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: 10/31/2015
Item 1: | Report(s) to Shareholders. |
2015 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, 2015
Table of Contents
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, 2015
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, 2015. 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 the 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
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Alpha Strategy Fund
For the fiscal year ended October 31, 2015, the Fund returned 2.54%, 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 1.21% over the same period.
Domestic equity markets advanced over the past year, with the S&P 500® Index3 rising 5.20% during the trailing 12-month period. Despite this general move upwards, there were a few periods of short-term volatility, most notably in January 2015, when the S&P 500® declined 3.1% and, in August 2015, when the index dropped 6.3%, its greatest monthly loss in three years. One of the prevailing market themes during the trailing 12-month period was the continued weakness in energy prices, with oil in particular plunging 60% from a June 2014 high to a six-year low in March of 2015. Finally, the real U.S. gross domestic product (GDP) initially was reported to have contracted by 0.2% in the first quarter of 2015; however, that figure was later revised up to a modest 0.6% expansion. In the second quarter of 2015, real GDP advanced 3.9%, while the advanced estimate from the Bureau of Economic Analysis indicated that real GDP increased 1.5% in the third quarter of 2015.
During the period, the performance of underlying investment strategies, as well as the Fund’s strategic allocation, contributed to relative performance. The Fund’s
exposure to international small-cap stocks and domestic small-cap value 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 the international equity allocation, security selection in the financials and industrials sectors contributed positively to performance, relative to the underlying index. Similarly, stock selection in the financials and information technology sectors contributed to the performance within the domestic small-cap value strategy.
Detracting from the Fund’s relative performance was its exposure to domestic small-cap growth equities, as this investment strategy underperformed the Fund’s benchmark index. Within this underlying strategy, stock selection in the information technology and healthcare sectors detracted from performance relative to the Fund’s underlying index. Also detracting from the Fund’s relative performance was exposure to the domestic micro-cap growth underlying strategy. Stock selection within the information technology and consumer discretionary sectors caused this investment strategy to underperform its underlying index.
Fundamental Equity Fund
For the fiscal year ended October 31, 2015, the Fund returned 1.18%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the
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Russell 1000® Value Index,4 which returned 0.53% over the same period.
Domestic equity markets advanced over the past year, with the S&P 500® Index3 rising 5.20% during the trailing 12-month period. Despite this general move upward, there were a few periods of short-term volatility, most notably in January 2015, when the S&P 500 declined 3.1%, and in August 2015, when the index dropped 6.3%, its greatest monthly loss in three years. One of the prevailing market themes during the trailing 12-month period was the continued weakness in energy prices, with oil, in particular, plunging 60% from a June 2014 high to a six-year low in March 2015. Finally, U.S. real gross domestic product (GDP) initially was reported to have contracted by 0.2% in the first quarter of 2015; however, that figure was later revised up to a modest 0.6% expansion. In the second quarter of 2015, real GDP increased 3.9%, while the advanced estimate from the Bureau of Economic Analysis indicated that real GDP increased 1.5% in the third quarter of 2015.
The Fund outperformed its index for the period. Stock selection within the information technology and consumer staples sectors contributed to relative performance during the period. Shares of Vantiv, Inc., a technology holding company, steadily increased due to impressive revenue/transaction growth, despite difficult comparisons. Performance from Vantiv’s Integrated Software Vendors (ISVs) and eCommerce segments likely
contributed to its performance. Shares of Activision, Inc., a videogame developer and publisher, climbed due to user growth, revenue monetization, and a strong offering of games, all of which aided margin expansion. Within the consumer staples sector, shares of Mondelez International, Inc., a snack food and beverage company, benefited from a reduction in overhead, plant closings in its legacy network, and near-term and long-term revenue growth opportunities in emerging markets. Despite volatility during the past 12 months, shares of PepsiCo, a global food and beverage company, climbed year over year in the face of a challenging global macro environment.
Stock selection detracted from the performance within the consumer discretionary and energy sectors. Shares of Time Warner Inc., a media and entertainment company, fell as the market reacted poorly to media stocks surrounding concerns on the decline in pay-TV subscribers. Despite the sell-off, growth opportunities remain in the HBO, Turner, and Warner Bros. segments. Shares of PVH Corp., an apparel company, detracted from performance, as sell-side analysts highlighted weakness in the U.S. retail market, particularly in apparel and accessories. Within the energy sector, shares of Marathon Oil Corp., an oil and natural gas exploration and production company, declined this year, as the company was adversely affected by lower commodity prices. These macroeconomic
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concerns hurt the company’s cash flow outlook and return on equity. In addition, shares of Devon Energy Corp., a natural gas and oil producer, also fell due to weak commodity prices, which resulted in declining earnings.
Growth Leaders Fund
For the fiscal year ended October 31, 2015, the Growth Leaders Fund returned 8.84%, 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,5 which returned 9.18% over the same period.
Domestic equity markets advanced over the past year, with the S&P 500® Index3 rising 5.20% during the trailing 12-month period. Despite this general move upward, there were a few periods of short-term volatility, most notably in January 2015, when the S&P 500 declined 3.1%, and in August 2015, when the index dropped 6.3%, its greatest monthly loss in three years. One of the prevailing market themes during the trailing 12-month period was the continued weakness in energy prices, with oil, in particular, plunging 60% from a June 2014 high to a six-year low in March of 2015. Finally, the real U.S. gross domestic product (GDP) initially was reported to have contracted by 0.2% in the first quarter of 2015; however, that figure was later revised up to a modest 0.6% expansion. In the second quarter of 2015, real GDP advanced 3.9%, while the advanced estimate from the
Bureau of Economic Analysis indicated that real GDP increased 1.5% in the third quarter of 2015.
The largest detractor from the Fund’s performance during the trailing 12-month period was security selection in the healthcare sector. Within this sector, the Fund’s holdings of Alexion Pharmaceuticals, Inc., a biopharmaceutical company, detracted most. Shares of Alexion were pressured in September 2015, after the company announced the timeline for the approval of one of its drugs had been extended by three months. Another detractor from performance within the healthcare sector was the Fund’s position in SAGE Therapeutics, Inc., a clinical-stage biopharmaceutical company. In September 2015, SAGE reported generally positive data from an early stage clinical trial of one of its drugs; however, further questions surrounding its efficacy remained.
Security selection in the financials sector also detracted from relative performance during the period. Within this sector, the Fund’s holdings of WisdomTree Investments, Inc., an asset management company focusing exclusively on exchange-traded funds (ETFs), detracted most. Shares of WisdomTree faced some weakness following notable outflows in two of the company’s marquee ETFs. Also detracting from relative performance within the financials sector was the Fund’s position in SVB Financial Group, a diversified financial services, bank holding, and financial holding company. Shares of
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SVB Financial fell noticeably in July after the company reported decelerating loan growth in the second quarter of 2015.
The leading contributor to the Fund’s performance during the period was security selection in the consumer discretionary sector. Within this sector, the Fund’s holdings of Netflix, Inc., a provider of Internet television network, contributed most. Its shares rose during the period as the company continued to expand into untapped international markets. Another contributor within this sector during the period was the Fund’s position in Amazon.com, Inc., an e-commerce company. Shares of Amazon advanced as the company experienced accelerating year-over-year revenue growth and margin expansion across all of its core business segments.
Another contributor to the Fund’s relative performance during the period was its underweight position in the energy sector. Over the past 12 months, the energy sector was the worst-performing sector within the Fund’s benchmark. During this time, the Fund’s average exposure to the energy sector was approximately 2.5% less than that of its benchmark, which helped buoy relative performance. Security selection within the materials sector also contributed to the Fund’s performance during the period. Within this sector, the Fund’s holdings of Sherwin-Williams Co., a developer, manufacturer, and distributor of paint, contributed most. Shares of Sherwin-
Williams received a boost after the company announced Lowe’s Companies, Inc., a home improvement retailer, would begin to sell a line of Sherwin-Williams paint in its stores beginning in March 2015, which added another channel to Sherwin-Williams’ existing distribution network.
International Core Equity Fund
For the fiscal year ended October 31, 2015, the Fund returned -4.16%, 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,6 which returned 0.37% over the same period.
Over the period, global equity markets experienced significant volatility, partly as a result of sharp moves in commodity prices, low interest rates, and uncertainty around Chinese economic growth. Overall, Europe (as measured by the Euro Stoxx 507) fell roughly -3.46% in U.S. dollars for the period, while Japan’s Nikkei 2258 rose 8.02%.
By the end of 2014, crude oil prices had fallen by over 40% from the mid-year peak, as production consistently exceeded demand. Prices moved lower over the period, with WTI crude oil struggling to rise above $60 per barrel. In addition, the U.S. dollar strengthened going into 2015, as the market generally felt that the Federal Reserve (Fed) would begin to raise rates in the middle of the year, although the Fed has yet to raise its interest rate above the 0-0.25% target range.
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In contrast, the European Central Bank (ECB) announced an asset purchase program in January to support investment and consumption. European markets were adversely affected by concerns around Greece’s solvency, yet a deal was eventually struck with creditors. In Asia, the Bank of Japan continued its quantitative easing (QE) program, which has acted as a tailwind for Japanese equities. The People’s Bank of China (PBoC) was also active over the trailing 12 months, cutting its interest rates six times to support a slowing economy.
Market volatility sharply increased after the devaluation of the Chinese yuan, which drew attention to the impact of slowing Chinese growth on the global economy. In the weeks following the devaluation announcement, global equity markets fell more than 10%, in some of the largest intraday moves since the global financial crisis of 2008-09. Markets subsequently recovered towards the end of the trailing 12-month period, supported by central banks debating further stimulus and relatively robust results from large bellwether companies.
During the period, the Fund’s underperformance relative to the benchmark was driven by stock selection, particularly within the consumer discretionary and telecommunications services sectors. Within the consumer discretionary sector, Hong Kong-based casino operator SJM Holdings Ltd. detracted from relative performance. Shares of the
company declined, as visitors decreased and margins moved lower. In addition, Great Wall Motor Co., a Chinese automobile manufacturer, performed poorly over the period after the company cut its price on two sports utility vehicle models amid increased competition in the market.
In the telecommunications services sector, Scandinavian telephone company Teliasonera AB detracted from relative performance. The company is facing fines due to allegations of corruption in Uzbekistan, while reports questioning the firm’s transparency about its Eurasian business also hurt the share price.
Although the Fund underperformed its benchmark during the period, stock selection within the financials sector contributed to the Fund’s relative performance during the period. Within financials, shares of Indiabulls Housing Finance Ltd., an Indian home loan company, rallied last year, supported by resilient lending activity, declining funding costs, and expectations of a better credit rating. In addition, shares of Italian asset management firm Anima Holding SpA rose, as the company was highlighted as one of the firms benefiting from the ECB’s QE program and growth in asset-managed products in Italy.
Stock selection within the utilities sector also bolstered the Fund’s relative performance. Within the sector, shares of Hong-Kong listed infrastructure company Cheung Kong Infrastructure Holdings Ltd. performed well, supported by a significant
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increase in profitability and a higher-than-expected interim dividend payment.
International Dividend Income Fund
For the fiscal year ended October 31, 2015, the Fund returned -11.74%, 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,9 which returned -8.06% over the same period.
Over the period, global equity markets experienced significant volatility, partly as a result of sharp moves in commodity prices, low interest rates, and uncertainty around Chinese economic growth. Overall, Europe (as measured by the Euro Stoxx 507) fell roughly -3.46% in U.S. dollars for the period, while Japan’s Nikkei 2258 rose 8.02%.
By the end of 2014, crude oil prices had fallen by over 40% from the mid-year peak, as production consistently exceeded demand. Prices moved lower over the period, with WTI crude oil struggling to rise above $60 per barrel. In addition, the U.S. dollar strengthened going into 2015, as the market generally felt that the Federal Reserve (Fed) would begin to raise rates in the middle of the year, although the Fed has yet to raise its interest rate above the 0-0.25% target range.
In contrast, the European Central Bank (ECB) announced an asset purchase program in January to support investment and consumption. European markets were adversely affected by concerns around
Greece’s solvency, yet a deal was eventually struck with creditors. In Asia, the Bank of Japan continued its quantitative easing (QE) program, which has acted as a tailwind for Japanese equities. The People’s Bank of China (PBoC) was also active over the trailing 12 months, cutting its interest rates six times to support a slowing economy.
Market volatility sharply increased after the devaluation of the Chinese yuan, which drew attention to the impact of slowing Chinese growth on the global economy. In the weeks following the devaluation announcement, global equity markets fell more than 10%, in some of the largest intraday moves since the global financial crisis of 2008-09. Markets subsequently recovered towards the end of the trailing 12-month period, supported by central banks debating further stimulus and relatively robust results from large bellwether companies.
The Fund’s underperformance was driven by stock selection, particularly within the energy and health care sectors. In the energy sector, Canadian oil and natural gas producers Baytex Energy Corp. and Crescent Point Energy Corp. detracted from relative performance. Given the industry in which they operate, both companies are leveraged to the oil price, which declined significantly over the course of the year. Additionally, Crescent Point cut its dividend in the middle of the period, sparking concerns that Baytex may do the same.
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In the health care sector, Swiss pharmaceuticals and diagnostics company Roche Holding AG detracted from relative performance. The company’s stock price was hurt when the Swiss National Bank unexpectedly unpegged the Swiss franc from the euro, which prompted analysts to lower earnings and sales estimates out to 2020.
Although the Fund underperformed its benchmark during the period, stock selection within the financials sector contributed to the Fund’s relative performance during the period. Shares of Italian asset management firm Anima Holding SpA rose as the company was highlighted as one of the firms benefiting from the ECB’s QE program and growth in asset managed products in Italy. In addition, shares of Japanese homebuilder Daiwa House Industry Co. rose, as the firm was supported by an improving real estate market in Japan, as well as strong new orders for business and corporate facilities and single detached homes.
International Opportunities Fund
For the fiscal year ended October 31, 2015, the Fund returned 9.36%, 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,2 which returned 5.83% over the same period.
Over the period, global equity markets experienced significant volatility, partly as a result of sharp moves in commodity prices,
low interest rates, and uncertainty around Chinese economic growth. Overall, Europe (as measured by the Euro Stoxx 507) fell roughly -3.46% in U.S. dollars for the period, while Japan’s Nikkei 2258 rose 8.02%.
By the end of 2014, crude oil prices had fallen by over 40% from the mid-year peak, as production consistently exceeded demand. Prices moved lower over the period, with WTI crude oil struggling to rise above $60 per barrel. In addition, the U.S. dollar strengthened going into 2015, as the market generally felt that the Federal Reserve (Fed) would begin to raise rates in the middle of the year, although the Fed has yet to raise its interest rate above the 0-0.25% target range.
In contrast, the European Central Bank (ECB) announced an asset purchase program in January to support investment and consumption. European markets were adversely affected by concerns around Greece’s solvency, yet a deal was eventually struck with creditors. In Asia, the Bank of Japan continued its quantitative easing (QE) program, which has acted as a tailwind for Japanese equities. The People’s Bank of China (PBoC) was also active over the trailing 12 months, cutting its interest rates six times to support a slowing economy.
Market volatility sharply increased after the devaluation of the Chinese yuan, which drew attention to the impact of slowing Chinese growth on the global economy. In the weeks following the devaluation announcement, global equity
8
markets fell more than 10%, in some of the largest intraday moves since the global financial crisis of 2008. Markets subsequently recovered towards the end of the trailing 12-month period, supported by central banks debating further stimulus and relatively robust results from large bellwether companies.
Stock selection, most notably in the financials and industrials sectors, was the primary driver of relative outperformance during the period. Within financials, shares of Italian asset management firm Anima Holding SpA rose as the company was highlighted as one of the firms benefitting from the ECB’s QE program and growth in asset managed products in Italy. In addition, shares of Indiabulls Housing Finance Ltd., an Indian home loan company rallied during the period, supported by resilient lending activity, declining funding costs and expectations of a better credit rating.
Within the industrials sector, shares of Dutch recruitment company USG People N.V. were stronger over the period, as the firm’s sales growth was high relative to peers and labor market trends have been supportive in the Netherlands.
Conversely, stock selection in the energy and utilities sectors detracted from relative performance. Within the energy sector, shares of Genel Energy plc, an oil company headquartered in the United Kingdom, fell significantly over the period. The company halted oil exploration in July as it awaited payments due from the Kurdistan Regional Government, and its
share price was also hurt by declines in the oil price. In addition, shares of Scottish oil and gas exploration firm Cairn Energy plc fell, while the Indian Income Tax Department assessed that the firm may owe US$1.6 billion in taxes, plus interest and penalties.
Within the utilities sector, APR Energy plc, a mobile turbine power business, adversely affected the Fund’s relative performance. Toward the end of 2014, the firm announced that it had temporarily suspended operations in Libya, and that this would have a significant negative impact on the company’s performance for the year.
Value Opportunities Fund
For the fiscal year ended October 31, 2015, the Fund returned 3.67%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 2500TM Index,10 which returned 1.50% over the same period.
Domestic equity markets advanced over the past year, with the S&P 500® Index3 rising more than 5.20% during the trailing 12-month period. Despite this general move upward, there were a few periods of short-term volatility, most notably in January 2015, when the S&P 500 declined 3.1%, and in August 2015, when the index dropped 6.3%, its greatest monthly loss in three years. One of the prevailing market themes during the trailing 12-month period was the decline in energy prices, with oil, in particular,
9
plunging 60% from June 2014 to a six-year low in March 2015. Finally, the U.S. real gross domestic product (GDP) initially was reported to have contracted by 0.2% in the first quarter of 2015; however, that figure was later revised up to a modest 0.6% expansion. In the second quarter of 2015, real GDP increased 3.9%, while the advanced estimate from the Bureau of Economic Analysis indicated that real GDP increased 1.5% in the third quarter of 2015.
During the period, stock selection in the financials and information technology sectors contributed to the Fund’s relative outperformance. Within the financials sector, shares of HCC Insurance Holdings, Inc., a specialty insurer, immediately increased following the announcement that the company would be acquired at a premium by Tokio Marine Holdings, Inc. Western Alliance Bancorporation, a bank holding company, experienced strong annualized loan growth and tax rates below expectations.
Within the information technology sector, shares of Vantiv, Inc., a technology holding company, steadily increased due to impressive revenue/transaction growth, despite difficult comparisons. Strong performance from Vantiv’s Integrated Software Vendors (ISVs) distribution and eCommerce segments likely contributed to its stock performance. Shares of Sapient Corporation, a marketing and technology services provider, rose dramatically in the
middle of the period immediately after it agreed to be purchased for a premium to its share value in November 2014.
Conversely, stock selection in the industrials and healthcare sectors was a main detractor from the Fund’s performance over the period. Within the industrials sector, shares of Genesee & Wyoming, Inc., an owner and operator of regional railroads, stumbled due to weaker-than-expected volumes and management’s reduced guidance for second quarter earnings. Shares of United Rentals, Inc., an equipment rental holding company, fell, in part due to the company’s exposure to oil markets and foreign currency headwinds.
Within the healthcare sector, shares of ExamWorks Group, Inc., a provider of independent medical examinations and medical-related services, detracted from relative performance as revenue growth slowed and with legislative headwinds in the United Kingdom. Shares of HealthSouth Corp., an owner and operator of inpatient rehabilitation hospitals, stumbled after weaker revenues were reported in the first quarter.
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 S&P 500® Index is widely regarded as the standard for measuring large cap U.S. stock market performance and includes a representative sample of leading companies in leading industries.
4 The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
5 The Russell 1000® Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
6 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.
7 The EURO STOXX 50® Index represents the performance of the 50 largest companies among the 19 supersectors in terms of free-float market cap in 12 eurozone countries. These countries include Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal
and Spain. The index has a fixed number of components and is part of the STOXX blue-chip index family. The index captures about 60% of the free-float market cap of the EURO STOXX Total Market Index (TMI).
8 The Nikkei Stock Average, the Nikkei 225 is used around the globe as the premier index of Japanese stocks. Because of the prominent nature of the index, many financial products linked to the Nikkei 225 have been created are traded worldwide while the index has been sufficiently used as the indicator of the movement of Japanese stock markets. The Nikkei 225 is a price-weighted equity index, which consists of 225 stocks in the 1st section of the Tokyo Stock Exchange.
9 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.
10 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.
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
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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 the 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, 2015. 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’ portfolio is 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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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, 2015 | ||||||||||||||||
1 Year | 5 Years | 10 Years | Life of Class | |||||||||||||
Class A4 | -3.37 | % | 10.01 | % | 8.64 | % | – | |||||||||
Class B5 | -2.80 | % | 10.22 | % | 8.69 | % | – | |||||||||
Class C6 | 0.85 | % | 10.51 | % | 8.53 | % | – | |||||||||
Class F7 | 2.68 | % | 11.49 | % | – | 6.23% | ||||||||||
Class I8 | 2.78 | % | 11.60 | % | 9.62 | % | – | |||||||||
Class R27 | 2.16 | % | 10.93 | % | – | 5.69% | ||||||||||
Class R37 | 2.28 | % | 11.05 | % | – | 5.80% | ||||||||||
Class R49 | – | – | – | -6.53% | * | |||||||||||
Class R59 | – | – | – | -6.44% | * | |||||||||||
Class R69 | – | – | – | -6.44% | * |
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, 2015, 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.
9 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Because shares have existed for less than one year, average annual returns are not provided.
13
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, 2015 | ||||||||||||||||
1 Year | 5 Years | 10 Years | Life of Class | |||||||||||||
Class A3 | -4.66 | % | 9.56 | % | 7.05 | % | – | |||||||||
Class B4 | -3.73 | % | 9.83 | % | 7.13 | % | – | |||||||||
Class C5 | -0.42 | % | 10.11 | % | 6.97 | % | – | |||||||||
Class F6 | 1.35 | % | 11.12 | % | – | 6.24% | ||||||||||
Class I7 | 1.37 | % | 11.22 | % | 8.06 | % | – | |||||||||
Class P7 | 0.94 | % | 10.73 | % | 7.57 | % | – | |||||||||
Class R26 | 0.81 | % | 10.57 | % | – | 5.71% | ||||||||||
Class R36 | 0.97 | % | 10.68 | % | – | 5.81% | ||||||||||
Class R48 | – | – | – | -1.48% | * | |||||||||||
Class R58 | – | – | – | -1.40% | * | |||||||||||
Class R68 | – | – | – | -1.40% | * |
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, 2015, 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.
8 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Because shares have existed for less than one year, average annual returns are not provided.
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 expen’ses 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, 2015
1 Year | Life of Class | |||||||
Class A3 | 2.57 | % | 12.21% | |||||
Class B4 | 3.08 | % | 17.69% | |||||
Class C5 | 7.07 | % | 12.99% | |||||
Class F6 | 9.03 | % | 13.98% | |||||
Class I6 | 9.10 | % | 14.10% | |||||
Class R26 | 8.49 | % | 13.74% | |||||
Class R36 | 8.58 | % | 13.62% | |||||
Class R47 | – | 1.37% | * | |||||
Class R57 | – | 1.44% | * | |||||
Class R67 | – | 1.48% | * |
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 24, 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, 2015, 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, 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 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.
7 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Because shares have existed for less than one year, average annual returns are not provided.
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, 2015 | ||||||||||||||||
1 Year | 5 Years | 10 Years | Life of Class | |||||||||||||
Class A3 | -9.64 | % | 1.37 | % | 2.81 | % | – | |||||||||
Class B4 | -9.61 | % | 1.52 | % | 2.88 | % | – | |||||||||
Class C5 | -5.80 | % | 1.91 | % | 2.74 | % | – | |||||||||
Class F6 | -3.99 | % | 2.80 | % | – | -1.15% | ||||||||||
Class I7 | -3.83 | % | 2.93 | % | 3.77 | % | – | |||||||||
Class P7 | -4.38 | % | 2.45 | % | 3.29 | % | – | |||||||||
Class R26 | -4.48 | % | 2.30 | % | – | -1.47% | ||||||||||
Class R36 | -4.35 | % | 2.40 | % | – | -1.52% | ||||||||||
Class R48 | – | – | – | -3.29% | * | |||||||||||
Class R58 | – | – | – | -3.19% | * | |||||||||||
Class R68 | – | – | – | -3.12% | * |
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, 2015, 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.
8 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Because shares have existed for less than one year, average annual returns are not provided.
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, 2015 |
1 Year | 5 Years | Life of Class | |||||||||||
Class A3 | -16.78 | % | 0.11 | % | -0.44 | % | |||||||
Class C4 | -13.29 | % | 0.62 | % | -0.31 | % | |||||||
Class F5 | -11.65 | % | 1.54 | % | 0.59 | % | |||||||
Class I5 | -11.52 | % | 1.66 | % | 0.71 | % | |||||||
Class R25 | -12.13 | % | 1.13 | % | 0.33 | % | |||||||
Class R35 | -12.03 | % | 1.11 | % | 0.27 | % | |||||||
Class R46 | – | – | -8.56 | %* | |||||||||
Class R56 | – | – | -8.46 | %* | |||||||||
Class R66 | – | – | -8.46 | %* |
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, 2015, 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.
6 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Because shares have existed for less than one year, average annual returns are not provided.
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, 2015 | ||||||||||||||||
1 Year | 5 Years | 10 Years | Life of Class | |||||||||||||
Class A3 | 3.07 | % | 6.28 | % | 5.45 | % | – | |||||||||
Class B4 | 3.51 | % | 6.53 | % | 5.53 | % | – | |||||||||
Class C5 | 7.58 | % | 6.85 | % | 5.38 | % | – | |||||||||
Class F6 | 9.52 | % | 7.79 | % | – | 1.93% | ||||||||||
Class I7 | 9.59 | % | 7.91 | % | 6.43 | % | – | |||||||||
Class P7 | 9.15 | % | 7.41 | % | 5.96 | % | – | |||||||||
Class R26 | 8.92 | % | 7.24 | % | – | 1.42% | ||||||||||
Class R36 | 9.11 | % | 7.39 | % | – | 1.58% | ||||||||||
Class R48 | – | – | – | -2.74% | * | |||||||||||
Class R58 | – | – | – | -2.68% | * | |||||||||||
Class R68 | – | – | – | -2.62% | * |
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, 2015, 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.
8 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Because shares have existed for less than one year, average annual returns are not provided.
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, 2015 | ||||||||||||
1 Year | 5 Years | Life of Class | ||||||||||
Class A3 | -2.28 | % | 10.13 | % | 9.90% | |||||||
Class B4 | -1.51 | % | 10.45 | % | 10.00% | |||||||
Class C5 | 1.98 | % | 10.70 | % | 9.85% | |||||||
Class F6 | 3.84 | % | 11.71 | % | 7.95% | |||||||
Class I7 | 3.94 | % | 11.81 | % | 10.94% | |||||||
Class P7 | 3.50 | % | 11.32 | % | 10.45% | |||||||
Class R26 | 3.33 | % | 11.15 | % | 7.41% | |||||||
Class R36 | 3.42 | % | 11.27 | % | 7.52% | |||||||
Class R48 | – | – | -3.74% | * | ||||||||
Class R58 | – | – | -3.68% | * | ||||||||
Class R68 | – | – | -3.63% | * |
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.
8 Commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Because shares have existed for less than one year, average annual returns are not provided.
19
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, 2015 through October 31, 2015).
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 5/1/15 – 10/31/15” 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†# | |||||||
5/1/15 – | |||||||||
5/1/15 | 10/31/15 | 10/31/15 | |||||||
Class A | |||||||||
Actual | $1,000.00 | $ | 960.30 | $1.24 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,023.95 | $1.28 | |||||
Class B | |||||||||
Actual | $1,000.00 | $ | 956.70 | $4.93 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,020.16 | $5.09 | |||||
Class C | |||||||||
Actual | $1,000.00 | $ | 956.80 | $4.93 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,020.16 | $5.09 | |||||
Class F | |||||||||
Actual | $1,000.00 | $ | 961.10 | $0.49 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,024.70 | $0.51 | |||||
Class I | |||||||||
Actual | $1,000.00 | $ | 961.50 | $0.00 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,025.21 | $0.00 | |||||
Class R2 | |||||||||
Actual | $1,000.00 | $ | 958.60 | $2.96 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,022.18 | $3.06 | |||||
Class R3 | |||||||||
Actual | $1,000.00 | $ | 959.10 | $2.47 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,022.68 | $2.55 | |||||
Class R4 | |||||||||
Actual | $1,000.00 | $ | 934.70 | $0.81 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,016.01 | $0.85 | |||||
Class R5 | |||||||||
Actual | $1,000.00 | $ | 935.60 | $0.00 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,016.85 | $0.00 | |||||
Class R6 | |||||||||
Actual | $1,000.00 | $ | 935.60 | $0.00 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,016.85 | $0.00 |
† | 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, 0.50% for Class R3, 0.25% for Class R4, 0.00% for Classes R5 and R6) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period for Classes A, B, C, F, I, R2 and R3) and multiplied by 123/365 (to reflect the period from June 30, 2015, commencement of operations, to October 31, 2015, for Classes R4, R5, and R6). |
# | Does not include expenses of Underlying Funds in which Alpha Strategy Fund invests. |
21
Portfolio Holdings Presented by Portfolio Allocation
October 31, 2015
Underlying Fund Name | %* | |||
Lord Abbett Developing Growth Fund, Inc. – Class I | 18.91 | % | ||
Lord Abbett Securities Trust–International Opportunities Fund – Class I | 20.50 | % | ||
Lord Abbett Securities Trust–Micro-Cap Growth Fund – Class I | 8.91 | % | ||
Lord Abbett Securities Trust–Micro-Cap Value Fund – Class I | 10.59 | % | ||
Lord Abbett Research Fund, Inc.–Small-Cap Value Fund – Class I | 20.75 | % | ||
Lord Abbett Securities Trust–Value Opportunities Fund – Class I | 20.31 | % | ||
Repurchase Agreement | 0.03 | % | ||
Total | 100.00 | % |
* | Represents percent of total investments. |
22
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† | |||||||
5/1/15 – | |||||||||
5/1/15 | 10/31/15 | 10/31/15 | |||||||
Class A | |||||||||
Actual | $1,000.00 | $ | 985.20 | $4.80 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,020.37 | $4.89 | |||||
Class B | |||||||||
Actual | $1,000.00 | $ | 980.80 | $8.54 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,016.59 | $8.69 | |||||
Class C | |||||||||
Actual | $1,000.00 | $ | 981.40 | $8.54 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,016.59 | $8.69 | |||||
Class F | |||||||||
Actual | $1,000.00 | $ | 985.80 | $4.05 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,021.12 | $4.13 | |||||
Class I | |||||||||
Actual | $1,000.00 | $ | 986.00 | $3.55 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,021.63 | $3.62 | |||||
Class P | |||||||||
Actual | $1,000.00 | $ | 984.20 | $5.80 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.36 | $5.90 | |||||
Class R2 | |||||||||
Actual | $1,000.00 | $ | 983.40 | $6.55 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,018.60 | $6.67 | |||||
Class R3 | |||||||||
Actual | $1,000.00 | $ | 984.20 | $6.05 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.11 | $6.16 | |||||
Class R4 | |||||||||
Actual | $1,000.00 | $ | 985.20 | $3.11 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,013.75 | $3.16 | |||||
Class R5 | |||||||||
Actual | $1,000.00 | $ | 986.00 | $2.28 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,014.56 | $2.31 | |||||
Class R6 | |||||||||
Actual | $1,000.00 | $ | 986.00 | $1.97 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,014.89 | $2.00 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.96% 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, 1.21% for Class R3, 0.93% for Class R4, 0.68% for Class R5 and 0.59% for Class R6) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period for Classes A, B, C, F, I, P, R2 and R3) and multiplied by 123/365 (to reflect the period from June 30, 2015, commencement of operations, to October 31, 2015, for Classes R4, R5, and R6). |
23
Portfolio Holdings Presented by Sector
October 31, 2015
Sector* | %** | |||
Consumer Discretionary | 5.59 | % | ||
Consumer Staples | 6.83 | % | ||
Energy | 11.26 | % | ||
Financials | 26.80 | % | ||
Health Care | 10.91 | % | ||
Industrials | 11.06 | % |
Sector* | %** | |||
Information Technology | 13.32 | % | ||
Materials | 3.07 | % | ||
Telecommunication Services | 3.86 | % | ||
Utilities | 4.70 | % | ||
Repurchase Agreement | 2.60 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. |
** | Represents percent of total investments. |
24
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† | |||||||
5/1/15 – | |||||||||
5/1/15 | 10/31/15 | 10/31/15 | |||||||
Class A | |||||||||
Actual | $1,000.00 | $ | 1,046.30 | $4.38 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,020.92 | $4.33 | |||||
Class B | |||||||||
Actual | $1,000.00 | $ | 1,042.60 | $8.19 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,017.19 | $8.08 | |||||
Class C | |||||||||
Actual | $1,000.00 | $ | 1,042.60 | $8.19 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,017.19 | $8.08 | |||||
Class F | |||||||||
Actual | $1,000.00 | $ | 1,047.40 | $3.61 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,021.68 | $3.57 | |||||
Class I | |||||||||
Actual | $1,000.00 | $ | 1,047.70 | $3.10 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,022.18 | $3.06 | |||||
Class R2 | |||||||||
Actual | $1,000.00 | $ | 1,044.90 | $6.19 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.16 | $6.11 | |||||
Class R3 | |||||||||
Actual | $1,000.00 | $ | 1,045.10 | $5.67 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.66 | $5.60 | |||||
Class R4 | |||||||||
Actual | $1,000.00 | $ | 1,013.70 | $2.95 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,013.92 | $2.95 | |||||
Class R5 | |||||||||
Actual | $1,000.00 | $ | 1,014.40 | $2.04 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,014.83 | $2.04 | |||||
Class R6 | |||||||||
Actual | $1,000.00 | $ | 1,014.80 | $1.63 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,015.23 | $1.63 |
† | 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, 1.10% for Class R3, 0.87% for Class R4, 0.60% for Class R5 and 0.48% for Class R6) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period for Classes A, B, C, F, I, R2 and R3) and multiplied by 123/365 (to reflect the period from June 30, 2015, commencement of operations, to October 31, 2015, for Classes R4, R5 and R6). |
25
Portfolio Holdings Presented by Sector
October 31, 2015
Sector* | %** | |||
Consumer Discretionary | 22.47 | % | ||
Consumer Staples | 6.32 | % | ||
Energy | 0.29 | % | ||
Financials | 3.01 | % | ||
Health Care | 14.65 | % |
Sector* | %** | |||
Industrials | 10.50 | % | ||
Information Technology | 40.45 | % | ||
Utilities | 0.75 | % | ||
Repurchase Agreement | 1.56 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
26
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† | |||||||
5/1/15 – | |||||||||
5/1/15 | 10/31/15 | 10/31/15 | |||||||
Class A | |||||||||
Actual | $1,000.00 | $ | 927.40 | $5.44 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.56 | $5.70 | |||||
Class B | |||||||||
Actual | $1,000.00 | $ | 923.10 | $9.06 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,015.78 | $9.50 | |||||
Class C | |||||||||
Actual | $1,000.00 | $ | 923.60 | $8.97 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,015.88 | $9.40 | |||||
Class F | |||||||||
Actual | $1,000.00 | $ | 927.60 | $4.23 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,020.82 | $4.43 | |||||
Class I | |||||||||
Actual | $1,000.00 | $ | 928.50 | $3.74 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,021.32 | $3.92 | |||||
Class P | |||||||||
Actual | $1,000.00 | $ | 926.00 | $6.41 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,018.55 | $6.72 | |||||
Class R2 | |||||||||
Actual | $1,000.00 | $ | 925.70 | $7.14 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,017.80 | $7.48 | |||||
Class R3 | |||||||||
Actual | $1,000.00 | $ | 926.30 | $6.60 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,018.35 | $6.92 | |||||
Class R4 | |||||||||
Actual | $1,000.00 | $ | 967.10 | $3.71 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,013.08 | $3.80 | |||||
Class R5 | |||||||||
Actual | $1,000.00 | $ | 968.10 | $2.89 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,013.92 | $2.95 | |||||
Class R6 | |||||||||
Actual | $1,000.00 | $ | 968.80 | $2.32 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,014.49 | $2.38 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.12% for Class A, 1.87% for Class B, 1.85% for Class C, 0.87% for Class F, 0.77% for Class I, 1.32% for Class P, 1.47% for Class R2, 1.36% for Class R3, 1.12% for Class R4, 0.87% for Class R5 and 0.70% for Class R6) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period for Classes A, B, C, F, I, P, R2 and R3) and multiplied by 123/365 (to reflect the period from June 30, 2015, commencement of operations, to October 31, 2015, for Classes R4, R5 and R6). |
27
Portfolio Holdings Presented by Sector
October 31, 2015
Sector* | %** | |||
Consumer Discretionary | 10.72 | % | ||
Consumer Staples | 11.43 | % | ||
Energy | 4.75 | % | ||
Financials | 24.35 | % | ||
Health Care | 13.36 | % | ||
Industrials | 13.03 | % |
Sector* | %** | |||
Information Technology | 8.44 | % | ||
Materials | 2.16 | % | ||
Telecommunication Services | 5.40 | % | ||
Utilities | 4.48 | % | ||
Repurchase Agreement | 1.88 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. |
** | Represents percent of total investments. |
28
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† | |||||||
5/1/15 – | |||||||||
5/1/15 | 10/31/15 | 10/31/15 | |||||||
Class A | |||||||||
Actual | $1,000.00 | $ | 863.30 | $5.26 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.56 | $5.70 | |||||
Class C | |||||||||
Actual | $1,000.00 | $ | 858.60 | $8.76 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,015.78 | $9.50 | |||||
Class F | |||||||||
Actual | $1,000.00 | $ | 863.10 | $4.27 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,020.62 | $4.63 | |||||
Class I | |||||||||
Actual | $1,000.00 | $ | 864.00 | $3.81 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,021.12 | $4.13 | |||||
Class R2 | |||||||||
Actual | $1,000.00 | $ | 860.90 | $6.90 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,017.80 | $7.48 | |||||
Class R3 | |||||||||
Actual | $1,000.00 | $ | 861.20 | $6.43 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,018.30 | $6.97 | |||||
Class R4 | |||||||||
Actual | $1,000.00 | $ | 914.40 | $3.61 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,013.08 | $3.80 | |||||
Class R5 | |||||||||
Actual | $1,000.00 | $ | 915.40 | $2.81 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,013.92 | $2.95 | |||||
Class R6 | |||||||||
Actual | $1,000.00 | $ | 915.40 | $2.58 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,014.15 | $2.71 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.12% for Class A, 1.87% for Class C, 0.91% for Class F, 0.81% for Class I, 1.47% for Class R2, 1.37% for Class R3, 1.12% for Class R4, 0.87% for Class R5 and 0.80% for Class R6) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period for Classes A, B, C, F, I, P, R2 and R3) and multiplied by 123/365 (to reflect the period from June 30, 2015, commencement of operations, to October 31, 2015, for Classes R4, R5 and R6). |
29
Portfolio Holdings Presented by Sector
October 31, 2015
Sector* | %** | |||
Consumer Discretionary | 9.32 | % | ||
Consumer Staples | 6.32 | % | ||
Energy | 11.56 | % | ||
Financials | 28.05 | % | ||
Health Care | 5.59 | % | ||
Industrials | 10.13 | % |
Sector* | %** | |||
Information Technology | 2.28 | % | ||
Materials | 1.74 | % | ||
Telecommunication Services | 12.66 | % | ||
Utilities | 11.26 | % | ||
Repurchase Agreement | 1.09 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
30
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† | |||||||
5/1/15 – | |||||||||
5/1/15 | 10/31/15 | 10/31/15 | |||||||
Class A | |||||||||
Actual | $1,000.00 | $ | 964.30 | $6.58 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,018.50 | $6.77 | |||||
Class B | |||||||||
Actual | $1,000.00 | $ | 960.10 | $10.23 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,014.77 | $10.51 | |||||
Class C | |||||||||
Actual | $1,000.00 | $ | 960.80 | $10.18 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,014.82 | $10.46 | |||||
Class F | |||||||||
Actual | $1,000.00 | $ | 965.10 | $5.89 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.21 | $6.06 | |||||
Class I | |||||||||
Actual | $1,000.00 | $ | 965.10 | $5.35 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.76 | $5.50 | |||||
Class P | |||||||||
Actual | $1,000.00 | $ | 963.20 | $7.57 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,017.49 | $7.78 | |||||
Class R2 | |||||||||
Actual | $1,000.00 | $ | 962.20 | $8.36 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,016.69 | $8.59 | |||||
Class R3 | |||||||||
Actual | $1,000.00 | $ | 963.20 | $7.72 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,017.34 | $7.93 | |||||
Class R4 | |||||||||
Actual | $1,000.00 | $ | 972.60 | $4.49 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,012.30 | $4.58 | |||||
Class R5 | |||||||||
Actual | $1,000.00 | $ | 973.20 | $3.66 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,013.14 | $3.73 | |||||
Class R6 | |||||||||
Actual | $1,000.00 | $ | 973.80 | $3.09 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,013.72 | $3.16 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.33% for Class A, 2.07% for Class B, 2.06% for Class C, 1.19% for Class F, 1.08% for Class I, 1.53% for Class P, 1.69% for Class R2, 1.56% for Class R3, 1.35% for Class R4, 1.10% for Class R5 and 0.93% for Class R6) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period for Classes A, B, C, F, I, P, R2 and R3) and multiplied by 123/365 (to reflect the period from June 30, 2015, commencement of operations, to October 31, 2015, for Classes R4, R5 and R6). |
31
Portfolio Holdings Presented by Sector
October 31, 2015
Sector* | %** | |||
Consumer Discretionary | 20.52 | % | ||
Consumer Staples | 7.63 | % | ||
Energy | 2.47 | % | ||
Financials | 20.78 | % | ||
Health Care | 3.44 | % | ||
Industrials | 21.64 | % |
Sector* | %** | |||
Information Technology | 12.59 | % | ||
Materials | 3.84 | % | ||
Telecommunication Services | 1.25 | % | ||
Utilities | 2.36 | % | ||
Repurchase Agreement | 3.48 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
32
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† | |||||||
5/1/15 – | |||||||||
5/1/15 | 10/31/15 | 10/31/15 | |||||||
Class A | |||||||||
Actual | $1,000.00 | $ | 969.80 | $5.86 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.26 | $6.01 | |||||
Class B | |||||||||
Actual | $1,000.00 | $ | 966.90 | $9.57 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,015.48 | $9.80 | |||||
Class C | |||||||||
Actual | $1,000.00 | $ | 966.40 | $9.57 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,015.48 | $9.80 | |||||
Class F | |||||||||
Actual | $1,000.00 | $ | 971.10 | $5.12 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,020.01 | $5.24 | |||||
Class I | |||||||||
Actual | $1,000.00 | $ | 971.10 | $4.62 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,020.52 | $4.74 | |||||
Class P | |||||||||
Actual | $1,000.00 | $ | 969.50 | $6.85 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,018.25 | $7.02 | |||||
Class R2 | |||||||||
Actual | $1,000.00 | $ | 968.50 | $7.59 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,017.49 | $7.78 | |||||
Class R3 | |||||||||
Actual | $1,000.00 | $ | 968.70 | $7.10 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,018.00 | $7.27 | |||||
Class R4 | |||||||||
Actual | $1,000.00 | $ | 962.60 | $3.80 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,012.97 | $3.90 | |||||
Class R5 | |||||||||
Actual | $1,000.00 | $ | 963.20 | $2.94 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,013.85 | $3.02 | |||||
Class R6 | |||||||||
Actual | $1,000.00 | $ | 963.70 | $2.71 | |||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,014.09 | $2.78 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.18% for Class A, 1.93% for Classes B and C, 1.03% for Class F, 0.93% for Class I, 1.38% for Class P, 1.53% for Class R2 and 1.43% for Class R3, 1.15% for Class R4, 0.89% for Class R5 and 0.82% for Class R6) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period for Classes A, B, C, F, I, P, R2 and R3) and multiplied by 123/365 (to reflect the period from June 30, 2015, commencement of operations, to October 31, 2015, for Classes R4, R5, and R6). |
33
Portfolio Holdings Presented by Sector
October 31, 2015
Sector* | %** | |||
Consumer Discretionary | 12.88 | % | ||
Consumer Staples | 3.73 | % | ||
Energy | 4.98 | % | ||
Financials | 25.78 | % | ||
Health Care | 9.04 | % | ||
Industrials | 10.83 | % |
Sector* | %** | |||
Information Technology | 16.65 | % | ||
Materials | 6.36 | % | ||
Telecommunication Services | 1.39 | % | ||
Utilities | 7.38 | % | ||
Repurchase Agreement | 0.98 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
34
ALPHA STRATEGY FUND October 31, 2015
Investments | Shares | Fair Value (000) | ||||||
INVESTMENTS IN UNDERLYING FUNDS(a) 100.04% | ||||||||
Lord Abbett Developing Growth Fund, Inc. – Class I*(b) | 10,212,437 | $ | 238,460 | |||||
Lord Abbett Securities Trust – International Opportunities Fund – Class I(c) | 14,820,884 | 258,476 | ||||||
Lord Abbett Securities Trust – Micro-Cap Growth Fund – Class I*(c) | 6,442,039 | 112,414 | ||||||
Lord Abbett Securities Trust – Micro-Cap Value Fund – Class I*(c) | 4,107,639 | 133,581 | ||||||
Lord Abbett Research Fund, Inc. – Small-Cap Value Fund – Class I(c) | 8,850,716 | 261,627 | ||||||
Lord Abbett Securities Trust – Value Opportunities Fund – Class I*(c) | 12,705,466 | 256,142 | ||||||
Total Investments in Underlying Funds (cost $1,122,306,975) | 1,260,700 |
Investments | Shares | Fair Value (000) | ||||||
SHORT-TERM INVESTMENT 0.03% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 10/30/2015, Zero Coupon due 11/2/2015 with Fixed Income Clearing Corp. collateralized by $335,000 of Federal Home Loan Mortgage Corp. at 0.875% due 2/22/2017; value: $336,675; proceeds: $326,276 (cost $326,276) | $ | 326 | $ | 326 | ||||
Total Investments in Securities 100.07% (cost $1,122,633,251) | 1,261,026 | |||||||
Liabilities in Excess of Cash and Other Assets (0.07)% | (840 | ) | ||||||
Net Assets 100.00% | $ | 1,260,186 |
* | 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, 2015 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 | $ | 1,260,700 | $ | — | $ | — | $ | 1,260,700 | ||||||||
Repurchase Agreement | — | 326 | — | 326 | ||||||||||||
Total | $ | 1,260,700 | $ | 326 | $ | — | $ | 1,261,026 |
(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 1/Level 2 transfers during the fiscal year ended October 31, 2015. |
See Notes to Financial Statements. | 35 |
FUNDAMENTAL EQUITY FUND October 31, 2015
Investments | Shares | Fair Value (000) | ||||||
COMMON STOCKS 97.71% | ||||||||
Aerospace & Defense 3.50% | ||||||||
General Dynamics Corp. | 554,516 | $ | 82,390 | |||||
TransDigm Group, Inc.* | 210,655 | 46,312 | ||||||
Total | 128,702 | |||||||
Banks 12.22% | ||||||||
Citizens Financial Group, Inc. | 3,526,943 | 85,704 | ||||||
East West Bancorp, Inc. | 1,885,073 | 76,138 | ||||||
First Republic Bank | 1,071,869 | 70,004 | ||||||
JPMorgan Chase & Co. | 2,238,922 | 143,851 | ||||||
Signature Bank* | 492,653 | 73,366 | ||||||
Total | 449,063 | |||||||
Beverages 3.30% | ||||||||
PepsiCo, Inc. | 1,186,400 | 121,238 | ||||||
Building Products 0.66% | ||||||||
USG Corp.* | 1,031,203 | 24,305 | ||||||
Capital Markets 3.73% | ||||||||
Affiliated Managers Group, Inc.* | 303,736 | 54,751 | ||||||
Goldman Sachs Group, Inc. (The) | 242,528 | 45,474 | ||||||
Greenhill & Co., Inc. | 696,857 | 17,993 | ||||||
TD Ameritrade Holding Corp. | 544,671 | 18,775 | ||||||
Total | 136,993 | |||||||
Chemicals 3.08% | ||||||||
Dow Chemical Co. (The) | 1,443,032 | 74,561 | ||||||
E.I. du Pont de Nemours & Co. | 608,716 | 38,593 | ||||||
Total | 113,154 | |||||||
Commercial Services & Supplies 1.33% | ||||||||
ADT Corp. (The) | 1,477,289 | 48,810 | ||||||
Communications Equipment 3.46% | ||||||||
Cisco Systems, Inc. | 3,775,148 | 108,913 | ||||||
QUALCOMM, Inc. | 308,423 | 18,327 | ||||||
Total | 127,240 |
Investments | Shares | Fair Value (000) | ||||||
Consumer Finance 0.77% | ||||||||
Capital One Financial Corp. | 359,068 | $ | 28,330 | |||||
Diversified Telecommunication Services 3.87% | ||||||||
AT&T, Inc. | 2,729,127 | 91,453 | ||||||
Verizon Communications, Inc. | 1,083,652 | 50,802 | ||||||
Total | 142,255 | |||||||
Electric: Utilities 4.06% | ||||||||
Duke Energy Corp. | 713,850 | 51,019 | ||||||
NextEra Energy, Inc. | 955,251 | 98,066 | ||||||
Total | 149,085 | |||||||
Energy Equipment & Services 2.17% | ||||||||
Halliburton Co. | 1,095,691 | 42,053 | ||||||
Schlumberger Ltd. | 482,808 | 37,736 | ||||||
Total | 79,789 | |||||||
Food Products 2.22% | ||||||||
Mondelez International, Inc. Class A | 1,766,653 | 81,549 | ||||||
Health Care Equipment & Supplies 0.98% | ||||||||
St. Jude Medical, Inc. | 561,400 | 35,823 | ||||||
Health Care Providers & Services 0.73% | ||||||||
UnitedHealth Group, Inc. | 229,007 | 26,972 | ||||||
Hotels, Restaurants & Leisure 2.09% | ||||||||
McDonald’s Corp. | 524,100 | 58,830 | ||||||
Yum! Brands, Inc. | 253,323 | 17,963 | ||||||
Total | 76,793 | |||||||
Household Products 1.33% | ||||||||
Colgate-Palmolive Co. | 735,700 | 48,814 | ||||||
Industrial Conglomerates 4.26% | ||||||||
General Electric Co. | 5,409,215 | 156,435 | ||||||
Information Technology Services 0.57% | ||||||||
Vantiv, Inc. Class A* | 420,846 | 21,105 | ||||||
Insurance 7.06% | ||||||||
ACE Ltd. (Switzerland)(a) | 318,805 | 36,197 |
36 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FUNDAMENTAL EQUITY FUND October 31, 2015
Investments | Shares | Fair Value (000) | ||||||
Insurance (continued) | ||||||||
Allstate Corp. (The) | 297,200 | $ | 18,391 | |||||
American International Group, Inc. | 1,800,986 | 113,570 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,968,502 | 91,063 | ||||||
Total | 259,221 | |||||||
Internet Software & Services 1.13% | ||||||||
Alphabet, Inc. Class A* | 56,331 | 41,538 | ||||||
Machinery 1.35% | ||||||||
ITT Corp. | 1,250,893 | 49,510 | ||||||
Media 1.77% | ||||||||
Time Warner, Inc. | 865,260 | 65,189 | ||||||
Multi-Line Retail 1.75% | ||||||||
Target Corp. | 832,107 | 64,222 | ||||||
Multi-Utilities0.66% | ||||||||
Sempra Energy | 235,116 | 24,078 | ||||||
Oil, Gas & Consumable Fuels 9.13% | ||||||||
Chevron Corp. | 517,400 | 47,021 | ||||||
Devon Energy Corp. | 532,600 | 22,332 | ||||||
EOG Resources, Inc. | 799,675 | 68,652 | ||||||
Exxon Mobil Corp. | 1,703,354 | 140,936 | ||||||
Marathon Oil Corp. | 1,400,900 | 25,749 | ||||||
Occidental Petroleum Corp. | 410,200 | 30,576 | ||||||
Total | 335,266 | |||||||
Pharmaceuticals 9.23% | ||||||||
Allergan plc* | 193,832 | 59,792 | ||||||
Merck & Co., Inc. | 2,118,168 | 115,779 | ||||||
Pfizer, Inc. | 4,840,600 | 163,709 | ||||||
Total | 339,280 | |||||||
Real Estate Investment Trusts 3.11% | ||||||||
Simon Property Group, Inc. | 298,100 | 60,055 | ||||||
Vornado Realty Trust | 539,700 | 54,267 | ||||||
Total | 114,322 |
Investments | Shares | Fair Value (000) | ||||||
Semiconductors & Semiconductor Equipment 4.49% | ||||||||
Intel Corp. | 3,598,897 | $ | 121,859 | |||||
Microchip Technology, Inc. | 894,579 | 43,199 | ||||||
Total | 165,058 | |||||||
Software 2.92% | ||||||||
Activision Blizzard, Inc. | 367,000 | 12,757 | ||||||
Microsoft Corp. | 1,794,900 | 94,483 | ||||||
Total | 107,240 | |||||||
Technology Hardware, Storage & Peripherals 0.78% | ||||||||
Apple, Inc. | 239,446 | 28,614 | ||||||
Total Common Stocks (cost $3,154,646,276) | 3,589,993 | |||||||
Principal | ||||||||
Amount | ||||||||
(000) | ||||||||
SHORT-TERM INVESTMENT 2.61% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 10/30/2015, Zero Coupon due 11/2/2015 with Fixed Income Clearing Corp. collateralized by $23,000,000 of Federal National Mortgage Assoc. at 1.25% due 1/30/2017; $17,610,000 of Federal National Mortgage Assoc. at 5.00% due 2/13/2017 and $55,560,000 of U.S. Treasury Note at 0.75% due 1/15/2017; value: $97,936,612; proceeds: $96,012,810 (cost $96,012,810) | $ | 96,013 | 96,013 | |||||
Total Investments in Securities 100.32% (cost $3,250,659,086) | 3,686,006 | |||||||
Liabilities in Excess of Cash and Other Assets (0.32)% | (11,673 | ) | ||||||
Net Assets 100.00% | $ | 3,674,333 |
* | Non-income producing security. | |
(a) | Foreign security traded in U.S. dollars. |
See Notes to Financial Statements. | 37 |
Schedule of Investments (concluded)
FUNDAMENTAL EQUITY FUND October 31, 2015
The following is a summary of the inputs used as of October 31, 2015 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 | $ | 3,589,993 | $ | — | $ | — | $ | 3,589,993 | ||||||||
Repurchase Agreement | — | 96,013 | — | 96,013 | ||||||||||||
Total | $ | 3,589,993 | $ | 96,013 | $ | — | $ | 3,686,006 |
(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 1/Level 2 transfers during the fiscal year ended October 31, 2015. |
38 | See Notes to Financial Statements. |
GROWTH LEADERS FUND October 31, 2015
Investments | Shares | Fair Value (000) | ||||||
COMMON STOCKS 97.91% | ||||||||
Aerospace & Defense 5.22% | ||||||||
Boeing Co. (The) | 135,739 | $ | 20,099 | |||||
Honeywell International, Inc. | 145,528 | 15,030 | ||||||
Lockheed Martin Corp. | 182,068 | 40,024 | ||||||
Raytheon Co. | 250,701 | 29,432 | ||||||
Total | 104,585 | |||||||
Airlines 2.22% | ||||||||
Delta Air Lines, Inc. | 554,624 | 28,197 | ||||||
Southwest Airlines Co. | 350,239 | 16,213 | ||||||
Total | 44,410 | |||||||
Beverages 2.87% | ||||||||
Constellation Brands, Inc. | ||||||||
Class A | 74,265 | 10,011 | ||||||
Dr. Pepper Snapple Group, Inc. | 110,647 | 9,889 | ||||||
Monster Beverage Corp.* | 71,184 | 9,704 | ||||||
PepsiCo, Inc. | 273,299 | 27,928 | ||||||
Total | 57,532 | |||||||
Biotechnology 9.06% | ||||||||
Agios Pharmaceuticals, Inc.* | 68,452 | 4,987 | ||||||
Alexion Pharmaceuticals, Inc.* | 85,067 | 14,972 | ||||||
Amgen, Inc. | 154,624 | 24,458 | ||||||
BioMarin Pharmaceutical, Inc.* | 42,498 | 4,974 | ||||||
Celgene Corp.* | 276,969 | 33,987 | ||||||
Gilead Sciences, Inc. | 270,244 | 29,222 | ||||||
Incyte Corp.* | 125,388 | 14,737 | ||||||
Regeneron Pharmaceuticals, Inc.* | 52,847 | 29,456 | ||||||
Sage Therapeutics, Inc.* | 79,996 | 4,018 | ||||||
Vertex Pharmaceuticals, Inc.* | 167,545 | 20,900 | ||||||
Total | 181,711 | |||||||
Diversified Financial Services 2.24% | ||||||||
Intercontinental Exchange, Inc. | 117,139 | 29,566 | ||||||
MarketAxess Holdings, Inc. | 150,615 | 15,259 | ||||||
Total | 44,825 |
Investments | Shares | Fair Value (000) | ||||||
Electrical Equipment 1.01% | ||||||||
Acuity Brands, Inc. | 92,877 | $ | 20,303 | |||||
Energy Equipment & Services 0.28% | ||||||||
Core Laboratories NV (Netherlands)(a) | 48,796 | 5,676 | ||||||
Food & Staples Retailing 2.44% | ||||||||
Costco Wholesale Corp. | 184,670 | 29,200 | ||||||
CVS Health Corp. | 96,666 | 9,548 | ||||||
Walgreens Boots Alliance, Inc. | 119,623 | 10,130 | ||||||
Total | 48,878 | |||||||
Health Care Equipment & Supplies 3.00% | ||||||||
Align Technology, Inc.* | 320,341 | 20,969 | ||||||
Edwards Lifesciences Corp.* | 156,052 | 24,524 | ||||||
ZELTIQ Aesthetics, Inc.* | 435,797 | 14,704 | ||||||
Total | 60,197 | |||||||
Health Care Technology 0.51% | ||||||||
athenahealth, Inc.* | 66,984 | 10,212 | ||||||
Hotels, Restaurants & Leisure 3.34% | ||||||||
McDonald’s Corp. | 177,053 | 19,874 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 348,890 | 22,196 | ||||||
Starbucks Corp. | 399,212 | 24,979 | ||||||
Total | 67,049 | |||||||
Household Durables 1.01% | ||||||||
DR Horton, Inc. | 343,865 | 10,123 | ||||||
Lennar Corp. Class A | 203,694 | 10,199 | ||||||
Total | 20,322 | |||||||
Household Products 0.98% | ||||||||
Clorox Co. (The) | 81,763 | 9,970 | ||||||
Colgate-Palmolive Co. | 146,173 | 9,699 | ||||||
Total | 19,669 | |||||||
Industrial Conglomerates 1.45% | ||||||||
3M Co. | 93,607 | 14,716 | ||||||
General Electric Co. | 498,226 | 14,409 | ||||||
Total | 29,125 |
See Notes to Financial Statements. | 39 |
Schedule of Investments (continued)
GROWTH LEADERS FUND October 31, 2015
Investments | Shares | Fair Value (000) | ||||||
Information Technology Services 7.65% | ||||||||
Cognizant Technology Solutions Corp. Class A* | 287,011 | $ | 19,548 | |||||
EPAM Systems, Inc.* | 245,048 | 18,955 | ||||||
MasterCard, Inc. Class A | 400,214 | 39,617 | ||||||
PayPal Holdings, Inc.* | 413,243 | 14,881 | ||||||
Visa, Inc. Class A | 778,118 | 60,366 | ||||||
Total | 153,367 | |||||||
Internet & Catalog Retail 8.83% | ||||||||
Amazon.com, Inc.* | 138,109 | 86,442 | ||||||
Netflix, Inc.* | 95,095 | 10,306 | ||||||
Priceline Group, Inc. (The)* | 28,095 | 40,857 | ||||||
TripAdvisor, Inc.* | 233,237 | 19,541 | ||||||
Wayfair, Inc. Class A* | 467,718 | 19,771 | ||||||
Total | 176,917 | |||||||
Internet Software & Services 14.11% | ||||||||
Alphabet, Inc. Class A* | 185,905 | 137,085 | ||||||
CoStar Group, Inc.* | 45,000 | 9,138 | ||||||
Criteo SA ADR* | 194,870 | 7,417 | ||||||
Facebook, Inc. Class A* | 993,900 | 101,348 | ||||||
LinkedIn Corp. Class A* | 115,599 | 27,844 | ||||||
Total | 282,832 | |||||||
Machinery 0.54% | ||||||||
Middleby Corp. (The)* | 93,316 | 10,912 | ||||||
Media 2.06% | ||||||||
Comcast Corp. Class A | 344,753 | 21,588 | ||||||
Walt Disney Co. (The) | 174,086 | 19,801 | ||||||
Total | 41,389 | |||||||
Pharmaceuticals 2.00% | ||||||||
Bristol-Myers Squibb Co. | 607,328 | 40,053 | ||||||
Real Estate Investment Trusts 0.76% | ||||||||
Equinix, Inc. | 51,229 | 15,199 |
Investments | Shares | Fair Value (000) | ||||||
Semiconductors & Semiconductor Equipment 2.83% | ||||||||
Avago Technologies Ltd. (Singapore)(a) | 77,080 | $ | 9,491 | |||||
Cavium, Inc.* | 210,946 | 14,967 | ||||||
First Solar, Inc.* | 196,783 | 11,230 | ||||||
NVIDIA Corp. | 740,811 | 21,017 | ||||||
Total | 56,705 | |||||||
Software 11.49% | ||||||||
Adobe Systems, Inc.* | 494,710 | 43,861 | ||||||
Microsoft Corp. | 1,405,012 | 73,960 | ||||||
Red Hat, Inc.* | 189,720 | 15,009 | ||||||
salesforce.com, Inc.* | 589,289 | 45,794 | ||||||
ServiceNow, Inc.* | 306,181 | 25,000 | ||||||
Tableau Software, Inc. Class A* | 112,037 | 9,406 | ||||||
Ultimate Software Group, Inc. (The)* | 84,500 | 17,267 | ||||||
Total | 230,297 | |||||||
Specialty Retail 5.33% | ||||||||
Home Depot, Inc. (The) | 325,023 | 40,186 | ||||||
O’Reilly Automotive, Inc.* | 75,692 | 20,911 | ||||||
TJX Cos., Inc. (The) | 398,432 | 29,161 | ||||||
Ulta Salon, Cosmetics & Fragrance, Inc.* | 95,884 | 16,680 | ||||||
Total | 106,938 | |||||||
Technology Hardware, Storage & Peripherals 4.16% | ||||||||
Apple, Inc. | 698,067 | 83,419 | ||||||
Textiles, Apparel & Luxury Goods 1.77% | ||||||||
NIKE, Inc. Class B | 195,311 | 25,591 | ||||||
Under Armour, Inc. Class A* | 104,217 | 9,909 | ||||||
Total | 35,500 | |||||||
Water Utilities 0.75% | ||||||||
American Water | ||||||||
Works Co., Inc. | 261,418 | 14,995 | ||||||
Total Common Stocks (cost $1,835,218,234) | 1,963,017 |
40 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
GROWTH LEADERS FUND October 31, 2015
Investments | Principal Amount (000) | Fair Value (000) | ||||||
SHORT-TERM INVESTMENT 1.55% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 10/30/2015, Zero Coupon due 11/2/2015 with Fixed Income Clearing Corp. collateralized by $31,520,000 of Federal Home Loan Mortgage Corp. at 0.875% due 2/22/2017; value: $31,677,600; proceeds: $31,052,961 (cost $31,052,961) | $ | 31,053 | $ | 31,053 | ||||
Total Investments in Securities 99.46% (cost $1,866,271,195) | 1,994,070 | |||||||
Cash and Other Assets in Excess of Liabilities 0.54% | 10,748 | |||||||
Net Assets 100.00% | $ | 2,004,818 |
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, 2015 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 | $ | 1,963,017 | $ | – | $ | – | $ | 1,963,017 | ||||||||
Repurchase Agreement | – | 31,053 | – | 31,053 | ||||||||||||
Total | $ | 1,963,017 | $ | 31,053 | $ | – | $ | 1,994,070 |
(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 1/Level 2 transfers during the fiscal year ended October 31, 2015. |
See Notes to Financial Statements. | 41 |
INTERNATIONAL CORE EQUITY FUND October 31, 2015
Investments | Shares | U.S. $ Fair Value (000) | ||||||
LONG-TERM INVESTMENTS 96.28% | ||||||||
COMMON STOCKS 96.04% | ||||||||
Australia 2.20% | ||||||||
Banks 1.19% | ||||||||
National Australia Bank Ltd. 296,503 | $ | 6,375 | ||||||
Real Estate Investment Trusts 1.01% | ||||||||
Mirvac Group | 4,176,170 | 5,375 | ||||||
Total Australia | 11,750 | |||||||
Austria 0.75% | ||||||||
Diversified Telecommunication Services | ||||||||
Telekom Austria AG | 663,294 | 3,999 | ||||||
Canada 0.64% | ||||||||
Oil, Gas & Consumable Fuels | ||||||||
Baytex Energy Corp. | 425,100 | 1,729 | ||||||
Seven Generations Energy Ltd. Class A * | 159,100 | 1,695 | ||||||
3,424 | ||||||||
China 4.09% | ||||||||
Automobiles 0.44% | ||||||||
Great Wall Motor Co., Ltd. Class H | 1,943,744 | 2,377 | ||||||
Internet Software & Services 1.67% | ||||||||
Baidu, Inc. ADR * | 47,432 | 8,892 | ||||||
Personal Products 0.76% | ||||||||
Hengan International Group Co., Ltd. | 375,000 | 4,062 | ||||||
Real Estate Management & Development 1.22% | ||||||||
China Overseas Land & Investment Ltd. | 1,997,677 | 6,495 | ||||||
Total China | 21,826 | |||||||
France 9.98% | ||||||||
Aerospace & Defense 1.84% | ||||||||
Safran SA | 129,183 | 9,818 |
Investments | Shares | U.S. $ Fair Value (000) | ||||||
Banks 1.38% | ||||||||
BNP Paribas SA | 121,052 | $ | 7,356 | |||||
Food Products 2.19% | ||||||||
Danone SA | 167,353 | 11,669 | ||||||
Insurance 1.46% | ||||||||
AXA SA | 291,328 | 7,793 | ||||||
Life Sciences Tools & Services 0.57% | ||||||||
Genfit* | 68,339 | 3,072 | ||||||
Oil, Gas & Consumable Fuels 1.12% | ||||||||
Total SA | 123,744 | 6,007 | ||||||
Real Estate Investment Trusts 1.42% | ||||||||
Klepierre | 159,600 | 7,577 | ||||||
Total France | 53,292 | |||||||
Germany 7.69% | ||||||||
Diversified Financial Services 0.91% | ||||||||
Deutsche Boerse AG | 52,924 | 4,874 | ||||||
Diversified Telecommunication Services 1.59% | ||||||||
Deutsche Telekom AG Registered Shares | 455,484 | 8,517 | ||||||
Health Care Providers & Services 2.69% | ||||||||
Fresenius Medical Care AG & Co. KGaA | 63,850 | 5,750 | ||||||
Fresenius SE & Co. KGaA | 117,313 | 8,611 | ||||||
14,361 | ||||||||
Life Sciences Tools & Services 0.65% | ||||||||
MorphoSys AG * | 55,930 | 3,461 | ||||||
Software 1.85% | ||||||||
SAP SE | 124,740 | 9,860 | ||||||
Total Germany | 41,073 | |||||||
Hong Kong 2.58% | ||||||||
Electric: Utilities 0.80% | ||||||||
Cheung Kong Infrastructure Holdings Ltd. | 460,091 | 4,283 |
42 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2015
Investments | Shares | U.S. $ Fair Value (000) | ||||||
Hong Kong (continued) | ||||||||
Hotels, Restaurants & Leisure 0.20% | ||||||||
SJM Holdings Ltd. | 1,243,100 | $ | 1,038 | |||||
Industrial Conglomerates 1.56% | ||||||||
CK Hutchison Holdings Ltd. | 605,600 | 8,321 | ||||||
Real Estate Management & Development 0.02% | ||||||||
China Overseas Property Holdings Ltd. * | 639,225 | 110 | ||||||
Total Hong Kong | 13,752 | |||||||
India 1.90% | ||||||||
Oil, Gas & Consumable Fuels 0.97% | ||||||||
Reliance Industries Ltd. | 358,764 | 5,203 | ||||||
Thrifts & Mortgage Finance 0.93% | ||||||||
Indiabulls Housing Finance Ltd. | 448,362 | 4,944 | ||||||
Total India | 10,147 | |||||||
Indonesia 0.67% | ||||||||
Food Products | ||||||||
PT Indofood Sukses Makmur Tbk | 8,862,000 | 3,577 | ||||||
Israel 1.63% | ||||||||
Pharmaceuticals | ||||||||
Teva Pharmaceutical Industries Ltd. ADR | 147,225 | 8,714 | ||||||
Italy 3.72% | ||||||||
Banks 0.86% | ||||||||
UniCredit SpA | 704,750 | 4,557 | ||||||
Capital Markets 0.91% | ||||||||
Anima Holding SpA † | 495,746 | 4,866 | ||||||
Gas Utilities 1.95% | ||||||||
Snam SpA | 2,011,690 | 10,419 | ||||||
Total Italy | 19,842 |
Investments | Shares | U.S. $ Fair Value (000) | ||||||
Japan 19.57% | ||||||||
Airlines 1.46% | ||||||||
Japan Airlines Co., Ltd. | 204,600 | $ | 7,765 | |||||
Auto Components 1.16% | ||||||||
Stanley Electric Co., Ltd. | 322,500 | 6,211 | ||||||
Automobiles 3.05% | ||||||||
Honda Motor Co., Ltd. | 327,300 | 10,969 | ||||||
Toyota Motor Corp. | 85,800 | 5,310 | ||||||
16,279 | ||||||||
Banks 1.75% | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 231,600 | 9,328 | ||||||
Chemicals 0.63% | ||||||||
Asahi Kasei Corp. | 542,486 | 3,356 | ||||||
Diversified Financial Services 1.09% | ||||||||
ORIX Corp. | 393,000 | 5,802 | ||||||
Electrical Equipment 1.30% | ||||||||
Nidec Corp. | 91,400 | 6,948 | ||||||
Information Technology Services 3.29% | ||||||||
Obic Co., Ltd. | 157,300 | 8,369 | ||||||
SCSK Corp. | 237,600 | 9,166 | ||||||
17,535 | ||||||||
Pharmaceuticals 1.44% | ||||||||
Astellas Pharma, Inc. | 527,100 | 7,710 | ||||||
Real Estate Management & Development 1.68% | ||||||||
Daiwa House Industry Co., Ltd. | 339,000 | 8,979 | ||||||
Trading Companies & Distributors 1.57% | ||||||||
Sumitomo Corp. | 760,700 | 8,387 | ||||||
Wireless Telecommunication Services 1.15% | ||||||||
SoftBank Group Corp. | 109,400 | 6,162 | ||||||
Total Japan | 104,462 |
See Notes to Financial Statements. | 43 |
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2015
Investments | Shares | U.S. $ Fair Value (000) | ||||||
Netherlands 5.82% | ||||||||
Beverages 2.83% | ||||||||
Heineken Holding NV | 188,413 | $ | 15,110 | |||||
Construction & Engineering 0.24% | ||||||||
Arcadis NV | 51,568 | 1,302 | ||||||
Insurance 0.83% | ||||||||
Aegon NV | 717,751 | 4,423 | ||||||
Oil, Gas & Consumable Fuels 1.92% | ||||||||
Royal Dutch Shell plc Class A ADR | 195,139 | 10,237 | ||||||
Total Netherlands | 31,072 | |||||||
Norway 0.44% | ||||||||
Banks | ||||||||
DNB ASA | 185,874 | 2,367 | ||||||
South Korea 2.34% | ||||||||
Technology Hardware, Storage & Peripherals 1.49% | ||||||||
Samsung Electronics Co., Ltd. | 6,607 | 7,951 | ||||||
Wireless Telecommunication Services 0.85% | ||||||||
SK Telecom Co., Ltd. | 21,574 | 4,561 | ||||||
Total South Korea | 12,512 | |||||||
Spain 1.11% | ||||||||
Construction & Engineering | ||||||||
ACS Actividades de Construccion y Servicios SA | 174,264 | 5,930 | ||||||
Sweden 1.82% | ||||||||
Diversified Telecommunication Services 0.95% | ||||||||
TeliaSonera AB | 986,749 | 5,051 | ||||||
Machinery 0.87% | ||||||||
Volvo AB B Shares | 450,121 | 4,676 | ||||||
Total Sweden | 9,727 |
Investments | Shares | U.S. $ Fair Value (000) | ||||||
Switzerland 3.83% | ||||||||
Pharmaceuticals | ||||||||
Novartis AG Registered Shares | 115,501 | $ | 10,499 | |||||
Roche Holding AG | 36,710 | 9,964 | ||||||
Total Switzerland | 20,463 | |||||||
United Kingdom 24.20% | ||||||||
Aerospace & Defense 1.09% | ||||||||
BAE Systems plc | 854,886 | 5,803 | ||||||
Airlines 1.22% | ||||||||
International Consolidated Airlines Group SA* | 727,956 | 6,537 | ||||||
Banks 4.14% | ||||||||
Barclays plc | 1,731,229 | 6,192 | ||||||
HSBC Holdings plc | 1,125,667 | 8,808 | ||||||
Lloyds Banking Group plc | 6,246,856 | 7,100 | ||||||
22,100 | ||||||||
Beverages 1.27% | ||||||||
SABMiller plc | 109,759 | 6,760 | ||||||
Capital Markets 1.00% | ||||||||
Jupiter Fund Management plc | 769,492 | 5,349 | ||||||
Household Durables 1.64% | ||||||||
Berkeley Group Holdings plc | 170,853 | 8,739 | ||||||
Insurance 1.67% | ||||||||
Prudential plc | 380,337 | 8,906 | ||||||
Media 3.14% | ||||||||
ITV plc | 2,226,530 | 8,663 | ||||||
Pearson plc | 181,739 | 2,414 | ||||||
WPP plc | 253,622 | 5,701 | ||||||
16,778 | ||||||||
Metals & Mining 1.49% | ||||||||
Rio Tinto plc ADR | 218,007 | 7,959 |
44 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2015
Investments | Shares | U.S. $ Fair Value (000) | ||||||
United Kingdom (continued) | ||||||||
Multi-Line Retail 0.65% | ||||||||
Debenhams plc | 2,503,484 | $ | 3,452 | |||||
Multi-Utilities 1.65% | ||||||||
National Grid plc | 616,330 | 8,787 | ||||||
Personal Products 1.32% | ||||||||
Unilever plc | 157,986 | 7,046 | ||||||
Pharmaceuticals 1.23% | ||||||||
AstraZeneca plc | 102,707 | 6,572 | ||||||
Tobacco 2.18% | ||||||||
Imperial Tobacco Group plc | 215,562 | 11,627 | ||||||
Trading Companies & Distributors 0.51% | ||||||||
Ashtead Group plc | 178,258 | 2,748 | ||||||
Total United Kingdom | 129,163 | |||||||
United States 1.06% | ||||||||
Health Care Equipment & Supplies | ||||||||
ResMed, Inc. | 97,700 | 5,629 | ||||||
Total Common Stocks (cost $502,923,913) | 512,721 | |||||||
PREFERRED STOCK 0.24% | ||||||||
Germany | ||||||||
Automobiles | ||||||||
Volkswagen AG (cost $2,526,496) | 10,809 | 1,299 | ||||||
Total Long-Term Investments (cost $505,450,409) | 514,020 |
Investments | Principal Amount (000) | U.S. $ Fair Value (000) | ||||||
SHORT-TERM INVESTMENT 1.85% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 10/30/2015, Zero Coupon due 11/2/2015 with Fixed Income Clearing Corp. collateralized by $10,010,000 of Federal Home Loan Mortgage Corp. at 0.875% due 2/22/2017; value: $10,060,050; proceeds: $9,859,030 (cost $9,859,030) | $ | 9,859 | $ | 9,859 | ||||
Total Investments in Securities 98.13% (cost $515,309,439) | 523,879 | |||||||
Cash and Other Assets in Excess of Liabilities(a) 1.87% | 9,992 | |||||||
Net Assets 100.00% | $ | 533,871 |
ADR | American 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) | Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
See Notes to Financial Statements. | 45 |
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2015
Open Forward Foreign Currency Exchange Contracts at October 31, 2015:
Forward | ||||||||||||||||||||
Foreign | U.S. $ | |||||||||||||||||||
Currency | Cost on | U.S. $ | ||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Appreciation | |||||||||||||
Indian rupee | Buy | Goldman Sachs | 11/2/2015 | 175,000,000 | $ | 2,624,829 | $ | 2,678,093 | $ | 53,264 | ||||||||||
Brazilian real | Sell | Morgan Stanley | 11/16/2015 | 6,800,000 | 1,788,909 | 1,756,592 | 32,317 | |||||||||||||
British pound | Sell | J.P. Morgan | 1/19/2016 | 14,200,000 | 22,055,166 | 21,884,888 | 170,278 | |||||||||||||
Canadian dollar | Sell | Bank of America | 12/14/2015 | 3,722,000 | 2,849,793 | 2,845,742 | 4,051 | |||||||||||||
euro | Sell | Deutsche Bank AG | 2/16/2016 | 1,264,000 | 1,442,307 | 1,392,873 | 49,434 | |||||||||||||
euro | Sell | Deutsche Bank AG | 2/16/2016 | 2,400,000 | 2,715,521 | 2,644,695 | 70,826 | |||||||||||||
euro | Sell | Deutsche Bank AG | 2/16/2016 | 1,300,000 | 1,460,937 | 1,432,543 | 28,394 | |||||||||||||
euro | Sell | J.P. Morgan | 2/16/2016 | 7,200,000 | 8,117,345 | 7,934,086 | 183,259 | |||||||||||||
euro | Sell | J.P. Morgan | 2/16/2016 | 800,000 | 902,717 | 881,565 | 21,152 | |||||||||||||
euro | Sell | Morgan Stanley | 2/16/2016 | 2,200,000 | 2,507,592 | 2,424,304 | 83,288 | |||||||||||||
euro | Sell | Morgan Stanley | 2/16/2016 | 980,000 | 1,105,906 | 1,079,917 | 25,989 | |||||||||||||
euro | Sell | UBS AG | 2/16/2016 | 1,080,000 | 1,228,575 | 1,190,113 | 38,462 | |||||||||||||
Indian rupee | Sell | Deutsche Bank AG | 11/2/2015 | 366,000,000 | 5,632,069 | 5,601,041 | 31,028 | |||||||||||||
Indian rupee | Sell | Goldman Sachs | 11/2/2015 | 131,000,000 | 2,017,936 | 2,004,744 | 13,192 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 804,934 |
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 | Bank of America | 12/14/2015 | 9,800,000 | $ | 7,116,074 | $ | 6,973,826 | $ | (142,248 | ) | |||||||||
Australian dollar | Buy | Standard Chartered Bank | 2/19/2016 | 13,200,000 | 9,590,882 | 9,364,035 | (226,847 | ) | ||||||||||||
Brazilian real | Buy | Goldman Sachs | 11/16/2015 | 13,650,000 | 4,188,855 | 3,526,101 | (662,754 | ) | ||||||||||||
Danish krone | Buy | Deutsche Bank AG | 2/16/2016 | 125,400,000 | 18,966,716 | 18,549,119 | (417,597 | ) | ||||||||||||
euro | Buy | J.P. Morgan | 2/16/2016 | 500,000 | 568,699 | 550,978 | (17,721 | ) | ||||||||||||
Indian rupee | Buy | Morgan Stanley | 11/2/2015 | 322,000,000 | 4,950,419 | 4,927,691 | (22,728 | ) | ||||||||||||
South African rand | Buy | Morgan Stanley | 11/23/2015 | 52,285,000 | 3,970,465 | 3,765,119 | (205,346 | ) | ||||||||||||
Swiss franc | Buy | Morgan Stanley | 1/19/2016 | 12,986,000 | 13,481,765 | 13,174,728 | (307,037 | ) | ||||||||||||
Swiss franc | Buy | Standard Chartered Bank | 2/22/2016 | 9,160,000 | 9,660,053 | 9,306,372 | (353,681 | ) | ||||||||||||
British pound | Sell | Bank of America | 1/19/2016 | 1,650,000 | 2,535,362 | 2,542,962 | (7,600 | ) | ||||||||||||
British pound | Sell | Goldman Sachs | 1/19/2016 | 830,000 | 1,258,875 | 1,279,187 | (20,312 | ) | ||||||||||||
British pound | Sell | J.P. Morgan | 1/19/2016 | 830,000 | 1,257,806 | 1,279,187 | (21,381 | ) | ||||||||||||
British pound | Sell | Morgan Stanley | 1/19/2016 | 1,080,000 | 1,653,452 | 1,664,485 | (11,033 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (2,416,285 | ) |
46 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
INTERNATIONAL CORE EQUITY FUND October 31, 2015
The following is a summary of the inputs used as of October 31, 2015 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) | $ | 512,721 | $ | – | $ | – | $ | 512,721 | ||||||||
Preferred Stock(3) | 1,299 | – | – | 1,299 | ||||||||||||
Repurchase Agreement | – | 9,859 | – | 9,859 | ||||||||||||
Total | $ | 514,020 | $ | 9,859 | $ | – | $ | 523,879 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 805 | $ | – | $ | 805 | ||||||||
Liabilities | – | (2,416 | ) | – | (2,416 | ) | ||||||||||
Total | $ | – | $ | (1,611 | ) | $ | – | $ | (1,611 | ) |
(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, 2015, the Fund utilized the last sale or official closing price on the exchange or system on which the foreign equity securities are principally traded, which resulted in Level 1 inputs for all foreign equity securities. As of October 31, 2014, the Fund utilized adjusted valuations for the majority of foreign equity securities (as described in Note 2(a)), which resulted in Level 2 inputs. For the fiscal year ended October 31, 2015, the total securities transferred from Level 2 to Level 1 amounted to $368,938,979. |
See Notes to Financial Statements. | 47 |
Schedule of Investments
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2015
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
LONG-TERM INVESTMENTS 97.98% | ||||||||
COMMON STOCKS 95.70% | ||||||||
Australia 7.40% | ||||||||
Banks 2.13% | ||||||||
National Australia Bank Ltd. | 2,138,930 | $ | 45,987 | |||||
Electric: Utilities 0.92% | ||||||||
AusNet Services | 19,299,206 | 19,886 | ||||||
Personal Products 0.86% | ||||||||
Asaleo Care Ltd. | 14,835,707 | 18,620 | ||||||
Real Estate Investment Trusts 3.49% | ||||||||
Federation Centres | 10,746,660 | 22,301 | ||||||
Mirvac Group | 22,571,856 | 29,053 | ||||||
Scentre Group | 8,115,525 | 23,959 | ||||||
75,313 | ||||||||
Total Australia | 159,806 | |||||||
Belgium 0.92% | ||||||||
Air Freight & Logistics | ||||||||
bpost SA | 790,042 | 19,782 | ||||||
Canada 6.74% | ||||||||
Oil, Gas & Consumable Fuels 5.93% | ||||||||
ARC Resources Ltd. | 1,179,300 | 17,388 | ||||||
Baytex Energy Corp. | 2,231,300 | 9,078 | ||||||
Crescent Point Energy Corp. | 3,149,652 | 42,923 | ||||||
Freehold Royalties Ltd. | 1,570,240 | 12,189 | ||||||
Whitecap Resources, Inc. | 5,218,900 | 46,338 | ||||||
127,916 | ||||||||
Real Estate Investment Trusts 0.81% | ||||||||
RioCan Real Estate Investment Trust | 898,700 | 17,526 | ||||||
Total Canada | 145,442 |
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
China 2.01% | ||||||||
Real Estate Management & Development | ||||||||
Greentown China Holdings Ltd.* | 5,592,100 | $ | 4,914 | |||||
KWG Property Holding Ltd. | 22,361,200 | 16,214 | ||||||
Longfor Properties Co., Ltd. | 16,622,300 | 22,347 | ||||||
43,475 | ||||||||
Denmark 0.63% | ||||||||
Diversified Telecommunication Services | ||||||||
TDC A/S | 2,590,539 | 13,578 | ||||||
Finland 1.49% | ||||||||
Diversified Telecommunication Services | ||||||||
Elisa OYJ | 854,292 | 32,203 | ||||||
France 7.24% | ||||||||
Banks 1.49% | ||||||||
BNP Paribas SA | 528,927 | 32,141 | ||||||
Diversified Telecommunication Services 1.18% | ||||||||
Orange SA | 1,450,116 | 25,570 | ||||||
Insurance 1.40% | ||||||||
AXA SA | 1,128,995 | 30,200 | ||||||
Oil, Gas & Consumable Fuels 1.72% | ||||||||
Total SA ADR | 768,362 | 37,058 | ||||||
Real Estate Investment Trusts 1.45% | ||||||||
Klepierre | 659,207 | 31,297 | ||||||
Total France | 156,266 | |||||||
Germany 4.23% | ||||||||
Diversified Telecommunication Services 1.45% | ||||||||
Deutsche Telekom AG Registered Shares | 1,676,384 | 31,348 | ||||||
Media 1.06% | ||||||||
ProSiebenSat.1 Media SE | 423,399 | 22,902 |
48 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2015
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
Germany (continued) | ||||||||
Wireless Telecommunication Services 1.72% | ||||||||
Freenet AG | 1,097,484 | $ | 37,026 | |||||
Total Germany | 91,276 | |||||||
Hong Kong 2.98% | ||||||||
Communications Equipment 0.85% | ||||||||
VTech Holdings Ltd. | 1,512,400 | 18,372 | ||||||
Hotels, Restaurants & Leisure 0.51% | ||||||||
SJM Holdings Ltd. | 13,102,500 | 10,937 | ||||||
Industrial Conglomerates 1.62% | ||||||||
CK Hutchison Holdings Ltd. | 2,550,400 | 35,045 | ||||||
Total Hong Kong | 64,354 | |||||||
India 0.77% | ||||||||
Thrifts & Mortgage Finance | ||||||||
Indiabulls Housing Finance Ltd. | 1,502,917 | 16,573 | ||||||
Israel 1.53% | ||||||||
Diversified Telecommunication Services | ||||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 15,381,741 | 32,963 | ||||||
Italy 2.68% | ||||||||
Capital Markets 0.46% | ||||||||
Anima Holding SpA† | 1,006,269 | 9,876 | ||||||
Gas Utilities 2.22% | ||||||||
Snam SpA | 9,255,722 | 47,939 | ||||||
Total Italy | 57,815 | |||||||
Japan 8.28% | ||||||||
Airlines 1.58% | ||||||||
Japan Airlines Co., Ltd. | 897,200 | 34,053 | ||||||
Automobiles 1.98% | ||||||||
Nissan Motor Co., Ltd. | 2,189,000 | 22,975 |
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
Toyota Motor Corp. | 317,700 | $ | 19,664 | |||||
42,639 | ||||||||
Banks 1.49% | ||||||||
Aozora Bank Ltd. | 4,419,400 | 16,225 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 396,700 | 15,977 | ||||||
32,202 | ||||||||
Capital Markets 0.72% | ||||||||
Daiwa Securities Group, Inc. | 2,259,000 | 15,577 | ||||||
Real Estate Management & Development 0.87% | ||||||||
Daiwa House Industry Co., Ltd. | 708,900 | 18,776 | ||||||
Trading Companies & Distributors 1.64% | ||||||||
Sumitomo Corp. | 3,220,800 | 35,512 | ||||||
Total Japan | 178,759 | |||||||
Netherlands 2.95% | ||||||||
Insurance 0.72% | ||||||||
Aegon NV | 2,500,893 | 15,412 | ||||||
Oil, Gas & Consumable Fuels 2.23% | ||||||||
Royal Dutch Shell plc Class A ADR | 918,948 | 48,208 | ||||||
Total Netherlands | 63,620 | |||||||
New Zealand 2.61% | ||||||||
Airlines 1.13% | ||||||||
Air New Zealand Ltd. | 12,338,813 | 24,314 | ||||||
Diversified Telecommunication Services 1.48% | ||||||||
Spark New Zealand Ltd. | 14,073,183 | 32,019 | ||||||
Total New Zealand | 56,333 | |||||||
Portugal 1.63% | ||||||||
Electric: Utilities | ||||||||
EDP—Energias de Portugal SA | 9,498,814 | 35,180 |
See Notes to Financial Statements. | 49 |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2015
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
Singapore 0.86% | ||||||||
Real Estate Investment Trusts | ||||||||
Mapletree Logistics Trust | 25,351,500 | $ | 18,459 | |||||
South Korea 0.86% | ||||||||
Wireless Telecommunication Services | ||||||||
SK Telecom Co., Ltd. | 87,978 | 18,598 | ||||||
Spain 4.19% | ||||||||
Construction & Engineering 1.08% | ||||||||
ACS Actividades de Construccion y Servicios SA | 686,353 | 23,356 | ||||||
Diversified Financial Services 1.16% | ||||||||
Bolsas y Mercados Espanoles, SHMFS, SA | 692,882 | 24,904 | ||||||
Gas Utilities 1.95% | ||||||||
Enagas SA | 1,390,899 | 42,145 | ||||||
Total Spain | 90,405 | |||||||
Sweden 1.68% | ||||||||
Diversified Telecommunication Services 0.88% | ||||||||
TeliaSonera AB | 3,723,195 | 19,057 | ||||||
Machinery 0.80% | ||||||||
Volvo AB B Shares | 1,650,306 | 17,143 | ||||||
Total Sweden | 36,200 | |||||||
Switzerland 4.64% | ||||||||
Food Products 1.58% | ||||||||
Nestle SA Registered Shares | 445,239 | 34,053 | ||||||
Pharmaceuticals 3.06% | ||||||||
Novartis AG | ||||||||
Registered Shares | 354,765 | 32,248 | ||||||
Roche Holding AG | 124,961 | 33,919 | ||||||
66,167 | ||||||||
Total Switzerland | 100,220 |
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
Taiwan 0.83% | ||||||||
Technology Hardware, Storage & Peripherals | ||||||||
Asustek Computer, Inc. | 2,004,300 | $ | 17,966 | |||||
Turkey 0.76% | ||||||||
Automobiles | ||||||||
Tofas Turk Otomobil Fabrikasi AS | 2,499,786 | 16,506 | ||||||
United Kingdom 27.79% | ||||||||
Aerospace & Defense 1.27% | ||||||||
BAE Systems plc | 4,041,562 | 27,433 | ||||||
Banks 2.90% | ||||||||
Barclays plc | 7,501,330 | 26,829 | ||||||
HSBC Holdings plc | 4,583,871 | 35,869 | ||||||
62,698 | ||||||||
Capital Markets 1.53% | ||||||||
Jupiter Fund Management plc | 4,738,567 | 32,938 | ||||||
Electric: Utilities 1.80% | ||||||||
SSE plc | 1,664,331 | 38,871 | ||||||
Household Durables 1.80% | ||||||||
Berkeley Group Holdings plc | 761,960 | 38,974 | ||||||
Insurance 2.47% | ||||||||
Lancashire Holdings Ltd. | 1,886,679 | 20,723 | ||||||
Prudential plc | 1,395,201 | 32,671 | ||||||
53,394 | ||||||||
Media 3.12% | ||||||||
ITV plc | 8,767,089 | 34,113 | ||||||
Pearson plc | 770,921 | 10,238 | ||||||
RELX plc | 1,280,550 | 22,939 | ||||||
67,290 | ||||||||
Metals & Mining 1.73% | ||||||||
Rio Tinto plc ADR | 1,020,155 | 37,246 |
50 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2015
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
United Kingdom (continued) | ||||||||
Multi-Utilities 1.99% | ||||||||
National Grid plc | 3,020,191 | $ | 43,058 | |||||
Oil, Gas & Consumable Fuels 1.57% | ||||||||
BP plc | 5,693,838 | 33,917 | ||||||
Personal Products 1.47% | ||||||||
Unilever plc | 710,307 | 31,679 | ||||||
Pharmaceuticals 2.48% | ||||||||
AstraZeneca plc | 367,921 | 23,541 | ||||||
GlaxoSmithKline plc | 1,381,021 | 29,912 | ||||||
53,453 | ||||||||
Tobacco 2.35% | ||||||||
Imperial Tobacco Group plc | 939,408 | 50,672 | ||||||
Wireless Telecommunication Services 1.31% | ||||||||
Vodafone Group plc | 8,586,628 | 28,361 | ||||||
Total United Kingdom | 599,984 | |||||||
Total Common Stocks (cost $2,203,622,837) | 2,065,763 | |||||||
Principal | ||||||||
Amount | ||||||||
CORPORATE BOND 1.07% | ||||||||
Spain | ||||||||
Banks | ||||||||
Banco Popular Espanol SA(a) (cost $27,637,521) | $ | 19,000,000 | 23,095 | |||||
Shares | ||||||||
PREFERRED STOCKS 1.21% | ||||||||
Brazil 0.64% | ||||||||
Independent Power and Renewable Electricity Producer | ||||||||
AES Tiete SA | 3,845,400 | 13,780 |
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
South Korea 0.57% | ||||||||
Technology Hardware, Storage & Peripherals | ||||||||
Samsung Electronics Co., Ltd. | 11,829 | $ | 12,399 | |||||
Total Preferred Stocks (cost $48,327,174) | 26,179 | |||||||
Total Long-Term Investments (cost $2,279,587,532) | 2,115,037 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENT 1.08% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 10/30/2015, Zero Coupon due 11/2/2015 with Fixed Income Clearing Corp. collateralized by $23,550,000 of Federal Home Loan Mortgage Corp. at 0.875% due 2/22/2017; value: $23,667,750; proceeds: $23,200,664 (cost $23,200,664) | $ | 23,201 | $ | 23,201 | ||||
Total Investments in Securities 99.06% | ||||||||
(cost $2,302,788,196) | 2,138,238 | |||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(b) 0.94% | 20,366 | |||||||
Net Assets 100.00% | $ | 2,158,604 |
ADR | American 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) | The security has an interest rate of 11.50%, is perpetual in nature and has no stated maturity. | |
(b) | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/ depreciation on forward foreign currency exchange contracts as follows: |
See Notes to Financial Statements. | 51 |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2015
Open Forward Foreign Currency Exchange Contracts at October 31, 2015:
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 | 2/19/2016 | 11,900,000 | $ | 8,371,418 | $ | 8,441,820 | $ | 70,402 | |||||||||
British pound | Buy | J.P.Morgan | 1/19/2016 | 6,880,000 | 10,434,917 | 10,603,382 | 168,465 | ||||||||||||
Swedish krona | Buy | Morgan Stanley | 11/23/2015 | 407,000,000 | 47,380,992 | 47,658,594 | 277,602 | ||||||||||||
British pound | Sell | Morgan Stanley | 1/19/2016 | 85,370,000 | 131,954,710 | 131,571,329 | 383,381 | ||||||||||||
British pound | Sell | Morgan Stanley | 1/19/2016 | 63,987,000 | 98,853,932 | 98,616,078 | 237,854 | ||||||||||||
euro | Sell | J.P.Morgan | 2/16/2016 | 18,700,000 | 21,082,548 | 20,606,583 | 475,965 | ||||||||||||
euro | Sell | Morgan Stanley | 2/16/2016 | 7,900,000 | 8,711,130 | 8,705,455 | 5,675 | ||||||||||||
Israeli new shekel | Sell | Deutsche Bank AG | 2/23/2016 | 30,000,000 | 7,780,527 | 7,765,482 | 15,045 | ||||||||||||
Japanese yen | Sell | Morgan Stanley | 2/22/2016 | 17,200,000,000 | 143,910,173 | 142,854,130 | 1,056,043 | ||||||||||||
South African rand | Sell | Goldman Sachs | 11/23/2015 | 83,600,000 | 6,030,605 | 6,020,157 | 10,448 | ||||||||||||
Swedish krona | Sell | Deutsche Bank AG | 11/23/2015 | 68,840,000 | 8,141,582 | 8,060,977 | 80,605 | ||||||||||||
Swiss franc | Sell | Deutsche Bank AG | 2/22/2016 | 6,040,000 | 6,249,994 | 6,136,516 | 113,478 | ||||||||||||
Swiss franc | Sell | Standard Chartered Bank | 2/22/2016 | 50,191,000 | 52,930,972 | 50,993,024 | 1,937,948 | ||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 4,832,911 |
52 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2015
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 | Bank of America | 2/19/2016 | 137,150,000 | $ | 99,760,853 | $ | 97,293,749 | $ | (2,467,104 | ) | ||||||||
Australian dollar | Buy | J.P.Morgan | 2/19/2016 | 18,400,000 | 13,124,503 | 13,052,898 | (71,605 | ) | |||||||||||
Australian dollar | Buy | Standard Chartered Bank | 2/19/2016 | 15,300,000 | 11,044,496 | 10,853,769 | (190,727 | ) | |||||||||||
Australian dollar | Buy | Standard Chartered Bank | 2/19/2016 | 14,800,000 | 10,841,305 | 10,499,070 | (342,235 | ) | |||||||||||
Australian dollar | Buy | Standard Chartered Bank | 2/19/2016 | 131,000,000 | 95,299,880 | 92,930,959 | (2,368,921 | ) | |||||||||||
Australian dollar | Buy | Standard Chartered Bank | 2/19/2016 | 130,800,000 | 95,036,926 | 92,789,080 | (2,247,846 | ) | |||||||||||
Canadian dollar | Buy | State Street Bank and Trust | 2/19/2016 | 61,000,000 | 47,217,825 | 46,627,130 | (590,695 | ) | |||||||||||
Japanese yen | Buy | Morgan Stanley | 1/12/2016 | 900,000,000 | 7,521,026 | 7,468,851 | (52,175 | ) | |||||||||||
Russian ruble | Buy | J.P.Morgan | 11/23/2015 | 537,500,000 | 9,045,776 | 8,367,786 | (677,990 | ) | |||||||||||
South African rand | Buy | Deutsche Bank AG | 11/23/2015 | 100,000,000 | 7,731,351 | 7,201,145 | (530,206 | ) | |||||||||||
South African rand | Buy | J.P.Morgan | 11/23/2015 | 386,000,000 | 30,327,139 | 27,796,420 | (2,530,719 | ) | |||||||||||
South African rand | Buy | J.P.Morgan | 11/23/2015 | 250,000,000 | 19,320,685 | 18,002,863 | (1,317,822 | ) | |||||||||||
South African rand | Buy | J.P.Morgan | 11/23/2015 | 200,000,000 | 15,456,548 | 14,402,290 | (1,054,258 | ) | |||||||||||
South African rand | Buy | Morgan Stanley | 11/23/2015 | 105,000,000 | 8,116,741 | 7,561,202 | (555,539 | ) | |||||||||||
South African rand | Buy | Morgan Stanley | 11/23/2015 | 65,000,000 | 5,036,123 | 4,680,744 | (355,379 | ) | |||||||||||
Swedish krona | Buy | J.P.Morgan | 11/23/2015 | 61,150,000 | 7,354,262 | 7,160,499 | (193,763 | ) | |||||||||||
Thai baht | Buy | Morgan Stanley | 12/8/2015 | 448,000,000 | 12,641,084 | 12,579,615 | (61,469 | ) | |||||||||||
Turkish lira | Buy | Bank of America | 12/4/2015 | 72,600,000 | 25,252,174 | 24,669,417 | (582,757 | ) | |||||||||||
Turkish lira | Buy | J.P.Morgan | 12/4/2015 | 21,650,000 | 7,555,221 | 7,356,651 | (198,570 | ) | |||||||||||
Australian dollar | Sell | J.P.Morgan | 2/19/2016 | 12,500,000 | 8,833,461 | 8,867,458 | (33,997 | ) | |||||||||||
Australian dollar | Sell | J.P.Morgan | 2/19/2016 | 11,300,000 | 8,014,997 | 8,016,182 | (1,185 | ) | |||||||||||
Japanese yen | Sell | Standard Chartered Bank | 1/12/2016 | 5,260,000,000 | 43,551,194 | 43,651,286 | (100,092 | ) | |||||||||||
New Zealand dollar | Sell | Standard Chartered Bank | 2/5/2016 | 17,500,000 | 11,135,198 | 11,770,885 | (635,687 | ) | |||||||||||
Russian ruble | Sell | J.P.Morgan | 11/23/2015 | 537,500,000 | 8,251,458 | 8,367,786 | (116,328 | ) | |||||||||||
South African rand | Sell | Deutsche Bank AG | 11/23/2015 | 258,000,000 | 18,568,647 | 18,578,954 | (10,307 | ) | |||||||||||
South African rand | Sell | J.P.Morgan | 11/23/2015 | 61,500,000 | 4,367,747 | 4,428,704 | (60,957 | ) | |||||||||||
Swedish krona | Sell | Barclays Bank plc | 11/23/2015 | 173,000,000 | 20,078,911 | 20,257,830 | (178,919 | ) | |||||||||||
Thai baht | Sell | Morgan Stanley | 12/8/2015 | 448,000,000 | 12,277,336 | 12,579,615 | (302,279 | ) | |||||||||||
Turkish lira | Sell | Deutsche Bank AG | 12/4/2015 | 94,250,000 | 30,416,619 | 32,026,068 | (1,609,449 | ) | |||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (19,438,980 | ) |
See Notes to Financial Statements. | 53 |
Schedule of Investments (concluded)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2015
The following is a summary of the inputs used as of October 31, 2015 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) | $ | 2,065,763 | $ | – | $ | – | $ | 2,065,763 | |||||||
Corporate Bond | – | 23,095 | – | 23,095 | |||||||||||
Preferred Stocks | 26,179 | – | – | 26,179 | |||||||||||
Repurchase Agreement | – | 23,201 | – | 23,201 | |||||||||||
Total | $ | 2,091,942 | $ | 46,296 | $ | – | $ | 2,138,238 | |||||||
Other Financial Instruments | |||||||||||||||
Forward Foreign Currency Exchange Contracts | |||||||||||||||
Assets | $ | – | $ | 4,833 | $ | – | $ | 4,833 | |||||||
Liabilities | – | (19,439 | ) | – | (19,439) | ||||||||||
Total | $ | – | $ | (14,606 | ) | $ | – | $ | (14,606) |
(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, 2015, the Fund utilized the last sale or official closing price on the exchange or system on which the foreign equity securities are principally traded, which resulted in Level 1 inputs for all foreign equity securities. As of October 31, 2014, the Fund utilized adjusted valuations for the majority of foreign equity securities (as described in Note 2(a)), which resulted in Level 2 inputs. For the fiscal year ended October 31, 2015, the total securities transferred from Level 2 to Level 1 amounted to $1,487,746,498. |
54 | See Notes to Financial Statements. |
Schedule of Investments
INTERNATIONAL OPPORTUNITIES FUND October 31, 2015
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
COMMON STOCKS 95.18% | ||||||||
Australia 6.65% | ||||||||
Beverages 1.18% | ||||||||
Treasury Wine Estates Ltd. | 1,456,370 | $ | 7,353 | |||||
Commercial Services & Supplies 1.62% | ||||||||
Spotless Group Holdings Ltd. | 6,572,720 | 10,077 | ||||||
Food Products 0.42% | ||||||||
Select Harvests Ltd. | 355,622 | 2,576 | ||||||
Hotels, Restaurants & Leisure 1.22% | ||||||||
Mantra Group Ltd. | 2,580,926 | 7,601 | ||||||
Multi-Utilities 1.10% | ||||||||
DUET Group | 4,060,678 | 6,834 | ||||||
Real Estate Investment Trusts 1.11% | ||||||||
Charter Hall Group | 2,150,026 | 6,884 | ||||||
Total Australia | 41,325 | |||||||
Austria 0.39% | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||
ams AG | 76,264 | 2,446 | ||||||
Canada 4.28% | ||||||||
Auto Components 1.00% | ||||||||
Linamar Corp. | 107,027 | 6,220 | ||||||
Metals & Mining 0.53% | ||||||||
HudBay Minerals, Inc. | 634,866 | 3,297 | ||||||
Oil, Gas & Consumable Fuels 1.84% | ||||||||
Bankers Petroleum Ltd.* | 1,530,850 | 2,575 | ||||||
Vermilion Energy, Inc. | 84,100 | 2,959 | ||||||
Whitecap Resources, Inc. | 660,300 | 5,863 | ||||||
11,397 | ||||||||
Paper & Forest Products 0.91% | ||||||||
Interfor Corp.* | 597,609 | 5,676 | ||||||
Total Canada | 26,590 |
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
China 0.39% | ||||||||
Oil, Gas & Consumable Fuels | ||||||||
China Suntien Green Energy Corp., Ltd. Class H | 13,468,000 | $ | 2,415 | |||||
Finland 2.35% | ||||||||
Leisure Product 1.43% | ||||||||
Amer Sports OYJ | 317,417 | 8,908 | ||||||
Trading Companies & Distributors 0.92% | ||||||||
Cramo OYJ | 310,614 | 5,704 | ||||||
Total Finland | 14,612 | |||||||
France 2.65% | ||||||||
Commercial Services & Supplies 1.13% | ||||||||
Elior Participations SCA† | 368,281 | 6,994 | ||||||
Information Technology Services 1.14% | ||||||||
Altran Technologies SA | 568,561 | 7,096 | ||||||
Life Sciences Tools & Services 0.38% | ||||||||
Genfit* | 51,980 | 2,337 | ||||||
Total France | 16,427 | |||||||
Germany 4.51% | ||||||||
Internet Software & Services 0.61% | ||||||||
XING AG | 19,136 | 3,779 | ||||||
Life Sciences Tools & Services 1.67% | ||||||||
Gerresheimer AG | 98,660 | 7,700 | ||||||
MorphoSys AG* | 43,213 | 2,674 | ||||||
10,374 | ||||||||
Machinery 0.99% | ||||||||
Deutz AG | 1,636,239 | 6,141 | ||||||
Real Estate Management & Development 1.24% | ||||||||
Patrizia Immobilien AG* | 279,903 | 7,699 | ||||||
Total Germany | 27,993 |
See Notes to Financial Statements. | 55 |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2015
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
Hong Kong 3.94% | ||||||||
Communications Equipment 1.43% | ||||||||
VTech Holdings Ltd. | 732,500 | $ | 8,898 | |||||
Diversified Telecommunication Services 0.72% | ||||||||
HKBN Ltd.* | 3,739,206 | 4,501 | ||||||
Energy Equipment & Services 0.22% | ||||||||
Hilong Holding Ltd. | 6,298,900 | 1,341 | ||||||
Household Durables 1.57% | ||||||||
Techtronic Industries Co., Ltd. | 2,652,500 | 9,737 | ||||||
Total Hong Kong | 24,477 | |||||||
India 2.44% | ||||||||
Real Estate Management & Development 0.73% | ||||||||
Housing Development & Infrastructure Ltd.* | 4,057,606 | 4,511 | ||||||
Thrifts & Mortgage Finance 1.71% | ||||||||
Dewan Housing Finance Corp., Ltd. | 3,092,718 | 10,640 | ||||||
Total India | 15,151 | |||||||
Indonesia 1.10% | ||||||||
Banks 0.93% | ||||||||
Bank Tabungan Negara Persero Tbk PT | 66,942,204 | 5,796 | ||||||
Consumer Finance 0.17% | ||||||||
PT Clipan Finance Indonesia Tbk* | 52,233,850 | 1,030 | ||||||
Total Indonesia | 6,826 | |||||||
Ireland 3.95% | ||||||||
Beverages 0.69% | ||||||||
C&C Group plc | 1,077,008 | 4,305 | ||||||
Health Care Providers & Services 1.34% | ||||||||
UDG Healthcare plc | 1,138,723 | 8,342 |
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
Household Durables 1.19% | ||||||||
Cairn Homes plc* | 6,629,700 | $ | 7,363 | |||||
Real Estate Investment Trusts 0.73% | ||||||||
Hibernia REIT plc | 3,066,734 | 4,539 | ||||||
Total Ireland | 24,549 | |||||||
Israel 1.11% | ||||||||
Chemicals | ||||||||
Frutarom Industries Ltd. | 159,037 | 6,868 | ||||||
Italy 6.00% | ||||||||
Banks 1.17% | ||||||||
Banca Popolare di Milano Scarl | 7,723,076 | 7,261 | ||||||
Beverages 1.54% | ||||||||
Davide Campari-Milano SpA | 1,116,982 | 9,568 | ||||||
Capital Markets 1.24% | ||||||||
Anima Holding SpA† | 785,113 | 7,706 | ||||||
Construction & Engineering 0.69% | ||||||||
Maire Tecnimont SpA* | 1,482,855 | 4,282 | ||||||
Textiles, Apparel & Luxury Goods 1.36% | ||||||||
Brunello Cucinelli SpA | 262,456 | 4,754 | ||||||
Moncler SpA | 231,304 | 3,726 | ||||||
8,480 | ||||||||
Total Italy | 37,297 | |||||||
Japan 18.06% | ||||||||
Construction & Engineering 1.82% | ||||||||
Maeda Road Construction Co., Ltd. | 254,000 | 4,662 | ||||||
SHO-BOND Holdings Co., Ltd. | 166,000 | 6,624 | ||||||
11,286 |
56 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2015
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
Japan (continued) | ||||||||
Electronic Equipment, Instruments & Components 0.73% | ||||||||
Hitachi | ||||||||
High-Technologies Corp. | 168,100 | $ | 4,562 | |||||
Food & Staples Retailing 1.29% | ||||||||
Sundrug Co., Ltd. | 151,200 | 8,044 | ||||||
Hotels, Restaurants & Leisure 2.17% | ||||||||
Resorttrust, Inc. | 275,900 | 7,134 | ||||||
St. Marc Holdings Co., Ltd. | 211,900 | 6,330 | ||||||
13,464 | ||||||||
Household Durables 1.47% | ||||||||
Iida Group Holdings Co., Ltd. | 483,500 | 9,143 | ||||||
Information Technology Services 4.49% | ||||||||
NS Solutions Corp. | 153,900 | 7,563 | ||||||
Obic Co., Ltd. | 189,600 | 10,087 | ||||||
SCSK Corp. | 265,800 | 10,254 | ||||||
27,904 | ||||||||
Machinery 1.01% | ||||||||
CKD Corp. | 344,600 | 3,164 | ||||||
Nabtesco Corp. | 154,600 | 3,129 | ||||||
6,293 | ||||||||
Professional Services 2.64% | ||||||||
en-japan, Inc. | 124,200 | 3,330 | ||||||
Tanseisha Co., Ltd. | 917,500 | 6,835 | ||||||
Temp Holdings Co., Ltd. | 414,300 | 6,232 | ||||||
16,397 | ||||||||
Real Estate Management & Development 0.31% | ||||||||
Hulic Co., Ltd. | 201,700 | 1,899 | ||||||
Software 1.62% | ||||||||
NSD Co., Ltd. | 359,300 | 5,032 | ||||||
Trend Micro, Inc. | 128,200 | 5,031 | ||||||
10,063 |
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
Wireless Telecommunication Services 0.51% | ||||||||
Okinawa Cellular Telephone Co. | 112,600 | $ | 3,154 | |||||
Total Japan | 112,209 | |||||||
Luxembourg 2.71% | ||||||||
Machinery 1.28% | ||||||||
Stabilus SA* | 207,220 | 7,976 | ||||||
Real Estate Management & Development 1.43% | ||||||||
Grand City Properties SA | 444,882 | 8,884 | ||||||
Total Luxembourg | 16,860 | |||||||
Netherlands 2.69% | ||||||||
Construction & Engineering 0.34% | ||||||||
Arcadis NV | 82,203 | 2,074 | ||||||
Machinery 1.28% | ||||||||
Aalberts Industries NV | 244,597 | 7,952 | ||||||
Professional Services 1.07% | ||||||||
USG People NV | 417,795 | 6,662 | ||||||
Total Netherlands | 16,688 | |||||||
New Zealand 0.88% | ||||||||
Airlines | ||||||||
Air New Zealand Ltd. | 2,783,004 | 5,484 | ||||||
Philippines 1.46% | ||||||||
Banks 0.46% | ||||||||
Rizal Commercial Banking Corp. | 4,295,080 | 2,848 | ||||||
Real Estate Management & Development 1.00% | ||||||||
Filinvest Land, Inc. | 166,708,000 | 6,196 | ||||||
Total Philippines | 9,044 | |||||||
Portugal 1.22% | ||||||||
Multi-Utilities | ||||||||
REN–Redes Energeticas Nacionais SGPS SA | 2,487,660 | 7,597 |
See Notes to Financial Statements. | 57 |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2015
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
Spain 4.03% | ||||||||
Food Products 1.35% | ||||||||
Ebro Foods SA | 442,067 | $ | 8,390 | |||||
Real Estate Investment Trusts 1.63% | ||||||||
Merlin Properties Socimi SA | 789,260 | 10,120 | ||||||
Real Estate Management & Development 1.05% | ||||||||
Hispania Activos Inmobiliarios SA* | 434,720 | 6,549 | ||||||
Total Spain | 25,059 | |||||||
Sweden 3.77% | ||||||||
Commercial Services & Supplies 1.50% | ||||||||
Loomis AB Class B | 359,896 | 9,331 | ||||||
Consumer Finance 1.22% | ||||||||
Hoist Finance AB*† | 872,334 | 7,556 | ||||||
Food & Staples Retailing 1.05% | ||||||||
Axfood AB | 361,994 | 6,529 | ||||||
Total Sweden | 23,416 | |||||||
Switzerland 3.77% | ||||||||
Capital Markets 0.61% | ||||||||
EFG International AG* | 376,379 | 3,781 | ||||||
Commercial Services & Supplies 1.48% | ||||||||
Gategroup Holding AG* | 245,904 | 9,230 | ||||||
Electronic Equipment, Instruments & Components 0.60% | ||||||||
Sunny Optical Technology Group Co., Ltd. | 1,590,000 | 3,725 | ||||||
Household Durables 1.08% | ||||||||
Forbo Holding AG Registered Shares* | 5,890 | 6,704 | ||||||
Total Switzerland | 23,440 | |||||||
Taiwan 0.85% | ||||||||
Technology Hardware, Storage & Peripherals | ||||||||
Adlink Technology, Inc. | 1,950,100 | 5,262 |
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
United Kingdom 15.03% | ||||||||
Capital Markets 1.35% | ||||||||
Ashmore Group plc | 443,243 | $ | 1,845 | |||||
Jupiter Fund Management plc | 941,134 | 6,542 | ||||||
8,387 | ||||||||
Chemicals 1.24% | ||||||||
Essentra plc | 593,285 | 7,701 | ||||||
Communications Equipment 0.48% | ||||||||
Telit Communications plc* | 779,897 | 2,994 | ||||||
Diversified Financial Services 1.47% | ||||||||
Arrow Global Group plc | 2,371,848 | 9,104 | ||||||
Household Durables 3.07% | ||||||||
Bellway plc | 180,390 | 7,219 | ||||||
Berkeley Group Holdings plc | 86,657 | 4,433 | ||||||
DFS Furniture plc* | 1,494,262 | 7,440 | ||||||
19,092 | ||||||||
Multi-Line Retail 2.95% | ||||||||
B&M European Value Retail SA | 1,464,199 | 7,525 | ||||||
Debenhams plc | 6,032,844 | 8,319 | ||||||
Poundland Group plc | 585,119 | 2,481 | ||||||
18,325 | ||||||||
Professional Services 2.68% | ||||||||
Exova Group plc | 1,666,655 | 3,822 | ||||||
Hays plc | 2,318,022 | 5,035 | ||||||
Michael Page International plc | 1,024,919 | 7,818 | ||||||
16,675 | ||||||||
Software 0.07% | ||||||||
Tungsten Corp. plc* | 614,443 | 419 | ||||||
Specialty Retail 1.21% | ||||||||
Howden Joinery Group plc | 1,048,028 | 7,490 | ||||||
Textiles, Apparel & Luxury Goods 0.51% | ||||||||
Jimmy Choo plc* | 1,423,571 | 3,182 | ||||||
Total United Kingdom | 93,369 |
58 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2015
U.S. $ | ||||||||
Fair Value | ||||||||
Investments | Shares | (000) | ||||||
United States 0.95% | ||||||||
Diversified Financial Services | ||||||||
iShares MSCI EAFE Small-Cap ETF | 117,827 | $ | 5,906 | |||||
Total Common Stocks (cost $570,186,439) | 591,310 | |||||||
Principal Amount (000) | ||||||||
SHORT-TERM INVESTMENT 3.43% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 10/30/2015, Zero Coupon due 11/2/2015 with Fixed Income Clearing Corp. collateralized by $21,630,000 of U.S. Treasury Note at 0.75% due 1/15/2017; value: $21,738,150; proceeds: $21,308,292 (cost $21,308,292) | $ | 21,308 | 21,308 | |||||
Total Investments in Securities 98.61% (cost $591,494,731) | 612,618 | |||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(a) 1.39% | 8,635 | |||||||
Net Assets 100.00% | $ | 621,253 |
ETF | Exchange Traded Fund. | |
* | 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) | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/ depreciation on forward foreign currency exchange contracts as follows: |
See Notes to Financial Statements. | 59 |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2015
Open Forward Foreign Currency Exchange Contracts at October 31, 2015:
Forward | ||||||||||||||||||||
Foreign | U.S. $ | |||||||||||||||||||
Currency | Cost on | U.S. $ | ||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Appreciation | |||||||||||||
British pound | Buy | Morgan Stanley | 2/16/2016 | 2,420,000 | $ | 3,713,292 | $ | 3,729,393 | $ | 16,101 | ||||||||||
Canadian dollar | Buy | Bank of America | 12/14/2015 | 3,940,000 | 2,966,599 | 3,012,419 | 45,820 | |||||||||||||
euro | Buy | Deutsche Bank AG | 2/16/2016 | 2,200,000 | 2,414,927 | 2,424,304 | 9,377 | |||||||||||||
Indian rupee | Buy | Goldman Sachs | 11/2/2015 | 195,000,000 | 2,905,566 | 2,984,161 | 78,595 | |||||||||||||
Indian rupee | Buy | Morgan Stanley | 11/2/2015 | 341,000,000 | 5,154,561 | 5,218,456 | 63,895 | |||||||||||||
Indian rupee | Buy | UBS AG | 11/2/2015 | 65,000,000 | 973,312 | 994,720 | 21,408 | |||||||||||||
Indian rupee | Buy | UBS AG | 11/2/2015 | 135,750,000 | 2,025,557 | 2,077,435 | 51,878 | |||||||||||||
South Korean won | Buy | Bank of America | 12/7/2015 | 16,615,000,000 | 14,264,006 | 14,537,739 | 273,733 | |||||||||||||
South Korean won | Buy | Barclays Bank plc | 2/1/2016 | 15,190,000,000 | 12,652,113 | 13,267,805 | 615,692 | |||||||||||||
euro | Sell | Deutsche Bank AG | 2/16/2016 | 1,620,000 | 1,811,588 | 1,785,169 | 26,419 | |||||||||||||
euro | Sell | Deutsche Bank AG | 2/16/2016 | 1,668,000 | 1,866,902 | 1,838,063 | 28,839 | |||||||||||||
euro | Sell | Deutsche Bank AG | 2/16/2016 | 950,000 | 1,074,894 | 1,046,859 | 28,035 | |||||||||||||
euro | Sell | Deutsche Bank AG | 2/16/2016 | 2,490,000 | 2,841,254 | 2,743,871 | 97,383 | |||||||||||||
euro | Sell | J.P. Morgan | 2/16/2016 | 29,700,000 | 33,484,047 | 32,728,103 | 755,944 | |||||||||||||
euro | Sell | Morgan Stanley | 2/16/2016 | 860,000 | 986,202 | 947,682 | 38,520 | |||||||||||||
euro | Sell | Morgan Stanley | 2/16/2016 | 1,058,000 | 1,185,162 | 1,165,870 | 19,292 | |||||||||||||
euro | Sell | Morgan Stanley | 2/16/2016 | 970,000 | 1,105,472 | 1,068,898 | 36,574 | |||||||||||||
euro | Sell | Morgan Stanley | 2/16/2016 | 870,000 | 991,639 | 958,702 | 32,937 | |||||||||||||
euro | Sell | Morgan Stanley | 2/16/2016 | 970,000 | 1,107,053 | 1,068,898 | 38,155 | |||||||||||||
euro | Sell | Morgan Stanley | 2/16/2016 | 762,000 | 866,830 | 839,691 | 27,139 | |||||||||||||
euro | Sell | Standard Chartered Bank | 2/16/2016 | 1,900,000 | 2,098,555 | 2,093,717 | 4,838 | |||||||||||||
Indian rupee | Sell | Barclays Bank plc | 2/29/2016 | 652,000,000 | 9,833,939 | 9,779,853 | 54,086 | |||||||||||||
Indian rupee | Sell | Deutsche Bank AG | 11/2/2015 | 962,000,000 | 14,803,416 | 14,721,861 | 81,555 | |||||||||||||
Indian rupee | Sell | J.P. Morgan | 11/2/2015 | 316,000,000 | 4,841,576 | 4,835,871 | 5,705 | |||||||||||||
Indian rupee | Sell | UBS AG | 11/2/2015 | 98,000,000 | 1,520,776 | 1,499,732 | 21,044 | |||||||||||||
Swiss franc | Sell | Deutsche Bank AG | 11/17/2015 | 704,000 | 740,989 | 712,526 | 28,463 | |||||||||||||
Swiss franc | Sell | UBS AG | 11/17/2015 | 1,800,000 | 1,845,815 | 1,821,800 | 24,015 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 2,525,442 |
60 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2015
Forward | ||||||||||||||||||||
Foreign | U.S. $ | |||||||||||||||||||
Currency | Cost on | U.S. $ | ||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Depreciation | |||||||||||||
British pound | Buy | J.P. Morgan | 1/19/2016 | 3,852,000 | $ | 5,982,852 | $ | 5,936,661 | $ | (46,191 | ) | |||||||||
Canadian dollar | Buy | Bank of America | 12/14/2015 | 19,400,000 | 14,853,835 | 14,832,722 | (21,113 | ) | ||||||||||||
Danish krone | Buy | Deutsche Bank AG | 2/16/2016 | 126,000,000 | 19,057,466 | 18,637,871 | (419,595 | ) | ||||||||||||
Danish krone | Buy | Morgan Stanley | 2/16/2016 | 9,600,000 | 1,447,936 | 1,420,028 | (27,908 | ) | ||||||||||||
euro | Buy | J.P. Morgan | 2/16/2016 | 1,410,000 | 1,603,732 | 1,553,758 | (49,974 | ) | ||||||||||||
Indian rupee | Buy | Barclays Bank plc | 11/2/2015 | 639,250,000 | 9,830,683 | 9,782,692 | (47,991 | ) | ||||||||||||
Japanese yen | Buy | Morgan Stanley | 2/19/2016 | 256,932,000 | 2,157,192 | 2,133,782 | (23,410 | ) | ||||||||||||
Japanese yen | Buy | Morgan Stanley | 2/19/2016 | 589,200,000 | 4,926,595 | 4,893,219 | (33,376 | ) | ||||||||||||
Japanese yen | Buy | Morgan Stanley | 2/19/2016 | 645,000,000 | 5,451,941 | 5,356,630 | (95,311 | ) | ||||||||||||
Swiss franc | Buy | Deutsche Bank AG | 11/17/2015 | 1,450,000 | 1,517,749 | 1,467,561 | (50,188 | ) | ||||||||||||
Swiss franc | Buy | Morgan Stanley | 11/17/2015 | 17,050,000 | 18,028,981 | 17,256,493 | (772,488 | ) | ||||||||||||
Swiss franc | Buy | Morgan Stanley | 11/17/2015 | 3,640,000 | 3,738,615 | 3,684,084 | (54,531 | ) | ||||||||||||
Swiss franc | Buy | Morgan Stanley | 11/17/2015 | 1,210,000 | 1,247,108 | 1,224,654 | (22,454 | ) | ||||||||||||
Australian dollar | Sell | Bank of America | 12/14/2015 | 1,415,000 | 989,610 | 1,006,935 | (17,325 | ) | ||||||||||||
Australian dollar | Sell | Bank of America | 12/14/2015 | 4,470,000 | 3,127,614 | 3,180,918 | (53,304 | ) | ||||||||||||
Australian dollar | Sell | Deutsche Bank AG | 12/14/2015 | 1,623,000 | 1,150,972 | 1,154,951 | (3,979 | ) | ||||||||||||
Australian dollar | Sell | Morgan Stanley | 12/14/2015 | 4,000,000 | 2,786,228 | 2,846,459 | (60,231 | ) | ||||||||||||
Australian dollar | Sell | Morgan Stanley | 12/14/2015 | 2,100,000 | 1,488,280 | 1,494,391 | (6,111 | ) | ||||||||||||
British pound | Sell | Bank of America | 1/19/2016 | 3,852,000 | 5,911,649 | 5,936,661 | (25,012 | ) | ||||||||||||
Canadian dollar | Sell | Morgan Stanley | 12/14/2015 | 1,700,000 | 1,290,494 | 1,299,775 | (9,281 | ) | ||||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 12/14/2015 | 2,400,000 | 1,828,386 | 1,834,976 | (6,590 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (1,846,363 | ) |
See Notes to Financial Statements. | 61 |
Schedule of Investments (concluded)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2015
The following is a summary of the inputs used as of October 31, 2015 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) | $ | 591,310 | $ | – | $ | – | $ | 591,310 | ||||||||
Repurchase Agreement | – | 21,308 | – | 21,308 | ||||||||||||
Total | $ | 591,310 | $ | 21,308 | $ | – | $ | 612,618 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 2,525 | $ | – | $ | 2,525 | ||||||||
Liabilities | – | (1,846 | ) | – | (1,846 | ) | ||||||||||
Total | $ | – | $ | 679 | $ | – | $ | 679 |
(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, 2015, the Fund utilized the last sale or official closing price on the exchange or system on which the foreign equity securities are principally traded, which resulted in Level 1 inputs for all foreign equity securities. As of October 31, 2014, the Fund utilized adjusted valuations for the majority of foreign equity securities (as described in Note 2(a)), which resulted in Level 2 inputs. For the fiscal year ended October 31, 2015, the total securities transferred from Level 2 to Level 1 amounted to $229,904,124. |
62 | See Notes to Financial Statements. |
Schedule of Investments
VALUE OPPORTUNITIES FUND October 31, 2015
Fair | ||||||||
Value | ||||||||
Investments | Shares | (000) | ||||||
COMMON STOCKS 98.30% | ||||||||
Banks 7.57% | ||||||||
Bank of Hawaii Corp. | 567,100 | $ | 37,134 | |||||
Citizens Financial Group, Inc. | 1,386,611 | 33,695 | ||||||
East West Bancorp, Inc. | 392,256 | 15,843 | ||||||
First Republic Bank | 424,700 | 27,737 | ||||||
Signature Bank* | 315,111 | 46,926 | ||||||
Western Alliance Bancorp* | 1,209,994 | 43,257 | ||||||
Total | 204,592 | |||||||
Capital Markets 1.91% | ||||||||
Ares Management LP | 524,629 | 8,494 | ||||||
Moelis & Co. Class A | 716,300 | 21,116 | ||||||
Raymond James Financial, Inc. | 397,983 | 21,933 | ||||||
Total | 51,543 | |||||||
Chemicals 0.78% | ||||||||
RPM International, Inc. | 460,698 | 21,059 | ||||||
Commercial Services & Supplies 2.64% | ||||||||
Herman Miller, Inc. | 1,055,400 | 33,488 | ||||||
KAR Auction Services, Inc. | 984,080 | 37,789 | ||||||
Total | 71,277 | |||||||
Communications Equipment 1.39% | ||||||||
ARRIS Group, Inc.* | 1,334,175 | 37,704 | ||||||
Construction & Engineering 2.86% | ||||||||
AECOM* | 1,568,698 | 46,230 | ||||||
Jacobs Engineering Group, Inc.* | 771,162 | 30,954 | ||||||
Total | 77,184 | |||||||
Containers & Packaging 3.81% | ||||||||
Berry Plastics Group, Inc.* | 1,025,832 | 34,365 | ||||||
Sealed Air Corp. | 665,100 | 32,670 | ||||||
WestRock Co. | 670,500 | 36,046 | ||||||
Total | 103,081 | |||||||
Diversified Telecommunication Services 1.38% | ||||||||
Zayo Group Holdings, Inc.* | 1,408,416 | 37,365 |
Fair | ||||||||
Value | ||||||||
Investments | Shares | (000) | ||||||
Electric: Utilities 3.11% | ||||||||
ITC Holdings Corp. | 1,142,700 | $ | 37,389 | |||||
Portland General Electric Co. | 1,256,200 | 46,580 | ||||||
Total | 83,969 | |||||||
Electronic Equipment, Instruments & Components 1.00% | ||||||||
Amphenol Corp. Class A | 500,200 | 27,121 | ||||||
Energy Equipment & Services 0.47% | ||||||||
Helmerich & Payne, Inc. | 227,900 | 12,824 | ||||||
Food & Staples Retailing 0.49% | ||||||||
United Natural Foods, Inc.* | 263,358 | 13,286 | ||||||
Food Products 1.92% | ||||||||
Pinnacle Foods, Inc. | 1,175,753 | 51,827 | ||||||
Health Care Equipment & Supplies 2.18% | ||||||||
STERIS Corp. | 786,971 | 58,984 | ||||||
Health Care Providers & Services 3.38% | ||||||||
ExamWorks Group, Inc.* | 846,459 | 23,904 | ||||||
HealthSouth Corp. | 1,231,768 | 42,902 | ||||||
MEDNAX, Inc.* | 348,700 | 24,573 | ||||||
Total | 91,379 | |||||||
Hotels, Restaurants & Leisure 3.27% | ||||||||
Aramark | 657,543 | 19,957 | ||||||
Red Robin Gourmet Burgers, Inc.* | 418,628 | 31,351 | ||||||
SeaWorld Entertainment, Inc. | 1,862,427 | 37,118 | ||||||
Total | 88,426 | |||||||
Household Durables 3.10% | ||||||||
Jarden Corp.* | 1,121,438 | 50,241 | ||||||
Lennar Corp. Class A | 668,650 | 33,479 | ||||||
Total | 83,720 | |||||||
Information Technology Services 10.15% | ||||||||
Acxiom Corp.* | 1,685,636 | 37,286 | ||||||
Amdocs Ltd. | 650,798 | 38,768 |
See Notes to Financial Statements. | 63 |
Schedule of Investments (continued)
VALUE OPPORTUNITIES FUND October 31, 2015
Fair | ||||||||
Value | ||||||||
Investments | Shares | (000) | ||||||
Information Technology Services (continued) | ||||||||
Booz Allen Hamilton Holding Corp. | 1,766,340 | $ | 52,036 | |||||
Cardtronics, Inc.* | 695,800 | 24,005 | ||||||
Fidelity National Information Services, Inc. | 745,236 | 54,343 | ||||||
MAXIMUS, Inc. | 610,466 | 41,634 | ||||||
Vantiv, Inc. Class A* | 522,548 | 26,206 | ||||||
Total | 274,278 | |||||||
Insurance 7.49% | ||||||||
Arch Capital Group Ltd.* | 734,006 | 54,970 | ||||||
Hartford Financial Services Group, Inc. (The) | 856,135 | 39,605 | ||||||
Markel Corp.* | 43,113 | 37,422 | ||||||
RenaissanceRe Holdings Ltd. | 641,826 | 70,363 | ||||||
Total | 202,360 | |||||||
Internet Software & Services 1.12% | ||||||||
Akamai Technologies, Inc.* | 497,596 | 30,264 | ||||||
Leisure Product 0.92% | ||||||||
Brunswick Corp. | 464,100 | 24,973 | ||||||
Life Sciences Tools & Services 2.33% | ||||||||
PerkinElmer, Inc. | 786,900 | 40,636 | ||||||
Quintiles Transnational Holdings, Inc.* | 350,749 | 22,325 | ||||||
Total | 62,961 | |||||||
Machinery 2.26% | ||||||||
Snap-on, Inc. | 244,100 | 40,494 | ||||||
WABCO Holdings, Inc.* | 184,000 | 20,650 | ||||||
Total | 61,144 | |||||||
Media 2.46% | ||||||||
AMC Networks, Inc. Class A* | 416,300 | 30,760 | ||||||
New York Times Co. (The) Class A | 2,696,964 | 35,816 | ||||||
Total | 66,576 | |||||||
Metals & Mining 1.72% | ||||||||
Reliance Steel & Aluminum Co. | 777,100 | 46,595 |
Fair | ||||||||
Value | ||||||||
Investments | Shares | (000) | ||||||
Multi-Utilities 2.00% | ||||||||
CMS Energy Corp. | 1,501,800 | $ | 54,170 | |||||
Oil, Gas & Consumable Fuels 4.47% | ||||||||
Carrizo Oil & Gas, Inc.* | 1,012,400 | 38,097 | ||||||
Cimarex Energy Co. | 239,203 | 28,240 | ||||||
EQT Corp. | 413,000 | 27,287 | ||||||
Rice Energy, Inc.* | 1,774,478 | 27,078 | ||||||
Total | 120,702 | |||||||
Personal Products 1.30% | ||||||||
Coty, Inc. Class A | 1,211,800 | 35,082 | ||||||
Pharmaceuticals 1.08% | ||||||||
Prestige Brands Holdings, Inc.* | 593,600 | 29,092 | ||||||
Real Estate Investment Trusts 6.60% | ||||||||
Federal Realty Investment Trust | 457,200 | 65,604 | ||||||
Highwoods Properties, Inc. | 919,300 | 39,944 | ||||||
Physicians Realty Trust | 2,346,644 | 37,499 | ||||||
Retail Opportunity Investments Corp. | 1,942,501 | 35,217 | ||||||
Total | 178,264 | |||||||
Real Estate Management & Development 0.90% | ||||||||
Realogy Holdings Corp.* | 618,826 | 24,196 | ||||||
Road & Rail 1.88% | ||||||||
Genesee & Wyoming, Inc. Class A* | 377,100 | 25,304 | ||||||
Old Dominion Freight Line, Inc.* | 414,000 | 25,643 | ||||||
Total | 50,947 | |||||||
Semiconductors & Semiconductor Equipment 2.86% | ||||||||
Lam Research Corp. | 404,691 | 30,995 | ||||||
Synaptics, Inc.* | 544,954 | 46,370 | ||||||
Total | 77,365 |
64 | See Notes to Financial Statements. |
Schedule of Investments (continued)
VALUE OPPORTUNITIES FUND October 31, 2015
Fair | ||||||||
Value | ||||||||
Investments | Shares | (000) | ||||||
Specialty Retail 1.65% | ||||||||
American Eagle Outfitters, Inc. | 484,700 | $ | 7,406 | |||||
Penske Automotive Group, Inc. | 355,800 | 17,377 | ||||||
Urban Outfitters, Inc.* | 688,004 | 19,677 | ||||||
Total | 44,460 | |||||||
Textiles, Apparel & Luxury Goods 1.38% | ||||||||
Steven Madden Ltd.* | 1,073,086 | 37,397 | ||||||
Thrifts & Mortgage Finance 1.14% | ||||||||
Essent Group Ltd.* | 1,280,505 | 30,860 | ||||||
Trading Companies & Distributors 1.11% | ||||||||
Watsco, Inc. | 244,300 | 30,056 | ||||||
Water Utilities 2.22% | ||||||||
American Water Works Co., Inc. | 1,044,318 | 59,902 | ||||||
Total Common Stocks (cost $2,130,112,677) | 2,656,985 | |||||||
Principal | ||||||||
Amount | ||||||||
(000) | ||||||||
SHORT-TERM INVESTMENT 0.98% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 10/30/2015, Zero Coupon due 11/2/2015 with Fixed Income Clearing Corp. collateralized by $26,820,000 of U.S. Treasury Note at 0.625% due 5/31/2017; value: $26,887,050; proceeds: $26,355,834 (cost $26,355,834) | $ | 26,356 | 26,356 | |||||
Total Investments in Securities 99.28% (cost $2,156,468,511) | 2,683,341 | |||||||
Cash and Other Assets in Excess of Liabilities 0.72% | 19,490 | |||||||
Net Assets 100.00% | $ | 2,702,831 |
* | Non-income producing security. |
See Notes to Financial Statements. | 65 |
Schedule of Investments (concluded)
VALUE OPPORTUNITIES FUND October 31, 2015
The following is a summary of the inputs used as of October 31, 2015 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 | $ | 2,656,985 | $ | – | $ | – | $ | 2,656,985 | ||||||||
Repurchase Agreement | – | 26,356 | – | 26,356 | ||||||||||||
Total | $ | 2,656,985 | $ | 26,356 | $ | – | $ | 2,683,341 |
(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 1/Level 2 transfers during the fiscal year ended October 31, 2015. |
66 | See Notes to Financial Statements. |
This page is intentionally left blank.
67
Statements of Assets and Liabilities
October 31, 2015
Alpha Strategy | Fundamental | Growth | ||||||||||
Fund | Equity Fund | Leaders Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $ | 1,122,633,251 | $ | 3,250,659,086 | $ | 1,866,271,195 | ||||||
Investments in securities, at fair value | $ | 1,261,026,243 | $ | 3,686,005,997 | $ | 1,994,069,512 | ||||||
Segregated cash held at custodian | – | – | – | |||||||||
Foreign cash, at value (cost $0, $0, $0, $0, $1,872,216, $1,922,163 and $0, respectively) | – | – | – | |||||||||
Cash | 55,793 | 25,540,861 | 5,310,031 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | – | 39,304,186 | 189,285,017 | |||||||||
Interest and dividends | – | 4,593,130 | 1,564,301 | |||||||||
Capital shares sold | 1,795,721 | 2,373,571 | 14,160,049 | |||||||||
From advisor (See Note 3) | – | – | 339,060 | |||||||||
From affiliates (See Note 3) | 281,408 | – | – | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | – | – | – | |||||||||
Prepaid expenses and other assets | 70,969 | 118,222 | 42,108 | |||||||||
Total assets | 1,263,230,134 | 3,757,935,967 | 2,204,770,078 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | – | 70,204,414 | 196,102,870 | |||||||||
Capital shares reacquired | 1,990,900 | 8,143,603 | 1,694,174 | |||||||||
12b-1 distribution plan | 502,363 | 1,446,209 | 668,881 | |||||||||
Management fee | – | 1,619,493 | 888,730 | |||||||||
Trustees’ fees | 138,959 | 797,457 | 80,693 | |||||||||
Fund administration | – | 123,105 | 64,637 | |||||||||
To affiliates (See Note 3) | – | 14,178 | 14,178 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | – | – | – | |||||||||
Foreign currency overdraft | – | – | – | |||||||||
Accrued expenses | 412,275 | 1,254,073 | 437,863 | |||||||||
Total liabilities | 3,044,497 | 83,602,532 | 199,952,026 | |||||||||
NET ASSETS | $ | 1,260,185,637 | $ | 3,674,333,435 | $ | 2,004,818,052 | ||||||
COMPOSITION OF NET ASSETS: | ||||||||||||
Paid-in capital | $ | 972,402,319 | $ | 2,979,492,999 | $ | 1,815,465,995 | ||||||
Undistributed (distributions in excess of) net investment income | (3,389,449 | ) | 30,684,339 | (626,463 | ) | |||||||
Accumulated net realized gain (loss) on investments and foreign currency related transactions | 152,779,775 | 228,809,186 | 62,180,203 | |||||||||
Net unrealized appreciation (depreciation) on investments and translation of assets and liabilities denominated in foreign currencies | 138,392,992 | 435,346,911 | 127,798,317 | |||||||||
Net Assets | $ | 1,260,185,637 | $ | 3,674,333,435 | $ | 2,004,818,052 |
68 | See Notes to Financial Statements. |
International | International | International | Value | |||||||||||
Core Equity | Dividend | Opportunities | Opportunities | |||||||||||
Fund | Income Fund | Fund | Fund | |||||||||||
$ | 515,309,439 | $ | 2,302,788,196 | $ | 591,494,731 | $ | 2,156,468,511 | |||||||
$ | 523,879,042 | $ | 2,138,237,740 | $ | 612,617,543 | $ | 2,683,341,245 | |||||||
1,470,000 | 16,910,000 | 800,000 | – | |||||||||||
– | 1,877,346 | 1,891,644 | – | |||||||||||
1,685,886 | 4,420,678 | 3,643,700 | 31,395,376 | |||||||||||
8,455,005 | 25,530,844 | 178,954 | 19,989,981 | |||||||||||
1,720,023 | 6,589,619 | 921,967 | 405,528 | |||||||||||
474,915 | 1,597,907 | 2,904,499 | 1,758,045 | |||||||||||
65,382 | 234,805 | – | – | |||||||||||
– | – | – | – | |||||||||||
804,934 | 4,832,911 | 2,525,442 | – | |||||||||||
53,869 | 91,377 | 63,166 | 144,478 | |||||||||||
538,609,056 | 2,200,323,227 | 625,546,915 | 2,737,034,653 | |||||||||||
16,635 | 13,910,032 | 669,335 | 25,275,115 | |||||||||||
1,190,411 | 5,628,409 | 937,587 | 4,882,430 | |||||||||||
118,732 | 342,377 | 95,168 | 896,488 | |||||||||||
314,083 | 1,250,296 | 389,803 | 1,613,067 | |||||||||||
143,575 | 193,716 | 69,341 | 379,973 | |||||||||||
17,948 | 74,860 | 20,789 | 91,426 | |||||||||||
11,333 | 227,253 | 65,166 | 66,394 | |||||||||||
2,416,285 | 19,438,980 | 1,846,363 | – | |||||||||||
231,321 | – | – | – | |||||||||||
277,456 | 653,517 | 200,433 | 999,174 | |||||||||||
4,737,779 | 41,719,440 | 4,293,985 | 34,204,067 | |||||||||||
$ | 533,871,277 | $ | 2,158,603,787 | $ | 621,252,930 | $ | 2,702,830,586 | |||||||
$ | 730,246,408 | $ | 2,527,774,518 | $ | 580,963,174 | $ | 1,991,097,121 | |||||||
5,520,996 | (202,859 | ) | 556,711 | (6,823,845 | ) | |||||||||
(208,825,986 | ) | (189,723,220 | ) | 17,986,799 | 191,684,576 | |||||||||
6,929,859 | (179,244,652 | ) | 21,746,246 | 526,872,734 | ||||||||||
$ | 533,871,277 | $ | 2,158,603,787 | $ | 621,252,930 | $ | 2,702,830,586 |
See Notes to Financial Statements. | 69 |
Statements of Assets and Liabilities (concluded)
October 31, 2015
Alpha Strategy | Fundamental | Growth | ||||||||||
Fund | Equity Fund | Leaders Fund | ||||||||||
Net assets by class: | ||||||||||||
Class A Shares | $ | 580,945,196 | $ | 2,027,292,271 | $ | 742,392,590 | ||||||
Class B Shares | $ | 9,907,422 | $ | 28,798,130 | $ | 4,191,371 | ||||||
Class C Shares | $ | 314,945,893 | $ | 713,823,629 | $ | 414,556,536 | ||||||
Class F Shares | $ | 271,864,511 | $ | 436,263,036 | $ | 733,462,983 | ||||||
Class I Shares | $ | 43,134,544 | $ | 236,867,011 | $ | 96,090,419 | ||||||
Class P Shares | – | $ | 13,732,662 | – | ||||||||
Class R2 Shares | $ | 2,704,187 | $ | 10,543,124 | $ | 592,899 | ||||||
Class R3 Shares | $ | 36,655,826 | $ | 206,984,003 | $ | 13,500,829 | ||||||
Class R4 Shares | $ | 9,347 | $ | 9,849 | $ | 10,135 | ||||||
Class R5 Shares | $ | 9,355 | $ | 9,858 | $ | 10,143 | ||||||
Class R6 Shares | $ | 9,356 | $ | 9,862 | $ | 10,147 | ||||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||||||
Class A Shares | 19,503,228 | 152,204,732 | 31,282,472 | |||||||||
Class B Shares | 364,772 | 2,353,656 | 180,313 | |||||||||
Class C Shares | 11,739,375 | 58,779,581 | 18,015,912 | |||||||||
Class F Shares | 9,102,546 | 32,983,090 | 30,723,323 | |||||||||
Class I Shares | 1,428,244 | 17,670,654 | 4,011,458 | |||||||||
Class P Shares | – | 1,048,093 | – | |||||||||
Class R2 Shares | 92,742 | 807,911 | 24,970 | |||||||||
Class R3 Shares | 1,250,965 | 15,781,428 | 571,504 | |||||||||
Class R4 Shares | 313.78 | 739.65 | 427 | |||||||||
Class R5 Shares | 309.79 | 735 | 423.55 | |||||||||
Class R6 Shares | 309.79 | 735.38 | 423.55 | |||||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||||||
Class A Shares-Net asset value | $29.79 | $13.32 | $23.73 | |||||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 5.75%) | $31.61 | $14.13 | $25.18 | |||||||||
Class B Shares-Net asset value | $27.16 | $12.24 | $23.24 | |||||||||
Class C Shares-Net asset value | $26.83 | $12.14 | $23.01 | |||||||||
Class F Shares-Net asset value | $29.87 | $13.23 | $23.87 | |||||||||
Class I Shares-Net asset value | $30.20 | $13.40 | $23.95 | |||||||||
Class P Shares-Net asset value | – | $13.10 | – | |||||||||
Class R2 Shares-Net asset value | $29.16 | $13.05 | $23.74 | |||||||||
Class R3 Shares-Net asset value | $29.30 | $13.12 | $23.62 | |||||||||
Class R4 Shares-Net asset value | $29.79 | $13.32 | $23.74 | |||||||||
Class R5 Shares-Net asset value | $30.20 | $13.41 | $23.95 | |||||||||
Class R6 Shares-Net asset value | $30.20 | $13.41 | $23.96 |
70 | See Notes to Financial Statements. |
International | International | International | Value | |||||||||||
Core Equity | Dividend | Opportunities | Opportunities | |||||||||||
Fund | Income Fund | Fund | Fund | |||||||||||
$ | 341,437,360 | $ | 710,834,838 | $ | 160,627,674 | $ | 1,026,958,570 | |||||||
$ | 6,206,708 | – | $ | 2,702,043 | $ | 11,520,526 | ||||||||
$ | 42,056,658 | $ | 142,491,799 | $ | 31,272,934 | $ | 356,708,977 | |||||||
$ | 63,830,297 | $ | 210,696,387 | $ | 118,962,575 | $ | 557,742,464 | |||||||
$ | 61,077,084 | $ | 1,080,844,211 | $ | 296,964,579 | $ | 557,008,276 | |||||||
$ | 109,732 | – | $ | 594,961 | $ | 42,224,867 | ||||||||
$ | 657,970 | $ | 1,028,830 | $ | 934,543 | $ | 7,119,655 | |||||||
$ | 18,466,433 | $ | 12,680,281 | $ | 9,160,809 | $ | 114,489,220 | |||||||
$ | 9,671 | $ | 9,141 | $ | 9,725 | $ | 9,626 | |||||||
$ | 9,679 | $ | 9,149 | $ | 9,733 | $ | 9,634 | |||||||
$ | 9,685 | $ | 9,151 | $ | 13,354 | $ | 29,038,771 | �� | ||||||
27,022,899 | 100,863,578 | 9,443,582 | 52,491,251 | |||||||||||
497,247 | – | 167,675 | 635,961 | |||||||||||
3,376,924 | 20,399,362 | 1,964,200 | 19,691,915 | |||||||||||
5,084,525 | 29,840,652 | 7,047,855 | 28,099,968 | |||||||||||
4,796,979 | 152,695,572 | 17,026,216 | 27,626,908 | |||||||||||
8,685 | – | 34,456 | 2,181,320 | |||||||||||
52,317 | 143,099 | 55,585 | 373,182 | |||||||||||
1,484,749 | 1,782,365 | 547,527 | 5,963,287 | |||||||||||
766 | 1,297 | 571.76 | 492 | |||||||||||
760.46 | 1,293 | 558 | 477.78 | |||||||||||
760 | 1,293 | 765.22 | 1,439,738 | |||||||||||
$12.64 | $7.05 | $17.01 | $19.56 | |||||||||||
$13.41 | $7.48 | $18.05 | $20.75 | |||||||||||
$12.48 | – | $16.11 | $18.12 | |||||||||||
$12.45 | $6.99 | $15.92 | $18.11 | |||||||||||
$12.55 | $7.06 | $16.88 | $19.85 | |||||||||||
$12.73 | $7.08 | $17.44 | $20.16 | |||||||||||
$12.63 | – | $17.27 | $19.36 | |||||||||||
$12.58 | $7.19 | $16.81 | $19.08 | |||||||||||
$12.44 | $7.11 | $16.73 | $19.20 | |||||||||||
$12.63 | $7.05 | $17.01 | $19.57 | |||||||||||
$12.73 | $7.08 | $17.44 | $20.16 | |||||||||||
$12.74 | $7.08 | $17.45 | $20.17 |
See Notes to Financial Statements. | 71 |
For the Year Ended October 31, 2015
Alpha Strategy | Fundamental | Growth | ||||||||||
Fund | Equity Fund | Leaders Fund | ||||||||||
Investment income: | ||||||||||||
Dividends (net of foreign withholding taxes of $0, $0, $0, $1,382,740, $9,850,800, $887,992 and $18,414, respectively) | $ | 4,270,178 | $ | 90,447,618 | $ | 12,197,973 | ||||||
Interest and other | – | 12,822 | 660 | |||||||||
Total investment income | 4,270,178 | 90,460,440 | 12,198,633 | |||||||||
Expenses: | ||||||||||||
Management fee | 1,303,306 | 22,893,302 | 8,894,054 | |||||||||
12b-1 distribution plan–Class A | 1,495,716 | 5,795,707 | 1,518,324 | |||||||||
12b-1 distribution plan–Class B | 136,530 | 371,970 | 54,458 | |||||||||
12b-1 distribution plan–Class C | 3,249,145 | 8,357,601 | 3,146,389 | |||||||||
12b-1 distribution plan–Class F | 275,045 | 589,291 | 589,701 | |||||||||
12b-1 distribution plan–Class P | – | 76,595 | – | |||||||||
12b-1 distribution plan–Class R2 | 19,369 | 83,802 | 3,168 | |||||||||
12b-1 distribution plan–Class R3 | 185,151 | 1,239,681 | 59,893 | |||||||||
12b-1 distribution plan–Class R4 | 8 | 8 | 9 | |||||||||
Shareholder servicing | 1,824,666 | 5,440,643 | 1,709,290 | |||||||||
Professional | 37,782 | 69,930 | 49,215 | |||||||||
Reports to shareholders | 150,550 | 372,527 | 165,447 | |||||||||
Fund administration | – | 1,755,464 | 646,842 | |||||||||
Custody | 24,206 | 73,652 | 35,687 | |||||||||
Trustees’ fees | 44,755 | 159,485 | 52,113 | |||||||||
Registration | 127,930 | 153,737 | 171,398 | |||||||||
Subsidy (See Note 3) | – | 102,615 | 102,816 | |||||||||
Other | 184,961 | 598,494 | 221,774 | |||||||||
Gross expenses | 9,059,120 | 48,134,504 | 17,420,578 | |||||||||
Expense reductions (See Note 9) | (1,168 | ) | (4,054 | ) | (1,478 | ) | ||||||
Expenses assumed by Underlying Funds (See Note 3) | (2,393,682 | ) | – | – | ||||||||
Fees waived and expenses reimbursed (See Note 3) | (1,303,306 | ) | – | (2,344,530 | ) | |||||||
Shareholder servicing reimbursed–Class F | – | – | – | |||||||||
Shareholder servicing reimbursed–Class I | – | – | – | |||||||||
Net expenses | 5,360,964 | 48,130,450 | 15,074,570 | |||||||||
Net investment income (loss) | (1,090,786 | ) | 42,329,990 | (2,875,937 | ) | |||||||
Net realized and unrealized gain (loss): | ||||||||||||
Capital gain distributions received from Underlying Funds | 162,371,628 | – | – | |||||||||
Net realized gain (loss) on investments (net of foreign capital gains tax of $0, $0, $0, $714,089, $74,685, $1,398,383 and $0, respectively) | 17,427,574 | 305,298,883 | 86,104,090 | |||||||||
Net realized loss on foreign currency related transactions | – | – | – | |||||||||
Net change in unrealized appreciation/depreciation on investments | (148,529,041 | ) | (283,605,428 | ) | 46,305,726 | |||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | – | – | – | |||||||||
Net realized and unrealized gain (loss) | 31,270,161 | 21,693,455 | 132,409,816 | |||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 30,179,375 | $ | 64,023,445 | $ | 129,533,879 |
72 | See Notes to Financial Statements. |
International | International | International | Value | |||||||||||
Core Equity | Dividend | Opportunities | Opportunities | |||||||||||
Fund | Income Fund | Fund | Fund | |||||||||||
$ | 15,353,953 | $ | 105,179,917 | $ | 9,822,793 | $ | 33,521,962 | |||||||
– | 1,972,204 | – | 5,197 | |||||||||||
15,353,953 | 107,152,121 | 9,822,793 | 33,527,159 | |||||||||||
4,008,833 | 16,544,891 | 4,004,326 | 20,947,078 | |||||||||||
1,013,339 | 2,629,996 | 336,072 | 3,038,237 | |||||||||||
86,351 | – | 34,785 | 157,682 | |||||||||||
446,853 | 1,737,464 | 249,929 | 3,886,409 | |||||||||||
74,989 | 289,345 | 65,320 | 562,078 | |||||||||||
537 | – | 2,782 | 214,379 | |||||||||||
5,075 | 7,332 | 2,419 | 53,997 | |||||||||||
96,637 | 62,444 | 34,330 | 641,945 | |||||||||||
8 | 8 | 8 | 8 | |||||||||||
1,028,881 | 2,053,984 | 454,566 | 3,852,660 | |||||||||||
70,540 | 67,950 | 71,765 | 63,150 | |||||||||||
84,236 | 194,954 | 42,384 | 262,513 | |||||||||||
229,076 | 1,002,993 | 213,564 | 1,196,743 | |||||||||||
212,902 | 686,029 | 221,513 | 75,607 | |||||||||||
20,252 | 88,203 | 17,593 | 104,766 | |||||||||||
109,684 | 178,372 | 108,057 | 139,535 | |||||||||||
82,156 | 1,490,782 | 541,034 | 550,450 | |||||||||||
122,194 | 342,706 | 94,272 | 407,210 | |||||||||||
7,692,543 | 27,377,453 | 6,494,719 | 36,154,447 | |||||||||||
(466 | ) | (1,489 | ) | (222 | ) | (2,532 | ) | |||||||
– | – | – | – | |||||||||||
(1,176,339 | ) | (1,660,861 | ) | – | – | |||||||||
(50,350 | ) | (112,628 | ) | – | – | |||||||||
(42,463 | ) | (450,901 | ) | – | – | |||||||||
6,422,925 | 25,151,574 | 6,494,497 | 36,151,915 | |||||||||||
8,931,028 | 82,000,547 | 3,328,296 | (2,624,756 | ) | ||||||||||
– | – | – | – | |||||||||||
(5,593,371 | ) | (143,881,284 | ) | 23,241,933 | 191,750,643 | |||||||||
(4,688,690 | ) | (8,249,480 | ) | (6,440,961 | ) | – | ||||||||
(20,831,214 | ) | (208,185,960 | ) | 17,037,532 | (72,964,023 | ) | ||||||||
(1,683,589 | ) | (37,613,253 | ) | 2,173,747 | – | |||||||||
(32,796,864 | ) | (397,929,977 | ) | 36,012,251 | 118,786,620 | |||||||||
$ | (23,865,836 | ) | $ | (315,929,430 | ) | $ | 39,340,547 | $ | 116,161,864 |
See Notes to Financial Statements. | 73 |
Statements of Changes in Net Assets
Alpha Strategy Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | October 31, 2015 | October 31, 2014 | ||||||
Operations: | ||||||||
Net investment income (loss) | $ | (1,090,786 | ) | $ | (1,305,470 | ) | ||
Capital gain distributions received from Underlying Funds | 162,371,628 | 154,541,730 | ||||||
Net realized gain on investments | 17,427,574 | 8,706,212 | ||||||
Net change in unrealized appreciation/depreciation on investments | (148,529,041 | ) | (85,215,053 | ) | ||||
Net increase in net assets resulting from operations | 30,179,375 | 76,727,419 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (8,735,703 | ) | (22,621,066 | ) | ||||
Class B | (110,177 | ) | (781,984 | ) | ||||
Class C | (2,903,994 | ) | (10,866,042 | ) | ||||
Class F | (4,375,758 | ) | (8,279,754 | ) | ||||
Class I | (876,848 | ) | (1,866,385 | ) | ||||
Class P | – | – | ||||||
Class R2 | (45,570 | ) | (101,979 | ) | ||||
Class R3 | (463,657 | ) | (1,306,745 | ) | ||||
Net realized gain | ||||||||
Class A | (53,231,567 | ) | (19,636,123 | ) | ||||
Class B | (1,575,772 | ) | (827,561 | ) | ||||
Class C | (31,532,792 | ) | (11,101,894 | ) | ||||
Class F | (23,981,277 | ) | (6,954,422 | ) | ||||
Class I | (4,551,420 | ) | (1,536,193 | ) | ||||
Class P | – | – | ||||||
Class R2 | (337,467 | ) | (96,738 | ) | ||||
Class R3 | (3,355,770 | ) | (1,208,674 | ) | ||||
Total distributions to shareholders | (136,077,772 | ) | (87,185,560 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 267,736,331 | 352,357,950 | ||||||
Reinvestment of distributions | 113,655,114 | 72,427,203 | ||||||
Cost of shares reacquired | (297,467,265 | ) | (297,203,605 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 83,924,180 | 127,581,548 | ||||||
Net increase (decrease) in net assets | (21,974,217 | ) | 117,123,407 | |||||
NET ASSETS: | ||||||||
Beginning of year | $ | 1,282,159,854 | $ | 1,165,036,447 | ||||
End of year | $ | 1,260,185,637 | $ | 1,282,159,854 | ||||
Undistributed (distributions in excess of) net investment income | $ | (3,389,449 | ) | $ | (3,326,317 | ) |
74 | See Notes to Financial Statements. |
Fundamental Equity Fund | Growth Leaders Fund | |||||||||||||
For the | For the | For the | For the | |||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||
October 31, 2015 | October 31, 2014 | October 31, 2015 | October 31, 2014 | |||||||||||
$ | 42,329,990 | $ | 21,085,349 | $ | (2,875,937 | ) | $ | (415,821 | ) | |||||
– | – | – | – | |||||||||||
305,298,883 | 898,006,158 | 86,104,090 | 55,788,492 | |||||||||||
(283,605,428 | ) | (290,878,798 | ) | 46,305,726 | 58,450,935 | |||||||||
64,023,445 | 628,212,709 | 129,533,879 | 113,823,606 | |||||||||||
(16,981,478 | ) | (7,924,144 | ) | – | – | |||||||||
– | – | – | – | |||||||||||
(273,945 | ) | – | – | – | ||||||||||
(6,894,688 | ) | (3,576,864 | ) | – | – | |||||||||
(4,367,437 | ) | (3,123,996 | ) | – | – | |||||||||
(105,867 | ) | (35,677 | ) | – | – | |||||||||
(34,584 | ) | (2,679 | ) | – | – | |||||||||
(1,383,142 | ) | (396,978 | ) | – | – | |||||||||
(456,064,578 | ) | (453,760,571 | ) | (28,085,049 | ) | (13,166,895 | ) | |||||||
(8,388,211 | ) | (9,817,310 | ) | (357,210 | ) | (515,769 | ) | |||||||
(180,777,593 | ) | (161,178,500 | ) | (13,786,944 | ) | (4,901,914 | ) | |||||||
(131,065,272 | ) | (108,046,097 | ) | (27,241,459 | ) | (7,704,589 | ) | |||||||
(74,720,912 | ) | (79,526,478 | ) | (3,976,895 | ) | (3,280,397 | ) | |||||||
(3,676,969 | ) | (4,004,231 | ) | – | – | |||||||||
(2,913,506 | ) | (3,758,156 | ) | (24,630 | ) | (2,801 | ) | |||||||
(50,977,599 | ) | (49,141,629 | ) | (573,767 | ) | (541,921 | ) | |||||||
(938,625,781 | ) | (884,293,310 | ) | (74,045,954 | ) | (30,114,286 | ) | |||||||
398,373,326 | 991,547,006 | 1,029,331,348 | 1,180,087,087 | |||||||||||
843,553,618 | 778,816,758 | 63,024,578 | 26,466,991 | |||||||||||
(1,997,183,983 | ) | (1,939,026,230 | ) | (463,316,036 | ) | (403,953,739 | ) | |||||||
(755,257,039 | ) | (168,662,466 | ) | 629,039,890 | 802,600,339 | |||||||||
(1,629,859,375 | ) | (424,743,067 | ) | 684,527,815 | 886,309,659 | |||||||||
$ | 5,304,192,810 | $ | 5,728,935,877 | $ | 1,320,290,237 | $ | 433,980,578 | |||||||
$ | 3,674,333,435 | $ | 5,304,192,810 | $ | 2,004,818,052 | $ | 1,320,290,237 | |||||||
$ | 30,684,339 | $ | 18,610,883 | $ | (626,463 | ) | $ | (275,172 | ) |
See Notes to Financial Statements. | 75 |
Statements of Changes in Net Assets (continued)
International Core Equity Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | October 31, 2015 | October 31, 2014 | ||||||
Operations: | ||||||||
Net investment income | $ | 8,931,028 | $ | 8,811,114 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | (10,282,061 | ) | 90,907,956 | |||||
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (22,514,803 | ) | (114,258,116 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (23,865,836 | ) | (14,539,046 | ) | ||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (4,064,820 | ) | (8,189,914 | ) | ||||
Class B | (24,995 | ) | (190,774 | ) | ||||
Class C | (194,225 | ) | (740,053 | ) | ||||
Class F | (1,155,547 | ) | (3,005,898 | ) | ||||
Class I | (882,163 | ) | (3,461,213 | ) | ||||
Class P | (1,034 | ) | (4,907 | ) | ||||
Class R2 | (8,563 | ) | (14,821 | ) | ||||
Class R3 | (196,637 | ) | (348,924 | ) | ||||
Class R4 | – | – | ||||||
Class R5 | – | – | ||||||
Class R6 | – | – | ||||||
Net realized gain | ||||||||
Class A | – | – | ||||||
Class B | – | – | ||||||
Class C | – | – | ||||||
Class F | – | – | ||||||
Class I | – | – | ||||||
Class P | – | – | ||||||
Class R2 | – | – | ||||||
Class R3 | – | – | ||||||
Total distributions to shareholders | (6,527,984 | ) | (15,956,504 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 93,773,921 | 113,762,329 | ||||||
Reinvestment of distributions | 6,119,891 | 14,531,792 | ||||||
Cost of shares reacquired | (159,972,056 | ) | (304,443,916 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | (60,078,244 | ) | (176,149,795 | ) | ||||
Net increase (decrease) in net assets | (90,472,064 | ) | (206,645,345 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | $ | 624,343,341 | $ | 830,988,686 | ||||
End of year | $ | 533,871,277 | $ | 624,343,341 | ||||
Undistributed (distributions in excess of) net investment income | $ | 5,520,996 | $ | 5,141,251 |
76 | See Notes to Financial Statements. |
International Dividend Income Fund | International Opportunities Fund | |||||||||||||
For the | For the | For the | For the | |||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||
October 31, 2015 | October 31, 2014 | October 31, 2015 | October 31, 2014 | |||||||||||
$ | 82,000,547 | $ | 104,267,223 | $ | 3,328,296 | $ | 3,646,417 | |||||||
(152,130,764 | ) | 141,909,201 | 16,800,972 | 50,348,628 | ||||||||||
(245,799,213 | ) | (239,215,862 | ) | 19,211,279 | (68,525,845 | ) | ||||||||
(315,929,430 | ) | 6,960,562 | 39,340,547 | (14,530,800 | ) | |||||||||
(28,874,101 | ) | (44,162,352 | ) | (1,283,985 | ) | (1,311,959 | ) | |||||||
– | – | (10,356 | ) | (38,338 | ) | |||||||||
(4,202,046 | ) | (6,919,145 | ) | (105,237 | ) | (154,276 | ) | |||||||
(9,566,742 | ) | (13,058,313 | ) | (479,849 | ) | (363,209 | ) | |||||||
(38,558,387 | ) | (51,814,615 | ) | (4,017,988 | ) | (4,058,585 | ) | |||||||
– | – | (8,332 | ) | (10,936 | ) | |||||||||
(33,325 | ) | (47,410 | ) | (1,661 | ) | (2,404 | ) | |||||||
(368,955 | ) | (395,120 | ) | (57,901 | ) | (63,608 | ) | |||||||
(45 | ) | – | – | – | ||||||||||
(51 | ) | – | – | – | ||||||||||
(51 | ) | – | – | – | ||||||||||
(55,166,901 | ) | – | (3,368,956 | ) | – | |||||||||
– | – | (120,077 | ) | – | ||||||||||
(10,838,979 | ) | – | (665,488 | ) | – | |||||||||
(17,750,095 | ) | – | (1,070,981 | ) | – | |||||||||
(56,954,417 | ) | – | (8,248,533 | ) | – | |||||||||
– | – | (25,750 | ) | – | ||||||||||
(70,138 | ) | – | (5,933 | ) | – | |||||||||
(656,902 | ) | – | (181,392 | ) | – | |||||||||
(223,041,135 | ) | (116,396,955 | ) | (19,652,419 | ) | (6,003,315 | ) | |||||||
958,048,879 | 1,108,630,618 | 250,489,054 | 182,628,755 | |||||||||||
212,938,615 | 108,737,747 | 18,576,765 | 5,690,880 | |||||||||||
(963,715,817 | ) | (955,945,630 | ) | (136,665,269 | ) | (108,073,583 | ) | |||||||
207,271,677 | 261,422,735 | 132,400,550 | 80,246,052 | |||||||||||
(331,698,888 | ) | 151,986,342 | 152,088,678 | 59,711,937 | ||||||||||
$ | 2,490,302,675 | $ | 2,338,316,333 | $ | 469,164,252 | $ | 409,452,315 | |||||||
$ | 2,158,603,787 | $ | 2,490,302,675 | $ | 621,252,930 | $ | 469,164,252 | |||||||
$ | (202,859 | ) | $ | (61,480 | ) | $ | 556,711 | $ | 5,107,725 |
See Notes to Financial Statements. | 77 |
Statements of Changes in Net Assets (concluded)
Value Opportunities Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | October 31, 2015 | October 31, 2014 | ||||||
Operations: | ||||||||
Net investment loss | $ | (2,624,756 | ) | $ | (3,849,643 | ) | ||
Net realized gain on investments | 191,750,643 | 411,754,614 | ||||||
Net change in unrealized appreciation/depreciation on investments | (72,964,023 | ) | (84,214,459 | ) | ||||
Net increase in net assets resulting from operations | 116,161,864 | 323,690,512 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gain | ||||||||
Class A | (171,704,074 | ) | (121,752,407 | ) | ||||
Class B | (2,623,841 | ) | (2,291,824 | ) | ||||
Class C | (56,594,543 | ) | (37,287,982 | ) | ||||
Class F | (71,282,706 | ) | (40,521,094 | ) | ||||
Class I | (81,746,674 | ) | (58,885,306 | ) | ||||
Class P | (6,509,608 | ) | (4,796,664 | ) | ||||
Class R2 | (1,387,879 | ) | (1,239,744 | ) | ||||
Class R3 | (17,717,532 | ) | (11,829,334 | ) | ||||
Total distributions to shareholders | (409,566,857 | ) | (278,604,355 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 495,803,327 | 654,454,079 | ||||||
Reinvestment of distributions | 382,316,773 | 258,105,337 | ||||||
Cost of shares reacquired | (1,013,074,895 | ) | (954,783,580 | ) | ||||
Net decrease in net assets resulting from capital share transactions | (134,954,795 | ) | (42,224,164 | ) | ||||
Net increase (decrease) in net assets | (428,359,788 | ) | 2,861,993 | |||||
NET ASSETS: | ||||||||
Beginning of year | $ | 3,131,190,374 | $ | 3,128,328,381 | ||||
End of year | $ | 2,702,830,586 | $ | 3,131,190,374 | ||||
Accumulated net investment loss | $ | (6,823,845 | ) | $ | (3,221,102 | ) |
78 | See Notes to Financial Statements. |
This page is intentionally left blank.
79
ALPHA STRATEGY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
10/31/2015 | $32.40 | $0.02 | $0.78 | $0.80 | $(0.48 | ) | $(2.93 | ) | $(3.41 | ) | ||||||||||||||||||
10/31/2014 | 32.63 | 0.02 | 2.16 | 2.18 | (1.29 | ) | (1.12 | ) | (2.41 | ) | ||||||||||||||||||
10/31/2013 | 24.71 | 0.09 | 8.92 | 9.01 | (0.04 | ) | (1.05 | ) | (1.09 | ) | ||||||||||||||||||
10/31/2012 | 22.72 | (0.01 | ) | 2.07 | 2.06 | – | (0.07 | ) | (0.07 | ) | ||||||||||||||||||
10/31/2011 | 21.93 | (0.02 | ) | 0.81 | 0.79 | – | – | – | ||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
10/31/2015 | 29.77 | (0.17 | ) | 0.70 | 0.53 | (0.21 | ) | (2.93 | ) | (3.14 | ) | |||||||||||||||||
10/31/2014 | 30.16 | (0.19 | ) | 1.98 | 1.79 | (1.06 | ) | (1.12 | ) | (2.18 | ) | |||||||||||||||||
10/31/2013 | 23.05 | (0.09 | ) | 8.25 | 8.16 | – | (1.05 | ) | (1.05 | ) | ||||||||||||||||||
10/31/2012 | 21.36 | (0.17 | ) | 1.93 | 1.76 | – | (0.07 | ) | (0.07 | ) | ||||||||||||||||||
10/31/2011 | 20.76 | (0.18 | ) | 0.78 | 0.60 | – | – | – | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
10/31/2015 | 29.51 | (0.19 | ) | 0.71 | 0.52 | (0.27 | ) | (2.93 | ) | (3.20 | ) | |||||||||||||||||
10/31/2014 | 29.95 | (0.20 | ) | 1.98 | 1.78 | (1.10 | ) | (1.12 | ) | (2.22 | ) | |||||||||||||||||
10/31/2013 | 22.89 | (0.10 | ) | 8.21 | 8.11 | – | (1.05 | ) | (1.05 | ) | ||||||||||||||||||
10/31/2012 | 21.21 | (0.18 | ) | 1.93 | 1.75 | – | (0.07 | ) | (0.07 | ) | ||||||||||||||||||
10/31/2011 | 20.61 | (0.18 | ) | 0.78 | 0.60 | – | – | – | ||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
10/31/2015 | 32.49 | 0.07 | 0.78 | 0.85 | (0.54 | ) | (2.93 | ) | (3.47 | ) | ||||||||||||||||||
10/31/2014 | 32.71 | 0.06 | 2.17 | 2.23 | (1.33 | ) | (1.12 | ) | (2.45 | ) | ||||||||||||||||||
10/31/2013 | 24.77 | 0.14 | 8.93 | 9.07 | (0.08 | ) | (1.05 | ) | (1.13 | ) | ||||||||||||||||||
10/31/2012 | 22.74 | 0.03 | 2.07 | 2.10 | – | (0.07 | ) | (0.07 | ) | |||||||||||||||||||
10/31/2011 | 21.91 | 0.02 | 0.81 | 0.83 | – | – | – | |||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
10/31/2015 | 32.81 | 0.11 | 0.78 | 0.89 | (0.57 | ) | (2.93 | ) | (3.50 | ) | ||||||||||||||||||
10/31/2014 | 33.01 | 0.10 | 2.18 | 2.28 | (1.36 | ) | (1.12 | ) | (2.48 | ) | ||||||||||||||||||
10/31/2013 | 24.99 | 0.17 | 9.01 | 9.18 | (0.11 | ) | (1.05 | ) | (1.16 | ) | ||||||||||||||||||
10/31/2012 | 22.92 | 0.06 | 2.08 | 2.14 | – | (0.07 | ) | (0.07 | ) | |||||||||||||||||||
10/31/2011 | 22.06 | 0.05 | 0.81 | 0.86 | – | – | – |
* | Does note include expenses of the Underlying Funds in which the Fund invests. |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
80 | See Notes to Financial Statements. |
Ratios to average net assets:* | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$29.79 | 2.54 | 0.25 | 0.53 | 0.08 | $580,945 | 8.24 | ||||||||||||||||||||
32.40 | 6.89 | 0.25 | 0.53 | 0.07 | 586,429 | 5.42 | ||||||||||||||||||||
32.63 | 37.98 | 0.25 | 0.54 | 0.33 | 567,124 | 8.12 | ||||||||||||||||||||
24.71 | 9.12 | 0.25 | 0.57 | (0.05 | ) | 421,927 | 3.84 | |||||||||||||||||||
22.72 | 3.60 | 0.28 | 0.60 | (0.10 | ) | 432,698 | 6.78 | |||||||||||||||||||
27.16 | 1.76 | 1.00 | 1.28 | (0.61 | ) | 9,907 | 8.24 | |||||||||||||||||||
29.77 | 6.09 | 1.00 | 1.28 | (0.65 | ) | 16,870 | 5.42 | |||||||||||||||||||
30.16 | 36.93 | 1.00 | 1.29 | (0.36 | ) | 22,883 | 8.12 | |||||||||||||||||||
23.05 | 8.29 | 1.00 | 1.32 | (0.78 | ) | 21,776 | 3.84 | |||||||||||||||||||
21.36 | 2.89 | 1.00 | 1.32 | (0.79 | ) | 26,877 | 6.78 | |||||||||||||||||||
26.83 | 1.76 | 1.00 | 1.28 | (0.67 | ) | 314,946 | 8.24 | |||||||||||||||||||
29.51 | 6.09 | 1.00 | 1.27 | (0.68 | ) | 318,668 | 5.42 | |||||||||||||||||||
29.95 | 36.97 | 0.99 | 1.28 | (0.40 | ) | 294,780 | 8.12 | |||||||||||||||||||
22.89 | 8.30 | 0.99 | 1.31 | (0.79 | ) | 223,165 | 3.84 | |||||||||||||||||||
21.21 | 2.91 | 0.99 | 1.31 | (0.80 | ) | 223,295 | 6.78 | |||||||||||||||||||
29.87 | 2.68 | 0.10 | 0.38 | 0.23 | 271,865 | 8.24 | ||||||||||||||||||||
32.49 | 7.05 | 0.10 | 0.38 | 0.20 | 267,679 | 5.42 | ||||||||||||||||||||
32.71 | 38.19 | 0.10 | 0.39 | 0.49 | 197,939 | 8.12 | ||||||||||||||||||||
24.77 | 9.28 | 0.10 | 0.42 | 0.12 | 140,860 | 3.84 | ||||||||||||||||||||
22.74 | 3.79 | 0.10 | 0.42 | 0.08 | 142,150 | 6.78 | ||||||||||||||||||||
30.20 | 2.78 | 0.00 | 0.28 | 0.36 | 43,135 | 8.24 | ||||||||||||||||||||
32.81 | 7.14 | 0.00 | 0.28 | 0.31 | 52,339 | 5.42 | ||||||||||||||||||||
33.01 | 38.32 | 0.00 | 0.29 | 0.60 | 44,998 | 8.12 | ||||||||||||||||||||
24.99 | 9.39 | 0.00 | 0.32 | 0.24 | 18,677 | 3.84 | ||||||||||||||||||||
22.92 | 3.90 | 0.00 | 0.32 | 0.20 | 26,906 | 6.78 |
See Notes to Financial Statements. | 81 |
Financial Highlights (concluded)
ALPHA STRATEGY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
10/31/2015 | $31.81 | $(0.07 | ) | $0.75 | $0.68 | $(0.40 | ) | $(2.93 | ) | $(3.33 | ) | |||||||||||||||||
10/31/2014 | 32.07 | (0.09 | ) | 2.13 | 2.04 | (1.18 | ) | (1.12 | ) | (2.30 | ) | |||||||||||||||||
10/31/2013 | 24.35 | 0.04 | 8.73 | 8.77 | – | (1.05 | ) | (1.05 | ) | |||||||||||||||||||
10/31/2012 | 22.47 | (0.09 | ) | 2.04 | 1.95 | – | (0.07 | ) | (0.07 | ) | ||||||||||||||||||
10/31/2011 | 21.76 | (0.09 | ) | 0.80 | 0.71 | – | – | – | ||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
10/31/2015 | 31.93 | (0.05 | ) | 0.76 | 0.71 | (0.41 | ) | (2.93 | ) | (3.34 | ) | |||||||||||||||||
10/31/2014 | 32.18 | (0.05 | ) | 2.13 | 2.08 | (1.21 | ) | (1.12 | ) | (2.33 | ) | |||||||||||||||||
10/31/2013 | 24.41 | 0.04 | 8.78 | 8.82 | – | (1.05 | ) | (1.05 | ) | |||||||||||||||||||
10/31/2012 | 22.50 | (0.07 | ) | 2.05 | 1.98 | – | (0.07 | ) | (0.07 | ) | ||||||||||||||||||
10/31/2011 | 21.76 | (0.07 | ) | 0.81 | 0.74 | – | – | – | ||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(c) | 31.87 | (0.03 | ) | (2.05 | )(d) | (2.08 | ) | – | – | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(c) | 32.28 | – | (2.08 | )(d) | (2.08 | ) | – | – | ||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(c) | 32.28 | – | (g) | (2.08 | )(d) | (2.08 | ) | – | – |
* | Does note include expenses of the Underlying Funds in which the Fund invests. |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Commenced on June 30, 2015. |
(d) | The per share amount does not represent the net realized and unrealized gain (loss) as presented on the Statements of Operations for the period due to the timing of sales of Fund shares and the amount of per share realized and unrealized gains and losses. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Amount is less then $.01. |
82 | See Notes to Financial Statements. |
Ratios to average net assets:* | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$29.16 | 2.16 | 0.60 | 0.88 | (0.22 | ) | $ | 2,704 | 8.24 | ||||||||||||||||||
31.81 | 6.55 | 0.60 | 0.88 | (0.30 | ) | 3,479 | 5.42 | |||||||||||||||||||
32.07 | 37.49 | 0.60 | 0.89 | 0.14 | 2,738 | 8.12 | ||||||||||||||||||||
24.35 | 8.73 | 0.60 | 0.92 | (0.39 | ) | 2,982 | 3.84 | |||||||||||||||||||
22.47 | 3.26 | 0.60 | 0.92 | (0.39 | ) | 3,373 | 6.78 | |||||||||||||||||||
29.30 | 2.28 | 0.50 | 0.78 | (0.17 | ) | 36,656 | 8.24 | |||||||||||||||||||
31.93 | 6.62 | 0.50 | 0.78 | (0.15 | ) | 36,695 | 5.42 | |||||||||||||||||||
32.18 | 37.60 | 0.50 | 0.79 | 0.13 | 34,574 | 8.12 | ||||||||||||||||||||
24.41 | 8.85 | 0.50 | 0.82 | (0.30 | ) | 29,663 | 3.84 | |||||||||||||||||||
22.50 | 3.40 | 0.50 | 0.82 | (0.31 | ) | 26,924 | 6.78 | |||||||||||||||||||
29.79 | (6.53 | )(e) | 0.25 | (f) | 0.53 | (f) | (0.25 | )(f) | 9 | 8.24 | ||||||||||||||||
30.20 | (6.44 | )(e) | 0.00 | (f) | 0.28 | (f) | 0.00 | (f) | 9 | 8.24 | ||||||||||||||||
30.20 | (6.44 | )(e) | 0.00 | (f) | 0.12 | (f) | 0.03 | (f) | 9 | 8.24 |
See Notes to Financial Statements. | 83 |
Financial Highlights
FUNDAMENTAL EQUITY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
10/31/2015 | $16.00 | $0.15 | $0.04 | $0.19 | $(0.10 | ) | $(2.77 | ) | $(2.87 | ) | ||||||||||||||||||
10/31/2014 | 16.83 | 0.07 | 1.67 | 1.74 | (0.04 | ) | (2.53 | ) | (2.57 | ) | ||||||||||||||||||
10/31/2013 | 13.08 | 0.07 | 3.92 | 3.99 | (0.09 | ) | (0.15 | ) | (0.24 | ) | ||||||||||||||||||
10/31/2012 | 12.51 | 0.09 | 0.77 | 0.86 | (0.02 | ) | (0.27 | ) | (0.29 | ) | ||||||||||||||||||
10/31/2011 | 11.89 | 0.02 | 0.64 | 0.66 | (0.04 | ) | – | (0.04 | ) | |||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
10/31/2015 | 14.92 | 0.04 | 0.05 | 0.09 | – | (2.77 | ) | (2.77 | ) | |||||||||||||||||||
10/31/2014 | 15.91 | (0.03 | ) | 1.57 | 1.54 | – | (2.53 | ) | (2.53 | ) | ||||||||||||||||||
10/31/2013 | 12.36 | (0.02 | ) | 3.72 | 3.70 | – | (d) | (0.15 | ) | (0.15 | ) | |||||||||||||||||
10/31/2012 | 11.89 | 0.01 | 0.73 | 0.74 | – | (0.27 | ) | (0.27 | ) | |||||||||||||||||||
10/31/2011 | 11.35 | (0.06 | ) | 0.60 | 0.54 | – | – | – | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
10/31/2015 | 14.83 | 0.04 | 0.04 | 0.08 | – | (d) | (2.77 | ) | (2.77 | ) | ||||||||||||||||||
10/31/2014 | 15.83 | (0.03 | ) | 1.56 | 1.53 | – | (2.53 | ) | (2.53 | ) | ||||||||||||||||||
10/31/2013 | 12.31 | (0.02 | ) | 3.70 | 3.68 | (0.01 | ) | (0.15 | ) | (0.16 | ) | |||||||||||||||||
10/31/2012 | 11.85 | – | (d) | 0.73 | 0.73 | – | (0.27 | ) | (0.27 | ) | ||||||||||||||||||
10/31/2011 | 11.30 | (0.06 | ) | 0.61 | 0.55 | – | – | – | ||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
10/31/2015 | 15.93 | 0.17 | 0.05 | 0.22 | (0.15 | ) | (2.77 | ) | (2.92 | ) | ||||||||||||||||||
10/31/2014 | 16.77 | 0.10 | 1.67 | 1.77 | (0.08 | ) | (2.53 | ) | (2.61 | ) | ||||||||||||||||||
10/31/2013 | 13.03 | 0.11 | 3.90 | 4.01 | (0.12 | ) | (0.15 | ) | (0.27 | ) | ||||||||||||||||||
10/31/2012 | 12.47 | 0.12 | 0.76 | 0.88 | (0.05 | ) | (0.27 | ) | (0.32 | ) | ||||||||||||||||||
10/31/2011 | 11.86 | 0.05 | 0.63 | 0.68 | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
10/31/2015 | 16.11 | 0.18 | 0.04 | 0.22 | (0.16 | ) | (2.77 | ) | (2.93 | ) | ||||||||||||||||||
10/31/2014 | 16.93 | 0.12 | 1.69 | 1.81 | (0.10 | ) | (2.53 | ) | (2.63 | ) | ||||||||||||||||||
10/31/2013 | 13.15 | 0.13 | 3.94 | 4.07 | (0.14 | ) | (0.15 | ) | (0.29 | ) | ||||||||||||||||||
10/31/2012 | 12.59 | 0.13 | 0.76 | 0.89 | (0.06 | ) | (0.27 | ) | (0.33 | ) | ||||||||||||||||||
10/31/2011 | 11.96 | 0.07 | 0.64 | 0.71 | (0.08 | ) | – | (0.08 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes 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. |
(d) | Amount is less than $.01 |
84 | See Notes to Financial Statements. |
Ratios to average net assets: | Supplemental Data: | |||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
$13.32 | 1.18 | 0.97 | 1.09 | $2,027,292 | 149.38 | |||||||||||||||||
16.00 | 11.65 | 1.05 | 0.43 | 2,683,790 | 112.68 | |||||||||||||||||
16.83 | 31.11 | 1.06 | 0.50 | 3,031,190 | 87.47 | |||||||||||||||||
13.08 | 7.17 | 1.09 | 0.68 | 2,439,466 | 83.80 | (c) | ||||||||||||||||
12.51 | 5.53 | 1.09 | 0.16 | 2,379,453 | 55.07 | |||||||||||||||||
12.24 | 0.37 | 1.72 | 0.34 | 28,798 | 149.38 | |||||||||||||||||
14.92 | 10.91 | 1.71 | (0.23 | ) | 45,475 | 112.68 | ||||||||||||||||
15.91 | 30.32 | 1.71 | (0.12 | ) | 62,409 | 87.47 | ||||||||||||||||
12.36 | 6.47 | 1.74 | 0.04 | 76,533 | 83.80 | (c) | ||||||||||||||||
11.89 | 4.76 | 1.73 | (0.49 | ) | 114,980 | 55.07 | ||||||||||||||||
12.14 | 0.40 | 1.72 | 0.34 | 713,824 | 149.38 | |||||||||||||||||
14.83 | 10.90 | 1.71 | (0.22 | ) | 986,381 | 112.68 | ||||||||||||||||
15.83 | 30.30 | 1.71 | (0.15 | ) | 1,012,597 | 87.47 | ||||||||||||||||
12.31 | 6.41 | 1.74 | 0.03 | 802,053 | 83.80 | (c) | ||||||||||||||||
11.85 | 4.87 | 1.73 | (0.49 | ) | 817,590 | 55.07 | ||||||||||||||||
13.23 | 1.35 | 0.82 | 1.25 | 436,263 | 149.38 | |||||||||||||||||
15.93 | 11.93 | 0.81 | 0.68 | 793,101 | 112.68 | |||||||||||||||||
16.77 | 31.49 | 0.82 | 0.75 | 716,579 | 87.47 | |||||||||||||||||
13.03 | 7.40 | 0.84 | 0.93 | 598,688 | 83.80 | (c) | ||||||||||||||||
12.47 | 5.75 | 0.84 | 0.41 | 642,636 | 55.07 | |||||||||||||||||
13.40 | 1.37 | 0.72 | 1.36 | 236,867 | 149.38 | |||||||||||||||||
16.11 | 12.05 | 0.71 | 0.78 | 449,870 | 112.68 | |||||||||||||||||
16.93 | 31.66 | 0.72 | 0.84 | 531,676 | 87.47 | |||||||||||||||||
13.15 | 7.43 | 0.74 | 1.00 | 394,842 | 83.80 | (c) | ||||||||||||||||
12.59 | 5.94 | 0.74 | 0.52 | 245,329 | 55.07 |
See Notes to Financial Statements. | 85 |
Financial Highlights (concluded)
FUNDAMENTAL EQUITY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
10/31/2015 | $15.79 | $0.12 | $0.04 | $0.16 | $(0.08 | ) | $(2.77 | ) | $(2.85 | ) | ||||||||||||||||||
10/31/2014 | 16.64 | 0.05 | 1.65 | 1.70 | (0.02 | ) | (2.53 | ) | (2.55 | ) | ||||||||||||||||||
10/31/2013 | 12.92 | 0.06 | 3.88 | 3.94 | (0.07 | ) | (0.15 | ) | (0.22 | ) | ||||||||||||||||||
10/31/2012 | 12.36 | 0.07 | 0.77 | 0.84 | (0.01 | ) | (0.27 | ) | (0.28 | ) | ||||||||||||||||||
10/31/2011 | 11.75 | 0.01 | 0.62 | 0.63 | (0.02 | ) | – | (0.02 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
10/31/2015 | 15.71 | 0.10 | 0.04 | 0.14 | (0.03 | ) | (2.77 | ) | (2.80 | ) | ||||||||||||||||||
10/31/2014 | 16.57 | 0.03 | 1.64 | 1.67 | – | (d) | (2.53 | ) | (2.53 | ) | ||||||||||||||||||
10/31/2013 | 12.87 | 0.04 | 3.87 | 3.91 | (0.06 | ) | (0.15 | ) | (0.21 | ) | ||||||||||||||||||
10/31/2012 | 12.33 | 0.05 | 0.77 | 0.82 | (0.01 | ) | (0.27 | ) | (0.28 | ) | ||||||||||||||||||
10/31/2011 | 11.75 | (0.01 | ) | 0.63 | 0.62 | (0.04 | ) | – | (0.04 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
10/31/2015 | 15.80 | 0.11 | 0.06 | 0.17 | (0.08 | ) | (2.77 | ) | (2.85 | ) | ||||||||||||||||||
10/31/2014 | 16.66 | 0.04 | 1.65 | 1.69 | (0.02 | ) | (2.53 | ) | (2.55 | ) | ||||||||||||||||||
10/31/2013 | 12.94 | 0.05 | 3.89 | 3.94 | (0.07 | ) | (0.15 | ) | (0.22 | ) | ||||||||||||||||||
10/31/2012 | 12.40 | 0.06 | 0.77 | 0.83 | (0.02 | ) | (0.27 | ) | (0.29 | ) | ||||||||||||||||||
10/31/2011 | 11.80 | – | (d) | 0.63 | 0.63 | (0.03 | ) | – | (0.03 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(e) | 13.52 | 0.05 | (0.25 | )(f) | (0.20 | ) | – | – | – | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(e) | 13.60 | 0.06 | (0.25 | )(f) | (0.19 | ) | – | – | – | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(e) | 13.60 | 0.06 | (0.25 | )(f) | (0.19 | ) | – | – | – |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes 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. |
(d) | Amount is less than $.01 |
(e) | Commenced on June 30, 2015. |
(f) | The per share amount does not represent the net realized and unrealized gain (loss) as presented on the Statements of Operations for the period due to the timing of sales of Fund shares and the amount of per share realized and unrealized gains and losses. |
(g) | Not annualized. |
(h) | Annualized. |
86 | See Notes to Financial Statements. |
Ratios to average net assets: | Supplemental Data: | |||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
$13.10 | 0.94 | 1.17 | 0.90 | $ | 13,733 | 149.38 | ||||||||||||||||
15.79 | 11.51 | 1.16 | 0.32 | 21,373 | 112.68 | |||||||||||||||||
16.64 | 31.08 | 1.17 | 0.42 | 26,424 | 87.47 | |||||||||||||||||
12.92 | 7.03 | 1.19 | 0.58 | 27,937 | 83.80 | (c) | ||||||||||||||||
12.36 | 5.40 | 1.19 | 0.05 | 31,223 | 55.07 | |||||||||||||||||
13.05 | 0.81 | 1.33 | 0.76 | 10,543 | 149.38 | |||||||||||||||||
15.71 | 11.33 | 1.31 | 0.17 | 19,744 | 112.68 | |||||||||||||||||
16.57 | 30.87 | 1.31 | 0.26 | 25,111 | 87.47 | |||||||||||||||||
12.87 | 6.87 | 1.34 | 0.43 | 22,335 | 83.80 | (c) | ||||||||||||||||
12.33 | 5.27 | 1.34 | (0.11 | ) | 19,997 | 55.07 | ||||||||||||||||
13.12 | 0.97 | 1.22 | 0.84 | 206,984 | 149.38 | |||||||||||||||||
15.80 | 11.41 | 1.21 | 0.28 | 304,459 | 112.68 | |||||||||||||||||
16.66 | 31.04 | 1.21 | 0.35 | 322,951 | 87.47 | |||||||||||||||||
12.94 | 6.95 | 1.24 | 0.51 | 270,290 | 83.80 | (c) | ||||||||||||||||
12.40 | 5.36 | 1.24 | 0.01 | 180,795 | 55.07 | |||||||||||||||||
13.32 | (1.48 | )(g) | 0.93 | (h) | 1.12 | (h) | 10 | 149.38 | ||||||||||||||
13.41 | (1.40 | )(g) | 0.68 | (h) | 1.37 | (h) | 10 | 149.38 | ||||||||||||||
13.41 | (1.40 | )(g) | 0.59 | (h) | 1.46 | (h) | 10 | 149.38 |
See Notes to Financial Statements. | 87 |
Financial Highlights
GROWTH LEADERS FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
10/31/2015 | $23.08 | $(0.02 | ) | $1.96 | $1.94 | $ – | $(1.29 | ) | $(1.29 | ) | ||||||||||||||||||
10/31/2014 | 21.44 | – | (c) | 3.01 | 3.01 | – | (1.37 | ) | (1.37 | ) | ||||||||||||||||||
10/31/2013 | 15.15 | (0.03 | ) | 6.36 | 6.33 | (0.04 | ) | – | (0.04 | ) | ||||||||||||||||||
10/31/2012 | 14.50 | (0.01 | ) | 0.66 | 0.65 | – | – | – | ||||||||||||||||||||
6/24/2011 to 10/31/2011(e) | 15.00 | (0.01 | ) | (0.49 | ) | (0.50 | ) | – | – | – | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
10/31/2015 | 22.79 | (0.18 | ) | 1.92 | 1.74 | – | (1.29 | ) | (1.29 | ) | ||||||||||||||||||
10/31/2014 | 21.33 | (0.15 | ) | 2.98 | 2.83 | – | (1.37 | ) | (1.37 | ) | ||||||||||||||||||
2/11/2013 to 10/31/2013(h) | 16.56 | (0.11 | ) | 4.88 | 4.77 | – | – | – | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
10/31/2015 | 22.57 | (0.19 | ) | 1.92 | 1.73 | – | (1.29 | ) | (1.29 | ) | ||||||||||||||||||
10/31/2014 | 21.14 | (0.15 | ) | 2.95 | 2.80 | – | (1.37 | ) | (1.37 | ) | ||||||||||||||||||
10/31/2013 | 15.02 | (0.15 | ) | 6.30 | 6.15 | (0.03 | ) | – | (0.03 | ) | ||||||||||||||||||
10/31/2012 | 14.47 | (0.11 | ) | 0.66 | 0.55 | – | – | – | ||||||||||||||||||||
6/24/2011 to 10/31/2011(e) | 15.00 | (0.05 | ) | (0.48 | ) | (0.53 | ) | – | – | – | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
10/31/2015 | 23.17 | 0.01 | 1.98 | 1.99 | – | (1.29 | ) | (1.29 | ) | |||||||||||||||||||
10/31/2014 | 21.49 | 0.04 | 3.01 | 3.05 | – | (1.37 | ) | (1.37 | ) | |||||||||||||||||||
10/31/2013 | 15.18 | – | (c) | 6.39 | 6.39 | (0.08 | ) | – | (0.08 | ) | ||||||||||||||||||
10/31/2012 | 14.51 | 0.03 | 0.65 | 0.68 | (0.01 | ) | – | (0.01 | ) | |||||||||||||||||||
6/24/2011 to 10/31/2011(e) | 15.00 | – | (c) | (0.49 | ) | (0.49 | ) | – | – | – | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
10/31/2015 | 23.23 | 0.04 | 1.97 | 2.01 | – | (1.29 | ) | (1.29 | ) | |||||||||||||||||||
10/31/2014 | 21.51 | 0.06 | 3.03 | 3.09 | – | (1.37 | ) | (1.37 | ) | |||||||||||||||||||
10/31/2013 | 15.20 | 0.04 | 6.36 | 6.40 | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||||
10/31/2012 | 14.51 | 0.04 | 0.67 | 0.71 | (0.02 | ) | – | (0.02 | ) | |||||||||||||||||||
6/24/2011 to 10/31/2011(e) | 15.00 | 0.01 | (0.50 | ) | (0.49 | ) | – | – | – |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B, and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Amount is less than $.01. |
(d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Stock Appreciation Fund on March 22, 2013. |
(e) | Commenced on June 24, 2011. |
(f) | Not annualized. |
(g) | Annualized. |
(h) | Commenced on February 11, 2013. |
88 | See Notes to Financial Statements. |
Ratios to average net assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$23.73 | 8.84 | 0.85 | 0.99 | (0.09 | ) | $742,393 | 270.68 | |||||||||||||||||||
23.08 | 14.59 | 0.85 | 1.04 | 0.01 | 495,861 | 506.90 | ||||||||||||||||||||
21.44 | 42.20 | 0.85 | 1.34 | (0.14 | ) | 191,798 | 451.09 | (d) | ||||||||||||||||||
15.15 | 4.48 | 0.85 | 1.55 | (0.06 | ) | 15,372 | 683.50 | |||||||||||||||||||
14.50 | (3.33 | )(f) | 0.84 | (g) | 3.04 | (g) | (0.23 | )(g) | 7,882 | 208.96 | ||||||||||||||||
23.24 | 8.08 | 1.59 | 1.73 | (0.81 | ) | 4,191 | 270.68 | |||||||||||||||||||
22.79 | 13.77 | 1.56 | 1.75 | (0.69 | ) | 6,332 | 506.90 | |||||||||||||||||||
21.33 | 29.05 | (f) | 1.49 | (g) | 1.88 | (g) | (0.82 | )(g) | 8,041 | 451.09 | (d) | |||||||||||||||
23.01 | 8.07 | 1.59 | 1.74 | (0.84 | ) | 414,557 | 270.68 | |||||||||||||||||||
22.57 | 13.81 | 1.56 | 1.76 | (0.71 | ) | 236,853 | 506.90 | |||||||||||||||||||
21.14 | 41.24 | 1.45 | 1.88 | (0.79 | ) | 66,471 | 451.09 | (d) | ||||||||||||||||||
15.02 | 3.80 | 1.49 | 2.15 | (0.70 | ) | 1,898 | 683.50 | |||||||||||||||||||
14.47 | (3.53 | )(f) | 1.47 | (g) | 2.78 | (g) | (0.91 | )(g) | 175 | 208.96 | ||||||||||||||||
23.87 | 9.03 | 0.70 | 0.84 | 0.06 | 733,463 | 270.68 | ||||||||||||||||||||
23.17 | 14.80 | 0.68 | 0.87 | 0.17 | 498,908 | 506.90 | ||||||||||||||||||||
21.49 | 42.51 | 0.60 | 1.07 | 0.01 | 109,011 | 451.09 | (d) | |||||||||||||||||||
15.18 | 4.69 | 0.60 | 1.33 | 0.21 | 3,797 | 683.50 | ||||||||||||||||||||
14.51 | (3.27 | )(f) | 0.59 | (g) | 1.95 | (g) | 0.08 | (g) | 5,993 | 208.96 | ||||||||||||||||
23.95 | 9.10 | 0.60 | 0.74 | 0.16 | 96,090 | 270.68 | ||||||||||||||||||||
23.23 | 14.93 | 0.57 | 0.76 | 0.29 | 71,803 | 506.90 | ||||||||||||||||||||
21.51 | 42.67 | 0.50 | 0.95 | 0.21 | 50,326 | 451.09 | (d) | |||||||||||||||||||
15.20 | 4.87 | 0.50 | 1.22 | 0.29 | 2,697 | 683.50 | ||||||||||||||||||||
14.51 | (3.27 | )(f) | 0.49 | (g) | 2.20 | (g) | 0.17 | (g) | 1,952 | 208.96 |
See Notes to Financial Statements. | 89 |
Financial Highlights (concluded)
GROWTH LEADERS FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
10/31/2015 | $23.17 | $(0.10 | ) | $1.96 | $1.86 | $ – | $(1.29 | ) | $(1.29 | ) | ||||||||||||||||||
10/31/2014 | 21.58 | (0.07 | ) | 3.03 | 2.96 | – | (1.37 | ) | (1.37 | ) | ||||||||||||||||||
10/31/2013 | 15.19 | 0.04 | 6.38 | 6.42 | (0.03 | ) | – | (0.03 | ) | |||||||||||||||||||
10/31/2012 | 14.49 | 0.05 | 0.65 | 0.70 | – | – | – | |||||||||||||||||||||
6/24/2011 to 10/31/2011(d) | 15.00 | (0.03 | ) | (0.48 | ) | (0.51 | ) | – | – | – | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
10/31/2015 | 23.03 | (0.08 | ) | 1.96 | 1.88 | – | (1.29 | ) | (1.29 | ) | ||||||||||||||||||
10/31/2014 | 21.45 | (0.04 | ) | 2.99 | 2.95 | – | (1.37 | ) | (1.37 | ) | ||||||||||||||||||
10/31/2013 | 15.16 | (0.06 | ) | 6.38 | 6.32 | (0.03 | ) | – | (0.03 | ) | ||||||||||||||||||
10/31/2012 | 14.49 | 0.01 | 0.66 | 0.67 | – | – | – | |||||||||||||||||||||
6/24/2011 to 10/31/2011(d) | 15.00 | (0.02 | ) | (0.49 | ) | (0.51 | ) | – | – | – | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(g) | 23.42 | (0.01 | ) | 0.33 | 0.32 | – | – | – | ||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(g) | 23.61 | 0.01 | 0.33 | 0.34 | – | – | – | |||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(g) | 23.61 | 0.02 | 0.33 | 0.35 | – | – | – |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B, and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Stock Appreciation Fund on March 22, 2013. |
(d) | Commenced on June 24, 2011. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Commenced on June 30, 2015. |
90 | See Notes to Financial Statements. |
Ratios to average net assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$23.74 | 8.49 | 1.20 | 1.34 | (0.44 | ) | $ | 593 | 270.68 | ||||||||||||||||||
23.17 | 14.24 | 1.18 | 1.37 | (0.31 | ) | 342 | 506.90 | |||||||||||||||||||
21.58 | 42.62 | 0.58 | 1.70 | 0.22 | 44 | 451.09 | (c) | |||||||||||||||||||
15.19 | 4.83 | 0.48 | 1.22 | 0.31 | 10 | 683.50 | ||||||||||||||||||||
14.49 | (3.40 | )(e) | 1.06 | (f) | 5.05 | (f) | (0.49 | )(f) | 10 | 208.96 | ||||||||||||||||
23.62 | 8.58 | 1.10 | 1.24 | (0.35 | ) | 13,501 | 270.68 | |||||||||||||||||||
23.03 | 14.34 | 1.07 | 1.26 | (0.20 | ) | 10,191 | 506.90 | |||||||||||||||||||
21.45 | 41.98 | 1.00 | 1.39 | (0.33 | ) | 8,289 | 451.09 | (c) | ||||||||||||||||||
15.16 | 4.62 | 0.72 | 1.42 | 0.08 | 11 | 683.50 | ||||||||||||||||||||
14.49 | (3.40 | )(e) | 0.97 | (f) | 4.96 | (f) | (0.40 | )(f) | 10 | 208.96 | ||||||||||||||||
23.74 | 1.37 | (e) | 0.87 | (f) | 0.99 | (f) | (0.18 | )(f) | 10 | 270.68 | ||||||||||||||||
23.95 | 1.44 | (e) | 0.60 | (f) | 0.72 | (f) | 0.09 | (f) | 10 | 270.68 | ||||||||||||||||
23.96 | 1.48 | (e) | 0.48 | (f) | 0.60 | (f) | 0.21 | (f) | 10 | 270.68 |
See Notes to Financial Statements. | 91 |
Financial Highlights
INTERNATIONAL CORE EQUITY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Distributions | ||||||||||||||||||||||||
to | ||||||||||||||||||||||||
shareholders | ||||||||||||||||||||||||
Investment operations: | from: | |||||||||||||||||||||||
Net asset value, | Net | Net realized and | Total from | Net | Net asset value, | |||||||||||||||||||
beginning of | investment | unrealized | investment | investment | end of | |||||||||||||||||||
period | income(a) | gain (loss) | operations | income | period | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
10/31/2015 | $13.34 | $0.20 | $(0.75 | ) | $(0.55 | ) | $(0.15 | ) | $ | 12.64 | ||||||||||||||
10/31/2014 | 13.97 | 0.17 | (0.54 | ) | (0.37 | ) | (0.26 | ) | 13.34 | |||||||||||||||
10/31/2013 | 11.43 | 0.18 | 2.62 | 2.80 | (0.26 | ) | 13.97 | |||||||||||||||||
10/31/2012 | 11.25 | 0.28 | 0.12 | 0.40 | (0.22 | ) | 11.43 | |||||||||||||||||
10/31/2011 | 12.12 | 0.20 | (0.94 | ) | (0.74 | ) | (0.13 | ) | 11.25 | |||||||||||||||
Class B | ||||||||||||||||||||||||
10/31/2015 | 13.15 | 0.10 | (0.74 | ) | (0.64 | ) | (0.03 | ) | 12.48 | |||||||||||||||
10/31/2014 | 13.76 | 0.08 | (0.53 | ) | (0.45 | ) | (0.16 | ) | 13.15 | |||||||||||||||
10/31/2013 | 11.26 | 0.09 | 2.60 | 2.69 | (0.19 | ) | 13.76 | |||||||||||||||||
10/31/2012 | 11.06 | 0.21 | 0.12 | 0.33 | (0.13 | ) | 11.26 | |||||||||||||||||
10/31/2011 | 11.91 | 0.12 | (0.92 | ) | (0.80 | ) | (0.05 | ) | 11.06 | |||||||||||||||
Class C | ||||||||||||||||||||||||
10/31/2015 | 13.14 | 0.11 | (0.75 | ) | (0.64 | ) | (0.05 | ) | 12.45 | |||||||||||||||
10/31/2014 | 13.77 | 0.09 | (0.54 | ) | (0.45 | ) | (0.18 | ) | 13.14 | |||||||||||||||
10/31/2013 | 11.27 | 0.09 | 2.61 | 2.70 | (0.20 | ) | 13.77 | |||||||||||||||||
10/31/2012 | 11.08 | 0.21 | 0.12 | 0.33 | (0.14 | ) | 11.27 | |||||||||||||||||
10/31/2011 | 11.93 | 0.12 | (0.92 | ) | (0.80 | ) | (0.05 | ) | 11.08 | |||||||||||||||
Class F | ||||||||||||||||||||||||
10/31/2015 | 13.26 | 0.24 | (0.77 | ) | (0.53 | ) | (0.18 | ) | 12.55 | |||||||||||||||
10/31/2014 | 13.89 | 0.18 | (0.51 | ) | (0.33 | ) | (0.30 | ) | 13.26 | |||||||||||||||
10/31/2013 | 11.36 | 0.18 | 2.64 | 2.82 | (0.29 | ) | 13.89 | |||||||||||||||||
10/31/2012 | 11.20 | 0.30 | 0.12 | 0.42 | (0.26 | ) | 11.36 | |||||||||||||||||
10/31/2011 | 12.08 | 0.24 | (0.95 | ) | (0.71 | ) | (0.17 | ) | 11.20 | |||||||||||||||
Class I | ||||||||||||||||||||||||
10/31/2015 | 13.44 | 0.25 | (0.76 | ) | (0.51 | ) | (0.20 | ) | 12.73 | |||||||||||||||
10/31/2014 | 14.07 | 0.21 | (0.53 | ) | (0.32 | ) | (0.31 | ) | 13.44 | |||||||||||||||
10/31/2013 | 11.51 | 0.22 | 2.64 | 2.86 | (0.30 | ) | 14.07 | |||||||||||||||||
10/31/2012 | 11.34 | 0.27 | 0.17 | 0.44 | (0.27 | ) | 11.51 | |||||||||||||||||
10/31/2011 | 12.21 | 0.25 | (0.95 | ) | (0.70 | ) | (0.17 | ) | 11.34 | |||||||||||||||
Class P | ||||||||||||||||||||||||
10/31/2015 | 13.31 | 0.17 | (0.75 | ) | (0.58 | ) | (0.10 | ) | 12.63 | |||||||||||||||
10/31/2014 | 13.94 | 0.17 | (0.55 | ) | (0.38 | ) | (0.25 | ) | 13.31 | |||||||||||||||
10/31/2013 | 11.39 | 0.16 | 2.63 | 2.79 | (0.24 | ) | 13.94 | |||||||||||||||||
10/31/2012 | 11.17 | 0.27 | 0.12 | 0.39 | (0.17 | ) | 11.39 | |||||||||||||||||
10/31/2011 | 12.04 | 0.10 | (0.84 | ) | (0.74 | ) | (0.13 | ) | 11.17 |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
92 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total | ||||||||||||||||||||||
expenses, | ||||||||||||||||||||||
after waivers | Net | Net assets, | Portfolio | |||||||||||||||||||
Total | and/or | Total | investment | end of | turnover | |||||||||||||||||
return(b) | reimbursements | expenses | income | period | rate | |||||||||||||||||
(%) | (%) | (%) | (%) | (000) | (%) | |||||||||||||||||
(4.16 | ) | 1.12 | 1.33 | 1.56 | $ | 341,437 | 62.15 | |||||||||||||||
(2.67 | ) | 1.12 | 1.36 | 1.25 | 368,087 | 64.06 | ||||||||||||||||
24.99 | 1.12 | 1.38 | 1.41 | 437,271 | 80.77 | |||||||||||||||||
3.81 | 1.12 | 1.47 | 2.53 | 383,244 | 81.50 | |||||||||||||||||
(6.16 | ) | 1.12 | 1.42 | 1.64 | 439,938 | 83.78 | ||||||||||||||||
(4.86 | ) | 1.83 | 2.04 | 0.81 | 6,207 | 62.15 | ||||||||||||||||
(3.33 | ) | 1.77 | 2.01 | 0.56 | 11,126 | 64.06 | ||||||||||||||||
24.18 | 1.77 | 2.03 | 0.73 | 17,239 | 80.77 | |||||||||||||||||
3.13 | 1.77 | 2.12 | 1.91 | 20,125 | 81.50 | |||||||||||||||||
(6.75 | ) | 1.77 | 2.06 | 0.96 | 27,896 | 83.78 | ||||||||||||||||
(4.86 | ) | 1.81 | 2.02 | 0.86 | 42,057 | 62.15 | ||||||||||||||||
(3.31 | ) | 1.75 | 1.99 | 0.65 | 49,491 | 64.06 | ||||||||||||||||
24.26 | 1.75 | 2.01 | 0.77 | 57,779 | 80.77 | |||||||||||||||||
3.11 | 1.75 | 2.10 | 1.91 | 54,056 | 81.50 | |||||||||||||||||
(6.73 | ) | 1.74 | 2.03 | 1.01 | 68,316 | 83.78 | ||||||||||||||||
(3.99 | ) | 0.87 | 1.14 | 1.85 | 63,830 | 62.15 | ||||||||||||||||
(2.46 | ) | 0.87 | 1.11 | 1.29 | 78,364 | 64.06 | ||||||||||||||||
25.35 | 0.87 | 1.13 | 1.42 | 142,063 | 80.77 | |||||||||||||||||
4.02 | 0.87 | 1.22 | 2.71 | 151,246 | 81.50 | |||||||||||||||||
(5.98 | ) | 0.87 | 1.18 | 1.98 | 80,747 | 83.78 | ||||||||||||||||
(3.83 | ) | 0.77 | 1.04 | 1.92 | 61,077 | 62.15 | ||||||||||||||||
(2.34 | ) | 0.77 | 1.01 | 1.50 | 95,958 | 64.06 | ||||||||||||||||
25.37 | 0.77 | 1.03 | 1.77 | 155,754 | 80.77 | |||||||||||||||||
4.15 | 0.77 | 1.12 | 2.48 | 107,076 | 81.50 | |||||||||||||||||
(5.78 | ) | 0.77 | 1.07 | 2.06 | 222,808 | 83.78 | ||||||||||||||||
(4.38 | ) | 1.28 | 1.49 | 1.32 | 110 | 62.15 | ||||||||||||||||
(2.77 | ) | 1.22 | 1.46 | 1.20 | 150 | 64.06 | ||||||||||||||||
24.91 | 1.22 | 1.48 | 1.30 | 278 | 80.77 | |||||||||||||||||
3.63 | 1.22 | 1.58 | 2.45 | 282 | 81.50 | |||||||||||||||||
(6.23 | ) | 1.22 | 1.51 | 0.83 | 470 | 83.78 |
See Notes to Financial Statements. | 93 |
Financial Highlights (concluded)
INTERNATIONAL CORE EQUITY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Distributions | ||||||||||||||||||||||||
to | ||||||||||||||||||||||||
shareholders | ||||||||||||||||||||||||
Investment operations: | from: | |||||||||||||||||||||||
Net asset | Net | Net asset | ||||||||||||||||||||||
value, | Net | realized and | Total from | Net | value, | |||||||||||||||||||
beginning of | investment | unrealized | investment | investment | end of | |||||||||||||||||||
period | income(a) | gain (loss) | operations | income | period | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||
10/31/2015 | $13.29 | $0.17 | $(0.76 | ) | $(0.59 | ) | $(0.12 | ) | $ | 12.58 | ||||||||||||||
10/31/2014 | 13.92 | 0.15 | (0.55 | ) | (0.40 | ) | (0.23 | ) | 13.29 | |||||||||||||||
10/31/2013 | 11.41 | 0.15 | 2.61 | 2.76 | (0.25 | ) | 13.92 | |||||||||||||||||
10/31/2012 | 11.24 | 0.23 | 0.14 | 0.37 | (0.20 | ) | 11.41 | |||||||||||||||||
10/31/2011 | 12.14 | 0.18 | (0.95 | ) | (0.77 | ) | (0.13 | ) | 11.24 | |||||||||||||||
Class R3 | ||||||||||||||||||||||||
10/31/2015 | 13.14 | 0.17 | (0.74 | ) | (0.57 | ) | (0.13 | ) | 12.44 | |||||||||||||||
10/31/2014 | 13.77 | 0.16 | (0.55 | ) | (0.39 | ) | (0.24 | ) | 13.14 | |||||||||||||||
10/31/2013 | 11.28 | 0.16 | 2.59 | 2.75 | (0.26 | ) | 13.77 | |||||||||||||||||
10/31/2012 | 11.11 | 0.26 | 0.12 | 0.38 | (0.21 | ) | 11.28 | |||||||||||||||||
10/31/2011 | 12.00 | 0.19 | (0.94 | ) | (0.75 | ) | (0.14 | ) | 11.11 | |||||||||||||||
Class R4 | ||||||||||||||||||||||||
6/30/2015 to 10/31/2015(c) | 13.06 | 0.04 | (0.47 | ) | (0.43 | ) | — | 12.63 | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||
6/30/2015 to 10/31/2015(c) | 13.15 | 0.05 | (0.47 | ) | (0.42 | ) | — | 12.73 | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||
6/30/2015 to 10/31/2015(c) | 13.15 | 0.06 | (0.47 | ) | (0.41 | ) | — | 12.74 |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Commenced on June 30, 2015. |
(d) | Not annualized. |
(e) | Annualized. |
94 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total | ||||||||||||||||||||||
expenses, | ||||||||||||||||||||||
after waivers | Net | Net assets, | Portfolio | |||||||||||||||||||
Total | and/or | Total | investment | end of | turnover | |||||||||||||||||
return(b) | reimbursements | expenses | income | period | rate | |||||||||||||||||
(%) | (%) | (%) | (%) | (000) | (%) | |||||||||||||||||
(4.48 | ) | 1.43 | 1.64 | 1.31 | $ | 658 | 62.15 | |||||||||||||||
(2.89 | ) | 1.37 | 1.61 | 1.07 | 1,011 | 64.06 | ||||||||||||||||
24.65 | 1.37 | 1.63 | 1.20 | 868 | 80.77 | |||||||||||||||||
3.51 | 1.37 | 1.72 | 2.13 | 568 | 81.50 | |||||||||||||||||
(6.38 | ) | 1.37 | 1.67 | 1.46 | 651 | 83.78 | ||||||||||||||||
(4.35 | ) | 1.33 | 1.53 | 1.35 | 18,466 | 62.15 | ||||||||||||||||
(2.85 | ) | 1.26 | 1.50 | 1.15 | 20,156 | 64.06 | ||||||||||||||||
24.80 | 1.26 | 1.52 | 1.27 | 19,739 | 80.77 | |||||||||||||||||
3.68 | 1.26 | 1.61 | 2.36 | 17,275 | 81.50 | |||||||||||||||||
(6.35 | ) | 1.26 | 1.57 | 1.54 | 12,725 | 83.78 | ||||||||||||||||
(3.29 | )(d) | 1.12 | (e) | 1.25 | (e) | 0.89 | (e) | 10 | 62.15 | |||||||||||||
(3.19 | )(d) | 0.87 | (e) | 1.00 | (e) | 1.14 | (e) | 10 | 62.15 | |||||||||||||
(3.12 | )(d) | 0.70 | (e) | 0.84 | (e) | 1.31 | (e) | 10 | 62.15 |
See Notes to Financial Statements. | 95 |
Financial Highlights
INTERNATIONAL DIVIDEND INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||||||
Investment operations: | shareholders from: | |||||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||||
Net | from | |||||||||||||||||||||||||||
Net asset | Net | realized | invest- | |||||||||||||||||||||||||
value, | invest- | and | ment | Net | Net | Total | ||||||||||||||||||||||
beginning | ment | unrealized | opera- | investment | realized | distri- | ||||||||||||||||||||||
of period | income(a) | gain (loss) | tions | income | gain | butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
10/31/2015 | $8.75 | $0.25 | $(1.22 | ) | $(0.97 | ) | $(0.24 | ) | $(0.49 | ) | $(0.73 | ) | ||||||||||||||||
10/31/2014 | 9.11 | 0.36 | (0.31 | ) | 0.05 | (0.41 | ) | – | (0.41 | ) | ||||||||||||||||||
10/31/2013 | 7.80 | 0.33 | 1.31 | 1.64 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
10/31/2012 | 7.88 | 0.35 | (0.08 | ) | 0.27 | (0.35 | ) | – | (0.35 | ) | ||||||||||||||||||
10/31/2011 | 8.64 | 0.42 | (0.78 | ) | (0.36 | ) | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
10/31/2015 | 8.68 | 0.19 | (1.20 | ) | (1.01 | ) | (0.19 | ) | (0.49 | ) | (0.68 | ) | ||||||||||||||||
10/31/2014 | 9.04 | 0.31 | (0.31 | ) | – | (0.36 | ) | – | (0.36 | ) | ||||||||||||||||||
10/31/2013 | 7.75 | 0.28 | 1.29 | 1.57 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
10/31/2012 | 7.84 | 0.29 | (0.07 | ) | 0.22 | (0.31 | ) | – | (0.31 | ) | ||||||||||||||||||
10/31/2011 | 8.60 | 0.36 | (0.77 | ) | (0.41 | ) | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
10/31/2015 | 8.77 | 0.27 | (1.23 | ) | (0.96 | ) | (0.26 | ) | (0.49 | ) | (0.75 | ) | ||||||||||||||||
10/31/2014 | 9.12 | 0.39 | (0.30 | ) | 0.09 | (0.44 | ) | – | (0.44 | ) | ||||||||||||||||||
10/31/2013 | 7.81 | 0.36 | 1.30 | 1.66 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
10/31/2012 | 7.89 | 0.37 | (0.08 | ) | 0.29 | (0.37 | ) | – | (0.37 | ) | ||||||||||||||||||
10/31/2011 | 8.65 | 0.45 | (0.79 | ) | (0.34 | ) | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
10/31/2015 | 8.79 | 0.27 | (1.22 | ) | (0.95 | ) | (0.27 | ) | (0.49 | ) | (0.76 | ) | ||||||||||||||||
10/31/2014 | 9.14 | 0.42 | (0.32 | ) | 0.10 | (0.45 | ) | – | (0.45 | ) | ||||||||||||||||||
10/31/2013 | 7.83 | 0.36 | 1.31 | 1.67 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
10/31/2012 | 7.91 | 0.38 | (0.09 | ) | 0.29 | (0.37 | ) | – | (0.37 | ) | ||||||||||||||||||
10/31/2011 | 8.66 | 0.43 | (0.75 | ) | (0.32 | ) | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
10/31/2015 | 8.92 | 0.22 | (1.24 | ) | (1.02 | ) | (0.22 | ) | (0.49 | ) | (0.71 | ) | ||||||||||||||||
10/31/2014 | 9.27 | 0.36 | (0.32 | ) | 0.04 | (0.39 | ) | – | (0.39 | ) | ||||||||||||||||||
10/31/2013 | 7.94 | 0.32 | 1.32 | 1.64 | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||||
10/31/2012 | 8.03 | 0.33 | (0.08 | ) | 0.25 | (0.34 | ) | – | (0.34 | ) | ||||||||||||||||||
10/31/2011 | 8.76 | 0.45 | (0.79 | ) | (0.34 | ) | (0.39 | ) | – | (0.39 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
96 | See Notes to Financial Statements. |
Ratios to average net assets: | Supplemental Data: | ||||||||||||||||||||||||||
Total | |||||||||||||||||||||||||||
expenses | |||||||||||||||||||||||||||
after | |||||||||||||||||||||||||||
Net | waivers | Net | Net | ||||||||||||||||||||||||
asset | and/or | invest- | assets | Portfolio | |||||||||||||||||||||||
value, | Total | reimburse- | Total | ment | end of | turnover | |||||||||||||||||||||
end of | return(b) | ments | expenses | income | period | rate | |||||||||||||||||||||
period | (%) | (%) | (%) | (%) | (000) | (%) | |||||||||||||||||||||
$7.05 | (11.74 | ) | 1.12 | 1.19 | 3.14 | $ 710,835 | 76.52 | ||||||||||||||||||||
8.75 | 0.47 | 1.12 | 1.24 | 3.99 | 1,000,763 | 72.26 | |||||||||||||||||||||
9.11 | 21.54 | 1.12 | 1.27 | 3.94 | 954,305 | 78.39 | |||||||||||||||||||||
7.80 | 3.60 | 1.12 | 1.36 | 4.59 | 618,824 | 84.81 | |||||||||||||||||||||
7.88 | (4.42 | ) | 1.12 | 1.43 | 4.96 | 278,975 | 100.16 | ||||||||||||||||||||
6.99 | (12.49 | ) | 1.84 | 1.90 | 2.40 | 142,492 | 76.52 | ||||||||||||||||||||
8.68 | (0.14 | ) | 1.77 | 1.89 | 3.42 | 191,120 | 72.26 | ||||||||||||||||||||
9.04 | 20.70 | 1.77 | 1.92 | 3.33 | 143,807 | 78.39 | |||||||||||||||||||||
7.75 | 2.95 | 1.76 | 2.01 | 3.88 | 74,664 | 84.81 | |||||||||||||||||||||
7.84 | (5.03 | ) | 1.76 | 2.07 | 4.29 | 22,329 | 100.16 | ||||||||||||||||||||
7.06 | (11.65 | ) | 0.90 | 1.00 | 3.38 | 210,696 | 76.52 | ||||||||||||||||||||
8.77 | 0.83 | 0.87 | 0.99 | 4.24 | 322,648 | 72.26 | |||||||||||||||||||||
9.12 | 21.80 | 0.87 | 1.02 | 4.23 | 228,586 | 78.39 | |||||||||||||||||||||
7.81 | 3.83 | 0.87 | 1.11 | 4.79 | 128,360 | 84.81 | |||||||||||||||||||||
7.89 | (4.18 | ) | 0.87 | 1.18 | 5.27 | 26,892 | 100.16 | ||||||||||||||||||||
7.08 | (11.52 | ) | 0.80 | 0.91 | 3.50 | 1,080,845 | 76.52 | ||||||||||||||||||||
8.79 | 0.93 | 0.77 | 0.89 | 4.53 | 963,200 | 72.26 | |||||||||||||||||||||
9.14 | 21.86 | 0.77 | 0.92 | 4.28 | 1,005,558 | 78.39 | |||||||||||||||||||||
7.83 | 3.91 | 0.77 | 1.01 | 5.00 | 893,066 | 84.81 | |||||||||||||||||||||
7.91 | (3.97 | ) | 0.77 | 1.09 | 5.06 | 559,879 | 100.16 | ||||||||||||||||||||
7.19 | (12.13 | ) | 1.44 | 1.51 | 2.80 | 1,029 | 76.52 | ||||||||||||||||||||
8.92 | 0.33 | 1.37 | 1.49 | 3.86 | 1,298 | 72.26 | |||||||||||||||||||||
9.27 | 21.13 | 1.37 | 1.52 | 3.73 | 860 | 78.39 | |||||||||||||||||||||
7.94 | 3.32 | 1.34 | 1.60 | 4.24 | 464 | 84.81 | |||||||||||||||||||||
8.03 | (4.15 | ) | 0.91 | 1.22 | 5.15 | 16 | 100.16 | ||||||||||||||||||||
See Notes to Financial Statements. | 97 |
Financial Highlights (concluded)
INTERNATIONAL DIVIDEND INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||||||
Investment operations: | shareholders from: | |||||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||||
Net | from | |||||||||||||||||||||||||||
Net asset | Net | realized | invest- | |||||||||||||||||||||||||
value, | invest- | and | ment | Net | Net | Total | ||||||||||||||||||||||
beginning | ment | unrealized | opera- | investment | realized | distri- | ||||||||||||||||||||||
of period | income(a) | gain (loss) | tions | income | gain | butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
10/31/2015 | $8.83 | $0.23 | $(1.23 | ) | $(1.00 | ) | $(0.23 | ) | $(0.49 | ) | $(0.72 | ) | ||||||||||||||||
10/31/2014 | 9.18 | 0.37 | (0.32 | ) | 0.05 | (0.40 | ) | – | (0.40 | ) | ||||||||||||||||||
10/31/2013 | 7.86 | 0.35 | 1.29 | 1.64 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
10/31/2012 | 7.94 | 0.37 | (0.12 | ) | 0.25 | (0.33 | ) | – | (0.33 | ) | ||||||||||||||||||
10/31/2011 | 8.71 | 0.41 | (0.79 | ) | (0.38 | ) | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(c) | 7.75 | 0.05 | (0.72 | ) | (0.67 | ) | (0.03 | ) | – | (0.03 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(c) | 7.78 | 0.06 | (0.72 | ) | (0.66 | ) | (0.04 | ) | – | (0.04 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(c) | 7.78 | 0.06 | (0.72 | ) | (0.66 | ) | (0.04 | ) | – | (0.04 | ) | |||||||||||||||||
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Commenced on June 30, 2015. |
98 | See Notes to Financial Statements. |
Ratios to average net assets: | Supplemental Data: | ||||||||||||||||||||||||||
Total | |||||||||||||||||||||||||||
expenses | |||||||||||||||||||||||||||
after | |||||||||||||||||||||||||||
Net | waivers | Net | Net | ||||||||||||||||||||||||
asset | and/or | invest- | assets | Portfolio | |||||||||||||||||||||||
value, | Total | reimburse- | Total | ment | end of | turnover | |||||||||||||||||||||
end of | return(b) | ments | expenses | income | period | rate | |||||||||||||||||||||
period | (%) | (%) | (%) | (%) | (000) | (%) | |||||||||||||||||||||
$7.11 | (12.03 | ) | 1.34 | 1.40 | 2.93 | $12,680 | 76.52 | ||||||||||||||||||||
8.83 | 0.41 | 1.27 | 1.39 | 4.03 | 11,273 | 72.26 | |||||||||||||||||||||
9.18 | 21.30 | 1.27 | 1.42 | 4.11 | 5,200 | 78.39 | |||||||||||||||||||||
7.86 | 3.39 | 1.27 | 1.50 | 4.80 | 33,065 | 84.81 | |||||||||||||||||||||
7.94 | (4.61 | ) | 1.26 | 1.59 | 4.80 | 331 | 100.16 | ||||||||||||||||||||
7.05 | (8.56 | )(d) | 1.12 | (e) | 1.15 | (e) | 2.02 | (e) | 9 | 76.52 | |||||||||||||||||
7.08 | (8.46 | )(d) | 0.87 | (e) | 0.90 | (e) | 2.28 | (e) | 9 | 76.52 | |||||||||||||||||
7.08 | (8.46 | )(d) | 0.80 | (e) | 0.80 | (e) | 2.34 | (e) | 9 | 76.52 | |||||||||||||||||
See Notes to Financial Statements. | 99 |
Financial Highlights
INTERNATIONAL OPPORTUNITIES FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
10/31/2015 | $16.22 | $0.09 | $1.36 | $1.45 | $(0.18 | ) | $(0.48 | ) | $(0.66 | ) | ||||||||||||||||||
10/31/2014 | 16.83 | 0.11 | (0.51 | ) | (0.40 | ) | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||
10/31/2013 | 13.17 | 0.10 | 3.82 | 3.92 | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||||
10/31/2012 | 12.00 | 0.15 | 1.10 | 1.25 | (0.08 | ) | – | (0.08 | ) | |||||||||||||||||||
10/31/2011 | 12.87 | 0.10 | (0.92 | ) | (0.82 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
10/31/2015 | 15.37 | (0.04 | ) | 1.30 | 1.26 | (0.04 | ) | (0.48 | ) | (0.52 | ) | |||||||||||||||||
10/31/2014 | 15.96 | (0.03 | ) | (0.46 | ) | (0.49 | ) | (0.10 | ) | – | (0.10 | ) | ||||||||||||||||
10/31/2013 | 12.49 | – | (c) | 3.63 | 3.63 | (0.16 | ) | – | (0.16 | ) | ||||||||||||||||||
10/31/2012 | 11.36 | 0.06 | 1.07 | 1.13 | – | – | – | |||||||||||||||||||||
10/31/2011 | 12.21 | 0.02 | (0.87 | ) | (0.85 | ) | – | – | – | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
10/31/2015 | 15.23 | (0.04 | ) | 1.29 | 1.25 | (0.08 | ) | (0.48 | ) | (0.56 | ) | |||||||||||||||||
10/31/2014 | 15.84 | (0.02 | ) | (0.46 | ) | (0.48 | ) | (0.13 | ) | – | (0.13 | ) | ||||||||||||||||
10/31/2013 | 12.41 | – | (c) | 3.61 | 3.61 | (0.18 | ) | – | (0.18 | ) | ||||||||||||||||||
10/31/2012 | 11.29 | 0.07 | 1.06 | 1.13 | (0.01 | ) | – | (0.01 | ) | |||||||||||||||||||
10/31/2011 | 12.14 | 0.02 | (0.87 | ) | (0.85 | ) | – | – | – | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
10/31/2015 | 16.11 | 0.10 | 1.37 | 1.47 | (0.22 | ) | (0.48 | ) | (0.70 | ) | ||||||||||||||||||
10/31/2014 | 16.73 | 0.14 | (0.50 | ) | (0.36 | ) | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||
10/31/2013 | 13.09 | 0.17 | 3.76 | 3.93 | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||||
10/31/2012 | 11.94 | 0.18 | 1.09 | 1.27 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
10/31/2011 | 12.81 | 0.13 | (0.91 | ) | (0.78 | ) | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
10/31/2015 | 16.63 | 0.13 | 1.39 | 1.52 | (0.23 | ) | (0.48 | ) | (0.71 | ) | ||||||||||||||||||
10/31/2014 | 17.25 | 0.15 | (0.51 | ) | (0.36 | ) | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||
10/31/2013 | 13.49 | 0.15 | 3.91 | 4.06 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
10/31/2012 | 12.30 | 0.19 | 1.13 | 1.32 | (0.13 | ) | – | (0.13 | ) | |||||||||||||||||||
10/31/2011 | 13.18 | 0.16 | (0.95 | ) | (0.79 | ) | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||
Class P | ||||||||||||||||||||||||||||
10/31/2015 | 16.46 | 0.05 | 1.40 | 1.45 | (0.16 | ) | (0.48 | ) | (0.64 | ) | ||||||||||||||||||
10/31/2014 | 17.08 | 0.07 | (0.51 | ) | (0.44 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
10/31/2013 | 13.36 | 0.09 | 3.88 | 3.97 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
10/31/2012 | 12.17 | 0.14 | 1.12 | 1.26 | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||||
10/31/2011 | 13.06 | 0.09 | (0.94 | ) | (0.85 | ) | (0.04 | ) | – | (0.04 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Amount less than $0.01. |
100 | See Notes to Financial Statements. |
Ratios to average net assets: | Supplemental Data: | |||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets end of period (000) | Portfolio turnover rate (%) | |||||||||||||
$ | 17.01 | 9.36 | 1.33 | 0.51 | $ | 160,628 | 81.57 | |||||||||||
16.22 | (2.39 | ) | 1.35 | 0.66 | 117,037 | 80.08 | ||||||||||||
16.83 | 30.26 | 1.47 | 0.66 | 99,530 | 99.98 | |||||||||||||
13.17 | 10.59 | 1.52 | 1.20 | 76,139 | 91.18 | |||||||||||||
12.00 | (6.39 | ) | 1.49 | 0.79 | 83,729 | 103.98 | ||||||||||||
16.11 | 8.51 | 2.07 | (0.24 | ) | 2,702 | 81.57 | ||||||||||||
15.37 | (3.09 | ) | 2.07 | (0.16 | ) | 3,999 | 80.08 | |||||||||||
15.96 | 29.39 | 2.12 | (0.03 | ) | 6,357 | 99.98 | ||||||||||||
12.49 | 9.95 | 2.16 | 0.52 | 6,854 | 91.18 | |||||||||||||
11.36 | (6.96 | ) | 2.13 | 0.12 | 9,439 | 103.98 | ||||||||||||
15.92 | 8.58 | 2.06 | (0.23 | ) | 31,273 | 81.57 | ||||||||||||
15.23 | (3.12 | ) | 2.06 | (0.10 | ) | 21,868 | 80.08 | |||||||||||
15.84 | 29.43 | 2.10 | 0.03 | 18,138 | 99.98 | |||||||||||||
12.41 | 10.00 | 2.14 | 0.59 | 13,953 | 91.18 | |||||||||||||
11.29 | (7.00 | ) | 2.10 | 0.17 | 15,603 | 103.98 | ||||||||||||
16.88 | 9.52 | 1.18 | 0.61 | 118,963 | 81.57 | |||||||||||||
16.11 | (2.21 | ) | 1.18 | 0.80 | 44,607 | 80.08 | ||||||||||||
16.73 | 30.63 | 1.22 | 1.13 | 18,046 | 99.98 | |||||||||||||
13.09 | 10.83 | 1.27 | 1.47 | 944 | 91.18 | |||||||||||||
11.94 | (6.16 | ) | 1.24 | 1.00 | 934 | 103.98 | ||||||||||||
17.44 | 9.59 | 1.08 | 0.77 | 296,965 | 81.57 | |||||||||||||
16.63 | (2.10 | ) | 1.08 | 0.87 | 274,583 | 80.08 | ||||||||||||
17.25 | 30.74 | 1.12 | 0.99 | 259,952 | 99.98 | |||||||||||||
13.49 | 10.96 | 1.17 | 1.54 | 195,785 | 91.18 | |||||||||||||
12.30 | (6.01 | ) | 1.14 | 1.17 | 213,865 | 103.98 | ||||||||||||
17.27 | 9.15 | 1.53 | 0.29 | 595 | 81.57 | |||||||||||||
16.46 | (2.60 | ) | 1.53 | 0.38 | 872 | 80.08 | ||||||||||||
17.08 | 30.19 | 1.57 | 0.57 | 1,096 | 99.98 | |||||||||||||
13.36 | 10.49 | 1.62 | 1.14 | 929 | 91.18 | |||||||||||||
12.17 | (6.51 | ) | 1.59 | 0.69 | 820 | 103.98 |
See Notes to Financial Statements. | 101 |
Financial Highlights (concluded)
INTERNATIONAL OPPORTUNITIES FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
10/31/2015 | $16.05 | $0.02 | $1.35 | $1.37 | $(0.13 | ) | $(0.48 | ) | $(0.61 | ) | ||||||||||||||||||
10/31/2014 | 16.69 | 0.04 | (0.48 | ) | (0.44 | ) | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||
10/31/2013 | 13.07 | 0.06 | 3.79 | 3.85 | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||||
10/31/2012 | 11.90 | 0.11 | 1.11 | 1.22 | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||||
10/31/2011 | 12.77 | 0.07 | (0.92 | ) | (0.85 | ) | (0.02 | ) | – | (0.02 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
10/31/2015 | 15.97 | 0.05 | 1.34 | 1.39 | (0.15 | ) | (0.48 | ) | (0.63 | ) | ||||||||||||||||||
10/31/2014 | 16.57 | 0.07 | (0.49 | ) | (0.42 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
10/31/2013 | 12.98 | 0.06 | 3.78 | 3.84 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
10/31/2012 | 11.84 | 0.13 | 1.09 | 1.22 | (0.08 | ) | – | (0.08 | ) | |||||||||||||||||||
10/31/2011 | 12.72 | 0.10 | (0.92 | ) | (0.82 | ) | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(d) | 17.49 | – | (c) | (0.48 | )(e) | (0.48 | ) | – | – | – | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(d) | 17.92 | 0.02 | (0.50 | )(e) | (0.48 | ) | – | – | – | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2015 to 10/31/2015(d) | 17.92 | 0.03 | (0.50 | )(e) | (0.47 | ) | – | – | – |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Amount less than $0.01. |
(d) | Commenced on June 30, 2015. |
(e) | The per share amount does not represent the net realized and unrealized gain (loss) as presented on the Statements of Operations for the period due to the timing of sales of Fund shares and the amount of per share realized and unrealized gains and losses. |
(f) | Not annualized. |
(g) | Annualized. |
102 | See Notes to Financial Statements. |
Ratios to average net assets: | Supplemental Data: | |||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
$16.81 | 8.92 | 1.68 | 0.15 | $935 | 81.57 | |||||||||||||||||
16.05 | (2.69 | ) | 1.68 | 0.26 | 198 | 80.08 | ||||||||||||||||
16.69 | 29.97 | 1.72 | 0.40 | 201 | 99.98 | |||||||||||||||||
13.07 | 10.35 | 1.76 | 0.90 | 91 | 91.18 | |||||||||||||||||
11.90 | (6.68 | ) | 1.74 | 0.56 | 95 | 103.98 | ||||||||||||||||
16.73 | 9.11 | 1.56 | 0.29 | 9,161 | 81.57 | |||||||||||||||||
15.97 | (2.63 | ) | 1.56 | 0.39 | 6,000 | 80.08 | ||||||||||||||||
16.57 | 30.14 | 1.62 | 0.45 | 6,133 | 99.98 | |||||||||||||||||
12.98 | 10.49 | 1.65 | 1.11 | 6,212 | 91.18 | |||||||||||||||||
11.84 | (6.51 | ) | 1.60 | 0.74 | 5,097 | 103.98 | ||||||||||||||||
17.01 | (2.74 | )(f) | 1.35 | (g) | 0.03 | (g) | 10 | 81.57 | ||||||||||||||
17.44 | (2.68 | )(f) | 1.10 | (g) | 0.28 | (g) | 10 | 81.57 | ||||||||||||||
17.45 | (2.62 | )(f) | 0.93 | (g) | 0.48 | (g) | 13 | 81.57 |
See Notes to Financial Statements. | 103 |
Financial Highlights
VALUE OPPORTUNITIES FUND
Per Share Operating Performance: | ||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | Net realized gain | Net asset value, end of period | |||||||||||||||||
Class A | ||||||||||||||||||||||
10/31/2015 | $21.67 | $(0.01 | ) | $0.77 | $0.76 | $(2.87 | ) | $19.56 | ||||||||||||||
10/31/2014 | 21.44 | (0.03 | ) | 2.16 | 2.13 | (1.90 | ) | 21.67 | ||||||||||||||
10/31/2013 | 15.99 | – | (c) | 5.45 | 5.45 | – | 21.44 | |||||||||||||||
10/31/2012 | 15.16 | (0.03 | ) | 0.92 | 0.89 | (0.06 | ) | 15.99 | ||||||||||||||
10/31/2011 | 14.45 | (0.05 | ) | 0.83 | 0.78 | (0.07 | ) | 15.16 | ||||||||||||||
Class B | ||||||||||||||||||||||
10/31/2015 | 20.41 | (0.15 | ) | 0.73 | 0.58 | (2.87 | ) | 18.12 | ||||||||||||||
10/31/2014 | 20.42 | (0.16 | ) | 2.05 | 1.89 | (1.90 | ) | 20.41 | ||||||||||||||
10/31/2013 | 15.32 | (0.12 | ) | 5.22 | 5.10 | – | 20.42 | |||||||||||||||
10/31/2012 | 14.63 | (0.12 | ) | 0.87 | 0.75 | (0.06 | ) | 15.32 | ||||||||||||||
10/31/2011 | 14.03 | (0.14 | ) | 0.81 | 0.67 | (0.07 | ) | 14.63 | ||||||||||||||
Class C | ||||||||||||||||||||||
10/31/2015 | 20.41 | (0.15 | ) | 0.72 | 0.57 | (2.87 | ) | 18.11 | ||||||||||||||
10/31/2014 | 20.42 | (0.16 | ) | 2.05 | 1.89 | (1.90 | ) | 20.41 | ||||||||||||||
10/31/2013 | 15.32 | (0.12 | ) | 5.22 | 5.10 | – | 20.42 | |||||||||||||||
10/31/2012 | 14.62 | (0.13 | ) | 0.89 | 0.76 | (0.06 | ) | 15.32 | ||||||||||||||
10/31/2011 | 14.03 | (0.14 | ) | 0.80 | 0.66 | (0.07 | ) | 14.62 | ||||||||||||||
Class F | ||||||||||||||||||||||
10/31/2015 | 21.92 | 0.02 | 0.78 | 0.80 | (2.87 | ) | 19.85 | |||||||||||||||
10/31/2014 | 21.62 | 0.02 | 2.18 | 2.20 | (1.90 | ) | 21.92 | |||||||||||||||
10/31/2013 | 16.07 | 0.05 | 5.50 | 5.55 | – | 21.62 | ||||||||||||||||
10/31/2012 | 15.20 | 0.01 | 0.92 | 0.93 | (0.06 | ) | 16.07 | |||||||||||||||
10/31/2011 | 14.45 | (0.01 | ) | 0.83 | 0.82 | (0.07 | ) | 15.20 | ||||||||||||||
Class I | ||||||||||||||||||||||
10/31/2015 | 22.20 | 0.04 | 0.79 | 0.83 | (2.87 | ) | 20.16 | |||||||||||||||
10/31/2014 | 21.85 | 0.05 | 2.20 | 2.25 | (1.90 | ) | 22.20 | |||||||||||||||
10/31/2013 | 16.23 | 0.06 | 5.56 | 5.62 | – | 21.85 | ||||||||||||||||
10/31/2012 | 15.34 | 0.02 | 0.93 | 0.95 | (0.06 | ) | 16.23 | |||||||||||||||
10/31/2011 | 14.57 | 0.01 | 0.83 | 0.84 | (0.07 | ) | 15.34 |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Amount less than $0.01. |
(d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
104 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | ||||||||||||||||
Total return(b) (%) | Total expenses (%) | Net investment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||
3.67 | 1.17 | (0.05 | ) | $ | 1,026,959 | 46.88 | |||||||||||
10.72 | 1.26 | (0.13 | ) | 1,316,790 | 53.81 | ||||||||||||
34.08 | 1.28 | (0.01 | ) | 1,372,436 | 69.49 | (d) | |||||||||||
5.89 | 1.31 | (0.19 | ) | 870,567 | 58.84 | ||||||||||||
5.45 | 1.31 | (0.29 | ) | 883,444 | 56.87 | ||||||||||||
2.93 | 1.92 | (0.79 | ) | 11,521 | 46.88 | ||||||||||||
10.02 | 1.91 | (0.78 | ) | 18,752 | 53.81 | ||||||||||||
33.29 | 1.93 | (0.68 | ) | 24,911 | 69.49 | (d) | |||||||||||
5.14 | 1.96 | (0.83 | ) | 13,315 | 58.84 | ||||||||||||
4.83 | 1.96 | (0.91 | ) | 15,700 | 56.87 | ||||||||||||
2.87 | 1.92 | (0.80 | ) | 356,709 | 46.88 | ||||||||||||
10.02 | 1.91 | (0.79 | ) | 404,787 | 53.81 | ||||||||||||
33.29 | 1.93 | (0.66 | ) | 400,420 | 69.49 | (d) | |||||||||||
5.21 | 1.96 | (0.83 | ) | 248,357 | 58.84 | ||||||||||||
4.76 | 1.96 | (0.95 | ) | 263,798 | 56.87 | ||||||||||||
3.84 | 1.02 | 0.09 | 557,742 | 46.88 | |||||||||||||
10.97 | 1.02 | 0.11 | 550,524 | 53.81 | |||||||||||||
34.54 | 1.03 | 0.26 | 456,370 | 69.49 | (d) | ||||||||||||
6.13 | 1.06 | 0.06 | 369,321 | 58.84 | |||||||||||||
5.73 | 1.07 | (0.06 | ) | 385,086 | 56.87 | ||||||||||||
3.94 | 0.92 | 0.20 | 557,008 | 46.88 | |||||||||||||
11.10 | 0.92 | 0.21 | 647,442 | 53.81 | |||||||||||||
34.63 | 0.93 | 0.33 | 675,593 | 69.49 | (d) | ||||||||||||
6.21 | 0.97 | 0.15 | 411,546 | 58.84 | |||||||||||||
5.82 | 0.97 | 0.06 | 291,056 | 56.87 |
See Notes to Financial Statements. | 105 |
Financial Highlights (concluded)
VALUE OPPORTUNITIES FUND
Per Share Operating Performance: | |||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | ||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | Net realized gain | Net asset value, end of period | ||||||||||||||||||
Class P | |||||||||||||||||||||||
10/31/2015 | $21.51 | $(0.05 | ) | $0.77 | $0.72 | $(2.87 | ) | $19.36 | |||||||||||||||
10/31/2014 | 21.32 | (0.05 | ) | 2.14 | 2.09 | (1.90 | ) | 21.51 | |||||||||||||||
10/31/2013 | 15.90 | (0.07 | ) | 5.49 | 5.42 | – | 21.32 | ||||||||||||||||
10/31/2012 | 15.09 | (0.04 | ) | 0.91 | 0.87 | (0.06 | ) | 15.90 | |||||||||||||||
10/31/2011 | 14.40 | (0.05 | ) | 0.81 | 0.76 | (0.07 | ) | 15.09 | |||||||||||||||
Class R2 | |||||||||||||||||||||||
10/31/2015 | 21.27 | (0.08 | ) | 0.76 | 0.68 | (2.87 | ) | 19.08 | |||||||||||||||
10/31/2014 | 21.13 | (0.08 | ) | 2.12 | 2.04 | (1.90 | ) | 21.27 | |||||||||||||||
10/31/2013 | 15.79 | (0.04 | ) | 5.38 | 5.34 | – | 21.13 | ||||||||||||||||
10/31/2012 | 15.01 | (0.07 | ) | 0.91 | 0.84 | (0.06 | ) | 15.79 | |||||||||||||||
10/31/2011 | 14.34 | (0.09 | ) | 0.83 | 0.74 | (0.07 | ) | 15.01 | |||||||||||||||
Class R3 | |||||||||||||||||||||||
10/31/2015 | 21.37 | (0.06 | ) | 0.76 | 0.70 | (2.87 | ) | 19.20 | |||||||||||||||
10/31/2014 | 21.20 | (0.06 | ) | 2.13 | 2.07 | (1.90 | ) | 21.37 | |||||||||||||||
10/31/2013 | 15.83 | (0.03 | ) | 5.40 | 5.37 | – | 21.20 | ||||||||||||||||
10/31/2012 | 15.03 | (0.05 | ) | 0.91 | 0.86 | (0.06 | ) | 15.83 | |||||||||||||||
10/31/2011 | 14.34 | (0.07 | ) | 0.83 | 0.76 | (0.07 | ) | 15.03 | |||||||||||||||
Class R4 | |||||||||||||||||||||||
6/30/2015 to | |||||||||||||||||||||||
10/31/2015(e) | 20.33 | – | (c) | (0.76 | )(f) | (0.76 | ) | – | 19.57 | ||||||||||||||
Class R5 | |||||||||||||||||||||||
6/30/2015 to | |||||||||||||||||||||||
10/31/2015(e) | 20.93 | 0.01 | (0.78 | )(f) | (0.77 | ) | – | 20.16 | |||||||||||||||
Class R6 | |||||||||||||||||||||||
6/30/2015 to | |||||||||||||||||||||||
10/31/2015(e) | 20.93 | 0.02 | (0.78 | )(f) | (0.76 | ) | – | 20.17 |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Amount less than $0.01. |
(d) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Small Cap Blend Fund on July 19, 2013. |
(e) | Commenced on June 30, 2015. |
(f) | The per share amount does not represent the net realized and unrealized gain (loss) as presented on the Statements of Operations for the period due to the timing of sales of Fund shares and the amount of per share realized and unrealized gains and losses at such time. |
(g) | Not annualized. |
(h) | Annualized. |
106 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total return(b) (%) | Total expenses (%) | Net investment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
3.50 | 1.37 | (0.25 | ) | $ | 42,225 | 46.88 | ||||||||||||
10.58 | 1.36 | (0.23 | ) | 49,179 | 53.81 | |||||||||||||
34.09 | 1.37 | (0.34 | ) | 54,081 | 69.49 | (d) | ||||||||||||
5.78 | 1.41 | (0.24 | ) | 918 | 58.84 | |||||||||||||
5.33 | 1.41 | (0.35 | ) | 3,392 | 56.87 | |||||||||||||
3.33 | 1.53 | (0.40 | ) | 7,120 | 46.88 | |||||||||||||
10.42 | 1.52 | (0.38 | ) | 10,364 | 53.81 | |||||||||||||
33.82 | 1.53 | (0.24 | ) | 13,922 | 69.49 | (d) | ||||||||||||
5.61 | 1.56 | (0.44 | ) | 11,056 | 58.84 | |||||||||||||
5.21 | 1.57 | (0.58 | ) | 8,804 | 56.87 | |||||||||||||
3.42 | 1.42 | (0.30 | ) | 114,489 | 46.88 | |||||||||||||
10.54 | 1.41 | (0.29 | ) | 133,353 | 53.81 | |||||||||||||
33.92 | 1.43 | (0.17 | ) | 130,597 | 69.49 | (d) | ||||||||||||
5.74 | 1.46 | (0.35 | ) | 86,441 | 58.84 | |||||||||||||
5.35 | 1.47 | (0.47 | ) | 64,504 | 56.87 | |||||||||||||
(3.74 | )(g) | 1.15 | (h) | (0.07 | )(h) | 10 | 46.88 | |||||||||||
(3.68 | )(g) | 0.89 | (h) | 0.19 | (h) | 10 | 46.88 | |||||||||||
(3.63 | )(g) | 0.82 | (h) | 0.28 | (h) | 29,039 | 46.88 |
See Notes to Financial Statements. | 107 |
1. | ORGANIZATION |
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 active share classes during the fiscal year ended October 31, 2015:
Funds | Share Classes |
Lord Abbett Alpha Strategy Fund (“Alpha Strategy Fund”) | A, B, C, F, I, P, R2, R3, R4, R5 and R6 |
Lord Abbett Fundamental Equity Fund (“Fundamental Equity Fund”) | A, B, C, F, I, P, R2, R3, R4, R5 and R6 |
Lord Abbett Growth Leaders Fund (“Growth Leaders Fund”) | A, B, C, F, I, R2, R3, R4, R5 and R6 |
Lord Abbett International Core Equity Fund (“International Core Equity Fund”) | A, B, C, F, I, P, R2, R3, R4, R5 and R6 |
Lord Abbett International Dividend Income Fund (“International Dividend Income Fund”) | A, C, F, I, R2, R3, R4, R5 and R6 |
Lord Abbett International Opportunities Fund (“International Opportunities Fund”) | A, B, C, F, I, P, R2, R3, R4, R5 and R6 |
Lord Abbett Value Opportunities Fund (“Value Opportunities Fund”) | A, B, C, F, I, P, R2, R3, R4, R5 and R6 |
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. Classes R4, R5 and R6 shares commenced on June 30, 2015.
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, R3, R4, R5 and R6 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
108
Notes to Financial Statements (continued)
and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds are considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies.
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 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 (“NYSE”). Each Fund may utilize 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. 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 |
109
Notes to Financial Statements (continued)
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, 2012 through October 31, 2015. 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, R3 and R4 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 translation of assets and liabilities denominated in foreign currencies in each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized loss on foreign currency related transactions in each Fund’s Statement of Operations. The Funds do 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 translation of assets and liabilities denominated in foreign currencies in 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 loss on foreign currency related transactions in each Fund’s Statement of Operations. |
110
Notes to Financial Statements (continued)
(h) | Futures Contracts–Each Fund may purchase and sell futures contracts to enhance returns, to attempt to economically 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. |
(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 |
111
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, 2015 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 year ended October 31, 2015, the effective management fee, net of any applicable waivers, 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 | .40%(3) |
International Core Equity Fund | .49%(4) |
International Dividend Income Fund | .59%(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, 2015 and continuing through February 29, 2016, Lord Abbett has contractually agreed to waive its management fee at an annual rate of .05%. For the fiscal year ended October 31, 2015, Lord Abbett voluntarily waived the remainder of its management fee at an annual rate of .05%. 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% |
112
Notes to Financial Statements (continued)
(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% |
(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 fiscal year ended October 31, 2015 and continuing through February 29, 2016, Lord Abbett has contractually agreed to waive its fees and reimburse expenses for Growth Leaders Fund to the extent necessary to limit total net annual operating expenses, excluding 12b-1 fees, to an annual rate of ..60% for each class, other than Class R6. For Class R6 shares, Lord Abbett has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit total net annual operating expenses to an annual rate of .49%.
Effective March 1, 2015 and continuing through February 29, 2016, Lord Abbett has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit total net annual operating expenses, excluding 12b-1 fees, to the following annual rates:
Funds | ||
Classes | International Core Equity Fund | International Dividend Income Fund |
A, B, C, P, R2, R3, R4 and R5 | 0.87% | 0.87% |
F and I | 0.77% | 0.81% |
R6 | 0.70% | 0.80% |
Prior to March 1, 2015, Lord Abbett had contractually agreed to waive its fees and reimburse expenses for International Core Equity Fund and International Dividend Income Fund to the extent necessary to limit total net annual operating expenses, excluding 12b-1 fees, to an annual rate of .77% for Classes A, B, C, F, I, P, R2 and R3.
All contractual 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
113
Notes to Financial Statements (continued)
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 in 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 (collectively, the “Underlying Funds”), have entered into a Servicing Arrangement with certain “Fund of Funds” managed by Lord Abbett, pursuant to which 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, if applicable, are included in Subsidy expense of each Fund’s Statement of Operations and Payable to affiliates on each Fund’s Statement of Assets and Liabilities.
As of October 31, 2015, 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 | – | – | – | – | 40.84% | 9.17% |
Diversified Equity Strategy Fund | 1.10% | 2.06% | 6.12% | – | 3.46% | 0.98% |
Multi-Asset Balanced Opportunity Fund | – | – | – | 16.28% | – | – |
Multi-Asset Global Opportunity Fund | – | – | – | 5.26% | – | – |
Multi-Asset Growth Fund | – | – | – | 11.92% | – | – |
Multi-Asset Income Fund | – | – | – | 11.83% | – | – |
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2, R3 and R4 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 annual rates have been authorized by the Board pursuant to the plan:
Fees* | Class A(1) | Class B | Class C | Class F | Class P(2) | Class R2 | Class R3 | Class R4 | |
Service | .25% | .25% | .25% | – | .25% | .25 | % | .25% | .25% |
Distribution | – | .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) | Prior to March 1, 2015, Class A 12b-1 fees for International Core Equity Fund and International Dividend Income 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. |
Classes I, R5 and R6 shares do not have a distribution plan.
114
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, 2015:
Distributor | Dealers’ | |
Commissions | Concessions | |
Alpha Strategy Fund | $202,241 | $1,124,854 |
Fundamental Equity Fund | 269,936 | 1,472,910 |
Growth Leaders Fund | 510,568 | 2,929,661 |
International Core Equity Fund | 117,549 | 618,867 |
International Dividend Income Fund | 412,521 | 2,174,913 |
International Opportunities Fund | 78,786 | 427,838 |
Value Opportunities Fund | 192,128 | 1,035,947 |
Distributor received the following amount of CDSCs for the fiscal year ended October 31, 2015:
Class A | Class C | |
Alpha Strategy Fund | $27,360 | $18,416 |
Fundamental Equity Fund | 16,631 | 45,288 |
Growth Leaders Fund | 79,380 | 70,217 |
International Core Equity Fund | 553 | 1,770 |
International Dividend Income Fund | 66,147 | 45,690 |
International Opportunities Fund | 16,344 | 2,168 |
Value Opportunities Fund | 10,134 | 18,469 |
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, 2015, distributions were declared on November 19, 2015 and paid on November 24, 2015 to shareholders of record on November 23, 2015. The approximate amounts were as follows:
Net Investment Income | Net Short-Term Capital Gain | Net Long-Term Capital Gain | ||||||||||
Fundamental Equity Fund | $ | 41,598,000 | $ | – | $ | 311,274,000 | ||||||
Growth Leaders Fund | – | 86,118,000 | 10,008,000 | |||||||||
Value Opportunities Fund | – | – | 191,980,000 |
115
Notes to Financial Statements (continued)
Subsequent to the Funds’ fiscal year ended October 31, 2015, distributions were declared on December 11, 2015 and paid on December 18, 2015 to shareholders of record on December 17, 2015. The approximate amounts were as follows:
Net Investment Income | Net Short-Term Capital Gain | Net Long-Term Capital Gain | |||||||||||||||
International Core Equity Fund | $ | 6,596,000 | $ | – | $ | – | |||||||||||
International Opportunities Fund | 4,390,000 | 5,954,000 | 16,342,000 | ||||||||||||||
Subsequent to Alpha Strategy Fund’s fiscal year ended October 31, 2015, distributions were declared on December 11, 2015 and paid on December 22, 2015 to shareholders of record on December 21, 2015. The approximate amounts were as follows: | |||||||||||||||||
Net Investment Income | Net Long-Term Capital Gains | ||||||||||||||||
$6,629,000 | $162,271,000 |
The tax character of distributions paid during the fiscal years ended October 31, 2015 and 2014 was as follows:
Alpha Strategy Fund | Fundamental Equity Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
10/31/2015 | 10/31/2014 | 10/31/2015 | 10/31/2014 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 17,527,867 | $ | 45,823,955 | $ | 225,917,626 | $ | 208,816,026 | ||||||||
Net long-term capital gains | 118,549,905 | 41,361,605 | 712,708,155 | 675,477,284 | ||||||||||||
Total distributions paid | $ | 136,077,772 | $ | 87,185,560 | $ | 938,625,781 | $ | 884,293,310 | ||||||||
Growth Leaders Fund | International Core Equity Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
10/31/2015 | 10/31/2014 | 10/31/2015 | 10/31/2014 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 73,120,882 | $ | 29,724,487 | $ | 6,527,984 | $ | 15,956,504 | ||||||||
Net long-term capital gains | 925,072 | 389,799 | – | – | ||||||||||||
Total distributions paid | $ | 74,045,954 | $ | 30,114,286 | $ | 6,527,984 | $ | 15,956,504 | ||||||||
International Dividend Income Fund | International Opportunities Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
10/31/2015 | 10/31/2014 | 10/31/2015 | 10/31/2014 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 81,607,020 | $ | 116,396,955 | $ | 5,964,486 | $ | 6,003,315 | ||||||||
Net long-term capital gains | 141,434,115 | – | 13,687,933 | – | ||||||||||||
Total distributions paid | $ | 223,041,135 | $ | 116,396,955 | $ | 19,652,419 | $ | 6,003,315 | ||||||||
Value Opportunities Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
10/31/2015 | 10/31/2014 | |||||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 65,969,568 | $ | 57,058,078 | ||||||||||||
Net long-term capital gains | 343,597,289 | 221,546,277 | ||||||||||||||
Total distributions paid | $ | 409,566,857 | $ | 278,604,355 |
116
Notes to Financial Statements (continued)
As of October 31, 2015, the components of accumulated gains (losses) on a tax-basis were as follows:
Alpha | Fundamental | |||||||
Strategy Fund | Equity Fund | |||||||
Undistributed ordinary income – net | $ | 1,215,163 | $ | 31,481,796 | ||||
Undistributed long-term capital gains | 162,271,023 | 311,146,483 | ||||||
Total undistributed earnings | 163,486,186 | 342,628,279 | ||||||
Capital loss carryforwards* | – | (1,280,805 | ) | |||||
Temporary differences | (4,604,612 | ) | (797,457 | ) | ||||
Unrealized gains – net | 128,901,744 | 354,290,419 | ||||||
Total accumulated gains – net | $ | 287,783,318 | $ | 694,840,436 | ||||
Growth | International | |||||||
Leaders Fund | Core Equity Fund | |||||||
Undistributed ordinary income – net | $ | 86,116,604 | $ | 5,956,036 | ||||
Undistributed long-term capital gains | 9,999,176 | – | ||||||
Total undistributed earnings | 96,115,780 | 5,956,036 | ||||||
Capital loss carryforwards* | – | (203,971,215 | ) | |||||
Temporary differences | (626,463 | ) | (143,575 | ) | ||||
Unrealized gains – net | 93,862,740 | 1,783,623 | ||||||
Total accumulated gains (losses) – net | $ | 189,352,057 | $ | (196,375,131 | ) | |||
International | International | |||||||
Dividend | Opportunities | |||||||
Income Fund | Fund | |||||||
Undistributed ordinary income – net | $ | – | $ | 9,656,512 | ||||
Undistributed long-term capital gains | – | 16,340,480 | ||||||
Total undistributed earnings | – | 25,996,992 | ||||||
Capital loss carryforwards* | (140,981,481 | ) | – | |||||
Temporary differences | (193,715 | ) | (69,341 | ) | ||||
Unrealized gains (losses) – net | (227,995,535 | ) | 14,362,105 | |||||
Total accumulated gains (losses) – net | $ | (369,170,731 | ) | $ | 40,289,756 | |||
Value | ||||||||
Opportunities Fund | ||||||||
Undistributed long-term capital gains | $ | 191,978,284 | ||||||
Total undistributed earnings | 191,978,284 | |||||||
Temporary differences | (6,823,845 | ) | ||||||
Unrealized gains – net | 526,579,026 | |||||||
Total accumulated gains – net | $ | 711,733,465 |
* | As of October 31, 2015, the capital loss carryforwards, along with the related expiration dates, were as follows: |
2016 | 2017 | Indefinite | Total | |||||||||||||
Fundamental Equity Fund | $1,280,805 | $ | – | $ | – | $ | 1,280,805 | |||||||||
International Core Equity Fund | – | 198,263,766 | 5,707,449 | 203,971,215 | ||||||||||||
International Dividend Income Fund | – | – | 140,981,481 | 140,981,481 |
In accordance with the Regulated Investment Company Modernization Act of 2010, each Fund will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-
117
Notes to Financial Statements (continued)
enactment losses”) indefinitely. Post-enactment losses will also retain their character as either short-term or long-term and be utilized before any pre-enactment losses.
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 2015 as follows:
Alpha Strategy Fund | $4,465,653 |
Growth Leaders Fund | 545,770 |
Value Opportunities Fund | 6,443,872 |
As of October 31, 2015, 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 | $ | 1,132,124,499 | $ | 3,331,715,578 | $ | 1,900,206,772 | ||||||
Gross unrealized gain | 143,239,501 | 408,067,440 | 109,474,868 | |||||||||
Gross unrealized loss | (14,337,757 | ) | (53,777,021 | ) | (15,612,128 | ) | ||||||
Net unrealized security gain | $ | 128,901,744 | $ | 354,290,419 | $ | 93,862,740 | ||||||
International | ||||||||||||
International | Dividend | International | ||||||||||
Core Equity Fund | Income Fund | Opportunities Fund | ||||||||||
Tax cost | $ | 521,649,316 | $ | 2,365,771,476 | $ | 597,752,961 | ||||||
Gross unrealized gain | 42,419,160 | 116,833,289 | 51,055,527 | |||||||||
Gross unrealized loss | (40,189,434 | ) | (344,367,025 | ) | (36,190,945 | ) | ||||||
Net unrealized security gain (loss) | $ | 2,229,726 | $ | (227,533,736 | ) | $ | 14,864,582 | |||||
Value | ||||||||||||
Opportunities Fund | ||||||||||||
Tax cost | $ | 2,156,762,219 | ||||||||||
Gross unrealized gain | 590,129,691 | |||||||||||
Gross unrealized loss | (63,550,665 | ) | ||||||||||
Net unrealized security gain | $ | 526,579,026 |
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, 2015 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 | $ | 18,539,361 | $ | (18,539,361 | ) | $ | – | |||||
Fundamental Equity Fund | (215,393 | ) | (61,308,102 | ) | 61,523,495 | |||||||
Growth Leaders Fund | 2,524,646 | (2,524,646 | ) | – | ||||||||
International Core Equity Fund | (2,023,299 | ) | 2,023,299 | – | ||||||||
International Dividend Income Fund | (538,223 | ) | 838,265 | (300,042 | ) | |||||||
International Opportunities Fund | (1,914,001 | ) | 1,914,001 | – | ||||||||
Value Opportunities Fund | (977,987 | ) | 977,987 | – |
118
Notes to Financial Statements (continued)
The permanent differences are primarily attributable to the tax treatment of net investment losses, certain distributions, certain expenses, foreign currency transactions, and certain securities.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended October 31, 2015 were as follows:
Purchases | Sales | |||||||
Alpha Strategy Fund | $ | 216,029,336 | $ | 106,649,673 | ||||
Fundamental Equity Fund | 6,439,538,714 | 8,172,628,838 | ||||||
Growth Leaders Fund | 4,802,394,314 | 4,264,748,234 | ||||||
International Core Equity Fund | 346,330,018 | 412,984,331 | ||||||
International Dividend Income Fund | 1,939,732,815 | 1,845,801,535 | ||||||
International Opportunities Fund | 514,204,860 | 418,457,221 | ||||||
Value Opportunities Fund | 1,383,160,245 | 1,961,589,977 |
There were no purchases or sales of U.S. Government securities for the fiscal year ended October 31, 2015.
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 year ended October 31, 2015 (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.
As of October 31, 2015, International Core Equity Fund, International Dividend Income Fund and International Opportunities Fund had the following derivatives at fair value, grouped into risk categories that illustrate the Funds’ use of derivative instruments:
International | International | |||||||
Core Equity Fund | Dividend Income Fund | |||||||
Foreign | Foreign | |||||||
Currency | Currency | |||||||
Asset Derivatives | Contracts | Contracts | ||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 804,934 | $ | 4,832,911 | ||||
Liability Derivatives | ||||||||
Forward Foreign Currency Exchange Contracts(2) | $ | 2,416,285 | $ | 19,438,980 |
119
Notes to Financial Statements (continued)
International | ||||||||
Opportunities Fund | ||||||||
Foreign | ||||||||
Currency | ||||||||
Asset Derivatives | Contracts | |||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 2,525,442 | ||||||
Liability Derivatives | ||||||||
Forward Foreign Currency Exchange Contracts(2) | $ | 1,846,363 |
(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, 2015, were as follows:
International | International | |||||||
Core Equity Fund | Dividend Income Fund | |||||||
Foreign | Foreign | |||||||
Currency | Currency | |||||||
Contracts | Contracts | |||||||
Net Realized Gain (Loss)(1) | ||||||||
Forward Foreign Currency Exchange Contracts | $ | (3,270,147 | ) | $ | (9,736,422 | ) | ||
Net Change in Unrealized Appreciation/Depreciation(2) | ||||||||
Forward Foreign Currency Exchange Contracts | $ | (1,730,284 | ) | $ | (37,794,037 | ) | ||
Average Notional Amounts* | ||||||||
Forward Foreign Currency Exchange Contracts(3) | $ | 207,071,246 | $ | 1,718,694,466 |
International | ||||||||
Opportunities Fund | ||||||||
Foreign | ||||||||
Currency | ||||||||
Contracts | ||||||||
Net Realized Gain (Loss)(1) | ||||||||
Forward Foreign Currency Exchange Contracts | $ | (6,246,017 | ) | |||||
Net Change in Unrealized Appreciation/Depreciation(2) | ||||||||
Forward Foreign Currency Exchange Contracts | $ | 1,588,021 | ||||||
Average Notional Amounts* | ||||||||
Forward Foreign Currency Exchange Contracts(3) | $ | 209,518,822 |
* | Calculated based on notional amounts for the fiscal year ended October 31, 2015. |
(1) | Statements of Operations location: Net realized loss on foreign currency related transactions. |
(2) | Statements of Operations location: Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies. |
(3) | Amount represents notional amounts in U.S. dollars. |
120
Notes to Financial Statements (continued)
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. 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:
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 | $326,276 | $ | – | $326,276 | ||||||||
Total | $326,276 | $ | – | $326,276 |
Net Amounts | ||||||||||||||||||||
of Assets | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | |||||||||||||||
Fixed Income Clearing Corp. | $326,276 | $ | – | $ | – | $(326,276 | ) | $ | – | |||||||||||
Total | $326,276 | $ | – | $ | – | $(326,276 | ) | $ | – |
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 | $ | 96,012,810 | $ | – | $ | 96,012,810 | ||||||
Total | $ | 96,012,810 | $ | – | $ | 96,012,810 |
Net Amounts | ||||||||||||||||||||
of Assets | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | |||||||||||||||
Fixed Income Clearing Corp. | $ | 96,012,810 | $ | – | $ | – | $ | (96,012,810 | ) | $ | – | |||||||||
Total | $ | 96,012,810 | $ | – | $ | – | $ | (96,012,810 | ) | $ | – |
121
Notes to Financial Statements (continued)
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 | $ | 31,052,961 | $ | – | $ | 31,052,961 | ||||||
Total | $ | 31,052,961 | $ | – | $ | 31,052,961 |
Net Amounts | ||||||||||||||||||||
of Assets | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | |||||||||||||||
Fixed Income Clearing Corp. | $ | 31,052,961 | $ | – | $ | – | $ | (31,052,961 | ) | $ | – | |||||||||
Total | $ | 31,052,961 | $ | – | $ | – | $ | (31,052,961 | ) | $ | – |
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 | $ | 804,934 | $ | – | $ | 804,934 | ||||||
Repurchase Agreement | 9,859,030 | – | 9,859,030 | |||||||||
Total | $ | 10,663,964 | $ | – | $ | 10,663,964 |
Net Amounts | ||||||||||||||||||||
of Assets | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | |||||||||||||||
Bank of America | $ | 4,051 | $ (4,051 | ) | $ | – | $ | – | $ | – | ||||||||||
Deutsche Bank AG | 179,682 | (179,682 | ) | – | – | – | ||||||||||||||
Fixed Income Clearing Corp. | 9,859,030 | – | – | (9,859,030 | ) | – | ||||||||||||||
Goldman Sachs | 66,456 | (66,456 | ) | – | – | – | ||||||||||||||
J.P. Morgan Chase | 374,689 | (39,102 | ) | (335,587 | ) | – | – | |||||||||||||
Morgan Stanley | 141,594 | (141,594 | ) | – | – | – | ||||||||||||||
UBS AG | 38,462 | – | – | – | 38,462 | |||||||||||||||
Total | $ | 10,663,964 | $(430,885 | ) | $ | (335,587 | ) | $ | (9,859,030 | ) | $ | 38,462 |
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 | $ | 2,416,285 | $ | – | $ | 2,416,285 | ||||||
Total | $ | 2,416,285 | $ | – | $ | 2,416,285 |
122
Notes to Financial Statements (continued)
International Core Equity Fund | ||||||||||||||||||||
Net Amounts | ||||||||||||||||||||
of Liabilities | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Pledged(a) | Pledged(a | Amount(c) | |||||||||||||||
Bank of America | $ | 149,848 | $ (4,051 | ) | $ | – | $ | – | $ | 145,797 | ||||||||||
Deutsche Bank AG | 417,597 | (179,682 | ) | – | – | 237,915 | ||||||||||||||
Goldman Sachs | 683,066 | (66,456 | ) | (610,000 | ) | – | 6,610 | |||||||||||||
J.P. Morgan Chase | 39,102 | (39,102 | ) | – | – | – | ||||||||||||||
Morgan Stanley | 546,144 | (141,594 | ) | (290,000 | ) | – | 114,550 | |||||||||||||
Standard Chartered Bank | 580,528 | – | (570,000 | ) | – | 10,528 | ||||||||||||||
Total | $ | 2,416,285 | $(430,885 | ) | $ | (1,470,000 | ) | $ | – | $ | 515,400 |
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 | $ | 4,832,911 | $ | – | $ | 4,832,911 | ||||||
Repurchase Agreement | 23,200,664 | – | 23,200,664 | |||||||||
Total | $ | 28,033,575 | $ | – | $ | 28,033,575 |
Net Amounts | ||||||||||||||||||||
of Assets | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | |||||||||||||||
Deutsche Bank AG | $ | 209,128 | $ | (209,128 | ) | $ | – | $ | – | $ | – | |||||||||
Fixed Income Clearing Corp. | 23,200,664 | – | – | (23,200,664 | ) | – | ||||||||||||||
Goldman Sachs | 10,448 | – | – | – | 10,448 | |||||||||||||||
J.P. Morgan Chase | 644,430 | (644,430 | ) | – | – | – | ||||||||||||||
Morgan Stanley | 2,030,957 | (1,326,841 | ) | (704,116 | ) | – | – | |||||||||||||
Standard Chartered Bank | 1,937,948 | (1,937,948 | ) | – | – | – | ||||||||||||||
Total | $ | 28,033,575 | $ | (4,118,347 | ) | $ | (704,116 | ) | $ | (23,200,664 | ) | $ | 10,448 |
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 | $ | 19,438,980 | $ | – | $ | 19,438,980 | ||||||
Total | $ | 19,438,980 | $ | – | $ | 19,438,980 |
123
Notes to Financial Statements (continued)
International Dividend Income Fund | ||||||||||||||||||||
Net Amounts | ||||||||||||||||||||
of Liabilities | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Pledged(a) | Pledged(a) | Amount(c) | |||||||||||||||
Bank of America | $ | 3,049,861 | $ | – | $ | (3,049,861 | ) | $ | – | $ | – | |||||||||
Barclays Bank plc | 178,919 | – | (178,919 | ) | – | – | ||||||||||||||
Deutsche Bank AG | 2,149,962 | (209,128 | ) | (1,940,834 | ) | – | – | |||||||||||||
J.P. Morgan Chase | 6,257,194 | (644,430 | ) | (4,830,000 | ) | – | 782,764 | |||||||||||||
Morgan Stanley | 1,326,841 | (1,326,841 | ) | – | – | – | ||||||||||||||
Standard Chartered Bank | 5,885,508 | (1,937,948 | ) | (3,947,560 | ) | – | – | |||||||||||||
State Street Bank and Trust | 590,695 | – | (590,695 | ) | – | – | ||||||||||||||
Total | $ | 19,438,980 | $ | (4,118,347 | ) | $ | (14,537,869 | ) | $ | – | $ | 782,764 |
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 | $ | 2,525,442 | $ | – | $ | 2,525,442 | ||||||
Repurchase Agreement | 21,308,292 | – | 21,308,292 | |||||||||
Total | $ | 23,833,734 | $ | – | $ | 23,833,734 |
Net Amounts | ||||||||||||||||||||
of Assets | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | |||||||||||||||
Bank of America | $ | 319,553 | $ | (116,754 | ) | $ | (202,799 | ) | $ | – | $ | – | ||||||||
Barclays Bank plc | 669,778 | (47,991 | ) | (621,787 | ) | – | – | |||||||||||||
Deutsche Bank AG | 300,071 | (300,071 | ) | – | – | – | ||||||||||||||
Fixed Income Clearing Corp. | 21,308,292 | – | – | (21,308,292 | ) | – | ||||||||||||||
Goldman Sachs | 78,595 | – | – | – | 78,595 | |||||||||||||||
J.P. Morgan Chase | 761,649 | (96,165 | ) | (570,000 | ) | – | 95,484 | |||||||||||||
Morgan Stanley | 272,613 | (272,613 | ) | – | – | – | ||||||||||||||
Standard Chartered Bank | 4,838 | – | – | – | 4,838 | |||||||||||||||
UBS AG | 118,345 | – | – | – | 118,345 | |||||||||||||||
Total | $ | 23,833,734 | $ | (833,594 | ) | $ | (1,394,586 | ) | $ | (21,308,292 | ) | $ | 297,262 | |||||||
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 | $ | 1,846,363 | $ | – | $ | 1,846,363 | ||||||
Total | $ | 1,846,363 | $ | – | $ | 1,846,363 |
124
Notes to Financial Statements (continued)
International Opportunities Fund | ||||||||||||||||||||
Net Amounts | ||||||||||||||||||||
of Liabilities | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Pledged(a) | Pledged(a) | Amount(c) | |||||||||||||||
Bank of America | $ | 116,754 | $ | (116,754 | ) | $ | – | $ | – | $ | – | |||||||||
Barclays Bank plc | 47,991 | (47,991 | ) | – | – | – | ||||||||||||||
Deutsche Bank AG | 473,762 | (300,071 | ) | – | – | 173,691 | ||||||||||||||
J.P. Morgan Chase | 96,165 | (96,165 | ) | – | – | – | ||||||||||||||
Morgan Stanley | 1,105,101 | (272,613 | ) | (800,000 | ) | – | 32,488 | |||||||||||||
State Street Bank and Trust | 6,590 | – | – | – | 6,590 | |||||||||||||||
Total | $ | 1,846,363 | $ | (833,594 | ) | $ | (800,000 | ) | $ | – | $ | 212,769 |
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 | $ | 26,355,834 | $ | – | $ | 26,355,834 | ||||||
Total | $ | 26,355,834 | $ | – | $ | 26,355,834 |
Net Amounts | ||||||||||||||||||||
of Assets | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | |||||||||||||||
Fixed Income Clearing Corp. | $ | 26,355,834 | $ | – | $ | – | $ | (26,355,834 | ) | $ | – | |||||||||
Total | $ | 26,355,834 | $ | – | $ | – | $ | (26,355,834 | ) | $ | – |
(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, 2015. |
(c) | Net amount represents the amount owed by the Fund to each counterparty as of October 31, 2015. |
8. | TRUSTEES’ REMUNERATION |
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.
9. | EXPENSE REDUCTIONS |
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.
125
Notes to Financial Statements (continued)
10. | LINE OF CREDIT |
Effective August 31, 2015, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $550 million (the “Facility”), whereas State Street Bank and Trust Company (“SSB”) participates as a lender and as agent for the lenders. 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. The Facility will continue through August 29, 2016.
Prior to August 31, 2015, the Funds and certain other funds managed by Lord Abbett participated in a $500 million unsecured revolving credit facility with SSB (the “SSB Facility”).
During the fiscal year ended October 31, 2015, the Funds did not utilize the Facility or the SSB Facility.
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, 2015:
Balance of | Balance of | Net Realized | Dividend | |||||||||||||||||||||||||
Shares | Shares | Fair | Gain | Income | ||||||||||||||||||||||||
Held at | Gross | Gross | Held at | Value at | 11/1/2014 to | 11/1/2014 to | ||||||||||||||||||||||
Affiliated Issuer | 10/31/2014 | Additions | Sales | 10/31/2015 | 10/31/2015 | 10/31/2015 | 10/31/2015 | |||||||||||||||||||||
Lord Abbett Developing Growth Fund, Inc. – Class I | 8,998,347 | 2,043,395 | (829,305 | ) | 10,212,437 | $ | 238,460,392 | $ | 44,181,134 | (a) | $ | – | ||||||||||||||||
Lord Abbett Securities Trust – International Opportunities Fund – Class I | 14,750,328 | 1,834,232 | (1,763,676 | ) | 14,820,884 | 258,476,218 | 12,629,333 | (b) | 3,596,553 | |||||||||||||||||||
Lord Abbett Securities Trust – Micro-Cap Growth Fund – Class I | 6,811,662 | 978,712 | (1,348,335 | ) | 6,442,039 | 112,413,589 | 23,065,583 | (c) | – | |||||||||||||||||||
Lord Abbett Securities Trust – Micro-Cap Value Fund – Class I | 3,649,832 | 592,972 | (135,165 | ) | 4,107,639 | 133,580,421 | 13,390,385 | (d) | – | |||||||||||||||||||
Lord Abbett Research Fund, Inc. – Small-Cap Value Fund – Class I | 7,078,265 | 2,167,841 | (395,390 | ) | 8,850,716 | 261,627,157 | 53,764,081 | (e) | 673,625 | |||||||||||||||||||
Lord Abbett Securities Trust – Value Opportunities Fund – Class I | 11,450,061 | 1,894,994 | (639,589 | ) | 12,705,466 | 256,142,190 | 32,768,686 | (f) | – | |||||||||||||||||||
Total | $ | 1,260,699,967 | $ | 179,799,202 | $ | 4,270,178 |
(a) | Includes $38,678,495 of distributed capital gains. |
(b) | Includes $7,399,283 of distributed capital gains. |
(c) | Includes $15,818,117 of distributed capital gains. |
(d) | Includes $13,100,341 of distributed capital gains. |
(e) | Includes $54,493,106 of distributed capital gains. |
(f) | Includes $32,882,286 of distributed capital gains. |
126
Notes to Financial Statements (continued)
13. | INVESTMENT RISKS |
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 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, informational 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.
127
Notes to Financial Statements (continued)
14. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
Alpha Strategy Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 3,873,964 | $ | 120,194,959 | 4,456,826 | $ | 144,266,625 | ||||||||||
Converted from Class B* | 144,500 | 4,428,542 | 128,387 | 4,122,941 | ||||||||||||
Reinvestment of distributions | 1,874,861 | 55,608,381 | 1,229,371 | 38,749,806 | ||||||||||||
Shares reacquired | (4,487,732 | ) | (138,427,381 | ) | (5,096,876 | ) | (163,192,257 | ) | ||||||||
Increase | 1,405,593 | $ | 41,804,501 | 717,708 | $ | 23,947,115 | ||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 13,442 | $ | 379,613 | 14,057 | $ | 418,789 | ||||||||||
Reinvestment of distributions | 55,791 | 1,518,640 | 49,823 | 1,451,855 | ||||||||||||
Shares reacquired | (113,171 | ) | (3,187,742 | ) | (116,710 | ) | (3,472,192 | ) | ||||||||
Converted to Class A* | (157,919 | ) | (4,428,542 | ) | (139,280 | ) | (4,122,941 | ) | ||||||||
Decrease | (201,857 | ) | $ | (5,718,031 | ) | (192,110 | ) | $ | (5,724,489 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,822,858 | $ | 50,634,624 | 2,041,211 | $ | 60,181,754 | ||||||||||
Reinvestment of distributions | 1,035,610 | 27,847,560 | 601,205 | 17,368,806 | ||||||||||||
Shares reacquired | (1,917,956 | ) | (53,657,179 | ) | (1,687,194 | ) | (49,452,208 | ) | ||||||||
Increase | 940,512 | $ | 24,825,005 | 955,222 | $ | 28,098,352 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 2,626,001 | $ | 81,100,949 | 3,893,432 | $ | 125,667,687 | ||||||||||
Reinvestment of distributions | 714,237 | 21,212,846 | 338,904 | 10,695,815 | ||||||||||||
Shares reacquired | (2,476,491 | ) | (76,332,204 | ) | (2,045,281 | ) | (65,409,009 | ) | ||||||||
Increase | 863,747 | $ | 25,981,591 | 2,187,055 | $ | 70,954,493 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 152,896 | $ | 4,801,060 | 353,114 | $ | 11,231,550 | ||||||||||
Reinvestment of distributions | 117,541 | 3,527,389 | 49,542 | 1,577,912 | ||||||||||||
Shares reacquired | (437,191 | ) | (13,817,097 | ) | (170,965 | ) | (5,593,213 | ) | ||||||||
Increase (decrease) | (166,754 | ) | $ | (5,488,648 | ) | 231,691 | $ | 7,216,249 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 42,192 | $ | 1,256,292 | 46,530 | $ | 1,463,125 | ||||||||||
Reinvestment of distributions | 4,158 | 121,075 | 2,178 | 67,573 | ||||||||||||
Shares reacquired | (62,989 | ) | (1,937,941 | ) | (24,699 | ) | (772,307 | ) | ||||||||
Increase (decrease) | (16,639 | ) | $ | (560,574 | ) | 24,009 | $ | 758,391 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 305,299 | $ | 9,338,834 | 287,480 | $ | 9,128,420 | ||||||||||
Reinvestment of distributions | 130,616 | 3,819,223 | 80,832 | 2,515,436 | ||||||||||||
Shares reacquired | (334,311 | ) | (10,107,721 | ) | (293,231 | ) | (9,312,419 | ) | ||||||||
Increase | 101,604 | $ | 3,050,336 | 75,081 | $ | 2,331,437 |
128
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Alpha Strategy Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class R4 Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 313.78 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 313.78 | $ | 10,000 | – | $ | – | ||||||||||
Class R5 Shares(a) | ||||||||||||||||
Shares sold | 309.79 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 309.79 | $ | 10,000 | – | $ | – | ||||||||||
Class R6 Shares(a) | ||||||||||||||||
Shares sold | 309.79 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 309.79 | $ | 10,000 | – | $ | – | ||||||||||
Year Ended | Year Ended | |||||||||||||||
Fundamental Equity Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 11,889,659 | $ | 161,233,919 | 23,177,410 | $ | 355,721,430 | ||||||||||
Converted from Class B* | 674,211 | 8,992,377 | 796,056 | 12,221,994 | ||||||||||||
Reinvestment of distributions | 33,212,561 | 443,387,370 | 29,302,263 | 431,622,315 | ||||||||||||
Shares reacquired | (61,317,357 | ) | (830,840,457 | ) | (65,598,519 | ) | (1,017,302,933 | ) | ||||||||
Decrease | (15,540,926 | ) | $ | (217,226,791 | ) | (12,322,790 | ) | $ | (217,737,194 | ) | ||||||
Class B Shares | ||||||||||||||||
Shares sold | 66,635 | $ | 825,600 | 116,377 | $ | 1,655,305 | ||||||||||
Reinvestment of distributions | 642,147 | 7,930,518 | 667,564 | 9,225,728 | ||||||||||||
Shares reacquired | (672,389 | ) | (8,346,215 | ) | (807,161 | ) | (11,623,364 | ) | ||||||||
Converted to Class A* | (730,983 | ) | (8,992,377 | ) | (851,002 | ) | (12,221,994 | ) | ||||||||
Decrease | (694,590 | ) | $ | (8,582,474 | ) | (874,222 | ) | $ | (12,964,325 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 5,212,851 | $ | 64,245,185 | 9,012,161 | $ | 127,676,704 | ||||||||||
Reinvestment of distributions | 11,783,074 | 144,460,492 | 9,154,437 | 125,781,984 | ||||||||||||
Shares reacquired | (24,725,022 | ) | (306,733,625 | ) | (15,615,391 | ) | (225,186,023 | ) | ||||||||
Increase (decrease) | (7,729,097 | ) | $ | (98,027,948 | ) | 2,551,207 | $ | 28,272,665 | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 6,208,465 | $ | 82,756,781 | 22,622,935 | $ | 350,175,342 | ||||||||||
Reinvestment of distributions | 8,695,953 | 115,134,419 | 5,875,803 | 85,962,996 | ||||||||||||
Shares reacquired | (31,709,956 | ) | (427,561,453 | ) | (21,427,945 | ) | (329,999,908 | ) | ||||||||
Increase (decrease) | (16,805,538 | ) | $ | (229,670,253 | ) | 7,070,793 | $ | 106,138,430 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 4,729,463 | $ | 63,864,717 | 6,883,658 | $ | 105,887,593 | ||||||||||
Reinvestment of distributions | 5,576,627 | 74,782,574 | 4,766,441 | 70,448,002 | ||||||||||||
Shares reacquired | (20,566,971 | ) | (281,269,863 | ) | (15,116,571 | ) | (236,577,933 | ) | ||||||||
Decrease | (10,260,881 | ) | $ | (142,622,572 | ) | (3,466,472 | ) | $ | (60,242,338 | ) |
129
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Fundamental Equity Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class P Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 125,349 | $ | 1,671,285 | 188,204 | $ | 2,860,804 | ||||||||||
Reinvestment of distributions | 283,708 | 3,733,602 | 277,657 | 4,039,907 | ||||||||||||
Shares reacquired | (714,726 | ) | (9,487,970 | ) | (700,207 | ) | (10,669,645 | ) | ||||||||
Decrease | (305,669 | ) | $ | (4,083,083 | ) | (234,346 | ) | $ | (3,768,934 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 204,955 | $ | 2,705,054 | 320,912 | $ | 4,791,341 | ||||||||||
Reinvestment of distributions | 138,382 | 1,816,959 | 153,058 | 2,219,348 | ||||||||||||
Shares reacquired | (792,407 | ) | (11,000,970 | ) | (732,650 | ) | (11,166,840 | ) | ||||||||
Decrease | (449,070 | ) | $ | (6,478,957 | ) | (258,680 | ) | $ | (4,156,151 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,589,478 | $ | 21,040,784 | 2,801,640 | $ | 42,778,487 | ||||||||||
Reinvestment of distributions | 3,968,717 | 52,307,684 | 3,398,523 | 49,516,478 | ||||||||||||
Shares reacquired | (9,043,976 | ) | (121,943,430 | ) | (6,322,131 | ) | (96,499,584 | ) | ||||||||
Decrease | (3,485,781 | ) | $ | (48,594,962 | ) | (121,968 | ) | $ | (4,204,619 | ) | ||||||
Class R4 Shares(a) | ||||||||||||||||
Shares sold | 739.65 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 739.65 | $ | 10,000 | – | $ | – | ||||||||||
Class R5 Shares(a) | ||||||||||||||||
Shares sold | 735 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 735 | $ | 10,000 | – | $ | – | ||||||||||
Class R6 Shares(a) | ||||||||||||||||
Shares sold | 735.38 | $ | 10,001 | – | $ | – | ||||||||||
Increase | 735.38 | $ | 10,001 | – | $ | – | ||||||||||
Year Ended | Year Ended | |||||||||||||||
Growth Leaders Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 15,770,496 | $ | 361,927,702 | 19,604,170 | $ | 426,405,880 | ||||||||||
Converted from Class B* | 59,092 | 1,359,056 | 67,796 | 1,472,786 | ||||||||||||
Reinvestment of distributions | 1,148,996 | 25,277,921 | 609,302 | 12,534,111 | ||||||||||||
Shares reacquired | (7,183,725 | ) | (164,150,442 | ) | (7,739,921 | ) | (169,322,766 | ) | ||||||||
Increase | 9,794,859 | $ | 224,414,237 | 12,541,347 | $ | 271,090,011 | ||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 16,336 | $ | 370,974 | 23,941 | $ | 513,709 | ||||||||||
Reinvestment of distributions | 15,738 | 341,521 | 24,451 | 499,882 | ||||||||||||
Shares reacquired | (69,515 | ) | (1,551,349 | ) | (79,090 | ) | (1,699,097 | ) | ||||||||
Converted to Class A* | (60,107 | ) | (1,359,056 | ) | (68,394 | ) | (1,472,786 | ) | ||||||||
Decrease | (97,548 | ) | $ | (2,197,910 | ) | (99,092 | ) | $ | (2,158,292 | ) |
130
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Growth Leaders Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 9,261,807 | $ | 207,326,087 | 8,367,136 | $ | 178,712,962 | ||||||||||
Reinvestment of distributions | 538,527 | 11,567,556 | 200,491 | 4,060,783 | ||||||||||||
Shares reacquired | (2,277,713 | ) | (50,799,246 | ) | (1,219,039 | ) | (26,075,423 | ) | ||||||||
Increase | 7,522,621 | $ | 168,094,397 | 7,348,588 | $ | 156,698,322 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 18,229,630 | $ | 421,672,703 | 24,977,386 | $ | 545,302,841 | ||||||||||
Reinvestment of distributions | 1,002,436 | 22,153,845 | 304,515 | 6,282,194 | ||||||||||||
Shares reacquired | (10,037,981 | ) | (229,415,492 | ) | (8,826,195 | ) | (192,234,655 | ) | ||||||||
Increase | 9,194,085 | $ | 214,411,056 | 16,455,706 | $ | 359,350,380 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,409,386 | $ | 32,621,478 | 1,208,471 | $ | 26,241,730 | ||||||||||
Reinvestment of distributions | 140,149 | 3,104,296 | 123,274 | 2,545,353 | ||||||||||||
Shares reacquired | (629,631 | ) | (14,588,043 | ) | (579,766 | ) | (12,632,881 | ) | ||||||||
Increase | 919,904 | $ | 21,137,731 | 751,979 | $ | 16,154,202 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 19,777 | $ | 461,212 | 13,238 | $ | 296,770 | ||||||||||
Reinvestment of distributions | 260 | 5,735 | 133 | 2,747 | ||||||||||||
Shares reacquired | (9,815 | ) | (230,023 | ) | (664 | ) | (17,066 | ) | ||||||||
Increase | 10,222 | $ | 236,924 | 12,707 | $ | 282,451 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 215,725 | $ | 4,921,192 | 120,338 | $ | 2,613,195 | ||||||||||
Reinvestment of distributions | 26,137 | 573,704 | 26,337 | 541,921 | ||||||||||||
Shares reacquired | (112,799 | ) | (2,581,441 | ) | (90,727 | ) | (1,971,851 | ) | ||||||||
Increase | 129,063 | $ | 2,913,455 | 55,948 | $ | 1,183,265 | ||||||||||
Class R4 Shares(a) | ||||||||||||||||
Shares sold | 427 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 427 | $ | 10,000 | – | $ | – | ||||||||||
Class R5 Shares(a) | ||||||||||||||||
Shares sold | 423.55 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 423.55 | $ | 10,000 | – | $ | – | ||||||||||
Class R6 Shares(a) | ||||||||||||||||
Shares sold | 423.55 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 423.55 | $ | 10,000 | – | $ | – |
131
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
International Core Equity Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,193,190 | $ | 54,446,897 | 4,029,760 | $ | 55,804,705 | ||||||||||
Converted from Class B* | 224,438 | 2,933,802 | 280,938 | 3,893,032 | ||||||||||||
Reinvestment of distributions | 310,070 | 3,950,295 | 538,647 | 7,368,673 | ||||||||||||
Shares reacquired | (5,304,255 | ) | (68,693,198 | ) | (8,554,121 | ) | (118,673,624 | ) | ||||||||
Decrease | (576,557 | ) | $ | (7,362,204 | ) | (3,704,776 | ) | $ | (51,607,214 | ) | ||||||
Class B Shares | ||||||||||||||||
Shares sold | 21,673 | $ | 279,684 | 47,285 | $ | 648,357 | ||||||||||
Reinvestment of distributions | 1,924 | 24,377 | 13,338 | 181,000 | ||||||||||||
Shares reacquired | (145,796 | ) | (1,872,858 | ) | (183,468 | ) | (2,513,879 | ) | ||||||||
Converted to Class A* | (226,545 | ) | (2,933,802 | ) | (284,068 | ) | (3,893,032 | ) | ||||||||
Decrease | (348,744 | ) | $ | (4,502,599 | ) | (406,913 | ) | $ | (5,577,554 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 425,156 | $ | 5,496,648 | 410,950 | $ | 5,647,017 | ||||||||||
Reinvestment of distributions | 13,665 | 172,731 | 47,776 | 647,849 | ||||||||||||
Shares reacquired | (828,050 | ) | (10,615,629 | ) | (889,139 | ) | (12,124,594 | ) | ||||||||
Decrease | (389,229 | ) | $ | (4,946,250 | ) | (430,413 | ) | $ | (5,829,728 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 1,255,673 | $ | 16,208,527 | 1,743,639 | $ | 24,025,992 | ||||||||||
Reinvestment of distributions | 87,549 | 1,106,621 | 214,860 | 2,917,791 | ||||||||||||
Shares reacquired | (2,169,782 | ) | (28,552,672 | ) | (6,277,445 | ) | (86,114,094 | ) | ||||||||
Decrease | (826,560 | ) | $ | (11,237,524 | ) | (4,318,946 | ) | $ | (59,170,311 | ) | ||||||
Class I Shares | ||||||||||||||||
Shares sold | 897,756 | $ | 11,671,127 | 1,576,910 | $ | 21,977,630 | ||||||||||
Reinvestment of distributions | 52,035 | 666,045 | 222,343 | 3,057,215 | ||||||||||||
Shares reacquired | (3,291,855 | ) | (43,443,304 | ) | (5,728,659 | ) | (80,438,316 | ) | ||||||||
Decrease | (2,342,064 | ) | $ | (31,106,132 | ) | (3,929,406 | ) | $ | (55,403,471 | ) | ||||||
Class P Shares | ||||||||||||||||
Shares sold | 769 | $ | 10,010 | 1,935 | $ | 26,868 | ||||||||||
Reinvestment of distributions | 81 | 1,034 | 359 | 4,907 | ||||||||||||
Shares reacquired | (3,469 | ) | (45,182 | ) | (10,901 | ) | (152,610 | ) | ||||||||
Decrease | (2,619 | ) | $ | (34,138 | ) | (8,607 | ) | $ | (120,835 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 18,765 | $ | 241,118 | 32,813 | $ | 454,647 | ||||||||||
Reinvestment of distributions | 171 | 2,178 | 435 | 5,947 | ||||||||||||
Shares reacquired | (42,699 | ) | (556,709 | ) | (19,505 | ) | (266,696 | ) | ||||||||
Increase (decrease) | (23,763 | ) | $ | (313,413 | ) | 13,743 | $ | 193,898 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 422,703 | $ | 5,389,910 | 378,700 | $ | 5,177,113 | ||||||||||
Reinvestment of distributions | 15,641 | 196,610 | 25,808 | 348,410 | ||||||||||||
Shares reacquired | (487,596 | ) | (6,192,504 | ) | (304,343 | ) | (4,160,103 | ) | ||||||||
Increase (decrease) | (49,252 | ) | $ | (605,984 | ) | 100,165 | $ | 1,365,420 |
132
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
International Core Equity Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class R4 Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 766 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 766 | $ | 10,000 | – | $ | – | ||||||||||
Class R5 Shares(a) | ||||||||||||||||
Shares sold | 760.46 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 760.46 | $ | 10,000 | – | $ | – | ||||||||||
Class R6 Shares(a) | ||||||||||||||||
Shares sold | 760 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 760 | $ | 10,000 | – | $ | – | ||||||||||
Year Ended | Year Ended | |||||||||||||||
International Dividend Income Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 34,157,964 | $ | 272,558,029 | 42,828,118 | $ | 389,026,577 | ||||||||||
Reinvestment of distributions | 10,387,158 | 81,737,095 | 4,703,227 | 42,949,939 | ||||||||||||
Shares reacquired | (58,002,068 | ) | (441,270,867 | ) | (38,005,152 | ) | (337,789,972 | ) | ||||||||
Increase (decrease) | (13,456,946 | ) | $ | (86,975,743 | ) | 9,526,193 | $ | 94,186,544 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 4,874,512 | $ | 38,668,585 | 8,594,100 | $ | 77,778,091 | ||||||||||
Reinvestment of distributions | 1,658,029 | 12,971,559 | 645,448 | 5,857,311 | ||||||||||||
Shares reacquired | (8,147,609 | ) | (62,688,521 | ) | (3,138,650 | ) | (28,150,985 | ) | ||||||||
Increase (decrease) | (1,615,068 | ) | $ | (11,048,377 | ) | 6,100,898 | $ | 55,484,417 | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 15,483,920 | $ | 123,485,702 | 20,891,112 | $ | 191,171,297 | ||||||||||
Reinvestment of distributions | 2,880,914 | 22,721,013 | 1,109,171 | 10,138,406 | ||||||||||||
Shares reacquired | (25,320,078 | ) | (194,252,318 | ) | (10,268,610 | ) | (92,022,452 | ) | ||||||||
Increase (decrease) | (6,955,244 | ) | $ | (48,045,603 | ) | 11,731,673 | $ | 109,287,251 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 63,634,025 | $ | 517,592,988 | 48,226,380 | $ | 442,012,430 | ||||||||||
Reinvestment of distributions | 12,012,645 | 94,446,085 | 5,365,301 | 49,380,978 | ||||||||||||
Shares reacquired | (32,557,178 | ) | (262,765,559 | ) | (54,005,795 | ) | (495,936,568 | ) | ||||||||
Increase (decrease) | 43,089,492 | $ | 349,273,514 | (414,114 | ) | $ | (4,543,160 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 47,458 | $ | 377,000 | 70,578 | $ | 654,514 | ||||||||||
Reinvestment of distributions | 4,627 | 37,120 | 1,716 | 15,994 | ||||||||||||
Shares reacquired | (54,530 | ) | (431,260 | ) | (19,595 | ) | (180,846 | ) | ||||||||
Increase (decrease) | (2,445 | ) | $ | (17,140 | ) | 52,699 | $ | 489,662 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 673,339 | $ | 5,336,575 | 869,222 | $ | 7,987,709 | ||||||||||
Reinvestment of distributions | 129,406 | 1,025,596 | 42,741 | 395,119 | ||||||||||||
Shares reacquired | (296,827 | ) | (2,307,292 | ) | (201,918 | ) | (1,864,807 | ) | ||||||||
Increase | 505,918 | $ | 4,054,879 | 710,045 | $ | 6,518,021 |
133
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
International Dividend Income Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class R4 Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,290 | $ | 10,000 | – | $ | – | ||||||||||
Reinvestment of distributions | 7 | 45 | – | – | ||||||||||||
Increase | 1,297 | $ | 10,045 | – | $ | – | ||||||||||
Class R5 Shares(a) | ||||||||||||||||
Shares sold | 1,285 | $ | 10,000 | – | $ | – | ||||||||||
Reinvestment of distributions | 8 | 51 | – | – | ||||||||||||
Increase | 1,293 | $ | 10,051 | – | $ | – | ||||||||||
Class R6 Shares(a) | ||||||||||||||||
Shares sold | 1,285 | $ | 10,000 | – | $ | – | ||||||||||
Reinvestment of distributions | 8 | 51 | – | – | ||||||||||||
Increase | 1,293 | $ | 10,051 | – | $ | – | ||||||||||
Year Ended | Year Ended | |||||||||||||||
International Opportunities Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,674,746 | $ | 80,280,418 | 4,496,628 | $ | 77,634,216 | ||||||||||
Converted from Class B* | 49,429 | 827,168 | 65,632 | 1,120,523 | ||||||||||||
Reinvestment of distributions | 276,906 | 4,300,348 | 77,406 | 1,285,710 | ||||||||||||
Shares reacquired | (2,772,430 | ) | (45,665,589 | ) | (3,337,854 | ) | (56,663,143 | ) | ||||||||
Increase | 2,228,651 | $ | 39,742,345 | 1,301,812 | $ | 23,377,306 | ||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 9,955 | $ | 161,488 | 13,784 | $ | 224,293 | ||||||||||
Reinvestment of distributions | 8,574 | 126,986 | 2,328 | 36,880 | ||||||||||||
Shares reacquired | (58,994 | ) | (937,947 | ) | (85,221 | ) | (1,384,219 | ) | ||||||||
Converted to Class A* | (52,002 | ) | (827,168 | ) | (69,037 | ) | (1,120,523 | ) | ||||||||
Decrease | (92,467 | ) | $ | (1,476,641 | ) | (138,146 | ) | $ | (2,243,569 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 857,829 | $ | 13,833,966 | 504,771 | $ | 8,172,717 | ||||||||||
Reinvestment of distributions | 48,814 | 714,146 | 9,264 | 145,352 | ||||||||||||
Shares reacquired | (378,535 | ) | (5,891,665 | ) | (223,057 | ) | (3,576,238 | ) | ||||||||
Increase | 528,108 | $ | 8,656,447 | 290,978 | $ | 4,741,831 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 6,733,269 | $ | 115,198,773 | 3,281,278 | $ | 56,180,823 | ||||||||||
Reinvestment of distributions | 75,959 | 1,169,017 | 12,449 | 205,039 | ||||||||||||
Shares reacquired | (2,530,053 | ) | (41,734,979 | ) | (1,603,644 | ) | (26,648,234 | ) | ||||||||
Increase | 4,279,175 | $ | 74,632,811 | 1,690,083 | $ | 29,737,628 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 2,086,280 | $ | 35,491,113 | 2,224,095 | $ | 38,618,245 | ||||||||||
Reinvestment of distributions | 754,491 | 11,988,860 | 232,179 | 3,942,396 | ||||||||||||
Shares reacquired | (2,327,766 | ) | (39,949,275 | ) | (1,012,931 | ) | (17,860,966 | ) | ||||||||
Increase | 513,005 | $ | 7,530,698 | 1,443,343 | $ | 24,699,675 |
134
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
International Opportunities Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class P Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,948 | $ | 84,028 | 5,140 | $ | 89,626 | ||||||||||
Reinvestment of distributions | 2,158 | 34,082 | 648 | 10,936 | ||||||||||||
Shares reacquired | (25,601 | ) | (408,320 | ) | (16,995 | ) | (293,951 | ) | ||||||||
Decrease | (18,495 | ) | $ | (290,210 | ) | (11,207 | ) | $ | (193,389 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 54,884 | $ | 923,364 | 1,482 | $ | 24,855 | ||||||||||
Reinvestment of distributions | 261 | 4,015 | 77 | 1,271 | ||||||||||||
Shares reacquired | (11,911 | ) | (195,114 | ) | (1,236 | ) | (20,752 | ) | ||||||||
Increase | 43,234 | $ | 732,265 | 323 | $ | 5,374 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 270,606 | $ | 4,482,189 | 99,533 | $ | 1,683,980 | ||||||||||
Reinvestment of distributions | 15,641 | 239,311 | 3,864 | 63,296 | ||||||||||||
Shares reacquired | (114,354 | ) | (1,882,369 | ) | (97,809 | ) | (1,626,080 | ) | ||||||||
Increase | 171,893 | $ | 2,839,131 | 5,588 | $ | 121,196 | ||||||||||
Class R4 Shares(a) | ||||||||||||||||
Shares sold | 571.76 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 571.76 | $ | 10,000 | – | $ | – | ||||||||||
Class R5 Shares(a) | ||||||||||||||||
Shares sold | 558 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 558 | $ | 10,000 | – | $ | – | ||||||||||
Class R6 Shares(a) | ||||||||||||||||
Shares sold | 765.22 | $ | 13,715 | – | $ | – | ||||||||||
Shares reacquired | – | (11 | ) | – | – | |||||||||||
Increase | 765.22 | $ | 13,704 | – | $ | – | ||||||||||
Year Ended | Year Ended | |||||||||||||||
Value Opportunities Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,946,059 | $ | 138,580,013 | 11,034,257 | $ | 232,005,935 | ||||||||||
Converted from Class B* | 228,109 | 4,528,890 | 257,223 | 5,354,802 | ||||||||||||
Reinvestment of distributions | 8,490,788 | 164,126,941 | 5,859,617 | 116,957,952 | ||||||||||||
Shares reacquired | (23,931,040 | ) | (476,865,936 | ) | (20,394,254 | ) | (430,810,561 | ) | ||||||||
Decrease | (8,266,084 | ) | $ | (169,630,092 | ) | (3,243,157 | ) | $ | (76,491,872 | ) | ||||||
Class B Shares | ||||||||||||||||
Shares sold | 29,738 | $ | 542,948 | 38,949 | $ | 764,737 | ||||||||||
Reinvestment of distributions | 129,984 | 2,342,305 | 109,518 | 2,070,988 | ||||||||||||
Shares reacquired | (197,134 | ) | (3,652,958 | ) | (177,143 | ) | (3,531,023 | ) | ||||||||
Converted to Class A* | (245,486 | ) | (4,528,890 | ) | (272,119 | ) | (5,354,802 | ) | ||||||||
Decrease | (282,898 | ) | $ | (5,296,595 | ) | (300,795 | ) | $ | (6,050,100 | ) |
135
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Value Opportunities Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,754,567 | $ | 32,414,877 | 2,359,917 | $ | 46,680,001 | ||||||||||
Reinvestment of distributions | 2,692,059 | 48,510,902 | 1,652,048 | 31,240,230 | ||||||||||||
Shares reacquired | (4,589,904 | ) | (85,326,351 | ) | (3,782,785 | ) | (75,201,809 | ) | ||||||||
Increase (decrease) | (143,278 | ) | $ | (4,400,572 | ) | 229,180 | $ | 2,718,422 | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 9,264,039 | $ | 189,741,767 | 11,248,121 | $ | 240,824,053 | ||||||||||
Reinvestment of distributions | 3,203,589 | 62,726,268 | 1,702,313 | 34,284,577 | ||||||||||||
Shares reacquired | (9,484,403 | ) | (191,683,885 | ) | (8,944,383 | ) | (188,470,026 | ) | ||||||||
Increase | 2,983,225 | $ | 60,784,150 | 4,006,051 | $ | 86,638,604 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 3,644,497 | $ | 75,270,484 | 4,567,592 | $ | 97,393,753 | ||||||||||
Reinvestment of distributions | 4,011,079 | 79,700,142 | 2,762,162 | 56,292,861 | ||||||||||||
Shares reacquired | (9,191,123 | ) | (190,561,288 | ) | (9,083,119 | ) | (194,857,219 | ) | ||||||||
Decrease | (1,535,547 | ) | $ | (35,590,662 | ) | (1,753,365 | ) | $ | (41,170,605 | ) | ||||||
Class P Shares | ||||||||||||||||
Shares sold | 327,233 | $ | 6,466,393 | 372,804 | $ | 7,781,429 | ||||||||||
Reinvestment of distributions | 337,411 | 6,464,784 | 241,852 | 4,795,921 | ||||||||||||
Shares reacquired | (769,540 | ) | (15,148,909 | ) | (865,194 | ) | (18,072,112 | ) | ||||||||
Decrease | (104,896 | ) | $ | (2,217,732 | ) | (250,538 | ) | $ | (5,494,762 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 119,878 | $ | 2,319,679 | 172,734 | $ | 3,537,034 | ||||||||||
Reinvestment of distributions | 39,381 | 744,696 | 32,239 | 633,161 | ||||||||||||
Shares reacquired | (273,320 | ) | (5,306,824 | ) | (376,581 | ) | (7,790,752 | ) | ||||||||
Decrease | (114,061 | ) | $ | (2,242,449 | ) | (171,608 | ) | $ | (3,620,557 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,052,813 | $ | 20,695,808 | 1,223,005 | $ | 25,467,137 | ||||||||||
Reinvestment of distributions | 931,127 | 17,700,735 | 600,185 | 11,829,647 | ||||||||||||
Shares reacquired | (2,261,573 | ) | (44,481,384 | ) | (1,742,803 | ) | (36,050,078 | ) | ||||||||
Increase (decrease) | (277,633 | ) | $ | (6,084,841 | ) | 80,387 | $ | 1,246,706 | ||||||||
Class R4 Shares(a) | ||||||||||||||||
Shares sold | 492 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 492 | $ | 10,000 | – | $ | – | ||||||||||
Class R5 Shares(a) | ||||||||||||||||
Shares sold | 477.78 | $ | 10,000 | – | $ | – | ||||||||||
Increase | 477.78 | $ | 10,000 | – | $ | – | ||||||||||
Class R6 Shares(a) | ||||||||||||||||
Shares sold | 1,442,093 | $ | 29,751,358 | – | $ | – | ||||||||||
Shares reacquired | (2,355 | ) | (47,360 | ) | – | – | ||||||||||
Increase | 1,439,738 | $ | 29,703,998 | – | $ | – |
* | 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) | Shares commenced at the close of business on June 30, 2015. |
136
Notes to Financial Statements (concluded)
15. | RECENT ACCOUNTING PRONOUNCEMENT |
In June 2014, FASB issued ASU 2014-11 Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for financial statements with fiscal years beginning after December 15, 2014. The effective dates for interim periods vary for the requirements within this guidance. Management has evaluated the impact of adopting this guidance, and determined the impact will not be material to the Funds’ financial statement disclosures.
137
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, 2015, 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, 2015, 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, 2015, 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 21, 2015
138
Investments in Underlying Funds
Alpha Strategy Fund invests in Underlying Funds managed by Lord Abbett. As of October 31, 2015, 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 | 18.91% | |
Lord Abbett Securities Trust – International Opportunities Fund – Class I | 20.50% | |
Lord Abbett Securities Trust – Micro-Cap Growth Fund – Class I | 8.92% | |
Lord Abbett Securities Trust – Micro-Cap Value Fund – Class I | 10.60% | |
Lord Abbett Research Fund, Inc. – Small-Cap Value Fund – Class I | 20.75% | |
Lord Abbett Securities Trust – Value Opportunities Fund – Class I | 20.32% |
The Ten Largest Holdings and the Holdings by Sector, as of October 31, 2015, 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 | |
Ultimate Software Group, Inc. (The) | 2.34% | |
Restoration Hardware Holdings, Inc. | 1.85% | |
ZELTIQ Aesthetics, Inc. | 1.67% | |
Prestige Brands Holdings, Inc. | 1.67% | |
Wayfair, Inc. Class A | 1.65% | |
Panera Bread Co. Class A | 1.46% | |
EPAM Systems, Inc. | 1.42% | |
IMAX Corp. | 1.41% | |
Tyler Technologies, Inc. | 1.39% | |
Paycom Software, Inc. | 1.37% | |
Holdings by Sector* | % of Investments | |
Consumer Discretionary | 17.55% | |
Consumer Staples | 3.74% | |
Energy | 0.83% | |
Financials | 7.77% | |
Health Care | 22.35% | |
Industrials | 8.34% | |
Information Technology | 36.19% | |
Materials | 0.24% | |
Repurchase Agreement | 2.99% | |
Total | 100.00% |
* A sector may comprise several industries.
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Investments in Underlying Funds (continued)
International Opportunities Fund
Ten Largest Holdings | % of Investments | |
Dewan Housing Finance Corp., Ltd. | 1.74% | |
SCSK Corp. | 1.67% | |
Merlin Properties Socimi SA | 1.65% | |
Obic Co., Ltd. | 1.65% | |
Spotless Group Holdings Ltd. | 1.64% | |
Techtronic Industries Co., Ltd. | 1.59% | |
Davide Campari-Milano SpA | 1.56% | |
Loomis AB Class B | 1.52% | |
Gategroup Holding AG. | 1.51% | |
Iida Group Holdings Co., Ltd. | 1.49% | |
Holdings by Sector* | % of Investments | |
Consumer Discretionary | 20.52% | |
Consumer Staples | 7.63% | |
Energy | 2.47% | |
Financials | 20.78% | |
Health Care | 3.44% | |
Industrials | 21.64% | |
Information Technology | 12.59% | |
Materials | 3.84% | |
Telecommunication Services | 1.25% | |
Utilities | 2.36% | |
Repurchase Agreement | 3.48% | |
Total | 100.00% |
* A sector may comprise several industries.
Micro Cap Growth Fund
Ten Largest Holdings | % of Investments | |
Inphi Corp. | 2.17% | |
Entravision Communications Corp. Class A | 2.06% | |
Textura Corp. | 1.94% | |
ZELTIQ Aesthetics, Inc. | 1.88% | |
LGI Homes, Inc. | 1.88% | |
American Woodmark Corp. | 1.78% | |
MaxLinear, Inc. Class A | 1.74% | |
Ruckus Wireless, Inc. | 1.74% | |
Intra-Cellular Therapies, Inc. | 1.73% | |
Callidus Software, Inc. | 1.68% | |
Holdings by Sector* | % of Investments | |
Consumer Discretionary | 15.37% | |
Consumer Staples | 2.55% | |
Energy | 0.39% | |
Financials | 6.04% | |
Health Care | 31.36% | |
Industrials | 7.71% | |
Information Technology | 33.29% | |
Materials | 1.03% | |
Repurchase Agreement | 2.26% | |
Total | 100.00% |
* A sector may comprise several industries.
140
Investments in Underlying Funds (continued)
Micro Cap Value Fund
Ten Largest Holdings | % of Investments | |
Multi-Color Corp. | 4.01% | |
Ameris Bancorp | 3.58% | |
Pacific Premier Bancorp, Inc. | 3.18% | |
Retail Opportunity Investments Corp. | 3.15% | |
First Merchants Corp. | 3.00% | |
BNC Bancorp | 2.96% | |
Chesapeake Utilities Corp. | 2.95% | |
J&J Snack Foods Corp. | 2.77% | |
Aceto Corp. | 2.76% | |
Marcus & Millichap, Inc. | 2.71% | |
Holdings by Sector* | % of Investments | |
Consumer Discretionary | 11.74% | |
Consumer Staples | 6.56% | |
Energy | 4.80% | |
Financials | 33.20% | |
Health Care | 5.08% | |
Industrials | 18.84% | |
Information Technology | 6.81% | |
Materials | 5.34% | |
Telecommunication Services | 1.16% | |
Utilities | 5.13% | |
Repurchase Agreement | 1.34% | |
Total | 100.00% |
* A sector may comprise several industries.
Lord Abbett Research Fund, Inc. – Small Cap Value Fund
Ten Largest Holdings | % of Investments | |
South State Corp. | 2.88% | |
RenaissanceRe Holdings Ltd. | 2.69% | |
IDACORP, Inc. | 2.52% | |
PrivateBancorp, Inc. | 2.32% | |
Electronics for Imaging, Inc. | 2.23% | |
Western Alliance Bancorp | 2.21% | |
STERIS Corp. | 2.20% | |
Mentor Graphics Corp. | 2.16% | |
Carrizo Oil & Gas, Inc. | 1.89% | |
First Industrial Realty Trust, Inc. | 1.88% |
141
Investments in Underlying Funds (concluded)
Holdings by Sector* | % of Investments | |
Consumer Discretionary | 11.66% | |
Consumer Staples | 6.22% | |
Energy | 4.67% | |
Financials | 26.74% | |
Health Care | 7.2% | |
Industrials | 11.47% | |
Information Technology | 19.62% | |
Materials | 8.24% | |
Telecommunication Services | 0.57% | |
Utilities | 2.52% | |
Repurchase Agreement | 1.09% | |
Total | 100.00% |
* A sector may comprise several industries.
Value Opportunities Fund
Ten Largest Holdings | % of Investments | |
RenaissanceRe Holdings Ltd. | 2.62% | |
Federal Realty Investment Trust | 2.44% | |
American Water Works Co., Inc. | 2.23% | |
STERIS Corp. | 2.20% | |
Arch Capital Group Ltd. | 2.05% | |
Fidelity National Information Services, Inc. | 2.03% | |
CMS Energy Corp. | 2.02% | |
Booz Allen Hamilton Holding Corp. | 1.94% | |
Pinnacle Foods, Inc. | 1.93% | |
Jarden Corp. | 1.87% | |
Holdings by Sector* | % of Investments | |
Consumer Discretionary | 12.88% | |
Consumer Staples | 3.73% | |
Energy | 4.98% | |
Financials | 25.78% | |
Health Care | 9.04% | |
Industrials | 10.83% | |
Information Technology | 16.65% | |
Materials | 6.36% | |
Telecommunication Services | 1.39% | |
Utilities | 7.38% | |
Repurchase Agreement | 0.98% | |
Total | 100.00% |
* A sector may comprise several industries.
142
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 58 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, 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 58 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. |
143
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). |
144
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. Each officer serves for an indefinite term (i.e., until his or her death, resignation, retirement, or removal).
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, 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, joined Lord Abbett in 1997. | |||
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. | |||
Giulio Martini (1955)
| Executive Vice President | Elected in 2015 | Director of Strategic Asset Allocation, joined Lord Abbett in 2015 and was formerly Global Investment Strategist at Anderson Global Macro LLC (2012 – 2015) and Chief Investment Officer of Currency Strategies at AllianceBernstein (1985 – 2012). | |||
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 Portfolio Manager, joined Lord Abbett in 2001. | |||
A. Edward Allinson (1961) | Vice President | Elected in 2011 | Portfolio Manager, joined Lord Abbett in 2005. |
145
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 | |||
John W. Ashbrook (1964) | Vice President and Assistant Secretary | Elected in 2014 | Assistant General 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. | |||
Matthew R. DeCicco (1977) | Vice President | Elected in 2015 | Portfolio Manager, joined Lord Abbett in 1999. | |||
Brooke A. Fapohunda (1975) | Vice President and Assistant Secretary | Elected in 2014 | Deputy General Counsel, joined Lord Abbett in 2006. | |||
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 Managing Director and the 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.
146
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).
147
Tax Information
The percentages below reflect the portion of ordinary income distributions 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 | 35% | 55% | |
Fundamental Equity Fund | 40% | 40% | |
Growth Leaders Fund | 9% | 8% | |
International Core Equity Fund | – | 100% | |
International Dividend Income Fund | – | 100% | |
International Opportunities Fund | – | 100% | |
Value Opportunities Fund | 40% | 41% |
Additionally, of the distributions paid to the shareholders during the fiscal year ended October 31, 2015, the following amounts represent short-term and long-term capital gains:
Short-Term | Long-Term | |||
Fund Name | Capital Gains | Capital Gain | ||
Alpha Strategy Fund | $ | 13,349 | $118,549,905 | |
Fundamental Equity Fund | 195,876,485 | 712,708,155 | ||
Growth Leaders Fund | 73,120,882 | 925,072 | ||
International Dividend Income Fund | – | 141,434,115 | ||
International Opportunities Fund | – | 13,687,933 | ||
Value Opportunities Fund | 65,969,568 | 343,597,289 |
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 | 3,019,326 | 461,302 | |
International Core Equity Fund | 16,600,583 | 2,096,829 | |
International Dividend Income Fund | 117,005,006 | 9,845,060 | |
International Opportunities Fund | 10,588,321 | 2,286,375 |
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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. | 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 | LST-2 |
2015 LORD ABBETT
ANNUAL REPORT
Lord Abbett
Micro Cap Growth Fund
Micro Cap Value Fund
For the fiscal year ended October 31, 2015
Lord Abbett Micro Cap Growth Fund and Lord Abbett
Micro Cap Value Fund Annual Report
For the fiscal year ended October 31, 2015
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, 2015. 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 the 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, 2015, the Micro Cap Growth Fund returned 0.65%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell Microcap® Growth Index1, which returned 4.24% over the same period.
Domestic equity markets advanced over the past year, with the representative S&P 500® Index2 rising 5.20% during the trailing 12-month period. Despite this
general move upward, there were a few periods of short-term volatility, most notably in January 2015, when the S&P 500 declined 3.1%, and in August 2015, when the index dropped 6.3%, its greatest monthly loss in three years. One of the prevailing market themes during the trailing 12-month period was the continued weakness in energy prices, with oil in particular plunging 60% from a June 2014 high to a six-year low in March 2015. Finally, the U.S. real gross domestic product (GDP) initially was reported to have
1
contracted by 0.2% in the first quarter of 2015; however, that figure was later revised up to a modest 0.6% expansion. Real GDP in the second quarter of 2015 advanced 3.9%, while the advanced estimate from the Bureau of Economic Analysis indicated that real GDP increased 1.5% in the third quarter of 2015.
The largest detractor from Fund performance during the period was security selection in the consumer discretionary sector. Within this sector, the Fund’s holdings of Rentrak Corp., a media measurement and consumer targeting company, detracted most. Shares of Rentrak fell sharply in August after the company reported quarterly revenue and earnings below consensus estimates. Sequential Brands Group, Inc., the owner of a portfolio of consumer brands in the fashion, active, and lifestyle categories, also detracted from relative performance during the period. Investor concerns related to the company’s exposure to struggling retail distribution partners and uncertainty about the closure of an acquisition caused shares of Sequential Brands to decline.
Security selection in the information technology sector was another detractor from Fund performance during the period. Within this sector, the Fund’s positioning in Gigamon, Inc., the provider of a service that delivers visibility and control of traffic across networks, detracted most from relative performance. During the period in which the Fund held a position in
Gigamon, the company’s share price declined due to recent weakness related to customer concentration. By contrast, the Fund’s benchmark index received a positive return from Gigamon due to the overall gains that Gigamon experienced during the trailing 12 month period. The Fund’s position in Ruckus Wireless, Inc., a global supplier of Wi-Fi solutions, also detracted from relative performance. Shares of Ruckus suffered following disappointing quarterly results in May, when the company reported earnings below consensus estimates and offered forward guidance below expectations as well.
The largest contributor to the Fund’s relative performance during the period was its underweight position in the energy sector. Over the past 12 months, energy was the worst performing sector within the Fund’s benchmark, the Russell Micro Cap Growth Index.1 During this time, the Fund’s average exposure to the energy sector was approximately 2% less than that of its benchmark, which helped relative performance.
Another contributor to Fund performance during the period was security selection in the financials and consumer staples sectors. Within the financials sector, the Fund’s holdings of LendingTree, Inc., an operator of an online loan marketplace, contributed most. Shares of LendingTree surged after the company reported second quarter 2015 earnings and revenue above consensus estimates and offered forward guidance that far
2
exceeded expectations. Another contributor within the financials sector was the Fund’s position in Noah Holdings Ltd., a wealth management service provider for high-net-worth individuals and enterprises in China. Shares of Noah rose in the first quarter of 2015. as the wealth management-focused company was able to successfully capitalize on an advancing Chinese equity market. Within the consumer staples sector, the Fund’s position in Diplomat Pharmacy, Inc., an independent specialty pharmacy, contributed most. Shares rose after the company reported in March 2015 that fourth quarter 2014 earnings and revenue beat consensus estimates, with recent acquisitions and core business growth both contributing to the strong quarter.
Micro Cap Value Fund
For the fiscal year ended October 31, 2015, the Fund returned 2.79%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell Microcap® Value Index,3 which returned -2.06% over the same period.
Domestic equity markets advanced over the past year, with the S&P 500® Index2 rising 5.20% during the trailing 12-month period. Despite this general move upward, there were a few periods of short-term volatility, most notably in January 2015, when the S&P 500 declined 3.1%, and in August 2015, when the index dropped 6.3%, its greatest monthly loss in three years. One of the prevailing market
themes during the trailing 12-month period was the continued weakness in energy prices, with oil, in particular, plunging 60% from a June 2014 high to a six-year low in March 2015. Finally, U.S. real gross domestic product (GDP) initially was reported to have contracted by 0.2% in the first quarter of 2015; however, that figure was later revised up to a modest 0.6% expansion. In the second quarter of 2015, real GDP increased 3.9%, while the advanced estimate from the Bureau of Economic Analysis indicated that real GDP increased 1.5% in the third quarter of 2015.
Stock selection, especially in the industrials and financials sectors, strongly outperformed the Fund’s benchmark during the period. Within the sector, Multi-Color Corporation, a label solutions business, exhibited execution above-peer group margins and exhibited strong organic growth, during a period of positive market perception. In addition, shares of Patrick Industries, Inc., a manufacturer of component products and a distributor of building products and materials, outperformed relative to its sector peer group.
Within the financials sector, shares of Pacific Premier Bancorp, Inc., a bank holding company, increased as the market appeared to react to strong loan production and higher-than-expected revenues. Shares of Ameris Bancorp, a financial holding company, benefited as the market reacted positively to the immediately accretive acquisition of Jacksonville Bancorp.
3
Conversely, stock selection in the energy and consumer staples sectors detracted from the Fund’s relative performance during the period. Shares of Rice Energy Inc., an independent natural gas and oil company, fell amidst concerns over continued natural gas price weakness. Shares of Sanchez Energy Corporation, an independent exploration and production company, also slid as the market reacted poorly to falling natural gas prices.
Within the consumer staples sector, shares of Andersons, Inc., an agriculture-focused diversified company, struggled as industry dynamics remain lackluster and
operational challenges continue to limit performance of the company. Shares of Farmer Brothers Co., a manufacturer, wholesaler and distributor of culinary products, fell on weaker-than-expected second fiscal quarter earnings likely due to weak coffee volume growth and higher operating costs.
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 Micro Cap companies with higher price-to-book ratios and higher forecasted growth values.
2 The S&P 500® Index is widely regarded as the standard for measuring large cap U.S. stock market performance and includes a representative sample of leading companies in leading industries.
3 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, 2015. 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’ portfolio is 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
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, 2015
1 Year | 5 Years | 10 Years | |||||||||||
Class A3 | -5.13 | % | 13.00 | % | 10.79 | % | |||||||
Class I4 | 0.71 | % | 14.48 | % | 11.65 | % |
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, 2015, 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, 2015
1 Year | 5 Years | 10 Years | |||||||||||
Class A3 | -3.14 | % | 9.91 | % | 7.13 | % | |||||||
Class I4 | 2.81 | % | 11.34 | % | 7.96 | % |
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, 2015, is calculated using the SEC required uniform method to compute such return.
4 Performance is at net asset value.
6
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, 2015 through October 31, 2015).
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 5/1/15 – 10/31/15” 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† | ||||||||||
5/1/15 - | ||||||||||||
5/1/15 | 10/31/15 | 10/31/15 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 895.70 | $8.70 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,016.03 | $9.25 | |||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 896.30 | $8.70 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,016.03 | $9.25 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.82% 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, 2015
Sector* | %** | |||
Consumer Discretionary | 15.37 | % | ||
Consumer Staples | 2.55 | % | ||
Energy | 0.39 | % | ||
Financials | 6.04 | % | ||
Health Care | 31.36 | % | ||
Industrials | 7.71 | % | ||
Information Technology | 33.29 | % | ||
Materials | 1.03 | % | ||
Repurchase Agreement | 2.26 | % | ||
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 Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
5/1/15 | 10/31/15 | 5/1/15 - 10/31/15 | ||||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,046.40 | $9.28 | |||||||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,016.13 | $9.15 | |||||||||
Class I | ||||||||||||
Actual | $1,000.00 | $1,046.70 | $9.29 | |||||||||
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, 2015
Sector* | %** | |||
Consumer Discretionary | 11.74 | % | ||
Consumer Staples | 6.56 | % | ||
Energy | 4.80 | % | ||
Financials | 33.20 | % | ||
Health Care | 5.08 | % | ||
Industrials | 18.84 | % | ||
Information Technology | 6.81 | % | ||
Materials | 5.34 | % | ||
Telecommunication Services | 1.16 | % | ||
Utilities | 5.13 | % | ||
Repurchase Agreement | 1.34 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
9
Schedule of Investments
MICRO CAP GROWTH FUND October 31, 2015
Investments | Shares | Fair Value (000) | ||||||
COMMON STOCKS 98.28% | ||||||||
Banks 3.19% | ||||||||
Cardinal Financial Corp. | 64,498 | $ | 1,466 | |||||
LegacyTexas Financial Group, Inc. | 25,689 | 737 | ||||||
Live Oak Bancshares, Inc. | 71,947 | 1,032 | ||||||
ServisFirst Bancshares, Inc. | 36,151 | 1,532 | ||||||
Total | 4,767 | |||||||
Biotechnology 14.50% | ||||||||
Acceleron Pharma, Inc.* | 31,561 | 985 | ||||||
aTyr Pharma, Inc.* | 52,751 | 657 | ||||||
Blueprint Medicines Corp.* | 89,732 | 1,803 | ||||||
Celldex Therapeutics, Inc.* | 66,705 | 804 | ||||||
Coherus Biosciences, Inc.* | 65,058 | 1,812 | ||||||
Dynavax Technologies Corp.* | 67,109 | 1,524 | ||||||
Epizyme, Inc.* | 35,922 | 470 | ||||||
Five Prime Therapeutics, Inc.* | 35,916 | 1,155 | ||||||
Foundation Medicine, Inc.* | 56,732 | 1,272 | ||||||
Global Blood Therapeutics, Inc.* | 18,477 | 862 | ||||||
Ophthotech Corp.* | 31,158 | 1,556 | ||||||
Repligen Corp.* | 41,845 | 1,391 | ||||||
Sage Therapeutics, Inc.* | 44,964 | 2,258 | ||||||
Sarepta Therapeutics, Inc.* | 22,877 | 550 | ||||||
Seres Therapeutics, Inc.* | 26,426 | 783 | ||||||
Spark Therapeutics, Inc.* | 38,867 | 2,095 | ||||||
Synergy Pharmaceuticals, Inc.* | 263,601 | 1,690 | ||||||
Total | 21,667 | |||||||
Building Products 3.31% | ||||||||
American Woodmark Corp.* | 36,839 | 2,678 | ||||||
Builders FirstSource, Inc.* | 191,547 | 2,264 | ||||||
Total | 4,942 | |||||||
Chemicals 1.04% | ||||||||
Flotek Industries, Inc.* | 85,591 | 1,549 | ||||||
Commercial Services & Supplies 0.71% | ||||||||
US Ecology, Inc. | 26,830 | 1,052 |
Investments | Shares | Fair Value (000) | ||||||
Communications Equipment 2.79% | ||||||||
Applied Optoelectronics, Inc.* | 75,094 | $ | 1,548 | |||||
Ruckus Wireless, Inc.* | 231,974 | 2,617 | ||||||
Total | 4,165 | |||||||
Construction & Engineering 1.07% | ||||||||
Comfort Systems USA, Inc. | 50,227 | 1,604 | ||||||
Diversified Consumer Services 2.03% | ||||||||
2U, Inc.* | 63,226 | 1,327 | ||||||
Chegg, Inc.* | 248,157 | 1,712 | ||||||
Total | 3,039 | |||||||
Food Products 2.56% | ||||||||
Calavo Growers, Inc. | 39,621 | 2,037 | ||||||
Diamond Foods, Inc.* | 45,196 | 1,791 | ||||||
Total | 3,828 | |||||||
Health Care Equipment & Supplies 9.22% | ||||||||
AtriCure, Inc.* | 60,503 | 1,121 | ||||||
Endologix, Inc.* | 109,943 | 939 | ||||||
Entellus Medical, Inc.* | 47,832 | 813 | ||||||
Glaukos Corp.* | 64,992 | 1,302 | ||||||
Inogen, Inc.* | 40,835 | 1,745 | ||||||
K2M Group Holdings, Inc.* | 41,236 | 753 | ||||||
LDR Holding Corp.* | 31,655 | 801 | ||||||
Nevro Corp.* | 26,168 | 1,067 | ||||||
NxStage Medical, Inc.* | 79,608 | 1,330 | ||||||
Penumbra, Inc.* | 29,122 | 1,078 | ||||||
ZELTIQ Aesthetics, Inc.* | 83,858 | 2,829 | ||||||
Total | 13,778 | |||||||
Health Care Providers & Services 1.90% | ||||||||
HealthEquity, Inc.* | 59,876 | 1,959 | ||||||
Teladoc, Inc.* | 44,492 | 875 | ||||||
Total | 2,834 | |||||||
Health Care Technology 1.66% | ||||||||
Evolent Health, Inc. Class A* | 74,394 | 956 | ||||||
Press Ganey Holdings, Inc.* | 48,534 | 1,521 | ||||||
Total | 2,477 |
10 | See Notes to Financial Statements. |
Schedule of Investments (continued)
MICRO CAP GROWTH FUND October 31, 2015
Investments | Shares | Fair Value (000) | ||||||
Hotels, Restaurants & Leisure 3.73% | ||||||||
BJ’s Restaurants, Inc.* | 30,618 | $ | 1,315 | |||||
Chuy’s Holdings, Inc.* | 49,552 | 1,348 | ||||||
Habit Restaurants, Inc. | ||||||||
(The) Class A* | 46,269 | 1,105 | ||||||
Zoe’s Kitchen, Inc.* | 52,378 | 1,803 | ||||||
Total | 5,571 | |||||||
Household Durables 2.64% | ||||||||
iRobot Corp.* | 37,576 | 1,127 | ||||||
LGI Homes, Inc.* | 100,596 | 2,820 | ||||||
Total | 3,947 | |||||||
Information Technology Services 1.45% | ||||||||
Luxoft Holding, Inc. (Switzerland)*(a) | 32,397 | 2,159 | ||||||
Insurance 0.69% | ||||||||
Universal Insurance Holdings, Inc. | 32,680 | 1,031 | ||||||
Internet & Catalog Retail 0.49% | ||||||||
Etsy, Inc.* | 66,659 | 727 | ||||||
Internet Software & Services 12.15% | ||||||||
Apigee Corp.* | 187,076 | 1,805 | ||||||
Appfolio, Inc. Class A* | 67,534 | 1,183 | ||||||
Benefitfocus, Inc.* | 61,179 | 1,955 | ||||||
Cvent, Inc.* | 64,422 | 2,036 | ||||||
Gogo, Inc.* | 114,187 | 1,613 | ||||||
Hortonworks, Inc.* | 71,584 | 1,393 | ||||||
Q2 Holdings, Inc.* | 60,401 | 1,489 | ||||||
Stamps.com, Inc.* | 19,882 | 1,503 | ||||||
Textura Corp.* | 99,269 | 2,915 | ||||||
TrueCar, Inc.* | 122,563 | 753 | ||||||
Wix.com Ltd. (Israel)*(a) | 68,401 | 1,513 | ||||||
Total | 18,158 | |||||||
Leisure Product 1.13% | ||||||||
Smith & Wesson Holding Corp.* | 94,590 | 1,689 |
Investments | Shares | Fair Value (000) | ||||||
Life Sciences Tools & Services 0.50% | ||||||||
Pacific Biosciences of California, Inc.* | 105,919 | $ | 752 | |||||
Machinery 0.85% | ||||||||
RBC Bearings, Inc.* | 18,622 | 1,274 | ||||||
Media 3.11% | ||||||||
Entravision Communications Corp. Class A | 352,593 | 3,089 | ||||||
Rentrak Corp.* | 28,175 | 1,554 | ||||||
Total | 4,643 | |||||||
Oil, Gas & Consumable Fuels 0.39% | ||||||||
GasLog Ltd. (Monaco)(a) | 50,781 | 588 | ||||||
Pharmaceuticals 3.75% | ||||||||
Intersect ENT, Inc.* | 40,488 | 776 | ||||||
Intra-Cellular Therapies, Inc.* | 54,227 | 2,595 | ||||||
Revance Therapeutics, Inc.* | 57,116 | 2,237 | ||||||
Total | 5,608 | |||||||
Professional Services 1.31% | ||||||||
Barrett Business Services, Inc. | 24,479 | 1,199 | ||||||
Kforce, Inc. | 27,029 | 760 | ||||||
Total | 1,959 | |||||||
Semiconductors & Semiconductor Equipment 4.86% | ||||||||
Inphi Corp.* | 109,711 | 3,266 | ||||||
MaxLinear, Inc. Class A* | 201,543 | 2,620 | ||||||
Silicon Motion Technology Corp. ADR | 43,021 | 1,368 | ||||||
Total | 7,254 | |||||||
Software 12.24% | ||||||||
BroadSoft, Inc.* | 52,277 | 1,671 | ||||||
Callidus Software, Inc.* | 145,214 | 2,522 | ||||||
Gigamon, Inc.* | 66,239 | 1,737 | ||||||
Globant SA (Luxembourg)*(a) | 56,018 | 1,937 | ||||||
Glu Mobile, Inc.* | 427,674 | 1,762 | ||||||
Materialise NV ADR* | 208,423 | 1,759 |
See Notes to Financial Statements. | 11 |
Schedule of Investments (concluded)
MICRO CAP GROWTH FUND October 31, 2015
Investments | Shares | Fair Value (000) | ||||||
Software (continued) | ||||||||
Paylocity Holding Corp.* | 56,428 | $ | 1,894 | |||||
Rapid7, Inc.* | 54,697 | 1,125 | ||||||
Rubicon Project, Inc. (The)* | 115,889 | 1,757 | ||||||
Silver Spring Networks, Inc.* | 161,520 | 2,118 | ||||||
Total | 18,282 | |||||||
Specialty Retail 1.62% | ||||||||
MarineMax, Inc.* | 50,563 | 799 | ||||||
Sportsman’s Warehouse Holdings, Inc.* | 72,017 | 775 | ||||||
Tile Shop Holdings, Inc.* | 58,698 | 851 | ||||||
Total | 2,425 | |||||||
Textiles, Apparel & Luxury Goods 0.70% | ||||||||
Sequential Brands Group, Inc.* | 83,769 | 1,048 | ||||||
Thrifts & Mortgage Finance 2.19% | ||||||||
HomeStreet, Inc.* | 59,737 | 1,251 | ||||||
LendingTree, Inc.* | 16,696 | 2,026 | ||||||
Total | 3,277 | |||||||
Trading Companies & Distributors 0.50% | ||||||||
Rush Enterprises, Inc. Class A* | 30,886 | 753 | ||||||
Total Common Stocks (cost $138,256,265) | 146,847 |
Investments | Principal Amount (000) | Fair Value (000) | ||||||
SHORT-TERM INVESTMENT 2.27% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 10/30/2015, Zero Coupon due 11/2/2015 with Fixed Income Clearing Corp. collateralized by $3,445,000 of U.S. Treasury Note at 0.75% due 1/15/2017; value: $3,462,225; proceeds: $3,392,326 (cost $3,392,326) | $ | 3,392 | $ | 3,392 | ||||
Total Investments in Securities 100.55% (cost $141,648,591) | 150,239 | |||||||
Liabilities in Excess of Cash and Other Assets (0.55)% | (823 | ) | ||||||
Net Assets 100.00% | $ | 149,416 |
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, 2015 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 | $ | 146,847 | $ | – | $ | – | $ | 146,847 | ||||||||
Repurchase Agreement | – | 3,392 | – | 3,392 | ||||||||||||
Total | $ | 146,847 | $ | 3,392 | $ | – | $ | 150,239 |
(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 1/Level 2 transfers during the fiscal year ended October 31, 2015. |
12 | See Notes to Financial Statements. |
Schedule of Investments
MICRO CAP VALUE FUND October 31, 2015
Fair | ||||||||
Value | ||||||||
Investments | Shares | (000) | ||||||
COMMON STOCKS 96.96% | ||||||||
Auto Components 2.25% | ||||||||
Gentherm, Inc.* | 42,922 | $ | 2,110 | |||||
Tower International, Inc.* | 62,700 | 1,722 | ||||||
Total | 3,832 | |||||||
Banks 17.66% | ||||||||
Ameris Bancorp | 190,300 | 5,994 | ||||||
BNC Bancorp | 221,000 | 4,961 | ||||||
CoBiz Financial, Inc. | 130,366 | 1,624 | ||||||
First Merchants Corp. | 191,279 | 5,017 | ||||||
Pacific Premier Bancorp, Inc.* | 249,300 | 5,323 | ||||||
Renasant Corp. | 105,800 | 3,664 | ||||||
South State Corp. | 45,000 | 3,488 | ||||||
Total | 30,071 | |||||||
Building Products 3.67% | ||||||||
Gibraltar Industries, Inc.* | 69,409 | 1,758 | ||||||
Patrick Industries, Inc.* | 110,600 | 4,488 | ||||||
Total | 6,246 | |||||||
Chemicals 2.41% | ||||||||
Chase Corp. | 44,500 | 1,976 | ||||||
Quaker Chemical Corp. | 26,800 | 2,128 | ||||||
Total | 4,104 | |||||||
Commercial Services & Supplies 3.94% | ||||||||
Multi-Color Corp. | 86,300 | 6,718 | ||||||
Containers & Packaging 0.63% | ||||||||
Multi Packaging Solutions International Ltd.* | 65,416 | 1,070 | ||||||
Diversified Telecommunication Services 1.14% | ||||||||
Cogent Communications Holdings, Inc. | 63,019 | 1,936 | ||||||
Electrical Equipment 1.44% | ||||||||
AZZ, Inc. | 44,200 | 2,446 |
Investments | Shares | Fair Value (000) | ||||||
Electronic Equipment, Instruments & Components 2.47% | ||||||||
CTS Corp. | 157,025 | $ | 2,855 | |||||
Orbotech Ltd. (Israel)*(a) | 81,200 | 1,344 | ||||||
Total | 4,199 | |||||||
Food Products 4.09% | ||||||||
Diamond Foods, Inc.* | 25,300 | 1,002 | ||||||
Farmer Bros Co.* | 46,600 | 1,323 | ||||||
J&J Snack Foods Corp. | 37,750 | 4,635 | ||||||
Total | 6,960 | |||||||
Gas Utilities 2.90% | ||||||||
Chesapeake Utilities Corp. | 94,500 | 4,934 | ||||||
Health Care Providers & Services 4.99% | ||||||||
Aceto Corp. | 153,300 | 4,623 | ||||||
Providence Service Corp. (The)* | 74,900 | 3,869 | ||||||
Total | 8,492 | |||||||
Hotels, Restaurants & Leisure 1.41% | ||||||||
Denny’s Corp.* | 219,300 | 2,403 | ||||||
Household Durables 2.94% | ||||||||
Ethan Allen Interiors, Inc. | 94,702 | 2,577 | ||||||
Libbey, Inc. | 72,000 | 2,422 | ||||||
Total | 4,999 | |||||||
Household Products 2.36% | ||||||||
WD-40 Co. | 42,000 | 4,014 | ||||||
Insurance 1.74% | ||||||||
AMERISAFE, Inc. | 54,200 | 2,966 | ||||||
Machinery 4.28% | ||||||||
Lydall, Inc.* | 116,700 | 3,994 | ||||||
Standex International Corp. | 36,700 | 3,293 | ||||||
Total | 7,287 |
See Notes to Financial Statements. | 13 |
Schedule of Investments (continued)
MICRO CAP VALUE FUND October 31, 2015
Investments | Shares | Fair Value (000) | ||||||
Oil, Gas & Consumable Fuels 4.72% | ||||||||
Carrizo Oil & Gas, Inc.* | 84,012 | $ | 3,162 | |||||
Parsley Energy, Inc. Class A* | 107,228 | 1,901 | ||||||
Rice Energy, Inc.* | 83,375 | 1,272 | ||||||
RSP Permian, Inc.* | 62,099 | 1,703 | ||||||
Total | 8,038 | |||||||
Paper & Forest Products 2.20% | ||||||||
Neenah Paper, Inc. | 55,675 | 3,753 | ||||||
Professional Services 1.74% | ||||||||
ICF International, Inc.* | 96,768 | 2,968 | ||||||
Real Estate Investment Trusts 7.40% | ||||||||
CoreSite Realty Corp. | 54,500 | 2,995 | ||||||
Physicians Realty Trust | 270,999 | 4,330 | ||||||
Retail Opportunity Investments Corp. | 291,000 | 5,276 | ||||||
Total | 12,601 | |||||||
Real Estate Management & Development 4.73% | ||||||||
Marcus & Millichap, Inc.* | 103,900 | 4,527 | ||||||
RE/MAX Holdings, Inc. Class A | 93,700 | 3,530 | ||||||
Total | 8,057 | |||||||
Road & Rail 0.47% | ||||||||
Roadrunner Transportation Systems, Inc.* | 75,700 | 805 | ||||||
Semiconductors & Semiconductor Equipment 2.09% | ||||||||
Silicon Motion Technology Corp. ADR | 112,000 | 3,560 | ||||||
Specialty Retail 4.12% | ||||||||
Express, Inc.* | 139,500 | 2,692 | ||||||
Francesca’s Holdings Corp.* | 303,700 | 4,316 | ||||||
Total | 7,008 |
Investments | Shares | Fair Value (000) | ||||||
Technology Hardware, Storage & Peripherals 2.14% | ||||||||
Electronics for Imaging, Inc.* | 78,400 | $ | 3,641 | |||||
Textiles, Apparel & Luxury Goods 0.82% | ||||||||
Steven Madden Ltd.* | 40,100 | 1,397 | ||||||
Thrifts & Mortgage Finance 1.09% | ||||||||
Essent Group Ltd.* | 77,400 | 1,865 | ||||||
Trading Companies & Distributors 2.97% | ||||||||
Lawson Products, Inc.* | 123,800 | 3,220 | ||||||
Rush Enterprises, Inc. Class A* | 75,300 | 1,836 | ||||||
Total | 5,056 | |||||||
Water Utilities 2.15% | ||||||||
Connecticut Water Service, Inc. | 99,300 | 3,655 | ||||||
Total Common Stocks (cost $124,138,894) | 165,081 | |||||||
Principal Amount (000) | ||||||||
SHORT-TERM INVESTMENT 1.32% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 10/30/2015, Zero Coupon due 11/2/2015 with Fixed Income Clearing Corp. collateralized by $2,280,000 of U.S. Treasury Note at 0.75% due 1/15/2017; value: $2,291,400; proceeds: $2,244,502 (cost $2,244,502) | $ | 2,245 | 2,245 | |||||
Total Investments in Securities 98.28% (cost $126,383,396) | 167,326 | |||||||
Cash and Other Assets in Excess of Liabilities 1.72% | 2,922 | |||||||
Net Assets 100.00% | $ | 170,248 |
ADR | American Depositary Receipt. | |
* | Non-income producing security. | |
(a) | Foreign security traded in U.S. dollars. |
14 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
MICRO CAP VALUE FUND October 31, 2015
The following is a summary of the inputs used as of October 31, 2015 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 (000) | Level 2 (000) | Level 3 (000) | Total (000) | ||||||||||||
Common Stocks | $ | 165,081 | $ | – | $ | – | $ | 165,081 | ||||||||
Repurchase Agreement | – | 2,245 | – | 2,245 | ||||||||||||
Total | $ | 165,081 | $ | 2,245 | $ | – | $ | 167,326 |
(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 1/Level 2 transfers during the fiscal year ended October 31, 2015. |
See Notes to Financial Statements. | 15 |
Statements of Assets and Liabilities
October 31, 2015
Micro Cap | Micro Cap | |||||||
Growth Fund | Value Fund | |||||||
ASSETS: | ||||||||
Investments in securities, at cost | $ | 141,648,591 | $ | 126,383,396 | ||||
Investments in securities, at fair value | $ | 150,238,965 | $ | 167,326,449 | ||||
Cash | 580,085 | 383,808 | ||||||
Receivables: | ||||||||
Investment securities sold | 4,074,654 | 3,629,524 | ||||||
Dividends | 3,597 | 5,866 | ||||||
Capital shares sold | 28,276 | 5,894 | ||||||
Prepaid expenses | 7,038 | 14,852 | ||||||
Total assets | 154,932,615 | 171,366,393 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investment securities purchased | 5,212,780 | 792,839 | ||||||
Capital shares reacquired | 3,812 | 5,401 | ||||||
Management fee | 193,057 | 214,186 | ||||||
Trustees’ fees | 16,513 | 18,388 | ||||||
Fund administration | 5,148 | 5,712 | ||||||
To affiliate (See Note 3) | 26,630 | 29,086 | ||||||
Accrued expenses | 58,473 | 52,609 | ||||||
Total liabilities | 5,516,413 | 1,118,221 | ||||||
NET ASSETS | $ | 149,416,202 | $ | 170,248,172 | ||||
COMPOSITION OF NET ASSETS: | ||||||||
Paid-in capital | $ | 118,320,090 | $ | 126,774,514 | ||||
Accumulated net investment loss | (561,925 | ) | (1,304,593 | ) | ||||
Accumulated net realized gain on investments | 23,067,663 | 3,835,198 | ||||||
Net unrealized appreciation on investments | 8,590,374 | 40,943,053 | ||||||
Net Assets | $ | 149,416,202 | $ | 170,248,172 | ||||
Net assets by class: | ||||||||
Class A Shares | $ | 13,280,180 | $ | 17,197,889 | ||||
Class I Shares | $ | 136,136,022 | $ | 153,050,283 | ||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||
Class A Shares | 813,445 | 548,820 | ||||||
Class I Shares | 7,803,011 | 4,706,704 | ||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $16.33 | $31.34 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 5.75%) | $17.33 | $33.25 | ||||||
Class I Shares-Net asset value | $17.45 | $32.52 |
16 | See Notes to Financial Statements. |
For the Year Ended October 31, 2015
Micro Cap | Micro Cap | |||||||
Growth Fund | Value Fund | |||||||
Investment income: | ||||||||
Dividends (net of foreign withholding taxes of $0 and $2,977, respectively) | $ | 277,308 | $ | 1,524,414 | ||||
Total investment income | 277,308 | 1,524,414 | ||||||
Expenses: | ||||||||
Management fee | 2,575,423 | 2,480,752 | ||||||
Shareholder servicing | 50,122 | 41,537 | ||||||
Professional | 45,983 | 45,960 | ||||||
Reports to shareholders | 8,197 | 7,941 | ||||||
Fund administration | 68,678 | 66,153 | ||||||
Custody | 27,244 | 7,057 | ||||||
Trustees’ fees | 5,920 | 5,643 | ||||||
Registration | 31,974 | 33,163 | ||||||
Subsidy (See Note 3) | 243,296 | 240,099 | ||||||
Other | 24,995 | 23,910 | ||||||
Gross expenses | 3,081,832 | 2,952,215 | ||||||
Expense reductions (See Note 8) | (39 | ) | (34 | ) | ||||
Net expenses | 3,081,793 | 2,952,181 | ||||||
Net investment loss | (2,804,485 | ) | (1,427,767 | ) | ||||
Net realized and unrealized gain (loss): | ||||||||
Net realized gain on investments | 28,749,646 | 3,889,353 | ||||||
Net change in unrealized appreciation/depreciation on investments | (22,832,254 | ) | 2,234,855 | |||||
Net realized and unrealized gain | 5,917,392 | 6,124,208 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 3,112,907 | $ | 4,696,441 |
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 (DECREASE) IN NET ASSETS | October 31, 2015 | October 31, 2014 | ||||||
Operations: | ||||||||
Net investment loss | $ | (2,804,485 | ) | $ | (2,457,704 | ) | ||
Net realized gain on investments | 28,749,646 | 20,636,719 | ||||||
Net change in unrealized appreciation/depreciation on investments | (22,832,254 | ) | (1,527,370 | ) | ||||
Net increase in net assets resulting from operations | 3,112,907 | 16,651,645 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gain | ||||||||
Class A | (1,633,376 | ) | (3,137,466 | ) | ||||
Class I | (18,532,831 | ) | (35,954,135 | ) | ||||
Total distributions to shareholders | (20,166,207 | ) | (39,091,601 | ) | ||||
Capital share transactions (See Note 12): | ||||||||
Net proceeds from sales of shares | 7,961,986 | 16,550,517 | ||||||
Reinvestment of distributions | 18,676,181 | 36,811,431 | ||||||
Cost of shares reacquired | (29,706,060 | ) | (13,570,868 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | (3,067,893 | ) | 39,791,080 | |||||
Net increase (decrease) in net assets | (20,121,193 | ) | 17,351,124 | |||||
NET ASSETS: | ||||||||
Beginning of year | $ | 169,537,395 | $ | 152,186,271 | ||||
End of year | $ | 149,416,202 | $ | 169,537,395 | ||||
Accumulated net investment loss | $ | (561,925 | ) | $ | (507,881 | ) |
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, 2015 | October 31, 2014 | ||||||
Operations: | ||||||||
Net investment loss | $ | (1,427,767 | ) | $ | (1,225,079 | ) | ||
Net realized gain on investments | 3,889,353 | 17,316,351 | ||||||
Net change in unrealized appreciation/depreciation on investments | 2,234,855 | 1,456,882 | ||||||
Net increase in net assets resulting from operations | 4,696,441 | 17,548,154 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gain | ||||||||
Class A | (1,798,650 | ) | (3,831,074 | ) | ||||
Class I | (14,912,161 | ) | (14,965,367 | ) | ||||
Total distributions to shareholders | (16,710,811 | ) | (18,796,441 | ) | ||||
Capital share transactions (See Note 12): | ||||||||
Net proceeds from sales of shares | 8,732,431 | 11,494,312 | ||||||
Reinvestment of distributions | 15,741,765 | 16,966,402 | ||||||
Cost of shares reacquired | (9,053,255 | ) | (20,473,797 | ) | ||||
Net increase in net assets resulting from capital share transactions | 15,420,941 | 7,986,917 | ||||||
Net increase in net assets | 3,406,571 | 6,738,630 | ||||||
NET ASSETS: | ||||||||
Beginning of year | $ | 166,841,601 | $ | 160,102,971 | ||||
End of year | $ | 170,248,172 | $ | 166,841,601 | ||||
Accumulated net investment loss | $ | (1,304,593 | ) | $ | (1,212,164 | ) |
See Notes to Financial Statements. | 19 |
MICRO CAP GROWTH FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||
Net asset value, beginning of year | Net investment loss(a) | Net realized and unrealized gain | Total from investment operations | Net realized gain | Net asset value, end of year | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
10/31/2015 | $18.56 | $(0.30 | ) | $0.42 | $0.12 | $(2.35 | ) | $ | 16.33 | |||||||||||||||
10/31/2014 | 22.57 | (0.28 | ) | 2.27 | 1.99 | (6.00 | ) | 18.56 | ||||||||||||||||
10/31/2013 | 14.03 | (0.29 | ) | 8.94 | 8.65 | (0.11 | ) | 22.57 | ||||||||||||||||
10/31/2012 | 15.98 | (0.28 | ) | 0.79 | 0.51 | (2.46 | ) | 14.03 | ||||||||||||||||
10/31/2011 | 15.47 | (0.33 | ) | 0.84 | 0.51 | – | 15.98 | |||||||||||||||||
Class I | ||||||||||||||||||||||||
10/31/2015 | 19.67 | (0.32 | ) | 0.45 | 0.13 | (2.35 | ) | 17.45 | ||||||||||||||||
10/31/2014 | 23.57 | (0.29 | ) | 2.39 | 2.10 | (6.00 | ) | 19.67 | ||||||||||||||||
10/31/2013 | 14.64 | (0.29 | ) | 9.33 | 9.04 | (0.11 | ) | 23.57 | ||||||||||||||||
10/31/2012 | 16.52 | (0.25 | ) | 0.83 | 0.58 | (2.46 | ) | 14.64 | ||||||||||||||||
10/31/2011 | 15.96 | (0.30 | ) | 0.86 | 0.56 | – | 16.52 |
(a) | Calculated using average shares outstanding during the year. |
(b) | Total return for class A does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for class I assumes the reinvestment of all distributions. |
20 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total return(b) (%) | Total expenses (%) | Net investment loss (%) | Net assets, end of year (000) | Portfolio turnover rate (%) | ||||||||||||||
0.65 | 1.80 | (1.64 | ) | $ | 13,280 | 202.96 | ||||||||||||
10.57 | 1.78 | (1.50 | ) | 12,881 | 208.12 | |||||||||||||
62.14 | 1.85 | (1.64 | ) | 11,220 | 197.69 | |||||||||||||
4.86 | 2.09 | (1.92 | ) | 11,484 | 119.77 | |||||||||||||
3.30 | 2.07 | (1.98 | ) | 15,271 | 120.62 | |||||||||||||
0.71 | 1.80 | (1.63 | ) | 136,136 | 202.96 | |||||||||||||
10.58 | 1.78 | (1.50 | ) | 156,657 | 208.12 | |||||||||||||
62.22 | 1.81 | (1.60 | ) | 140,967 | 197.69 | |||||||||||||
5.10 | 1.84 | (1.68 | ) | 89,897 | 119.77 | |||||||||||||
3.57 | 1.82 | (1.73 | ) | 93,934 | 120.62 |
See Notes to Financial Statements. | 21 |
Financial Highlights
MICRO CAP VALUE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||||||
Investment operations: | shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of year | Net invest- ment loss(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
10/31/2015 | $34.19 | $(0.26 | ) | $1.00 | $0.74 | $ – | $(3.59 | ) | $(3.59 | ) | ||||||||||||||||||
10/31/2014 | 34.74 | (0.23 | ) | 3.84 | 3.61 | – | (4.16 | ) | (4.16 | ) | ||||||||||||||||||
10/31/2013 | 26.52 | (0.10 | ) | 8.32 | 8.22 | – | – | – | ||||||||||||||||||||
10/31/2012 | 22.88 | (0.08 | ) | 3.72 | 3.64 | – | – | – | ||||||||||||||||||||
10/31/2011 | 23.33 | (0.29 | ) | (0.16 | ) | (0.45 | ) | – | – | – | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
10/31/2015 | 35.34 | (0.27 | ) | 1.04 | 0.77 | – | (3.59 | ) | (3.59 | ) | ||||||||||||||||||
10/31/2014 | 35.77 | (0.26 | ) | 3.99 | 3.73 | – | (4.16 | ) | (4.16 | ) | ||||||||||||||||||
10/31/2013 | 27.32 | (0.09 | ) | 8.56 | 8.47 | (0.02 | ) | – | (.02 | ) | ||||||||||||||||||
10/31/2012 | 23.50 | (0.02 | ) | 3.84 | 3.82 | – | – | – | ||||||||||||||||||||
10/31/2011 | 23.91 | (0.24 | ) | (0.17 | ) | (0.41 | ) | – | – | – |
(a) | Calculated using average shares outstanding during the year. |
(b) | Total return for class A does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for class I assumes the reinvestment of all distributions. |
22 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Net asset value, end of year | Total return(b) (%) | Total expenses (%) | Net investment loss (%) | Net assets end of year (000) | Portfolio turnover rate (%) | |||||||||||||||||
$31.34 | 2.79 | 1.79 | (0.86 | ) | $17,198 | 70.40 | ||||||||||||||||
34.19 | 11.16 | 1.76 | (0.68 | ) | 20,028 | 59.95 | ||||||||||||||||
34.74 | 31.00 | 1.82 | (0.34 | ) | 32,010 | 73.58 | ||||||||||||||||
26.52 | 15.91 | 2.05 | (0.32 | ) | 30,512 | 34.25 | ||||||||||||||||
22.88 | (1.93 | ) | 2.04 | (1.17 | ) | 26,239 | 56.97 | |||||||||||||||
32.52 | 2.81 | 1.79 | (0.86 | ) | 153,050 | 70.40 | ||||||||||||||||
35.34 | 11.18 | 1.77 | (0.74 | ) | 146,813 | 59.95 | ||||||||||||||||
35.77 | 31.02 | 1.78 | (0.29 | ) | 128,093 | 73.58 | ||||||||||||||||
27.32 | 16.21 | 1.80 | (0.09 | ) | 96,962 | 34.25 | ||||||||||||||||
23.50 | (1.67 | ) | 1.79 | (0.92 | ) | 94,796 | 56.97 |
See Notes to Financial Statements. | 23 |
1. | ORGANIZATION |
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 (“U.S. GAAP”) 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. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
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 utilize 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. 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 |
24
Notes to Financial Statements (continued)
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. |
(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, 2012 through October 31, 2015. 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 purposes. Inputs refer broadly to the assumptions that market participants would use in pricing |
25
Notes to Financial Statements (continued)
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, 2015 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 each Fund’s annualized effective management fee rate for the fiscal year ended October 31, 2015.
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, 2015, the percentages of Micro Cap Growth Fund’s and Micro Cap Value Fund’s outstanding shares owned by Lord Abbett Alpha Strategy Fund were 74.76% and 78.16%, respectively.
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, 2015, 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, 2015, distributions were declared on November 19, 2015 and paid on November 24, 2015 to shareholders of record on November 23, 2015. The approximate amounts were as follows:
Short-Term | Long-Term | |
Capital Gains | Capital Gains | |
Micro Cap Growth Fund | $6,651,000 | $20,229,000 |
Micro Cap Value Fund | – | 3,888,000 |
The tax character of distributions paid during the fiscal years ended October 31, 2015 and 2014 was as follows:
Micro Cap Growth Fund | Micro Cap Value Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
10/31/2015 | 10/31/2014 | 10/31/2015 | 10/31/2014 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 3,677,493 | $ | 26,623,391 | $ | – | $ | – | ||||||||
Net long-term capital gains | 16,488,714 | 12,468,210 | 16,710,811 | 18,796,441 | ||||||||||||
Total distributions paid | $ | 20,166,207 | $ | 39,091,601 | $ | 16,710,811 | $ | 18,796,441 |
As of October 31, 2015, the components of accumulated gains on a tax-basis were as follows:
Micro Cap | Micro Cap | |||||||
Growth Fund | Value Fund | |||||||
Undistributed ordinary income - net | $ | 6,650,242 | $ | – | ||||
Undistributed long-term capital gains | 20,228,802 | 3,888,228 | ||||||
Total undistributed earnings | 26,879,044 | 3,888,228 | ||||||
Temporary differences | (561,925 | ) | (1,304,593 | ) | ||||
Unrealized gains - net | 4,778,993 | 40,890,023 | ||||||
Total accumulated gains - net | $ | 31,096,112 | $ | 43,473,658 |
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 2015 as follows:
Micro Cap Growth Fund | $ 545,412 |
Micro Cap Value Fund | 1,286,205 |
As of October 31, 2015, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
Micro Cap | Micro Cap | |||||||
Growth Fund | Value Fund | |||||||
Tax cost | $ | 145,459,972 | $ | 126,436,426 | ||||
Gross unrealized gain | 12,334,646 | 43,532,372 | ||||||
Gross unrealized loss | (7,555,653 | ) | (2,642,349 | ) | ||||
Net unrealized security gain | $ | 4,778,993 | $ | 40,890,023 |
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, 2015 have been reclassified among the components of net assets based on their tax basis treatment as follows:
Accumulated | Accumulated | ||||||
Net Investment | Net Realized | Paid-in | |||||
Loss | Gain | Capital | |||||
Micro Cap Growth Fund | $2,750,441 | $(2,750,441 | ) | $ – | |||
Micro Cap Value Fund | 1,335,338 | – | (1,335,338 | ) |
The permanent differences are attributable to the tax treatment of net operating losses, certain securities and certain distributions received.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended October 31, 2015 were as follows:
Purchases | Sales | |
Micro Cap Growth Fund | $334,651,855 | $360,123,305 |
Micro Cap Value Fund | 113,182,535 | 119,281,393 |
There were no purchases or sales of U.S. Government securities for the fiscal year ended October 31, 2015.
6. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosure to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets 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
28
Notes to Financial Statements (continued)
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 | |||
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 | $3,392,326 | $ – | $3,392,326 |
Total | $3,392,326 | $ – | $3,392,326 |
Net Amounts of Assets Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | |||||||||||||||
Fixed Income Clearing Corp. | $ | 3,392,326 | $ | – | $ | – | $ | (3,392,326 | ) | $ | – | |||||||||
Total | $ | 3,392,326 | $ | – | $ | – | $ | (3,392,326 | ) | $ | – |
Micro Cap Value 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 | $2,244,502 | $ – | $2,244,502 |
Total | $2,244,502 | $ – | $2,244,502 |
Net Amounts of Assets Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | |||||||||||||||
Fixed Income Clearing Corp. | $ | 2,244,502 | $ | – | $ | – | $ | (2,244,502 | ) | $ | – | |||||||||
Total | $ | 2,244,502 | $ | – | $ | – | $ | (2,244,502 | ) | $ | – |
(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, 2015. |
7. | TRUSTEES’ REMUNERATION |
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.
29
Notes to Financial Statements (continued)
8. | EXPENSE REDUCTIONS |
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.
9. | LINE OF CREDIT |
Effective August 31, 2015, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $550 million (the “Facility”), whereas State Street Bank and Trust Company (“SSB”) participates as a lender and as agent for the lenders. 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. The Facility will continue through August 29, 2016.
Prior to August 31, 2015, the Funds and certain other funds managed by Lord Abbett participated in a $500 million unsecured revolving credit facility with SSB (the “SSB Facility”).
During the fiscal year ended October 31, 2015, the Funds did not utilize the Facility or the SSB Facility.
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.
11. | INVESTMENT RISKS |
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:
Year Ended | Year Ended | |||||||||||||||
Micro Cap Growth Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 84,144 | $ | 1,509,470 | 103,506 | $ | 2,045,415 | ||||||||||
Reinvestment of distributions | 100,381 | 1,633,205 | 180,089 | 3,137,146 | ||||||||||||
Shares reacquired | (65,192 | ) | (1,229,708 | ) | (86,690 | ) | (1,587,982 | ) | ||||||||
Increase | 119,333 | $ | 1,912,967 | 196,905 | $ | 3,594,579 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 339,691 | $ | 6,452,516 | 770,587 | $ | 14,505,102 | ||||||||||
Reinvestment of distributions | 980,044 | 17,042,976 | 1,823,188 | 33,674,285 | ||||||||||||
Shares reacquired | (1,481,051 | ) | (28,476,352 | ) | (610,341 | ) | (11,982,886 | ) | ||||||||
Increase (decrease) | (161,316 | ) | $ | (4,980,860 | ) | 1,983,434 | $ | 36,196,501 | ||||||||
Year Ended | Year Ended | |||||||||||||||
Micro Cap Value Fund | October 31, 2015 | October 31, 2014 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,393 | $ | 133,102 | 10,203 | $ | 337,955 | ||||||||||
Reinvestment of distributions | 57,549 | 1,701,736 | 93,032 | 2,979,819 | ||||||||||||
Shares reacquired | (98,955 | ) | (3,255,230 | ) | (438,816 | ) | (14,299,631 | ) | ||||||||
Decrease | (37,013 | ) | $ | (1,420,392 | ) | (335,581 | ) | $ | (10,981,857 | ) | ||||||
Class I Shares | ||||||||||||||||
Shares sold | 279,535 | $ | 8,599,329 | 328,999 | $ | 11,156,357 | ||||||||||
Reinvestment of distributions | 457,479 | 14,040,029 | 422,555 | 13,986,583 | ||||||||||||
Shares reacquired | (185,093 | ) | (5,798,025 | ) | (177,565 | ) | (6,174,166 | ) | ||||||||
Increase | 551,921 | $ | 16,841,333 | 573,989 | $ | 18,968,774 |
13. | RECENT ACCOUNTING PRONOUNCEMENT |
In June 2014, FASB issued ASU 2014-11 Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for financial statements with fiscal years beginning after December 15, 2014. The effective dates for interim periods vary for the requirements within this guidance. Management has evaluated the impact of adopting this guidance, and determined the impact will not be material to the Funds’ financial statement disclosures.
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, 2015, 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, 2015, 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, 2015, 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 21, 2015
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 58 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, 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 58 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. Each officer serves for an indefinite term (i.e., until his or her death, resignation, retirement, or removal).
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, 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, joined Lord Abbett in 1997. | |||
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. | |||
Giulio Martini (1955) | Executive Vice President | Elected in 2015 | Director of Strategic Asset Allocation, joined Lord Abbett in 2015 and was formerly Global Investment Strategist at Anderson Global Macro LLC (2012 – 2015) and Chief Investment Officer of Currency Strategies at AllianceBernstein (1985 – 2012). | |||
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 Portfolio Manager, 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 | Assistant General Counsel, joined Lord Abbett in 2008. |
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 | |||
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. | |||
Matthew R. DeCicco (1977) | Vice President | Elected in 2015 | Portfolio Manager, joined Lord Abbett in 1999. | |||
Brooke A. Fapohunda (1975) | Vice President and Assistant Secretary | Elected in 2014 | Deputy General Counsel, joined Lord Abbett in 2006. | |||
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 Managing Director and the 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, 2015, $16,488,714 and $16,710,811, respectively, represent long-term capital gains.
Of the distributions paid by Micro Cap Growth Fund to shareholders during the fiscal year ended October 31, 2015, $3,677,493 represents short-term capital gains.
11% of the ordinary income distributions paid by Micro Cap Growth Fund during the fiscal year ended October 31, 2015 is qualified dividend income. For corporate shareholders, 11% of Micro Cap Growth Fund’s ordinary income distributions qualified for the dividends received deduction.
37
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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 Securities Trust | |
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | Lord Abbett Micro-Cap Growth Fund Lord Abbett Micro-Cap Value Fund | LAMCVF-2 (12/15) |
Item 2: | Code of Ethics. |
(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, 2015 (the “Period”). |
(b) | Not applicable. |
(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. |
(e) | Not applicable. |
(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, 2015 and 2014 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: | ||||||||
2015 | 2014 | |||||||
Audit Fees {a} | $ | 381,000 | $ | 374,900 | ||||
Audit-Related Fees | - 0 - | - 0 - | ||||||
Total audit and audit-related fees | 381,000 | 374,900 | ||||||
Tax Fees {b} | 83,120 | 81,008 | ||||||
All Other Fees | - 0 - | - 0 - | ||||||
Total Fees | $ | 464,120 | $ | 455,908 |
{a} Consists of fees for audits of the Registrant’s annual financial statements.
{b} Fees for the fiscal year ended October 31, 2015 and 2014 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, 2015 and 2014 were:
Fiscal year ended: | ||||||||
2015 | 2014 | |||||||
All Other Fees {a} | $ | 185,031 | $ | 185,734 |
{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, 2015 and 2014 were:
Fiscal year ended: | ||||||||
2015 | 2014 | |||||||
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. | |
Item 6: | Investments. |
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. |
Item 12: | Exhibits. |
(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 21, 2015 |
By: | /s/ Joan A. Binstock | ||
Joan A. Binstock | |||
Chief Financial Officer and Vice President | |||
Date: December 21, 2015 |
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 21, 2015 |
By: | /s/ Joan A. Binstock | ||
Joan A. Binstock | |||
Chief Financial Officer and Vice President | |||
Date: December 21, 2015 |