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: 811-07538
LORD ABBETT SECURITIES TRUST
(Exact name of Registrant as specified in charter)
| | 90 Hudson Street, Jersey City, NJ 07302 | |
| (Address of principal executive offices) (Zip code) |
| Brooke A. Fapohunda, Esq., Vice President & Assistant Secretary |
| | 90 Hudson Street, Jersey City, NJ 07302 | |
| | (Name and address of agent for service) | |
Registrant’s telephone number, including area code: (800) 201-6984
Date of fiscal year end: 10/31
Date of reporting period: 10/31/2014
| Item 1: | Report(s) to Shareholders. |
2014 LORD ABBETT
ANNUAL REPORT
Lord Abbett
Alpha Strategy Fund
Fundamental Equity Fund
Growth Leaders Fund
International Core Equity Fund
International Dividend Income Fund
International Opportunities Fund
Value Opportunities Fund
For the fiscal year ended October 31, 2014
Table of Contents
Lord Abbett Securities Trust
Lord Abbett Alpha Strategy Fund, Lord Abbett Fundamental Equity Fund,
Lord Abbett Growth Leaders Fund, Lord Abbett International Core Equity Fund,
Lord Abbett International Dividend Income Fund, Lord Abbett International Opportunities Fund, and Lord Abbett Value Opportunities Fund
Annual Report
For the fiscal year ended October 31, 2014
Daria L. Foster, Trustee, President and Chief Executive Officer of the Lord Abbett Funds, and E. Thayer Bigelow, Independent Chairman of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this overview of the performance of the Funds for the fiscal year ended October 31, 2014. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and more timely information about the Funds, please visit our website at www.lordabbett.com, where you also can access quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Daria L. Foster
Trustee, President and Chief Executive Officer
1
Alpha Strategy Fund
For the fiscal year ended October 31, 2014, the Fund returned 6.89%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the combined 85% Russell 2000® Index1/ 15% S&P Developed Ex-U.S. SmallCap® Index,2 which returned 6.85% over the same period.
Last year’s modest economic recovery, which sustained equity markets through the summer of 2014, turned decidedly uneven as the year progressed. Signs of weakness in Europe and China dented the view of a synchronized recovery helping the overall global economy and undermined previously solid gains in equity markets. It also led to weak foreign currencies, which was a negative development for foreign equity returns to a U.S. shareholder. Domestic small and mid cap markets (as represented by the Russell 2500® Index3) outperformed foreign small cap equity markets (as represented by the S&P Developed Ex-U.S. SmallCap® Index2). Within the U.S. small cap market, growth stocks (as represented by the Russell 2000 Growth® Index4) outperformed value stocks (as represented by the Russell 2000® Value Index6), while small cap stocks (as represented by the Russell 2000® Index1) outperformed micro cap stocks (as represented by the Russell Microcap® Index5) for the period.
The Fund’s exposure to micro cap value and micro cap growth equities contributed to relative performance, as each of these investment strategies significantly outperformed the Fund’s benchmark index and the underlying investment strategies’ indexes. Within each of these underlying strategies, stock selection in the consumer discretionary and industrials sectors contributed positively to performance relative to the underlying index.
Detracting from the Fund’s relative performance was its exposure to international small cap equities, as this investment strategy underperformed the Fund’s index. Within this underlying strategy, stock selection in the consumer discretionary and energy sectors detracted from performance relative to the underlying index. Also detracting from the Fund’s relative performance was exposure to the domestic small cap value underlying strategy. Stock selection within the information technology and industrials sectors caused this investment strategy to underperform its underlying index.
Fundamental Equity Fund
For the fiscal year ended October 31, 2014, the Fund returned 11.65%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 1000® Value Index,7 which returned 16.46% over the same period.
Equity markets rose strongly in the trailing 12-month period, with the S&P 500® Index reaching a new all-time high by October 31, 2014. Despite the general trend upward in the equity market from November 2013 through October 2014,
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there were a few periods of heightened volatility, most recently in October 2014, when the market almost entered a correction before rebounding to all-time highs, and in January 2014, when the S&P 500 dropped by 3.6%. The U.S. economy also contracted in the first quarter of 2014, by 2.1%, the worst quarterly GDP growth rate since the first quarter of 2009. The equity markets, however, were not materially affected by this disappointing number, and investors viewed this contraction as “temporary”. Interest rates (as measured by the 10-year U.S. Treasury note) surprised many investors by steadily declining throughout the course of the year, reflecting both Federal Reserve policy and a slowdown in global economic growth. Investors favored large capitalization companies over small, and within the large cap space, growth over value companies.
The Fund’s performance lagged its index for the period. Stock selection within the consumer discretionary and financials sectors detracted the most from relative performance. Shares of GNC Holdings Inc., a global specialty retailer of health and wellness products, slid as management lowered yearly earnings guidance and increased promotional activity. Shares of PVH Corp., an apparel holding company, stumbled downward as margin issues and decreased cash flows persisted as a result of acquisition and integration issues from new investments. Within the financials sector, Greenhill & Co., Inc., an independent investment bank with nearly 100% of revenues being derived from financial advisory, struggled, as the market reacted poorly as the expected acceleration of M&A activity was delayed, even though the mandate pipeline is improving. In addition, shares of Citigroup Inc., a global diversified financial services holding company, faltered as a multibillion-dollar mortgage settlement charge, litigation costs, and restructuring headwinds outweighed the underlying performance of the company.
Stock selection within the healthcare sector contributed to relative performance during the period. Shares of Puma Biotechnology, Inc., a development-stage biopharmaceutical company, jumped, due to positive results from a clinical trial on an investigational drug for treatment of breast cancer. In addition, shares of Actavis plc, an integrated specialty pharmaceutical company, rose, as strong quarterly results were augmented by accretive earnings from external acquisitions. Shares of Humana Inc., a healthcare company, gained, as Medicare eligibility continued to grow and the reimbursement environment became more visible and improved from prior years. Within the industrials sector, shares of General Dynamics Corp., an aerospace and defense company, increased due to the expanding Gulfstream aircraft product line, margin improvement, and stronger revenues from the defense sector.
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Growth Leaders Fund
For the fiscal year ended October 31, 2014, the Fund returned 14.59%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 1000® Growth Index,8 which returned 17.11% over the same period.
Equity markets significantly increased in the trailing 12-month period, with the S&P 500 Index® reaching a new all-time high by October 31, 2014. Despite the general trend upward in the equity market over this timeframe, there were a few periods of short-term volatility, most recently in October 2014, when the market almost entered correction territory before rebounding to all-time highs, and in January 2014, when the S&P 500 dropped by 3.6%. In addition, the U.S. economy also contracted in the first quarter of 2014, by 2.1%, the worst quarterly GDP growth rate since the first quarter of 2009. The equity markets, however, were not materially affected by this disappointing number, and investors viewed this contraction as “temporary.”
The Fund underperformed its benchmark during the period. The consumer discretionary sector was the largest detractor from relative performance during the period. Within this sector, our position in iRobot Corp., a developer and manufacturer of robotic solutions, was a leading detractor. In the third quarter of 2014, a competitor announced its entry into the robotic vacuum cleaner market, resulting in direct competition for iRobot’s Roomba vacuum cleaner. Also within the consumer discretionary sector was our position in Lowe’s Companies, Inc.. Lowe’s, a home improvement retailer, had a tough first quarter 2014, as a harsh winter and late start to spring acted as a headwind, along with a weakening housing market.
Our underweight position relative to the benchmark in information technology holding Apple, Inc. was the largest individual detractor from relative performance. Apple reported impressive third quarter 2014 earnings, driven by strong demand for the recently launched iPhone 6 and increasing sales from its Mac computers. Another detractor from relative performance within the information technology sector was our holding in First Solar, Inc., a manufacturer and distributor of solar modules. The company reported disappointing second quarter 2014 earnings, as revenue from a major project was pushed out to the third quarter.
Security selection, along with an overweight position, in the health care sector was a leading contributor to relative performance. Within this sector, our holdings of Illumina, Inc. and Allergan, Inc. were two of the top contributors to relative performance. Illumina, a developer of life science tools and integrated systems for the analysis of genetic variation, got off to a strong start in 2014 after the company preannounced solid fourth quarter 2013 earnings along with a new lineup of
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products to help bolster its already dominant market position. Shares of Allergan, a multispecialty health care company, rose in April 2014 after the company received a hostile takeover bid from a large competitor at a substantial premium over Allergan’s share price at the time.
Security selection within the industrials sector also contributed to relative performance during the period. Within this sector, American Airlines Group Inc., the owner and operator of American Airlines, was the leading contributor. American Airlines emerged from Chapter 11 bankruptcy and announced a major merger with rival US Airways in December 2013.
Although the information technology sector was an overall detractor from relative performance, our position in Facebook, Inc., which lands within this sector, was the largest individual contributor to Fund performance during the Fund’s fiscal year. Facebook, the ubiquitous social media network, reported a strong third quarter 2014, driven by continued increases in user engagement and advertising revenue.
International Core Equity Fund
For the fiscal year ended October 31, 2014, the Fund returned -2.67%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the MSCI EAFE Index with Gross Dividends,9 which returned -0.17% over the same period.
Last year’s modest economic recovery, which sustained equity markets through the summer of 2014, turned decidedly uneven as the year progressed. Weakness in Europe and China dented the view of a synchronized recovery helping the overall global economy and undermined previously solid gains in equity markets. It also led to weaker foreign currencies, which was a negative development for foreign equity returns to a U.S. shareholder. The divergent paths that major economies and central banks took over the last year also led to divergent equity market returns. Large markets such as France and Germany led the overall European markets down during the fiscal year. Europe (as measured by the Euro Stoxx 50) fell roughly 3.0% in U.S. dollars for the period, while Japan (as measured by the Nikkei 225) rose 2.1%. In general, the Asian markets fared better as many recovered from their 2013 lows. India, Taiwan, and Hong Kong were all solid performers in Asia. We expect the existing policy divergences will exist for much of the next year, again resulting in uneven growth that is below normal. Often this type of environment is prone to shocks, as we’ve seen this year, and barring a strong, synchronized recovery from more than just the United States, we would expect this to continue.
During the period, the Fund’s underperformance relative to the benchmark was driven by weak stock selection, particularly within the consumer
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discretionary sector. Within the sector, Hong Kong-based SJM Holdings Ltd. and Germany-based Volkswagen AG were among the largest detractors from relative performance. With regard to SJM Holdings, shares of the operator of casinos in Macau slid lower as a slowing Chinese economy, anti-corruption initiatives, and a lack of additional capacity decelerated growth for the region’s casino industry. In the case of Volkswagen, shares of the automotive manufacturer exhibited weakness, as investor anxieties regarding the fledgling recovery in the European market, as well as slower potential growth rates in a number of emerging markets, negatively affected the company’s share price.
In addition, stock selection within the financials sector detracted from relative performance. Within the sector, shares of Japan-based Orix Corp. exhibited weakness as investors raised concerns the financial services company’s earnings were driven by unsustainable one-off gains from selling various investments. However, the stock showed signs of recovery, alongside the rest of the Japanese equities, after the Bank of Japan surprised the market with additional stimulus measures.
By contrast, stock selection within the information technology sector contributed to the Fund’s relative performance during the period. SK Hynix, Inc. was the top contributor to relative performance within the sector. Shares of the South Korea-based semiconductor manufacturer outperformed, as industry consolidation and strong demand supported higher semiconductor prices. China-based Baidu, Inc. also was a top contributor within the sector, as strong momentum in mobile search was a key driver of the web service company’s revenue growth.
Stock selection within the health care sector also contributed to the Fund’s relative performance. Within the sector, shares of Ireland-based Shire plc surged higher following news of a substantial takeover offer for the biopharmaceutical company. We liquidated our position prior to the acquirer’s Board of Directors voting to not recommend the merger, which subsequently caused a sell-off.
International Dividend Income Fund
For the fiscal year ended October 31, 2014, the Fund returned 0.47%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the MSCI All Country World Ex-U.S. Value Index with Gross Dividends,10 which returned -0.03% over the same period.
Last year’s modest economic recovery, which sustained equity markets through the summer of 2014, turned decidedly uneven as the year progressed. Weakness in Europe and China dented the view of a synchronized recovery helping the overall global economy and undermined previously solid gains in equity markets. It also led to weaker foreign currencies, which was a negative development for foreign equity returns to a U.S. shareholder. The
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divergent paths that major economies and central banks took over the last year also led to divergent equity market returns. Large markets such as France and Germany led the overall European markets down during the fiscal year. Europe (as measured by the Euro Stoxx 50) fell roughly 3.0% in U.S. dollars for the period, while Japan rose 2.1%. In general, the Asian markets fared better as many recovered from their 2013 lows. India, Taiwan, and Hong Kong were all solid performers in Asia. We expect the existing policy divergences will exist for much of the next year, again resulting in uneven growth that is below normal. Often this type of environment is prone to shocks, as we’ve seen this year, and barring a strong, synchronized recovery from more than just the United States, we would expect this to continue.
During the period, the utilities and materials sectors were primary contributors to the Fund’s relative outperformance. Within utilities, the Fund’s meaningful overweight relative to the benchmark contributed to relative performance, as the sector’s lower perceived volatility and higher dividend yields attracted investors amid global growth concerns, geopolitical tensions, and falling global bond yields. Stock selection within the sector also contributed to the Fund’s relative performance, most notably in Energias de Portugal S.A. An improved local macroeconomic backdrop, compression in government bond yields, and successful deleveraging boosted shares of the Portugal-based electric utility.
In addition, the Fund’s significant underweight in the materials sector contributed to relative performance. Among the worst performers in the index, the sector struggled as a stronger U.S. dollar and an economic slowdown in China weighed on metal and steel prices.
By contrast, weak stock selection within the energy sector detracted from relative performance. Within energy, shares of Canada-based Baytex Energy Corp. slid lower, near the end of the period, weighed down by deteriorating crude oil prices. Investor concerns regarding the impact of lower oil prices on the oil and gas company’s leverage ratios exacerbated the selloff. In addition, shares of Russia-based Gazprom OAO, the world’s largest natural gas producer, moved lower as escalating tensions between Ukraine and Russia raised concerns over possible transit disruptions and potential nonpayment by the Ukrainian government. Due to these risks, we decided to exit the position in March 2014.
Weak stock selection within the consumer discretionary sector also detracted from the Fund’s relative performance, most notably in SJM Holdings Ltd. Shares of the operator of casinos in Macau slid lower as a slowing Chinese economy, anti-corruption initiatives, and a lack of additional capacity decelerated growth for the region’s casino industry.
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International Opportunities Fund
For the fiscal year ended October 31, 2014, the Fund returned -2.39%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the S&P Developed Ex-U.S. SmallCap® Index,11 which returned -0.43% over the same period.
Last year’s modest economic recovery, which sustained equity markets through the summer of 2014, turned decidedly uneven as the year progressed. Weakness in Europe and China dented the view of a synchronized recovery helping the overall global economy and undermined previously solid gains in equity markets. It also led to weaker foreign currencies, which was a negative development for foreign equity returns to a U.S. shareholder. The divergent paths that major economies and central banks took over the last year also led to divergent equity market returns. Large markets such as France and Germany led the overall European markets down during the fiscal year. Europe (as measured by the Euro Stoxx 50) fell roughly 3.1% in U.S. dollars for the period, while Japan rose 2.1%. In general, the Asian markets fared better as many recovered from their 2013 lows. India, Taiwan, and Hong Kong were all solid performers in Asia. We expect the existing policy divergences will exist for much of the next year, again resulting in uneven growth that is below normal. Often this type of environment is prone to shocks, as we’ve seen this year, and barring a strong, synchronized recovery from more than just the United States, we would expect this to continue.
Stock selection, most notably in the consumer discretionary and energy sectors, was the primary driver of relative underperformance during the period. Within consumer discretionary, shares of Esprit Holdings Ltd. steadily declined as the Hong Kong-based clothing company experienced weak sales in both its wholesale and retail divisions. A tough retail environment in Germany, a significant source of revenue for Esprit, also tempered investors’ outlook. Also within the sector, shares of eDreams ODIGEO S.A. stumbled in June after the Luxembourg-based online travel and e-commerce company delivered cautious comments during the first quarterly conference call since its initial public offering. A subsequent profit warning by management further pressured shares.
Within energy, shares of United Kingdom-based Afren plc, an oil and gas exploration company with operations in Africa and the Kurdistan region of Iraq, slid lower following news that Afren’s CEO and COO were suspended amid questions regarding possible unauthorized payments. A significant drop in oil prices added to the negative momentum in the company’s share price.
Conversely, strong performance in the materials and information technology sectors contributed to relative performance. Within the materials sector,
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Germany-based Symrise AG was among the top contributors. Shares of the manufacturer of fragrances and flavors climbed higher, as a combination of solid organic growth and expanded margins led to multiple better-than-expected earnings announcements. In addition, the Fund’s meaningful underweight in the sector contributed to relative performance, as a stronger U.S. dollar and an economic slowdown in China weighed on metal and steel prices.
Within the information technology sector, AMS AG, a semiconductor manufacturer, contributed to the Fund’s relative performance. Shares of the Austria-based company were led by investor optimism with regard to the adoption of the company’s technology in new iterations of market-leading smartphones.
Value Opportunities Fund
For the fiscal year ended October 31, 2014, the Fund returned 10.72%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, Russell 2500TM Index,12 which returned 10.23% over the same period.
Over the course of the last twelve months, some of the world’s major central banks took action in an attempt to stimulate economic growth and battle the growing risk of crippling deflation. The U.S. Federal Reserve was successful in both tapering, and eventually ending, its Quantitative Easing program. The European Central Bank reduced the interest rate on its deposit facility into negative territory for the first time ever. The Bank of Japan announced an unexpected expansion of its own variation of quantitative easing. In addition, culminating a period marked by a dearth of volatility, October 2014 was struck by a sudden and meaningful increase in the Volatility Index, the VIX, which more than doubled in a single week’s span during which major indices fell by over 5%. However, despite this surge in volatility, the end of the 12-month period brought with it improved employment, manufacturing, and housing data, in the United States. Interest rates, as measured by the 10-year U.S. Treasury Note, surprised many investors by steadily declining throughout the course of the year, reflecting both Fed policy and a slowdown in global economic growth. Investors favored large capitalization companies over small and within the small to mid cap space, growth and value companies finished on par.
During the period, stock selection was a prevailing factor of the Fund’s relative outperformance, especially in the industrials and energy sectors. Industrials holding United Rentals, Inc. was a notable contributor to the Fund’s performance as its stock price appreciated for much of the period. The North American leader in equipment leasing believes it is at the beginning of a multi-year upward trend, as uncertainty in the economic outlook favors
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equipment rental rather than ownership. Another noteworthy contributor from the industrials sector was airline operator American Airlines Group, Inc. The merger of American Airlines and US Airways led to synergies that outpaced analysts’ estimates and the company benefitted from improving industry conditions throughout the period. Additionally, energy holding Helmerich & Payne Inc. contributed to the Fund’s performance. The driller of oil and gas was able to take advantage of the strengthening demand for horizontal rigs, attributed to the increase in land drilling, and in the second quarter of 2014, Helmerich secured multi-year contracts to build and operate nine additional rigs.
Conversely, stock selection from the consumer discretionary and materials sectors was a main detractor from the Fund’s performance over the period. Consumer discretionary holding Red Robin Gourmet Burgers, Inc. suffered a decline in its stock price in August primarily due to disappointing second quarter performance that was attributed to poor marketing decisions made by management. Also from consumer discretionary was clothing retailer Urban Outfitters, Inc. Its shares fell sharply as management preannounced its third quarter 2014 results, noting pressure on brand growth and weak retail trends. From the materials sector, a significant detractor from the portfolio’s performance was Albemarle Corp. Shares of the producer of specialty chemicals fell throughout July due in part to an investigation into Albemarle’s acquisition of a competitor. A potential breach of fiduciary responsibility on the part of the competitor was the focus of the investigation.
Each Fund’s portfolio is actively managed and, therefore, its holdings and the weightings of a particular issuer or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
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1 The Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index, which represents approximately 10% of the total market capitalization of the Russell 3000 Index.
2 The S&P Developed Ex-U.S. SmallCap® Index captures the bottom 15% of companies domiciled in the developed markets excluding the United States within the S&P Global BMI with a float-adjusted market capitalization of at least US$100 million and a minimum annual trading liquidity of US$50 million. Stocks are excluded if their market capitalization falls below US$75 million, or if the value is traded less than US$35 million at the time of reconstitution.
3 The Russell 2500® Index is a market cap weighted index that includes the smallest 2,500 companies covered in the Russell 3000 Universe of United States based listed indices.
4 The Russell 2000® Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.
5 The Russell Microcap® Index measures performance of the micro-cap segment, representing less than 3% of the U.S. equity market. The Russell Microcap Index includes the smallest 1,000 securities in the small cap Russell 2000 Index plus the next smaller 1,000 securities.
6 The Russell 2000® Value Index measures the performance of small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.
7 The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
8 The Russell 1000® Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
9 The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. The MSCI EAFE Index with Gross Dividends approximates the maximum possible dividend reinvestment. The amount reinvested is the entire dividend distributed to individuals resident in the country of the company, but does not include tax credits.
10 The MSCI ACWI (All Country World Index) ex-U.S. Value Index is a subset of the MSCI ACWI ex-U.S Index. The index is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets excluding the United States from a value perspective. The MSCI Global Value indexes cover the full range of developed, emerging, and All Country MSCI International Equity indexes across all size segmentations. MSCI uses a two-dimensional framework for style segmentation in which value and growth securities are categorized using a multi-factor approach, which uses three variables to define the value investment style characteristics and five variables to define the growth investment style characteristics, including forward looking variables. The objective of the index design is to divide constituents of an underlying MSCI Equity Index into respective value indexes, each targeting 50% of the free float-adjusted market capitalization of the underlying market index.
11 The S&P Developed Ex-U.S. SmallCap® Index captures the bottom 15% of companies domiciled in the developed markets (excluding the United States) within the S&P Global BMI with a float-adjusted market capitalization of at least US$100 million and a value traded of at least US$50 million for the past 12 months at the time of the annual reconstitution. Stocks are excluded if their market capitalization falls below US$75 million, or if the value traded is less than US$35 million at the time of reconstitution.
12 The Russell 2500TM Index is a market cap weighted index that includes the smallest 2,500 companies covered in the Russell 3000 universe of United States-based listed equities.
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
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Important Performance and Other Information
Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Funds will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. Each Fund offers classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see each Fund’s prospectus.
During certain periods shown, expense waivers and reimbursements were in place for Alpha Strategy Fund, Growth Leaders Fund, International Core Equity Fund and International Dividend Income Fund. Without such expense reimbursements, each Fund’s returns would have been lower.
The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Funds as of October 31, 2014. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Funds’ portfolios are actively managed and may change significantly, the Funds may no longer own the securities described above or may have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.
A Note about Risk: See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with each Fund, please see each Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
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Alpha Strategy Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the 85% Russell 2000® Index/15% S&P Developed Ex-U.S. SmallCap Index and the Lipper Small-Cap Core Funds Average, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2014
| | | 1 Year | | 5 Years | | 10 Years | | Life of Class | |
| Class A4 | | 0.75% | | 14.89% | | 10.41% | | — | |
| Class B5 | | 1.15% | | 15.19% | | 10.47% | | — | |
| Class C6 | | 5.11% | | 15.43% | | 10.31% | | — | |
| Class F7 | | 7.05% | | 16.46% | | — | | 6.74% | |
| Class I8 | | 7.14% | | 16.57% | | 11.41% | | — | |
| Class R27 | | 6.55% | | 15.88% | | — | | 6.20% | |
| Class R37 | | 6.62% | | 16.00% | | — | | 6.31% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Source: Lipper Inc. The performance of the average is not necessarily representative of the Fund’s performance.
4 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2014, is calculated using the SEC-required uniform method to compute such return.
5 Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years, and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
6 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
7 Commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
8 Performance is at net asset value.
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Fundamental Equity Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 1000® Value Index, Russell 3000® Value Index, Russell 3000® Index, and S&P 500® Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2014
| | | 1 Year | | 5 Years | | 10 Years | | Life of Class | |
| Class A3 | | 5.21% | | 13.19% | | 7.97% | | — | |
| Class B4 | | 6.22% | | 13.58% | | 8.05% | | — | |
| Class C5 | | 9.96% | | 13.79% | | 7.91% | | — | |
| Class F6 | | 11.93% | | 14.83% | | — | | 6.94% | |
| Class I7 | | 12.05% | | 14.95% | | 9.01% | | — | |
| Class P7 | | 11.51% | | 14.44% | | 8.50% | | — | |
| Class R26 | | 11.33% | | 14.26% | | — | | 6.42% | |
| Class R36 | | 11.41% | | 14.37% | | — | | 6.52% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2014, is calculated using the SEC-required uniform method to compute such return.
4 Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years, and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
6 Commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Performance is at net asset value.
14
Growth Leaders Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 1000® Growth Index, Russell 3000® Growth Index, and S&P 500® Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2014
| | | 1 Year | | Life of Class | |
| Class A3 | | 8.00% | | 13.24% | |
| Class B4 | | 8.77% | | 23.06% | |
| Class C5 | | 12.81% | | 14.51% | |
| Class F6 | | 14.80% | | 15.51% | |
| Class I6 | | 14.93% | | 15.65% | |
| Class R26 | | 14.24% | | 15.37% | |
| Class R36 | | 14.34% | | 15.17% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance for each index begins on June 30, 2011.
3 Class A shares commenced operations on June 21, 2011 and performance for the Class began on June 30, 2011. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2014, is calculated using the SEC-required uniform method to compute such return.
4 Class B shares commenced operations and performance for the Class began on February 11, 2013. Performance reflects the deduction of a CDSC of 5% for 1 year.
5 Class C shares commenced operations on June 24, 2011 and performance for the Class began on June 30, 2011. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
6 Commenced operations on June 24, 2011 and performance for the Class began on June 30, 2011. Performance is at net asset value.
15
International Core Equity Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Morgan Stanley Capital International Europe, Australasia, Far East Index (“MSCI EAFE® Index”) with Gross Dividends and the MSCI EAFE® Index with Net Dividends assuming reinvestment of all dividends and distributions. The MSCI EAFE Index with Net Dividends reflects a reduction in dividends after taking into account withholding of taxes by certain foreign countries represented in the MSCI EAFE Index. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2014
| | | 1 Year | | 5 Years | | 10 Years | | Life of Class | |
| Class A3 | | -8.26% | | 4.01% | | 5.03% | | — | |
| Class B4 | | -8.11% | | 4.22% | | 5.12% | | — | |
| Class C5 | | -4.27% | | 4.57% | | 4.98% | | — | |
| Class F6 | | -2.46% | | 5.49% | | — | | -0.74% | |
| Class I7 | | -2.34% | | 5.60% | | 6.03% | | — | |
| Class P7 | | -2.77% | | 5.13% | | 5.55% | | — | |
| Class R26 | | -2.89% | | 5.01% | | — | | -1.03% | |
| Class R36 | | -2.85% | | 5.09% | | — | | -1.12% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance of each index begins on December 31, 2003.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2014, is calculated using the SEC-required uniform method to compute such return.
4 Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 Class C shares commenced operations on December 15, 2003 and performance for the Class began on December 31, 2003. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
6 Commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Performance is at net asset value.
16
International Dividend Income Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Morgan Stanley Capital International (MSCI) All Country World Ex-U.S. Value Index with Gross Dividends and the MSCI All Country World Ex-U.S. Value Index with Net Dividends, assuming reinvestment of all dividends and distributions. The MSCI All Country World Ex-U.S. Value Index with Net Dividends reflects a reduction in dividends after taking into account withholding of taxes by certain foreign countries represented in the MSCI All Country World Ex-U.S. Value Index. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursements of expense, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2014
| | | 1 Year | | 5 Years | | Life of Class | |
| Class A3 | | -5.35% | | 4.55% | | 1.47% | |
| Class C4 | | -1.10% | | 5.13% | | 1.76% | |
| Class F5 | | 0.83% | | 6.08% | | 2.67% | |
| Class I5 | | 0.93% | | 6.19% | | 2.79% | |
| Class R25 | | 0.33% | | 5.76% | | 2.45% | |
| Class R35 | | 0.41% | | 5.66% | | 2.37% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance of each index begins on June 30, 2008.
3 Class A shares commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2014, is calculated using the SEC-required uniform method to compute such return.
4 Class C shares commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. Performance is at net asset value.
17
International Opportunities Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the S&P Developed Ex-U.S. SmallCap Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2014
| | | 1 Year | | 5 Years | | 10 Years | | Life of Class | |
| Class A3 | | -8.02% | | 8.51% | | 6.83% | | — | |
| Class B4 | | -7.91% | | 8.79% | | 6.91% | | — | |
| Class C5 | | -4.08% | | 9.07% | | 6.77% | | — | |
| Class F6 | | -2.21% | | 10.04% | | — | | 0.90% | |
| Class I7 | | -2.10% | | 10.15% | | 7.84% | | — | |
| Class P7 | | -2.60% | | 9.66% | | 7.38% | | — | |
| Class R26 | | -2.69% | | 9.51% | | — | | 0.41% | |
| Class R36 | | -2.63% | | 9.64% | | — | | 0.56% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2014, is calculated using the SEC-required uniform method to compute such return.
4 Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years, and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance is at net asset value.
6 Commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Performance is at net asset value.
18
Value Opportunities Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 2500TM Index and the Russell 2500TM Value Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2014
| | | 1 Year | | 5 Years | | Life of Class | |
| Class A3 | | 4.34% | | 14.15% | | 10.63% | |
| Class B4 | | 5.02% | | 14.53% | | 10.74% | |
| Class C5 | | 9.02% | | 14.76% | | 10.67% | |
| Class F6 | | 10.97% | | 15.79% | | 8.54% | |
| Class I7 | | 11.10% | | 15.90% | | 11.77% | |
| Class P7 | | 10.58% | | 15.41% | | 11.27% | |
| Class R26 | | 10.42% | | 15.21% | | 7.99% | |
| Class R36 | | 10.54% | | 15.33% | | 8.11% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance for each index begins on December 30, 2005.
3 Class A shares commenced operations on December 20, 2005 and performance for the Class began on December 30, 2005. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2014, is calculated using the SEC-required uniform method to compute such return.
4 Class B shares commenced operations on December 20, 2005 and performance for the Class began on December 30, 2005. Performance reflects the deduction of a CDSC of 5% for 1 year, 2% for 5 years, and 0% for Life of the Class. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 Class C shares commenced operations on December 20, 2005 and performance for the Class began on December 30, 2005. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
6 Commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Commenced operations on December 20, 2005 and performance for the Class began on December 30, 2005. Performance is at net asset value.
19
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2014 through October 31, 2014).
Actual Expenses
For each class of each Fund, the first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 5/1/14 – 10/31/14” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the table on the following page provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
20
Alpha Strategy Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning | | Ending | | Expenses |
| | | Account | | Account | | Paid During |
| | | Value | | Value | | Period†# |
| | | | | | | 5/1/14 – |
| | | 5/1/14 | | 10/31/14 | | 10/31/14 |
| Class A | | | | | | |
| Actual | | $1,000.00 | | $1,021.10 | | $1.27 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,023.95 | | $1.28 |
| Class B | | | | | | |
| Actual | | $1,000.00 | | $1,017.40 | | $5.08 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.16 | | $5.09 |
| Class C | | | | | | |
| Actual | | $1,000.00 | | $1,017.20 | | $5.08 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.16 | | $5.09 |
| Class F | | | | | | |
| Actual | | $1,000.00 | | $1,022.00 | | $0.51 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,024.70 | | $0.51 |
| Class I | | | | | | |
| Actual | | $1,000.00 | | $1,022.40 | | $0.00 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,025.21 | | $0.00 |
| Class R2 | | | | | | |
| Actual | | $1,000.00 | | $1,019.60 | | $3.05 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.18 | | $3.06 |
| Class R3 | | | | | | |
| Actual | | $1,000.00 | | $1,019.80 | | $2.55 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.68 | | $2.55 |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.25% for Class A, 1.00% for Classes B and C, 0.10% for Class F, 0.00% for Class I, 0.60% for Class R2 and 0.50% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
| # | Does not include expenses of Underlying Funds in which Alpha Strategy Fund invests. |
Portfolio Holdings Presented by Portfolio Allocation
October 31, 2014
| Underlying Fund Name | | %* |
| Lord Abbett Developing Growth Fund, Inc. – Class I | | 20.26% |
| Lord Abbett Research Fund, Inc.-Small-Cap Value Fund – Class I | | 20.28% |
| Lord Abbett Securities Trust-International Opportunities Fund – Class I | | 19.13% |
| Lord Abbett Securities Trust-Micro-Cap Growth Fund – Class I | | 10.45% |
| Lord Abbett Securities Trust-Micro-Cap Value Fund – Class I | | 10.05% |
| Lord Abbett Securities Trust-Value Opportunities Fund – Class I | | 19.82% |
| Repurchase Agreement | | 0.01% |
| Total | | 100.00% |
| * | Represents percent of total investments. |
21
Fundamental Equity Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning | | Ending | | Expenses |
| | | Account | | Account | | Paid During |
| | | Value | | Value | | Period† |
| | | | | | | 5/1/14 – |
| | | 5/1/14 | | 10/31/14 | | 10/31/14 |
| Class A* | | | | | | |
| Actual | | $1,000.00 | | $1,056.10 | | $5.44 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.91 | | $5.35 |
| Class B | | | | | | |
| Actual | | $1,000.00 | | $1,052.90 | | $8.85 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.59 | | $8.69 |
| Class C | | | | | | |
| Actual | | $1,000.00 | | $1,052.50 | | $8.85 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.59 | | $8.69 |
| Class F | | | | | | |
| Actual | | $1,000.00 | | $1,057.10 | | $4.20 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.12 | | $4.13 |
| Class I | | | | | | |
| Actual | | $1,000.00 | | $1,057.80 | | $3.68 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.63 | | $3.62 |
| Class P | | | | | | |
| Actual | | $1,000.00 | | $1,055.50 | | $6.01 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.36 | | $5.90 |
| Class R2 | | | | | | |
| Actual | | $1,000.00 | | $1,054.40 | | $6.78 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.60 | | $6.67 |
| Class R3 | | | | | | |
| Actual | | $1,000.00 | | $1,054.70 | | $6.27 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.11 | | $6.16 |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.05% for Class A, 1.71% for Classes B and C, 0.81% for Class F, 0.71% for Class I, 1.16% for Class P, 1.31% for Class R2 and 1.21% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
| * | The annualized expenses for Class A have been updated to 0.96%. Had the updated expenses been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
| | | | | | | | Hypothetical | |
| | | | | | | | (5% Return | |
| | | | Actual | | | | Before Expenses) | |
| Class A | | | $4.98 | | | | $4.89 | |
Portfolio Holdings Presented by Sector
October 31, 2014
| Sector* | | | %** |
| Consumer Discretionary | | | 10.55 | % |
| Consumer Staples | | | 5.86 | % |
| Energy | | | 10.15 | % |
| Financials | | | 29.94 | % |
| Health Care | | | 16.78 | % |
| Sector* | | %** |
| Industrials | | 6.93% |
| Information Technology | | 10.13% |
| Materials | | 2.89% |
| Telecommunication Services | | 1.43% |
| Utilities | | 5.15% |
| Repurchase Agreement | | 0.19% |
| Total | | 100.00% |
| * | A sector may comprise several industries. |
| ** | Represents percent of total investments. |
22
Growth Leaders Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning | | Ending | | Expenses |
| | | Account | | Account | | Paid During |
| | | Value | | Value | | Period† |
| | | | | | | 5/1/14 – |
| | | 5/1/14 | | 10/31/14 | | 10/31/14 |
| Class A | | | | | | |
| Actual | | $1,000.00 | | $1,090.00 | | $4.48 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.92 | | $4.33 |
| Class B | | | | | | |
| Actual | | $1,000.00 | | $1,085.60 | | $8.36 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.19 | | $8.08 |
| Class C | | | | | | |
| Actual | | $1,000.00 | | $1,085.90 | | $8.36 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.19 | | $8.08 |
| Class F | | | | | | |
| Actual | | $1,000.00 | | $1,090.70 | | $3.69 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.68 | | $3.57 |
| Class I | | | | | | |
| Actual | | $1,000.00 | | $1,091.40 | | $3.16 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.18 | | $3.06 |
| Class R2 | | | | | | |
| Actual | | $1,000.00 | | $1,088.10 | | $6.32 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.16 | | $6.11 |
| Class R3 | | | | | | |
| Actual | | $1,000.00 | | $1,088.20 | | $5.74 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.71 | | $5.55 |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.85% for Class A, 1.59% for Classes B and C, 0.70% for Class F, 0.60% for Class I, 1.20% for Class R2 and 1.09% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2014
| Sector* | | %** |
| Consumer Discretionary | | | 16.88 | % |
| Consumer Staples | | | 6.89 | % |
| Energy | | | 2.20 | % |
| Financials | | | 4.48 | % |
| Health Care | | | 19.65 | % |
| Industrials | | | 10.66 | % |
| Sector* | | %** |
| Information Technology | | | 34.07 | % |
| Materials | | | 1.28 | % |
| Telecommunication Services | | | 0.93 | % |
| Repurchase Agreement | | | 2.96 | % |
| Total | | | 100.00 | % |
| * | A sector may comprise several industries. |
| ** | Represents percent of total investments. |
23
International Core Equity Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning | | Ending | | Expenses |
| | | Account | | Account | | Paid During |
| | | Value | | Value | | Period† |
| | | | | | | 5/1/14 – |
| | | 5/1/14 | | 10/31/14 | | 10/31/14 |
| Class A | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 959.70 | | | | $5.53 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.56 | | | | $5.70 | |
| Class B | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 955.70 | | | | $8.73 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.28 | | | | $9.00 | |
| Class C | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 956.30 | | | | $8.63 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.38 | | | | $8.89 | |
| Class F | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 960.90 | | | | $4.30 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.82 | | | | $4.43 | |
| Class I | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 960.70 | | | | $3.81 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,021.32 | | | | $3.92 | |
| Class P | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 958.90 | | | | $6.02 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.06 | | | | $6.21 | |
| Class R2 | | | | | | | �� | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 958.20 | | | | $6.76 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.30 | | | | $6.97 | |
| Class R3 | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 958.40 | | | | $6.22 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.85 | | | | $6.41 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.12% for Class A, 1.77% for Class B, 1.75% for Class C, 0.87% for Class F, 0.77% for Class I, 1.22% for Class P, 1.37% for Class R2 and 1.26% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2014
| Sector* | | %** |
| Consumer Discretionary | | | 9.28 | % |
| Consumer Staples | | | 10.39 | % |
| Energy | | | 4.97 | % |
| Financials | | | 26.31 | % |
| Health Care | | | 11.63 | % |
| Industrials | | | 13.05 | % |
| Sector* | | %** |
| Information Technology | | | 7.45 | % |
| Materials | | | 2.94 | % |
| Telecommunication Services | | | 5.54 | % |
| Utilities | | | 6.16 | % |
| Repurchase Agreement | | | 2.28 | % |
| Total | | | 100.00 | % |
| * | A sector may comprise several industries. |
| ** | Represents percent of total investments. |
24
International Dividend Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning | | Ending | | Expenses |
| | | Account | | Account | | Paid During |
| | | Value | | Value | | Period† |
| | | | | | | | | 5/1/14 – |
| | | 5/1/14 | | 10/31/14 | | 10/31/14 |
| Class A | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 966.10 | | | | $5.55 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.56 | | | | $5.70 | |
| Class C | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 962.80 | | | | $8.76 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.28 | | | | $9.00 | |
| Class F | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 967.40 | | | | $4.31 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.82 | | | | $4.43 | |
| Class I | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 968.00 | | | | $3.82 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,021.32 | | | | $3.92 | |
| Class R2 | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 965.50 | | | | $6.79 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.30 | | | | $6.97 | |
| Class R3 | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 965.70 | | | | $6.29 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.80 | | | | $6.46 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.12% for Class A, 1.77% for Class C, 0.87% for Class F, 0.77% for Class I, 1.37% for Class R2 and 1.27% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2014
| Sector* | | %** |
| Consumer Discretionary | | | 9.70 | % |
| Consumer Staples | | | 5.55 | % |
| Energy | | | 9.35 | % |
| Financials | | | 27.44 | % |
| Health Care | | | 7.70 | % |
| Industrials | | | 7.25 | % |
| Information Technology | | | 3.14 | % |
| Materials | | | 1.91 | % |
| Telecommunication Services | | | 10.75 | % |
| Utilities | | | 14.76 | % |
| Repurchase Agreement | | | 2.45 | % |
| Total | | | 100.00 | % |
| * | A sector may comprise several industries. |
| ** | Represents percent of total investments. |
25
International Opportunities Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning | | Ending | | Expenses |
| | | Account | | Account | | Paid During |
| | | Value | | Value | | Period† |
| | | | | | | 5/1/14 – |
| | | 5/1/14 | | 10/31/14 | | 10/31/14 |
| Class A | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 938.10 | | | | $ 6.59 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.40 | | | | $ 6.87 | |
| Class B | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 934.90 | | | | $10.19 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,014.67 | | | | $10.61 | |
| Class C | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 934.30 | | | | $10.19 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,014.67 | | | | $10.61 | |
| Class F | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 938.80 | | | | $ 5.86 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.16 | | | | $ 6.11 | |
| Class I | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 939.50 | | | | $ 5.38 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.66 | | | | $ 5.60 | |
| Class P | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 937.40 | | | | $ 7.57 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,017.39 | | | | $ 7.88 | |
| Class R2 | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 937.00 | | | | $ 8.30 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.64 | | | | $ 8.64 | |
| Class R3 | | | | | | | | | | | | |
| Actual | | $ | 1,000.00 | | | $ | 937.20 | | | | $ 7.71 | |
| Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,017.24 | | | | $ 8.03 | |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.35% for Class A, 2.09% for Classes B and C, 1.20% for Class F, 1.10% for Class I, 1.55% for Class P, 1.70% for Class R2 and 1.58% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2014
| Sector* | | %** |
| Consumer Discretionary | | | 17.25 | % |
| Consumer Staples | | | 6.60 | % |
| Energy | | | 2.07 | % |
| Financials | | | 21.83 | % |
| Health Care | | | 4.57 | % |
| Industrials | | | 21.71 | % |
| Sector* | | %** |
| Information Technology | | | 14.13 | % |
| Materials | | | 4.94 | % |
| Telecommunication Services | | | 0.66 | % |
| Utilities | | | 4.58 | % |
| Repurchase Agreement | | | 1.66 | % |
| Total | | | 100.00 | % |
| * | A sector may comprise several industries. |
| ** | Represents percent of total investments. |
26
Value Opportunities Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning | | Ending | | Expenses |
| | | Account | | Account | | Paid During |
| | | Value | | Value | | Period† |
| | | | | | | 5/1/14 – |
| | | 5/1/14 | | 10/31/14 | | 10/31/14 |
| Class A* | | | | | | |
| Actual | | $1,000.00 | | $1,020.20 | | $6.42 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.85 | | $6.41 |
| Class B | | | | | | |
| Actual | | $1,000.00 | | $1,016.90 | | $9.76 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.53 | | $9.75 |
| Class C | | | | | | |
| Actual | | $1,000.00 | | $1,016.90 | | $9.76 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.53 | | $9.75 |
| Class F | | | | | | |
| Actual | | $1,000.00 | | $1,021.40 | | $5.25 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.01 | | $5.24 |
| Class I | | | | | | |
| Actual | | $1,000.00 | | $1,021.60 | | $4.74 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.52 | | $4.74 |
| Class P | | | | | | |
| Actual | | $1,000.00 | | $1,019.40 | | $6.97 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.30 | | $6.97 |
| Class R2 | | | | | | |
| Actual | | $1,000.00 | | $1,018.70 | | $7.78 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.49 | | $7.78 |
| Class R3 | | | | | | |
| Actual | | $1,000.00 | | $1,019.60 | | $7.23 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.05 | | $7.22 |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.26% for Class A, 1.92% for Classes B and C, 1.03% for Class F, 0.93% for Class I, 1.37% for Class P, 1.53% for Class R2 and 1.42% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
| * | The annualized expenses for Class A have been updated to 1.17%. Had the updated expenses been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
| | | | | | | Hypothetical | |
| | | | | | | (5% Return | |
| | | | Actual | | | Before Expenses) | |
| Class A | | | $5.96 | | | | $5.95 | |
Portfolio Holdings Presented by Sector
October 31, 2014
| Sector* | | %** |
| Consumer Discretionary | | | 12.71 | % |
| Consumer Staples | | | 2.42 | % |
| Energy | | | 5.88 | % |
| Financials | | | 28.01 | % |
| Health Care | | | 7.94 | % |
| Industrials | | | 12.60 | % |
| Sector* | | %** |
| Information Technology | | | 16.14 | % |
| Materials | | | 7.42 | % |
| Telecommunication Services | | | 0.57 | % |
| Utilities | | | 6.11 | % |
| Repurchase Agreement | | | 0.20 | % |
| Total | | | 100.00 | % |
| * | A sector may comprise several industries. |
| ** | Represents percent of total investments. |
27
Schedule of Investments
ALPHA STRATEGY FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| INVESTMENTS IN UNDERLYING FUNDS(a) 100.02% | | | | | | | | |
| | | | | | | | | |
| Lord Abbett Developing Growth Fund, Inc. – Class I*(b) | | | 8,998,347 | | | $ | 259,872 | |
| Lord Abbett Securities Trust – International Opportunities Fund – Class I(c) | | | 14,750,328 | | | | 245,298 | |
| Lord Abbett Securities Trust – Micro-Cap Growth Fund – Class I*(c) | | | 6,811,662 | | | | 133,986 | |
| Lord Abbett Securities Trust – Micro-Cap Value Fund – Class I*(c) | | | 3,649,832 | | | | 128,948 | |
| Lord Abbett Research Fund, Inc. – Small-Cap Value Fund – Class I(c) | | | 7,078,265 | | | | 260,126 | |
| Lord Abbett Securities Trust – Value Opportunities Fund – Class I*(c) | | | 11,450,061 | | | | 254,191 | |
Total Investments in Underlying Funds
(cost $995,499,737) | | | | | | | 1,282,421 | |
| | | | Principal | | | | Fair | |
| | | | Amount | | | | Value | |
| Investments | | | (000) | | | | (000) | |
| SHORT-TERM INVESTMENT 0.01% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2014, Zero Coupon due 11/3/2014 with Fixed Income Clearing Corp. collateralized by $110,000 of U.S. Treasury Note at 1.875% due 6/30/2020; value: $111,375; proceeds: $108,544
(cost $108,544) | | $ | 109 | | | $ | 109 | |
Total Investments in Securities 100.03%
(cost $995,608,281) | | | | | | | 1,282,530 | |
| Liabilities in Excess of Other Assets (0.03)% | | | | | | | (370 | ) |
| Net Assets 100.00% | | | | | | $ | 1,282,160 | |
| * | Non-income producing security. |
| (a) | Affiliated issuers (See Note 12). |
| (b) | Fund investment objective is long-term growth of capital through a diversified and actively managed portfolio consisting of developing growth companies, many of which are traded over the counter. |
| (c) | Fund investment objective is long-term capital appreciation. |
The following is a summary of the inputs used as of October 31, 2014 in valuing the Fund’s investments carried at fair value(1):
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Type(2)(3) | | (000) | | | (000) | | | (000) | | | (000) | |
| Investments in Underlying Funds | | $ | 1,282,421 | | | $ | — | | | $ | — | | | $ | 1,282,421 | |
| Repurchase Agreement | | | — | | | | 109 | | | | — | | | | 109 | |
| Total | | $ | 1,282,421 | | | $ | 109 | | | $ | — | | | $ | 1,282,530 | |
| (1) | Refer to Note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | See Schedule of Investments for fair values in each investment strategy of Underlying Funds. |
| (3) | There were no level transfers during the fiscal year ended October 31, 2014. |
| 28 | See Notes to Financial Statements. | |
Schedule of Investments
FUNDAMENTAL EQUITY FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| COMMON STOCKS 99.97% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 3.96% | | | | | | | | |
| General Dynamics Corp. | | | 1,008,100 | | | $ | 140,892 | |
| TransDigm Group, Inc. | | | 370,900 | | | | 69,369 | |
| Total | | | | | | | 210,261 | |
| | | | | | | | | |
| Auto Components 1.55% | | | | | | | | |
| Johnson Controls, Inc. | | | 1,735,400 | | | | 81,998 | |
| | | | | | | | | |
| Banks 11.51% | | | | | | | | |
| Citizens Financial Group, Inc.* | | | 2,699,100 | | | | 63,753 | |
| East West Bancorp, Inc. | | | 2,419,332 | | | | 88,935 | |
| First Republic Bank | | | 1,715,200 | | | | 87,355 | |
| JPMorgan Chase & Co. | | | 3,577,622 | | | | 216,374 | |
| Signature Bank* | | | 598,100 | | | | 72,448 | |
| SunTrust Banks, Inc. | | | 1,171,751 | | | | 45,862 | |
| SVB Financial Group* | | | 320,490 | | | | 35,892 | |
| Total | | | | | | | 610,619 | |
| | | | | | | | | |
| Beverages 2.81% | | | | | | | | |
| PepsiCo, Inc. | | | 1,551,500 | | | | 149,208 | |
| | | | | | | | | |
| Biotechnology 2.05% | | | | | | | | |
| Celgene Corp.* | | | 581,054 | | | | 62,225 | |
| Medivation, Inc.* | | | 186,169 | | | | 19,678 | |
| Puma Biotechnology, Inc.* | | | 107,700 | | | | 26,990 | |
| Total | | | | | | | 108,893 | |
| | | | | | | | | |
| Building Products 1.08% | | | | | | | | |
| USG Corp.* | | | 2,130,700 | | | | 57,231 | |
| | | | | | | | | |
| Capital Markets 3.42% | | | | | | | | |
| Affiliated Managers Group, Inc.* | | | 401,636 | | | | 80,243 | |
| Artisan Partners Asset Management, Inc. Class A | | | 570,994 | | | | 27,682 | |
| Greenhill & Co., Inc. | | | 1,220,000 | | | | 54,900 | |
| Janus Capital Group, Inc. | | | 1,239,100 | | | | 18,574 | |
| Total | | | | | | | 181,399 | |
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Chemicals 1.39% | | | | | | | | |
| PPG Industries, Inc. | | | 362,800 | | | $ | 73,899 | |
| | | | | | | | | |
| Consumer Finance 4.60% | | | | | | | | |
| Capital One Financial Corp. | | | 1,954,099 | | | | 161,741 | |
| Discover Financial Services | | | 1,287,300 | | | | 82,104 | |
| Total | | | | | | | 243,845 | |
| | | | | | | | | |
| Diversified Telecommunication Services 1.43% | | | | | | | | |
| Verizon | | | | | | | | |
| Communications, Inc. | | | 1,507,700 | | | | 75,762 | |
| | | | | | | | | |
| Electric: Utilities 3.80% | | | | | | | | |
| Duke Energy Corp. | | | 1,468,000 | | | | 120,596 | |
| NextEra Energy, Inc. | | | 806,986 | | | | 80,876 | |
| Total | | | | | | | 201,472 | |
| | | | | | | | | |
| Food Products 2.08% | | | | | | | | |
| Mondelez International, Inc. Class A | | | 3,134,303 | | | | 110,515 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 1.56% | | | | | | | | |
| St. Jude Medical, Inc. | | | 1,293,300 | | | | 82,991 | |
| | | | | | | | | |
| Health Care Providers & Services 6.09% | | | | | | | | |
| Community Health Systems, Inc.* | | | 1,150,240 | | | | 63,229 | |
| DaVita HealthCare Partners, Inc.* | | | 1,267,871 | | | | 98,982 | |
| Envision Healthcare Holdings, Inc.* | | | 1,351,884 | | | | 47,248 | |
| McKesson Corp. | | | 558,300 | | | | 113,564 | |
| Total | | | | | | | 323,023 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 1.96% | | | | | | | | |
| Starwood Hotels & Resorts Worldwide, Inc. | | | 1,354,600 | | | | 103,844 | |
| | | | | | | | | |
| Household Products 0.98% | | | | | | | | |
| Colgate-Palmolive Co. | | | 773,800 | | | | 51,752 | |
| | See Notes to Financial Statements. | 29 |
Schedule of Investments (continued)
FUNDAMENTAL EQUITY FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Information Technology Services 2.05% | | | | | | | | |
| Vantiv, Inc. Class A* | | | 3,524,700 | | | $ | 108,984 | |
| | | | | | | | | |
| Insurance 7.32% | | | | | | | | |
| Allstate Corp. (The) | | | 2,075,700 | | | | 134,609 | |
| Hartford Financial Services Group, Inc. (The) | | | 3,419,624 | | | | 135,349 | |
| Prudential Financial, Inc. | | | 1,337,636 | | | | 118,434 | |
| Total | | | | | | | 388,392 | |
| | | | | | | | | |
| Life Sciences Tools & Services 1.17% | | | | | | | | |
| Quintiles Transnational Holdings, Inc.* | | | 1,063,211 | | | | 62,240 | |
| | | | | | | | | |
| Media 3.60% | | | | | | | | |
| CBS Corp. Class B | | | 1,388,276 | | | | 75,272 | |
| Comcast Corp. Class A | | | 1,817,333 | | | | 100,589 | |
| Starz Class A* | | | 484,200 | | | | 14,962 | |
| Total | | | | | | | 190,823 | |
| | | | | | | | | |
| Multi-Line Retail 1.30% | | | | | | | | |
| Kohl’s Corp. | | | 1,270,300 | | | | 68,876 | |
| | | | | | | | | |
| Multi-Utilities 1.36% | | | | | | | | |
| Sempra Energy | | | 654,705 | | | | 72,017 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 10.17% | | | | | | | | |
| Chevron Corp. | | | 1,805,700 | | | | 216,594 | |
| Devon Energy Corp. | | | 438,600 | | | | 26,316 | |
| Exxon Mobil Corp. | | | 1,080,854 | | | | 104,529 | |
| Marathon Oil Corp. | | | 2,846,800 | | | | 100,777 | |
| Occidental Petroleum Corp. | | | 1,024,300 | | | | 91,091 | |
| Total | | | | | | | 539,307 | |
| | | | | | | | | |
| Paper & Forest Products 1.50% | | | | | | | | |
| International Paper Co. | | | 1,568,700 | | | | 79,408 | |
| | | | | | | | Fair | |
| | | | | | | | Value | |
| Investments | | | Shares | | | | (000) | |
| Pharmaceuticals 5.93% | | | | | | | | |
| Actavis plc* | | | 260,932 | | | $ | 63,338 | |
| Bristol-Myers Squibb Co. | | | 1,902,900 | | | | 110,730 | |
| Eli Lilly & Co. | | | 2,117,700 | | | | 140,467 | |
| Total | | | | | | | 314,535 | |
| | | | | | | | | |
| Real Estate Investment Trusts 3.14% | | | | | | | | |
| Simon Property Group, Inc. | | | 704,500 | | | | 126,254 | |
| Vornado Realty Trust | | | 366,600 | | | | 40,135 | |
| Total | | | | | | | 166,389 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 3.35% | | | | | | | | |
| Broadcom Corp. Class A | | | 650,700 | | | | 27,251 | |
| Intel Corp. | | | 4,418,500 | | | | 150,273 | |
| Total | | | | | | | 177,524 | |
| | | | | | | | | |
| Specialty Retail 0.69% | | | | | | | | |
| Gap, Inc. (The) | | | 966,900 | | | | 36,636 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals 4.74% | | | | | | | | |
| EMC Corp. | | | 3,334,200 | | | | 95,792 | |
| Hewlett-Packard Co. | | | 4,344,100 | | | | 155,866 | |
| Total | | | | | | | 251,658 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 1.48% | | | | | | | | |
| PVH Corp. | | | 685,447 | | | | 78,381 | |
| | | | | | | | | |
| Trading Companies & Distributors 1.90% | | | | | | | | |
| W.W. Grainger, Inc. | | | 408,600 | | | | 100,842 | |
Total Common Stocks
(cost $4,583,772,053) | | | | | | | 5,302,724 | |
| 30 | See Notes to Financial Statements. | |
Schedule of Investments (concluded)
FUNDAMENTAL EQUITY FUND October 31, 2014
| | | Principal | | | Fair | |
| | | Amount | | | Value | |
| Investments | | | (000) | | | | (000) | |
| SHORT-TERM INVESTMENT 0.19% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2014, Zero Coupon due 11/3/2014 with Fixed Income Clearing Corp. collateralized by $10,220,000 of U.S. Treasury Note at 2.00% due 8/31/2021; value: $10,232,775; proceeds: $10,031,043
(cost $10,031,043) | | $ | 10,031 | | | $ | 10,031 | |
Total Investments in Securities 100.16%
(cost $4,593,803,096) | | | | | | | 5,312,755 | |
| Liabilities in Excess of Other Assets (0.16)% | | | | | | | (8,562 | ) |
| Net Assets 100.00% | | | | | | $ | 5,304,193 | |
| * | Non-income producing security. |
The following is a summary of the inputs used as of October 31, 2014 in valuing the Fund’s investments carried at fair value(1):
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Type(2)(3) | | (000) | | | (000) | | | (000) | | | (000) | |
| Common Stocks | | $ | 5,302,724 | | | $ | — | | | | $— | | | $ | 5,302,724 | |
| Repurchase Agreement | | | — | | | | 10,031 | | | | — | | | | 10,031 | |
| Total | | $ | 5,302,724 | | | $ | 10,031 | | | | $— | | | $ | 5,312,755 | |
| (1) | Refer to Note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | There were no level transfers during the fiscal year ended October 31, 2014. |
| | See Notes to Financial Statements. | 31 |
Schedule of Investments
GROWTH LEADERS FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| COMMON STOCKS 97.93% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 2.00% | | | | | | | | |
| Honeywell International, Inc. | | | 136,888 | | | $ | 13,158 | |
| Lockheed Martin Corp. | | | 69,395 | | | | 13,224 | |
| Total | | | | | | | 26,382 | |
| | | | | | | | | |
| Air Freight & Logistics 1.23% | | | | | | | | |
| FedEx Corp. | | | 97,063 | | | | 16,248 | |
| | | | | | | | | |
| Beverages 1.87% | | | | | | | | |
| Monster Beverage Corp.* | | | 50,653 | | | | 5,110 | |
| PepsiCo, Inc. | | | 202,965 | | | | 19,519 | |
| Total | | | | | | | 24,629 | |
| | | | | | | | | |
| Biotechnology 13.72% | | | | | | | | |
| Alexion Pharmaceuticals, Inc.* | | | 113,016 | | | | 21,627 | |
| Amgen, Inc. | | | 81,822 | | | | 13,270 | |
| Biogen Idec, Inc.* | | | 31,159 | | | | 10,004 | |
| BioMarin Pharmaceutical, Inc.* | | | 254,224 | | | | 20,973 | |
| Celgene Corp.* | | | 294,283 | | | | 31,515 | |
| Gilead Sciences, Inc.* | | | 226,374 | | | | 25,354 | |
| Medivation, Inc.* | | | 137,225 | | | | 14,505 | |
| Receptos, Inc.* | | | 67,252 | | | | 6,971 | |
| Regeneron Pharmaceuticals, Inc.* | | | 52,064 | | | | 20,498 | |
| Vertex Pharmaceuticals, Inc.* | | | 145,944 | | | | 16,439 | |
| Total | | | | | | | 181,156 | |
| | | | | | | | | |
| Capital Markets 2.73% | | | | | | | | |
| Affiliated Managers Group, Inc.* | | | 58,718 | | | | 11,731 | |
| Charles Schwab Corp. (The) | | | 463,756 | | | | 13,296 | |
| Goldman Sachs Group, Inc. (The) | | | 58,245 | | | | 11,066 | |
| Total | | | | | | | 36,093 | |
| | | | | | | | | |
| Chemicals 1.29% | | | | | | | | |
| Sherwin-Williams Co. (The) | | | 74,260 | | | | 17,047 | |
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Communications Equipment 1.05% | | | | | | | | |
| Palo Alto Networks, Inc.* | | | 131,144 | | | $ | 13,862 | |
| | | | | | | | | |
| Consumer Finance 0.75% | | | | | | | | |
| American Express Co. | | | 109,821 | | | | 9,878 | |
| | | | | | | | | |
| Diversified Consumer Services 0.81% | | | | | | | | |
| LifeLock, Inc.* | | | 633,160 | | | | 10,707 | |
| | | | | | | | | |
| Diversified Financial Services 1.04% | | | | | | | | |
| Intercontinental Exchange, Inc. | | | 65,849 | | | | 13,716 | |
| | | | | | | | | |
| Diversified Telecommunication Services 0.94% | | | | | | | | |
| Verizon Communications, Inc. | | | 248,076 | | | | 12,466 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components 0.09% | | | | | | | | |
| IPG Photonics Corp.* | | | 17,000 | | | | 1,248 | |
| | | | | | | | | |
| Energy Equipment & Services 1.23% | | | | | | | | |
| Schlumberger Ltd. | | | 164,414 | | | | 16,221 | |
| | | | | | | | | |
| Food & Staples Retailing 3.05% | | | | | | | | |
| Costco Wholesale Corp. | | | 178,173 | | | | 23,763 | |
| CVS Health Corp. | | | 192,189 | | | | 16,492 | |
| Total | | | | | | | 40,255 | |
| | | | | | | | | |
| Food Products 1.54% | | | | | | | | |
| Keurig Green Mountain, Inc. | | | 134,249 | | | | 20,372 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 1.38% | | | | | | | | |
| Edwards Lifesciences Corp.* | | | 150,304 | | | | 18,175 | |
| | | | | | | | | |
| Health Care Providers & Services 1.19% | | | | | | | | |
| McKesson Corp. | | | 77,067 | | | | 15,676 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 2.94% | | | | | | | | |
| Chipotle Mexican Grill, Inc.* | | | 9,326 | | | | 5,950 | |
| Hilton Worldwide Holdings, Inc.* | | | 557,951 | | | | 14,083 | |
| Starbucks Corp. | | | 248,362 | | | | 18,766 | |
| Total | | | | | | | 38,799 | |
| 32 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
GROWTH LEADERS FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Household Durables 1.02% | | | | | | | | |
| GoPro, Inc. Class A* | | | 95,154 | | | $ | 7,336 | |
| iRobot Corp.* | | | 171,946 | | | | 6,142 | |
| Total | | | | | | | 13,478 | |
| | | | | | | | | |
| Household Products 0.50% | | | | | | | | |
| Colgate-Palmolive Co. | | | 97,833 | | | | 6,543 | |
| | | | | | | | | |
| Industrial Conglomerates 1.24% | | | | | | | | |
| 3M Co. | | | 106,057 | | | | 16,308 | |
| | | | | | | | | |
| Information Technology Services 5.36% | | | | | | | | |
| FleetCor Technologies, Inc.* | | | 80,403 | | | | 12,105 | |
| MasterCard, Inc. Class A | | | 322,817 | | | | 27,036 | |
| Visa, Inc. Class A | | | 131,077 | | | | 31,646 | |
| Total | | | | | | | 70,787 | |
| | | | | | | | | |
| Internet & Catalog Retail 0.64% | | | | | | | | |
| zulily, Inc. Class A* | | | 232,694 | | | | 8,465 | |
| | | | | | | | | |
| Internet Software & Services 11.51% | | | | | | | | |
| Akamai Technologies, Inc.* | | | 182,407 | | | | 10,999 | |
| Alibaba Group Holding Ltd. ADR* | | | 130,327 | | | | 12,850 | |
| Baidu, Inc. ADR* | | | 57,058 | | | | 13,624 | |
| CoStar Group, Inc.* | | | 39,552 | | | | 6,372 | |
| Facebook, Inc. Class A* | | | 514,503 | | | | 38,583 | |
| Google, Inc. Class A* | | | 57,357 | | | | 32,571 | |
| GrubHub, Inc.* | | | 266,261 | | | | 9,681 | |
| LinkedIn Corp. Class A* | | | 96,021 | | | | 21,985 | |
| MercadoLibre, Inc. (Argentina)(a) | | | 38,900 | | | | 5,296 | |
| Total | | | | | | | 151,961 | |
| | | | | | | | | |
| Life Sciences Tools & Services 2.27% | | | | | | | | |
| Illumina, Inc.* | | | 104,209 | | | | 20,069 | |
| Quintiles Transnational Holdings, Inc.* | | | 170,126 | | | | 9,959 | |
| Total | | | | | | | 30,028 | |
| | | | | | | | | |
| Machinery 0.55% | | | | | | | | |
| Nordson Corp. | | | 95,177 | | | | 7,286 | |
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Media 3.97% | | | | | | | | |
| Comcast Corp. Class A | | | 415,529 | | | $ | 23,000 | |
| Walt Disney Co. (The) | | | 321,966 | | | | 29,421 | |
| Total | | | | | | | 52,421 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 0.99% | | | | | | | | |
| EOG Resources, Inc. | | | 68,788 | | | | 6,538 | |
| Range Resources Corp. | | | 95,758 | | | | 6,550 | |
| Total | | | | | | | 13,088 | |
| | | | | | | | | |
| Pharmaceuticals 1.27% | | | | | | | | |
| Bristol-Myers Squibb Co. | | | 287,448 | | | | 16,727 | |
| | | | | | | | | |
| Professional Services 1.31% | | | | | | | | |
| Robert Half | | | | | | | | |
| International, Inc. | | | 315,824 | | | | 17,301 | |
| | | | | | | | | |
| Road & Rail 3.36% | | | | | | | | |
| Kansas City Southern | | | 116,960 | | | | 14,362 | |
| Old Dominion Freight Line, Inc.* | | | 141,202 | | | | 10,289 | |
| Union Pacific Corp. | | | 168,670 | | | | 19,642 | |
| Total | | | | | | | 44,293 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 4.36% | | | | | | | | |
| Avago Technologies Ltd. (Singapore)(a) | | | 150,948 | | | | 13,019 | |
| Cavium, Inc.* | | | 194,313 | | | | 9,970 | |
| First Solar, Inc.* | | | 171,107 | | | | 10,078 | |
| Lam Research Corp. | | | 185,643 | | | | 14,454 | |
| SunPower Corp.* | | | 317,036 | | | | 10,095 | |
| Total | | | | | | | 57,616 | |
| | | | | | | | | |
| Software 6.30% | | | | | | | | |
| FireEye, Inc.* | | | 145,800 | | | | 4,956 | |
| Microsoft Corp. | | | 697,881 | | | | 32,765 | |
| Mobileye NV (Israel)*(a) | | | 125,859 | | | | 6,546 | |
| ServiceNow, Inc.* | | | 164,621 | | | | 11,183 | |
| Splunk, Inc.* | | | 213,608 | | | | 14,115 | |
| Tableau Software, Inc. Class A* | | | 165,457 | | | | 13,665 | |
| Total | | | | | | | 83,230 | |
| | See Notes to Financial Statements. | 33 |
Schedule of Investments (concluded)
GROWTH LEADERS FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | | Shares | | | | (000) | |
| Specialty Retail 4.84% | | | | | | | | |
| Home Depot, Inc. (The) | | | 309,207 | | | $ | 30,154 | |
| TJX Cos., Inc. (The) | | | 304,341 | | | | 19,271 | |
| Ulta Salon, Cosmetics & Fragrance, Inc.* | | | 119,727 | | | | 14,464 | |
| Total | | | | | | | 63,889 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripheral 5.70% | | | | | | | | |
| Apple, Inc. | | | 696,961 | | | | 75,272 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 2.82% | | | | | | | | |
| NIKE, Inc. Class B | | | 303,461 | | | | 28,213 | |
| Under Armour, Inc. Class A* | | | 137,233 | | | | 9,000 | |
| Total | | | | | | | 37,213 | |
| | | | | | | | | |
| Trading Companies & Distributors 1.07% | | | | | | | | |
| HD Supply Holdings, Inc.* | | | 491,244 | | | | 14,168 | |
Total Common Stocks
(cost $1,211,511,163) | | | | | | | 1,293,004 | |
| | | Principal | | | Fair | |
| | | Amount | | | Value | |
| Investments | | | (000) | | | | (000) | |
| SHORT-TERM INVESTMENT 2.99% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2014, Zero Coupon due 11/3/2014 with Fixed Income Clearing Corp. collateralized by $39,685,000 of U.S. Treasury Note at 1.875% due 6/30/2020; value: $40,181,063; proceeds: $39,389,124
(cost $39,389,124) | | $ | 39,389 | | | $ | 39,389 | |
Total Investments in Securities 100.92%
(cost $1,250,900,287) | | | | | | | 1,332,393 | |
| Liabilities in Excess of Other Assets (0.92)% | | | | | | | (12,103 | ) |
| Net Assets 100.00% | | | | | | $ | 1,320,290 | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
The following is a summary of the inputs used as of October 31, 2014 in valuing the Fund’s investments carried at fair value(1):
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Type(2)(3) | | (000) | | | (000) | | | (000) | | | (000) | |
| Common Stocks | | $ | 1,293,004 | | | $ | — | | | | $— | | | $ | 1,293,004 | |
| Repurchase Agreement | | | — | | | | 39,389 | | | | — | | | | 39,389 | |
| Total | | $ | 1,293,004 | | | $ | 39,389 | | | | $— | | | $ | 1,332,393 | |
| (1) | Refer to Note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | There were no level transfers during the fiscal year ended October 31, 2014. |
| 34 | See Notes to Financial Statements. | |
Schedule of Investments
INTERNATIONAL CORE EQUITY FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | | Shares | | | | (000) | |
| LONG-TERM INVESTMENTS 97.13% | | | | | | | | |
| | | | | | | | | |
| COMMON STOCKS 95.68% | | | | | | | | |
| | | | | | | | | |
| Australia 2.41% | | | | | | | | |
| | | | | | | | | |
| Banks 1.40% | | | | | | | | |
| National Australia Bank Ltd. | | | 281,257 | | | $ | 8,701 | |
| | | | | | | | | |
| Real Estate Investment Trusts 1.01% | | | | | | | | |
| Mirvac Group | | | 3,979,629 | | | | 6,314 | |
| Total Australia | | | | | | | 15,015 | |
| | | | | | | | | |
| Austria 0.58% | | | | | | | | |
| | | | | | | | | |
| Machinery | | | | | | | | |
| Andritz AG | | | 74,639 | | | | 3,607 | |
| | | | | | | | | |
| Canada 0.24% | | | | | | | | |
| | | | | | | | | |
| Metals & Mining | | | | | | | | |
| Teck Resources Ltd. Class B | | | 95,300 | | | | 1,506 | |
| | | | | | | | | |
| China 3.55% | | | | | | | | |
| | | | | | | | | |
| Independent Power and Renewable Electricity Producer 0.82% | | | | | | | | |
| China Resources Power Holdings Co., Ltd. | | | 1,762,000 | | | | 5,128 | |
| | | | | | | | | |
| Internet Software & Services 1.55% | | | | | | | | |
| Baidu, Inc. ADR * | | | 40,600 | | | | 9,694 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 0.25% | | | | | | | | |
| Kunlun Energy Co., Ltd. | | | 1,154,000 | | | | 1,532 | |
| | | | | | | | | |
| Real Estate Management & Development 0.93% | | | | | | | | |
| China Overseas Land & Investment Ltd. | | | 1,992,000 | | | | 5,780 | |
| Total China | | | | | | | 22,134 | |
| | | | | | | | | |
| Denmark 1.99% | | | | | | | | |
| | | | | | | | | |
| Diversified Telecommunication Services 1.22% | | | | | | | | |
| TDC A/S | | | 995,147 | | | | 7,600 | |
| | | | | | | | | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Pharmaceuticals 0.77% | | | | | | | | |
| H Lundbeck A/S | | | 227,757 | | | $ | 4,830 | |
| Total Denmark | | | | | | | 12,430 | |
| | | | | | | | | |
| France 6.96% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 1.28% | | | | | | | | |
| Safran SA | | | 126,190 | | | | 7,992 | |
| | | | | | | | | |
| Banks 1.19% | | | | | | | | |
| BNP Paribas SA | | | 118,621 | | | | 7,454 | |
| | | | | | | | | |
| Electric: Utilities 1.44% | | | | | | | | |
| Electricite de France SA | | | 303,215 | | | | 8,953 | |
| | | | | | | | | |
| Insurance 1.25% | | | | | | | | |
| AXA SA | | | 338,965 | | | | 7,830 | |
| | | | | | | | | |
| Pharmaceuticals 0.93% | | | | | | | | |
| Sanofi | | | 64,201 | | | | 5,826 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 0.87% | | | | | | | | |
| Kering | | | 27,993 | | | | 5,402 | |
| Total France | | | | | | | 43,457 | |
| | | | | | | | | |
| Germany 6.13% | | | | | | | | |
| | | | | | | | | |
| Automobiles 1.09% | | | | | | | | |
| Daimler AG Registered | | | | | | | | |
| Shares | | | 87,399 | | | | 6,814 | |
| | | | | | | | | |
| Banks 0.48% | | | | | | | | |
| Commerzbank AG* | | | 197,498 | | | | 2,986 | |
| | | | | | | | | |
| Diversified Financial Services 0.76% | | | | | | | | |
| Deutsche Boerse AG | | | 69,196 | | | | 4,736 | |
| | | | | | | | | |
| Health Care Providers & Services 1.73% | | | | | | | | |
| Fresenius SE & Co. KGaA | | | 210,278 | | | | 10,820 | |
| | | | | | | | | |
| Industrial Conglomerates 1.11% | | | | | | | | |
| Siemens AG Registered Shares | | | 61,609 | | | | 6,949 | |
| | | | | | | | | |
| | See Notes to Financial Statements. | 35 |
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Germany (continued) | | | | | | | | |
| | | | | | | | | |
| Life Sciences Tools & Services 0.96% | | | | | | | | |
| MorphoSys AG * | | | 63,182 | | | $ | 5,985 | |
| Total Germany | | | | | | | 38,290 | |
| | | | | | | | | |
| Hong Kong 3.79% | | | | | | | | |
| | | | | | | | | |
| Airlines 0.98% | | | | | | | | |
| Cathay Pacific Airways Ltd. | | | 3,277,000 | | | | 6,146 | |
| | | | | | | | | |
| Electric: Utilities 1.26% | | | | | | | | |
| Cheung Kong Infrastructure Holdings Ltd. | | | 1,077,000 | | | | 7,867 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 1.55% | | | | | | | | |
| SJM Holdings Ltd. | | | 4,566,000 | | | | 9,651 | |
| Total Hong Kong | | | | | | | 23,664 | |
| | | | | | | | | |
| India 1.84% | | | | | | | | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.13% | | | | | | | | |
| Reliance Industries Ltd. | | | 434,028 | | | | 7,044 | |
| | | | | | | | | |
| Thrifts & Mortgage Finance 0.71% | | | | | | | | |
| Indiabulls Housing Finance Ltd. | | | 655,885 | | | | 4,466 | |
| Total India | | | | | | | 11,510 | |
| | | | | | | | | |
| Indonesia 1.91% | | | | | | | | |
| | | | | | | | | |
| Banks 1.04% | | | | | | | | |
| PT Bank Negara Indonesia (Persero) Tbk | | | 13,212,994 | | | | 6,512 | |
| | | | | | | | | |
| Food Products 0.87% | | | | | | | | |
| PT Indofood Sukses Makmur Tbk | | | 9,547,900 | | | | 5,393 | |
| Total Indonesia | | | | | | | 11,905 | |
| | | | | | | | | |
| Italy 3.39% | | | | | | | | |
| | | | | | | | | |
| Banks 0.86% | | | | | | | | |
| UniCredit SpA | | | 738,267 | | | | 5,347 | |
| | | | | | | | | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Gas Utilities 1.31% | | | | | | | | |
| Snam SpA | | | 1,512,786 | | | $ | 8,180 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.22% | | | | | | | | |
| Eni SpA ADR | | | 179,100 | | | | 7,612 | |
| Total Italy | | | | | | | 21,139 | |
| | | | | | | | | |
| Japan 20.71% | | | | | | | | |
| | | | | | | | | |
| Automobiles 2.52% | | | | | | | | |
| Nissan Motor Co., Ltd. | | | 494,700 | | | | 4,512 | |
| Toyota Motor Corp. | | | 186,400 | | | | 11,217 | |
| | | | | | | | 15,729 | |
| | | | | | | | | |
| Banks 2.26% | | | | | | | | |
| Bank of Yokohama Ltd. (The) | | | 1,321,000 | | | | 7,634 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 159,400 | | | | 6,501 | |
| | | | | | | | 14,135 | |
| | | | | | | | | |
| Chemicals 1.47% | | | | | | | | |
| Asahi Kasei Corp. | | | 1,117,000 | | | | 9,166 | |
| | | | | | | | | |
| Diversified Financial Services 0.87% | | | | | | | | |
| ORIX Corp. | | | 393,200 | | | | 5,458 | |
| | | | | | | | | |
| Electrical Equipment 1.10% | | | | | | | | |
| Nidec Corp. | | | 103,800 | | | | 6,858 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 2.08% | | | | | | | | |
| Hitachi Ltd. | | | 1,652,000 | | | | 12,981 | |
| | | | | | | | | |
| Industrial Conglomerates 0.92% | | | | | | | | |
| Toshiba Corp. | | | 1,299,000 | | | | 5,737 | |
| | | | | | | | | |
| Information Technology Services 1.95% | | | | | | | | |
| Obic Co., Ltd. | | | 216,400 | | | | 7,725 | |
| SCSK Corp. | | | 165,200 | | | | 4,441 | |
| | | | | | | | 12,166 | |
| | | | | | | | | |
| Machinery 0.74% | | | | | | | | |
| NSK Ltd. | | | 353,000 | | | | 4,624 | |
| | | | | | | | | |
| 36 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Japan (continued) | | | | | | | | |
| | | | | | | | | |
| Pharmaceuticals 0.84% | | | | | | | | |
| Daiichi Sankyo Co., Ltd. | | | 349,800 | | | $ | 5,262 | |
| | | | | | | | | |
| Real Estate Management & Development 1.38% | | | | | | | | |
| Daiwa House Industry Co., Ltd. | | | 454,500 | | | | 8,599 | |
| | | | | | | | | |
| Tobacco 1.02% | | | | | | | | |
| Japan Tobacco, Inc. | | | 186,700 | | | | 6,370 | |
| | | | | | | | | |
| Trading Companies & Distributors 2.32% | | | | | | | | |
| Mitsubishi Corp. | | | 276,500 | | | | 5,422 | |
| Sumitomo Corp. | | | 849,100 | | | | 9,059 | |
| | | | | | | | 14,481 | |
| | | | | | | | | |
| Wireless Telecommunication Services 1.24% | | | | | | | | |
| SoftBank Corp. | | | 106,600 | | | | 7,760 | |
| Total Japan | | | | | | | 129,326 | |
| | | | | | | | | |
| Luxembourg 0.30% | | | | | | | | |
| | | | | | | | | |
| Metals & Mining | | | | | | | | |
| ArcelorMittal Registered Shares | | | 140,400 | | | | 1,848 | |
| | | | | | | | | |
| Mexico 0.85% | | | | | | | | |
| | | | | | | | | |
| Real Estate Investment Trusts | | | | | | | | |
| Macquarie Mexico Real Estate Management SA de CV * | | | 2,923,800 | | | | 5,311 | |
| | | | | | | | | |
| Netherlands 6.28% | | | | | | | | |
| | | | | | | | | |
| Beverages 2.20% | | | | | | | | |
| Heineken Holding NV | | | 211,958 | | | | 13,738 | |
| | | | | | | | | |
| Construction & Engineering 0.76% | | | | | | | | |
| Arcadis NV | | | 155,280 | | | | 4,777 | |
| | | | | | | | | |
| Insurance 1.46% | | | | | | | | |
| Aegon NV | | | 1,120,297 | | | | 9,131 | |
| | | | | | | | | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Oil, Gas & Consumable Fuels 1.86% | | | | | | | | |
| Royal Dutch Shell plc ADR | | | 161,400 | | | $ | 11,587 | |
| Total Netherlands | | | | | | | 39,233 | |
| | | | | | | | | |
| Norway 2.61% | | | | | | | | |
| | | | | | | | | |
| Banks 1.53% | | | | | | | | |
| DNB ASA | | | 519,288 | | | | 9,540 | |
| | | | | | | | | |
| Insurance 1.08% | | | | | | | | |
| Storebrand ASA * | | | 1,320,858 | | | | 6,773 | |
| Total Norway | | | | | | | 16,313 | |
| | | | | | | | | |
| Portugal 0.49% | | | | | | | | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels | | | | | | | | |
| Galp Energia SGPS SA | | | 211,993 | | | | 3,074 | |
| | | | | | | | | |
| South Korea 3.19% | | | | | | | | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 0.76% | | | | | | | | |
| SK Hynix, Inc. * | | | 106,039 | | | | 4,729 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripheral 1.06% | | | | | | | | |
| Samsung Electronics Co., Ltd. | | | 5,712 | | | | 6,661 | |
| | | | | | | | | |
| Wireless Telecommunication Services 1.37% | | | | | | | | |
| SK Telecom Co., Ltd. | | | 34,070 | | | | 8,538 | |
| Total South Korea | | | | | | | 19,928 | |
| | | | | | | | | |
| Spain 1.70% | | | | | | | | |
| | | | | | | | | |
| Airlines 0.70% | | | | | | | | |
| International Consolidated Airlines Group SA * | | | 665,505 | | | | 4,366 | |
| | | | | | | | | |
| Construction & Engineering 1.00% | | | | | | | | |
| ACS Actividades de Construccion y Servicios SA | | | 168,572 | | | | 6,257 | |
| Total Spain | | | | | | | 10,623 | |
| | | | | | | | | |
| | See Notes to Financial Statements. | 37 |
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Sweden 2.41% | | | | | | | | |
| | | | | | | | | |
| Diversified Telecommunication Services 1.67% | | | | | | | | |
| TeliaSonera AB | | | 1,510,708 | | | $ | 10,461 | |
| | | | | | | | | |
| Machinery 0.74% | | | | | | | | |
| Alfa Laval AB | | | 223,081 | | | | 4,599 | |
| Total Sweden | | | | | | | 15,060 | |
| | | | | | | | | |
| Switzerland 5.90% | | | | | | | | |
| | | | | | | | | |
| Food Products 1.74% | | | | | | | | |
| Nestle SA Registered Shares | | | 148,550 | | | | 10,894 | |
| | | | | | | | | |
| Pharmaceuticals 4.16% | | | | | | | | |
| Novartis AG Registered Shares | | | 122,377 | | | | 11,357 | |
| Roche Holding AG | | | 49,429 | | | | 14,586 | |
| | | | | | | | 25,943 | |
| Total Switzerland | | | | | | | 36,837 | |
| | | | | | | | | |
| Thailand 1.08% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| Bangkok Bank Public Co., Ltd. | | | 1,091,500 | | | | 6,769 | |
| | | | | | | | | |
| United Kingdom 16.25% | | | | | | | | |
| | | | | | | | | |
| Banks 4.45% | | | | | | | | |
| Barclays plc | | | 1,973,671 | | | | 7,591 | |
| HSBC Holdings plc | | | 1,088,292 | | | | 11,096 | |
| Lloyds Banking Group plc * | | | 7,362,199 | | | | 9,091 | |
| | | | | | | | 27,778 | |
| | | | | | | | | |
| Beverages 1.65% | | | | | | | | |
| Diageo plc | | | 348,955 | | | | 10,291 | |
| | | | | | | | | |
| Electric: Utilities 1.30% | | | | | | | | |
| SSE plc | | | 316,303 | | | | 8,107 | |
| | | | | | | | | |
| Food Products 1.08% | | | | | | | | |
| Tate & Lyle plc | | | 64,294 | | | | 622 | |
| Unilever plc | | | 152,906 | | | | 6,151 | |
| | | | | | | | 6,773 | |
| | | | | | | | | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Household Durables 0.99% | | | | | | | | |
| Berkeley Group Holdings plc | | | 168,298 | | | $ | 6,155 | |
| | | | | | | | | |
| Insurance 1.54% | | | | | | | | |
| Prudential plc | | | 415,753 | | | | 9,627 | |
| | | | | | | | | |
| Media 1.42% | | | | | | | | |
| WPP plc | | | 455,530 | | | | 8,898 | |
| | | | | | | | | |
| Metals & Mining 0.91% | | | | | | | | |
| Rio Tinto plc ADR | | | 118,700 | | | | 5,694 | |
| | | | | | | | | |
| Pharmaceuticals 0.40% | | | | | | | | |
| GlaxoSmithKline plc | | | 110,132 | | | | 2,491 | |
| | | | | | | | | |
| Tobacco 1.77% | | | | | | | | |
| Imperial Tobacco Group plc | | | 253,910 | | | | 11,030 | |
| | | | | | | | | |
| Trading Companies & Distributors 0.74% | | | | | | | | |
| Ashtead Group plc | | | 273,926 | | | | 4,589 | |
| Total United Kingdom | | | | | | | 101,433 | |
| | | | | | | | | |
| United States 1.12% | | | | | | | | |
| | | | | | | | | |
| Health Care Equipment & Supplies | | | | | | | | |
| ResMed, Inc. | | | 133,500 | | | | 6,971 | |
Total Common Stocks
(cost $566,461,818) | | | | | | | 597,383 | |
| | | | | | | | | |
| PREFERRED STOCKS 1.45% | | | | | | | | |
| | | | | | | | | |
| Germany 0.80% | | | | | | | | |
| | | | | | | | | |
| Automobiles | | | | | | | | |
| Volkswagen AG | | | 23,164 | | | | 4,954 | |
| | | | | | | | | |
| Spain 0.65% | | | | | | | | |
| | | | | | | | | |
| Biotechnology | | | | | | | | |
| Grifols SA Class B | | | 115,515 | | | | 4,066 | |
Total Preferred Stocks
(cost $10,540,209) | | | | | | | 9,020 | |
Total Long-Term Investments
(cost $577,002,027) | | | | | | | 606,403 | |
| | | | | | | | | |
| 38 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2014
| | | Principal | | | U.S. $ | |
| | | Amount | | | Fair Value | |
| Investments | | (000) | | | (000) | |
| SHORT-TERM INVESTMENT 2.26% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2014, Zero Coupon due 11/3/2014 with Fixed Income Clearing Corp. collateralized by $12,985,000 of U.S. Treasury Note at 3.625% due 2/15/2021; value: $14,397,119; proceeds: $14,114,432
(cost $14,114,432) | | $ | 14,114 | | | $ | 14,114 | |
Total Investments in Securities 99.39%
(cost $591,116,459) | | | | | | | 620,517 | |
| Foreign Cash and Other Assets in Excess of Liabilities(a) 0.61% | | | | | | | 3,826 | |
| Net Assets 100.00% | | | | | | $ | 624,343 | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation on forward foreign currency exchange contracts as follows: |
| | | |
| | See Notes to Financial Statements. | 39 |
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2014
Open Forward Foreign Currency Exchange Contracts at October 31, 2014:
| Forward | | | | | | | | | | | | | | | |
| Foreign | | | | | | | | | | U.S. $ | | | | | |
| Currency | | | | | | | | | | Cost on | | U.S. $ | | | |
| Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | Current | | Unrealized | |
| Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | Value | | Appreciation | |
| Australian dollar | | | Buy | | Morgan Stanley | | | 2/17/2015 | | | 6,245,000 | | $ | 5,447,168 | | $ | 5,454,858 | | | $ | 7,690 | |
| euro | | | Buy | | UBS AG | | | 2/9/2015 | | | 1,660,000 | | | 2,079,273 | | | 2,081,612 | | | | 2,339 | |
| Australian dollar | | | Sell | | Morgan Stanley | | | 12/11/2014 | | | 4,480,000 | | | 3,939,082 | | | 3,932,257 | | | | 6,825 | |
| Australian dollar | | | Sell | | Morgan Stanley | | | 12/11/2014 | | | 690,000 | | | 611,350 | | | 605,638 | | | | 5,712 | |
| British pound | | | Sell | | Morgan Stanley | | | 1/16/2015 | | | 730,000 | | | 1,173,348 | | | 1,167,100 | | | | 6,248 | |
| euro | | | Sell | | Goldman Sachs | | | 12/19/2014 | | | 1,555,000 | | | 2,087,681 | | | 1,949,211 | | | | 138,470 | |
| euro | | | Sell | | Goldman Sachs | | | 12/19/2014 | | | 7,410,000 | | | 9,912,098 | | | 9,288,524 | | | | 623,574 | |
| euro | | | Sell | | Goldman Sachs | | | 12/19/2014 | | | 3,260,000 | | | 4,377,759 | | | 4,086,449 | | | | 291,310 | |
| euro | | | Sell | | Goldman Sachs | | | 12/19/2014 | | | 2,230,000 | | | 2,905,681 | | | 2,795,332 | | | | 110,349 | |
| euro | | | Sell | | Goldman Sachs | | | 12/19/2014 | | | 810,000 | | | 1,075,858 | | | 1,015,345 | | | | 60,513 | |
| euro | | | Sell | | Goldman Sachs | | | 12/19/2014 | | | 1,090,000 | | | 1,413,430 | | | 1,366,328 | | | | 47,102 | |
| euro | | | Sell | | Goldman Sachs | | | 12/19/2014 | | | 1,135,000 | | | 1,460,011 | | | 1,422,736 | | | | 37,275 | |
| euro | | | Sell | | J.P.Morgan | | | 12/19/2014 | | | 975,000 | | | 1,285,603 | | | 1,222,174 | | | | 63,429 | |
| euro | | | Sell | | Morgan Stanley | | | 12/19/2014 | | | 1,655,000 | | | 2,144,290 | | | 2,074,562 | | | | 69,728 | |
| euro | | | Sell | | Morgan Stanley | | | 12/19/2014 | | | 775,000 | | | 995,712 | | | 971,472 | | | | 24,240 | |
| euro | | | Sell | | Morgan Stanley | | | 12/19/2014 | | | 920,000 | | | 1,208,398 | | | 1,153,231 | | | | 55,167 | |
| euro | | | Sell | | Morgan Stanley | | | 12/19/2014 | | | 390,000 | | | 495,039 | | | 488,870 | | | | 6,169 | |
| euro | | | Sell | | Morgan Stanley | | | 12/19/2014 | | | 770,000 | | | 991,798 | | | 965,204 | | | | 26,594 | |
| euro | | | Sell | | Morgan Stanley | | | 12/19/2014 | | | 2,180,000 | | | 2,822,295 | | | 2,732,656 | | | | 89,639 | |
| euro | | | Sell | | Morgan Stanley | | | 12/19/2014 | | | 600,000 | | | 766,401 | | | 752,107 | | | | 14,294 | |
| euro | | | Sell | | Morgan Stanley | | | 2/9/2015 | | | 955,000 | | | 1,211,869 | | | 1,197,554 | | | | 14,315 | |
| euro | | | Sell | | UBS AG | | | 12/19/2014 | | | 770,000 | | | 996,159 | | | 965,204 | | | | 30,955 | |
| euro | | | Sell | | UBS AG | | | 2/9/2015 | | | 8,745,000 | | | 11,055,630 | | | 10,966,084 | | | | 89,546 | |
| Japanese yen | | | Sell | | J.P.Morgan | | | 1/29/2015 | | | 355,000,000 | | | 3,256,588 | | | 3,163,690 | | | | 92,898 | |
| Japanese yen | | | Sell | | Morgan Stanley | | | 1/29/2015 | | | 355,000,000 | | | 3,253,278 | | | 3,163,690 | | | | 89,588 | |
| Japanese yen | | | Sell | | Morgan Stanley | | | 1/29/2015 | | | 210,000,000 | | | 1,917,587 | | | 1,871,479 | | | | 46,108 | |
| Japanese yen | | | Sell | | Morgan Stanley | | | 1/29/2015 | | | 285,000,000 | | | 2,615,444 | | | 2,539,864 | | | | 75,580 | |
| Japanese yen | | | Sell | | Morgan Stanley | | | 1/29/2015 | | | 216,000,000 | | | 1,995,741 | | | 1,924,950 | | | | 70,791 | |
| Norwegian krone | | | Sell | | Morgan Stanley | | | 12/15/2014 | | | 85,875,000 | | | 13,849,313 | | | 12,713,931 | | | | 1,135,382 | |
| South Korean won | | | Sell | | J.P.Morgan | | | 12/22/2014 | | | 15,000,000,000 | | | 14,650,584 | | | 13,934,907 | | | | 715,677 | |
| Swiss franc | | | Sell | | J.P.Morgan | | | 1/16/2015 | | | 830,000 | | | 880,557 | | | 863,275 | | | | 17,282 | |
| Swiss franc | | | Sell | | Morgan Stanley | | | 1/16/2015 | | | 1,955,000 | | | 2,070,018 | | | 2,033,377 | | | | 36,641 | |
| Swiss franc | | | Sell | | Morgan Stanley | | | 1/16/2015 | | | 860,000 | | | 910,188 | | | 894,478 | | | | 15,710 | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | $ | 4,117,140 | |
| | | | | | |
| 40 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2014
| Forward | | | | | | | | | | | | | | | |
| Foreign | | | | | | | | | | U.S. $ | | | | | |
| Currency | | | | | | | | | | Cost on | | U.S. $ | | | |
| Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | Current | | Unrealized | |
| Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | Value | | Depreciation | |
| Australian dollar | | | Buy | | J.P.Morgan | | | 12/11/2014 | | | 29,435,000 | | $ | 27,063,864 | | $ | 25,836,154 | | | | $(1,227,710 | ) |
| Australian dollar | | | Buy | | J.P.Morgan | | | 2/17/2015 | | | 6,245,000 | | | 5,463,875 | | | 5,454,858 | | | | (9,017 | ) |
| Australian dollar | | | Buy | | Morgan Stanley | | | 2/17/2015 | | | 6,245,000 | | | 5,455,224 | | | 5,454,858 | | | | (366 | ) |
| Brazilian real | | | Buy | | UBS AG | | | 11/25/2014 | | | 16,000,000 | | | 6,945,952 | | | 6,415,487 | | | | (530,465 | ) |
| British pound | | | Buy | | J.P.Morgan | | | 1/16/2015 | | | 1,630,000 | | | 2,660,215 | | | 2,605,989 | | | | (54,226 | ) |
| British pound | | | Buy | | Morgan Stanley | | | 1/16/2015 | | | 1,990,000 | | | 3,222,806 | | | 3,181,545 | | | | (41,261 | ) |
| British pound | | | Buy | | Morgan Stanley | | | 1/16/2015 | | | 1,600,000 | | | 2,616,616 | | | 2,558,026 | | | | (58,590 | ) |
| British pound | | | Buy | | Morgan Stanley | | | 1/16/2015 | | | 1,020,000 | | | 1,653,920 | | | 1,630,742 | | | | (23,178 | ) |
| British pound | | | Buy | | Morgan Stanley | | | 1/16/2015 | | | 1,600,000 | | | 2,610,687 | | | 2,558,026 | | | | (52,661 | ) |
| euro | | | Buy | | Goldman Sachs | | | 12/19/2014 | | | 355,000 | | | 452,760 | | | 444,996 | | | | (7,764 | ) |
| euro | | | Buy | | Goldman Sachs | | | 12/19/2014 | | | 575,000 | | | 727,607 | | | 720,769 | | | | (6,838 | ) |
| euro | | | Buy | | Goldman Sachs | | | 2/9/2015 | | | 430,000 | | | 548,594 | | | 539,213 | | | | (9,381 | ) |
| euro | | | Buy | | J.P.Morgan | | | 12/19/2014 | | | 6,070,000 | | | 8,180,849 | | | 7,608,818 | | | | (572,031 | ) |
| euro | | | Buy | | J.P.Morgan | | | 12/19/2014 | | | 2,605,000 | | | 3,334,257 | | | 3,265,399 | | | | (68,858 | ) |
| euro | | | Buy | | Morgan Stanley | | | 12/19/2014 | | | 5,180,000 | | | 6,541,238 | | | 6,493,192 | | | | (48,046 | ) |
| euro | | | Buy | | Morgan Stanley | | | 12/19/2014 | | | 4,390,000 | | | 5,565,264 | | | 5,502,917 | | | | (62,347 | ) |
| euro | | | Buy | | Morgan Stanley | | | 12/19/2014 | | | 2,230,000 | | | 2,839,248 | | | 2,795,332 | | | | (43,916 | ) |
| euro | | | Buy | | Morgan Stanley | | | 12/19/2014 | | | 4,450,000 | | | 5,683,432 | | | 5,578,128 | | | | (105,304 | ) |
| euro | | | Buy | | Morgan Stanley | | | 12/19/2014 | | | 670,000 | | | 850,072 | | | 839,853 | | | | (10,219 | ) |
| euro | | | Buy | | Morgan Stanley | | | 2/9/2015 | | | 1,885,000 | | | 2,376,488 | | | 2,363,759 | | | | (12,729 | ) |
| Japanese yen | | | Buy | | Morgan Stanley | | | 1/29/2015 | | | 429,000,000 | | | 4,019,972 | | | 3,823,164 | | | | (196,808 | ) |
| Japanese yen | | | Buy | | UBS AG | | | 1/29/2015 | | | 94,000,000 | | | 890,195 | | | 837,710 | | | | (52,485 | ) |
| Norwegian krone | | | Buy | | Morgan Stanley | | | 12/15/2014 | | | 7,850,000 | | | 1,184,892 | | | 1,162,205 | | | | (22,687 | ) |
| Norwegian krone | | | Buy | | Morgan Stanley | | | 12/15/2014 | | | 11,500,000 | | | 1,754,283 | | | 1,702,593 | | | | (51,690 | ) |
| Singapore dollar | | | Buy | | J.P.Morgan | | | 1/16/2015 | | | 6,360,000 | | | 5,037,305 | | | 4,949,567 | | | | (87,738 | ) |
| South African rand | | | Buy | | Bank of America | | | 12/17/2014 | | | 49,350,000 | | | 4,529,330 | | | 4,441,940 | | | | (87,390 | ) |
| South Korean won | | | Buy | | Bank of America | | | 12/22/2014 | | | 1,040,000,000 | | | 997,899 | | | 966,154 | | | | (31,745 | ) |
| South Korean won | | | Buy | | Barclays Bank plc | | | 12/22/2014 | | | 1,630,000,000 | | | 1,535,259 | | | 1,514,260 | | | | (20,999 | ) |
| South Korean won | | | Buy | | J.P.Morgan | | | 12/22/2014 | | | 1,930,000,000 | | | 1,807,015 | | | 1,792,958 | | | | (14,057 | ) |
| Swiss franc | | | Buy | | Morgan Stanley | | | 1/16/2015 | | | 7,240,000 | | | 7,748,192 | | | 7,530,256 | | | | (217,936 | ) |
| Swiss franc | | | Buy | | Morgan Stanley | | | 1/16/2015 | | | 1,870,000 | | | 1,992,785 | | | 1,944,970 | | | | (47,815 | ) |
| Swiss franc | | | Buy | | UBS AG | | | 1/16/2015 | | | 3,000,000 | | | 3,218,466 | | | 3,120,272 | | | | (98,194 | ) |
| Swiss franc | | | Buy | | UBS AG | | | 2/20/2015 | | | 5,175,000 | | | 5,479,646 | | | 5,384,388 | | | | (95,258 | ) |
| Australian dollar | | | Sell | | J.P.Morgan | | | 12/11/2014 | | | 8,455,000 | | | 7,399,942 | | | 7,421,256 | | | | (21,314 | ) |
| Australian dollar | | | Sell | | Morgan Stanley | | | 12/11/2014 | | | 1,030,000 | | | 901,595 | | | 904,068 | | | | (2,473 | ) |
| Brazilian real | | | Sell | | Morgan Stanley | | | 11/25/2014 | | | 1,525,000 | | | 607,570 | | | 611,476 | | | | (3,906 | ) |
| British pound | | | Sell | | J.P.Morgan | | | 1/16/2015 | | | 560,000 | | | 894,504 | | | 895,309 | | | | (805 | ) |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | $(3,998,207 | ) |
| | See Notes to Financial Statements. | 41 |
Schedule of Investments (concluded)
INTERNATIONAL CORE EQUITY FUND October 31, 2014
The following is a summary of the inputs used as of October 31, 2014 in valuing the Fund’s investments carried at fair value(1):
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Type(2) | | (000) | | | (000) | | | (000) | | | (000) | |
| Common Stocks(3) | | | | | | | | | | | | | | | | |
| Australia | | $ | — | | | $ | 15,015 | | | $ | — | | | $ | 15,015 | |
| Austria | | | — | | | | 3,607 | | | | — | | | | 3,607 | |
| Canada | | | 1,506 | | | | — | | | | — | | | | 1,506 | |
| China | | | 9,694 | | | | 12,440 | | | | — | | | | 22,134 | |
| Denmark | | | — | | | | 12,430 | | | | — | | | | 12,430 | |
| France | | | — | | | | 43,457 | | | | — | | | | 43,457 | |
| Germany | | | — | | | | 38,290 | | | | — | | | | 38,290 | |
| Hong Kong | | | — | | | | 23,664 | | | | — | | | | 23,664 | |
| India | | | — | | | | 11,510 | | | | — | | | | 11,510 | |
| Indonesia | | | — | | | | 11,905 | | | | — | | | | 11,905 | |
| Italy | | | 7,612 | | | | 13,527 | | | | — | | | | 21,139 | |
| Japan | | | — | | | | 129,326 | | | | — | | | | 129,326 | |
| Luxembourg | | | 1,848 | | | | — | | | | — | | | | 1,848 | |
| Mexico | | | 5,311 | | | | — | | | | — | | | | 5,311 | |
| Netherlands | | | 11,587 | | | | 27,646 | | | | — | | | | 39,233 | |
| Norway | | | — | | | | 16,313 | | | | — | | | | 16,313 | |
| Portugal | | | — | | | | 3,074 | | | | — | | | | 3,074 | |
| South Korea | | | — | | | | 19,928 | | | | — | | | | 19,928 | |
| Spain | | | — | | | | 10,623 | | | | — | | | | 10,623 | |
| Sweden | | | — | | | | 15,060 | | | | — | | | | 15,060 | |
| Switzerland | | | — | | | | 36,837 | | | | — | | | | 36,837 | |
| Thailand | | | — | | | | 6,769 | | | | — | | | | 6,769 | |
| United Kingdom | | | 5,694 | | | | 95,739 | | | | — | | | | 101,433 | |
| United States | | | 6,971 | | | | — | | | | — | | | | 6,971 | |
| Preferred Stocks | | | — | | | | 9,020 | | | | — | | | | 9,020 | |
| Repurchase Agreement | | | — | | | | 14,114 | | | | — | | | | 14,114 | |
| Total | | $ | 50,223 | | | $ | 570,294 | | | $ | — | | | $ | 620,517 | |
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | — | | | $ | 4,117 | | | $ | — | | | $ | 4,117 | |
| Liabilities | | | — | | | | (3,998 | ) | | | — | | | | (3,998 | ) |
| Total | | $ | — | | | $ | 119 | | | $ | — | | | $ | 119 | |
| (1) | Refer to Note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | As of October 31, 2014, the Fund utilized adjusted valuation for the majority of foreign securities (as described in Note 2(a)) which resulted in Level 2 inputs for these foreign securities. As of October 31, 2013, the Fund utilized the last sale or official closing price on the exchange or system on which the foreign securities are principally traded which resulted in Level 1 inputs for all foreign securities. For the fiscal year ended October 31, 2014, the total securities transferred from Level 1 to Level 2 were $510,139,479. |
| | |
| 42 | See Notes to Financial Statements. |
Schedule of Investments
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| LONG-TERM INVESTMENTS 95.32% | | | | | | | | |
| | | | | | | | | |
| COMMON STOCKS 92.96% | | | | | | | | |
| | | | | | | | | |
| Australia 9.60% | | | | | | | | |
| | | | | | | | | |
| Banks 2.42% | | | | | | | | |
| National Australia Bank Ltd. | | | 1,946,477 | | | $ | 60,216 | |
| | | | | | | | | |
| Electric: Utilities 2.50% | | | | | | | | |
| AusNet Services | | | 22,208,114 | | | | 26,847 | |
| Spark Infrastructure Group | | | 21,030,870 | | | | 35,353 | |
| | | | | | | | 62,200 | |
| | | | | | | | | |
| Personal Products 0.68% | | | | | | | | |
| Asaleo Care Ltd. * | | | 9,502,277 | | | | 16,973 | |
| | | | | | | | | |
| Real Estate Investment Trusts 4.00% | | | | | | | | |
| Federation Centres | | | 12,762,126 | | | | 30,647 | |
| Mirvac Group | | | 21,967,520 | | | | 34,852 | |
| Scentre Group * | | | 10,722,554 | | | | 34,204 | |
| | | | | | | | 99,703 | |
| Total Australia | | | | | | | 239,092 | |
| | | | | | | | | |
| Austria 0.60% | | | | | | | | |
| | | | | | | | | |
| Metals & Mining | | | | | | | | |
| Voestalpine AG | | | 369,941 | | | | 14,819 | |
| | | | | | | | | |
| Belgium 1.01% | | | | | | | | |
| | | | | | | | | |
| Air Freight & Logistics | | | | | | | | |
| bpost SA | | | 1,014,993 | | | | 25,127 | |
| | | | | | | | | |
| Canada 1.09% | | | | | | | | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels | | | | | | | | |
| Baytex Energy Corp. | | | 888,000 | | | | 27,135 | |
| | | | | | | | | |
| China 3.17% | | | | | | | | |
| | | | | | | | | |
| Banks 1.39% | | | | | | | | |
| Bank of China Ltd. H Shares | | | 72,089,000 | | | | 34,505 | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Independent Power and Renewable Electricity Producer 0.73% | | | | | | | | |
| China Resources Power Holdings Co., Ltd. | | | 6,286,000 | | | $ | 18,296 | |
| | | | | | | | | |
| Real Estate Management & Development 1.05% | | | | | | | | |
| Greentown China Holdings Ltd. | | | 10,645,000 | | | | 11,077 | |
| KWG Property Holding Ltd. | | | 21,628,000 | | | | 15,019 | |
| | | | | | | | 26,096 | |
| Total China | | | | | | | 78,897 | |
| | | | | | | | | |
| Denmark 1.46% | | | | | | | | |
| | | | | | | | | |
| Diversified Telecommunication Services | | | | | | | | |
| TDC A/S | | | 4,753,791 | | | | 36,305 | |
| | | | | | | | | |
| Finland 0.38% | | | | | | | | |
| | | | | | | | | |
| Diversified Telecommunication Services | | | | | | | | |
| Elisa OYJ | | | 344,512 | | | | 9,464 | |
| | | | | | | | | |
| France 7.43% | | | | | | | | |
| | | | | | | | | |
| Banks 1.15% | | | | | | | | |
| BNP Paribas SA | | | 455,279 | | | | 28,611 | |
| | | | | | | | | |
| Electric: Utilities 1.49% | | | | | | | | |
| Electricite de France SA | | | 1,254,329 | | | | 37,038 | |
| | | | | | | | | |
| Insurance 1.24% | | | | | | | | |
| AXA SA | | | 1,341,752 | | | | 30,993 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 2.05% | | | | | | | | |
| Total SA ADR | | | 851,880 | | | | 51,019 | |
| | | | | | | | | |
| Pharmaceuticals 0.92% | | | | | | | | |
| Sanofi | | | 254,262 | | | | 23,072 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 0.58% | | | | | | | | |
| Kering | | | 74,479 | | | | 14,373 | |
| Total France | | | | | | | 185,106 | |
| | See Notes to Financial Statements. | 43 |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Germany 6.97% | | | | | | | | |
| | | | | | | | | |
| Automobiles 1.04% | | | | | | | | |
| Daimler AG Registered Shares | | | 332,394 | | | $ | 25,917 | |
| | | | | | | | | |
| Diversified Telecommunication Services 0.90% | | | | | | | | |
| Deutsche Telekom AG Registered Shares | | | 1,479,087 | | | | 22,295 | |
| | | | | | | | | |
| Industrial Conglomerates 1.10% | | | | | | | | |
| Siemens AG Registered Shares | | | 241,966 | | | | 27,292 | |
| | | | | | | | | |
| Media 1.37% | | | | | | | | |
| ProSiebenSat.1 Media AG Registered Shares | | | 845,511 | | | | 34,155 | |
| | | | | | | | | |
| Real Estate Management & Development 0.89% | | | | | | | | |
| Deutsche Annington Immobilien SE | | | 764,307 | | | | 22,124 | |
| | | | | | | | | |
| Wireless Telecommunication Services 1.67% | | | | | | | | |
| Freenet AG | | | 1,588,627 | | | | 41,682 | |
| Total Germany | | | | | | | 173,465 | |
| | | | | | | | | |
| Hong Kong 3.62% | | | | | | | | |
| | | | | | | | | |
| Electric: Utilities 1.28% | | | | | | | | |
| Cheung Kong Infrastructure Holdings Ltd. | | | 4,356,000 | | | | 31,817 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 1.59% | | | | | | | | |
| SJM Holdings Ltd. | | | 18,727,000 | | | | 39,581 | |
| | | | | | | | | |
| Real Estate Management & Development 0.75% | | | | | | | | |
| Cheung Kong Holdings Ltd. | | | 1,055,000 | | | | 18,729 | |
| Total Hong Kong | | | | | | | 90,127 | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Israel 1.46% | | | | | | | | |
| | | | | | | | | |
| Diversified Telecommunication Services | | | | | | | | |
| Bezeq The Israeli Telecommunication Corp., Ltd. | | | 21,236,492 | | | $ | 36,296 | |
| | | | | | | | | |
| Italy 2.67% | | | | | | | | |
| | | | | | | | | |
| Gas Utilities 1.42% | | | | | | | | |
| Snam SpA | | | 6,563,251 | | | | 35,491 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.25% | | | | | | | | |
| Eni SpA ADR | | | 730,880 | | | | 31,062 | |
| Total Italy | | | | | | | 66,553 | |
| | | | | | | | | |
| Japan 10.11% | | | | | | | | |
| | | | | | | | | |
| Automobiles 2.18% | | | | | | | | |
| Nissan Motor Co., Ltd. | | | 2,065,500 | | | | 18,841 | |
| Toyota Motor Corp. | | | 588,500 | | | | 35,414 | |
| | | | | | | | 54,255 | |
| | | | | | | | | |
| Banks 1.20% | | | | | | | | |
| Aozora Bank Ltd. | | | 8,535,000 | | | | 30,000 | |
| | | | | | | | | |
| Pharmaceuticals 0.94% | | | | | | | | |
| Daiichi Sankyo Co., Ltd. | | | 1,548,000 | | | | 23,285 | |
| | | | | | | | | |
| Real Estate Investment Trusts 0.62% | | | | | | | | |
| United Urban Investment Corp. | | | 9,768 | | | | 15,416 | |
| | | | | | | | | |
| Real Estate Management & Development 1.03% | | | | | | | | |
| Daiwa House Industry Co., Ltd. | | | 1,362,000 | | | | 25,768 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripheral 0.99% | | | | | | | | |
| Ricoh Co., Ltd. | | | 2,389,500 | | | | 24,677 | |
| | | | | | | | | |
| Tobacco 1.01% | | | | | | | | |
| Japan Tobacco, Inc. | | | 734,100 | | | | 25,047 | |
| 44 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Japan (continued) | | | | | | | | |
| | | | | | | | | |
| Trading Companies & Distributors 2.14% | | | | | | | | |
| Mitsubishi Corp. | | | 1,030,600 | | | $ | 20,208 | |
| Sumitomo Corp. | | | 3,096,800 | | | | 33,042 | |
| | | | | | | | 53,250 | |
| Total Japan | | | | | | | 251,698 | |
| | | | | | | | | |
| Mexico 0.86% | | | | | | | | |
| | | | | | | | | |
| Real Estate Investment Trusts | | | | | | | | |
| Macquarie Mexico Real Estate Management SA de CV * | | | 11,754,637 | | | | 21,351 | |
| | | | | | | | | |
| Netherlands 3.39% | | | | | | | | |
| | | | | | | | | |
| Insurance 1.25% | | | | | | | | |
| Aegon NV | | | 3,811,491 | | | | 31,065 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 2.14% | | | | | | | | |
| Royal Dutch Shell plc ADR | | | 742,800 | | | | 53,326 | |
| Total Netherlands | | | | | | | 84,391 | |
| | | | | | | | | |
| New Zealand 2.39% | | | | | | | | |
| | | | | | | | | |
| Airlines 1.26% | | | | | | | | |
| Air New Zealand Ltd. | | | 19,766,489 | | | | 31,292 | |
| | | | | | | | | |
| Diversified Telecommunication Services 1.13% | | | | | | | | |
| Spark New Zealand Ltd. | | | 11,426,329 | | | | 28,198 | |
| Total New Zealand | | | | | | | 59,490 | |
| | | | | | | | | |
| Norway 0.94% | | | | | | | | |
| | | | | | | | | |
| Insurance | | | | | | | | |
| Gjensidige Forsikring ASA | | | 1,294,734 | | | | 23,518 | |
| | | | | | | | | |
| Portugal 1.49% | | | | | | | | |
| | | | | | | | | |
| Electric: Utilities | | | | | | | | |
| EDP - Energias de Portugal SA | | | 8,640,220 | | | | 37,182 | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Singapore 1.02% | | | | | | | | |
| | | | | | | | | |
| Real Estate Investment Trusts | | | | | | | | |
| Mapletree Logistics Trust | | | 27,687,000 | | | $ | 25,348 | |
| | | | | | | | | |
| South Korea 1.39% | | | | | | | | |
| | | | | | | | | |
| Wireless Telecommunication Services | | | | | | | | |
| SK Telecom Co., Ltd. | | | 137,649 | | | | 34,495 | |
| | | | | | | | | |
| Spain 3.39% | | | | | | | | |
| | | | | | | | | |
| Electric: Utilities 0.39% | | | | | | | | |
| Red Electrica Corp. SA | | | 111,992 | | | | 9,786 | |
| | | | | | | | | |
| Gas Utilities 1.67% | | | | | | | | |
| Enagas SA | | | 1,241,072 | | | | 41,650 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.33% | | | | | | | | |
| Repsol SA | | | 1,479,518 | | | | 33,066 | |
| Total Spain | | | | | | | 84,502 | |
| | | | | | | | | |
| Sweden 2.12% | | | | | | | | |
| | | | | | | | | |
| Diversified Telecommunication Services | | | | | | | | |
| TeliaSonera AB | | | 7,621,964 | | | | 52,780 | |
| | | | | | | | | |
| Switzerland 3.34% | | | | | | | | |
| | | | | | | | | |
| Pharmaceuticals | | | | | | | | |
| Novartis AG Registered Shares | | | 423,371 | | | | 39,290 | |
| Roche Holding AG | | | 149,080 | | | | 43,994 | |
| Total Switzerland | | | | | | | 83,284 | |
| | | | | | | | | |
| Taiwan 2.07% | | | | | | | | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 1.06% | | | | | | | | |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR | | | 1,202,900 | | | | 26,488 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripheral 1.01% | | | | | | | | |
| Asustek Computer, Inc. | | | 2,463,000 | | | | 25,148 | |
| Total Taiwan | | | | | | | 51,636 | |
| | See Notes to Financial Statements. | 45 |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Thailand 1.18% | | | | | | | | |
| | | | | | | | | |
| Banks 0.80% | | | | | | | | |
| Krung Thai Bank PCL | | | 27,739,000 | | | $ | 19,847 | |
| | | | | | | | | |
| Chemicals 0.38% | | | | | | | | |
| PTT Global Chemical PCL | | | 5,055,300 | | | | 9,595 | |
| Total Thailand | | | | | | | 29,442 | |
| | | | | | | | | |
| Turkey 0.63% | | | | | | | | |
| | | | | | | | | |
| Automobiles | | | | | | | | |
| Tofas Turk Otomobil Fabrikasi AS | | | 2,516,943 | | | | 15,792 | |
| | | | | | | | | |
| United Kingdom 19.18% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 1.58% | | | | | | | | |
| BAE Systems plc | | | 5,351,851 | | | | 39,412 | |
| | | | | | | | | |
| Banks 2.82% | | | | | | | | |
| Barclays plc | | | 7,133,196 | | | | 27,434 | |
| HSBC Holdings plc | | | 4,205,725 | | | | 42,879 | |
| | | | | | | | 70,313 | |
| | | | | | | | | |
| Beverages 0.99% | | | | | | | | |
| Diageo plc | | | 838,097 | | | | 24,717 | |
| | | | | | | | | |
| Electric: Utilities 1.30% | | | | | | | | |
| SSE plc | | | 1,262,478 | | | | 32,358 | |
| | | | | | | | | |
| Food Products 0.94% | | | | | | | | |
| Unilever plc | | | 579,227 | | | | 23,300 | |
| | | | | | | | | |
| Household Durables 1.05% | | | | | | | | |
| Berkeley Group Holdings plc | | | 718,637 | | | | 26,281 | |
| | | | | | | | | |
| Insurance 2.28% | | | | | | | | |
| Catlin Group Ltd. | | | 3,049,787 | | | | 26,200 | |
| Prudential plc | | | 1,320,606 | | | | 30,580 | |
| | | | | | | | 56,780 | |
| | | | | | | | | |
| Media 1.03% | | | | | | | | |
| Reed Elsevier plc | | | 1,564,032 | | | | 25,740 | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Metals & Mining 0.89% | | | | | | | | |
| Rio Tinto plc ADR | | | 459,900 | | | $ | 22,061 | |
| | | | | | | | | |
| Multi-Utilities 0.89% | | | | | | | | |
| National Grid plc | | | 1,495,485 | | | | 22,193 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.29% | | | | | | | | |
| BP plc | | | 4,449,767 | | | | 32,016 | |
| | | | | | | | | |
| Pharmaceuticals 2.32% | | | | | | | | |
| AstraZeneca plc | | | 556,155 | | | | 40,626 | |
| GlaxoSmithKline plc | | | 754,108 | | | | 17,054 | |
| | | | | | | | 57,680 | |
| | | | | | | | | |
| Tobacco 1.80% | | | | | | | | |
| Imperial Tobacco Group plc | | | 1,034,626 | | | | 44,946 | |
| Total United Kingdom | | | | | | | 477,797 | |
Total Common Stocks
(cost $2,261,720,431) | | | | | | | 2,315,092 | |
| | | Principal | | | | |
| | | Amount | | | | |
| CORPORATE BOND 1.10% | | | | | | | | |
| | | | | | | | | |
| Spain | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
Banco Popular Espanol SA (a)
(cost $28,164,206) | | $ | 19,000,000 | | | | 27,292 | |
| | | Shares | | | | |
| PREFERRED STOCK 1.26% | | | | | | | | |
| | | | | | | | | |
| Brazil | | | | | | | | |
| | | | | | | | | |
| Independent Power and Renewable Electricity Producer | | | | | | | | |
AES Tiete SA
(cost $40,131,475) | | | 4,141,000 | | | | 31,267 | |
Total Long-Term Investments
(cost $2,330,016,112) | | | | | | | 2,373,651 | |
| 46 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2014
| | | Principal | | | U.S. $ | |
| | | Amount | | | Fair Value | |
| Investments | | (000) | | | (000) | |
| SHORT-TERM INVESTMENT 2.39% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2014, Zero Coupon due 11/3/2014 with Fixed Income Clearing Corp. collateralized by $59,990,000 of U.S Treasury Note at 1.875% due 6/30/2020; value: $60,739,875; proceeds: $59,546,863
(cost $59,546,863) | | $ | 59,547 | | | $ | 59,547 | |
Total Investments in Securities 97.71%
(cost $2,389,562,975) | | | | | | | 2,433,198 | |
| Foreign Cash and Other Assets in Excess of Liabilities(b) 2.29% | | | | | | | 57,105 | |
| Net Assets 100.00% | | | | | | $ | 2,490,303 | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | The security has an interest rate of 11.50%, is perpetual in nature and has no stated maturity. |
| (b) | | Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation on forward foreign currency exchange contracts as follows: |
| | See Notes to Financial Statements. | 47 |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2014
Open Forward Foreign Currency Exchange Contracts at October 31, 2014:
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Appreciation | |
| Australian dollar | | Buy | | Morgan Stanley | | 1/16/2015 | | 7,070,000 | | $ | 6,162,722 | | | $ | 6,189,729 | | | $ | 27,007 | |
| Australian dollar | | Buy | | Morgan Stanley | | 2/17/2015 | | 51,550,000 | | | 44,964,209 | | | | 45,027,693 | | | | 63,484 | |
| Canadian dollar | | Buy | | Morgan Stanley | | 2/17/2015 | | 34,615,000 | | | 30,441,680 | | | | 30,630,743 | | | | 189,063 | |
| South African rand | | Buy | | Deutsche Bank AG | | 2/17/2015 | | 364,100,000 | | | 32,319,206 | | | | 32,425,972 | | | | 106,766 | |
| Brazilian real | | Sell | | Morgan Stanley | | 11/17/2014 | | 19,940,000 | | | 8,576,344 | | | | 8,014,969 | | | | 561,375 | |
| British pound | | Sell | | Goldman Sachs | | 1/20/2015 | | 9,060,000 | | | 14,617,479 | | | | 14,484,317 | | | | 133,162 | |
| Canadian dollar | | Sell | | Morgan Stanley | | 11/18/2014 | | 4,045,000 | | | 3,619,651 | | | | 3,587,695 | | | | 31,956 | |
| euro | | Sell | | Bank of America | | 12/19/2014 | | 2,730,000 | | | 3,526,759 | | | | 3,422,088 | | | | 104,671 | |
| euro | | Sell | | Bank of America | | 12/19/2014 | | 3,435,000 | | | 4,437,515 | | | | 4,305,814 | | | | 131,701 | |
| euro | | Sell | | Bank of America | | 12/19/2014 | | 3,315,000 | | | 4,275,820 | | | | 4,155,392 | | | | 120,428 | |
| euro | | Sell | | Goldman Sachs | | 12/19/2014 | | 4,660,000 | | | 6,256,330 | | | | 5,841,366 | | | | 414,964 | |
| euro | | Sell | | Goldman Sachs | | 12/19/2014 | | 18,430,000 | | | 23,707,486 | | | | 23,102,226 | | | | 605,260 | |
| euro | | Sell | | J.P.Morgan | | 11/24/2014 | | 116,000,000 | | | 156,337,376 | | | | 145,383,971 | | | | 10,953,405 | |
| euro | | Sell | | J.P.Morgan | | 12/19/2014 | | 28,600,000 | | | 38,545,678 | | | | 35,850,442 | | | | 2,695,236 | |
| euro | | Sell | | J.P.Morgan | | 12/19/2014 | | 20,900,000 | | | 27,571,171 | | | | 26,198,400 | | | | 1,372,771 | |
| euro | | Sell | | J.P.Morgan | | 12/19/2014 | | 5,175,000 | | | 6,810,512 | | | | 6,486,924 | | | | 323,588 | |
| euro | | Sell | | Morgan Stanley | | 12/19/2014 | | 3,275,000 | | | 4,243,233 | | | | 4,105,252 | | | | 137,981 | |
| euro | | Sell | | Morgan Stanley | | 12/19/2014 | | 23,365,000 | | | 30,249,049 | | | | 29,288,307 | | | | 960,742 | |
| euro | | Sell | | Morgan Stanley | | 12/19/2014 | | 1,885,000 | | | 2,392,689 | | | | 2,362,870 | | | | 29,819 | |
| euro | | Sell | | Morgan Stanley | | 12/19/2014 | | 4,900,000 | | | 6,258,942 | | | | 6,142,209 | | | | 116,733 | |
| euro | | Sell | | Morgan Stanley | | 12/19/2014 | | 2,550,000 | | | 3,256,798 | | | | 3,196,455 | | | | 60,343 | |
| euro | | Sell | | Morgan Stanley | | 12/19/2014 | | 4,425,000 | | | 5,624,532 | | | | 5,546,790 | | | | 77,742 | |
| euro | | Sell | | Morgan Stanley | | 12/19/2014 | | 3,580,000 | | | 4,542,173 | | | | 4,487,573 | | | | 54,600 | |
| Japanese yen | | Sell | | Goldman Sachs | | 1/9/2015 | | 11,995,000,000 | | | 114,457,199 | | | | 106,877,822 | | | | 7,579,377 | |
| Japanese yen | | Sell | | Morgan Stanley | | 11/25/2014 | | 5,630,000,000 | | | 55,388,586 | | | | 50,129,940 | | | | 5,258,646 | |
| Japanese yen | | Sell | | Morgan Stanley | | 1/9/2015 | | 670,000,000 | | | 6,147,425 | | | | 5,969,832 | | | | 177,593 | |
| Japanese yen | | Sell | | UBS AG | | 2/20/2015 | | 6,990,000,000 | | | 66,205,094 | | | | 62,307,823 | | | | 3,897,271 | |
| Norwegian krone | | Sell | | Goldman Sachs | | 12/15/2014 | | 50,000,000 | | | 7,732,389 | | | | 7,402,580 | | | | 329,809 | |
| South Korean won | | Sell | | Bank of America | | 12/15/2014 | | 13,900,000,000 | | | 13,414,528 | | | | 12,916,413 | | | | 498,115 | |
| Swiss franc | | Sell | | Barclays Bank plc | | 11/7/2014 | | 24,745,000 | | | 27,856,169 | | | | 25,719,031 | | | | 2,137,138 | |
| Swiss franc | | Sell | | Barclays Bank plc | | 11/7/2014 | | 24,745,000 | | | 27,859,305 | | | | 25,719,031 | | | | 2,140,274 | |
| Taiwan dollar | | Sell | | Morgan Stanley | | 2/17/2015 | | 730,000,000 | | | 24,101,955 | | | | 24,004,100 | | | | 97,855 | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | $ | 41,388,875 | |
| 48 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2014
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Depreciation | |
| Australian dollar | | Buy | | J.P.Morgan | | 2/17/2015 | | 51,555,000 | | $ | 45,106,501 | | | $ | 45,032,061 | | | $ | (74,440 | ) |
| Australian dollar | | Buy | | Morgan Stanley | | 1/16/2015 | | 33,125,000 | | | 29,700,345 | | | | 29,000,676 | | | | (699,669 | ) |
| Australian dollar | | Buy | | Morgan Stanley | | 2/17/2015 | | 51,555,000 | | | 45,035,076 | | | | 45,032,060 | | | | (3,016 | ) |
| British pound | | Buy | | Bank of America | | 2/20/2015 | | 7,965,000 | | | 12,738,138 | | | | 12,729,931 | | | | (8,207 | ) |
| British pound | | Buy | | J.P.Morgan | | 1/20/2015 | | 7,730,000 | | | 12,641,464 | | | | 12,358,032 | | | | (283,432 | ) |
| British pound | | Buy | | J.P.Morgan | | 1/20/2015 | | 9,075,000 | | | 14,767,593 | | | | 14,508,298 | | | | (259,295 | ) |
| British pound | | Buy | | Morgan Stanley | | 1/20/2015 | | 4,570,000 | | | 7,488,725 | | | | 7,306,107 | | | | (182,618 | ) |
| Canadian dollar | | Buy | | Bank of America | | 11/18/2014 | | 32,100,000 | | | 29,805,041 | | | | 28,470,950 | | | | (1,334,091 | ) |
| Canadian dollar | | Buy | | Goldman Sachs | | 12/22/2014 | | 72,600,000 | | | 66,163,786 | | | | 64,338,006 | | | | (1,825,780 | ) |
| Canadian dollar | | Buy | | Goldman Sachs | | 1/22/2015 | | 68,235,000 | | | 62,030,183 | | | | 60,421,943 | | | | (1,608,240 | ) |
| Canadian dollar | | Buy | | Morgan Stanley | | 11/18/2014 | | 10,735,000 | | | 9,975,530 | | | | 9,521,360 | | | | (454,170 | ) |
| euro | | Buy | | Deutsche Bank AG | | 11/24/2014 | | 8,645,000 | | | 11,575,906 | | | | 10,834,866 | | | | (741,040 | ) |
| euro | | Buy | | Goldman Sachs | | 11/24/2014 | | 5,800,000 | | | 7,654,631 | | | | 7,269,199 | | | | (385,432 | ) |
| euro | | Buy | | Goldman Sachs | | 11/24/2014 | | 3,670,000 | | | 4,727,940 | | | | 4,599,648 | | | | (128,292 | ) |
| euro | | Buy | | Goldman Sachs | | 11/24/2014 | | 7,350,000 | | | 9,575,095 | | | | 9,211,829 | | | | (363,266 | ) |
| euro | | Buy | | Goldman Sachs | | 11/24/2014 | | 7,600,000 | | | 10,183,939 | | | | 9,525,157 | | | | (658,782 | ) |
| euro | | Buy | | Goldman Sachs | | 11/24/2014 | | 15,900,000 | | | 21,303,472 | | | | 19,927,631 | | | | (1,375,841 | ) |
| euro | | Buy | | Goldman Sachs | | 12/19/2014 | | 5,800,000 | | | 7,339,343 | | | | 7,270,369 | | | | (68,974 | ) |
| euro | | Buy | | Goldman Sachs | | 12/19/2014 | | 3,755,000 | | | 4,789,056 | | | | 4,706,937 | | | | (82,119 | ) |
| euro | | Buy | | Goldman Sachs | | 12/19/2014 | | 3,220,000 | | | 4,042,616 | | | | 4,036,309 | | | | (6,307 | ) |
| euro | | Buy | | J.P.Morgan | | 11/24/2014 | | 14,735,000 | | | 19,426,273 | | | | 18,467,524 | | | | (958,749 | ) |
| euro | | Buy | | J.P.Morgan | | 11/24/2014 | | 6,585,000 | | | 8,740,947 | | | | 8,253,047 | | | | (487,900 | ) |
| euro | | Buy | | J.P.Morgan | | 11/24/2014 | | 9,545,000 | | | 12,359,442 | | | | 11,962,845 | | | | (396,597 | ) |
| euro | | Buy | | J.P.Morgan | | 11/24/2014 | | 8,235,000 | | | 10,644,855 | | | | 10,321,009 | | | | (323,846 | ) |
| euro | | Buy | | J.P.Morgan | | 12/19/2014 | | 8,765,000 | | | 11,218,718 | | | | 10,987,032 | | | | (231,686 | ) |
| euro | | Buy | | J.P.Morgan | | 12/19/2014 | | 4,825,000 | | | 6,184,251 | | | | 6,048,195 | | | | (136,056 | ) |
| euro | | Buy | | Morgan Stanley | | 11/24/2014 | | 5,250,000 | | | 6,935,012 | | | | 6,579,878 | | | | (355,134 | ) |
| euro | | Buy | | Morgan Stanley | | 11/24/2014 | | 15,260,000 | | | 19,602,477 | | | | 19,125,512 | | | | (476,965 | ) |
| euro | | Buy | | Morgan Stanley | | 12/19/2014 | | 4,710,000 | | | 5,970,933 | | | | 5,904,041 | | | | (66,892 | ) |
| euro | | Buy | | Morgan Stanley | | 12/19/2014 | | 3,050,000 | | | 3,854,273 | | | | 3,823,212 | | | | (31,061 | ) |
| euro | | Buy | | Morgan Stanley | | 12/19/2014 | | 3,985,000 | | | 5,029,560 | | | | 4,995,245 | | | | (34,315 | ) |
| euro | | Buy | | Morgan Stanley | | 12/19/2014 | | 12,575,000 | | | 15,916,142 | | | | 15,762,913 | | | | (153,229 | ) |
| euro | | Buy | | Morgan Stanley | | 12/19/2014 | | 5,445,000 | | | 6,932,604 | | | | 6,825,373 | | | | (107,231 | ) |
| euro | | Buy | | Morgan Stanley | | 12/19/2014 | | 4,325,000 | | | 5,461,555 | | | | 5,421,439 | | | | (40,116 | ) |
| euro | | Buy | | Morgan Stanley | | 12/19/2014 | | 2,710,000 | | | 3,458,005 | | | | 3,397,017 | | | | (60,988 | ) |
| euro | | Buy | | UBS AG | | 11/24/2014 | | 7,425,000 | | | 9,603,911 | | | | 9,305,827 | | | | (298,084 | ) |
| euro | | Buy | | UBS AG | | 12/19/2014 | | 3,860,000 | | | 4,913,900 | | | | 4,838,556 | | | | (75,344 | ) |
| Norwegian krone | | Buy | | Morgan Stanley | | 12/15/2014 | | 50,000,000 | | | 8,051,582 | | | | 7,402,580 | | | | (649,002 | ) |
| Russian ruble | | Buy | | Morgan Stanley | | 11/25/2014 | | 255,000,000 | | | 7,103,064 | | | | 5,895,034 | | | | (1,208,030 | ) |
| Singapore dollar | | Buy | | J.P.Morgan | | 1/16/2015 | | 40,030,000 | | | 31,704,921 | | | | 31,152,696 | | | | (552,225 | ) |
| South African rand | | Buy | | Goldman Sachs | | 11/25/2014 | | 280,000,000 | | | 26,063,483 | | | | 25,298,705 | | | | (764,778 | ) |
| Turkish lira | | Buy | | Deutsche Bank AG | | 12/18/2014 | | 25,500,000 | | | 11,467,199 | | | | 11,357,471 | | | | (109,728 | ) |
| Australian dollar | | Sell | | Bank of America | | 1/16/2015 | | 9,045,000 | | | 7,890,967 | | | | 7,918,826 | | | | (27,859 | ) |
| Australian dollar | | Sell | | Citibank | | 1/16/2015 | | 4,000,000 | | | 3,490,904 | | | | 3,501,968 | | | | (11,064 | ) |
| Australian dollar | | Sell | | Goldman Sachs | | 1/16/2015 | | 8,090,000 | | | 7,020,750 | | | | 7,082,731 | | | | (61,981 | ) |
| Australian dollar | | Sell | | J.P.Morgan | | 1/16/2015 | | 9,260,000 | | | 8,083,502 | | | | 8,107,057 | | | | (23,555 | ) |
| Australian dollar | | Sell | | Morgan Stanley | | 1/16/2015 | | 3,935,000 | | | 3,429,580 | | | | 3,445,061 | | | | (15,481 | ) |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | $ | (18,200,907 | ) |
| | See Notes to Financial Statements. | 49 |
Schedule of Investments (concluded)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2014
The following is a summary of the inputs used as of October 31, 2014 in valuing the Fund’s investments carried at fair value(1):
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Type(2) | | (000) | | | (000) | | | (000) | | | (000) | |
| Common Stocks(3) | | | | | | | | | | | | | | | | |
| Australia | | $ | — | | | $ | 239,092 | | | $ | — | | | $ | 239,092 | |
| Austria | | | — | | | | 14,819 | | | | — | | | | 14,819 | |
| Belgium | | | 25,127 | | | | — | | | | — | | | | 25,127 | |
| Canada | | | 27,135 | | | | — | | | | — | | | | 27,135 | |
| China | | | 11,077 | | | | 67,820 | | | | — | | | | 78,897 | |
| Denmark | | | — | | | | 36,305 | | | | ��� | | | | 36,305 | |
| Finland | | | — | | | | 9,464 | | | | — | | | | 9,464 | |
| France | | | 51,019 | | | | 134,087 | | | | — | | | | 185,106 | |
| Germany | | | — | | | | 173,465 | | | | — | | | | 173,465 | |
| Hong Kong | | | — | | | | 90,127 | | | | — | | | | 90,127 | |
| Israel | | | — | | | | 36,296 | | | | — | | | | 36,296 | |
| Italy | | | 31,062 | | | | 35,491 | | | | — | | | | 66,553 | |
| Japan | | | — | | | | 251,698 | | | | — | | | | 251,698 | |
| Mexico | | | 21,351 | | | | — | | | | — | | | | 21,351 | |
| Netherlands | | | 53,326 | | | | 31,065 | | | | — | | | | 84,391 | |
| New Zealand | | | — | | | | 59,490 | | | | — | | | | 59,490 | |
| Norway | | | — | | | | 23,518 | | | | — | | | | 23,518 | |
| Portugal | | | — | | | | 37,182 | | | | — | | | | 37,182 | |
| Singapore | | | — | | | | 25,348 | | | | — | | | | 25,348 | |
| South Korea | | | — | | | | 34,495 | | | | — | | | | 34,495 | |
| Spain | | | — | | | | 84,502 | | | | — | | | | 84,502 | |
| Sweden | | | — | | | | 52,780 | | | | — | | | | 52,780 | |
| Switzerland | | | — | | | | 83,284 | | | | — | | | | 83,284 | |
| Taiwan | | | 26,488 | | | | 25,148 | | | | — | | | | 51,636 | |
| Thailand | | | — | | | | 29,442 | | | | — | | | | 29,442 | |
| Turkey | | | — | | | | 15,792 | | | | — | | | | 15,792 | |
| United Kingdom | | | 22,061 | | | | 455,736 | | | | — | | | | 477,797 | |
| Corporate Bond | | | — | | | | 27,292 | | | | — | | | | 27,292 | |
| Preferred Stock | | | 31,267 | | | | — | | | | — | | | | 31,267 | |
| Repurchase Agreement | | | — | | | | 59,547 | | | | — | | | | 59,547 | |
| Total | | $ | 299,913 | | | $ | 2,133,285 | | | $ | — | | | $ | 2,433,198 | |
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | — | | | $ | 41,389 | | | $ | — | | | $ | 41,389 | |
| Liabilities | | | — | | | | (18,201 | ) | | | — | | | | (18,201 | ) |
| Total | | $ | — | | | $ | 23,188 | | | $ | — | | | $ | 23,188 | |
| (1) | Refer to Note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | As of October 31, 2014, the Fund utilized adjusted valuation for the majority of foreign securities (as described in Note 2(a)) which resulted in Level 2 inputs for these foreign securities. As of October 31, 2013, the Fund utilized the last sale or official closing price on the exchange or system on which the foreign securities are principally traded which resulted in Level 1 inputs for all foreign securities. For the fiscal year ended October 31, 2014, the total securities transferred from Level 1 to Level 2 were $1,241,824,530. |
| 50 | See Notes to Financial Statements. | |
Schedule of Investments
INTERNATIONAL OPPORTUNITIES FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| LONG-TERM INVESTMENTS 96.74% | | | | | | | | |
| | | | | | | | | |
| COMMON STOCKS 95.71% | | | | | | | | |
| | | | | | | | | |
| Australia 2.80% | | | | | | | | |
| | | | | | | | | |
| Commercial Services & Supplies 1.19% | | | | | | | | |
| Spotless Group Holdings Ltd. * | | | 3,292,673 | | | $ | 5,571 | |
| | | | | | | | | |
| Food Products 0.45% | | | | | | | | |
| Select Harvests Ltd. | | | 381,418 | | | | 2,111 | |
| | | | | | | | | |
| Multi-Utilities 0.62% | | | | | | | | |
| DUET Group | | | 1,347,891 | | | | 2,918 | |
| | | | | | | | | |
| Real Estate Investment Trusts 0.54% | | | | | | | | |
| Charter Hall Group | | | 654,870 | | | | 2,521 | |
| Total Australia | | | | | | | 13,121 | |
| | | | | | | | | |
| Austria 0.50% | | | | | | | | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| ams AG | | | 64,964 | | | | 2,330 | |
| | | | | | | | | |
| Belgium 0.37% | | | | | | | | |
| | | | | | | | | |
| Electric: Utilities | | | | | | | | |
| Elia System Operator SA | | | 34,857 | | | | 1,729 | |
| | | | | | | | | |
| Brazil 0.93% | | | | | | | | |
| | | | | | | | | |
| Multi-Line Retail | | | | | | | | |
| Magazine Luiza SA | | | 1,305,200 | | | | 4,346 | |
| | | | | | | | | |
| Canada 2.29% | | | | | | | | |
| | | | | | | | | |
| Commercial Services & Supplies 0.61% | | | | | | | | |
| Newalta Corp. | | | 157,435 | | | | 2,843 | |
| | | | | | | | | |
| Metals & Mining 0.48% | | | | | | | | |
| HudBay Minerals, Inc. | | | 291,766 | | | | 2,234 | |
| | | | | | | | | |
| Paper & Forest Products 1.20% | | | | | | | | |
| Interfor Corp. * | | | 371,209 | | | | 5,645 | |
| Total Canada | | | | | | | 10,722 | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| China 2.60% | | | | | | | | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 0.73% | | | | | | | | |
| China Suntien Green Energy Corp., Ltd. Class H | | | 12,862,000 | | | $ | 3,416 | |
| | | | | | | | | |
| Water Utilities 1.87% | | | | | | | | |
| CT Environmental Group Ltd. | | | 8,244,000 | | | | 8,804 | |
| Total China | | | | | | | 12,220 | |
| | | | | | | | | |
| Finland 1.48% | | | | | | | | |
| | | | | | | | | |
| Leisure Product | | | | | | | | |
| Amer Sports OYJ | | | 361,096 | | | | 6,921 | |
| | | | | | | | | |
| France 1.74% | | | | | | | | |
| | | | | | | | | |
| Information Technology Services | | | | | | | | |
| Altran Technologies SA | | | 831,890 | | | | 8,173 | |
| | | | | | | | | |
| Georgia 1.06% | | | | | | | | |
| | | | | | | | | |
| Banks | | | | | | | | |
| TBC Bank JSC GDR *† | | | 336,986 | | | | 4,983 | |
| | | | | | | | | |
| Germany 8.51% | | | | | | | | |
| | | | | | | | | |
| Auto Components 1.01% | | | | | | | | |
| ElringKlinger AG | | | 155,613 | | | | 4,760 | |
| | | | | | | | | |
| Chemicals 1.26% | | | | | | | | |
| Symrise AG | | | 104,710 | | | | 5,904 | |
| | | | | | | | | |
| Internet Software & Services 0.65% | | | | | | | | |
| XING AG | | | 28,552 | | | | 3,032 | |
| | | | | | | | | |
| Life Sciences Tools & Services 1.58% | | | | | | | | |
| Gerresheimer AG | | | 59,705 | | | | 3,322 | |
| MorphoSys AG * | | | 43,213 | | | | 4,093 | |
| | | | | | | | 7,415 | |
| | | | | | | | | |
| Machinery 1.32% | | | | | | | | |
| Deutz AG | | | 579,383 | | | | 2,610 | |
| DMG MORI SEIKI AG | | | 139,152 | | | | 3,563 | |
| | | | | | | | 6,173 | |
| | See Notes to Financial Statements. | 51 |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Germany (continued) | | | | | | | | |
| | | | | | | | | |
| Real Estate Management & Development 2.01% | | | | | | | | |
| GAGFAH SA * | | | 250,956 | | | $ | 4,693 | |
| Patrizia Immobilien AG * | | | 350,731 | | | | 4,742 | |
| | | | | | | | 9,435 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripheral 0.68% | | | | | | | | |
| Wincor Nixdorf AG | | | 69,761 | | | | 3,208 | |
| Total Germany | | | | | | | 39,927 | |
| | | | | | | | | |
| Greece 0.43% | | | | | | | | |
| | | | | | | | | |
| Diversified Financial Services | | | | | | | | |
| Hellenic Exchanges – Athens Stock Exchange SA Holding * | | | 303,212 | | | | 2,040 | |
| | | | | | | | | |
| Hong Kong 4.50% | | | | | | | | |
| | | | | | | | | |
| Capital Markets 1.03% | | | | | | | | |
| Sun Hung Kai & Co., Ltd. | | | 6,460,000 | | | | 4,810 | |
| | | | | | | | | |
| Communications Equipment 0.63% | | | | | | | | |
| VTech Holdings Ltd. | | | 237,400 | | | | 2,972 | |
| | | | | | | | | |
| Energy Equipment & Services 0.32% | | | | | | | | |
| Hilong Holding Ltd. | | | 4,607,000 | | | | 1,497 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 0.41% | | | | | | | | |
| REXLot Holdings Ltd. | | | 18,775,000 | | | | 1,938 | |
| | | | | | | | | |
| Household Durables 1.31% | | | | | | | | |
| Techtronic Industries Co., Ltd. | | | 1,964,500 | | | | 6,150 | |
| | | | | | | | | |
| Machinery 0.63% | | | | | | | | |
| Sinotruk Hong Kong Ltd. | | | 5,669,500 | | | | 2,939 | |
| | | | | | | | | |
| Specialty Retail 0.17% | | | | | | | | |
| Esprit Holdings Ltd. | | | 630,200 | | | | 790 | |
| Total Hong Kong | | | | | | | 21,096 | |
| | | | | | | | | |
| India 2.70% | | | | | | | | |
| | | | | | | | | |
| Consumer Finance 1.06% | | | | | | | | |
| SKS Microfinance Ltd. * | | | 933,029 | | | | 4,961 | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Thrifts & Mortgage Finance 1.64% | | | | | | | | |
| Indiabulls Housing Finance Ltd. | | | 1,130,554 | | | $ | 7,697 | |
| Total India | | | | | | | 12,658 | |
| | | | | | | | | |
| Indonesia 0.77% | | | | | | | | |
| | | | | | | | | |
| Banks 0.36% | | | | | | | | |
| Bank Tabungan Negara Persero Tbk PT | | | 18,370,800 | | | | 1,703 | |
| | | | | | | | | |
| Consumer Finance 0.41% | | | | | | | | |
| PT Clipan Finance Indonesia Tbk * | | | 52,233,850 | | | | 1,898 | |
| Total Indonesia | | | | | | | 3,601 | |
| | | | | | | | | |
| Ireland 1.28% | | | | | | | | |
| | | | | | | | | |
| Health Care Providers & Services | | | | | | | | |
| UDG Healthcare plc | | | 1,138,723 | | | | 5,997 | |
| | | | | | | | | |
| Israel 0.97% | | | | | | | | |
| | | | | | | | | |
| Chemicals | | | | | | | | |
| Frutarom Industries Ltd. | | | 179,379 | | | | 4,539 | |
| | | | | | | | | |
| Italy 2.00% | | | | | | | | |
| | | | | | | | | |
| Banks 0.49% | | | | | | | | |
| Banca Popolare di Milano Scarl * | | | 3,061,833 | | | | 2,308 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 1.51% | | | | | | | | |
| Brunello Cucinelli SpA | | | 122,544 | | | | 2,483 | |
| Moncler SpA | | | 331,395 | | | | 4,599 | |
| | | | | | | | 7,082 | |
| Total Italy | | | | | | | 9,390 | |
| | | | | | | | | |
| Japan 21.44% | | | | | | | | |
| | | | | | | | | |
| Auto Components 1.33% | | | | | | | | |
| Toyo Tire & Rubber Co., Ltd. | | | 379,400 | | | | 6,259 | |
| | | | | | | | | |
| Building Products 0.59% | | | | | | | | |
| Aica Kogyo Co., Ltd. | | | 133,600 | | | | 2,765 | |
| 52 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Japan (continued) | | | | | | | | |
| | | | | | | | | |
| Construction & Engineering 1.00% | | | | | | | | |
| SHO-BOND Holdings Co., Ltd. | | | 121,200 | | | $ | 4,683 | |
| | | | | | | | | |
| Diversified Financial Services 0.86% | | | | | | | | |
| Century Tokyo Leasing Corp. | | | 153,600 | | | | 4,022 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 2.10% | | | | | | | | |
| Hitachi High-Technologies Corp. | | | 207,600 | | | | 6,342 | |
| Topcon Corp. | | | 149,300 | | | | 3,506 | |
| | | | | | | | 9,848 | |
| | | | | | | | | |
| Food & Staples Retailing 1.64% | | | | | | | | |
| Sundrug Co., Ltd. | | | 159,200 | | | | 7,691 | |
| | | | | | | | | |
| Food Products 0.68% | | | | | | | | |
| Toyo Suisan Kaisha Ltd. | | | 93,000 | | | | 3,212 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 0.98% | | | | | | | | |
| St. Marc Holdings Co., Ltd. | | | 87,800 | | | | 4,590 | |
| | | | | | | | | |
| Household Durables 0.78% | | | | | | | | |
| Haseko Corp. | | | 500,700 | | | | 3,670 | |
| | | | | | | | | |
| Information Technology Services 2.96% | | | | | | | | |
| NS Solutions Corp. | | | 118,400 | | | | 3,645 | |
| Obic Co., Ltd. | | | 151,300 | | | | 5,401 | |
| SCSK Corp. | | | 180,500 | | | | 4,853 | |
| | | | | | | | 13,899 | |
| | | | | | | | | |
| Machinery 2.50% | | | | | | | | |
| Nabtesco Corp. | | | 221,200 | | | | 5,353 | |
| NSK Ltd. | | | 487,000 | | | | 6,379 | |
| | | | | | | | 11,732 | |
| | | | | | | | | |
| Personal Products 1.54% | | | | | | | | |
| Aderans Co., Ltd. | | | 144,808 | | | | 1,724 | |
| Kobayashi Pharmaceutical Co., Ltd. | | | 89,000 | | | | 5,493 | |
| | | | | | | | 7,217 | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Professional Services 1.05% | | | | | | | | |
| Temp Holdings Co., Ltd. | | | 151,700 | | | $ | 4,929 | |
| | | | | | | | | |
| Real Estate Management & Development 1.08% | | | | | | | | |
| Takara Leben Co., Ltd. | | | 1,200,300 | | | | 5,086 | |
| | | | | | | | | |
| Software 0.35% | | | | | | | | |
| NSD Co., Ltd. | | | 109,800 | | | | 1,619 | |
| | | | | | | | | |
| Specialty Retail 1.35% | | | | | | | | |
| United Arrows Ltd. | | | 169,300 | | | | 6,345 | |
| | | | | | | | | |
| Wireless Telecommunication Services 0.65% | | | | | | | | |
| Okinawa Cellular Telephone Co. | | | 112,600 | | | | 3,046 | |
| Total Japan | | | | | | | 100,613 | |
| | | | | | | | | |
| Luxembourg 0.83% | | | | | | | | |
| | | | | | | | | |
| Real Estate Management & Development | | | | | | | | |
| Grand City Properties SA * | | | 305,459 | | | | 3,914 | |
| | | | | | | | | |
| Mexico 0.89% | | | | | | | | |
| | | | | | | | | |
| Real Estate Investment Trusts | | | | | | | | |
| Macquarie Mexico Real Estate Management SA de CV * | | | 2,297,975 | | | | 4,174 | |
| | | | | | | | | |
| Netherlands 4.44% | | | | | | | | |
| | | | | | | | | |
| Construction & Engineering 2.00% | | | | | | | | |
| Arcadis NV | | | 305,461 | | | | 9,397 | |
| | | | | | | | | |
| Machinery 1.30% | | | | | | | | |
| Aalberts Industries NV | | | 228,837 | | | | 6,100 | |
| | | | | | | | | |
| Professional Services 1.14% | | | | | | | | |
| USG People NV | | | 533,988 | | | | 5,357 | |
| Total Netherlands | | | | | | | 20,854 | |
| | | | | | | | | |
| New Zealand 0.97% | | | | | | | | |
| | | | | | | | | |
| Airlines | | | | | | | | |
| Air New Zealand Ltd. | | | 2,866,194 | | | | 4,537 | |
| | See Notes to Financial Statements. | 53 |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Philippines 1.84% | | | | | | | | |
| | | | | | | | | |
| Banks 0.82% | | | | | | | | |
| Rizal Commercial Banking Corp. | | | 3,246,780 | | | $ | 3,836 | |
| | | | | | | | | |
| Real Estate Management & Development 1.02% | | | | | | | | |
| Filinvest Land, Inc. | | | 139,694,000 | | | | 4,796 | |
| Total Philippines | | | | | | | 8,632 | |
| | | | | | | | | |
| Portugal 1.15% | | | | | | | | |
| | | | | | | | | |
| Multi-Utilities | | | | | | | | |
| REN—Redes Energeticas | | | | | | | | |
| Nacionais SGPS SA | | | 1,745,109 | | | | 5,409 | |
| | | | | | | | | |
| Spain 0.87% | | | | | | | | |
| | | | | | | | | |
| Banks 0.38% | | | | | | | | |
| Liberbank SA * | | | 2,069,093 | | | | 1,767 | |
| | | | | | | | | |
| Food Products 0.49% | | | | | | | | |
| Ebro Foods SA | | | 129,370 | | | | 2,316 | |
| Total Spain | | | | | | | 4,083 | |
| | | | | | | | | |
| Sweden 3.75% | | | | | | | | |
| | | | | | | | | |
| Commercial Services & Supplies 2.06% | | | | | | | | |
| Intrum Justitia AB | | | 106,465 | | | | 3,171 | |
| Loomis AB Class B | | | 236,144 | | | | 6,505 | |
| | | | | | | | 9,676 | |
| | | | | | | | | |
| Food & Staples Retailing 1.69% | | | | | | | | |
| Axfood AB | | | 128,834 | | | | 7,930 | |
| Total Sweden | | | | | | | 17,606 | |
| | | | | | | | | |
| Switzerland 2.17% | | | | | | | | |
| | | | | | | | | |
| Capital Markets 0.33% | | | | | | | | |
| EFG International AG * | | | 149,050 | | | | 1,550 | |
| | | | | | | | | |
| Communications Equipment 0.53% | | | | | | | | |
| Ascom Holding AG | | | | | | | | |
| Registered Shares | | | 170,833 | | | | 2,507 | |
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| Household Durables 1.31% | | | | | | | | |
| Forbo Holding AG Registered Shares * | | | 5,905 | | | $ | 6,128 | |
| Total Switzerland | | | | | | | 10,185 | |
| | | | | | | | | |
| Taiwan 1.16% | | | | | | | | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Epistar Corp. | | | 3,019,000 | | | | 5,459 | |
| | | | | | | | | |
| United Kingdom 21.27% | | | | | | | | |
| | | | | | | | | |
| Capital Markets 2.47% | | | | | | | | |
| Ashmore Group plc | | | 1,326,429 | | | | 6,773 | |
| Jupiter Fund Management plc | | | 840,928 | | | | 4,823 | |
| | | | | | | | 11,596 | |
| | | | | | | | | |
| Chemicals 0.95% | | | | | | | | |
| Essentra plc | | | 405,716 | | | | 4,467 | |
| | | | | | | | | |
| Communications Equipment 0.74% | | | | | | | | |
| Telit Communications plc * | | | 914,329 | | | | 3,473 | |
| | | | | | | | | |
| Diversified Financial Services 1.80% | | | | | | | | |
| Arrow Global Group plc | | | 2,070,544 | | | | 8,452 | |
| | | | | | | | | |
| Health Care Providers & Services 1.63% | | | | | | | | |
| Synergy Health plc | | | 256,177 | | | | 7,663 | |
| | | | | | | | | |
| Household Durables 1.14% | | | | | | | | |
| Berkeley Group Holdings plc | | | 146,012 | | | | 5,340 | |
| | | | | | | | | |
| Independent Power and Renewable Electricity Producer 0.48% | | | | | | | | |
| APR Energy plc | | | 389,841 | | | | 2,266 | |
| | | | | | | | | |
| Information Technology Services 0.84% | | | | | | | | |
| Innovation Group plc | | | 9,050,100 | | | | 3,917 | |
| | | | | | | | | |
| Insurance 1.97% | | | | | | | | |
| Catlin Group Ltd. | | | 745,164 | | | | 6,402 | |
| Just Retirement Group plc * | | | 1,324,124 | | | | 2,817 | |
| | | | | | | | 9,219 | |
| 54 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2014
| | | | | | U.S. $ | |
| | | | | | Fair Value | |
| Investments | | Shares | | | (000) | |
| United Kingdom (continued) | | | | | | | | |
| | | | | | | | | |
| Multi-Line Retail 1.80% | | | | | | | | |
| B&M European Value | | | | | | | | |
| Retail SA * | | | 1,221,399 | | | $ | 4,888 | |
| Poundland Group plc * | | | 710,384 | | | | 3,580 | |
| | | | | | | | 8,468 | |
| Oil, Gas & Consumable Fuels 0.99% | | | | | | | | |
| Genel Energy plc * | | | 239,667 | | | | 2,696 | |
| Ophir Energy plc * | | | 653,833 | | | | 1,941 | |
| | | | | | | | 4,637 | |
| Professional Services 3.14% | | | | | | | | |
| Exova Group plc * | | | 1,666,655 | | | | 4,526 | |
| Hays plc | | | 1,808,574 | | | | 3,572 | |
| Michael Page International plc | | | 1,061,117 | | | | 6,616 | |
| | | | | | | | 14,714 | |
| Software 1.02% | | | | | | | | |
| Playtech plc | | | 162,340 | | | | 1,839 | |
| Tungsten Corp. plc * | | | 614,443 | | | | 2,950 | |
| | | | | | | | 4,789 | |
| Specialty Retail 0.78% | | | | | | | | |
| Howden Joinery Group plc | | | 668,078 | | | | 3,666 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 0.68% | | | | | | | | |
| Jimmy Choo plc * | | | 1,423,571 | | | | 3,194 | |
| | | | | | | | | |
| Trading Companies & Distributors 0.84% | | | | | | | | |
| Diploma plc | | | 354,796 | | | | 3,947 | |
| Total United Kingdom | | | | | | | 99,808 | |
Total Common Stocks
(cost $443,608,658) | | | | | | | 449,067 | |
| | | | | | | | | |
| PREFERRED STOCK 1.03% | | | | | | | | |
| | | | | | | | | |
| Germany | | | | | | | | |
| | | | | | | | | |
| Machinery | | | | | | | | |
Jungheinrich AG
(cost $6,198,801) | | | 85,354 | | | | 4,826 | |
Total Long-Term Investments
(cost $449,807,459) | | | | | | | 453,893 | |
| | | Principal | | | U.S. $ | |
| | | Amount | | | Fair Value | |
| Investments | | (000) | | | (000) | |
| SHORT-TERM INVESTMENT 1.64% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2014, Zero Coupon due 11/3/2014 with Fixed Income Clearing Corp. collateralized by $8,075,000 of U.S. Treasury Note at 1.00% due 9/30/2019; value: $7,842,844; proceeds: $7,687,447
(cost $7,687,447) | | $ | 7,687 | | | $ | 7,687 | |
Total Investments in Securities 98.38%
(cost $457,494,906) | | | | | | | 461,580 | |
| Foreign Cash and Other Assets in Excess of Liabilities(a) 1.62% | | | | | | | 7,584 | |
| Net Assets 100.00% | | | | | | $ | 469,164 | |
| GDR | | Global Depositary Receipt. |
| * | | Non-income producing security. |
| † | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. |
| (a) | | Foreign Cash and Other Assets in Excess of Liabilities include net unrealized depreciation on forward foreign currency exchange contracts as follows: |
| | See Notes to Financial Statements. | 55 |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2014
Open Forward Foreign Currency Exchange Contracts at October 31, 2014:
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | Unrealized
Appreciation | |
| Australian dollar | | Buy | | Morgan Stanley | | 2/17/2015 | | 2,434,000 | | $ | 2,123,043 | | | $ | 2,126,040 | | | $ | 2,997 | |
| British pound | | Buy | | J.P. Morgan | | 11/26/2014 | | 425,000 | | | 679,159 | | | | 679,751 | | | | 592 | |
| Australian dollar | | Sell | | Morgan Stanley | | 12/11/2014 | | 780,000 | | | 690,014 | | | | 684,634 | | | | 5,380 | |
| British pound | | Sell | | Goldman Sachs | | 11/26/2014 | | 11,100,000 | | | 18,851,774 | | | | 17,753,501 | | | | 1,098,273 | |
| British pound | | Sell | | Morgan Stanley | | 2/17/2015 | | 3,520,000 | | | 5,693,076 | | | | 5,625,959 | | | | 67,117 | |
| Canadian dollar | | Sell | | Citibank | | 12/22/2014 | | 1,050,000 | | | 936,106 | | | | 930,508 | | | | 5,598 | |
| euro | | Sell | | Goldman Sachs | | 1/12/2015 | | 1,895,000 | | | 2,443,340 | | | | 2,375,795 | | | | 67,545 | |
| euro | | Sell | | Goldman Sachs | | 1/12/2015 | | 1,165,000 | | | 1,501,504 | | | | 1,460,581 | | | | 40,923 | |
| euro | | Sell | | J.P. Morgan | | 1/12/2015 | | 1,150,000 | | | 1,489,720 | | | | 1,441,775 | | | | 47,945 | |
| euro | | Sell | | J.P. Morgan | | 1/12/2015 | | 1,150,000 | | | 1,487,132 | | | | 1,441,775 | | | | 45,357 | |
| euro | | Sell | | Morgan Stanley | | 1/12/2015 | | 1,160,000 | | | 1,502,100 | | | | 1,454,313 | | | | 47,787 | |
| euro | | Sell | | UBS AG | | 1/12/2015 | | 1,910,000 | | | 2,471,494 | | | | 2,394,601 | | | | 76,893 | |
| Indian rupee | | Sell | | J.P. Morgan | | 11/25/2014 | | 124,000,000 | | | 2,033,120 | | | | 2,014,262 | | | | 18,858 | |
| Indian rupee | | Sell | | Morgan Stanley | | 11/25/2014 | | 158,000,000 | | | 2,576,353 | | | | 2,566,560 | | | | 9,793 | |
| Japanese yen | | Sell | | Citibank | | 12/16/2014 | | 100,000,000 | | | 927,421 | | | | 890,656 | | | | 36,765 | |
| Japanese yen | | Sell | | Goldman Sachs | | 12/16/2014 | | 97,000,000 | | | 897,478 | | | | 863,937 | | | | 33,541 | |
| Japanese yen | | Sell | | J.P. Morgan | | 12/16/2014 | | 70,000,000 | | | 647,521 | | | | 623,459 | | | | 24,062 | |
| Japanese yen | | Sell | | J.P. Morgan | | 12/16/2014 | | 80,000,000 | | | 734,426 | | | | 712,525 | | | | 21,901 | |
| Japanese yen | | Sell | | J.P. Morgan | | 12/16/2014 | | 115,000,000 | | | 1,072,517 | | | | 1,024,255 | | | | 48,262 | |
| Japanese yen | | Sell | | J.P. Morgan | | 12/16/2014 | | 200,000,000 | | | 1,955,569 | | | | 1,781,313 | | | | 174,256 | |
| Japanese yen | | Sell | | Morgan Stanley | | 12/16/2014 | | 265,000,000 | | | 2,426,714 | | | | 2,360,239 | | | | 66,475 | |
| Japanese yen | | Sell | | Morgan Stanley | | 12/16/2014 | | 92,000,000 | | | 862,729 | | | | 819,404 | | | | 43,325 | |
| Japanese yen | | Sell | | Morgan Stanley | | 12/16/2014 | | 82,000,000 | | | 757,072 | | | | 730,338 | | | | 26,734 | |
| Japanese yen | | Sell | | Morgan Stanley | | 12/16/2014 | | 130,000,000 | | | 1,195,742 | | | | 1,157,853 | | | | 37,889 | |
| Japanese yen | | Sell | | Morgan Stanley | | 12/16/2014 | | 90,000,000 | | | 825,277 | | | | 801,591 | | | | 23,686 | |
| Japanese yen | | Sell | | Morgan Stanley | | 12/16/2014 | | 212,000,000 | | | 1,953,158 | | | | 1,888,192 | | | | 64,966 | |
| Japanese yen | | Sell | | Morgan Stanley | | 12/16/2014 | | 184,000,000 | | | 1,717,328 | | | | 1,638,808 | | | | 78,520 | |
| Japanese yen | | Sell | | Morgan Stanley | | 12/16/2014 | | 282,000,000 | | | 2,686,665 | | | | 2,511,651 | | | | 175,014 | |
| Japanese yen | | Sell | | Morgan Stanley | | 12/16/2014 | | 127,000,000 | | | 1,225,164 | | | | 1,131,134 | | | | 94,030 | |
| Japanese yen | | Sell | | Morgan Stanley | | 12/16/2014 | | 145,000,000 | | | 1,413,320 | | | | 1,291,452 | | | | 121,868 | |
| Japanese yen | | Sell | | Morgan Stanley | | 3/5/2015 | | 545,000,000 | | | 4,867,070 | | | | 4,858,751 | | | | 8,319 | |
| New Zealand dollar | | Sell | | Goldman Sachs | | 1/16/2015 | | 5,140,000 | | | 4,140,650 | | | | 3,978,250 | | | | 162,400 | |
| Philippine peso | | Sell | | Morgan Stanley | | 1/12/2015 | | 226,000,000 | | | 5,129,718 | | | | 5,017,391 | | | | 112,327 | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | $ | 2,889,398 | |
| 56 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2014
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Depreciation | |
| Australian dollar | | Buy | | J.P. Morgan | | 12/11/2014 | | 5,125,000 | | $ | 4,712,156 | | | $ | 4,498,396 | | | $ | (213,760 | ) |
| Australian dollar | | Buy | | J.P. Morgan | | 2/17/2015 | | 2,433,000 | | | 2,128,680 | | | | 2,125,167 | | | | (3,513 | ) |
| Australian dollar | | Buy | | Morgan Stanley | | 1/16/2015 | | 1,110,000 | | | 977,793 | | | | 971,796 | | | | (5,997 | ) |
| Australian dollar | | Buy | | Morgan Stanley | | 1/16/2015 | | 4,865,000 | | | 4,362,028 | | | | 4,259,269 | | | | (102,759 | ) |
| Australian dollar | | Buy | | Morgan Stanley | | 2/17/2015 | | 2,433,000 | | | 2,125,310 | | | | 2,125,167 | | | | (143 | ) |
| Canadian dollar | | Buy | | Goldman Sachs | | 12/22/2014 | | 7,200,000 | | | 6,561,698 | | | | 6,380,629 | | | | (181,069 | ) |
| Canadian dollar | | Buy | | Goldman Sachs | | 1/22/2015 | | 25,650,000 | | | 23,317,567 | | | | 22,713,019 | | | | (604,548 | ) |
| euro | | Buy | | J.P. Morgan | | 1/12/2015 | | 1,280,000 | | | 1,618,613 | | | | 1,604,759 | | | | (13,854 | ) |
| euro | | Buy | | Morgan Stanley | | 1/12/2015 | | 1,765,000 | | | 2,240,770 | | | | 2,212,812 | | | | (27,958 | ) |
| euro | | Buy | | Morgan Stanley | | 1/12/2015 | | 1,115,000 | | | 1,413,735 | | | | 1,397,895 | | | | (15,840 | ) |
| euro | | Buy | | Morgan Stanley | | 1/12/2015 | | 3,190,000 | | | 4,026,865 | | | | 3,999,360 | | | | (27,505 | ) |
| Japanese yen | | Buy | | J.P. Morgan | | 12/16/2014 | | 280,000,000 | | | 2,612,857 | | | | 2,493,838 | | | | (119,019 | ) |
| Japanese yen | | Buy | | Morgan Stanley | | 12/16/2014 | | 211,000,000 | | | 1,956,131 | | | | 1,879,285 | | | | (76,846 | ) |
| Japanese yen | | Buy | | UBS AG | | 12/16/2014 | | 175,000,000 | | | 1,596,351 | | | | 1,558,649 | | | | (37,702 | ) |
| New Zealand dollar | | Buy | | J.P. Morgan | | 1/16/2015 | | 915,000 | | | 731,682 | | | | 708,190 | | | | (23,492 | ) |
| South Korean won | | Buy | | Barclays Bank plc | | 2/9/2015 | | 9,420,000,000 | | | 8,781,661 | | | | 8,735,577 | | | | (46,084 | ) |
| South Korean won | | Buy | | UBS AG | | 12/17/2014 | | 13,225,000,000 | | | 12,925,137 | | | | 12,288,253 | | | | (636,884 | ) |
| Swiss franc | | Buy | | Morgan Stanley | | 11/17/2014 | | 1,840,000 | | | 2,035,141 | | | | 1,912,573 | | | | (122,568 | ) |
| Swiss franc | | Buy | | UBS AG | | 11/17/2014 | | 17,985,000 | | | 20,156,974 | | | | 18,694,364 | | | | (1,462,610 | ) |
| Australian dollar | | Sell | | Goldman Sachs | | 12/11/2014 | | 790,000 | | | 691,495 | | | | 693,411 | | | | (1,916 | ) |
| Australian dollar | | Sell | | Morgan Stanley | | 12/11/2014 | | 755,000 | | | 659,724 | | | | 662,691 | | | | (2,967 | ) |
| Canadian dollar | | Sell | | J.P. Morgan | | 12/22/2014 | | 1,020,000 | | | 899,490 | | | | 903,922 | | | | (4,432 | ) |
| Indian rupee | | Sell | | Morgan Stanley | | 11/25/2014 | | 158,000,000 | | | 2,564,769 | | | | 2,566,560 | | | | (1,791 | ) |
| Indonesian rupiah Sell | | | | Barclays Bank plc | | 2/10/2015 | | 33,450,000,000 | | | 2,655,647 | | | | 2,720,730 | | | | (65,083 | ) |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | $ | (3,798,340 | ) |
| | See Notes to Financial Statements. | 57 |
Schedule of Investments (concluded)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2014
The following is a summary of the inputs used as of October 31, 2014 in valuing the Fund’s investments carried at fair value(1):
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Type(2) | | (000) | | | (000) | | | (000) | | | (000) | |
| Common Stocks(3) | | | | | | | | | | | | | | | | |
| Australia | | $ | 2,111 | | | $ | 11,010 | | | $ | — | | | $ | 13,121 | |
| Austria | | | — | | | | 2,330 | | | | — | | | | 2,330 | |
| Belgium | | | — | | | | 1,729 | | | | — | | | | 1,729 | |
| Brazil | | | 4,346 | | | | — | | | | — | | | | 4,346 | |
| Canada | | | 10,722 | | | | — | | | | — | | | | 10,722 | |
| China | | | — | | | | 12,220 | | | | — | | | | 12,220 | |
| Finland | | | — | | | | 6,921 | | | | — | | | | 6,921 | |
| France | | | — | | | | 8,173 | | | | — | | | | 8,173 | |
| Georgia | | | — | | | | 4,983 | | | | — | | | | 4,983 | |
| Germany | | | — | | | | 39,927 | | | | — | | | | 39,927 | |
| Greece | | | — | | | | 2,040 | | | | — | | | | 2,040 | |
| Hong Kong | | | 2,972 | | | | 18,124 | | | | — | | | | 21,096 | |
| India | | | — | | | | 12,658 | | | | — | | | | 12,658 | |
| Indonesia | | | 1,898 | | | | 1,703 | | | | — | | | | 3,601 | |
| Ireland | | | 5,997 | | | | — | | | | — | | | | 5,997 | |
| Israel | | | — | | | | 4,539 | | | | — | | | | 4,539 | |
| Italy | | | — | | | | 9,390 | | | | — | | | | 9,390 | |
| Japan | | | — | | | | 100,613 | | | | — | | | | 100,613 | |
| Luxembourg | | | 3,914 | | | | — | | | | — | | | | 3,914 | |
| Mexico | | | 4,174 | | | | — | | | | — | | | | 4,174 | |
| Netherlands | | | — | | | | 20,854 | | | | — | | | | 20,854 | |
| New Zealand | | | — | | | | 4,537 | | | | — | | | | 4,537 | |
| Philippines | | | — | | | | 8,632 | | | | — | | | | 8,632 | |
| Portugal | | | — | | | | 5,409 | | | | — | | | | 5,409 | |
| Spain | | | — | | | | 4,083 | | | | — | | | | 4,083 | |
| Sweden | | | 7,930 | | | | 9,676 | | | | — | | | | 17,606 | |
| Switzerland | | | 6,128 | | | | 4,057 | | | | — | | | | 10,185 | |
| Taiwan | | | — | | | | 5,459 | | | | — | | | | 5,459 | |
| United Kingdom | | | 18,064 | | | | 81,744 | | | | — | | | | 99,808 | |
| Preferred Stock | | | — | | | | 4,826 | | | | — | | | | 4,826 | |
| Repurchase Agreement | | | — | | | | 7,687 | | | | — | | | | 7,687 | |
| Total | | $ | 68,256 | | | $ | 393,324 | | | $ | — | | | $ | 461,580 | |
| | | | | | | | | | | | | | | | | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | — | | | $ | 2,889 | | | $ | — | | | $ | 2,889 | |
| Liabilities | | | — | | | | (3,798 | ) | | | — | | | | (3,798 | ) |
| Total | | $ | — | | | $ | (909 | ) | | $ | — | | | $ | (909 | ) |
| (1) | Refer to Note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | As of October 31, 2014, the Fund utilized adjusted valuation for the majority of foreign securities (as described in Note 2(a)) which resulted in Level 2 inputs for these foreign securities. As of October 31, 2013, the Fund utilized the last sale or official closing price on the exchange or system on which the foreign securities are principally traded which resulted in Level 1 inputs for all foreign securities. For the fiscal year ended October 31, 2014, the total securities transferred from Level 1 to Level 2 were $238,771,955. |
| 58 | See Notes to Financial Statements. | |
Schedule of Investments
VALUE OPPORTUNITIES FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| COMMON STOCKS 99.69% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 0.80% | | | | | | | | |
| Esterline Technologies Corp.* | | | 214,100 | | | $ | 25,073 | |
| | | | | | | | | |
| Banks 11.63% | | | | | | | | |
| Bank of Hawaii Corp. | | | 583,400 | | | | 34,158 | |
| CIT Group, Inc. | | | 752,100 | | | | 36,800 | |
| Citizens Financial Group, Inc.* | | | 1,084,811 | | | | 25,623 | |
| City National Corp. | | | 299,315 | | | | 23,559 | |
| Comerica, Inc. | | | 492,457 | | | | 23,510 | |
| East West Bancorp, Inc. | | | 1,089,356 | | | | 40,045 | |
| First Republic Bank | | | 514,100 | | | | 26,183 | |
| PacWest Bancorp | | | 1,560,800 | | | | 66,584 | |
| Signature Bank* | | | 354,411 | | | | 42,930 | |
| Western Alliance Bancorp* | | | 1,684,694 | | | | 44,846 | |
| Total | | | | | | | 364,238 | |
| | | | | | | | | |
| Capital Markets 2.57% | | | | | | | | |
| Ares Management LP | | | 1,713,084 | | | | 27,204 | |
| Moelis & Co. | | | 510,700 | | | | 17,445 | |
| Raymond James Financial, Inc. | | | 636,183 | | | | 35,709 | |
| Total | | | | | | | 80,358 | |
| | | | | | | | | |
| Chemicals 1.11% | | | | | | | | |
| Albemarle Corp. | | | 593,800 | | | | 34,666 | |
| | | | | | | | | |
| Commercial Services & Supplies 0.36% | | | | | | | | |
| KAR Auction Services, Inc. | | | 370,811 | | | | 11,258 | |
| | | | | | | | | |
| Construction & Engineering 1.31% | | | | | | | | |
| Jacobs Engineering Group, Inc.* | | | 866,862 | | | | 41,133 | |
| | | | | | | | | |
| Containers & Packaging 3.67% | | | | | | | | |
| Berry Plastics Group, Inc.* | | | 1,387,932 | | | | 36,114 | |
| Rock-Tenn Co. Class A | | | 883,800 | | | | 45,206 | |
| Sealed Air Corp. | | | 929,300 | | | | 33,687 | |
| Total | | | | | | | 115,007 | |
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Diversified Telecommunication Services 0.57% | | | | | | | | |
| Zayo Group Holdings, Inc.* | | | 759,583 | | | $ | 17,782 | |
| | | | | | | | | |
| Electric: Utilities 2.95% | | | | | | | | |
| ITC Holdings Corp. | | | 1,052,300 | | | | 41,682 | |
| Portland General Electric Co. | | | 1,393,600 | | | | 50,741 | |
| Total | | | | | | | 92,423 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 0.82% | | | | | | | | |
| Amphenol Corp. Class A | | | 510,600 | | | | 25,826 | |
| | | | | | | | | |
| Energy Equipment & Services 3.68% | | | | | | | | |
| Bristow Group, Inc. | | | 424,900 | | | | 31,400 | |
| Frank’s International NV (Netherlands)(a) | | | 818,400 | | | | 14,101 | |
| Gulfmark Offshore, Inc. Class A | | | 735,296 | | | | 22,176 | |
| Helix Energy Solutions Group, Inc.* | | | 1,213,500 | | | | 32,328 | |
| Superior Energy Services, Inc. | | | 603,300 | | | | 15,173 | |
| Total | | | | | | | 115,178 | |
| | | | | | | | | |
| Food Products 2.42% | | | | | | | | |
| Bunge Ltd. | | | 312,400 | | | | 27,694 | |
| Pinnacle Foods, Inc. | | | 1,421,451 | | | | 48,045 | |
| Total | | | | | | | 75,739 | |
| | | | | | | | | |
| Health Care Providers & Services 4.80% | | | | | | | | |
| Community Health Systems, Inc.* | | | 702,200 | | | | 38,600 | |
| ExamWorks Group, Inc.* | | | 986,566 | | | | 38,259 | |
| MEDNAX, Inc.* | | | 541,300 | | | | 33,793 | |
| Team Health Holdings, Inc.* | | | 631,900 | | | | 39,519 | |
| Total | | | | | | | 150,171 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 2.45% | | | | | | | | |
| Bloomin’ Brands, Inc.* | | | 1,999,200 | | | | 37,805 | |
| Sonic Corp.* | | | 1,538,200 | | | | 38,778 | |
| Total | | | | | | | 76,583 | |
| | See Notes to Financial Statements. | 59 |
Schedule of Investments (continued)
VALUE OPPORTUNITIES FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Household Durables 2.80% | | | | | | | | |
| Jarden Corp.* | | | 882,500 | | | $ | 57,442 | |
| Lennar Corp. Class A | | | 702,450 | | | | 30,261 | |
| Total | | | | | | | 87,703 | |
| | | | | | | | | |
| Information Technology Services 8.03% | | | | | | | | |
| Acxiom Corp.* | | | 1,319,536 | | | | 24,860 | |
| Amdocs Ltd. | | | 634,698 | | | | 30,174 | |
| Cardtronics, Inc.* | | | 859,400 | | | | 32,992 | |
| Fidelity National Information Services, Inc. | | | 735,136 | | | | 42,925 | |
| iGATE Corp.* | | | 1,196,900 | | | | 44,345 | |
| MAXIMUS, Inc. | | | 66,222 | | | | 3,209 | |
| Sapient Corp.* | | | 1,807,527 | | | | 31,306 | |
| Vantiv, Inc. Class A* | | | 1,342,600 | | | | 41,513 | |
| Total | | | | | | | 251,324 | |
| | | | | | | | | |
| Insurance 5.65% | | | | | | | | |
| Arch Capital Group Ltd.* | | | 544,706 | | | | 30,678 | |
| Hartford Financial Services Group, Inc. (The) | | | 1,009,535 | | | | 39,957 | |
| HCC Insurance Holdings, Inc. | | | 1,205,125 | | | | 62,896 | |
| Markel Corp.* | | | 62,913 | | | | 43,466 | |
| Total | | | | | | | 176,997 | |
| | | | | | | | | |
| Internet Software & Services 2.23% | | | | | | | | |
| Akamai Technologies, Inc.* | | | 1,156,500 | | | | 69,737 | |
| | | | | | | | | |
| Leisure Product 0.95% | | | | | | | | |
| Brunswick Corp. | | | 634,900 | | | | 29,713 | |
| | | | | | | | | |
| Life Sciences Tools & Services 2.63% | | | | | | | | |
| PerkinElmer, Inc. | | | 988,200 | | | | 42,908 | |
| Quintiles Transnational Holdings, Inc.* | | | 672,249 | | | | 39,353 | |
| Total | | | | | | | 82,261 | |
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Machinery 4.91% | | | | | | | | |
| Joy Global, Inc. | | | 511,800 | | | $ | 26,936 | |
| Rexnord Corp.* | | | 911,400 | | | | 26,932 | |
| Snap-on, Inc. | | | 289,400 | | | | 38,241 | |
| WABCO Holdings, Inc.* | | | 272,900 | | | | 26,575 | |
| Xylem, Inc. | | | 960,399 | | | | 34,920 | |
| Total | | | | | | | 153,604 | |
| | | | | | | | | |
| Media 1.59% | | | | | | | | |
| AMC Networks, Inc. Class A* | | | 265,900 | | | | 16,127 | |
| New York Times Co. (The) Class A | | | 2,630,364 | | | | 33,774 | |
| Total | | | | | | | 49,901 | |
| | | | | | | | | |
| Metals & Mining 2.63% | | | | | | | | |
| Allegheny Technologies, Inc. | | | 1,096,600 | | | | 36,023 | |
| Reliance Steel & Aluminum Co. | | | 687,500 | | | | 46,393 | |
| Total | | | | | | | 82,416 | |
| | | | | | | | | |
| Multi-Utilities 1.46% | | | | | | | | |
| CMS Energy Corp. | | | 1,404,000 | | | | 45,869 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 2.19% | | | | | | | | |
| Cimarex Energy Co. | | | 123,103 | | | | 13,993 | |
| EQT Corp. | | | 258,200 | | | | 24,281 | |
| Rice Energy, Inc.* | | | 1,151,778 | | | | 30,442 | |
| Total | | | | | | | 68,716 | |
| | | | | | | | | |
| Pharmaceuticals 0.51% | | | | | | | | |
| Actavis plc* | | | 65,520 | | | | 15,904 | |
| | | | | | | | | |
| Professional Services 1.21% | | | | | | | | |
| Robert Half International, Inc. | | | 689,860 | | | | 37,791 | |
| 60 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
VALUE OPPORTUNITIES FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Real Estate Investment Trusts 6.17% | | | | | | | | |
| American Campus Communities, Inc. | | | 1,029,000 | | | $ | 40,409 | |
| BioMed Realty Trust, Inc. | | | 1,750,175 | | | | 38,014 | |
| Camden Property Trust | | | 625,500 | | | | 47,957 | |
| Federal Realty Investment Trust | | | 251,075 | | | | 33,091 | |
| Highwoods Properties, Inc. | | | 786,000 | | | | 33,696 | |
| Total | | | | | | | 193,167 | |
| | | | | | | | | |
| Real Estate Management & Development 0.92% | | | | | | | | |
| Realogy Holdings Corp.* | | | 701,826 | | | | 28,782 | |
| | | | | | | | | |
| Road & Rail 3.03% | | | | | | | | |
| Genesee & Wyoming, Inc. Class A* | | | 367,800 | | | | 35,382 | |
| Ryder System, Inc. | | | 672,300 | | | | 59,479 | |
| Total | | | | | | | 94,861 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 4.13% | | | | | | | | |
| Lam Research Corp. | | | 406,956 | | | | 31,686 | |
| Marvell Technology Group Ltd. | | | 4,167,800 | | | | 56,015 | |
| Synaptics, Inc.* | | | 607,778 | | | | 41,590 | |
| Total | | | | | | | 129,291 | |
| | | | | | | | | |
| Software 0.91% | | | | | | | | |
| Rovi Corp.* | | | 1,365,800 | | | | 28,518 | |
| | | | | | | | | |
| Specialty Retail 4.24% | | | | | | | | |
| CST Brands, Inc. | | | 826,500 | | | | 31,614 | |
| Genesco, Inc.* | | | 356,199 | | | | 27,317 | |
| Penske Automotive Group, Inc. | | | 347,000 | | | | 15,698 | |
| Sally Beauty Holdings, Inc.* | | | 1,132,900 | | | | 33,205 | |
| Urban Outfitters, Inc.* | | | 821,200 | | | | 24,932 | |
| Total | | | | | | | 132,766 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 0.67% | | | | | | | | |
| PVH Corp. | | | 183,499 | | | | 20,983 | |
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Thrifts & Mortgage Finance 1.03% | | | | | | | | |
| Essent Group Ltd.* | | | 1,328,905 | | | $ | 32,346 | |
| | | | | | | | | |
| Trading Companies & Distributors 0.97% | | | | | | | | |
| United Rentals, Inc.* | | | 275,500 | | | | 30,322 | |
| | | | | | | | | |
| Water Utilities 1.69% | | | | | | | | |
| American Water Works Co., Inc. | | | 991,918 | | | | 52,939 | |
Total Common Stocks
(cost $2,521,509,000) | | | | | | | 3,121,346 | |
| | | Principal | | | | |
| | | Amount | | | | |
| | | (000) | | | | |
| SHORT-TERM INVESTMENT 0.19% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2014, Zero Coupon due 11/3/2014 with Fixed Income Clearing Corp. collateralized by $6,145,000 of U.S. Treasury Note at 1.875% due 6/30/2020; value: $6,221,813; proceeds: $6,099,367
(cost $6,099,367) | | $ | 6,099 | | | | 6,099 | |
Total Investments in Securities 99.88%
(cost $2,527,608,367) | | | | | | | 3,127,445 | |
| Other Assets in Excess of Liabilities 0.12% | | | | | | | 3,745 | |
| Net Assets 100.00% | | | | | | $ | 3,131,190 | |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
| | See Notes to Financial Statements. | 61 |
Schedule of Investments (concluded)
VALUE OPPORTUNITIES FUND October 31, 2014
The following is a summary of the inputs used as of October 31, 2014 in valuing the Fund’s investments carried at fair value(1):
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Type(2)(3) | | (000) | | | (000) | | | (000) | | | (000) | |
| Common Stocks | | $ | 3,121,346 | | | $ | — | | | $ | — | | | $ | 3,121,346 | |
| Repurchase Agreement | | | — | | | | 6,099 | | | | — | | | | 6,099 | |
| Total | | $ | 3,121,346 | | | $ | 6,099 | | | $ | — | | | $ | 3,127,445 | |
| (1) | Refer to note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | There were no level transfers during the fiscal year ended October 31, 2014. |
| 62 | See Notes to Financial Statements. | |
This page is intentionally left blank.
Statements of Assets and Liabilities
October 31, 2014
| | | Alpha Strategy | | | Fundamental | | | Growth | |
| | | Fund | | | Equity Fund | | | Leaders Fund | |
| ASSETS: | | | | | | | | | |
| Investments in securities, at cost | | $ | 995,608,281 | | | $ | 4,593,803,096 | | | $ | 1,250,900,287 | |
| Investments in securities, at fair value | | $ | 1,282,530,314 | | | $ | 5,312,755,435 | | | $ | 1,332,392,878 | |
| Segregated cash held at custodian | | | — | | | | — | | | | — | |
| Foreign cash, at value (cost $0, $0, $0, $497,866, $12,142,479, $6,648,643 and $0, respectively) | | | — | | | | — | | | | — | |
| Receivables: | | | | | | | | | | | | |
| Investment securities sold | | | — | | | | 126,845,061 | | | | 61,976,898 | |
| Interest and dividends | | | — | | | | 3,563,349 | | | | 398,314 | |
| Capital shares sold | | | 2,113,723 | | | | 2,613,346 | | | | 13,505,377 | |
| From advisor (See Note 3) | | | — | | | | — | | | | 301,032 | |
| From affiliates (See Note 3) | | | 204,506 | | | | — | | | | — | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | |
| Prepaid expenses and other assets | | | 50,168 | | | | 121,104 | | | | 70,047 | |
| Total assets | | | 1,284,898,711 | | | | 5,445,898,295 | | | | 1,408,644,546 | |
| LIABILITIES: | | | | | | | | | | | | |
| Payables: | | | | | | | | | | | | |
| Investment securities purchased | | | — | | | | 118,034,529 | | | | 85,247,631 | |
| Capital shares reacquired | | | 1,739,536 | | | | 16,920,255 | | | | 1,623,442 | |
| 12b-1 distribution fees | | | 491,137 | | | | 2,058,281 | | | | 420,004 | |
| Management fee | | | — | | | | 2,307,382 | | | | 576,313 | |
| Trustees’ fees | | | 121,406 | | | | 767,833 | | | | 51,249 | |
| Fund administration | | | — | | | | 178,136 | | | | 41,914 | |
| To bank | | | — | | | | — | | | | 5,000 | |
| To affiliates (See Note 3) | | | — | | | | 7,290 | | | | 7,283 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | |
| Accrued expenses | | | 386,778 | | | | 1,431,779 | | | | 381,473 | |
| Total liabilities | | | 2,738,857 | | | | 141,705,485 | | | | 88,354,309 | |
| NET ASSETS | | $ | 1,282,159,854 | | | $ | 5,304,192,810 | | | $ | 1,320,290,237 | |
| COMPOSITION OF NET ASSETS: | | | | | | | | | | | | |
| Paid-in capital | | $ | 888,478,139 | | | $ | 3,673,226,543 | | | $ | 1,186,426,105 | |
| Undistributed (distributions in excess of) net investment income | | | (3,326,317 | ) | | | 18,610,883 | | | | (275,172 | ) |
| Accumulated net realized gain (loss) on investments, futures contracts and foreign currency related transactions | | | 110,085,999 | | | | 893,403,045 | | | | 52,646,713 | |
| Net unrealized appreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies | | | 286,922,033 | | | | 718,952,339 | | | | 81,492,591 | |
| Net Assets | | $ | 1,282,159,854 | | | $ | 5,304,192,810 | | | $ | 1,320,290,237 | |
| 64 | See Notes to Financial Statements. | |
| | International | | | International | | | International | | | Value | |
| | Core Equity | | | Dividend | | | Opportunities | | | Opportunities | |
| | Fund | | | Income Fund | | | Fund | | | Fund | |
| | | | | | | | | | | | |
| | $ | 591,116,459 | | | $ | 2,389,562,975 | | | $ | 457,494,906 | | | $ | 2,527,608,367 | |
| | $ | 620,517,276 | | | $ | 2,433,198,479 | | | $ | 461,580,186 | | | $ | 3,127,445,124 | |
| | | 1,960,000 | | | | 1,420,000 | | | | 1,400,000 | | | | — | |
| | | | | | | | | | | | | | | | |
| | | 496,282 | | | | 12,142,313 | | | | 6,036,593 | | | | — | |
| | | | | | | | | | | | | | | | |
| | | 4,111,283 | | | | 6,987,399 | | | | 4,198,812 | | | | 24,169,362 | |
| | | 2,005,735 | | | | 6,668,332 | | | | 776,454 | | | | 511,857 | |
| | | 524,835 | | | | 39,643,263 | | | | 337,082 | | | | 2,618,492 | |
| | | 119,651 | | | | 396,497 | | | | — | | | | — | |
| | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | | 4,117,140 | | | | 41,388,875 | | | | 2,889,398 | | | | — | |
| | | 27,163 | | | | 82,772 | | | | 27,429 | | | | 125,079 | |
| | | 633,879,365 | | | | 2,541,927,930 | | | | 477,245,954 | | | | 3,154,869,914 | |
| | | | | | | | | | | | | | | | |
| | | 3,204,437 | | | | 26,872,489 | | | | 3,069,196 | | | | 15,426,094 | |
| | | 1,334,346 | | | | 3,833,875 | | | | 556,625 | | | | 3,956,391 | |
| | | 168,224 | | | | 510,884 | | | | 71,944 | | | | 1,070,696 | |
| | | 362,119 | | | | 1,336,927 | | | | 293,657 | | | | 1,784,637 | |
| | | 144,490 | | | | 150,466 | | | | 64,235 | | | | 345,700 | |
| | | 20,693 | | | | 80,635 | | | | 15,662 | | | | 101,984 | |
| | | — | | | | — | | | | — | | | | — | |
| | | 5,675 | | | | 75,381 | | | | 39,756 | | | | 41,360 | |
| | | | | | | | | | | | | | | | |
| | | 3,998,207 | | | | 18,200,907 | | | | 3,798,340 | | | | — | |
| | | 297,833 | | | | 563,691 | | | | 172,287 | | | | 952,678 | |
| | | 9,536,024 | | | | 51,625,255 | | | | 8,081,702 | | | | 23,679,540 | |
| | $ | 624,343,341 | | | $ | 2,490,302,675 | | | $ | 469,164,252 | | | $ | 3,131,190,374 | |
| | | | | | | | | | | | | | | | |
| | $ | 790,324,652 | | | $ | 2,320,802,883 | | | $ | 448,562,624 | | | $ | 2,126,051,916 | |
| | | | | | | | | | | | | | | | |
| | | 5,141,251 | | | | (61,480 | ) | | | 5,107,725 | | | | (3,221,102 | ) |
| | | | | | | | | | | | | | | | |
| | | (200,567,224 | ) | | | 103,006,711 | | | | 12,958,936 | | | | 408,522,803 | |
| | | | | | | | | | | | | | | | |
| | | 29,444,662 | | | | 66,554,561 | | | | 2,534,967 | | | | 599,836,757 | |
| | $ | 624,343,341 | | | $ | 2,490,302,675 | | | $ | 469,164,252 | | | $ | 3,131,190,374 | |
| | See Notes to Financial Statements. | 65 |
Statements of Assets and Liabilities (concluded)
October 31, 2014
| | | Alpha Strategy
Fund | | | Fundamental
Equity Fund | | | Growth
Leaders Fund | |
| Net assets by class: | | | | | | | | | | | | |
| Class A Shares | | $ | 586,429,458 | | | $ | 2,683,789,562 | | | $ | 495,860,937 | |
| Class B Shares | | $ | 16,870,214 | | | $ | 45,474,972 | | | $ | 6,332,432 | |
| Class C Shares | | $ | 318,668,472 | | | $ | 986,381,091 | | | $ | 236,852,640 | |
| Class F Shares | | $ | 267,678,773 | | | $ | 793,101,370 | | | $ | 498,907,675 | |
| Class I Shares | | $ | 52,338,938 | | | $ | 449,869,667 | | | $ | 71,803,408 | |
| Class P Shares | | | — | | | $ | 21,373,031 | | | | — | |
| Class R2 Shares | | $ | 3,479,151 | | | $ | 19,744,146 | | | $ | 341,684 | |
| Class R3 Shares | | $ | 36,694,848 | | | $ | 304,458,971 | | | $ | 10,191,461 | |
| Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | | | | | | | | | | | | |
| Class A Shares | | | 18,097,635 | | | | 167,745,658 | | | | 21,487,613 | |
| Class B Shares | | | 566,629 | | | | 3,048,246 | | | | 277,861 | |
| Class C Shares | | | 10,798,863 | | | | 66,508,678 | | | | 10,493,291 | |
| Class F Shares | | | 8,238,799 | | | | 49,788,628 | | | | 21,529,238 | |
| Class I Shares | | | 1,594,998 | | | | 27,931,535 | | | | 3,091,554 | |
| Class P Shares | | | — | | | | 1,353,762 | | | | — | |
| Class R2 Shares | | | 109,381 | | | | 1,256,981 | | | | 14,748 | |
| Class R3 Shares | | | 1,149,361 | | | | 19,267,209 | | | | 442,441 | |
| Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | | | | | | | | | |
| Class A Shares-Net asset value | | | $32.40 | | | | $16.00 | | | | $23.08 | |
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) | | | $34.38 | | | | $16.98 | | | | $24.49 | |
| Class B Shares-Net asset value | | | $29.77 | | | | $14.92 | | | | $22.79 | |
| Class C Shares-Net asset value | | | $29.51 | | | | $14.83 | | | | $22.57 | |
| Class F Shares-Net asset value | | | $32.49 | | | | $15.93 | | | | $23.17 | |
| Class I Shares-Net asset value | | | $32.81 | | | | $16.11 | | | | $23.23 | |
| Class P Shares-Net asset value | | | — | | | | $15.79 | | | | — | |
| Class R2 Shares-Net asset value | | | $31.81 | | | | $15.71 | | | | $23.17 | |
| Class R3 Shares-Net asset value | | | $31.93 | | | | $15.80 | | | | $23.03 | |
| 66 | See Notes to Financial Statements. | |
| | International | | | International | | | International | | | Value | |
| | Core Equity | | | Dividend | | | Opportunities | | | Opportunities | |
| | Fund | | | Income Fund | | | Fund | | | Fund | |
| | | | | | | | | | | | | | | | |
| | $ | 368,087,165 | | | $ | 1,000,763,268 | | | $ | 117,037,443 | | | $ | 1,316,790,220 | |
| | $ | 11,125,736 | | | | — | | | $ | 3,998,768 | | | $ | 18,752,399 | |
| | $ | 49,490,638 | | | $ | 191,120,441 | | | $ | 21,867,542 | | | $ | 404,786,701 | |
| | $ | 78,363,806 | | | $ | 322,648,412 | | | $ | 44,607,296 | | | $ | 550,523,888 | |
| | $ | 95,958,472 | | | $ | 963,199,762 | | | $ | 274,583,294 | | | $ | 647,441,566 | |
| | $ | 150,445 | | | | — | | | $ | 871,816 | | | $ | 49,178,731 | |
| | $ | 1,010,822 | | | $ | 1,297,614 | | | $ | 198,199 | | | $ | 10,363,723 | |
| | $ | 20,156,257 | | | $ | 11,273,178 | | | $ | 5,999,894 | | | $ | 133,353,146 | |
| | | | | | | | | | | | | | | | |
| | | 27,599,456 | | | | 114,320,524 | | | | 7,214,931 | | | | 60,757,335 | |
| | | 845,991 | | | | — | | | | 260,142 | | | | 918,859 | |
| | | 3,766,153 | | | | 22,014,430 | | | | 1,436,092 | | | | 19,835,193 | |
| | | 5,911,085 | | | | 36,795,896 | | | | 2,768,680 | | | | 25,116,743 | |
| | | 7,139,043 | | | | 109,606,080 | | | | 16,513,211 | | | | 29,162,455 | |
| | | 11,304 | | | | — | | | | 52,951 | | | | 2,286,216 | |
| | | 76,080 | | | | 145,544 | | | | 12,351 | | | | 487,243 | |
| | | 1,534,001 | | | | 1,276,447 | | | | 375,634 | | | | 6,240,920 | |
| | | | | | | | | | | | | | | | |
| | | $13.34 | | | | $8.75 | | | | $16.22 | | | | $21.67 | |
| | | | | | | | | | | | | | | | |
| | | $14.15 | | | | $9.28 | | | | $17.21 | | | | $22.99 | |
| | | $13.15 | | | | — | | | | $15.37 | | | | $20.41 | |
| | | $13.14 | | | | $8.68 | | | | $15.23 | | | | $20.41 | |
| | | $13.26 | | | | $8.77 | | | | $16.11 | | | | $21.92 | |
| | | $13.44 | | | | $8.79 | | | | $16.63 | | | | $22.20 | |
| | | $13.31 | | | | — | | | | $16.46 | | | | $21.51 | |
| | | $13.29 | | | | $8.92 | | | | $16.05 | | | | $21.27 | |
| | | $13.14 | | | | $8.83 | | | | $15.97 | | | | $21.37 | |
| | See Notes to Financial Statements. | 67 |
Statements of Operations
For the Year Ended October 31, 2014
| | | Alpha Strategy
Fund | | | Fundamental
Equity Fund | | | Growth
Leaders Fund | |
| Investment income: | | | | | | | | | | | | |
| Dividends (net of foreign withholding taxes of $0, $0, $2,012, $1,582,087, $10,866,917, $853,127 and $50,360, respectively) | | $ | 3,980,842 | | | $ | 85,917,989 | | | $ | 8,292,108 | |
| Interest and other (net of foreign withholding taxes of $0, $0, $0, $0, $16,755, $0 and $0, respectively) | | | — | | | | — | | | | 2,974 | |
| Total investment income | | | 3,980,842 | | | | 85,917,989 | | | | 8,295,082 | |
| Expenses: | | | | | | | | | | | | |
| Management fee | | | 1,263,258 | | | | 29,922,303 | | | | 5,322,949 | |
| 12b-1 distribution plan-Class A | | | 1,512,162 | | | | 10,360,625 | | | | 1,032,146 | |
| 12b-1 distribution plan-Class B | | | 204,178 | | | | 545,000 | | | | 73,233 | |
| 12b-1 distribution plan-Class C | | | 3,136,538 | | | | 10,365,900 | | | | 1,606,019 | |
| 12b-1 distribution plan-Class F | | | 233,027 | | | | 759,899 | | | | 342,979 | |
| 12b-1 distribution plan-Class P | | | — | | | | 113,135 | | | | — | |
| 12b-1 distribution plan-Class R2 | | | 18,672 | | | | 141,014 | | | | 1,277 | |
| 12b-1 distribution plan-Class R3 | | | 181,735 | | | | 1,622,218 | | | | 46,814 | |
| Shareholder servicing | | | 1,809,375 | | | | 7,275,815 | | | | 1,154,698 | |
| Professional | | | 38,587 | | | | 80,553 | | | | 46,985 | |
| Reports to shareholders | | | 144,020 | | | | 508,979 | | | | 126,547 | |
| Fund administration | | | — | | | | 2,317,784 | | | | 387,124 | |
| Custody | | | 21,817 | | | | 100,019 | | | | 35,347 | |
| Trustees’ fees | | | 51,902 | | | | 243,682 | | | | 33,549 | |
| Registration | | | 149,968 | | | | 207,018 | | | | 239,394 | |
| Subsidy (See Note 3) | | | — | | | | 96,733 | | | | 96,660 | |
| Other | | | 45,060 | | | | 176,721 | | | | 36,754 | |
| Gross expenses | | | 8,810,299 | | | | 64,837,398 | | | | 10,582,475 | |
| Expense reductions (See Note 9) | | | (984 | ) | | | (4,758 | ) | | | (734 | ) |
| Expenses assumed by Underlying Funds (See Note 3) | | | (2,259,745 | ) | | | — | | | | — | |
| Management fee waived (See Note 3) | | | (1,263,258 | ) | | | — | | | | (1,870,838 | ) |
| Net expenses | | | 5,286,312 | | | | 64,832,640 | | | | 8,710,903 | |
| Net investment income (loss) | | | (1,305,470 | ) | | | 21,085,349 | | | | (415,821 | ) |
| Net realized and unrealized gain (loss): | | | | | | | | | | | | |
| Capital gain distributions received from Underlying Funds | | | 154,541,730 | | | | — | | | | — | |
| Net realized gain on investments (net of foreign capital gains tax of $0, $0, $0, $20,517, $197,202, $0 and $0, respectively), futures contracts and foreign currency related transactions | | | 8,706,212 | * | | | 898,006,158 | | | | 55,788,492 | |
| Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies | | | (85,215,053 | ) | | | (290,878,798 | ) | | | 58,450,935 | |
| Net realized and unrealized gain (loss) | | | 78,032,889 | | | | 607,127,360 | | | | 114,239,427 | |
| Increase (Decrease) in Net Assets Resulting From Operations | | $ | 76,727,419 | | | $ | 628,212,709 | | | $ | 113,823,606 | |
| * | Includes net realized gain from affiliated issuers of $8,692,864 (see Note 12). |
| 68 | See Notes to Financial Statements. | |
| | | International Core Equity Fund | | | International
Dividend
Income Fund | | International
Opportunities
Fund | | Value
Opportunities
Fund | |
| | | | | | | | | | | | | | | | | |
| | | $ | 16,612,323 | | | $ | 127,394,848 | | | $ | 9,604,446 | | | $ | 36,379,686 | |
| | | | | | | | | | | | | | | | | |
| | | | — | | | | 1,404,188 | | | | 951 | | | | — | |
| | | | 16,612,323 | | | | 128,799,036 | | | | 9,605,397 | | | | 36,379,686 | |
| | | | | | | | | | | | | | | | | |
| | | | 4,994,294 | | | | 16,370,903 | | | | 3,654,956 | | | | 22,512,209 | |
| | | | 1,416,182 | | | | 3,406,112 | | | | 368,282 | | | | 4,811,530 | |
| | | | 143,233 | | | | — | | | | 52,068 | | | | 216,860 | |
| | | | 543,713 | | | | 1,721,260 | | | | 214,616 | | | | 4,120,697 | |
| | | | 96,054 | | | | 268,851 | | | | 38,492 | | | | 505,488 | |
| | | | 1,135 | | | | — | | | | 4,330 | | | | 239,395 | |
| | | | 5,853 | | | | 6,701 | | | | 1,236 | | | | 77,810 | |
| | | | 101,316 | | | | 44,563 | | | | 30,657 | | | | 675,753 | |
| | | | 1,249,301 | | | | 2,081,174 | | | | 444,633 | | | | 4,405,337 | |
| | | | 71,243 | | | | 68,774 | | | | 67,525 | | | | 67,936 | |
| | | | 98,403 | | | | 181,952 | | | | 37,737 | | | | 311,731 | |
| | | | 285,388 | | | | 991,393 | | | | 194,931 | | | | 1,293,059 | |
| | | | 230,771 | | | | 788,764 | | | | 200,756 | | | | 55,738 | |
| | | | 31,127 | | | | 101,818 | | | | 19,603 | | | | 134,728 | |
| | | | 98,391 | | | | 193,371 | | | | 96,018 | | | | 180,611 | |
| | | | 77,752 | | | | 1,207,136 | | | | 500,273 | | | | 519,809 | |
| | | | 53,504 | | | | 81,731 | | | | 33,030 | | | | 103,068 | |
| | | | 9,497,660 | | | | 27,514,503 | | | | 5,959,143 | | | | 40,231,759 | |
| | | | (521 | ) | | | (1,432 | ) | | | (163 | ) | | | (2,430 | ) |
| | | | | | | | | | | | | | | | | |
| | | | — | | | | — | | | | — | | | | — | |
| | | | (1,695,930 | ) | | | (2,981,258 | ) | | | — | | | | — | |
| | | | 7,801,209 | | | | 24,531,813 | | | | 5,958,980 | | | | 40,229,329 | |
| | | | 8,811,114 | | | | 104,267,223 | | | | 3,646,417 | | | | (3,849,643 | ) |
| | | | | | | | | | | | | | | | | |
| | | | — | | | | — | | | | — | | | | — | |
| | | | 90,907,956 | | | | 141,909,201 | | | | 50,348,628 | | | | 411,754,614 | |
| | | | | | | | | | | | | | | | | |
| | | | (114,258,116 | ) | | | (239,215,862 | ) | | | (68,525,845 | ) | | | (84,214,459 | ) |
| | | | (23,350,160 | ) | | | (97,306,661 | ) | | | (18,177,217 | ) | | | 327,540,155 | |
| | | | | | | | | | | | | | | | | |
| | | $ | (14,539,046 | ) | | $ | 6,960,562 | | | $ | (14,530,800 | ) | | $ | 323,690,512 | |
| | See Notes to Financial Statements. | 69 |
Statements of Changes in Net Assets
| | | Alpha Strategy Fund | |
| INCREASE (DECREASE) IN NET ASSETS | | For the
Year Ended
October 31, 2014 | | | For the
Year Ended
October 31, 2013 | |
| Operations: | | | | | | | | |
| Net investment income (loss) | | $ | (1,305,470 | ) | | $ | 1,519,952 | |
| Capital gain distributions received from Underlying Funds | | | 154,541,730 | | | | 35,119,656 | |
| Net realized gain on investments and futures contracts | | | 8,706,212 | | | | 7,916,093 | |
| Net change in unrealized appreciation/depreciation on investments and futures contracts | | | (85,215,053 | ) | | | 266,739,166 | |
| Net increase in net assets resulting from operations | | | 76,727,419 | | | | 311,294,867 | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Class A | | | (22,621,066 | ) | | | (647,485 | ) |
| Class B | | | (781,984 | ) | | | — | |
| Class C | | | (10,866,042 | ) | | | — | |
| Class F | | | (8,279,754 | ) | | | (432,685 | ) |
| Class I | | | (1,866,385 | ) | | | (134,848 | ) |
| Class P | | | — | | | | — | |
| Class R2 | | | (101,979 | ) | | | — | |
| Class R3 | | | (1,306,745 | ) | | | — | |
| Net realized gain | | | | | | | | |
| Class A | | | (19,636,123 | ) | | | (17,131,264 | ) |
| Class B | | | (827,561 | ) | | | (966,734 | ) |
| Class C | | | (11,101,894 | ) | | | (10,054,013 | ) |
| Class F | | | (6,954,422 | ) | | | (5,841,246 | ) |
| Class I | | | (1,536,193 | ) | | | (1,352,332 | ) |
| Class P | | | — | | | | — | |
| Class R2 | | | (96,738 | ) | | | (122,985 | ) |
| Class R3 | | | (1,208,674 | ) | | | (1,261,213 | ) |
| Total distributions to shareholders | | | (87,185,560 | ) | | | (37,944,805 | ) |
| Capital share transactions (Net of share conversions) (See Note 14): | | | | | | | | |
| Net proceeds from sales of shares | | | 352,357,950 | | | | 244,276,150 | |
| Net proceeds from reorganizations (See Note 15) | | | — | | | | — | |
| Reinvestment of distributions | | | 72,427,203 | | | | 31,295,662 | |
| Cost of shares reacquired | | | (297,203,605 | ) | | | (242,936,060 | ) |
Net increase (decrease) in net assets resulting from
capital share transactions | | | 127,581,548 | | | | 32,635,752 | |
| Net increase (decrease) in net assets | | | 117,123,407 | | | | 305,985,814 | |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 1,165,036,447 | | | $ | 859,050,633 | |
| End of year | | $ | 1,282,159,854 | | | $ | 1,165,036,447 | |
| Undistributed (distributions in excess of) net investment income | | $ | (3,326,317 | ) | | $ | (1,793,084 | ) |
| | | |
| 70 | See Notes to Financial Statements. | |
| | | Fundamental Equity Fund | | | Growth Leaders Fund | |
| | | For the
Year Ended
October 31, 2014 | | | For the
Year Ended
October 31, 2013 | | | For the
Year Ended
October 31, 2014 | | | For the
Period Ended
October 31, 2013 | |
| | | | | | | | | | | | | | | | | |
| | | $ | 21,085,349 | | | $ | 21,906,443 | | | $ | (415,821 | ) | | $ | (296,016 | ) |
| | | | — | | | | — | | | | — | | | | — | |
| | | | 898,006,158 | | | | 873,052,554 | | | | 55,788,492 | | | | 44,678,973 | |
| | | | | | | | | | | | | | | | | |
| | | | (290,878,798 | ) | | | 466,096,062 | | | | 58,450,935 | | | | 12,825,042 | |
| | | | 628,212,709 | | | | 1,361,055,059 | | | | 113,823,606 | | | | 57,207,999 | |
| | | | | | | | | | | | | | | | | |
| | | | (7,924,144 | ) | | | (16,829,215 | ) | | | — | | | | (44,858 | ) |
| | | | — | | | | (4 | ) | | | — | | | | — | |
| | | | — | | | | (597,013 | ) | | | — | | | | (4,106 | ) |
| | | | (3,576,864 | ) | | | (5,561,734 | ) | | | — | | | | (19,395 | ) |
| | | | (3,123,996 | ) | | | (4,107,851 | ) | | | — | | | | (17,861 | ) |
| | | | (35,677 | ) | | | (151,921 | ) | | | — | | | | — | |
| | | | (2,679 | ) | | | (97,503 | ) | | | — | | | | (21 | ) |
| | | | (396,978 | ) | | | (1,540,249 | ) | | | — | | | | (55 | ) |
| | | | | | | | | | | | | | | | | |
| | | | (453,760,571 | ) | | | (27,685,960 | ) | | | (13,166,895 | ) | | | — | |
| | | | (9,817,310 | ) | | | (914,108 | ) | | | (515,769 | ) | | | — | |
| | | | (161,178,500 | ) | | | (9,641,827 | ) | | | (4,901,914 | ) | | | — | |
| | | | (108,046,097 | ) | | | (6,775,122 | ) | | | (7,704,589 | ) | | | — | |
| | | | (79,526,478 | ) | | | (4,471,009 | ) | | | (3,280,397 | ) | | | — | |
| | | | (4,004,231 | ) | | | (312,583 | ) | | | — | | | | — | |
| | | | (3,758,156 | ) | | | (257,833 | ) | | | (2,801 | ) | | | — | |
| | | | (49,141,629 | ) | | | (3,113,664 | ) | | | (541,921 | ) | | | — | |
| | | | (884,293,310 | ) | | | (82,057,596 | ) | | | (30,114,286 | ) | | | (86,296 | ) |
| | | | | | | | | | | | | | | | | |
| | | | 991,547,006 | | | | 988,203,901 | | | | 1,180,087,087 | | | | 253,214,453 | |
| | | | — | | | | — | | | | — | | | | 141,354,303 | |
| | | | 778,816,758 | | | | 72,629,278 | | | | 26,466,991 | | | | 66,454 | |
| | | | (1,939,026,230 | ) | | | (1,243,038,488 | ) | | | (403,953,739 | ) | | | (41,561,801 | ) |
| | | | | | | | | | | | | | | | | |
| | | | (168,662,466 | ) | | | (182,205,309 | ) | | | 802,600,339 | | | | 353,073,409 | |
| | | | (424,743,067 | ) | | | 1,096,792,154 | | | | 886,309,659 | | | | 410,195,112 | |
| | | | | | | | | | | | | | | | | |
| | | $ | 5,728,935,877 | | | $ | 4,632,143,723 | | | $ | 433,980,578 | | | $ | 23,785,466 | |
| | | $ | 5,304,192,810 | | | $ | 5,728,935,877 | | | $ | 1,320,290,237 | | | $ | 433,980,578 | |
| | | $ | 18,610,883 | | | $ | 13,093,728 | | | $ | (275,172 | ) | | $ | (300,557 | ) |
| | See Notes to Financial Statements. | 71 |
Statements of Changes in Net Assets (continued)
| | | International Core Equity Fund |
| INCREASE (DECREASE) IN NET ASSETS | | For the
Year Ended
October 31, 2014 | | | For the
Year Ended
October 31, 2013 | |
| Operations: | | | | | | | | |
| Net investment income | | $ | 8,811,114 | | | $ | 10,687,588 | |
| Net realized gain on investments and foreign currency related transactions | | | 90,907,956 | | | | 63,478,850 | |
| Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | (114,258,116 | ) | | | 97,502,747 | |
| Net increase (decrease) in net assets resulting from operations | | | (14,539,046 | ) | | | 171,669,185 | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Class A | | | (8,189,914 | ) | | | (8,588,056 | ) |
| Class B | | | (190,774 | ) | | | (318,035 | ) |
| Class C | | | (740,053 | ) | | | (906,187 | ) |
| Class F | | | (3,005,898 | ) | | | (3,996,551 | ) |
| Class I | | | (3,461,213 | ) | | | (2,934,294 | ) |
| Class P | | | (4,907 | ) | | | (5,020 | ) |
| Class R2 | | | (14,821 | ) | | | (15,516 | ) |
| Class R3 | | | (348,924 | ) | | | (389,151 | ) |
| Total distributions to shareholders | | | (15,956,504 | ) | | | (17,152,810 | ) |
| Capital share transactions (Net of share conversions) (See Note 14): | | | | | | | | |
| Net proceeds from sales of shares | | | 113,762,329 | | | | 189,549,520 | |
| Reinvestment of distributions | | | 14,531,792 | | | | 16,249,667 | |
| Cost of shares reacquired | | | (304,443,916 | ) | | | (263,199,454 | ) |
| Net increase (decrease) in net assets resulting from capital share transactions | | | (176,149,795 | ) | | | (57,400,267 | ) |
| Net increase (decrease) in net assets | | | (206,645,345 | ) | | | 97,116,108 | |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 830,988,686 | | | $ | 733,872,578 | |
| End of year | | $ | 624,343,341 | | | $ | 830,988,686 | |
| Undistributed (distributions in excess of) net investment income | | $ | 5,141,251 | | | $ | 10,827,511 | |
| | | |
| 72 | See Notes to Financial Statements. | |
| | | International Dividend Income Fund | | | International Opportunities Fund | |
| | | For the
Year Ended
October 31, 2014 | | | For the
Year Ended
October 31, 2013 | | | For the
Year Ended
October 31, 2014 | | | For the
Year Ended
October 31, 2013 | |
| | | | | | | | | | | | | | | | | |
| | | $ | 104,267,223 | | | $ | 86,045,527 | | | $ | 3,646,417 | | | $ | 2,788,011 | |
| | | | | | | | | | | | | | | | | |
| | | | 141,909,201 | | | | 126,313,720 | | | | 50,348,628 | | | | 32,716,248 | |
| | | | | | | | | | | | | | | | | |
| | | | (239,215,862 | ) | | | 189,234,719 | | | | (68,525,845 | ) | | | 54,455,622 | |
| | | | 6,960,562 | | | | 401,593,966 | | | | (14,530,800 | ) | | | 89,959,881 | |
| | | | | | | | | | | | | | | | | |
| | | | (44,162,352 | ) | | | (32,111,914 | ) | | | (1,311,959 | ) | | | (1,418,818 | ) |
| | | | — | | | | — | | | | (38,338 | ) | | | (82,875 | ) |
| | | | (6,919,145 | ) | | | (3,890,097 | ) | | | (154,276 | ) | | | (194,491 | ) |
| | | | (13,058,313 | ) | | | (7,748,411 | ) | | | (363,209 | ) | | | (20,145 | ) |
| | | | (51,814,615 | ) | | | (42,319,079 | ) | | | (4,058,585 | ) | | | (4,209,751 | ) |
| | | | — | | | | — | | | | (10,936 | ) | | | (17,169 | ) |
| | | | (47,410 | ) | | | (24,379 | ) | | | (2,404 | ) | | | (1,645 | ) |
| | | | (395,120 | ) | | | (1,382,570 | ) | | | (63,608 | ) | | | (117,563 | ) |
| | | | (116,396,955 | ) | | | (87,476,450 | ) | | | (6,003,315 | ) | | | (6,062,457 | ) |
| | | | | | | | | | | | | | | | | |
| | | | 1,108,630,618 | | | | 937,817,583 | | | | 182,628,755 | | | | 75,778,082 | |
| | | | 108,737,747 | | | | 77,712,636 | | | | 5,690,880 | | | | 5,914,722 | |
| | | | (955,945,630 | ) | | | (739,775,936 | ) | | | (108,073,583 | ) | | | (57,044,631 | ) |
| | | |
| | | | 261,422,735 | | | | 275,754,283 | | | | 80,246,052 | | | | 24,648,173 | |
| | | | 151,986,342 | | | | 589,871,799 | | | | 59,711,937 | | | | 108,545,597 | |
| | | | | | | | | | | | | | | | | |
| | | $ | 2,338,316,333 | | | $ | 1,748,444,534 | | | $ | 409,452,315 | | | $ | 300,906,718 | |
| | | $ | 2,490,302,675 | | | $ | 2,338,316,333 | | | $ | 469,164,252 | | | $ | 409,452,315 | |
| | | | | | | | | | | | | | | | | |
| | | $ | (61,480 | ) | | $ | 8,494,357 | | | $ | 5,107,725 | | | $ | 3,589,530 | |
| | See Notes to Financial Statements. | 73 |
Statements of Changes in Net Assets (concluded)
| | | Value Opportunities Fund | |
| INCREASE IN NET ASSETS | | For the
Year Ended
October 31, 2014 | | | For the
Year Ended
October 31, 2013 | |
| Operations: | | | | | | | | |
| Net investment income (loss) | | $ | (3,849,643 | ) | | $ | 173,998 | |
| Net realized gain on investments | | | 411,754,614 | | | | 288,203,211 | |
| Net change in unrealized appreciation/depreciation on investments | | | (84,214,459 | ) | | | 386,735,492 | |
| Net increase in net assets resulting from operations | | | 323,690,512 | | | | 675,112,701 | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gain | | | | | | | | |
| Class A | | | (121,752,407 | ) | | | — | |
| Class B | | | (2,291,824 | ) | | | — | |
| Class C | | | (37,287,982 | ) | | | — | |
| Class F | | | (40,521,094 | ) | | | — | |
| Class I | | | (58,885,306 | ) | | | — | |
| Class P | | | (4,796,664 | ) | | | — | |
| Class R2 | | | (1,239,744 | ) | | | — | |
| Class R3 | | | (11,829,334 | ) | | | — | |
| Total distributions to shareholders | | | (278,604,355 | ) | | | — | |
| Capital share transactions (Net of share conversions) (See Note 14): | | | | | | | | |
| Net proceeds from sales of shares | | | 654,454,079 | | | | 584,281,519 | |
| Net proceeds from reorganizations (See Note 15) | | | — | | | | 571,815,180 | |
| Reinvestment of distributions | | | 258,105,337 | | | | — | |
| Cost of shares reacquired | | | (954,783,580 | ) | | | (714,403,451 | ) |
| Net increase (decrease) in net assets resulting from capital share transactions | | | (42,224,164 | ) | | | 441,693,248 | |
| Net increase in net assets | | | 2,861,993 | | | | 1,116,805,949 | |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 3,128,328,381 | | | $ | 2,011,522,432 | |
| End of year | | $ | 3,131,190,374 | | | $ | 3,128,328,381 | |
| Accumulated net investment loss | | $ | (3,221,102 | ) | | $ | (1,053,909 | ) |
| 74 | See Notes to Financial Statements. | |
Financial Highlights
ALPHA STRATEGY FUND
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $32.63 | | | $24.71 | | | $22.72 | | | $21.93 | | | $17.24 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income (loss)(a) | | | .02 | | | .09 | | | (.01 | ) | | (.02 | ) | | (.03 | ) |
| Net realized and unrealized gain | | | 2.16 | | | 8.92 | | | 2.07 | | | .81 | | | 4.74 | |
| Total from investment operations | | | 2.18 | | | 9.01 | | | 2.06 | | | .79 | | | 4.71 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.29 | ) | | (.04 | ) | | — | | | — | | | (.02 | ) |
| Net realized gain | | | (1.12 | ) | | (1.05 | ) | | (.07 | ) | | — | | | — | |
| Total distributions | | | (2.41 | ) | | (1.09 | ) | | (.07 | ) | | — | | | (.02 | ) |
| Net asset value, end of year | | | $32.40 | | | $32.63 | | | $24.71 | | | $22.72 | | | $21.93 | |
| Total Return(b) | | | 6.89 | % | | 37.98 | % | | 9.12 | % | | 3.60 | % | | 27.36 | % |
| Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .25 | % | | .25 | % | | .25 | % | | .28 | % | | .35 | % |
| Expenses, including expense reductions, expenses assumed and management fee waived | | | .25 | % | | .25 | % | | .25 | % | | .28 | % | | .35 | % |
| Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .53 | % | | .54 | % | | .57 | % | | .60 | % | | .70 | % |
| Net investment income (loss) | | | .07 | % | | .33 | % | | (.05 | )% | | (.10 | )% | | (.16 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $586,429 | | | $567,124 | | | $421,927 | | | $432,698 | | | $404,804 | |
| Portfolio turnover rate | | | 5.42 | % | | 8.12 | % | | 3.84 | % | | 6.78 | % | | 1.16 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 75 |
Financial Highlights (continued)
ALPHA STRATEGY FUND
| | | Class B Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $30.16 | | | $23.05 | | | $21.36 | | | $20.76 | | | $16.41 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.19 | ) | | (.09 | ) | | (.17 | ) | | (.18 | ) | | (.15 | ) |
| Net realized and unrealized gain | | | 1.98 | | | 8.25 | | | 1.93 | | | .78 | | | 4.50 | |
| Total from investment operations | | | 1.79 | | | 8.16 | | | 1.76 | | | .60 | | | 4.35 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.06 | ) | | — | | | — | | | — | | | — | |
| Net realized gain | | | (1.12 | ) | | (1.05 | ) | | (.07 | ) | | — | | | — | |
| Total distributions | | | (2.18 | ) | | (1.05 | ) | | (.07 | ) | | — | | | — | |
| Net asset value, end of year | | | $29.77 | | | $30.16 | | | $23.05 | | | $21.36 | | | $20.76 | |
| Total Return(b) | | | 6.09 | % | | 36.93 | % | | 8.29 | % | | 2.89 | % | | 26.51 | % |
| Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | 1.00 | % | | 1.00 | % | | 1.00 | % | | 1.00 | % | | 1.00 | % |
| Expenses, including expense reductions, expenses assumed and management fee waived | | | 1.00 | % | | 1.00 | % | | 1.00 | % | | 1.00 | % | | 1.00 | % |
| Expenses, excluding expense reductions, expenses assumed and management fee waived | | | 1.28 | % | | 1.29 | % | | 1.32 | % | | 1.32 | % | | 1.35 | % |
| Net investment loss | | | (.65 | )% | | (.36 | )% | | (.78 | )% | | (.79 | )% | | (.79 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $16,870 | | | $22,883 | | | $21,776 | | | $26,877 | | | $33,394 | |
| Portfolio turnover rate | | | 5.42 | % | | 8.12 | % | | 3.84 | % | | 6.78 | % | | 1.16 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| 76 | See Notes to Financial Statements. | |
Financial Highlights (continued)
ALPHA STRATEGY FUND
| | | Class C Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $29.95 | | | $22.89 | | | $21.21 | | | $20.61 | | | $16.29 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.20 | ) | | (.10 | ) | | (.18 | ) | | (.18 | ) | | (.15 | ) |
| Net realized and unrealized gain | | | 1.98 | | | 8.21 | | | 1.93 | | | .78 | | | 4.47 | |
| Total from investment operations | | | 1.78 | | | 8.11 | | | 1.75 | | | .60 | | | 4.32 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.10 | ) | | — | | | — | | | — | | | — | |
| Net realized gain | | | (1.12 | ) | | (1.05 | ) | | (.07 | ) | | — | | | — | |
| Total distributions | | | (2.22 | ) | | (1.05 | ) | | (.07 | ) | | — | | | — | |
| Net asset value, end of year | | | $29.51 | | | $29.95 | | | $22.89 | | | $21.21 | | | $20.61 | |
| Total Return(b) | | | 6.09 | % | | 36.97 | % | | 8.30 | % | | 2.91 | % | | 26.52 | % |
| Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | 1.00 | % | | .99 | % | | .99 | % | | .99 | % | | 1.00 | % |
| Expenses, including expense reductions, expenses assumed and management fee waived | | | 1.00 | % | | .99 | % | | .99 | % | | .99 | % | | 1.00 | % |
| Expenses, excluding expense reductions, expenses assumed and management fee waived | | | 1.27 | % | | 1.28 | % | | 1.31 | % | | 1.31 | % | | 1.35 | % |
| Net investment loss | | | (.68 | )% | | (.40 | )% | | (.79 | )% | | (.80 | )% | | (.81 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $318,668 | | | $294,780 | | | $223,165 | | | $223,295 | | | $208,051 | |
| Portfolio turnover rate | | | 5.42 | % | | 8.12 | % | | 3.84 | % | | 6.78 | % | | 1.16 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 77 |
Financial Highlights (continued)
ALPHA STRATEGY FUND
| | | Class F Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | �� | | | |
| Net asset value, beginning of year | | | $32.71 | | | $24.77 | | | $22.74 | | | $21.91 | | | $17.22 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income (loss)(a) | | | .06 | | | .14 | | | .03 | | | .02 | | | — | (b) |
| Net realized and unrealized gain | | | 2.17 | | | 8.93 | | | 2.07 | | | .81 | | | 4.76 | |
| Total from investment operations | | | 2.23 | | | 9.07 | | | 2.10 | | | .83 | | | 4.76 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.33 | ) | | (.08 | ) | | — | | | — | | | (.07 | ) |
| Net realized gain | | | (1.12 | ) | | (1.05 | ) | | (.07 | ) | | — | | | — | |
| Total distributions | | | (2.45 | ) | | (1.13 | ) | | (.07 | ) | | — | | | (.07 | ) |
| Net asset value, end of year | | | $32.49 | | | $32.71 | | | $24.77 | | | $22.74 | | | $21.91 | |
| Total Return(c) | | | 7.05 | % | | 38.19 | % | | 9.28 | % | | 3.79 | % | | 27.67 | % |
| Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .10 | % | | .10 | % | | .10 | % | | .10 | % | | .10 | % |
| Expenses, including expense reductions, expenses assumed and management fee waived | | | .10 | % | | .10 | % | | .10 | % | | .10 | % | | .10 | % |
| Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .38 | % | | .39 | % | | .42 | % | | .42 | % | | .44 | % |
| Net investment income (loss) | | | .20 | % | | .49 | % | | .12 | % | | .08 | % | | (.01 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $267,679 | | | $197,939 | | | $140,860 | | | $142,150 | | | $120,316 | |
| Portfolio turnover rate | | | 5.42 | % | | 8.12 | % | | 3.84 | % | | 6.78 | % | | 1.16 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return assumes the reinvestment of all distributions. |
| 78 | See Notes to Financial Statements. | |
Financial Highlights (continued)
ALPHA STRATEGY FUND
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $33.01 | | | $24.99 | | | $22.92 | | | $22.06 | | | $17.33 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .10 | | | .17 | | | .06 | | | .05 | | | .04 | |
| Net realized and unrealized gain | | | 2.18 | | | 9.01 | | | 2.08 | | | .81 | | | 4.77 | |
| Total from investment operations | | | 2.28 | | | 9.18 | | | 2.14 | | | .86 | | | 4.81 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.36 | ) | | (.11 | ) | | — | | | — | | | (.08 | ) |
| Net realized gain | | | (1.12 | ) | | (1.05 | ) | | (.07 | ) | | — | | | — | |
| Total distributions | | | (2.48 | ) | | (1.16 | ) | | (.07 | ) | | — | | | (.08 | ) |
| Net asset value, end of year | | | $32.81 | | | $33.01 | | | $24.99 | | | $22.92 | | | $22.06 | |
| Total Return(b) | | | 7.14 | % | | 38.32 | % | | 9.39 | % | | 3.90 | % | | 27.80 | % |
| Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .00 | % | | .00 | % | | .00 | % | | .00 | % | | .00 | % |
| Expenses, including expense reductions, expenses assumed and management fee waived | | | .00 | % | | .00 | % | | .00 | % | | .00 | % | | .00 | % |
| Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .28 | % | | .29 | % | | .32 | % | | .32 | % | | .35 | % |
| Net investment income | | | .31 | % | | .60 | % | | .24 | % | | .20 | % | | .18 | % |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $52,339 | | | $44,998 | | | $18,677 | | | $26,906 | | | $25,426 | |
| Portfolio turnover rate | | | 5.42 | % | | 8.12 | % | | 3.84 | % | | 6.78 | % | | 1.16 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 79 |
Financial Highlights (continued)
ALPHA STRATEGY FUND
| | | Class R2 Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $32.07 | | | $24.35 | | | $22.47 | | | $21.76 | | | $17.13 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income (loss)(a) | | | (.09 | ) | | .04 | | | (.09 | ) | | (.09 | ) | | (.09 | ) |
| Net realized and unrealized gain | | | 2.13 | | | 8.73 | | | 2.04 | | | .80 | | | 4.72 | |
| Total from investment operations | | | 2.04 | | | 8.77 | | | 1.95 | | | .71 | | | 4.63 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.18 | ) | | — | | | — | | | — | | | — | |
| Net realized gain | | | (1.12 | ) | | (1.05 | ) | | (.07 | ) | | — | | | — | |
| Total distributions | | | (2.30 | ) | | (1.05 | ) | | (.07 | ) | | — | | | — | |
| Net asset value, end of year | | | $31.81 | | | $32.07 | | | $24.35 | | | $22.47 | | | $21.76 | |
| Total Return(b) | | | 6.55 | % | | 37.49 | % | | 8.73 | % | | 3.26 | % | | 27.03 | % |
| Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .60 | % | | .60 | % | | .60 | % | | .60 | % | | .60 | % |
| Expenses, including expense reductions, expenses assumed and management fee waived | | | .60 | % | | .60 | % | | .60 | % | | .60 | % | | .60 | % |
| Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .88 | % | | .89 | % | | .92 | % | | .92 | % | | .94 | % |
| Net investment income (loss) | | | (.30 | )% | | .14 | % | | (.39 | )% | | (.39 | )% | | (.44 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $3,479 | | | $2,738 | | | $2,982 | | | $3,373 | | | $3,437 | |
| Portfolio turnover rate | | | 5.42 | % | | 8.12 | % | | 3.84 | % | | 6.78 | % | | 1.16 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
| 80 | See Notes to Financial Statements. | |
Financial Highlights (concluded)
ALPHA STRATEGY FUND
| | | Class R3 Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $32.18 | | | $24.41 | | | $22.50 | | | $21.76 | | | $17.12 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income (loss)(a) | | | (.05 | ) | | .04 | | | (.07 | ) | | (.07 | ) | | (.08 | ) |
| Net realized and unrealized gain | | | 2.13 | | | 8.78 | | | 2.05 | | | .81 | | | 4.73 | |
| Total from investment operations | | | 2.08 | | | 8.82 | | | 1.98 | | | .74 | | | 4.65 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.21 | ) | | — | | | — | | | — | | | (.01 | ) |
| Net realized gain | | | (1.12 | ) | | (1.05 | ) | | (.07 | ) | | — | | | — | |
| Total distributions | | | (2.33 | ) | | (1.05 | ) | | (.07 | ) | | — | | | (.01 | ) |
| Net asset value, end of year | | | $31.93 | | | $32.18 | | | $24.41 | | | $22.50 | | | $21.76 | |
| Total Return(b) | | | 6.62 | % | | 37.60 | % | | 8.85 | % | | 3.40 | % | | 27.18 | % |
| Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .50 | % | | .50 | % | | .50 | % | | .50 | % | | .50 | % |
| Expenses, including expense reductions, expenses assumed and management fee waived | | | .50 | % | | .50 | % | | .50 | % | | .50 | % | | .50 | % |
| Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .78 | % | | .79 | % | | .82 | % | | .82 | % | | .84 | % |
| Net investment income (loss) | | | (.15 | )% | | .13 | % | | (.30 | )% | | (.31 | )% | | (.39 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $36,695 | | | $34,574 | | | $29,663 | | | $26,924 | | | $22,941 | |
| Portfolio turnover rate | | | 5.42 | % | | 8.12 | % | | 3.84 | % | | 6.78 | % | | 1.16 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 81 |
Financial Highlights
FUNDAMENTAL EQUITY FUND
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $16.83 | | | $13.08 | | | $12.51 | | | $11.89 | | | $9.99 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .07 | | | .07 | | | .09 | | | .02 | | | .04 | |
| Net realized and unrealized gain | | | 1.67 | | | 3.92 | | | .77 | | | .64 | | | 1.86 | |
| Total from investment operations | | | 1.74 | | | 3.99 | | | .86 | | | .66 | | | 1.90 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (.04 | ) | | (.09 | ) | | (.02 | ) | | (.04 | ) | | — | (b) |
| Net realized gain | | | (2.53 | ) | | (.15 | ) | | (.27 | ) | | — | | | — | |
| Total distributions | | | (2.57 | ) | | (.24 | ) | | (.29 | ) | | (.04 | ) | | — | (b) |
| Net asset value, end of year | | | $16.00 | | | $16.83 | | | $13.08 | | | $12.51 | | | $11.89 | |
| Total Return(c) | | | 11.65 | % | | 31.11 | % | | 7.17 | % | | 5.53 | % | | 19.06 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.05 | % | | 1.06 | % | | 1.09 | % | | 1.09 | % | | 1.12 | % |
| Expenses, excluding expense reductions | | | 1.05 | % | | 1.06 | % | | 1.09 | % | | 1.09 | % | | 1.12 | % |
| Net investment income | | | .43 | % | | .50 | % | | .68 | % | | .16 | % | | .38 | % |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $2,683,790 | | | $3,031,190 | | | $2,439,466 | | | $2,379,453 | | | $1,850,569 | |
| Portfolio turnover rate | | | 112.68 | % | | 87.47 | % | | 83.80 | %(d) | | 55.07 | % | | 80.98 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Amount is less than $.01. |
| (c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Large Cap Value Fund on June 15, 2012. |
| 82 | See Notes to Financial Statements. | |
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | Class B Shares |
| | | | Year Ended 10/31 |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $15.91 | | | $12.36 | | | $11.89 | | | $11.35 | | | $9.58 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income (loss)(a) | | | (.03 | ) | | (.02 | ) | | .01 | | | (.06 | ) | | (.03 | ) |
| Net realized and unrealized gain | | | 1.57 | | | 3.72 | | | .73 | | | .60 | | | 1.80 | |
| Total from investment operations | | | 1.54 | | | 3.70 | | | .74 | | | .54 | | | 1.77 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | — | (b) | | — | | | — | | | — | |
| Net realized gain | | | (2.53 | ) | | (.15 | ) | | (.27 | ) | | — | | | — | |
| Total distributions | | | (2.53 | ) | | (.15 | ) | | (.27 | ) | | — | | | — | |
| Net asset value, end of year | | | $14.92 | | | $15.91 | | | $12.36 | | | $11.89 | | | $11.35 | |
| Total Return(c) | | | 10.91 | % | | 30.32 | % | | 6.47 | % | | 4.76 | % | | 18.48 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.71 | % | | 1.71 | % | | 1.74 | % | | 1.73 | % | | 1.77 | % |
| Expenses, excluding expense reductions | | | 1.71 | % | | 1.71 | % | | 1.74 | % | | 1.73 | % | | 1.77 | % |
| Net investment income (loss) | | | (.23 | )% | | (.12 | )% | | .04 | % | | (.49 | )% | | (.29 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $45,475 | | | $62,409 | | | $76,533 | | | $114,980 | | | $149,531 | |
| Portfolio turnover rate | | | 112.68 | % | | 87.47 | % | | 83.80 | %(d) | | 55.07 | % | | 80.98 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Amount is less than $.01. |
| (c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Large Cap Value Fund on June 15, 2012. |
| | See Notes to Financial Statements. | 83 |
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | Class C Shares |
| | | | Year Ended 10/31 |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $15.83 | | | $12.31 | | | $11.85 | | | $11.30 | | | $9.55 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income (loss)(a) | | | (.03 | ) | | (.02 | ) | | — | (b) | | (.06 | ) | | (.03 | ) |
| Net realized and unrealized gain | | | 1.56 | | | 3.70 | | | .73 | | | .61 | | | 1.78 | |
| Total from investment operations | | | 1.53 | | | 3.68 | | | .73 | | | .55 | | | 1.75 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | (.01 | ) | | — | | | — | | | — | |
| Net realized gain | | | (2.53 | ) | | (.15 | ) | | (.27 | ) | | — | | | — | |
| Total distributions | | | (2.53 | ) | | (.16 | ) | | (.27 | ) | | — | | | — | |
| Net asset value, end of year | | | $14.83 | | | $15.83 | | | $12.31 | | | $11.85 | | | $11.30 | |
| Total Return(c) | | | 10.90 | % | | 30.30 | % | | 6.41 | % | | 4.87 | % | | 18.32 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.71 | % | | 1.71 | % | | 1.74 | % | | 1.73 | % | | 1.77 | % |
| Expenses, excluding expense reductions | | | 1.71 | % | | 1.71 | % | | 1.74 | % | | 1.73 | % | | 1.77 | % |
| Net investment income (loss) | | | (.22 | )% | | (.15 | )% | | .03 | % | | (.49 | )% | | (.26 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $986,381 | | | $1,012,597 | | | $802,053 | | | $817,590 | | | $603,639 | |
| Portfolio turnover rate | | | 112.68 | % | | 87.47 | % | | 83.80 | %(d) | | 55.07 | % | | 80.98 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Amount is less than $0.01. |
| (c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Large Cap Value Fund on June 15, 2012. |
| 84 | See Notes to Financial Statements. | |
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | Class F Shares |
| | | | Year Ended 10/31 |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $16.77 | | | $13.03 | | | $12.47 | | | $11.86 | | | $9.96 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .10 | | | .11 | | | .12 | | | .05 | | | .09 | |
| Net realized and unrealized gain | | | 1.67 | | | 3.90 | | | .76 | | | .63 | | | 1.84 | |
| Total from investment operations | | | 1.77 | | | 4.01 | | | .88 | | | .68 | | | 1.93 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (.08 | ) | | (.12 | ) | | (.05 | ) | | (.07 | ) | | (.03 | ) |
| Net realized gain | | | (2.53 | ) | | (.15 | ) | | (.27 | ) | | — | | | — | |
| Total distributions | | | (2.61 | ) | | (.27 | ) | | (.32 | ) | | (.07 | ) | | (.03 | ) |
| Net asset value, end of year | | | $15.93 | | | $16.77 | | | $13.03 | | | $12.47 | | | $11.86 | |
| Total Return(b) | | | 11.93 | % | | 31.49 | % | | 7.40 | % | | 5.75 | % | | 19.42 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | .81 | % | | .82 | % | | .84 | % | | .84 | % | | .86 | % |
| Expenses, excluding expense reductions | | | .81 | % | | .82 | % | | .84 | % | | .84 | % | | .86 | % |
| Net investment income | | | .68 | % | | .75 | % | | .93 | % | | .41 | % | | .77 | % |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $793,101 | | | $716,579 | | | $598,688 | | | $642,636 | | | $282,018 | |
| Portfolio turnover rate | | | 112.68 | % | | 87.47 | % | | 83.80 | %(c) | | 55.07 | % | | 80.98 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| (c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Large Cap Value Fund on June 15, 2012. |
| | See Notes to Financial Statements. | 85 |
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | Class I Shares |
| | | | Year Ended 10/31 |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $16.93 | | | $13.15 | | | $12.59 | | | $11.96 | | | $10.04 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .12 | | | .13 | | | .13 | | | .07 | | | .08 | |
| Net realized and unrealized gain | | | 1.69 | | | 3.94 | | | .76 | | | .64 | | | 1.88 | |
| Total from investment operations | | | 1.81 | | | 4.07 | | | .89 | | | .71 | | | 1.96 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (.10 | ) | | (.14 | ) | | (.06 | ) | | (.08 | ) | | (.04 | ) |
| Net realized gain | | | (2.53 | ) | | (.15 | ) | | (.27 | ) | | — | | | — | |
| Total distributions | | | (2.63 | ) | | (.29 | ) | | (.33 | ) | | (.08 | ) | | (.04 | ) |
| Net asset value, end of year | | | $16.11 | | | $16.93 | | | $13.15 | | | $12.59 | | | $11.96 | |
| Total Return(b) | | | 12.05 | % | | 31.66 | % | | 7.43 | % | | 5.94 | % | | 19.54 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | .71 | % | | .72 | % | | .74 | % | | .74 | % | | .77 | % |
| Expenses, excluding expense reductions | | | .71 | % | | .72 | % | | .74 | % | | .74 | % | | .77 | % |
| Net investment income | | | .78 | % | | .84 | % | | 1.00 | % | | .52 | % | | .75 | % |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $449,870 | | | $531,676 | | | $394,842 | | | $245,329 | | | $162,114 | |
| Portfolio turnover rate | | | 112.68 | % | | 87.47 | % | | 83.80 | %(c) | | 55.07 | % | | 80.98 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| (c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Large Cap Value Fund on June 15, 2012. |
| 86 | See Notes to Financial Statements. | |
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | Class P Shares |
| | | | Year Ended 10/31 |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $16.64 | | | $12.92 | | | $12.36 | | | $11.75 | | | $9.87 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .05 | | | .06 | | | .07 | | | .01 | | | .03 | |
| Net realized and unrealized gain | | | 1.65 | | | 3.88 | | | .77 | | | .62 | | | 1.85 | |
| Total from investment operations | | | 1.70 | | | 3.94 | | | .84 | | | .63 | | | 1.88 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (.02 | ) | | (.07 | ) | | (.01 | ) | | (.02 | ) | | — | |
| Net realized gain | | | (2.53 | ) | | (.15 | ) | | (.27 | ) | | — | | | — | |
| Total distributions | | | (2.55 | ) | | (.22 | ) | | (.28 | ) | | (.02 | ) | | — | |
| Net asset value, end of year | | | $15.79 | | | $16.64 | | | $12.92 | | | $12.36 | | | $11.75 | |
| Total Return(b) | | | 11.51 | % | | 31.08 | % | | 7.03 | % | | 5.40 | % | | 19.05 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.16 | % | | 1.17 | % | | 1.19 | % | | 1.19 | % | | 1.22 | % |
| Expenses, excluding expense reductions | | | 1.16 | % | | 1.17 | % | | 1.19 | % | | 1.19 | % | | 1.22 | % |
| Net investment income | | | .32 | % | | .42 | % | | .58 | % | | .05 | % | | .28 | % |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $21,373 | | | $26,424 | | | $27,937 | | | $31,223 | | | $30,598 | |
| Portfolio turnover rate | | | 112.68 | % | | 87.47 | % | | 83.80 | %(c) | | 55.07 | % | | 80.98 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| (c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Large Cap Value Fund on June 15, 2012. |
| | See Notes to Financial Statements. | 87 |
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | Class R2 Shares |
| | | | Year Ended 10/31 |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $16.57 | | | $12.87 | | | $12.33 | | | $11.75 | | | $9.89 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income (loss)(a) | | | .03 | | | .04 | | | .05 | | | (.01 | ) | | .04 | |
| Net realized and unrealized gain | | | 1.64 | | | 3.87 | | | .77 | | | .63 | | | 1.82 | |
| Total from investment operations | | | 1.67 | | | 3.91 | | | .82 | | | .62 | | | 1.86 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | — | (b) | | (.06 | ) | | (.01 | ) | | (.04 | ) | | — | (b) |
| Net realized gain | | | (2.53 | ) | | (.15 | ) | | (.27 | ) | | — | | | — | |
| Total distributions | | | (2.53 | ) | | (.21 | ) | | (.28 | ) | | (.04 | ) | | — | (b) |
| Net asset value, end of year | | | $15.71 | | | $16.57 | | | $12.87 | | | $12.33 | | | $11.75 | |
| Total Return(c) | | | 11.33 | % | | 30.87 | % | | 6.87 | % | | 5.27 | % | | 18.81 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.31 | % | | 1.31 | % | | 1.34 | % | | 1.34 | % | | 1.36 | % |
| Expenses, excluding expense reductions | | | 1.31 | % | | 1.31 | % | | 1.34 | % | | 1.34 | % | | 1.36 | % |
| Net investment income (loss) | | | .17 | % | | .26 | % | | .43 | % | | (.11 | )% | | .36 | % |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $19,744 | | | $25,111 | | | $22,335 | | | $19,997 | | | $4,444 | |
| Portfolio turnover rate | | | 112.68 | % | | 87.47 | % | | 83.80 | %(d) | | 55.07 | % | | 80.98 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Amount is less than $.01. |
| (c) | Total return assumes the reinvestment of all distributions. |
| (d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Large Cap Value Fund on June 15, 2012. |
| 88 | See Notes to Financial Statements. | |
Financial Highlights (concluded)
FUNDAMENTAL EQUITY FUND
| | | Class R3 Shares |
| | | Year Ended 10/31 |
| | | 2014 | | 2013 | | 2012 | | 2011 | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of year | | | $16.66 | | | $12.94 | | | $12.40 | | | $11.80 | | | $9.92 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .04 | | | .05 | | | .06 | | | — | (b) | | .03 | |
| Net realized and unrealized gain | | | 1.65 | | | 3.89 | | | .77 | | | .63 | | | 1.85 | |
| Total from investment operations | | | 1.69 | | | 3.94 | | | .83 | | | .63 | | | 1.88 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (.02 | ) | | (.07 | ) | | (.02 | ) | | (.03 | ) | | — | (b) |
| Net realized gain | | | (2.53 | ) | | (.15 | ) | | (.27 | ) | | — | | | — | |
| Total distributions | | | (2.55 | ) | | (.22 | ) | | (.29 | ) | | (.03 | ) | | — | (b) |
| Net asset value, end of year | | | $15.80 | | | $16.66 | | | $12.94 | | | $12.40 | | | $11.80 | |
| Total Return(c) | | | 11.41 | % | | 31.04 | % | | 6.95 | % | | 5.36 | % | | 18.96 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.21 | % | | 1.21 | % | | 1.24 | % | | 1.24 | % | | 1.26 | % |
| Expenses, excluding expense reductions | | | 1.21 | % | | 1.21 | % | | 1.24 | % | | 1.24 | % | | 1.26 | % |
| Net investment income | | | .28 | % | | .35 | % | | .51 | % | | .01 | % | | .30 | % |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $304,459 | | | $322,951 | | | $270,290 | | | $180,795 | | | $67,814 | |
| Portfolio turnover rate | | | 112.68 | % | | 87.47 | % | | 83.80 | %(d) | | 55.07 | % | | 80.98 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Amount is less than $.01. |
| (c) | Total return assumes the reinvestment of all distributions. |
| (d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Large Cap Value Fund on June 15, 2012. |
| | See Notes to Financial Statements. | 89 |
Financial Highlights
GROWTH LEADERS FUND
| | | | | | Class A Shares | | | | |
| | | | | | | | | | | | 6/24/2011(a) | |
| | | Year Ended 10/31 | | to | |
| | | 2014 | | | 2013 | | | 2012 | | | 10/31/2011 | |
| Per Share Operating Performance | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $21.44 | | | | $15.15 | | | | $14.50 | | | | $15.00 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income (loss)(b) | | | — | (c) | | | (.03 | ) | | | (.01 | ) | | | (.01 | ) |
| Net realized and unrealized gain (loss) | | | 3.01 | | | | 6.36 | | | | .66 | | | | (.49 | ) |
| Total from investment operations | | | 3.01 | | | | 6.33 | | | | .65 | | | | (.50 | ) |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.04 | ) | | | — | | | | — | |
| Net realized gain | | | (1.37 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.37 | ) | | | (.04 | ) | | | — | | | | — | |
| Net asset value, end of period | | | $23.08 | | | | $21.44 | | | | $15.15 | | | | $14.50 | |
| Total Return(d) | | | 14.59 | % | | | 42.20 | % | | | 4.48 | % | | | (3.33 | )%(e) |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .85 | % | | | .85 | % | | | .85 | % | | | .84 | %(f) |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .85 | % | | | .85 | % | | | .85 | % | | | .84 | %(f) |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.04 | % | | | 1.34 | % | | | 1.55 | % | | | 3.04 | %(f) |
| Net investment income (loss) | | | .01 | % | | | (.14 | )% | | | (.06 | )% | | | (.23 | )%(f) |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000) | | | $495,861 | | | | $191,798 | | | | $15,372 | | | | $7,882 | |
| Portfolio turnover rate | | | 506.90 | % | | | 451.09 | %(g) | | | 683.50 | % | | | 208.96 | % |
| (a) | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | Calculated using average shares outstanding during the period. |
| (c) | Amount is less than $.01. |
| (d) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (e) | Not annualized. |
| (f) | Annualized. |
| (g) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Stock Appreciation Fund on March 22, 2013. |
| 90 | See Notes to Financial Statements. | |
Financial Highlights (continued)
GROWTH LEADERS FUND
| | | Class B Shares | |
| | | | | | | | 2/11/2013(a) | |
| | | | Year Ended | | | | to | |
| | | | 10/31/2014 | | | | 10/31/2013 | |
| Per Share Operating Performance | | | | | | | | |
| Net asset value, beginning of period | | | $21.33 | | | | $16.56 | |
| Investment operations: | | | | | | | | |
| Net investment loss(b) | | | (.15 | ) | | | (.11 | ) |
| Net realized and unrealized gain | | | 2.98 | | | | 4.88 | |
| Total from investment operations | | | 2.83 | | | | 4.77 | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gain | | | (1.37 | ) | | | — | |
| Net asset value, end of period | | | $22.79 | | | | $21.33 | |
| Total Return(c) | | | 13.77 | % | | | 29.05 | %(d) |
| Ratios to Average Net Assets: | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.56 | % | | | 1.49 | %(e) |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.56 | % | | | 1.49 | %(e) |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.75 | % | | | 1.88 | %(e) |
| Net investment loss | | | (.69 | )% | | | (.82 | )%(e) |
| | | | | | | | | |
| Supplemental Data: | | | | | | | | |
| Net assets, end of period (000) | | | $6,332 | | | | $8,041 | |
| Portfolio turnover rate | | | 506.90 | % | | | 451.09 | %(f) |
| (a) | Commencement of operations was 2/11/2013, SEC effective date was 11/28/2012. |
| (b) | Calculated using average shares outstanding during the period. |
| (c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Stock Appreciation Fund on March 22, 2013. |
| | See Notes to Financial Statements. | 91 |
Financial Highlights (continued)
GROWTH LEADERS FUND
| | | | | | Class C Shares | | | | |
| | | | | | | | | | | | 6/24/2011(a) | |
| | | Year Ended 10/31 | | to | |
| | | 2014 | | | 2013 | | | 2012 | | | 10/31/2011 | |
| Per Share Operating Performance | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $21.14 | | | | $15.02 | | | | $14.47 | | | | $15.00 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment loss(b) | | | (.15 | ) | | | (.15 | ) | | | (.11 | ) | | | (.05 | ) |
| Net realized and unrealized gain (loss) | | | 2.95 | | | | 6.30 | | | | .66 | | | | (.48 | ) |
| Total from investment operations | | | 2.80 | | | | 6.15 | | | | .55 | | | | (.53 | ) |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.03 | ) | | | — | | | | — | |
| Net realized gain | | | (1.37 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.37 | ) | | | (.03 | ) | | | — | | | | — | |
| Net asset value, end of period | | | $22.57 | | | | $21.14 | | | | $15.02 | | | | $14.47 | |
| Total Return(c) | | | 13.81 | % | | | 41.24 | % | | | 3.80 | % | | | (3.53 | )%(d) |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.56 | % | | | 1.45 | % | | | 1.49 | % | | | 1.47 | %(e) |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.56 | % | | | 1.45 | % | | | 1.49 | % | | | 1.47 | %(e) |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.76 | % | | | 1.88 | % | | | 2.15 | % | | | 2.78 | %(e) |
| Net investment loss | | | (.71 | )% | | | (.79 | )% | | | (.70 | )% | | | (.91 | )%(e) |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000) | | | $236,853 | | | | $66,471 | | | | $1,898 | | | | $175 | |
| Portfolio turnover rate | | | 506.90 | % | | | 451.09 | %(f) | | | 683.50 | % | | | 208.96 | % |
| (a) | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | Calculated using average shares outstanding during the period. |
| (c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Stock Appreciation Fund on March 22, 2013. |
| 92 | See Notes to Financial Statements. | |
Financial Highlights (continued)
GROWTH LEADERS FUND
| | | | | | Class F Shares | | | | |
| | | | | | | | | | | | 6/24/2011(a) | |
| | | Year Ended 10/31 | | to | |
| | | 2014 | | | 2013 | | | 2012 | | | 10/31/2011 | |
| Per Share Operating Performance | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $21.49 | | | | $15.18 | | | | $14.51 | | | | $15.00 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income(b) | | | .04 | | | | — | (c) | | | .03 | | | | — | (c) |
| Net realized and unrealized gain (loss) | | | 3.01 | | | | 6.39 | | | | .65 | | | | (.49 | ) |
| Total from investment operations | | | 3.05 | | | | 6.39 | | | | .68 | | | | (.49 | ) |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.08 | ) | | | (.01 | ) | | | — | |
| Net realized gain | | | (1.37 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.37 | ) | | | (.08 | ) | | | (.01 | ) | | | — | |
| Net asset value, end of period | | | $23.17 | | | | $21.49 | | | | $15.18 | | | | $14.51 | |
| Total Return(d) | | | 14.80 | % | | | 42.51 | % | | | 4.69 | % | | | (3.27 | )%(e) |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .68 | % | | | .60 | % | | | .60 | % | | | .59 | %(f) |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .68 | % | | | .60 | % | | | .60 | % | | | .59 | %(f) |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | .87 | % | | | 1.07 | % | | | 1.33 | % | | | 1.95 | %(f) |
| Net investment income | | | .17 | % | | | .01 | % | | | .21 | % | | | .08 | %(f) |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000) | | | $498,908 | | | | $109,011 | | | | $3,797 | | | | $5,993 | |
| Portfolio turnover rate | | | 506.90 | % | | | 451.09 | %(g) | | | 683.50 | % | | | 208.96 | % |
| (a) | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | Calculated using average shares outstanding during the period. |
| (c) | Amount is less than $.01. |
| (d) | Total return assumes the reinvestment of all distributions. |
| (e) | Not annualized. |
| (f) | Annualized. |
| (g) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Stock Appreciation Fund on March 22, 2013. |
| | See Notes to Financial Statements. | 93 |
Financial Highlights (continued)
GROWTH LEADERS FUND
| | | Class I Shares |
| | | Year Ended 10/31 | | 6/24/2011(a)
to | |
| | | 2014 | | | 2013 | | | 2012 | | | 10/31/2011 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $21.51 | | | | $15.20 | | | | $14.51 | | | | $15.00 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income(b) | | | .06 | | | | .04 | | | | .04 | | | | .01 | |
| Net realized and unrealized gain (loss) | | | 3.03 | | | | 6.36 | | | | .67 | | | | (.50 | ) |
| Total from investment operations | | | 3.09 | | | | 6.40 | | | | .71 | | | | (.49 | ) |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.09 | ) | | | (.02 | ) | | | — | |
| Net realized gain | | | (1.37 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.37 | ) | | | (.09 | ) | | | (.02 | ) | | | — | |
| Net asset value, end of period | | | $23.23 | | | | $21.51 | | | | $15.20 | | | | $14.51 | |
| Total Return(c) | | | 14.93 | % | | | 42.67 | % | | | 4.87 | % | | | (3.27 | )%(d) |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .57 | % | | | .50 | % | | | .50 | % | | | .49 | %(e) |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .57 | % | | | .50 | % | | | .50 | % | | | .49 | %(e) |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | .76 | % | | | .95 | % | | | 1.22 | % | | | 2.20 | %(e) |
| Net investment income | | | .29 | % | | | .21 | % | | | .29 | % | | | .17 | %(e) |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000) | | | $71,803 | | | | $50,326 | | | | $2,697 | | | | $1,952 | |
| Portfolio turnover rate | | | 506.90 | % | | | 451.09 | %(f) | | | 683.50 | % | | | 208.96 | % |
| (a) | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | Calculated using average shares outstanding during the period. |
| (c) | Total return assumes the reinvestment of all distributions. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Stock Appreciation Fund on March 22, 2013. |
| 94 | See Notes to Financial Statements. | |
Financial Highlights (continued)
GROWTH LEADERS FUND
| | | Class R2 Shares |
| | | Year Ended 10/31 | | 6/24/2011(a)
to | |
| | | 2014 | | | 2013 | | | 2012 | | | 10/31/2011 | |
| Per Share Operating Performance | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $21.58 | | | | $15.19 | | | | $14.49 | | | | $15.00 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income (loss)(b) | | | (.07 | ) | | | .04 | | | | .05 | | | | (.03 | ) |
| Net realized and unrealized gain (loss) | | | 3.03 | | | | 6.38 | | | | .65 | | | | (.48 | ) |
| Total from investment operations | | | 2.96 | | | | 6.42 | | | | .70 | | | | (.51 | ) |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.03 | ) | | | — | | | | — | |
| Net realized gain | | | (1.37 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.37 | ) | | | (.03 | ) | | | — | | | | — | |
| Net asset value, end of period | | | $23.17 | | | | $21.58 | | | | $15.19 | | | | $14.49 | |
| Total Return(c) | | | 14.24 | % | | | 42.62 | % | | | 4.83 | % | | | (3.40 | )%(d) |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.18 | % | | | .58 | % | | | .48 | % | | | 1.06 | %(e) |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.18 | % | | | .58 | % | | | .48 | % | | | 1.06 | %(e) |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.37 | % | | | 1.70 | % | | | 1.22 | % | | | 5.05 | %(e) |
| Net investment income (loss) | | | (.31 | )% | | | .22 | % | | | .31 | % | | | (.49 | )%(e) |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000) | | | $342 | | | | $44 | | | | $10 | | | | $10 | |
| Portfolio turnover rate | | | 506.90 | % | | | 451.09 | %(f) | | | 683.50 | % | | | 208.96 | % |
| (a) | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | Calculated using average shares outstanding during the period. |
| (c) | Total return assumes the reinvestment of all distributions. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Stock Appreciation Fund on March 22, 2013. |
| | See Notes to Financial Statements. | 95 |
Financial Highlights (concluded)
GROWTH LEADERS FUND
| | | Class R3 Shares |
| | | Year Ended 10/31 | | 6/24/2011(a)
to | |
| | | 2014 | | | 2013 | | | 2012 | | | 10/31/2011 | |
| Per Share Operating Performance | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $21.45 | | | | $15.16 | | | | $14.49 | | | | $15.00 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income (loss)(b) | | | (.04 | ) | | | (.06 | ) | | | .01 | | | | (.02 | ) |
| Net realized and unrealized gain (loss) | | | 2.99 | | | | 6.38 | | | | .66 | | | | (.49 | ) |
| Total from investment operations | | | 2.95 | | | | 6.32 | | | | .67 | | | | (.51 | ) |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.03 | ) | | | — | | | | — | |
| Net realized gain | | | (1.37 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.37 | ) | | | (.03 | ) | | | — | | | | — | |
| Net asset value, end of period | | | $23.03 | | | | $21.45 | | | | $15.16 | | | | $14.49 | |
| Total Return(c) | | | 14.34 | % | | | 41.98 | % | | | 4.62 | % | | | (3.40 | )%(d) |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.07 | % | | | 1.00 | % | | | .72 | % | | | .97 | %(e) |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.07 | % | | | 1.00 | % | | | .72 | % | | | .97 | %(e) |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.26 | % | | | 1.39 | % | | | 1.42 | % | | | 4.96 | %(e) |
| Net investment income (loss) | | | (.20 | )% | | | (.33 | )% | | | .08 | % | | | (.40 | )%(e) |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000) | | | $10,191 | | | | $8,289 | | | | $11 | | | | $10 | |
| Portfolio turnover rate | | | 506.90 | % | | | 451.09 | %(f) | | | 683.50 | % | | | 208.96 | % |
| (a) | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | Calculated using average shares outstanding during the period. |
| (c) | Total return assumes the reinvestment of all distributions. |
| (d) | Not annualized. |
| (e) | Annualized. |
| (f) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Stock Appreciation Fund on March 22, 2013. |
| 96 | See Notes to Financial Statements. | |
Financial Highlights
INTERNATIONAL CORE EQUITY FUND
| | | Class A Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $13.97 | | | | $11.43 | | | | $11.25 | | | | $12.12 | | | | $11.20 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .17 | | | | .18 | | | | .28 | | | | .20 | | | | .12 | |
| Net realized and unrealized gain (loss) | | | (.54 | ) | | | 2.62 | | | | .12 | | | | (.94 | ) | | | .88 | |
| Total from investment operations | | | (.37 | ) | | | 2.80 | | | | .40 | | | | (.74 | ) | | | 1.00 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.26 | ) | | | (.26 | ) | | | (.22 | ) | | | (.13 | ) | | | (.08 | ) |
| Net asset value, end of year | | | $13.34 | | | | $13.97 | | | | $11.43 | | | | $11.25 | | | | $12.12 | |
| Total Return(b) | | | (2.67 | )% | | | 24.99 | % | | | 3.81 | % | | | (6.16 | )% | | | 8.95 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.12 | % | | | 1.12 | % | | | 1.12 | % | | | 1.12 | % | | | 1.18 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.12 | % | | | 1.12 | % | | | 1.12 | % | | | 1.12 | % | | | 1.18 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.36 | % | | | 1.38 | % | | | 1.47 | % | | | 1.42 | % | | | 1.44 | % |
| Net investment income | | | 1.25 | % | | | 1.41 | % | | | 2.53 | % | | | 1.64 | % | | | 1.05 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $368,087 | | | | $437,271 | | | | $383,244 | | | | $439,938 | | | | $542,452 | |
| Portfolio turnover rate | | | 64.06 | % | | | 80.77 | % | | | 81.50 | % | | | 83.78 | % | | | 98.73 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 97 |
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | Class B Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $13.76 | | | | $11.26 | | | | $11.06 | | | | $11.91 | | | | $11.02 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .08 | | | | .09 | | | | .21 | | | | .12 | | | | .04 | |
| Net realized and unrealized gain (loss) | | | (.53 | ) | | | 2.60 | | | | .12 | | | | (.92 | ) | | | .87 | |
| Total from investment operations | | | (.45 | ) | | | 2.69 | | | | .33 | | | | (.80 | ) | | | .91 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.16 | ) | | | (.19 | ) | | | (.13 | ) | | | (.05 | ) | | | (.02 | ) |
| Net asset value, end of year | | | $13.15 | | | | $13.76 | | | | $11.26 | | | | $11.06 | | | | $11.91 | |
| Total Return(b) | | | (3.33 | )% | | | 24.18 | % | | | 3.13 | % | | | (6.75 | )% | | | 8.23 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.77 | % | | | 1.77 | % | | | 1.77 | % | | | 1.77 | % | | | 1.84 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.77 | % | | | 1.77 | % | | | 1.77 | % | | | 1.77 | % | | | 1.84 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.01 | % | | | 2.03 | % | | | 2.12 | % | | | 2.06 | % | | | 2.09 | % |
| Net investment income | | | .56 | % | | | .73 | % | | | 1.91 | % | | | .96 | % | | | .40 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $11,126 | | | | $17,239 | | | | $20,125 | | | | $27,896 | | | | $39,255 | |
| Portfolio turnover rate | | | 64.06 | % | | | 80.77 | % | | | 81.50 | % | | | 83.78 | % | | | 98.73 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| 98 | See Notes to Financial Statements. | |
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | Class C Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $13.77 | | | | $11.27 | | | | $11.08 | | | | $11.93 | | | | $11.04 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .09 | | | | .09 | | | | .21 | | | | .12 | | | | .04 | |
| Net realized and unrealized gain (loss) | | | (.54 | ) | | | 2.61 | | | | .12 | | | | (.92 | ) | | | .87 | |
| Total from investment operations | | | (.45 | ) | | | 2.70 | | | | .33 | | | | (.80 | ) | | | .91 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.18 | ) | | | (.20 | ) | | | (.14 | ) | | | (.05 | ) | | | (.02 | ) |
| Net asset value, end of year | | | $13.14 | | | | $13.77 | | | | $11.27 | | | | $11.08 | | | | $11.93 | |
| Total Return(b) | | | (3.31 | )% | | | 24.26 | % | | | 3.11 | % | | | (6.73 | )% | | | 8.21 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.75 | % | | | 1.75 | % | | | 1.75 | % | | | 1.74 | % | | | 1.84 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.75 | % | | | 1.75 | % | | | 1.75 | % | | | 1.74 | % | | | 1.84 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.99 | % | | | 2.01 | % | | | 2.10 | % | | | 2.03 | % | | | 2.09 | % |
| Net investment income | | | .65 | % | | | .77 | % | | | 1.91 | % | | | 1.01 | % | | | .38 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $49,491 | | | | $57,779 | | | | $54,056 | | | | $68,316 | | | | $91,550 | |
| Portfolio turnover rate | | | 64.06 | % | | | 80.77 | % | | | 81.50 | % | | | 83.78 | % | | | 98.73 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 99 |
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | Class F Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $13.89 | | | | $11.36 | | | | $11.20 | | | | $12.08 | | | | $11.16 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .18 | | | | .18 | | | | .30 | | | | .24 | | | | .16 | |
| Net realized and unrealized gain (loss) | | | (.51 | ) | | | 2.64 | | | | .12 | | | | (.95 | ) | | | .86 | |
| Total from investment operations | | | (.33 | ) | | | 2.82 | | | | .42 | | | | (.71 | ) | | | 1.02 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.30 | ) | | | (.29 | ) | | | (.26 | ) | | | (.17 | ) | | | (.10 | ) |
| Net asset value, end of year | | | $13.26 | | | | $13.89 | | | | $11.36 | | | | $11.20 | | | | $12.08 | |
| Total Return(b) | | | (2.46 | )% | | | 25.35 | % | | | 4.02 | % | | | (5.98 | )% | | | 9.25 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .87 | % | | | .87 | % | | | .87 | % | | | .87 | % | | | .90 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .87 | % | | | .87 | % | | | .87 | % | | | .87 | % | | | .90 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.11 | % | | | 1.13 | % | | | 1.22 | % | | | 1.18 | % | | | 1.18 | % |
| Net investment income | | | 1.29 | % | | | 1.42 | % | | | 2.71 | % | | | 1.98 | % | | | 1.45 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $78,364 | | | | $142,063 | | | | $151,246 | | | | $80,747 | | | | $31,153 | |
| Portfolio turnover rate | | | 64.06 | % | | | 80.77 | % | | | 81.50 | % | | | 83.78 | % | | | 98.73 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| 100 | See Notes to Financial Statements. | |
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | Class I Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $14.07 | | | | $11.51 | | | | $11.34 | | | | $12.21 | | | | $11.28 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .21 | | | | .22 | | | | .27 | | | | .25 | | | | .15 | |
| Net realized and unrealized gain (loss) | | | (.53 | ) | | | 2.64 | | | | .17 | | | | (.95 | ) | | | .89 | |
| Total from investment operations | | | (.32 | ) | | | 2.86 | | | | .44 | | | | (.70 | ) | | | 1.04 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.31 | ) | | | (.30 | ) | | | (.27 | ) | | | (.17 | ) | | | (.11 | ) |
| Net asset value, end of year | | | $13.44 | | | | $14.07 | | | | $11.51 | | | | $11.34 | | | | $12.21 | |
| Total Return(b) | | | (2.34 | )% | | | 25.37 | % | | | 4.15 | % | | | (5.78 | )% | | | 9.31 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .77 | % | | | .77 | % | | | .77 | % | | | .77 | % | | | .82 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .77 | % | | | .77 | % | | | .77 | % | | | .77 | % | | | .82 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.01 | % | | | 1.03 | % | | | 1.12 | % | | | 1.07 | % | | | 1.08 | % |
| Net investment income | | | 1.50 | % | | | 1.77 | % | | | 2.48 | % | | | 2.06 | % | | | 1.34 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $95,958 | | | | $155,754 | | | | $107,076 | | | | $222,808 | | | | $267,253 | |
| Portfolio turnover rate | | | 64.06 | % | | | 80.77 | % | | | 81.50 | % | | | 83.78 | % | | | 98.73 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 101 |
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | Class P Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $13.94 | | | | $11.39 | | | | $11.17 | | | | $12.04 | | | | $11.13 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .17 | | | | .16 | | | | .27 | | | | .10 | | | | .10 | |
| Net realized and unrealized gain (loss) | | | (.55 | ) | | | 2.63 | | | | .12 | | | | (.84 | ) | | | .88 | |
| Total from investment operations | | | (.38 | ) | | | 2.79 | | | | .39 | | | | (.74 | ) | | | .98 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.25 | ) | | | (.24 | ) | | | (.17 | ) | | | (.13 | ) | | | (.07 | ) |
| Net asset value, end of year | | | $13.31 | | | | $13.94 | | | | $11.39 | | | | $11.17 | | | | $12.04 | |
| Total Return(b) | | | (2.77 | )% | | | 24.91 | % | | | 3.63 | % | | | (6.23 | )% | | | 8.84 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.22 | % | | | 1.22 | % | | | 1.22 | % | | | 1.22 | % | | | 1.29 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.22 | % | | | 1.22 | % | | | 1.22 | % | | | 1.22 | % | | | 1.29 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.46 | % | | | 1.48 | % | | | 1.58 | % | | | 1.51 | % | | | 1.54 | % |
| Net investment income | | | 1.20 | % | | | 1.30 | % | | | 2.45 | % | | | .83 | % | | | .92 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $150 | | | | $278 | | | | $282 | | | | $470 | | | | $1,765 | |
| Portfolio turnover rate | | | 64.06 | % | | | 80.77 | % | | | 81.50 | % | | | 83.78 | % | | | 98.73 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| 102 | See Notes to Financial Statements. | |
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | Class R2 Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $13.92 | | | | $11.41 | | | | $11.24 | | | | $12.14 | | | | $11.20 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .15 | | | | .15 | | | | .23 | | | | .18 | | | | .08 | |
| Net realized and unrealized gain (loss) | | | (.55 | ) | | | 2.61 | | | | .14 | | | | (.95 | ) | | | .91 | |
| Total from investment operations | | | (.40 | ) | | | 2.76 | | | | .37 | | | | (.77 | ) | | | .99 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.23 | ) | | | (.25 | ) | | | (.20 | ) | | | (.13 | ) | | | (.05 | ) |
| Net asset value, end of year | | | $13.29 | | | | $13.92 | | | | $11.41 | | | | $11.24 | | | | $12.14 | |
| Total Return(b) | | | (2.89 | )% | | | 24.65 | % | | | 3.51 | % | | | (6.38 | )% | | | 8.86 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.37 | % | | | 1.37 | % | | | 1.37 | % | | | 1.37 | % | | | 1.35 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.37 | % | | | 1.37 | % | | | 1.37 | % | | | 1.37 | % | | | 1.35 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.61 | % | | | 1.63 | % | | | 1.72 | % | | | 1.67 | % | | | 1.64 | % |
| Net investment income | | | 1.07 | % | | | 1.20 | % | | | 2.13 | % | | | 1.46 | % | | | .73 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $1,011 | | | | $868 | | | | $568 | | | | $651 | | | | $570 | |
| Portfolio turnover rate | | | 64.06 | % | | | 80.77 | % | | | 81.50 | % | | | 83.78 | % | | | 98.73 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 103 |
Financial Highlights (concluded)
INTERNATIONAL CORE EQUITY FUND
| | | Class R3 Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $13.77 | | | | $11.28 | | | | $11.11 | | | | $12.00 | | | | $11.10 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .16 | | | | .16 | | | | .26 | | | | .19 | | | | .11 | |
| Net realized and unrealized gain (loss) | | | (.55 | ) | | | 2.59 | | | | .12 | | | | (.94 | ) | | | .87 | |
| Total from investment operations | | | (.39 | ) | | | 2.75 | | | | .38 | | | | (.75 | ) | | | .98 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.24 | ) | | | (.26 | ) | | | (.21 | ) | | | (.14 | ) | | | (.08 | ) |
| Net asset value, end of year | | | $13.14 | | | | $13.77 | | | | $11.28 | | | | $11.11 | | | | $12.00 | |
| Total Return(b) | | | (2.85 | )% | | | 24.80 | % | | | 3.68 | % | | | (6.35 | )% | | | 8.89 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.26 | % | | | 1.26 | % | | | 1.26 | % | | | 1.26 | % | | | 1.28 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.26 | % | | | 1.26 | % | | | 1.26 | % | | | 1.26 | % | | | 1.28 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.50 | % | | | 1.52 | % | | | 1.61 | % | | | 1.57 | % | | | 1.57 | % |
| Net investment income | | | 1.15 | % | | | 1.27 | % | | | 2.36 | % | | | 1.54 | % | | | 1.02 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $20,156 | | | | $19,739 | | | | $17,275 | | | | $12,725 | | | | $10,418 | |
| Portfolio turnover rate | | | 64.06 | % | | | 80.77 | % | | | 81.50 | % | | | 83.78 | % | | | 98.73 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| 104 | See Notes to Financial Statements. | |
Financial Highlights
INTERNATIONAL DIVIDEND INCOME FUND
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $9.11 | | | | $7.80 | | | | $7.88 | | | | $8.64 | | | | $8.22 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .36 | | | | .33 | | | | .35 | | | | .42 | | | | .34 | |
| Net realized and unrealized gain (loss) | | | (.31 | ) | | | 1.31 | | | | (.08 | ) | | | (.78 | ) | | | .42 | |
| Total from investment operations | | | .05 | | | | 1.64 | | | | .27 | | | | (.36 | ) | | | .76 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.41 | ) | | | (.33 | ) | | | (.35 | ) | | | (.40 | ) | | | (.34 | ) |
| Net asset value, end of year | | | $8.75 | | | | $9.11 | | | | $7.80 | | | | $7.88 | | | | $8.64 | |
| Total Return(b) | | | .47 | % | | | 21.54 | % | | | 3.60 | % | | | (4.42 | )% | | | 9.58 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.12 | % | | | 1.12 | % | | | 1.12 | % | | | 1.12 | % | | | 1.14 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.12 | % | | | 1.12 | % | | | 1.12 | % | | | 1.12 | % | | | 1.14 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.24 | % | | | 1.27 | % | | | 1.36 | % | | | 1.43 | % | | | 1.46 | % |
| Net investment income | | | 3.99 | % | | | 3.94 | % | | | 4.59 | % | | | 4.96 | % | | | 4.23 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $1,000,763 | | | | $954,305 | | | | $618,824 | | | | $278,975 | | | | $162,611 | |
| Portfolio turnover rate | | | 72.26 | % | | | 78.39 | % | | | 84.81 | % | | | 100.16 | % | | | 100.06 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 105 |
Financial Highlights (continued)
INTERNATIONAL DIVIDEND INCOME FUND
| | | Class C Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $9.04 | | | | $7.75 | | | | $7.84 | | | | $8.60 | | | | $8.19 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .31 | | | | .28 | | | | .29 | | | | .36 | | | | .29 | |
| Net realized and unrealized gain (loss) | | | (.31 | ) | | | 1.29 | | | | (.07 | ) | | | (.77 | ) | | | .41 | |
| Total from investment operations | | | — | | | | 1.57 | | | | .22 | | | | (.41 | ) | | | .70 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.36 | ) | | | (.28 | ) | | | (.31 | ) | | | (.35 | ) | | | (.29 | ) |
| Net asset value, end of year | | | $8.68 | | | | $9.04 | | | | $7.75 | | | | $7.84 | | | | $8.60 | |
| Total Return(b) | | | (.14 | )% | | | 20.70 | % | | | 2.95 | % | | | (5.03 | )% | | | 8.99 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.77 | % | | | 1.77 | % | | | 1.76 | % | | | 1.76 | % | | | 1.79 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.77 | % | | | 1.77 | % | | | 1.76 | % | | | 1.76 | % | | | 1.79 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.89 | % | | | 1.92 | % | | | 2.01 | % | | | 2.07 | % | | | 2.10 | % |
| Net investment income | | | 3.42 | % | | | 3.33 | % | | | 3.88 | % | | | 4.29 | % | | | 3.61 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $191,120 | | | | $143,807 | | | | $74,664 | | | | $22,329 | | | | $13,561 | |
| Portfolio turnover rate | | | 72.26 | % | | | 78.39 | % | | | 84.81 | % | | | 100.16 | % | | | 100.06 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| 106 | See Notes to Financial Statements. | |
Financial Highlights (continued)
INTERNATIONAL DIVIDEND INCOME FUND
| | | Class F Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $9.12 | | | | $7.81 | | | | $7.89 | | | | $8.65 | | | | $8.23 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .39 | | | | .36 | | | | .37 | | | | .45 | | | | .39 | |
| Net realized and unrealized gain (loss) | | | (.30 | ) | | | 1.30 | | | | (.08 | ) | | | (.79 | ) | | | .39 | |
| Total from investment operations | | | .09 | | | | 1.66 | | | | .29 | | | | (.34 | ) | | | .78 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.44 | ) | | | (.35 | ) | | | (.37 | ) | | | (.42 | ) | | | (.36 | ) |
| Net asset value, end of year | | | $8.77 | | | | $9.12 | | | | $7.81 | | | | $7.89 | | | | $8.65 | |
| Total Return(b) | | | .83 | % | | | 21.80 | % | | | 3.83 | % | | | (4.18 | )% | | | 9.95 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .87 | % | | | .87 | % | | | .87 | % | | | .87 | % | | | .88 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .87 | % | | | .87 | % | | | .87 | % | | | .87 | % | | | .88 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | .99 | % | | | 1.02 | % | | | 1.11 | % | | | 1.18 | % | | | 1.21 | % |
| Net investment income | | | 4.24 | % | | | 4.23 | % | | | 4.79 | % | | | 5.27 | % | | | 4.78 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $322,648 | | | | $228,586 | | | | $128,360 | | | | $26,892 | | | | $12,745 | |
| Portfolio turnover rate | | | 72.26 | % | | | 78.39 | % | | | 84.81 | % | | | 100.16 | % | | | 100.06 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 107 |
Financial Highlights (continued)
INTERNATIONAL DIVIDEND INCOME FUND
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $9.14 | | | | $7.83 | | | | $7.91 | | | | $8.66 | | | | $8.24 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .42 | | | | .36 | | | | .38 | | | | .43 | | | | .37 | |
| Net realized and unrealized gain (loss) | | | (.32 | ) | | | 1.31 | | | | (.09 | ) | | | (.75 | ) | | | .41 | |
| Total from investment operations | | | .10 | | | | 1.67 | | | | .29 | | | | (.32 | ) | | | .78 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.45 | ) | | | (.36 | ) | | | (.37 | ) | | | (.43 | ) | | | (.36 | ) |
| Net asset value, end of year | | | $8.79 | | | | $9.14 | | | | $7.83 | | | | $7.91 | | | | $8.66 | |
| Total Return(b) | | | .93 | % | | | 21.86 | % | | | 3.91 | % | | | (3.97 | )% | | | 10.03 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .77 | % | | | .77 | % | | | .77 | % | | | .77 | % | | | .81 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .77 | % | | | .77 | % | | | .77 | % | | | .77 | % | | | .81 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | .89 | % | | | .92 | % | | | 1.01 | % | | | 1.09 | % | | | 1.10 | % |
| Net investment income | | | 4.53 | % | | | 4.28 | % | | | 5.00 | % | | | 5.06 | % | | | 4.53 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $963,200 | | | | $1,005,558 | | | | $893,066 | | | | $559,879 | | | | $265,348 | |
| Portfolio turnover rate | | | 72.26 | % | | | 78.39 | % | | | 84.81 | % | | | 100.16 | % | | | 100.06 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| 108 | See Notes to Financial Statements. | |
Financial Highlights (continued)
INTERNATIONAL DIVIDEND INCOME FUND
| | | Class R2 Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $9.27 | | | | $7.94 | | | | $8.03 | | | | $8.76 | | | | $8.29 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .36 | | | | .32 | | | | .33 | | | | .45 | | | | .37 | |
| Net realized and unrealized gain (loss) | | | (.32 | ) | | | 1.32 | | | | (.08 | ) | | | (.79 | ) | | | .42 | |
| Total from investment operations | | | .04 | | | | 1.64 | | | | .25 | | | | (.34 | ) | | | .79 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.39 | ) | | | (.31 | ) | | | (.34 | ) | | | (.39 | ) | | | (.32 | ) |
| Net asset value, end of year | | | $8.92 | | | | $9.27 | | | | $7.94 | | | | $8.03 | | | | $8.76 | |
| Total Return(b) | | | .33 | % | | | 21.13 | % | | | 3.32 | % | | | (4.15 | )% | | | 9.96 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.37 | % | | | 1.37 | % | | | 1.34 | % | | | .91 | % | | | .84 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.37 | % | | | 1.37 | % | | | 1.34 | % | | | .91 | % | | | .84 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.49 | % | | | 1.52 | % | | | 1.60 | % | | | 1.22 | % | | | 1.13 | % |
| Net investment income | | | 3.86 | % | | | 3.73 | % | | | 4.24 | % | | | 5.15 | % | | | 4.45 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $1,298 | | | | $860 | | | | $464 | | | | $16 | | | | $10 | |
| Portfolio turnover rate | | | 72.26 | % | | | 78.39 | % | | | 84.81 | % | | | 100.16 | % | | | 100.06 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 109 |
Financial Highlights (concluded)
INTERNATIONAL DIVIDEND INCOME FUND
| | | Class R3 Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $9.18 | | | | $7.86 | | | | $7.94 | | | | $8.71 | | | | $8.28 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .37 | | | | .35 | | | | .37 | | �� | | .41 | | | | .36 | |
| Net realized and unrealized gain (loss) | | | (.32 | ) | | | 1.29 | | | | (.12 | ) | | | (.79 | ) | | | .40 | |
| Total from investment operations | | | .05 | | | | 1.64 | | | | .25 | | | | (.38 | ) | | | .76 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.40 | ) | | | (.32 | ) | | | (.33 | ) | | | (.39 | ) | | | (.33 | ) |
| Net asset value, end of year | | | $8.83 | | | | $9.18 | | | | $7.86 | | | | $7.94 | | | | $8.71 | |
| Total Return(b) | | | .41 | % | | | 21.30 | % | | | 3.39 | % | | | (4.61 | )% | | | 9.62 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.27 | % | | | 1.27 | % | | | 1.27 | % | | | 1.26 | % | | | 1.24 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.27 | % | | | 1.27 | % | | | 1.27 | % | | | 1.26 | % | | | 1.24 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.39 | % | | | 1.42 | % | | | 1.50 | % | | | 1.59 | % | | | 1.58 | % |
| Net investment income | | | 4.03 | % | | | 4.11 | % | | | 4.80 | % | | | 4.80 | % | | | 4.40 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $11,273 | | | | $5,200 | | | | $33,065 | | | | $331 | | | | $111 | |
| Portfolio turnover rate | | | 72.26 | % | | | 78.39 | % | | | 84.81 | % | | | 100.16 | % | | | 100.06 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| 110 | See Notes to Financial Statements. | |
Financial Highlights
INTERNATIONAL OPPORTUNITIES FUND
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $16.83 | | | | $13.17 | | | | $12.00 | | | | $12.87 | | | | $10.70 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .11 | | | | .10 | | | | .15 | | | | .10 | | | | .06 | |
| Net realized and unrealized gain (loss) | | | (.51 | ) | | | 3.82 | | | | 1.10 | | | | (.92 | ) | | | 2.20 | |
| Total from investment operations | | | (.40 | ) | | | 3.92 | | | | 1.25 | | | | (.82 | ) | | | 2.26 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.21 | ) | | | (.26 | ) | | | (.08 | ) | | | (.05 | ) | | | (.09 | ) |
| Net asset value, end of year | | | $16.22 | | | | $16.83 | | | | $13.17 | | | | $12.00 | | | | $12.87 | |
| Total Return(b) | | | (2.39 | )% | | | 30.26 | % | | | 10.59 | % | | | (6.39 | )% | | | 21.21 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.35 | % | | | 1.47 | % | | | 1.52 | % | | | 1.49 | % | | | 1.54 | % |
| Expenses, excluding expense reductions | | | 1.35 | % | | | 1.47 | % | | | 1.52 | % | | | 1.49 | % | | | 1.54 | % |
| Net investment income | | | .66 | % | | | .66 | % | | | 1.20 | % | | | .79 | % | | | .54 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $117,037 | | | | $99,530 | | | | $76,139 | | | | $83,729 | | | | $98,272 | |
| Portfolio turnover rate | | | 80.08 | % | | | 99.98 | % | | | 91.18 | % | | | 103.98 | % | | | 83.13 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 111 |
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | Class B Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $15.96 | | | | $12.49 | | | | $11.36 | | | | $12.21 | | | | $10.17 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)(a) | | | (.03 | ) | | | — | (b) | | | .06 | | | | .02 | | | | (.01 | ) |
| Net realized and unrealized gain (loss) | | | (.46 | ) | | | 3.63 | | | | 1.07 | | | | (.87 | ) | | | 2.08 | |
| Total from investment operations | | | (.49 | ) | | | 3.63 | | | | 1.13 | | | | (.85 | ) | | | 2.07 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.10 | ) | | | (.16 | ) | | | — | | | | — | | | | (.03 | ) |
| Net asset value, end of year | | | $15.37 | | | | $15.96 | | | | $12.49 | | | | $11.36 | | | | $12.21 | |
| Total Return(c) | | | (3.09 | )% | | | 29.39 | % | | | 9.95 | % | | | (6.96 | )% | | | 20.35 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 2.07 | % | | | 2.12 | % | | | 2.16 | % | | | 2.13 | % | | | 2.19 | % |
| Expenses, excluding expense reductions | | | 2.07 | % | | | 2.12 | % | | | 2.16 | % | | | 2.13 | % | | | 2.19 | % |
| Net investment income (loss) | | | (.16 | )% | | | (.03 | )% | | | .52 | % | | | .12 | % | | | (.13 | )% |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $3,999 | | | | $6,357 | | | | $6,854 | | | | $9,439 | | | | $14,307 | |
| Portfolio turnover rate | | | 80.08 | % | | | 99.98 | % | | | 91.18 | % | | | 103.98 | % | | | 83.13 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Amount is less than $.01. |
| (c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| 112 | See Notes to Financial Statements. | |
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | Class C Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $15.84 | | | | $12.41 | | | | $11.29 | | | | $12.14 | | | | $10.12 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)(a) | | | (.02 | ) | | | — | (b) | | | .07 | | | | .02 | | | | (.01 | ) |
| Net realized and unrealized gain (loss) | | | (.46 | ) | | | 3.61 | | | | 1.06 | | | | (.87 | ) | | | 2.06 | |
| Total from investment operations | | | (.48 | ) | | | 3.61 | | | | 1.13 | | | | (.85 | ) | | | 2.05 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.13 | ) | | | (.18 | ) | | | (.01 | ) | | | — | | | | (.03 | ) |
| Net asset value, end of year | | | $15.23 | | | | $15.84 | | | | $12.41 | | | | $11.29 | | | | $12.14 | |
| Total Return(c) | | | (3.12 | )% | | | 29.43 | % | | | 10.00 | % | | | (7.00 | )% | | | 20.34 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 2.06 | % | | | 2.10 | % | | | 2.14 | % | | | 2.10 | % | | | 2.19 | % |
| Expenses, excluding expense reductions | | | 2.06 | % | | | 2.10 | % | | | 2.14 | % | | | 2.10 | % | | | 2.19 | % |
| Net investment income (loss) | | | (.10 | )% | | | .03 | % | | | .59 | % | | | .17 | % | | | (.13 | )% |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $21,868 | | | | $18,138 | | | | $13,953 | | | | $15,603 | | | | $19,969 | |
| Portfolio turnover rate | | | 80.08 | % | | | 99.98 | % | | | 91.18 | % | | | 103.98 | % | | | 83.13 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Amount is less than $0.01. |
| (c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 113 |
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | Class F Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $16.73 | | | | $13.09 | | | | $11.94 | | | | $12.81 | | | | $10.65 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .14 | | | | .17 | | | | .18 | | | | .13 | | | | .10 | |
| Net realized and unrealized gain (loss) | | | (.50 | ) | | | 3.76 | | | | 1.09 | | | | (.91 | ) | | | 2.17 | |
| Total from investment operations | | | (.36 | ) | | | 3.93 | | | | 1.27 | | | | (.78 | ) | | | 2.27 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.26 | ) | | | (.29 | ) | | | (.12 | ) | | | (.09 | ) | | | (.11 | ) |
| Net asset value, end of year | | | $16.11 | | | | $16.73 | | | | $13.09 | | | | $11.94 | | | | $12.81 | |
| Total Return(b) | | | (2.21 | )% | | | 30.63 | % | | | 10.83 | % | | | (6.16 | )% | | | 21.47 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.18 | % | | | 1.22 | % | | | 1.27 | % | | | 1.24 | % | | | 1.28 | % |
| Expenses, excluding expense reductions | | | 1.18 | % | | | 1.22 | % | | | 1.27 | % | | | 1.24 | % | | | 1.28 | % |
| Net investment income | | | .80 | % | | | 1.13 | % | | | 1.47 | % | | | 1.00 | % | | | .88 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $44,607 | | | | $18,046 | | | | $944 | | | | $934 | | | | $934 | |
| Portfolio turnover rate | | | 80.08 | % | | | 99.98 | % | | | 91.18 | % | | | 103.98 | % | | | 83.13 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| 114 | See Notes to Financial Statements. | |
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $17.25 | | | | $13.49 | | | | $12.30 | | | | $13.18 | | | | $10.96 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .15 | | | | .15 | | | | .19 | | | | .16 | | | | .11 | |
| Net realized and unrealized gain (loss) | | | (.51 | ) | | | 3.91 | | | | 1.13 | | | | (.95 | ) | | | 2.23 | |
| Total from investment operations | | | (.36 | ) | | | 4.06 | | | | 1.32 | | | | (.79 | ) | | | 2.34 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.26 | ) | | | (.30 | ) | | | (.13 | ) | | | (.09 | ) | | | (.12 | ) |
| Net asset value, end of year | | | $16.63 | | | | $17.25 | | | | $13.49 | | | | $12.30 | | | | $13.18 | |
| Total Return(b) | | | (2.10 | )% | | | 30.74 | % | | | 10.96 | % | | | (6.01 | )% | | | 21.50 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.08 | % | | | 1.12 | % | | | 1.17 | % | | | 1.14 | % | | | 1.18 | % |
| Expenses, excluding expense reductions | | | 1.08 | % | | | 1.12 | % | | | 1.17 | % | | | 1.14 | % | | | 1.18 | % |
| Net investment income | | | .87 | % | | | .99 | % | | | 1.54 | % | | | 1.17 | % | | | .93 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $274,583 | | | | $259,952 | | | | $195,785 | | | | $213,865 | | | | $232,027 | |
| Portfolio turnover rate | | | 80.08 | % | | | 99.98 | % | | | 91.18 | % | | | 103.98 | % | | | 83.13 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 115 |
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | Class P Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $17.08 | | | | $13.36 | | | | $12.17 | | | | $13.06 | | | | $10.86 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .07 | | | | .09 | | | | .14 | | | | .09 | | | | .05 | |
| Net realized and unrealized gain (loss) | | | (.51 | ) | | | 3.88 | | | | 1.12 | | | | (.94 | ) | | | 2.22 | |
| Total from investment operations | | | (.44 | ) | | | 3.97 | | | | 1.26 | | | | (.85 | ) | | | 2.27 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.18 | ) | | | (.25 | ) | | | (.07 | ) | | | (.04 | ) | | | (.07 | ) |
| Net asset value, end of year | | | $16.46 | | | | $17.08 | | | | $13.36 | | | | $12.17 | | | | $13.06 | |
| Total Return(b) | | | (2.60 | )% | | | 30.19 | % | | | 10.49 | % | | | (6.51 | )% | | | 21.05 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.53 | % | | | 1.57 | % | | | 1.62 | % | | | 1.59 | % | | | 1.64 | % |
| Expenses, excluding expense reductions | | | 1.53 | % | | | 1.57 | % | | | 1.62 | % | | | 1.59 | % | | | 1.64 | % |
| Net investment income | | | .38 | % | | | .57 | % | | | 1.14 | % | | | .69 | % | | | .44 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $872 | | | | $1,096 | | | | $929 | | | | $820 | | | | $900 | |
| Portfolio turnover rate | | | 80.08 | % | | | 99.98 | % | | | 91.18 | % | | | 103.98 | % | | | 83.13 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| 116 | See Notes to Financial Statements. | |
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | Class R2 Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $16.69 | | | | $13.07 | | | | $11.90 | | | | $12.77 | | | | $10.64 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .04 | | | | .06 | | | | .11 | | | | .07 | | | | .03 | |
| Net realized and unrealized gain (loss) | | | (.48 | ) | | | 3.79 | | | | 1.11 | | | | (.92 | ) | | | 2.18 | |
| Total from investment operations | | | (.44 | ) | | | 3.85 | | | | 1.22 | | | | (.85 | ) | | | 2.21 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.20 | ) | | | (.23 | ) | | | (.05 | ) | | | (.02 | ) | | | (.08 | ) |
| Net asset value, end of year | | | $16.05 | | | | $16.69 | | | | $13.07 | | | | $11.90 | | | | $12.77 | |
| Total Return(b) | | | (2.69 | )% | | | 29.97 | % | | | 10.35 | % | | | (6.68 | )% | | | 20.90 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.68 | % | | | 1.72 | % | | | 1.76 | % | | | 1.74 | % | | | 1.79 | % |
| Expenses, excluding expense reductions | | | 1.68 | % | | | 1.72 | % | | | 1.76 | % | | | 1.74 | % | | | 1.79 | % |
| Net investment income | | | .26 | % | | | .40 | % | | | .90 | % | | | .56 | % | | | .31 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $198 | | | | $201 | | | | $91 | | | | $95 | | | | $96 | |
| Portfolio turnover rate | | | 80.08 | % | | | 99.98 | % | | | 91.18 | % | | | 103.98 | % | | | 83.13 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 117 |
Financial Highlights (concluded)
INTERNATIONAL OPPORTUNITIES FUND
| | | Class R3 Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $16.57 | | | | $12.98 | | | | $11.84 | | | | $12.72 | | | | $10.60 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .07 | | | | .06 | | | | .13 | | | | .10 | | | | .05 | |
| Net realized and unrealized gain (loss) | | | (.49 | ) | | | 3.78 | | | | 1.09 | | | | (.92 | ) | | | 2.17 | |
| Total from investment operations | | | (.42 | ) | | | 3.84 | | | | 1.22 | | | | (.82 | ) | | | 2.22 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.18 | ) | | | (.25 | ) | | | (.08 | ) | | | (.06 | ) | | | (.10 | ) |
| Net asset value, end of year | | | $15.97 | | | | $16.57 | | | | $12.98 | | | | $11.84 | | | | $12.72 | |
| Total Return(b) | | | (2.63 | )% | | | 30.14 | % | | | 10.49 | % | | | (6.51 | )% | | | 21.04 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, including expense reductions | | | 1.56 | % | | | 1.62 | % | | | 1.65 | % | | | 1.60 | % | | | 1.67 | % |
| Expenses, excluding expense reductions | | | 1.56 | % | | | 1.62 | % | | | 1.65 | % | | | 1.60 | % | | | 1.67 | % |
| Net investment income | | | .39 | % | | | .45 | % | | | 1.11 | % | | | .74 | % | | | .45 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $6,000 | | | | $6,133 | | | | $6,212 | | | | $5,097 | | | | $3,016 | |
| Portfolio turnover rate | | | 80.08 | % | | | 99.98 | % | | | 91.18 | % | | | 103.98 | % | | | 83.13 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| 118 | See Notes to Financial Statements. | |
Financial Highlights
VALUE OPPORTUNITIES FUND
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $21.44 | | | | $15.99 | | | | $15.16 | | | | $14.45 | | | | $11.65 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.03 | ) | | | — | (b) | | | (.03 | ) | | | (.05 | ) | | | (.03 | ) |
| Net realized and unrealized gain | | | 2.16 | | | | 5.45 | | | | .92 | | | | .83 | | | | 2.83 | |
| Total from investment operations | | | 2.13 | | | | 5.45 | | | | .89 | | | | .78 | | | | 2.80 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gain | | | (1.90 | ) | | | — | | | | (.06 | ) | | | (.07 | ) | | | — | |
| Net asset value, end of year | | | $21.67 | | | | $21.44 | | | | $15.99 | | | | $15.16 | | | | $14.45 | |
| Total Return(c) | | | 10.72 | % | | | 34.08 | % | | | 5.89 | % | | | 5.45 | % | | | 24.03 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.26 | % | | | 1.28 | % | | | 1.31 | % | | | 1.31 | % | | | 1.34 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.26 | % | | | 1.28 | % | | | 1.31 | % | | | 1.31 | % | | | 1.34 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.26 | % | | | 1.28 | % | | | 1.31 | % | | | 1.31 | % | | | 1.34 | % |
| Net investment loss | | | (.13 | )% | | | (.01 | )% | | | (.19 | )% | | | (.29 | )% | | | (.19 | )% |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $1,316,790 | | | | $1,372,436 | | | | $870,567 | | | | $883,444 | | | | $582,806 | |
| Portfolio turnover rate | | | 53.81 | % | | | 69.49 | %(d) | | | 58.84 | % | | | 56.87 | % | | | 69.83 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Amount is less than $.01. |
| (c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
| | See Notes to Financial Statements. | 119 |
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | Class B Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $20.42 | | | | $15.32 | | | | $14.63 | | | | $14.03 | | | | $11.39 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.16 | ) | | | (.12 | ) | | | (.12 | ) | | | (.14 | ) | | | (.11 | ) |
| Net realized and unrealized gain | | | 2.05 | | | | 5.22 | | | | .87 | | | | .81 | | | | 2.75 | |
| Total from investment operations | | | 1.89 | | | | 5.10 | | | | .75 | | | | .67 | | | | 2.64 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gain | | | (1.90 | ) | | | — | | | | (.06 | ) | | | (.07 | ) | | | — | |
| Net asset value, end of year | | | $20.41 | | | | $20.42 | | | | $15.32 | | | | $14.63 | | | | $14.03 | |
| Total Return(b) | | | 10.02 | % | | | 33.29 | % | | | 5.14 | % | | | 4.83 | % | | | 23.18 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.91 | % | | | 1.93 | % | | | 1.96 | % | | | 1.96 | % | | | 1.99 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.91 | % | | | 1.93 | % | | | 1.96 | % | | | 1.96 | % | | | 1.99 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.91 | % | | | 1.93 | % | | | 1.96 | % | | | 1.96 | % | | | 1.99 | % |
| Net investment loss | | | (.78 | )% | | | (.68 | )% | | | (.83 | )% | | | (.91 | )% | | | (.85 | )% |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $18,752 | | | | $24,911 | | | | $13,315 | | | | $15,700 | | | | $19,110 | |
| Portfolio turnover rate | | | 53.81 | % | | | 69.49 | %(c) | | | 58.84 | % | | | 56.87 | % | | | 69.83 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
| 120 | See Notes to Financial Statements. | |
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | Class C Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $20.42 | | | | $15.32 | | | | $14.62 | | | | $14.03 | | | | $11.39 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.16 | ) | | | (.12 | ) | | | (.13 | ) | | | (.14 | ) | | | (.11 | ) |
| Net realized and unrealized gain | | | 2.05 | | | | 5.22 | | | | .89 | | | | .80 | | | | 2.75 | |
| Total from investment operations | | | 1.89 | | | | 5.10 | | | | .76 | | | | .66 | | | | 2.64 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gain | | | (1.90 | ) | | | — | | | | (.06 | ) | | | (.07 | ) | | | — | |
| Net asset value, end of year | | | $20.41 | | | | $20.42 | | | | $15.32 | | | | $14.62 | | | | $14.03 | |
| Total Return(b) | | | 10.02 | % | | | 33.29 | % | | | 5.21 | % | | | 4.76 | % | | | 23.18 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.91 | % | | | 1.93 | % | | | 1.96 | % | | | 1.96 | % | | | 1.99 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.91 | % | | | 1.93 | % | | | 1.96 | % | | | 1.96 | % | | | 1.99 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.91 | % | | | 1.93 | % | | | 1.96 | % | | | 1.96 | % | | | 1.99 | % |
| Net investment loss | | | (.79 | )% | | | (.66 | )% | | | (.83 | )% | | | (.95 | )% | | | (.83 | )% |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $404,787 | | | | $400,420 | | | | $248,357 | | | | $263,798 | | | | $147,193 | |
| Portfolio turnover rate | | | 53.81 | % | | | 69.49 | %(c) | | | 58.84 | % | | | 56.87 | % | | | 69.83 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
| | See Notes to Financial Statements. | 121 |
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | Class F Shares | |
| | | Year Ended 10/31 | |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $21.62 | | | | $16.07 | | | | $15.20 | | | | $14.45 | | | | $11.62 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)(a) | | | .02 | | | | .05 | | | | .01 | | | | (.01 | ) | | | .01 | |
| Net realized and unrealized gain | | | 2.18 | | | | 5.50 | | | | .92 | | | | .83 | | | | 2.82 | |
| Total from investment operations | | | 2.20 | | | | 5.55 | | | | .93 | | | | .82 | | | | 2.83 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gain | | | (1.90 | ) | | | — | | | | (.06 | ) | | | (.07 | ) | | | — | |
| Net asset value, end of year | | | $21.92 | | | | $21.62 | | | | $16.07 | | | | $15.20 | | | | $14.45 | |
| Total Return(b) | | | 10.97 | % | | | 34.54 | % | | | 6.13 | % | | | 5.73 | % | | | 24.25 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.02 | % | | | 1.03 | % | | | 1.06 | % | | | 1.07 | % | | | 1.10 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.02 | % | | | 1.03 | % | | | 1.06 | % | | | 1.07 | % | | | 1.10 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.02 | % | | | 1.03 | % | | | 1.06 | % | | | 1.07 | % | | | 1.10 | % |
| Net investment income (loss) | | | .11 | % | | | .26 | % | | | .06 | % | | | (.06 | )% | | | .07 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $550,524 | | | | $456,370 | | | | $369,321 | | | | $385,086 | | | | $168,415 | |
| Portfolio turnover rate | | | 53.81 | % | | | 69.49 | %(c) | | | 58.84 | % | | | 56.87 | % | | | 69.83 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| (c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
| 122 | See Notes to Financial Statements. | |
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $21.85 | | | $16.23 | | | $15.34 | | | $14.57 | | | $11.70 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment income(a) | | | .05 | | | .06 | | | .02 | | | .01 | | | .02 | |
| Net realized and unrealized gain | | | 2.20 | | | 5.56 | | | .93 | | | .83 | | | 2.85 | |
| Total from investment operations | | | 2.25 | | | 5.62 | | | .95 | | | .84 | | | 2.87 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net realized gain | | | (1.90 | ) | | — | | | (.06 | ) | | (.07 | ) | | — | |
| Net asset value, end of year | | | $22.20 | | | $21.85 | | | $16.23 | | | $15.34 | | | $14.57 | |
| Total Return(b) | | | 11.10 | % | | 34.63 | % | | 6.21 | % | | 5.82 | % | | 24.42 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .92 | % | | .93 | % | | .97 | % | | .97 | % | | .99 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .92 | % | | .93 | % | | .97 | % | | .97 | % | | .99 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | .92 | % | | .93 | % | | .97 | % | | .97 | % | | .99 | % |
| Net investment income | | | .21 | % | | .33 | % | | .15 | % | | .06 | % | | .16 | % |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $647,442 | | | $675,593 | | | $411,546 | | | $291,056 | | | $190,103 | |
| Portfolio turnover rate | | | 53.81 | % | | 69.49 | %(c) | | 58.84 | % | | 56.87 | % | | 69.83 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| (c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
| | See Notes to Financial Statements. | 123 |
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | Class P Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $21.32 | | | $15.90 | | | $15.09 | | | $14.40 | | | $11.62 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.05 | ) | | (.07 | ) | | (.04 | ) | | (.05 | ) | | (.04 | ) |
| Net realized and unrealized gain | | | 2.14 | | | 5.49 | | | .91 | | | .81 | | | 2.82 | |
| Total from investment operations | | | 2.09 | | | 5.42 | | | .87 | | | .76 | | | 2.78 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net realized gain | | | (1.90 | ) | | — | | | (.06 | ) | | (.07 | ) | | — | |
| Net asset value, end of year | | | $21.51 | | | $21.32 | | | $15.90 | | | $15.09 | | | $14.40 | |
| Total Return(b) | | | 10.58 | % | | 34.09 | % | | 5.78 | % | | 5.33 | % | | 23.92 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.36 | % | | 1.37 | % | | 1.41 | % | | 1.41 | % | | 1.44 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.36 | % | | 1.37 | % | | 1.41 | % | | 1.41 | % | | 1.44 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.36 | % | | 1.37 | % | | 1.41 | % | | 1.41 | % | | 1.44 | % |
| Net investment loss | | | (.23 | )% | | (.34 | )% | | (.24 | )% | | (.35 | )% | | (.29 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $49,179 | | | $54,081 | | | $918 | | | $3,392 | | | $4,344 | |
| Portfolio turnover rate | | | 53.81 | % | | 69.49 | %(c) | | 58.84 | % | | 56.87 | % | | 69.83 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| (c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
| 124 | See Notes to Financial Statements. | |
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | Class R2 Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $21.13 | | | $15.79 | | | $15.01 | | | $14.34 | | | $11.59 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.08 | ) | | (.04 | ) | | (.07 | ) | | (.09 | ) | | (.06 | ) |
| Net realized and unrealized gain | | | 2.12 | | | 5.38 | | | .91 | | | .83 | | | 2.81 | |
| Total from investment operations | | | 2.04 | | | 5.34 | | | .84 | | | .74 | | | 2.75 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net realized gain | | | (1.90 | ) | | — | | | (.06 | ) | | (.07 | ) | | — | |
| Net asset value, end of year | | | $21.27 | | | $21.13 | | | $15.79 | | | $15.01 | | | $14.34 | |
| Total Return(b) | | | 10.42 | % | | 33.82 | % | | 5.61 | % | | 5.21 | % | | 23.62 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.52 | % | | 1.53 | % | | 1.56 | % | | 1.57 | % | | 1.60 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.52 | % | | 1.53 | % | | 1.56 | % | | 1.57 | % | | 1.60 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.52 | % | | 1.53 | % | | 1.56 | % | | 1.57 | % | | 1.60 | % |
| Net investment loss | | | (.38 | )% | | (.24 | )% | | (.44 | )% | | (.58 | )% | | (.42 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $10,364 | | | $13,922 | | | $11,056 | | | $8,804 | | | $2,538 | |
| Portfolio turnover rate | | | 53.81 | % | | 69.49 | %(c) | | 58.84 | % | | 56.87 | % | | 69.83 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| (c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
| | See Notes to Financial Statements. | 125 |
Financial Highlights (concluded)
VALUE OPPORTUNITIES FUND
| | | Class R3 Shares | |
| | | Year Ended 10/31 | |
| | | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $21.20 | | | $15.83 | | | $15.03 | | | $14.34 | | | $11.58 | |
| Investment operations: | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.06 | ) | | (.03 | ) | | (.05 | ) | | (.07 | ) | | (.04 | ) |
| Net realized and unrealized gain | | | 2.13 | | | 5.40 | | | .91 | | | .83 | | | 2.80 | |
| Total from investment operations | | | 2.07 | | | 5.37 | | | .86 | | | .76 | | | 2.76 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net realized gain | | | (1.90 | ) | | — | | | (.06 | ) | | (.07 | ) | | — | |
| Net asset value, end of year | | | $21.37 | | | $21.20 | | | $15.83 | | | $15.03 | | | $14.34 | |
| Total Return(b) | | | 10.54 | % | | 33.92 | % | | 5.74 | % | | 5.35 | % | | 23.73 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.41 | % | | 1.43 | % | | 1.46 | % | | 1.47 | % | | 1.49 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.41 | % | | 1.43 | % | | 1.46 | % | | 1.47 | % | | 1.49 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.41 | % | | 1.43 | % | | 1.46 | % | | 1.47 | % | | 1.50 | % |
| Net investment loss | | | (.29 | )% | | (.17 | )% | | (.35 | )% | | (.47 | )% | | (.31 | )% |
| | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $133,353 | | | $130,597 | | | $86,441 | | | $64,504 | | | $20,456 | |
| Portfolio turnover rate | | | 53.81 | % | | 69.49 | %(c) | | 58.84 | % | | 56.87 | % | | 69.83 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| (c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
| 126 | See Notes to Financial Statements. | |
Notes to Financial Statements
Lord Abbett Securities Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on February 26, 1993.
The Trust currently consists of nine funds. This report covers the following seven funds (separately, a “Fund” and collectively, the “Funds”) and their respective classes:
| Funds | Classes |
| Lord Abbett Alpha Strategy Fund (“Alpha Strategy Fund”) | A, B, C, F, I, P, R2 and R3 |
| Lord Abbett Fundamental Equity Fund (“Fundamental Equity Fund”) | A, B, C, F, I, P, R2 and R3 |
| Lord Abbett Growth Leaders Fund (“Growth Leaders Fund”) | A, B, C, F, I, R2 and R3 |
| Lord Abbett International Core Equity Fund (“International Core Equity Fund”) | A, B, C, F, I, P, R2 and R3 |
Lord Abbett International Dividend Income Fund
(“International Dividend Income Fund”) | A, C, F, I, R2 and R3 |
Lord Abbett International Opportunities Fund
(“International Opportunities Fund”) | A, B, C, F, I, P, R2 and R3 |
| Lord Abbett Value Opportunities Fund (“Value Opportunities Fund”) | A, B, C, F, I, P, R2 and R3 |
The Funds no longer issue Class B shares for purchase. The Funds’ Class P shares are closed to substantially all investors, with certain exceptions as set forth in the Funds’ prospectus. As of the date of this report, Alpha Strategy Fund has not issued Class P shares.
Each of Alpha Strategy Fund’s, International Core Equity Fund’s, International Opportunities Fund’s, and Value Opportunities Fund’s investment objective is to seek long-term capital appreciation. Alpha Strategy Fund invests principally in other funds (“Underlying Funds”) managed by Lord, Abbett & Co. LLC (“Lord Abbett”). Fundamental Equity Fund’s investment objective is long-term growth of capital and income without excessive fluctuations in market value. Growth Leaders Fund’s investment objective is to seek capital appreciation. International Dividend Income Fund’s investment objective is to seek a high level of total return.
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class B, C, F, I, P, R2 and R3 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Class B shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make certain 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
127
Notes to Financial Statements (continued)
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
| | |
| (a) | Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), Lord Abbett, each Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow each Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
| | |
| | Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange (“NYSE”). Each Fund may rely on an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Exchange traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. |
| | |
| | Forward foreign currency exchange contracts are valued using daily forward exchange rates. Investments in the Underlying Funds are valued at their NAV each business day at the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time. |
| | |
| | Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee and approved by the Board. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and employs techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
| | |
| | Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| | |
| (b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| | |
| (c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
128
Notes to Financial Statements (continued)
| (d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
| | |
| | Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended October 31, 2011 through October 31, 2014. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
| | |
| (e) | Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2 and R3 shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan. |
| | |
| (f) | Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain on investments (net of foreign capital gains tax), futures contracts and foreign currency related transactions on each Fund’s Statement of Operations. Each Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities. |
| | |
| | The Funds use foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms. |
| | |
| (g) | Forward Foreign Currency Exchange Contracts–International Core Equity Fund, International Dividend Income Fund and International Opportunities Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain on investments (net of foreign capital gains tax), futures contracts and foreign currency related transactions on each Fund’s Statement of Operations. |
129
Notes to Financial Statements (continued)
| (h) | Futures Contracts–Each Fund may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract. As of October 31, 2014, there were no open futures contracts on the Funds. |
| | |
| (i) | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
| | |
| (j) | When-Issued or Forward Transactions–Each Fund may purchase portfolio securities on a when-issued or forward basis. When-issued or forward transactions involve a commitment by a Fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at each Fund’s custodian in order to pay for the commitment. At the time each Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its NAV. Each Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date. |
| | |
| (k) | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk – for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own |
130
Notes to Financial Statements (continued)
| | assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: |
| | |
| | • | Level 1 | – | unadjusted quoted prices in active markets for identical investments; |
| | | | | |
| | • | Level 2 | – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
| | | | | |
| | • | Level 3 | – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
| | | | | |
| | A summary of inputs used in valuing each Fund’s investments and other financial instruments as of October 31, 2014 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the fiscal year then ended is included in each Fund’s Schedule of Investments. |
| | |
| | Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
| 3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
For the fiscal year ended October 31, 2014, the effective management fee, net of any applicable waivers or reimbursements, was based on each Fund’s average daily net assets at the following annualized rates:
| | Net Effective
Management Fee |
| Alpha Strategy Fund | .00%(1) |
| Fundamental Equity Fund | .52%(2) |
| Growth Leaders Fund | .36%(3) |
| International Core Equity Fund | .46%(4) |
| International Dividend Income Fund | .54%(4) |
| International Opportunities Fund | .75%(5) |
| Value Opportunities Fund | .70%(6) |
| (1) | The management fee for Alpha Strategy Fund is based on the Fund’s average daily net assets at an annual rate of .10%. For the fiscal year ended October 31, 2014 and continuing through February 28, 2015, Lord Abbett has contractually agreed to waive .05% of its management fee. For the fiscal year ended October 31, 2014, Lord Abbett voluntarily waived an additional .05% of its management fee. Lord Abbett may discontinue the voluntary waiver or change the level of its voluntary waiver at any time. |
| (2) | The management fee for Fundamental Equity Fund is based on the Fund’s average daily net assets at the following annual rates: |
| First $200 million | .75% |
| Next $300 million | .65% |
| Over $500 million | .50% |
| (3) | The management fee for Growth Leaders Fund is based on the Fund’s average daily net assets at the following annual rates: |
| First $2 billion | .55% |
| Over $2 billion | .50% |
131
Notes to Financial Statements (continued)
| (4) | The management fee for International Core Equity Fund and International Dividend Income Fund are based on the Funds’ average daily net assets at the following annual rates: |
| First $1 billion | .70% |
| Next $1 billion | .65% |
| Over $2 billion | .60% |
| (5) | The management fee for International Opportunities Fund is based on the average daily net assets at the following annual rates: |
| First $1 billion | .75% |
| Next $1 billion | .70% |
| Over $2 billion | .65% |
| (6) | The management fee for Value Opportunities Fund is based on the Fund’s average daily net assets at the following annual rates: |
| First $1 billion | .75% |
| Next $1 billion | .70% |
| Next $3 billion | .65% |
| Over $5 billion | .58% |
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of each Fund’s average daily net assets. Alpha Strategy Fund does not pay such fee.
For the twelve month period through February 28, 2014, Lord Abbett had contractually agreed to waive all or a portion of Growth Leaders Fund’s management fee and, if necessary, waive all or a portion of its administrative fee and reimburse other expenses to the extent necessary so that the total net annual operating expenses for each class, excluding 12b-1 fees, did not exceed an annualized rate of .50%. Effective March 1, 2014 and continuing through February 28, 2015, the annualized rate was increased to .60%.
For the fiscal year ended October 31, 2014 and continuing through February 28, 2015, Lord Abbett has contractually agreed to waive all or a portion of International Core Equity Fund’s and International Dividend Income Fund’s management fee and, if necessary, waive all or a portion of its administrative fee and reimburse other expenses to the extent necessary so that the total net annual operating expenses for each class, excluding 12b-1 fees, do not exceed an annualized rate of .77%.
All contractual management fee waiver and expense reimbursement agreements between the Funds and Lord Abbett may be terminated only upon the approval of the Funds’ Board.
Alpha Strategy Fund has entered into a Servicing Arrangement with the Underlying Funds in which it invests, pursuant to which each Underlying Fund will pay a portion of the expenses (excluding management fees and distribution and service fees) of Alpha Strategy Fund in proportion to the average daily value of total Underlying Fund shares owned by Alpha Strategy Fund. The expenses assumed by the Underlying Funds are reflected in Expenses assumed by Underlying Funds on Alpha Strategy Fund’s Statement of Operations and Receivables from affiliates on Alpha Strategy Fund’s Statement of Assets and Liabilities.
In addition, Fundamental Equity Fund, Growth Leaders Fund, International Core Equity Fund, International Dividend Income Fund, International Opportunities Fund, and Value Opportunities Fund, along with certain other funds managed by Lord Abbett, have entered into a Servicing Arrangement with Alpha Strategy Fund, Lord Abbett Diversified Equity Strategy Fund, Lord Abbett Multi-Asset Balanced Opportunity Fund, Lord Abbett Multi-Asset Growth Fund and Lord Abbett Multi-Asset Income Fund of Lord Abbett Investment Trust and Lord Abbett Multi-Asset Global Opportunity Fund of Lord Abbett Global Fund, Inc. (each, a “Fund of Funds”), pursuant to which
132
Notes to Financial Statements (continued)
each Underlying Fund pays a portion of the expenses (excluding management fees and distribution and service fees) of each Fund of Funds in proportion to the average daily value of the Underlying Fund shares owned by each Fund of Funds. Amounts paid pursuant to the Servicing Arrangement are included in Subsidy expense on each Fund’s Statement of Operations and Payable to affiliates on each Fund’s Statement of Assets and Liabilities.
As of October 31, 2014, the percentages of Fundamental Equity Fund’s, Growth Leaders Fund’s, International Core Equity Fund’s, International Dividend Income Fund’s, International Opportunities Fund’s and Value Opportunities Fund’s outstanding shares owned by each Fund of Funds were as follows:
| Fund of Funds | | Fundamental
Equity Fund | | | Growth
Leaders
Fund | | | International
Core Equity
Fund | | | International
Dividend
Income Fund | | | International
Opportunities
Fund | | | Value
Opportunities
Fund | |
| Alpha Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 51.51 | % | | | 7.91 | % |
| Diversified Equity Strategy Fund | | | 0.75 | % | | | 3.08 | % | | | 5.10 | % | | | — | | | | 4.35 | % | | | 0.85 | % |
| Multi-Asset Balanced Opportunity Fund | | | — | | | | — | | | | — | | | | 9.79 | % | | | — | | | | — | |
| Multi-Asset Global Opportunity Fund | | | — | | | | — | | | | — | | | | 4.00 | % | | | — | | | | — | |
| Multi-Asset Growth Fund | | | — | | | | — | | | | — | | | | 6.21 | % | | | — | | | | — | |
| Multi-Asset Income Fund | | | — | | | | — | | | | — | | | | 6.94 | % | | | — | | | | — | |
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2 and R3 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following maximum annual rates have been approved by the Board pursuant to the plan:
| Fees* | | Class A(1) | | Class B | | Class C | | Class F | | Class P(2) | | Class R2 | | Class R3 |
| Service | | | .25 | % | | | .25 | % | | | .25 | % | | | — | | | | .25 | % | | | .25 | % | | | .25 | % |
| Distribution | | | .10 | % | | | .75 | % | | | .75 | % | | | .10 | % | | | .20 | % | | | .35 | % | | | .25 | % |
| * | The Funds may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
| (1) | The Class A 12b-1 fees for Alpha Strategy Fund, Fundamental Equity Fund, Growth Leaders Fund, International Opportunities Fund and Value Opportunities Fund is .25% (.25% service, .00% distribution) of each Fund’s average daily net assets. Prior to March 1, 2014, Class A 12b-1 fees for Growth Leaders Fund and International Opportunities Fund were .35% (.25% service, .10% distribution) of each Fund’s average daily net assets. Prior to October 1, 2014, Class A 12b-1 fees for Fundamental Equity Fund and Value Opportunities Fund were .35% (.25% service, .10% distribution) of each Fund’s average daily net assets. |
| (2) | Fundamental Equity Fund, International Core Equity Fund, International Opportunities Fund and Value Opportunities Fund only.’ |
Class I shares do not have a distribution plan.
133
Notes to Financial Statements (continued)
Commissions
Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the fiscal year ended October 31, 2014:
| | | Distributor
Commissions | | Dealers’
Concessions | |
| Alpha Strategy Fund | | | $297,711 | | | $1,681,594 | |
| Fundamental Equity Fund | | | 584,152 | | | 3,153,828 | |
| Growth Leaders Fund | | | 717,435 | | | 4,139,688 | |
| International Core Equity Fund | | | 151,197 | | | 796,406 | |
| International Dividend Income Fund | | | 688,568 | | | 3,690,579 | |
| International Opportunities Fund | | | 71,955 | | | 392,856 | |
| Value Opportunities Fund | | | 242,535 | | | 1,314,982 | |
Distributor received the following amount of CDSCs for the fiscal year ended October 31, 2014:
| | | Class A | | Class C | |
| Alpha Strategy Fund | | | $ 6,936 | | | $ 29,008 | |
| Fundamental Equity Fund | | | 23,554 | | | 77,304 | |
| Growth Leaders Fund | | | 56,591 | | | 56,713 | |
| International Core Equity Fund | | | 2,529 | | | 4,856 | |
| International Dividend Income Fund | | | 7,987 | | | 24,679 | |
| International Opportunities Fund | | | 3,381 | | | 3,382 | |
| Value Opportunities Fund | | | 14,800 | | | 21,989 | |
A Trustee and certain of the Trust’s officers have an interest in Lord Abbett.
| 4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared and paid quarterly for International Dividend Income Fund and annually for Alpha Strategy Fund, Fundamental Equity Fund, Growth Leaders Fund, International Core Equity Fund, International Opportunities Fund and Value Opportunities Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
Subsequent to the Funds’ fiscal year ended October 31, 2014, distributions were declared on November 19, 2014 and paid on November 21, 2014 to shareholders of record on November 20, 2014. The approximate amounts were as follows:
| | | Net Investment
Income | | | Net Short-Term
Capital Gain | | | Net Long-Term
Capital Gain | |
| Fundamental Equity Fund | | | $30,041,000 | | | $ | 195,905,000 | | | $ | 712,680,000 | |
| Growth Leaders Fund | | | — | | | | 73,121,000 | | | | 925,000 | |
| Value Opportunities Fund | | | — | | | | 65,975,000 | | | | 343,592,000 | |
134
Notes to Financial Statements (continued)
Subsequent to the Funds’ fiscal year ended October 31, 2014, distributions were declared on December 11, 2014 and will be paid on December 19, 2014 to shareholders of record on December 18, 2014. The approximate amounts were as follows:
| | | Net Investment | | Net Long-Term | |
| | | Income | | Capital Gain | |
| International Core Equity Fund | | | $6,528,000 | | $ | — | |
| International Dividend Income Fund | | | 4,699,000 | | | 141,434,000 | |
| International Opportunities Fund | | | 5,931,000 | | | 13,689,000 | |
Subsequent to Alpha Strategy Fund’s fiscal year ended October 31, 2014, distributions were declared on December 11, 2014 and will be paid on December 23, 2014 to shareholders of record on December 22, 2014. The approximate amounts were as follows:
| Net Investment Income | | | Net Short-Term
Capital Gain | | | Net Long-Term
Capital Gain | |
| $ | 17,352,000 | | | $ | 16,000 | | | $ | 118,551,000 | |
The tax character of distributions paid during the fiscal years ended October 31, 2014 and 2013 was as follows:
| | | Alpha Strategy Fund | | | Fundamental Equity Fund | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | 10/31/2014 | | | 10/31/2013 | | | 10/31/2014 | | | 10/31/2013 | |
| Distributions paid from: | | | | | | | | | | | | | | | | |
| Ordinary income | | $ | 45,823,955 | | | $ | 1,215,018 | | | $ | 208,816,026 | | | $ | 28,885,490 | |
| Net long-term capital gains | | | 41,361,605 | | | | 36,729,787 | | | | 675,477,284 | | | | 53,172,106 | |
| Total distributions paid | | $ | 87,185,560 | | | $ | 37,944,805 | | | $ | 884,293,310 | | | $ | 82,057,596 | |
| | | | | | | | | | | | | | | | | |
| | | Growth Leaders Fund | | | International Core Equity Fund | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | 10/31/2014 | | | 10/31/2013 | | | 10/31/2014 | | | 10/31/2013 | |
| Distributions paid from: | | | | | | | | | | | | | | | | |
| Ordinary income | | $ | 29,724,487 | | | $ | 86,296 | | | $ | 15,956,504 | | | $ | 17,152,810 | |
| Net long-term capital gains | | | 389,799 | | | | — | | | | — | | | | — | |
| Total distributions paid | | $ | 30,114,286 | | | $ | 86,296 | | | $ | 15,956,504 | | | $ | 17,152,810 | |
| | | | | | | | | | | | | | | | | |
| | | International Dividend Income Fund | | | International Opportunities Fund | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | 10/31/2014 | | | 10/31/2013 | | | 10/31/2014 | | | 10/31/2013 | |
| Distributions paid from: | | | | | | | | | | | | | | | | |
| Ordinary income | | $ | 116,396,955 | | | $ | 87,476,450 | | | $ | 6,003,315 | | | $ | 6,062,457 | |
| Total distributions paid | | $ | 116,396,955 | | | $ | 87,476,450 | | | $ | 6,003,315 | | | $ | 6,062,457 | |
| | | | | | | | | | | | | | | | | |
| | | Value Opportunities Fund | | | | | | | | | |
| | | Year Ended | | | Year Ended | | | | | | | | | |
| | | 10/31/2014 | | | 10/31/2013 | | | | | | | | | |
| Distributions paid from: | | | | | | | | | | | | | | | | |
| Ordinary income | | $ | 57,058,078 | | | $ | — | | | | | | | | | |
| Net long-term capital gains | | | 221,546,277 | | | | — | | | | | | | | | |
| Total distributions paid | | $ | 278,604,355 | | | $ | — | | | | | | | | | |
135
Notes to Financial Statements (continued)
As of October 31, 2014, the components of accumulated gains (losses) on a tax-basis were as follows:
| | | Alpha | | | Fundamental | |
| | | Strategy Fund | | | Equity Fund | |
| Undistributed ordinary income-net | | $ | 1,230,749 | | | $ | 215,255,201 | |
| Undistributed long-term capital gains | | | 118,549,601 | | | | 712,675,929 | |
| Total undistributed earnings | | | 119,780,350 | | | | 927,931,130 | |
| Capital loss carryforwards* | | | — | | | | (2,561,610 | ) |
| Temporary differences | | | (4,543,717 | ) | | | (767,833 | ) |
| Unrealized gains-net | | | 278,445,082 | | | | 706,364,580 | |
| Total accumulated gains-net | | $ | 393,681,715 | | | $ | 1,630,966,267 | |
| | | | | | | | | |
| | | Growth | | | International | |
| | | Leaders Fund | | | Core Equity Fund | |
| Undistributed ordinary income-net | | $ | 73,117,984 | | | $ | 6,081,454 | |
| Undistributed long-term capital gains | | | 920,342 | | | | — | |
| Total undistributed earnings | | | 74,038,326 | | | | 6,081,454 | |
| Capital loss carryforwards* | | | — | | | | (198,263,766 | ) |
| Temporary differences | | | (275,172 | ) | | | (144,490 | ) |
| Unrealized gains-net | | | 60,100,978 | | | | 26,345,491 | |
| Total accumulated gains (losses)-net | | $ | 133,864,132 | | | $ | (165,981,311 | ) |
| | | | | | | | | |
| | | International | | | International | |
| | | Dividend | | | Opportunities | |
| | | Income Fund | | | Fund | |
| Undistributed ordinary income-net | | $ | 5,178,656 | | | $ | 5,296,822 | |
| Undistributed long-term capital gains | | | 141,434,115 | | | | 13,687,933 | |
| Total undistributed earnings | | | 146,612,771 | | | | 18,984,755 | |
| Temporary differences | | | (150,465 | ) | | | (64,235 | ) |
| Unrealized gains-net | | | 23,037,486 | | | | 1,681,108 | |
| Total accumulated gains-net | | $ | 169,499,792 | | | $ | 20,601,628 | |
| | | | | | | | | |
| | | Value | | | | | |
| | | Opportunities Fund | | | | | |
| Undistributed ordinary income-net | | $ | 65,969,568 | | | | | |
| Undistributed long-term capital gains | | | 343,590,069 | | | | | |
| Total undistributed earnings | | | 409,559,637 | | | | | |
| Temporary differences | | | (3,529,457 | ) | | | | |
| Unrealized gains-net | | | 599,108,278 | | | | | |
| Total accumulated gains-net | | $ | 1,005,138,458 | | | | | |
| * | As of October 31, 2014, the capital loss carryforwards, along with the related expiration dates, were as follows: |
| | | 2016 | | | 2017 | | | Total | |
| Fundamental Equity Fund | | $ | 2,561,610 | | | $ | — | | | $ | 2,561,610 | |
| International Core Equity Fund | | | — | | | | 198,263,766 | | | | 198,263,766 | |
136
Notes to Financial Statements (continued)
At each Fund’s election, certain losses incurred within the taxable year (Qualified Late-Year Losses) are deemed to arise on the first business day of the Fund’s next taxable year. The following Funds incurred and will elect to defer late-year ordinary losses during fiscal 2014 as follows:
| Alpha Strategy Fund | | $ | 4,422,311 | |
| Growth Leaders Fund | | | 223,923 | |
| Value Opportunities Fund | | | 3,183,757 | |
As of October 31, 2014, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | Alpha | | | Fundamental | | | Growth | |
| | | Strategy Fund | | | Equity Fund | | | Leaders Fund | |
| Tax cost | | $ | 1,004,085,232 | | | $ | 4,606,390,855 | | | $ | 1,272,291,900 | |
| Gross unrealized gain | | | 278,445,082 | | | | 781,175,001 | | | | 64,476,859 | |
| Gross unrealized loss | | | — | | | | (74,810,421 | ) | | | (4,375,881 | ) |
| Net unrealized security gain | | $ | 278,445,082 | | | $ | 706,364,580 | | | $ | 60,100,978 | |
| | | | | | | | | | | | | |
| | | | | | | International | | | | | |
| | | International | | | Dividend | | | International | |
| | | Core Equity Fund | | | Income Fund | | | Opportunities Fund | |
| Tax cost | | $ | 594,010,628 | | | $ | 2,409,437,712 | | | $ | 459,303,688 | |
| Gross unrealized gain | | | 51,150,855 | | | | 122,607,058 | | | | 42,228,409 | |
| Gross unrealized loss | | | (24,644,207 | ) | | | (98,846,291 | ) | | | (39,951,911 | ) |
| Net unrealized security gain | | $ | 26,506,648 | | | $ | 23,760,767 | | | $ | 2,276,498 | |
| | | | | | | | | | | | | |
| | | Value | | | | | | | | | |
| | | Opportunities | | | | | | | | | |
| | | Fund | | | | | | | | | |
| Tax cost | | $ | 2,528,336,846 | | | | | | | | | |
| Gross unrealized gain | | | 662,227,777 | | | | | | | | | |
| Gross unrealized loss | | | (63,119,499 | ) | | | | | | | | |
| Net unrealized security gain | | $ | 599,108,278 | | | | | | | | | |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain securities and wash sales.
Permanent items identified during the fiscal year ended October 31, 2014 have been reclassified among the components of net assets based on their tax basis treatment as follows:
| | | Undistributed | | | | | | | |
| | | (Distributions | | | | | | | |
| | | in Excess of) | | | | | | | |
| | | Net Investment | | | Accumulated Net | | | | |
| | Income | | | Realized Gain (Loss) | | | Paid-in Capital | |
| Alpha Strategy Fund | | $ | 45,596,192 | | | $ | (45,596,192 | ) | | $ | — | |
| Fundamental Equity Fund | | | (507,856 | ) | | | 507,856 | | | | — | |
| Growth Leaders Fund | | | 441,206 | | | | (441,190 | ) | | | (16 | ) |
| International Core Equity Fund | | | 1,459,130 | | | | (1,459,130 | ) | | | — | |
| International Dividend Income Fund | | | 3,573,895 | | | | (3,573,895 | ) | | | — | |
| International Opportunities Fund | | | 3,875,093 | | | | (3,875,093 | ) | | | — | |
| Value Opportunities Fund | | | 1,682,450 | | | | (1,682,450 | ) | | | — | |
The permanent differences are primarily attributable to the tax treatment of net investment losses, certain distributions, certain expenses, foreign currency transactions, and certain securities.
137
Notes to Financial Statements (continued)
| 5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended October 31, 2014 were as follows:
| | | Purchases | | | Sales | |
| Alpha Strategy Fund | | $ | 264,779,898 | | | $ | 68,620,825 | |
| Fundamental Equity Fund | | | 6,479,387,022 | | | | 7,505,642,667 | |
| Growth Leaders Fund | | | 5,584,216,000 | | | | 4,819,629,354 | |
| International Core Equity Fund | | | 444,550,347 | | | | 612,838,678 | |
| International Dividend Income Fund | | | 1,959,433,416 | | | | 1,730,727,183 | |
| International Opportunities Fund | | | 447,366,485 | | | | 374,182,948 | |
| Value Opportunities Fund | | | 1,722,066,286 | | | | 1,996,802,411 | |
There were no purchases or sales of U.S. Government securities for the fiscal year ended October 31, 2014.
| 6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
International Core Equity Fund, International Dividend Income Fund and International Opportunities Fund entered into forward foreign currency exchange contracts for the fiscal year ended October 31, 2014 (as described in note 2(g)). A forward foreign currency exchange contract reduces each Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. Each Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and each Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. Each Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.
Growth Leaders Fund entered into E-Mini S&P 500 Index futures contract during the fiscal year ended October 31, 2014 (as described in note 2(h)) to manage cash. The Fund bears the risk that the underlying index will move unexpectedly, in which case the Fund may realize a loss. There is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.
As of October 31, 2014, Growth Leaders Fund, International Core Equity Fund, International Dividend Income Fund and International Opportunities Fund had the following derivatives, grouped into appropriate risk categories that illustrate how and why the Funds use derivative instruments:
138
Notes to Financial Statements (continued)
| | | International | | | International | |
| | | Core Equity Fund | | | Dividend Income Fund | |
| | | Forward | | | | |
| | | Foreign | | | | |
| | | Currency | | | Forward Foreign | |
| | | Exchange | | | Currency Exchange | |
| Asset Derivatives | | Contracts | | | Contracts | |
| Forward Foreign Currency Exchange Contracts(1) | | | $4,117,140 | | | | $41,388,875 | |
| | | | | | | | | |
| Liability Derivatives | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(2) | | | $3,998,207 | | | | $18,200,907 | |
| | | | | | | | | |
| | | International | | | | | |
| | | Opportunities Fund | | | | | |
| | | Forward | | | | | |
| | | Foreign | | | | | |
| | | Currency | | | | | |
| | | Exchange | | | | | |
| Asset Derivatives | | Contracts | | | | | |
| Forward Foreign Currency Exchange Contracts(1) | | | $2,889,398 | | | | | |
| | | | | | | | | |
| Liability Derivatives | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(2) | | | $3,798,340 | | | | | |
| (1) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
| (2) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
Transactions in derivative instruments for the fiscal year ended October 31, 2014, were as follows:
| | | | | | International | |
| | | Growth Leaders Fund | | | Core Equity Fund | |
| | | | | | Forward | |
| | | | | | Foreign | |
| | | | | | Currency | |
| | | | | | Exchange | |
| | | Equity Index Contracts | | | Contracts | |
| Net Realized Gain (Loss)(1) | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | | — | | | $ | 526,523 | |
| Futures Contracts | | | $ 3,873 | | | | — | |
| Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | | — | | | $ | 404,473 | |
| Futures Contracts | | | $(2,625 | ) | | | — | |
| Average Number of Contracts/Notional Amounts* | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(3) | | | — | | | $ | 250,574,728 | |
| Futures Contracts(4) | | | — | (5) | | | — | |
139
Notes to Financial Statements (continued)
| | | International | | | International | |
| | | Dividend Income Fund | | | Opportunities Fund | |
| | | Forward | | | Forward | |
| | | Foreign | | | Foreign | |
| | | Currency | | | Currency | |
| | | Exchange | | | Exchange | |
| | | Contracts | | | Contracts | |
| Net Realized Gain (Loss)(1) | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | $ | (16,514,762 | ) | | $ | (1,682,332 | ) |
| Net Change in Unrealized | | | | | | | | |
| Appreciation/Depreciation(2) | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | $ | 25,847,851 | | | $ | (541,351 | ) |
| Average Notional Amounts* | | | | | | | | |
| Forward Foreign Currency Exchange Contracts(3) | | $ | 1,620,782,470 | | | $ | 188,941,796 | |
| * | Calculated based on the number of contracts or notional amounts for the fiscal year ended October 31, 2014. |
| (1) | Statements of Operations location: Net realized gain on investments (net of foreign capital gains tax), futures contracts and foreign currency related transactions. |
| (2) | Statements of Operations location: Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies. |
| (3) | Amount represents notional amounts in U.S. dollars. |
| (4) | Amount represents number of contracts. |
| (5) | Average contract is less than 1. |
| 7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”), specifying which transactions are subject to disclosures about offsetting.
The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the statement of assets and liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the statement of assets and liabilities across transactions between the Funds and the applicable counterparty:
140
Notes to Financial Statements (continued)
| | | Alpha Strategy Fund | |
| | | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | | Offset in the | | | Assets Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Assets | | | and Liabilities | | | Assets and Liabilities | |
| Repurchase Agreement | | | $108,544 | | | $ | — | | | | $108,544 | |
| Total | | | $108,544 | | | $ | — | | | | $108,544 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 108,544 | | | $ | — | | | $ | — | | | $ | (108,544 | ) | | | $ — | |
| Total | | $ | 108,544 | | | $ | — | | | $ | — | | | $ | (108,544 | ) | | | $ — | |
| | | Fundamental Equity Fund | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Assets Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Assets | | | and Liabilities | | | Assets and Liabilities | |
| Repurchase Agreement | | $ | 10,031,043 | | | $ | — | | | $ | 10,031,043 | |
| Total | | $ | 10,031,043 | | | $ | — | | | $ | 10,031,043 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net
Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 10,031,043 | | | $ | — | | | $ | — | | | $ | (10,031,043 | ) | | | $ — | |
| Total | | $ | 10,031,043 | | | $ | — | | | $ | — | | | $ | (10,031,043 | ) | | | $ — | |
| | | Growth Leaders Fund | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Assets Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Assets | | | and Liabilities | | | Assets and Liabilities | |
| Repurchase Agreement | | $ | 39,389,124 | | | $ | — | | | $ | 39,389,124 | |
| Total | | $ | 39,389,124 | | | $ | — | | | $ | 39,389,124 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net
Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 39,389,124 | | | $ | — | | | $ | — | | | $ | (39,389,124 | ) | | | $ — | |
| Total | | $ | 39,389,124 | | | $ | — | | | $ | — | | | $ | (39,389,124 | ) | | | $ — | |
141
Notes to Financial Statements (continued)
| | | | | International Core Equity Fund | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Assets Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Assets | | | and Liabilities | | | Assets and Liabilities | |
| Forward Foreign Currency | | | | | | | | | | | | |
| Exchange Contracts | | $ | 4,117,140 | | | $ | — | | | $ | 4,117,140 | |
| Repurchase Agreement | | | 14,114,432 | | | | — | | | | 14,114,432 | |
| Total | | $ | 18,231,572 | | | $ | — | | | $ | 18,231,572 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net
Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 14,114,432 | | | $ | — | | | $ | — | | | $ | (14,114,432 | ) | | $ | — | |
| Goldman Sachs | | | 1,308,593 | | | | (23,983 | ) | | | (1,040,000 | ) | | | — | | | | 244,610 | |
| J.P. Morgan Chase | | | 889,286 | | | | (889,286 | ) | | | — | | | | — | | | | — | |
| Morgan Stanley | | | 1,796,421 | | | | (1,001,932 | ) | | | — | | | | (689,269 | ) | | | 105,220 | |
| UBS AG | | | 122,840 | | | | (122,840 | ) | | | — | | | | — | | | | — | |
| Total | | $ | 18,231,572 | | | $ | (2,038,041 | ) | | $ | (1,040,000 | ) | | $ | (14,803,701 | ) | | $ | 349,830 | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Liabilities Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Liabilities | | | and Liabilities | | | Assets and Liabilities | |
| Forward Foreign Currency | | | | | | | | | |
| Exchange Contracts | | $ | 3,998,207 | | | $ | — | | | $ | 3,998,207 | |
| Total | | $ | 3,998,207 | | | $ | — | | | $ | 3,998,207 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Liabilities Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged(a) | | | Securities
Collateral
Pledged(a) | | | Net
Amount(c) | |
| Bank of America | | $ | 119,135 | | | $ | — | | | $ | — | | | $ | — | | | $ | 119,135 | |
| Barclays Bank plc | | | 20,999 | | | | — | | | | — | | | | — | | | | 20,999 | |
| Goldman Sachs | | | 23,983 | | | | (23,983 | ) | | | — | | | | — | | | | — | |
| J.P. Morgan Chase | | | 2,055,756 | | | | (889,286 | ) | | | (1,166,470 | ) | | | — | | | | — | |
| Morgan Stanley | | | 1,001,932 | | | | (1,001,932 | ) | | | — | | | | — | | | | — | |
| UBS AG | | | 776,402 | | | | (122,840 | ) | | | (500,000 | ) | | | — | | | | 153,562 | |
| Total | | $ | 3,998,207 | | | $ | (2,038,041 | ) | | $ | (1,666,470 | ) | | $ | — | | | $ | 293,696 | |
142
Notes to Financial Statements (continued)
| | | | | | International Dividend Income Fund | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Assets Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Assets | | | and Liabilities | | | Assets and Liabilities | |
| Forward Foreign Currency Exchange Contracts | | $ | 41,388,875 | | | $ | — | | | $ | 41,388,875 | |
| Repurchase Agreement | | | 59,546,863 | | | | — | | | | 59,546,863 | |
| Total | | $ | 100,935,738 | | | $ | — | | | $ | 100,935,738 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net
Amount(b) | |
| Bank of America | | $ | 854,915 | | | $ | (854,915 | ) | | $ | — | | | $ | — | | | $ | — | |
| Barclays Bank plc | | | 4,277,412 | | | | — | | | | (3,840,000 | ) | | | — | | | | 437,412 | |
| Deutsche Bank AG | | | 106,766 | | | | (106,766 | ) | | | — | | | | — | | | | — | |
| Fixed Income Clearing Corp. | | | 59,546,863 | | | | — | | | | — | | | | (59,546,863 | ) | | | — | |
| Goldman Sachs | | | 9,062,572 | | | | (7,329,792 | ) | | | — | | | | — | | | | 1,732,780 | |
| J.P. Morgan Chase | | | 15,345,000 | | | | (3,727,781 | ) | | | (10,020,000 | ) | | | — | | | | 1,597,219 | |
| Morgan Stanley | | | 7,844,939 | | | | (4,537,917 | ) | | | — | | | | (2,178,564 | ) | | | 1,128,458 | |
| UBS AG | | | 3,897,271 | | | | (373,428 | ) | | | (1,500,000 | ) | | | — | | | | 2,023,843 | |
| Total | | $ | 100,935,738 | | | $ | (16,930,599 | ) | | $ | (15,360,000 | ) | | $ | (61,725,427 | ) | | $ | 6,919,712 | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Liabilities Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Liabilities | | | and Liabilities | | | Assets and Liabilities | |
| Forward Foreign Currency | | | | | | | | | |
| Exchange Contracts | | $ | 18,200,907 | | | $ | — | | | $ | 18,200,907 | |
| Total | | $ | 18,200,907 | | | $ | — | | | $ | 18,200,907 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Liabilities Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged(a) | | | Securities
Collateral
Pledged(a) | | | Net
Amount(c) | |
| Bank of America | | $ | 1,370,157 | | | $ | (854,915 | ) | | $ | (515,242 | ) | | $ | — | | | $ | — | |
| Citibank | | | 11,064 | | | | — | | | | — | | | | — | | | | 11,064 | |
| Deutsche Bank AG | | | 850,768 | | | | (106,766 | ) | | | (50,000 | ) | | | — | | | | 694,002 | |
| Goldman Sachs | | | 7,329,792 | | | | (7,329,792 | ) | | | — | | | | — | | | | — | |
| J.P. Morgan Chase | | | 3,727,781 | | | | (3,727,781 | ) | | | — | | | | — | | | | — | |
| Morgan Stanley | | | 4,537,917 | | | | (4,537,917 | ) | | | — | | | | — | | | | — | |
| UBS AG | | | 373,428 | | | | (373,428 | ) | | | — | | | | — | | | | — | |
| Total | | $ | 18,200,907 | | | $ | (16,930,599 | ) | | $ | (565,242 | ) | | $ | — | | | $ | 705,066 | |
143
Notes to Financial Statements (continued)
| | | | | | International Opportunities Fund | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Assets Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Assets | | | and Liabilities | | | Assets and Liabilities | |
| Forward Foreign Currency | | | | | | | | | | | |
| Exchange Contracts | | $ | 2,889,398 | | | $ | — | | | $ | 2,889,398 | |
| Repurchase Agreement | | | 7,687,447 | | | — | | | | 7,687,447 | |
| Total | | $ | 10,576,845 | | | $ | — | | | $ | 10,576,845 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net
Amount(b) | |
| Citibank | | $ | 42,363 | | | $ | — | | | $ | — | | | $ | — | | | $ | 42,363 | |
| Fixed Income Clearing Corp. | | | 7,687,447 | | | | — | | | | — | | | | (7,687,447 | ) | | | — | |
| Goldman Sachs | | | 1,402,682 | | | | (787,533 | ) | | | (490,000 | ) | | | — | | | | 125,149 | |
| J.P. Morgan Chase | | | 381,233 | | | | (378,070 | ) | | | — | | | | — | | | | 3,163 | |
| Morgan Stanley | | | 986,227 | | | | (384,374 | ) | | | — | | | | (36,049 | ) | | | 565,804 | |
| UBS AG | | | 76,893 | | | | (76,893 | ) | | | — | | | | — | | | | — | |
| Total | | $ | 10,576,845 | | | $ | (1,626,870 | ) | | $ | (490,000 | ) | | $ | (7,723,496 | ) | | $ | 736,479 | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Liabilities Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Liabilities | | | and Liabilities | | | Assets and Liabilities | |
| Forward Foreign Currency | | | | | | | | | |
| Exchange Contracts | | $ | 3,798,340 | | | $ | — | | | $ | 3,798,340 | |
| Total | | $ | 3,798,340 | | | $ | — | | | $ | 3,798,340 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Liabilities Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged(a) | | | Securities
Collateral
Pledged(a) | | | Net
Amount(c) | |
| Barclays Bank plc | | $ | 111,167 | | | $ | — | | | $ | — | | | $ | — | | | $ | 111,167 | |
| Goldman Sachs | | | 787,533 | | | | (787,533 | ) | | | — | | | | — | | | | — | |
| J.P. Morgan Chase | | | 378,070 | | | | (378,070 | ) | | | — | | | | — | | | | — | |
| Morgan Stanley | | | 384,374 | | | | (384,374 | ) | | | — | | | | — | | | | — | |
| UBS AG | | | 2,137,196 | | | | (76,893 | ) | | | (1,300,000 | ) | | | — | | | | 760,303 | |
| Total | | $ | 3,798,340 | | | $ | (1,626,870 | ) | | $ | (1,300,000 | ) | | $ | — | | | $ | 871,470 | |
144
Notes to Financial Statements (continued)
| | | Value Opportunities Fund | |
| | | | | | Gross Amounts | | | Net Amounts of | |
| | | | | | Offset in the | | | Assets Presented | |
| | | Gross Amounts of | | | Statement of Assets | | | in the Statement of | |
| Description | | Recognized Assets | | | and Liabilities | | | Assets and Liabilities | |
| Repurchase Agreement | | $ | 6,099,367 | | | $ | — | | | $ | 6,099,367 | |
| Total | | $ | 6,099,367 | | | $ | — | | | $ | 6,099,367 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net
Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 6,099,367 | | | $ | — | | | $ | — | | | $ | (6,099,367 | ) | | $ | — | |
| Total | | $ | 6,099,367 | | | $ | — | | | $ | — | | | $ | (6,099,367 | ) | | $ | — | |
| (a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statements of Assets and Liabilities, for each respective counterparty. |
| (b) | Net amount represents the amount owed to the Fund by each counterparty as of October 31, 2014. |
| (c) | Net amount represents the amount owed by the Fund to each counterparty as of October 31, 2014. |
The Trust’s officers and a Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
Effective June 30, 2014, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participate in a $500 million unsecured revolving credit facility (the “Facility”) with State Street Bank and Trust Company (“SSB”). The Facility is to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions. The Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, or $350 million based on past borrowings and likelihood of future borrowings. Each Participating Fund bears its ratable share of the $525,000 annual Facility fee based on the maximum amount the Fund can borrow under the Facility. This amount is included for each Fund in Other expenses in the Statements of Operations. Any borrowings under the Facility will incur interest at current market rates as set forth in the credit agreement.
145
Notes to Financial Statements (continued)
Prior to June 30, 2014, the Funds and certain other funds managed by Lord Abbett participated in a Facility with SSB. The amounts that were available under the Facility were (i) the lesser of either $250,000,000 or 33.33% of total assets per participating fund and (ii) $350,000,000 in the aggregate for all participating funds.
During the fiscal year ended October 31, 2014, the Funds did not utilize the Facility. A participating fund utilized the Facility during the year and fully repaid its borrowings.
| 11. | CUSTODIAN AND ACCOUNTING AGENT |
SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
| 12. | TRANSACTIONS WITH AFFILIATED ISSUERS |
An affiliated issuer is one in which a Fund has ownership of at least 5% of the outstanding voting securities of the underlying issuer at any point during the fiscal year or any company which is under common ownership or control. Alpha Strategy Fund had the following transactions with affiliated issuers (i.e. the Underlying Funds) during the fiscal year ended October 31, 2014:
| Affiliated Issuer | | Balance of
Shares
Held at
10/31/2013 | | | Gross
Additions | | | Gross
Sales | | | Balance of
Shares
Held at
10/31/2014 | | | Fair
Value at
10/31/2014 | | | Net Realized
Gain
11/1/2013 to
10/31/2014 | | | Dividend
Income
11/1/2013 to
10/31/2014 | |
| Lord Abbett Developing Growth Fund, Inc. – Class I | | | 7,332,152 | | | | 2,246,166 | | | | (579,971 | ) | | | 8,998,347 | | | $ | 259,872,265 | | | $ | 45,152,216 | (a) | | $ | — | |
| Lord Abbett Securities Trust – International Opportunities Fund – Class I | | | 13,377,426 | | | | 2,083,626 | | | | (710,724 | ) | | | 14,750,328 | | | | 245,297,960 | | | | 1,943,865 | | | | 3,610,133 | |
| Lord Abbett Securities Trust – Micro-Cap Growth Fund – Class I | | | 5,259,932 | | | | 2,076,060 | | | | (524,330 | ) | | | 6,811,662 | | | | 133,985,397 | | | | 33,880,427 | (b) | | | — | |
| Lord Abbett Securities Trust – Micro-Cap Value Fund – Class I | | | 3,146,482 | | | | 604,007 | | | | (100,657 | ) | | | 3,649,832 | | | | 128,948,558 | | | | 13,835,455 | (c) | | | — | |
| Lord Abbett Research Fund, Inc. – Small-Cap Value Fund – Class I | | | 5,298,451 | | | | 2,001,077 | | | | (221,263 | ) | | | 7,078,265 | | | | 260,126,235 | | | | 50,960,420 | (d) | | | 370,709 | |
| Lord Abbett Securities Trust – Value Opportunities Fund – Class I | | | 10,532,666 | | | | 1,772,371 | | | | (854,976 | ) | | | 11,450,061 | | | | 254,191,356 | | | | 17,462,211 | (e) | | | — | |
| Total | | | | | | | | | | | | | | | | | | $ | 1,282,421,771 | | | $ | 163,234,594 | | | $ | 3,980,842 | |
| (a) | Includes $39,327,463 of distributed capital gains. |
| (b) | Includes $31,575,898 of distributed capital gains. |
| (c) | Includes $13,219,756 of distributed capital gains. |
| (d) | Includes $50,270,624 of distributed capital gains. |
| (e) | Includes $20,147,989 of distributed capital gains. |
Each Fund is subject to the general risks and considerations associated with equity investing. The value of the Funds’ investments will fluctuate in response to movements in the equity securities markets in general and to the changing prospects of individual companies in which the Funds invest. If a Fund’s assessment of a company’s value or prospects for exceeding earnings
146
Notes to Financial Statements (continued)
expectations or market conditions is wrong, the Fund could suffer losses or produce poor performance relative to other funds, even in a rising market.
Large company stocks, in which Fundamental Equity Fund, Growth Leaders Fund, International Core Equity Fund and International Dividend Income Fund invest, may perform differently than the market as a whole and other types of stocks, such as small company stocks. Small and mid-sized company stocks, in which Alpha Strategy Fund, Fundamental Equity Fund, Growth Leaders Fund, International Core Equity Fund, International Opportunities Fund and Value Opportunities Fund invest, may be less able to weather economic shifts or other adverse developments than those of larger, more established companies.
In general, Growth Leaders Fund employs a growth investing style and Fundamental Equity Fund, International Dividend Income Fund and Value Opportunities Fund employ a value investing style. Growth stocks generally are more volatile than value stocks. The price of value stocks may lag the market for long periods of time.
International Core Equity Fund, International Dividend Income Fund and International Opportunities Fund are subject to the risks of investing in foreign securities. Foreign securities may pose greater risks than domestic securities, including greater price fluctuations and higher transaction costs. Foreign investments also may be affected by changes in currency rates or currency controls. These risks are generally greater for securities issued by companies in emerging market companies. Similarly, due to their investments in multinational and foreign companies, Alpha Strategy Fund, Fundamental Equity Fund, Growth Leaders Fund, and Value Opportunities Fund, may similarly experience increased market, liquidity, currency, political, information and other risks.
International Dividend Income Fund is subject to the risks of investing in dividend paying stocks. Dividend paying stocks may be sensitive to changes in market interest rates, and the prices of such stocks may decline as rates rise. International Dividend Income Fund may be subject to the volatility of stocks that have high dividends per share due to recent decreases in their share prices.
Alpha Strategy Fund’s investments are concentrated in the Underlying Funds and, as a result, the Fund’s performance is directly related to their performance and subject to their risks.
Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with investing directly in securities and other investments.
These factors can affect each Fund’s performance.
| 14. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
| Alpha Strategy Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 4,456,826 | | | $ | 144,266,625 | | | | 4,040,311 | | | $ | 116,424,981 | |
| Converted from Class B* | | | 128,387 | | | | 4,122,941 | | | | 74,530 | | | | 2,077,793 | |
| Reinvestment of distributions | | | 1,229,371 | | | | 38,749,806 | | | | 658,992 | | | | 16,033,279 | |
| Shares reacquired | | | (5,096,876 | ) | | | (163,192,257 | ) | | | (4,469,014 | ) | | | (122,207,395 | ) |
| Increase | | | 717,708 | | | $ | 23,947,115 | | | | 304,819 | | | $ | 12,328,658 | |
147
Notes to Financial Statements (continued)
| Alpha Strategy Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class B Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 14,057 | | | $ | 418,789 | | | | 19,812 | | | $ | 506,714 | |
| Reinvestment of distributions | | | 49,823 | | | | 1,451,855 | | | | 38,950 | | | | 881,431 | |
| Shares reacquired | | | (116,710 | ) | | | (3,472,192 | ) | | | (164,626 | ) | | | (4,195,477 | ) |
| Converted to Class A* | | | (139,280 | ) | | | (4,122,941 | ) | | | (80,333 | ) | | | (2,077,793 | ) |
| Decrease | | | (192,110 | ) | | $ | (5,724,489 | ) | | | (186,197 | ) | | $ | (4,885,125 | ) |
| | | | | | | | | | | | | | | | | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 2,041,211 | | | $ | 60,181,754 | | | | 1,606,383 | | | $ | 41,943,101 | |
| Reinvestment of distributions | | | 601,205 | | | | 17,368,806 | | | | 345,504 | | | | 7,763,478 | |
| Shares reacquired | | | (1,687,194 | ) | | | (49,452,208 | ) | | | (1,858,485 | ) | | | (47,092,366 | ) |
| Increase | | | 955,222 | | | $ | 28,098,352 | | | | 93,402 | | | $ | 2,614,213 | |
| | | | | | | | | | | | | | | | | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 3,893,432 | | | $ | 125,667,687 | | | | 1,992,990 | | | $ | 56,444,794 | |
| Reinvestment of distributions | | | 338,904 | | | | 10,695,815 | | | | 178,670 | | | | 4,352,396 | |
| Shares reacquired | | | (2,045,281 | ) | | | (65,409,009 | ) | | | (1,807,362 | ) | | | (48,878,560 | ) |
| Increase | | | 2,187,055 | | | $ | 70,954,493 | | | | 364,298 | | | $ | 11,918,630 | |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 353,114 | | | $ | 11,231,550 | | | | 644,435 | | | $ | 16,390,888 | |
| Reinvestment of distributions | | | 49,542 | | | | 1,577,912 | | | | 39,680 | | | | 974,536 | |
| Shares reacquired | | | (170,965 | ) | | | (5,593,213 | ) | | | (68,332 | ) | | | (1,897,817 | ) |
| Increase | | | 231,691 | | | $ | 7,216,249 | | | | 615,783 | | | $ | 15,467,607 | |
| | | | | | | | | | | | | | | | | |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 46,530 | | | $ | 1,463,125 | | | | 49,663 | | | $ | 1,417,650 | |
| Reinvestment of distributions | | | 2,178 | | | | 67,573 | | | | 1,228 | | | | 29,461 | |
| Shares reacquired | | | (24,699 | ) | | | (772,307 | ) | | | (88,000 | ) | | | (2,402,170 | ) |
| Increase (decrease) | | | 24,009 | | | $ | 758,391 | | | | (37,109 | ) | | $ | (955,059 | ) |
| | | | | | | | | | | | | | | | | |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 287,480 | | | $ | 9,128,420 | | | | 410,985 | | | $ | 11,148,022 | |
| Reinvestment of distributions | | | 80,832 | | | | 2,515,436 | | | | 52,435 | | | | 1,261,081 | |
| Shares reacquired | | | (293,231 | ) | | | (9,312,419 | ) | | | (604,578 | ) | | | (16,262,275 | ) |
| Increase (decrease) | | | 75,081 | | | $ | 2,331,437 | | | | (141,158 | ) | | $ | (3,853,172 | ) |
| | | | | | | | | | | | | | | | | |
| Fundamental Equity Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 23,177,410 | | | $ | 355,721,430 | | | | 30,638,968 | | | $ | 467,006,504 | |
| Converted from Class B* | | | 796,056 | | | | 12,221,994 | | | | 1,528,276 | | | | 22,367,689 | |
| Reinvestment of distributions | | | 29,302,263 | | | | 431,622,315 | | | | 3,274,788 | | | | 41,622,543 | |
| Shares reacquired | | | (65,598,519 | ) | | | (1,017,302,933 | ) | | | (41,933,843 | ) | | | (618,360,382 | ) |
| Decrease | | | (12,322,790 | ) | | $ | (217,737,194 | ) | | | (6,491,811 | ) | | $ | (87,363,646 | ) |
148
Notes to Financial Statements (continued)
| Fundamental Equity Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class B Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 116,377 | | | $ | 1,655,305 | | | | 183,627 | | | $ | 2,627,100 | |
| Reinvestment of distributions | | | 667,564 | | | | 9,225,728 | | | | 71,129 | | | | 859,944 | |
| Shares reacquired | | | (807,161 | ) | | | (11,623,364 | ) | | | (913,655 | ) | | | (12,580,122 | ) |
| Converted to Class A* | | | (851,002 | ) | | | (12,221,994 | ) | | | (1,610,928 | ) | | | (22,367,689 | ) |
| Decrease | | | (874,222 | ) | | $ | (12,964,325 | ) | | | (2,269,827 | ) | | $ | (31,460,767 | ) |
| | | | | | | | | | | | | | | | | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 9,012,161 | | | $ | 127,676,704 | | | | 9,749,771 | | | $ | 141,629,965 | |
| Reinvestment of distributions | | | 9,154,437 | | | | 125,781,984 | | | | 650,030 | | | | 7,819,879 | |
| Shares reacquired | | | (15,615,391 | ) | | | (225,186,023 | ) | | | (11,604,731 | ) | | | (159,338,405 | ) |
| Increase (decrease) | | | 2,551,207 | | | $ | 28,272,665 | | | | (1,204,930 | ) | | $ | (9,888,561 | ) |
| | | | | | | | | | | | | | | | | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 22,622,935 | | | $ | 350,175,342 | | | | 12,908,404 | | | $ | 195,236,155 | |
| Reinvestment of distributions | | | 5,875,803 | | | | 85,962,996 | | | | 771,334 | | | | 9,749,668 | |
| Shares reacquired | | | (21,427,945 | ) | | | (329,999,908 | ) | | | (16,904,024 | ) | | | (247,895,162 | ) |
| Increase (decrease) | | | 7,070,793 | | | $ | 106,138,430 | | | | (3,224,286 | ) | | $ | (42,909,339 | ) |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 6,883,658 | | | $ | 105,887,593 | | | | 7,705,300 | | | $ | 114,774,327 | |
| Reinvestment of distributions | | | 4,766,441 | | | | 70,448,002 | | | | 568,497 | | | | 7,248,343 | |
| Shares reacquired | | | (15,116,571 | ) | | | (236,577,933 | ) | | | (6,892,581 | ) | | | (99,800,482 | ) |
| Increase (decrease) | | | (3,466,472 | ) | | $ | (60,242,338 | ) | | | 1,381,216 | | | $ | 22,222,188 | |
| | | | | | | | | | | | | | | | | |
| Class P Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 188,204 | | | $ | 2,860,804 | | | | 294,041 | | | $ | 4,363,701 | |
| Reinvestment of distributions | | | 277,657 | | | | 4,039,907 | | | | 36,924 | | | | 464,505 | |
| Shares reacquired | | | (700,207 | ) | | | (10,669,645 | ) | | | (904,792 | ) | | | (13,169,602 | ) |
| Decrease | | | (234,346 | ) | | $ | (3,768,934 | ) | | | (573,827 | ) | | $ | (8,341,396 | ) |
| | | | | | | | | | | | | | | | | |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 320,912 | | | $ | 4,791,341 | | | | 404,148 | | | $ | 5,966,907 | |
| Reinvestment of distributions | | | 153,058 | | | | 2,219,348 | | | | 16,786 | | | | 210,491 | |
| Shares reacquired | | | (732,650 | ) | | | (11,166,840 | ) | | | (640,733 | ) | | | (9,285,586 | ) |
| Decrease | | | (258,680 | ) | | $ | (4,156,151 | ) | | | (219,799 | ) | | $ | (3,108,188 | ) |
| | | | | | | | | | | | | | | | | |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 2,801,640 | | | $ | 42,778,487 | | | | 3,801,711 | | | $ | 56,599,242 | |
| Reinvestment of distributions | | | 3,398,523 | | | | 49,516,478 | | | | 369,357 | | | | 4,653,905 | |
| Shares reacquired | | | (6,322,131 | ) | | | (96,499,584 | ) | | | (5,665,744 | ) | | | (82,608,747 | ) |
| Decrease | | | (121,968 | ) | | $ | (4,204,619 | ) | | | (1,494,676 | ) | | $ | (21,355,600 | ) |
149
Notes to Financial Statements (continued)
| Growth Leaders Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 19,604,170 | | | $ | 426,405,880 | | | | 4,844,632 | | | $ | 96,666,891 | |
| Converted from Class B* | | | 67,796 | | | | 1,472,786 | | | | 42,169 | | | | 798,084 | |
| Reinvestment of distributions | | | 609,302 | | | | 12,534,111 | | | | 2,867 | | | | 43,300 | |
| Shares reacquired | | | (7,739,921 | ) | | | (169,322,766 | ) | | | (1,236,681 | ) | | | (23,369,217 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 4,278,452 | | | | 72,904,811 | |
| Increase | | | 12,541,347 | | | $ | 271,090,011 | | | | 7,931,439 | | | $ | 147,043,869 | |
| | | | | | | | | | | | | | | | | |
| Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 23,941 | | | $ | 513,709 | | | | 12,554 | | | $ | 241,966 | |
| Reinvestment of distributions | | | 24,451 | | | | 499,882 | | | | — | | | | — | |
| Shares reacquired | | | (79,090 | ) | | | (1,699,097 | ) | | | (54,648 | ) | | | (1,031,590 | ) |
| Converted to Class A* | | | (68,394 | ) | | | (1,472,786 | ) | | | (42,288 | ) | | | (798,084 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 461,335 | | | | 7,851,924 | |
| Increase (decrease) | | | (99,092 | ) | | $ | (2,158,292 | ) | | | 376,953 | | | $ | 6,264,216 | |
| | | | | | | | | | | | | | | | | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 8,367,136 | | | $ | 178,712,962 | | | | 1,775,845 | | | $ | 35,706,887 | |
| Reinvestment of distributions | | | 200,491 | | | | 4,060,783 | | | | 261 | | | | 3,916 | |
| Shares reacquired | | | (1,219,039 | ) | | | (26,075,423 | ) | | | (293,894 | ) | | | (5,534,008 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 1,536,103 | | | | 25,898,702 | |
| Increase | | | 7,348,588 | | | $ | 156,698,322 | | | | 3,018,315 | | | $ | 56,075,497 | |
| | | | | | | | | | | | | | | | | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 24,977,386 | | | $ | 545,302,841 | | | | 4,855,033 | | | $ | 100,539,077 | |
| Reinvestment of distributions | | | 304,515 | | | | 6,282,194 | | | | 1,270 | | | | 19,109 | |
| Shares reacquired | | | (8,826,195 | ) | | | (192,234,655 | ) | | | (278,285 | ) | | | (5,533,795 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 245,384 | | | | 4,183,797 | |
| Increase | | | 16,455,706 | | | $ | 359,350,380 | | | | 4,823,402 | | | $ | 99,208,188 | |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,208,471 | | | $ | 26,241,730 | | | | 990,444 | | | $ | 18,179,829 | |
| Reinvestment of distributions | | | 123,274 | | | | 2,545,353 | | | | 6 | | | | 84 | |
| Shares reacquired | | | (579,766 | ) | | | (12,632,881 | ) | | | (274,695 | ) | | | (5,025,036 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 1,446,353 | | | | 24,674,785 | |
| Increase | | | 751,979 | | | $ | 16,154,202 | | | | 2,162,108 | | | $ | 37,829,662 | |
| | | | | | | | | | | | | | | | | |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 13,238 | | | $ | 296,770 | | | | 753 | | | $ | 15,499 | |
| Reinvestment of distributions | | | 133 | | | | 2,747 | | | | 1 | | | | 21 | |
| Shares reacquired | | | (664 | ) | | | (17,066 | ) | | | — | (a) | | | (7 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 618 | | | | 10,574 | |
| Increase | | | 12,707 | | | $ | 282,451 | | | | 1,372 | | | $ | 26,087 | |
150
Notes to Financial Statements (continued)
| Growth Leaders Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class R3 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 120,338 | | | $ | 2,613,195 | | | | 99,039 | | | $ | 1,864,304 | |
| Reinvestment of distributions | | | 26,337 | | | | 541,921 | | | | 2 | | | | 24 | |
| Shares reacquired | | | (90,727 | ) | | | (1,971,851 | ) | | | (55,008 | ) | | | (1,068,148 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 341,718 | | | | 5,829,710 | |
| Increase | | | 55,948 | | | $ | 1,183,265 | | | | 385,751 | | | $ | 6,625,890 | |
| | | | | | | | | | | | | | | | | |
| | | | Year Ended | | | | Year Ended | |
| International Core Equity Fund | | | October 31, 2014 | | | | October 31, 2013 | |
| Class A Shares | | | Shares | | | | Amount | | | | Shares | | | | Amount | |
| Shares sold | | | 4,029,760 | | | $ | 55,804,705 | | | | 4,179,089 | | | $ | 52,372,669 | |
| Converted from Class B* | | | 280,938 | | | | 3,893,032 | | | | 246,857 | | | | 3,102,750 | |
| Reinvestment of distributions | | | 538,647 | | | | 7,368,673 | | | | 714,190 | | | | 8,348,885 | |
| Shares reacquired | | | (8,554,121 | ) | | | (118,673,624 | ) | | | (7,367,960 | ) | | | (91,339,225 | ) |
| Decrease | | | (3,704,776 | ) | | $ | (51,607,214 | ) | | | (2,227,824 | ) | | $ | (27,514,921 | ) |
| | | | | | | | | | | | | | | | | |
| Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 47,285 | | | $ | 648,357 | | | | 57,509 | | | $ | 702,974 | |
| Reinvestment of distributions | | | 13,338 | | | | 181,000 | | | | 25,471 | | | | 294,950 | |
| Shares reacquired | | | (183,468 | ) | | | (2,513,879 | ) | | | (367,526 | ) | | | (4,457,485 | ) |
| Converted to Class A* | | | (284,068 | ) | | | (3,893,032 | ) | | | (249,937 | ) | | | (3,102,750 | ) |
| Decrease | | | (406,913 | ) | | $ | (5,577,554 | ) | | | (534,483 | ) | | $ | (6,562,311 | ) |
| | | | | | | | | | | | | | | | | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 410,950 | | | $ | 5,647,017 | | | | 489,053 | | | $ | 6,064,348 | |
| Reinvestment of distributions | | | 47,776 | | | | 647,849 | | | | 67,697 | | | | 783,931 | |
| Shares reacquired | | | (889,139 | ) | | | (12,124,594 | ) | | | (1,155,029 | ) | | | (14,073,153 | ) |
| Decrease | | | (430,413 | ) | | $ | (5,829,728 | ) | | | (598,279 | ) | | $ | (7,224,874 | ) |
| | | | | | | | | | | | | | | | | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,743,639 | | | $ | 24,025,992 | | | | 7,281,023 | | | $ | 90,030,649 | |
| Reinvestment of distributions | | | 214,860 | | | | 2,917,791 | | | | 336,329 | | | | 3,901,418 | |
| Shares reacquired | | | (6,277,445 | ) | | | (86,114,094 | ) | | | (10,695,675 | ) | | | (130,483,767 | ) |
| Decrease | | | (4,318,946 | ) | | $ | (59,170,311 | ) | | | (3,078,323 | ) | | $ | (36,551,700 | ) |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,576,910 | | | $ | 21,977,630 | | | | 2,826,968 | | | $ | 35,159,843 | |
| Reinvestment of distributions | | | 222,343 | | | | 3,057,215 | | | | 214,728 | | | | 2,520,909 | |
| Shares reacquired | | | (5,728,659 | ) | | | (80,438,316 | ) | | | (1,278,761 | ) | | | (16,071,898 | ) |
| Increase (decrease) | | | (3,929,406 | ) | | $ | (55,403,471 | ) | | | 1,762,935 | | | $ | 21,608,854 | |
| | | | | | | | | | | | | | | | | |
| Class P Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,935 | | | $ | 26,868 | | | | 2,566 | | | $ | 32,242 | |
| Reinvestment of distributions | | | 359 | | | | 4,907 | | | | 430 | | | | 5,020 | |
| Shares reacquired | | | (10,901 | ) | | | (152,610 | ) | | | (7,851 | ) | | | (93,703 | ) |
| Decrease | | | (8,607 | ) | | $ | (120,835 | ) | | | (4,855 | ) | | $ | (56,441 | ) |
151
Notes to Financial Statements (continued)
| International Core Equity Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class R2 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 32,813 | | | $ | 454,647 | | | | 22,661 | | | $ | 270,915 | |
| Reinvestment of distributions | | | 435 | | | | 5,947 | | | | 465 | | | | 5,432 | |
| Shares reacquired | | | (19,505 | ) | | | (266,696 | ) | | | (10,612 | ) | | | (136,497 | ) |
| Increase | | | 13,743 | | | $ | 193,898 | | | | 12,514 | | | $ | 139,850 | |
| | | | | | | | | | | | | | | | | |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 378,700 | | | $ | 5,177,113 | | | | 401,292 | | | $ | 4,915,880 | |
| Reinvestment of distributions | | | 25,808 | | | | 348,410 | | | | 33,749 | | | | 389,122 | |
| Shares reacquired | | | (304,343 | ) | | | (4,160,103 | ) | | | (533,054 | ) | | | (6,543,726 | ) |
| Increase (decrease) | | | 100,165 | | | $ | 1,365,420 | | | | (98,013 | ) | | $ | (1,238,724 | ) |
| International Dividend Income Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 42,828,118 | | | $ | 389,026,577 | | | | 52,076,409 | | | $ | 441,764,050 | |
| Reinvestment of distributions | | | 4,703,227 | | | | 42,949,939 | | | | 3,822,035 | | | | 31,521,022 | |
| Shares reacquired | | | (38,005,152 | ) | | | (337,789,972 | ) | | | (30,427,162 | ) | | | (256,750,764 | ) |
| Increase | | | 9,526,193 | | | $ | 94,186,544 | | | | 25,471,282 | | | $ | 216,534,308 | |
| �� | | | | | | | | | | | | | | | | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 8,594,100 | | | $ | 77,778,091 | | | | 7,948,307 | | | $ | 67,126,720 | |
| Reinvestment of distributions | | | 645,448 | | | | 5,857,311 | | | | 405,754 | | | | 3,319,844 | |
| Shares reacquired | | | (3,138,650 | ) | | | (28,150,985 | ) | | | (2,077,399 | ) | | | (17,460,886 | ) |
| Increase | | | 6,100,898 | | | $ | 55,484,417 | | | | 6,276,662 | | | $ | 52,985,678 | |
| | | | | | | | | | | | | | | | | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 20,891,112 | | | $ | 191,171,297 | | | | 16,695,327 | | | $ | 141,923,067 | |
| Reinvestment of distributions | | | 1,109,171 | | | | 10,138,406 | | | | 685,047 | | | | 5,662,980 | |
| Shares reacquired | | | (10,268,610 | ) | | | (92,022,452 | ) | | | (8,748,119 | ) | | | (74,440,618 | ) |
| Increase | | | 11,731,673 | | | $ | 109,287,251 | | | | 8,632,255 | | | $ | 73,145,429 | |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 48,226,380 | | | $ | 442,012,430 | | | | 32,937,926 | | | $ | 279,682,684 | |
| Reinvestment of distributions | | | 5,365,301 | | | | 49,380,978 | | | | 4,330,862 | | | | 35,818,881 | |
| Shares reacquired | | | (54,005,795 | ) | | | (495,936,568 | ) | | | (41,341,816 | ) | | | (350,548,156 | ) |
| Decrease | | | (414,114 | ) | | $ | (4,543,160 | ) | | | (4,073,028 | ) | | $ | (35,046,591 | ) |
| | | | | | | | | | | | | | | | | |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 70,578 | | | $ | 654,514 | | | | 66,483 | | | $ | 573,402 | |
| Reinvestment of distributions | | | 1,716 | | | | 15,994 | | | | 876 | | | | 7,347 | |
| Shares reacquired | | | (19,595 | ) | | | (180,846 | ) | | | (33,041 | ) | | | (287,458 | ) |
| Increase | | | 52,699 | | | $ | 489,662 | | | | 34,318 | | | $ | 293,291 | |
| | | | | | | | | | | | | | | | | |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 869,222 | | | $ | 7,987,709 | | | | 790,711 | | | $ | 6,747,660 | |
| Reinvestment of distributions | | | 42,741 | | | | 395,119 | | | | 166,296 | | | | 1,382,562 | |
| Shares reacquired | | | (201,918 | ) | | | (1,864,807 | ) | | | (4,595,309 | ) | | | (40,288,054 | ) |
| Increase (decrease) | | | 710,045 | | | $ | 6,518,021 | | | | (3,638,302 | ) | | $ | (32,157,832 | ) |
152
Notes to Financial Statements (continued)
| International Opportunities Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 4,496,628 | | | $ | 77,634,216 | | | | 1,273,195 | | | $ | 19,034,461 | |
| Converted from Class B* | | | 65,632 | | | | 1,120,523 | | | | 62,356 | | | | 905,413 | |
| Reinvestment of distributions | | | 77,406 | | | | 1,285,710 | | | | 105,974 | | | | 1,398,849 | |
| Shares reacquired | | | (3,337,854 | ) | | | (56,663,143 | ) | | | (1,309,087 | ) | | | (18,819,369 | ) |
| Increase | | | 1,301,812 | | | $ | 23,377,306 | | | | 132,438 | | | $ | 2,519,354 | |
| | | | | | | | | | | | | | | | | |
| Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 13,784 | | | $ | 224,293 | | | | 32,938 | | | $ | 465,800 | |
| Reinvestment of distributions | | | 2,328 | | | | 36,880 | | | | 6,350 | | | | 79,951 | |
| Shares reacquired | | | (85,221 | ) | | | (1,384,219 | ) | | | (124,324 | ) | | | (1,698,857 | ) |
| Converted to Class A* | | | (69,037 | ) | | | (1,120,523 | ) | | | (65,588 | ) | | | (905,413 | ) |
| Decrease | | | (138,146 | ) | | $ | (2,243,569 | ) | | | (150,624 | ) | | $ | (2,058,519 | ) |
| | | | | | | | | | | | | | | | | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 504,771 | | | $ | 8,172,717 | | | | 270,618 | | | $ | 3,758,241 | |
| Reinvestment of distributions | | | 9,264 | | | | 145,352 | | | | 14,686 | | | | 183,426 | |
| Shares reacquired | | | (223,057 | ) | | | (3,576,238 | ) | | | (264,730 | ) | | | (3,613,092 | ) |
| Increase | | | 290,978 | | | $ | 4,741,831 | | | | 20,574 | | | $ | 328,575 | |
| | | | | | | | | | | | | | | | | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 3,281,278 | | | $ | 56,180,823 | | | | 1,126,942 | | | $ | 17,133,530 | |
| Reinvestment of distributions | | | 12,449 | | | | 205,039 | | | | 1,397 | | | | 18,284 | |
| Shares reacquired | | | (1,603,644 | ) | | | (26,648,234 | ) | | | (121,861 | ) | | | (1,833,797 | ) |
| Increase | | | 1,690,083 | | | $ | 29,737,628 | | | | 1,006,478 | | | $ | 15,318,017 | |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 2,224,095 | | | $ | 38,618,245 | | | | 2,085,716 | | | $ | 32,066,767 | |
| Reinvestment of distributions | | | 232,179 | | | | 3,942,396 | | | | 303,804 | | | | 4,098,308 | |
| Shares reacquired | | | (1,012,931 | ) | | | (17,860,966 | ) | | | (1,829,850 | ) | | | (25,981,438 | ) |
| Increase | | | 1,443,343 | | | $ | 24,699,675 | | | | 559,670 | | | $ | 10,183,637 | |
| | | | | | | | | | | | | | | | | |
| Class P Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 5,140 | | | $ | 89,626 | | | | 8,534 | | | $ | 125,182 | |
| Reinvestment of distributions | | | 648 | | | | 10,936 | | | | 1,281 | | | | 17,170 | |
| Shares reacquired | | | (16,995 | ) | | | (293,951 | ) | | | (15,187 | ) | | | (248,551 | ) |
| Decrease | | | (11,207 | ) | | $ | (193,389 | ) | | | (5,372 | ) | | $ | (106,199 | ) |
| | | | | | | | | | | | | | | | | |
| Class R2 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,482 | | | $ | 24,855 | | | | 5,711 | | | $ | 89,717 | |
| Reinvestment of distributions | | | 77 | | | | 1,271 | | | | 108 | | | | 1,418 | |
| Shares reacquired | | | (1,236 | ) | | | (20,752 | ) | | | (728 | ) | | | (10,649 | ) |
| Increase | | | 323 | | | $ | 5,374 | | | | 5,091 | | | $ | 80,486 | |
| | | | | | | | | | | | | | | | | |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 99,533 | | | $ | 1,683,980 | | | | 217,652 | | | $ | 3,104,384 | |
| Reinvestment of distributions | | | 3,864 | | | | 63,296 | | | | 9,010 | | | | 117,316 | |
| Shares reacquired | | | (97,809 | ) | | | (1,626,080 | ) | | | (335,072 | ) | | | (4,838,878 | ) |
| Increase (decrease) | | | 5,588 | | | $ | 121,196 | | | | (108,410 | ) | | $ | (1,617,178 | ) |
153
Notes to Financial Statements (continued)
| Value Opportunities Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 11,034,257 | | | $ | 232,005,935 | | | | 12,913,117 | | | $ | 245,766,295 | |
| Converted from Class B* | | | 257,223 | | | | 5,354,802 | | | | 165,594 | | | | 3,323,304 | |
| Reinvestment of distributions | | | 5,859,617 | | | | 116,957,952 | | | | — | | | | — | |
| Shares reacquired | | | (20,394,254 | ) | | | (430,810,561 | ) | | | (16,275,089 | ) | | | (300,484,796 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 12,737,871 | | | | 259,215,666 | |
| Increase (decrease) | | | (3,243,157 | ) | | $ | (76,491,872 | ) | | | 9,541,493 | | | $ | 207,820,469 | |
| | | | | | | | | | | | | | | | | |
| Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 38,949 | | | $ | 764,737 | | | | 45,606 | | | $ | 849,898 | |
| Reinvestment of distributions | | | 109,518 | | | | 2,070,988 | | | | — | | | | — | |
| Shares reacquired | | | (177,143 | ) | | | (3,531,023 | ) | | | (141,381 | ) | | | (2,541,335 | ) |
| Converted to Class A* | | | (272,119 | ) | | | (5,354,802 | ) | | | (173,567 | ) | | | (3,323,304 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 620,096 | | | | 12,042,273 | |
| Increase (decrease) | | | (300,795 | ) | | $ | (6,050,100 | ) | | | 350,754 | | | $ | 7,027,532 | |
| | | | | | | | | | | | | | | | | |
| Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 2,359,917 | | | $ | 46,680,001 | | | | 2,819,467 | | | $ | 51,851,865 | |
| Reinvestment of distributions | | | 1,652,048 | | | | 31,240,230 | | | | — | | | | — | |
| Shares reacquired | | | (3,782,785 | ) | | | (75,201,809 | ) | | | (3,457,119 | ) | | | (60,656,560 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 4,035,501 | | | | 78,369,425 | |
| Increase | | | 229,180 | | | $ | 2,718,422 | | | | 3,397,849 | | | $ | 69,564,730 | |
| | | | | | | | | | | | | | | | | |
| Class F Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 11,248,121 | | | $ | 240,824,053 | | | | 7,203,022 | | | $ | 138,105,702 | |
| Reinvestment of distributions | | | 1,702,313 | | | | 34,284,577 | | | | — | | | | — | |
| Shares reacquired | | | (8,944,383 | ) | | | (188,470,026 | ) | | | (9,566,623 | ) | | | (171,347,690 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 498,988 | | | | 10,229,257 | |
| Increase (decrease) | | | 4,006,051 | | | $ | 86,638,604 | | | | (1,864,613 | ) | | $ | (23,012,731 | ) |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 4,567,592 | | | $ | 97,393,753 | | | | 5,206,790 | | | $ | 99,941,441 | |
| Reinvestment of distributions | | | 2,762,162 | | | | 56,292,861 | | | | — | | | | — | |
| Shares reacquired | | | (9,083,119 | ) | | | (194,857,219 | ) | | | (6,545,798 | ) | | | (126,234,212 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 6,902,380 | | | | 143,017,314 | |
| Increase (decrease) | | | (1,753,365 | ) | | $ | (41,170,605 | ) | | | 5,563,372 | | | $ | 116,724,543 | |
| | | | | | | | | | | | | | | | | |
| Class P Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 372,804 | | | $ | 7,781,429 | | | | 344,615 | | | $ | 6,944,887 | |
| Reinvestment of distributions | | | 241,852 | | | | 4,795,921 | | | | — | | | | — | |
| Shares reacquired | | | (865,194 | ) | | | (18,072,112 | ) | | | (270,850 | ) | | | (5,474,060 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 2,405,239 | | | | 48,682,044 | |
| Increase (decrease) | | | (250,538 | ) | | $ | (5,494,762 | ) | | | 2,479,004 | | | $ | 50,152,871 | |
154
Notes to Financial Statements (continued)
| Value Opportunities Fund | | Year Ended
October 31, 2014 | | | Year Ended
October 31, 2013 | |
| Class R2 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 172,734 | | | $ | 3,537,034 | | | | 263,951 | | | $ | 4,882,338 | |
| Reinvestment of distributions | | | 32,239 | | | | 633,161 | | | | — | | | | — | |
| Shares reacquired | | | (376,581 | ) | | | (7,790,752 | ) | | | (334,001 | ) | | | (6,180,470 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 28,699 | | | | 575,983 | |
| Decrease | | | (171,608 | ) | | $ | (3,620,557 | ) | | | (41,351 | ) | | $ | (722,149 | ) |
| | | | | | | | | | | | | | | | | |
| Class R3 Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 1,223,005 | | | $ | 25,467,137 | | | | 1,931,490 | | | $ | 35,939,093 | |
| Reinvestment of distributions | | | 600,185 | | | | 11,829,647 | | | | — | | | | — | |
| Shares reacquired | | | (1,742,803 | ) | | | (36,050,078 | ) | | | (2,210,758 | ) | | | (41,484,328 | ) |
| Shares issued in reorganization (See Note 15) | | | — | | | | — | | | | 977,805 | | | | 19,683,218 | |
| Increase | | | 80,387 | | | $ | 1,246,706 | | | | 698,537 | | | $ | 14,137,983 | |
| * | Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. |
| (a) | Amount is less than 1 share. |
| (a) | Value Opportunities Fund–As of the close of business on July 19, 2013, Value Opportunities Fund acquired the net assets of Lord Abbett Equity Trust–Lord Abbett Small Cap Blend Fund (“Small Cap Blend Fund”) pursuant to a plan of reorganization approved by Small Cap Blend Fund’s shareholders on July 12, 2013. The reorganization permitted Small Cap Blend Fund shareholders to pursue similar investment objectives and strategies, but as part of a larger fund with a lower expense ratio. The acquisition was accomplished by a tax-free exchange whereas holders of 36,215,715 shares of Small Cap Blend Fund outstanding on July 19, 2013 received 28,206,579 shares (valued at $571,815,180) of Value Opportunities Fund. Small Cap Blend Fund’s net assets at the date of the acquisition, including $23,692,658 of unrealized appreciation, $153,691 of distributions in excess of net investment income, and $225,271 of accumulated net realized losses, were combined with those of Value Opportunities Fund. The cost basis of securities received from Small Cap Blend Fund was carried forward. |
| | |
| | The total net assets of Value Opportunities Fund immediately before the transfer were $2,418,694,008. Total net assets of Small Cap Blend Fund immediately before the transfer were $571,815,180. Total net assets of Value Opportunities Fund immediately after the transfer were $2,990,509,188. |
| | |
| | The following table illustrates share conversion ratios of the reorganization on July 19, 2013: |
| Class | Conversion
Ratio |
| A | 0.780590 |
| B | 0.737817 |
| C | 0.737013 |
| F | 0.787551 |
| I | 0.804508 |
| P | 0.780904 |
| R2 | 0.779278 |
| R3 | 0.781351 |
155
Notes to Financial Statements (concluded)
| | Had the acquisition been completed on November 1, 2012, the beginning of the 2013 fiscal year of Value Opportunities Fund, the Fund’s condensed pro forma results of operations for the fiscal year ended October 31, 2013 would be as follows: |
| Net investment income | | $ | 578,086 | |
| Net realized and unrealized gain | | | 826,608,037 | |
| Net increase in net assets resulting from operations | | | 827,186,123 | |
| | The combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed. Revenue and earnings of Small Cap Blend Fund’s portfolio holdings have been included in Value Opportunities Fund’s Statement of Operations since the date of acquisition. |
| | |
| (b) | Growth Leaders Fund–As of the close of business on March 22, 2013, Growth Leaders Fund acquired the net assets of Lord Abbett Stock Appreciation Fund (“Stock Appreciation Fund”) pursuant to a plan of reorganization approved by Stock Appreciation Fund’s shareholders on March 15, 2013. The reorganization permitted Stock Appreciation Fund shareholders to pursue substantially similar investment objectives and strategies, but as part of a larger fund with greater investment flexibility and a lower total expense ratio. The acquisition was accomplished by a tax-free exchange whereas holders of 21,349,426 shares of Stock Appreciation Fund outstanding on March 22, 2013 received 8,309,963 shares (valued at $141,354,303) of Growth Leaders Fund. Stock Appreciation Fund’s net assets at the date of the acquisition, including $10,076,074 of unrealized appreciation, $25,276 of distributions in excess of net investment income, and $16,819,492 of accumulated net realized losses, were combined with those of Growth Leaders Fund. The cost basis of securities received from Stock Appreciation Fund was carried forward. |
| | |
| | The total net assets of Growth Leaders Fund immediately before the transfer were $31,440,888. Total net assets of Stock Appreciation Fund immediately before the transfer were $141,354,303. Total net assets of Growth Leaders Fund immediately after the transfer were $172,795,191. |
| | |
| | The following table illustrates share conversion ratios of the reorganization on March 22, 2013: |
| | | Conversion | |
| Class | | Ratio | |
| A | | | 0.395053 | |
| B | | | 0.363226 | |
| C | | | 0.366714 | |
| F | | | 0.400346 | |
| I | | | 0.404730 | |
| R2 | | | 0.400841 | |
| R3 | | | 0.391788 | |
Had the acquisition been completed on November 1, 2012, the beginning of the 2013 fiscal year of Growth Leaders Fund, the Fund’s condensed pro forma results of operations for the fiscal year ended October 31, 2013 would be as follows:
| Net investment income | | $ | (196,058 | ) |
| Net realized and unrealized gain | | | 82,949,757 | |
| Net increase in net assets resulting from operations | | | 82,753,699 | |
The combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed. Revenue and earnings of Stock Appreciation Fund’s portfolio holdings have been included in Growth Leaders Fund’s Statement of Operations since the date of acquisition.
156
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Lord Abbett Securities Trust and the Shareholders of Lord Abbett Alpha Strategy Fund, Lord Abbett Fundamental Equity Fund, Lord Abbett Growth Leaders Fund, Lord Abbett International Core Equity Fund, Lord Abbett International Dividend Income Fund, Lord Abbett International Opportunities Fund and Lord Abbett Value Opportunities Fund:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Lord Abbett Alpha Strategy Fund, Lord Abbett Fundamental Equity Fund, Lord Abbett Growth Leaders Fund, Lord Abbett International Core Equity Fund, Lord Abbett International Dividend Income Fund, Lord Abbett International Opportunities Fund and Lord Abbett Value Opportunities Fund (collectively, the “Funds”), seven of the nine portfolios constituting the Lord Abbett Securities Trust (the “Trust”) as of October 31, 2014, 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 periods presented. These financial statements and financial highlights are the responsibility of the Trust’s 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. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2014, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. 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 as of October 31, 2014, 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 periods presented, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
New York, New York
December 19, 2014
157
Investments in Underlying Funds (unaudited)
Alpha Strategy Fund invests in Underlying Funds managed by Lord Abbett. As of October 31, 2014, Alpha Strategy Fund’s long-term investments were allocated among the Underlying Funds as follows:
| Underlying Fund Name | | % of Investments |
| Lord Abbett Developing Growth Fund, Inc. – Class I | | | 20.26% |
| Lord Abbett Securities Trust – International Opportunities Fund – Class I | | | 19.13% |
| Lord Abbett Securities Trust – Micro-Cap Growth Fund – Class I | | | 10.45% |
| Lord Abbett Securities Trust – Micro-Cap Value Fund – Class I | | | 10.06% |
| Lord Abbett Research Fund, Inc. – Small-Cap Value Fund – Class I | | | 20.28% |
| Lord Abbett Securities Trust – Value Opportunities Fund – Class I | | | 19.82% |
The Ten Largest Holdings and the Holdings by Sector, as of October 31, 2014, for each Underlying Fund are presented below. Each Underlying Fund’s annual and semiannual reports, which are sent to shareholders and filed with the SEC, contain information about the Underlying Fund’s portfolio holdings, including a complete schedule of holdings. A complete schedule of holdings for each Underlying Fund is also filed with the SEC on Form N-Q as of the end of each respective Underlying Fund’s first and third quarters. In addition, on or about the first day of the second month following each calendar quarter-end, each Fund makes publicly available a complete schedule of its portfolio holdings as of the last day of each such quarter. The information for the most recently ended calendar quarter may be viewed at www.lordabbett.com or requested at no charge by calling Lord Abbett at 888-522-2388.
Lord Abbett Developing Growth Fund, Inc.
| Ten Largest Holdings | | % of Investments |
| Receptos, Inc. | | | 2.04% |
| Agios Pharmaceuticals, Inc. | | | 1.61% |
| Synchronoss Technologies, Inc. | | | 1.55% |
| Rentrak Corp. | | | 1.54% |
| LifeLock, Inc. | | | 1.43% |
| comScore, Inc. | | | 1.36% |
| Hain Celestial Group, Inc. (The) | | | 1.33% |
| Trex Co., Inc. | | | 1.32% |
| iRobot Corp. | | | 1.30% |
| ExamWorks Group, Inc. | | | 1.30% |
| Holdings by Sector* | | % of Investments |
| Consumer Discretionary | | | 13.40% |
| Consumer Staples | | | 4.30% |
| Energy | | | 1.92% |
| Financials | | | 6.91% |
| Health Care | | | 24.60% |
| Industrials | | | 11.28% |
| Information Technology | | | 33.47% |
| Materials | | | 1.09% |
| Repurchase Agreement | | | 3.03% |
| Total | | | 100.00% |
| * | A sector may comprise several industries. |
158
Investments in Underlying Funds (unaudited)(continued)
International Opportunities Fund
| Ten Largest Holdings | | % of Investments |
| Arcadis NV | | | 2.04% |
| CT Environmental Group Ltd. | | | 1.91% |
| Arrow Global Group plc | | | 1.83% |
| Altran Technologies SA | | | 1.77% |
| Axfood AB | | | 1.72% |
| Indiabulls Housing Finance Ltd. | | | 1.67% |
| Sundrug Co., Ltd. | | | 1.67% |
| Synergy Health plc | | | 1.66% |
| Amer Sports OYJ | | | 1.50% |
| Ashmore Group plc | | | 1.47% |
| Holdings by Sector* | | % of Investments |
| Consumer Discretionary | | | 17.25% |
| Consumer Staples | | | 6.60% |
| Energy | | | 2.07% |
| Financials | | | 21.83% |
| Health Care | | | 4.57% |
| Industrials | | | 21.71% |
| Information Technology | | | 14.13% |
| Materials | | | 4.94% |
| Telecommunication Services | | | 0.66% |
| Utilities | | | 4.58% |
| Repurchase Agreement | | | 1.66% |
| Total | | | 100.00% |
| * | A sector may comprise several industries. |
Micro Cap Growth Fund
| Ten Largest Holdings | | % of Investments |
| Receptos, Inc. | | | 2.51% |
| Ambarella, Inc. | | | 1.98% |
| Calavo Growers, Inc. | | | 1.97% |
| Rentrak Corp. | | | 1.96% |
| Agios Pharmaceuticals, Inc. | | | 1.94% |
| Taser International, Inc. | | | 1.82% |
| ZELTIQ Aesthetics, Inc. | | | 1.82% |
| Bluebird Bio, Inc. | | | 1.75% |
| Qualys, Inc. | | | 1.69% |
| US Ecology, Inc. | | | 1.60% |
| Holdings by Sector* | | % of Investments |
| Consumer Discretionary | | | 14.37% |
| Consumer Staples | | | 3.88% |
| Energy | | | 0.52% |
| Financials | | | 6.18% |
| Health Care | | | 37.08% |
| Industrials | | | 9.39% |
| Information Technology | | | 26.31% |
| Materials | | | 1.00% |
| Repurchase Agreement | | | 1.27% |
| Total | | | 100.00% |
| * | A sector may comprise several industries. |
159
Investments in Underlying Funds (unaudited)(continued)
Micro Cap Value Fund
| Ten Largest Holdings | | % of Investments |
| Patrick Industries, Inc. | | | 2.85% |
| Electronics for Imaging, Inc. | | | 2.81% |
| Chesapeake Utilities Corp. | | | 2.67% |
| Genesco, Inc. | | | 2.61% |
| Denny’s Corp. | | | 2.60% |
| Lydall, Inc. | | | 2.56% |
| Pacific Premier Bancorp, Inc. | | | 2.46% |
| LGI Homes, Inc. | | | 2.41% |
| Multi-Color Corp. | | | 2.35% |
| South State Corp. | | | 2.25% |
| Holdings by Sector* | | % of Investments |
| Consumer Discretionary | | | 15.65% |
| Consumer Staples | | | 5.36% |
| Energy | | | 2.70% |
| Financials | | | 31.89% |
| Health Care | | | 1.91% |
| Industrials | | | 21.52% |
| Information Technology | | | 8.79% |
| Materials | | | 6.27% |
| Utilities | | | 4.64% |
| Repurchase Agreement | | | 1.27% |
| Total | | | 100.00% |
| * | A sector may comprise several industries. |
Lord Abbett Research Fund, Inc. – Small Cap Value Fund
| Ten Largest Holdings | | % of Investments |
| Minerals Technologies, Inc. | | | 3.44% |
| Western Alliance Bancorp | | | 2.45% |
| Pebblebrook Hotel Trust | | | 2.15% |
| South State Corp. | | | 1.95% |
| Kennedy-Wilson Holdings, Inc. | | | 1.94% |
| PacWest Bancorp | | | 1.87% |
| LaSalle Hotel Properties | | | 1.85% |
| Casey’s General Stores, Inc. | | | 1.82% |
| Genesco, Inc. | | | 1.74% |
| Littelfuse, Inc. | | | 1.64% |
| Holdings by Sector* | | % of Investments |
| Consumer Discretionary | | | 10.14% |
| Consumer Staples | | | 6.36% |
| Energy | | | 3.95% |
| Financials | | | 33.50% |
| Health Care | | | 5.71% |
| Industrials | | | 11.71% |
| Information Technology | | | 13.83% |
| Materials | | | 11.77% |
| Utilities | | | 2.26% |
| Repurchase Agreement | | | 0.77% |
| Total | | | 100.00% |
| * | A sector may comprise several industries. |
160
Investments in Underlying Funds (unaudited)(concluded)
Value Opportunities Fund
| Ten Largest Holdings | | % of Investments |
| Akamai Technologies, Inc. | | | 2.23% |
| PacWest Bancorp | | | 2.13% |
| HCC Insurance Holdings, Inc. | | | 2.01% |
| Ryder System, Inc. | | | 1.90% |
| Jarden Corp. | | | 1.84% |
| Marvell Technology Group Ltd. | | | 1.79% |
| American Water Works Co., Inc. | | | 1.69% |
| Portland General Electric Co. | | | 1.62% |
| Pinnacle Foods, Inc. | | | 1.54% |
| Camden Property Trust | | | 1.53% |
| Holdings by Sector* | | % of Investments |
| Consumer Discretionary | | | 12.71% |
| Consumer Staples | | | 2.42% |
| Energy | | | 5.88% |
| Financials | | | 28.01% |
| Health Care | | | 7.94% |
| Industrials | | | 12.60% |
| Information Technology | | | 16.14% |
| Materials | | | 7.42% |
| Telecommunication Services | | | 0.57% |
| Utilities | | | 6.11% |
| Repurchase Agreement | | | 0.20% |
| Total | | | 100.00% |
| * | A sector may comprise several industries. |
161
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Trust in accordance with the laws of the State of Delaware. The Board elects officers who are responsible for the day-to-day operations of the Funds and who execute policies authorized by the Board. The Board also approves an investment adviser to each Fund and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the adviser. Generally, each Trustee holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Trust’s organizational documents.
Lord Abbett, a Delaware limited liability company, is the Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Funds.
Interested Trustee
Ms. Foster is affiliated with Lord Abbett and is an “interested person” of the Trust as defined in the Act. Ms. Foster is a director/trustee and officer of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 56 portfolios or series.
| | | Current Position and | | |
| Name, Address and | | Length of Service | | Principal Occupation and Other Directorships |
| Year of Birth | | with the Trust | | During the Past Five Years |
Daria L. Foster
Lord, Abbett & Co. LLC
90 Hudson Street
Jersey City, NJ 07302
(1954) | | Trustee and President since 2006; Chief Executive Officer since 2012 | | Principal Occupation: Managing Partner of Lord Abbett (since 2007), and was formerly Director of Marketing and Client Service, joined Lord Abbett in 1990
Other Directorships: None. |
Independent Trustees
The following Independent Trustees also are directors/trustees of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 56 portfolios or series.
| | | Current Position and | | |
| Name, Address and | | Length of Service | | Principal Occupation and Other Directorships |
| Year of Birth | | with the Trust | | During the Past Five Years |
E. Thayer Bigelow
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1941) | | Trustee since 1994; Chairman since 2013 | | Principal Occupation: Managing General Partner, Bigelow Media, LLC (since 2000); Senior Adviser, Time Warner Inc. (1998 – 2000).
Other Directorships: Currently serves as director of Crane Co. (since 1984) and Huttig Building Products Inc. (since 1998). Previously served as a director of R.H. Donnelley Inc. (2009 – 2010). |
| | | | | |
Robert B. Calhoun, Jr.
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1942) | | Trustee since 1998 | | Principal Occupation: Senior Advisor of Monitor Clipper Partners, a private equity investment fund (since 1997); President of Clipper Asset Management Corp. (1991 – 2009).
Other Directorships: None. |
162
Basic Information About Management (continued)
| | | Current Position and | | |
| Name, Address and | | Length of Service | | Principal Occupation and Other Directorships |
| Year of Birth | | with the Trust | | During the Past Five Years |
Eric C. Fast
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1949) | | Trustee since 2014 | | Principal Occupation: Chief Executive Officer of Crane Co., an industrial products company (2001 – 2014).
Other Directorships: Currently serves as director of Automatic Data Processing, Inc. (since 2007) and Regions Financial Corporation (since 2010). Previously served as a director of Crane Co. (1999 – 2014). |
| | | | | |
Evelyn E. Guernsey
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1955) | | Trustee since 2011 | | Principal Occupation: CEO, Americas of J.P. Morgan Asset Management (2004 – 2010).
Other Directorships: None. |
| | | | | |
Julie A. Hill
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1946) | | Trustee since 2004 | | Principal Occupation: Owner and CEO of The Hill Company, a business consulting firm (since 1998).
Other Directorships: Currently serves as director of Anthem, Inc., a health benefits company (since 1994). |
| | | | | |
Franklin W. Hobbs
Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | | Trustee since 2001 | | Principal Occupation: Advisor of One Equity Partners, a private equity firm (since 2004).
Other Directorships: Currently serves as director and Chairman of the Board of Ally Financial Inc., a financial services firm (since 2009), and as director of Molson Coors Brewing Company (since 2002). |
| | | | | |
James M. McTaggart
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2012 | | Principal Occupation: Independent management advisor and consultant (since 2012); Vice President, CRA International, Inc. (doing business as Charles River Associates), a global management consulting firm (2009 – 2012); Founder and Chairman of Marakon Associates, Inc., a strategy consulting firm (1978 – 2009); and Officer and Director of Trinsum Group, a holding company (2007 – 2009).
Other Directorships: Currently serves as director of Blyth, Inc., a home products company (since 2004). |
| | | | | |
James L.L. Tullis
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2006 | | Principal Occupation: CEO of Tullis-Dickerson and Co. Inc., a venture capital management firm (since 1990); CEO of Tullis Health Investors Inc. (since 2012).
Other Directorships: Currently serves as director of Crane Co. (since 1998). |
163
Basic Information About Management (continued)
Officers
None of the officers listed below have received compensation from the Trust. All of the officers of the Trust also may be officers of the other Lord Abbett Funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During the Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett.
| | | | | Length of Service | | |
| Name and | | Current Position | | of Current | | Principal Occupation |
| Year of Birth | | with the Trust | | Position | | During the Past Five Years |
Daria L. Foster
(1954) | | President and Chief Executive Officer | | Elected as President in 2006 and Chief Executive Officer in 2012 | | Managing Partner of Lord Abbett (since 2007), and was formerly Director of Marketing and Client Service, joined Lord Abbett in 1990. |
| | | | | | | |
Sean J. Aurigemma
(1969) | | Executive Vice President | | Elected in 2010 | | Portfolio Manager, joined Lord Abbett in 2007. |
| | | | | | | |
Robert I. Gerber
(1954) | | Executive Vice President | | Elected in 2005 | | Partner and Chief Investment Officer (since 2007), joined Lord Abbett in 1997 as Director of Taxable Fixed Income Management. |
| | | | | | | |
Todd D. Jacobson
(1966) | | Executive Vice President | | Elected in 2003 | | Partner and Associate Director, joined Lord Abbett in 2003. |
| | | | | | | |
Thomas B. Maher
(1967) | | Executive Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2003. |
| | | | | | | |
Justin C. Maurer
(1969) | | Executive Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2001. |
| | | | | | | |
Vincent J. McBride
(1964) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2003. |
| | | | | | | |
F. Thomas O’Halloran, III
(1955) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2001. |
| | | | | | | |
A. Edward Allinson
(1961) | | Vice President | | Elected in 2011 | | Portfolio Manager, joined Lord Abbett in 2005. |
| | | | | | | |
John W. Ashbrook
(1964) | | Vice President and Assistant Secretary | | Elected in 2014 | | Senior Counsel, joined Lord Abbett in 2008. |
| | | | | | | |
Joan A. Binstock
(1954) | | Chief Financial Officer and Vice President | | Elected in 1999 | | Partner and Chief Financial and Operations Officer, joined Lord Abbett in 1999. |
164
Basic Information About Management (concluded)
| | | | | Length of Service | | |
| Name and | | Current Position | | of Current | | Principal Occupation |
| Year of Birth | | with the Trust | | Position | | During the Past Five Years |
Brooke A. Fapohunda
(1975) | | Vice President and Assistant Secretary | | Elected in 2014 | | Assistant General Counsel, joined Lord Abbett in 2006 and was formerly Vice President and Legal Counsel at Credit Suisse Asset Management LLC and Associate at Willkie Farr & Gallagher LLP. |
| | | | | | | |
John K. Forst
(1960) | | Vice President and Assistant Secretary | | Elected in 2005 | | Partner and Deputy General Counsel, joined Lord Abbett in 2004. |
| | | | | | | |
Lawrence H. Kaplan
(1957) | | Vice President and Secretary | | Elected in 1997 | | Partner and General Counsel, joined Lord Abbett in 1997. |
| | | | | | | |
David J. Linsen
(1974) | | Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 2001. |
| | | | | | | |
Joseph M. McGill
(1962) | | Chief Compliance Officer | | Elected in 2014 | | Chief Compliance Officer, joined Lord Abbett in 2014 and was formerly a Managing Director and Chief Compliance Officer at UBS Global Asset Management (2003 – 2013). |
| | | | | | | |
A. Edward Oberhaus, III
(1959) | | Vice President | | Elected in 1993 | | Partner and Director, joined Lord Abbett in 1983. |
| | | | | | | |
Lawrence B. Stoller
(1963) | | Vice President and Assistant Secretary | | Elected in 2007 | | Partner and Senior Deputy General Counsel, joined Lord Abbett in 2007. |
| | | | | | | |
Arthur K. Weise
(1970) | | Vice President | | Elected in 2011 | | Partner and Portfolio Manager, joined Lord Abbett in 2007. |
| | | | | | | |
Scott S. Wallner
(1955) | | AML Compliance Officer | | Elected in 2011 | | Assistant General Counsel, joined Lord Abbett in 2004. |
| | | | | | | |
Bernard J. Grzelak
(1971) | | Treasurer | | Elected in 2003 | | Partner and Director of Fund Administration, joined Lord Abbett in 2003. |
Please call 888-522-2388 for a copy of the statement of additional information, which contains further information about the Trust’s Trustees. It is available free upon request.
165
Householding
The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
166
Tax Information
The percentages below reflect the portion of total ordinary dividends that are eligible for the corporate dividend received deduction (DRD) and qualified dividend income (QDI) for individual shareholders:
| Fund Name | | | DRD | | QDI | |
| Alpha Strategy Fund | | | 14% | | | 22 | % | |
| Fundamental Equity Fund | | | 31% | | | 33 | % | |
| Growth Leaders Fund | | | 3% | | | 3 | % | |
| International Core Equity Fund | | | — | | | 100 | % | |
| International Dividend Income Fund | | | — | | | 96 | % | |
| International Opportunities Fund | | | — | | | 95 | % | |
| Value Opportunities Fund | | | 39% | | | 39 | % | |
Additionally, of the distributions paid to the shareholders during the fiscal year ended October 31, 2014, the following amounts represent short-term and long-term capital gains:
| | | Short-Term | | | Long-Term | |
| Fund Name | | Capital Gains | | | Capital Gains | |
| Alpha Strategy Fund | | $ | — | | | $ | 41,361,605 | |
| Fundamental Equity Fund | | | 193,755,688 | | | | 675,477,284 | |
| Growth Leaders Fund | | | 29,724,487 | | | | 389,799 | |
| Value Opportunities Fund | | | 57,058,078 | | | | 221,546,277 | |
The Funds listed below intend to pass through foreign source income and foreign taxes as follows:
| | | Foreign | | | | |
| Fund Name | | Source Income | | | Foreign Taxes | |
| Alpha Strategy Fund | | $ | 3,611,232 | | | $ | 307,222 | |
| International Core Equity Fund | | | 16,448,118 | | | | 1,602,604 | |
| International Dividend Income Fund | | | 119,505,852 | | | | 10,992,070 | |
| International Opportunities Fund | | | 10,066,656 | | | | 853,127 | |
167
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| | | | Lord Abbett Securities Trust
Lord Abbett Alpha Strategy Fund
Lord Abbett Fundamental Equity Fund
Lord Abbett Growth Leaders Fund
Lord Abbett International Core Equity Fund
Lord Abbett International Dividend Income Fund
Lord Abbett International Opportunities Fund
Lord Abbett Value Opportunities Fund | | |
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This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by
LORD ABBETT DISTRIBUTOR LLC. | | | | LST-2
(12/14) |
2014 LORD ABBETT
ANNUAL REPORT
Lord Abbett
Micro Cap Growth Fund
Micro Cap Value Fund
For the fiscal year ended October 31, 2014
Table of Contents
Lord Abbett Securities Trust
Lord Abbett Micro Cap Growth Fund and Lord Abbett
Micro Cap Value Fund Annual Report
For the fiscal year ended October 31, 2014
Daria L. Foster, Trustee, President and Chief Executive Officer of the Lord Abbett Funds and E. Thayer Bigelow, Independent Chairman of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this overview of the performance of the Funds for the fiscal year ended October 31, 2014. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and more timely information about the Funds, please visit our website at www.lordabbett.com, where you also can access quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Daria L. Foster
Trustee, President and Chief Executive Officer
Micro Cap Growth Fund
For the fiscal year ended October 31, 2014, the Fund returned 10.57%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell Microcap® Growth Index,1 which returned 6.78% over the same period.
Equity markets significantly increased in the trailing 12-month period, with the S&P 500 Index® reaching a new all-time high by October 31, 2014. Despite the general trend upward in the equity market over this timeframe, there were a few periods of short-term volatility, most recently in October 2014, when the market almost entered correction territory before rebounding to all-time highs, and in January 2014, when the S&P 500 dropped by 3.6%. In addition, the U.S. economy also contracted in the first quarter of 2014, by 2.1%, the worst quarterly GDP growth rate since the first quarter of 2009. The equity markets, however, were not materially affected by this disappointing number, and investors viewed this contraction as “temporary.”
1
We were pleased with the Fund’s outperformance of the benchmark during the period. Strong security selection in the health care sector was a leading contributor to Fund performance. Within the sector, our holdings of Intercept Pharmaceuticals, a biopharmaceutical company focused on the development and commercialization of therapeutics to treat chronic liver diseases, contributed most to relative performance. In January 2014, Intercept received positive news from a clinical trial that ended early due to highly statistically significant improvements in patient results. Our position in Receptos, Inc. was another large contributor from the health care sector. In late October 2014, Receptos, a biopharmaceutical company focused on discovering, developing, and commercializing therapeutics for immune disorders, reported strong results from a phase II drug study.
Security selection in the consumer discretionary sector also contributed to the Fund’s relative performance during the period. Within this sector, our position in Rentrak Corp. was the leading contributor. Rentrak, a global media measurement and information company, announced a major deal with FOX Network Group’s national networks in October 2014, pushing Rentrak closer to its goal of becoming a leading ratings provider. LifeLock, Inc. also contributed to relative performance during the period. LifeLock, a proactive provider of identity theft protection services, was able to differentiate itself from competitors by safeguarding clients’ entire identities, not just their credit profiles, and saw strong year-over-year user and revenue growth when the company reported earnings in early 2014.
The information technology sector was the largest detractor from the Fund’s relative performance during the period. Within the sector, our holdings of Glu Mobile Inc. detracted most. Shares of Glu Mobile, a designer and distributor of mobile games, declined by more than 10% in early October after a negative, possibly inaccurate, report was published on the company. Our position in Rally Software Development Corp. also detracted from relative performance during the period. Rally, a global provider of cloud-based solutions, reported disappointing billings growth and offered conservative forward guidance in the first quarter of 2014. Stock selection, and a slight overweight position, in the consumer staples sector also detracted from relative performance. Within this sector the leading detractor was our position in Natural Grocers by Vitamin Cottage, Inc., a specialty retailer of natural and organic groceries and dietary supplements, which noted a substantial increase in competition in its second quarter earnings report. The largest individual detractor from relative performance during the period was our position in the health care company Arrowhead Research Corp. Shares of Arrowhead, a biopharmaceutical company, experienced some weakness on patent-related issues.
2
Micro Cap Value Fund
For the fiscal year ended October 31, 2014, the Fund returned 11.16%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, Russell Microcap® Value Index,2 which returned 7.86% over the same period.
Over the course of the last 12 months, some of the world’s major central banks took action in an attempt to stimulate economic growth and battle the growing risk of crippling deflation. The U.S. Federal Reserve was successful in both tapering, and eventually ending, its Quantitative Easing program. The European Central Bank reduced the interest rate on its deposit facility into negative territory for the first time ever. The Bank of Japan announced an unexpected expansion of its own variation of quantitative easing. In addition, culminating a period marked by a dearth of volatility, October 2014 was struck by a sudden and meaningful increase in the Volatility Index, the VIX, which more than doubled in a single week’s span during which major indices fell by over 5%. However, despite this surge in volatility, the end of the 12-month period brought with it improved employment, manufacturing, and housing data, in the United States. Interest rates, as measured by the 10-year U.S. Treasury Note, surprised many investors by steadily declining throughout the course of the year, reflecting both Fed policy and a slowdown in global economic growth.
Investors favored large capitalization companies over small and within the micro cap space, investors preferred value companies to growth.
Stock selection, especially in the consumer discretionary sector, strongly outperformed the Fund’s benchmark during the period. Within the sector, Gentherm Inc., a developer of seat-heating and cooling systems, experienced four consecutive quarterly earnings reports that outpaced analysts’ expectations which led to consistent appreciation of its stock price. LGI Homes, which designs and builds entry-level homes, celebrated a first quarter earnings report in May of 2014 that highlighted both quarterly earnings and full year earnings guidance that outpaced analysts’ expectations. Moreover, LGI reported an expansion of the company’s product and geographic scope that well exceeded LGI’s own earlier expectations. Within the industrials sector, Lydall, Inc., a designer and manufacturer of motor vehicle parts, experienced accelerated growth and benefitted from the rapid recovery of the U.S. auto-market. Its revenues rose 13% on a compounded annual growth rate (CAGR) over approximately the last four years.
Conversely, stock selection in the health care sector detracted from the Fund’s relative performance for the period. CorVel Corp., a provider of management solutions, saw only modest top-line growth for a sustained period of time as a major competitor experienced more
3
impressive growth, market share gains and rising investor support. Other noteworthy detractors from the Fund’s performance were energy holdings GulfMark Offshore Inc. and Sanchez Energy Corp. GulfMark’s shares fell toward the end of the period as near-term headwinds loomed for the offshore marine service provider. Uncertainty, specifically with regard to the upcoming winter in the key region of the North Sea caused the company’s management to lower its guidance.
Sanchez Energy, the independent onshore driller of oil and natural gas, saw its stock price fall late in the period due in part to delays in the completion of several wells and weaker commodity prices.
Each Fund’s portfolio is actively managed and, therefore, its holdings and the weightings of a particular issuer or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
1 The Russell Microcap® Growth Index measures the performance of those Russell Microcap Index companies with higher price-to-book ratios and higher forecasted growth values.
2 The Russell Microcap® Value Index measures the performance of those Russell Microcap companies with lower price-to-book ratios and lower forecasted growth values.
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
Important Performance and Other Information
Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Funds will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. Each Fund offers classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see each Fund’s prospectus.
During certain periods shown, expense waivers and reimbursements were in place. Without such expense reimbursements, the Funds’ returns would have been lower.
The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Funds as of October 31, 2014. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Funds’ portfolios are actively managed and may change significantly, the Funds may no longer own the securities described above or may have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.
A Note about Risk: See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with each Fund, please see each Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
4
Micro Cap Growth Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell Microcap® Growth Index and the Russell Microcap® Index, assuming reinvestment of all dividends and distributions. The performance of the other class will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such class. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2014
| | | 1 Year | | 5 Years | | 10 Years | |
| Class A3 | | 4.20% | | 20.12% | | 13.06% | |
| Class I4 | | 10.58% | | 21.75% | | 13.96% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percent change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2014, is calculated using the SEC required uniform method to compute such return.
4 Performance is at net asset value.
5
Micro Cap Value Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell Microcap® Value Index and the Russell Microcap® Index, assuming reinvestment of all dividends and distributions. The performance of the other class will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such class. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2014
| | | 1 Year | | 5 Years | | 10 Years | |
| Class A3 | | 4.77% | | 14.41% | | 9.37% | |
| Class I4 | | 11.18% | | 15.96% | | 10.25% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percent change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2014, is calculated using the SEC required uniform method to compute such return.
4 Performance is at net asset value.
6
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2014 through October 31, 2014).
Actual Expenses
For each class of each Fund, the first line of the tables on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 5/1/14 – 10/31/14” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the tables on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
7
Micro Cap Growth Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning | | Ending | | Expenses |
| | | Account | | Account | | Paid During |
| | | Value | | Value | | Period† |
| | | | | | | 5/1/14 - |
| | | 5/1/14 | | 10/31/14 | | 10/31/14 |
| Class A | | | | | | |
| Actual | | $1,000.00 | | $1,032.80 | | $9.22 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.13 | | $9.15 |
| Class I | | | | | | |
| Actual | | $1,000.00 | | $1,032.50 | | $9.22 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.13 | | $9.15 |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.80% for Classes A and I) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2014
| Sector* | | %** |
| Consumer Discretionary | | | 14.37 | % |
| Consumer Staples | | | 3.88 | % |
| Energy | | | 0.52 | % |
| Financials | | | 6.18 | % |
| Health Care | | | 37.08 | % |
| Industrials | | | 9.39 | % |
| Information Technology | | | 26.31 | % |
| Materials | | | 1.00 | % |
| Repurchase Agreement | | | 1.27 | % |
| Total | | | 100.00 | % |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
8
Micro Cap Value Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | Beginning | | Ending | | Expenses |
| | | Account | | Account | | Paid During |
| | | Value | | Value | | Period† |
| | | | | | | 5/1/14 - |
| | | 5/1/14 | | 10/31/14 | | 10/31/14 |
| Class A | | | | | | |
| Actual | | $1,000.00 | | $1,046.20 | | $9.13 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.28 | | $9.00 |
| Class I | | | | | | |
| Actual | | $1,000.00 | | $1,046.50 | | $9.13 |
| Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.28 | | $9.00 |
| † | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.77% for Classes A and I) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2014
| Sector* | | %** |
| Consumer Discretionary | | | 15.65 | % |
| Consumer Staples | | | 5.36 | % |
| Energy | | | 2.70 | % |
| Financials | | | 31.89 | % |
| Health Care | | | 1.91 | % |
| Industrials | | | 21.52 | % |
| Information Technology | | | 8.79 | % |
| Materials | | | 6.27 | % |
| Utilities | | | 4.64 | % |
| Repurchase Agreement | | | 1.27 | % |
| Total | | | 100.00 | % |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
9
Schedule of Investments
MICRO CAP GROWTH FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| COMMON STOCKS 98.17% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 4.05% | | | | | | | | |
| Aerovironment, Inc.* | | | 65,350 | | | $ | 2,003 | |
| Astronics Corp.* | | | 34,725 | | | | 1,799 | |
| Taser International, Inc.* | | | 163,007 | | | | 3,071 | |
| Total | | | | | | | 6,873 | |
| | | | | | | | | |
| Air Freight & Logistics 1.03% | | | | | | | | |
| Echo Global Logistics, Inc.* | | | 67,045 | | | | 1,752 | |
| | | | | | | | | |
| Banks 2.80% | | | | | | | | |
| Pinnacle Financial Partners, Inc. | | | 50,044 | | | | 1,962 | |
| Square 1 Financial, Inc. Class A* | | | 72,217 | | | | 1,436 | |
| ViewPoint Financial Group, Inc. | | | 49,455 | | | | 1,349 | |
| Total | | | | | | | 4,747 | |
| | | | | | | | | |
| Biotechnology 19.32% | | | | | | | | |
| Acceleron Pharma, Inc.* | | | 28,352 | | | | 1,048 | |
| Achillion Pharmaceuticals, Inc.* | | | 113,117 | | | | 1,329 | |
| Agios Pharmaceuticals, Inc.* | | | 38,971 | | | | 3,275 | |
| Avalanche Biotechnologies, Inc.* | | | 41,241 | | | | 1,480 | |
| Bluebird Bio, Inc.* | | | 70,066 | | | | 2,942 | |
| Epizyme, Inc.* | | | 43,610 | | | | 1,157 | |
| Foundation Medicine, Inc.* | | | 54,302 | | | | 1,405 | |
| Infinity Pharmaceuticals, Inc.* | | | 107,164 | | | | 1,460 | |
| Karyopharm Therapeutics, Inc.* | | | 55,383 | | | | 2,275 | |
| Kite Pharma, Inc.* | | | 35,914 | | | | 1,328 | |
| Neurocrine Biosciences, Inc.* | | | 107,228 | | | | 1,986 | |
| ProQR Therapeutics NV (Netherlands)*(a) | | | 50,530 | | | | 648 | |
| PTC Therapeutics, Inc.* | | | 50,721 | | | | 2,073 | |
| Receptos, Inc.* | | | 40,790 | | | | 4,228 | |
| Repligen Corp.* | | | 34,159 | | | | 862 | |
| Sangamo BioSciences, Inc.* | | | 95,150 | | | | 1,155 | |
| TESARO, Inc.* | | | 54,843 | | | | 1,526 | |
| | | | | | | Fair | |
| | | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Ultragenyx | | | | | | | | |
| Pharmaceutical, Inc.* | | | 35,344 | | | $ | 1,662 | |
| Verastem, Inc.* | | | 96,852 | | | | 919 | |
| Total | | | | | | | 32,758 | |
| | | | | | | | | |
| Building Products 1.45% | | | | | | | | |
| Trex Co., Inc.* | | | 57,320 | | | | 2,465 | |
| | | | | | | | | |
| Capital Markets 3.35% | | | | | | | | |
| HFF, Inc. Class A | | | 24,946 | | | | 785 | |
| Marcus & Millichap, Inc.* | | | 42,992 | | | | 1,335 | |
| Piper Jaffray Cos.* | | | 38,762 | | | | 2,189 | |
| Silvercrest Asset Management Group, Inc. Class A | | | 91,253 | | | | 1,363 | |
| Total | | | | | | | 5,672 | |
| | | | | | | | | |
| Chemicals 1.00% | | | | | | | | |
| Flotek Industries, Inc.* | | | 76,289 | | | | 1,691 | |
| | | | | | | | | |
| Commercial Services & Supplies 1.59% | | | | | | | | |
| US Ecology, Inc. | | | 53,585 | | | | 2,694 | |
| | | | | | | | | |
| Communications Equipment 1.95% | | | | | | | | |
| Ruckus Wireless, Inc.* | | | 191,442 | | | | 2,485 | |
| Sierra Wireless, Inc. (Canada)*(a) | | | 30,203 | | | | 827 | |
| Total | | | | | | | 3,312 | |
| | | | | | | | | |
| Diversified Consumer Services 2.40% | | | | | | | | |
| 2U, Inc.* | | | 115,175 | | | | 2,096 | |
| LifeLock, Inc.* | | | 116,117 | | | | 1,964 | |
| Total | | | | | | | 4,060 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 2.78% | | | | | | | | |
| Control4 Corp.* | | | 49,606 | | | | 769 | |
| FARO Technologies, Inc.* | | | 43,546 | | | | 2,439 | |
| Maxwell Technologies, Inc.* | | | 129,097 | | | | 1,505 | |
| Total | | | | | | | 4,713 | |
| | | | | | | | | |
| Energy Equipment & Services 0.52% | | | | | | | | |
| RigNet, Inc.* | | | 20,156 | | | | 876 | |
| 10 | See Notes to Financial Statements. | |
Schedule of Investments (continued)
MICRO CAP GROWTH FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Food & Staples Retailing 0.91% | | | | | | | | |
| Diplomat Pharmacy, Inc.* | | | 71,730 | | | $ | 1,542 | |
| | | | | | | | | |
| Food Products 2.95% | | | | | | | | |
| Amira Nature Foods Ltd. (United Arab Emirates)*(a) | | | 96,614 | | | | 1,682 | |
| Calavo Growers, Inc. | | | 68,494 | | | | 3,325 | |
| Total | | | | | | | 5,007 | |
| | | | | | | | | |
| Health Care Equipment & Supplies 8.00% | | | | | | | | |
| AtriCure, Inc.* | | | 50,582 | | | | 882 | |
| Cardiovascular Systems, Inc.* | | | 69,355 | | | | 2,150 | |
| Endologix, Inc.* | | | 29,107 | | | | 332 | |
| Inogen, Inc.* | | | 55,564 | | | | 1,312 | |
| K2M Group Holdings, Inc.* | | | 67,774 | | | | 1,091 | |
| NxStage Medical, Inc.* | | | 149,129 | | | | 2,261 | |
| Sientra, Inc.* | | | 35,000 | | | | 623 | |
| Spectranetics Corp. (The)* | | | 58,199 | | | | 1,849 | |
| ZELTIQ Aesthetics, Inc.* | | | 119,478 | | | | 3,063 | |
| Total | | | | | | | 13,563 | |
| | | | | | | | | |
| Health Care Providers & Services 2.87% | | | | | | | | |
| AAC Holdings, Inc.* | | | 69,492 | | | | 1,514 | |
| ExamWorks Group, Inc.* | | | 48,423 | | | | 1,878 | |
| HealthEquity, Inc.* | | | 72,225 | | | | 1,473 | |
| Total | | | | | | | 4,865 | |
| | | | | | | | | |
| Health Care Technology 0.94% | | | | | | | | |
| Imprivata, Inc.* | | | 101,722 | | | | 1,586 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure 4.02% | | | | | | | | |
| BJ’s Restaurants, Inc.* | | | 59,040 | | | | 2,599 | |
| Chuy’s Holdings, Inc.* | | | 57,161 | | | | 1,710 | |
| Zoe’s Kitchen, Inc.* | | | 68,544 | | | | 2,499 | |
| Total | | | | | | | 6,808 | |
| | | | | | | | | |
| Household Durables 1.91% | | | | | | | | |
| iRobot Corp.* | | | 67,442 | | | | 2,409 | |
| WCI Communities, Inc.* | | | 43,787 | | | | 821 | |
| Total | | | | | | | 3,230 | |
| | | | | | | Fair | |
| | | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Information Technology Services 1.33% | | | | | | | | |
| Luxoft Holding, Inc. (Switzerland)*(a) | | | 56,494 | | | $ | 2,259 | |
| | | | | | | | | |
| Internet Software & Services 6.94% | | | | | | | | |
| Amber Road, Inc.* | | | 100,932 | | | | 1,347 | |
| Benefitfocus, Inc.* | | | 52,543 | | | | 1,456 | |
| Borderfree, Inc.* | | | 110,779 | | | | 1,214 | |
| comScore, Inc.* | | | 53,461 | | | | 2,253 | |
| LivePerson, Inc.* | | | 140,707 | | | | 2,026 | |
| Textura Corp.* | | | 54,044 | | | | 1,440 | |
| TrueCar, Inc.* | | | 71,858 | | | | 1,207 | |
| Wix.com Ltd. (Israel)*(a) | | | 48,834 | | | | 830 | |
| Total | | | | | | | 11,773 | |
| | | | | | | | | |
| Leisure Product 0.86% | | | | | | | | |
| Malibu Boats, Inc. Class A* | | | 78,095 | | | | 1,457 | |
| | | | | | | | | |
| Life Sciences Tools & Services 1.09% | | | | | | | | |
| Fluidigm Corp.* | | | 63,675 | | | | 1,847 | |
| | | | | | | | | |
| Media 1.95% | | | | | | | | |
| Rentrak Corp.* | | | 43,056 | | | | 3,310 | |
| | | | | | | | | |
| Pharmaceuticals 4.65% | | | | | | | | |
| Avanir Pharmaceuticals, Inc.* | | | 172,255 | | | | 2,229 | |
| Depomed, Inc.* | | | 169,731 | | | | 2,614 | |
| Intersect ENT, Inc.* | | | 117,458 | | | | 2,230 | |
| Revance Therapeutics, Inc.* | | | 39,969 | | | | 806 | |
| Total | | | | | | | 7,879 | |
| | | | | | | | | |
| Professional Services 1.20% | | | | | | | | |
| Paylocity Holding Corp.* | | | 83,239 | | | | 2,039 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 4.32% | | | | | | | | |
| Ambarella, Inc.* | | | 75,439 | | | | 3,341 | |
| Integrated Silicon Solution, Inc. | | | 111,847 | | | | 1,519 | |
| Silicon Motion Technology Corp. ADR | | | 29,247 | | | | 693 | |
| Spansion, Inc. Class A* | | | 86,380 | | | | 1,778 | |
| Total | | | | | | | 7,331 | |
| | See Notes to Financial Statements. | 11 |
Schedule of Investments (concluded)
MICRO CAP GROWTH FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Software 7.17% | | | | | | | | |
| Ellie Mae, Inc.* | | | 36,243 | | | $ | 1,391 | |
| Materialise NV ADR* | | | 146,090 | | | | 1,608 | |
| Mavenir Systems, Inc.* | | | 75,095 | | | | 921 | |
| Qualys, Inc.* | | | 88,978 | | | | 2,854 | |
| Rally Software Development Corp.* | | | 110,045 | | | | 1,125 | |
| Rubicon Project, Inc. (The)* | | | 85,074 | | | | 975 | |
| Silver Spring Networks, Inc.* | | | 73,401 | | | | 703 | |
| TubeMogul, Inc.* | | | 59,824 | | | | 930 | |
| Yodlee, Inc.* | | | 119,377 | | | | 1,651 | |
| Total | | | | | | | 12,158 | |
| | | | | | | | | |
| Specialty Retail 2.18% | | | | | | | | |
| Boot Barn Holdings, Inc.* | | | 66,900 | | | | 1,187 | |
| MarineMax, Inc.* | | | 130,872 | | | | 2,509 | |
| Total | | | | | | | 3,696 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals 1.66% | | | | | | | | |
| Cray, Inc.* | | | 44,964 | | | | 1,558 | |
| Violin Memory, Inc.* | | | 258,033 | | | | 1,249 | |
| Total | | | | | | | 2,807 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods 0.98% | | | | | | | | |
| Vince Holding Corp.* | | | 47,318 | | | | 1,658 | |
Total Common Stocks
(cost $135,005,199) | | | | | | | 166,428 | |
| | | Principal | | | Fair | |
| | | Amount | | | Value | |
| Investments | | (000) | | | (000) | |
| SHORT-TERM INVESTMENT 1.26% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2014, Zero Coupon due 11/3/2014 with Fixed Income Clearing Corp. collateralized by $2,250,000 of U.S. Treasury Note at 1.00% due 9/30/2019; value: $2,185,313; proceeds: $2,140,001
(cost $2,140,001) | | $ | 2,140 | | | $ | 2,140 | |
Total Investments in Securities 99.43%
(cost $137,145,200) | | | | | | | 168,568 | |
| Other Assets in Excess of Liabilities 0.57% | | | | | | | 969 | |
| Net Assets 100.00% | | | | | | $ | 169,537 | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
The following is a summary of the inputs used as of October 31, 2014 in valuing the Fund’s investments carried at fair value(1):
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Type(2)(3) | | (000) | | | (000) | | | (000) | | | (000) | |
| Common Stocks | | $ | 166,428 | | | $ | — | | | $ | — | | | $ | 166,428 | |
| Repurchase Agreement | | | — | | | | 2,140 | | | | — | | | | 2,140 | |
| Total | | $ | 166,428 | | | $ | 2,140 | | | $ | — | | | $ | 168,568 | |
| (1) | Refer to Note 2(g) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | There were no level transfers during the fiscal year ended October 31, 2014. |
| 12 | See Notes to Financial Statements. | |
Schedule of Investments
MICRO CAP VALUE FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| COMMON STOCKS 99.03% | | | | | | | | |
| | | | | | | | | |
| Aerospace & Defense 1.13% | | | | | | | | |
| Astronics Corp.* | | | 36,360 | | | $ | 1,884 | |
| | | | | | | | | |
| Auto Components 4.54% | | | | | | | | |
| Fox Factory Holding Corp.* | | | 152,300 | | | | 2,580 | |
| Gentherm, Inc.* | | | 74,600 | | | | 3,111 | |
| Tower International, Inc.* | | | 77,700 | | | | 1,888 | |
| Total | | | | | | | 7,579 | |
| | | | | | | | | |
| Banks 18.75% | | | | | | | | |
| Bank of Marin Bancorp | | | 44,600 | | | | 2,227 | |
| BNC Bancorp | | | 190,600 | | | | 3,242 | |
| CoBiz Financial, Inc. | | | 286,866 | | | | 3,448 | |
| Eagle Bancorp, Inc.* | | | 33,400 | | | | 1,200 | |
| Green Bancorp, Inc.* | | | 100,000 | | | | 1,709 | |
| Pacific Premier Bancorp, Inc.* | | | 254,500 | | | | 4,120 | |
| Park Sterling Corp. | | | 239,300 | | | | 1,833 | |
| Pinnacle Financial Partners, Inc. | | | 47,000 | | | | 1,843 | |
| Renasant Corp. | | | 117,800 | | | | 3,552 | |
| South State Corp. | | | 62,300 | | | | 3,757 | |
| Square 1 Financial, Inc. Class A* | | | 162,356 | | | | 3,229 | |
| Union Bankshares Corp. | | | 50,300 | | | | 1,131 | |
| Total | | | | | | | 31,291 | |
| | | | | | | | | |
| Beverages 0.82% | | | | | | | | |
| Craft Brew Alliance, Inc.* | | | 98,900 | | | | 1,373 | |
| | | | | | | | | |
| Building Products 2.86% | | | | | | | | |
| Patrick Industries, Inc.* | | | 111,600 | | | | 4,768 | |
| | | | | | | | | |
| Capital Markets 4.99% | | | | | | | | |
| Evercore Partners, Inc. Class A | | | 29,600 | | | | 1,532 | |
| Marcus & Millichap, Inc.* | | | 33,900 | | | | 1,053 | |
| Silvercrest Asset Management Group, Inc. Class A | | | 189,932 | | | | 2,836 | |
| Westwood Holdings Group, Inc. | | | 43,100 | | | | 2,909 | |
| Total | | | | | | | 8,330 | |
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Chemicals 2.28% | | | | | | | | |
| Chase Corp. | | | 44,500 | | | $ | 1,596 | |
| Quaker Chemical Corp. | | | 26,800 | | | | 2,200 | |
| Total | | | | | | | 3,796 | |
| | | | | | | | | |
| Commercial Services & Supplies 3.54% | | | | | | | | |
| Mobile Mini, Inc. | | | 45,200 | | | | 1,981 | |
| Multi-Color Corp. | | | 79,700 | | | | 3,929 | |
| Total | | | | | | | 5,910 | |
| | | | | | | | | |
| Construction Materials 1.05% | | | | | | | | |
| Caesarstone Sdot-Yam Ltd. (Israel)(a) | | | 31,500 | | | | 1,760 | |
| | | | | | | | | |
| Electrical Equipment 0.79% | | | | | | | | |
| AZZ, Inc. | | | 28,100 | | | | 1,314 | |
| | | | | | | | | |
| Electronic Equipment, Instruments & Components 2.79% | | | | | | | | |
| CTS Corp. | | | 139,625 | | | | 2,569 | |
| Orbotech Ltd. (Israel)*(a) | | | 129,600 | | | | 2,079 | |
| Total | | | | | | | 4,648 | |
| | | | | | | | | |
| Energy Equipment & Services 0.75% | | | | | | | | |
| Basic Energy Services, Inc.* | | | 41,500 | | | | 535 | |
| Gulfmark Offshore, Inc. Class A | | | 23,700 | | | | 715 | |
| Total | | | | | | | 1,250 | |
| | | | | | | | | |
| Food & Staples Retailing 1.72% | | | | | | | | |
| Andersons, Inc. (The) | | | 45,000 | | | | 2,868 | |
| | | | | | | | | |
| Food Products 2.84% | | | | | | | | |
| Diamond Foods, Inc.* | | | 83,700 | | | | 2,524 | |
| Farmer Bros Co.* | | | 75,800 | | | | 2,210 | |
| Total | | | | | | | 4,734 | |
| | | | | | | | | |
| Gas Utilities 2.67% | | | | | | | | |
| Chesapeake Utilities Corp. | | | 92,100 | | | | 4,460 | |
| | | | | | | | | |
| Health Care Providers & Services 1.25% | | | | | | | | |
| CorVel Corp.* | | | 60,640 | | | | 2,087 | |
| | See Notes to Financial Statements. | 13 |
Schedule of Investments (continued)
MICRO CAP VALUE FUND October 31, 2014
| | | | | | Fair | |
| | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Hotels, Restaurants & Leisure 3.10% | | | | | | | | |
| Denny’s Corp.* | | | 504,800 | | | $ | 4,351 | |
| Sonic Corp.* | | | 32,900 | | | | 830 | |
| Total | | | | | | | 5,181 | |
| | | | | | | | | |
| Household Durables 2.42% | | | | | | | | |
| LGI Homes, Inc.* | | | 207,665 | | | | 4,033 | |
| | | | | | | | | |
| Information Technology Services 1.30% | | | | | | | | |
| Information Services Group, Inc.* | | | 511,700 | | | | 2,164 | |
| | | | | | | | | |
| Insurance 2.38% | | | | | | | | |
| AMERISAFE, Inc. | | | 43,600 | | | | 1,818 | |
| Argo Group International Holdings Ltd. | | | 38,700 | | | | 2,160 | |
| Total | | | | | | | 3,978 | |
| | | | | | | | | |
| Leisure Product 1.65% | | | | | | | | |
| Malibu Boats, Inc. Class A* | | | 147,100 | | | | 2,745 | |
| | | | | | | | | |
| Life Sciences Tools & Services 0.66% | | | | | | | | |
| NeoGenomics, Inc.* | | | 196,400 | | | | 1,110 | |
| | | | | | | | | |
| Machinery 5.49% | | | | | | | | |
| Dynamic Materials Corp. | | | 69,400 | | | | 1,264 | |
| Lydall, Inc.* | | | 138,700 | | | | 4,290 | |
| Standex International Corp. | | | 41,800 | | | | 3,605 | |
| Total | | | | | | | 9,159 | |
| | | | | | | | | |
| Media 1.37% | | | | | | | | |
| Carmike Cinemas, Inc.* | | | 71,400 | | | | 2,288 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels 1.96% | | | | | | | | |
| Abraxas Petroleum Corp.* | | | 169,600 | | | | 700 | |
| Ring Energy, Inc.* | | | 45,000 | | | | 774 | |
| Sanchez Energy Corp.* | | | 49,000 | | | | 836 | |
| Triangle Petroleum Corp.* | | | 123,800 | | | | 960 | |
| Total | | | | | | | 3,270 | |
| | | | | | | | | |
| Paper & Forest Products 2.96% | | | | | | | | |
| Boise Cascade Co.* | | | 60,200 | | | | 2,171 | |
| Neenah Paper, Inc. | | | 45,275 | | | | 2,762 | |
| Total | | | | | | | 4,933 | |
| | | | | | | Fair | |
| | | | | | | Value | |
| Investments | | Shares | | | (000) | |
| Real Estate Investment Trusts 4.77% | | | | | | | | |
| First Industrial Realty Trust, Inc. | | | 158,200 | | | $ | 3,090 | |
| Parkway Properties, Inc. | | | 128,100 | | | | 2,568 | |
| Retail Opportunity Investments Corp. | | | 140,300 | | | | 2,293 | |
| Total | | | | | | | 7,951 | |
| | | | | | | | | |
| Road & Rail 0.84% | | | | | | | | |
| Roadrunner Transportation Systems, Inc.* | | | 68,100 | | | | 1,404 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment 1.92% | | | | | | | | |
| FormFactor, Inc.* | | | 401,800 | | | | 3,202 | |
| | | | | | | | | |
| Specialty Retail 2.62% | | | | | | | | |
| Genesco, Inc.* | | | 56,961 | | | | 4,368 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripheral 2.81% | | | | | | | | |
| Electronics for Imaging, Inc.* | | | 102,700 | | | | 4,695 | |
| | | | | | | | | |
| Thrifts & Mortgage Finance 1.09% | | | | | | | | |
| Essent Group Ltd.* | | | 74,897 | | | | 1,823 | |
| | | | | | | | | |
| Trading Companies & Distributors 6.94% | | | | | | | | |
| Aceto Corp. | | | 160,700 | | | | 3,654 | |
| H&E Equipment Services, Inc. | | | 90,200 | | | | 3,372 | |
| Lawson Products, Inc.* | | | 55,300 | | | | 1,332 | |
| Rush Enterprises, Inc. Class A* | | | 84,400 | | | | 3,216 | |
| Total | | | | | | | 11,574 | |
| | | | | | | | | |
| Water Utilities 1.98% | | | | | | | | |
| Connecticut Water Service, Inc. | | | 88,700 | | | | 3,297 | |
Total Common Stocks
(cost $126,518,146) | | | | | | | 165,227 | |
| 14 | See Notes to Financial Statements. | |
Schedule of Investments (concluded)
MICRO CAP VALUE FUND October 31, 2014
| | | Principal | | | Fair | |
| | | Amount | | | Value | |
| Investments | | (000) | | | (000) | |
| SHORT-TERM INVESTMENT 1.28% | | | | | | | | |
| | | | | | | | | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2014, Zero Coupon due 11/3/2014 with Fixed Income Clearing Corp. collateralized by $2,235,000 of U.S. Treasury Note at 1.00% due 9/30/2019; value: $2,170,744; proceeds: $2,124,313
(cost $2,124,313) | | $ | 2,124 | | | $ | 2,124 | |
Total Investments in Securities 100.31%
(cost $128,642,459) | | | | | | | 167,351 | |
| Liabilities in Excess of Other Assets (0.31)% | | | | | | | (509 | ) |
| Net Assets 100.00% | | | | | | $ | 166,842 | |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
The following is a summary of the inputs used as of October 31, 2014 in valuing the Fund’s investments carried at fair value(1):
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Investment Type(2)(3) | | (000) | | | (000) | | | (000) | | | (000) | |
| Common Stocks | | $ | 165,227 | | | $ | — | | | $ | — | | | $ | 165,227 | |
| Repurchase Agreement | | | — | | | | 2,124 | | | | — | | | | 2,124 | |
| Total | | $ | 165,227 | | | $ | 2,124 | | | $ | — | | | $ | 167,351 | |
| (1) | Refer to Note 2(g) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
| (3) | There were no level transfers during the fiscal year ended October 31, 2014. |
| | See Notes to Financial Statements. | 15 |
Statements of Assets and Liabilities
October 31, 2014
| | | Micro Cap | | | Micro Cap | |
| | | Growth Fund | | | Value Fund | |
| ASSETS: | | | | | | | | |
| Investments in securities, at cost | | $ | 137,145,200 | | | $ | 128,642,459 | |
| Investments in securities, at fair value | | $ | 168,567,828 | | | $ | 167,350,657 | |
| Receivables: | | | | | | | | |
| Investment securities sold | | | 5,471,092 | | | | 5,022 | |
| Dividends | | | 5,935 | | | | 49,267 | |
| Capital shares sold | | | — | | | | 804 | |
| Prepaid expenses | | | 6,455 | | | | 14,452 | |
| Total assets | | | 174,051,310 | | | | 167,420,202 | |
| LIABILITIES: | | | | | | | | |
| Payables: | | | | | | | | |
| Investment securities purchased | | | 4,231,710 | | | | 300,621 | |
| Capital shares reacquired | | | 67 | | | | 35 | |
| Management fee | | | 199,757 | | | | 198,348 | |
| Trustees’ fees | | | 13,979 | | | | 16,313 | |
| Fund administration | | | 5,327 | | | | 5,289 | |
| To affiliate (See Note 3) | | | 18,474 | | | | 18,072 | |
| Accrued expenses | | | 44,601 | | | | 39,923 | |
| Total liabilities | | | 4,513,915 | | | | 578,601 | |
| NET ASSETS | | $ | 169,537,395 | | | $ | 166,841,601 | |
| COMPOSITION OF NET ASSETS: | | | | | | | | |
| Paid-in capital | | $ | 121,387,983 | | | $ | 112,688,911 | |
| Accumulated net investment loss | | | (507,881 | ) | | | (1,212,164 | ) |
| Accumulated net realized gain on investments | | | 17,234,665 | | | | 16,656,656 | |
| Net unrealized appreciation on investments | | | 31,422,628 | | | | 38,708,198 | |
| Net Assets | | $ | 169,537,395 | | | $ | 166,841,601 | |
| Net assets by class: | | | | | | | | |
| Class A Shares | | $ | 12,880,551 | | | $ | 20,028,347 | |
| Class I Shares | | $ | 156,656,844 | | | $ | 146,813,254 | |
| Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | | | | | | | | |
| Class A Shares | | | 694,112 | | | | 585,833 | |
| Class I Shares | | | 7,964,327 | | | | 4,154,783 | |
| Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | | | | | |
| Class A Shares-Net asset value | | | $18.56 | | | | $34.19 | |
| Class A Shares-Maximum offering price (Net asset value plus sales charge of 5.75%) | | | $19.69 | | | | $36.28 | |
| Class I Shares-Net asset value | | | $19.67 | | | | $35.34 | |
| 16 | See Notes to Financial Statements. |
Statements of Operations
For the Year Ended October 31, 2014
| | | Micro Cap | | | Micro Cap | |
| | | Growth Fund | | | Value Fund | |
| Investment income: | | | | | | | | |
| Dividends | | $ | 462,705 | | | $ | 1,717,157 | |
| Interest and other | | | 78 | | | | — | |
| Total investment income | | | 462,783 | | | | 1,717,157 | |
| Expenses: | | | | | | | | |
| Management fee | | | 2,459,170 | | | | 2,501,088 | |
| Shareholder servicing | | | 43,685 | | | | 45,964 | |
| Professional | | | 45,072 | | | | 45,070 | |
| Reports to shareholders | | | 6,132 | | | | 6,111 | |
| Fund administration | | | 65,578 | | | | 66,696 | |
| Custody | | | 21,116 | | | | 6,604 | |
| Trustees’ fees | | | 6,794 | | | | 6,904 | |
| Registration | | | 36,624 | | | | 33,244 | |
| Subsidy (See Note 3) | | | 227,856 | | | | 221,931 | |
| Other | | | 8,489 | | | | 8,658 | |
| Gross expenses | | | 2,920,516 | | | | 2,942,270 | |
| Expense reductions (See Note 8) | | | (29 | ) | | | (34 | ) |
| Net expenses | | | 2,920,487 | | | | 2,942,236 | |
| Net investment loss | | | (2,457,704 | ) | | | (1,225,079 | ) |
| Net realized and unrealized gain (loss): | | | | | | | | |
| Net realized gain on investments | | | 20,636,719 | | | | 17,316,351 | |
| Net change in unrealized appreciation/depreciation on investments | | | (1,527,370 | ) | | | 1,456,882 | |
| Net realized and unrealized gain | | | 19,109,349 | | | | 18,773,233 | |
| Net Increase in Net Assets Resulting From Operations | | $ | 16,651,645 | | | $ | 17,548,154 | |
| | See Notes to Financial Statements. | 17 |
Statements of Changes in Net Assets
| | | Micro Cap Growth Fund | |
| | | For the Year Ended | | | For the Year Ended | |
| INCREASE IN NET ASSETS | | October 31, 2014 | | | October 31, 2013 | |
| Operations: | | | | | | | | |
| Net investment loss | | $ | (2,457,704 | ) | | $ | (1,977,804 | ) |
| Net realized gain on investments | | | 20,636,719 | | | | 41,791,435 | |
| Net change in unrealized appreciation/depreciation on investments | | | (1,527,370 | ) | | | 20,439,764 | |
| Net increase in net assets resulting from operations | | | 16,651,645 | | | | 60,253,395 | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gain | | | | | | | | |
| Class A | | | (3,137,466 | ) | | | (87,341 | ) |
| Class I | | | (35,954,135 | ) | | | (648,390 | ) |
| Total distributions to shareholders | | | (39,091,601 | ) | | | (735,731 | ) |
| Capital share transactions (See Note 12): | | | | | | | | |
| Net proceeds from sales of shares | | | 16,550,517 | | | | 8,987,166 | |
| Reinvestment of distributions | | | 36,811,431 | | | | 696,469 | |
| Cost of shares reacquired | | | (13,570,868 | ) | | | (18,396,364 | ) |
Net increase (decrease) in net assets resulting from
capital share transactions | | | 39,791,080 | | | | (8,712,729 | ) |
| Net increase in net assets | | | 17,351,124 | | | | 50,804,935 | |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 152,186,271 | | | $ | 101,381,336 | |
| End of year | | $ | 169,537,395 | | | $ | 152,186,271 | |
| Accumulated net investment loss | | $ | (507,881 | ) | | $ | (519,748 | ) |
| 18 | See Notes to Financial Statements. |
Statements of Changes in Net Assets (concluded)
| | | Micro Cap Value Fund | |
| | | For the Year Ended | | | For the Year Ended | |
| INCREASE IN NET ASSETS | | October 31, 2014 | | | October 31, 2013 | |
| Operations: | | | | | | | | |
| Net investment loss | | $ | (1,225,079 | ) | | $ | (421,116 | ) |
| Net realized gain on investments | | | 17,316,351 | | | | 23,346,871 | |
| Net change in unrealized appreciation/depreciation on investments | | | 1,456,882 | | | | 14,702,512 | |
| Net increase in net assets resulting from operations | | | 17,548,154 | | | | 37,628,267 | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Class I | | | — | | | | (68,689 | ) |
| Net realized gain | | | | | | | | |
| Class A | | | (3,831,074 | ) | | | — | |
| Class I | | | (14,965,367 | ) | | | — | |
| Total distributions to shareholders | | | (18,796,441 | ) | | | (68,689 | ) |
| Capital share transactions (See Note 12): | | | | | | | | |
| Net proceeds from sales of shares | | | 11,494,312 | | | | 12,074,048 | |
| Reinvestment of distributions | | | 16,966,402 | | | | 58,968 | |
| Cost of shares reacquired | | | (20,473,797 | ) | | | (17,063,863 | ) |
| Net increase (decrease) in net assets resulting from capital share transactions | | | 7,986,917 | | | | (4,930,847 | ) |
| Net increase in net assets | | | 6,738,630 | | | | 32,628,731 | |
| NET ASSETS: | | | | | | | | |
| Beginning of year | | $ | 160,102,971 | | | $ | 127,474,240 | |
| End of year | | $ | 166,841,601 | | | $ | 160,102,971 | |
| Accumulated net investment loss | | $ | (1,212,164 | ) | | $ | (563,727 | ) |
| | See Notes to Financial Statements. | 19 |
Financial Highlights
MICRO CAP GROWTH FUND
| | | Class A Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $22.57 | | | | $14.03 | | | | $15.98 | | | | $15.47 | | | | $11.32 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.28 | ) | | | (.29 | ) | | | (.28 | ) | | | (.33 | ) | | | (.27 | ) |
| Net realized and unrealized gain | | | 2.27 | | | | 8.94 | | | | .79 | | | | .84 | | | | 4.42 | |
| Total from investment operations | | | 1.99 | | | | 8.65 | | | | .51 | | | | .51 | | | | 4.15 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gain | | | (6.00 | ) | | | (.11 | ) | | | (2.46 | ) | | | — | | | | — | |
| Net asset value, end of year | | | $18.56 | | | | $22.57 | | | | $14.03 | | | | $15.98 | | | | $15.47 | |
| Total Return(b) | | | 10.57 | % | | | 62.14 | % | | | 4.86 | % | | | 3.30 | % | | | 36.66 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.78 | % | | | 1.85 | % | | | 2.09 | % | | | 2.07 | % | | | 2.10 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.78 | % | | | 1.85 | % | | | 2.09 | % | | | 2.07 | % | | | 2.10 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.78 | % | | | 1.85 | % | | | 2.09 | % | | | 2.07 | % | | | 2.11 | % |
| Net investment loss | | | (1.50 | )% | | | (1.64 | )% | | | (1.92 | )% | | | (1.98 | )% | | | (2.03 | )% |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $12,881 | | | | $11,220 | | | | $11,484 | | | | $15,271 | | | | $13,779 | |
| Portfolio turnover rate | | | 208.12 | % | | | 197.69 | % | | | 119.77 | % | | | 120.62 | % | | | 115.89 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| 20 | See Notes to Financial Statements. | |
Financial Highlights (concluded)
MICRO CAP GROWTH FUND
| | | Class I Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $23.57 | | | | $14.64 | | | | $16.52 | | | | $15.96 | | | | $11.65 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.29 | ) | | | (.29 | ) | | | (.25 | ) | | | (.30 | ) | | | (.24 | ) |
| Net realized and unrealized gain | | | 2.39 | | | | 9.33 | | | | .83 | | | | .86 | | | | 4.55 | |
| Total from investment operations | | | 2.10 | | | | 9.04 | | | | .58 | | | | .56 | | | | 4.31 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gain | | | (6.00 | ) | | | (.11 | ) | | | (2.46 | ) | | | — | | | | — | |
| Net asset value, end of year | | | $19.67 | | | | $23.57 | | | | $14.64 | | | | $16.52 | | | | $15.96 | |
| Total Return(b) | | | 10.58 | % | | | 62.22 | % | | | 5.10 | % | | | 3.57 | % | | | 37.00 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.78 | % | | | 1.81 | % | | | 1.84 | % | | | 1.82 | % | | | 1.85 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.78 | % | | | 1.81 | % | | | 1.84 | % | | | 1.82 | % | | | 1.85 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.78 | % | | | 1.81 | % | | | 1.84 | % | | | 1.82 | % | | | 1.86 | % |
| Net investment loss | | | (1.50 | )% | | | (1.60 | )% | | | (1.68 | )% | | | (1.73 | )% | | | (1.78 | )% |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $156,657 | | | | $140,967 | | | | $89,897 | | | | $93,934 | | | | $90,033 | |
| Portfolio turnover rate | | | 208.12 | % | | | 197.69 | % | | | 119.77 | % | | | 120.62 | % | | | 115.89 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 21 |
Financial Highlights
MICRO CAP VALUE FUND
| | | Class A Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $34.74 | | | | $26.52 | | | | $22.88 | | | | $23.33 | | | | $18.57 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.23 | ) | | | (.10 | ) | | | (.08 | ) | | | (.29 | ) | | | (.31 | ) |
| Net realized and unrealized gain (loss) | | | 3.84 | | | | 8.32 | | | | 3.72 | | | | (.16 | ) | | | 5.07 | |
| Total from investment operations | | | 3.61 | | | | 8.22 | | | | 3.64 | | | | (.45 | ) | | | 4.76 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gain | | | (4.16 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of year | | | $34.19 | | | | $34.74 | | | | $26.52 | | | | $22.88 | | | | $23.33 | |
| Total Return(b) | | | 11.16 | % | | | 31.00 | % | | | 15.91 | % | | | (1.93 | )% | | | 25.63 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.76 | % | | | 1.82 | % | | | 2.05 | % | | | 2.04 | % | | | 2.06 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.76 | % | | | 1.82 | % | | | 2.05 | % | | | 2.04 | % | | | 2.06 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.76 | % | | | 1.82 | % | | | 2.05 | % | | | 2.04 | % | | | 2.06 | % |
| Net investment loss | | | (.68 | )% | | | (.34 | )% | | | (.32 | )% | | | (1.17 | )% | | | (1.48 | )% |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $20,028 | | | | $32,010 | | | | $30,512 | | | | $26,239 | | | | $30,139 | |
| Portfolio turnover rate | | | 59.95 | % | | | 73.58 | % | | | 34.25 | % | | | 56.97 | % | | | 48.03 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| 22 | See Notes to Financial Statements. | |
Financial Highlights (concluded)
MICRO CAP VALUE FUND
| | | Class I Shares |
| | | Year Ended 10/31 |
| | | 2014 | | | 2013 | | | 2012 | | | 2011 | | | 2010 | |
| Per Share Operating Performance | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | | | $35.77 | | | | $27.32 | | | | $23.50 | | | | $23.91 | | | | $18.98 | |
| Investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss(a) | | | (.26 | ) | | | (.09 | ) | | | (.02 | ) | | | (.24 | ) | | | (.27 | ) |
| Net realized and unrealized gain (loss) | | | 3.99 | | | | 8.56 | | | | 3.84 | | | | (.17 | ) | | | 5.20 | |
| Total from investment operations | | | 3.73 | | | | 8.47 | | | | 3.82 | | | | (.41 | ) | | | 4.93 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.02 | ) | | | — | | | | — | | | | — | |
| Net realized gain | | | (4.16 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (4.16 | ) | | | (.02 | ) | | | — | | | | — | | | | — | |
| Net asset value, end of year | | | $35.34 | | | | $35.77 | | | | $27.32 | | | | $23.50 | | | | $23.91 | |
| Total Return(b) | | | 11.18 | % | | | 31.02 | % | | | 16.21 | % | | | (1.67 | )% | | | 25.97 | % |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.77 | % | | | 1.78 | % | | | 1.80 | % | | | 1.79 | % | | | 1.81 | % |
| Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.77 | % | | | 1.78 | % | | | 1.80 | % | | | 1.79 | % | | | 1.81 | % |
| Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.77 | % | | | 1.78 | % | | | 1.80 | % | | | 1.79 | % | | | 1.81 | % |
| Net investment loss | | | (.74 | )% | | | (.29 | )% | | | (.09 | )% | | | (.92 | )% | | | (1.23 | )% |
| | | | | | | | | | | | | | | | | | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | | | $146,813 | | | | $128,093 | | | | $96,962 | | | | $94,796 | | | | $85,868 | |
| Portfolio turnover rate | | | 59.95 | % | | | 73.58 | % | | | 34.25 | % | | | 56.97 | % | | | 48.03 | % |
| (a) | Calculated using average shares outstanding during the year. |
| (b) | Total return assumes the reinvestment of all distributions. |
| | See Notes to Financial Statements. | 23 |
Notes to Financial Statements
Lord Abbett Securities Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on February 26, 1993. The Trust currently consists of nine funds. This report covers the following two funds (separately, a “Fund” and collectively, the “Funds”) and their respective classes: Lord Abbett Micro-Cap Growth Fund (“Micro Cap Growth Fund”), Class A and I shares and Lord Abbett Micro-Cap Value Fund (“Micro Cap Value Fund”), Class A and I shares. The investment objective of both Micro Cap Growth Fund and Micro Cap Value Fund is long-term capital appreciation.
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. A contingent deferred sales charge (“CDSC”) may apply to certain redemptions of Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus). Class I shares are not subject to any sales charges.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make certain 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
| (a) | Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Funds’ investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
| | |
| | Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. Each Fund may rely on an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. |
| | |
| | Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee and approved by the Board. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and employs techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively |
24
Notes to Financial Statements (continued)
| | comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
| | |
| | Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| | |
| (b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| | |
| (c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest income on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| | |
| (d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
| | |
| | Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended October 31, 2011 through October 31, 2014. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
| | |
| (e) | Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses incurred by the Funds, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A shares bear class-specific expenses and fees relating to the Funds’ 12b-1 Distribution Plan. |
| | |
| (f) | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
| | |
| (g) | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure |
25
Notes to Financial Statements (continued)
| | purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk – for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: |
| | | |
| | • | Level 1 – | unadjusted quoted prices in active markets for identical investments; |
| | | |
| | • | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
| | | |
| | • | Level 3 – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
| | | |
| | A summary of inputs used in valuing each Fund’s investments as of October 31, 2014 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the fiscal year then ended is included in each Fund’s Schedule of Investments. |
| | | |
| | Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
| 3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
The management fee is based on each Fund’s average daily net assets at an annual rate of 1.50%, which was the Funds’ annualized effective management fee rate for the fiscal year ended October 31, 2014.
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of ..04% of each Fund’s average daily net assets.
Each Fund, along with certain other funds managed by Lord Abbett (collectively, the “Underlying Funds”), has entered into a Servicing Arrangement with Lord Abbett Alpha Strategy Fund (“Alpha Strategy Fund”) of the Trust, pursuant to which each Underlying Fund pays a portion of the expenses (excluding management fees and distribution and service fees) of Alpha Strategy Fund in proportion to the average daily value of the Underlying Fund shares owned by Alpha Strategy Fund. Amounts paid pursuant to the Servicing Arrangement are included in Subsidy expense on each Fund’s Statement of Operations and Payable to affiliate on each Fund’s Statement of Assets and Liabilities.
As of October 31, 2014, the percentages of Micro Cap Growth Fund’s and Micro Cap Value Fund’s outstanding shares owned by Lord Abbett Alpha Strategy Fund were 78.67% and 76.99%.
26
Notes to Financial Statements (continued)
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A shares pursuant to Rule 12b-1 under the Act under which the Board may authorize the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. During the fiscal year ended October 31, 2014, the Board did not authorize such Class A 12b-1 fees.
Class I shares do not have a distribution plan.
A Trustee and certain of the Trust’s officers have an interest in Lord Abbett.
| 4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared and paid at least annually for each fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
Subsequent to the Funds’ fiscal year ended October 31, 2014, distributions were declared on November 19, 2014 and paid on November 21, 2014 to shareholders of record on November 20, 2014. The approximate amounts were as follows:
| | | Short-Term
Capital Gains | | | Long-Term
Capital Gains | |
| Micro Cap Growth Fund | | | $3,677,000 | | | | $16,489,000 | |
| Micro Cap Value Fund | | | — | | | | 16,711,000 | |
The tax character of distributions paid during the fiscal years ended October 31, 2014 and 2013 was as follows:
| | | Micro Cap Growth Fund | | | Micro Cap Value Fund | |
| | | Year Ended
10/31/2014 | | | Year Ended
10/31/2013 | | | Year Ended
10/31/2014 | | | Year Ended
10/31/2013 | |
| Distributions paid from: | | | | | | | | | | | | | | | | |
| Ordinary income | | $ | 26,623,391 | | | $ | — | | | $ | — | | | $ | 68,689 | |
| Net long-term capital gains | | | 12,468,210 | | | | 735,731 | | | | 18,796,441 | | | | — | |
| Total distributions paid | | $ | 39,091,601 | | | $ | 735,731 | | | $ | 18,796,441 | | | $ | 68,689 | |
As of October 31, 2014, the components of accumulated gains on a tax-basis were as follows:
| | | Micro Cap
Growth Fund | | | Micro Cap
Value Fund | |
| Undistributed ordinary income - net | | $ | 3,677,107 | | | $ | — | |
| Undistributed long-term capital gains | | | 16,487,883 | | | | 16,710,391 | |
| Total undistributed earnings | | | 20,164,990 | | | | 16,710,391 | |
| Temporary differences | | | (507,881 | ) | | | (1,212,164 | ) |
| Unrealized gains - net | | | 28,492,303 | | | | 38,654,463 | |
| Total accumulated gains - net | | $ | 48,149,412 | | | $ | 54,152,690 | |
27
Notes to Financial Statements (continued)
At each Fund’s election, certain losses incurred within the taxable year (Qualified Late-Year Losses) are deemed to arise on the first business day of the Fund’s next taxable year. Each Fund incurred and will elect to defer late-year ordinary losses during fiscal 2014 as follows:
| Micro Cap Growth Fund | $ 493,902 |
| Micro Cap Value Fund | 1,195,851 |
As of October 31, 2014, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | Micro Cap
Growth Fund | | | Micro Cap
Value Fund | |
| Tax cost | | $ | 140,075,525 | | | $ | 128,696,194 | |
| Gross unrealized gain | | | 32,666,839 | | | | 41,070,037 | |
| Gross unrealized loss | | | (4,174,536 | ) | | | (2,415,574 | ) |
| Net unrealized security gain | | $ | 28,492,303 | | | $ | 38,654,463 | |
The difference between book-basis and tax basis unrealized gains (losses) is attributable to the tax treatment of wash sales.
Permanent items identified during the fiscal year ended October 31, 2014 have been reclassified among the components of net assets based on their tax basis treatment as follows:
| | | Accumulated Net
Investment Loss | | | Accumulated
Net Realized
Gain | | | Paid-in
Capital | |
| Micro Cap Growth Fund | | | $2,469,571 | | | | $(2,469,678 | ) | | $ | 107 | |
| Micro Cap Value Fund | | | 576,642 | | | | (514,373 | ) | | | (62,269 | ) |
The permanent differences are primarily attributable to the tax treatment of net operating losses.
| 5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended October 31, 2014 were as follows:
| | | Purchases | | | Sales | |
| Micro Cap Growth Fund | | $ | 335,259,541 | | | $ | 335,254,731 | |
| Micro Cap Value Fund | | | 96,805,986 | | | | 102,874,788 | |
There were no purchases or sales of U.S. Government securities for the fiscal year ended October 31, 2014.
| 6. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”), specifying which transactions are subject to disclosures about offsetting.
The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the statement of assets and liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a Fund and a counterparty which provides for the net
28
Notes to Financial Statements (continued)
settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the statement of assets and liabilities across transactions between the Funds and the applicable counterparty:
| | | Micro Cap Growth Fund | |
| Description | | Gross Amounts of
Recognized Assets | | | Gross Amounts
Offset in the
Statement of Assets
and Liabilities | | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | |
| Repurchase Agreement | | $ | 2,140,001 | | | $ | — | | | $ | 2,140,001 | |
| Total | | $ | 2,140,001 | | | $ | — | | | $ | 2,140,001 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 2,140,001 | | | $ | — | | | $ | — | | | $ | (2,140,001 | ) | | $ | — | |
| Total | | $ | 2,140,001 | | | $ | — | | | $ | — | | | $ | (2,140,001 | ) | | $ | — | |
| | | Micro Cap Value Fund | |
| Description | | Gross Amounts of
Recognized Assets | | | Gross Amounts
Offset in the
Statement of Assets
and Liabilities | | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | |
| Repurchase Agreement | | $ | 2,124,313 | | | $ | — | | | $ | 2,124,313 | |
| Total | | $ | 2,124,313 | | | $ | — | | | $ | 2,124,313 | |
| | | | | | Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received(a) | | | Securities
Collateral
Received(a) | | | Net Amount(b) | |
| Fixed Income Clearing Corp. | | $ | 2,124,313 | | | $ | — | | | $ | — | | | $ | (2,124,313 | ) | | $ | — | |
| Total | | $ | 2,124,313 | | | $ | — | | | $ | — | | | $ | (2,124,313 | ) | | $ | — | |
| (a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
| (b) | Net amount represents the amount owed to the Fund by the counterparty as of October 31, 2014. |
The Trust’s officers and a Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’
29
Notes to Financial Statements (continued)
fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
Effective June 30, 2014, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participate in a $500 million unsecured revolving credit facility (the “Facility”) with State Street Bank and Trust Company (“SSB”). The Facility is to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions. The Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, or $350 million based on past borrowings and likelihood of future borrowings. Each Participating Fund bears its ratable share of the $525,000 annual Facility fee based on the maximum amount the Fund can borrow under the Facility. This amount is included for each Fund in Other expenses in the Statements of Operations. Any borrowings under the Facility will incur interest at current market rates as set forth in the credit agreement.
Prior to June 30, 2014, the Funds and certain other funds managed by Lord Abbett participated in a Facility with SSB. The amounts that were available under the Facility were (i) the lesser of either $250,000,000 or 33.33% of total assets per participating fund and (ii) $350,000,000 in the aggregate for all participating funds.
During the fiscal year ended October 31, 2014, the Funds did not utilize the Facility. A participating fund utilized the Facility during the year and fully repaid its borrowings.
| 10. | CUSTODIAN AND ACCOUNTING AGENT |
SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
Each Fund is subject to the general risks and considerations associated with equity investing, as well as the particular risks associated with micro-cap and growth or value stocks. The value of an investment in each Fund will fluctuate in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Funds invest. Micro-cap companies may be subject to greater risks and may be more sensitive to changes in economic conditions than larger, more established companies. There may be less liquidity in micro-cap company stocks, subjecting them to greater price fluctuations than larger company stocks. In the case of Micro Cap Growth Fund, the growth stocks in which it generally invests may add to the Fund’s volatility. In the case of Micro Cap Value Fund, the prices of value stocks in which it generally invests may lag the stock market for long periods of time if the market fails to recognize the company’s intrinsic worth.
These factors can affect each Fund’s performance.
30
Notes to Financial Statements (concluded)
| 12. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
| Micro Cap Growth Fund | | | | | Year Ended
October 31, 2014 | | | | | | Year Ended
October 31, 2013 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
| Shares sold | | | 103,506 | | | $ | 2,045,415 | | | | 15,804 | | | $ | 249,559 | |
| Reinvestment of distributions | | | 180,089 | | | | 3,137,146 | | | | 6,465 | | | | 86,378 | |
| Shares reacquired | | | (86,690 | ) | | | (1,587,982 | ) | | | (343,779 | ) | | | (4,680,702 | ) |
| Increase (decrease) | | | 196,905 | | | $ | 3,594,579 | | | | (321,510 | ) | | $ | (4,344,765 | ) |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 770,587 | | | $ | 14,505,102 | | | | 583,333 | | | $ | 8,737,607 | |
| Reinvestment of distributions | | | 1,823,188 | | | | 33,674,285 | | | | 43,734 | | | | 610,091 | |
| Shares reacquired | | | (610,341 | ) | | | (11,982,886 | ) | | | (787,625 | ) | | | (13,715,662 | ) |
| Increase (decrease) | | | 1,983,434 | | | $ | 36,196,501 | | | | (160,558 | ) | | $ | (4,367,964 | ) |
| | | | | | | | | | | | | | | | | |
| Micro Cap Value Fund | | | | | | Year Ended
October 31, 2014 | | | | | | | Year Ended
October 31, 2013 | |
| Class A Shares | | | Shares | | | Amount | | | | Shares | | | Amount | |
| Shares sold | | | 10,203 | | | $ | 337,955 | | | | 7,698 | | | $ | 227,376 | |
| Reinvestment of distributions | | | 93,032 | | | | 2,979,819 | | | | — | | | | — | |
| Shares reacquired | | | (438,816 | ) | | | (14,299,631 | ) | | | (236,705 | ) | | | (6,422,381 | ) |
| Decrease | | | (335,581 | ) | | $ | (10,981,857 | ) | | | (229,007 | ) | | $ | (6,195,005 | ) |
| | | | | | | | | | | | | | | | | |
| Class I Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 328,999 | | | $ | 11,156,357 | | | | 387,101 | | | $ | 11,846,672 | |
| Reinvestment of distributions | | | 422,555 | | | | 13,986,583 | | | | 2,123 | | | | 58,968 | |
| Shares reacquired | | | (177,565 | ) | | | (6,174,166 | ) | | | (357,823 | ) | | | (10,641,482 | ) |
| Increase | | | 573,989 | | | $ | 18,968,774 | | | | 31,401 | | | $ | 1,264,158 | |
31
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Lord Abbett Securities Trust and Shareholders of Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund, two of the nine portfolios constituting the Lord Abbett Securities Trust (the “Trust”), as of October 31, 2014, 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 Trust’s 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. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2014, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund of the Lord Abbett Securities Trust as of October 31, 2014, 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.
DELOITTE & TOUCHE LLP
New York, New York
December 19, 2014
32
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Trust in accordance with the laws of the State of Delaware. The Board elects officers who are responsible for the day-to-day operations of the Funds and who execute policies authorized by the Board. The Board also approves an investment adviser to each Fund and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the adviser. Generally, each Trustee holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Trust’s organizational documents.
Lord Abbett, a Delaware limited liability company, is the Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Funds.
Interested Trustee
Ms. Foster is affiliated with Lord Abbett and is an “interested person” of the Trust as defined in the Act. Ms. Foster is a director/trustee and officer of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 56 portfolios or series.
Name, Address and
Year of Birth | | Current Position and
Length of Service
with the Trust | | Principal Occupation and Other Directorships
During the Past Five Years |
Daria L. Foster
Lord, Abbett & Co. LLC
90 Hudson Street
Jersey City, NJ 07302
(1954) | | Trustee and President
since 2006; Chief
Executive Officer
since 2012 | | Principal Occupation: Managing Partner of Lord Abbett (since 2007), and was formerly Director of Marketing and Client Service, joined Lord Abbett in 1990 Other Directorships: None. |
Independent Trustees
The following Independent Trustees also are directors/trustees of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 56 portfolios or series.
Name, Address and
Year of Birth | | Current Position and
Length of Service
with the Trust | | Principal Occupation and Other Directorships
During the Past Five Years |
E. Thayer Bigelow
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1941) | | Trustee since 1994;
Chairman since 2013 | | Principal Occupation: Managing General Partner, Bigelow Media, LLC (since 2000); Senior Adviser, Time Warner Inc. (1998 – 2000). Other Directorships: Currently serves as director of Crane Co. (since 1984) and Huttig Building Products Inc. (since 1998). Previously served as a director of R.H. Donnelley Inc. (2009 – 2010). |
| | | | | |
Robert B. Calhoun, Jr.
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1942) | | Trustee since 1998 | | Principal Occupation: Senior Advisor of Monitor Clipper Partners, a private equity investment fund (since 1997); President of Clipper Asset Management Corp. (1991 – 2009). Other Directorships: None. |
33
Basic Information About Management (continued)
Name, Address and
Year of Birth | | Current Position and
Length of Service
with the Trust | | Principal Occupation and Other Directorships
During the Past Five Years |
Eric C. Fast
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1949) | | Trustee since 2014 | | Principal Occupation: Chief Executive Officer of Crane Co., an industrial products company (2001 – 2014). Other Directorships: Currently serves as director of Automatic Data Processing, Inc. (since 2007) and Regions Financial Corporation (since 2010). Previously served as a director of Crane Co. (1999 – 2014). |
| | | | | |
Evelyn E. Guernsey
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1955) | | Trustee since 2011 | | Principal Occupation: CEO, Americas of J.P. Morgan Asset Management (2004 – 2010). Other Directorships: None. |
| | | | | |
Julie A. Hill
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1946) | | Trustee since 2004 | | Principal Occupation: Owner and CEO of The Hill Company, a business consulting firm (since 1998). Other Directorships: Currently serves as director of Anthem, Inc., a health benefits company (since 1994). |
| | | | | |
Franklin W. Hobbs
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2001 | | Principal Occupation: Advisor of One Equity
Partners, a private equity firm (since 2004). Other Directorships: Currently serves as director and Chairman of the Board of Ally Financial Inc., a financial services firm (since 2009), and as director of Molson Coors Brewing Company (since 2002). |
| | | | | |
James M. McTaggart
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2012 | | Principal Occupation: Independent management advisor and consultant (since 2012); Vice President, CRA International, Inc. (doing business as Charles River Associates), a global management consulting firm (2009 – 2012); Founder and Chairman of Marakon Associates, Inc., a strategy consulting firm (1978 – 2009); and Officer and Director of Trinsum Group, a holding company (2007 – 2009). Other Directorships: Currently serves as director of Blyth, Inc., a home products company (since 2004). |
| | | | | |
James L.L. Tullis
Lord, Abbett & Co. LLC
c/o Legal Dept.
90 Hudson Street
Jersey City, NJ 07302
(1947) | | Trustee since 2006 | | Principal Occupation: CEO of Tullis-Dickerson and Co. Inc., a venture capital management firm (since 1990); CEO of Tullis Health Investors Inc. (since 2012). Other Directorships: Currently serves as director of Crane Co. (since 1998). |
34
Basic Information About Management (continued)
Officers
None of the officers listed below have received compensation from the Trust. All of the officers of the Funds also may be officers of the other Lord Abbett Funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During the Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett.
Name and
Year of Birth | | Current Position
with the Trust | | Length of Service
of Current
Position | | Principal Occupation
During the Past Five Years |
Daria L. Foster
(1954) | | President and Chief Executive Officer | | Elected as President in 2006 and Chief Executive Officer in 2012 | | Managing Partner of Lord Abbett (since 2007), and was formerly Director of Marketing and Client Service, joined Lord Abbett in 1990. |
| | | | | | | |
Sean J. Aurigemma
(1969) | | Executive Vice President | | Elected in 2010 | | Portfolio Manager, joined Lord Abbett in 2007. |
| | | | | | | |
Robert I. Gerber
(1954) | | Executive Vice President | | Elected in 2005 | | Partner and Chief Investment Officer (since 2007), joined Lord Abbett in 1997 as Director of Taxable Fixed Income Management. |
| | | | | | | |
Todd D. Jacobson
(1966) | | Executive Vice President | | Elected in 2003 | | Partner and Associate Director, joined Lord Abbett in 2003. |
| | | | | | | |
Thomas B. Maher
(1967) | | Executive Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2003. |
| | | | | | | |
Justin C. Maurer
(1969) | | Executive Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2001. |
| | | | | | | |
Vincent J. McBride
(1964) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2003. |
| | | | | | | |
F. Thomas O’Halloran, III
(1955) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2001. |
| | | | | | | |
A. Edward Allinson
(1961) | | Vice President | | Elected in 2011 | | Portfolio Manager, joined Lord Abbett in 2005. |
| | | | | | | |
John W. Ashbrook
(1964) | | Vice President and Assistant Secretary | | Elected in 2014 | | Senior Counsel, joined Lord Abbett in 2008. |
| | | | | | | |
Joan A. Binstock
(1954) | | Chief Financial Officer and Vice President | | Elected in 1999 | | Partner and Chief Financial and Operations Officer, joined Lord Abbett in 1999. |
35
Basic Information About Management (concluded)
Name and
Year of Birth | | Current Position
with the Trust | | Length of Service
of Current
Position | | Principal Occupation
During the Past Five Years |
Brooke A. Fapohunda
(1975) | | Vice President and Assistant Secretary | | Elected in 2014 | | Assistant General Counsel, joined Lord Abbett in 2006 and was formerly Vice President and Legal Counsel at Credit Suisse Asset Management LLC and Associate at Willkie Farr & Gallagher LLP. |
| | | | | | | |
John K. Forst
(1960) | | Vice President and Assistant Secretary | | Elected in 2005 | | Partner and Deputy General Counsel, joined Lord Abbett in 2004. |
| | | | | | | |
Lawrence H. Kaplan
(1957) | | Vice President and Secretary | | Elected in 1997 | | Partner and General Counsel, joined Lord Abbett in 1997. |
| | | | | | | |
David J. Linsen
(1974) | | Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 2001. |
| | | | | | | |
Joseph M. McGill
(1962) | | Chief Compliance Officer | | Elected in 2014 | | Chief Compliance Officer, joined Lord Abbett in 2014 and was formerly a Managing Director and Chief Compliance Officer at UBS Global Asset Management (2003 – 2013). |
| | | | | | | |
A. Edward Oberhaus, III
(1959) | | Vice President | | Elected in 1993 | | Partner and Director, joined Lord Abbett in 1983. |
| | | | | | | |
Lawrence B. Stoller
(1963) | | Vice President and Assistant Secretary | | Elected in 2007 | | Partner and Senior Deputy General Counsel, joined Lord Abbett in 2007. |
| | | | | | | |
Arthur K. Weise
(1970) | | Vice President | | Elected in 2011 | | Partner and Portfolio Manager, joined Lord Abbett in 2007. |
| | | | | | | |
Scott S. Wallner
(1955) | | AML Compliance Officer | | Elected in 2011 | | Assistant General Counsel, joined Lord Abbett in 2004. |
| | | | | | | |
Bernard J. Grzelak
(1971) | | Treasurer | | Elected in 2003 | | Partner and Director of Fund Administration, joined Lord Abbett in 2003. |
Please call 888-522-2388 for a copy of the statement of additional information, which contains further information about the Trust’s Trustees. It is available free upon request.
36
Householding
The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
| | Tax Information | |
| | | |
| | Of the distributions paid by Micro Cap Growth Fund and Micro Cap Value Fund to shareholders during the fiscal year ended October 31, 2014, $12,468,210 and $18,796,441, respectively, represent long-term capital gains. | |
| | | |
| | Of the distribution paid by Micro Cap Growth Fund to shareholders during the fiscal year ended October 31, 2014, $26,623,391 represents short-term capital gains. | |
| | | |
| | 0.44% of the ordinary income distributions paid by Micro Cap Growth Fund during the fiscal year ended October 31, 2014 is qualified dividend income. For corporate shareholders, 0.45% of Micro Cap Growth Fund’s ordinary income distributions qualified for the dividends received deduction. | |
| | | |
37
| This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus. | | Lord Abbett Securities Trust | | |
| | | | | |
| Lord Abbett mutual fund shares are distributed by | | Lord Abbett Micro-Cap Growth Fund | | LAMCVF-2 |
| LORD ABBETT DISTRIBUTOR LLC. | | Lord Abbett Micro-Cap Value Fund | | (12/14) |
| (a) | In accordance with applicable requirements, the Registrant adopted a Sarbanes-Oxley Code of Ethics on June 19, 2003 that applies to the principal executive officer and senior financial officers of the Registrant (“Code of Ethics”). The Code of Ethics was in effect during the fiscal year ended October 31, 2014 (the “Period”). |
| (c) | The Registrant has not amended the Code of Ethics as described in Form N-CSR during the Period. |
| (d) | The Registrant has not granted any waiver, including an implicit waiver, from a provision of the Code of Ethics as described in Form N-CSR during the Period. |
| (f) | See Item 12(a)(1) concerning the filing of the Code of Ethics. |
| Item 3: | Audit Committee Financial Expert. |
The Registrant’s board of trustees has determined that each of the following independent trustees who are members of the audit committee is an audit committee financial expert: E. Thayer Bigelow and Robert B. Calhoun, Jr. Each of these persons is independent within the meaning of the Form N-CSR.
| Item 4: | Principal Accountant Fees and Services. |
In response to sections (a), (b), (c) and (d) of Item 4, the aggregate fees billed to the Registrant for the fiscal years ended October 31, 2014 and 2013 by the Registrant's principal accounting firm, Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu and their respective affiliates (collectively, “Deloitte”) were as follows:
| | | Fiscal year ended: |
| | | 2014 | 2013 |
| | Audit Fees {a} | $374,900 | $363,000 |
| | Audit-Related Fees | - 0 - | - 0 - |
| | Total audit and audit-related fees | 374,900 | 363,000 |
| | | | |
| | Tax Fees {b} | 81,008 | 78,755 |
| | All Other Fees | - 0 - | - 0 - |
| | | | |
| | Total Fees | $455,908 | $441,755 |
________
{a} Consists of fees for audits of the Registrant’s annual financial statements.
{b} Fees for the fiscal year ended October 31, 2014 and 2013 consist of fees for preparing the U.S. Income Tax Return for Regulated Investment Companies, New Jersey Corporation Business Tax Return, New Jersey Annual Report Form, U.S. Return of Excise Tax on Undistributed Income of Investment Companies, IRS Forms 1099-MISC and 1096 Annual Summary and Transmittal of U.S. Information Returns.
(e) (1) Pursuant to Rule 2-01(c) (7) of Regulation S-X, the Registrant’s Audit Committee has adopted pre-approval policies and procedures. Such policies and procedures generally provide that the Audit Committee must pre-approve:
| · | any audit, audit-related, tax, and other services to be provided to the Lord Abbett Funds, including the Registrant, and |
| · | any audit-related, tax, and other services to be provided to the Registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to one or more Funds comprising the Registrant if the engagement relates directly to operations and financial reporting of a Fund, by the independent auditor to assure that the provision of such services does not impair the auditor’s independence. |
The Audit Committee has delegated pre-approval authority to its Chairman, subject to a fee limit of $10,000 per event, and not to exceed $25,000 annually. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. Unless a type of service to be provided by the independent auditor has received general pre-approval, it must be pre-approved by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
(e) (2) The Registrant’s Audit Committee has approved 100% of the services described in this Item 4 (b) through (d).
(f) Not applicable.
(g) The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant are shown above in the response to Item 4 (a), (b), (c) and (d) as “All Other Fees”.
The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant’s investment adviser, Lord, Abbett & Co. LLC (“Lord Abbett”), for the fiscal years ended October 31, 2014 and 2013 were:
| | | Fiscal year ended: |
| | | 2014 | 2013 |
| | All Other Fees {a} | $185,734 | $180,602 |
________
{a} Consist of fees for Independent Services Auditors’ Report on Controls Placed in Operation and Tests of Operating Effectiveness related to Lord Abbett’s Asset Management Services (“SOC-1 Report”).
The aggregate non-audit fees billed by Deloitte for services rendered to entities under the common control of Lord Abbett for the fiscal years ended October 31, 2014 and 2013 were:
| | | Fiscal year ended: |
| | | 2014 | 2013 |
| | All Other Fees | $ - 0 - | $ - 0- |
________
(h) The Registrant’s Audit Committee has considered the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to Rule 2-01 (c)(7)(ii) of Regulation S-X and has determined that the provision of such services is compatible with maintaining Deloitte’s independence.
| Item 5: | Audit Committee of Listed Registrants. |
Not applicable.
Not applicable.
| Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
| Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10: | Submission of Matters to a Vote of Security Holders. |
Not applicable.
| Item 11: | Controls and Procedures. |
| (a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) 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. |
| (a)(1) | The Lord Abbett Family of Funds Sarbanes Oxley Code of Ethics for the Principal Executive Officer and Senior Financial Officers is attached hereto as part of Ex-99. CODEETH. |
| (a)(2) | Certification of each Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. |
| (b) | Certification of each Principal Executive Officer and Principal Financial Officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | LORD ABBETT SECURITIES TRUST |
| | | |
| | By: | /s/ Daria L. Foster |
| | | Daria L. Foster |
| | | President and Chief Executive Officer |
Date: December 18, 2014
| | By: | /s/ Joan A. Binstock |
| | | Joan A. Binstock |
| | | Chief Financial Officer and Vice President |
Date: December 18, 2014
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/ Daria L. Foster |
| | | Daria L. Foster |
| | | President and Chief Executive Officer |
Date: December 18, 2014
| | By: | /s/ Joan A. Binstock |
| | | Joan A. Binstock |
| | | Chief Financial Officer and Vice President |
Date: December 18, 2014
