5,317,511 | |||||||||||||||
2016 | 3,082,599 | 2,390,114 | — | 5,472,713 |
* Short-Term Capital Gains were combined with Ordinary Income as they are taxed at the Ordinary Income tax rate.
As of December 31, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Net Realized Long-Term Capital Gains | Short-Term Capital Loss Carryovers (Infinite) | Long-Term Capital Loss Carryovers (Infinite) | Unrealized Appreciation (Depreciation) | Post- October Capital Loss | Total Distributable Earnings on a Tax Basis | ||||||||||||||||||||||
Short Duration Bond Fund | $ | — | $ | — | $ | — | $ | (68,355 | ) | $ | (455,359 | ) | $ | — | $ | (523,714 | ) | |||||||||||
Intermediate Bond Fund | — | — | — | — | 631,874 | — | 631,874 | |||||||||||||||||||||
Core Bond Fund | — | — | — | — | 271,585 | — | 271,585 | |||||||||||||||||||||
Enhanced Return Fund | 2,313,927 | 3,473,730 | — | — | (448,243 | ) | — | 5,339,414 |
For the year ended December 31, 2016, the Short Duration Bond Fund utilized $7,085 of short-term capital loss carryforward, and $3,288 of long-term capital loss carryforward, and the Intermediate Bond Fund utilized $11,719 of short-term capital loss carryforward and $101,197 of long-term capital loss carryforward.
32
Shareholders of the Funds incur ongoing operating expenses consisting solely of management fees. The following example is intended to help you understand your ongoing expenses of investing in the Funds and to compare these expenses with similar costs of investing in other mutual funds. The example is based on an investment of $1,000 invested in the Funds on June 30, 2016 and held through December 31, 2016.
The first line of the table below provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6) and then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period.”
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid by a shareholder for the period. Shareholders may use this information to compare the ongoing expenses of investing in the Funds and other funds 5% hypothetical examples with the 5% hypothetical examples that appear in other funds’ shareholder reports.
Beginning Account Value June 30, 2016 | Ending Account Value December 31, 2016 | Expenses Paid During Period* July 1, 2016 – December 31, 2016 | ||||||||||
Institutional Short Duration Bond Fund | ||||||||||||
Actual | $ | 1,000.00 | $ | 994.06 | $ | 1.17 | ||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.03 | $ | 1.21 | ||||||
Institutional Intermediate Bond Fund | ||||||||||||
Actual | $ | 1,000.00 | $ | 988.39 | $ | 1.17 | ||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.03 | $ | 1.21 | ||||||
Institutional Core Bond Fund | ||||||||||||
Actual | $ | 1,000.00 | $ | 981.04 | $ | 1.16 | ||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.03 | $ | 1.21 | ||||||
Enhanced Return Fund | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.59 | $ | 1.79 | ||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.44 | $ | 1.81 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). For the Institutional Bond Funds, the expense ratio (after waiver) is 0.234%, and for the Enhanced Return Fund, the expense ratio is 0.35%. |
33
Proxy Disclosure
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how the Funds voted those proxies during the most recent 12-month period ended June 30 are available without charge: (1) upon request by calling the Funds at 513-661-3100 or toll free at 1-800-541-0170; or (2) from the Fund’s documents filed with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.
Availability of Schedules of Portfolio Investments:
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available, without charge, (1) upon request by calling the Funds at 513-661-3100 or toll free at 1-800-541-0170; or (2) from the Fund’s documents filed with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.
Code of Ethics
The Trust’s Code of Ethics is available on request without charge; please call for your copy at 513-661-3100 or 1-800-541-0170 or write us at:
Johnson Mutual Funds
3777 West Fork Road
Cincinnati OH 45247
34
To the Shareholders and Board of Trustees of
Johnson Mutual Funds Trust
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Johnson Institutional Short Duration Bond Fund, Johnson Institutional Intermediate Bond Fund, Johnson Institutional Core Bond Fund, and Johnson Enhanced Return Fund (the “Funds”), each a series of Johnson Mutual Funds Trust, as of December 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds constituting Johnson Mutual Funds Trust as of December 31, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/ COHEN & COMPANY, LTD.
Cleveland, Ohio
February 28, 2017
35
Information pertaining to the Trustees and Officers of the Funds is provided below. Trustees who are not deemed to be interested persons of the Funds, as defined in the Investment Company Act of 1940, are referred to as Independent Trustees. Trustees who are deemed to be “interested persons” of the Funds are referred to as Interested Trustees. The Statement of Additional Information includes additional information about the Funds’ Trustees and may be obtained without charge by calling (513) 661-3100 or (800) 541-0170.
Name, Address and Age | Current Position Held with Trust | Year Service Commenced | Principal Occupation During Past Five Years | Number of Portfolios Overseen | Other Directorships Held During the Past Five Years | |||||
Interested Trustee | ||||||||||
Timothy E. Johnson (74) 3777 West Fork Road Cincinnati, Ohio 45247 | Trustee | Since 1992 | Chairman of Johnson Investment Counsel, Inc., the Trust’s Adviser, and Professor of Finance at the University of Cincinnati; previously President of the Adviser until October 2013. | 11 | None | |||||
Independent Trustees | ||||||||||
Ronald H. McSwain (74) 3777 West Fork Road Cincinnati, Ohio 45247 | Chairman and Trustee | Since 1992 | President of McSwain Carpets, Inc. until 2001; partner of P&R Realty, a real estate development partnership since 1984 | 11 | None | |||||
John R. Green (74) 3777 West Fork Road Cincinnati, Ohio 45247 | Trustee | Since 2006 | Retired from The Procter & Gamble Company | 11 | None | |||||
James J. Berrens (51) 3777 West Fork Road Cincinnati, Ohio 45247 | Trustee | Since 2006 | Chief Executive Officer since May 2015, Chief Financial Officer September 2010 to May 2015 for Christian Community Health | 11 | None | |||||
Dr. Jeri B. Ricketts (59) 3777 West Fork Road Cincinnati, Ohio 45247 | Trustee | Since 2013 | Director of Carl H. Lindner Honors-PLUS Program, University of Cincinnati, since 2002; Associate Professor in Accounting, University of Cincinnati since 1986. | 11 | None |
36
Name, Address and Age | Current Position Held with Trust | Year Service Commenced | Principal Occupation During Past Five Years | Number of Portfolios Overseen | Other Directorships Held During the Past Five Years | |||||
Officers | ||||||||||
Jason O. Jackman (46) 3777 West Fork Road Cincinnati, Ohio 45247 | President | Since 2013 | President and Chief Investment Officer of the Adviser since October 2013; Director of Fixed Income and Institutional Management March 2004 to October 2013. | N/A | N/A | |||||
Dale H. Coates (58) 3777 West Fork Road Cincinnati, Ohio 45247 | Vice President | Since 1992 | Portfolio Manager of the Trust’s Adviser | N/A | N/A | |||||
Marc E. Figgins (52) 3777 West Fork Road Cincinnati, Ohio 45247 | Chief Financial Officer and Treasurer | Since 2002 | Mutual Funds Manager for Johnson Financial, Inc. | NA | NA | |||||
Scott J. Bischoff (50) 3777 West Fork Road Cincinnati, Ohio 45247 | Chief Compliance Officer | Since 2005 | Director of Operations of the Trust’s Adviser; Chief Compliance Officer of the Adviser | NA | NA | |||||
Jennifer J. Kelhoffer (45) 3777 West Fork Road Cincinnati, Ohio 45247 | Secretary | Since 2007 | Compliance Associate for the Adviser since March 2006 | NA | NA |
37
Trustees and Officers
Ronald H. McSwain | Independent Trustee, Chairman | |||
Timothy E. Johnson | Interested Trustee | |||
James J. Berrens | Independent Trustee | |||
John R. Green | Independent Trustee | |||
Jeri B. Ricketts | Independent Trustee | |||
Jason Jackman | President | |||
Dale H. Coates | Vice President | |||
Scott J. Bischoff | Chief Compliance Officer | |||
Marc E. Figgins | Chief Financial Officer, Treasurer | |||
Jennifer J. Kelhoffer | Secretary |
Transfer Agent and Fund Accountant
Johnson Financial, Inc.
3777 West Fork Road
Cincinnati, Ohio 45247
(513) 661-3100 (800) 541-0170
Custodian
US Bank
425 Walnut Street
Cincinnati, Ohio 45202
Independent Registered Public Accounting Firm
Cohen & Company
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115
Legal Counsel
Thompson Hine LLP
312 Walnut Street, 14th Floor
Cincinnati, Ohio 45202
This report is authorized for distribution to prospective investors only when accompanied or preceded
by the Funds' prospectus, which illustrates each Fund's objectives, policies, management fees,
and other information that may be helpful in making an investment decision.
Investment Company Act #811-7254
Item 2. Code of Ethics.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b) For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:
(1) | Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
(2) | Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant; |
(3) | Compliance with applicable governmental laws, rules, and regulations; |
(4) | The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and |
(5) | Accountability for adherence to the code. |
(c) Amendments: During the period covered by the report, the code of ethics was not amended.
(d) Waivers: During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.
(e) Not applicable.
(f) The Trust's Code of Ethics is available on request without charge; please call for your copy at
513-661-3100 or 1-800-541-0170 or write us at:
Johnson Mutual Funds
3777 West Fork Road
Cincinnati OH 45247
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that that the registrant does not have an audit committee financial expert serving on its Audit Committee as defined by the SEC. The board determined that, although none of the Audit Committee members meet the technical definition of an audit committee financial expert as defined by the SEC, the members have sufficient financial expertise to address any issues that are likely to come before the committee. It was the consensus of the Trustees that it is not necessary at the present time for the committee to have an audit committee financial expert and that, if an issue ever arises, the committee will consider hiring an expert to assist as needed.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
FY 2015 | $ 68,000.00 |
FY 2016 | $ 74,800.00 |
(b) | Audit-Related Fees |
Registrant | Adviser | |
FY 2015 | $ 5,600.00 | $ 9,500.00 |
FY 2016 | $ 5,600.00 | $ 9,500.00 |
(c) | Tax Fees |
Registrant | Adviser | |
FY 2015 | $ 23,250.00 | $ 0.00 |
FY 2016 | $ 27,500.00 | $ 0.00 |
Nature of the services: The auditor completed the annual tax returns.
(d) | All Other Fees |
Registrant | Adviser | |
FY 2015 | $ 0.00 | $ 0.00 |
FY 2016 | $ 0.00 | $ 0.00 |
(e) | (1) | Audit Committee’s Pre-Approval Policies |
The audit committee has not adopted pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. All non-audit services provided to the Trust or the Adviser by the Trust’s principal accountant are specifically approved in advance on a case-by-case basis by the Board’s audit committee.
(2) | Percentages of Services Approved by the Audit Committee |
None of the services described in paragraph (b) through (d) of this Item were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. All non-audit services were pre-approved by the audit committee pursuant to paragraph (c)(7)(i)(A) of Rule 2-01 of Regulation S-X.
(f) During audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.
(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant:
Registrant | Adviser | |
FY 2015 | $ 23,250.00 | $ 0.00 |
FY 2016 | $ 27,500.00 | $ 0.00 |
(h) Not applicable.
Item 5. Audit Committee of Listed Companies.
Not applicable.
Item 6. Schedule of Investments.
Not applicable – schedule filed with Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Funds.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted procedures by which shareholders may recommend nominees to the registrant's board of trustees.
Item 11. Controls and Procedures.
(a) Based on an evaluation of the registrant’s disclosure controls and procedures as of February 16, 2017, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b) There were no significant changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are filed herewith. |
(a)(3) | Not applicable. |
(b) | Certifications required by Rule 30a-2(b) are filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Johnson Mutual Funds Trust
By: /s/Jason O. Jackman
Jason O. Jackman, President
Date March 10, 2017
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/Jason O. Jackman
Jason O. Jackman, President
Date March 10, 2017
By: /s/ Marc E. Figgins
Marc E. Figgins, Treasurer
Date March 10, 2017