UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-07840 |
|
Schroder Series Trust |
(Exact name of registrant as specified in charter) |
|
875 Third Avenue, 22nd Floor New York, NY | | 10022 |
(Address of principal executive offices) | | (Zip code) |
|
Schroder Series Trust P.O. Box 8507 Boston, MA 02266 |
(Name and address of agent for service) |
|
Registrant’s telephone number, including area code: | 1-800-464-3108 | |
|
Date of fiscal year end: | October 31, 2011 | |
|
Date of reporting period: | April 30, 2011 | |
| | | | | | | | |
Item 1. Reports to Stockholders.
Schroder Mutual Funds
April 30, 2011 | Semi-Annual Report |
| |
| Schroder International Alpha Fund |
| Schroder International Multi-Cap Value Fund |
| Schroder Emerging Market Equity Fund |
| Schroder U.S. Opportunities Fund |
| Schroder U.S. Small and Mid Cap Opportunities Fund |
| Schroder North American Equity Fund |
| Schroder Total Return Fixed Income Fund |
| Schroder Multi-Asset Growth Portfolio |
Schroder Mutual Funds
Table of Contents
Letter to Shareholders | | 1 |
| | |
Management Discussion and Analysis | | 3 |
| | |
Schedules of Investments | | |
| | |
International Alpha Fund | | 27 |
| | |
International Multi-Cap Value Fund | | 30 |
| | |
Emerging Market Equity Fund | | 42 |
| | |
U.S. Opportunities Fund | | 46 |
| | |
U.S. Small and Mid Cap Opportunities Fund | | 50 |
| | |
North American Equity Fund | | 53 |
| | |
Total Return Fixed Income Fund | | 61 |
| | |
Multi-Asset Growth Portfolio | | 68 |
| | |
Statements of Assets and Liabilities | | 72 |
| | |
Statements of Operations | | 76 |
| | |
Statements of Changes in Net Assets | | 78 |
| | |
Financial Highlights | | 82 |
| | |
Notes to Financial Statements | | 86 |
| | |
Disclosure of Fund Expenses | | 102 |
Proxy Voting (Unaudited)
A description of the Funds’ proxy voting policies and procedures is available upon request, without charge, by visiting the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov, or by calling 1-800-464-3108 and requesting a copy of the applicable Fund’s Statement of Additional Information or on the Schroder Funds website at http://www.schroderfunds.com, by downloading the Funds’ Statement of Additional Information. Information regarding how the Funds voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request by calling 1-800-464-3108 and on the SEC’s website at http://www.sec.gov.
Form N-Q (Unaudited)
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q is available on the SEC’s website at http://www.sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
June 1, 2011
Dear Shareholder:
The final quarter of 2010 saw a revival in risk appetite as fears of a double dip recession faded. Equity markets rallied on the back of better economic news as the lull in economic activity during the summer gave way to signs of stronger growth in the world economy. Orders and output, as measured by the purchasing managers’ indices, rose and retail spending in the U.S. picked up. Risk appetite also received a fillip from the arrival of further quantitative easing (known as QE2) by the U.S. Federal Reserve, with the U.S. central bank announcing plans to buy $600 billion of U.S. Treasury bonds by the middle of 2011, which is soon to expire as of this writing. Treasury yields fell sharply in anticipation of the move, driving investors to seek higher yielding and more risky assets such as high yield bonds, equities and commodities. Concerns that such action would result in higher inflation over the medium term were also reflected in market expectations. On a less positive note, the early portion of the reporting period also saw another crisis in the Eurozone, this time over Ireland, which led to an €85 billion bailout at the end of November. However, after a brief pause, markets continued along their upward path.
The beginning of 2011 brought two major shocks to markets: escalating political tension in the Middle East and North Africa (MENA) and natural disaster in Japan. While our sympathies are with those directly affected, such unpredictable events present major challenges, as they are outside the historical experience of most investors. The key question is whether the shocks will derail global activity and with it risk assets, which have been underpinned by the revival in growth.
The natural disaster in Japan is a tragedy for the country and its people. In terms of the impact on the economy, although much physical investment has been destroyed and output will fall significantly in the near term, the medium term outlook is more positive. Reconstruction is expected to lift Japanese GDP, thus making up the initial loss of output and then adding to activity. Japan’s high national savings rate means we do not see a problem in financing this expenditure. The impact on the rest of the world is limited since despite being the world’s third largest economy, Japan is not a major contributor to global demand.
Meanwhile, the recent surge in oil prices due to tensions in the Middle East is likely to pose a threat to global growth, but we are not forecasting a double dip scenario where the world returns to recession. More likely, this will squeeze real incomes through higher inflation and slow growth. The combination of higher energy and food prices means that our forecast for global Consumer Price Index (“CPI”) has risen to 3.5% in 2011. The recycling of expenditure from oil producers to consumers will not occur rapidly enough to compensate in the near term. Excluding these factors, we expect the core rate in the U.S. and Europe to remain subdued given the presence of a significant output gap. UK inflation, however, continues to surprise on the upside and looks set to remain above the 3% threshold throughout the year. Nonetheless, the rise in energy costs has brought an end to the process of revising growth up and has meant that we have had to increase our inflation forecast for this year.
Inflation also remains a concern in the emerging markets where commodity prices have a significant weight in the CPI basket and there is less spare capacity than in the developed world. Monetary policy is tightening as a result and raises the risk of a sharper slowdown in activity in the emerging world. Meanwhile, interest rates have also risen in the Eurozone. While reinforcing the European Central Bank’s hawkish credentials, such a move will exacerbate problems in the peripheral economies of Europe that are pursuing severe fiscal austerity measures.
In the face of a number of shocks, our central forecast is for a continuing recovery in global economic activity. We believe that the U.S. is on a sustainable footing as the recovery in the corporate sector supports a stronger labor market. Meanwhile, despite experiencing a pick up in inflation, emerging markets growth should remain robust.
Our U.S. growth forecast for 2011 remains slightly stronger than consensus despite the latter revising up their expectations. In particular, we are more positive on the labor market and a fall in the unemployment rate. Another bright spot is the U.S. corporate sector where firms continue to maintain strong cash balances. This has started to bring a revival in mergers and acquisitions activity and acceleration in investment spending. From a valuation perspective, the U.S. appears attractive relative to historical levels.
1
By contrast, growth prospects in the UK and Europe are constrained by the start of the fiscal austerity measures. Moreover, Europe still faces potential headwinds, as we do not believe that the euro crisis is over and we expect concerns over solvency in the peripheral nations to persist throughout 2011. However, contagion should be contained by enhanced EU support.
The combination of fiscal consolidation and interest rates rises later in the year are likely to dampen growth in the UK. For Europe ex UK, we expect concerns over debt solvency of the peripheral nations to persist in 2011 but be contained with support from the authorities in Europe. Investors’ sentiment towards the region has become less negative against a backdrop of attractive valuations. However, there is the risk that the regulatory reforms proposed for the European banks could undermine the performance of this sector and those markets that have a higher weighting in banking stocks. As for Japan, while there is still uncertainty over the nuclear crisis in the aftermath of the earthquake in Japan, the recent sell-off in the market is looking overdone. Moreover, Japanese equities appear to be good value against other markets. The repatriation of Japanese funds is likely to be supportive of the Japanese yen (JPY), but this has to be balanced against the potential rise in interest rate differentials between the JPY and the major currencies. Historically, Japan tends to benefit from pro-cyclical improvements in the U.S. economy when there is a pick up in monetary tightening expectations.
Sustainable growth prospects remain in the emerging world due to their stronger structural fundamentals including current account surplus positions. We expect the emerging countries to account for more than half of global growth this year and next. On the other hand, in terms of valuations, the discount between the emerging and developed markets is quite narrow at present indicating that some of the growth premium is already in the price. More broadly, there has been a further acceleration of inflation rates in the emerging economies over the past year and therefore, we expect policymakers to tighten monetary policy more rapidly in response to inflationary pressures and concerns over asset bubbles. For China, we forecast additional uplifts in the required reserve ratio of the country’s lenders and in interest rates. In the meantime, further monetary policy tightening by China could lead to a temporary setback not only for emerging equities but also for the Pacific ex Japan, chiefly such markets as Australia, Singapore, Hong Kong, and New Zealand.
As we stated in the Funds’ Annual Report, in this type of environment, we believe that the investor who maintains a diversified portfolio — both across asset classes and geographic borders — should be able to weather the bumpy periods better than those who have high concentrations in one or two sectors or regions. We encourage you to consult with your financial advisor to ascertain whether your current mix of investments is suitable for your long-term objectives.
We thank you for including Schroders in your financial plan, and we look forward to our continued relationship.
| Sincerely, |
| |
| 
|
| |
| Mark A. Hemenetz, CFA |
| President |
The views expressed in the following report were those of each respective Fund’s portfolio management team as of the date specified and may not reflect the views of the portfolio managers on the date this Semi-Annual Report is published or any time thereafter. These views are intended to assist shareholders of the Funds in understanding their investment in the Funds and do not constitute investment advice; investors should consult their own investment professionals as to their individual investment programs. Certain securities described in these reports may no longer be held by the Funds and therefore may no longer appear in the Schedules of Investments as of April 30, 2011.
2
Schroder International Alpha Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of June 1, 2011)
Performance
In the six months ended April 30, 2011, Schroder International Alpha Fund (the “Fund”) gained 13.04% (Investor Shares) and 12.96% (Advisor Shares) compared to the Morgan Stanley Capital International EAFE Index (the “Index”), a broad-based basket of international stocks, which rose 12.71%.
Market Background
Equities began the period well, responding to the tumbling dollar and further quantitative easing in the U.S. Despite the Eurozone’s structural and fiscal problems in ‘peripheral’ Europe and concerns over inflation in emerging markets, 2010 ended the year rallying on strong manufacturing data and broadly healthy economic signs from the U.S. The first part of 2011, until March 11, saw massive rotation out of emerging markets, due to worries about inflationary pressure and the ongoing normalization of monetary policies. As unrest in the Middle East intensified and the Japan tsunami hit, markets in the second half of March reversed their course and emerging markets were favored again. In April, emerging markets hit their highest levels in over 30 months. By the end of the six-month period, European sovereign concerns resurfaced, but markets remained resilient, and the U.S. economy continued to improve.
Portfolio Review
By region, the main drivers of outperformance were Japan and North America, while emerging markets was the main detractor. In Japan, the Fund benefited from both positive stock selection and an underweight positioning as the country underperformed the benchmark. The strongest sector within Japan in relative terms was consumer discretionary factor, after strong performances from Sekisui Chemical. Sekisui Chemical’s strong performance is due to the expectation that it will benefit from an improvement in the outlook for housing demand over the next year. The Fund’s lack of exposure to Japanese utilities was also beneficial.
In North America, the materials sector drove outperformance thanks to an excellent run from copper miner First Quantum Minerals on the back of high prices. The position was sold before the end of the period to lock in profit.
Emerging markets were hurt by investor rotation out of the region during the early part of 2011 on the back of inflationary worries and concern about the ongoing normalization of monetary policies in those countries. Investors took profits after a two-year rise and reallocated funds to lower quality European financials as European peripheral issues were perceived as under control. In particular, this hurt our emerging market financials (Turkiye Garanti Bankasi, Shriram Transport Finance, Itau Unibanco).
From the Fund’s total portfolio sector perspective, information technology (Samsung, SAP) and consumer discretionary (Hyundai Motor, Sekisui Chemical) contributed the most to performance. Samsung has enjoyed a strong run on the back of excellent sales in chips, TVs and handsets. The South Korean carmaker Hyundai has been trading up since the Japanese tsunami on the expectation that it will take market share from its Japanese competitors while factories in the country remain closed.
By sector, the main detractor was financials, which was largely held back by emerging market names, as well as Sumitomo Mitsui Financial Group, Japan’s second biggest lender by market value. Consumer staples (Seven & I Holdings, Tesco) also detracted from performance. Investors worried about convenience retailer Seven & I in the aftermath of the earthquake and tsunami, and the market has been concerned about the change of Tesco’s management.
3
Outlook
We maintain the Fund’s cautious policy towards Europe as sovereign problems in its periphery continued to cause concern throughout April. Portugal ended speculation by confirming it would seek international aid, and indeed since the end of April a bailout package of €78bn has been agreed. Meanwhile, worries that Greece would have to restructure its debt intensified throughout the month. Yields on Greek and Portuguese government bonds have soared throughout April, with 10-year spreads for Greek bonds over German bunds widening above 10 percentage points. It is not yet clear if Portugal’s bailout package will take the pressure off Portuguese bonds; in the five months following Ireland’s bail out, Irish two-year yields continued to rise. We believe it will take time before the structural issues in peripheral Europe can be dealt and therefore will avoid stocks in Portugal, Ireland or Greece in the Fund’s portfolio.
While the European Central Bank (“ECB”) raised interest rates by 25 basis points to 1.25% in light of rising inflationary pressure, other developed markets’ central banks have been on hold. Inflationary pressures are linked to strong emerging market demand in commodities, but the output gap and wages remain benign causing concerns that early tightening could hurt the nascent and still fragile economic recovery in the developed world. In fact, the ECB has signaled it is unlikely to raise rates again in the next two months. The current tightening, however, may add further pressure on peripheral eurozone economies struggling to contain debt. Regarding inflation, we believe that the base effect post June 2011 will mitigate the impact of commodities-induced inflationary pressures. In addition, although the global economy is less dependant on oil than it used to be, we believe that high oil prices in the past several months combined with tightening monetary policies in emerging market economies will have a temporary dampening effect on economic growth globally. Although the long term upward trend in commodities is in our view intact, in the short term this could alleviate the upward pricing pressures on commodities.
Aside from peripheral Europe, economic data remained robust across the world with leading indicators suggesting economic growth will remain on track. The corporate world remains in good health as the benefits of cost cutting measures and efficiencies come through; April has seen a broadly healthy earnings season.
The Middle East remains politically volatile, and we do not expect a quick resolution there. Its demographic profile — in particular a large population of unemployed young men — and strong divides in the region mean structural changes may be necessary. Ethnic conflict in our view will continue to unfold. This continues to make it hard to predict how oil prices will move, and we remain alert to the impact it will have on input costs and the global economy.
Looking forward, we believe that the markets will continue to focus on liquidity, in particular with the approaching end of the second round of quantitative easing in the U.S. in June and the impact of the normalization of monetary policies around the world. While the tsunami has led Japan to inject additional liquidity, the European and emerging market environment remains on the tightening side. We believe that differences in interest rate moves in various countries will also continue to create a volatile environment for currencies.
We continue to find attractively priced growth companies in quality names with strong competitive advantage. As the world adjusts to the new environment where global economic growth is driven by the large emerging markets such as China, India and Brazil, while developed market consumers deleverage and the western financial system settles to function under new rules, we expect competitive companies with strong balance sheets will find attractive growth opportunities. We continue to find investment opportunity in global companies that are benefiting from emerging market consumer demand.
4
PERFORMANCE INFORMATION
| | One Year Ended
April 30, 2011 | | Five Years Ended
April 30, 2011(b) | | Ten Years Ended
April 30, 2011(b) | |
Schroder International Alpha Fund (a) — | | | | | | | |
Investor Shares | | 28.30 | % | 4.22 | % | 5.16 | % |
Advisor Shares | | 28.00 | % | 3.98 | %(c) | 4.90 | %(c) |
(a) Effective April 1, 2006, the advisory fee of the Fund increased to 0.975% per annum. If the Fund had paid such higher fees during prior periods, the returns of the Fund would have been lower.
(b) Average annual total return.
(c) The Advisor Shares commenced operations on May 15, 2006. The performance information provided in the above table for periods prior to May 15, 2006 reflects the performance of the Investor Shares of the Fund, adjusted to reflect the distribution fees paid by Advisor Shares.
“Total Return” shown above is calculated including reinvestment of all dividends and distributions. Results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. Results represent past performance and do not indicate future results. The value of an investment in the Fund and the return on investment both will fluctuate, and redemption proceeds may be higher or lower than an investor’s original cost.
Top 5 Holdings
Security | | % of Investments | |
Novartis | | 2.9 | % |
Xstrata | | 2.4 | |
Yaskawa Electric | | 2.4 | |
FANUC | | 2.2 | |
Honda Motor | | 2.2 | |
Geographic Allocation
| | % of Investments | | 
|
 Continental Europe
| | 36.3 | % |
 United Kingdom
| | 21.3 | |
 Japan
| | 16.5 | |
 Pacific ex-Japan
| | 10.0 | |
 Emerging Markets
| | 8.6 | |
 North America
| | 5.8 | |
 Short-Term Investments
| | 1.5 | |
5
Schroder International Multi-Cap Value Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of June 1, 2011)
Performance
In the six months ended April 30, 2011, Schroder International Multi-Cap Value Fund (the “Fund”) gained 14.06% (Investor Shares) and 13.99% (Advisor Shares) compared to the Morgan Stanley Capital International EAFE Index (the “Index”), a broad-based basket of international stocks, which rose 12.71% during this same period.
Market Background
International equities rallied strongly towards the end of 2010 driven by economically sensitive industries as expectations for global growth continued to improve following a mid-year pause. The late flurry capped a year characterised more by marked sharp swings in sentiment as investors assessed the significance of economic data and the sovereign debt crises in Europe. The dominance of top-down themes was manifested in the relatively high level of correlation between stocks and the often significant rotation in the performance of cyclical and defensive sectors depending upon market direction. By the end of the year, however, cyclical industries were in the ascendency, driven by resources and industrials in particular, while more defensive areas of the market, such as utilities and health care, were the clear laggards. This was driven by a positive reception to the U.S. Federal Reserve Bank’s announcement of a further round of quantitative easing (known as QE2) early in the fourth quarter 2010 as well as an unexpected fiscal stimulus and generally supportive economic data. Weakness in the U.S. dollar on the back of QE2 helped to buoy the U.S. equity market, while renewed concerns about European sovereign debt weighed on the European stocks, banks in particular.
International equity markets entered 2011 on an equally positive note, buoyed by expectations of strengthening economic growth, ample liquidity and receding concerns about sovereign debt risk in Europe. While the tragic events surrounding the Tohoku earthquake in Japan appeared to threaten positive investor sentiment, international stocks outside of Japan proved resilient and ended the period on a relatively upbeat note. The period as a whole was characterised by some reasonably significant swings in investor focus, with higher risk, deep value stocks — predominantly low-quality European banks — performing particularly well in early January, only to give much of this performance back in March. This echoed a more general preference for market sensitivity (beta) at the beginning of the year, which was replaced by a focus on higher-quality stocks towards the end of the period.
Macro-economic events strongly influenced sentiment during the period. In addition to the devastating events in Japan, investors were forced to confront bad news. Rising political tensions across the Middle East gave rise to regime change in Tunisia and Egypt, along with the outbreak of civil war in Libya. This, in turn, led to a dramatic leap in oil prices. Meanwhile, the threat of rising global inflation — fuelled by rising food and energy prices — resulted in expectations of earlier-than-anticipated tightening of monetary policy in the U.S. and Europe (a process which is already underway in parts of Asia). This was borne out in Europe, after the central bank chose to raise interest rates by a quarter of a percentage point, to 1.25%, in April.
Portfolio Review
The Fund ended the period ahead of the market. Performance was chiefly driven by positive stock selection in the energy and materials sectors, as well as among defensive names in the utilities, consumer staples and health care sectors. The Fund’s holdings within the telecoms and industrials sectors detracted from relative gains over the period.
Despite the recent turmoil in Japan, the Fund’s regional stock selection was, by far, the leading contributor to the Fund’s performance. Avoiding underperforming Japanese utilities stocks (which underperformed in the wake of the Tohoku earthquake) boosted relative gains. Elsewhere, the Fund’s emerging markets allocation added value, despite weaker performance by emerging Asian stocks.
6
Outlook
The Fund’s largest sector overweight remains telecoms where we are attracted to high dividend yields and their relative stability. Within the cyclical parts of the market, we prefer technology stocks over consumer discretionary and industrials. The Fund’s largest underweight positions are now in the health care and consumer staples sectors.
We remain broadly neutral with respect to the resources sector as its strong performance continues to be matched by perceived improvements in fundamentals as demonstrated by strong earnings during the recent reporting season.
Within financials, we continue to retain a preference for insurers over banks. Given the high level of intra-sector volatility within financials globally, we continue to believe that this sector will provide plenty of opportunities to benefit from stock selection during 2011.
The Fund’s regional allocations remain broadly unchanged, but we have increased the Fund’s exposure to Japan — with valuations looking increasingly attractive. Within emerging markets, we continue to have a higher allocation to Asian economies.
7
PERFORMANCE INFORMATION
| | One Year Ended
April 30, 2011 | | Annualized
Since
Inception (a) | |
Schroder International Multi-Cap Value Fund — | | | | | |
Investor Shares | | 24.19 | % | 6.74 | % |
Advisor Shares | | 23.97 | % | 6.52 | % |
(a) From commencement of Fund operations on August 30, 2006.
“Total Return” shown above is calculated including reinvestment of all dividends and distributions. Results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. Results represent past performance and do not indicate future results. The value of an investment in the Fund and the return on investment both will fluctuate, and redemption proceeds may be higher or lower than an investor’s original cost.
Top 5 Holdings
Security* | | % of Investments | |
BASF | | 0.5 | % |
Total | | 0.5 | |
StatoilHydro | | 0.4 | |
Royal Dutch Shell A Shares | | 0.4 | |
Telstra | | 0.4 | |
* Excludes any Short-Term Investments.
Geographic Allocation
| | % of Investments | | 
|
 Continental Europe
| | 37.0 | % |
 Japan
| | 21.7 | |
 Emerging Markets
| | 11.2 | |
 United Kingdom
| | 11.2 | |
 Pacific ex-Japan
| | 10.2 | |
 North America
| | 7.1 | |
 Short-Term Investments
| | 1.6 | |
8
Schroder Emerging Market Equity Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of June 1, 2011)
Performance
In the six months ended April 30, 2011, Schroder Emerging Market Equity Fund (the “Fund”) rose 11.79% (Investor Shares) and 11.70% (Advisor Shares), compared to the Morgan Stanley Capital International Emerging Markets Index (the “Index”), a broad-based basket of international stocks, which rose 9.74% during the same period.
Market Background
Global equity markets produced positive returns over the six month period ended April 30, 2011, benefiting from confirmation that the U.S. had avoided a double dip recession and generally favorable news on corporate earnings and cash flow. Easing sovereign debt risks also helped to lift sentiment as the European Union and International Monetary Fund agreed a rescue package for Ireland in November 2010. However, equities faced headwinds from strong oil and commodity prices while a major earthquake in Japan in March 2011 led to fears of supply chain disruption across the world. The Morgan Stanley Capital International Emerging Markets Index rose over the period, but it underperformed the Morgan Stanley Capital International World Index, which returned 14.06% for the six-month period ended April 30, 2011, with inflation concerns and political unrest in the Middle East and North Africa providing the main drags on returns.
Emerging markets in the EMEA (Europe, Middle East and Africa) region produced the strongest returns over the period, with Russia delivering very strong performance due to the marked appreciation in global crude oil prices. Local currency strength also aided returns. The Czech Republic outperformed the regional and broader emerging market indices, benefiting from the strong upturn in economic activity in export markets such as Germany, which supported Czech manufacturing data. Polish equities outperformed, aided by strong performance from commodity-related names such as copper producer KGHM Polska Miedz. South Africa outperformed wider emerging markets, assisted by strength in gold prices and rand strength versus the dollar. Hungarian equities rose, aided by local currency strength as the government unveiled plans to reduce the structural budget deficit. However, a dispute between the Hungarian central bank and the government over economic policy weighed on sentiment. Markets rose but underperformed broader emerging markets in Morocco, which remained largely free of the political protests that troubled other markets in the Middle East and North Africa. Turkish equities fell and underperformed wider emerging markets due to inflation and current account concerns and unorthodox monetary policy. Egyptian equities suffered losses following political unrest and the collapse of the Mubarak regime, which forced the closure of the local Egyptian market for several weeks.
Asian emerging markets outperformed the Index for the six-month period ended April 30, 2011. Korea and Taiwan produced the strongest gains, with both countries benefiting from expectations of an improvement in their key export markets in 2011. Thailand outperformed, aided by easing political risks and strengthening export data. Malaysia performed broadly in line with wider emerging markets, supported by strength in commodities. Indonesian equities rose but underperformed the wider emerging bloc, reflecting inflation concerns and a lagging policy response from the authorities. Similarly, Chinese equities rose but underperformed broader emerging markets, with policymakers raising both interest rates and reserve ratio requirements in order to reduce inflationary pressure. Markets in the Philippines fell, as inflation worries forced its central bank to raise interest rates for the first time in nearly two years in March. However, India was the major laggard as a succession of strong inflation readings forced the Reserve Bank of India to implement a series of rate rises.
Latin American markets rose over the six-month period but underperformed wider emerging markets. Mexico outperformed both the regional index and wider emerging markets, driven by stronger U.S. data and signs of improvement in the domestic economy, as well as local currency strength. Brazil rose but underperformed emerging markets, with returns lifted by strength in the local currency and easing political risks, although the threat of government intervention to prevent excessive foreign capital flows and inflationary pressure weighed on market returns. Chile’s market posted a positive return, driven by local currency strength, despite intervention by the central bank to weaken the peso. Peru was the weakest market as political uncertainty weighed ahead of the presidential election in June 2011.
9
Portfolio Review
Fund performance was ahead of the Index over the period. Emerging markets rose during the six-month period ended April 30, although returns were behind those of developed markets. Both country allocation and stock selection added value over the period.
In terms of the Fund’s country positioning, the main positive contributions came from overweight positions in Russia and Korea, which strongly outperformed broader emerging markets. Russian markets responded positively to strength in the oil price while Korean corporations are expected to take market share from Japanese competitors affected by the recent earthquake and tsunami. The Fund also benefited from being underweight India, as the market suffered from inflation concerns and fears of a hard economic landing in the longer term. The Fund had no exposure to Colombia during the period which also added value. These positives more than offset the unfavorable impact of the Fund’s relative overweight position in Turkey, its relative underweight in South Africa and the underweight in Indonesia later in the period. Turkish markets fell over the period, reflecting local currency weakness and concerns that the high oil price would lead to a further deterioration in Turkey’s current account deficit. South Africa performed strongly, as gold prices continued to benefit from investors using the metal as a hedge against inflation. Local currency strength also helped to boost returns from South African assets. Indonesia continued to recover strongly over the period supported by a benign external environment and commodity price strength.
Stock selection was favorable over the period and provided the main driver of the Fund’s outperformance versus the benchmark. Selection was particularly strong in South Korea (overweights in Hyundai Motor and LG Chem), Turkey (overweights in Tupras Turkiye Petrol Rafinerileri and Turk Telekomunikasyon) and Russia (overweights in Gazprom and Severstal). Stock choices in Brazil, India, China and Hungary also added to returns. Taken altogether, these positive impacts more than offset the unfavorable impact of our stock selection in Indonesia (overweights in Indocement and Bank Mandiri earlier in the period) and Thailand.
Outlook
Emerging markets have experienced a V-shaped recovery since the global credit crisis, reflecting their strong underlying fundamentals, and inevitably this strong growth has created some inflationary pressure in certain emerging economies. However, we believe it is important to make a clear distinction between the headline inflation numbers on the one hand and underlying or “core” inflation rates on the other. While high food and energy prices have been a key driver of the inflation concerns, core inflation has remained somewhat subdued. Although inflationary pressure in emerging markets is higher than in the developed world, we believe it is not sufficiently elevated to hinder strong growth rates in developing economies at this point in the economic recovery cycle. Perhaps more importantly, headline inflation components, such as food and oil prices, have shown signs of peaking in recent weeks. Political uncertainty in North Africa and the Middle East remains, although the risk of further escalation to more significant markets has subsided somewhat, and the recent fall in commodity prices further alleviates inflationary pressure.
Overall, we believe the investment case for emerging markets remains strong. Valuations are attractive with the global emerging markets P/E trading around 10.9 times, which is below its long-term average, and earnings growth is expected to be approximately 15-20% over the next 12 months. We expect the GDP growth differential between the emerging and developing economies to continue, although perhaps not to the same extent as in 2010. Furthermore, as developed world GDP growth continues to recover, albeit slowly, we believe developed markets will face the twin headwinds of fading stimulus measures and tighter monetary policy.
10
PERFORMANCE INFORMATION
| | One Year Ended
April 30, 2011 | | Five Years Ended
April 30, 2011 (a) | | Annualized
Since
Inception (b) | |
Schroder Emerging Market Equity Fund — | | | | | | | |
Investor Shares | | 20.50 | % | 10.40 | % | 11.53 | % |
Advisor Shares | | 20.15 | % | 10.20 | % | 11.31 | % |
(a) Average annual total return.
(b) From commencement of Fund operations on March 31, 2006.
“Total Return” shown above is calculated including reinvestment of all dividends and distributions. Results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. Results represent past performance and do not indicate future results. The value of an investment in the Fund and the return on investment both will fluctuate, and redemption proceeds may be higher or lower than an investor’s original cost.
Top 5 Holdings
Security | | % of Investments | |
Samsung Electronics | | 4.2 | % |
Gazprom ADR | | 3.9 | |
Industrial & Commercial Bank of China Class H | | 2.7 | |
Hyundai Motor | | 2.6 | |
China Construction Bank Class H | | 2.4 | |
Geographic Allocation
| | % of Investments | | 
|
 Asia/Far East
| | 58.3 | % |
 Europe
| | 18.0 | |
 Latin America
| | 17.0 | |
 Africa
| | 5.1 | |
 Mid-East
| | 0.7 | |
 Short-Term Investments
| | 0.9 | |
11
Schroder U.S. Opportunities Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of June 1, 2011)
Performance
In the six months ended April 30, 2011, Schroder U.S. Opportunities Fund (the “Fund”) rose 18.87% (Investor Shares) and 18.73% (Advisor Shares) compared to the Russell 2000 Index (the “Index”), a broad-based basket of stocks with characteristics similar to the Fund’s portfolio, which rose 23.73%.
Market Background
This six-month period has been characterized by surging markets and a “risk on” trade mentality. For much of the period high beta and cyclical stocks were in favor driven by a positive reception to the U.S. Federal Reserve bank’s announcement of a further round od quantitative easing (known as QE2). This created a headwind for the portfolio’s more defensive holdings (referred to by the Portfolio Manager as “Steady Eddies”). These companies are typically non-cyclicals, as they are characterized by stable recurring revenue streams, cash flows, and/or earnings. As such, they also tend to be lower beta names and therefore were hindered by the market environment.
The market continued to be negatively impacted during the latter part of the reporting period by the earthquake and tsunami in Japan as well as the upheaval in the Middle East and political unrest in Northern Africa. The Index rallied significantly from March 16, 2011 to the end of the reporting period. This was led by high P/E and ROE and the relative performance of larger market cap stocks. At the sector level, energy, technology and health care outperformed most. The Fund kept up with the market but lagged the benchmark over the full reporting period.
Portfolio Review
The Fund underperformed the Index during the six months ending April 30, 2011. Stock selection in health care and financials added value but was offset by negative picks in the producer durables, technology and energy sectors. Sector allocation was an important contributor, where our underweight in financial services (particularly our underweight in Real Estate Investment Trusts) added to returns. The Fund’s cash exposure, along with an underweight in the energy sector (which was the strongest performing sector in the Index), hurt relative returns.
Within health care, the Fund’s top contributors were Amerigroup and Centene, followed closely by positions in Accretive Health and RehabCare Group (subject of a takeover bid). Accretive Health, which is an outsourced billing service for hospitals and larger medical practices, has enjoyed strong business growth. From financials, Ocwen Financial and Texas Capital Bancshares were the Fund’s best performers. Ocwen is a mortgage servicer — and its stock price has reflected improving servicing margins and growing ROE. Texas Capital Bancshares has reported strong earnings and improving net interest margins.
The Fund’s stock selection was weakest in producer durables and technology, and we lagged in energy (in part due to underweighting the sector) and consumer staples as well. Within the producer durable group the Fund’s holdings in Monster Worldwide was our biggest detractor. The company, which is a global online employment service, reported disappointing revenues and earnings for multiple reasons. In technology, the Fund’s selections were hampered by underperformance in Digital River and Mitel Networks. Digital River, despite recently acquiring Microsoft as a customer, has offered weaker guidance than the market anticipated. Mitel Networks has disappointed on gross margins. While the energy sector has seen some of the Fund’s strongest stock picks (SM Energy, Helix Energy Solutions Group) our holding in Ram Power detracted value during this period. Ram Power is a new company seeking to become a leader in geothermal energy. Start up delays with one of their important projects in Nicaragua cast a pall over its stock price.
12
Outlook
Despite the generally strong performance of equity markets since the March 2009 bottom, we remain concerned about the US economy. As 70% of US GDP is driven by consumers, we focus much of our attention on this group. Within this group it has been noted by a number of observers that the high end consumer has demonstrated an increased propensity to spend. That is in part because high end consumers’ wealth is more tied to the stock market than the housing market. However, the average consumer continues to struggle. Home ownership frequently is the largest component of the average individual’s net worth and the weak housing market has dampened spirits. Combined with stubbornly high unemployment and recently rising commodity prices average consumers do not appear to be in a position to drive the recovery. As a result we anticipate a slow and protracted revitalization of the economy and believe the markets will at some point recognize and respond to this fact.
13
PERFORMANCE INFORMATION
| | One Year Ended
April 30, 2011 | | Five Years Ended
April 30, 2011(c) | | Ten Years Ended
April 30, 2011(c) | |
Schroder U.S. Opportunities Fund (a) (b) — | | | | | | | |
Investor Shares | | 20 .41 | % | 6 .79 | % | 9 .98 | % |
Advisor Shares | | 20 .11 | % | 6 .53 | % (d) | 9 .71 | % (d) |
(a) The portfolio manager primarily responsible for making investment decisions for the Fund assumed this responsibility effective January 2, 2003. The performance results for periods prior to January 2, 2003 were achieved by the Fund under a different portfolio manager.
(b) Effective May 1, 2006, the combined advisory and administrative fees of the Fund increased to 1.00% per annum. If the Fund had paid such higher fees during prior periods, the returns of the Fund would have been lower.
(c) Average annual total return.
(d) The Advisor Shares commenced operations on May 15, 2006. The performance information provided in the above table for periods prior to May 15, 2006 reflects the performance of the Investor Shares of the Fund, adjusted to reflect the distribution fees paid by Advisor Shares.
“Total Return” is calculated including reinvestment of all dividends and distributions. Results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. Results represent past performance and do not indicate future results. The value of an investment in the Fund and the return on investment both will fluctuate, and redemption proceeds may be higher or lower than an investor’s original cost.
Top 5 Holdings
Security* | | % of Investments | |
iShares Russell 2000 Index Fund | | 2.0 | % |
Helix Energy Solutions Group | | 1.5 | |
Home Properties | | 1.4 | |
Parametric Technology | | 1.3 | |
Cooper | | 1.3 | |
* Excludes any Short-Term Investments.
Sector Allocation
Sector | | % of Investments | |
Consumer Discretionary | | 16.1 | % |
Health Care | | 13.5 | |
Technology | | 13.4 | |
Financial Services | | 13.1 | |
Producer Durables | | 10.9 | |
Materials & Processing | | 7.2 | |
Other Energy | | 6.1 | |
Utilities | | 3.6 | |
Consumer Staples | | 1.7 | |
Auto & Transportation | | 1.7 | |
Investment Company | | 2.0 | |
Short-Term Investment | | 10.7 | |
14
Schroder U.S. Small and Mid Cap Opportunities Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of June 1, 2011)
Performance
In the six months ended April 30, 2011, Schroder U.S. Small and Mid Cap Opportunities Fund (the “Fund”) rose 18.78% (Investor Shares) and 18.52% (Advisor Shares) compared to the Russell 2500 Index (the “Index”), a broad-based basket of stocks with characteristics similar to the Fund’s portfolio, which rose 23.71%.
Market Background
This six month period has been characterized by surging markets and a “risk on” trade mentality. For much of the period high beta and cyclical stocks were in favor driven by a positive reception to the U.S. Federal reserve bank’s announcement of a further round of quantitative easing (known as QE2). This created a headwind for the Fund’s more defensive holdings (referred to by the Portfolio Manager as “Steady Eddies”). These companies are typically non-cyclicals, as they are characterized by stable recurring revenue streams, cash flows, and/or earnings. As such, they also tend to be lower beta names and therefore were hindered by the market environment.
Portfolio Review
Energy was the best performing sector during the reporting period, rising by over 50% at the Index level. The Fund’s underweight in the sector hurt the Fund, so despite our strong stock selection we did not add value in the sector. Shares of petroleum producers and refiners such as SM Energy, Concho Resources and Cimarex Energy rose in December as oil hit a $90-a-barrel mark. The next two strongest sectors were technology and health care, and we lagged in both. In health care, DaVita and other health care companies, nursing facilities and medical-equipment manufactures continued to face a cloud of concerns from Medicare cuts.
In the technology sector, the Fund’s holdings in Amdocs (-4.15% for the six months ended April 2011) was a drag on Fund returns. Shares of Amdocs, a classic “Steady Eddie”, fell after the company reported positive earnings results for the first quarter of 2011 but provided lowered expectations for the balance of 2011.
Within financials the Fund benefitted from an underweight in the sector and having good stock selection. Notable holdings included Lazard, which rose by 53.7% during the first quarter of 2011, and generally strong returns in our property/casualty insurance holdings. Iron Mountain, the records management company, was the best performer at the stock level and from the producer durables sector. Iron Mountain’s stock price moved sharply during the first quarter of 2011 as investors responded positively to a management change and good earnings results.
The Fund’s average cash position during the six month reporting period was the largest detractor of performance, followed by weak stock selection in the technology and health care groups.
Outlook
Despite the fact that the Index rallied at the end of the reporting period, the consensus seems to be feeling a sense of uncertainty around the economic outlook. The consequences of the upheaval in the Middle East, political unrest in Northern Africa and the earthquake and tsunami in Japan all remain unclear. In the U.S., we are specifically concerned about the end of QE2 in June 2011 as well as federal spending, fiscal deficit and state budgets. Just when the consumer began to feel some relief, higher oil and food prices have begun to hurt the confidence level. Overall, inflation, a weak dollar and the disappointing employment numbers (both new jobs and initial unemployment claims) remain an impediment to strong economic growth.
15
Despite the generally strong performance of the equity markets since the March 2009 bottom, we remain concerned about the U.S. economy. As 70% of U.S. GDP is driven by consumers, we focus much of our attention on this group. Within thsi group it has been noted by a number of observers that the high-end consumer has demonstrated an increased propensity to spend, which is in part because high-end consumers’ wealth is more tied to the stock market than the housing market. However, the average consumer continues to struggle. Home ownership frequently is the largest component of the average individual’s net worth, and the weak housing market has dampened spirits. Due to a combination of stubbornly high unemployment and recently rising commodity prices, average consumers do not appear to be in a position to drive the recovery. As a result, we anticipate a slow and protracted revitalization of the economy and believe the markets will at some point recognize and respond to this fact.
16
PERFORMANCE INFORMATION
| | One Year Ended
April 30, 2011 | | Five Years Ended
April 30, 2011 (a) | | Annualized
Since
Inception (b) | |
Schroder U.S. Small and Mid Cap Opportunities Fund — | | | | | | | |
Investor Shares | | 21.81 | % | 7.05 | % | 7.22 | % |
Advisor Shares | | 21.36 | % | 6.77 | % | 6.94 | % |
(a) Average annual total return.
(b) From commencement of Fund operations on March 31, 2006.
“Total Return” shown above is calculated including reinvestment of all dividends and distributions. Results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. Results represent past performance and do not indicate future results. The value of an investment in the Fund and the return on investment both will fluctuate, and redemption proceeds may be higher or lower than an investor’s original cost.
Top 5 Holdings
Security* | | % of Investments | |
Energen | | 2.5 | % |
National Semiconductor | | 2.0 | |
Parametric Technology | | 1.9 | |
Airgas | | 1.8 | |
Pharmaceutical Product Development | | 1.8 | |
* Excludes any Short-Term Investments.
Sector Allocation
Sector | | % of Investments | |
Consumer Discretionary | | 14.6 | % |
Technology | | 14.3 | |
Health Care | | 13.9 | |
Financial Services | | 12.6 | |
Materials & Processing | | 9.4 | |
Producer Durables | | 8.5 | |
Utilities | | 5.9 | |
Other Energy | | 2.9 | |
Auto & Transportation | | 1.3 | |
Consumer Staples | | 1.1 | |
Telecommunication Services | | 1.0 | |
Investment Company | | 2.3 | |
Short-Term Investment | | 12.2 | |
17
Schroder North American Equity Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of June 1, 2011)
Performance
In the six months ended April 30, 2011, Schroder North American Equity Fund (the “Fund”) rose 15.87% (Investor Shares) and 15.71% (Advisor Shares). For the same six-month period, the S&P 500 Index (the “Index”) rose by 16.36%.
Market Background
U.S. equities rallied strongly towards the end of 2010 driven by economically sensitive industries as expectations for global growth continued to improve following a mid-year pause. The Index ended December at a level that marked the high watermark for the calendar year. The late flurry capped a calendar year characterised more by marked sharp swings in sentiment as investors assessed the significance of economic data and the sovereign debt crises in Europe. The dominance of top-down themes was manifested in the relatively high level of correlation between stocks and the often significant rotation in the performance of cyclical and defensive sectors depending upon market direction.
By the end of the year, however, the cyclical industries were in the ascendency, driven by resources, consumer discretionary stocks and industrials in particular whilst the more defensive areas of the market, such as utilities and health care, were the clear laggards. This was driven by a positive reception to the U.S. Federal Reserve Bank’s announcement of a further round of quantitative easing (known as QE2) early in the fourth quarter of 2010 as well as an unexpected fiscal stimulus and generally supportive economic data. Weakness in the U.S. dollar on the back of QE2 and undemanding valuations also helped to buoy the U.S. equity market.
The end of the six month reporting period saw the Index continue to rise. It is often said that bull markets climb a wall of worry, and the end of the reporting period provided a plethora of issues to feed the market’s concerns. This included bad weather in the U.S. early in 2011 (dampening consumer spending), political turmoil in the Middle East and North Africa, and the earthquake/tsunami and subsequent nuclear plant crisis in Japan. Ongoing sovereign debt issues also weighed on sentiment — with Portugal drawing the most attention recently, while rising commodity prices sparked concerns about inflationary pressures and the impact on U.S. consumers’ propensity to spend.
Over the six month period as a whole, cyclical sectors including energy, industrials, materials and consumer discretionary outperformed the Index. The strength in energy stocks was directly related to rising commodity prices, while good performance in the industrial sector provided further evidence that the U.S. industrial economy is recovering quite well from the recession. These themes are a continuation of what we saw in 2010.
Interestingly, typically defensive sectors such as consumer staples, utilities and health care lagged the Index. This was also true in 2010, and we believe this indicates that defensively positioned portfolios are not likely to fare well in the current climate.
Portfolio Review
The Fund slightly underperformed the Index for the period, as investors primarily favored lower quality and more volatile companies (i.e., and loss makers performed well). The Fund’s overweight position in technology was the largest detractor at an asset allocation level, while our stock selection in the energy sector was also a significant detractor. However, this was offset by the Fund’s overweight position in the energy sector, which outperformed the wider market over the period. Positive contributions came from the Fund’s holdings in the utilities, industrials and consumer discretionary sectors.
18
Outlook
The Fund remains well diversified, seeking to perform across a broad range of market environments. Multiple investment strategies are spread across a large number of small stock positions to capture broad themes and limit stock-specific risk while top down risks (such as those arising from region and sector positions) are carefully managed.
The key features of the Fund’s current investment balance includes:
· the Fund is overweight in cyclicals but prefers technology stocks (specifically semiconductors and hardware) and industrials over consumer discretionary.
· within defensives, the Fund is underweight in the four sectors of health care, consumer staples, utilities and telecommunications, with the largest underweight positions in consumer staples and utilities.
· within resources, the Fund retains a preference for energy but selectively favors mining stocks that can demonstrate very high levels of profitability.
In addition, the Fund remains focused on high-quality companies within financials, particularly among insurers.
19
PERFORMANCE INFORMATION
| | | | | | Annualized | |
| | One Year Ended | | Five Years Ended | | Since | |
| | April 30, 2011 | | April 30, 2011(a) | | Inception | |
Schroder North American Equity Fund — | | | | | | | |
Investor Shares | | 16.89 | % | 3.20 | % | 6.52 | %(b) |
Advisor Shares | | 16.47 | % | 2.84 | % | 6.16 | %(c) |
(a) | Average annual total return. |
(b) | The Investor Shares commenced operations on September 17, 2003. |
(c) | The Advisor Shares commenced operations on March 31, 2006. The performance information provided in the above table for periods prior to March 31, 2006 reflects the performance of the Investor Shares of the Fund, adjusted to reflect the distribution fees paid by Advisor Shares. |
“Total Return” shown above is calculated including reinvestment of all dividends and distributions. Results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Results represent past performance and do not indicate future results. The value of an investment in the Fund and the return on investment both will fluctuate, and redemption proceeds may be higher or lower than an investor’s original cost.
Top 5 Holdings
Security* | | % of Investments | |
Exxon Mobil | | 3.2 | % |
Apple | | 2.6 | |
Chevron | | 1.8 | |
International Business Machines | | 1.7 | |
Microsoft | | 1.6 | |
* Excludes any Short-Term Investments.
Sector Allocation
Sector | | % of Investments | |
Information Technology | | 17.3 | % |
Financials | | 15.6 | |
Energy | | 13.3 | |
Health Care | | 10.0 | |
Consumer Staples | | 8.8 | |
Industrials | | 10.8 | |
Consumer Discretionary | | 10.3 | |
Materials | | 3.6 | |
Telecommunication Services | | 2.6 | |
Utilities | | 2.5 | |
Short-Term Investment | | 5.2 | |
20
Schroder Total Return Fixed Income Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of June 1, 2011)
Performance
During the six month period ended April 30, 2011, Schroder Total Return Fixed Income Fund (the “Fund”) returned 0.54% (Investor Shares) and 0.42% (Advisor Shares), compared to the Barclays Capital U.S. Aggregate Bond Index (the “Index”), a broad-based basket of U.S. debt securities, which rose 0.02%.
Market Background
In the last few months of 2010, a significant rally in risk assets was brought on by announcements of additional economic stimulus from both the Federal Reserve (the “Fed”) and the Obama administration. The second round of quantitative easing (“QE2”), totaling $900 billion in Treasury purchases by June 2011, made clear the Fed’s intention to pursue both full employment as well as price stability. In December, the government extended the Bush tax cuts, providing continuation of lower tax rates, new business spending incentives, and an extension of unemployment benefits.
As 2011 began, escalating geopolitical risk in North Africa and the Middle East, inflationary pressures from rising food and oil prices, continuing sovereign funding risks and potential global and economic impacts of the earthquake and tsunami in Japan all contributed to heightened market volatility. Despite this uncertainty, equity and credit markets remained surprisingly firm and risk assets performed well in the first four months of the new year.
In the U.S., the government narrowly avoided a shutdown after a political standoff over the budget; however, discussions regarding the debt ceiling are ongoing. Standard & Poor’s lowered the AAA debt rating outlook of the U.S. Treasury to negative from stable. Although the timing caught the market by surprise, the rationale did not and as a result, risk markets sold off just marginally. Towards the end of the period, U.S. equities and credit had rallied along with Treasuries, an unusual market dynamic, but a trend that makes sense in a world awash in liquidity and investors searching for return.
Economic data released in 2011 were consistent with a modest recovery. Comments from the Federal Open market Committee (the “FOMC”) in March reaffirmed the Fed’s commitment to their bond purchase program while acknowledging that the U.S. economic recovery is on “firmer footing.” Concerning inflation, the committee mentioned the recent run-up in oil prices, which the Fed believes to be transitory, but they will nevertheless “pay close attention.” Finally, the Fed held its first ever FOMC press conference following its April meeting to provide clarification on Fed policy to end QE2 in June. Fed Chairman Bernanke’s comments were in line with expectations that Fed policy will remain accommodative and that, although “inflation has picked up in recent months,” the Fed views it as transitory.
Portfolio Review
Over the six month period ended April 30, 2011, the Fund outperformed the Index net of fees. At the close of 2010, the Index posted negative returns for the fourth quarter, as a result of higher expectations for economic growth and increases in the government budget deficit, prompting a sharp sell-off in Treasury yields. Benchmark performance turned positive in 2011 on more solid economic data despite geopolitical risks and rising commodity prices. Throughout the reporting period, the Fund’s low exposure to government bonds (both Treasuries and agencies) in favor of a diversified exposure to corporate and securitized bonds added to returns.
The Fund’s overweight in corporate credit was a positive contributor to returns. With March as the only exception, the corporate sector posted strong excess returns over Treasuries, and financials outperformed both industrials and utilities. Within corporates, our preference to BBB-rated investment grade and high yield bonds added to returns, as lower rated corporates outperformed higher quality securities. High Yield continued to be a favored asset class due to very positive fundamental trends as well as the high incremental yield that this sector provides. The Fund maintained an allocation to High Yield, reaching an allocation over 10% in January 2011.
21
Securitized holdings were also a source of outperformance. The Fund was overweight in the mortgage sector, both residential and commercial, throughout the period, reaching its highest level in January 2011. Commercial mortgage backed securities (“MBS”) did exceptionally well as limited supply prodded prices higher. The Fund’s agency MBS overweight was maintained through the end of the period and provided the Fund with extra yield versus Treasuries and provided positive returns.
Duration and yield curve positioning had an overall negative impact on returns. The Fund’s slight long duration bias at the end of 2010 and its yield curve exposure favoring the intermediate and long end of the curve relative to the 2-3 year region detracted from returns, as intermediate and longer yields rose more than short-term yields. During the first quarter of 2011, duration and yield curve strategies also provided a small boost to performance, mainly through several tactical shorter duration positions and an underweight of 2-3 year maturities, which were adversely impacted by escalating risk of Fed tightening.
Outlook
Our view is that the softer economic data prints towards the end of the reporting period were mainly a residual effect of the exogenous shocks experienced in the first quarter of 2011. Going forward we expect to see a temporary rebound in economic activity and the data points to surprise to the upside as we progress through the second quarter of 2011. We expect yields to rise on this growth, in addition to the pending termination of the QE2 bond-purchase program and continued concern on the debt ceiling issue. We will look to shorten the Fund’s portfolio duration further with the expectation that 10-year Treasury yields will soon begin rising again. With short term interest rates anchored at zero, we expect investors’ desire for higher yield to remain steady.
While the fundamental and technical backdrop within credit remains supportive, many potential sources of volatility persist. Most importantly, economic growth estimates have come down and may continue to do so as gasoline prices remain elevated and monetary and fiscal stimulus roll-off. Also, peripheral European government spreads were under severe pressure in April once again. We remain positive on credit in the near term; however, as Bernanke’s recent testimony made clear, the liquidity-driven reach for yield will likely persist at least for the next couple months. Although we expect credit spreads will grind tighter in upcoming months, current valuations are merely “fair,” not cheap. Volatility is also a concern; however, we believe this could create more attractive buying opportunities in investment grade and high yield credit.
Portfolio positioning remains moderately overweight in mortgage backed securities, and we continue to favor the sector. We expect the FOMC meeting in May to reinforce positive support for MBS; however, we believe there is a risk that the rhetoric can lean more hawkish than the past meetings. Discussions on future plans for asset sales is also a near term headline risk. However, we expect the Fed will most likely hold back from any significant MBS sales as the pulse of the housing market is still quite weak and fragile. We will look for short term MBS spread volatility to add to our exposure as we believe the longer term prospects for supply and demand in MBS will keep the recent current coupon spread range intact.
22
PERFORMANCE INFORMATION
| | One Year Ended
April 30, 2011 | | Five Years Ended
April 30, 2011(a) | | Annualized
Since
Inception (b) | |
Schroder Total Return Fixed Income Fund — | | | | | | | |
Investor Shares | | 5.46 | % | 6.98 | % | 5.85 | % |
Advisor Shares | | 5.19 | % | 6.71 | % | 5.57 | % |
(a) Average annual total return.
(b) From commencement of Fund operations on December 31, 2004.
“Total Return” is calculated including reinvestment of all dividends and distributions. Results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. Results represent past performance and do not indicate future results. The value of an investment in the Fund and the return on investment both will fluctuate, and redemption proceeds may be higher or lower than an investor’s original cost.
Top 5 Holdings
Security* | | % of Investments | |
GNMA TBA 4.000%, 5/15/41 | | 7.8 | % |
FNMA TBA 4.500%, 5/25/41 | | 2.6 | |
U.S. Treasury Note 0.625%, 1/31/13 | | 2.1 | |
GNMA TBA 4.500%, 5/15/41 | | 1.7 | |
FNMA 5.500%, 10/01/35 | | 1.7 | |
* Excludes any Short-Term Investments.
Sector Allocation
Sector | | % of Investments | |
Corporate Obligation | | 37.1 | % |
U.S. Government Mortgage-Backed Obligation | | 31.9 | |
Commercial Mortgage-Backed Obligation | | 9.7 | |
Short-Term Investment | | 8.6 | |
U.S. Treasury Obligation | | 5.4 | |
Asset-Backed Security | | 3.7 | |
Collateralized Mortgage Obligation | | 3.0 | |
Municipal Bond | | 0.6 | |
Purchased Option | | 0.0 | |
23
Schroder Multi-Asset Growth Portfolio
MANAGEMENT DISCUSSION AND ANALYSIS (As of June 1, 2011)
Performance
In the six months ended April 30, 2011, Schroder Multi-Asset Growth Portfolio (the “Fund”) rose 10.94% (Investor Shares), 10.71% (Advisor Shares), 10.78% (Class A Shares) and 10.60% (Class R Shares), compared to the Consumer Price Index (“CPI” or “the Index” specifically, the CPI for All Urban Consumers), which rose 2.83%. For the same period, the MSCI World Index, a market-weighted index designed to measure the equity market performance of developed markets, rose by 14.75%.
Market Background
The reporting period began as we shifted the Fund’s strategy under the belief that economic recovery was becoming more decisive and the threat of a double dip recession (although never such a concern to us) receding. This view was supported by evidence that the corporate sector was starting to spend cash and by the actions of American authorities who aggressively loosened both fiscal and monetary policies in the fourth quarter of 2010. The recent economic cycle has been desynchronized as emerging economies are recovering much faster than the over-leveraged developed countries. Therefore, while developed economies were experiencing growth with low core inflation, the emerging economies were facing rising prices. Accordingly, the Fund’s exposure to emerging market debt and equities was reduced over the reporting period as these assets were expected to be adversely impacted as emerging markets central banks began to engineer soft landings in their respective countries. In addition, fast growing emerging countries were putting upward pressures on food and energy prices. With inflation increasingly becoming an issue within emerging countries, we believe their central banks will continue to tighten monetary policy. This is positive for emerging currencies, and therefore we increased the Fund’s currency exposure during the middle of the reporting period in an attempt to take advantage of this perceived opportunity. Although core inflation in the U.S. remains low, loose monetary and fiscal policy within the U.S. has come under scrutiny. This should be positive for equities and so the Fund’s allocation to U.S. equities was increased. Finally, the Fund’s exposure to emerging market equities and debt were reduced through the six-month reporting period.
Portfolio Review
We steadily increased the Fund’s allocation to the U.S. (predominantly small & mid-cap equities) while reducing exposure to emerging markets. This benefitted performance as U.S. equities (led by small and mid caps as evidenced by the relative outperformance of the Russell 2000 and Russell 2500 indices versus the S&P 500 Index) outperformed global equities, while emerging equities lagged.
As the global recovery continued to take hold, credit spreads tightened, and we sold off the Fund’s remaining holdings in investment grade bonds, reallocating to alternatives — specifically commodities. Currencies are used within the Fund both to diversify risk and enhance returns, and we maintained long positions in emerging market currencies such as the Singapore dollar, Korean won, and Malaysian ringgit and a short position in the euro. In addition, we hedged part of the Fund’s yen exposure as the rationale of our Japanese equity positioning is predicated on a weaker yen. We remained underweight to the euro in favor of the Swiss franc as we believed the euro will come under pressure as the pressure to restructure debt intensifies among the peripheral countries.
Outlook
We believe that the recovery remains self-sustaining although industrial production is likely to moderate in the second quarter of 2011. We expect the effects of disruption to supply chains as a result of the earthquake in Japan combined with the drag from higher oil prices to result in an easing in growth. We see this as a slowdown within the recovery, rather than the start of another recession or double dip. We believe the key to the health of equity markets is likely to be a continuation of the improving trend in U.S. unemployment, while the sharp rise in commodities represents the greatest threat.
Whereas the previous peak in oil prices in 2008 had come at a time of slowing growth, the latest rise has come while global growth is recovering. The emerging markets are more energy intensive than developed markets and their increasing economic power has made energy prices more pro-cyclical. This has meant that oil prices are increasingly susceptible to sudden spikes upward with recent unrest in the Middle East providing the proximate cause. Energy now comprises almost 50% of the Fund’s commodity exposure and helps to provide a hedge against any further shocks.
24
We continue to favor U.S. equities as policy is likely to remain supportive. U.S. unemployment seems to be on a slowly improving trend and smaller companies, which have in recent decades generated 60% of job creation (and destruction), are seeing improving incomes with signs that willingness to borrow again is slowly improving. We continue to favor U.S. small and mid caps over larger companies since they should benefit from the resumption of merger and acquisition activity. We do not expect rate rises until early 2012 to help support U.S. growth.
Although the timing of any recovery in Japanese equities remains uncertain, we believe cheap perceived valuations provide some margin of safety as Japan navigates through the reconstruction of the damage from the earthquake and tsunami. Accordingly, we plan to hold the Fund’s position in this sector. As expectations of inflation continue to rise, we believe that government bonds will continue to struggle. We continue to see value in high yield bonds, however, which benefit from the strong corporate profitability in the developed worlds which has resulted in low default rates.
Within currencies, we continue to favor the emerging market and Asian currencies as central banks continue to raise rates to dampen inflation in these regions.
25
PERFORMANCE INFORMATION
| | One Year Ended
April 30, 2011 | | Annualized
Since
Inception (a) | |
Schroder Multi-Asset Growth Portfolio — | | | | | |
Investor Shares | | 17.35 | % | 1.61 | % |
Advisor Shares | | 17.12 | % | 1.35 | % |
A Shares | | 17.04 | % | 1.34 | % |
A Shares with load (b) | | 11.80 | % | (0.03 | )% |
R Shares | | 16.73 | % | 1.09 | % |
(a) From commencement of Fund operations on December 20, 2007.
(b) Reflects 4.50% maximum sales charge.
“Total Return” shown above is calculated including reinvestment of all dividends and distributions. Results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. Results represent past performance and do not indicate future results. The value of an investment in the Fund and the return on investment both will fluctuate, and redemption proceeds may be higher or lower than an investor’s original cost.
Top 5 Holdings
Security | | % of Investments | |
Schroder U.S. Small and Mid Cap Opportunities Fund, Investor Shares | | 16.9 | % |
T. Rowe Price High Yield Fund | | 6.9 | |
Goldman Sachs High Yield Fund | | 6.8 | |
PIMCO Commodity RealReturn Strategy Fund | | 6.7 | |
CS Commodity Return, Institutional Shares | | 6.6 | |
26
Schroder International Alpha Fund
Schedule of Investments
April 30, 2011 (unaudited)
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 96.5% | | | |
| | Australia — 3.2% | | | |
349,161 | | Atlas Iron (1) | | 1,339,747 | |
28,748 | | Newcrest Mining | | 1,306,355 | |
| | | | 2,646,102 | |
| | Belgium — 2.1% | | | |
27,881 | | Anheuser-Busch InBev Worldwide | | 1,777,609 | |
| | | | | |
| | Bermuda — 1.1% | | | |
808,000 | | Nine Dragons Paper Holdings | | 922,876 | |
| | | | | |
| | Brazil — 3.2% | | | |
53,289 | | Anhanguera Educacional Participacoes | | 1,190,109 | |
39,439 | | Petroleo Brasileiro ADR | | 1,472,258 | |
| | | | 2,662,367 | |
| | Canada — 4.6% | | | |
13,642 | | Niko Resources | | 1,152,936 | |
33,584 | | Suncor Energy | | 1,548,201 | |
13,609 | | Toronto-Dominion Bank | | 1,178,488 | |
| | | | 3,879,625 | |
| | China — 3.1% | | | |
2,183,000 | | Agricultural Bank of China (1) | | 1,290,252 | |
119,500 | | Ping An Insurance Group of China Class H | | 1,299,499 | |
| | | | 2,589,751 | |
| | Finland — 1.7% | | | |
23,621 | | Metso | | 1,448,283 | |
| | | | | |
| | France — 9.9% | | | |
70,594 | | AXA | | 1,583,927 | |
15,671 | | BNP Paribas | | 1,240,043 | |
34,661 | | GDF Suez | | 1,418,071 | |
7,128 | | LVMH Moet Hennessy Louis Vuitton | | 1,279,983 | |
39,526 | | Safran | | 1,533,694 | |
7,106 | | Schneider Electric | | 1,255,510 | |
| | | | 8,311,228 | |
| | Germany — 7.1% | | | |
14,454 | | Bayerische Motoren Werke | | 1,362,943 | |
46,058 | | GEA Group | | 1,684,150 | |
25,547 | | SAP | | 1,645,826 | |
8,959 | | Siemens | | 1,303,209 | |
| | | | 5,996,128 | |
| | Hong Kong — 1.8% | | | |
53,784 | | Jardine Strategic Holdings | | 1,527,466 | |
| | | | | |
| | Israel — 1.5% | | | |
22,191 | | Check Point Software Technologies (1) | | 1,218,952 | |
| | | | | |
| | Japan (2) — 16.3% | | | |
11,100 | | FANUC | | 1,858,477 | |
48,300 | | Honda Motor | | 1,857,195 | |
95,200 | | JTEKT | | 1,236,902 | |
42,300 | | Mitsubishi | | 1,147,713 | |
46,000 | | Mitsui Fudosan | | 798,488 | |
201,000 | | Sekisui Chemical | | 1,686,692 | |
55,500 | | Seven & I Holdings | | 1,396,977 | |
56,000 | | Sumitomo Mitsui Financial Group | | 1,739,786 | |
169,000 | | Yaskawa Electric | | 1,978,857 | |
| | | | 13,701,087 | |
| | Netherlands — 3.6% | | | |
134,386 | | ING Groep (1) | | 1,771,327 | |
22,595 | | Randstad Holding | | 1,270,931 | |
| | | | 3,042,258 | |
| | New Zealand — 1.9% | | | |
890,884 | | Telecom Corp. of New Zealand | | 1,567,379 | |
| | | | | |
| | Norway — 3.3% | | | |
90,688 | | DnB NOR | | 1,475,206 | |
43,639 | | StatoilHydro | | 1,277,430 | |
| | | | 2,752,636 | |
| | South Korea — 2.9% | | | |
1,578 | | Samsung Electronics | | 1,319,432 | |
22,567 | | Shinhan Financial Group | | 1,109,333 | |
| | | | 2,428,765 | |
| | Sweden — 1.7% | | | |
54,838 | | Hexagon | | 1,425,661 | |
| | | | | |
| | Switzerland — 6.4% | | | |
25,745 | | Julius Baer Group | | 1,203,160 | |
80,120 | | Nobel Biocare Holding | | 1,779,518 | |
40,430 | | Novartis | | 2,400,370 | |
| | | | 5,383,048 | |
| | United Kingdom (2) — 21.1% | | | |
69,712 | | BG Group | | 1,794,828 | |
97,764 | | Capita Group | | 1,203,079 | |
83,377 | | Diageo | | 1,695,816 | |
The accompanying notes are an integral part of the financial statements.
27
Shares | | | | Value $ | |
| | | | | |
350,588 | | Kingfisher | | 1,610,474 | |
1,156,345 | | Lloyds Banking Group (1) | | 1,147,850 | |
117,377 | | Prudential | | 1,518,243 | |
22,074 | | Rio Tinto | | 1,610,305 | |
153,592 | | Rolls-Royce Group | | 1,651,556 | |
165,459 | | United Utilities Group | | 1,748,079 | |
583,009 | | Vodafone Group | | 1,685,018 | |
78,659 | | Xstrata | | 2,017,121 | |
| | | | 17,682,369 | |
| | TOTAL COMMON STOCK
(Cost $67,790,313) | | 80,963,590 | |
| | | | | |
| | EQUITY-LINKED WARRANT (1) (3) (4) — 1.1% | | | |
| | India — 1.1% | | | |
50,594 | | Shriram Transport Finance, Expires 01/18/13
(Cost $203,902) | | 880,690 | |
| | | | | |
| | SHORT-TERM INVESTMENT (5) — 1.5% | | | |
1,220,772 | | JPMorgan Prime Money Market Fund, 0.030%
(Cost $1,220,772) | | 1,220,772 | |
| | | | | |
| | TOTAL INVESTMENTS — 99.1%
(Cost $69,214,987) | | 83,065,052 | |
| | | | | |
| | OTHER ASSETS LESS LIABILITIES — 0.9% | | 791,421 | |
| | | | | |
| | NET ASSETS — 100% | | $ | 83,856,473 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | Security is fair valued. (See Note 2 in Notes to Financial Statements.) |
(3) | Securities are not readily marketable. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On April 30, 2011, the value of these securities amounted to $880,690 representing 1.1% of the net assets of the Fund. |
(5) | The rate shown represents the 7-day current yield as of April 30, 2011. |
ADR — American Depositary Receipt
The accompanying notes are an integral part of the financial statements.
28
Schedule of Investments (concluded)
The following is a summary of the inputs used as of April 30, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Common Stock | | | | | | | | | |
Australia | | $ | 2,646,102 | | $ | — | | $ | — | | $ | 2,646,102 | |
Belgium | | 1,777,609 | | — | | — | | 1,777,609 | |
Bermuda | | 922,876 | | — | | — | | 922,876 | |
Brazil | | 2,662,367 | | — | | — | | 2,662,367 | |
Canada | | 3,879,625 | | — | | — | | 3,879,625 | |
China | | 2,589,751 | | — | | — | | 2,589,751 | |
Finland | | 1,448,283 | | — | | — | | 1,448,283 | |
France | | 8,311,228 | | — | | — | | 8,311,228 | |
Germany | | 5,996,128 | | — | | — | | 5,996,128 | |
Hong Kong | | 1,527,466 | | — | | — | | 1,527,466 | |
Israel | | 1,218,952 | | — | | — | | 1,218,952 | |
Japan | | — | | 13,701,087 | | — | | 13,701,087 | |
Netherlands | | 3,042,258 | | — | | — | | 3,042,258 | |
New Zealand | | 1,567,379 | | — | | — | | 1,567,379 | |
Norway | | 2,752,636 | | — | | — | | 2,752,636 | |
South Korea | | 2,428,765 | | — | | — | | 2,428,765 | |
Sweden | | 1,425,661 | | — | | — | | 1,425,661 | |
Switzerland | | 5,383,048 | | — | | — | | 5,383,048 | |
United Kingdom | | — | | 17,682,369 | | — | | 17,682,369 | |
| | 49,580,134 | | 31,383,456 | | — | | 80,963,590 | |
Equity-Linked Warrant | | | | | | | | | |
India | | — | | 880,690 | | — | | 880,690 | |
| | | | | | | | | |
Short-Term Investment | | 1,220,772 | | — | | — | | 1,220,772 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 50,800,906 | | $ | 32,264,146 | | $ | — | | $ | 83,065,052 | |
Of the Level 2 investments presented above, some equity investments were considered Level 1 investments at the beginning of the fiscal year. The primary reason for changes in the classifications between levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded. The Fund’s foreign equity securities may be valued at fair value. Please see Note 2 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
29
Schroder International Multi-Cap Value Fund
Schedule of Investments
April 30, 2011 (unaudited)
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 97.0% | | | |
| | Australia — 3.7% | | | |
4,874 | | Aditya Birla Minerals (1) | | 9,618 | |
7,417 | | Aspen Group REIT | | 3,822 | |
1,106 | | Australia & New Zealand Banking Group | | 29,379 | |
7,879 | | Australian Infrastructure Fund | | 16,325 | |
1,197 | | Bank of Queensland | | 12,900 | |
1,537 | | Caltex Australia | | 23,910 | |
2,798 | | Cardno | | 17,760 | |
42,295 | | Cue Energy Resources (1) | | 15,765 | |
4,245 | | Dragon Mining (1) | | 6,795 | |
5,013 | | Industrea | | 8,189 | |
1,255 | | Leighton Holdings | | 33,406 | |
2,953 | | Melbourne IT | | 6,086 | |
6,654 | | Metcash | | 29,617 | |
31,721 | | Minara Resources | | 26,777 | |
8,924 | | Mincor Resources NL | | 11,740 | |
644 | | National Australia Bank | | 19,119 | |
3,766 | | NIB Holdings | | 6,048 | |
35,604 | | OZ Minerals | | 56,207 | |
8,046 | | Panoramic Resources | | 18,171 | |
23,916 | | Perilya | | 16,256 | |
979 | | Premier Investments | | 6,440 | |
1,218 | | QBE Insurance Group | | 24,983 | |
5,000 | | Ramelius Resources | | 7,318 | |
10,664 | | Rubicon America Trust REIT (1) (2) (3) | | — | |
1,329 | | SMS Management & Technology | | 9,194 | |
2,554 | | Sonic Healthcare | | 35,055 | |
3,336 | | Stockland REIT | | 13,824 | |
5,407 | | TABCORP Holdings | | 45,228 | |
23,991 | | Telstra | | 76,537 | |
1,513 | | Woolworths | | 43,972 | |
| | | | 630,441 | |
| | Austria — 0.9% | | | |
2,013 | | CAT Oil | | 24,741 | |
909 | | Oesterreichische Post | | 32,902 | |
1,606 | | OMV | | 73,234 | |
484 | | Vienna Insurance Group | | 28,887 | |
| | | | 159,764 | |
| | Belgium — 1.7% | | | |
12,345 | | Ageas | | 37,462 | |
230 | | Barco | | 20,094 | |
1,178 | | Belgacom | | 46,328 | |
290 | | Compagnie Maritime Belge | | 9,075 | |
455 | | Delhaize Group | | 39,393 | |
2,382 | | Dexia (1) | | 9,490 | |
1,277 | | KBC Groep | | 52,047 | |
741 | | Mobistar | | 54,970 | |
1,428 | | Nyrstar | | 19,710 | |
66 | | Wereldhave Belgium REIT | | 6,888 | |
| | | | 295,457 | |
| | Bermuda — 1.0% | | | |
6,238 | | Catlin Group (2) | | 41,239 | |
13,000 | | Dickson Concepts International | | 10,261 | |
62,000 | | Emperor International Holdings | | 13,492 | |
28,000 | | GZI Transport | | 15,468 | |
3,745 | | Hiscox (2) | | 25,842 | |
1,975 | | Lancashire Holdings (2) | | 21,342 | |
12,000 | | Midland Holdings | | 9,256 | |
1,217 | | Seadrill | | 43,144 | |
| | | | 180,044 | |
| | Brazil — 1.0% | | | |
400 | | Cia de Saneamento Basico do Estado de Sao Paulo ADR | | 23,408 | |
1,400 | | Cia de Saneamento de Minas Gerais-COPASA | | 24,903 | |
1,540 | | Cia Energetica de Minas Gerais ADR | | 32,140 | |
600 | | Energias do Brasil | | 14,918 | |
1,100 | | Eternit | | 7,490 | |
1,000 | | Helbor Empreendimentos | | 13,210 | |
1,200 | | Light | | 20,231 | |
700 | | Tele Norte Leste Participacoes ADR | | 11,935 | |
800 | | Telecomunicacoes de Sao Paulo ADR | | 21,688 | |
| | | | 169,923 | |
| | British Virgin Islands (2) — 0.1% | | | |
2,946 | | Playtech | | 15,849 | |
| | | | | |
| | Canada — 6.3% | | | |
3,600 | | Air Canada (1) | | 8,753 | |
1,700 | | Alimentation Couche Tard Class B | | 44,656 | |
6,500 | | Amerigo Resources | | 7,833 | |
1,500 | | AvenEx Energy | | 9,640 | |
700 | | BCE | | 26,239 | |
2,350 | | Breakwater Resources (1) | | 14,582 | |
500 | | Canadian Oil Sands Trust | | 17,252 | |
500 | | Canadian Tire Class A | | 31,871 | |
2,900 | | CGI Group (1) | | 63,457 | |
1,300 | | Chemtrade Logistics Income Fund | | 19,747 | |
3,400 | | Chorus Aviation | | 18,797 | |
2,100 | | CML HealthCare | | 22,665 | |
1,900 | | Davis & Henderson Income Fund | | 38,422 | |
500 | | Empire Class A | | 28,383 | |
1,400 | | Enerplus | | 45,330 | |
700 | | Great-West Lifeco | | 20,164 | |
18,800 | | High River Gold Mines (1) | | 24,245 | |
The accompanying notes are an integral part of the financial statements.
30
Shares | | | | Value $ | |
| | | | | |
1,000 | | Industrial Alliance Insurance and Financial Services | | 42,981 | |
400 | | Labrador Iron Ore Royalty | | 31,459 | |
300 | | Laurentian Bank of Canada | | 15,942 | |
1,100 | | Liquor Stores North America | | 17,535 | |
600 | | Manitoba Telecom Services | | 19,123 | |
600 | | Mosaid Technologies | | 19,084 | |
2,600 | | Nexen | | 68,793 | |
900 | | North West Fund | | 18,818 | |
1,000 | | Parkland Fuel | | 12,865 | |
4,500 | | Perpetual Energy | | 19,693 | |
700 | | Petrobank Energy & Resources (1) | | 14,814 | |
700 | | Petrominerales | | 26,794 | |
500 | | Power Corp. of Canada | | 15,047 | |
600 | | Power Financial | | 19,960 | |
1,400 | | Quadra FNX Mining (1) | | 22,983 | |
1,800 | | Reitmans Canada Class A | | 33,203 | |
1,100 | | Research In Motion (1) | | 53,593 | |
1,100 | | Rogers Communications Class B | | 41,639 | |
4,000 | | Rogers Sugar Income Fund | | 22,664 | |
1,600 | | Sherritt International | | 13,531 | |
1,600 | | Sun Life Financial | | 52,380 | |
1,200 | | Valener | | 20,968 | |
400 | | Wajax | | 17,235 | |
2,500 | | Yellow Media | | 12,579 | |
| | | | 1,075,719 | |
| | Chile — 0.1% | | | |
12,634 | | Inversiones Aguas Metropolitanas | | 20,695 | |
| | | | | |
| | China — 0.5% | | | |
60,000 | | China Petroleum & Chemical Class H | | 60,418 | |
30,000 | | China Zhongwang Holdings | | 15,414 | |
10,000 | | Great Wall Technology | | 4,970 | |
16,000 | | Zhejiang Expressway | | 13,206 | |
| | | | 94,008 | |
| | Cyprus — 0.4% | | | |
5,452 | | ProSafe | | 44,292 | |
2,882 | | Songa Offshore (1) | | 17,642 | |
| | | | 61,934 | |
| | Czech Republic — 0.2% | | | |
1,215 | | Telefonica O2 Czech Republic | | 31,226 | |
| | | | | |
| | Denmark — 0.8% | | | |
7 | | AP Moller - Maersk | | 70,915 | |
525 | | D/S Norden | | 18,813 | |
315 | | Danske Bank | | 7,571 | |
2,013 | | H Lundbeck | | 48,344 | |
| | | | 145,643 | |
| | Finland — 2.0% | | | |
1,489 | | Elisa | | 35,835 | |
2,119 | | Huhtamaki | | 29,625 | |
2,884 | | Nokia | | 26,567 | |
2,161 | | Orion | | 53,703 | |
485 | | PKC Group | | 11,579 | |
1,121 | | Pohjola Bank Class A | | 16,635 | |
1,112 | | Sampo | | 37,417 | |
1,370 | | Sanoma | | 28,466 | |
4,382 | | Stora Enso Class R Shares | | 52,794 | |
2,329 | | UPM-Kymmene | | 47,738 | |
| | | | 340,359 | |
| | France — 6.1% | | | |
1,636 | | ABC Arbitrage | | 18,026 | |
402 | | Alten | | 16,488 | |
515 | | Arkema | | 53,657 | |
999 | | AXA | | 22,415 | |
776 | | BNP Paribas | | 61,405 | |
629 | | Bouygues | | 31,314 | |
202 | | Cegid Group | | 6,938 | |
243 | | Ciments Francais | | 25,681 | |
2,959 | | CNP Assurances | | 67,903 | |
476 | | Credit Agricole | | 7,924 | |
180 | | Credit Agricole Nord de France | | 5,491 | |
282 | | Esso Francaise | | 39,676 | |
1,439 | | France Telecom | | 33,747 | |
1,027 | | Generale de Sante | | 17,567 | |
1,092 | | Metropole Television | | 28,989 | |
2,033 | | Natixis | | 11,688 | |
407 | | Neopost | | 38,830 | |
1,904 | | NetGem | | 9,926 | |
484 | | Nexity | | 26,307 | |
2,641 | | PagesJaunes Groupe | | 27,532 | |
189 | | Plastic Omnium | | 18,110 | |
1,176 | | Renault | | 71,652 | |
944 | | Sanofi-Aventis | | 74,657 | |
1,863 | | SCOR | | 56,906 | |
793 | | Societe Generale | | 53,037 | |
1,267 | | Total | | 81,099 | |
108 | | Total Gabon | | 60,379 | |
457 | | Valeo | | 29,100 | |
200 | | Vinci | | 13,359 | |
1,136 | | Vivendi | | 35,642 | |
| | | | 1,045,445 | |
| | Germany — 3.3% | | | |
470 | | Allianz | | 73,992 | |
The accompanying notes are an integral part of the financial statements.
31
Shares | | | | Value $ | |
| | | | | |
975 | | Aurubis | | 57,615 | |
804 | | BASF | | 82,636 | |
203 | | Bechtle | | 9,666 | |
940 | | Commerzbank | | 5,986 | |
367 | | Daimler | | 28,367 | |
1,170 | | Deutsche Lufthansa | | 26,546 | |
2,096 | | Deutsche Post | | 41,472 | |
2,192 | | Deutsche Telekom | | 36,408 | |
104 | | Draegerwerk & KGaA | | 10,890 | |
686 | | E.ON | | 23,448 | |
429 | | Elmos Semiconductor (1) | | 6,874 | |
181 | | Generali Deutschland Holding | | 23,522 | |
425 | | Hannover Rueckversicherung | | 25,699 | |
12 | | KSB | | 10,693 | |
318 | | Muenchener Rueckversicherungs | | 52,488 | |
244 | | Rheinmetall | | 21,884 | |
464 | | RWE | | 30,274 | |
1,197 | | SQS Software Quality Systems (2) | | 4,688 | |
| | | | 573,148 | |
| | Greece — 0.9% | | | |
1,341 | | Eurobank Properties Real Estate Investment | | 11,916 | |
1,950 | | Hellenic Petroleum | | 20,793 | |
963 | | Metka | | 12,893 | |
1,578 | | Motor Oil Hellas Corinth Refineries | | 20,916 | |
3,581 | | Mytilineos Holdings | | 28,533 | |
2,502 | | OPAP | | 52,877 | |
| | | | 147,928 | |
| | Guernsey (2) — 0.2% | | | |
3,969 | | IRP Property Investments Limited | | 5,624 | |
4,429 | | Resolution | | 22,424 | |
| | | | 28,048 | |
| | Hong Kong — 3.3% | | | |
14,000 | | Cathay Pacific Airways | | 34,937 | |
28,000 | | Champion REIT | | 16,225 | |
195,268 | | Champion Technology Holdings | | 3,948 | |
6,000 | | China Mobile | | 55,164 | |
22,000 | | China Pharmaceutical Group | | 13,116 | |
16,000 | | China Ting Group Holdings | | 2,287 | |
371 | | Digitalhongkong.com (1) | | 79 | |
23,000 | | Goldlion Holdings | | 9,922 | |
6,000 | | Great Eagle Holdings | | 21,324 | |
17,000 | | GZI Real Estate Investment Trust | | 9,019 | |
5,000 | | Kingboard Chemical Holdings | | 27,395 | |
22,000 | | Lerado Group Holdings | | 3,909 | |
20,000 | | Luen Thai Holdings | | 2,035 | |
28,000 | | Norstar Founders Group (1) (2) (3) | | — | |
19,227 | | NWS Holdings | | 28,324 | |
2,500 | | Orient Overseas International | | 19,090 | |
41,000 | | PCCW | | 16,261 | |
9,500 | | Power Assets Holdings | | 66,486 | |
14,000 | | Public Financial Holdings | | 8,743 | |
21,000 | | Sunlight REIT | | 6,815 | |
3,000 | | Swire Pacific Class A | | 45,816 | |
15,000 | | TAI Cheung Holdings | | 11,299 | |
34,000 | | Texwinca Holdings | | 38,352 | |
24,000 | | TPV Technology | | 13,783 | |
5,200 | | Transport International Holdings | | 16,405 | |
2,800 | | VTech Holdings | | 31,909 | |
3,000 | | Wharf Holdings | | 21,942 | |
10,000 | | Wheelock | | 41,206 | |
| | | | 565,791 | |
| | Hungary — 0.2% | | | |
8,579 | | Magyar Telekom Telecommunications | | 29,267 | |
| | | | | |
| | Indonesia — 0.4% | | | |
75,500 | | International Nickel Indonesia | | 43,865 | |
32,000 | | Telekomunikasi Indonesia | | 28,775 | |
| | | | 72,640 | |
| | Ireland — 0.4% | | | |
3,548 | | Anglo Irish Bank (1) (2) (3) | | — | |
963 | | DCC | | 32,460 | |
17,066 | | Total Produce | | 10,615 | |
5,962 | | United Drug | | 20,547 | |
| | | | 63,622 | |
| | Israel (2) — 1.5% | | | |
7,193 | | Bank Hapoalim (1) | | 37,798 | |
8,086 | | Bank Leumi Le-Israel | | 42,039 | |
15,496 | | Bezeq Israeli Telecommunication | | 46,002 | |
902 | | Cellcom Israel | | 28,981 | |
601 | | First International Bank of Israel | | 9,247 | |
7,646 | | Israel Discount Bank Class A (1) | | 16,172 | |
8,441 | | Migdal Insurance & Financial Holding | | 15,947 | |
11,231 | | Oil Refineries (1) | | 8,407 | |
1,536 | | Partner Communications | | 29,108 | |
46 | | Paz Oil | | 8,523 | |
1,894 | | Super-Sol | | 11,833 | |
| | | | 254,057 | |
| | Italy — 2.9% | | | |
1,492 | | Assicurazioni Generali | | 35,752 | |
1,827 | | Autostrada Torino-Milano | | 30,738 | |
3,123 | | Banca Carige | | 7,567 | |
3,093 | | Banca Popolare di Milano | | 10,582 | |
The accompanying notes are an integral part of the financial statements.
32
Shares | | | | Value $ | |
| | | | | |
260 | | Banco di Sardegna | | 3,593 | |
4,478 | | Banco Popolare | | 13,277 | |
444 | | Beni Stabili | | 506 | |
1,315 | | Brembo | | 17,956 | |
2,182 | | Caltagirone | | 6,644 | |
2,044 | | ENI | | 54,640 | |
2,101 | | Finmeccanica | | 28,378 | |
3,441 | | Intesa Sanpaolo | | 11,426 | |
22,246 | | KME Group | | 11,900 | |
2,185 | | MARR | | 28,687 | |
5,556 | | Mediaset | | 36,995 | |
2,381 | | Milano Assicurazioni | | 3,512 | |
2,606 | | Piccolo Credito Valtellinese Scarl | | 12,420 | |
5,340 | | Recordati | | 56,507 | |
4,075 | | Snam Rete Gas | | 25,347 | |
831 | | Societa Cattolica di Assicurazioni | | 23,371 | |
1,635 | | Societa Iniziative Autostradali e Servizi | | 21,054 | |
15,621 | | Telecom Italia | | 23,528 | |
6,271 | | UniCredit | | 16,141 | |
1,566 | | Unione di Banche Italiane | | 14,031 | |
1,189 | | Zignago Vetro | | 9,773 | |
| | | | 504,325 | |
| | Japan (2) — 21.7% | | | |
3,000 | | 77 Bank | | 13,861 | |
1,700 | | Aeon Credit Service | | 23,055 | |
3,100 | | Ai Holdings | | 12,665 | |
2,000 | | Aichi Machine Industry | | 7,142 | |
4,000 | | Aichi Steel | | 24,260 | |
1,000 | | Aisin Seiki | | 35,278 | |
1,600 | | Alpine Electronics | | 20,100 | |
2,600 | | Alps Electric | | 26,006 | |
1,700 | | AOC Holdings | | 11,371 | |
800 | | Aoyama Trading | | 13,181 | |
5 | | AQ Interactive | | 6,698 | |
1,500 | | Arcs | | 23,238 | |
400 | | Artnature | | 3,851 | |
4,000 | | Asahi Glass | | 50,795 | |
6,000 | | Asahi Kasei | | 41,481 | |
6 | | Asax | | 8,804 | |
500 | | Autobacs Seven | | 18,380 | |
600 | | Avex Group Holdings | | 7,460 | |
5,000 | | Bando Chemical Industries | | 21,075 | |
900 | | BML | | 25,626 | |
700 | | Bridgestone | | 15,463 | |
700 | | Canon Electronics | | 16,803 | |
900 | | Century Tokyo Leasing | | 15,445 | |
1,300 | | Charle | | 6,955 | |
1,000 | | Chugoku Marine Paints | | 8,457 | |
7,000 | | Cosmo Oil | | 23,111 | |
400 | | Cosmos Pharmaceutical | | 17,725 | |
1,000 | | Create SD Holdings | | 23,539 | |
2,000 | | Daido Steel | | 11,434 | |
2,000 | | Daihatsu Diesel Manufacturing | | 13,393 | |
2,000 | | Daihatsu Motor | | 32,313 | |
1,100 | | Daiichikosho | | 19,277 | |
300 | | Daikoku Denki | | 3,494 | |
7,000 | | Daishi Bank | | 22,091 | |
200 | | Daito Trust Construction | | 16,003 | |
2,000 | | Daiwa House Industry | | 24,237 | |
3,000 | | Daiwa Industries | | 15,085 | |
4,300 | | DCM Holdings | | 27,357 | |
1,000 | | Denki Kogyo | | 4,773 | |
500 | | Doshisha | | 10,947 | |
600 | | Doutor Nichires Holdings | | 7,149 | |
700 | | DTS | | 6,640 | |
1,400 | | Duskin | | 28,249 | |
2,000 | | Eagle Industry | | 20,854 | |
1,700 | | Eisai | | 61,828 | |
8 | | Fields | | 12,512 | |
600 | | Fuji | | 2,522 | |
4,000 | | Fuji Heavy Industries | | 29,779 | |
900 | | Fuji Machine Manufacturing | | 21,057 | |
1,000 | | Fujikura Kasei | | 5,854 | |
800 | | Fukuda Denshi | | 25,653 | |
4,000 | | Gunma Bank | | 21,656 | |
1 | | Hankyu Reit | | 5,657 | |
1,400 | | Hard Off | | 6,826 | |
500 | | Heiwa | | 7,733 | |
3,000 | | Higo Bank | | 17,302 | |
5,000 | | Hitachi | | 27,144 | |
2,200 | | Hitachi Capital | | 31,387 | |
1,100 | | Hitachi Chemical | | 22,677 | |
700 | | Honda Motor | | 26,916 | |
500 | | H-One | | 4,027 | |
6,000 | | Hyakujushi Bank | | 22,402 | |
4 | | Ichigo Real Estate Investment | | 5,116 | |
1,800 | | Ichinen Holdings | | 8,541 | |
200 | | Idemitsu Kosan | | 23,657 | |
300 | | Inaba Denki Sangyo | | 7,916 | |
9 | | Infocom | | 10,826 | |
300 | | Iriso Electronics | | 4,591 | |
1,700 | | IT Holdings | | 16,722 | |
2,000 | | ITC Networks | | 11,482 | |
400 | | Japan Drilling | | 16,166 | |
2 | | Japan Excellent REIT | | 11,023 | |
3 | | Japan Hotel and Resort REIT | | 6,939 | |
1,100 | | Japan Petroleum Exploration | | 53,940 | |
The accompanying notes are an integral part of the financial statements.
33
Shares | | | | Value $ | |
| | | | | |
5 | | Japan Prime Realty Investment REIT Class A | | 14,220 | |
1,000 | | Japan Radio | | 2,487 | |
1,000 | | Jidosha Buhin Kogyo | | 5,304 | |
600 | | JSP | | 10,688 | |
6,000 | | Juroku Bank | | 18,607 | |
2,400 | | Justsystems (1) | | 5,727 | |
3,000 | | Kagoshima Bank | | 20,176 | |
2,000 | | Kaken Pharmaceutical | | 25,951 | |
4,000 | | Kaneka | | 29,201 | |
2,000 | | Kasumi | | 10,611 | |
1,300 | | Kato Sangyo | | 21,947 | |
10 | | KDDI | | 66,773 | |
500 | | Keihin | | 9,575 | |
2,000 | | Keiyo Bank | | 9,841 | |
2,000 | | Kinki Sharyo | | 8,253 | |
2,000 | | Kinugawa Rubber Industrial | | 9,736 | |
17,000 | | Kiyo Holdings | | 24,200 | |
500 | | K’s Holdings | | 15,587 | |
2,000 | | Kuraray | | 29,140 | |
600 | | Lawson | | 29,444 | |
600 | | Lintec | | 17,760 | |
3,000 | | Maeda Road Construction | | 28,476 | |
800 | | Maspro Denkoh | | 7,234 | |
200 | | Melco Holdings | | 6,404 | |
4 | | Message | | 11,484 | |
4 | | MID REIT | | 12,457 | |
800 | | Ministop | | 12,960 | |
6,000 | | Mitsubishi Chemical Holdings | | 40,636 | |
12,000 | | Mitsubishi UFJ Financial Group | | 57,606 | |
1,000 | | Mitsuboshi Belting | | 4,719 | |
5,000 | | Mitsui Engineering & Shipbuilding | | 12,417 | |
1,000 | | Mitsui Home | | 5,033 | |
44 | | Mitsui Knowledge Industry | | 6,559 | |
10,000 | | Mitsui Mining & Smelting | | 35,808 | |
33,000 | | Mizuho Financial Group | | 52,293 | |
900 | | Moshi Moshi Hotline | | 16,514 | |
600 | | Muto Seiko | | 4,477 | |
1,000 | | Namura Shipbuilding | | 5,076 | |
1,100 | | NEC Capital Solutions | | 16,347 | |
600 | | NEC Mobiling | | 20,000 | |
1,700 | | NEC Networks & System Integration | | 22,217 | |
7,000 | | Nichirei | | 30,761 | |
1,000 | | Nichireki | | 4,930 | |
15 | | NIFTY | | 21,594 | |
3,000 | | Nippo | | 24,154 | |
2,000 | | Nippon Densetsu Kogyo | | 19,234 | |
3,000 | | Nippon Electric Glass | | 45,430 | |
2,000 | | Nippon Seisen | | 10,558 | |
800 | | Nippon Telegraph & Telephone | | 37,285 | |
2,000 | | Nippon Valqua Industries | | 5,835 | |
1,500 | | Nishimatsuya Chain | | 12,695 | |
9,000 | | Nishi-Nippon City Bank | | 25,496 | |
4,000 | | Nissan Shatai | | 29,976 | |
2,400 | | Nissen Holdings | | 15,634 | |
2,000 | | Nissin Sugar Manufacturing | | 4,475 | |
3,000 | | Nittetsu Mining | | 14,289 | |
4 | | Nomura Real Estate Office Fund REIT | | 28,967 | |
7 | | NTT Data | | 23,199 | |
30 | | NTT DoCoMo | | 55,672 | |
6,000 | | Ogaki Kyoritsu Bank | | 19,258 | |
7 | | Okinawa Cellular Telephone | | 15,785 | |
4,000 | | Pacific Metals | | 30,311 | |
22 | | PGM Holdings K K | | 12,248 | |
12 | | Pilot | | 22,180 | |
1 | | Premier Investment | | 4,664 | |
2,000 | | Press Kogyo | | 9,150 | |
5 | | Riberesute | | 6,513 | |
6,000 | | Ryobi | | 23,252 | |
2,000 | | S Foods | | 16,127 | |
2,000 | | San-Ai Oil | | 10,802 | |
3,000 | | San-In Godo Bank | | 22,256 | |
3,000 | | Sankyo Seiko | | 9,494 | |
800 | | Sanoh Industrial | | 6,223 | |
1,000 | | Sanyo Chemical Industries | | 8,173 | |
9 | | SBS Holdings | | 8,571 | |
1,400 | | Sega Sammy Holdings | | 24,527 | |
4,000 | | Sekisui Chemical | | 33,566 | |
2 | | Sekisui House SI Investment | | 9,139 | |
1,000 | | Sekisui Jushi | | 10,400 | |
2,000 | | Shinagawa Refractories | | 6,284 | |
4,000 | | Shindengen Electric Manufacturing | | 17,369 | |
4,000 | | Shinsho | | 10,494 | |
1,600 | | Ship Healthcare Holdings | | 20,784 | |
4,000 | | Shiroki | | 12,978 | |
3,200 | | Showa Shell Sekiyu | | 34,919 | |
91 | | SKY Perfect JSAT Holdings | | 36,372 | |
700 | | Sony Financial Holdings | | 13,013 | |
1,100 | | SRA Holdings | | 9,865 | |
20 | | SRI Sports | | 21,791 | |
1,800 | | Sumitomo | | 24,835 | |
3,100 | | Sumitomo Electric Industries | | 43,170 | |
2,000 | | Sumitomo Metal Mining | | 35,718 | |
1,700 | | Sumitomo Mitsui Financial Group | | 52,815 | |
700 | | Tachi-S | | 11,773 | |
2,000 | | Taihei Kogyo | | 9,089 | |
1,200 | | Takeda Pharmaceutical | | 58,166 | |
6 | | T-Gaia | | 10,418 | |
13,000 | | Toa | | 23,405 | |
The accompanying notes are an integral part of the financial statements.
34
Shares | | | | Value $ | |
| | | | | |
5,000 | | Toa Oil | | 6,982 | |
900 | | Tocalo | | 16,961 | |
3,000 | | Toho Zinc | | 16,367 | |
1,200 | | Tokai Rika | | 21,031 | |
310 | | Token | | 13,227 | |
4,720 | | Tokyu Construction | | 12,839 | |
4 | | Tokyu REIT | | 27,808 | |
500 | | Tomen Electronics | | 6,770 | |
5,000 | | TonenGeneral Sekiyu | | 62,045 | |
2,100 | | Toppan Forms | | 16,807 | |
7,000 | | Toshiba TEC | | 32,340 | |
5,000 | | Toyo Ink SC Holdings | | 25,328 | |
2,100 | | Toyota Auto Body | | 37,171 | |
600 | | TS Tech | | 10,560 | |
1,100 | | Unipres | | 23,574 | |
2,000 | | Valor | | 21,332 | |
1,300 | | VT Holdings | | 4,137 | |
200 | | Yachiyo Bank | | 6,106 | |
460 | | Yamada Denki | | 32,324 | |
2,000 | | Yamaguchi Financial Group | | 18,068 | |
2,000 | | Yamanashi Chuo Bank | | 8,920 | |
2,000 | | Yokohama Reito | | 13,549 | |
1,100 | | Yorozu | | 22,298 | |
6 | | Zappallas | | 8,199 | |
3,000 | | Zojirushi | | 8,241 | |
| | | | 3,717,982 | |
| | Malaysia — 0.6% | | | |
15,400 | | Affin Holdings | | 18,203 | |
7,300 | | APM Automotive Holdings | | 12,154 | |
17,800 | | Kumpulan Fima | | 9,318 | |
10,100 | | Tenaga Nasional | | 20,500 | |
6,200 | | Tradewinds Malaysia | | 17,003 | |
13,500 | | UMW Holdings BHD | | 32,052 | |
| | | | 109,230 | |
| | Malta — 0.0% | | | |
22,416 | | BGP Holdings (1) (2) (3) | | — | |
| | | | | |
| | Netherlands — 2.1% | | | |
6,805 | | Aegon | | 54,029 | |
926 | | ASM International (1) | | 40,216 | |
1,333 | | BE Semiconductor Industries (1) | | 14,313 | |
284 | | Koninklijke Boskalis Westminster | | 15,102 | |
1,451 | | Koninklijke KPN | | 23,026 | |
1,400 | | Mediq | | 30,168 | |
1,960 | | Royal Dutch Shell | | 75,704 | |
1,970 | | Royal Dutch Shell A Shares (2) | | 76,719 | |
2,906 | | SNS Reaal (1) | | 17,860 | |
446 | | Vastned Offices/Industrial REIT | | 8,904 | |
105 | | Wereldhave REIT | | 10,971 | |
| | | | 367,012 | |
| | New Zealand — 0.5% | | | |
13,956 | | Air New Zealand | | 12,531 | |
8,052 | | Argosy Property Trust | | 5,211 | |
7,005 | | Nuplex Industries | | 18,472 | |
19,599 | | Telecom Corp. of New Zealand | | 34,481 | |
9,823 | | Vector | | 20,341 | |
| | | | 91,036 | |
| | Norway — 2.3% | | | |
9,933 | | ABG Sundal Collier Holding | | 12,691 | |
754 | | Aker Class A Shares | | 23,006 | |
1,723 | | Atea | | 19,058 | |
1,800 | | Austevoll Seafood | | 13,833 | |
1,277 | | Cermaq | | 26,301 | |
1,028 | | Farstad Shipping | | 36,072 | |
1,338 | | Fred Olsen Energy | | 61,748 | |
1,043 | | Leroy Seafood Group | | 34,012 | |
29,110 | | Marine Harvest | | 38,471 | |
2,670 | | SpareBank 1 SMN | | 26,859 | |
1,148 | | Sparebank 1 SR Bank | | 12,315 | |
420 | | Sparebanken More | | 15,618 | |
2,621 | | StatoilHydro | | 76,724 | |
| | | | 396,708 | |
| | Philippines — 0.5% | | | |
18,900 | | Aboitiz Power | | 13,939 | |
550 | | Globe Telecom | | 11,571 | |
30,000 | | Manila Water | | 12,623 | |
600 | | Philippine Long Distance Telephone ADR | | 34,794 | |
15,100 | | Rizal Commercial Banking | | 9,883 | |
4,300 | | Union Bank of Philippines | | 6,131 | |
| | | | 88,941 | |
| | Poland — 1.1% | | | |
842 | | Grupa Lotos (1) | | 15,090 | |
5,820 | | Impexmetal (1) | | 11,043 | |
978 | | KGHM Polska Miedz | | 72,049 | |
2,423 | | Polski Koncern Naftowy Orlen | | 50,544 | |
28,941 | | Polskie Gornictwo Naftowe i Gazownictwo | | 42,467 | |
| | | | 191,193 | |
| | Portugal — 0.5% | | | |
10,239 | | Banco BPI | | 18,409 | |
2,426 | | Banco Espirito Santo | | 10,218 | |
10,407 | | Portucel Empresa Produtora de Pasta e Papel | | 38,964 | |
The accompanying notes are an integral part of the financial statements.
35
Shares | | | | Value $ | |
| | | | | |
1,439 | | Portugal Telecom | | 17,565 | |
| | | | 85,156 | |
| | Russia — 0.7% | | | |
2,200 | | Gazprom ADR | | 37,092 | |
600 | | LUKOIL ADR | | 41,820 | |
1,750 | | Mobile Telesystems ADR | | 37,013 | |
| | | | 115,925 | |
| | Singapore — 2.1% | | | |
12,000 | | Allgreen Properties | | 11,570 | |
24,000 | | Boustead Singapore | | 20,002 | |
8,000 | | CapitaCommercial Trust REIT | | 9,412 | |
9,000 | | Hong Leong Asia | | 19,781 | |
13,000 | | HTL International Holdings | | 6,320 | |
18,000 | | Jurong Technologies Industrial (1) (2) (3) | | — | |
16,800 | | MobileOne | | 32,807 | |
11,000 | | SembCorp Industries | | 48,533 | |
28,000 | | Singapore Telecommunications | | 71,378 | |
23,000 | | StarHub | | 53,934 | |
12,000 | | Swiber Holdings (1) | | 7,795 | |
16,000 | | UMS Holdings | | 7,582 | |
9,000 | | UOB-Kay Hian Holdings | | 13,825 | |
7,000 | | UOL Group | | 27,682 | |
3,000 | | Venture | | 23,654 | |
7,000 | | Wing Tai Holdings | | 9,037 | |
| | | | 363,312 | |
| | South Africa — 0.8% | | | |
7,701 | | Afgri | | 8,201 | |
3,067 | | Allied Electronics | | 12,826 | |
746 | | Allied Technologies | | 7,273 | |
403 | | Astral Foods | | 8,239 | |
2,353 | | Aveng | | 12,499 | |
397 | | Kumba Iron Ore | | 29,031 | |
1,080 | | Palabora Mining | | 24,186 | |
3,283 | | Raubex Group | | 9,878 | |
4,409 | | Steinhoff International Holdings (1) | | 16,993 | |
| | | | 129,126 | |
| | South Korea — 1.3% | | | |
940 | | Bookook Steel | | 2,231 | |
410 | | Daishin Securities | | 5,547 | |
290 | | Global & Yuasa Battery | | 12,368 | |
163 | | GS Home Shopping | | 23,473 | |
1,530 | | Hanil E-Wha | | 18,838 | |
39 | | Hankook Shell Oil | | 7,669 | |
290 | | Hankuk Paper Manufacturing | | 5,974 | |
170 | | Hansol LCD | | 7,426 | |
490 | | Hanyang Securities (1) | | 3,808 | |
530 | | Jinheung Mutual Savings Bank | | 1,236 | |
460 | | KG Chemical | | 3,808 | |
109 | | Korea Petrochemical Industries | | 13,064 | |
190 | | Kyeryong Construction Industrial | | 2,508 | |
1,300 | | Kyung Nong | | 4,266 | |
100 | | Mi Chang Oil Industrial | | 4,522 | |
860 | | Motonic | | 8,028 | |
60 | | Nexen | | 4,562 | |
86 | | Nong Shim Holdings | | 5,049 | |
110 | | Pusan City Gas | | 1,988 | |
50 | | Samsung Electronics | | 41,807 | |
470 | | Sejong Industrial | | 8,956 | |
1,500 | | SK Telecom ADR | | 28,470 | |
238 | | Thinkware Systems | | 2,284 | |
650 | | Woongjin Thinkbig | | 10,499 | |
| | | | 228,381 | |
| | Spain — 3.1% | | | |
2,064 | | Almirall | | 23,537 | |
2,979 | | Banco Bilbao Vizcaya Argentaria | | 38,207 | |
3,637 | | Banco de Sabadell | | 16,121 | |
998 | | Banco Espanol de Credito | | 9,335 | |
5,708 | | Banco Popular Espanol | | 34,220 | |
2,489 | | Banco Santander Central Hispano | | 31,783 | |
825 | | Caja de Ahorros del Mediterraneo | | 5,914 | |
3,522 | | Criteria Caixacorp | | 26,002 | |
3,200 | | Duro Felguera | | 27,203 | |
1,242 | | Ebro Foods | | 30,654 | |
1,525 | | Enagas | | 37,729 | |
1,398 | | Indra Sistemas | | 31,719 | |
10,627 | | Mapfre | | 44,383 | |
634 | | Red Electrica | | 40,450 | |
2,008 | | Repsol | | 71,699 | |
1,674 | | Telefonica | | 44,997 | |
766 | | Vueling Airlines (1) | | 10,777 | |
| | | | 524,730 | |
| | Sweden — 1.8% | | | |
1,245 | | Axfood | | 45,767 | |
1,498 | | Billerud | | 18,232 | |
2,806 | | Boliden | | 63,285 | |
1,000 | | D Carnegie (1) (2) (3) | | — | |
730 | | Hoganas Class B Shares | | 30,341 | |
997 | | NCC Class B Shares | | 26,663 | |
1,390 | | Nolato | | 16,745 | |
1,843 | | Nordea Bank | | 21,042 | |
3,074 | | Peab | | 28,429 | |
7,088 | | TeliaSonera | | 57,911 | |
| | | | 308,415 | |
| | Switzerland — 3.2% | | | |
370 | | Baloise Holding | | 40,918 | |
The accompanying notes are an integral part of the financial statements.
36
Shares | | | | Value $ | |
| | | | | |
173 | | Compagnie Financiere Tradition | | 24,183 | |
890 | | Credit Suisse Group | | 40,451 | |
111 | | Emmi | | 27,593 | |
99 | | Helvetia Holding | | 46,444 | |
819 | | Nestle | | 50,850 | |
908 | | Novartis | | 53,909 | |
427 | | Pargesa Holding | | 43,890 | |
464 | | Roche Holding | | 75,268 | |
3,512 | | UBS | | 70,207 | |
55 | | Vaudoise Assurances Holding | | 17,996 | |
235 | | Zurich Financial Services | | 66,025 | |
| | | | 557,734 | |
| | Taiwan — 3.0% | | | |
9,000 | | Ability Enterprise | | 13,530 | |
8,000 | | AcBel Polytech | | 6,097 | |
5,000 | | Altek | | 6,924 | |
12,000 | | Ardentec | | 11,406 | |
8,000 | | Asia Vital Components | | 8,901 | |
7,000 | | Audix | | 8,924 | |
7,000 | | Avermedia Technologies | | 9,107 | |
3,000 | | Chicony Electronics | | 5,902 | |
4,000 | | Chong Hong Construction | | 9,669 | |
20,394 | | Compal Electronics | | 23,083 | |
11,000 | | Coretronic | | 16,805 | |
11,000 | | CTCI | | 13,889 | |
3,000 | | Dynapack International Technology (1) | | 9,878 | |
19,000 | | Far EasTone Telecommunications | | 28,795 | |
14,000 | | Feng TAY Enterprise | | 15,357 | |
7,000 | | FSP Technology | | 7,715 | |
9,000 | | Gigabyte Technology | | 9,339 | |
1,600 | | Himax Technologies ADR | | 4,048 | |
22,580 | | Inventec | | 12,129 | |
3,000 | | I-Sheng Electric Wire & Cable | | 4,615 | |
4,573 | | Leader Electronics | | 2,624 | |
9,000 | | LITE-ON IT | | 9,747 | |
18,000 | | Lite-On Technology | | 22,759 | |
29,000 | | Macronix International | | 19,016 | |
4,441 | | Pegatron (1) | | 4,678 | |
6,000 | | Phihong Technology | | 11,594 | |
12,000 | | Pou Chen | | 11,301 | |
3,150 | | Promate Electronic | | 2,532 | |
15,907 | | Quanta Computer | | 31,348 | |
5,000 | | Radiant Opto-Electronics | | 15,103 | |
11,000 | | Sigurd Microelectronics | | 10,359 | |
2,000 | | Silitech Technology | | 5,044 | |
3,000 | | Sincere Navigation | | 3,448 | |
25,130 | | Sinon | | 12,184 | |
4,000 | | Sirtec International | | 8,357 | |
3,000 | | Soft-World International | | 11,981 | |
4,000 | | Taiwan Navigation | | 4,562 | |
10,000 | | Taiwan Sogo Shin Kong SEC | | 8,755 | |
6,000 | | Taiwan Surface Mounting Technology | | 15,319 | |
6,000 | | Thye Ming Industrial (1) | | 8,162 | |
6,000 | | Ttet Union | | 11,092 | |
6,000 | | U-Ming Marine Transport | | 12,975 | |
22,000 | | Wan Hai Lines | | 16,805 | |
8,000 | | Weikeng Industrial | | 7,785 | |
10,553 | | Wistron | | 18,956 | |
| | | | 512,599 | |
| | Thailand — 1.4% | | | |
13,500 | | Advanced Info Service | | 41,820 | |
18,400 | | Bangchak Petroleum | | 13,249 | |
5,300 | | Bangkok Expressway | | 3,177 | |
21,150 | | Bualuang Securities | | 11,970 | |
26,300 | | Delta Electronics Thai | | 23,120 | |
2,100 | | Electricity Generating | | 6,664 | |
12,400 | | Hana Microelectronics | | 10,257 | |
7,300 | | Kiatnakin Bank | | 8,068 | |
25,300 | | Lanna Resources | | 22,453 | |
18,200 | | MCS Steel | | 7,497 | |
11,000 | | Padaeng Industry | | 8,510 | |
18,400 | | Property Perfect | | 3,056 | |
3,300 | | PTT | | 41,443 | |
29,600 | | SC Asset | | 11,598 | |
74,800 | | Thai Tap Water Supply | | 15,030 | |
5,900 | | Thanachart Capital | | 6,027 | |
| | | | 233,939 | |
| | Turkey — 1.3% | | | |
81 | | Bagfas Bandirma Gubre Fabrik | | 10,015 | |
1,345 | | Ford Otomotiv Sanayi | | 13,667 | |
1,474 | | Gubre Fabrikalari (1) | | 16,432 | |
660 | | Pinar SUT Mamulleri Sanayii | | 7,119 | |
6,503 | | Selcuk Ecza Deposu Ticaret ve Sanayi A.S. | | 11,205 | |
3,204 | | Tofas Turk Otomobil Fabrikasi | | 18,417 | |
11,572 | | Trakya Cam Sanayi | | 28,312 | |
1,352 | | Tupras Turkiye Petrol Rafinerileri | | 43,926 | |
7,760 | | Turk Telekomunikasyon | | 40,420 | |
5,885 | | Turkcell Iletisim Hizmetleri | | 34,756 | |
| | | | 224,269 | |
| | United Kingdom (2) — 11.1% | | | |
5,659 | | Amlin | | 39,573 | |
3,010 | | Anglo Pacific Group | | 15,935 | |
1,307 | | AstraZeneca | | 64,837 | |
3,954 | | Aviva | | 29,586 | |
The accompanying notes are an integral part of the financial statements.
37
Shares | | | | Value $ | |
| | | | | |
9,078 | | BAE Systems | | 49,822 | |
6,322 | | Balfour Beatty | | 34,681 | |
9,707 | | Barclays | | 46,138 | |
15,990 | | Beazley | | 35,072 | |
2,883 | | Berendsen | | 25,063 | |
8,007 | | BP | | 61,539 | |
9,315 | | Brewin Dolphin Holdings | | 26,857 | |
33,100 | | Cable & Wireless Communications | | 25,699 | |
5,224 | | Carillion | | 34,280 | |
13,779 | | Centrica | | 73,984 | |
24,853 | | Chaucer Holdings | | 22,931 | |
2,734 | | Chesnara | | 11,597 | |
3,020 | | Computacenter | | 23,265 | |
5,769 | | Drax Group | | 42,481 | |
6,031 | | Electrocomponents | | 28,067 | |
7,735 | | Fiberweb | | 9,689 | |
5,233 | | Firstgroup | | 28,430 | |
5,307 | | Game Group | | 4,708 | |
2,357 | | GlaxoSmithKline | | 51,478 | |
2,269 | | Greggs | | 19,530 | |
2,169 | | Hill & Smith Holdings | | 12,189 | |
7,884 | | Home Retail Group | | 29,095 | |
3,270 | | IG Group Holdings | | 25,577 | |
942 | | Imperial Tobacco Group | | 33,220 | |
3,209 | | Inchcape | | 19,585 | |
1,649 | | Interior Services Group | | 5,519 | |
5,747 | | Intermediate Capital Group | | 31,776 | |
2,521 | | Interserve | | 11,849 | |
5,904 | | Investec | | 47,537 | |
11,709 | | J Sainsbury | | 68,189 | |
5,554 | | JKX Oil & Gas | | 28,492 | |
1,280 | | Kazakhmys | | 29,727 | |
1,407 | | Keller Group | | 15,473 | |
5,088 | | Kesa Electricals | | 10,980 | |
1,100 | | Kier Group | | 24,498 | |
29,604 | | Legal & General Group | | 60,877 | |
13,229 | | Man Group | | 55,350 | |
6,817 | | Marks & Spencer Group | | 44,282 | |
1,664 | | Mothercare | | 11,669 | |
5,786 | | N Brown Group | | 29,357 | |
3,803 | | Pace | | 10,229 | |
227 | | Rio Tinto | | 16,560 | |
2,490 | | Robert Wiseman Dairies | | 13,099 | |
21,007 | | RSA Insurance Group | | 48,401 | |
2,482 | | Scottish & Southern Energy | | 56,297 | |
4,094 | | St. James’s Place | | 24,284 | |
6,893 | | Stagecoach Group | | 28,450 | |
11,416 | | Standard Life | | 43,252 | |
7,550 | | Tesco | | 50,891 | |
2,409 | | Tullett Prebon | | 16,973 | |
935 | | Umeco | | 7,573 | |
1,262 | | Valiant Petroleum (1) | | 11,281 | |
1,604 | | Vedanta Resources | | 62,623 | |
12,892 | | Vodafone Group | | 37,261 | |
2,252 | | WH Smith | | 17,735 | |
2,948 | | Wincanton | | 5,182 | |
9,006 | | WM Morrison Supermarkets | | 44,422 | |
1,140 | | WSP Group | | 6,835 | |
| | | | 1,901,831 | |
| | TOTAL COMMON STOCK
(Cost $14,796,259) | | 16,652,852 | |
| | | | | |
| | PREFERRED STOCK — 1.1% | | | |
| | Brazil — 0.6% | | | |
1,300 | | AES Tiete | | 21,446 | |
700 | | Cia de Transmissao de Energia Eletrica Paulista | | 22,593 | |
600 | | Cia Energetica do Ceara Class A | | 13,007 | |
1,320 | | Eletropaulo Metropolitana Eletricidade de Sao Paulo Class B | | 32,216 | |
1,700 | | Ferbasa-Ferro Ligas da Bahia | | 13,282 | |
| | | | 102,544 | |
| | Germany — 0.5% | | | |
28 | | KSB | | 24,696 | |
870 | | ProSiebenSat.1 Media | | 24,912 | |
199 | | Volkswagen | | 39,198 | |
| | | | 88,806 | |
| | TOTAL PREFERRED STOCK
(Cost $142,317) | | 191,350 | |
| | | | | |
| | WARRANTS (1) — 0.0% | | | |
| | Italy — 0.0% | | | |
1,002 | | KME Group, Expires 01/02/12 | | 17 | |
935 | | Unione di Banche Italiane, Expires 06/30/11 | | 1 | |
| | TOTAL WARRANTS
(Cost $—) | | 18 | |
| | | | | |
| | RIGHTS (1) — 0.0% | | | |
| | Brazil — 0.0% | | | |
7 | | Cia de Transmissao de Energia Electrica, Expires 06/11
(Cost $—) | | 3 | |
The accompanying notes are an integral part of the financial statements.
38
Shares | | | | Value $ | |
| | | | | |
| | SHORT-TERM INVESTMENT (4) — 1.5% | | | |
263,931 | | JPMorgan Prime Money Market Fund, 0.030%
(Cost $263,931) | | 263,931 | |
| | | | | |
| | TOTAL INVESTMENTS — 99.6%
(Cost $15,202,507) | | 17,108,154 | |
| | | | | |
| | OTHER ASSETS LESS LIABILITIES — 0.4% | | 59,130 | |
| | | | | |
| | NET ASSETS — 100% | | $ | 17,167,284 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | Security is fair valued. (See Note 2 in Notes to Financial Statements.) |
(3) | Security considered illiquid. On April 30, 2011, the value of these securities amounted to $0 representing 0.0% of the net assets of the Fund. |
(4) | The rate shown represents the 7-day current yield as of April 30, 2011. |
ADR — American Depositary Receipt
CAD — Canadian Dollar
GBP — British Pound
JPY — Japanese Yen
REIT — Real Estate Investment Trust
TRY — Turkish Lira
USD ��� United States Dollar
ZAR — South African Rand
A summary of the outstanding forward foreign currency contracts held by the Fund at April 30, 2011, is as follows:
| | | | | | | | Unrealized | |
| | | | | | | | Appreciation | |
Counterparty | | Settlement Date | | Currency to Deliver | | Currency to Receive | | (Depreciation) | |
JPMorgan | | 5/9/11 | | USD | 23,470 | | JPY | 1,916,270 | | $ | 159 | |
JPMorgan | | 6/2/11 | | JPY | 32,068,000 | | USD | 379,620 | | (15,848 | ) |
HSBC | | 5/26/11 | | TRY | 383,000 | | USD | 243,836 | | (7,046 | ) |
HSBC | | 5/26/11 | | ZAR | 754,100 | | USD | 108,907 | | (5,577 | ) |
HSBC | | 6/9/11 | | CAD | 200,200 | | USD | 209,133 | | (2,310 | ) |
Royal Bank of Scotland | | 5/26/11 | | USD | 1,483,814 | | GBP | 924,700 | | 59,947 | |
UBS Securities LLC | | 5/26/11 | | GBP | 924,700 | | USD | 1,481,998 | | (61,763 | ) |
UBS Securities LLC | | 6/2/11 | | USD | 383,780 | | JPY | 32,068,000 | | 11,687 | |
UBS Securities LLC | | 6/9/11 | | CAD | 212,300 | | USD | 219,852 | | (4,371 | ) |
| | | | | | | | | | $ | (25,122 | ) |
The accompanying notes are an integral part of the financial statements.
39
The following is a summary of the inputs used as of April 30, 2011 in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Common Stock | | | | | | | | | |
Australia | | $ | 630,441 | | $ | — | | $ | — | | $ | 630,441 | |
Austria | | 159,764 | | — | | — | | 159,764 | |
Belgium | | 295,457 | | — | | — | | 295,457 | |
Bermuda | | 112,963 | | 67,081 | | — | | 180,044 | |
Brazil | | 169,923 | | — | | — | | 169,923 | |
British Virgin Islands | | — | | 15,849 | | — | | 15,849 | |
Canada | | 1,075,719 | | — | | — | | 1,075,719 | |
Chile | | 20,695 | | — | | — | | 20,695 | |
China | | 94,008 | | — | | — | | 94,008 | |
Cyprus | | 61,934 | | — | | — | | 61,934 | |
Czech Republic | | 31,226 | | — | | — | | 31,226 | |
Denmark | | 145,643 | | — | | — | | 145,643 | |
Finland | | 340,359 | | — | | — | | 340,359 | |
France | | 1,045,445 | | — | | — | | 1,045,445 | |
Germany | | 568,460 | | 4,688 | | — | | 573,148 | |
Greece | | 147,928 | | — | | — | | 147,928 | |
Guernsey | | — | | 28,048 | | — | | 28,048 | |
Hong Kong | | 565,791 | | — | | — | | 565,791 | |
Hungary | | 29,267 | | — | | — | | 29,267 | |
Indonesia | | 72,640 | | — | | — | | 72,640 | |
Ireland | | 63,622 | | — | | — | | 63,622 | |
Israel | | — | | 254,057 | | — | | 254,057 | |
Italy | | 504,325 | | — | | — | | 504,325 | |
Japan | | — | | 3,717,982 | | — | | 3,717,982 | |
Malaysia | | 109,230 | | — | | — | | 109,230 | |
Malta | | — | | — | | — | | — | |
Netherlands | | 290,293 | | 76,719 | | — | | 367,012 | |
New Zealand | | 91,036 | | — | | — | | 91,036 | |
Norway | | 396,708 | | — | | — | | 396,708 | |
Phillippines | | 88,941 | | — | | — | | 88,941 | |
Poland | | 191,193 | | — | | — | | 191,193 | |
Portugal | | 85,156 | | — | | — | | 85,156 | |
Russia | | 115,925 | | — | | — | | 115,925 | |
Singapore | | 363,312 | | — | | — | | 363,312 | |
South Africa | | 129,126 | | — | | — | | 129,126 | |
South Korea | | 228,381 | | — | | — | | 228,381 | |
Spain | | 524,730 | | — | | — | | 524,730 | |
Sweden | | 308,415 | | — | | — | | 308,415 | |
Switzerland | | 557,734 | | — | | — | | 557,734 | |
Taiwan | | 512,599 | | — | | — | | 512,599 | |
Thailand | | 233,939 | | — | | — | | 233,939 | |
Turkey | | 224,269 | | — | | — | | 224,269 | |
United Kingdom | | — | | 1,901,831 | | — | | 1,901,831 | |
| | 10,586,597 | | 6,066,255 | | — | | 16,652,852 | |
| | | | | | | | | | | | | |
The accompanying notes are an integral part of the financial statements.
40
Schedule of Investments (concluded)
The following is a summary of the inputs used as of April 30, 2011 in valuing the Fund’s investments carried at value (continued):
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities — (concluded) | | | | | | | | | |
Preferred Stock | | | | | | | | | |
Brazil | | $ | 102,544 | | $ | — | | $ | — | | $ | 102,544 | |
Germany | | 88,806 | | — | | — | | 88,806 | |
| | 191,350 | | — | | — | | 191,350 | |
Warrants | | | | | | | | | |
Italy | | 18 | | — | | — | | 18 | |
| | 18 | | — | | — | | 18 | |
Rights | | | | | | | | | |
Brazil | | 3 | | — | | — | | 3 | |
| | | | | | | | | |
Short-Term Investment | | 263,931 | | — | | — | | 263,931 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 11,041,899 | | $ | 6,066,255 | | $ | — | | $ | 17,108,154 | |
| | | | | | | | | |
Other Financial Instruments | | | | | | | | | |
Forwards — Unrealized Appreciation | | $ | — | | $ | 71,793 | | $ | — | | $ | 71,793 | |
Forwards — Unrealized Depreciation | | — | | (96,915 | ) | — | | (96,915 | ) |
Total Other Financial Instruments | | $ | — | | $ | (25,122 | ) | $ | — | | $ | (25,122 | ) |
Of the Level 2 investments presented above, some equity investments were considered Level 1 investments at the beginning of the fiscal year. The primary reason for changes in the classifications between Levels 2 and 1 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded. The Fund’s foreign equity securities may be valued at fair value. Please see Note 2 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
41
Schroder Emerging Market Equity Fund
Schedule of Investments
April 30, 2011 (unaudited)
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 94.0% | | | |
| | Brazil — 12.0% | | | |
216,438 | | Banco Bradesco ADR | | 4,378,541 | |
115,200 | | BR Malls Participacoes | | 1,217,180 | |
68,800 | | BR Properties | | 813,528 | |
13,848 | | Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR | | 629,530 | |
39,120 | | Cia de Bebidas das Americas ADR | | 1,274,530 | |
81,464 | | Cia de Concessoes Rodoviarias | | 2,529,890 | |
120,777 | | Cia Energetica de Minas Gerais ADR | | 2,520,616 | |
163,200 | | Gerdau ADR | | 1,971,456 | |
59,900 | | Iochpe-Maxion | | 837,762 | |
300,855 | | Itau Unibanco Holding ADR | | 7,145,306 | |
46,500 | | Lojas Renner | | 1,723,426 | |
44,149 | | Magazine Luiza (1) | | 449,068 | |
305,200 | | PDG Realty Empreendimentos e Participacoes | | 1,796,664 | |
31,001 | | Petroleo Brasileiro | | 567,005 | |
81,678 | | Petroleo Brasileiro ADR | | 3,049,040 | |
41,700 | | Ultrapar Participacoes ADR | | 750,183 | |
11,000 | | Vale | | 360,909 | |
116,400 | | Vale ADR | | 3,887,760 | |
32,924 | | Vivo Participacoes ADR | | 1,376,552 | |
| | | | 37,278,946 | |
| | China — 12.4% | | | |
806,000 | | Bank of Communications | | 854,168 | |
7,755,320 | | China Construction Bank Class H | | 7,330,000 | |
968,000 | | China National Building Material Class H | | 2,039,233 | |
2,320,000 | | China Petroleum & Chemical Class H | | 2,336,162 | |
725,000 | | China Shenhua Energy Class H | | 3,384,186 | |
1,201,000 | | China Suntien Green Energy (1) | | 369,615 | |
770,000 | | Dongfeng Motor Group Class H | | 1,201,715 | |
139,000 | | Golden Eagle Retail Group | | 364,240 | |
9,668,565 | | Industrial & Commercial Bank of China Class H | | 8,179,666 | |
783,000 | | Parkson Retail Group | | 1,201,839 | |
1,348,000 | | PetroChina Class H | | 1,937,146 | |
539,500 | | Ping An Insurance Group of China Class H | | 5,866,773 | |
61,100 | | Tencent Holdings | | 1,738,768 | |
377,760 | | ZTE | | 1,359,584 | |
| | | | 38,163,095 | |
| | Czech Republic — 0.4% | | | |
21,356 | | CEZ | | 1,226,107 | |
| | | | | |
| | Egypt (2) — 0.1% | | | |
83,326 | | Commercial International Bank | | 385,889 | |
| | | | | |
| | Hong Kong — 8.4% | | | |
179,000 | | Beijing Enterprises Holdings | | 950,791 | |
1,005,000 | | Belle International Holdings | | 1,961,885 | |
445,800 | | Changsha Zoomlion Heavy Industry Science & Technology Development (1) | | 1,182,539 | |
239,000 | | China Mengniu Dairy | | 733,997 | |
436,000 | | China Merchants Holdings International | | 2,007,108 | |
791,500 | | China Mobile | | 7,277,083 | |
914,000 | | China Overseas Land & Investment | | 1,758,349 | |
2,829,000 | | CNOOC | | 6,979,698 | |
4,249,140 | | Franshion Properties China | | 1,324,112 | |
1,664,000 | | Poly Hong Kong Investments | | 1,330,617 | |
| | | | 25,506,179 | |
| | Hungary — 2.3% | | | |
28,293 | | MOL Hungarian Oil & Gas | | 3,952,955 | |
89,248 | | OTP Bank | | 3,164,894 | |
| | | | 7,117,849 | |
| | India — 2.2% | | | |
18,400 | | HDFC Bank ADR | | 3,166,640 | |
16,700 | | Infosys Technologies ADR | | 1,088,506 | |
30,850 | | Reliance Industries GDR (4) | | 1,357,092 | |
89,957 | | Tata Steel GDR | | 1,261,197 | |
| | | | 6,873,435 | |
| | Mexico — 0.9% | | | |
18,600 | | America Movil, Series L ADR | | 1,063,920 | |
158,200 | | GEO (1) | | 466,935 | |
388,900 | | Wal-Mart de Mexico | | 1,216,453 | |
| | | | 2,747,308 | |
| | Peru — 0.5% | | | |
8,151 | | Credicorp | | 786,735 | |
22,400 | | Southern Copper | | 839,104 | |
| | | | 1,625,839 | |
The accompanying notes are an integral part of the financial statements.
42
Shares | | | | Value $ | |
| | | | | |
| | Poland — 1.7% | | | |
10,928 | | KGHM Polska Miedz | | 805,069 | |
65,939 | | Polski Koncern Naftowy Orlen | | 1,375,491 | |
179,797 | | Powszechna Kasa Oszczednosci Bank Polski | | 3,099,481 | |
| | | | 5,280,041 | |
| | Qatar (2) — 0.6% | | | |
43,392 | | Industries Qatar QSC | | 1,762,544 | |
| | | | | |
| | Russia — 8.6% | | | |
19,897 | | Eurasia Drilling GDR | | 670,529 | |
707,736 | | Gazprom ADR | | 11,932,429 | |
43,597 | | Globaltrans Investment GDR | | 862,785 | |
72,050 | | LUKOIL ADR | | 5,021,885 | |
34,400 | | Mechel ADR | | 982,808 | |
51,916 | | MMC Norilsk Nickel ADR | | 1,432,882 | |
56,500 | | Mobile Telesystems ADR | | 1,194,975 | |
8,350 | | NovaTek GDR | | 1,173,175 | |
101,200 | | Rosneft Oil GDR | | 903,210 | |
39,350 | | Severstal GDR | | 708,300 | |
22,950 | | Uralkali GDR | | 963,211 | |
21,068 | | X5 Retail Group GDR (1) | | 742,647 | |
| | | | 26,588,836 | |
| | South Africa — 5.1% | | | |
30,118 | | African Rainbow Minerals | | 980,044 | |
1,002,082 | | FirstRand | | 3,153,928 | |
54,683 | | Foschini Group | | 754,742 | |
104,598 | | Gold Fields | | 1,868,812 | |
48,932 | | Impala Platinum Holdings | | 1,528,370 | |
50,233 | | Imperial Holdings | | 902,927 | |
131,584 | | MTN Group | | 2,926,472 | |
13,521 | | Naspers N Shares | | 813,625 | |
108,484 | | Raubex Group | | 326,401 | |
27,727 | | Sasol | | 1,600,885 | |
57,608 | | Shoprite Holdings | | 908,325 | |
| | | | 15,764,531 | |
| | South Korea — 18.8% | | | |
125,000 | | Cheil Worldwide | | 1,615,169 | |
92,290 | | Daegu Bank | | 1,546,808 | |
17,395 | | GS Engineering & Construction | | 2,101,081 | |
47,570 | | Hana Financial Group | | 2,022,170 | |
21,890 | | Hynix Semiconductor | | 692,773 | |
11,762 | | Hyundai Department Store | | 1,729,058 | |
6,966 | | Hyundai Glovis | | 997,938 | |
6,204 | | Hyundai Heavy Industries | | 3,107,809 | |
5,778 | | Hyundai Mobis | | 1,942,230 | |
35,316 | | Hyundai Motor | | 8,151,118 | |
30,340 | | KT | | 1,093,717 | |
9,654 | | LG Chem | | 4,790,843 | |
5,085 | | LG Household & Health Care | | 2,052,093 | |
5,073 | | POSCO | | 2,223,000 | |
15,349 | | Samsung Electronics | | 12,833,948 | |
18,596 | | Samsung Fire & Marine Insurance | | 4,004,757 | |
86,270 | | Shinhan Financial Group | | 4,240,801 | |
12,911 | | SK Energy | | 2,804,637 | |
| | | | 57,949,950 | |
| | Taiwan — 11.4% | | | |
214,550 | | Asustek Computer | | 1,930,725 | |
439,150 | | Cathay Financial Holding | | 732,172 | |
61,373 | | Cathay Financial Holding GDR | | 1,024,315 | |
377,332 | | China Steel | | 465,907 | |
27,994 | | China Steel GDR | | 692,068 | |
3,975,440 | | Chinatrust Financial Holding | | 3,639,878 | |
51,040 | | Chunghwa Telecom ADR | | 1,610,312 | |
1,018,880 | | Far Eastern New Century | | 1,599,219 | |
613,400 | | HON HAI Precision Industry | | 2,321,378 | |
270,495 | | HON HAI Precision Industry GDR | | 2,066,582 | |
59,000 | | HTC | | 2,675,270 | |
872,000 | | Nan Ya Plastics | | 2,670,443 | |
1,918,337 | | Taiwan Cement | | 2,806,914 | |
322,000 | | Taiwan Mobile (1) | | 829,990 | |
2,086,139 | | Taiwan Semiconductor Manufacturing | | 5,326,312 | |
230,484 | | Taiwan Semiconductor Manufacturing ADR | | 3,111,534 | |
878,000 | | WPG Holdings | | 1,620,028 | |
| | | | 35,123,047 | |
| | Thailand — 5.1% | | | |
584,400 | | Bangkok Bank | | 3,327,127 | |
5,750 | | Banpu | | 143,654 | |
65,550 | | Banpu NVDR | | 1,637,652 | |
414,400 | | CP ALL | | 600,228 | |
810,600 | | Kasikornbank NVDR | | 3,434,055 | |
391,000 | | PTT | | 4,910,415 | |
605,100 | | Thai Oil | | 1,712,356 | |
| | | | 15,765,487 | |
| | Turkey — 3.5% | | | |
71,958 | | Anadolu Efes Biracilik Ve Malt Sanayii | | 1,107,410 | |
236,292 | | TAV Havalimanlari Holding (1) | | 1,193,504 | |
36,114 | | Tupras Turkiye Petrol Rafinerileri | | 1,173,319 | |
255,460 | | Turk Telekomunikasyon | | 1,330,643 | |
594,038 | | Turkiye Garanti Bankasi | | 3,078,606 | |
208,263 | | Turkiye Halk Bankasi | | 1,801,157 | |
The accompanying notes are an integral part of the financial statements.
43
Shares | | | | Value $ | |
| | | | | |
282,665 | | Turkiye Is Bankasi Class C | | 1,000,156 | |
| | | | 10,684,795 | |
| | TOTAL COMMON STOCK
(Cost $239,380,878) | | 289,843,878 | |
| | | | | |
| | PREFERRED STOCK — 3.4% | | | |
| | Brazil — 3.4% | | | |
1,391 | | Itau Unibanco Holding | | 32,498 | |
134,439 | | Petroleo Brasileiro ADR | | 4,486,229 | |
69,400 | | Ultrapar Participacoes | | 1,213,287 | |
161,000 | | Vale ADR | | 4,813,900 | |
500 | | Vale Class A | | 14,657 | |
| | TOTAL PREFERRED STOCK
(Cost $9,555,712) | | 10,560,571 | |
| | | | | |
| | EQUITY-LINKED WARRANTS (1) (3) (4) — 1.9% | | | |
| | Russia — 1.9% | | | |
220,420 | | Sberbank Savings Bank of the Russian Federation, Expires 11/15/12 | | 805,613 | |
1,403,875 | | Sberbank Savings Bank of the Russian Federation, Expires 02/28/18 | | 5,124,144 | |
| | TOTAL EQUITY-LINKED WARRANTS
(Cost $3,728,076) | | 5,929,757 | |
| | | | | |
| | SHORT-TERM INVESTMENT (5) — 0.5% | | | |
1,595,999 | | JPMorgan Prime Money Market Fund, 0.030%
(Cost $1,595,999) | | 1,595,999 | |
| | | | | |
| | TOTAL INVESTMENTS — 99.8%
(Cost $254,260,665) | | 307,930,205 | |
| | | | | |
| | OTHER ASSETS LESS LIABILITIES — 0.2% | | 732,225 | |
| | | | | |
| | NET ASSETS — 100% | | $ | 308,662,430 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | Security is fair valued. (See Note 2 in Notes to Financial Statements.) |
(3) | Securities are not readily marketable. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On April 30, 2011, the value of these securities amounted to $7,286,849, representing 2.4% of the net assets of the Fund. |
(5) | The rate shown represents the 7-day current yield as of April 30, 2011. |
ADR — American Depositary Receipt
GDR — Global Depositary Receipt
NVDR — Non Voting Depository Receipt
The accompanying notes are an integral part of the financial statements.
44
Schedule of Investments (concluded)
The following is a summary of the inputs used as of April 30, 2011 in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Common Stock | | | | | | | | | |
Brazil | | $ | 37,278,946 | | $ | — | | $ | — | | $ | 37,278,946 | |
China | | 38,163,095 | | — | | — | | 38,163,095 | |
Czech Republic | | 1,226,107 | | — | | — | | 1,226,107 | |
Egypt | | — | | 385,889 | | — | | 385,889 | |
Hong Kong | | 25,506,179 | | — | | — | | 25,506,179 | |
Hungary | | 7,117,849 | | — | | — | | 7,117,849 | |
India | | 6,873,435 | | — | | — | | 6,873,435 | |
Mexico | | 2,747,308 | | — | | — | | 2,747,308 | |
Peru | | 1,625,839 | | — | | — | | 1,625,839 | |
Poland | | 5,280,041 | | — | | — | | 5,280,041 | |
Qatar | | — | | 1,762,544 | | — | | 1,762,544 | |
Russia | | 26,588,836 | | — | | — | | 26,588,836 | |
South Africa | | 15,764,531 | | — | | — | | 15,764,531 | |
South Korea | | 57,949,950 | | — | | — | | 57,949,950 | |
Taiwan | | 35,123,047 | | — | | — | | 35,123,047 | |
Thailand | | 15,765,487 | | — | | — | | 15,765,487 | |
Turkey | | 10,684,795 | | — | | — | | 10,684,795 | |
| | 287,695,445 | | 2,148,433 | | — | | 289,843,878 | |
Preferred Stock | | | | | | | | | |
Brazil | | 10,560,571 | | — | | — | | 10,560,571 | |
Equity-Linked Warrants | | | | | | | | | |
Russia | | — | | 5,929,757 | | — | | 5,929,757 | |
| | | | | | | | | |
Short-Term Investment | | 1,595,999 | | — | | — | | 1,595,999 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 299,852,015 | | $ | 8,078,190 | | $ | — | | $ | 307,930,205 | |
Of the Level 2 investments presented above, some equity investments were considered Level 1 investments at the beginning of the fiscal year. The primary reason for changes in the classifications between Levels 2 and 1 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded. The Fund’s foreign equity securities may be valued at fair value. Please see Note 2 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
45
Schroder U.S. Opportunities Fund
Schedule of Investments
April 30, 2011 (unaudited)
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK —87.4% | | | |
| | Auto & Transportation — 0.7% | | | |
10,000 | | Atlas Air Worldwide Holdings (1) | | 689,100 | |
8,800 | | BorgWarner (1) | | 679,712 | |
| | | | 1,368,812 | |
| | Consumer Discretionary — 16.1% | | | |
115,400 | | Ambassadors Group | | 1,163,232 | |
20,700 | | American Greetings | | 509,220 | |
50,200 | | Arbitron | | 1,941,736 | |
39,900 | | Bally Technologies (1) | | 1,555,701 | |
10,700 | | Capella Education (1) | | 530,720 | |
18,600 | | Children’s Place (1) | | 988,962 | |
20,200 | | Citi Trends (1) | | 449,652 | |
98,600 | | Clear Channel Outdoor Holdings Class A (1) | | 1,356,736 | |
56,400 | | Collective Brands (1) | | 1,184,400 | |
24,900 | | DreamWorks Animation SKG (1) | | 659,601 | |
34,500 | | Harman International Industries | | 1,674,285 | |
60,900 | | Healthcare Services Group | | 1,081,584 | |
11,100 | | Home Inns & Hotels Management ADR (1) (2) | | 479,853 | |
64,700 | | IESI-BFC (3) | | 1,639,498 | |
28,100 | | Jarden | | 1,022,559 | |
14,200 | | Lamar Advertising Class A (1) | | 461,784 | |
15,600 | | Life Time Fitness (1) | | 610,272 | |
34,500 | | Lithia Motors | | 627,555 | |
54,200 | | LKQ (1) | | 1,366,924 | |
16,000 | | Matthews International | | 642,240 | |
64,700 | | Men’s Wearhouse | | 1,804,483 | |
14,200 | | Meredith | | 474,564 | |
59,100 | | Monster Worldwide (1) | | 969,831 | |
87,200 | | Pinnacle Entertainment (1) | | 1,210,336 | |
66,400 | | Rent-A-Center | | 2,021,880 | |
58,400 | | Scientific Games Class A (1) | | 614,368 | |
75,734 | | Standard Parking (1) | | 1,324,588 | |
15,600 | | Valassis Communications (1) | | 449,748 | |
34,500 | | Volcom | | 680,685 | |
42,000 | | Waste Connections | | 1,292,340 | |
101,700 | | Wendy’s | | 490,194 | |
| | | | 31,279,531 | |
| | Consumer Staples — 1.7% | | | |
8,500 | | Diamond Foods | | 557,600 | |
47,400 | | Nash Finch | | 1,764,228 | |
21,200 | | Sanderson Farms | | 1,009,120 | |
| | | | 3,330,948 | |
| | Financial Services — 13.7% | | | |
25,400 | | Altisource Portfolio Solutions (1) | | 824,992 | |
68,600 | | Apollo Global Management LLC (1) | | 1,240,288 | |
12,500 | | Bank of Hawaii | | 609,875 | |
32,800 | | Brown & Brown | | 847,880 | |
9,500 | | Cash America International | | 450,775 | |
46,100 | | Colonial Properties Trust REIT | | 975,476 | |
92,920 | | CVB Financial | | 905,041 | |
27,700 | | Employers Holdings | | 558,432 | |
31,100 | | Genpact (1) | | 500,399 | |
42,700 | | Home Properties | | 2,707,180 | |
17,300 | | Iberiabank | | 1,038,173 | |
8,100 | | Infinity Property & Casualty | | 478,710 | |
13,600 | | Investors REIT | | 127,976 | |
80,100 | | Knight Capital Group (1) | | 1,098,972 | |
32,100 | | Lazard LP Class A | | 1,316,100 | |
23,300 | | MB Financial | | 482,077 | |
176,300 | | Ocwen Financial (1) | | 2,110,311 | |
66,600 | | Old National Bancorp | | 689,310 | |
51,100 | | Pebblebrook Hotel Trust REIT | | 1,096,095 | |
19,700 | | Primerica (1) | | 455,464 | |
64,400 | | Redwood Trust REIT | | 1,019,452 | |
23,200 | | Reinsurance Group of America | | 1,468,560 | |
11,300 | | RLI | | 669,412 | |
20,766 | | Sabra Healthcare REIT | | 349,284 | |
31,900 | | Simmons First National | | 841,841 | |
9,700 | | StanCorp Financial Group | | 418,070 | |
24,300 | | SVB Financial Group (1) | | 1,468,692 | |
29,900 | | Texas Capital Bancshares (1) | | 771,420 | |
24,500 | | Westamerica Bancorporation | | 1,244,355 | |
| | | | 26,764,612 | |
| | Health Care — 13.5% | | | |
13,600 | | Amedisys (1) | | 453,152 | |
26,500 | | AMERIGROUP (1) | | 1,809,950 | |
31,800 | | Brookdale Senior Living (1) | | 866,232 | |
52,100 | | Centene (1) | | 1,887,583 | |
26,100 | | Cepheid (1) | | 843,291 | |
33,900 | | Cooper | | 2,539,110 | |
16,600 | | Emergency Medical Services (1) | | 1,059,080 | |
11,300 | | Fluidigm (1) | | 187,015 | |
26,400 | | Haemonetics (1) | | 1,853,280 | |
5,900 | | HMS Holdings (1) | | 464,389 | |
22,200 | | IPC The Hospitalist (1) | | 1,151,292 | |
250,000 | | Lexicon Pharmaceuticals (1) | | 420,000 | |
56,600 | | Masimo | | 1,969,114 | |
13,500 | | Medicis Pharmaceutical Class A | | 478,710 | |
19,300 | | Onyx Pharmaceuticals (1) | | 725,101 | |
5,600 | | Orthofix International (1) | | 190,792 | |
44,000 | | Parexel International (1) | | 1,221,440 | |
35,500 | | RehabCare Group (1) | | 1,333,735 | |
23,200 | | Salix Pharmaceuticals (1) | | 911,528 | |
55,100 | | Seattle Genetics (1) | | 915,211 | |
13,600 | | Sirona Dental Systems (1) | | 776,152 | |
35,900 | | Team Health Holdings (1) | | 713,692 | |
The accompanying notes are an integral part of the financial statements.
46
Shares | | | | Value $ | |
| | | | | |
8,600 | | Techne | | 668,306 | |
18,900 | | VCA Antech (1) | | 464,940 | |
21,100 | | Volcano (1) | | 562,526 | |
38,700 | | West Pharmaceutical Services | | 1,828,188 | |
| | | | 26,293,809 | |
| | Materials & Processing — 7.3% | | | |
41,500 | | AMCOL International | | 1,544,630 | |
44,400 | | Cabot | | 1,991,340 | |
14,500 | | Cytec Industries | | 850,860 | |
49,500 | | Graham Packaging (1) | | 1,138,500 | |
36,600 | | Innophos Holdings | | 1,696,044 | |
67,300 | | Jaguar Mining (1) | | 376,207 | |
15,500 | | Kaiser Aluminum | | 776,705 | |
106,600 | | KapStone Paper and Packaging (1) | | 1,852,708 | |
45,000 | | Olin | | 1,158,300 | |
73,100 | | Stillwater Mining (1) | | 1,667,411 | |
200,300 | | Taseko Mines (1) | | 1,057,107 | |
| | | | 14,109,812 | |
| | Other Energy — 6.1% | | | |
25,200 | | Approach Resources (1) | | 741,888 | |
40,000 | | Carrizo Oil & Gas (1) | | 1,593,600 | |
151,900 | | Helix Energy Solutions Group (1) | | 2,875,467 | |
50,400 | | Penn Virginia | | 779,184 | |
291,600 | | Ram Power (1) (3) | | 215,772 | |
28,700 | | SM Energy | | 2,177,182 | |
57,500 | | STR Holdings (1) | | 947,025 | |
64,400 | | Superior Energy Services (1) | | 2,474,248 | |
| | | | 11,804,366 | |
| | Producer Durables — 11.0% | | | |
10,100 | | Allegiant Travel | | 453,187 | |
33,400 | | Applied Industrial Technologies | | 1,177,684 | |
20,400 | | Columbus McKinnon (1) | | 408,000 | |
54,900 | | Compass Diversified Holdings | | 920,124 | |
53,800 | | Dycom Industries (1) | | 799,468 | |
42,000 | | EnPro Industries (1) | | 1,683,360 | |
27,000 | | FEI (1) | | 876,420 | |
47,300 | | Forrester Research | | 1,868,823 | |
39,200 | | FTI Consulting (1) | | 1,564,080 | |
7,800 | | Genesee & Wyoming (1) | | 483,444 | |
83,500 | | GrafTech International (1) | | 1,937,200 | |
164,700 | | Hawaiian Holdings (1) | | 963,495 | |
28,350 | | IDEX | | 1,330,182 | |
34,500 | | Kratos Defense & Security Solutions (1) | | 471,615 | |
18,000 | | Michael Baker (1) | | 443,520 | |
45,800 | | Orion Marine Group (1) | | 473,114 | |
84,000 | | Power-One (1) | | 693,840 | |
25,300 | | Rofin-Sinar Technologies (1) | | 1,095,743 | |
24,800 | | Shaw Group (1) | | 964,720 | |
29,163 | | Stantec (1) (3) | | 919,282 | |
15,700 | | Towers Watson | | 900,552 | |
79,800 | | Wabash National (1) | | 880,194 | |
| | | | 21,308,047 | |
| | Technology — 13.7% | | | |
30,700 | | AboveNet | | 2,049,225 | |
43,400 | | Aeroflex Holding (1) | | 768,180 | |
105,000 | | Anadigics (1) | | 410,550 | |
37,300 | | Ariba (1) | | 1,296,921 | |
93,900 | | Atmel (1) | | 1,436,670 | |
136,600 | | Cadence Design Systems (1) | | 1,417,908 | |
62,500 | | comScore (1) | | 1,863,125 | |
48,200 | | Digital River (1) | | 1,568,428 | |
67,100 | | EXFO (1) | | 631,411 | |
11,000 | | Gartner (1) | | 472,010 | |
9,100 | | Informatica (1) | | 509,691 | |
213,700 | | Integrated Device Technology (1) | | 1,738,449 | |
64,500 | | Kenexa (1) | | 1,897,590 | |
55,300 | | Methode Electronics | | 683,508 | |
129,900 | | Mitel Networks (1) | | 687,171 | |
76,500 | | Netscout Systems (1) | | 1,957,635 | |
104,760 | | Parametric Technology (1) | | 2,542,525 | |
10,150 | | Progress Software (1) | | 300,948 | |
43,100 | | QLogic (1) | | 774,938 | |
21,500 | | Scansource (1) | | 769,055 | |
53,400 | | Standard Microsystems (1) | | 1,449,810 | |
38,747 | | TNS (1) | | 636,613 | |
33,400 | | Websense (1) | | 861,386 | |
| | | | 26,723,747 | |
| | Utilities — 3.6% | | | |
66,500 | | Cleco | | 2,334,150 | |
48,400 | | NorthWestern | | 1,575,420 | |
122,000 | | Pike Electric (1) | | 1,239,520 | |
51,800 | | Unisource Energy | | 1,923,334 | |
| | | | 7,072,424 | |
| | TOTAL COMMON STOCK
(Cost $128,035,127) | | 170,056,108 | |
| | | | | |
| | INVESTMENT COMPANY — 2.0% | | | |
45,400 | | iShares Russell 2000 Index Fund
(Cost $3,862,258) | | 3,921,198 | |
The accompanying notes are an integral part of the financial statements.
47
Shares | | | | Value $ | |
| | | | | |
| | SHORT-TERM INVESTMENT (4) — 10.7% | | | |
20,863,632 | | JPMorgan Prime Money Market Fund, 0.030%
(Cost $20,863,632) | | 20,863,632 | |
| | | | | |
| | TOTAL INVESTMENTS — 100.1%
(Cost $152,761,017) | | 194,840,938 | |
| | | | | |
| | OTHER LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | | (174,853 | ) |
| | | | | |
| | NET ASSETS — 100% | | $ | 194,666,085 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | China-domiciled company. |
(3) | Canada-domiciled company. |
(4) | The rate shown represents the 7-day current yield as of April 30, 2011. |
ADR — American Depositary Receipt
LLC — limited Liability Company
LP — Limited Partnership
REIT — Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
48
Schedule of Investments (concluded)
The following is a summary of the inputs used as of April 30, 2011 in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Common Stock | | | | | | | | | |
Auto & Transportation | | $ | 1,368,812 | | $ | — | | $ | — | | $ | 1,368,812 | |
Consumer Discretionary | | 31,279,531 | | — | | — | | 31,279,531 | |
Consumer Staples | | 3,330,948 | | — | | — | | 3,330,948 | |
Financial Services | | 26,764,612 | | — | | — | | 26,764,612 | |
Health Care | | 26,293,809 | | — | | — | | 26,293,809 | |
Materials & Processing | | 14,109,812 | | — | | — | | 14,109,812 | |
Other Energy | | 11,804,366 | | — | | — | | 11,804,366 | |
Producer Durables | | 21,308,047 | | — | | — | | 21,308,047 | |
Technology | | 26,723,747 | | — | | — | | 26,723,747 | |
Utilities | | 7,072,424 | | — | | — | | 7,072,424 | |
| | 170,056,108 | | — | | — | | 170,056,108 | |
| | | | | | | | | |
Investment Company | | 3,921,198 | | — | | — | | 3,921,198 | |
| | | | | | | | | |
Short-Term Investment | | 20,863,632 | | — | | — | | 20,863,632 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 194,840,938 | | $ | — | | $ | — | | $ | 194,840,938 | |
There were no significant transfers between the levels during the reporting period, based on the input levels assigned under the hierarchy at the beginning and end of the reporting period.
The accompanying notes are an integral part of the financial statements.
49
Schroder U.S. Small and Mid Cap Opportunities Fund
Schedule of Investments
April 30, 2011 (unaudited)
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK —85.2% | | | |
| | Auto & Transportation — 1.4% | | | |
16,800 | | Kansas City Southern (1) | | 976,248 | |
27,500 | | Ryder System | | 1,471,250 | |
20,400 | | Wabtec | | 1,456,152 | |
| | | | 3,903,650 | |
| | Consumer Discretionary — 14.6% | | | |
17,300 | | Autoliv | | 1,386,249 | |
49,600 | | Bally Technologies (1) | | 1,933,904 | |
43,700 | | Carter’s (1) | | 1,351,204 | |
16,000 | | Children’s Place (1) | | 850,720 | |
63,200 | | DeVry | | 3,343,280 | |
41,400 | | Dick’s Sporting Goods (1) | | 1,694,502 | |
48,000 | | DreamWorks Animation SKG (1) | | 1,271,520 | |
55,100 | | Harman International Industries | | 2,674,003 | |
11,300 | | Home Inns & Hotels Management ADR (1) (2) | | 488,499 | |
85,900 | | Interpublic Group of Cos. | | 1,009,325 | |
16,900 | | Lamar Advertising Class A (1) | | 549,588 | |
12,400 | | Liberty Media - Starz, Ser A (1) | | 952,940 | |
48,900 | | Life Time Fitness (1) | | 1,912,968 | |
56,000 | | Men’s Wearhouse | | 1,561,840 | |
51,100 | | Monster Worldwide (1) | | 838,551 | |
73,700 | | Penske Automotive Group (1) | | 1,656,776 | |
68,900 | | Rent-A-Center | | 2,098,005 | |
136,300 | | Republic Services | | 4,309,806 | |
38,600 | | Ross Stores | | 2,844,434 | |
105,800 | | Scientific Games Class A (1) | | 1,113,016 | |
26,300 | | Snap-On | | 1,624,551 | |
23,900 | | Valassis Communications (1) | | 689,037 | |
134,000 | | VeriSign | | 4,952,640 | |
38,200 | | Waste Connections | | 1,175,414 | |
| | | | 42,282,772 | |
| | Consumer Staples — 1.1% | | | |
200,400 | | Dean Foods (1) | | 2,242,476 | |
13,000 | | JM Smucker | | 975,910 | |
| | | | 3,218,386 | |
| | Financial Services — 12.5% | | | |
26,700 | | Bank of Hawaii | | 1,302,693 | |
86,000 | | Comerica | | 3,261,980 | |
33,500 | | Cullen/Frost Bankers | | 1,984,540 | |
28,000 | | Digital Realty Trust REIT | | 1,689,520 | |
124,100 | | HCC Insurance Holdings | | 4,038,214 | |
20,900 | | Health Care REIT | | 1,123,793 | |
71,000 | | Invesco Mortgage Capital | | 1,614,540 | |
90,200 | | KKR | | 1,710,192 | |
20,000 | | LaSalle Hotel Properties REIT | | 562,800 | |
74,600 | | Lazard LP Class A | | 3,058,600 | |
35,700 | | PartnerRe | | 2,868,852 | |
253,000 | | People’s United Financial | | 3,463,570 | |
41,200 | | Reinsurance Group of America | | 2,607,960 | |
57,600 | | Tanger Factory Outlet Centers REIT | | 1,591,488 | |
19,200 | | UMB Financial | | 808,512 | |
51,100 | | Willis Group Holdings | | 2,111,452 | |
78,900 | | WR Berkley | | 2,572,929 | |
| | | | 36,371,635 | |
| | Health Care — 13.9% | | | |
32,600 | | AMERIGROUP (1) | | 2,226,580 | |
80,200 | | Brookdale Senior Living (1) | | 2,184,648 | |
76,000 | | CareFusion (1) | | 2,232,120 | |
43,500 | | Centene (1) | | 1,576,005 | |
32,100 | | DaVita (1) | | 2,827,689 | |
108,800 | | DENTSPLY International | | 4,084,352 | |
14,700 | | Emdeon Class A (1) | | 230,202 | |
44,500 | | Emergency Medical Services (1) | | 2,839,100 | |
10,975 | | Furiex Pharmaceuticals (1) | | 162,759 | |
27,200 | | Hospira (1) | | 1,543,056 | |
24,100 | | Human Genome Sciences (1) | | 710,227 | |
58,800 | | Life Technologies (1) | | 3,245,760 | |
20,500 | | LifePoint Hospitals (1) | | 853,005 | |
76,600 | | Masimo | | 2,664,914 | |
32,000 | | Nektar Therapeutics (1) | | 332,160 | |
14,400 | | NuVasive (1) | | 444,816 | |
17,800 | | Onyx Pharmaceuticals (1) | | 668,746 | |
169,500 | | Pharmaceutical Product Development | | 5,229,075 | |
28,400 | | Salix Pharmaceuticals (1) | | 1,115,836 | |
12,500 | | Sirona Dental Systems (1) | | 713,375 | |
52,400 | | Universal Health Services Class B | | 2,870,472 | |
33,500 | | West Pharmaceutical Services | | 1,582,540 | |
| | | | 40,337,437 | |
| | Materials & Processing — 9.3% | | | |
76,200 | | Airgas | | 5,292,090 | |
58,300 | | Cabot | | 2,614,755 | |
17,500 | | Cabot Microelectronics (1) | | 854,875 | |
114,900 | | Crown Holdings (1) | | 4,297,260 | |
29,600 | | Cytec Industries | | 1,736,928 | |
47,000 | | Reliance Steel & Aluminum | | 2,660,670 | |
37,000 | | Rock-Tenn Class A | | 2,555,590 | |
16,400 | | Royal Gold | | 1,000,072 | |
76,100 | | Silgan Holdings | | 3,489,946 | |
37,588 | | Sino-Forest (1) (3) | | 934,137 | |
129,170 | | Yamana Gold | | 1,641,751 | |
| | | | 27,078,074 | |
| | Other Energy — 2.9% | | | |
16,300 | | Cimarex Energy | | 1,802,617 | |
18,600 | | Concho Resources (1) | | 1,987,410 | |
The accompanying notes are an integral part of the financial statements.
50
Shares | | | | Value $ | |
| | | | | |
59,500 | | SM Energy | | 4,513,670 | |
| | | | 8,303,697 | |
| | Producer Durables — 8.4% | | | |
61,500 | | Aecom Technology (1) | | 1,676,490 | |
71,900 | | Applied Industrial Technologies | | 2,535,194 | |
29,200 | | Dover | | 1,986,768 | |
51,150 | | IDEX | | 2,399,958 | |
33,000 | | Itron (1) | | 1,796,190 | |
42,700 | | Kennametal | | 1,802,794 | |
19,800 | | Manpower | | 1,311,750 | |
45,100 | | PHH (1) | | 967,846 | |
35,000 | | Quanta Services (1) | | 758,800 | |
95,100 | | Shaw Group (1) | | 3,699,390 | |
113,900 | | Steelcase | | 1,315,545 | |
127,200 | | Verisk Analytics Class A (1) | | 4,184,880 | |
| | | | 24,435,605 | |
| | Technology — 14.2% | | | |
1,400 | | AboveNet | | 93,450 | |
118,100 | | Amdocs (1) | | 3,631,575 | |
68,800 | | Arrow Electronics (1) | | 3,136,592 | |
148,100 | | Atmel (1) | | 2,265,930 | |
19,600 | | Avnet (1) | | 711,872 | |
129,700 | | Brocade Communications Systems (1) | | 810,625 | |
10,500 | | Citrix Systems (1) | | 885,570 | |
67,000 | | Digital River (1) | | 2,180,180 | |
40,300 | | Gartner (1) | | 1,729,273 | |
308,700 | | Integrated Device Technology (1) | | 2,511,275 | |
9,900 | | ITT | | 572,121 | |
81,700 | | Molex | | 2,205,900 | |
236,100 | | National Semiconductor | | 5,694,732 | |
223,500 | | Parametric Technology (1) | | 5,424,345 | |
97,900 | | PMC - Sierra (1) | | 785,158 | |
56,500 | | QLogic (1) | | 1,015,870 | |
11,154 | | Rovi (1) | | 541,638 | |
54,300 | | SAIC (1) | | 944,820 | |
45,800 | | SBA Communications (1) | | 1,769,254 | |
83,600 | | Synopsys (1) | | 2,289,804 | |
38,000 | | TIBCO Software (1) | | 1,139,620 | |
16,800 | | VeriFone Systems (1) | | 920,976 | |
| | | | 41,260,580 | |
| | Telecommunication Services — 1.0% | | | |
59,700 | | NII Holdings (1) | | 2,482,326 | |
18,100 | | tw telecom (1) | | 389,874 | |
| | | | 2,872,200 | |
| | Utilities — 5.9% | | | |
79,700 | | Cleco | | 2,797,470 | |
109,300 | | Energen | | 7,105,593 | |
98,300 | | NeuStar Class A (1) | | 2,643,287 | |
64,600 | | Northeast Utilities | | 2,299,760 | |
59,200 | | Portland General Electric | | 1,477,632 | |
28,000 | | Southern Union | | 837,200 | |
| | | | 17,160,942 | |
| | TOTAL COMMON STOCK
(Cost $213,236,156) | | 247,224,978 | |
| | | | | |
| | INVESTMENT COMPANIES — 2.3% | | | |
25,800 | | iShares Russell 2000 Index Fund | | 2,228,346 | |
39,500 | | iShares Russell Midcap Index Fund | | 4,433,480 | |
| | TOTAL INVESTMENT COMPANIES
(Cost $5,654,632) | | 6,661,826 | |
| | | | | |
| | SHORT-TERM INVESTMENT (4) — 12.2% | | | |
35,435,113 | | JPMorgan Prime Money Market Fund, 0.030%
(Cost $35,435,113) | | 35,435,113 | |
| | | | | |
| | TOTAL INVESTMENTS — 99.7%
(Cost $254,325,901) | | 289,321,917 | |
| | | | | |
| | OTHER ASSETS LESS LIABILITIES — 0.3% | | 888,824 | |
| | | | | |
| | NET ASSETS — 100% | | $ | 290,210,741 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | China-domiciled company. |
(3) | Canada-domiciled company. |
(4) | The rate shown represents the 7-day current yield as of April 30, 2011. |
ADR — American Depositary Receipt
LP — Limited Partnership
REIT — Real Estate Investment Trust
Ser — Series
The accompanying notes are an integral part of the financial statements.
51
Schedule of Investments (concluded)
The following is a summary of the inputs used as of April 30, 2011 in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Common Stock | | | | | | | | | |
Auto & Transportation | | $ | 3,903,650 | | $ | — | | $ | — | | $ | 3,903,650 | |
Consumer Discretionary | | 42,282,772 | | — | | — | | 42,282,772 | |
Consumer Staples | | 3,218,386 | | — | | — | | 3,218,386 | |
Financial Services | | 36,371,635 | | — | | — | | 36,371,635 | |
Health Care | | 40,337,437 | | — | | — | | 40,337,437 | |
Materials & Processing | | 27,078,074 | | — | | — | | 27,078,074 | |
Other Energy | | 8,303,697 | | — | | — | | 8,303,697 | |
Producer Durables | | 24,435,605 | | — | | — | | 24,435,605 | |
Technology | | 41,260,580 | | — | | — | | 41,260,580 | |
Telecommunication Services | | 2,872,200 | | — | | — | | 2,872,200 | |
Utilities | | 17,160,942 | | — | | — | | 17,160,942 | |
| | 247,224,978 | | — | | — | | 247,224,978 | |
| | | | | | | | | |
Investment Companies | | 6,661,826 | | — | | — | | 6,661,826 | |
| | | | | | | | | |
Short-Term Investment | | 35,435,113 | | — | | — | | 35,435,113 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 289,321,917 | | $ | — | | $ | — | | $ | 289,321,917 | |
There were no significant transfers between the levels during the reporting period, based on the input levels assigned under the hierarchy at the beginning and end of the reporting period.
The accompanying notes are an integral part of the financial statements.
52
Schroder North American Equity Fund
Schedule of Investments
April 30, 2011 (unaudited)
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 94.2% | | | |
| | Bahamas — 0.1% | | | |
5,400 | | Steiner Leisure (1) | | 262,116 | |
| | | | | |
| | Bermuda — 0.7% | | | |
8,852 | | Accenture | | 505,715 | |
5,200 | | Arch Capital Group (1) | | 540,800 | |
4,400 | | Argo Group International Holdings | | 138,204 | |
11,200 | | Aspen Insurance Holdings | | 319,984 | |
25,900 | | Assured Guaranty | | 440,300 | |
14,700 | | Axis Capital Holdings | | 519,792 | |
8,700 | | Endurance Specialty Holdings | | 385,758 | |
12,100 | | Montpelier Re Holdings | | 218,889 | |
1,900 | | PartnerRe | | 152,684 | |
3,200 | | SeaCube Container Leasing | | 51,936 | |
4,800 | | Textainer Group Holdings | | 170,208 | |
12,500 | | Xyratex (1) | | 127,625 | |
| | | | 3,571,895 | |
| | Canada — 2.7% | | | |
1,600 | | AG Growth International | | 82,503 | |
1,100 | | Agrium | | 99,721 | |
7,800 | | Air Canada (1) | | 19,047 | |
7,900 | | AltaGas Income Trust | | 211,947 | |
14,600 | | ARC Resources | | 394,169 | |
3,100 | | Atco Class I | | 190,883 | |
8,100 | | Baytex Energy Trust (Canada) | | 500,299 | |
20,700 | | Bird Construction | | 269,800 | |
5,596 | | Canadian Natural Resources | | 263,296 | |
21,100 | | Canadian Oil Sands Trust | | 728,017 | |
6,200 | | Canadian Western Bank | | 198,649 | |
9,900 | | Cenovus Energy | | 380,721 | |
13,700 | | CI Financial | | 335,404 | |
2,500 | | Crescent Point Energy | | 113,531 | |
10,200 | | Davis & Henderson Income | | 206,264 | |
19,600 | | Daylight Energy | | 225,006 | |
5,100 | | Domtar | | 474,402 | |
1,200 | | Empire Class A | | 68,118 | |
6,200 | | EnCana | | 208,349 | |
9,700 | | Flint Energy Services (1) | | 147,551 | |
12,700 | | Freehold Royalty Trust | | 300,719 | |
9,900 | | Great-West Lifeco | | 285,174 | |
14,700 | | IGM Financial | | 756,289 | |
5,900 | | Industrial Alliance Insurance and Financial Services | | 253,588 | |
3,100 | | Keyera Facilities Income Fund | | 128,588 | |
700 | | Laurentian Bank of Canada | | 37,198 | |
7,900 | | Migao (1) | | 57,455 | |
1,500 | | Mosaid Technologies | | 47,711 | |
3,100 | | National Bank of Canada | | 256,717 | |
3,300 | | North West | | 69,000 | |
6,800 | | Open Text (1) | | 416,626 | |
2,400 | | Pason Systems | | 39,323 | |
12,400 | | Petrominerales | | 474,634 | |
14,500 | | Peyto Exploration & Development | | 308,700 | |
1,800 | | PHX Energy Services | | 23,556 | |
24,400 | | Pinetree Capital (1) | | 80,732 | |
20,300 | | Power Corp. of Canada | | 610,931 | |
23,200 | | Power Financial | | 771,780 | |
4,300 | | Primaris Retail REIT | | 94,545 | |
2,200 | | Reitmans Canada Class A | | 40,581 | |
14,596 | | Research In Motion (1) | | 711,131 | |
12,700 | | Rogers Communications Class B | | 480,747 | |
15,600 | | Saputo | | 742,732 | |
3,400 | | Silver Wheaton | | 138,372 | |
11,400 | | Silvercorp Metals | | 155,214 | |
8,600 | | Teck Resources (Canada) Class B | | 467,545 | |
10,500 | | TMX Group | | 450,190 | |
3,200 | | Trican Well Service | | 78,884 | |
4,879 | | Vermilion Energy | | 262,001 | |
1,700 | | Zargon Energy Trust | | 40,487 | |
22,100 | | Zarlink Semiconductor (1) | | 56,768 | |
| | | | 13,755,595 | |
| | Cayman Islands — 0.1% | | | |
6,300 | | Herbalife | | 565,614 | |
| | | | | |
| | China — 0.0% | | | |
10,000 | | China Automotive Systems (1) | | 96,500 | |
11,600 | | China Sky One Medical (1) | | 33,060 | |
| | | | 129,560 | |
| | Hong Kong — 0.0% | | | |
5,200 | | NAM TAI Electronics | | 31,928 | |
| | | | | |
| | Ireland — 0.3% | | | |
5,900 | | Covidien | | 328,571 | |
21,300 | | Seagate Technology | | 375,306 | |
25,300 | | XL Group | | 617,826 | |
| | | | 1,321,703 | |
The accompanying notes are an integral part of the financial statements.
53
Shares | | | | Value $ | |
| | | | | |
| | Puerto Rico — 0.0% | | | |
8,400 | | Triple-S Management (1) | | 175,896 | |
| | | | | |
| | Russia — 0.0% | | | |
5,500 | | CTC Media | | 129,635 | |
| | | | | |
| | Switzerland — 0.7% | | | |
26,000 | | ACE | | 1,748,500 | |
3,000 | | Allied World Assurance Holdings | | 194,910 | |
17,288 | | Garmin | | 591,768 | |
13,800 | | Noble | | 593,538 | |
6,200 | | TE Connectivity | | 222,270 | |
4,600 | | Transocean (1) | | 334,650 | |
| | | | 3,685,636 | |
| | United States — 89.6% | | | |
| | Consumer Discretionary — 9.9% | | | |
22,300 | | Activision Blizzard | | 253,997 | |
8,100 | | Advance Auto Parts | | 530,226 | |
10,606 | | Amazon.com (1) | | 2,084,079 | |
2,500 | | America’s Car-Mart (1) | | 61,200 | |
7,700 | | Autoliv | | 617,001 | |
8,400 | | BJ’s Wholesale Club (1) | | 431,088 | |
11,100 | | Bridgepoint Education (1) | | 194,805 | |
9,900 | | Buckle | | 450,351 | |
14,700 | | Career Education (1) | | 320,607 | |
9,200 | | ChinaCast Education (1) | | 56,212 | |
15,100 | | Coach | | 903,131 | |
6,500 | | Coinstar (1) | | 350,870 | |
86,800 | | Comcast Class A | | 2,277,632 | |
10,900 | | Cooper Tire & Rubber | | 294,082 | |
10,200 | | Copart (1) | | 462,774 | |
13,600 | | Darden Restaurants | | 638,792 | |
1,600 | | Deckers Outdoor (1) | | 135,776 | |
1,600 | | Destination Maternity | | 37,392 | |
9,000 | | DeVry | | 476,100 | |
30,756 | | DIRECTV (1) | | 1,494,434 | |
10,750 | | Dollar Tree (1) | | 618,125 | |
900 | | Dorman Products (1) | | 35,100 | |
20,400 | | Exide Technologies (1) | | 204,816 | |
14,600 | | Express | | 315,214 | |
15,900 | | Family Dollar Stores | | 861,939 | |
85,100 | | Ford Motor (1) | | 1,316,497 | |
2,100 | | Fossil (1) | | 201,138 | |
3,100 | | Gentex | | 97,185 | |
11,300 | | Guess? | | 485,787 | |
14,100 | | Hasbro | | 660,444 | |
44,393 | | Home Depot | | 1,648,756 | |
4,700 | | ITT Educational Services (1) | | 337,131 | |
8,500 | | John Wiley & Sons Class A | | 432,905 | |
3,300 | | Johnson Controls | | 135,300 | |
6,600 | | JOS A Bank Clothiers (1) | | 345,972 | |
31,000 | | Limited Brands | | 1,275,960 | |
27,600 | | Lowe’s | | 724,500 | |
1,200 | | Lululemon Athletica (1) | | 120,036 | |
40,400 | | Mattel | | 1,079,488 | |
48,181 | | McDonald’s | | 3,773,054 | |
46,200 | | News Class A | | 823,284 | |
21,600 | | Nike Class B | | 1,778,112 | |
3,178 | | Nordstrom | | 151,114 | |
8,800 | | NutriSystem | | 132,352 | |
18,423 | | Omnicom Group | | 906,227 | |
7,400 | | Papa John’s International (1) | | 222,444 | |
4,700 | | Polaris Industries | | 495,521 | |
5,778 | | Polo Ralph Lauren | | 755,589 | |
1,500 | | Pre-Paid Legal Services (1) | | 98,925 | |
2,200 | | priceline.com (1) | | 1,203,422 | |
10,600 | | Rent-A-Center | | 322,770 | |
14,126 | | Ross Stores | | 1,040,945 | |
5,600 | | Sherwin-Williams | | 460,824 | |
1,700 | | Shoe Carnival (1) | | 49,759 | |
15,800 | | Starbucks | | 571,802 | |
9,000 | | Superior Industries International | | 227,430 | |
17,900 | | Target | | 878,890 | |
9,600 | | Tiffany | | 666,624 | |
7,700 | | Timberland (1) | | 347,963 | |
32,845 | | Time Warner | | 1,243,512 | |
16,700 | | Time Warner Cable | | 1,304,771 | |
31,898 | | TJX | | 1,710,371 | |
3,500 | | Tractor Supply | | 216,545 | |
8,800 | | TRW Automotive Holdings (1) | | 502,128 | |
8,100 | | Tupperware Brands | | 515,727 | |
26,900 | | United Online | | 177,540 | |
16,600 | | Universal Travel Group (1) (2) (3) | | — | |
38,700 | | Viacom Class B | | 1,979,892 | |
50,272 | | Walt Disney | | 2,166,723 | |
7,000 | | Warnaco Group (1) | | 450,520 | |
9,600 | | Wolverine World Wide | | 380,928 | |
13,500 | | World Wrestling Entertainment, Class A | | 141,885 | |
31,700 | | Yum! Brands | | 1,700,388 | |
| | | | 50,364,823 | |
| | Consumer Staples — 8.5% | | | |
53,200 | | Altria Group | | 1,427,888 | |
3,600 | | Archer-Daniels-Midland | | 133,272 | |
1,900 | | Calavo Growers | | 39,900 | |
11,700 | | China-Biotics (1) | | 114,192 | |
5,700 | | Church & Dwight | | 470,136 | |
The accompanying notes are an integral part of the financial statements.
54
Shares | | | | Value $ | |
| | | | | |
4,700 | | Clorox | | 327,402 | |
102,258 | | Coca-Cola | | 6,898,325 | |
17,091 | | Colgate-Palmolive | | 1,441,626 | |
22,473 | | Costco Wholesale | | 1,818,515 | |
32,217 | | CVS Caremark | | 1,167,544 | |
13,600 | | General Mills | | 524,688 | |
19,865 | | HJ Heinz | | 1,017,684 | |
29,226 | | Hormel Foods | | 859,537 | |
2,337 | | Kellogg | | 133,840 | |
17,700 | | Kimberly-Clark | | 1,169,262 | |
45,600 | | Kraft Foods Class A | | 1,531,248 | |
10,200 | | Kroger | | 247,962 | |
17,112 | | McCormick | | 840,541 | |
2,000 | | National Beverage | | 27,840 | |
65,724 | | PepsiCo | | 4,527,726 | |
77,291 | | Philip Morris International | | 5,367,087 | |
97,811 | | Procter & Gamble | | 6,347,934 | |
7,300 | | Ruddick | | 303,096 | |
1,100 | | Seneca Foods (1) | | 30,756 | |
1,800 | | Susser Holdings (1) | | 24,822 | |
36,341 | | Walgreen | | 1,552,487 | |
84,423 | | Wal-Mart Stores | | 4,641,576 | |
900 | | Weis Markets | | 37,143 | |
12,900 | | Zhongpin (1) | | 215,430 | |
| | | | 43,239,459 | |
| | Energy — 12.1% | | | |
5,300 | | Alliance Resource Partners LP | | 436,508 | |
7,400 | | Anadarko Petroleum | | 584,156 | |
20,000 | | Apache | | 2,667,400 | |
11,200 | | Arch Coal | | 384,160 | |
7,500 | | Atwood Oceanics (1) | | 336,975 | |
4,100 | | Baker Hughes | | 317,381 | |
3,700 | | BP Prudhoe Bay Royalty Trust | | 431,161 | |
1,900 | | Buckeye Partners LP | | 123,614 | |
10,100 | | Chesapeake Energy | | 340,067 | |
82,620 | | Chevron | | 9,041,933 | |
58,859 | | ConocoPhillips | | 4,645,741 | |
15,700 | | Consol Energy | | 849,213 | |
5,000 | | Contango Oil & Gas (1) | | 309,600 | |
2,600 | | Continental Resources (1) | | 178,568 | |
25,100 | | Devon Energy | | 2,284,100 | |
12,300 | | Diamond Offshore Drilling | | 933,201 | |
9,800 | | Enbridge Energy Partners | | 332,220 | |
4,352 | | Ensco International ADR | | 259,466 | |
1,200 | | EOG Resources | | 135,492 | |
182,990 | | Exxon Mobil | | 16,103,120 | |
9,400 | | Forest Oil (1) | | 337,554 | |
2,000 | | Genesis Energy | | 55,840 | |
2,200 | | Gulf Island Fabrication | | 77,748 | |
40,337 | | Halliburton | | 2,036,212 | |
1,900 | | Hess | | 163,324 | |
11,200 | | Hornbeck Offshore Services (1) | | 327,376 | |
9,700 | | James River Coal (1) | | 226,204 | |
13,500 | | Marathon Oil | | 729,540 | |
5,800 | | MarkWest Energy Partners LP | | 295,742 | |
14,220 | | Murphy Oil | | 1,101,766 | |
12,900 | | National Oilwell Varco | | 989,301 | |
13,000 | | Natural Resource Partners LP | | 447,330 | |
6,800 | | Noble Energy | | 654,636 | |
3,700 | | NuStar Energy LP | | 250,897 | |
38,633 | | Occidental Petroleum | | 4,415,365 | |
6,100 | | Oil States International (1) | | 506,361 | |
11,800 | | Peabody Energy | | 788,476 | |
13,540 | | Penn Virginia Resource Partners LP | | 381,287 | |
6,100 | | Rowan (1) | | 254,370 | |
15,500 | | RPC | | 419,275 | |
45,872 | | Schlumberger | | 4,117,012 | |
1,700 | | SEACOR Holdings | | 168,011 | |
3,300 | | Southwestern Energy (1) | | 144,738 | |
3,100 | | Sunoco Logistics Partners LP | | 279,093 | |
7,000 | | TC Pipelines LP | | 338,660 | |
21,200 | | Tetra Technologies (1) | | 313,124 | |
5,600 | | Tidewater | | 333,256 | |
5,400 | | Unit (1) | | 340,308 | |
19,100 | | Vaalco Energy (1) | | 133,127 | |
15,600 | | W&T Offshore | | 418,236 | |
| | | | 61,738,245 | |
| | Financials — 13.6% | | | |
15,500 | | Advance America Cash Advance Centers | | 91,140 | |
4,700 | | Affiliated Managers Group (1) | | 512,676 | |
31,400 | | Aflac | | 1,764,366 | |
28,300 | | Allstate | | 957,672 | |
7,100 | | American Equity Investment Life Holding | | 91,306 | |
29,527 | | American Express | | 1,449,185 | |
13,500 | | American Financial Group | | 482,895 | |
14,300 | | Annaly Capital Management REIT | | 255,112 | |
14,600 | | Anworth Mortgage Asset REIT | | 104,828 | |
2,300 | | Arlington Asset Investment | | 70,150 | |
11,700 | | Assurant | | 464,490 | |
350,350 | | Bank of America | | 4,302,298 | |
2,200 | | Bank of Hawaii | | 107,338 | |
39,100 | | Bank of New York Mellon | | 1,132,336 | |
3,600 | | Bank of the Ozarks | | 160,308 | |
58,300 | | Berkshire Hathaway (1) | | 4,856,390 | |
13,000 | | BGC Partners Class A | | 125,450 | |
13,500 | | Calamos Asset Management | | 219,645 | |
13,500 | | Capital One Financial | | 738,855 | |
The accompanying notes are an integral part of the financial statements.
55
Shares | | | | Value $ | |
| | | | | |
12,600 | | Capstead Mortgage REIT | | 166,824 | |
11,300 | | CB Richard Ellis Group Class A (1) | | 301,823 | |
20,200 | | CBL & Associates Properties REIT | | 375,114 | |
66,800 | | Chimera Investment REIT | | 270,540 | |
2,444 | | Chubb | | 159,324 | |
1,202,522 | | Citigroup (1) | | 5,519,576 | |
5,000 | | City Holding | | 170,500 | |
7,300 | | CNA Financial | | 226,592 | |
43,500 | | CNO Financial Group (1) | | 350,610 | |
7,000 | | CommonWealth REIT | | 191,730 | |
8,100 | | Delphi Financial Group Class A | | 258,795 | |
35,418 | | Discover Financial Services | | 879,783 | |
10,100 | | Duke Realty REIT | | 154,025 | |
11,100 | | Dynex Capital REIT | | 109,668 | |
13,600 | | Euronet Worldwide (1) | | 255,000 | |
9,900 | | Ezcorp (1) | | 311,751 | |
1,600 | | FBL Financial Group | | 48,800 | |
18,000 | | Federated Investors Class B | | 464,040 | |
3,900 | | First Cash Financial Services (1) | | 153,036 | |
14,800 | | First Financial Bancorp | | 243,904 | |
4,800 | | First Financial Holdings | | 52,704 | |
4,300 | | Flushing Financial | | 63,296 | |
5,700 | | Franklin Resources | | 735,984 | |
9,300 | | Getty Realty REIT | | 236,313 | |
21,723 | | Goldman Sachs Group | | 3,280,390 | |
17,300 | | Hartford Financial Services Group | | 501,181 | |
8,600 | | Hatteras Financial REIT | | 244,326 | |
15,600 | | Horace Mann Educators | | 278,928 | |
76,000 | | Huntington Bancshares | | 516,040 | |
300 | | Jones Lang LaSalle | | 30,714 | |
159,763 | | JPMorgan Chase | | 7,289,986 | |
20,000 | | Kimco Realty REIT | | 390,800 | |
7,000 | | Life Partners Holdings | | 49,070 | |
8,100 | | MarketAxess Holdings | | 197,235 | |
8,200 | | Meadowbrook Insurance Group | | 83,968 | |
5,200 | | Mercury General | | 206,648 | |
49,700 | | MetLife | | 2,325,463 | |
91,100 | | Morgan Stanley | | 2,382,265 | |
5,000 | | National Health Investors REIT | | 243,150 | |
5,000 | | NBT Bancorp | | 113,000 | |
3,900 | | Nelnet | | 89,817 | |
15,400 | | Northern Trust | | 769,846 | |
20,500 | | NorthStar Realty Finance REIT | | 103,525 | |
8,000 | | OneBeacon Insurance Group | | 112,400 | |
28,800 | | Paychex | | 942,048 | |
27,400 | | PNC Financial Services Group | | 1,708,116 | |
3,100 | | Portfolio Recovery Associates (1) | | 279,806 | |
24,300 | | Principal Financial Group | | 820,125 | |
22,000 | | Prospect Capital | | 266,420 | |
11,700 | | Protective Life | | 314,847 | |
7,300 | | Provident Financial Services | | 105,996 | |
22,800 | | Prudential Financial | | 1,445,976 | |
5,600 | | Public Storage REIT | | 656,936 | |
6,400 | | Rayonier REIT | | 424,704 | |
18,400 | | Regions Financial | | 135,056 | |
1,600 | | Sandy Spring Bancorp | | 28,592 | |
18,100 | | Selective Insurance Group | | 319,284 | |
12,463 | | Simon Property Group REIT | | 1,427,512 | |
1,260 | | Southside Bancshares | | 27,405 | |
8,000 | | StanCorp Financial Group | | 344,800 | |
2,100 | | State Auto Financial | | 35,658 | |
9,000 | | State Street | | 418,950 | |
14,500 | | T. Rowe Price Group | | 931,625 | |
5,300 | | Torchmark | | 354,676 | |
7,300 | | Transatlantic Holdings | | 359,817 | |
24,681 | | Travelers | | 1,561,814 | |
48,151 | | U.S. Bancorp | | 1,243,259 | |
4,600 | | United Bankshares | | 120,336 | |
2,500 | | United Fire & Casualty | | 49,500 | |
6,300 | | Universal Insurance Holdings | | 34,083 | |
12,300 | | Unum Group | | 325,704 | |
11,000 | | Waddell & Reed Financial Class A | | 451,110 | |
185,272 | | Wells Fargo | | 5,393,268 | |
3,900 | | World Acceptance (1) | | 265,005 | |
| | | | 69,587,352 | |
| | Health Care — 9.9% | | | |
67,933 | | Abbott Laboratories | | 3,535,233 | |
18,913 | | Aetna | | 782,620 | |
6,900 | | Amedisys (1) | | 229,908 | |
13,700 | | AmerisourceBergen | | 556,768 | |
44,826 | | Amgen (1) | | 2,548,358 | |
8,300 | | Amsurg (1) | | 222,938 | |
25,672 | | Baxter International | | 1,460,737 | |
13,300 | | Becton Dickinson | | 1,143,002 | |
14,400 | | Biogen Idec (1) | | 1,401,840 | |
2,100 | | Bio-Rad Laboratories (1) | | 262,752 | |
6,900 | | Bio-Reference Labs (1) | | 173,949 | |
59,771 | | Bristol-Myers Squibb | | 1,679,565 | |
8,100 | | Celgene (1) | | 476,928 | |
3,800 | | Computer Programs & Systems | | 223,402 | |
5,200 | | Continucare (1) | | 27,872 | |
1,200 | | Corvel (1) | | 62,160 | |
8,200 | | CR Bard | | 875,350 | |
2,300 | | DaVita (1) | | 202,607 | |
1,400 | | Dionex (1) | | 165,690 | |
50,261 | | Eli Lilly | | 1,860,160 | |
2,200 | | Emergent Biosolutions (1) | | 51,062 | |
11,124 | | Express Scripts (1) | | 631,176 | |
8,900 | | Five Star Quality Care (1) | | 74,582 | |
The accompanying notes are an integral part of the financial statements.
56
Shares | | | | Value $ | |
| | | | | |
8,700 | | Gentiva Health Services (1) | | 243,600 | |
37,202 | | Gilead Sciences (1) | | 1,444,926 | |
10,200 | | Healthspring (1) | | 423,198 | |
7,000 | | Hi-Tech Pharmacal (1) | | 193,620 | |
1,700 | | Humana | | 129,404 | |
2,400 | | ICU Medical (1) | | 108,264 | |
400 | | Intuitive Surgical (1) | | 139,880 | |
2,900 | | IPC The Hospitalist (1) | | 150,394 | |
113,384 | | Johnson & Johnson | | 7,451,596 | |
10,300 | | Laboratory Corp. of America Holdings (1) | | 993,641 | |
7,100 | | LHC Group (1) | | 210,302 | |
6,700 | | Magellan Health Services (1) | | 348,534 | |
10,200 | | McKesson | | 846,702 | |
7,700 | | Medco Health Solutions (1) | | 456,841 | |
13,100 | | Medicines (1) | | 205,670 | |
53,403 | | Medtronic | | 2,229,575 | |
98,907 | | Merck | | 3,555,707 | |
5,400 | | Metropolitan Health Networks (1) | | 22,788 | |
274,947 | | Pfizer | | 5,762,889 | |
2,200 | | Providence Service (1) | | 32,428 | |
12,200 | | Quest Diagnostics | | 687,836 | |
14,600 | | Sciclone Pharmaceuticals (1) | | 64,386 | |
20,800 | | St. Jude Medical | | 1,111,552 | |
24,799 | | Stryker | | 1,463,141 | |
3,500 | | Techne | | 271,985 | |
4,900 | | Thermo Fisher Scientific (1) | | 293,951 | |
25,600 | | UnitedHealth Group | | 1,260,288 | |
5,200 | | Universal Health Services Class B | | 284,856 | |
2,600 | | US Physical Therapy | | 63,310 | |
7,700 | | Varian Medical Systems (1) | | 540,540 | |
6,308 | | Waters (1) | | 618,184 | |
1,800 | | WellPoint | | 138,222 | |
| | | | 50,396,869 | |
| | Industrials — 10.6% | | | |
29,335 | | 3M | | 2,851,655 | |
43,500 | | Advanced Battery Technologies (1) | | 74,820 | |
3,900 | | Advanced Energy Industries (1) | | 55,185 | |
5,400 | | Alaska Air Group (1) | | 355,698 | |
2,400 | | American Science & Engineering | | 211,440 | |
99,200 | | Applied Materials | | 1,556,448 | |
3,700 | | AZZ | | 161,986 | |
16,100 | | Boeing | | 1,284,458 | |
6,000 | | BorgWarner (1) | | 463,440 | |
15,308 | | Caterpillar | | 1,766,696 | |
7,700 | | CH Robinson Worldwide | | 617,386 | |
4,000 | | Clean Harbors (1) | | 394,000 | |
21,866 | | CSX | | 1,720,636 | |
10,300 | | Cummins | | 1,237,854 | |
5,300 | | Danaher | | 292,772 | |
12,200 | | Deere | | 1,189,500 | |
8,300 | | Dolan (1) | | 97,691 | |
18,500 | | Dover | | 1,258,740 | |
16,500 | | Eaton | | 883,245 | |
15,200 | | Equifax | | 570,456 | |
10,000 | | Expeditors International of Washington | | 542,700 | |
3,800 | | FedEx | | 363,546 | |
6,100 | | Flowserve | | 772,382 | |
29,700 | | Force Protection (1) | | 133,353 | |
15,247 | | General Dynamics | | 1,110,287 | |
379,089 | | General Electric | | 7,752,370 | |
9,200 | | Goodrich | | 813,004 | |
42,491 | | Honeywell International | | 2,601,724 | |
367 | | Huntington Ingalls Industries (1) | | 14,667 | |
33,200 | | Illinois Tool Works | | 1,939,212 | |
4,200 | | Joy Global | | 423,990 | |
11,100 | | Kennametal | | 468,642 | |
19,800 | | Kla-Tencor | | 869,220 | |
10,900 | | Lam Research (1) | | 526,579 | |
2,500 | | Lincoln Electric Holdings | | 196,450 | |
13,500 | | Lockheed Martin | | 1,069,875 | |
13,993 | | Norfolk Southern | | 1,044,997 | |
2,200 | | Northrop Grumman | | 139,942 | |
14,400 | | Parker Hannifin | | 1,358,208 | |
6,900 | | Precision Castparts | | 1,066,188 | |
17,500 | | Rockwell Collins | | 1,104,250 | |
40 | | Seaboard | | 95,480 | |
6,900 | | TAL International Group | | 248,745 | |
8,500 | | Teledyne Technologies (1) | | 429,165 | |
3,400 | | Tennant | | 139,468 | |
10,300 | | Timken | | 580,817 | |
6,800 | | Toro | | 461,788 | |
23,900 | | Union Pacific | | 2,472,933 | |
43,464 | | United Parcel Service Class B | | 3,258,496 | |
45,395 | | United Technologies | | 4,066,484 | |
5,032 | | WW Grainger | | 762,851 | |
| | | | 53,871,919 | |
| | Information Technology — 16.7% | | | |
4,200 | | AboveNet | | 280,350 | |
7,800 | | ACI Worldwide (1) | | 257,712 | |
41,200 | | Adobe Systems (1) | | 1,382,260 | |
8,600 | | Altera | | 418,820 | |
34,700 | | Amkor Technology (1) | | 232,490 | |
25,500 | | Analog Devices | | 1,027,905 | |
1,800 | | Anaren (1) | | 29,862 | |
37,939 | | Apple (1) | | 13,211,498 | |
5,800 | | Automatic Data Processing | | 315,230 | |
6,900 | | BMC Software (1) | | 346,587 | |
7,100 | | Broadcom Class A | | 249,778 | |
The accompanying notes are an integral part of the financial statements.
57
Shares | | | | Value $ | |
| | | | | |
18,900 | | Brooks Automation (1) | | 231,147 | |
39,500 | | CA | | 971,305 | |
184,285 | | Cisco Systems | | 3,236,044 | |
4,900 | | Cognizant Technology Solutions Class A (1) | | 406,210 | |
6,800 | | Cogo Group (1) | | 55,828 | |
26,800 | | Corning | | 561,192 | |
100,499 | | Dell (1) | | 1,558,740 | |
14,000 | | eBay (1) | | 481,600 | |
45,400 | | EMC (1) | | 1,286,636 | |
28,300 | | Entegris (1) | | 244,229 | |
9,149 | | Google Class A (1) | | 4,977,971 | |
14,400 | | GSI Technology (1) | | 128,304 | |
26,400 | | GT Solar International (1) | | 294,888 | |
16,167 | | Harris | | 858,953 | |
101,133 | | Hewlett-Packard | | 4,082,739 | |
1,500 | | Hittite Microwave (1) | | 96,585 | |
8,100 | | IAC (1) | | 292,491 | |
9,100 | | iGate | | 154,336 | |
13,700 | | Integrated Silicon Solution (1) | | 132,342 | |
248,974 | | Intel | | 5,773,707 | |
51,694 | | International Business Machines | | 8,817,963 | |
3,100 | | Intevac (1) | | 37,913 | |
10,300 | | j2 Global Communications (1) | | 303,438 | |
22,900 | | Kulicke & Soffa Industries (1) | | 207,474 | |
11,400 | | Lender Processing Services | | 335,502 | |
13,500 | | Lexmark International Class A (1) | | 435,375 | |
7,400 | | Linear Technology | | 257,520 | |
10,100 | | Liquidity Services (1) | | 196,445 | |
5,100 | | Littelfuse | | 317,271 | |
1,900 | | Mastercard Class A | | 524,191 | |
24,000 | | Microchip Technology | | 984,960 | |
95,300 | | Micron Technology (1) | | 1,075,937 | |
318,750 | | Microsoft | | 8,293,875 | |
17,900 | | Mindspeed Technologies (1) | | 161,458 | |
10,300 | | Nanometrics (1) | | 166,551 | |
1,100 | | NCI (1) | | 27,071 | |
13,500 | | Novellus Systems (1) | | 433,350 | |
41,300 | | ON Semiconductor (1) | | 434,063 | |
128,181 | | Oracle | | 4,620,925 | |
19,400 | | Photronics (1) | | 169,362 | |
19,700 | | QLogic (1) | | 354,206 | |
48,677 | | QUALCOMM | | 2,766,801 | |
2,500 | | Renaissance Learning | | 29,975 | |
10,800 | | Rosetta Stone (1) | | 152,064 | |
22,800 | | SanDisk (1) | | 1,120,392 | |
27,600 | | Symantec (1) | | 542,340 | |
3,800 | | Telular | | 26,562 | |
11,500 | | Teradata (1) | | 643,080 | |
27,900 | | Teradyne (1) | | 449,190 | |
67,222 | | Texas Instruments | | 2,388,398 | |
11,000 | | Unisys (1) | | 326,480 | |
9,500 | | Varian Semiconductor Equipment Associates (1) | | 398,335 | |
8,000 | | Veeco Instruments (1) | | 409,040 | |
11,500 | | Visa | | 898,380 | |
22,100 | | Vishay Intertechnology (1) | | 421,668 | |
23,448 | | Western Digital (1) | | 933,230 | |
44,300 | | Western Union | | 941,375 | |
30,200 | | Xilinx | | 1,052,772 | |
| | | | 85,232,671 | |
| | Materials — 3.3% | | | |
7,800 | | Arch Chemicals | | 301,626 | |
16,000 | | Avery Dennison | | 667,840 | |
17,800 | | Ball | | 664,118 | |
5,682 | | CF Industries Holdings | | 804,287 | |
11,600 | | Cliffs Natural Resources | | 1,087,152 | |
21,000 | | Dow Chemical | | 860,790 | |
1,100 | | Eastman Chemical | | 117,975 | |
42,900 | | E.I. du Pont de Nemours | | 2,436,291 | |
49,800 | | Freeport-McMoRan Copper & Gold | | 2,740,494 | |
14,400 | | Hecla Mining (1) | | 135,504 | |
7,200 | | Innospec (1) | | 271,152 | |
4,900 | | Kaiser Aluminum | | 245,539 | |
15,640 | | Monsanto | | 1,064,146 | |
6,300 | | Mosaic | | 471,618 | |
2,400 | | NewMarket | | 442,368 | |
26,000 | | Newmont Mining | | 1,523,860 | |
6,000 | | Praxair | | 638,520 | |
17,800 | | RPM International | | 418,300 | |
4,100 | | Schnitzer Steel Industries Class A | | 254,487 | |
6,900 | | Scotts Miracle-Gro Class A | | 389,643 | |
10,400 | | Sensient Technologies | | 394,056 | |
12,500 | | Sonoco Products | | 432,000 | |
1,200 | | Terra Nitrogen | | 136,812 | |
12,500 | | Valspar | | 491,375 | |
| | | | 16,989,953 | |
| | Telecommunication Services — 2.5% | | | |
2,000 | | American Tower (1) | | 104,620 | |
240,439 | | AT&T | | 7,482,462 | |
11,700 | | CenturyLink | | 477,126 | |
10,300 | | Cogent Communications Group (1) | | 149,453 | |
105,030 | | Verizon Communications | | 3,968,033 | |
37,500 | | Windstream | | 480,375 | |
| | | | 12,662,069 | |
| | Utilities — 2.5% | | | |
23,100 | | AES (1) | | 305,844 | |
2,700 | | Centerpoint Energy | | 50,220 | |
The accompanying notes are an integral part of the financial statements.
58
Shares | | | | Value $ | |
| | | | | |
22,700 | | CMS Energy | | 449,460 | |
17,360 | | Consolidated Edison | | 904,803 | |
6,500 | | Dominion Resources | | 301,730 | |
10,900 | | DPL | | 330,161 | |
21,500 | | Duke Energy | | 400,975 | |
5,047 | | Edison International | | 198,196 | |
40,171 | | Emerson Electric | | 2,440,790 | |
7,600 | | Energen | | 494,076 | |
36,800 | | Exelon | | 1,551,120 | |
6,200 | | FirstEnergy | | 247,752 | |
1,400 | | IDACORP | | 54,894 | |
3,500 | | Integrys Energy Group | | 183,260 | |
18,400 | | NextEra Energy | | 1,040,888 | |
7,300 | | Northeast Utilities | | 259,880 | |
4,500 | | NTELOS Holdings | | 88,785 | |
18,337 | | PG&E | | 844,969 | |
34,208 | | Southern | | 1,335,480 | |
11,000 | | USA Mobility | | 169,950 | |
18,200 | | Westar Energy | | 495,222 | |
19,600 | | Xcel Energy | | 476,868 | |
| | | | 12,625,323 | |
| | Total United States | | 456,708,683 | |
| | TOTAL COMMON STOCK
(Cost $415,911,146) | | 480,338,261 | |
| | | | | |
| | RIGHT (1) (2) (3) — 0.0% | | | |
| | United States — 0.0% | | | |
7,363 | | Fresenius Kabi Pharmaceuticals Holding, Expires 06/30/11
(Cost $7,363) | | — | |
| | | | | |
| | SHORT-TERM INVESTMENT (4) — 5.1% | | | |
26,086,512 | | JPMorgan Prime Money Market Fund, 0.030%
(Cost $26,086,512) | | 26,086,512 | |
| | | | | |
| | TOTAL INVESTMENTS — 99.3%
(Cost $442,005,021) | | 506,424,773 | |
| | | | | |
| | OTHER ASSETS LESS LIABILITIES — 0.7% | | 3,549,054 | |
| | | | | |
| | NET ASSETS — 100% | | $ | 509,973,827 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | Security is fair valued. (See Note 2 in Notes to Financial Statements.) |
(3) | Security considered illiquid. On April 30, 2011, the value of these securities amounted to $0 representing 0.0% of the net assets of the Fund. |
(4) | The rate shown represents the 7-day current yield as of April 30, 2011. |
ADR — American Depositary Receipt
CAD — Canadian Dollar
LP — Limited Partnership
REIT — Real Estate Investment Trust
S&P — Standard & Poor’s
USD — United States Dollar
A summary of the open futures contracts held by the Fund at April 30, 2011, is as follows:
| | Number of | | | | Unrealized | |
Type of | | Contracts | | Expiration | | Appreciation | |
Contract | | Long (Short) | | Date | | (Depreciation) | |
S&P 500 Index EMINI | | 427 | | Jun-2011 | | $ | 1,294,317 | |
| | | | | | | | |
A summary of the outstanding forward foreign currency contracts held by the Fund at April 30, 2011, is as follows:
Counterparty | | Settlement
Date | | Currency to
Deliver | | Currency to
Receive | | Unrealized
Appreciation
(Depreciation) | |
HSBC | | 6/9/11 | | CAD | 12,695,335 | | USD | 13,261,827 | | $ | (145,435 | ) |
| | | | | | | | | | | | |
The accompanying notes are an integral part of the financial statements.
59
Schedule of Investments (concluded)
The following is a summary of the inputs used as of April 30, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Common Stock | | | | | | | | | |
Bahamas | | $ | 262,116 | | $ | — | | $ | — | | $ | 262,116 | |
Bermuda | | 3,571,895 | | — | | — | | 3,571,895 | |
Canada | | 13,755,595 | | — | | — | | 13,755,595 | |
Cayman Islands | | 565,614 | | — | | — | | 565,614 | |
China | | 129,560 | | — | | — | | 129,560 | |
Hong Kong | | 31,928 | | — | | — | | 31,928 | |
Ireland | | 1,321,703 | | — | | — | | 1,321,703 | |
Puerto Rico | | 175,896 | | — | | — | | 175,896 | |
Russia | | 129,635 | | — | | — | | 129,635 | |
Switzerland | | 3,685,636 | | — | | — | | 3,685,636 | |
United States | | | | | | | | | |
Consumer Discretionary | | 50,364,823 | | — | | — | | 50,364,823 | |
Consumer Staples | | 43,239,459 | | — | | — | | 43,239,459 | |
Energy | | 61,738,245 | | — | | — | | 61,738,245 | |
Financials | | 69,587,352 | | — | | — | | 69,587,352 | |
Health Care | | 50,396,869 | | — | | — | | 50,396,869 | |
Industrials | | 53,871,919 | | — | | — | | 53,871,919 | |
Information Technology | | 85,232,671 | | — | | — | | 85,232,671 | |
Materials | | 16,989,953 | | — | | — | | 16,989,953 | |
Telecommunication Services | | 12,662,069 | | — | | — | | 12,662,069 | |
Utilities | | 12,625,323 | | — | | — | | 12,625,323 | |
| | 480,338,261 | | — | | — | | 480,338,261 | |
Rights | | | | | | | | | |
United States | | — | | — | | — | | — | |
| | | | | | | | | |
Short-Term Investment | | 26,086,512 | | — | | — | | 26,086,512 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 506,424,773 | | $ | — | | $ | — | | $ | 506,424,773 | |
| | | | | | | | | |
Other Financial Instruments | | | | | | | | | |
Forwards — Unrealized Depreciation | | $ | — | | $ | (145,435 | ) | $ | — | | $ | (145,435 | ) |
Futures — Unrealized Appreciation | | 1,294,317 | | — | | — | | 1,294,317 | |
Total Other Financial Instruments | | $ | 1,294,317 | | $ | (145,435 | ) | $ | — | | $ | 1,148,882 | |
There were no significant transfers between the levels during the reporting period, based on the input levels assigned under the hierarchy at the beginning and end of the reporting period.
The accompanying notes are an integral part of the financial statements.
60
Schroder Total Return Fixed Income Fund
Schedule of Investments
April 30, 2011 (unaudited)
Principal
Amount ($) | | | | Value $ | |
| | | | | |
| | CORPORATE OBLIGATIONS (1) — 42.3% | | | |
| | Abbott Laboratories | | | |
135,000 | | 4.125%, 05/27/20 | | 137,453 | |
| | Agrium | | | |
105,000 | | 6.125%, 01/15/41 | | 110,969 | |
| | Air Canada (2) | | | |
190,000 | | 9.250%, 08/01/15 | | 197,600 | |
| | Alliance One International | | | |
130,000 | | 10.000%, 07/15/16 | | 133,575 | |
| | Altria Group | | | |
90,000 | | 9.950%, 11/10/38 | | 129,626 | |
| | Anheuser-Busch InBev Worldwide (2) | | | |
20,000 | | 7.750%, 01/15/19 | | 25,115 | |
280,000 | | 5.375%, 11/15/14 | | 311,809 | |
| | ArcelorMittal | | | |
105,000 | | 6.750%, 03/01/41 | | 107,808 | |
| | AT&T | | | |
175,000 | | 6.550%, 02/15/39 | | 191,342 | |
| | Atmos Energy | | | |
65,000 | | 8.500%, 03/15/19 | | 81,946 | |
| | Avaya (2) | | | |
195,000 | | 7.000%, 04/01/19 | | 194,025 | |
| | Avis Budget Car Rental LLC (2) | | | |
195,000 | | 8.250%, 01/15/19 | | 208,163 | |
| | Bank of America | | | |
125,000 | | 6.000%, 09/01/17 | | 137,049 | |
545,000 | | 5.650%, 05/01/18 | | 581,292 | |
| | Bank of Montreal (2) | | | |
1,335,000 | | 2.850%, 06/09/15 | | 1,370,918 | |
| | Bank of Nova Scotia (3) | | | |
755,000 | | 0.575%, 10/18/12 | | 756,157 | |
| | Berkshire Hathaway (3) | | | |
655,000 | | 0.750%, 02/11/13 | | 658,692 | |
| | Berry Petroleum | | | |
200,000 | | 6.750%, 11/01/20 | | 208,000 | |
| | Best Buy | | | |
335,000 | | 5.500%, 03/15/21 | | 337,635 | |
| | Boston Properties | | | |
165,000 | | 4.125%, 05/15/21 | | 159,812 | |
| | Browning-Ferris Industries | | | |
90,000 | | 7.400%, 09/15/35 | | 110,777 | |
| | Canadian Imperial Bank of Commerce (2) | | | |
530,000 | | 2.750%, 01/27/16 | | 538,000 | |
330,000 | | 2.600%, 07/02/15 | | 336,007 | |
| | Case New Holland | | | |
140,000 | | 7.750%, 09/01/13 | | 153,125 | |
| | CCO Holdings LLC | | | |
80,000 | | 7.000%, 01/15/19 | | 84,200 | |
| | Cenovus Energy | | | |
90,000 | | 6.750%, 11/15/39 | | 103,889 | |
| | Cequel Communications Holding I LLC (2) | | | |
175,000 | | 8.625%, 11/15/17 | | 188,562 | |
| | CFCRE Commercial Mortgage Trust, Series C1 (2) | | | |
240,000 | | 3.759%, 04/15/44 | | 245,306 | |
| | Chesapeake Energy | | | |
185,000 | | 6.625%, 08/15/20 | | 200,262 | |
| | Citigroup | | | |
315,000 | | 4.587%, 12/15/15 | | 333,698 | |
| | CNA Financial | | | |
180,000 | | 7.350%, 11/15/19 | | 208,751 | |
| | CommScope (2) | | | |
80,000 | | 8.250%, 01/15/19 | | 84,600 | |
| | Consolidated Edison of New York | | | |
45,000 | | 4.450%, 06/15/20 | | 46,804 | |
| | Continental Airlines (2) | | | |
135,000 | | 6.750%, 09/15/15 | | 136,687 | |
| | COX Communications (2) | | | |
40,000 | | 8.375%, 03/01/39 | | 53,006 | |
| | CSX | | | |
95,000 | | 6.150%, 05/01/37 | | 102,588 | |
270,000 | | 3.700%, 10/30/20 | | 258,807 | |
| | CVS Caremark | | | |
165,000 | | 5.750%, 06/01/17 | | 184,816 | |
| | Dana Holding | | | |
130,000 | | 6.750%, 02/15/21 | | 131,788 | |
| | Danske Bank (2) | | | |
515,000 | | 3.875%, 04/14/16 | | 522,287 | |
| | DaVita | | | |
210,000 | | 6.375%, 11/01/18 | | 215,512 | |
| | Delhaize Group | | | |
165,000 | | 5.700%, 10/01/40 | | 158,300 | |
| | Delta Air Lines (2) | | | |
141,000 | | 9.500%, 09/15/14 | | 151,927 | |
| | Deutsche Telekom International Finance BV | | | |
145,000 | | 8.750%, 06/15/30 | | 195,574 | |
| | Digital Realty Trust (2) | | | |
230,000 | | 5.875%, 02/01/20 | | 243,636 | |
140,000 | | 5.250%, 03/15/21 | | 139,768 | |
| | DIRECTV Holdings LLC | | | |
175,000 | | 6.375%, 03/01/41 | | 183,491 | |
| | DnB Boligkreditt (2) | | | |
320,000 | | 2.100%, 10/14/15 | | 312,561 | |
| | Dow Chemical | | | |
105,000 | | 4.250%, 11/15/20 | | 103,222 | |
The accompanying notes are an integral part of the financial statements.
61
Principal
Amount ($) | | | | Value $ | |
| | | | | |
| | Duke Energy Carolinas LLC | | | |
30,000 | | 4.300%, 06/15/20 | | 30,861 | |
| | DuPont Fabros Technology | | | |
200,000 | | 8.500%, 12/15/17 | | 222,000 | |
| | E.I. du Pont de Nemours | | | |
70,000 | | 4.900%, 01/15/41 | | 66,683 | |
| | El Paso Pipeline Partners Operating LLC | | | |
165,000 | | 6.500%, 04/01/20 | | 185,358 | |
| | Energy Transfer Partners LP | | | |
150,000 | | 9.000%, 04/15/19 | | 191,647 | |
| | Enterprise Products Operating LLC | | | |
60,000 | | 6.125%, 10/15/39 | | 61,388 | |
| | EQT | | | |
30,000 | | 8.125%, 06/01/19 | | 36,338 | |
| | Express Scripts | | | |
145,000 | | 3.125%, 05/15/16 | | 145,620 | |
| | Expro Finance Luxembourg SCA (2) | | | |
175,000 | | 8.500%, 12/15/16 | | 171,937 | |
| | Ford Motor Credit LLC | | | |
135,000 | | 6.625%, 08/15/17 | | 148,848 | |
| | Gilead Sciences | | | |
205,000 | | 4.500%, 04/01/21 | | 206,215 | |
| | Goldman Sachs Group | | | |
190,000 | | 6.750%, 10/01/37 | | 197,539 | |
110,000 | | 6.250%, 02/01/41 | | 113,237 | |
| | GXS Worldwide (2) | | | |
170,000 | | 9.750%, 06/15/15 | | 174,675 | |
| | Hartford Financial Services Group | | | |
65,000 | | 5.500%, 03/30/20 | | 67,726 | |
| | Hertz (2) | | | |
130,000 | | 6.750%, 04/15/19 | | 133,250 | |
| | Hess | | | |
135,000 | | 6.000%, 01/15/40 | | 140,773 | |
| | Home Depot | | | |
200,000 | | 5.950%, 04/01/41 | | 205,812 | |
| | HSBC Holdings | | | |
180,000 | | 5.100%, 04/05/21 | | 185,624 | |
| | ING Bank (2) | | | |
280,000 | | 4.000%, 03/15/16 | | 284,822 | |
| | International Paper | | | |
155,000 | | 7.500%, 08/15/21 | | 185,354 | |
| | Jabil Circuit | | | |
200,000 | | 5.625%, 12/15/20 | | 201,000 | |
| | JC Penney | | | |
130,000 | | 5.750%, 02/15/18 | | 131,625 | |
| | Johnson Controls | | | |
215,000 | | 4.250%, 03/01/21 | | 215,409 | |
| | JPMorgan Chase Bank | | | |
475,000 | | 6.000%, 10/01/17 | | 530,546 | |
| | Kansas City Southern de Mexico (2) | | | |
180,000 | | 6.625%, 12/15/20 | | 186,750 | |
| | Kinder Morgan Energy Partners | | | |
55,000 | | 6.500%, 09/01/39 | | 58,601 | |
| | Kraft Foods | | | |
60,000 | | 6.875%, 02/01/38 | | 69,381 | |
65,000 | | 5.375%, 02/10/20 | | 70,474 | |
| | Lloyds TSB Bank | | | |
230,000 | | 6.375%, 01/21/21 | | 246,899 | |
| | Macy’s Retail Holdings | | | |
140,000 | | 6.700%, 07/15/34 | | 140,000 | |
| | Magellan Midstream Partners LP | | | |
30,000 | | 6.550%, 07/15/19 | | 34,743 | |
| | McDonald’s | | | |
215,000 | | 6.300%, 03/01/38 | | 251,240 | |
| | McKesson | | | |
120,000 | | 7.500%, 02/15/19 | | 146,979 | |
| | MetroPCS Wireless | | | |
195,000 | | 6.625%, 11/15/20 | | 195,731 | |
| | Midamerican Energy Holdings | | | |
185,000 | | 5.750%, 04/01/18 | | 207,663 | |
| | Morgan Stanley | | | |
470,000 | | 3.800%, 04/29/16 | | 472,184 | |
165,000 | | 1.874%, 01/24/14 (3) | | 167,433 | |
| | NBC Universal (2) | | | |
235,000 | | 5.150%, 04/30/20 | | 245,924 | |
| | NCUA Guaranteed Notes, Series R6 (3) | | | |
965,000 | | 0.593%, 05/07/20 | | 965,000 | |
| | Nevada Power, Series L | | | |
45,000 | | 5.875%, 01/15/15 | | 50,397 | |
| | Newell Rubbermaid | | | |
120,000 | | 4.700%, 08/15/20 | | 120,918 | |
| | Newmont Mining | | | |
100,000 | | 6.250%, 10/01/39 | | 108,167 | |
| | Nisource Finance | | | |
80,000 | | 6.125%, 03/01/22 | | 88,360 | |
| | Noble Energy | | | |
95,000 | | 6.000%, 03/01/41 | | 98,581 | |
| | Nordstrom | | | |
125,000 | | 6.750%, 06/01/14 | | 143,734 | |
85,000 | | 4.750%, 05/01/20 | | 88,957 | |
| | Norfolk Southern | | | |
100,000 | | 5.900%, 06/15/19 | | 114,212 | |
| | NRG Energy (2) | | | |
200,000 | | 7.625%, 01/15/18 | | 210,250 | |
| | PepsiCo | | | |
150,000 | | 4.875%, 11/01/40 | | 143,775 | |
| | Petrobras International Finance | | | |
100,000 | | 5.750%, 01/20/20 | | 104,397 | |
The accompanying notes are an integral part of the financial statements.
62
Principal
Amount ($) | | | | Value $ | |
| | | | | |
| | Petrohawk Energy (2) | | | |
160,000 | | 7.250%, 08/15/18 | | 170,800 | |
| | Plains All American Pipeline | | | |
30,000 | | 8.750%, 05/01/19 | | 38,006 | |
| | Prudential Financial | | | |
140,000 | | 4.750%, 09/17/15 | | 150,683 | |
| | Quest Diagnostics | | | |
150,000 | | 4.700%, 04/01/21 | | 152,549 | |
| | Qwest | | | |
60,000 | | 7.625%, 06/15/15 | | 68,850 | |
| | Rent-A-Center (2) | | | |
200,000 | | 6.625%, 11/15/20 | | 201,250 | |
| | Republic of Finland (2) | | | |
510,000 | | 2.250%, 03/17/16 | | 516,119 | |
| | Republic Services (2) | | | |
30,000 | | 5.250%, 11/15/21 | | 31,917 | |
| | Reynolds American | | | |
170,000 | | 7.625%, 06/01/16 | | 203,740 | |
65,000 | | 7.250%, 06/15/37 | | 71,039 | |
| | Reynolds Group Issuer (2) | | | |
200,000 | | 7.125%, 04/15/19 | | 209,500 | |
| | Royal Bank of Canada | | | |
370,000 | | 3.125%, 04/14/15 | | 383,286 | |
110,000 | | 2.625%, 12/15/15 | | 110,738 | |
| | Royal Bank of Scotland (2) | | | |
815,000 | | 2.625%, 05/11/12 | | 832,815 | |
| | Sabra Health Care (2) | | | |
200,000 | | 8.125%, 11/01/18 | | 210,500 | |
| | Senior Housing Properties Trust | | | |
185,000 | | 4.300%, 01/15/16 | | 185,850 | |
| | SESI LLC (2) | | | |
115,000 | | 6.375%, 05/01/19 | | 116,438 | |
| | Severstal Columbus LLC (2) | | | |
55,000 | | 10.250%, 02/15/18 | | 61,738 | |
| | Southern Copper | | | |
185,000 | | 6.750%, 04/16/40 | | 182,299 | |
| | Sparebanken 1 Boligkreditt (2) | | | |
195,000 | | 1.250%, 10/25/13 | | 194,300 | |
| | Swedbank Hypotek (2) (3) | | | |
440,000 | | 0.758%, 03/28/14 | | 442,920 | |
| | Talisman Energy | | | |
50,000 | | 6.250%, 02/01/38 | | 53,717 | |
| | Targa Resources Partners (2) | | | |
135,000 | | 6.875%, 02/01/21 | | 134,663 | |
| | Teck Resources | | | |
70,000 | | 10.750%, 05/15/19 | | 89,644 | |
| | Telecom Italia Capital | | | |
270,000 | | 6.175%, 06/18/14 | | 294,683 | |
| | Tenneco (2) | | | |
195,000 | | 6.875%, 12/15/20 | | 200,850 | |
| | Toronto-Dominion Bank (2) | | | |
660,000 | | 2.200%, 07/29/15 | | 661,586 | |
| | TransCanada PipeLines | | | |
65,000 | | 6.100%, 06/01/40 | | 70,087 | |
| | United Business Media (2) | | | |
220,000 | | 5.750%, 11/03/20 | | 216,764 | |
| | Univision Communications (2) | | | |
180,000 | | 7.875%, 11/01/20 | | 192,600 | |
| | US Bank | | | |
440,000 | | 4.950%, 10/30/14 | | 484,290 | |
| | Vale Overseas | | | |
55,000 | | 5.625%, 09/15/19 | | 58,807 | |
| | Valero Energy | | | |
160,000 | | 6.125%, 02/01/20 | | 177,622 | |
50,000 | | 4.500%, 02/01/15 | | 53,358 | |
| | Verizon Communications | | | |
250,000 | | 4.600%, 04/01/21 | | 255,950 | |
| | Viacom | | | |
220,000 | | 4.500%, 03/01/21 | | 220,473 | |
| | Wachovia Bank (3) | | | |
365,000 | | 0.691%, 11/03/14 | | 358,815 | |
| | Wal-Mart Stores | | | |
385,000 | | 3.625%, 07/08/20 | | 376,924 | |
| | Waste Management | | | |
180,000 | | 4.750%, 06/30/20 | | 185,723 | |
| | Watson Pharmaceuticals | | | |
155,000 | | 6.125%, 08/15/19 | | 175,039 | |
| | Wells Fargo Bank | | | |
250,000 | | 5.750%, 05/16/16 | | 278,961 | |
| | WF-RBS Commercial Mortgage Trust, Series C2 (2) | | | |
310,000 | | 3.791%, 02/15/44 | | 317,835 | |
| | Willis Group Holdings | | | |
170,000 | | 5.750%, 03/15/21 | | 174,465 | |
| | Wind Acquisition Finance (2) | | | |
200,000 | | 7.250%, 02/15/18 | | 212,000 | |
| | Windstream (2) | | | |
175,000 | | 7.875%, 11/01/17 | | 189,875 | |
| | WPP Finance UK | | | |
160,000 | | 8.000%, 09/15/14 | | 188,385 | |
| | Yum! Brands | | | |
125,000 | | 6.875%, 11/15/37 | | 142,617 | |
| | TOTAL CORPORATE OBLIGATIONS
(Cost $29,933,146) | | 31,033,044 | |
The accompanying notes are an integral part of the financial statements.
63
Principal
Amount ($) | | | | Value $ | |
| | | | | |
| | U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS — 36.4% | | | |
| | FHLMC | | | |
111,946 | | 5.500%, 05/01/38 | | 120,462 | |
1,142,629 | | 5.000%, 08/01/40 | | 1,207,364 | |
596,610 | | 4.500%, 10/01/24 | | 634,888 | |
| | FHLMC Gold | | | |
66,129 | | 6.500%, 07/01/32 | | 74,326 | |
5,218 | | 6.000%, 12/01/28 | | 5,763 | |
| | FHLMC IO REMIC (3) (4) | | | |
14 | | 1169.001%NM, 01/15/22 | | 292 | |
| | FHLMC REMIC | | | |
480,000 | | 4.000%, 04/15/22 | | 498,881 | |
| | FHLMC TBA | | | |
175,000 | | 4.000%, 05/15/41 | | 173,934 | |
| | FNMA | | | |
29,355 | | 7.500%, 12/01/29 | | 33,582 | |
33,848 | | 6.000%, 12/01/28 | | 37,049 | |
53,135 | | 6.000%, 10/01/29 | | 58,159 | |
871,842 | | 6.000%, 05/01/36 | | 954,267 | |
940,388 | | 6.000%, 03/01/37 | | 1,029,882 | |
406,469 | | 5.500%, 11/01/34 | | 439,484 | |
1,325,695 | | 5.500%, 10/01/35 | | 1,433,372 | |
1,180,834 | | 5.500%, 07/01/38 | | 1,276,745 | |
1,014,124 | | 5.000%, 07/01/18 (4) | | 107,396 | |
663,963 | | 5.000%, 07/01/18 (4) | | 74,042 | |
269,280 | | 5.000%, 10/01/29 | | 286,555 | |
570,114 | | 4.500%, 11/01/40 | | 587,583 | |
422,753 | | 4.500%, 12/01/40 | | 435,707 | |
186,321 | | 4.000%, 11/01/40 | | 185,778 | |
629,598 | | 2.050%, 03/01/34 | | 655,351 | |
| | FNMA REMIC | | | |
969,496 | | 5.500%, 01/25/19 (4) | | 99,011 | |
135,331 | | 5.000%, 07/25/37 | | 146,677 | |
570,000 | | 3.000%, 04/25/41 | | 503,827 | |
| | FNMA TBA | | | |
150,000 | | 5.000%, 05/25/41 | | 158,344 | |
120,000 | | 4.500%, 05/25/26 | | 126,675 | |
2,150,000 | | 4.500%, 05/25/41 | | 2,212,821 | |
| | GNMA | | | |
5,575 | | 8.000%, 11/15/17 | | 6,437 | |
4,915 | | 8.000%, 06/15/26 | | 5,675 | |
31,498 | | 7.000%, 09/15/23 | | 36,201 | |
49,183 | | 6.000%, 10/20/32 | | 54,312 | |
133,324 | | 6.000%, 06/20/35 | | 147,250 | |
388,000 | | 5.000%, 12/20/33 | | 413,796 | |
275,000 | | 4.500%, 06/16/27 | | 285,280 | |
610,000 | | 4.500%, 06/20/27 | | 627,651 | |
495,000 | | 4.500%, 06/20/39 | | 501,883 | |
485,000 | | 4.500%, 08/20/40 | | 489,087 | |
257,000 | | 4.000%, 09/20/38 | | 251,210 | |
485,000 | | 4.000%, 08/20/39 | | 470,817 | |
343,113 | | 4.000%, 12/15/40 | | 348,708 | |
1,114,428 | | 3.000%, 07/20/40 | | 1,129,645 | |
| | GNMA IO (2) (4) | | | |
128,034 | | 4.500%, 11/20/32 | | 12,407 | |
467,629 | | 4.500%, 06/20/33 | | 49,153 | |
| | GNMA TBA | | | |
1,365,000 | | 4.500%, 05/15/41 | | 1,427,705 | |
6,480,000 | | 4.000%, 05/15/41 | | 6,566,061 | |
| | Impac CMB Trust | | | |
241,946 | | 0.593%, 05/25/35 | | 203,811 | |
107,152 | | 0.583%, 03/25/35 | | 95,159 | |
| | TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS
(Cost $26,417,043) | | 26,680,465 | |
| | | | | |
| | COMMERCIAL MORTGAGE-BACKED OBLIGATIONS — 11.0% | | | |
| | Americold LLC Trust, Series ARTA | | | |
270,000 | | 4.954%, 01/14/29 | | 280,195 | |
279,459 | | 3.847%, 01/14/29 | | 284,897 | |
| | Bear Stearns Commercial Mortgage Securities, Series 2002-TOP6, Class A2 | | | |
429,322 | | 6.460%, 10/15/36 | | 441,231 | |
| | Bear Stearns Commercial Mortgage Securities, Series T14 | | | |
243,000 | | 5.200%, 01/12/41 | | 262,097 | |
| | Credit Suisse First Boston Mortgage Securities, Series CKN2 | | | |
365,831 | | 6.133%, 04/15/37 | | 376,121 | |
| | Extended Stay America Trust, Series ESHA | | | |
1,354,348 | | 2.951%, 11/05/27 | | 1,351,177 | |
| | Four Times Square Trust | | | |
1,158,000 | | 5.401%, 12/13/28 | | 1,236,327 | |
| | GS Mortgage Securities II, Series C1 (2) | | | |
227,000 | | 4.592%, 08/10/43 | | 234,070 | |
| | GS Mortgage Securities II, Series GC3 (2) | | | |
715,000 | | 4.753%, 03/10/44 | | 742,361 | |
245,000 | | 3.645%, 03/10/44 | | 250,182 | |
| | JP Morgan Chase Commercial Mortgage Securities (2) | | | |
410,000 | | 4.070%, 11/15/43 | | 402,623 | |
The accompanying notes are an integral part of the financial statements.
64
Principal
Amount ($) | | | | Value $ | |
| | | | | |
| | LB-UBS Commercial Mortgage Trust, Series 2001-C7, Class A5 | | | |
430,586 | | 6.133%, 12/15/30 | | 435,633 | |
| | LB-UBS Commercial Mortgage Trust, Series 2002-C7, Class A4 | | | |
185,000 | | 4.960%, 12/15/31 | | 193,946 | |
| | Morgan Stanley Capital I, Series 2003-T11, Class A4 | | | |
655,000 | | 5.150%, 06/13/41 | | 696,805 | |
| | OBP Depositor LLC Trust | | | |
405,000 | | 4.646%, 07/15/45 | | 422,254 | |
| | Vornado DP LLC, Series VNO | | | |
496,000 | | 4.004%, 09/13/28 | | 484,182 | |
| | TOTAL COMMERCIAL MORTGAGE-BACKED OBLIGATIONS
(Cost $8,075,854) | | 8,094,101 | |
| | | | | |
| | U.S. TREASURY OBLIGATIONS (1) — 6.2% | | | |
| | U.S. Treasury Inflation-Protected Notes | | | |
848,887 | | 2.125%, 02/15/41 | | 927,211 | |
| | U.S. Treasury Notes | | | |
695,000 | | 2.000%, 04/30/16 | | 695,922 | |
130,000 | | 1.250%, 03/15/14 | | 131,036 | |
295,000 | | 1.250%, 04/15/14 | | 297,097 | |
375,000 | | 0.750%, 03/31/13 | | 376,318 | |
1,770,000 | | 0.625%, 01/31/13 | | 1,773,735 | |
315,000 | | 0.500%, 11/30/12 | | 315,369 | |
| | TOTAL U.S. TREASURY OBLIGATIONS
(Cost $4,439,454) | | 4,516,688 | |
| | | | | |
| | ASSET-BACKED SECURITIES — 4.2% | | | |
| | BA Credit Card Trust, Series A1 (3) | | | |
335,000 | | 0.519%, 09/15/15 | | 335,941 | |
| | Chase Issuance Trust, Series A13 (3) | | | |
335,000 | | 1.850%, 09/15/15 | | 345,708 | |
| | DBUBS Mortgage Trust, Series LC1A (2) | | | |
1,011,197 | | 3.742%, 11/10/46 | | 1,040,100 | |
| | Discover Card Master Trust, Series A1 (3) | | | |
335,000 | | 1.519%, 12/15/14 | | 339,296 | |
| | MBNA Credit Card Master Note Trust, Series A10 (3) | | | |
165,000 | | 0.279%, 11/16/15 | | 164,706 | |
| | NCUA Guaranteed Notes, Series A1 (3) | | | |
148,063 | | 0.586%, 12/07/20 | | 148,358 | |
| | NCUA Guaranteed Notes, Series R1 (3) | | | |
128,661 | | 0.690%, 10/07/20 | | 128,822 | |
| | Nelnet Student Loan Trust, Series 4A (2) (3) | | | |
270,211 | | 1.013%, 04/25/46 | | 270,468 | |
| | Wachovia Auto Owner Trust, Series A (3) | | | |
315,000 | | 1.363%, 03/20/14 | | 317,278 | |
| | TOTAL ASSET-BACKED SECURITIES
(Cost $3,080,930) | | 3,090,677 | |
| | | | | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 3.5% | | | |
| | NCUA Guaranteed Notes (5) | | | |
601,846 | | 2.650%, 10/29/20 | | 600,954 | |
214,373 | | 1.840%, 10/07/20 | | 215,176 | |
564,266 | | 0.710%, 11/05/20 (3) | | 563,386 | |
872,604 | | 0.610%, 11/06/17 (3) | | 872,875 | |
290,000 | | 0.601%, 04/06/20 (3) | | 289,841 | |
| | Residential Accredit Loans, Series 1999-QS4, Class A1 | | | |
7,490 | | 6.250%, 03/25/14 | | 7,755 | |
| | Salomon Brothers Mortgage Securities VII, Series 2001-CPB1, Class A (3) | | 5,104 | |
| | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $2,560,164) | | 2,555,091 | |
| | | | | |
| | MUNICIPAL BONDS — 0.7% | | | |
| | New York — 0.1% | | | |
75,000 | | Metropolitan Transportation Authority, RB | | | |
| | 6.814%, 11/15/40 | | 80,167 | |
| | | | | |
| | South Carolina — 0.4% | | | |
276,151 | | South Carolina Student Loan | | | |
| | 0.724%, 01/25/21 | | 277,095 | |
| | | | | |
| | Utah — 0.2% | | | |
170,000 | | State of Utah, GO | | | |
| | 3.539%, 07/01/25 | | 160,540 | |
| | | | | |
| | TOTAL MUNICIPAL BONDS
(Cost $520,623) | | 517,802 | |
The accompanying notes are an integral part of the financial statements
65
Shares | | | | Value $ | |
| | | | | |
| | PURCHASED OPTION — 0.0% | | | |
200 | | U.S. Treasury 10-Year Note June 2011 Put Option $115 (7)
(Cost $12,944) | | 3,125 | |
| | | | | |
| | SHORT-TERM INVESTMENT (6) — 9.8% | | | |
7,163,613 | | JPMorgan Prime Money Market Fund, 0.030%
(Cost $7,163,613) | | 7,163,613 | |
| | | | | |
| | TOTAL INVESTMENTS — 114.1%
(Cost $82,203,771) | | 83,654,606 | |
| | | | | |
| | OTHER LIABILITIES IN EXCESS OF OTHER ASSETS — (14.1)% | | (10,323,430 | ) |
| | | | | |
| | NET ASSETS — 100% | | $ | 73,331,176 | |
| | | | | | |
(1) | | Securities, or a portion of these securities, have been pledged as collateral on open derivative positions and mortgage dollar rolls. |
(2) | | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On April 30, 2011, the value of these securities amounted to $14,783,419 representing 20.2% of the net assets of the Fund. |
(3) | | Variable Rate Security — Rate disclosed is as of April 30, 2011. |
(4) | | Security considered illiquid. On April 30, 2011, the value of these securities amounted to $342,301 representing 0.5% of the net assets of the Fund. |
(5) | | Security is fair valued. (See Note 2 in Notes to Financial Statements.) |
(6) | | The rate shown represents the 7-day current yield as of April 30, 2011. |
(7) | | Non income producing security. |
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only
LLC — Limited Liability Company
LP — Limited Partnership
NCUA — National Credit Union Administration
NM — Not Meaningful
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
TBA — To Be Announced
A summary of the open futures contracts held by the Fund at April 30, 2011, is as follows:
| | Number of | | | | Unrealized | |
Type of | | Contracts | | Expiration | | Appreciation | |
Contract | | Long (Short) | | Date | | (Depreciation) | |
Australian 10-Year Bond | | 12 | | Jun-2011 | | $ | (1,543 | ) |
Canadian 10-Year Bond | | 21 | | Jun-2011 | | 46,697 | |
U.S. 10-Year Treasury Note | | (67) | | Jun-2011 | | (241,097 | ) |
U.S. 2-Year Treasury Note | | (3) | | Jul-2011 | | (1,693 | ) |
U.S. 5-Year Treasury Note | | (11) | | Jul-2011 | | 98 | |
U.S. Long Treasury Bond | | (23) | | Jun-2011 | | (60,047 | ) |
| | | | | | $ | (257,585 | ) |
The accompanying notes are an integral part of the financial statements.
66
Schedule of Investments (concluded)
The following is a summary of the inputs used as of April 30, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Corporate Obligations | | $ | — | | $ | 31,033,044 | | $ | — | | $ | 31,033,044 | |
U.S. Government Mortgage-Backed Obligations | | — | | 26,680,465 | | — | | 26,680,465 | |
Commercial Mortgage-Backed Obligations | | — | | 8,094,101 | | — | | 8,094,101 | |
U.S. Treasury Obligations | | — | | 4,516,688 | | — | | 4,516,688 | |
Asset-Backed Securities | | — | | 3,090,677 | | — | | 3,090,677 | |
Collateralized Mortgage Obligations | | — | | 2,555,091 | | — | | 2,555,091 | |
Municipal Bonds | | — | | 517,802 | | — | | 517,802 | |
Purchased Option | | 3,125 | | — | | — | | 3,125 | |
Short-Term Investment | | 7,163,613 | | — | | — | | 7,163,613 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 7,166,738 | | $ | 76,487,868 | | $ | — | | $ | 83,654,606 | |
| | | | | | | | | |
Other Financial Instruments | | | | | | | | | |
Futures — Unrealized Appreciation | | $ | 46,795 | | $ | — | | $ | — | | $ | 46,795 | |
Futures — Unrealized Depreciation | | (304,380 | ) | — | | — | | (304,380 | ) |
Total Other Financial Instruments | | $ | (257,585 | ) | $ | — | | $ | — | | $ | (257,585 | ) |
There were no significant transfers between the levels during the reporting period, based on the input levels assigned under the hierarchy at the beginning and end of the reporting period.
The accompanying notes are an integral part of the financial statements.
67
Schroder Multi-Asset Growth Portfolio
Schedule of Investments *
April 30, 2011 (unaudited)
Shares | | | | Value $ | |
| | | | | |
| | EQUITIES — 49.5% | | | |
| | Domestic Equities — 24.7% | | | |
2,616 | | iShares S&P 500 Index Fund | | 358,130 | |
3,464 | | iShares S&P MidCap 400 Index Fund | | 351,215 | |
118,622 | | Schroder U.S. Small and Mid Cap Opportunities Fund, Investor Shares (1) (2) | | 1,548,020 | |
| | | | 2,257,365 | |
| | International Equities — 24.8% | | | |
4,189 | | iShares MSCI All Country Asia ex Japan Index Fund | | 271,615 | |
5,055 | | iShares MSCI EAFE Index Fund | | 320,790 | |
8,008 | | iShares MSCI EMU Index Fund | | 334,975 | |
17,041 | | iShares MSCI Japan Index Fund | | 179,442 | |
3,598 | | iShares MSCI Pacific ex-Japan Index Fund | | 181,915 | |
14,529 | | Schroder Emerging Market Equity Fund, Investor Shares (2) | | 216,334 | |
16,110 | | Schroder International Alpha Fund, Investor Shares (2) | | 187,034 | |
59,025 | | Schroder International Multi-Cap Value Fund, Investor Shares (2) | | 583,169 | |
| | | | 2,275,274 | |
| | TOTAL EQUITIES
(Cost $3,258,097) | | 4,532,639 | |
| | | | | |
| | FIXED INCOME — 21.9% | | | |
| | Emerging Market Bonds — 8.2% | | | |
32,279 | | PIMCO Developing Local Markets Fund | | 363,465 | |
34,320 | | PIMCO Emerging Local Bond Fund | | 383,354 | |
| | | | 746,819 | |
| | High Yield Bonds — 13.7% | | | |
83,559 | | Goldman Sachs High Yield Fund | | 624,183 | |
62,802 | | T. Rowe Price High Yield Fund | | 634,305 | |
| | | | 1,258,488 | |
| | TOTAL FIXED INCOME
(Cost $1,844,946) | | 2,005,307 | |
| | | | | |
| | COMMODITIES — 17.3% | | | |
59,093 | | CS Commodity Return, Institutional Shares | | 602,160 | |
51,561 | | Goldman Sachs Commodity Strategic Fund, Institutional Shares | | 364,534 | |
60,283 | | PIMCO Commodity RealReturn Strategy Fund | | 614,885 | |
| | TOTAL COMMODITIES
(Cost $1,443,395) | | 1,581,579 | |
| | | | | |
| | REAL ESTATE — 4.3% | | | |
4,142 | | iShares Dow Jones U.S. Real Estate Index Fund | | 257,550 | |
3,819 | | iShares S&P World ex-U.S. Property Index Fund | | 137,178 | |
| | TOTAL REAL ESTATE
(Cost $358,738) | | 394,728 | |
| | | | | |
| | INFRASTRUCTURE — 3.8% | | | |
178,003 | | HSBC Infrastructure
(Cost $323,429) | | 350,477 | |
| | | | | |
| | PRIVATE EQUITY — 0.8% | | | |
5,534 | | PowerShares Listed Private Equity Portfolio
(Cost $64,018) | | 67,902 | |
| | | | | |
| | SHORT-TERM INVESTMENT (3) — 2.6% | | | |
240,943 | | JPMorgan Prime Money Market Fund, 0.030%
(Cost $240,943) | | 240,943 | |
| | | | | |
| | TOTAL INVESTMENTS — 100.2%
(Cost $7,533,566) | | 9,173,575 | |
| | | | | |
| | OTHER LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | | (14,832 | ) |
| | | | | |
| | NET ASSETS — 100% | | $ | 9,158,743 | |
| | | | | | |
* Investment categories are based on the underlying investments of the invested security.
The accompanying notes are an integral part of the financial statements.
68
(1) Denotes non-income producing security.
(2) Affiliated fund.
(3) The rate shown represents the 7-day current yield as of April 30, 2011.
A summary of the open futures contracts held by the Fund at April 30, 2011, is as follows:
| | Number of | | | | Unrealized | |
Type of | | Contracts | | Expiration | | Appreciation | |
Contract | | Long (Short) | | Date | | (Depreciation) | |
NASDAQ 100 E-MINI | | 4 | | Jun-2011 | | $ | 8,878 | |
| | | | | | | | |
A summary of the outstanding forward foreign currency contracts held by the Fund at April 30, 2011, is as follows:
| | | | | | | | Unrealized | |
| | | | | | | | Appreciation | |
Counterparty | | Settlement Date | | Currency to Deliver | | Currency to Receive | | (Depreciation) | |
Barclays Capital | | 6/9/11 | | EUR | 510,000 | | USD | 703,689 | | $ | (50,752 | ) |
Barclays Capital | | 7/18/11 | | USD | 262,377 | | MYR | 796,000 | | 8,013 | |
JPMorgan | | 5/12/11 | | EUR | 192,638 | | CHF | 250,000 | | 3,876 | |
JPMorgan | | 5/12/11 | | JPY | 6,640,192 | | USD | 78,136 | | (3,745 | ) |
JPMorgan | | 5/12/11 | | USD | 134,974 | | SGD | 169,533 | | 3,544 | |
JPMorgan | | 5/26/11 | | USD | 88,523 | | GBP | 55,000 | | 3,295 | |
JPMorgan | | 6/9/11 | | USD | 59,942 | | EUR | 42,994 | | 3,659 | |
HSBC | | 6/9/11 | | USD | 51,387 | | EUR | 36,852 | | 3,128 | |
HSBC | | 7/18/11 | | USD | 155,162 | | KRW | 170,000,000 | | 3,653 | |
Morgan Stanley | | 5/12/11 | | JPY | 6,679,904 | | USD | 78,602 | | (3,769 | ) |
Royal Bank of Scotland | | 5/12/11 | | USD | 135,005 | | SGD | 169,533 | | 3,513 | |
Royal Bank of Scotland | | 5/26/11 | | USD | 127,540 | | GBP | 79,313 | | 4,865 | |
State Street Bank | | 5/12/11 | | JPY | 6,679,904 | | USD | 78,583 | | (3,787 | ) |
State Street Bank | | 5/12/11 | | USD | 134,925 | | SGD | 169,533 | | 3,593 | |
UBS Securities LLC | | 5/12/11 | | JPY | 15,141,914 | | CHF | 162,800 | | 1,528 | |
UBS Securities LLC | | 6/9/11 | | USD | 59,908 | | EUR | 42,994 | | 3,693 | |
| | | | | | | | $ | (15,693 | ) |
CHF — Swiss Franc
EAFE — Europe, Australasia, and the Far East
EUR — Euro
GBP — British Pound Sterling
JPY — Japanese Yen
KRW — Korean Won
MSCI — Morgan Stanley Capital International
MYR — Malaysian Ringgit
S&P — Standard & Poor’s
SGD — Singapore Dollar
USD — United States Dollar
The accompanying notes are an integral part of the financial statements.
69
Schedule of Investments (concluded)
The following is a summary of the inputs used as of April 30, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Equities | | | | | | | | | |
Domestic Equities | | $ | 2,257,365 | | $ | — | | $ | — | | $ | 2,257,365 | |
International Equities | | 2,275,274 | | — | | — | | 2,275,274 | |
| | 4,532,639 | | — | | — | | 4,532,639 | |
Fixed Income | | | | | | | | | |
Emerging Market Bonds | | 746,819 | | — | | — | | 746,819 | |
High Yield Bonds | | 1,258,488 | | — | | — | | 1,258,488 | |
| | 2,005,307 | | — | | — | | 2,005,307 | |
| | | | | | | | | |
Commodities | | 1,581,579 | | — | | — | | 1,581,579 | |
| | | | | | | | | |
Real Estate | | 394,728 | | — | | — | | 394,728 | |
| | | | | | | | | |
Infrastructure | | 350,477 | | — | | — | | 350,477 | |
| | | | | | | | | |
Private Equity | | 67,902 | | — | | — | | 67,902 | |
| | | | | | | | | |
Short-Term Investment | | 240,943 | | — | | — | | 240,943 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 9,173,575 | | $ | — | | $ | — | | $ | 9,173,575 | |
| | | | | | | | | |
Other Financial Instruments | | | | | | | | | |
Futures — Unrealized Appreciation | | $ | 8,878 | | $ | — | | $ | — | | $ | 8,878 | |
Forwards — Unrealized Appreciation | | — | | 46,360 | | — | | 46,360 | |
Forwards — Unrealized Depreciation | | — | | (62,053 | ) | — | | (62,053 | ) |
Total Other Financial Instruments | | $ | 8,878 | | $ | (15,693 | ) | $ | — | | $ | (6,815 | ) |
There were no significant transfers between the levels during the reporting period, based on the input levels assigned under the hierarchy at the beginning and end of the reporting period.
The accompanying notes are an integral part of the financial statements.
70
This page intentionally left blank.
Schroder Mutual Funds
Statements of Assets and Liabilities
April 30, 2011 (unaudited)
| | International
Alpha Fund | | International
Multi-Cap
Value Fund | | Emerging
Market Equity
Fund | |
ASSETS | | | | | | | |
Investments in securities, at value — Note 2 | | $ | 83,065,052 | | $ | 17,108,154 | | $ | 307,930,205 | |
Cash | | — | | — | | — | |
Foreign currency | | 32,950 | | 3,062 | | — | |
Receivable for securities sold | | — | | 65,209 | | 435,515 | |
Receivable for Fund shares sold | | 322,960 | | 30,708 | | 1,596,256 | |
Dividends and tax reclaims receivable | | 579,778 | | 128,213 | | 732,250 | |
Prepaid expenses | | 28,275 | | 19,073 | | 46,177 | |
Due from Investment Advisor — Note 3 | | 17,984 | | 26,930 | | — | |
Unrealized appreciation on forward foreign currency contracts | | — | | 71,793 | | — | |
Initial margin for futures contracts | | — | | — | | — | |
Unrealized appreciation on spot foreign currency contracts | | 24,966 | | 28,423 | | 828,110 | |
TOTAL ASSETS | | 84,071,965 | | 17,481,565 | | 311,568,513 | |
| | | | | | | |
LIABILITIES | | | | | | | |
Payable for securities purchased | | — | | 64,247 | | 690,041 | |
Due to custodian | | — | | 32 | | — | |
Foreign currency payable | | — | | — | | 182,730 | |
Variation margin payable | | — | | — | | — | |
Income distributions payable | | — | | — | | — | |
Unrealized depreciation on spot foreign currency contracts | | 24,879 | | 28,448 | | 1,239,065 | |
Unrealized depreciation on forward foreign currency contracts | | — | | 96,915 | | — | |
Payable for Fund shares redeemed | | 27,637 | | — | | 307,654 | |
Investment Advisory fees payable — Note 3 | | 65,296 | | 13,539 | | 247,243 | |
Sub-administration fees payable — Note 3 | | 5,860 | | 1,185 | | 21,634 | |
Trustees’ fees payable — Note 6 | | 568 | | 419 | | 1,067 | |
Distribution fees payable, Advisor Shares — Note 3 | | 6,367 | | 661 | | 18,004 | |
Accrued expenses and other liabilities | | 84,885 | | 108,835 | | 198,645 | |
TOTAL LIABILITIES | | 215,492 | | 314,281 | | 2,906,083 | |
NET ASSETS | | $ | 83,856,473 | | $ | 17,167,284 | | $ | 308,662,430 | |
| | | | | | | |
NET ASSETS | | | | | | | |
Capital paid-in | | $ | 76,435,255 | | $ | 17,370,857 | | $ | 252,082,808 | |
Undistributed (accumulated net investment loss/distributions in excess of) net investment income | | (898,338 | ) | 76,849 | | 480,541 | |
Accumulated net realized gain (loss) on investments, futures and foreign currency transactions | | (5,566,926 | ) | (2,157,475 | ) | 2,808,389 | |
Accumulated foreign capital gains tax on appreciated securities | | — | | (6,900 | ) | (406,587 | ) |
Net unrealized appreciation on investments | | 13,850,065 | | 1,905,647 | | 53,669,540 | |
Net unrealized appreciation (depreciation) on futures | | — | | — | | — | |
Net unrealized appreciation (depreciation) on forward foreign currency contracts and foreign currency translations | | 36,417 | | (21,694 | ) | 27,739 | |
NET ASSETS | | $ | 83,856,473 | | $ | 17,167,284 | | $ | 308,662,430 | |
| | | | | | | |
Investor Shares: | | | | | | | |
Net assets | | $ | 51,711,715 | | $ | 13,733,083 | | $ | 213,178,273 | |
Total shares outstanding at end of period | | 4,453,555 | | 1,389,374 | | 14,318,983 | |
Net asset value, offering and redemption price per share (net assets ÷ shares outstanding) | | $ | 11.61 | | $ | 9.88 | | $ | 14.89 | |
Advisor Shares: | | | | | | | |
Net assets | | $ | 32,144,758 | | $ | 3,434,201 | | $ | 95,484,157 | |
Total shares outstanding at end of period | | 2,772,982 | | 347,687 | | 6,433,417 | |
Net asset value, offering and redemption price per share (net assets ÷ shares outstanding) | | $ | 11.59 | | $ | 9.88 | | $ | 14.84 | |
Cost of securities | | $ | 69,214,987 | | $ | 15,202,507 | | $ | 254,260,665 | |
Cost (proceeds) of foreign currency | | $ | 32,949 | | $ | 2,993 | | $ | (205,420 | ) |
The accompanying notes are an integral part of the financial statements.
72
U.S.
Opportunities
Fund | | U.S. Small
and Mid Cap
Opportunities
Fund | | North
American
Equity Fund | | Total Return
Fixed Income
Fund | |
| | | | | | | |
$ | 194,840,938 | | $ | 289,321,917 | | $ | 506,424,773 | | $ | 83,654,606 | |
— | | — | | 43,636 | | 16,941 | |
— | | — | | 504 | | 12,944 | |
2,779,922 | | 5,464,341 | | 4,458,843 | | 17,993,311 | |
64,574 | | 201,307 | | 3,759 | | 572 | |
73,253 | | 61,215 | | 572,396 | | 1,135,876 | |
— | | 33,672 | | 63,137 | | 31,889 | |
— | | — | | — | | — | |
— | | — | | — | | — | |
— | | — | | 1,921,500 | | 229,530 | |
— | | — | | 2,046 | | — | |
197,758,687 | | 295,082,452 | | 513,490,594 | | 103,075,669 | |
| | | | | | | |
2,603,021 | | 4,443,121 | | 3,114,740 | | 28,931,689 | |
— | | — | | — | | — | |
— | | — | | — | | — | |
— | | — | | — | | 646,717 | |
— | | — | | — | | 31,307 | |
— | | — | | 503 | | — | |
— | | — | | 145,435 | | — | |
256,552 | | 124,212 | | 883 | | 24,385 | |
157,142 | | 171,671 | | 102,311 | | 10,035 | |
13,750 | | 20,328 | | 5,321 | | 7,968 | |
820 | | 1,033 | | 1,526 | | 553 | |
1,014 | | 2,351 | | 53 | | 589 | |
60,303 | | 108,995 | | 145,995 | | 91,250 | |
3,092,602 | | 4,871,711 | | 3,516,767 | | 29,744,493 | |
$ | 194,666,085 | | $ | 290,210,741 | | $ | 509,973,827 | | $ | 73,331,176 | |
| | | | | | | |
$ | 146,116,172 | | $ | 246,841,955 | | $ | 517,737,781 | | $ | 71,271,511 | |
(185,235 | ) | 148,915 | | 2,165,733 | | (105,764 | ) |
6,655,227 | | 8,223,855 | | (75,499,026 | ) | 967,775 | |
— | | — | | — | | — | |
42,079,921 | | 34,996,016 | | 64,419,752 | | 1,450,835 | |
— | | — | | 1,294,317 | | (257,585 | ) |
— | | — | | (144,730 | ) | 4,404 | |
$ | 194,666,085 | | $ | 290,210,741 | | $ | 509,973,827 | | $ | 73,331,176 | |
| | | | | | | |
$ | 191,010,382 | | $ | 277,702,403 | | $ | 509,794,990 | | $ | 70,655,262 | |
7,323,273 | | 21,281,394 | | 48,550,841 | | 7,009,832 | |
| | | | | | | |
$ | 26.08 | | $ | 13.05 | | $ | 10.50 | | $ | 10.08 | |
| | | | | | | |
$ | 3,655,703 | | $ | 12,508,338 | | $ | 178,837 | | $ | 2,675,914 | |
141,713 | | 971,028 | | 17,067 | | 265,235 | |
| | | | | | | |
$ | 25.80 | | $ | 12.88 | | $ | 10.48 | | $ | 10.09 | |
$ | 152,761,017 | | $ | 254,325,901 | | $ | 442,005,021 | | $ | 82,203,771 | |
$ | — | | $ | — | | $ | 504 | | $ | 12,944 | |
73
Schroder Mutual Funds
Statement of Assets and Liabilities
April 30, 2011 (unaudited)
| | Multi-Asset
Growth
Portfolio | |
ASSETS | | | |
Investments in securities, at value — Note 2 | | $ | 6,639,018 | |
Investments in affiliated securities, at value — Note 2 | | 2,534,557 | |
Cash | | 5,567 | |
Initial margin for futures contracts | | 11,200 | |
Unrealized appreciation on forward foreign currency contracts | | 46,360 | |
Unrealized appreciation on spot foreign currency contracts | | 40,198 | |
Dividends and tax reclaims receivable | | 10,197 | |
Prepaid expenses | | 33,429 | |
Due from Investment Advisor — Note 3 | | 21,705 | |
TOTAL ASSETS | | 9,342,231 | |
LIABILITIES | | | |
Foreign currency payable | | 680 | |
Unrealized depreciation on spot foreign currency contracts | | 34,731 | |
Unrealized depreciation on forward foreign currency contracts | | 62,053 | |
Trustees’ fees payable — Note 6 | | 403 | |
Investment advisory fees payable — Note 3 | | 5,467 | |
Sub-administration fees payable — Note 3 | | 638 | |
Distribution fees payable, A Shares — Note 3 | | 688 | |
Distribution fees payable, Advisor Shares — Note 3 | | 941 | |
Distribution fees payable, R Shares — Note 3 | | 194 | |
Accrued expenses and other liabilities | | 77,693 | |
TOTAL LIABILITIES | | 183,488 | |
NET ASSETS | | $ | 9,158,743 | |
NET ASSETS | | | |
Capital paid-in | | $ | 18,192,814 | |
Undistributed net investment income | | 72,857 | |
Accumulated net realized loss on investments, affiliated investments, futures and foreign currency transactions | | (10,740,122 | ) |
Net unrealized appreciation on investments and affiliated investments | | 1,640,009 | |
Net unrealized appreciation on futures | | 8,878 | |
Net unrealized depreciation on forward foreign currency contracts and foreign currency translations | | (15,693 | ) |
NET ASSETS | | $ | 9,158,743 | |
Investor Shares: | | | |
Net assets | | $ | 1,428,765 | |
Total shares outstanding at end of period | | 152,464 | |
Net asset value, offering and redemption price per share (net assets ÷ shares outstanding) | | $ | 9.37 | |
A Shares: | | | |
Net assets | | $ | 2,741,854 | |
Total shares outstanding at end of period | | 291,877 | |
Net asset value, offering and redemption price per share (net assets ÷ shares outstanding) | | $ | 9.39 | |
Maximum offering price per share ($9.39 ÷ 95.5%) | | $ | 9.83 | |
Advisor Shares: | | | |
Net assets | | $ | 4,486,841 | |
Total shares outstanding at end of period | | 479,145 | |
Net asset value, offering and redemption price per share (net assets ÷ shares outstanding) | | $ | 9.36 | |
R Shares: | | | |
Net assets | | $ | 501,283 | |
Total shares outstanding at end of period | | 53,589 | |
Net asset value, offering and redemption price per share (net assets ÷ shares outstanding) | | $ | 9.35 | |
Cost of securities | | $ | 6,026,879 | |
Cost of affiliated securities | | $ | 1,506,687 | |
Proceeds of foreign currency | | $ | (680 | ) |
The accompanying notes are an integral part of the financial statements.
74
This page intentionally left blank.
Schroder Mutual Funds
Statements of Operations
For the Period Ended April 30, 2011 (unaudited)
| | International
Alpha Fund | | International
Multi-Cap
Value Fund | |
INVESTMENT INCOME | | | | | |
Dividend income | | $ | 1,044,879 | | $ | 316,028 | |
Interest income | | — | | — | |
Foreign taxes withheld | | (106,753 | ) | (28,264 | ) |
TOTAL INCOME | | 938,126 | | 287,764 | |
EXPENSES | | | | | |
Investment Advisory fees — Note 3 | | 376,858 | | 72,598 | |
Distribution fees, Advisor Shares — Note 3 | | 36,668 | | 3,305 | |
Distribution fees, A Shares — Note 3 | | — | | — | |
Distribution fees, R Shares — Note 3 | | — | | — | |
Sub-administration fees — Note 3 | | 33,821 | | 6,352 | |
Trustees fees — Note 6 | | 7,662 | | 5,511 | |
Transfer agent fees | | 47,363 | | 45,216 | |
Registration fees | | 14,984 | | 16,617 | |
Audit fees | | 17,725 | | 16,545 | |
Legal fees | | 24,684 | | 17,774 | |
Custodian fees | | 14,206 | | 16,878 | |
Insurance | | 9,737 | | 6,955 | |
Printing | | 7,508 | | 5,128 | |
Pricing fees | | 4,162 | | 43,267 | |
Other | | 3,596 | | 10,438 | |
TOTAL EXPENSES | | 598,974 | | 266,584 | |
Expenses waived by Investment Advisor — Note 3 | | (117,798 | ) | (72,598 | ) |
Reimbursement from Investment Advisor | | — | | (107,192 | ) |
NET EXPENSES | | 481,176 | | 86,794 | |
NET INVESTMENT INCOME (LOSS) | | 456,950 | | 200,970 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, AFFILIATED INVESTMENTS, FUTURES AND FOREIGN CURRENCY TRANSACTIONS AND TRANSLATIONS | | | | | |
Net realized gain on investments sold | | 7,719,187 | | 905,236 | |
Net realized gain on affiliated investments | | — | | — | |
Net realized gain (loss) on futures | | — | | (43,337 | ) |
Net realized gain (loss) on foreign currency transactions | | (11,115 | ) | 13,541 | |
Net realized gain on investments, affiliated investments, futures and foreign currency transactions | | 7,708,072 | | 875,440 | |
| | | | | |
Change in unrealized appreciation (depreciation) on investments | | 1,538,328 | | 918,603 | |
Change in unrealized depreciation on affiliated investments | | — | | — | |
Change in unrealized depreciation on futures | | — | | — | |
Change in unrealized on foreign capital gains tax on appreciated securities | | — | | (6,900 | ) |
Change in unrealized appreciation (depreciation) on forward foreign currency contracts and foreign currency translations | | 26,290 | | (24,589 | ) |
Net change in unrealized appreciation (depreciation) on investments, affiliated investments, forward foreign currency contracts and foreign currency translations | | 1,564,618 | | 887,114 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | 9,272,690 | | 1,762,554 | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 9,729,640 | | $ | 1,963,524 | |
† Includes realized gains or losses from in-kind transactions (see Note 7 in Notes to Financial Statements).
The accompanying notes are an integral part of the financial statements.
76
Emerging
Market Equity
Fund | | U.S.
Opportunities
Fund | | U.S. Small
and Mid Cap
Opportunities
Fund | | North
American
Equity Fund | | Total Return
Fixed Income
Fund | | Multi-Asset
Growth
Portfolio | |
| | | | | | | | | | | |
$ | 2,844,166 | | $ | 1,026,179 | | $ | 1,153,182 | | $ | 4,900,891 | | $ | — | | $ | 195,721 | |
— | | — | | — | | — | | 2,253,782 | | — | |
(247,933 | ) | (2,611 | ) | (2,216 | ) | (28,407 | ) | — | | — | |
2,596,233 | | 1,023,568 | | 1,150,966 | | 4,872,484 | | 2,253,782 | | 195,721 | |
| | | | | | | | | | | |
1,328,695 | | 934,340 | | 929,558 | | 601,302 | | 152,717 | | 31,759 | |
107,338 | | 4,027 | | 13,930 | | 314 | | 4,070 | | 5,143 | |
— | | — | | — | | — | | — | | 3,219 | |
— | | — | | — | | — | | — | | 1,180 | |
116,258 | | 81,757 | | 81,337 | | 31,268 | | 53,449 | | 3,705 | |
13,819 | | 11,231 | | 9,988 | | 21,053 | | 9,031 | | 5,326 | |
53,053 | | 51,487 | | 49,930 | | 57,933 | | 48,561 | | 85,496 | |
24,919 | | 16,912 | | 16,917 | | 31,294 | | 25,224 | | 24,779 | |
15,300 | | 16,839 | | 16,757 | | 17,347 | | 18,132 | | 17,417 | |
46,130 | | 34,808 | | 44,355 | | 67,916 | | 22,905 | | 17,620 | |
121,458 | | 16,445 | | 14,860 | | 20,711 | | 13,363 | | 4,482 | |
15,060 | | 14,975 | | 10,992 | | 28,747 | | 13,249 | | 6,717 | |
26,297 | | 20,225 | | 12,041 | | 14,435 | | 4,372 | | 3,137 | |
9,950 | | 1,779 | | 1,366 | | 5,366 | | 21,568 | | 156 | |
6,451 | | 3,978 | | 10,671 | | 6,474 | | 2,423 | | 4,224 | |
1,884,728 | | 1,208,803 | | 1,212,702 | | 904,160 | | 389,064 | | 214,360 | |
(116,514 | ) | — | | (222,725 | ) | — | | (140,643 | ) | (31,759 | ) |
— | | — | | — | | — | | — | | (130,716 | ) |
1,768,214 | | 1,208,803 | | 989,977 | | 904,160 | | 248,421 | | 51,885 | |
828,019 | | (185,235 | ) | 160,989 | | 3,968,324 | | 2,005,361 | | 143,836 | |
| | | | | | | | | | | |
5,489,230 | | 18,290,595 | | 8,696,374 | | 31,460,292 | | 2,690 | † | 184,607 | |
— | | — | | — | | — | | — | | 230,076 | |
— | | — | | — | | 3,791,630 | | 958,375 | | 37,696 | |
(86,021 | ) | (1,213 | ) | (736 | ) | (787,652 | ) | 72,352 | | (30,898 | ) |
| | | | | | | | | | | |
5,403,209 | | 18,289,382 | | 8,695,638 | | 34,464,270 | | 1,033,417 | | 421,481 | |
| | | | | | | | | | | |
24,767,818 | | 14,035,023 | | 22,464,955 | | 33,418,553 | | (2,186,774 | ) | 353,350 | |
— | | — | | — | | — | | — | | (49,995 | ) |
— | | — | | — | | (995,913 | ) | (214,119 | ) | (5,304 | ) |
(406,587 | ) | — | | — | | — | | — | | — | |
27,044 | | — | | — | | (137,645 | ) | (48,736 | ) | 19,393 | |
| | | | | | | | | | | |
24,388,275 | | 14,035,023 | | 22,464,955 | | 32,284,995 | | (2,449,629 | ) | 317,444 | |
29,791,484 | | 32,324,405 | | 31,160,593 | | 66,749,265 | | (1,416,212 | ) | 738,925 | |
$ | 30,619,503 | | $ | 32,139,170 | | $ | 31,321,582 | | $ | 70,717,589 | | $ | 589,149 | | $ | 882,761 | |
77
Schroder Mutual Funds
Statements of Changes in Net Assets
For the Six Month Period Ended April 30, 2011 (unaudited) and the Year Ended October 31, 2010
| | International Alpha Fund | | International Multi-Cap Value
Fund | |
| | Six Months
Ended April 30,
2011 | | Year Ended
October 31,
2010 | | Six Months
Ended April 30,
2011 | | Year Ended
October 31,
2010 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | |
From Operations: | | | | | | | | | |
Net investment income (loss) | | $ | 456,950 | | $ | 408,545 | | $ | 200,970 | | $ | 361,490 | |
Net realized gain on investments, futures and foreign currency transactions | | 7,708,072 | | 5,626,787 | | 875,440 | | 640,382 | |
Change in unrealized appreciation on investments, futures, forward foreign currency contracts and foreign currency translations | | 1,564,618 | | 4,307,126 | | 887,114 | | 856,357 | |
Net increase in net assets resulting from operations | | 9,729,640 | | 10,342,458 | | 1,963,524 | | 1,858,229 | |
| | | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | | |
Net investment income: | | | | | | | | | |
Investor Shares | | (1,070,345 | ) | (269,303 | ) | (358,944 | ) | (310,675 | ) |
Advisor Shares | | (564,691 | ) | (652,009 | ) | (69,630 | ) | (44,616 | ) |
Net realized gains: | | | | | | | | | |
Investor Shares | | — | | — | | — | | — | |
Advisor Shares | | — | | — | | — | | — | |
Total dividends and distributions | | (1,635,036 | ) | (921,312 | ) | (428,574 | ) | (355,291 | ) |
| | | | | | | | | |
Share Transactions: | | | | | | | | | |
Investor Shares: | | | | | | | | | |
Sales of shares | | 7,065,455 | | 29,731,581 | | 1,562,524 | | 312,808 | |
Reinvestment of distributions | | 495,645 | | 226,636 | | 31,043 | | 310,675 | |
Redemption of shares | | (7,241,551 | ) | (3,818,042 | ) | (148,073 | ) | (79,997 | ) |
Redemption of shares in-kind | | — | | — | | — | | — | |
Redemption fees - Note 5 | | 6 | | 416 | | — | | — | |
Total increase (decrease) from Investor Share transactions | | 319,555 | | 26,140,591 | | 1,445,494 | | 543,486 | |
Advisor Shares: | | | | | | | | | |
Sales of shares | | 4,192,832 | | 4,386,896 | | 1,118,043 | | 777,133 | |
Reinvestment of distributions | | 520,745 | | 629,776 | | 32,922 | | 44,484 | |
Redemption of shares | | (3,570,697 | ) | (21,576,805 | ) | (180,932 | ) | (223,140 | ) |
Redemption of shares in-kind | | — | | — | | — | | — | |
Redemption fees - Note 5 | | — | | 2,061 | | 20 | | 148 | |
Total increase (decrease) from Advisor Share transactions | | 1,142,880 | | (16,558,072 | ) | 970,053 | | 598,625 | |
Net increase (decrease) in net assets from share transactions | | 1,462,435 | | 9,582,519 | | 2,415,547 | | 1,142,111 | |
Total increase in net assets | | 9,557,039 | | 19,003,665 | | 3,950,497 | | 2,645,049 | |
Net Assets | | | | | | | | | |
Beginning of period | | 74,299,434 | | 55,295,769 | | 13,216,787 | | 10,571,738 | |
End of period | | $ | 83,856,473 | | $ | 74,299,434 | | $ | 17,167,284 | | $ | 13,216,787 | |
Undistributed (accumulated net investment loss/distributions in excess of) net investment income | | $ | (898,338 | ) | $ | 279,748 | | $ | 76,849 | | $ | 304,453 | |
The accompanying notes are an integral part of the financial statements.
78
Emerging Market Equity Fund | | U.S. Opportunities Fund | | U.S. Small and Mid Cap
Opportunities Fund | |
Six Months
Ended April 30,
2011 | | Year Ended
October 31,
2010 | | Six Months
Ended April 30,
2011 | | Year Ended
October 31,
2010 | | Six Months
Ended April 30,
2011 | | Year Ended
October 31,
2010 | |
| | | | | | | | | | | |
$ | 828,019 | | $ | 1,066,501 | | $ | (185,235 | ) | $ | (920,177 | ) | $ | 160,989 | | $ | (109,454 | ) |
5,403,209 | | 3,087,680 | | 18,289,382 | | 22,355,404 | | 8,695,638 | | 4,482,718 | |
24,388,275 | | 22,682,108 | | 14,035,023 | | 11,259,018 | | 22,464,955 | | 8,926,889 | |
30,619,503 | | 26,836,289 | | 32,139,170 | | 32,694,245 | | 31,321,582 | | 13,300,153 | |
| | | | | | | | | | | |
(771,689 | ) | (232,619 | ) | — | | — | | — | | — | |
(241,589 | ) | (160,075 | ) | — | | — | | — | | — | |
| | | | | | | | | | | |
(446,768 | ) | — | | — | | — | | (2,600,911 | ) | — | |
(242,237 | ) | — | | — | | — | | (231,110 | ) | — | |
(1,702,283 | ) | (392,694 | ) | — | | — | | (2,832,021 | ) | — | |
| | | | | | | | | | | |
60,202,881 | | 112,693,987 | | 6,768,548 | | 9,119,019 | | 155,417,401 | | 84,184,389 | |
1,034,252 | | 162,214 | | — | | — | | 1,879,721 | | — | |
(20,150,833 | ) | (11,058,440 | ) | (20,972,299 | ) | (30,352,894 | ) | (18,453,975 | ) | (20,485,770 | ) |
— | | — | | — | | — | | — | | — | |
494 | | 15,485 | | 311 | | 1,070 | | 98,930 | | 1,349 | |
41,086,794 | | 101,813,246 | | (14,203,440 | ) | (21,232,805 | ) | 138,942,077 | | 63,699,968 | |
| | | | | | | | | | | |
21,255,190 | | 91,866,519 | | 414,395 | | 351,739 | | 2,200,988 | | 5,788,842 | |
467,446 | | 157,498 | | — | | — | | 220,154 | | — | |
(23,334,212 | ) | (27,562,814 | ) | (266,619 | ) | (723,997 | ) | (1,374,898 | ) | (743,744 | ) |
— | | — | | — | | — | | — | | — | |
12,825 | | 38,739 | | — | | — | | 772 | | 527 | |
(1,598,751 | ) | 64,499,942 | | 147,776 | | (372,258 | ) | 1,047,016 | | 5,045,625 | |
39,488,043 | | 166,313,188 | | (14,055,664 | ) | (21,605,063 | ) | 139,989,093 | | 68,745,593 | |
68,405,263 | | 192,756,783 | | 18,083,506 | | 11,089,182 | | 168,478,654 | | 82,045,746 | |
| | | | | | | | | | | |
240,257,167 | | 47,500,384 | | 176,582,579 | | 165,493,397 | | 121,732,087 | | 39,686,341 | |
$ | 308,662,430 | | $ | 240,257,167 | | $ | 194,666,085 | | $ | 176,582,579 | | $ | 290,210,741 | | $ | 121,732,087 | |
| | | | | | | | | | | |
$ | 480,541 | | $ | 665,800 | | $ | (185,235 | ) | $ | — | | $ | 148,915 | | $ | (12,074 | ) |
79
Schroder Mutual Funds
Statements of Changes in Net Assets
For the Six Month Period Ended April 30, 2011 (unaudited) and the Year Ended October 31, 2010
| | North American Equity Fund | | Total Return Fixed Income Fund | |
| | Six Months
Ended April 30,
2011 | | Year Ended
October 31,
2010 | | Six Months
Ended April 30,
2011 | | Year Ended
October 31,
2010 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | |
From Operations: | | | | | | | | | |
Net investment income | | $ | 3,968,324 | | $ | 7,789,545 | | $ | 2,005,361 | | $ | 6,363,225 | |
Net realized gain on investments, futures and foreign currency transactions | | 34,464,270 | | 6,071,138 | | 1,033,417 | † | 10,952,633 | † |
Change in unrealized appreciation (depreciation) on investments, futures, forward foreign currency contracts and foreign currency translations | | 32,284,995 | | 49,171,612 | | (2,449,629 | ) | (2,004,790 | ) |
Net increase in net assets resulting from operations | | 70,717,589 | | 63,032,295 | | 589,149 | | 15,311,068 | |
| | | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | | |
Net investment income: | | | | | | | | | |
Investor Shares | | (6,799,965 | ) | (6,697,194 | ) | (1,955,590 | ) | (6,399,877 | ) |
Advisor Shares | | (2,261 | ) | (1,744 | ) | (49,679 | ) | (204,227 | ) |
Net realized gains: | | | | | | | | | |
Investor Shares | | — | | — | | (3,551,562 | ) | (5,972,324 | ) |
Advisor Shares | | — | | — | | (109,017 | ) | (188,056 | ) |
Total dividends and distributions | | (6,802,226 | ) | (6,698,938 | ) | (5,665,848 | ) | (12,764,484 | ) |
| | | | | | | | | |
Share Transactions: | | | | | | | | | |
Investor Shares: | | | | | | | | | |
Sales of shares | | 26,136,949 | | 83,713,990 | | 25,795,022 | | 74,398,741 | |
Reinvestment of distributions | | 5,772,543 | | 4,892,614 | | 4,803,326 | | 11,301,057 | |
Redemption of shares | | (75,138,390 | ) | (31,105,919 | ) | (14,565,843 | ) | (54,449,946 | ) |
Redemption of shares in-kind | | — | | — | | (63,327,140 | ) | (69,767,669 | ) |
Redemption fees - Note 5 | | — | | — | | — | | — | |
Total increase (decrease) from Investor Share transactions | | (43,228,898 | ) | 57,500,685 | | (47,294,635 | ) | (38,517,817 | ) |
Advisor Shares: | | | | | | | | | |
Sales of shares | | 16,100 | | 43,235 | | 184,884 | | 1,717,746 | |
Reinvestment of distributions | | 2,261 | | 1,744 | | 138,888 | | 319,565 | |
Redemption of shares | | (33,632 | ) | (6,543 | ) | (1,601,076 | ) | (4,938,214 | ) |
Redemption fees - Note 5 | | — | | — | | — | | — | |
Total increase (decrease) from Advisor Share transactions | | (15,271 | ) | 38,436 | | (1,277,304 | ) | (2,900,903 | ) |
Net increase (decrease) in net assets from share transactions | | (43,244,169 | ) | 57,539,121 | | (48,571,939 | ) | (41,418,720 | ) |
Total increase (decrease) in net assets | | 20,671,194 | | 113,872,478 | | (53,648,638 | ) | (38,872,136 | ) |
Net Assets | | | | | | | | | |
Beginning of period | | 489,302,633 | | 375,430,155 | | 126,979,814 | | 165,851,950 | |
End of period | | $ | 509,973,827 | | $ | 489,302,633 | | $ | 73,331,176 | | $ | 126,979,814 | |
Undistributed (accumulated net investment loss/distributions in excess of) net investment income | | $ | 2,165,733 | | $ | 4,999,635 | | $ | (105,764 | ) | $ | (105,856 | ) |
† Includes realized gains or losses from in-kind transactions (see Note 7 in Notes to Financial Statements).
The accompanying notes are an integral part of the financial statements.
80
Schroder Mutual Funds
Statements of Changes in Net Assets
For the Period Ended April 30, 2011 (unaudited) and the Year Ended October 31, 2010
| | Multi-Asset Growth
Portfolio | |
| | Six Months
Ended April 30,
2011 | | Year Ended
October 31,
2010 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | |
From Operations: | | | | | |
Net investment income | | $ | 143,836 | | $ | 168,135 | |
Net realized gain on investments, affiliated investments, futures and foreign currency transactions | | 421,481 | | 320,845 | |
Change in unrealized appreciation on investments, affiliated investments, futures, forward foreign currency contracts and foreign currency translations | | 317,444 | | 452,391 | |
| | | | | |
Net increase in net assets resulting from operations | | 882,761 | | 941,371 | |
| | | | | |
Dividends and Distributions to Shareholders: | | | | | |
Net investment income: | | | | | |
Investor Shares | | (50,896 | ) | (14,813 | ) |
A Shares | | (92,340 | ) | (51,806 | ) |
Advisor Shares | | (146,331 | ) | (73,802 | ) |
R Shares | | (16,034 | ) | (8,406 | ) |
Total dividends and distributions | | (305,601 | ) | (148,827 | ) |
| | | | | |
Share Transactions: | | | | | |
| | | | | |
Investor Shares: | | | | | |
Sales of shares | | 303,740 | | 595,278 | |
Reinvestment of distributions | | 16,335 | | 14,813 | |
Redemption of shares | | (150,322 | ) | (137,846 | ) |
Redemption of shares in-kind | | — | | 95 | |
Total increase from Investor Share transactions | | 169,753 | | 472,340 | |
A Shares: | | | | | |
Sales of shares | | 11,354 | | 117,768 | |
Reinvestment of distributions | | 92 | | 45,079 | |
Redemption of shares | | (492 | ) | (370,534 | ) |
Redemption of shares in-kind | | — | | 24 | |
Total increase (decrease) from A Share transactions | | 10,954 | | (207,663 | ) |
Advisor Shares: | | | | | |
Sales of shares | | 210,408 | | 623,484 | |
Reinvestment of distributions | | 5,563 | | 73,802 | |
Redemption of shares | | (22,803 | ) | (361,505 | ) |
Redemption of shares in-kind | | — | | — | |
Total increase from Advisor Share transactions | | 193,168 | | 335,781 | |
R Shares: | | | | | |
Reinvestment of distributions | | — | | 8,406 | |
Total increase from R Share transactions | | — | | 8,406 | |
Net increase in net assets from share transactions | | 373,875 | | 608,864 | |
Total increase in net assets | | 951,035 | | 1,401,408 | |
Net Assets | | | | | |
Beginning of period | | 8,207,708 | | 6,806,300 | |
End of period | | $ | 9,158,743 | | $ | 8,207,708 | |
Undistributed net investment income | | $ | 72,857 | | $ | 234,622 | |
81
Schroder Mutual Funds
Financial Highlights
For the Period Ended April 30, 2011 (unaudited) and the Years or Periods Ended October 31, (unless otherwise indicated)
Selected Per Share Data and Ratios for a Share Outstanding Throughout each Year or Period
| | Net Asset
Value,
Beginning of
Period | | Net
Investment
Income
(Loss) | | Net Realized
and
Unrealized
Gains
(Losses) | | Total from
Investment
Operations | | Dividends
from Net
Investment
Income | | Distributions
from Net
Realized Gain | | Total
Distributions | |
International Alpha Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 10.51 | | $ | 0.07 | (1) | $ | 1.27 | | $ | 1.34 | | $ | (0.24 | ) | $ | — | | $ | (0.24 | ) |
2010 | | 9.00 | | 0.08 | (1) | 1.60 | | 1.68 | | (0.17 | ) | — | | (0.17 | ) |
2009 | | 6.73 | | 0.13 | (1) | 2.21 | † | 2.34 | | (0.07 | ) | — | | (0.07 | ) |
2008 | | 13.44 | | 0.14 | (1) | (6.61 | )† | (6.47 | ) | (0.24 | ) | — | | (0.24 | ) |
2007 | | 10.64 | | 0.11 | (1) | 2.78 | † | 2.89 | | (0.09 | ) | — | | (0.09 | ) |
2006 | | 8.35 | | 0.12 | | 2.34 | | 2.46 | | (0.17 | ) | — | | (0.17 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 10.47 | | $ | 0.05 | (1) | $ | 1.28 | | $ | 1.33 | | $ | (0.21 | ) | $ | — | | $ | (0.21 | ) |
2010 | | 8.97 | | 0.06 | (1) | 1.59 | | 1.65 | | (0.15 | ) | — | | (0.15 | ) |
2009 | | 6.71 | | 0.11 | (1) | 2.20 | † | 2.31 | | (0.05 | ) | — | | (0.05 | ) |
2008 | | 13.40 | | 0.11 | (1) | (6.59 | )† | (6.48 | ) | (0.21 | ) | — | | (0.21 | ) |
2007 | | 10.64 | | 0.07 | (1) | 2.77 | † | 2.84 | | (0.08 | ) | — | | (0.08 | ) |
2006(b) | | 10.23 | | — | (c) | 0.41 | † | 0.41 | | — | | — | | — | |
International Multi-Cap Value Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 8.95 | | $ | 0.13 | (1) | $ | 1.09 | | $ | 1.22 | | $ | (0.29 | ) | $ | — | | $ | (0.29 | ) |
2010 | | 7.91 | | 0.26 | (1) | 1.05 | | 1.31 | | (0.27 | ) | — | | (0.27 | ) |
2009 | | 5.61 | | 0.20 | (1) | 2.37 | | 2.57 | | (0.27 | ) | — | | (0.27 | ) |
2008 | | 13.65 | | 0.37 | (1) | (6.34 | )† | (5.97 | ) | (0.59 | ) | (1.48 | ) | (2.07 | ) |
2007 | | 10.54 | | 0.48 | | 2.80 | | 3.28 | | (0.11 | ) | (0.06 | ) | (0.17 | ) |
2006(d) | | 10.00 | | 0.04 | | 0.50 | | 0.54 | | — | | — | | — | |
Advisor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 8.94 | | $ | 0.12 | (1) | $ | 1.09 | | $ | 1.21 | | $ | (0.27 | ) | $ | — | | $ | (0.27 | ) |
2010 | | 7.91 | | 0.24 | (1) | 1.04 | | 1.28 | | (0.25 | ) | — | | (0.25 | ) |
2009 | | 5.59 | | 0.19 | (1) | 2.38 | †† | 2.57 | | (0.25 | ) | — | | (0.25 | ) |
2008 | | 13.62 | | 0.34 | (1) | (6.33 | )† | (5.99 | ) | (0.56 | ) | (1.48 | ) | (2.04 | ) |
2007 | | 10.53 | | 0.43 | | 2.83 | † | 3.26 | | (0.11 | ) | (0.06 | ) | (0.17 | ) |
2006(d) | | 10.00 | | 0.04 | | 0.49 | | 0.53 | | — | | — | | — | |
Emerging Market Equity Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 13.42 | | $ | 0.05 | (1) | $ | 1.52 | | $ | 1.57 | | $ | (0.06 | ) | $ | (0.04 | ) | $ | (0.10 | ) |
2010 | | 11.34 | | 0.10 | (1) | 2.04 | | 2.14 | | (0.06 | ) | — | | (0.06 | ) |
2009 | | 6.99 | | 0.12 | (1) | 4.24 | †† | 4.36 | | (0.01 | ) | — | | (0.01 | ) |
2008 | | 17.91 | | 0.11 | | (8.94 | )† | (8.83 | ) | (0.14 | ) | (1.95 | ) | (2.09 | ) |
2007 | | 10.55 | | 0.04 | | 7.37 | | 7.41 | | (0.05 | ) | — | | (0.05 | ) |
2006(e) | | 10.00 | | 0.04 | | 0.51 | | 0.55 | | — | | — | | — | |
Advisor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 13.36 | | $ | 0.03 | (1) | $ | 1.53 | | $ | 1.56 | | $ | (0.04 | ) | $ | (0.04 | ) | $ | (0.08 | ) |
2010 | | 11.32 | | 0.08 | (1) | 2.02 | | 2.10 | | (0.06 | ) | — | | (0.06 | ) |
2009 | | 6.97 | | 0.05 | (1) | 4.30 | ††† | 4.35 | | — | | — | | — | |
2008 | | 17.86 | | 0.08 | | (8.91 | )† | (8.83 | ) | (0.11 | ) | (1.95 | ) | (2.06 | ) |
2007 | | 10.53 | | 0.02 | | 7.34 | | 7.36 | | (0.03 | ) | — | | (0.03 | ) |
2006(e) | | 10.00 | | 0.04 | | 0.49 | | 0.53 | | — | | — | | — | |
U.S. Opportunities Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 21.94 | | $ | (0.02 | )(1) | $ | 4.16 | | $ | 4.14 | | $ | — | | $ | — | | $ | — | |
2010 | | 18.15 | | (0.11 | )(1) | 3.90 | | 3.79 | | — | | — | | — | |
2009 | | 15.79 | | (0.07 | )(1) | 2.43 | † | 2.36 | | — | | — | | — | |
2008 | | 25.40 | | (0.06 | )(1) | (7.22 | )† | (7.28 | ) | (0.03 | ) | (2.30 | ) | (2.33 | ) |
2007 | | 23.06 | | 0.02 | (1) | 4.30 | † | 4.32 | | — | | (1.98 | ) | (1.98 | ) |
2006 | | 19.66 | | — | (c) | 4.15 | † | 4.15 | | — | | (0.75 | ) | (0.75 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 21.73 | | $ | (0.05 | )(1) | $ | 4.12 | | $ | 4.07 | | $ | — | | $ | — | | $ | — | |
2010 | | 18.01 | | (0.15 | )(1) | 3.87 | | 3.72 | | — | | — | | — | |
2009 | | 15.71 | | (0.11 | )(1) | 2.41 | | 2.30 | | — | | — | | — | |
2008 | | 25.32 | | (0.11 | )(1) | (7.20 | ) | (7.31 | ) | — | | (2.30 | ) | (2.30 | ) |
2007 | | 23.04 | | (0.04 | )(1) | 4.30 | †† | 4.26 | | — | | (1.98 | ) | (1.98 | ) |
2006(b) | | 22.21 | | — | (c) | 0.83 | | 0.83 | | — | | — | | — | |
* | | For the six months ended April 30, 2011 (unaudited). All ratios for the period have been annualized, except for the Portfolio Turnover Rate. |
** | | Had custody offsets been included the ratios would have been 1.75% and 2.00% for the Investor Shares and Advisor Shares, respectively. |
†† | | Includes redemption fees of $0.01 per share. |
††† | | Includes redemption fees of $0.02 per share. |
(1) | | Per share net investment income (loss) calculated using average shares. |
The accompanying notes are an integral part of the financial statements.
82
Net Asset
Value,
End of
Period | | Total
Return(a) | | Net Assets,
End of
Period (000) | | Ratio of Expenses to
Average Net Assets
(Including Waivers and
Reimbursements,
Excluding Offsets) | | Ratio of Expenses to
Average Net Assets
(Excluding Waivers,
Reimbursements and
Offsets) | | Ratio of Net Investment
Income (Loss) to Average
Net Assets (Including
Waivers, Reimbursements
and Offsets) | | Portfolio
Turnover
Rate | |
| | | | | | | | | | | | | |
$ | 11.61 | | 13.04 | % | $ | 51,712 | | 1.15 | % | 1.45 | % | 1.28 | % | 56 | % |
10.51 | | 18.90 | | 46,392 | | 1.15 | | 1.63 | | 0.82 | | 101 | |
9.00 | | 35.28 | | 15,878 | | 1.15 | | 1.75 | | 1.82 | | 109 | |
6.73 | | (48.95 | ) | 15,876 | | 1.25 | | 1.61 | | 1.26 | | 88 | |
13.44 | | 27.38 | | 28,483 | | 1.25 | | 1.54 | | 0.92 | | 112 | |
10.64 | | 29.86 | | 22,962 | | 1.25 | | 2.45 | | 1.68 | | 76 | |
| | | | | | | | | | | | | |
$ | 11.59 | | 12.96 | % | $ | 32,145 | | 1.40 | % | 1.71 | % | 1.03 | % | 56 | % |
10.47 | | 18.61 | | 27,908 | | 1.40 | | 1.89 | | 0.69 | | 101 | |
8.97 | | 34.84 | | 39,418 | | 1.40 | | 1.99 | | 1.49 | | 109 | |
6.71 | | (49.04 | ) | 15,430 | | 1.50 | | 1.86 | | 1.04 | | 88 | |
13.40 | | 26.92 | | 28,308 | | 1.50 | | 1.77 | | 0.60 | | 112 | |
10.64 | | 4.01 | | 21,481 | | 1.50 | | 2.43 | | (0.03 | ) | 76 | |
| | | | | | | | | | | | | |
$ | 9.88 | | 14.06 | % | $ | 13,733 | | 1.15 | % | 3.63 | % | 2.76 | % | 43 | % |
8.95 | | 16.96 | | 11,049 | | 1.15 | | 4.56 | | 3.20 | | 90 | |
7.91 | | 48.45 | | 9,230 | | 1.15 | | 5.49 | | 3.23 | | 140 | |
5.61 | | 50.61 | | 7,274 | | 1.25 | | 3.65 | | 3.92 | | 50 | |
13.65 | | 31.56 | | 12,479 | | 1.25 | | 3.85 | | 2.97 | | 58 | |
10.54 | | 5.40 | | 9,484 | | 1.25 | | 8.61 | | 2.30 | | 7 | |
| | | | | | | | | | | | | |
$ | 9.88 | | 13.99 | % | $ | 3,434 | | 1.40 | % | 3.87 | % | 2.61 | % | 43 | % |
8.94 | | 16.64 | | 2,168 | | 1.40 | | 4.83 | | 2.94 | | 90 | |
7.91 | | 48.42 | | 1,342 | | 1.40 | | 5.71 | | 3.01 | | 140 | |
5.59 | | (50.78 | ) | 771 | | 1.50 | | 3.89 | | 3.58 | | 50 | |
13.62 | | 31.31 | | 1,660 | | 1.50 | | 4.12 | | 2.76 | | 58 | |
10.53 | | 5.30 | | 1,053 | | 1.50 | | 8.86 | | 2.05 | | 7 | |
| | | | | | | | | | | | | |
$ | 14.89 | | 11.79 | % | $ | 213,178 | | 1.25 | % | 1.34 | % | 0.71 | % | 34 | % |
13.42 | | 18.97 | | 152,681 | | 1.25 | | 1.53 | | 0.82 | | 75 | |
11.34 | | 62.38 | | 33,479 | | 1.25 | | 2.61 | | 1.34 | | 91 | |
6.99 | | (55.18 | ) | 16,312 | | 1.72 | | 2.51 | | 0.53 | | 123 | |
17.91 | | 70.50 | | 27,774 | | 1.75 | | 2.68 | | 0.37 | | 107 | |
10.55 | | 5.50 | | 12,767 | | 1.87 | ** | 4.88 | | 0.88 | | 49 | |
| | | | | | | | | | | | | |
$ | 14.84 | | 11.70 | % | $ | 95,484 | | 1.50 | % | 1.59 | % | 0.43 | % | 34 | % |
13.36 | | 18.60 | | 87,577 | | 1.50 | | 1.81 | | 0.64 | | 75 | |
11.32 | | 62.41 | | 14,021 | | 1.50 | | 2.47 | | 0.55 | | 91 | |
6.97 | | (55.25 | ) | 1,061 | | 1.98 | | 2.73 | | 0.20 | | 123 | |
17.86 | | 70.09 | | 2,594 | | 2.00 | | 2.95 | | 0.08 | | 107 | |
10.53 | | 5.30 | | 1,053 | | 2.12 | ** | 5.10 | | 0.71 | | 49 | |
| | | | | | | | | | | | | |
$ | 26.08 | | 18.87 | % | $ | 191,010 | | 1.29 | % | 1.29 | % | (0.19 | )% | 40 | % |
21.94 | | 20.88 | | 173,625 | | 1.33 | | 1.33 | | (0.52 | ) | 57 | |
18.15 | | 14.95 | | 162,694 | | 1.40 | | 1.40 | | (0.45 | ) | 64 | |
15.79 | | (31.08 | ) | 178,772 | | 1.25 | | 1.25 | | (0.29 | ) | 74 | |
25.40 | | 20.02 | | 302,351 | | 1.25 | | 1.25 | | 0.10 | | 77 | |
23.06 | | 21.67 | | 231,009 | | 1.21 | | 1.21 | | (0.11 | ) | 101 | |
| | | | | | | | | | | | | |
$ | 25.80 | | 18.73 | % | $ | 3,656 | | 1.54 | % | 1.54 | % | (0.46 | )% | 40 | % |
21.73 | | 20.66 | | 2,957 | | 1.58 | | 1.58 | | (0.77 | ) | 57 | |
18.01 | | 14.64 | | 2,800 | | 1.65 | | 1.65 | | (0.71 | ) | 64 | |
15.71 | | (31.28 | ) | 3,337 | | 1.50 | | 1.50 | | (0.54 | ) | 74 | |
25.32 | | 19.76 | | 5,910 | | 1.50 | | 1.50 | | (0.17 | ) | 77 | |
23.04 | | 3.74 | | 667 | | 1.68 | | 1.68 | | (0.31 | ) | 101 | |
(a) | | Total returns would have been lower had certain Fund expenses not been waived or reimbursed, as applicable, during the periods shown (See Note 3). Total return calculations for a period of less than one year are not annualized. |
(b) | | Commenced operations on May 15, 2006. All ratios for the period have been annualized, except for the Total Return and the Portfolio Turnover Rate. |
(c) | | Amount was less than $0.01 per share. |
(d) | | Commenced operations on August 30, 2006. All ratios for the period have been annualized, except for the Total Return and the Portfolio Turnover Rate. |
(e) | | Commenced operations on March 31, 2006. All ratios for the period have been annualized, except for the Total Return and the Portfolio Turnover Rate. |
83
Schroder Mutual Funds
Financial Highlights
For the Period Ended April 30, 2011 (unaudited) and the Years or Periods Ended October 31, (unless otherwise indicated)
Selected Per Share Data and Ratios for a Share Outstanding Throughout each Year or Period
| | Net Asset
Value,
Beginning of
Period | | Net
Investment
Income
(Loss) | | Net Realized
and
Unrealized
Gains
(Losses) | | Total from
Investment
Operations | | Dividends
from Net
Investment
Income | | Distributions
from Net
Realized
Gain | | Total
Distributions | |
U.S. Small and Mid Cap Opportunities Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 11.23 | | $ | 0.01 | (1) | $ | 2.07 | | $ | 2.08 | | $ | — | | $ | (0.26 | ) | $ | (0.26 | ) |
2010 | | 9.37 | | (0.01 | )(1) | 1.87 | | 1.86 | | — | | — | | — | |
2009 | | 7.96 | | — | (1)(b) | 1.41 | † | 1.41 | | — | | — | | — | |
2008 | | 12.56 | | (0.04 | )(1) | (3.81 | )† | (3.85 | ) | — | | (0.75 | ) | (0.75 | ) |
2007 | | 10.25 | | (0.03 | )(1) | 2.35 | † | 2.32 | | (0.01 | ) | — | | (0.01 | ) |
2006(c) | | 10.00 | | — | (b) | 0.25 | | 0.25 | | — | | — | | — | |
Advisor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 11.11 | | $ | — | (1) | $ | 2.03 | | $ | 2.03 | | $ | — | | $ | (0.26 | ) | $ | (0.26 | ) |
2010 | | 9.29 | | (0.04 | )(1) | 1.86 | | 1.82 | | — | | — | | — | |
2009 | | 7.91 | | (0.04 | )(1) | 1.42 | † | 1.38 | | — | | — | | — | |
2008 | | 12.53 | | (0.06 | )(1) | (3.81 | )† | (3.87 | ) | — | | (0.75 | ) | (0.75 | ) |
2007 | | 10.23 | | (0.05 | )(1) | 2.35 | † | 2.30 | | — | | — | | — | |
2006(c) | | 10.00 | | — | (b) | 0.23 | | 0.23 | | — | | — | | — | |
North American Equity Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 9.20 | | $ | 0.10 | | $ | 1.35 | | $ | 1.45 | | $ | (0.15 | ) | $ | — | | $ | (0.15 | ) |
2010 | | 8.09 | | 0.13 | | 1.13 | | 1.26 | | (0.15 | ) | — | | (0.15 | ) |
2009 | | 7.58 | | 0.18 | | 0.57 | | 0.75 | | (0.24 | ) | — | | (0.24 | ) |
2008 | | 13.52 | | 0.22 | | (4.37 | ) | (4.15 | ) | (0.28 | ) | (1.51 | ) | (1.79 | ) |
2007 | | 12.63 | | 0.31 | | 1.49 | | 1.80 | | (0.28 | ) | (0.63 | ) | (0.91 | ) |
2006 | | 11.15 | | 0.23 | | 1.53 | | 1.76 | | (0.10 | ) | (0.18 | ) | (0.28 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 9.17 | | $ | 0.08 | | $ | 1.35 | | $ | 1.43 | | $ | (0.12 | ) | $ | — | | $ | (0.12 | ) |
2010 | | 8.07 | | 0.11 | | 1.11 | | 1.22 | | (0.12 | ) | — | | (0.12 | ) |
2009 | | 7.55 | | 0.16 | | 0.57 | | 0.73 | | (0.21 | ) | — | | (0.21 | ) |
2008 | | 13.48 | | 0.22 | | (4.40 | ) | (4.18 | ) | (0.24 | ) | (1.51 | ) | (1.75 | ) |
2007 | | 12.61 | | 0.19 | | 1.56 | | 1.75 | | (0.25 | ) | (0.63 | ) | (0.88 | ) |
2006(c) | | 11.84 | | 0.22 | | 0.55 | | 0.77 | | — | | — | | — | |
Total Return Fixed Income Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 10.50 | | $ | 0.15 | | $ | (0.11 | ) | $ | 0.04 | | $ | (0.16 | ) | $ | (0.30 | ) | $ | (0.46 | ) |
2010 | | 10.33 | | 0.40 | | 0.51 | | 0.91 | | (0.40 | ) | (0.34 | ) | (0.74 | ) |
2009 | | 9.57 | | 0.37 | | 1.01 | | 1.38 | | (0.38 | ) | (0.24 | ) | (0.62 | ) |
2008 | | 9.79 | | 0.41 | | (0.22 | ) | 0.19 | | (0.40 | ) | (0.01 | ) | (0.41 | ) |
2007 | | 9.81 | | 0.50 | | (0.03 | ) | 0.47 | | (0.49 | ) | — | | (0.49 | ) |
2006 | | 9.85 | | 0.48 | | (0.01 | ) | 0.47 | | (0.49 | ) | (0.02 | ) | (0.51 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 10.51 | | $ | 0.15 | | $ | (0.12 | ) | $ | 0.03 | | $ | (0.15 | ) | $ | (0.30 | ) | $ | (0.45 | ) |
2010 | | 10.34 | | 0.37 | | 0.51 | | 0.88 | | (0.37 | ) | (0.34 | ) | (0.71 | ) |
2009 | | 9.57 | | 0.35 | | 1.02 | | 1.37 | | (0.36 | ) | (0.24 | ) | (0.60 | ) |
2008 | | 9.79 | | 0.39 | | (0.22 | ) | 0.17 | | (0.38 | ) | (0.01 | ) | (0.39 | ) |
2007 | | 9.82 | | 0.47 | | (0.04 | ) | 0.43 | | (0.46 | ) | — | | (0.46 | ) |
2006 | | 9.85 | | 0.44 | | — | | 0.44 | | (0.45 | ) | (0.02 | ) | (0.47 | ) |
Multi-Asset Growth Portfolio | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 8.78 | | $ | 0.16 | (1) | $ | 0.77 | | $ | 0.93 | | $ | (0.34 | ) | $ | — | | $ | (0.34 | ) |
2010 | | 7.92 | | 0.19 | (1) | 0.86 | | 1.05 | | (0.19 | ) | — | | (0.19 | ) |
2009 | | 7.01 | | 0.18 | (1) | 1.09 | | 1.27 | | (0.36 | ) | — | | (0.36 | ) |
2008 (d) | | 10.00 | | 0.16 | (1) | (3.15 | ) | (2.99 | ) | — | | — | | — | |
A Shares | | | | | | | | | | | | | | | |
2011* | | $ | 8.79 | | $ | 0.15 | (1) | $ | 0.77 | | $ | 0.92 | | $ | (0.32 | ) | $ | — | | $ | (0.32 | ) |
2010 | | 7.92 | | 0.19 | (1) | 0.84 | | 1.03 | | (0.16 | ) | — | | (0.16 | ) |
2009 | | 7.00 | | 0.21 | (1) | 1.05 | † | 1.26 | | (0.34 | ) | — | | (0.34 | ) |
2008 (d) | | 10.00 | | 0.14 | (1) | (3.14 | )† | (3.00 | ) | — | | — | | — | |
Advisor Shares | | | | | | | | | | | | | | | |
2011* | | $ | 8.77 | | $ | 0.15 | (1) | $ | 0.76 | | $ | 0.91 | | $ | (0.32 | ) | $ | — | | $ | (0.32 | ) |
2010 | | 7.91 | | 0.18 | (1) | 0.86 | | 1.04 | | (0.18 | ) | — | | (0.18 | ) |
2009 | | 7.00 | | 0.17 | (1) | 1.08 | † | 1.25 | | (0.34 | ) | — | | (0.34 | ) |
2008 (d) | | 10.00 | | 0.14 | (1) | (3.14 | ) | (3.00 | ) | — | | — | | — | |
R Shares | | | | | | | | | | | | | | | |
2011* | | $ | 8.75 | | $ | 0.14 | (1) | $ | 0.76 | | $ | 0.90 | | $ | (0.30 | ) | $ | — | | $ | (0.30 | ) |
2010 | | 7.90 | | 0.16 | (1) | 0.85 | | 1.01 | | (0.16 | ) | — | | (0.16 | ) |
2009 | | 6.98 | | 0.15 | (1) | 1.09 | | 1.24 | | (0.32 | ) | — | | (0.32 | ) |
2008 (d) | | 10.00 | | 0.12 | (1) | (3.14 | ) | (3.02 | ) | — | | — | | — | |
* | | For the six months ended April 30, 2011 (unaudited). All ratios for the period have been annualized, except for the Portfolio Turnover Rate. |
** | | Had custody offsets been included the ratios would have been 1.40% and 1.64% for the Investor Shares and Advisor Shares, respectively. |
† | | Includes redemption fees. Amount was less than $0.01 per share. |
(1) | | Per share net investment income (loss) calculated using average shares. |
(a) | | Total returns would have been lower had certain Fund expenses not been waived or reimbursed, as applicable, during the periods shown (See Note 3). Total return calculations for a period of less than one year are not annualized. |
The accompanying notes are an integral part of the financial statements.
84
Net Asset
Value, End
of Period | | Total
Return(a) | | Net Assets, End
of Period (000) | | Ratio of Expenses to
Average Net Assets
(Including Waivers
and Reimbursements,
Excluding Offsets) | | Ratio of Expenses to
Average Net Assets
(Excluding Waivers,
Reimbursements and
Offsets) | | Ratio of Net
Investment Income
(Loss) to Average Net
Assets (Including
Waivers,
Reimbursements and
Offsets) | | Portfolio
Turnover
Rate | |
| | | | | | | | | | | | | |
$ | 13.05 | | 18.78 | % | $ | 277,702 | | 1.05 | % | 1.29 | % | 0.18 | % | 41 | % |
11.23 | | 19.85 | | 111,939 | | 1.05 | | 1.52 | | (0.13 | ) | 122 | |
9.37 | | 17.71 | | 36,103 | | 1.05 | | 2.32 | | (0.04 | ) | 75 | |
7.96 | | (32.31 | ) | 11,999 | | 1.37 | | 2.74 | | (0.38 | ) | 92 | |
12.56 | | 22.60 | | 10,197 | | 1.40 | | 3.13 | | (0.23 | ) | 93 | |
10.25 | | 2.50 | | 6,952 | | 1.55 | ** | 6.14 | | (0.05 | ) | 46 | |
| | | | | | | | | | | | | |
$ | 12.88 | | 18.52 | % | $ | 12,508 | | 1.30 | % | 1.54 | % | 0.04 | % | 41 | % |
11.11 | | 19.59 | | 9,793 | | 1.30 | | 1.77 | | (0.38 | ) | 122 | |
9.29 | | 17.45 | | 3,584 | | 1.30 | | 2.33 | | (0.40 | ) | 75 | |
7.91 | | (32.56 | ) | 230 | | 1.64 | | 3.01 | | (0.55 | ) | 92 | |
12.53 | | 22.48 | | 1,420 | | 1.65 | | 3.37 | | (0.45 | ) | 93 | |
10.23 | | 2.30 | | 512 | | 1.79 | ** | 6.89 | | (0.33 | ) | 46 | |
| | | | | | | | | | | | | |
$ | 10.50 | | 15.87 | % | $ | 509,795 | | 0.38 | % | 0.38 | % | 1.65 | % | 42 | % |
9.20 | | 15.68 | | 489,133 | | 0.39 | | 0.39 | | 1.76 | | 88 | |
8.09 | | 10.59 | | 375,315 | | 0.43 | | 0.43 | | 2.09 | | 85 | |
7.58 | | (34.81 | ) | 486,931 | | 0.35 | | 0.35 | | 1.94 | | 131 | |
13.52 | | 15.08 | | 809,998 | | 0.33 | | 0.33 | | 1.82 | | 38 | |
12.63 | | 16.04 | | 1,261,983 | | 0.33 | | 0.33 | | 1.66 | | 51 | |
| | | | | | | | | | | | | |
$ | 10.48 | | 15.71 | % | $ | 179 | | 0.73 | % | 0.73 | % | 1.29 | % | 42 | % |
9.17 | | 15.27 | | 170 | | 0.74 | | 0.74 | | 1.41 | | 88 | |
8.07 | | 10.28 | | 116 | | 0.78 | | 0.78 | | 1.69 | | 85 | |
7.55 | | (35.08 | ) | 102 | | 0.70 | | 0.70 | | 1.57 | | 131 | |
13.48 | | 14.66 | | 133 | | 0.68 | | 0.68 | | 1.41 | | 38 | |
12.61 | | 6.50 | | 107 | | 0.68 | | 0.68 | | 1.17 | | 51 | |
| | | | | | | | | | | | | |
$ | 10.08 | | 0.54 | % | $ | 70,655 | | 0.40 | % | 0.63 | % | 3.29 | % | 267 | % |
10.50 | | 9.09 | | 122,861 | | 0.40 | | 0.61 | | 3.69 | | 452 | |
10.33 | | 14.79 | | 158,900 | | 0.40 | | 0.72 | | 3.68 | | 590 | |
9.57 | | 1.93 | | 72,310 | | 0.40 | | 0.70 | | 4.03 | | 555 | |
9.79 | | 4.90 | | 71,259 | | 0.40 | | 0.96 | | 4.97 | | 464 | |
9.81 | | 4.90 | | 21,795 | | 0.40 | | 2.05 | | 4.86 | | 295 | |
| | | | | | | | | | | | | |
$ | 10.09 | | 0.42 | % | $ | 2,676 | | 0.65 | % | 0.88 | % | 3.05 | % | 267 | % |
10.51 | | 8.82 | | 4,118 | | 0.65 | | 0.87 | | 3.47 | | 452 | |
10.34 | | 14.61 | | 6,952 | | 0.65 | | 0.98 | | 3.39 | | 590 | |
9.57 | | 1.67 | | 996 | | 0.65 | | 0.95 | | 3.78 | | 555 | |
9.79 | | 4.53 | | 852 | | 0.65 | | 1.48 | | 4.73 | | 464 | |
9.82 | | 4.56 | | 1,060 | | 0.65 | | 2.37 | | 4.59 | | 295 | |
| | | | | | | | | | | | | |
$ | 9.37 | | 10.94 | % | $ | 1,429 | | 1.00 | % | 4.84 | % | 3.63 | % | 38 | % |
8.78 | | 13.55 | | 1,173 | | 1.17 | | 5.63 | | 2.34 | | 40 | |
7.92 | | 19.49 | | 607 | | 1.25 | | 6.30 | | 2.53 | | 45 | |
7.01 | | (29.90 | ) | 354 | | 1.25 | | 3.80 | (e) | 1.91 | | 151 | |
| | | | | | | | | | | | | |
$ | 9.39 | | 10.78 | % | $ | 2,742 | | 1.25 | % | 5.09 | % | 3.38 | % | 38 | % |
8.79 | | 13.21 | | 2,555 | | 1.44 | | 5.95 | | 2.30 | | 40 | |
7.92 | | 19.13 | | 2,496 | | 1.50 | | 4.58 | | 3.11 | | 45 | |
7.00 | | (30.00 | ) | 18,320 | | 1.50 | | 4.06 | (e) | 1.65 | | 151 | |
| | | | | | | | | | | | | |
$ | 9.36 | | 10.71 | % | $ | 4,487 | | 1.25 | % | 5.09 | % | 3.36 | % | 38 | % |
8.77 | | 13.34 | | 4,011 | | 1.43 | | 5.93 | | 2.23 | | 40 | |
7.91 | | 19.11 | | 3,288 | | 1.50 | | 6.27 | | 2.42 | | 45 | |
7.00 | | (30.00 | ) | 2,660 | | 1.50 | | 4.06 | (e) | 1.66 | | 151 | |
| | | | | | | | | | | | | |
$ | 9.35 | | 10.60 | % | $ | 501 | | 1.50 | % | 5.34 | % | 3.14 | % | 38 | % |
8.75 | | 12.98 | | 469 | | 1.68 | | 6.19 | | 2.01 | | 40 | |
7.90 | | 18.92 | | 415 | | 1.75 | | 6.49 | | 2.18 | | 45 | |
6.98 | | (30.20 | ) | 349 | | 1.75 | | 4.30 | (e) | 1.41 | | 151 | |
(b) | | Amount was less than $0.01 per share. |
(c) | | Commenced operations on March 31, 2006. All ratios for the period have been annualized, except for the Total Return and the Portfolio Turnover Rate. |
(d) | | Commenced operations on December 20, 2007. All ratios for the period have been annualized, except for the Total Return and the Portfolio Turnover Rate. |
(e) | | If tax expense was not included, the Ratio of Expenses to Average Net Assets (Excluding Waivers, Reimbursements and Offsets) would have been 3.20%, 3.46%, 3.46%, and 3.71% for the Investor Shares, A Shares, Advisor Shares and R Shares, respectively. |
85
Schroder Mutual Funds
Notes to Financial Statements
April 30, 2011 (unaudited)
NOTE 1 — ORGANIZATION
Schroder Global Series Trust (“SGST”) is an open-end series management investment company registered under the Investment Company Act of 1940, as amended (the “Investment Company Act”). SGST was organized as a business trust under the laws of the Commonwealth of Massachusetts on May 27, 2003. SGST has an unlimited number of authorized shares, which are divided into three separate series: Schroder North American Equity Fund, Schroder QEP Global Value Fund and Schroder QEP Global Quality Fund (collectively, the “SGST Funds”).
Schroder Capital Funds (Delaware) (“SCFD”) is an open-end series management investment company registered under the Investment Company Act. SCFD was organized as a Maryland corporation on July 30, 1969; reorganized as Schroder Capital Funds, Inc., a series company, on February 29, 1988; and reorganized on January 9, 1996, as a Delaware business trust. SCFD has an unlimited number of authorized shares, which are divided into two separate series: Schroder International Alpha Fund and Schroder U.S. Opportunities Fund (collectively, the “SCFD Funds”). On April 18, 2007, Schroder U.S. Opportunities Fund closed to new investors.
Schroder Series Trust (“SST”) is an open-end series management investment company registered under the Investment Company Act. SST was organized as a business trust under the laws of the Commonwealth of Massachusetts on May 6, 1993. SST has an unlimited number of authorized shares, which are divided into five separate series: Schroder International Multi-Cap Value Fund (formerly Schroder International Diversified Value Fund), Schroder Emerging Market Equity Fund, Schroder U.S. Small and Mid Cap Opportunities Fund, Schroder Total Return Fixed Income Fund and Schroder Multi-Asset Growth Portfolio (collectively, the “SST Funds,” and together with the SCFD Funds and the SGST Funds, the “Funds”). On April 1, 2011, Schroder U.S. Small and Mid Cap Opportunities Fund closed to new investors.
As of the date of these Financial Statements, Schroder QEP Global Value Fund had not yet commenced operations.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures 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 following is a summary of significant accounting policies followed by the Funds, which are in conformity with GAAP.
VALUATION OF INVESTMENTS: Portfolio securities listed on recognized stock exchanges are valued at the last reported sale price on the exchange on which the securities are principally traded, except that NASDAQ official closing prices for all NASDAQ National Market and NASDAQ Small Cap Market Securities are used, where applicable. Listed securities traded on recognized stock exchanges where last sale prices are not available are valued at the mean of the closing bid and asked prices (“mid-market price”). Securities traded in over-the-counter markets are valued at the most recent reported mid-market price. Options on indices or exchange-traded fund (ETF) shares are valued at the closing mid-market price. Prices used for valuations generally are provided by independent pricing services. Except as noted below with regard to below investment grade and emerging markets debt instruments, fixed income securities with remaining maturities of more than 60 days are valued on the basis of valuations provided by pricing services that determine valuations for normal institutional size trading units of fixed income securities, or through obtaining independent quotes from market makers. Below investment grade and emerging markets debt instruments (“high yield debt”) will ordinarily be valued at prices supplied by a Fund’s pricing service based on the mean of bid and asked prices supplied by brokers or dealers. Short-term investments, having a maturity of 60 days or less, are valued at amortized cost, a form of fair valuation that approximates market value, pursuant to procedures adopted by the Funds’ Board of Trustees (“Trustees”). Other securities and assets for which market quotations are not readily available are valued in accordance with Fair Value Procedures established by the Funds’ Trustees. The Funds’ Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Funds’ Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be
86
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.
Investments in registered investment companies are priced at each fund’s daily net asset value. The assets of Schroder Multi-Asset Growth Portfolio include investments in underlying affiliated registered investment companies, which are valued at their respective daily net asset values.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market values at the time the Fund calculates its net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last trade and the time that the Fund calculates its net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates its net asset value, a Committee meeting may be called.
Schroder International Alpha, Schroder International Multi-Cap Value and Schroder Emerging Market Equity Funds use a third-party fair valuation vendor, which provides a fair value for securities of companies located in countries outside the Western Hemisphere held by the Funds based on certain factors and methodologies applied by the vendor in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Committee in consultation with the Trustees. Such methodologies generally involve tracking valuation correlations between the U.S. market and each non-U.S. security. The Committee also determines a “confidence interval” that will be used, when the threshold is exceeded, to determine the level of correlation between the value of a foreign security and movements in the U.S. market before a particular security will be fair valued. In the event that the threshold established by the Committee is exceeded on a specific day, the Funds will typically value such securities in their portfolios that exceed the applicable confidence interval based upon the fair values provided by the vendor.
In accordance with the authoritative guidance under U.S. GAAP, “Fair Value Measurements” defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements and requires disclosure surrounding the various inputs that are used in determining the fair value of the Funds’ investments. These inputs are summarized into the three broad levels listed below.
· Level 1 — quoted prices in active markets for identical securities
· Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
· Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
For the purpose of this Fair Value Measurement summary, securities that have been fair valued by a third-party vendor as discussed above for Schroder International Alpha, Schroder International Multi-Cap Value and Schroder Emerging Market Equity Funds, are considered Level 2 instruments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the period ended April 30, 2011, there have been no significant changes to the Funds’ fair valuation methodologies.
Fair value measurement classifications are summarized in each Fund’s Schedule of Investments.
FEDERAL INCOME TAXES: It is the intention of the Funds for each Fund to continue to qualify as a “regulated investment company” by complying with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying, the Funds would not be subject to Federal income taxes to the extent that, among other things, they distribute substantially all of their taxable income, including realized capital gains, for the fiscal year. In addition, as a result of distributing substantially all of their net investment income during each calendar year, capital gains and certain other amounts, if any, the Funds would not be subject to a Federal excise tax. The Funds evaluate tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely than-not” (i.e., greater than 50-percent) that each tax
87
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. The Funds did not record any tax provision in the current period. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, examination by tax authorities (i.e., the last 3 tax year ends, as applicable), on-going analysis of and changes to tax laws, regulations and interpretations thereof.
As of, and during the six month period ended April 30, 2011, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the period, the Funds did not incur any interest or penalties.
INVESTMENT TRANSACTIONS: Investment security transactions are recorded as of trade date. Realized gains and losses on sales of investments are determined on the basis of identified cost. Capital gain taxes on securities in certain foreign countries are accrued on unrealized appreciation and are due when realized.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date. Dividend income is recorded net of unrecoverable withholding tax. Interest income is recorded on an accrual basis. Discounts and premiums on fixed income securities are accreted and amortized using the effective interest method. Foreign dividend and interest income amounts and realized capital gains or losses are converted to U.S. dollar equivalents using foreign exchange rates in effect at the date of the transactions. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of costs of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered non-taxable distributions or capital gain distributions.
EXPENSES: Expenses are recorded on an accrual basis. Many of the expenses of the Funds can be directly attributable to a specific Fund. Expenses not directly attributable to a specific Fund are allocated among the Funds based on relative average net assets or another appropriate methodology. Class specific expenses are borne by that class. Fund expenses are pro-rated to the respective classes based on relative net assets.
CLASSES OF SHARES: Income, realized and unrealized gains and losses of a Fund are prorated to the respective classes of shares based on relative net assets.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends and distributions to shareholders from net investment income and from net realized capital gains, if any, are declared and distributed at least annually for each of the Funds, except Schroder Total Return Fixed Income Fund, which declares dividends to shareholders from net investment income daily and distributes these dividends monthly and for which distributions to shareholders from net realized capital gains, if any, are declared and distributed at least annually.
FOREIGN CURRENCY: Foreign currency amounts are translated into U.S. dollars at the mean of the bid and asked prices of such currencies against U.S. dollars as follows: (i) assets and liabilities at the rate of exchange at the end of the respective period; and (ii) purchases and sales of securities and income and expenses at the rate of exchange prevailing on the dates of such transactions. The portion of the results of operations arising from changes in the exchange rates and the portion due to fluctuations arising from changes in the market prices of securities are not isolated. Such fluctuations are included with the net realized and unrealized gain or loss on investments. Certain Funds may enter into forward foreign currency contracts to protect the U.S. dollar value of the underlying portfolio of securities against the effect of possible adverse movements in foreign exchange rates. Principal risks associated with such transactions include the movement in value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. Fluctuations in the value of such forward foreign currency transactions are recorded daily as unrealized gain or loss; realized gain or loss includes net gain or loss on transactions that have terminated by settlement or by the Funds entering into offsetting commitments.
WHEN-ISSUED SECURITIES: Schroder Total Return Fixed Income Fund purchased securities on a when-issued, delayed delivery, or forward commitment basis during the period covered by this report. These transactions involve a commitment by the Fund to purchase a security for a predetermined price or yield, with payments and delivery taking place more than seven days in
88
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
the future, or after a period longer than the customary settlement period for that type of security. These transactions may increase the overall investment exposure for a Fund and involve a risk of loss if the value of the securities declines prior to the settlement date.
FUTURES: Financial futures contracts are valued based upon their quoted daily settlement prices; changes in initial settlement value (represented by cash paid to or received from brokers as “variation margin”) are accounted for as unrealized appreciation (depreciation). When futures contracts are closed, the difference between the opening value at the date of purchase and the value at closing is recorded as realized gain or loss in the Statements of Operations.
Futures contracts may be used in order to hedge against unfavorable changes in the value of securities or otherwise to attempt to increase a Fund’s total return. Futures contracts involve leverage and are subject to market risk that may exceed the amounts recognized in the Statements of Assets and Liabilities. Risks arise from the possible significant movements in prices. The change in value of futures contracts primarily corresponds to the value of the securities or other index or amount underlying the contracts, but may not precisely correlate with the change in value of such securities or other index or amount. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
OPTION TRANSACTIONS: Certain Funds may purchase and write call and put options on securities and securities indices, provided such options are traded on a national securities exchange or an over-the-counter market. The Funds may also purchase and sell call and put options on foreign currencies. When any of the Funds writes or purchases a covered call or put option, an amount equal to the premium received is included in that Fund’s statement of assets and liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the cost of the security acquired is decreased by the premium originally received. As writer of an option, the Fund has no control over whether the underlying securities are subsequently sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the security or index underlying the written option. When any of the Funds purchases a call or put option, an amount equal to the premium paid is included in that Fund’s statement of assets and liabilities as an investment, and is subsequently marked-to-market to reflect the current market value of the option. If an option expires on the stipulated expiration date or if a Fund enters into a closing sale transaction, a gain or loss is realized. If a Fund exercises a call, the cost of the security acquired is increased by the premium paid for the call. If a Fund exercises a put option, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Written and purchased options are non-income producing securities. The option techniques utilized are to hedge against changes in interest rates, foreign currency exchange rates or securities prices in order to establish more definitely the effective return on securities or currencies held or intended to be acquired by a Fund, to reduce the volatility of the currency exposure associated with an investment in non-U.S. securities, or as an efficient means of adjusting exposure to the bond, equity and currency markets and not for speculation.
EQUITY-LINKED AND INDEX-LINKED WARRANTS: Schroder International Alpha and Schroder Emerging Market Equity Funds invest in equity-linked and index-linked warrants. Equity-linked warrants provide a way for investors to access markets where entry is difficult and time consuming due to regulation. A Fund purchases the equity-linked and index-linked warrants from a broker, who in turn is expected to purchase shares in the local market and issue a call warrant hedged on the underlying holdings. If the Fund exercises its call and closes its position, the shares are expected to be sold and the warrant redeemed with the proceeds. Each warrant typically represents one share of the underlying stock or basket of stocks representing the index. Therefore, the price, performance and liquidity of the warrant are all directly linked to the underlying stock or index, less transaction costs. Equity-linked warrants are generally valued at the closing price of the underlying securities, then adjusted for stock dividends declared by the underlying securities. In addition to the market risk related to the underlying holdings, the Fund bears additional counterparty risk with respect to the issuing broker. Moreover, there is currently no active trading market for either equity-linked or index-linked warrants. A Fund may also purchase warrants, issued by banks and other financial institutions, whose values are based on the values from time to time of one or more securities indices.
89
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
MORTGAGE DOLLAR ROLLS: Schroder Total Return Fixed Income Fund enters into mortgage dollar rolls (principally using TBAs) in which the Fund sells mortgage securities for delivery in the current month and simultaneously contracts to repurchase substantially similar securities in a subsequent month at an agreed-upon price on a fixed date. The Fund accounts for such dollar rolls under the purchases and sales method and may receive compensation as consideration for entering into the commitment to repurchase. The Fund must maintain liquid securities having a value not less than the purchase price (including accrued interest) for such dollar rolls. The market value of the securities that the Fund is required to purchase may decline below the agreed upon repurchase price of those securities. The counterparty receives all principal and interest payments, including repayments, made in respect of a security subject to such a contract while it is the holder. Mortgage dollar rolls may be renewed with a new purchase and repurchase price and a cash settlement made on settlement date without physical delivery of the securities subject to the contract.
NOTE 3 — INVESTMENT ADVISORY FEES, ADMINISTRATION AGREEMENTS AND DISTRIBUTION PLANS
The Funds have entered into investment advisory agreements with Schroder Investment Management North America, Inc. (“SIMNA”). Under these agreements, SIMNA provides investment management services and is entitled to receive for its services compensation, payable monthly, at the following annual rates based on average daily net assets of each Fund taken separately. In order to limit the expenses of the Investor Shares, A Shares, Advisor Shares and R Shares of certain Funds, SIMNA has contractually agreed to pay or reimburse the applicable Fund for expenses through February 29, 2012, to the extent that the total annual fund operating expenses of a Fund (other than acquired fund fees and expenses, other indirect acquired fund expenses, interest, taxes, and extraordinary expenses) allocable to each share class exceed the following annual rates (based on the average daily net assets attributable to each share class):
| | | | Expense Limitation | |
| | Management
fee | | Investor
Shares | | Advisor
Shares | | A
Shares | | R
Shares | |
Schroder International Alpha Fund | | 0.975 | % | 1.15 | % | 1.40 | % | N/A | | N/A | |
Schroder International Multi-Cap Value Fund | | 1.00 | % | 1.15 | % | 1.40 | % | N/A | | N/A | |
Schroder Emerging Market Equity Fund | | 1.00 | % | 1.25 | % | 1.50 | % | N/A | | N/A | |
Schroder U.S. Opportunities Fund | | 1.00 | % | 1.70 | % | 1.95 | % | N/A | | N/A | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 1.00 | % | 1.05 | % | 1.30 | % | N/A | | N/A | |
Schroder North American Equity Fund | | 0.25 | % | N/A | | N/A | | N/A | | N/A | |
Schroder Total Return Fixed Income Fund | | 0.25 | % | 0.40 | % | 0.65 | % | N/A | | N/A | |
Schroder Multi-Asset Growth Portfolio * | | 0.75 | % | 1.00 | % | 1.25 | % | 1.25 | % | 1.50 | % |
* SIMNA has contractually agreed, until February 29, 2012, to reduce its Management fee by 0.33%.
SIMNA has retained its affiliate Schroder Investment Management North America Limited (“SIMNA Ltd.”) to serve as sub-advisor responsible for the portfolio management of Schroder International Alpha Fund, Schroder International Multi-Cap Value Fund, Schroder Emerging Market Equity Fund, Schroder North American Equity Fund and Schroder Multi-Asset Growth Portfolio. SIMNA pays SIMNA Ltd. 50% of the investment advisory fees it receives from these Funds, after waivers.
The administrator of SGST is Schroder Fund Advisors LLC (“Schroder Advisors”), a wholly-owned subsidiary of SIMNA. Schroder Advisors receives no compensation for its services for Schroder North American Equity Fund. SIMNA provides certain administration services to Schroder International Alpha Fund and Schroder U.S. Opportunities Fund. SIMNA’s compensation for these services is included in Schroder International Alpha and Schroder U.S. Opportunities Funds’ advisory fees.
Effective November 1, 2010, under amended sub-administration and accounting agreements with SEI Investments Global Funds Services (“SEI”), the SCFD Funds, the SST Funds and the SGST Funds, other than Schroder North American Equity Fund, pay fees to SEI based on the combined average daily net assets of all the SCFD Funds, the SST Funds and the SGST Funds, other than Schroder North American Equity Fund, according to the following annual rates: 0.0875% on the first $2 billion of such assets; 0.0700% on the next $1 billion of such assets; 0.0600% on the next $2 billion of such assets; and 0.0500% on assets in excess of $5 billion.
90
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
Prior to November 1, 2010, under sub-administration and accounting agreements with SEI Investments Global Funds Services (“SEI”), the SCFD Funds and the SST Funds paid fees to SEI based on the combined average daily net assets of all the SCFD Funds and the SST Funds according to the following annual rates: 0.095% on the first $1 billion of such assets; 0.085% on the next $1 billion of such assets; 0.07% on the next $1 billion of such assets; 0.06% on the next $2 billion of such assets; and 0.05% on assets in excess of $5 billion. Each Fund paid its pro rata portion of such expenses. Effective January 29, 2005, as amended November 1, 2010, Schroder North American Equity Fund pays SEI a fee, computed and paid monthly, at an annual rate of 0.013% of the Schroder North American Equity Fund’s average daily net assets up to $1 billion and 0.005% of Schroder North American Equity Fund’s average daily net assets over $1 billion.
The Funds have adopted a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Investment Company Act that allows each Fund to pay distribution and other fees with respect to its A Shares, Advisor Shares and R Shares. Under the Plan, a Fund may make payments at the following annual rates to compensate Schroder Advisors for distribution services and certain shareholder services with respect to the Funds’ A Shares, Advisor Shares and R Shares: A Shares and Advisor Shares: up to 0.25% of the average net assets attributable to its A Shares or Advisor Shares, except for Schroder North American Equity Fund, which may make payments at an annual rate of up to 0.35% of the average daily net assets attributable to its Advisor Shares; R Shares: up to 0.50% of the average daily net assets attributable to the R Shares.
NOTE 4 — DERIVATIVE CONTRACTS
Derivative Instruments and Hedging Activities require enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effect on the Funds’ financial position, performance, and cash flows.
FAIR VALUE OF DERIVATIVE INSTRUMENTS: The fair value of derivative instruments as of April 30, 2011, was as follows:
Schroder International Alpha Fund
| | Asset Derivatives | | Liability Derivatives | |
Derivatives not accounted
for as hedging instruments | | Statement of Assets
and Liabilities Location | | Fair value | | Statement of Assets
and Liabilities Location | | Fair Value | |
Equity contracts | | Investments in securities, at value | | $ | 880,690 | | Investments in securities, at value | | $ | — | |
Total derivatives not accounted for as hedging instruments | | | | $ | 880,690 | | | | $ | — | |
Schroder International Multi-Cap Value Fund
| | Asset Derivatives | | Liability Derivatives | |
Derivatives not accounted
for as hedging instruments | | Statement of Assets
and Liabilities Location | | Fair value | | Statement of Assets
and Liabilities Location | | Fair Value | |
Foreign exchange contracts | | Unrealized appreciation on forward foreign currency contracts | | $ | 71,793 | | Unrealized depreciation on forward foreign currency contracts | | $ | (96,915 | ) |
Total derivatives not accounted for as hedging instruments | | | | $ | 71,793 | | | | $ | (96,915 | ) |
91
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
Schroder Emerging Market Equity Fund
| | Asset Derivatives | | Liability Derivatives | |
Derivatives not accounted
for as hedging instruments | | Statement of Assets
and Liabilities Location | | Fair value | | Statement of Assets
and Liabilities Location | | Fair Value | |
Equity contracts | | Investments in securities, at value | | $ | 5,929,757 | | Investments in securities, at value | | $ | — | |
Total derivatives not accounted for as hedging instruments | | | | $ | 5,929,757 | | | | $ | — | |
Schroder North American Equity Fund
| | Asset Derivatives | | Liability Derivatives | |
Derivatives not accounted
for as hedging instruments | | Statement of Assets
and Liabilities Location | | Fair value | | Statement of Assets and Liabilities
Location | | Fair Value | |
Equity contracts | | Unrealized appreciation on futures contracts | | $ | 1,294,317 | | Unrealized depreciation on futures contracts | | $ | — | |
Foreign exchange contracts | | Unrealized appreciation on forward foreign currency contracts | | — | | Unrealized depreciation on forward foreign currency contracts | | (145,435 | ) |
Total derivatives not accounted for as hedging instruments | | | | $ | 1,294,317 | | | | $ | (145,435 | ) |
Schroder Total Return Fixed Income Fund
| | Asset Derivatives | | Liability Derivatives | |
Derivatives not accounted
for as hedging instruments | | Statement of Assets
and Liabilities Location | | Fair Value | | Statement of Assets and Liabilities
Location | | Fair Value | |
Interest rate contracts | | Unrealized appreciation on futures contracts | | $ | 46,795 | | Unrealized depreciation on futures contracts | | $ | (304,380 | ) |
Interest rate contracts | | Investments in options, at value | | 3,125 | | Investments in options, at value | | $ | — | |
Total derivatives not accounted for as hedging instruments | | | | $ | 49,920 | | | | $ | (304,380 | ) |
Schroder Multi-Asset Growth Portfolio
| | Asset Derivatives | | Liability Derivatives | |
Derivatives not accounted
for as hedging instruments | | Statement of Assets
and Liabilities Location | | Fair Value | | Statement of Assets and Liabilities
Location | | Fair Value | |
Foreign exchange contracts | | Unrealized appreciation on forward foreign currency contracts | | $ | 46,360 | | Unrealized appreciation on forward foreign currency contracts | | $ | (62,053 | ) |
Equity contracts | | Unrealized appreciation on futures contracts | | 8,878 | | Unrealized depreciation on futures contracts | | — | |
Total derivatives not accounted for as hedging instruments | | | | $ | 55,238 | | | | $ | (62,053 | ) |
92
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
The effect of derivative instruments on the Statement of Operations for the period ended April 30, 2011, was as follows:
The amount of realized gain (loss) on derivatives recognized in income:
Schroder International Alpha Fund
Derivatives not accounted for as Hedging Instruments | | Equity-Linked
Warrants | | Total | |
Equity contracts | | $ | 54,820 | | $ | 54,820 | |
Total | | $ | 54,820 | | $ | 54,820 | |
Schroder International Multi-Cap Value Fund
Derivatives not accounted for as Hedging Instruments | | Futures
contracts | | Forward foreign
currency contracts | | Total | |
Equity contracts | | $ | (43,337 | ) | $ | — | | $ | (43,337 | ) |
Foreign exchange contracts | | — | | 20,911 | | 20,911 | |
Total | | $ | (43,337 | ) | $ | 20,911 | | $ | (22,426 | ) |
Schroder North American Equity Fund
Derivatives not accounted for as Hedging Instruments | | Futures
contracts | | Forward foreign
currency contracts | | Total | |
Equity contracts | | $ | 3,791,630 | | $ | — | | $ | 3,791,630 | |
Foreign exchange contracts | | — | | (797,315 | ) | (797,315 | ) |
Total | | $ | 3,791,630 | | $ | (797,315 | ) | $ | 2,994,315 | |
Schroder Total Return Fixed Income Fund
Derivatives not accounted for as Hedging Instruments | | Futures
contracts | | Total | |
Interest rate contracts | | $ | 928,375 | | $ | 928,375 | |
Total | | $ | 928,375 | | $ | 928,375 | |
Schroder Multi-Asset Growth Portfolio
Derivatives not accounted for as Hedging Instruments | | Futures
contracts | | Forward foreign
currency contracts | | Total | |
Equity contracts | | $ | 37,696 | | $ | — | | $ | 37,696 | |
Foreign exchange contracts | | — | | (44,250 | ) | (44,250 | ) |
Total | | $ | 37,696 | | $ | (44,250 | ) | $ | (6,554 | ) |
93
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
Change in unrealized appreciation (depreciation) on derivatives recognized as income:
Schroder International Alpha Fund
Derivatives not accounted for as Hedging Instruments | | Equity-Linked
Warrants | | Total | |
Equity contracts | | $ | (180,946 | ) | $ | (180,946 | ) |
Total | | $ | (180,946 | ) | $ | (180,946 | ) |
Schroder International Multi-Cap Value Fund
Derivatives not accounted for as Hedging Instruments | | Forward foreign
currency contracts | | Total | |
Foreign exchange contracts | | $ | (25,122 | ) | $ | (25,122 | ) |
Total | | $ | (25,122 | ) | $ | (25,122 | ) |
Schroder Emerging Market Equity Fund
Derivatives not accounted for as Hedging Instruments | | Equity-Linked
Warrants | | Total | |
Equity contracts | | $ | 499,954 | | $ | 499,954 | |
Total | | $ | 499,954 | | $ | 499,954 | |
Schroder North American Equity Fund
Derivatives not accounted for as Hedging Instruments | | Futures
contracts | | Forward foreign
currency contracts | | Total | |
Equity contracts | | $ | (995,913 | ) | $ | — | | $ | (995,913 | ) |
Foreign exchange contracts | | — | | (140,200 | ) | (140,200 | ) |
Total | | $ | (995,913 | ) | $ | (140,200 | ) | $ | (1,136,113 | ) |
Schroder Total Return Fixed Income Fund
Derivatives not accounted for as Hedging Instruments | | Futures
contracts | | Options | | Total | |
Interest rate contracts | | $ | (214,119 | ) | $ | (9,819 | ) | $ | (223,938 | ) |
Total | | $ | (214,119 | ) | $ | (9,819 | ) | $ | (223,938 | ) |
Schroder Multi-Asset Growth Portfolio
Derivatives not accounted for as Hedging Instruments | | Futures
contracts | | Forward foreign
currency contracts | | Total | |
Equity contracts | | $ | (5,304 | ) | $ | — | | $ | (5,304 | ) |
Foreign exchange contracts | | — | | 22,779 | | 22,779 | |
Total | | $ | (5,304 | ) | $ | 22,779 | | $ | 17,475 | |
94
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
NOTE 5 — REDEMPTION FEES
Schroder International Alpha Fund, Schroder International Multi-Cap Value Fund, Schroder Emerging Market Equity Fund, Schroder U.S. Opportunities Fund, Schroder U.S. Small and Mid Cap Opportunities Fund and Schroder Multi-Asset Growth Portfolio generally impose a 2.00% redemption fee on shares redeemed (including in connection with an exchange) two months or less from their date of purchase. These fees, which are not sales charges, are retained by the Funds and not paid to Schroder Advisors or any other entity. The redemption fees are included in the Statements of Changes in Net Assets under “Redemption fees,” and are included as part of “Capital paid-in” on the Statements of Assets and Liabilities. The redemption fees retained for the period ended April 30, 2011 were as follows:
Schroder International Alpha Fund | | $ | 6 | |
Schroder International Multi-Cap Value Fund | | 20 | |
Schroder Emerging Market Equity Fund | | 13,319 | |
Schroder U.S. Opportunities Fund | | 311 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 99,702 | |
NOTE 6 — TRANSACTIONS WITH AFFILIATES
TRUSTEES’ FEES: The Funds pay no compensation to Trustees who are interested persons of the Trusts, SIMNA or Schroder Advisors. For their services as Trustees of all open-end investment companies distributed by Schroder Advisors for the year ended October 31, 2010, Trustees who are not interested persons of the Funds, SIMNA or Schroder Advisors received an annual retainer of $25,000 and $2,500 per meeting attended in person or $1,000 per meeting attended by telephone. Members of an Audit Committee for one or more of such Funds received an additional $1,000 per meeting, with the Audit Committee chair receiving a $5,000 retainer. If a meeting relates to a single Fund or group of Funds, payments of such meeting fees are allocated only among those Funds to which the meeting relates.
Officers of the Funds are also officers of SIMNA and Schroder Advisors. Such officers are paid no fees by the Funds for serving as officers of the Funds.
NOTE 7 — INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding short-term securities for each Fund, for the period ended April 30, 2011, were as follows:
| | Purchases | | Sales and Maturities | |
| | | | | |
Schroder International Alpha Fund | | $ | 42,579,542 | | $ | 43,259,644 | |
Schroder International Multi-Cap Value Fund | | 8,080,726 | | 6,191,902 | |
Schroder Emerging Market Equity Fund | | 129,711,997 | | 91,302,668 | |
Schroder U.S. Opportunities Fund | | 67,594,401 | | 83,703,143 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 184,350,789 | | 69,135,503 | |
Schroder North American Equity Fund | | 153,923,456 | | 192,231,537 | |
Schroder Multi-Asset Growth Portfolio | | 3,549,763 | | 3,096,021 | |
Schroder Total Return Fixed Income Fund | | 49,641,443 | | 63,177,482 | |
| | | | | | | |
Purchases and proceeds from sales and maturities of U.S. government securities for the period ended April 30, 2011, were as follows:
| | Purchases | | Sales and Maturities | |
Schroder Total Return Fixed Income Fund | | $ | 274,234,352 | | $ | 306,052,997 | |
| | | | | | | |
95
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
Both redemptions and subscriptions in-kind reflect the valuation of the underlying securities in accordance with the Funds’ valuation policy. The asset price used to effect the redemption is the respective asset price used to calculate the net asset value of the shares redeemed. For the year ended October 31, 2010, Schroder Total Return Fixed Income Fund realized gains from in-kind redemptions of $2,493,006. For the period ended April 30, 2011, Schroder Total Return Fixed Income Fund realized gains from in-kind redemptions of $963,090.
Investments made by Schroder Multi-Asset Growth Portfolio in other Schroder Funds are considered to be investments in Affiliated Companies as defined under section 2(a)(2) of the Investment Company Act. A summary of the investment and income activity in each Affiliated Company’s shares for Schroder Multi-Asset Growth Portfolio is as follows:
Affiliated Registered Investment Company | | Contributions | | Withdrawals | | Realized Gains | | Income from
Affiliated
Investments | |
Schroder International Alpha Fund | | $ | 3,835 | | $ | 51,380 | | $ | 19,444 | | $ | 3,835 | |
Schroder International Multi-Cap Value Fund | | 20,209 | | 121,774 | | 16,052 | | 20,209 | |
Schroder Emerging Market Equity Fund | | 2,533 | | 142,956 | | 60,851 | | 2,533 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 35,795 | | 282,914 | | 133,729 | | — | |
| | | | | | | | | | | | | |
NOTE 8 — FEDERAL INCOME TAXES
Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. Any permanent differences, which may result in distribution reclassifications, are primarily due to differing treatments for gains resulting from redemptions in-kind, paydown gains and losses, distributions in excess, investments in passive foreign investment companies, reclassifications of long-term capital gain distributions on real estate investment trust securities, partnership and swap investments, net operating losses and foreign currency transactions. Distributions from short-term gains and from gains on foreign currency transactions are treated as distributions from ordinary income for tax purposes.
At October 31, 2010, the Funds reclassified the following permanent amounts between capital paid-in, undistributed net investment income and accumulated realized gain (loss):
| | Increase (Decrease)
Undistributed Net
Investment Income | | Increase (Decrease)
Accumulated Realized
Gain (Loss) | | Increase
(Decrease)
Capital Paid-in | |
Schroder International Alpha Fund | | $ | 152,210 | | $ | (152,210 | ) | $ | — | |
Schroder International Multi-Cap Value Fund | | 41,622 | | (41,622 | ) | — | |
Schroder Emerging Market Equity Fund | | (274,631 | ) | 274,631 | | — | |
Schroder U.S. Opportunities Fund | | 920,177 | | (24,083 | ) | (896,094 | ) |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 110,614 | | (12,211 | ) | (98,403 | ) |
Schroder North American Equity Fund | | (1,164,065 | ) | 1,166,092 | | (2,027 | ) |
Schroder Total Return Fixed Income Fund | | 239,610 | | (2,732,616 | ) | 2,493,006 | |
Schroder Multi-Asset Growth Portfolio | | 144,454 | | (144,454 | ) | — | |
| | | | | | | | | | |
96
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
The tax character of dividends and distributions declared during the years or periods ended October 31, 2010 and October 31, 2009 was as follows:
| | Ordinary
Income | | Long-Term
Capital Gain | | Total | |
Schroder International Alpha Fund | | | | | | | |
2010 | | $ | 921,312 | | $ | — | | $ | 921,312 | |
2009 | | 333,371 | | — | | 333,371 | |
Schroder International Multi-Cap Value Fund | | | | | | | |
2010 | | 355,291 | | — | | 355,291 | |
2009 | | 387,653 | | — | | 387,653 | |
Schroder Emerging Market Equity Fund | | | | | | | |
2010 | | 392,694 | | — | | 392,694 | |
2009 | | 14,779 | | — | | 14,779 | |
Schroder U.S. Opportunities Fund | | | | | | | |
2010 | | — | | — | | — | |
2009 | | — | | — | | — | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | | | | | | |
2010 | | — | | — | | — | |
2009 | | — | | — | | — | |
Schroder North American Equity Fund | | | | | | | |
2010 | | 6,698,938 | | — | | 6,698,938 | |
2009 | | 12,821,224 | | — | | 12,821,224 | |
Schroder Total Return Fixed Income Fund | | | | | | | |
2010 | | 11,879,530 | | 884,954 | | 12,764,484 | |
2009 | | 5,527,511 | | 476,922 | | 6,004,433 | |
Schroder Multi-Asset Growth Portfolio | | | | | | | |
2010 | | 148,827 | | — | | 148,827 | |
2009 | | 789,551 | | — | | 789,551 | |
| | | | | | | | | | |
As of October 31, 2010, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
| | Undistributed
Ordinary Income | | Undistributed
Long-Term
Capital Gain | | Capital Loss
Carryforward | | Unrealized
Appreciation
(Depreciation) | | Other
Temporary
Differences | | Total
Distributable
Earnings
(Accumulated
Losses) | |
Schroder International Alpha Fund | | $ | 1,593,846 | | $ | — | | $ | (12,851,490 | ) | $ | 10,590,132 | | $ | (5,874 | ) | $ | (673,386 | ) |
Schroder International Multi-Cap Value Fund | | 397,493 | | — | | (2,987,042 | ) | 878,676 | | (27,650 | ) | (1,738,523 | ) |
Schroder Emerging Market Equity Fund | | 1,518,225 | | — | | (836,401 | ) | 26,996,875 | | (16,297 | ) | 27,662,402 | |
Schroder U.S. Opportunities Fund | | — | | — | | (11,578,860 | ) | 27,989,593 | | 10 | | 16,410,743 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 2,831,977 | | — | | — | | 12,059,323 | | (12,075 | ) | 14,879,225 | |
Schroder North American Equity Fund | | 5,082,677 | | — | | (100,508,623 | ) | 23,829,636 | | (83,007 | ) | (71,679,317 | ) |
Schroder Total Return Fixed Income Fund | | 3,187,332 | | 722,119 | | — | | 3,582,348 | | (355,435 | ) | 7,136,364 | |
Schroder Multi-Asset Growth Portfolio | | 228,245 | | — | | (10,535,338 | ) | 666,027 | | 29,835 | | (9,611,231 | ) |
| | | | | | | | | | | | | | | | | | | |
97
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
As of October 31, 2010, the Funds listed below had net tax basis capital loss carryforwards, for Federal income tax purposes, that may be applied against future taxable gains until their expiration date as follows, except for Schroder Emerging Market Equity Fund, which may be subject to annual limitations:
| | October 31, | |
| | 2016 | | 2017 | |
| | | | | |
Schroder International Alpha Fund | | $ | 1,214,222 | | $ | 11,637,268 | |
Schroder International Multi-Cap Value Fund | | — | | 2,987,042 | |
Schroder Emerging Market Equity Fund | | — | | 836,401 | |
Schroder U.S. Opportunities Fund | | — | | 11,578,860 | |
Schroder North American Equity Fund | | 31,348,322 | | 69,160,301 | |
Schroder Multi-Asset Growth Portfolio | | 3,072,350 | | 7,462,988 | |
| | | | | | | |
During the year ended October 31, 2010, the Funds listed below utilized capital loss carryforwards to offset capital gains:
Schroder International Alpha Fund | | $ | 5,283,396 | |
Schroder International Multi-Cap Value Fund | | 617,914 | |
Schroder Emerging Market Equity Fund | | 3,269,222 | |
Schroder U.S. Opportunities Fund | | 22,058,080 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 1,694,716 | |
Schroder North American Equity Fund | | 9,984,406 | |
Schroder Multi-Asset Growth Portfolio | | 120,068 | |
At April 30, 2011, the identified cost for Federal income tax purposes of investments owned by each Fund and their respective gross unrealized appreciation and depreciation were as follows:
| | Identified Tax
Cost | | Gross Unrealized
Appreciation | | Gross Unrealized
(Depreciation) | | Net Unrealized
Appreciation
(Depreciation) | |
Schroder International Alpha Fund | | $ | 69,214,987 | | $ | 14,430,349 | | $ | (580,284 | ) | $ | 13,850,065 | |
Schroder International Multi-Cap Value Fund | | 15,202,507 | | 2,395,539 | | (489,892 | ) | 1,905,647 | |
Schroder Emerging Market Equity Fund | | 254,260,665 | | 56,831,719 | | (3,162,179 | ) | 53,669,540 | |
Schroder U.S. Opportunities Fund | | 152,761,017 | | 46,369,273 | | (4,289,352 | ) | 42,079,921 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 254,325,901 | | 35,480,899 | | (484,883 | ) | 34,996,016 | |
Schroder North American Equity Fund | | 442,005,021 | | 79,160,571 | | (14,740,819 | ) | 64,419,752 | |
Schroder Total Return Fixed Income Fund | | 82,203,771 | | 1,750,710 | | (299,875 | ) | 1,450,835 | |
Schroder Multi-Asset Growth Portfolio | | 7,533,566 | | 1,643,097 | | (3,088 | ) | 1,640,009 | |
| | | | | | | | | | | | | |
98
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
NOTE 9 — PORTFOLIO INVESTMENT RISKS
Schroder International Alpha, Schroder International Multi-Cap Value and Schroder Emerging Market Equity Funds have a relatively large portion of their assets invested in companies domiciled in particular foreign countries, including emerging markets. The Funds may be more susceptible to political, social and economic events adversely affecting those countries and such issuers.
Each of Schroder International Alpha and Schroder International Multi-Cap Value may invest more than 25% of its total assets in issuers located in any one country or group of countries. To the extent that it does so, a Fund is susceptible to a range of factors that could adversely affect its holdings in issuers of that country, including political and economic developments and foreign exchange-rate fluctuations. As a result of investing substantially in a single country, the value of the Fund’s assets may fluctuate more widely than the value of shares of a comparable fund with a lesser degree of geographic concentration. The Funds may invest in countries with limited or developing capital markets. Investments in these markets may involve greater risk than investments in more developed markets.
Schroder Total Return Fixed Income Fund invests a portion of its assets in securities of issuers that hold mortgage securities, including subprime mortgage securities. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
NOTE 10 — BENEFICIAL INTEREST
The following table shows the number of shareholders each owning of record, or to the knowledge of the Funds beneficially, 5% or more of shares of a Fund outstanding as of April 30, 2011 and the total percentage of shares of the Fund held by such shareholders. The table includes omnibus accounts that hold shares on behalf of several shareholders.
| | 5% or Greater Shareholders | |
| | Number | | % of Fund Held | |
Schroder International Alpha Fund | | 4 | | 82.08 | % |
Schroder International Multi-Cap Value Fund | | 4 | | 86.52 | |
Schroder Emerging Market Equity Fund | | 6 | | 63.09 | |
Schroder U.S. Opportunities Fund | | 3 | | 76.28 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 3 | | 82.84 | |
Schroder North American Equity Fund | | 2 | | 87.56 | |
Schroder Total Return Fixed Income Fund | | 5 | | 71.53 | |
Schroder Multi-Asset Growth Portfolio | | 6 | | 90.57 | |
Some of the accounts shown above for Schroder International Alpha Fund, Schroder International Multi-Cap Value Fund, Schroder North American Equity Fund, and Schroder Multi-Asset Growth Portfolio are owned by an affiliate of SIMNA.
NOTE 11 — LINE OF CREDIT
The Funds, along with other related open-end series management investment companies managed by SIMNA, entered into a credit agreement on October 6, 2008, as amended from time to time, that enables them to participate in a $25 million committed revolving line of credit with JPMorgan Chase Bank, N.A. Any advance under the line of credit is contemplated primarily for temporary or emergency purposes consistent with the investment objectives and fundamental investment restrictions of the borrower, or to finance the redemption of the shares of a shareholder of the borrower. Interest is charged to the Funds based on its borrowings at the current reference rate. The Funds pay their pro rata portion of an annual commitment fee of 0.15% on the total amount of the credit facility. The Funds did not have any borrowings under the credit agreement during the period ended April 30, 2011.
99
Schroder Mutual Funds
Notes to Financial Statements (continued)
April 30, 2011 (unaudited)
NOTE 12 — CAPITAL SHARE TRANSACTIONS
Capital share transactions for the Six Month period Ended April 30, 2011 (unaudited) and the Year Ended October 31, 2010, were as follows:
| | International Alpha Fund | | International Multi-Cap
Value Fund | | Emerging Market Equity
Fund | |
| | 2011 | | 2010 | | 2011 | | 2010 | | 2011 | | 2010 | |
Investor Shares: | | | | | | | | | | | | | |
Sales of shares | | 653,735 | | 3,034,459 | | 166,872 | | 38,779 | | 4,336,924 | | 9,328,153 | |
Reinvestment of distributions | | 47,339 | | 24,239 | | 3,560 | | 39,426 | | 76,839 | | 13,395 | |
Redemption of shares | | (662,951 | ) | (408,244 | ) | (16,093 | ) | (10,036 | ) | (1,474,568 | ) | (912,952 | ) |
Net increase in Investor Shares | | 38,123 | | 2,650,454 | | 154,339 | | 68,169 | | 2,939,195 | | 8,428,596 | |
Advisor Shares: | | | | | | | | | | | | | |
Sales of shares | | 392,353 | | 475,440 | | 120,693 | | 95,234 | | 1,532,155 | | 7,580,351 | |
Reinvestment of distributions | | 49,737 | | 67,428 | | 3,776 | | 5,638 | | 34,806 | | 13,038 | |
Redemption of shares | | (333,811 | ) | (2,270,844 | ) | (19,355 | ) | (28,034 | ) | (1,687,133 | ) | (2,278,788 | ) |
Net increase (decrease) in Advisor Shares | | 108,279 | | (1,727,976 | ) | 105,114 | | 72,838 | | (120,172 | ) | 5,314,601 | |
| | U.S. Opportunities Fund | | U.S. Small and Mid Cap
Opportunities Fund | | North American Equity
Fund | |
| | 2011 | | 2010 | | 2011 | | 2010 | | 2011 | | 2010 | |
Investor Shares: | | | | | | | | | | | | | |
Sales of shares | | 279,545 | | 447,471 | | 12,651,559 | | 8,095,115 | | 2,629,454 | | 9,782,983 | |
Reinvestment of distributions | | — | | — | | 161,627 | | — | | 605,088 | | 578,323 | |
Redemption of shares | | (868,530 | ) | (1,501,173 | ) | (1,497,550 | ) | (1,980,904 | ) | (7,845,360 | ) | (3,582,781 | ) |
Net increase (decrease) in Investor Shares | | (588,985 | ) | (1,053,702 | ) | 11,315,636 | | 6,114,211 | | (4,610,818 | ) | 6,778,525 | |
Advisor Shares: | | | | | | | | | | | | | |
Sales of shares | | 16,941 | | 17,209 | | 184,698 | | 568,099 | | 1,653 | | 4,777 | |
Reinvestment of distributions | | — | | — | | 19,144 | | — | | 237 | | 206 | |
Redemption of shares | | (11,326 | ) | (36,523 | ) | (114,350 | ) | (72,187 | ) | (3,371 | ) | (756 | ) |
Net increase (decrease) in Advisor Shares | | 5,615 | | (19,314 | ) | 89,492 | | 495,912 | | (1,481 | ) | 4,227 | |
100
Schroder Mutual Funds
Notes to Financial Statements (concluded)
April 30, 2011 (unaudited)
| | Total Return Fixed Income
Fund | |
| | 2011 | | 2010 | |
Investor Shares: | | | | | |
Sales of shares | | 2,585,872 | | 7,159,758 | |
Reinvestment of distributions | | 480,839 | | 1,109,605 | |
Redemption of shares | | (1,461,078 | ) | (5,256,665 | ) |
Redemption of shares in-kind | | (6,301,208 | ) | (6,682,727 | ) |
Net decrease in Investor Shares | | (4,695,575 | ) | (3,670,029 | ) |
Advisor Shares: | | | | | |
Sales of shares | | 18,120 | | 164,994 | |
Reinvestment of distributions | | 13,890 | | 31,501 | |
Redemption of shares | | (158,784 | ) | (476,605 | ) |
Redemption of shares in-kind | | — | | — | |
Net decrease in Advisor Shares | | (126,774 | ) | (280,110 | ) |
| | Multi-Asset Growth
Portfolio | |
| | 2011 | | 2010 | |
Investor Shares: | | | | | |
Sales of shares | | 34,063 | | 71,681 | |
Reinvestment of distributions | | 1,911 | | 1,859 | |
Redemption of shares | | (17,038 | ) | (16,666 | ) |
Net increase in Investor Shares | | 18,936 | | 56,874 | |
A Shares: | | | | | |
Sales of shares | | 1,271 | | 14,361 | |
Reinvestment of distributions | | 11 | | 5,635 | |
Redemption of shares | | (57 | ) | (44,463 | ) |
Net increase (decrease) in A Shares | | 1,225 | | (24,467 | ) |
Advisor Shares: | | | | | |
Sales of shares | | 23,507 | | 77,451 | |
Reinvestment of distributions | | 651 | | 9,260 | |
Redemption of shares | | (2,571 | ) | (44,502 | ) |
Net increase in Advisor Shares | | 21,587 | | 42,209 | |
R Shares: | | | | | |
Reinvestment of distributions | | — | | 1,054 | |
Net increase in R Shares | | — | | 1,054 | |
NOTE 13 — SUBSEQUENT EVENTS
The Funds have evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were available to be issued. Based on this evaluation, no adjustments were required to the financial statements as of April 30, 2011.
CONTINGENT LIABILITY: After the reporting period, in May 2011, “Schroders US Mutual Funds” was served with a summons and complaint in an action brought by Edward S. Weisfelner, as Litigation Trustee of the LB Litigation Trust in the case captioned Weisfelner v. A. Holmes & H. Holmes TTEE, et al. (Adv. Pro. No. 10-5525) (Bankr. S.D.N.Y.). The Litigation Trustee seeks to recover all payments made to shareholders in the December 2007 leveraged buyout of Lyondell Chemical Company as alleged fraudulent transfers under section 548 of the U.S. Bankruptcy Code, alleging that the Schroders US Mutual Funds received $2,045,424 in such payments. The Funds’ records indicate that Schroder North American Equity Fund received payment in that amount related to the buyout, and that Fund is the only Schroder US mutual fund that received such a payment. The Schroder North American Equity Fund intends to join in motions to dismiss that have previously been filed by other defendants. The possible outcome of the action is currently uncertain.
101
Schroder Mutual Funds
Disclosure of Fund Expenses (unaudited)
We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a Schroder Fund, you incur ongoing costs, which include, among others, costs for portfolio management, administrative services, and shareholder reports (like this one), and in the case of Advisor Shares, distribution (12b-1) fees. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table below illustrates your Fund’s costs in two ways.
· Actual expenses. This section helps you to estimate the actual expenses after fee waivers, if applicable, that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, 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 given for your Fund under the heading “Expenses Paid During Period.”
· Hypothetical example for comparison purposes. This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the year, and that it incurred expenses at the rate of which it in the past did incur expenses. In this case, because the return used is not the Fund’s actual return, the results may not be used to estimate the actual ending balance of an account in the Fund over the period or expenses you actually paid. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses in this table based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs such as redemption fees, which are described in the Prospectus. If this fee were applied to your account, your costs would be higher.
| | Beginning
Account
Value
11/1/10 | | Ending
Account
Value
4/30/11 | | Net
Annualized
Expense
Ratios | | Expenses
Paid
During
Period* | |
Schroder International Alpha Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,130.40 | | 1.15 | % | $ | 6.07 | |
Advisor Shares | | 1,000.00 | | 1,129.60 | | 1.40 | | 7.39 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,019.09 | | 1.15 | % | $ | 5.76 | |
Advisor Shares | | 1,000.00 | | 1,017.85 | | 1.40 | | 7.00 | |
| | | | | | | | | |
Schroder International Multi-Cap Value Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,140.60 | | 1.15 | % | $ | 6.10 | |
Advisor Shares | | 1,000.00 | | 1,139.90 | | 1.40 | | 7.43 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,019.09 | | 1.15 | % | $ | 5.76 | |
Advisor Shares | | 1,000.00 | | 1,017.85 | | 1.40 | | 7.00 | |
102
| | Beginning
Account
Value
11/1/10 | | Ending
Account
Value
4/30/11 | | Net
Annualized
Expense
Ratios | | Expenses
Paid
During
Period* | |
Schroder Emerging Market Equity Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,117.90 | | 1.25 | % | $ | 6.56 | |
Advisor Shares | | 1,000.00 | | 1,117.00 | | 1.50 | | 7.87 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,018.60 | | 1.25 | % | $ | 6.26 | |
Advisor Shares | | 1,000.00 | | 1,017.36 | | 1.50 | | 7.50 | |
| | | | | | | | | |
Schroder U.S. Opportunities Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,188.70 | | 1.29 | % | $ | 7.00 | |
Advisor Shares | | 1,000.00 | | 1,187.30 | | 1.54 | | 8.35 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,018.40 | | 1.29 | % | $ | 6.46 | |
Advisor Shares | | 1,000.00 | | 1,017.16 | | 1.54 | | 7.70 | |
| | | | | | | | | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,187.80 | | 1.05 | % | $ | 5.70 | |
Advisor Shares | | 1,000.00 | | 1,185.20 | | 1.30 | | 7.04 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,019.59 | | 1.05 | % | $ | 5.26 | |
Advisor Shares | | 1,000.00 | | 1,018.35 | | 1.30 | | 6.51 | |
| | | | | | | | | |
Schroder North American Equity Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,158.70 | | 0.38 | % | $ | 2.03 | |
Advisor Shares | | 1,000.00 | | 1,157.10 | | 0.73 | | 3.90 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,022.91 | | 0.38 | % | $ | 1.91 | |
Advisor Shares | | 1,000.00 | | 1,021.17 | | 0.73 | | 3.66 | |
| | | | | | | | | |
Schroder Total Return Fixed Income Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,005.40 | | 0.40 | % | $ | 1.99 | |
Advisor Shares | | 1,000.00 | | 1,004.20 | | 0.65 | | 3.23 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,022.81 | | 0.40 | % | $ | 2.01 | |
Advisor Shares | | 1,000.00 | | 1,021.57 | | 0.65 | | 3.26 | |
103
Disclosure of Fund Expenses (unaudited) — (concluded)
| | Beginning
Account
Value
11/1/10 | | Ending
Account
Value
4/30/11 | | Net
Annualized
Expense
Ratios | | Expenses
Paid
During
Period* | |
Schroder Multi-Asset Growth Portfolio | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,109.40 | | 1.00 | % | $ | 5.23 | |
A Shares | | 1,000.00 | | 1,107.80 | | 1.25 | | 6.53 | |
Advisor Shares | | 1,000.00 | | 1,107.10 | | 1.25 | | 6.53 | |
R Shares | | 1,000.00 | | 1,106.00 | | 1.50 | | 7.83 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,019.84 | | 1.00 | % | $ | 5.01 | |
A Shares | | 1,000.00 | | 1,018.60 | | 1.25 | | 6.26 | |
Advisor Shares | | 1,000.00 | | 1,018.60 | | 1.25 | | 6.26 | |
R Shares | | 1,000.00 | | 1,017.36 | | 1.50 | | 7.50 | |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the account period, multiplied by 181/365 (to reflect the one-half year period). |
104
Privacy Statement
FACTS | | WHAT DOES SCHRODERS DO WITH YOUR PERSONAL INFORMATION? |
| | |
Why? | | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| | |
What? | | The types of personal information we collect and share depend on the product or service you have with us. This information can include: · Social Security number and income · account balances and account transactions · assets and investment experience When you are no longer our customer, we continue to share your information as described in this notice. |
| | |
How? | | All financial companies need to share clients’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their clients’ personal information; the reasons Schroders chooses to share; and whether you can limit this sharing. |
| | |
Reasons we can share your personal information | | Does Schroders
share? | | Can you limit this
sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), or respond to court orders and legal investigations | | Yes | | No |
For our marketing purposes — to offer our products and services to you | | Yes | | No |
For joint marketing with other financial companies | | No | | We Don’t Share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | | Yes | | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | | No | | We Don’t Share |
For nonaffiliates to market to you | | No | | We Don’t Share |
| | |
Questions? | | For Schroder Mutual Funds, call BFDS at (800) 464-3108. For other inquiries, call Institutional Client Service at (212) 641-3800 or email clientserviceny@us.schroders.com |
| | |
Who we are | | |
| | |
Who is providing this notice? | | · Schroder Investment Management North America Inc. · Schroder Mutual Funds · Schroder Fund Advisors LLC |
| | |
What we do | | |
| | |
How does Schroders protect my personal information? | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Access to personal information is limited to employees who need it to perform their jobs. Our policies restrict employee use of customer information; requiring it be held in strict confidence. |
| | | | | | | | | | |
108
How does Schroders collect my personal information? | | We collect your personal information, for example, when you · open an account and provide account information · give us your contact information · show your driver’s license or government issued ID · enter into an investment advisory contract · make a wire transfer |
| | |
Why can’t I limit all sharing? | | Federal law gives you the right to limit only · sharing for affiliates’ everyday business purposes—information about your creditworthiness · affiliates from using your information to market to you · sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
| | |
Definitions | | |
| | |
Affiliates | | Companies related by common ownership or control. They can be financial and nonfinancial companies. · Our affiliates include companies with the Schroder name; financial companies such as Schroder Investment Management North America Limited and Schroder Investment Management Limited; and others, such as the parent, holding company, Schroders plc. |
| | |
Nonaffiliates | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. · Nonaffiliates we share with can include companies that help us maintain, process or service your transactions or account(s) or financial products, including companies that perform administrative, accounting, transfer agency, custodial, brokerage or proxy solicitation services, or that assist us in marketing. |
| | |
Joint marketing | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. · Schroders doesn’t jointly market. |
Investment Advisor | | Schroder Investment Management North America, Inc. 875 Third Avenue, 22nd Floor New York, NY |
| | |
Trustees | | Catherine A. Mazza (Chairman) Jay S. Calhoun Margaret M. Cannella James D. Vaughn |
| | |
Distributor | | Schroder Fund Advisors LLC 875 Third Avenue, 22nd Floor New York, NY 10022 |
| | |
Transfer & Shareholder Servicing Agent | | Boston Financial Data Services, Inc. |
| | |
Custodian | | JPMorgan Chase Bank |
| | |
Counsel | | Ropes & Gray LLP |
| | |
Independent Registered Public Accounting Firm | | PricewaterhouseCoopers LLP |
| | |
| | The information contained in this report is intended for the general information of the shareholders of the Trusts. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus which contains important information concerning the Trusts. |
| | |
| | Schroder Capital Funds (Delaware) |
| | Schroder Series Trust |
| | Schroder Global Series Trust |
| | P.O. Box 8507 |
| | Boston, MA 02266 |
| | (800) 464-3108 |
| | |
| | 54841 |
Item 2. Code of Ethics.
Not applicable for semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable to open-end management investment companies.
Item 6. Schedule of Investments.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end management investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.
Not applicable to open-end management investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
None.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report on Form N-CSR, that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the investment company on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.
(b) There have been no changes in the registrant’s internal control over financial reporting during the period from February 1, 2011 through April 30, 2011 that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Schroder Series Trust |
| |
| |
By (Signature and Title)* | /s/ Mark A. Hemenetz |
| Mark A. Hemenetz, |
| Principal Executive Officer |
Date: June 30, 2011
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 (Signature and Title)* | /s/ Mark A. Hemenetz |
| Mark A. Hemenetz, |
| Principal Executive Officer |
Date: June 30, 2011 | |
| |
| |
By (Signature and Title)* | /s/ Alan M. Mandel |
| Alan M. Mandel, |
| Treasurer and Chief Financial Officer |
Date: June 30, 2011 | |
* Print the name and title of each signing officer under his or her signature.
