UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-07840 |
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Schroder Series Trust |
(Exact name of registrant as specified in charter) |
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875 Third Avenue, 22nd Floor New York, NY | | 10022 |
(Address of principal executive offices) | | (Zip code) |
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Schroder Series Trust P.O. Box 8507 Boston, MA 02266 |
(Name and address of agent for service) |
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Registrant’s telephone number, including area code: | 1-800-464-3108 | |
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Date of fiscal year end: | October 31, 2011 | |
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Date of reporting period: | October 31, 2011 | |
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Item 1. Reports to Stockholders.
Schroder Mutual Funds
October 31, 2011 | Annual Report |
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| Schroder North American Equity Fund Schroder U.S. Opportunities Fund Schroder U.S. Small and Mid Cap Opportunities Fund Schroder Emerging Market Equity Fund Schroder International Alpha Fund Schroder International Multi-Cap Value Fund Schroder Global Quality Fund Schroder Total Return Fixed Income Fund |
Table of Contents
Letter to Shareholders | | 1 |
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Management Discussion and Analysis | | 3 |
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Schedules of Investments | | |
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North American Equity Fund | | 24 |
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U.S. Opportunities Fund | | 33 |
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U.S. Small and Mid Cap Opportunities Fund | | 36 |
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Emerging Market Equity Fund | | 39 |
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International Alpha Fund | | 43 |
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International Multi-Cap Value Fund | | 46 |
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Global Quality Fund | | 59 |
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Total Return Fixed Income Fund | | 68 |
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Statements of Assets and Liabilites | | 76 |
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Statements of Operations | | 78 |
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Statements of Changes in Net Assets | | 80 |
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Financial Highlights | | 84 |
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Notes to Financial Statements | | 88 |
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Report of Independent Registered Public Accounting Firm | | 102 |
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Information Regarding Review and Approval of Investment Advisory Contracts | | 103 |
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Disclosure of Fund Expenses | | 106 |
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Trustees and Officers | | 108 |
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Notice to Shareholders | | 110 |
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Shareholder Voting Results | | 113 |
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.
December 9, 2011
Dear Shareholder:
The themes of 2011 continue to be highly relevant today and will once again be the main drivers of returns in 2012. The investment environment is therefore likely to remain highly challenging. The market has had no breadth and stocks rise and fall on the same piece of news: risk on or risk off, depending on the latest twist in the Eurozone story or the health of the financial system. Markets will likely continue to exhibit the high degree of volatility which has characterised the market for the latter half of the reporting period. Once again, this is an environment in which diversification and a willingness to be flexible in asset allocation will be keys to success as events unfold.
Recent economic data has been supportive of our view that the US economy will avoid a recession. Despite the downturn in equity markets during the latter part of the reporting period, businesses continued to hire and households went out and spent. Other industry reports have also shown positive signs: employment reports have shown an increase in payrolls, the Institute for Supply Management Index remained in expansion territory and retail sales made healthy gains late in the reporting period.
Recently, investors have been held back by the Euro crisis. We saw the Eurozone moving away from danger with the announcement of bigger haircuts on Greek government bonds, recapitalization of the banks and an increased bailout fund. More detail is needed, but these are first steps as we await reflation, which has yet to come. There is some hope that a restructuring of Greek debt will be realized, but it remains far from certain at the time of this writing. While the “leap” of fiscal union is slowly on its way, suffice to say that there are still significant risks in the region. Fiscal policy is tightening, monetary stimulus is weak and it is not possible to rule out a European recession driven by a credit crunch as banks de-lever in response to haircuts and the European Union’s demand to bolster capital positions. Anecdotal evidence suggests that many banks would choose to reduce their assets rather than raise more capital at this point in the cycle.
Should the Euro area go into recession, there would be a significant impact on the rest of the world. The region accounts for nearly a quarter of global GDP and has significant trading links. In terms of vulnerability to a fall in Eurozone demand, the most affected would be the countries of Eastern Europe (including Russia), Scandinavia, Switzerland and the UK. In the emerging world, China would be the most affected. In terms of the forecast such dependency highlights the vulnerability of the world economy to a recession in the Euro area. Our research finds an increasing concern in Asia over the Euro crisis. If we add in the banking links, then it is not surprising that Eurozone politicians are feeling pressure from their counterparts elsewhere.
Meanwhile, in response to the slowdown earlier in the reporting period, central banks are currently focussed on easing monetary policy. The growth picture may have improved, but there are also concerns that the risks are still skewed to the downside. As expected the Bank of England was the latest to move by announcing on October 6, 2011, a second round of quantitative easing (QE) where they will purchase £75bn of nominal gilts over a four-month period. There is also speculation that the US Federal Reserve will launch a third round of QE following comments from Governor Janet Yellen.
Despite these risks, we are not currently forecasting a double dip recession in the US, as we believe temporary factors held back growth earlier in the year and, more fundamentally, that the private sector has adjusted to the financial crisis primarily through a higher household savings rate. Nonetheless, we recognize that the risks are skewed to the downside as households could cut back further in response to recent political uncertainty and financial market weakness. For the key central banks in the Organisation for Economic Co-operation and Development, monetary policy is expected to remain loose with interest rates on hold for an extended period of time. The Fed has already announced its intention to keep rates unchanged until at least mid-2013.
Against this backdrop, we have cut our GDP growth forecasts, but do not anticipate a global recession. It is clear that temporary factors played a role in depressing economic activity in the spring and summer. The Japanese earthquake disrupted supply chains and hit manufacturing production particularly in the auto industry. Production is now returning to normal in Japan and supply chains are being replenished, indicating better growth in coming months. In the emerging world, central banks are likely to start reducing the pace of policy tightening, with some even reversing previous rate hikes. This reflects evidence of a slowdown in these economies, which is partly being driven by the softening in global activity and effects from the crisis in Europe.
From an investment perspective, we believe this suggests that activity will be more volatile than in previous cycles, thus making assets like equities which rely on growth more risky. We believe it also suggests that commodities offer a good investment against fluctuations in growth as they are often the primary source of shocks.
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As we stated in the Funds’ Semi-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.
Again, we thank you for including Schroders in your financial plan and we look forward to our continued relationship.
| Sincerely, |
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| 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 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 October 31, 2011.
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Schroder North American Equity Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of December 9, 2011)
Performance
In the 12 months ended October 31, 2011, the Schroder North American Equity Fund (the “Fund”) rose 7.70% (Investor Shares) and 7.43% (Advisor Shares). For the same period, the S&P 500 Index (the “Index”) rose by 8.09%.
Market Background
US equities rallied strongly towards the end of 2010 driven by economically sensitive industries as expectations for global growth continued to improve.
By the end of 2010, cyclical industries were in the ascendency, driven by resources, consumer discretionary stocks and industrials, in particular, while the more defensive areas of the market, such as utilities and healthcare, were the clear laggards. This was driven by a positive reception to the US Federal Reserve Bank’s announcement of a further round of Quantitative Easing (dubbed “QE2”) early in the fourth quarter, as well as an unexpected fiscal stimulus and generally supportive economic data. Weakness in the US dollar on the back of QE2 and undemanding valuations also helped to buoy the US equity market as we headed into 2011.
At the beginning of 2011, bad weather dampened US consumer spending, while rising commodity prices fuelled concerns about inflation, putting further pressure in the US consumers’ propensity to spend.
Political turmoil in the Middle East and North Africa, the earthquake/tsunami and subsequent nuclear plant crisis in Japan, and ongoing European sovereign debt issues also dented confidence.
Confidence plummeted over the summer as US policymakers struggled to reach a compromise deal to extend the federal debt ceiling and stave off default, while ratings agency Standard & Poor’s downgraded US debt to AA+. However, positive sentiment for the most part supported overall share price growth during the year.
Over the period as a whole, cyclical sectors including energy (benefiting from rising commodity prices), industrials, materials and consumer discretionary outperformed the Index.
Portfolio Review
The Fund slightly underperformed the Index for the period, as investors primarily favored lower quality and more volatile companies (i.e, loss makers performed well). Within the healthcare sector, healthcare providers detracted from performance as optimism fuelled a rotation out of defensive areas of the market. However, this was offset by good performance from the Fund’s holdings in both biotechnology and managed healthcare. Stock selection in the oil and gas sector also detracted, as did the Fund’s holdings in insurers. These negative contributions were partially offset by positive contributions from consumer-related holdings, especially retailers and consumer durables and services. Chemicals and machinery stocks also outperformed.
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:
· Within cyclical parts of the market, opportunities are more mixed outside of technology to which we maintain a small overweight position, principally concentrated in semiconductors and hardware companies. However, while underweight consumer discretionary companies overall, we have recently begun to increase the Fund’s exposure to selected out-of-favour retail stocks.
· Within defensives, we retain the Fund’s overweight to telecoms and healthcare stocks, specifically healthcare providers. The Fund continues to hold an underweight allocation to utilities.
· Within resources, the Fund retains a preference for energy but we are selectively favoring mining stocks that demonstrate very high levels of profitability in materials.
· In addition, the Fund remains focused on high quality companies within financials.
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Comparison of Change in the Value of a $10,000 Investment in the Schroder North American Equity Fund
Investor and Advisor Shares vs. the Standard & Poor’s (S&P) 500 Index
The S&P 500 Index is a market capitalization value weighted composite index of 500 large capitalization U.S. companies and reflects the reinvestment of dividends.
PERFORMANCE INFORMATION
| | One Year Ended
October 31, 2011 | | Five Years Ended
October 31, 2011 (a) | | Annualized
Since
Inception | |
Schroder North American Equity Fund — | | | | | | | |
Investor Shares | | 7.70 | % | 0.66 | % | 5.15 | %(b) |
Advisor Shares | | 7.43 | % | 0.33 | % | 4.81 | %(c) |
Standard & Poor’s (S&P) 500 Index | | 8.09 | % | 0.25 | % | 4.57 | % |
(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” 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 | |
Apple | | 2.9 | % |
ExxonMobil | | 2.7 | |
Chevron | | 1.7 | |
International Business Machines | | 1.7 | |
Microsoft | | 1.6 | |
* Excludes Short-Term Investment.
Sector Allocation
Sector | | % of Investments | |
Information Technology | | 16.5 | % |
Financials | | 13.1 | |
Energy | | 11.0 | |
Healthcare | | 10.8 | |
Consumer Staples | | 9.7 | |
Consumer Discretionary | | 8.6 | |
Industrials | | 8.3 | |
Materials | | 3.8 | |
Utilities | | 3.1 | |
Telecommunication Services | | 2.5 | |
Short-Term Investment | | 12.6 | |
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Schroder U.S. Opportunities Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of December 9, 2011)
Performance
In the 12 months ended October 31, 2011, the Schroder U.S. Opportunities Fund (the “Fund”) rose 3.78% (Investor Shares) and 3.50% (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 6.71%.
Market Background
Over the past year we have seen periods in which high beta and cyclicality led our segment of the market, followed by periods of risk aversion favoring lower beta and higher quality names. The Fund’s fiscal year ended with a return to the high beta leadership in the market. Throughout the year macro factors driving the market have been the pace of the US economic recovery and the unfolding scenario in Europe surrounding Greek sovereign debt (and several other nations) and vulnerability of major European banks to erosion in their capital base. One sign of the importance of macro factors in driving the market has been the exceptionally high correlation of stock returns in the market. This normally indicates that macro rather than stock-specific factors were more important in impacting returns during the period.
As we are bottom-up in our approach, individual stock selection drives the Fund’s portfolio construction. However, it is becoming increasingly important to be aware of the macro environment and over the past 12 months we have seen several significant influences in the market. In late 2010 and early 2011, high beta and cyclical stocks led as optimism about the economic recovery abounded. That began to change in the second quarter and by the third calendar quarter the appetite for risk had diminished considerably, which was a benefit for the Fund as quality and lower beta became favored. October 2011 saw a remarkable change of direction by the market as risk appetites changed and the Index enjoyed the third strongest month in its history.
Portfolio Review
The Fund underperformed the Index for the 12-month reporting period ended October 31, 2011. Stock selection was the main driver of the Fund’s underperformance, with lagging returns in the technology, producer durables, healthcare and consumer staples sectors. This was partially offset by good selection in the financials, energy and consumer discretionary sectors. At the sector level, the Fund’s underweight in financials contributed to relative returns as this was the weakest performing sector in the Index. The Fund’s average cash position detracted from relative performance.
Cyclically oriented sectors such as technology and producer durables account for the majority of the Fund’s weak stock selection. Digital River and Netscout Systems were two laggards in technology. Digital River’s e-commerce business was hurt by a shift to distribution through mobile application stores, a segment in which the company has little presence. Netscout is a play on the rapid expansion of wireless data transmission; the company faced headwinds this year due to a high percentage of their customers being either in the government or financial sectors, both of which have become cautious on additional technology spending. The Fund’s returns in the producer durables group were negatively impacted by Monster Worldwide which saw its job recruiting business slow along with the economy. We also saw a lag in consumer staples driven by Nash Finch, a food distributor with significant business with smaller and independent grocery stores. These stores suffered more than the big chains as consumers pinched pennies across the board.
During the year we increased the Fund’s exposure to consumer discretionary and financial services while reducing its technology weighting. In financials we added to the Fund’s holdings in property-casualty insurance (e.g, Alterra Capital Holdings) and to bank exposure (SVB Financial Group). This was partially offset as the Fund sold all of its securities brokerage and services stocks during the year. In consumer discretionary the Fund initiated positions in several industries such as leisure time (Six Flags Entertainment), consumer electronics (Harman International Industries) and restaurants (Wendy’s).
The biggest change in the technology sector was a reduction in the Fund’s exposure to computer services software and systems, which has been (and continues to be) its largest industry weighting in technology. The sale of Digital River was the biggest reduction in this sector but a number of other names were trimmed during the year.
Outlook
We remain cautious as macro news drives the market. We remain concerned that analysts are too optimistic about earnings prospects for 2012. While we expect the recovery to continue slowly, we do not think earnings gains will be that robust. For the time being macro news is dominating market moves. Whether news is about attempts to resolve the sovereign debt and banking crisis in Europe or about employment and economic data in the US, the macro news is obscuring company fundamentals. We do expect the economy to slowly expand and unemployment rates to slowly come down, but it’s going to take time as we emerge from a credit crisis-induced recession. Finally, we believe American politics may be a wild card throughout the year in the lead-up
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to next November’s general election. From time-to-time, we believe that there are likely to be surprises that will have a short-term effect on the market.
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Comparison of Change in the Value of a $10,000 Investment in the Schroder U.S. Opportunities Fund
Investor and Advisor Shares vs. the Russell 2000 Index
The Russell 2000 Index is a market capitalization weighted broad-based index of 2,000 small capitalization U.S. companies.
PERFORMANCE INFORMATION
| | One Year Ended
October 31, 2011 | | Five Years Ended
October 31, 2011 (a) | | Ten Years Ended
October 31, 2011
(a) | |
Schroder U.S. Opportunities Fund (b) (c) — | | | | | | | |
Investor Shares | | 3.78 | % | 3.59 | % | 8.81 | % |
Advisor Shares | | 3.50 | % | 3.33 | % | 8.54 | %(d) |
Russell 2000 Index | | 6.71 | % | 0.68 | % | 7.02 | % |
(a) | Average annual total return. |
(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) | 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. |
(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 | |
Cleco | | 2.0 | % |
FTI Consulting | | 1.6 | |
NorthWestern | | 1.5 | |
Oil States International | | 1.5 | |
Innophos Holdings | | 1.5 | |
* Excludes Short-Term Investment.
Sector Allocation
Sector | | % of Investments | |
Consumer Discretionary | | 17.4 | % |
Financial Services | | 15.8 | |
Producer Durables | | 14.4 | |
Technology | | 12.7 | |
Healthcare | | 11.4 | |
Materials & Processing | | 6.7 | |
Utilities | | 5.5 | |
Other Energy | | 5.1 | |
Consumer Staples | | 1.0 | |
Auto & Transportation | | 0.4 | |
Investment Company | | 0.3 | |
Short-Term Investment | | 9.3 | |
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Schroder U.S. Small and Mid Cap Opportunities Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of December 9, 2011)
Performance
In the 12 months ended October 31, 2011, the Schroder U.S. Small and Mid Cap Opportunities Fund (the “Fund”) rose 5.21% (Investor Shares) and 4.90% (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 7.97%.
Market Background
This twelve-month period can be described as discontinuous. The markets were generally positive until the end of April, but began to slide through May and most of June. A late June rally failed to sustain itself and in July the market began to pullback. Then on August 8, 2011, Standard & Poor’s downgraded US Government debt and the market began to fall. For the balance of the reporting period the market has been driven by macro events in the US and Europe as concerns about the US economy, the US debt ceiling and the European sovereign debt crisis took center stage. During July, August and September macro news was mostly negative and drove the market to lows last seen in the summer of 2010. In October, news in the US and Europe turned positive and markets rallied sharply — so much so that the Index experienced the second best monthly return in its history. In the four-month period from June to October, valuations on the Index have gone from overvalued to undervalued, to near fair value. This gives a picture of the wide swings recently experienced in equity markets. For the twelve-month period high beta has been a driving factor in returns. During rising market periods high beta stocks outperformed by a wide margin, but during the very poor summer markets high beta stocks fell more than the rest of the market.
From a sector perspective, the two strongest performing sectors in the Index were energy and consumer staples. This is an unusual pairing as consumer staples are typically more defensive while energy stocks are generally viewed as more cyclical in nature. This reflects the market dichotomy — cyclical stocks performed well leading up to June and also in October, but for June through September defensive stocks clearly were in favor.
Portfolio Review
As noted above the energy sector was a strong performer during the twelve-month reporting period, rising by 20.57%. This was the second best sector return in the Index. Considerable value was added in this sector due to strong stock selection. The best performers were petroleum producers and refiners SM Energy and Concho Resources which benefitted from strong production and oil prices that rose in the last months of the reporting period. The Fund also added value in the materials and processing sector, particularly through exposure to precious metals gold and silver. Key holdings included Yamana Gold, Royal Gold and Pan American Silver. Utilities, a traditional defensive sector, also added value partly due to stock selection and partly due to allocation. Financial services was the weakest sector for the full period, and the Fund’s underweight added value. Primary detractors were the Fund’s cash position and stock selection in healthcare, which has proven to be a difficult area given uncertainties surrounding implementation of the healthcare legislation. An example is the Fund’s holding in Brookdale Senior Living, which was hurt by a Medicare cut in reimbursements for skilled nursing facilities.
Technology has traditionally been an area of strength for the Fund but that was not the case over the trailing twelve months. We modestly detracted value due to an overweight in the sector (which lagged the overall Index) and the Fund’s stocks slightly lagged the overall sector return. The Fund had some very strong returns in the semiconductor group, notably National Semiconductor which was acquired by the large cap company Texas Instruments. This was offset by weakness in the computer services software industry where Digital River and Parametric Technology were weak. The Fund exited its Digital River position because of a softening in the company’s core business. Parametric Technology experienced some decline in orders early in the year but has rebounded nicely in the past month.
Within financials the Fund’s underweight helped but stock selection detracted. The Fund’s holding in PartnerRe, a reinsurance company, was a notable detractor. This company was hit by losses due to a number of natural disasters this year, from the tsunami and earthquake in Japan, to floods in Australia and tornadoes in the United States. The Fund continues to hold the stock due to its high quality (PartnerRe has a very strong balance sheet) and long-term prospects.
Outlook
We are cautious in our outlook. As noted earlier, macro events in the US and Europe have dominated headlines and driven returns since late Spring, and we do not believe this will stop anytime soon. We are concerned about US consumers and the problems faced by that group. The housing market has yet to recover from the end of that market’s bubble, and given the overhang of unsold inventory we expect it could be several years before strength returns to housing. This is important for two reasons: the housing market has an important multiplier effect in the economy (people buying homes also buy dishwashers, furniture and other items) and the house is the most significant component of most people’s personal wealth. Coupled with the extent of job losses from the recession and the very slow pace of recovery we do not believe consumers will lead the US economy out of its current sluggish state anytime soon, which we believe is note worthy given that consumption is over 70% of US GDP. However, we have seen other periods where it was hard to discern a path to recovery for the economy and, accordingly, we continue the Fund’s focus on finding good companies with growth prospects and good business models. At the end of the day we
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are bottom-up investors and while we have macro views it is the bottom-up stock selection that drives the Fund’s relative performance.
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Comparison of Change in the Value of a $10,000 Investment in the Schroder U.S. Small and Mid Cap Opportunities Fund Investor and Advisor Shares vs. the Russell 2500 Index
The Russell 2500 Index is a market capitalization weighted broad based index measuring the performance of the 2500 smallest companies in the Russell 3000 Index, which represents approximately 70% of the total market capitalization of the Russell 3000 Index.
PERFORMANCE INFORMATION
| | One Year Ended
October 31, 2011 | | Five Years Ended
October 31, 2011 (a) | | Annualized
Since
Inception (b) | |
Schroder U.S. Small and Mid Cap Opportunities Fund — | | | | | | | |
Investor Shares | | 5.21 | % | 4.26 | % | 4.27 | % |
Advisor Shares | | 4.90 | % | 4.01 | % | 4.00 | % |
Russell 2500 Index | | 7.97 | % | 2.01 | % | 1.94 | % |
(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 | | 2.0 | % |
Airgas | | 2.0 | |
Questar | | 2.0 | |
SM Energy | | 2.0 | |
Pharmaceutical Product Development | | 1.9 | |
* Excludes Short-Term Investment.
Sector Allocation
Sector | | % of Investments | |
Consumer Discretionary | | 15.8 | % |
Technology | | 15.0 | |
Financial Services | | 14.3 | |
Healthcare | | 10.9 | |
Materials & Processing | | 9.7 | |
Producer Durables | | 8.9 | |
Utilities | | 6.7 | |
Other Energy | | 5.4 | |
Auto & Transportation | | 2.2 | |
Consumer Staples | | 0.5 | |
Telecommunication Services | | 0.2 | |
Short-Term Investment | | 10.4 | |
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Schroder Emerging Market Equity Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of December 9, 2011)
Performance
In the 12 months ending October 31, 2011, the Schroder Emerging Market Equity Fund (the “Fund”) declined -7.73% (Investor Shares) and -7.95% (Advisor Shares), compared to the Morgan Stanley Capital International Emerging Markets Index (the “Index”), a broad-based basket of international stocks, which declined -7.72% during the same period.
Market Background
Global equity markets produced a broadly flat return over the period, with sentiment hit by the softening tone of economic data releases in the US and an escalation of the sovereign debt crisis in the Eurozone. Sovereign debt concerns also affected the US, with the country losing its AAA rating from Standard & Poor’s in August 2011, sparking significant equity market volatility which continued to the end of the review period. On the policy front, the Federal Reserve announced a second round of quantitative easing — QE2 — in November 2010 in a bid to support economic growth. However, below-trend growth in 2011 to date led to renewed fears of a ‘double dip’ recession in the US, and more recently the Fed has responded to macroeconomic weakness by announcing ‘Operation Twist’ (a policy maneuver designed to keep long-term interest rates low) while also saying that official rates will stay close to zero until mid-2013. Emerging market equities underperformed developed markets over the year, as the asset class was subject to outflows at the onset of the ‘Arab Spring’ while more recently emerging markets have suffered from a decline in risk appetite at a global level.
Asian emerging markets outperformed broader emerging markets over the year. South Korea outperformed, with market sentiment boosted by expectations that Korean manufacturers would take market share from Japanese rivals affected by March’s earthquake and tsunami. The central bank also halted its policy of interest rate normalization amid concerns over slower global growth. Indonesia outperformed, supported by a strong domestic economy and robust foreign direct investment inflows, although inflation concerns provided a headwind for the market. Malaysia outperformed, reflecting the market’s defensive nature as well as support from the country’s strong current account and its capital controls. Thailand outperformed; political risks eased as the Puea Thai (PT) party won the general election, while the market is also perceived as being more insulated from European Union (EU) sovereign debt risks. Taiwan outperformed; the market was initially hit by fears of supply chain disruption in the technology sector following the Japanese earthquake, but more recently these concerns have eased. The Philippines also outperformed, aided by its large domestic investor base and a moderation in inflation expectations. Chinese equities underperformed, with the authorities raising interest rates and reserve requirement ratios in response to rising inflation. More recently, China has been hit by fears of a ‘hard landing’ following the large credit expansion after the implementation of stimulus in 2008/2009. India underperformed, with stubbornly high inflation forcing the central bank to raise interest rates. Political developments also provided a headwind, with a scandal relating to the misallocation of mobile phone licenses.
The emerging markets of Europe, the Middle East, and Africa performed in line with wider emerging markets. Russia outperformed, buoyed by strength in oil prices, with Brent crude oil rising above $126 a barrel at the height of the ‘Arab Spring’ in April. The Czech market outperformed, reflecting the defensive composition of the local index. South Africa outperformed, aided by a series of new highs in gold prices, although rand weakness weighed on returns. Poland underperformed, with sentiment hit by the EU debt crisis and concerns over consumer exposure to Swiss franc loans. Egypt underperformed, with widespread political unrest forcing the closure of the local bourse for all of February and most of March. Hungary suffered a heavy sell-off, reflecting the economy’s reliance on exports to Europe to drive growth. Local currency weakness and the prevalence of Swiss franc loans in the consumer sector also provided headwinds. Turkey underperformed, reflecting weakness in the lira, concerns over the current account deficit, and unorthodox monetary policy.
Except for Mexico, Latin markets underperformed their emerging market peers. Chile underperformed, with inflation concerns and a decline in copper prices weighing on the market. Colombia underperformed, with the central bank normalising interest rates as food prices exerted upward pressure on inflation. Brazil underperformed, with inflation and interest rate concerns providing the main headwinds; in particular, the decision by the central bank to cut rates by half a percentage point at the end of August surprised many market participants. Peru underperformed, with the sell-off in global commodities in the latter part of the period weighing on sentiment. Political risks also provided a headwind as the left-wing nationalist Ollanta Humala won the presidential election.
Portfolio Review
Fund performance slightly trailed the Index over the reporting period. Emerging markets declined over the year to October 31, 2011 and returns were behind those of developed markets. Country selection detracted from returns over the year while stock selection added value.
In terms of the Fund’s country positioning, the main negative contributions came from overweight positions in Hungary and Turkey, which underperformed, and underweight positions in Indonesia and South Africa, which outperformed. These negative
11
contributions more than offset the positive impact of overweight positions in South Korea, Russia and Thailand, which outperformed, and the underweight to India, which underperformed over the year.
As an open economy, Hungary suffered over the period due in part to the deteriorating outlook for developed Europe and elevated concerns over Eurozone sovereign risk. Hungary’s policy response has also been somewhat unorthodox, including reversing previous pension reforms and offering artificially low exchange rates for mortgages denominated in Swiss francs. Turkey’s economy grew strongly over the period led by the domestic consumer. However, its stock market underperformed following inflation and current account concerns which were accentuated by oil price strength, which followed political unrest in the Middle East and North Africa. Indonesia outperformed, driven by a strong domestic consumer and robust economic fundamentals. South Africa outperformed, supported by gold price strength and robust domestic consumption, together with its relatively low sensitivity to broader global markets during a period of heightened market volatility. By contrast, South Korea benefited from robust economic fundamentals and the supply chain disruptions caused by the earthquake in Japan. Russia benefited from the significant run-up in oil prices that accompanied the Arab Spring and the subsequent supply disruptions in Libya, while Thailand outperformed owing to a strong growth outlook and increased political stability.
Stock selection was favorable over the period. Selection in South Korea was particularly strong (overweight LG Household & Health Care, Hyundai Motor and Cheil Worldwide). Our choice of stocks in China also added to returns (overweight China Shenhua Energy), as did selection in Turkey (overweight TAV Havalimanlari Holding, Turk Telekomunikasyon and Emlak Konut Gayrimenkul Yatirim Ortakligi), Brazil (overweight Companhia Energética de Minas Gerais and Cia de Concessoes Rodoviarias) and Taiwan (overweight Chinatrust Financial Holding, Taiwan Cement and Taiwan Semiconductor Manufacturing). These positive contributions more than offset the unfavorable impact of selection in Mexico (overweight Corporacion GEO SAB de CV and Groupo Financiero Banorte), South Africa (underweight Gold Fields Ltd., overweight Impala Platinum Holdings) and Indonesia (overweight Bank Mandiri, underweight PT Bank Central Asia TBK and PT Astra International).
Outlook
Our outlook for emerging markets remains largely unchanged. The immediate outlook is driven by global events, and we expect that equity markets are likely to remain volatile until there is increased political consensus and action to tackle the challenges in the developed markets. However, we expect that improved stabilization in developed markets, more positive news flow from the US, or policy easing in China could result in stock markets to rebound. We believe that emerging markets look well placed to outperform their developed peers. In stark contrast to the debt-ladened developed world, emerging economies do not face the same structural headwinds from fiscal tightening and de-leveraging that are proving so painful in the US and Europe. Consensus expectations of GDP growth in emerging markets over 2012 remain robust at 6.1% and continue to underline the existence of a two-speed world. Although investor concerns year to date have been dominated by whether emerging markets are growing too quickly and creating inflationary pressure, more recently these pressures appear to be abating somewhat. We are beginning to see a shift in the policy stance of emerging markets authorities away from prioritizing inflation in favor of growth. We believe that more restrictive tightening policies look to be peaking in many cases, and several markets have already started to implement expansionary measures. Investor concerns over the ability of China to orchestrate a “soft landing” remain following recent weaker data releases, although we continue to believe the concerns to be somewhat overstated. We believe that Chinese authorities have the resources available to unwind tightening measures and peaking inflation. In combination with softer commodity prices, we believe that such conditions should remove constraints to policy easing in future. Valuations are attractive, with the MSCI Emerging Markets trading on 9.0X P/E ratio, below its long term average of around 13X, and such valuation levels have historically been followed by strong market returns. Furthermore, these valuations are supported by robust earnings growth expectations of around 10-15% and strong underlying fundamentals, with typically low debt at the government, corporate and household level. Although the absolute performance of emerging markets over the shorter term remains unclear, we believe that the medium and longer term outlook appears to be positive.
12
Comparison of Change in the Value of a $10,000 Investment in the Schroder Emerging Market Equity Fund
Investor and Advisor Shares vs. the Morgan Stanley Capital International (MSCI) Emerging Markets Index
The MSCI Emerging Markets Index is an unmanaged market capitalization index of companies representative of the market structure of emerging countries in Europe, the Middle East, Africa, Latin America and Asia. The Index reflects actual buyable opportunities for the non-domestic investor by taking into account local market restrictions on share ownership by foreigners.
PERFORMANCE INFORMATION
| | One Year Ended
October 31, 2011 | | Five Years Ended
October 31, 2011 (a) | | Annualized
Since
Inception (b) | |
Schroder Emerging Market Equity Fund — | | | | | | | |
Investor Shares | | (7.73 | )% | 6.38 | % | 6.71 | % |
Advisor Shares | | (7.95 | )% | 6.18 | % | 6.50 | % |
MSCI Emerging Markets Index | | (7.72 | )% | 6.51 | % | 6.75 | % |
(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 | | 5.4 | % |
China Mobile | | 3.1 | |
Gazprom ADR | | 3.0 | |
Hyundai Motor | | 2.5 | |
Industrial & Commercial Bank of China Class H | | 2.0 | |
* Excludes Short-Term Investment.
Geographic Allocation
% of Investments | 
|
 Asia/Far East
| 60.6 | % |
 Latin America
| 18.7 | |
 Europe
| 13.0 | |
 Africa
| 3.0 | |
 Mid-East
| 1.3 | |
 Short-Term Investment
| 3.4 | |
13
Schroder International Alpha Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of December 9, 2011)
Performance
In the 12 months ended October 31, 2011, the Schroder International Alpha Fund (the “Fund”) declined -8.87% (Investor Shares) and -8.97% (Advisor Shares) compared to the Morgan Stanley Capital International EAFE Index (the “Index”), a broad-based basket of international stocks, which declined -4.08%.
Market Background
Global equity markets have been extremely volatile over the 12 months ending October 31, 2011, ending the period lower than they began.
Towards the end of 2010 and through the first few months of this year, equities broadly rose on the combination of a second round of US quantitative easing, the health of the corporate sector and renewed hopes for global recovery. Through the summer, however, sovereign debt concerns on both sides of the Atlantic increasingly spooked investors. In particular, the failure of European leaders to provide effective leadership and credible plans as the region’s sovereign debt crisis intensified dented market sentiment. Additionally, the crisis of confidence triggered in August by the US debt ceiling negotiations intensified despite the corporate sector remaining in relatively good shape. As a result, August and September saw severe and at times indiscriminate losses as the Eurozone debt crisis worsened and extreme risk aversion saw a strong rotation out of high-beta stocks. There was a significant rally during October on hopes that a solution to Europe’s problems would materialize.
Portfolio Review
Looking at performance from a sector perspective, information technology and industrials added relative value. In the former sector, Samsung Electronics has become the largest seller of smartphones, and with tablet sales on track to rise by more than five times this year from 2010, the stock has been a standout performer. In the latter sector, industrial robot maker FANUC outperformed as it benefits from automation trends in emerging markets.
Performance in financials and energy detracted, however. The Fund’s holdings in the financials sector especially suffered in the third quarter of the year as the Eurozone debt crisis deteriorated. In energy, Niko Resources hurt returns and was the largest detractor from a total portfolio perspective. The company suffered from a pricing dispute with the Indian government and, more recently, the stock has been hurt as investors fled to the perceived safety of larger cap names.
From a regional perspective, stock selection and the Fund’s underweight exposure in Japan helped. Sekisui Chemical led relative returns in the country and was one of the Fund’s top performing stocks. After initially dropping after the earthquake and tsunami, this Japanese modular home builder has seen strong demand from rebuilding efforts after the disaster.
Emerging markets were the main source of underperformance by region. This was primarily due to the financials sector where holdings such as Indian truck financier Shriram Transport Finance and Turkey’s largest listed lender Turkiye Garanti Bankasi detracted.
Outlook
Equity markets have been through a period of intense volatility. In the third quarter of 2011 in particular, the dominant factor driving share price performance was a stock’s beta sensitivity. Conversely, longer-term forecast earnings per share (“EPS”) growth and valuation have delivered negative returns, in the aggregate. In this environment, the Fund’s focus on stocks’ longer term earnings growth (3-5 year trend growth) and relative valuation struggled in the short term, which impacted performance during the reporting period. Over time however, we believe companies that successfully achieve higher than average earnings growth will outperform the market on average, and a focus on medium- to long-term earnings growth as a source of return remains a key part of the Fund’s investment process.
At the time of writing, political and economic uncertainty in the Eurozone — and in particular Greece and Italy — is incredibly high. The need for coordinated action is urgent. The outcome of the October debt summit at least demonstrated to the markets that politicians are willing to take unprecedented action. However, details about the implementation of the proposed bail out package, should it still go ahead, are few and Italy is increasingly under intense pressure to sort its finances out as the yield on its 10 year notes reach unsustainable levels. Furthermore, with economic data showing the region in danger of edging back into recession, we believe the need for measures to support economic growth is urgent but somewhat in contradiction with the spirit of the current European bailout package targeting deleveraging and fiscal austerity.
Elsewhere, we believe the most recent economic data coming out of the US have been generally encouraging. In Asia, meanwhile, we are cautious about growth in China in the short term, although we do not forecast a hard landing. On the positive side, we believe global economic deceleration will help further abate inflationary pressure and allow some emerging market countries to relax monetary policies.
14
Broadly speaking, we believe the corporate world remains in relatively good shape. Because of the crisis of confidence in the markets and the turmoil in the Eurozone, however, businesses are reluctant to increase spending and hiring. With companies postponing the very measures needed to boost the recovery, the risk of talking ourselves into a recession increases. In addition, the precise economic impact on Europe of austerity plans in the region’s periphery, and of the process of banks deleveraging their balance sheets, is still unclear.
On a long-term basis we believe that the bias of growth away from developed markets is part of the “new normal” environment where developed world growth is muted and emerging market growth is higher and where our key themes of Supercycle, demographics and climate change continue to unfold.
15
Comparison of Change in the Value of a $10,000 Investment in the Schroder International Alpha Fund
Investor and Advisor Shares vs. the Morgan Stanley Capital International (MSCI) EAFE Index
The MSCI EAFE Index is a market weighted index composed of companies representative of the market structure of certain developed market countries in Europe, Australia, Asia and the Far East, and reflects dividends reinvested net of non-recoverable withholding tax.
PERFORMANCE INFORMATION
| | One Year Ended
October 31, 2011 | | Five Years Ended
October 31, 2011 (a) | | Ten Years Ended
October 31, 2011
(a) | |
Schroder International Alpha Fund (b) — | | | | | | | |
Investor Shares | | (8.87 | )% | (0.95 | )% | 5.46 | % |
Advisor Shares | | (8.97 | )% | (1.20 | )% | 5.21 | %(c) |
MSCI EAFE Index | | (4.08 | )% | (2.41 | )% | 5.73 | % |
(a) | Average annual total return. |
(b) | 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. |
(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 | |
Nestle | | 3.4 | % |
GlaxoSmithKline | | 3.0 | |
Diageo | | 2.6 | |
Anheuser-Busch InBev | | 2.4 | |
United Utilities Group | | 2.4 | |
Geographic Allocation
% of Investments | | 
|
 Continental Europe
| 38.0 | % | |
 United Kingdom
| 23.5 | | |
 Pacific ex-Japan
| 13.5 | | |
 Japan
| 11.2 | | |
 Emerging Markets
| 10.1 | | |
 North America
| 3.5 | | |
 Short-Term Investment
| 0.2 | | |
16
Schroder International Multi-Cap Value Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of December 9, 2011)
Performance
In the 12 months ended October 31, 2011, the Schroder International Multi-Cap Value Fund (the “Fund”) declined -3.72% (Investor Shares) and -3.90% (Advisor Shares) compared to the Morgan Stanley Capital International EAFE Index (the “Index”), a broad-based basket of international stocks, which declined -4.08% during this same period.
Market Background
International equities rallied strongly towards the end of 2010, driven by economically sensitive industries (resources and industrials in particular) as expectations for global growth continued to improve. Equity markets responded positively to the US Federal Reserve Bank’s announcement of a further round of Quantitative Easing (dubbed “QE2”) early in the fourth quarter, as well as an unexpected fiscal stimulus and generally supportive economic data.
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. However, political turmoil in the Middle East and North Africa, the earthquake/tsunami and subsequent nuclear plant crisis in Japan, and resurging concerns about the sustainability of European sovereign debt, dented confidence as the year progressed.
During the third calendar quarter of 2011, an escalation in the Eurozone debt crisis, combined with fears of a double-dip recession, led to a broad-based retreat from risk assets. The sell-off progressively engulfed equities, commodities, emerging market currencies as well as high yield credit, while the yields on US Treasuries, UK gilts and German bunds fell to new lows.
It has been a turbulent year for international equity markets, characterized by excessive market volatility. Over the period as a whole, energy stocks were the leading performers (benefiting from rising commodity prices); while defensive sectors, such as consumer staples, healthcare and telecom services, outperformed the Index as risk appetite waned.
Portfolio Review
In the challenging market environment, the Fund remained relatively resilient, outperforming the Index over the reporting period ending October 31, 2011.
Performance was chiefly driven by positive stock selection in the financials, utilities, telecom services and materials sectors. Detractors included the Fund’s holdings within the information technology and industrials sectors.
Despite turmoil in Japan, the Fund’s regional stock selection was, by far, the leading contributor to performance. Avoiding underperforming Japanese utilities stocks (which struggled in the wake of the Tohoku earthquake) boosted relative gains. Elsewhere, the Fund’s emerging markets allocation added to the relative gains, despite weaker performance by emerging Asia stocks.
Outlook
Within defensive sectors, the Fund’s largest overweight remains telecoms, which is offset by a large underweight position in consumer staples, where we think household goods and food and drink companies look expensive.
Among cyclical names, we are still finding industrials expensive, with the notable exception of the less cyclical defence stocks. Within consumer discretionary, we have been recently topping up the Fund’s exposure to auto and retail stocks.
The Fund remains overweight to resources stocks, especially mining companies. In the short term, we believe these will probably remain volatile and sensitive to concerns about economic growth and worries over China.
Within financials, we favor insurers although we are progressively increasing the Fund’s exposure to banks, although we remain wary of financials. The Fund remains more lowly-weighted in property stocks; this strategy appears to be starting to pay off, as investors become more concerned about property, especially in Hong Kong and China.
Within emerging markets, we continue to favor a barbell focused upon resources and defensives (telecoms and utilities). We continue to identify what we believe to be some good value technology stocks, predominantly in Taiwan.
17
Comparison of Change in the Value of a $10,000 Investment in the Schroder International Multi-Cap Value Fund Investor and Advisor Shares vs. the Morgan Stanley Capital International (MSCI) EAFE Index
The MSCI EAFE Index is a market weighted index composed of companies representative of the market structure of certain developed market countries in Europe, Australia, Asia and the Far East, and reflects dividends reinvested net of non-recoverable withholding tax.
PERFORMANCE INFORMATION
| | One Year Ended
October 31, 2011 | | Five Years Ended
October 31, 2011 (a) | | Annualized
Since
Inception (b) | |
| | | | | | | |
Schroder International Multi-Cap Value Fund — | | | | | | | |
Investor Shares | | (3.72 | )% | 1.67 | % | 2.65 | % |
Advisor Shares | | (3.90 | )% | 1.46 | % | 2.43 | % |
MSCI EAFE Index | | (4.08 | )% | (2.41 | )% | (1.58 | )% |
(a) | Average annual total return. |
(b) | 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 | |
| | | |
AstraZeneca | | 0.7 | % |
Eisai | | 0.6 | |
Roche Holding | | 0.6 | |
Lawson | | 0.5 | |
Fortum | | 0.5 | |
* Excludes Short-Term Investment.
Geographic Allocation
% of Investments | | 
|
| | | |
 Continental Europe
| 33.3 | % | |
 Japan
| 19.5 | | |
 United Kingdom
| 14.6 | | |
 Pacific ex-Japan
| 11.9 | | |
 Emerging Markets
| 11.3 | | |
 North America
| 8.0 | | |
 Short-Term Investment
| 1.4 | | |
18
Schroder Global Quality Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of December 9, 2011)
Performance
In its initial period since its commencement of operations on November 9, 2010 and ending October 31, 2011, the Schroder Global Quality Fund (the “Fund”) returned 0.93% compared to the Morgan Stanley Capital International World Index (the “Index”), a broad-based basket of global stocks, which returned -1.27% during this same period.
Market Background
Global equities rallied strongly towards the end of 2010, driven by economically sensitive industries (resources and industrials in particular) as expectations for global growth continued to improve. Equity markets responded positively to the US Federal Reserve Bank’s announcement of a further round of Quantitative Easing (dubbed “QE2”) early in the fourth quarter, as well as an unexpected fiscal stimulus and generally supportive economic data.
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. However, political turmoil in the Middle East and North Africa, the earthquake/tsunami and subsequent nuclear plant crisis in Japan, and resurging concerns about the sustainability of European sovereign debt, dented confidence as the year progressed.
During the third calendar quarter of 2011, an escalation in the Eurozone debt crisis, combined with fears of a double-dip recession, led to a broad-based retreat from risk assets. The sell-off progressively engulfed equities, commodities, emerging market currencies as well as high yield credit, while the yields on US Treasuries, UK gilts and German bunds fell to new lows.
It has been a turbulent period for global equity markets, characterized by excessive market volatility. Overall, defensive sectors such as consumer staples and healthcare outperformed the Index as risk appetite waned. Other leading performers included energy stocks, which benefited from rising commodity prices.
Portfolio Review
In the challenging market environment, the Fund remained relatively resilient, outperforming the Index since inception.
Performance was chiefly driven by positive stock selection in the financials, materials, telecom services and consumer staples sectors. Detractors included the Fund’s holdings within the energy and information technology sectors.
Despite the turmoil in Japan, the Fund’s regional stock selection was, by far, the leading contributor to performance, particularly among wireless telecoms and retail holdings. In addition, avoiding underperforming Japanese utilities stocks (which struggled in the wake of the Tohoku earthquake) boosted relative gains. Elsewhere, stock selection in emerging markets, and the Fund’s underweight allocation to continental Europe, added value.
Outlook
Region, sector and size allocations within the Fund are determined by the identification of individual stock-level opportunities, but the overall Quality strategy positioning can be summarised as follows:
We are finding a range of valuations in defensive areas. The largest sector overweight in the Fund’s portfolio remains healthcare, especially equipment and providers. Elsewhere, in consumer staples, opportunities are more mixed: food and drink companies continue to look relatively expensive. Within the dividend yield-based defensive sectors, we prefer telecoms over utilities.
The Fund remains overweight in resources and we continue to like oil exploration, equipment, mining and coal stocks. Technology remains the other favored “cyclical” sector for the Fund, especially semiconductor stocks where we are prepared to ride out short-term volatility. We retain the Fund’s underweight position in industrials, which we think are just too expensive — especially given their sensitivity to the broader business environment. Within financials, we retain a preference for insurers and asset managers over banks. At a regional level, the Fund is underweight in continental Europe and also underweight in Pacific ex-Japan financials.
The Fund’s regional allocations remain broadly unchanged: the strategy is underweight in continental Europe in order to fund positions in the emerging markets, predominantly in Asia. Emerging markets also contribute a significant weight towards the Fund’s resources allocation.
19
Comparison of Change in the Value of a $10,000 Investment in the Schroder Global Quality Fund
Institutional Shares, vs. the Morgan Stanley Capital International (MSCI) World Index
The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.
PERFORMANCE INFORMATION
| | Cumulative
Since
Inception (a) | |
Schroder Global Quality Fund — | | | |
Institutional Shares | | 0.93 | % |
MSCI World Index | | (1.27 | )% |
(a) | From commencement of Fund operations on November 9, 2010. |
“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 the period reflect fee waivers and/or reimbursements in effect; 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 | |
| | | |
AstraZeneca | | 0.7 | % |
Abbott Laboratories | | 0.7 | |
Johnson & Johnson | | 0.7 | |
Apple | | 0.7 | |
Microsoft | | 0.7 | |
* Excludes Short-Term Investment.
Geographic Allocation
% of Investments | | 
| |
 North America
| | 52.6 | % | | |
 Continental Europe
| | 12.0 | | | |
 United Kingdom
| | 9.8 | | | |
 Emerging Markets
| | 9.4 | | | |
 Pacific ex-Japan
| | 8.4 | | | |
 Japan
| | 7.3 | | | |
 Short-Term Investment
| | 0.5 | | | |
20
Schroder Total Return Fixed Income Fund
MANAGEMENT DISCUSSION AND ANALYSIS (As of December 9, 2011)
Performance
During the twelve-month period ending October 31, 2011, the Schroder Total Return Fixed Income Fund (the “Fund”) returned 4.60% (Investor Shares) and 4.34% (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 5.00%.
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 and the Obama administration. The announcement of a second round of quantitative easing 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 2010, Congress 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 impact from 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 2011. This trend soon reversed from May to mid-June as weaker housing data, a potential Greece insolvency and political gridlock on raising the US debt limit plagued the markets, spurring a flight to quality and selling of risk assets.
In August and September, we saw enough unusual occurrences to keep investors busy for a full year, even by recent standards. The combination of an unprecedented downgrade of US government debt to below triple-A, the intensifying debt crisis in Europe and a rare NY area hurricane provoked sufficient uncertainty for investors. While the credit downgrade by Standard & Poor’s garnered headlines, the message from the debate was far more important. It was made clear that the anti-spending forces in Washington had sufficient momentum to curtail additional fiscal stimulus and government spending should not be relied upon to support growth, even if the economy is flirting with recession. This led to significant downward revisions to growth forecasts for the second half of the year and for 2012, and provided plenty of impetus for reducing risk across all asset classes. With fiscal stimulus off the table and economic growth faltering, the Fed acted forcefully, promising a period of low short term rates through mid-2013 at their Federal Open Market Committee meeting, announcing the planned extension of the average maturity of bonds bought through quantitative easing. The latter should be instrumental in lowering mortgage rates and provide a modest support for consumer spending.
The first week of October proved to be a near term inflection point for markets. After experiencing a flight to safety for most of the prior two months, riskier assets began to rally sharply and Treasury yields began to rise from the generational low levels reached during the third quarter. Part of the better tone derived from better than expected economic data released for manufacturing and employment. Indeed, growth and spending expectations were lowered so much during the aftermath of the fiscal budget negotiations that headline job gains were pleasant surprises that set the tone for the coming weeks. Later data showing a rise in consumer spending (perhaps partly driven by expenditures related to the Hurricane Irene clean-up) and stable manufacturing provided additional support for markets.
The migration of European sovereign debt woes to concerns about bank capital levels remained problematic though, as with economic data, the mere discussion of losses for Greek bondholders and of using leverage within the European Financial Stability Facility (ESFS) to support bank debt exceeded expectations. In reality, little actual progress has been made other than recognition that more drastic action is needed. As a reminder of the possible impact to investors, wider sovereign spreads claimed the first major institutional casualty with the bankruptcy of MF Global at the very end of the reporting period.
Portfolio Review
Over the last year, the Fund’s strategy emphasized a modest overweight to investment grade corporate and agency mortgage-backed securities (MBS) and an allocation to high yield corporate debt. While generating positive total return, the Fund slightly lagged the Index’s performance due to an underweight in Treasury securities.
The Fund’s investment grade corporate exposure favored BBB rated bonds and its high yield allocation focused on BB and B rated securities. Industry overweights included financials, communications and consumer cyclical/non-cyclical sectors against underweights to sovereigns and supranationals. Security selection focused on companies with strong cash flows and MBS strategy concentrated exposures in Ginnie Mae securities, which we viewed as having good prepayment characteristics and we believe should not be adversely impacted by the government’s efforts to reduce home borrowing costs. Additionally the Fund was positioned with an overweight to commercial MBS early in the year, which was reduced later in the period.
21
In early February investment grade bonds were cut to neutral to lock in strong gains from January. The Fund’s high yield allocation was also cut from 14% in late January to under 10% in early February. In April and May, the Fund’s strategy of having lower interest rate exposure than benchmarks worked against returns. June’s short duration position, which was briefly increased in May, was initiated as a hedge against stronger growth and higher Treasury supply after the end of the Fed’s purchase program. This position was closed as economic data failed to show a meaningful bounce from weather and production related distortions, and it became clear that risk aversion could drive yields much lower even with the approaching end of QE2 and the rising uncertainty surrounding extension of the debt ceiling.
Portfolio risk was reduced during July in expectation of weaker economic momentum as data and credit concerns in Europe were not likely to be resolved. However, risk aversion after the US debt downgrade greatly exceeded our expectations, even as we anticipated the resulting US Treasury rally. Overweight positions in agency MBS and high yield and emerging market corporate credit more than offset the Fund’s long duration status. As the reporting period ended, the Fund’s duration was kept slightly longer than the Index and we favored an overweight in 10 year maturities. This strategy provided a combination of higher portfolio yield along with a good hedge on the Fund’s long credit exposure and is likely to be maintained as long as interest rates remain low and portfolios are overweight corporate bonds.
Outlook
We believe the end of 2011 and the early stages of 2012 are likely to remain volatile as investors continue to grapple with the fragile economic condition and potentially disruptive fiscal budget negotiations. We believe Europe remains a long way from being settled and is another source of pronounced uncertainty. However, market positions are much less extreme than at the end of the reporting period. Most important is wider recognition of the low growth state of the US economy and the structural impediments to swifter expansion. In this respect, we believe market volatility should be lower as we move into 2012 but still will provide opportunities to adjust positioning.
We expect to continue to overweight bond sectors, which present what we believe will be the best combination of fundamental support and high risk premium as compensation for uncertainty and price volatility. The result will be exposure to mid-rated industrial corporate bonds with stable balance sheets and good cash flow generation and low coupon MBS with low sensitivity to refinance risk, both relative to a Treasury underweight. Some of the highest yielding areas such as triple-C rated corporates and southern European sovereign issues appear very enticing based on yield alone, but we believe such issues may fail to compensate investors for risk of slower growth or continued political ineffectiveness, and so are not part of the Fund’s strategy. The Treasury underweight notwithstanding, above-Index exposure to interest rates provides a solid counterbalance to yield spread volatility. We expect the result to be a higher yielding strategy with good potential to benefit from narrower risk premiums and a more stable profile during periods of volatility. We anticipate reducing corporate and mortgage exposure during periods of market strength and adding during weakness.
22
Comparison of Change in the Value of a $10,000 Investment in the Schroder Total Return Fixed Income Fund
Investor and Advisor Shares vs. the Barclays Capital U.S. Aggregate Bond Index
The Barclays Capital U.S. Aggregate Bond Index provides a measure of the performance of the U.S. investment grade bonds market, which includes investment grade U.S. Government bonds, investment grade corporate bonds, mortgage pass-through securities and asset-backed securities that are publicly offered for sale in the United States. The securities in the Index must have a least 1 year remaining to maturity. It is not managed.
PERFORMANCE INFORMATION
| | One Year Ended
October 31, 2011 | | Five Years Ended
October 31, 2011 (a) | | Annualized
Since
Inception (b) | |
Schroder Total Return Fixed Income Fund — | | | | | | | |
Investor Shares | | 4.60 | % | 6.97 | % | 6.02 | % |
Advisor Shares | | 4.34 | % | 6.70 | % | 5.75 | % |
Barclays Capital U.S. Aggregate Bond Index | | 5.00 | % | 6.41 | % | 5.58 | % |
(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%, 11/20/41 | | 4.5 | % |
United States Treasury Bills 0.010%, 11/10/11 | | 4.3 | |
GNMA TBA 4.000%, 11/15/41 | | 4.1 | |
United States Treasury Bills 0.005%, 2/16/12 | | 3.9 | |
United States Treasury Notes 4.750%, 1/31/12 | | 2.5 | |
* Excludes Short-Term Investment.
Sector Allocation
Sector | | % of Investments | |
Corporate Obligations | | 36.6 | % |
U.S. Government Mortgage-Backed Obligations | | 32.9 | |
U.S. Treasury Obligations | | 15.4 | |
Short-Term Investment | | 6.9 | |
Commercial Mortgage-Backed Obligations | | 4.1 | |
Asset-Backed Securities | | 2.0 | |
Sovereign Government | | 1.0 | |
Municipal Bonds | | 0.7 | |
Collateralized Mortgage Obligations | | 0.4 | |
23
Schroder North American Equity Fund
Schedule of Investments
October 31, 2011
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 86.8% | | | |
| | Bahamas — 0.0% | | | |
3,100 | | Steiner Leisure (1) | | 149,358 | |
| | | | | |
| | Bermuda — 0.7% | | | |
37,652 | | Accenture Class A | | 2,268,910 | |
8,100 | | Assured Guaranty | | 103,194 | |
9,100 | | Axis Capital Holdings | | 285,285 | |
4,900 | | Endurance Specialty Holdings | | 182,280 | |
8,700 | | Helen of Troy (1) | | 251,691 | |
1,900 | | PartnerRe | | 118,218 | |
3,200 | | SeaCube Container Leasing | | 44,480 | |
4,800 | | Textainer Group Holdings | | 131,760 | |
19,900 | | Xyratex | | 271,436 | |
| | | | 3,657,254 | |
| | Canada — 2.9% | | | |
2,100 | | AbitibiBowater (1) | | 35,700 | |
1,600 | | AG Growth International | | 51,209 | |
6,900 | | Agrium | | 568,919 | |
20,100 | | Alimentation Couche Tard Class B | | 604,997 | |
14,600 | | ARC Resources | | 371,335 | |
8,600 | | Atco Class I | | 525,302 | |
10,400 | | Baytex Energy Trust | | 549,790 | |
9,100 | | BCE | | 360,731 | |
20,700 | | Bird Construction | | 220,977 | |
16,900 | | CAE | | 180,242 | |
2,800 | | Canaccord Financial | | 26,491 | |
13,600 | | Canadian Oil Sands Trust | | 315,200 | |
7,800 | | Canadian Utilities Class A | | 471,506 | |
6,900 | | CI Financial | | 138,457 | |
1,900 | | Cominar REIT | | 43,025 | |
4,600 | | Crescent Point Energy | | 196,470 | |
10,200 | | Davis & Henderson Income | | 173,974 | |
2,600 | | Domtar | | 212,966 | |
7,600 | | Empire | | 464,601 | |
12,700 | | Freehold Royalties Trust | | 237,894 | |
7,100 | | Gildan Activewear | | 183,217 | |
9,900 | | Great-West Lifeco | | 220,408 | |
15,200 | | IGM Financial | | 656,374 | |
7,800 | | Industrial Alliance Insurance and Financial Services | | 253,792 | |
6,700 | | Inmet Mining | | 399,970 | |
4,600 | | Just Energy Group | | 49,660 | |
82,100 | | Lundin Mining (1) | | 322,074 | |
46,200 | | Manulife Financial | | 610,005 | |
12,300 | | Metro Class A | | 602,721 | |
29,300 | | Migao (1) | | 113,766 | |
1,300 | | National Bank of Canada | | 92,788 | |
3,300 | | North West | | 62,179 | |
1,100 | | Northern Property REIT | | 31,796 | |
2,400 | | Pason Systems | | 32,555 | |
3,200 | | Pembina Pipeline | | 87,104 | |
14,900 | | Petrominerales | | 393,168 | |
1,800 | | PHX Energy Services | | 18,511 | |
9,500 | | Potash Corp. of Saskatchewan | | 449,694 | |
8,500 | | Power Corp. of Canada | | 214,056 | |
7,700 | | Power Financial | | 207,816 | |
16,896 | | Research In Motion (1) | | 341,751 | |
22,400 | | Rogers Communications Class B | | 816,936 | |
2,800 | | Saputo | | 115,686 | |
11,100 | | Shaw Communications Class B | | 224,851 | |
12,300 | | Shoppers Drug Mart | | 517,076 | |
3,400 | | Silver Wheaton | | 117,416 | |
11,400 | | Silvercorp Metals | | 106,028 | |
64,300 | | Sino-Forest (1) (2) (3) | | — | |
7,200 | | Sprott | | 50,639 | |
17,000 | | Teck Resources Class B | | 681,569 | |
3,100 | | Tim Hortons | | 152,892 | |
5,900 | | TMX Group | | 259,276 | |
3,200 | | Trican Well Service | | 56,603 | |
20,100 | | Trinidad Drilling | | 157,299 | |
19,100 | | Uranium One | | 57,490 | |
4,879 | | Vermilion Energy | | 229,876 | |
14,200 | | Yamana Gold | | 211,996 | |
105,100 | | Yellow Media | | 38,489 | |
1,700 | | Zargon Oil & Gas Trust | | 23,998 | |
| | | | 14,911,311 | |
| | Cayman Islands — 0.1% | | | |
4,500 | | Herbalife | | 280,620 | |
| | | | | |
| | China — 0.1% | | | |
26,600 | | AsiaInfo-Linkage (1) | | 266,532 | |
10,000 | | China Automotive Systems (1) | | 52,700 | |
20,200 | | China Information Technology (1) | | 20,200 | |
11,600 | | China Sky One Medical (1) | | 23,316 | |
11,700 | | China-Biotics (1) | | 6,084 | |
17,800 | | Fushi Copperweld (1) | | 113,208 | |
27,400 | | Zhongpin (1) | | 252,902 | |
| | | | 734,942 | |
| | Ireland — 0.1% | | | |
400 | | Covidien | | 18,816 | |
8,100 | | Seagate Technology | | 130,815 | |
16,300 | | XL Group | | 354,362 | |
| | | | 503,993 | |
| | Netherlands — 0.1% | | | |
9,800 | | VistaPrint (1) | | 342,216 | |
| | | | | |
| | Puerto Rico — 0.0% | | | |
20,500 | | Doral Financial (1) | | 24,600 | |
8,400 | | Triple-S Management Class B (1) | | 159,600 | |
| | | | 184,200 | |
| | Russia — 0.1% | | | |
20,900 | | CTC Media | | 240,559 | |
The accompanying notes are an integral part of the financial statements.
24
Shares | | | | Value $ | |
| | | | | |
| | Switzerland — 0.5% | | | |
19,800 | | ACE | | 1,428,570 | |
6,000 | | Allied World Assurance Holdings | | 348,600 | |
14,888 | | Garmin | | 511,998 | |
| | | | 2,289,168 | |
| | United Kingdom — 0.0% | | | |
3,152 | | Ensco International ADR | | 156,528 | |
| | | | | |
| | United States — 82.2% | | | |
| | Consumer Discretionary — 8.2% | | | |
8,000 | | Advance Auto Parts | | 520,560 | |
10,106 | | Amazon.com (1) | | 2,157,732 | |
4,800 | | America’s Car-Mart (1) | | 160,224 | |
15,600 | | Apollo Group Class A (1) | | 738,660 | |
4,200 | | Ascena Retail Group (1) | | 121,380 | |
5,500 | | Autoliv | | 317,735 | |
15,400 | | Bed Bath & Beyond (1) | | 952,336 | |
15,300 | | Bridgepoint Education (1) | | 331,551 | |
5,300 | | Buckle | | 236,168 | |
18,500 | | Career Education (1) | | 298,405 | |
11,200 | | Cato | | 287,056 | |
7,700 | | CEC Entertainment | | 243,474 | |
13,100 | | Coach | | 852,417 | |
73,900 | | Comcast Class A | | 1,732,955 | |
10,900 | | Cooper Tire & Rubber | | 156,197 | |
16,200 | | Darden Restaurants | | 775,656 | |
1,600 | | Destination Maternity | | 26,512 | |
10,900 | | DeVry | | 410,712 | |
13,956 | | DIRECTV (1) | | 634,440 | |
17,500 | | Discovery Communications Class A (1) | | 760,550 | |
1,750 | | Dollar Tree (1) | | 139,930 | |
5,700 | | Dorman Products (1) | | 217,227 | |
5,200 | | DSW | | 272,168 | |
20,400 | | Exide Technologies (1) | | 91,800 | |
13,900 | | Express | | 314,001 | |
75,700 | | Ford Motor (1) | | 884,176 | |
500 | | Fossil (1) | | 51,830 | |
3,100 | | Gentex | | 93,372 | |
11,700 | | Guess? | | 385,983 | |
15,000 | | Hasbro | | 570,900 | |
11,200 | | hhgregg (1) | | 142,800 | |
13,400 | | Hillenbrand | | 282,874 | |
36,993 | | Home Depot | | 1,324,349 | |
6,300 | | ITT Educational Services (1) | | 390,348 | |
7,700 | | John Wiley & Sons Class A | | 366,212 | |
1,100 | | Johnson Controls | | 36,223 | |
6,600 | | JOS A Bank Clothiers (1) | | 352,704 | |
6,600 | | Lear | | 309,606 | |
23,800 | | Limited Brands | | 1,016,498 | |
17,300 | | Lincoln Educational Services | | 161,755 | |
20,500 | | Lowe’s | | 430,910 | |
31,600 | | Mattel | | 892,384 | |
46,881 | | McDonald’s | | 4,352,901 | |
41,100 | | News Class A | | 720,072 | |
8,200 | | Nike Class B | | 790,070 | |
18,078 | | Nordstrom | | 916,374 | |
10,600 | | PetMed Express | | 105,682 | |
10,700 | | PetSmart | | 502,365 | |
19,300 | | Pier 1 Imports (1) | | 241,443 | |
1,700 | | priceline.com (1) | | 863,124 | |
3,078 | | Ralph Lauren | | 488,756 | |
10,600 | | Rent-A-Center | | 361,990 | |
8,826 | | Ross Stores | | 774,305 | |
9,400 | | Ruth’s Hospitality Group (1) | | 44,368 | |
3,200 | | Scripps Networks Interactive Class A | | 135,936 | |
5,500 | | Standard Motor Products | | 85,525 | |
23,000 | | Starbucks | | 973,820 | |
14,200 | | Stein Mart | | 102,950 | |
2,800 | | Strayer Education | | 238,588 | |
9,000 | | Superior Industries International | | 164,610 | |
14,700 | | Target | | 804,825 | |
4,400 | | Tiffany | | 350,812 | |
26,145 | | Time Warner | | 914,814 | |
14,500 | | Time Warner Cable | | 923,505 | |
21,198 | | TJX | | 1,249,198 | |
1,700 | | Tractor Supply | | 120,598 | |
8,800 | | TRW Automotive Holdings (1) | | 370,480 | |
6,200 | | Tupperware Brands | | 350,548 | |
26,900 | | United Online | | 158,979 | |
10,200 | | Universal Technical Institute (1) | | 145,656 | |
16,600 | | Universal Travel Group (1) (2) (3) | | 25,398 | |
9,100 | | Viacom Class B | | 399,035 | |
50,272 | | Walt Disney | | 1,753,487 | |
11,800 | | Williams-Sonoma | | 442,972 | |
7,900 | | Wolverine World Wide | | 299,647 | |
24,000 | | Yum! Brands | | 1,285,680 | |
| | | | 41,901,283 | |
| | Consumer Staples — 9.0% | | | |
56,800 | | Altria Group | | 1,564,840 | |
5,100 | | Brown-Forman Class B | | 381,123 | |
101,058 | | Coca-Cola | | 6,904,283 | |
27,491 | | Colgate-Palmolive | | 2,484,362 | |
12,173 | | Costco Wholesale | | 1,013,402 | |
24,017 | | CVS Caremark | | 871,817 | |
17,600 | | Dr. Pepper Snapple Group | | 659,120 | |
2,700 | | Energizer Holdings (1) | | 199,233 | |
17,100 | | Flowers Foods | | 345,249 | |
40,400 | | General Mills | | 1,556,612 | |
27,665 | | HJ Heinz | | 1,478,418 | |
28,426 | | Hormel Foods | | 837,714 | |
21,200 | | Kimberly-Clark | | 1,477,852 | |
39,500 | | Kraft Foods Class A | | 1,389,610 | |
56,200 | | Kroger | | 1,302,716 | |
17,912 | | McCormick | | 869,807 | |
2,000 | | National Beverage | | 33,840 | |
62,124 | | PepsiCo | | 3,910,706 | |
The accompanying notes are an integral part of the financial statements.
25
Shares | | | | Value $ | |
| | | | | |
76,391 | | Philip Morris International | | 5,337,439 | |
93,511 | | Procter & Gamble | | 5,983,769 | |
11,600 | | Ruddick | | 507,036 | |
14,700 | | Spartan Stores | | 251,664 | |
9,100 | | Susser Holdings (1) | | 199,836 | |
50,900 | | Tyson Foods Class A | | 982,370 | |
11,000 | | USANA Health Sciences (1) | | 380,600 | |
49,541 | | Walgreen | | 1,644,761 | |
65,323 | | Wal-Mart Stores | | 3,705,121 | |
1,500 | | Weis Markets | | 59,325 | |
| | | | 46,332,625 | |
| | Energy — 10.4% | | | |
5,300 | | Alliance Resource Partners LP | | 402,429 | |
7,400 | | Anadarko Petroleum | | 580,900 | |
22,400 | | Apache | | 2,231,712 | |
11,200 | | Arch Coal | | 204,064 | |
2,400 | | Atwood Oceanics (1) | | 102,576 | |
6,100 | | Baker Hughes | | 353,739 | |
3,700 | | BP Prudhoe Bay Royalty Trust | | 397,750 | |
2,600 | | Buckeye Partners LP | | 175,630 | |
18,600 | | Chesapeake Energy | | 523,032 | |
84,220 | | Chevron | | 8,847,311 | |
10,200 | | Cloud Peak Energy (1) | | 234,090 | |
63,659 | | ConocoPhillips | | 4,433,849 | |
15,700 | | Consol Energy | | 671,332 | |
5,000 | | Contango Oil & Gas (1) | | 321,700 | |
1,100 | | CVR Energy (1) | | 27,236 | |
21,000 | | Devon Energy | | 1,363,950 | |
9,500 | | Diamond Offshore Drilling | | 622,630 | |
9,600 | | El Paso | | 240,096 | |
2,500 | | Enbridge Energy Partners | | 76,100 | |
1,200 | | EOG Resources | | 107,316 | |
179,190 | | ExxonMobil | | 13,992,947 | |
5,100 | | Global Geophysical Services (1) | | 48,654 | |
47,537 | | Halliburton | | 1,775,982 | |
8,800 | | Helmerich & Payne | | 467,984 | |
4,400 | | Hornbeck Offshore Services (1) | | 144,496 | |
14,300 | | James River Coal (1) | | 148,005 | |
28,500 | | Marathon Oil | | 741,855 | |
700 | | Marathon Petroleum | | 25,130 | |
4,800 | | Matrix Service (1) | | 50,976 | |
1,020 | | Murphy Oil | | 56,478 | |
12,900 | | National Oilwell Varco | | 920,157 | |
15,600 | | Natural Resource Partners LP | | 461,760 | |
4,100 | | Newfield Exploration (1) | | 165,066 | |
25,900 | | Newpark Resources (1) | | 231,287 | |
6,800 | | Noble Energy | | 607,512 | |
38,433 | | Occidental Petroleum | | 3,571,963 | |
6,100 | | Oil States International (1) | | 424,621 | |
9,800 | | ONEOK Partners LP | | 490,000 | |
17,400 | | Patterson-UTI Energy | | 353,568 | |
11,800 | | Peabody Energy | | 511,766 | |
4,740 | | Penn Virginia Resource Partners LP | | 124,994 | |
3,000 | | Pioneer Natural Resources | | 251,700 | |
6,100 | | Rowan (1) | | 210,389 | |
5,400 | | RPC | | 100,278 | |
53,572 | | Schlumberger | | 3,935,935 | |
1,700 | | SEACOR Holdings | | 144,755 | |
3,300 | | Southwestern Energy (1) | | 138,732 | |
300 | | Spectra Energy | | 8,589 | |
1,900 | | TC Pipelines LP | | 86,564 | |
21,200 | | Tetra Technologies (1) | | 201,400 | |
3,300 | | Tidewater | | 162,459 | |
2,300 | | Unit (1) | | 112,838 | |
35,800 | | Vaalco Energy (1) | | 243,798 | |
11,200 | | Valero Energy | | 275,520 | |
9,200 | | W&T Offshore | | 181,148 | |
| | | | 53,286,748 | |
| | Financials — 11.9% | | | |
15,500 | | Advance America Cash Advance Centers | | 130,665 | |
28,300 | | Aflac | | 1,276,047 | |
28,300 | | Allstate | | 745,422 | |
6,900 | | American Capital Agency REIT | | 189,819 | |
7,100 | | American Equity Investment Life Holding | | 76,964 | |
24,227 | | American Express | | 1,226,371 | |
8,100 | | American Financial Group | | 290,223 | |
13,700 | | Amtrust Financial Services | | 347,706 | |
14,300 | | Annaly Capital Management REIT | | 240,955 | |
14,600 | | Anworth Mortgage Asset REIT | | 94,170 | |
4,700 | | Arlington Asset Investment | | 108,476 | |
2,100 | | Arrow Financial | | 49,014 | |
7,700 | | Assurant | | 296,758 | |
421,550 | | Bank of America | | 2,879,186 | |
30,400 | | Bank of New York Mellon | | 646,912 | |
7,200 | | Bank of the Ozarks | | 179,064 | |
56,200 | | Berkshire Hathaway Class B (1) | | 4,375,732 | |
36,800 | | BGC Partners Class A | | 252,080 | |
27,200 | | Brookfield Office Properties | | 446,465 | |
13,500 | | Calamos Asset Management Class A | | 168,615 | |
24,400 | | Capital One Financial | | 1,114,104 | |
12,600 | | Capstead Mortgage REIT | | 152,712 | |
2,100 | | Cash America International | | 114,975 | |
13,200 | | CBL & Associates Properties REIT | | 203,016 | |
15,400 | | CBOE Holdings | | 402,402 | |
66,800 | | Chimera Investment REIT | | 201,068 | |
133,742 | | Citigroup | | 4,224,910 | |
55,400 | | CNO Financial Group (1) | | 346,250 | |
11,800 | | Cohen & Steers | | 320,606 | |
7,000 | | CommonWealth REIT | | 135,450 | |
500 | | Credit Acceptance (1) | | 34,460 | |
9,300 | | Delphi Financial Group Class A | | 246,264 | |
37,718 | | Discover Financial Services | | 888,636 | |
11,100 | | Dynex Capital REIT | | 97,236 | |
5,500 | | FBL Financial Group Class A | | 179,575 | |
21,000 | | Federated Investors Class B | | 410,340 | |
The accompanying notes are an integral part of the financial statements.
26
Shares | | | | Value $ | |
| | | | | |
93,400 | | Fifth Third Bancorp | | 1,121,734 | |
2,600 | | First Cash Financial Services (1) | | 107,900 | |
4,800 | | First Financial Holdings | | 35,760 | |
19,200 | | FirstMerit | | 268,992 | |
4,300 | | Flushing Financial | | 52,718 | |
2,900 | | Franklin Resources | | 309,227 | |
800 | | GAMCO Investors | | 37,680 | |
9,300 | | Getty Realty REIT | | 148,242 | |
25,623 | | Goldman Sachs Group | | 2,806,999 | |
28,600 | | Hartford Financial Services Group | | 550,550 | |
8,600 | | Hatteras Financial REIT | | 221,020 | |
16,700 | | Horace Mann Educators | | 224,615 | |
76,000 | | Huntington Bancshares | | 393,680 | |
9,000 | | Invesco Mortgage Capital REIT | | 142,020 | |
168,763 | | JPMorgan Chase | | 5,866,202 | |
109,100 | | KeyCorp | | 770,246 | |
15,600 | | Liberty Property Trust | | 499,200 | |
7,000 | | Life Partners Holdings | | 48,090 | |
38,000 | | Lincoln National | | 723,900 | |
10,200 | | LTC Properties REIT | | 289,272 | |
3,900 | | MarketAxess Holdings | | 113,997 | |
1,200 | | Marsh & McLennan | | 36,744 | |
8,200 | | Meadowbrook Insurance Group | | 84,952 | |
49,700 | | MetLife | | 1,747,452 | |
69,500 | | Morgan Stanley | | 1,225,980 | |
4,200 | | Nelnet Class A | | 90,216 | |
22,100 | | Northern Trust | | 894,387 | |
20,500 | | NorthStar Realty Finance REIT | | 80,975 | |
8,700 | | Ocwen Financial (1) | | 126,150 | |
28,200 | | PNC Financial Services Group | | 1,514,622 | |
4,300 | | Portfolio Recovery Associates (1) | | 301,602 | |
24,300 | | Principal Financial Group | | 626,454 | |
16,000 | | Protective Life | | 297,600 | |
25,300 | | Prudential Financial | | 1,371,260 | |
400 | | Public Storage REIT | | 51,620 | |
9,600 | | Rayonier REIT | | 400,608 | |
18,400 | | Regions Financial | | 72,312 | |
5,900 | | Renasant | | 85,078 | |
1,900 | | Republic Bancorp Class A | | 38,646 | |
9,000 | | Selective Insurance Group | | 144,270 | |
5,700 | | Senior Housing Properties Trust | | 127,908 | |
12,463 | | Simon Property Group REIT | | 1,600,748 | |
1,260 | | Southside Bancshares | | 25,918 | |
4,900 | | StanCorp Financial Group | | 166,306 | |
2,100 | | State Auto Financial | | 27,909 | |
23,800 | | State Street | | 961,282 | |
14,500 | | T. Rowe Price Group | | 766,180 | |
7,950 | | Torchmark | | 325,394 | |
1,800 | | TowneBank | | 22,428 | |
5,200 | | Transatlantic Holdings | | 270,608 | |
23,381 | | Travelers | | 1,364,281 | |
30,600 | | Trustco Bank | | 151,776 | |
40,751 | | U.S. Bancorp | | 1,042,818 | |
6,300 | | Universal Insurance Holdings | | 26,586 | |
29,000 | | Unum Group | | 691,360 | |
16,000 | | Waddell & Reed Financial Class A | | 443,680 | |
223,772 | | Wells Fargo | | 5,797,933 | |
6,200 | | WesBanco | | 123,132 | |
2,000 | | World Acceptance (1) | | 135,300 | |
| | | | 61,087,167 | |
| | Healthcare — 10.7% | | | |
74,433 | | Abbott Laboratories | | 4,009,706 | |
4,613 | | Aetna | | 183,413 | |
8,200 | | Agilent Technologies (1) | | 303,974 | |
11,600 | | Almost Family (1) | | 216,224 | |
6,900 | | Amedisys (1) | | 90,597 | |
15,800 | | AMERIGROUP (1) | | 878,954 | |
31,100 | | AmerisourceBergen | | 1,268,880 | |
41,326 | | Amgen | | 2,366,740 | |
4,900 | | Amsurg (1) | | 124,117 | |
36,872 | | Baxter International | | 2,027,223 | |
18,400 | | Becton Dickinson | | 1,439,432 | |
10,900 | | Biogen Idec (1) | | 1,268,324 | |
1,000 | | Bio-Rad Laboratories (1) | | 99,550 | |
55,571 | | Bristol-Myers Squibb | | 1,755,488 | |
15,100 | | Celgene (1) | | 978,933 | |
20,700 | | Centene (1) | | 727,605 | |
2,200 | | Computer Programs & Systems | | 112,354 | |
1,200 | | Corvel (1) | | 61,884 | |
9,800 | | CR Bard | | 842,310 | |
9,400 | | DaVita (1) | | 658,000 | |
59,161 | | Eli Lilly | | 2,198,423 | |
5,700 | | Emergent Biosolutions (1) | | 107,502 | |
2,324 | | Express Scripts (1) | | 106,277 | |
17,500 | | Five Star Quality Care (1) | | 45,325 | |
25,800 | | Forest Laboratories (1) | | 807,540 | |
8,700 | | Gentiva Health Services (1) | | 36,018 | |
40,602 | | Gilead Sciences (1) | | 1,691,479 | |
10,000 | | Hi-Tech Pharmacal (1) | | 355,200 | |
17,100 | | Humana | | 1,451,619 | |
600 | | Intuitive Surgical (1) | | 260,316 | |
119,484 | | Johnson & Johnson | | 7,693,575 | |
13,700 | | Laboratory Corp. of America Holdings (1) | | 1,148,745 | |
13,000 | | LHC Group (1) | | 203,970 | |
26,900 | | Lincare Holdings | | 633,495 | |
100 | | McKesson | | 8,155 | |
21,000 | | Medicines (1) | | 393,120 | |
6,300 | | Medicis Pharmaceutical Class A | | 241,227 | |
1,900 | | Medtox Scientific | | 27,816 | |
47,703 | | Medtronic | | 1,657,202 | |
93,807 | | Merck | | 3,236,341 | |
5,615 | | Metropolitan Health Networks (1) | | 36,610 | |
13,900 | | Momenta Pharmaceuticals (1) | | 205,720 | |
267,047 | | Pfizer | | 5,143,325 | |
7,500 | | RTI Biologics (1) | | 33,750 | |
29,400 | | Sciclone Pharmaceuticals (1) | | 123,774 | |
15,200 | | SIGA Technologies (1) | | 49,248 | |
32,700 | | St. Jude Medical | | 1,275,300 | |
22,699 | | Stryker | | 1,087,509 | |
The accompanying notes are an integral part of the financial statements.
27
Shares | | | | Value $ | |
| | | | | |
2,800 | | Techne | | 192,640 | |
4,000 | | Thermo Fisher Scientific (1) | | 201,080 | |
2,600 | | U.S. Physical Therapy | | 50,752 | |
57,500 | | UnitedHealth Group | | 2,759,425 | |
5,400 | | Universal American | | 62,100 | |
8,900 | | Universal Health Services Class B | | 355,733 | |
10,700 | | Varian Medical Systems (1) | | 628,304 | |
6,308 | | Waters (1) | | 505,397 | |
9,300 | | WellCare Health Plans (1) | | 455,793 | |
2,300 | | WellPoint | | 158,470 | |
| | | | 55,041,983 | |
| | Industrials — 8.1% | | | |
35,235 | | 3M | | 2,784,270 | |
43,500 | | Advanced Battery Technologies (1) | | 41,347 | |
3,900 | | Advanced Energy Industries (1) | | 36,426 | |
5,400 | | Alaska Air Group (1) | | 359,262 | |
10,500 | | AMETEK | | 414,960 | |
71,700 | | Applied Materials | | 883,344 | |
5,400 | | AZZ | | 241,164 | |
24,000 | | Boeing | | 1,578,960 | |
29,408 | | Caterpillar | | 2,777,880 | |
7,700 | | CH Robinson Worldwide | | 534,611 | |
70,398 | | CSX | | 1,563,540 | |
8,500 | | Cummins | | 845,155 | |
2,700 | | Danaher | | 130,545 | |
22,600 | | Deere | | 1,715,340 | |
18,700 | | Dover | | 1,038,411 | |
12,500 | | Equifax | | 439,375 | |
10,000 | | Expeditors International of Washington | | 456,000 | |
2,500 | | FedEx | | 204,575 | |
22,047 | | General Dynamics | | 1,415,197 | |
373,889 | | General Electric | | 6,247,685 | |
18,691 | | Honeywell International | | 979,408 | |
366 | | Huntington Ingalls Industries (1) | | 10,797 | |
7,000 | | II-VI (1) | | 133,070 | |
30,500 | | Illinois Tool Works | | 1,483,215 | |
2,800 | | Intersections | | 47,292 | |
13,100 | | ITT | | 597,360 | |
9,100 | | John Bean Technologies | | 146,874 | |
1,700 | | Joy Global | | 148,240 | |
7,900 | | Kaman | | 262,675 | |
20,400 | | Kla-Tencor | | 960,636 | |
5,200 | | Lam Research (1) | | 223,548 | |
18,500 | | Lockheed Martin | | 1,404,150 | |
1,800 | | Miller Industries | | 36,792 | |
1,800 | | Multi-Color | | 47,718 | |
4,593 | | Norfolk Southern | | 339,836 | |
9,800 | | Northrop Grumman | | 565,950 | |
6,100 | | Parker Hannifin | | 497,455 | |
500 | | Precision Castparts | | 81,575 | |
15,400 | | Primoris Services | | 200,508 | |
18,400 | | Raytheon | | 813,096 | |
4,600 | | Rockwell Collins | | 256,818 | |
173 | | Seaboard | | 380,254 | |
12,200 | | Union Pacific | | 1,214,754 | |
41,564 | | United Parcel Service Class B | | 2,919,455 | |
42,795 | | United Technologies | | 3,337,154 | |
6,000 | | US Ecology | | 108,360 | |
4,732 | | WW Grainger | | 810,639 | |
| | | | 41,715,676 | |
| | Information Technology — 15.7% | | | |
37,300 | | Adobe Systems (1) | | 1,096,993 | |
8,600 | | Altera | | 326,112 | |
6,600 | | Amphenol Class A | | 313,434 | |
30,500 | | Analog Devices | | 1,115,385 | |
36,839 | | Apple (1) | | 14,911,691 | |
15,200 | | Automatic Data Processing | | 795,416 | |
4,900 | | Blackbaud | | 137,347 | |
24,700 | | BMC Software (1) | | 858,572 | |
13,100 | | Brooks Automation | | 136,895 | |
47,300 | | CA | | 1,024,518 | |
163,985 | | Cisco Systems | | 3,038,642 | |
4,900 | | Cognizant Technology Solutions Class A (1) | | 356,475 | |
6,800 | | Cogo Group (1) | | 16,320 | |
80,100 | | Corning | | 1,144,629 | |
106,599 | | Dell (1) | | 1,685,330 | |
14,000 | | eBay (1) | | 445,620 | |
45,400 | | EMC (1) | | 1,112,754 | |
28,300 | | Entegris (1) | | 253,568 | |
11,200 | | Global Payments | | 514,304 | |
9,149 | | Google Class A (1) | | 5,422,063 | |
18,767 | | Harris | | 708,454 | |
108,633 | | Hewlett-Packard | | 2,890,724 | |
229,474 | | Intel | | 5,631,292 | |
47,494 | | International Business Machines | | 8,768,817 | |
13,900 | | j2 Global Communications | | 427,842 | |
28,000 | | Jabil Circuit | | 575,680 | |
10,200 | | JDA Software Group (1) | | 325,074 | |
31,000 | | Kulicke & Soffa Industries (1) | | 299,150 | |
20,500 | | Lender Processing Services | | 359,775 | |
16,300 | | Lexmark International Class A | | 516,710 | |
7,400 | | Linear Technology | | 239,094 | |
3,300 | | Littelfuse | | 161,568 | |
25,900 | | LTX-Credence (1) | | 163,947 | |
9,700 | | Mantech International Class A | | 340,761 | |
1,900 | | Mastercard Class A | | 659,756 | |
21,100 | | Maxim Integrated Products | | 551,976 | |
13,300 | | Microchip Technology | | 480,928 | |
313,850 | | Microsoft | | 8,357,826 | |
20,100 | | Molex | | 496,269 | |
10,300 | | Nanometrics (1) | | 173,864 | |
1,100 | | NCI (1) | | 15,015 | |
167,781 | | Oracle | | 5,498,183 | |
23,800 | | QLogic (1) | | 332,486 | |
48,677 | | QUALCOMM | | 2,511,733 | |
10,800 | | Rosetta Stone (1) | | 107,244 | |
200 | | SanDisk (1) | | 10,134 | |
The accompanying notes are an integral part of the financial statements.
28
Shares | | | | Value $ | |
| | | | | |
15,700 | | Take-Two Interactive Software (1) | | 247,746 | |
19,100 | | TeleNav (1) | | 163,687 | |
3,800 | | Telular | | 22,762 | |
7,300 | | Teradata (1) | | 435,518 | |
27,900 | | Teradyne (1) | | 399,528 | |
54,622 | | Texas Instruments | | 1,678,534 | |
4,700 | | Veeco Instruments (1) | | 125,443 | |
9,400 | | Visa Class A | | 876,644 | |
31,100 | | Vishay Intertechnology (1) | | 334,325 | |
1,100 | | Western Digital (1) | | 29,304 | |
24,600 | | Xilinx | | 823,116 | |
| | | | 80,446,977 | |
| | Materials — 3.1% | | | |
11,900 | | Albemarle | | 634,151 | |
1,200 | | Ball | | 41,484 | |
7,300 | | Bemis | | 205,203 | |
5,682 | | CF Industries Holdings | | 922,018 | |
15,400 | | Cliffs Natural Resources | | 1,050,588 | |
18,800 | | Dow Chemical | | 524,144 | |
36,400 | | E.I. du Pont de Nemours | | 1,749,748 | |
11,700 | | Eastman Chemical | | 459,693 | |
54,500 | | Freeport-McMoRan Copper & Gold | | 2,194,170 | |
14,400 | | Hecla Mining (1) | | 90,288 | |
16,200 | | Horsehead Holding (1) | | 140,616 | |
7,200 | | Innospec (1) | | 217,440 | |
19,600 | | Kronos Worldwide | | 434,924 | |
15,640 | | Monsanto | | 1,137,810 | |
22,600 | | Mosaic | | 1,323,456 | |
2,400 | | NewMarket | | 465,936 | |
26,000 | | Newmont Mining | | 1,737,580 | |
13,000 | | PPG Industries | | 1,123,330 | |
4,200 | | Praxair | | 427,014 | |
4,100 | | Schnitzer Steel Industries Class A | | 191,880 | |
6,900 | | Scotts Miracle-Gro Class A | | 334,719 | |
1,200 | | Terra Nitrogen LP | | 204,468 | |
7,400 | | Westlake Chemical | | 304,954 | |
| | | | 15,915,614 | |
| | Telecommunication Services — 2.3% | | | |
244,239 | | AT&T | | 7,158,645 | |
116,330 | | Verizon Communications | | 4,301,883 | |
27,600 | | Windstream | | 335,892 | |
| | | | 11,796,420 | |
| | Utilities — 2.8% | | | |
28,200 | | American Electric Power | | 1,107,696 | |
6,900 | | American States Water | | 241,086 | |
13,800 | | Aqua America | | 306,222 | |
1,400 | | Artesian Resources | | 25,480 | |
7,100 | | Chesapeake Utilities | | 300,969 | |
14,700 | | CMS Energy | | 306,054 | |
4,000 | | Consolidated Communications Holdings | | 75,520 | |
17,360 | | Consolidated Edison | | 1,004,623 | |
4,300 | | Dominion Resources | | 221,837 | |
5,200 | | Duke Energy | | 106,184 | |
5,047 | | Edison International | | 204,908 | |
41,871 | | Emerson Electric | | 2,014,832 | |
7,600 | | Energen | | 372,856 | |
6,300 | | Entergy | | 435,771 | |
43,400 | | Exelon | | 1,926,526 | |
6,200 | | FirstEnergy | | 278,752 | |
10,100 | | MGE Energy | | 440,764 | |
2,000 | | Middlesex Water | | 37,900 | |
18,400 | | NextEra Energy | | 1,037,760 | |
7,300 | | Northeast Utilities | | 252,361 | |
4,500 | | NTELOS Holdings | | 85,590 | |
37 | | PG&E | | 1,587 | |
7,200 | | Portland General Electric | | 176,688 | |
25,600 | | PPL | | 751,872 | |
6,800 | | SCANA | | 287,504 | |
34,208 | | Southern | | 1,477,786 | |
2,900 | | Suburban Propane Partners LP | | 137,228 | |
7,500 | | Unitil | | 200,025 | |
17,200 | | USA Mobility | | 224,804 | |
3,700 | | Westar Energy | | 100,862 | |
19,600 | | Xcel Energy | | 506,660 | |
| | | | 14,648,707 | |
| | Total United States | | 422,173,200 | |
| | TOTAL COMMON STOCK
(Cost $425,038,298) | | 445,623,349 | |
| | | | | |
| | RIGHTS (1) — 0.0% | | | |
| | Puerto Rico — 0.0% | | | |
6,600 | | First Bancorp Expires 11/01/11
(Cost $—) | | 198 | |
| | | | | |
| | SHORT-TERM INVESTMENT (4) — 12.4% | | | |
64,025,039 | | JPMorgan Prime Money Market Fund, 0.020%
(Cost $64,025,039) | | 64,025,039 | |
The accompanying notes are an integral part of the financial statements.
29
| | | | Value $ | |
| | | | | |
| | TOTAL INVESTMENTS — 99.2%
(Cost $489,063,337) | | 509,648,586 | |
| | | | | |
| | OTHER ASSETS LESS LIABILITIES — 0.8% | | 4,108,799 | |
| | | | | |
| | NET ASSETS — 100% | | $ | 513,757,385 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | Security considered illiquid. On October 31, 2011 the value of this security amounted to $25,398, representing 0.0% of the net assets of the Fund. |
(3) | Security is fair valued. (See Note 2 in Notes to Financial Statements.) |
(4) | The rate shown represents the 7-day current yield as of October 31, 2011. |
A summary of the open futures contracts held by the Fund at October 31, 2011 is as follows: |
Type of Contract | | Number of
Contracts
Long (Short) | | Expiration
Date | | Unrealized
Appreciation
(Depreciation) | |
S&P 500 Index E-MINI | | 1,027 | | Dec-11 | | $ | 4,420,351 | |
| | | | | | | | |
The accompanying notes are an integral part of the financial statements.
30
A summary of the outstanding forward foreign currency contracts held by the Fund at October 31, 2011, is as follows:
| | | | | | | | | | | | Unrealized | |
| | Settlement | | | | | | | | | | Appreciation | |
Counterparty | | Date | | Currency to Deliver | | Currency to Receive | | (Depreciation) | |
Barclays Capital | | 11/3/11 | | CAD | | 12,820,735 | | USD | | 12,233,304 | | $ | (629,015 | ) |
State Street Bank | | 11/3/11 | | USD | | 12,865,249 | | CAD | | 12,820,735 | | (2,930 | ) |
State Street Bank | | 12/8/11 | | CAD | | 12,820,735 | | USD | | 12,854,285 | | 2,318 | |
| | | | | | | | | | | | $ | (629,627 | ) |
ADR — American Depositary Receipt
CAD — Canadian Dollar
LP — Limited Partnership
REIT — Real Estate Investment Trust
S&P — Standard & Poor’s
USD— United States Dollar
The following is a summary of the inputs used as of October 31, 2011, in valuing the Fund’s investments carried at value:
Investments in Securities | | Level 1 | | Level 2 | | Level 3 | | Total | |
| | | | | | | | | |
Common Stock (1) | | | | | | | | | |
Bahamas | | $ | 149,358 | | $ | — | | $ | — | | $ | 149,358 | |
Bermuda | | 3,657,254 | | — | | — | | 3,657,254 | |
Canada | | 14,911,311 | | — | | — | | 14,911,311 | |
Cayman Islands | | 280,620 | | — | | — | | 280,620 | |
China | | 734,942 | | — | | — | | 734,942 | |
Ireland | | 503,993 | | — | | — | | 503,993 | |
Netherlands | | 342,216 | | — | | — | | 342,216 | |
Puerto Rico | | 184,200 | | — | | — | | 184,200 | |
Russia | | 240,559 | | — | | — | | 240,559 | |
Switzerland | | 2,289,168 | | — | | — | | 2,289,168 | |
United Kingdom | | 156,528 | | — | | — | | 156,528 | |
United States | | | | | | | | | |
Consumer Discretionary | | 41,875,885 | | — | | 25,398 | | 41,901,283 | |
Consumer Staples | | 46,332,625 | | — | | — | | 46,332,625 | |
Energy | | 53,286,748 | | — | | — | | 53,286,748 | |
Financials | | 61,087,167 | | — | | — | | 61,087,167 | |
Healthcare | | 55,041,983 | | — | | — | | 55,041,983 | |
Industrials | | 41,715,676 | | — | | — | | 41,715,676 | |
Information Technology | | 80,446,977 | | — | | — | | 80,446,977 | |
Materials | | 15,915,614 | | — | | — | | 15,915,614 | |
Telecommunication Services | | 11,796,420 | | — | | — | | 11,796,420 | |
Utilities | | 14,648,707 | | — | | — | | 14,648,707 | |
Total Common Stock | | $ | 445,597,951 | | $ | — | | $ | 25,398 | | $ | 445,623,349 | |
| | | | | | | | | |
Rights | | | | | | | | | |
Puerto Rico | | — | | 198 | | — | | 198 | |
| | | | | | | | | |
Short-Term Investment | | 64,025,039 | | — | | — | | 64,025,039 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 509,622,990 | | $ | 198 | | $ | 25,398 | | $ | 509,648,586 | |
The accompanying notes are an integral part of the financial statements.
31
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
| | | | | | | | | |
Futures—Unrealized Appreciation | | $ | 4,420,351 | | $ | — | | $ | — | | $ | 4,420,351 | |
Forwards—Unrealized Appreciation | | — | | 2,318 | | — | | 2,318 | |
Forwards—Unrealized Depreciation | | — | | (631,945 | ) | — | | (631,945 | ) |
Total Other Financial Instruments | | $ | 4,420,351 | | $ | (629,627 | ) | $ | — | | $ | 3,790,724 | |
(1) A transfer between Level 1 and Level 3 occurred during the reporting period. The transfer into Level 3 was due to changes in the availability of observable inputs used to determine fair value. A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets.
The accompanying notes are an integral part of the financial statements.
32
Schroder U.S. Opportunities Fund
Schedule of Investments
October 31, 2011
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 91.1% | | | |
| | Auto & Transportation — 0.4% | | | |
8,800 | | BorgWarner (1) | | 673,112 | |
| | | | | |
| | Consumer Discretionary — 17.6% | | | |
13,200 | | Aaron’s | | 353,232 | |
14,600 | | American Greetings Class A | | 233,746 | |
35,700 | | Arbitron | | 1,418,361 | |
28,500 | | Asbury Automotive Group (1) | | 531,525 | |
50,900 | | Bally Technologies (1) | | 1,846,143 | |
27,200 | | Big Lots (1) | | 1,025,168 | |
19,100 | | Children’s Place (1) | | 896,745 | |
9,000 | | Churchill Downs | | 432,630 | |
17,600 | | Citi Trends (1) | | 218,064 | |
98,000 | | Clear Channel Outdoor Holdings Class A (1) | | 1,078,000 | |
43,100 | | Collective Brands (1) | | 629,691 | |
15,100 | | Harman International Industries | | 651,716 | |
37,900 | | Healthcare Services Group | | 657,565 | |
12,000 | | Jarden | | 384,360 | |
19,100 | | Lamar Advertising Class A (1) | | 429,559 | |
28,300 | | Lithia Motors Class A | | 582,131 | |
44,400 | | LKQ (1) | | 1,295,592 | |
38,300 | | Madison Square Garden (1) | | 1,012,269 | |
18,600 | | Matthews International Class A | | 653,604 | |
16,000 | | Men’s Wearhouse | | 494,080 | |
30,600 | | Pinnacle Entertainment (1) | | 346,392 | |
77,600 | | Progressive Waste Solutions | | 1,633,480 | |
63,200 | | Rent-A-Center | | 2,158,280 | |
21,000 | | Scholastic | | 563,850 | |
38,900 | | Six Flags Entertainment | | 1,396,510 | |
75,734 | | Standard Parking (1) | | 1,332,161 | |
10,700 | | Visteon (1) | | 595,134 | |
52,500 | | Waste Connections | | 1,787,625 | |
229,400 | | Wendy’s | | 1,160,764 | |
16,900 | | Williams-Sonoma | | 634,426 | |
10,000 | | Wolverine World Wide | | 379,300 | |
| | | | 26,812,103 | |
| | Consumer Staples — 1.0% | | | |
24,600 | | Nash Finch | | 647,472 | |
26,000 | | Pantry (1) | | 367,640 | |
9,600 | | Sanderson Farms | | 475,200 | |
| | | | 1,490,312 | |
| | Financial Services — 16.0% | | | |
45,676 | | Alterra Capital Holdings | | 990,256 | |
18,100 | | Altisource Portfolio Solutions (1) | | 728,525 | |
62,700 | | Apollo Global Management LLC Class A | | 830,775 | |
17,000 | | Bank of Hawaii | | 717,910 | |
64,900 | | Brown & Brown | | 1,432,992 | |
26,200 | | Cash America International | | 1,434,450 | |
69,700 | | Colonial Properties Trust REIT | | 1,413,516 | |
69,520 | | CVB Financial | | 675,039 | |
9,700 | | Equity Lifestyle Properties REIT | | 641,461 | |
20,700 | | First Financial Bankshares | | 657,432 | |
21,800 | | FirstMerit | | 305,418 | |
43,500 | | Genpact (1) | | 702,525 | |
16,900 | | Health Care REIT | | 890,461 | |
25,000 | | Home Properties REIT | | 1,472,500 | |
9,600 | | Infinity Property & Casualty | | 556,416 | |
47,800 | | Invesco Mortgage Capital REIT | | 754,284 | |
14,100 | | Lakeland Financial | | 336,849 | |
40,658 | | LaSalle Hotel Properties REIT | | 972,133 | |
33,700 | | MB Financial | | 558,409 | |
5,500 | | Navigators Group (1) | | 250,910 | |
104,300 | | Ocwen Financial (1) | | 1,512,350 | |
74,900 | | Old National Bancorp | | 866,593 | |
29,300 | | Primerica (1) | | 663,059 | |
23,200 | | Reinsurance Group of America | | 1,211,736 | |
13,400 | | RLI | | 942,556 | |
32,300 | | Simmons First National Class A | | 838,508 | |
16,400 | | SVB Financial Group (1) | | 753,416 | |
28,200 | | Westamerica Bancorporation | | 1,263,924 | |
| | | | 24,374,403 | |
| | Healthcare — 11.4% | | | |
13,000 | | AMERIGROUP (1) | | 723,190 | |
31,400 | | Centene (1) | | 1,103,710 | |
9,400 | | Cepheid (1) | | 337,272 | |
18,700 | | Cooper | | 1,295,910 | |
22,300 | | Emeritus (1) | | 394,933 | |
11,500 | | Fluidigm (1) | | 160,540 | |
30,700 | | Haemonetics (1) | | 1,871,165 | |
30,400 | | HealthSouth (1) | | 536,864 | |
11,800 | | HMS Holdings (1) | | 288,392 | |
9,200 | | IPC The Hospitalist (1) | | 385,756 | |
30,820 | | Kindred Healthcare (1) | | 359,053 | |
16,600 | | LifePoint Hospitals (1) | | 641,756 | |
49,800 | | Masimo | | 1,029,864 | |
52,200 | | MedAssets (1) | | 556,452 | |
16,800 | | Medicis Pharmaceutical Class A | | 643,272 | |
7,300 | | MWI Veterinary Supply (1) | | 551,150 | |
19,300 | | Onyx Pharmaceuticals (1) | | 789,949 | |
12,600 | | Orthofix International (1) | | 442,386 | |
56,500 | | Parexel International (1) | | 1,244,695 | |
23,500 | | Salix Pharmaceuticals (1) | | 804,992 | |
14,600 | | Sirona Dental Systems (1) | | 699,340 | |
20,300 | | Team Health Holdings (1) | | 412,496 | |
5,600 | | Techne | | 385,280 | |
17,900 | | Volcano (1) | | 446,247 | |
35,600 | | West Pharmaceutical Services | | 1,383,772 | |
| | | | 17,488,436 | |
| | Materials & Processing — 6.8% | | | |
39,900 | | Cabot | | 1,204,182 | |
25,600 | | Cytec Industries | | 1,143,552 | |
51,400 | | Innophos Holdings | | 2,261,086 | |
25,600 | | Kaiser Aluminum | | 1,189,376 | |
86,500 | | KapStone Paper and Packaging (1) | | 1,418,600 | |
The accompanying notes are an integral part of the financial statements.
33
Shares | | | | Value $ | |
| | | | | |
9,700 | | Quaker Chemical | | 337,463 | |
47,000 | | Silgan Holdings | | 1,764,380 | |
33,400 | | Sonoco Products | | 1,048,426 | |
| | | | 10,367,065 | |
| | Other Energy — 5.1% | | | |
11,500 | | Carrizo Oil & Gas (1) | | 312,800 | |
67,800 | | Helix Energy Solutions Group (1) | | 1,224,468 | |
33,100 | | Oil States International (1) | | 2,304,091 | |
13,000 | | Petroleum Development (1) | | 339,430 | |
17,200 | | SM Energy | | 1,426,052 | |
44,500 | | SunCoke Energy (1) | | 561,590 | |
33,600 | | Swift Energy (1) | | 1,028,832 | |
41,500 | | Thermon Group Holdings (1) | | 659,020 | |
| | | | 7,856,283 | |
| | Producer Durables — 14.5% | | | |
3,500 | | Alaska Air Group (1) | | 232,855 | |
21,400 | | Allegiant Travel (1) | | 1,111,944 | |
47,700 | | Applied Industrial Technologies | | 1,603,674 | |
63,500 | | Compass Diversified Holdings | | 829,310 | |
76,700 | | Dycom Industries (1) | | 1,490,281 | |
36,200 | | EnerSys (1) | | 815,586 | |
37,800 | | EnPro Industries (1) | | 1,301,832 | |
6,300 | | ExlService Holdings (1) | | 164,304 | |
11,900 | | FEI (1) | | 473,144 | |
33,100 | | Forrester Research | | 1,185,311 | |
62,500 | | FTI Consulting (1) | | 2,463,125 | |
18,200 | | Genesee & Wyoming Class A (1) | | 1,077,622 | |
126,300 | | GrafTech International (1) | | 1,984,173 | |
135,700 | | Hawaiian Holdings (1) | | 725,995 | |
25,850 | | IDEX | | 916,382 | |
16,100 | | Manpower | | 694,554 | |
18,100 | | MAXIMUS | | 730,154 | |
29,900 | | MYR Group (1) | | 576,771 | |
19,800 | | Regal-Beloit | | 1,051,974 | |
7,100 | | Rofin-Sinar Technologies (1) | | 184,600 | |
31,363 | | Stantec (1)(2) | | 771,252 | |
51,000 | | Swift Transportation (1) | | 453,900 | |
16,600 | | Towers Watson | | 1,090,620 | |
39,100 | | Wabash National (1) | | 269,790 | |
| | | | 22,199,153 | |
| | Technology — 12.8% | | | |
25,300 | | AboveNet | | 1,501,555 | |
297,300 | | Anadigics (1) | | 781,899 | |
20,600 | | Ariba (1) | | 652,608 | |
84,100 | | Atmel (1) | | 888,096 | |
128,500 | | Cadence Design Systems (1) | | 1,422,495 | |
26,100 | | Cogent Communications Group (1) | | 418,905 | |
64,000 | | comScore (1) | | 1,351,040 | |
11,000 | | Gartner (1) | | 423,720 | |
4,400 | | Hittite Microwave (1) | | 231,440 | |
7,300 | | Informatica (1) | | 332,150 | |
180,400 | | Integrated Device Technology (1) | | 1,096,832 | |
52,600 | | Kenexa (1) | | 1,202,962 | |
44,900 | | Mitel Networks (1) | | 127,965 | |
52,700 | | NCR (1) | | 1,003,408 | |
29,600 | | Netscout Systems (1) | | 485,144 | |
91,260 | | Parametric Technology (1) | | 1,900,946 | |
10,150 | | Progress Software (1) | | 213,759 | |
81,700 | | QLogic (1) | | 1,141,349 | |
51,900 | | RF Micro Devices (1) | | 380,946 | |
33,100 | | Sapient | | 409,116 | |
30,200 | | Scansource (1) | | 1,049,752 | |
42,900 | | Standard Microsystems (1) | | 1,062,204 | |
34,847 | | TNS (1) | | 680,562 | |
40,700 | | Websense (1) | | 726,088 | |
| | | | 19,484,941 | |
| | Utilities — 5.5% | | | |
81,800 | | Cleco | | 3,015,966 | |
40,000 | | IDACORP | | 1,615,200 | |
68,122 | | NorthWestern | | 2,346,803 | |
19,900 | | Pike Electric (1) | | 151,439 | |
33,800 | | Unisource Energy | | 1,260,064 | |
| | | | 8,389,472 | |
| | TOTAL COMMON STOCK
(Cost $119,401,316) | | 139,135,280 | |
| | | | | |
| | INVESTMENT COMPANY — 0.3% | | | |
5,200 | | iShares Russell 2000 Index Fund
(Cost $390,624) | | 384,644 | |
| | | | | |
| | SHORT-TERM INVESTMENT (3) — 9.4% | | | |
14,351,706 | | JPMorgan Prime Money Market Fund, 0.020%
(Cost $14,351,706) | | 14,351,706 | |
The accompanying notes are an integral part of the financial statements.
34
| | | | Value $ | |
| | | | | |
| | TOTAL INVESTMENTS — 100.8%
(Cost $134,143,646) | | 153,871,630 | |
| | | | | |
| | OTHER LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)% | | (1,199,031 | ) |
| | | | | |
| | NET ASSETS — 100% | | $ | 152,672,599 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | Canadian-domiciled company. |
(3) | The rate shown represents the 7-day current yield as of October 31, 2011. |
LLC — Limited Liability Corporation
REIT — Real Estate Investment Trust
The following is a summary of the inputs used as of October 31, 2011, in valuing the Fund’s investments carried at value:
Investments in Securities (1) | | Level 1 | | Level 2 | | Level 3 | | Total | |
Common Stock (2) | | $ | 139,135,280 | | $ | — | | $ | — | | $ | 139,135,280 | |
Investment Company | | 384,644 | | — | | — | | 384,644 | |
Short-Term Investment | | 14,351,706 | | — | | — | | 14,351,706 | |
Total Investments in Securities | | $ | 153,871,630 | | $ | — | | $ | — | | $ | 153,871,630 | |
(1) There were no transfers between levels during the reporting period, based on the input levels assigned under the hierarchy at the beginning and end of the reporting period.
(2) All securities in this category are Level 1 securities. For a detailed break-out by classification, please refer to the Schedule of Investments.
The accompanying notes are an integral part of the financial statements.
35
Schroder U.S. Small and Mid Cap Opportunities Fund
Schedule of Investments
October 31, 2011
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 89.1% | | | |
| | Auto & Transportation — 2.2% | | | |
10,000 | | BorgWarner (1) | | 764,900 | |
27,000 | | Kansas City Southern (1) | | 1,705,590 | |
33,300 | | Ryder System | | 1,696,302 | |
9,500 | | Wabtec | | 638,210 | |
| | | | 4,805,002 | |
| | Consumer Discretionary — 15.7% | | | |
65,800 | | Bally Technologies (1) | | 2,386,566 | |
36,700 | | Big Lots (1) | | 1,383,223 | |
30,800 | | Carter’s (1) | | 1,173,172 | |
27,900 | | Children’s Place (1) | | 1,309,905 | |
18,200 | | DeVry | | 685,776 | |
38,700 | | Dick’s Sporting Goods (1) | | 1,512,783 | |
25,100 | | Harman International Industries | | 1,083,316 | |
141,800 | | Interpublic Group of Cos. | | 1,344,264 | |
16,900 | | Lamar Advertising Class A (1) | | 380,081 | |
32,500 | | Lear | | 1,524,575 | |
15,800 | | Liberty Media - Liberty Starz, Series A (1) | | 1,079,140 | |
11,200 | | Life Time Fitness (1) | | 483,056 | |
105,400 | | Live Nation Entertainment (1) | | 989,706 | |
40,900 | | Men’s Wearhouse | | 1,262,992 | |
74,400 | | Rent-A-Center | | 2,540,760 | |
141,700 | | Republic Services | | 4,032,782 | |
27,300 | | Ross Stores | | 2,395,029 | |
31,200 | | Snap-on | | 1,674,504 | |
30,200 | | Valassis Communications (1) | | 589,806 | |
112,400 | | VeriSign | | 3,606,916 | |
74,100 | | Waste Connections | | 2,523,105 | |
| | | | 33,961,457 | |
| | Consumer Staples — 0.5% | | | |
12,300 | | JM Smucker | | 947,346 | |
| | | | | |
| | Financial Services — 14.3% | | | |
27,300 | | Bank of Hawaii | | 1,152,879 | |
87,000 | | Comerica | | 2,222,850 | |
35,400 | | Cullen/Frost Bankers | | 1,736,016 | |
34,400 | | Digital Realty Trust REIT | | 2,144,152 | |
12,300 | | Everest Re Group | | 1,106,016 | |
71,900 | | HCC Insurance Holdings | | 1,913,259 | |
45,100 | | Health Care REIT | | 2,376,319 | |
69,900 | | KKR | | 942,252 | |
68,300 | | MSCI Class A (1) | | 2,280,537 | |
22,900 | | PartnerRe | | 1,424,838 | |
197,400 | | People’s United Financial | | 2,516,850 | |
39,700 | | Reinsurance Group of America | | 2,073,531 | |
66,800 | | Tanger Factory Outlet Centers REIT | | 1,881,088 | |
43,700 | | UMB Financial | | 1,611,219 | |
73,900 | | Willis Group Holdings | | 2,683,309 | |
79,200 | | WR Berkley | | 2,756,952 | |
| | | | 30,822,067 | |
| | Healthcare — 10.8% | | | |
80,700 | | CareFusion (1) | | 2,065,920 | |
28,600 | | Centene (1) | | 1,005,290 | |
22,700 | | DaVita (1) | | 1,589,000 | |
64,000 | | DENTSPLY International | | 2,365,440 | |
21,300 | | Henry Schein (1) | | 1,476,516 | |
43,800 | | Life Technologies (1) | | 1,781,346 | |
41,500 | | LifePoint Hospitals (1) | | 1,604,390 | |
13,700 | | Lincare Holdings | | 322,635 | |
55,200 | | Luminex (1) | | 1,212,192 | |
37,600 | | Masimo | | 777,568 | |
17,300 | | Onyx Pharmaceuticals (1) | | 708,089 | |
123,300 | | Pharmaceutical Product Development | | 4,067,667 | |
27,100 | | Salix Pharmaceuticals (1) | | 928,311 | |
11,900 | | Sirona Dental Systems (1) | | 570,010 | |
41,200 | | Universal Health Services Class B | | 1,646,764 | |
33,000 | | West Pharmaceutical Services | | 1,282,710 | |
| | | | 23,403,848 | |
| | Materials & Processing — 9.6% | | | |
62,500 | | Airgas | | 4,309,375 | |
41,100 | | Cabot | | 1,240,398 | |
118,700 | | Crown Holdings (1) | | 4,010,873 | |
22,800 | | Cytec Industries | | 1,018,476 | |
45,400 | | Reliance Steel & Aluminum | | 2,006,226 | |
31,800 | | Rock-Tenn Class A | | 1,882,242 | |
12,800 | | Royal Gold | | 916,224 | |
94,700 | | Silgan Holdings | | 3,555,038 | |
125,370 | | Yamana Gold | | 1,876,789 | |
| | | | 20,815,641 | |
| | Other Energy — 5.4% | | | |
1,700 | | Concho Resources (1) | | 161,024 | |
33,500 | | Dresser-Rand Group (1) | | 1,621,400 | |
88,700 | | Energen | | 4,351,622 | |
9,243 | | Oil States International (1) | | 643,405 | |
50,700 | | SM Energy | | 4,203,537 | |
22,100 | | Swift Energy (1) | | 676,702 | |
| | | | 11,657,690 | |
| | Producer Durables — 8.8% | | | |
13,000 | | Alaska Air Group (1) | | 864,890 | |
26,399 | | AMETEK | | 1,043,288 | |
43,700 | | Applied Industrial Technologies | | 1,469,194 | |
20,500 | | Dover | | 1,138,365 | |
54,650 | | IDEX | | 1,937,343 | |
22,300 | | Kennametal | | 867,247 | |
18,400 | | MAXIMUS | | 742,256 | |
27,000 | | Measurement Specialties (1) | | 842,670 | |
70,200 | | Quanta Services (1) | | 1,466,478 | |
31,800 | | Regal-Beloit | | 1,689,534 | |
54,500 | | Robert Half International | | 1,440,435 | |
75,800 | | Steelcase Class A | | 561,678 | |
19,200 | | Towers Watson | | 1,261,440 | |
The accompanying notes are an integral part of the financial statements.
36
Shares | | | | Value $ | |
| | | | | |
105,600 | | Verisk Analytics Class A (1) | | 3,711,840 | |
| | | | 19,036,658 | |
| | Technology — 14.9% | | | |
14,700 | | AboveNet | | 872,445 | |
133,400 | | Amdocs (1) | | 4,004,668 | |
75,800 | | Arrow Electronics (1) | | 2,732,590 | |
99,500 | | Atmel (1) | | 1,050,720 | |
75,600 | | Autodesk (1) | | 2,615,760 | |
48,100 | | Gartner (1) | | 1,852,812 | |
72,500 | | Integrated Device Technology (1) | | 440,800 | |
86,641 | | Maxim Integrated Products | | 2,266,529 | |
35,858 | | Microchip Technology | | 1,296,625 | |
40,900 | | Molex | | 1,009,821 | |
38,600 | | Netlogic Microsystems (1) | | 1,899,120 | |
75,100 | | Parametric Technology (1) | | 1,564,333 | |
191,200 | | PMC - Sierra (1) | | 1,212,208 | |
46,100 | | QLogic (1) | | 644,017 | |
10,554 | | Rovi (1) | | 522,845 | |
30,500 | | SAIC (1) | | 379,115 | |
68,200 | | SBA Communications Class A (1) | | 2,597,738 | |
44,300 | | Skyworks Solutions (1) | | 877,583 | |
105,700 | | Synopsys (1) | | 2,833,817 | |
20,500 | | TIBCO Software (1) | | 592,245 | |
21,900 | | VeriFone Systems (1) | | 924,399 | |
| | | | 32,190,190 | |
| | Telecommunication Services — 0.2% | | | |
21,700 | | NII Holdings (1) | | 510,601 | |
| | | | | |
| | Utilities — 6.7% | | | |
72,900 | | Cleco | | 2,687,823 | |
67,300 | | NeuStar Class A (1) | | 2,139,467 | |
62,900 | | Northeast Utilities | | 2,174,453 | |
60,300 | | Portland General Electric | | 1,479,762 | |
218,300 | | Questar | | 4,206,641 | |
42,400 | | Southern Union | | 1,782,072 | |
| | | | 14,470,218 | |
| | TOTAL COMMON STOCK
(Cost $182,888,908) | | 192,620,718 | |
| | | | | |
| | SHORT-TERM INVESTMENT (2) —10.3% | | | |
22,362,005 | | JPMorgan Prime Money Market Fund, 0.020%
(Cost $22,362,005) | | 22,362,005 | |
| | | | | |
| | TOTAL INVESTMENTS — 99.4%
(Cost $205,250,913) | | 214,982,723 | |
| | | | | |
| | OTHER ASSETS LESS LIABILITIES — 0.6% | | 1,191,059 | |
| | | | | |
| | NET ASSETS — 100% | | $ | 216,173,782 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | The rate shown represents the 7-day current yield as of October 31, 2011. |
REIT — Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
37
The following is a summary of the inputs used as of October 31, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities (1) | | | | | | | | | |
Common Stock (2) | | $ | 192,620,718 | | $ | — | | $ | — | | $ | 192,620,718 | |
Short-Term Investment | | 22,362,005 | | — | | — | | 22,362,005 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 214,982,723 | | $ | — | | $ | — | | $ | 214,982,723 | |
(1) There were no transfers between levels during the reporting period, based on the input levels assigned under the hierarchy at the beginning and end of the reporting period.
(2) All securities in this category are Level 1 securities. For a detailed break-out by classification, please refer to the Schedule of Investments.
The accompanying notes are an integral part of the financial statements.
38
Schroder Emerging Market Equity Fund
Schedule of Investments
October 31, 2011
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 87.6% | | | |
| | Australia (2) — 0.1% | | | |
139,058 | | Centamin Egypt (1) | | 244,001 | |
| | | | | |
| | Brazil — 6.7% | | | |
134,700 | | BR Malls Participacoes | | 1,463,533 | |
131,000 | | BR Properties | | 1,324,119 | |
71,039 | | BRF - Brasil Foods ADR | | 1,495,371 | |
108,964 | | Cia de Concessoes Rodoviarias | | 3,003,890 | |
192,900 | | Gerdau ADR | | 1,739,958 | |
77,000 | | Iochpe-Maxion | | 1,090,067 | |
62,800 | | Lojas Renner | | 1,909,793 | |
41,332 | | Magazine Luiza (1) | | 315,197 | |
602,000 | | PDG Realty Empreendimentos e Participacoes | | 2,658,409 | |
93,178 | | Petroleo Brasileiro ADR | | 2,516,738 | |
49,900 | | Ultrapar Participacoes ADR | | 886,224 | |
151,600 | | Vale ADR | | 3,852,156 | |
| | | | 22,255,455 | |
| | Cayman Islands (2) — 0.5% | | | |
606,000 | | Tingyi Cayman Islands Holding | | 1,723,657 | |
| | | | | |
| | China — 11.9% | | | |
646,500 | | Anhui Conch Cement Class H (2) | | 2,350,932 | |
15,400 | | Baidu ADR (1) | | 2,158,772 | |
8,875,320 | | China Construction Bank Class H (2) | | 6,521,262 | |
308,400 | | China Pacific Insurance Group Class H (2) | | 946,420 | |
2,968,000 | | China Petroleum & Chemical Class H (2) | | 2,807,036 | |
891,000 | | China Shenhua Energy Class H (2) | | 4,076,297 | |
1,407,000 | | China Suntien Green Energy Class H (2) | | 320,002 | |
1,858,000 | | Dongfeng Motor Group Class H (2) | | 3,030,962 | |
10,849,565 | | Industrial & Commercial Bank of China Class H (2) | | 6,775,416 | |
1,036,000 | | Parkson Retail Group (2) | | 1,318,290 | |
1,502,000 | | PetroChina Class H (2) | | 1,949,961 | |
238,500 | | Ping An Insurance Group of China Class H (2) | | 1,768,880 | |
162,500 | | Tencent Holdings (2) | | 3,758,377 | |
269,000 | | Weichai Power Class H (2) | | 1,353,622 | |
| | | | 39,136,229 | |
| | Egypt — 0.7% | | | |
193,093 | | Commercial International Bank (2) | | 859,582 | |
443,086 | | Egyptian Financial Group-Hermes Holding (1) (2) | | 948,693 | |
11,150 | | Orascom Construction Industries GDR | | 453,772 | |
| | | | 2,262,047 | |
| | Hong Kong (2) — 8.2% | | | |
500 | | Beijing Enterprises Holdings | | 2,767 | |
1,286,000 | | Belle International Holdings | | 2,522,235 | |
1,069,500 | | China Mobile | | 10,165,286 | |
1,882,000 | | China Overseas Land & Investment | | 3,482,569 | |
1,774,000 | | China Resources Power Holdings | | 3,150,842 | |
3,335,000 | | CNOOC | | 6,304,594 | |
1,033,140 | | Franshion Properties China | | 212,206 | |
2,004,000 | | Lenovo Group | | 1,347,350 | |
| | | | 27,187,849 | |
| | Hungary (2) — 0.5% | | | |
12,277 | | MOL Hungarian Oil & Gas | | 951,214 | |
4,747 | | Richter Gedeon | | 763,256 | |
| | | | 1,714,470 | |
| | India — 4.2% | | | |
86,565 | | Dr. Reddy’s Laboratories ADR | | 2,869,630 | |
135,300 | | HDFC Bank ADR | | 4,283,598 | |
60,700 | | ICICI Bank ADR | | 2,255,612 | |
26,400 | | Infosys Limited ADR | | 1,546,776 | |
60,794 | | Larsen & Toubro GDR | | 1,764,266 | |
73,050 | | Mahindra & Mahindra GDR | | 1,285,680 | |
| | | | 14,005,562 | |
| | Indonesia (2) — 2.9% | | | |
277,500 | | Astra International | | 2,140,346 | |
4,172,000 | | Bank Mandiri | | 3,328,888 | |
2,150,500 | | Indofood Sukses Makmur | | 1,262,999 | |
3,166,000 | | Perusahaan Perkebunan London Sumatra Indonesia | | 778,898 | |
1,798,500 | | Semen Gresik Persero | | 1,914,168 | |
| | | | 9,425,299 | |
| | Malaysia (2) — 3.4% | | | |
1,716,300 | | Axiata Group | | 2,713,593 | |
651,900 | | CIMB Group Holdings | | 1,600,686 | |
705,600 | | Genting | | 2,458,409 | |
405,500 | | Public Bank | | 1,678,114 | |
937,600 | | Sime Darby | | 2,705,555 | |
| | | | 11,156,357 | |
| | Mexico — 3.1% | | | |
171,600 | | America Movil, Series L ADR | | 4,362,072 | |
668,222 | | Compartamos | | 1,033,436 | |
66,166 | | Fomento Economico Mexicano | | 444,236 | |
61,642 | | Grupo Bimbo, Series A | | 127,033 | |
184,500 | | Grupo Financiero Banorte | | 629,544 | |
449,700 | | Grupo Mexico, Series B | | 1,247,141 | |
944,258 | | Wal-Mart de Mexico | | 2,438,624 | |
| | | | 10,282,086 | |
The accompanying notes are an integral part of the financial statements.
39
Shares | | | | Value $ | |
| | | | | |
| | Peru — 0.6% | | | |
22,400 | | Cia de Minas Buenaventura ADR | | 916,832 | |
8,684 | | Credicorp | | 944,646 | |
| | | | 1,861,478 | |
| | Philippines (2) — 0.4% | | | |
2,017,600 | | Ayala Land | | 756,745 | |
57,230 | | SM Investments | | 741,594 | |
| | | | 1,498,339 | |
| | Poland (2) — 1.5% | | | |
205,984 | | Cyfrowy Polsat | | 957,588 | |
21,077 | | KGHM Polska Miedz | | 1,017,729 | |
93,395 | | Powszechna Kasa Oszczednosci Bank Polski | | 1,062,383 | |
15,964 | | Powszechny Zaklad Ubezpieczen | | 1,690,954 | |
65,667 | | Telekomunikacja Polska | | 348,264 | |
| | | | 5,076,918 | |
| | Qatar (2) — 0.6% | | | |
54,870 | | Industries Qatar | | 1,983,227 | |
| | | | | |
| | Russia — 8.4% | | | |
867,636 | | Gazprom ADR | | 10,073,254 | |
65,081 | | Globaltrans Investment GDR (2) | | 995,616 | |
103,400 | | LUKOIL ADR | | 5,966,180 | |
42,492 | | MMC Norilsk Nickel ADR (2) | | 930,503 | |
137,900 | | Mobile Telesystems ADR | | 1,970,591 | |
17,700 | | NovaTek GDR (2) | | 2,469,644 | |
26,449 | | Novolipetsk Steel GDR (2) | | 716,011 | |
160,100 | | Rosneft Oil GDR (2) | | 1,134,406 | |
38,600 | | Uralkali GDR (2) | | 1,663,346 | |
56,527 | | X5 Retail Group GDR (1) (2) | | 1,694,087 | |
| | | | 27,613,638 | |
| | South Africa (2) — 3.0% | | | |
39,129 | | AngloGold Ashanti | | 1,779,567 | |
415,239 | | FirstRand | | 1,034,552 | |
74,862 | | Imperial Holdings | | 1,107,267 | |
95,578 | | MTN Group | | 1,671,544 | |
40,413 | | Naspers Class N | | 1,929,102 | |
52,542 | | Sasol | | 2,377,637 | |
| | | | 9,899,669 | |
| | South Korea — 18.5% | | | |
145,580 | | Cheil Worldwide (2) | | 2,375,910 | |
4,861 | | Daum Communications (2) | | 586,998 | |
134,700 | | DGB Financial Group (1) | | 1,690,035 | |
4,939 | | E-Mart (1) | | 1,286,001 | |
23,010 | | GS Engineering & Construction (2) | | 1,994,498 | |
89,170 | | Hana Financial Group (2) | | 3,174,997 | |
3,074 | | Hyundai Heavy Industries (2) | | 818,566 | |
13,882 | | Hyundai Mobis (2) | | 3,959,867 | |
41,633 | | Hyundai Motor (2) | | 8,356,881 | |
13,981 | | LG Chem (2) | | 4,496,663 | |
8,392 | | LG Household & Health Care (2) | | 3,777,689 | |
2,814 | | POSCO (2) | | 971,817 | |
21,035 | | Samsung Electronics (2) | | 18,048,770 | |
15,205 | | Samsung Fire & Marine Insurance (2) | | 3,222,504 | |
63,735 | | Shinhan Financial Group (2) | | 2,530,685 | |
5,045 | | Shinsegae (2) | | 1,264,651 | |
16,189 | | SK Innovation (2) | | 2,428,147 | |
| | | | 60,984,679 | |
| | Taiwan — 6.5% | | | |
232,011 | | Asustek Computer (2) | | 1,613,631 | |
2,863 | | Cathay Financial Holding (2) | | 3,416 | |
3,813,493 | | Chinatrust Financial Holding (2) | | 2,500,354 | |
38,940 | | Chunghwa Telecom ADR | | 1,309,552 | |
1,267,340 | | Hon Hai Precision Industry (2) | | 3,475,651 | |
846,000 | | Nan Ya Plastics (2) | | 1,903,947 | |
1,116,337 | | Taiwan Cement (2) | | 1,394,732 | |
434,700 | | Taiwan Mobile (2) | | 1,246,134 | |
2,398,139 | | Taiwan Semiconductor Manufacturing (2) | | 5,846,314 | |
46,484 | | Taiwan Semiconductor Manufacturing ADR | | 586,628 | |
1,191,770 | | WPG Holdings (2) | | 1,439,645 | |
| | | | 21,320,004 | |
| | Thailand (2) — 4.6% | | | |
706,800 | | Bangkok Bank | | 3,585,323 | |
1,686,600 | | CP ALL | | 2,561,919 | |
688,331 | | Kasikornbank | | 2,746,957 | |
349,669 | | Kasikornbank NVDR | | 1,395,442 | |
416,100 | | PTT | | 4,106,385 | |
398,200 | | Thai Oil | | 745,897 | |
| | | | 15,141,923 | |
| | Turkey (2) — 1.3% | | | |
231,251 | | TAV Havalimanlari Holding (1) | | 1,114,917 | |
250,368 | | Turk Telekomunikasyon | | 1,060,293 | |
369,718 | | Turkiye Garanti Bankasi | | 1,298,356 | |
143,678 | | Turkiye Halk Bankasi | | 883,750 | |
| | | | 4,357,316 | |
| | TOTAL COMMON STOCK
(Cost $289,384,604) | | 289,130,203 | |
| | | | | |
| | PREFERRED STOCK — 8.5% | | | |
| | Brazil — 8.5% | | | |
275,938 | | Banco Bradesco ADR | | 5,022,072 | |
75,321 | | Cia de Bebidas das Americas ADR | | 2,539,824 | |
151,577 | | Cia Energetica de Minas Gerais ADR | | 2,582,872 | |
345,070 | | Itau Unibanco Holding ADR | | 6,597,738 | |
135,039 | | Petroleo Brasileiro ADR | | 3,415,136 | |
59,602 | | Telefonica Brasil ADR | | 1,729,650 | |
83,400 | | Ultrapar Participacoes | | 1,483,369 | |
190,800 | | Vale ADR | | 4,502,880 | |
The accompanying notes are an integral part of the financial statements.
40
Shares | | | | Value $ | |
| | | | | |
500 | | Vale Class A | | 11,899 | |
| | | | | |
| | TOTAL PREFERRED STOCK
(Cost $28,258,848) | | 27,885,440 | |
| | | | | |
| | EQUITY-LINKED WARRANTS (1) (3) (4) — 1.4% | | | |
| | Russia — 1.4% | | | |
275,066 | | Sberbank Savings Bank of the Russian Federation, Expires 11/05/12 | | 739,928 | |
1,407,771 | | Sberbank Savings Bank of the Russian Federation, Expires 02/28/18 | | 3,815,059 | |
| | | | | |
| | TOTAL EQUITY-LINKED WARRANTS
(Cost $4,596,134) | | 4,554,987 | |
| | | | | |
| | SHORT-TERM INVESTMENT (5) — 3.4% | | | |
11,277,557 | | JPMorgan Prime Money Market Fund, 0.020%
(Cost $11,277,557) | | 11,277,557 | |
| | | | | |
| | TOTAL INVESTMENTS — 100.9%
(Cost $333,517,143) | | 332,848,187 | |
| | | | | |
| | OTHER LIABILITIES IN EXCESS OF OTHER ASSETS — (0.9)% | | (2,988,471 | ) |
| | | | | |
| | NET ASSETS — 100% | | $ | 329,859,716 | |
| | | | | | |
(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 October 31, 2011, the value of these securities amounted to $4,554,987, representing 1.4% of the net assets of the Fund. |
(5) | The rate shown represents the 7-day current yield as of October 31, 2011. |
ADR — American Depositary Receipt
GDR — Global Depositary Receipt
NVDR — Non Voting Depositary Receipt
The accompanying notes are an integral part of the financial statements.
41
The following is a summary of the inputs used as of October 31, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Common Stock (1) | | | | | | | | | |
Australia | | $ | — | | $ | 244,001 | | $ | — | | $ | 244,001 | |
Brazil | | 22,255,455 | | — | | — | | 22,255,455 | |
Cayman Islands | | — | | 1,723,657 | | — | | 1,723,657 | |
China | | 2,158,772 | | 36,977,457 | | — | | 39,136,229 | |
Egypt | | 453,772 | | 1,808,275 | | — | | 2,262,047 | |
Hong Kong | | — | | 27,187,849 | | — | | 27,187,849 | |
Hungary | | — | | 1,714,470 | | — | | 1,714,470 | |
India | | 14,005,562 | | — | | — | | 14,005,562 | |
Indonesia | | — | | 9,425,299 | | — | | 9,425,299 | |
Malaysia | | — | | 11,156,357 | | — | | 11,156,357 | |
Mexico | | 10,282,086 | | — | | — | | 10,282,086 | |
Peru | | 1,861,478 | | — | | — | | 1,861,478 | |
Philippines | | — | | 1,498,339 | | — | | 1,498,339 | |
Poland | | — | | 5,076,918 | | — | | 5,076,918 | |
Qatar | | — | | 1,983,227 | | — | | 1,983,227 | |
Russia | | 18,010,025 | | 9,603,613 | | — | | 27,613,638 | |
South Africa | | — | | 9,899,669 | | — | | 9,899,669 | |
South Korea | | 2,976,036 | | 58,008,643 | | — | | 60,984,679 | |
Taiwan | | 1,896,180 | | 19,423,824 | | — | | 21,320,004 | |
Thailand | | — | | 15,141,923 | | — | | 15,141,923 | |
Turkey | | — | | 4,357,316 | | — | | 4,357,316 | |
Total Common Stock | | $ | 73,899,366 | | $ | 215,230,837 | | $ | — | | $ | 289,130,203 | |
| | | | | | | | | |
Preferred Stock | | | | | | | | | |
Brazil | | 27,885,440 | | — | | — | | 27,885,440 | |
| | | | | | | | | |
Equity-Linked Warrants | | | | | | | | | |
Russia | | — | | 4,554,987 | | — | | 4,554,987 | |
| | | | | | | | | |
Short-Term Investment | | 11,277,557 | | — | | — | | 11,277,557 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 113,062,363 | | $ | 219,785,824 | | $ | — | | $ | 332,848,187 | |
(1) The primary reason for changes in the classification 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 accompanying notes are an integral part of the financial statements.
42
Schroder International Alpha Fund
Schedule of Investments
October 31, 2011
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 98.6% | | | |
| | Australia (2) — 3.7% | | | |
278,478 | | Atlas Iron | | 903,121 | |
24,919 | | Newcrest Mining | | 880,597 | |
| | | | 1,783,718 | |
| | Belgium (2) — 2.4% | | | |
21,036 | | Anheuser-Busch InBev | | 1,166,834 | |
| | | | | |
| | Brazil — 3.3% | | | |
50,591 | | Anhanguera Educacional Participacoes | | 751,865 | |
31,558 | | Petroleo Brasileiro ADR | | 852,382 | |
| | | | 1,604,247 | |
| | Canada — 3.5% | | | |
27,957 | | Suncor Energy | | 890,574 | |
10,667 | | Toronto-Dominion Bank | | 805,135 | |
| | | | 1,695,709 | |
| | China (2) — 1.0% | | | |
105,500 | | China Shenhua Energy Class H | | 482,659 | |
| | | | | |
| | Finland (2) — 1.4% | | | |
18,098 | | Metso | | 700,219 | |
| | | | | |
| | France (2) — 13.6% | | | |
45,601 | | AXA | | 733,606 | |
12,416 | | BNP Paribas | | 554,558 | |
12,504 | | Cie Generale des Etablissements Michelin | | 905,618 | |
11,796 | | Cie Generale d’Optique Essilor International | | 852,736 | |
28,579 | | GDF Suez | | 805,326 | |
4,755 | | LVMH Moet Hennessy Louis Vuitton | | 788,288 | |
25,729 | | Safran | | 840,393 | |
11,209 | | Schneider Electric | | 658,335 | |
32,956 | | Veolia Environnement | | 466,748 | |
| | | | 6,605,608 | |
| | Germany (2) — 4.6% | | | |
26,356 | | GEA Group | | 722,865 | |
10,825 | | Kabel Deutschland Holding (1) | | 614,122 | |
14,527 | | SAP | | 878,612 | |
| | | | 2,215,599 | |
| | Hong Kong (2) — 5.2% | | | |
83,500 | | China Mobile | | 793,643 | |
33,072 | | Jardine Strategic Holdings | | 969,709 | |
53,000 | | Sun Hung Kai Properties | | 729,773 | |
| | | | 2,493,125 | |
| | Israel — 1.7% | | | |
14,362 | | Check Point Software Technologies (1) | | 827,682 | |
| | | | | |
| | Japan (2) — 11.1% | | | |
7,000 | | FANUC | | 1,132,411 | |
37,000 | | Honda Motor | | 1,107,005 | |
29,800 | | Mitsubishi | | 613,209 | |
73,000 | | Sekisui Chemical | | 573,143 | |
37,800 | | Seven & I Holdings | | 1,009,238 | |
33,800 | | Sumitomo Mitsui Financial Group | | 945,245 | |
| | | | 5,380,251 | |
| | Netherlands (2) — 1.5% | | | |
83,263 | | ING Groep (1) | | 717,968 | |
| | | | | |
| | New Zealand (2) — 2.1% | | | |
485,770 | | Telecom Corp. of New Zealand | | 991,347 | |
| | | | | |
| | Norway (2) — 3.4% | | | |
64,433 | | DnB NOR | | 746,221 | |
35,760 | | Statoil | | 908,502 | |
| | | | 1,654,723 | |
| | Russia — 1.4% | | | |
64,496 | | Sberbank Savings Bank of the Russian Federation ADR | | 693,332 | |
| | | | | |
| | Singapore (2) — 1.4% | | | |
51,000 | | United Overseas Bank | | 691,524 | |
| | | | | |
| | South Korea (2) — 4.9% | | | |
2,163 | | Hyundai Mobis | | 617,000 | |
1,264 | | Samsung Electronics | | 1,084,556 | |
17,130 | | Shinhan Financial Group | | 680,170 | |
| | | | 2,381,726 | |
| | Switzerland (2) — 9.2% | | | |
20,258 | | Julius Baer Group | | 761,712 | |
28,130 | | Nestle | | 1,628,087 | |
19,789 | | Novartis | | 1,115,581 | |
5,748 | | Roche Holding | | 943,716 | |
| | | | 4,449,096 | |
| | United Kingdom (2) — 23.2% | | | |
61,794 | | AMEC | | 915,927 | |
45,806 | | BG Group | | 993,448 | |
79,374 | | Capita Group | | 926,267 | |
58,996 | | Diageo | | 1,221,202 | |
64,298 | | GlaxoSmithKline | | 1,443,276 | |
106,068 | | HSBC Holdings | | 925,654 | |
201,391 | | Kingfisher | | 834,542 | |
83,397 | | Prudential | | 861,582 | |
15,507 | | Rio Tinto | | 839,073 | |
The accompanying notes are an integral part of the financial statements.
43
Shares | | | | Value $ | |
| | | | | |
118,982 | | United Utilities Group | | 1,160,086 | |
67,595 | | Xstrata | | 1,126,115 | |
| | | | 11,247,172 | |
| | TOTAL COMMON STOCK
(Cost $47,732,106) | | 47,782,539 | |
| | | | | |
| | SHORT-TERM INVESTMENT (3) — 0.2% | | | |
74,236 | | JPMorgan Prime Money Market Fund, 0.020%
(Cost $74,236) | | 74,236 | |
| | | | | |
| | TOTAL INVESTMENTS — 98.8%
(Cost $47,806,342) | | 47,856,775 | |
| | | | | |
| | OTHER ASSETS LESS LIABILITIES — 1.2% | | 593,098 | |
| | | | | |
| | NET ASSETS — 100% | | $ | 48,449,873 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | Security is fair valued. (See Note 2 in Notes to Financial Statements.) |
(3) | The rate shown represents the 7-day current yield as of October 31, 2011. |
ADR — American Depositary Receipt
The accompanying notes are an integral part of the financial statements.
44
The following is a summary of the inputs used as of October 31, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
| | | | | | | | | |
Common Stock (1) | | | | | | | | | |
Australia | | $ | — | | $ | 1,783,718 | | $ | — | | $ | 1,783,718 | |
Belgium | | — | | 1,166,834 | | — | | 1,166,834 | |
Brazil | | 1,604,247 | | — | | — | | 1,604,247 | |
Canada | | 1,695,709 | | — | | — | | 1,695,709 | |
China | | — | | 482,659 | | — | | 482,659 | |
Finland | | — | | 700,219 | | — | | 700,219 | |
France | | — | | 6,605,608 | | — | | 6,605,608 | |
Germany | | — | | 2,215,599 | | — | | 2,215,599 | |
Hong Kong | | — | | 2,493,125 | | — | | 2,493,125 | |
Israel | | 827,682 | | — | | — | | 827,682 | |
Japan | | — | | 5,380,251 | | — | | 5,380,251 | |
Netherlands | | — | | 717,968 | | — | | 717,968 | |
New Zealand | | — | | 991,347 | | — | | 991,347 | |
Norway | | — | | 1,654,723 | | — | | 1,654,723 | |
Russia | | 693,332 | | — | | — | | 693,332 | |
Singapore | | — | | 691,524 | | — | | 691,524 | |
South Korea | | — | | 2,381,726 | | — | | 2,381,726 | |
Switzerland | | — | | 4,449,096 | | — | | 4,449,096 | |
United Kingdom | | — | | 11,247,172 | | — | | 11,247,172 | |
Total Common Stock | | $ | 4,820,970 | | $ | 42,961,569 | | $ | — | | $ | 47,782,539 | |
| | | | | | | | | |
Short-Term Investment | | 74,236 | | — | | — | | 74,236 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 4,895,206 | | $ | 42,961,569 | | $ | — | | $ | 47,856,775 | |
(1) The primary reason for changes in the classification 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 accompanying notes are an integral part of the financial statements.
45
Schroder International Multi-Cap Value Fund
Schedule of Investments
October 31, 2011
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 97.9% | | | |
| | Australia (2) — 3.9% | | | |
4,874 | | Aditya Birla Minerals | | 4,951 | |
2,549 | | AGL Energy | | 38,402 | |
7,417 | | Aspen Group REIT | | 3,194 | |
1,106 | | Australia & New Zealand Banking Group | | 24,989 | |
898 | | BHP Billiton | | 35,148 | |
2,361 | | Billabong International | | 10,547 | |
1,332 | | Caltex Australia | | 18,497 | |
2,798 | | Cardno | | 15,380 | |
21,983 | | CFS Retail Property Trust | | 41,902 | |
42,295 | | Cue Energy Resources (1) | | 10,325 | |
7,292 | | David Jones | | 25,739 | |
4,245 | | Dragon Mining (1) | | 5,930 | |
5,407 | | Echo Entertainment Group (1) | | 20,985 | |
26,187 | | Grange Resources | | 12,259 | |
4,498 | | iiNET | | 12,190 | |
28,186 | | Investa Office Fund REIT | | 18,425 | |
1,575 | | JB Hi-Fi | | 25,991 | |
1,095 | | Macquarie Group | | 28,189 | |
2,953 | | Melbourne IT | | 4,382 | |
8,820 | | Metcash | | 38,594 | |
17,035 | | Mount Gibson Iron | | 27,244 | |
3,560 | | OZ Minerals | | 42,747 | |
23,916 | | Perilya (1) | | 11,381 | |
2,941 | | Premier Investments | | 15,702 | |
9,351 | | Ramelius Resources | | 12,147 | |
539 | | Rio Tinto | | 38,693 | |
10,664 | | Rubicon America Trust REIT (1) (3) | | — | |
1,329 | | SMS Management & Technology | | 7,537 | |
1,102 | | Sonic Healthcare | | 12,733 | |
6,391 | | Stockland REIT | | 21,102 | |
6,302 | | TABCORP Holdings | | 19,376 | |
22,660 | | Telstra | | 73,568 | |
2,583 | | Woolworths | | 64,563 | |
| | | | 742,812 | |
| | Austria (2) — 0.8% | | | |
1,226 | | Erste Group Bank | | 26,142 | |
662 | | Oesterreichische Post | | 19,970 | |
1,606 | | OMV | | 55,976 | |
592 | | Raiffeisen Bank International | | 16,433 | |
802 | | Vienna Insurance Group | | 33,638 | |
| | | | 152,159 | |
| | Belgium (2) — 1.6% | | | |
6,486 | | Ageas | | 13,005 | |
1,167 | | Arseus | | 18,543 | |
196 | | Befimmo Sicafi REIT | | 15,011 | |
1,092 | | Bekaert | | 48,478 | |
1,525 | | Belgacom | | 46,124 | |
290 | | Compagnie Maritime Belge | | 6,802 | |
505 | | Delhaize Group | | 32,994 | |
662 | | KBC Groep | | 14,684 | |
1,429 | | Mobistar | | 81,335 | |
2,239 | | Nyrstar | | 19,586 | |
66 | | Wereldhave Belgium REIT | | 6,111 | |
| | | | 302,673 | |
| | Bermuda — 0.7% | | | |
2,869 | | Catlin Group (2) | | 18,254 | |
13,000 | | Dickson Concepts International | | 7,564 | |
62,000 | | Emperor International Holdings (2) | | 10,368 | |
66,000 | | First Pacific (2) | | 68,762 | |
12,000 | | Midland Holdings (2) | | 5,885 | |
556 | | Seadrill (2) | | 18,281 | |
| | | | 129,114 | |
| | Brazil — 0.6% | | | |
400 | | Cia de Saneamento Basico do Estado de Sao Paulo ADR | | 21,704 | |
1,400 | | Cia de Saneamento de Minas Gerais-COPASA | | 26,181 | |
600 | | Energias do Brasil | | 12,975 | |
1,100 | | Eternit | | 5,806 | |
1,100 | | Fertilizantes Heringer (1) | | 6,550 | |
1,000 | | Helbor Empreendimentos | | 12,846 | |
2,000 | | Light | | 31,529 | |
| | | | 117,591 | |
| | British Virgin Islands — 0.1% | | | |
2,946 | | Playtech | | 12,899 | |
| | | | | |
| | Canada — 7.1% | | | |
1,100 | | Agrium | | 90,697 | |
6,500 | | Amerigo Resources | | 4,304 | |
1,100 | | Bank of Montreal | | 64,993 | |
1,600 | | Barrick Gold | | 78,997 | |
700 | | BCE | | 27,749 | |
900 | | Calfrac Well Services | | 27,902 | |
3,200 | | Canadian Oil Sands | | 74,165 | |
3,700 | | CGI Group Class A (1) | | 75,730 | |
600 | | Chemtrade Logistics Income Fund | | 7,982 | |
2,500 | | Chorus Aviation Class B | | 9,782 | |
1,300 | | CML HealthCare | | 12,639 | |
1,300 | | Davis & Henderson Income | | 22,173 | |
500 | | Empire Class A | | 30,566 | |
1,700 | | Extendicare REIT | | 12,724 | |
600 | | Genivar | | 13,882 | |
1,000 | | Genworth MI Canada | | 22,073 | |
2,600 | | Great-West Lifeco | | 57,885 | |
18,800 | | High River Gold Mines (1) | | 24,898 | |
1,500 | | Husky Energy | | 38,512 | |
2,000 | | IGM Financial | | 86,365 | |
1,200 | | Industrial Alliance Insurance and Financial Services | | 39,045 | |
2,200 | | Just Energy Group | | 23,750 | |
The accompanying notes are an integral part of the financial statements.
46
Shares | | | | Value $ | |
| | | | | |
800 | | Labrador Iron Ore Royalty | | 25,797 | |
600 | | Liquor Stores North America | | 8,729 | |
800 | | Magna International Class A | | 30,525 | |
2,000 | | Mullen Group | | 40,193 | |
3,400 | | Nexen | | 57,753 | |
900 | | North West | | 16,958 | |
700 | | Petrobank Energy & Resources (1) | | 6,300 | |
1,400 | | Petrominerales | | 36,942 | |
1,300 | | Power Corp. of Canada | | 32,738 | |
1,200 | | Power Financial | | 32,387 | |
1,400 | | Quadra FNX Mining (1) | | 16,153 | |
2,500 | | Research In Motion (1) | | 50,567 | |
1,700 | | Rogers Communications Class B | | 62,000 | |
3,800 | | Rogers Sugar | | 19,864 | |
1,600 | | Sherritt International | | 9,198 | |
2,100 | | Sino-Forest (1) (2) (3) | | — | |
700 | | Sun Life Financial | | 17,670 | |
1,200 | | Valener | | 17,698 | |
400 | | Wajax | | 14,452 | |
2,500 | | Yellow Media | | 915 | |
| | | | 1,343,652 | |
| | Chile — 0.2% | | | |
65,673 | | Aguas Andinas | | 39,692 | |
| | | | | |
| | China — 1.7% | | | |
60,000 | | Chaoda Modern Agriculture Holdings (1)(2)(3) | | — | |
32,000 | | China Communications Services Class H (2) | | 14,759 | |
68,000 | | China Petroleum & Chemical Class H (2) | | 64,312 | |
44,000 | | China Wireless Technologies (2) | | 7,417 | |
30,000 | | China Zhongwang Holdings (2) | | 9,922 | |
22,000 | | Dongfeng Motor Group Class H (2) | | 35,889 | |
10,000 | | Great Wall Technology Class H (2) | | 2,376 | |
27,000 | | Haitian International Holdings (2) | | 23,990 | |
3,700 | | Inner Mongolia Yitai Coal | | 20,609 | |
24,000 | | Jiangsu Expressway Class H (2) | | 20,687 | |
24,000 | | Kingsoft (2) | | 10,604 | |
19,000 | | Shenzhou International Group Holdings (2) | | 24,443 | |
24,000 | | Yangzijiang Shipbuilding Holdings (2) | | 17,772 | |
20,000 | | Yanzhou Coal Mining (2) | | 49,508 | |
16,000 | | Zhejiang Expressway Class H (2) | | 10,523 | |
| | | | 312,811 | |
| | Cyprus (2) — 0.3% | | | |
5,452 | | ProSafe | | 41,261 | |
5,607 | | Songa Offshore (1) | | 22,467 | |
| | | | 63,728 | |
| | Czech Republic — 0.1% | | | |
1,215 | | Telefonica Czech Republic | | 25,577 | |
| | | | | |
| | Denmark (2) — 1.0% | | | |
9 | | AP Moller - Maersk | | 60,896 | |
1,513 | | Danske Bank | | 20,697 | |
4,540 | | H Lundbeck | | 91,592 | |
181 | | Royal UNIBREW | | 9,453 | |
| | | | 182,638 | |
| | Finland (2) — 1.9% | | | |
3,969 | | Fortum | | 96,620 | |
2,119 | | Huhtamaki | | 24,214 | |
2,775 | | Nokia | | 18,678 | |
2,161 | | Orion Class B | | 44,980 | |
485 | | PKC Group | | 8,030 | |
2,107 | | Sampo Class A | | 57,928 | |
1,370 | | Sanoma | | 18,384 | |
3,133 | | Stora Enso Class R | | 19,835 | |
813 | | Tieto | | 12,875 | |
2,329 | | UPM-Kymmene | | 27,239 | |
1,197 | | Wartsila | | 36,378 | |
| | | | 365,161 | |
| | France — 4.9% | | | |
883 | | Alten (2) | | 25,150 | |
1,655 | | April (2) | | 28,754 | |
617 | | Arkema (2) | | 41,940 | |
2,706 | | AXA (2) | | 43,533 | |
823 | | BNP Paribas (2) | | 36,759 | |
246 | | Boiron (2) | | 7,002 | |
629 | | Bouygues (2) | | 23,497 | |
202 | | Cegid Group (2) | | 4,724 | |
624 | | Christian Dior (2) | | 88,056 | |
200 | | Ciments Francais (2) | | 17,668 | |
2,449 | | CNP Assurances (2) | | 37,408 | |
2,683 | | Credit Agricole (2) | | 20,772 | |
180 | | Credit Agricole Nord de France | | 4,078 | |
140 | | Esso Francaise (2) | | 14,414 | |
585 | | Euler Hermes (2) | | 42,244 | |
1,001 | | France Telecom (2) | | 18,001 | |
337 | | Gecina REIT (2) | | 33,334 | |
190 | | Generale de Sante | | 2,630 | |
1,389 | | Metropole Television (2) | | 23,750 | |
5,989 | | Natixis (2) | | 18,985 | |
309 | | Neopost (2) | | 23,507 | |
1,904 | | NetGem (2) | | 7,623 | |
484 | | Nexity (2) | | 13,947 | |
3,854 | | PagesJaunes Groupe (2) | | 16,448 | |
789 | | Plastic Omnium (2) | | 21,940 | |
409 | | Renault (2) | | 17,093 | |
1,254 | | Sanofi (2) | | 89,730 | |
1,368 | | SCOR (2) | | 31,877 | |
1,150 | | Societe Generale (2) | | 32,934 | |
1,368 | | Total (2) | | 71,394 | |
457 | | Valeo (2) | | 22,944 | |
200 | | Vinci (2) | | 9,810 | |
The accompanying notes are an integral part of the financial statements.
47
Shares | | | | Value $ | |
| | | | | |
1,884 | | Vivendi (2) | | 42,110 | |
| | | | 934,056 | |
| | Gabon (2) — 0.2% | | | |
108 | | Total Gabon | | 45,463 | |
| | | | | |
| | Germany (2) — 3.5% | | | |
488 | | Allianz | | 54,308 | |
698 | | Aurubis | | 39,391 | |
914 | | Axel Springer | | 36,948 | |
1,180 | | BASF | | 86,154 | |
1,241 | | Bayer | | 79,084 | |
838 | | Bayerische Motoren Werke | | 68,089 | |
593 | | Bechtle | | 22,127 | |
359 | | Cewe Color Holding | | 13,962 | |
8,454 | | Commerzbank | | 20,647 | |
367 | | Daimler | | 18,644 | |
463 | | Deutsche Bank | | 19,149 | |
805 | | Deutsche Lufthansa | | 10,940 | |
1,282 | | Deutsche Post | | 19,450 | |
686 | | E.ON | | 16,547 | |
429 | | Elmos Semiconductor | | 4,579 | |
108 | | Generali Deutschland Holding | | 8,861 | |
425 | | Hannover Rueckversicherung | | 20,929 | |
597 | | Indus Holding | | 15,584 | |
1,629 | | Kontron | | 11,532 | |
490 | | RWE | | 20,892 | |
305 | | SMA Solar Technology | | 18,336 | |
1,197 | | SQS Software Quality Systems | | 3,071 | |
366 | | Wacker Chemie | | 36,846 | |
432 | | Wincor Nixdorf | | 24,196 | |
| | | | 670,266 | |
| | Greece (2) — 0.5% | | | |
1,950 | | Hellenic Petroleum | | 17,091 | |
3,382 | | JUMBO | | 18,335 | |
963 | | Metka | | 9,008 | |
1,578 | | Motor Oil Hellas Corinth Refineries | | 14,200 | |
2,609 | | OPAP | | 30,139 | |
| | | | 88,773 | |
| | Guernsey (2) — 0.3% | | | |
3,969 | | IRP Property Investments Limited | | 4,733 | |
10,527 | | Resolution | | 46,337 | |
| | | | 51,070 | |
| | Hong Kong — 3.8% | | | |
3,700 | | ASM Pacific Technology (2) | | 40,631 | |
14,000 | | Cathay Pacific Airways (2) | | 25,413 | |
28,000 | | Champion REIT (2) | | 11,552 | |
199,774 | | Champion Technology Holdings (2) | | 2,881 | |
27,000 | | China Green Holdings (2) | | 8,371 | |
6,500 | | China Mobile (2) | | 61,781 | |
22,000 | | China Pharmaceutical Group (2) | | 6,017 | |
16,000 | | China Ting Group Holdings (2) | | 1,083 | |
16,000 | | China Yurun Food Group (2) | | 27,772 | |
40,000 | | CNOOC (2) | | 75,617 | |
370 | | Digitalhongkong.com (1) | | 46 | |
9,500 | | Esprit Holdings (2) | | 13,741 | |
23,000 | | Goldlion Holdings (2) | | 8,893 | |
6,000 | | Great Eagle Holdings (2) | | 13,326 | |
17,000 | | GZI REIT (2) | | 7,807 | |
62,000 | | Hutchison Telecommunications Hong Kong Holdings (2) | | 22,044 | |
5,000 | | Kingboard Chemical Holdings (2) | | 17,079 | |
22,000 | | Lerado Group Holdings (2) | | 2,065 | |
54,000 | | Lonking Holdings (2) | | 21,233 | |
20,000 | | Luen Thai Holdings (2) | | 1,638 | |
14,000 | | New World Development (2) | | 14,749 | |
28,000 | | Norstar Founders Group (1) (2) (3) | | — | |
14,227 | | NWS Holdings (2) | | 21,574 | |
4,000 | | Orient Overseas International (2) | | 18,054 | |
19,000 | | SmarTone Telecommunications Holding (2) | | 35,094 | |
21,000 | | Sunlight REIT (2) | | 6,088 | |
2,000 | | Swire Pacific Class A (2) | | 23,112 | |
15,000 | | TAI Cheung Holdings (2) | | 10,367 | |
16,000 | | TCL Communication Technology Holdings (2) | | 7,891 | |
34,000 | | Texwinca Holdings (2) | | 43,077 | |
5,200 | | Transport International Holdings (2) | | 10,621 | |
2,800 | | VTech Holdings (2) | | 26,145 | |
16,000 | | Wheelock (2) | | 47,011 | |
58,000 | | Xinyi Glass Holdings (2) | | 36,545 | |
36,500 | | XTEP International Holdings (2) | | 14,130 | |
9,000 | | Yue Yuen Industrial Holdings (2) | | 25,633 | |
46,000 | | Yuexiu Transport Infrastructure (2) | | 19,858 | |
| | | | 728,939 | |
| | Hungary (2) — 0.1% | | | |
8,579 | | Magyar Telekom Telecommunications | | 19,837 | |
| | | | | |
| | Indonesia (2) — 1.0% | | | |
125,000 | | Aneka Tambang | | 25,027 | |
17,000 | | Astra Agro Lestari | | 40,727 | |
75,500 | | International Nickel Indonesia | | 30,790 | |
134,000 | | Perusahaan Gas Negara | | 44,213 | |
38,500 | | Sampoerna Agro | | 13,028 | |
32,000 | | Telekomunikasi Indonesia | | 26,695 | |
| | | | 180,480 | |
| | Ireland — 0.3% | | | |
3,548 | | Anglo Irish Bank (1) (2) (3) | | — | |
675 | | DCC (2) | | 18,679 | |
17,066 | | Total Produce | | 8,975 | |
8,564 | | United Drug (2) | | 26,435 | |
| | | | 54,089 | |
| | Israel (2) — 1.6% | | | |
12,341 | | Bank Hapoalim | | 47,887 | |
7,639 | | Bank Leumi Le-Israel | | 26,501 | |
The accompanying notes are an integral part of the financial statements.
48
Shares | | | | Value $ | |
| | | | | |
13,232 | | Bezeq Israeli Telecommunication | | 27,993 | |
902 | | Cellcom Israel | | 19,893 | |
856 | | Delek Automotive Systems | | 6,561 | |
2,599 | | First International Bank of Israel (1) | | 27,114 | |
7,496 | | Israel Chemicals | | 88,983 | |
12,074 | | Israel Discount Bank Class A (1) | | 19,980 | |
1,536 | | Partner Communications | | 18,258 | |
46 | | Paz Oil | | 6,541 | |
1,894 | | Super-Sol | | 8,179 | |
| | | | 297,890 | |
| | Italy — 2.3% | | | |
1,049 | | Assicurazioni Generali (2) | | 18,773 | |
2,205 | | Atlantia (2) | | 33,593 | |
1,827 | | Autostrada Torino-Milano (2) | | 19,113 | |
2,606 | | Banca Piccolo Credito Valtellinese (2) | | 7,559 | |
3,093 | | Banca Popolare di Milano (2) | | 1,904 | |
4,478 | | Banco Popolare (2) | | 6,647 | |
444 | | Beni Stabili REIT | | 264 | |
1,315 | | Brembo (2) | | 14,002 | |
2,182 | | Caltagirone | | 4,527 | |
495 | | Danieli & C Officine Meccaniche (2) | | 12,546 | |
7,806 | | Enel (2) | | 36,838 | |
2,044 | | ENI (2) | | 45,190 | |
883 | | Exor (2) | | 19,281 | |
1,315 | | Finmeccanica (2) | | 9,015 | |
8,923 | | Intesa Sanpaolo (2) | | 15,753 | |
22,246 | | KME Group (2) | | 10,076 | |
2,213 | | MARR (2) | | 23,738 | |
5,556 | | Mediaset (2) | | 20,475 | |
7,042 | | Recordati (2) | | 61,319 | |
4,075 | | Snam Rete Gas (2) | | 19,924 | |
556 | | Societa Cattolica di Assicurazioni (2) | | 12,379 | |
1,635 | | Societa Iniziative Autostradali e Servizi (2) | | 13,516 | |
6,271 | | UniCredit (2) | | 7,278 | |
1,566 | | Unione di Banche Italiane (2) | | 5,935 | |
1,770 | | Zignago Vetro (2) | | 11,786 | |
| | | | 431,431 | |
| | Japan — 19.6% | | | |
3,000 | | 77 Bank (2) | | 11,823 | |
1,800 | | ADEKA (2) | | 18,010 | |
3,100 | | Ai Holdings (2) | | 13,003 | |
2,000 | | Aichi Machine Industry (2) | | 6,151 | |
500 | | Ain Pharmaciez (2) | | 20,443 | |
600 | | Aisin Seiki (2) | | 18,986 | |
800 | | Alpine Electronics (2) | | 9,399 | |
1,900 | | Alps Electric (2) | | 14,314 | |
1,700 | | AOC Holdings (2) | | 9,759 | |
800 | | Aoyama Trading (2) | | 12,644 | |
900 | | Arcs (2) | | 16,032 | |
6,000 | | Asahi Glass (2) | | 52,569 | |
6,000 | | Asahi Kasei (2) | | 35,600 | |
6 | | Asax (2) | | 7,558 | |
300 | | Autobacs Seven (2) | | 13,744 | |
10,000 | | Bank of Yokohama (2) | | 45,808 | |
900 | | BML (2) | | 21,684 | |
700 | | Canon Electronics (2) | | 17,031 | |
900 | | Century Tokyo Leasing (2) | | 18,003 | |
1,300 | | Charle (2) | | 7,525 | |
6,000 | | Chiba Bank (2) | | 36,729 | |
2,500 | | Chugai Pharmaceutical (2) | | 39,179 | |
1,000 | | Chugoku Marine Paints (2) | | 7,042 | |
600 | | CMIC (2) | | 9,957 | |
700 | | Cocokara fine (2) | | 17,410 | |
7,000 | | Cosmo Oil (2) | | 17,521 | |
1,000 | | Create SD Holdings (2) | | 21,350 | |
2,000 | | Dai Nippon Printing (2) | | 20,960 | |
2,000 | | Daihatsu Diesel Manufacturing (2) | | 9,116 | |
2,000 | | Daihatsu Motor (2) | | 35,213 | |
1,100 | | Daiichikosho (2) | | 21,362 | |
5,000 | | Daishi Bank (2) | | 15,918 | |
5,000 | | Daiwa House Industry (2) | | 62,687 | |
3,000 | | Daiwa Industries (2) | | 14,822 | |
2,400 | | DCM Holdings (2) | | 19,205 | |
600 | | Doutor Nichires Holdings (2) | | 7,177 | |
700 | | DTS (2) | | 8,245 | |
1,000 | | Eagle Industry (2) | | 11,159 | |
2,800 | | Eisai (2) | | 111,110 | |
700 | | Exedy (2) | | 20,290 | |
800 | | FCC (2) | | 16,911 | |
8 | | Fields (2) | | 13,302 | |
600 | | Fuji (2) | | 2,832 | |
4,000 | | Fuji Heavy Industries (2) | | 25,366 | |
900 | | Fuji Machine Manufacturing (2) | | 15,937 | |
1,000 | | Fujikura Kasei (2) | | 4,704 | |
800 | | Fukuda Denshi (2) | | 24,001 | |
8,000 | | Gunma Bank (2) | | 40,964 | |
1,000 | | Heiwa (2) | | 16,580 | |
7,000 | | Higo Bank (2) | | 38,239 | |
1,100 | | Hitachi Capital (2) | | 13,449 | |
500 | | H-One (2) | | 2,936 | |
12 | | Ichigo REIT (2) | | 5,563 | |
1,800 | | Ichinen Holdings (2) | | 8,800 | |
200 | | Idemitsu Kosan (2) | | 18,717 | |
200 | | Inaba Denki Sangyo (2) | | 5,723 | |
9 | | Infocom (2) | | 10,224 | |
9 | | Inpex (2) | | 59,449 | |
1,700 | | IT Holdings (2) | | 17,473 | |
2,000 | | ITC Networks (2) | | 12,294 | |
2,000 | | Ito En (2) | | 33,920 | |
3,000 | | Iyo Bank (2) | | 28,160 | |
3 | | Japan Hotel and Resort REIT (2) | | 6,409 | |
600 | | Japan Petroleum Exploration (2) | | 23,710 | |
5 | | Japan Prime Realty Investment REIT Class A (2) | | 11,980 | |
1,000 | | Jidosha Buhin Kogyo (2) | | 5,479 | |
600 | | JSP (2) | | 8,811 | |
6,000 | | Juroku Bank (2) | | 17,953 | |
The accompanying notes are an integral part of the financial statements.
49
Shares | | | | Value $ | |
| | | | | |
2,400 | | Justsystems (1) (2) | | 4,047 | |
3,000 | | Kaken Pharmaceutical (2) | | 37,674 | |
4,000 | | Kandenko (2) | | 17,583 | |
1,300 | | Kato Sangyo (2) | | 25,406 | |
13 | | KDDI (2) | | 95,278 | |
3,000 | | Keiyo Bank (2) | | 14,581 | |
2,000 | | Kinki Sharyo (2) | | 6,664 | |
600 | | Kintetsu World Express (2) | | 18,287 | |
500 | | K’s Holdings (2) | | 21,007 | |
2,000 | | Kuraray (2) | | 28,012 | |
1,800 | | Lawson (2) | | 101,337 | |
1,400 | | Lintec (2) | | 29,590 | |
2,000 | | Maeda Road Construction (2) | | 19,900 | |
35 | | Marvelous AQL (2) | | 5,881 | |
800 | | Maspro Denkoh | | 10,852 | |
1,900 | | Matsumotokiyoshi Holdings (2) | | 36,013 | |
200 | | Melco Holdings (2) | | 5,568 | |
4 | | MID REIT (2) | | 10,039 | |
2,500 | | Mitsubishi (2) | | 51,444 | |
2,500 | | Mitsubishi Chemical Holdings (2) | | 15,162 | |
2,000 | | Mitsubishi Electric (2) | | 18,516 | |
500 | | Mitsubishi Shokuhin (2) | | 11,610 | |
17,000 | | Mitsubishi UFJ Financial Group (2) | | 73,919 | |
1,000 | | Mitsuboshi Belting (2) | | 5,249 | |
3,000 | | Mitsui (2) | | 43,806 | |
5,000 | | Mitsui Engineering & Shipbuilding (2) | | 7,946 | |
1,000 | | Mitsui Home (2) | | 5,021 | |
44 | | Mitsui Knowledge Industry (2) | | 7,016 | |
57,700 | | Mizuho Financial Group (2) | | 80,803 | |
1,800 | | Moshi Moshi Hotline (2) | | 17,312 | |
1,000 | | Namura Shipbuilding (2) | | 3,229 | |
1,100 | | NEC Capital Solutions (2) | | 15,784 | |
600 | | NEC Mobiling (2) | | 20,043 | |
1,000 | | Nichireki (2) | | 4,902 | |
15 | | NIFTY (2) | | 17,415 | |
260 | | Nihon Chouzai (2) | | 9,509 | |
2,000 | | Nippo (2) | | 17,623 | |
3,000 | | Nippon Denko (2) | | 16,008 | |
2,000 | | Nippon Densetsu Kogyo (2) | | 19,855 | |
5,000 | | Nippon Electric Glass (2) | | 44,879 | |
2,000 | | Nippon Seisen (2) | | 10,263 | |
2,000 | | Nippon Shokubai (2) | | 20,409 | |
600 | | Nippon Telegraph & Telephone (2) | | 30,793 | |
2,000 | | Nippon Valqua Industries (2) | | 5,022 | |
9,000 | | Nishi-Nippon City Bank (2) | | 24,556 | |
200 | | Nisshin Sugar Holdings (1) | | 4,349 | |
3,000 | | Nittetsu Mining (2) | | 12,184 | |
800 | | Nitto Denko (2) | | 33,624 | |
2 | | Nomura Real Estate Office Fund REIT (2) | | 10,677 | |
7 | | NTT Data (2) | | 23,479 | |
48 | | NTT DoCoMo (2) | | 85,294 | |
6,000 | | Ogaki Kyoritsu Bank (2) | | 18,610 | |
7 | | Okinawa Cellular Telephone (2) | | 14,549 | |
210 | | ORIX (2) | | 18,337 | |
1 | | Premier Investment REIT (2) | | 3,385 | |
2,000 | | Press Kogyo (2) | | 9,356 | |
8,000 | | Prima Meat Packers (2) | | 10,445 | |
2,000 | | San-Ai Oil (2) | | 8,688 | |
3,000 | | San-In Godo Bank (2) | | 21,819 | |
800 | | Sanoh Industrial (2) | | 6,887 | |
9 | | SBS Holdings (2) | | 7,315 | |
2,000 | | Seino Holdings (2) | | 15,012 | |
4,000 | | Sekisui Chemical (2) | | 31,405 | |
2 | | Sekisui House SI Investment REIT (2) | | 7,249 | |
1,000 | | Sekisui Jushi (2) | | 9,437 | |
700 | | Shimachu (2) | | 15,105 | |
2,000 | | Shinagawa Refractories (2) | | 5,505 | |
4,000 | | Shinsho (2) | | 9,235 | |
4,000 | | Shiroki (2) | | 11,345 | |
2,000 | | Shizuoka Gas (2) | | 12,095 | |
44 | | SKY Perfect JSAT Holdings (2) | | 21,395 | |
400 | | Sogo Medical (2) | | 13,382 | |
1,100 | | SRA Holdings (2) | | 10,532 | |
1,300 | | SRI Sports (2) | | 13,852 | |
1,600 | | Sugi Holdings (2) | | 41,778 | |
1,800 | | Sumitomo (2) | | 22,297 | |
1,600 | | Sumitomo Electric Industries (2) | | 17,749 | |
4,000 | | Sumitomo Metal Mining (2) | | 55,090 | |
2,300 | | Sumitomo Mitsui Financial Group (2) | | 64,321 | |
5,000 | | Sumitomo Mitsui Trust Holdings (2) | | 17,119 | |
700 | | Tachi-S (2) | | 11,962 | |
2,000 | | Taihei Kogyo (2) | | 10,748 | |
1,800 | | Takeda Pharmaceutical (2) | | 81,188 | |
9 | | T-Gaia (2) | | 16,577 | |
5,000 | | Toagosei (2) | | 22,345 | |
3,000 | | Toho Zinc (2) | | 12,239 | |
500 | | Tokai (2) | | 10,619 | |
800 | | Tokai Rika (2) | | 12,893 | |
1,300 | | Tokai Rubber Industries (2) | | 16,336 | |
310 | | Token (2) | | 11,149 | |
4,720 | | Tokyu Construction (2) | | 12,922 | |
4 | | Tokyu REIT (2) | | 21,091 | |
500 | | Tomen Electronics (2) | | 5,918 | |
6,000 | | TonenGeneral Sekiyu (2) | | 67,740 | |
2,100 | | Toppan Forms (2) | | 16,445 | |
1,800 | | Topre (2) | | 17,440 | |
6,000 | | Toshiba TEC (2) | | 22,122 | |
5,000 | | Toyo Ink SC Holdings (2) | | 19,822 | |
1,300 | | TS Tech (2) | | 19,524 | |
400 | | Tsuruha Holdings (2) | | 20,447 | |
1,100 | | Unipres (2) | | 30,020 | |
1,400 | | Valor (2) | | 20,832 | |
1,300 | | VT Holdings (2) | | 5,429 | |
200 | | Yachiyo Bank (2) | | 4,905 | |
460 | | Yamada Denki (2) | | 33,098 | |
2,000 | | Yamanashi Chuo Bank (2) | | 8,041 | |
600 | | Yaoko (2) | | 19,690 | |
1,100 | | Yorozu (2) | | 25,953 | |
6 | | Zappallas (2) | | 5,900 | |
The accompanying notes are an integral part of the financial statements.
50
Shares | | | | Value $ | |
| | | | | |
3,000 | | Zojirushi (2) | | 9,864 | |
| | | | 3,728,397 | |
| | Luxembourg (2) — 0.1% | | | |
410 | | Oriflame Cosmetics | | 16,327 | |
| | | | | |
| | Malaysia (2) — 0.4% | | | |
15,400 | | Affin Holdings | | 14,717 | |
7,300 | | APM Automotive Holdings | | 10,422 | |
17,800 | | Kumpulan Fima | | 9,560 | |
6,200 | | Tradewinds Malaysia | | 17,858 | |
13,500 | | UMW Holdings | | 29,098 | |
| | | | 81,655 | |
| | Malta (2) — 0.0% | | | |
22,416 | | BGP Holdings (1) (3) | | — | |
| | | | | |
| | Mexico — 0.3% | | | |
3,000 | | Alfa Class A | | 34,653 | |
11,100 | | Grupo Mexico, Series B | | 30,783 | |
| | | | 65,436 | |
| | Netherlands (2) — 3.0% | | | |
4,157 | | Aegon (1) | | 19,829 | |
1,093 | | Arcadis | | 21,442 | |
926 | | ASM International | | 26,076 | |
2,071 | | ASML Holding | | 86,896 | |
1,333 | | BE Semiconductor Industries | | 9,021 | |
663 | | Beter Bed Holding | | 13,661 | |
2,348 | | BinckBank | | 27,244 | |
2,115 | | ING Groep (1) | | 18,237 | |
1,240 | | Koninklijke Boskalis Westminster | | 43,351 | |
1,155 | | Koninklijke DSM | | 59,117 | |
1,451 | | Koninklijke KPN | | 19,002 | |
892 | | Mediq | | 14,159 | |
400 | | Nieuwe Steen Investments REIT | | 5,924 | |
2,071 | | Royal Dutch Shell | | 73,453 | |
2,001 | | Royal Dutch Shell Class A | | 70,898 | |
1,155 | | Sligro Food Group | | 37,814 | |
2,906 | | SNS Reaal (1) | | 8,102 | |
105 | | Wereldhave REIT | | 8,221 | |
| | | | 562,447 | |
| | New Zealand (2) — 0.1% | | | |
13,956 | | Air New Zealand | | 11,790 | |
7,005 | | Nuplex Industries | | 14,693 | |
| | | | 26,483 | |
| | Norway — 2.7% | | | |
9,933 | | ABG Sundal Collier Holding (2) | | 7,159 | |
4,605 | | Aker Solutions (2) | | 53,008 | |
1,723 | | Atea (2) | | 15,229 | |
3,650 | | Austevoll Seafood (2) | | 14,397 | |
1,884 | | Cermaq (2) | | 20,923 | |
1,197 | | DnB NOR (2) | | 13,863 | |
1,028 | | Farstad Shipping (2) | | 28,155 | |
1,561 | | Fred Olsen Energy (2) | | 52,429 | |
12,472 | | Kvaerner (1) | | 24,060 | |
1,043 | | Leroy Seafood Group (2) | | 16,159 | |
35,624 | | Marine Harvest (2) | | 15,897 | |
2,670 | | SpareBank 1 SMN (2) | | 21,239 | |
1,148 | | Sparebank 1 SR Bank (2) | | 9,623 | |
420 | | Sparebanken More (2) | | 13,412 | |
2,859 | | Statoil (2) | | 72,634 | |
6,096 | | Storebrand (2) | | 37,289 | |
3,165 | | Telenor (2) | | 56,447 | |
1,948 | | TGS Nopec Geophysical (2) | | 44,182 | |
| | | | 516,105 | |
| | Philippines — 0.6% | | | |
18,900 | | Aboitiz Power (2) | | 13,045 | |
550 | | Globe Telecom (2) | | 11,656 | |
30,000 | | Manila Water (2) | | 13,617 | |
600 | | Philippine Long Distance Telephone ADR | | 33,324 | |
15,100 | | Rizal Commercial Banking (2) | | 11,066 | |
5,250 | | Semirara Mining (2) | | 26,066 | |
| | | | 108,774 | |
| | Poland (2) — 0.4% | | | |
939 | | Asseco Poland | | 14,679 | |
842 | | Grupa Lotos (1) | | 7,560 | |
1,264 | | KGHM Polska Miedz | | 61,034 | |
| | | | 83,273 | |
| | Portugal (2) — 0.4% | | | |
10,239 | | Banco BPI | | 6,993 | |
21,110 | | Banco Comercial Portugues (1) | | 4,467 | |
5,516 | | Banco Espirito Santo | | 11,839 | |
14,290 | | Portucel Empresa Produtora de Pasta e Papel | | 35,866 | |
2,407 | | Portugal Telecom | | 17,217 | |
| | | | 76,382 | |
| | Russia — 0.2% | | | |
55 | | LUKOIL ADR | | 3,173 | |
1,750 | | Mobile Telesystems ADR | | 25,008 | |
| | | | 28,181 | |
| | Singapore (2) — 2.8% | | | |
24,000 | | Boustead Singapore | | 15,672 | |
21,000 | | CapitaCommercial Trust REIT | | 18,755 | |
39,000 | | ComfortDelGro | | 43,204 | |
61,000 | | Golden Agri-Resources | | 31,220 | |
9,000 | | Hong Leong Asia | | 13,970 | |
13,000 | | HTL International Holdings | | 3,428 | |
2,000 | | Jardine Cycle & Carriage | | 71,879 | |
18,000 | | Jurong Technologies Industrial (1) (3) | | — | |
12,000 | | Keppel | | 89,812 | |
8,800 | | M1 | | 17,182 | |
The accompanying notes are an integral part of the financial statements.
51
Shares | | | | Value $ | |
| | | | | |
10,000 | | Neptune Orient Lines | | 8,966 | |
21,000 | | SembCorp Industries | | 69,219 | |
2,000 | | Singapore Airlines | | 18,527 | |
25,000 | | Singapore Telecommunications | | 63,193 | |
12,000 | | Swiber Holdings (1) | | 5,660 | |
16,000 | | UMS Holdings | | 4,278 | |
10,000 | | UOL Group | | 35,344 | |
4,000 | | Venture | | 21,329 | |
7,000 | | Wing Tai Holdings | | 7,099 | |
| | | | 538,737 | |
| | South Africa — 0.8% | | | |
7,701 | | Afgri | | 5,078 | |
3,067 | | Allied Electronics (2) | | 9,101 | |
746 | | Allied Technologies (2) | | 4,949 | |
403 | | Astral Foods (2) | | 6,028 | |
7,501 | | Coronation Fund Managers (2) | | 21,404 | |
953 | | Kumba Iron Ore (2) | | 56,646 | |
1,002 | | MTN Group (2) | | 17,524 | |
1,080 | | Palabora Mining | | 15,611 | |
3,283 | | Raubex Group | | 5,420 | |
1,550 | | Reunert (2) | | 12,321 | |
| | | | 154,082 | |
| | South Korea — 1.4% | | | |
940 | | Bookook Steel (2) | | 1,661 | |
680 | | Chong Kun Dang Pharm (2) | | 13,145 | |
740 | | Daewoo Shipbuilding & Marine Engineering (2) | | 18,137 | |
410 | | Daishin Securities (2) | | 3,741 | |
37 | | Dongwon Industries (2) | | 5,475 | |
290 | | Global & Yuasa Battery (2) | | 10,096 | |
1,230 | | Green Cross Holdings (2) | | 18,791 | |
1,530 | | Hanil E-Wha (2) | | 13,957 | |
39 | | Hankook Shell Oil (2) | | 7,291 | |
490 | | Hanyang Securities (2) | | 2,722 | |
1,110 | | Hwa Shin (2) | | 15,886 | |
68 | | Hyundai Heavy Industries (2) | | 18,108 | |
169 | | Hyundai Motor (2) | | 33,923 | |
530 | | Jinheung Mutual Savings Bank (2) | | 1,078 | |
190 | | Kyeryong Construction Industrial (2) | | 2,498 | |
1,300 | | Kyung Nong (2) | | 3,415 | |
100 | | Mi Chang Oil Industrial (2) | | 4,198 | |
860 | | Motonic (2) | | 6,008 | |
60 | | Nexen (2) | | 3,998 | |
86 | | Nong Shim Holdings (2) | | 3,838 | |
110 | | Pusan City Gas (2) | | 1,882 | |
470 | | Sejong Industrial (2) | | 6,563 | |
307 | | SK C&C (2) | | 41,551 | |
1,500 | | SK Telecom ADR | | 22,185 | |
238 | | Thinkware Systems (2) | | 1,621 | |
650 | | Woongjin Thinkbig (2) | | 9,304 | |
| | | | 271,072 | |
| | Spain (2) — 1.9% | | | |
2,064 | | Almirall | | 15,360 | |
2,281 | | Antena 3 de Television | | 13,661 | |
2,093 | | Banco Bilbao Vizcaya Argentaria | | 18,841 | |
3,637 | | Banco de Sabadell | | 13,048 | |
998 | | Banco Espanol de Credito | | 5,911 | |
3,085 | | Banco Popular Espanol | | 14,124 | |
2,956 | | Banco Santander Central Hispano | | 25,025 | |
3,522 | | CaixaBank | | 17,175 | |
825 | | Caja de Ahorros del Mediterraneo | | 1,596 | |
3,352 | | Duro Felguera | | 22,430 | |
938 | | Enagas | | 18,448 | |
1,450 | | Grupo Catalana Occidente | | 26,728 | |
3,333 | | Indra Sistemas | | 55,861 | |
5,193 | | Mapfre | | 18,979 | |
1,465 | | Repsol | | 44,106 | |
2,117 | | Telefonica | | 45,000 | |
766 | | Vueling Airlines (1) | | 5,407 | |
| | | | 361,700 | |
| | Sweden (2) — 2.6% | | | |
1,675 | | Axfood | | 63,577 | |
587 | | Bilia Class A | | 8,552 | |
2,330 | | Billerud | | 18,112 | |
2,806 | | Boliden | | 39,928 | |
1,000 | | D Carnegie (1) (3) | | — | |
468 | | Hoganas Class B | | 14,931 | |
1,447 | | Intrum Justitia | | 23,764 | |
1,278 | | Kinnevik Investment | | 26,731 | |
533 | | NCC Class B | | 9,778 | |
1,390 | | Nolato | | 11,563 | |
3,074 | | Peab | | 16,745 | |
2,002 | | Scania | | 33,625 | |
3,141 | | Skandinaviska Enskilda Banken | | 19,709 | |
2,024 | | SKF Class B | | 44,897 | |
1,474 | | Swedbank | | 20,656 | |
2,615 | | Tele2 Class B | | 55,118 | |
12,352 | | TeliaSonera | | 85,937 | |
| | | | 493,623 | |
| | Switzerland (2) — 3.3% | | | |
3,057 | | ABB | | 57,589 | |
323 | | Baloise Holding | | 26,328 | |
443 | | BKW FMB Energie | | 20,041 | |
890 | | Credit Suisse Group | | 25,686 | |
107 | | Emmi | | 21,443 | |
3,953 | | Ferrexpo | | 20,351 | |
73 | | Helvetia Holding | | 26,691 | |
1,301 | | Novartis | | 73,342 | |
314 | | Pargesa Holding | | 24,538 | |
656 | | Roche Holding | | 107,703 | |
111 | | Swisscom | | 44,746 | |
387 | | Transocean | | 21,885 | |
4,150 | | UBS | | 52,485 | |
48 | | Valora Holding | | 9,976 | |
55 | | Vaudoise Assurances Holding | | 16,200 | |
321 | | Zurich Financial Services | | 74,023 | |
| | | | 623,027 | |
The accompanying notes are an integral part of the financial statements.
52
Shares | | | | Value $ | |
| | | | | |
| | Taiwan — 2.3% | | | |
9,000 | | Ability Enterprise (2) | | 8,299 | |
8,799 | | Asia Vital Components (2) | | 6,056 | |
7,000 | | Audix (2) | | 6,580 | |
7,000 | | Avermedia Technologies (2) | | 6,044 | |
11,105 | | Chicony Electronics (2) | | 18,564 | |
4,040 | | Chong Hong Construction (2) | | 9,407 | |
14,394 | | Compal Electronics (2) | | 13,216 | |
7,000 | | Coretronic (2) | | 5,268 | |
11,000 | | CTCI (2) | | 14,002 | |
14,000 | | Feng TAY Enterprise (2) | | 12,139 | |
16,000 | | Formosan Rubber Group (2) | | 11,476 | |
7,069 | | FSP Technology (2) | | 5,847 | |
9,000 | | Gigabyte Technology (2) | | 7,294 | |
1,600 | | Himax Technologies ADR | | 1,696 | |
22,580 | | Inventec (2) | | 8,118 | |
3,000 | | I-Sheng Electric Wire & Cable (2) | | 3,742 | |
4,572 | | Leader Electronics (2) | | 1,541 | |
9,044 | | Lite-On IT (2) | | 8,460 | |
18,090 | | Lite-On Technology (2) | | 17,077 | |
29,000 | | Macronix International (2) | | 10,963 | |
1,149 | | Motech Industries (2) | | 2,159 | |
4,441 | | Pegatron (2) | | 4,798 | |
6,000 | | Phihong Technology (2) | | 7,869 | |
10,000 | | Powertech Technology (2) | | 24,355 | |
3,150 | | Promate Electronic (2) | | 1,925 | |
7,907 | | Quanta Computer (2) | | 15,566 | |
7,150 | | Radiant Opto-Electronics (2) | | 21,025 | |
11,000 | | Sigurd Microelectronics (2) | | 7,767 | |
2,020 | | Silitech Technology (2) | | 5,463 | |
3,000 | | Sincere Navigation (2) | | 2,730 | |
6,000 | | Sino-American Silicon Products (2) | | 9,794 | |
25,130 | | Sinon (2) | | 9,925 | |
4,000 | | Sirtec International (2) | | 5,186 | |
3,015 | | Soft-World International (2) | | 6,854 | |
26,000 | | Tainan Spinning (2) | | 11,491 | |
4,000 | | Taiwan Navigation (2) | | 3,884 | |
4,000 | | Taiwan Prosperity Chemical (2) | | 11,427 | |
10,000 | | Taiwan Sogo Shin Kong SEC (2) | | 8,581 | |
6,600 | | Taiwan Surface Mounting Technology (2) | | 14,711 | |
6,000 | | Thye Ming Industrial (2) | | 6,236 | |
4,000 | | Tripod Technology (2) | | 10,411 | |
11,000 | | TSRC (2) | | 28,570 | |
6,000 | | Ttet Union (2) | | 9,742 | |
23,100 | | Wan Hai Lines (2) | | 11,995 | |
8,400 | | Weikeng Industrial (2) | | 6,148 | |
11,080 | | Wistron (2) | | 12,828 | |
| | | | 437,229 | |
| | Thailand (2) — 1.1% | | | |
7,100 | | Advanced Info Service NVDR | | 29,954 | |
18,400 | | Bangchak Petroleum | | 10,324 | |
5,300 | | Bangkok Expressway | | 2,822 | |
21,150 | | Bualuang Securities | | 9,198 | |
13,300 | | Delta Electronics Thai | | 8,023 | |
2,100 | | Electricity Generating | | 5,734 | |
12,400 | | Hana Microelectronics | | 6,659 | |
7,300 | | Kiatnakin Bank | | 6,551 | |
25,300 | | Lanna Resources | | 18,856 | |
18,200 | | MCS Steel | | 4,756 | |
110,400 | | Property Perfect | | 2,248 | |
7,500 | | PTT Exploration & Production NVDR | | 38,988 | |
3,300 | | PTT NVDR | | 32,567 | |
29,600 | | SC Asset | | 9,073 | |
74,800 | | Thai Tap Water Supply | | 11,987 | |
5,800 | | Total Access Communication | | 13,879 | |
| | | | 211,619 | |
| | Turkey (2) — 0.8% | | | |
81 | | Bagfas Bandirma Gubre Fabrik | | 7,671 | |
2,766 | | Ford Otomotiv Sanayi | | 20,125 | |
2,214 | | Gubre Fabrikalari (1) | | 15,176 | |
4,198 | | Koza Anadolu Metal Madencilik Isletmeleri (1) | | 9,666 | |
1,239 | | Pinar SUT Mamulleri Sanayii | | 10,748 | |
3,204 | | Tofas Turk Otomobil Fabrikasi | | 12,325 | |
6,180 | | Trakya Cam Sanayi | | 9,914 | |
6,215 | | Turk Telekomunikasyon | | 26,320 | |
903 | | Turk Traktor ve Ziraat Makineleri | | 16,800 | |
8,993 | | Turkiye Is Bankasi Class C | | 20,921 | |
| | | | 149,666 | |
| | United Kingdom — 14.6% | | | |
19,734 | | Aberdeen Asset Management (2) | | 60,775 | |
2,996 | | Anglo American (2) | | 110,537 | |
3,893 | | Anglo Pacific Group (2) | | 16,825 | |
2,290 | | Antofagasta (2) | | 42,630 | |
3,314 | | Ashmore Group (2) | | 18,360 | |
2,675 | | AstraZeneca (2) | | 128,449 | |
3,683 | | Aviva (2) | | 20,097 | |
13,900 | | BAE Systems (2) | | 61,653 | |
4,077 | | Balfour Beatty (2) | | 16,451 | |
11,989 | | Barclays (2) | | 37,172 | |
16,922 | | Beazley (2) | | 34,142 | |
2,109 | | BHP Billiton (2) | | 66,424 | |
11,939 | | BP (2) | | 87,874 | |
9,735 | | Brewin Dolphin Holdings (2) | | 19,684 | |
21,666 | | Cable & Wireless Communications (2) | | 12,594 | |
40,561 | | Cable & Wireless Worldwide (2) | | 18,153 | |
8,832 | | Cairn Energy (1) (2) | | 41,720 | |
4,159 | | Carillion (2) | | 23,105 | |
12,704 | | Centrica (2) | | 60,490 | |
11,807 | | Cobham (2) | | 34,079 | |
4,077 | | Computacenter (2) | | 24,932 | |
1,043 | | Cranswick (2) | | 11,589 | |
5,769 | | Drax Group (2) | | 50,229 | |
10,764 | | Electrocomponents (2) | | 37,873 | |
4,221 | | Eurasian Natural Resources (2) | | 44,469 | |
The accompanying notes are an integral part of the financial statements.
53
Shares | | | | Value $ | |
| | | | | |
7,735 | | Fiberweb (2) | | 5,080 | |
3,357 | | Firstgroup (2) | | 17,983 | |
5,307 | | Game Group | | 1,643 | |
11,966 | | GKN (2) | | 36,384 | |
3,782 | | GlaxoSmithKline (2) | | 84,893 | |
2,718 | | Greggs (2) | | 22,302 | |
3,507 | | Gulfsands Petroleum (1) (2) | | 10,508 | |
5,022 | | Halfords Group (2) | | 26,341 | |
16,345 | | Hays (2) | | 20,756 | |
8,044 | | Highland Gold Mining (2) | | 24,752 | |
2,169 | | Hill & Smith Holdings (2) | | 9,297 | |
8,057 | | Home Retail Group (2) | | 13,003 | |
9,555 | | HSBC Holdings (2) | | 83,386 | |
5,653 | | ICAP (2) | | 36,468 | |
1,929 | | Imperial Tobacco Group (2) | | 70,281 | |
6,434 | | Inmarsat (2) | | 48,546 | |
1,649 | | Interior Services Group | | 4,747 | |
4,356 | | Intermediate Capital Group (2) | | 17,060 | |
2,521 | | Interserve (2) | | 13,363 | |
4,263 | | Investec (2) | | 25,833 | |
5,284 | | J Sainsbury (2) | | 25,326 | |
1,280 | | Kazakhmys (2) | | 18,927 | |
1,407 | | Keller Group (2) | | 8,295 | |
5,088 | | Kesa Electricals (2) | | 8,413 | |
1,100 | | Kier Group (2) | | 24,817 | |
36,054 | | Legal & General Group (2) | | 63,525 | |
38,645 | | Lloyds Banking Group (1) (2) | | 19,988 | |
10,260 | | Marks & Spencer Group (2) | | 52,907 | |
4,382 | | Micro Focus International (2) | | 23,712 | |
7,966 | | Mitie Group (2) | | 32,156 | |
4,543 | | Mondi (2) | | 34,559 | |
7,640 | | N Brown Group (2) | | 32,381 | |
2,048 | | Next (2) | | 83,956 | |
3,803 | | Pace (2) | | 4,829 | |
9,114 | | Premier Farnell (2) | | 25,574 | |
8,454 | | Prudential (2) | | 87,339 | |
816 | | Reckitt Benckiser Group (2) | | 41,893 | |
1,465 | | Rio Tinto (2) | | 79,270 | |
2,490 | | Robert Wiseman Dairies (2) | | 11,549 | |
35,601 | | Royal Bank of Scotland Group (1) (2) | | 13,742 | |
1,517 | | Scottish & Southern Energy (2) | | 32,783 | |
6,917 | | St. James’s Place (2) | | 39,127 | |
1,599 | | Standard Chartered (2) | | 37,319 | |
12,321 | | Tesco (2) | | 79,454 | |
2,409 | | Tullett Prebon (2) | | 13,586 | |
1,262 | | Valiant Petroleum (1) (2) | | 9,868 | |
994 | | Vedanta Resources (2) | | 20,292 | |
17,425 | | Vodafone Group (2) | | 48,393 | |
3,965 | | WH Smith (2) | | 34,884 | |
14,863 | | WM Morrison Supermarkets (2) | | 72,091 | |
1,140 | | WSP Group (2) | | 4,216 | |
2,471 | | Xstrata (2) | | 41,166 | |
| | | | 2,779,269 | |
| | TOTAL COMMON STOCK
(Cost $19,844,948) | | 18,606,285 | |
| | | | | |
| | PREFERRED STOCK — 1.5% | | | |
| | Brazil — 1.1% | | | |
1,600 | | AES Tiete | | 22,912 | |
2,000 | | Bradespar | | 40,781 | |
1,540 | | Cia Energetica de Minas Gerais ADR | | 26,242 | |
600 | | Cia Energetica do Ceara Class A | | 12,129 | |
1,320 | | Eletropaulo Metropolitana Eletricidade de Sao Paulo Class B | | 23,839 | |
2,500 | | Petroleo Brasileiro | | 31,284 | |
1,800 | | Vale ADR | | 42,480 | |
| | | | 199,667 | |
| | Germany (2) — 0.4% | | | |
104 | | Draegerwerk | | 10,898 | |
16 | | KSB | | 9,452 | |
870 | | ProSiebenSat.1 Media | | 18,549 | |
209 | | Volkswagen | | 36,405 | |
| | | | 75,304 | |
| | TOTAL PREFERRED STOCK
(Cost $276,716) | | 274,971 | |
| | | | | |
| | WARRANTS (1) — 0.0% | | | |
| | Italy — 0.0% | | | |
1,002 | | KME Group, Expires 01/02/12
(Cost $—) | | 5 | |
| | | | | |
| | RIGHTS (1) — 0.0% | | | |
| | Hong Kong — 0.0% | | | |
7,000 | | New World Development Expires 11/24/11 | | 2,388 | |
| | | | | |
| | Italy — 0.0% | | | |
11,958 | | Perilya Expires 11/23/11 | | 504 | |
| | | | | |
| | Spain — 0.0% | | | |
3,093 | | Banca Popolare di Milano Expires 11/22/11 | | 2,915 | |
| | | | | |
| | TOTAL RIGHTS
(Cost $7,648) | | 5,807 | |
| | | | | |
| | SHORT-TERM INVESTMENT (4) — 1.4% | | | |
268,649 | | JPMorgan Prime Money Market Fund, 0.020%
(Cost $268,649) | | 268,649 | |
The accompanying notes are an integral part of the financial statements.
54
| | TOTAL INVESTMENTS — 100.8%
(Cost $20,397,961) | | 19,155,717 | |
| | | | | |
| | OTHER LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)% | | (143,657 | ) |
| | | | | |
| | NET ASSETS — 100% | | $ | 19,012,060 | |
| | | | | | |
The accompanying notes are an integral part of the financial statements.
55
(1) | Denotes non-income producing security. |
(2) | Security is fair valued. (See Note 2 in Notes to Financial Statements.) |
(3) | Security considered illiquid. On October 31, 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 October 31, 2011. |
A summary of the outstanding forward foreign currency contracts held by the Fund at October 31, 2011, is as follows:
| | | | | | | | Unrealized | |
| | | | | | | | Appreciation | |
Counterparty | | Settlement Date | | Currency to Deliver | | Currency to Receive | | (Depreciation) | |
Barclays Capital | | 12/1/11 | | ZAR | 1,536,400 | | USD | 188,017 | | $ | (5,957 | ) |
JPMorgan | | 12/1/11 | | USD | 427,574 | | GBP | 271,400 | | 8,764 | |
JPMorgan | | 12/1/11 | | USD | 30,657 | | TRY | 56,700 | | 1,230 | |
State Street Bank | | 12/1/11 | | TRY | 332,800 | | USD | 176,992 | | (10,167 | ) |
UBS Securities | | 12/1/11 | | USD | 197,786 | | ZAR | 1,536,400 | | (3,811 | ) |
| | | | | | | | | | $ | (9,941 | ) |
ADR — American Depositary Receipt
GBP — British Pound
NVDR — Non Voting Depository Receipt
REIT — Real Estate Investment Trust
TRY — Turkish Lira
USD — United States Dollar
ZAR— South African Rand
The accompanying notes are an integral part of the financial statements.
56
The following is a summary of the inputs used as of October 31, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Common Stock (1) | | | | | | | | | |
Australia | | $ | — | | $ | 742,812 | | $ | — | | $ | 742,812 | |
Austria | | — | | 152,159 | | — | | 152,159 | |
Belgium | | — | | 302,673 | | — | | 302,673 | |
Bermuda | | 7,564 | | 121,550 | | — | | 129,114 | |
Brazil | | 117,591 | | — | | — | | 117,591 | |
British Virgin Islands | | 12,899 | | — | | — | | 12,899 | |
Canada | | 1,343,652 | | — | | — | | 1,343,652 | |
Chile | | 39,692 | | — | | — | | 39,692 | |
China | | 20,609 | | 292,202 | | — | | 312,811 | |
Cyprus | | — | | 63,728 | | — | | 63,728 | |
Czech Republic | | 25,577 | | — | | — | | 25,577 | |
Denmark | | — | | 182,638 | | — | | 182,638 | |
Finland | | — | | 365,161 | | — | | 365,161 | |
France | | 6,708 | | 927,348 | | — | | 934,056 | |
Gabon | | — | | 45,463 | | — | | 45,463 | |
Germany | | — | | 670,266 | | — | | 670,266 | |
Greece | | — | | 88,773 | | — | | 88,773 | |
Guernsey | | — | | 51,070 | | — | | 51,070 | |
Hong Kong | | 46 | | 728,893 | | — | | 728,939 | |
Hungary | | — | | 19,837 | | — | | 19,837 | |
Indonesia | | — | | 180,480 | | — | | 180,480 | |
Ireland | | 8,975 | | 45,114 | | — | | 54,089 | |
Israel | | — | | 297,890 | | — | | 297,890 | |
Italy | | 4,791 | | 426,640 | | — | | 431,431 | |
Japan | | 15,201 | | 3,713,196 | | — | | 3,728,397 | |
Luxembourg | | — | | 16,327 | | — | | 16,327 | |
Malaysia | | — | | 81,655 | | — | | 81,655 | |
Malta | | — | | — | | — | | — | |
Mexico | | 65,436 | | — | | — | | 65,436 | |
Netherlands | | — | | 562,447 | | — | | 562,447 | |
New Zealand | | — | | 26,483 | | — | | 26,483 | |
Norway | | 24,060 | | 492,045 | | — | | 516,105 | |
Philippines | | 33,324 | | 75,450 | | — | | 108,774 | |
Poland | | — | | 83,273 | | — | | 83,273 | |
Portugal | | — | | 76,382 | | — | | 76,382 | |
Russia | | 28,181 | | — | | — | | 28,181 | |
Singapore | | — | | 538,737 | | — | | 538,737 | |
South Africa | | 26,109 | | 127,973 | | — | | 154,082 | |
South Korea | | 22,185 | | 248,887 | | — | | 271,072 | |
Spain | | — | | 361,700 | | — | | 361,700 | |
Sweden | | — | | 493,623 | | — | | 493,623 | |
Switzerland | | — | | 623,027 | | — | | 623,027 | |
Taiwan | | 1,696 | | 435,533 | | — | | 437,229 | |
Thailand | | — | | 211,619 | | — | | 211,619 | |
Turkey | | — | | 149,666 | | — | | 149,666 | |
United Kingdom | | 6,390 | | 2,772,879 | | — | | 2,779,269 | |
Total Common Stock | | $ | 1,810,686 | | $ | 16,795,599 | | $ | — | | $ | 18,606,285 | |
The accompanying notes are an integral part of the financial statements.
57
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities (concluded) | | | | | | | | | |
Preferred Stock | | | | | | | | | |
Brazil | | $ | 199,667 | | $ | — | | $ | — | | $ | 199,667 | |
Germany | | — | | 75,304 | | — | | 75,304 | |
Total Preferred Stock | | 199,667 | | 75,304 | | — | | 274,971 | |
| | | | | | | | | |
Warrants | | | | | | | | | |
Italy | | 5 | | — | | — | | 5 | |
| | | | | | | | | |
Rights | | | | | | | | | |
Hong Kong | | — | | 2,388 | | — | | 2,388 | |
Italy | | — | | 504 | | — | | 504 | |
Spain | | 2,915 | | — | | — | | 2,915 | |
Total Rights | | 2,915 | | 2,892 | | — | | 5,807 | |
| | | | | | | | | |
Short-Term Investment | | 268,649 | | — | | — | | 268,649 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 2,281,922 | | $ | 16,873,795 | | $ | — | | $ | 19,155,717 | |
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Other Financial Instruments | | | | | | | | | |
Forwards—Unrealized Appreciation | | $ | — | | $ | 9,994 | | $ | — | | $ | 9,994 | |
Forwards—Unrealized Depreciation | | — | | (19,935 | ) | — | | (19,935 | ) |
Total Other Financial Instruments | | $ | — | | $ | (9,941 | ) | $ | — | | $ | (9,941 | ) |
(1) The primary reason for changes in the classification 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 accompanying notes are an integral part of the financial statements.
58
Schroder Global Quality Fund
Schedule of Investments
October 31, 2011
Shares | | | | Value $ | |
| | | | | |
| | COMMON STOCK — 98.1% | | | |
| | Australia (2) — 3.1% | | | |
7,562 | | BHP Billiton | | 295,983 | |
34,483 | | CFS Retail Property Trust | | 65,728 | |
20,679 | | Coca-Cola Amatil | | 266,916 | |
2,604 | | Cochlear | | 159,871 | |
7,644 | | CSL | | 230,207 | |
4,682 | | Iress Market Technology | | 37,308 | |
3,700 | | Monadelphous Group | | 70,364 | |
24,079 | | Mount Gibson Iron | | 38,510 | |
9,418 | | Navitas | | 40,786 | |
20,731 | | Platinum Asset Management | | 87,028 | |
4,114 | | Rio Tinto | | 295,332 | |
61,561 | | Telstra | | 199,865 | |
7,448 | | Woolworths | | 186,166 | |
2,770 | | WorleyParsons | | 80,391 | |
11,778 | | Wotif.com Holdings | | 45,381 | |
| | | | 2,099,836 | |
| | Austria (2) — 0.1% | | | |
1,755 | | Oesterreichische Post | | 52,942 | |
| | | | | |
| | Belgium (2) — 0.9% | | | |
3,881 | | Bekaert | | 172,291 | |
3,298 | | Colruyt | | 135,525 | |
5,547 | | Mobistar | | 315,723 | |
| | | | 623,539 | |
| | Bermuda — 0.8% | | | |
6,900 | | Arch Capital Group (1) | | 248,193 | |
8,000 | | Cafe de Coral Holdings (2) | | 18,054 | |
194,000 | | First Pacific (2) | | 202,118 | |
3,435 | | Lancashire Holdings (2) | | 39,444 | |
| | | | 507,809 | |
| | Brazil — 0.6% | | | |
3,953 | | Cielo | | 105,544 | |
5,000 | | CPFL Energia | | 64,142 | |
2,200 | | Natura Cosmeticos | | 42,936 | |
7,300 | | Souza Cruz | | 90,586 | |
6,200 | | Tractebel Energia | | 99,294 | |
| | | | 402,502 | |
| | British Virgin Islands — 0.1% | | | |
9,250 | | Playtech | | 40,500 | |
| | | | | |
| | Canada — 6.0% | | | |
3,900 | | Agrium | | 321,563 | |
6,800 | | Alimentation Couche Tard Class B | | 204,675 | |
1,700 | | Atco Class I | | 103,839 | |
3,100 | | Bank of Montreal | | 183,163 | |
3,500 | | Barrick Gold | | 172,805 | |
2,600 | | Baytex Energy Trust | | 137,448 | |
5,700 | | Canadian Oil Sands Trust | | 132,106 | |
2,200 | | Centerra Gold | | 43,616 | |
6,900 | | CGI Group Class A (1) | | 141,226 | |
4,400 | | CI Financial | | 88,291 | |
2,300 | | GMP Capital | | 16,430 | |
6,100 | | Great-West Lifeco | | 135,807 | |
27,000 | | High River Gold Mines (1) | | 35,758 | |
6,500 | | IGM Financial | | 280,686 | |
4,500 | | Industrial Alliance Insurance and Financial Services | | 146,418 | |
5,700 | | Just Energy Group | | 61,535 | |
1,800 | | Labrador Iron Ore Royalty | | 58,044 | |
2,400 | | Metro Class A | | 117,604 | |
3,100 | | Pacific Rubiales Energy | | 72,283 | |
5,300 | | Pan American Silver | | 148,094 | |
3,000 | | Pason Systems | | 40,694 | |
5,500 | | Petrominerales | | 145,129 | |
3,700 | | Potash Corp. of Saskatchewan | | 175,144 | |
4,200 | | Power Corp. of Canada | | 105,769 | |
2,200 | | Power Financial | | 59,376 | |
10,900 | | Research In Motion (1) | | 220,472 | |
7,200 | | Rogers Communications Class B | | 262,587 | |
2,500 | | Shoppers Drug Mart | | 105,097 | |
6,300 | | Sprott | | 44,309 | |
2,100 | | TMX Group | | 92,285 | |
2,000 | | Transglobe Energy (1) | | 20,588 | |
9,000 | | Trican Well Service | | 159,195 | |
| | | | 4,032,036 | |
| | Cayman Islands (2) — 0.1% | | | |
209,000 | | GCL-Poly Energy Holdings | | 67,467 | |
| | | | | |
| | Chile — 0.5% | | | |
15,432 | | Administradora de Fondos de Pensiones Provida | | 64,101 | |
400 | | Administradora de Fondos de Pensiones Provida ADR | | 24,728 | |
260,199 | | Aguas Andinas | | 157,262 | |
3,375 | | ENTEL Chile | | 66,790 | |
| | | | 312,881 | |
| | China (2) — 1.4% | | | |
50,000 | | China Shenhua Energy Class H | | 228,748 | |
64,000 | | Dongfeng Motor Group Class H | | 104,403 | |
33,000 | | Great Wall Motor Class H | | 44,813 | |
104,000 | | Haitian International Holdings | | 92,407 | |
67,000 | | Shenzhou International Group Holdings | | 86,194 | |
14,000 | | Weichai Power Class H | | 70,449 | |
102,000 | | Yangzijiang Shipbuilding Holdings | | 75,532 | |
82,000 | | Yanzhou Coal Mining | | 202,982 | |
| | | | 905,528 | |
| | Czech Republic (2) — 0.1% | | | |
100 | | Philip Morris CR | | 65,498 | |
The accompanying notes are an integral part of the financial statements.
59
Shares | | | | Value $ | |
| | | | | |
| | Denmark (2) — 0.8% | | | |
19 | | AP Moller - Maersk | | 128,557 | |
18,759 | | H Lundbeck | | 378,453 | |
| | | | 507,010 | |
| | Finland (2) — 0.5% | | | |
536 | | Kone Class B | | 29,517 | |
8,556 | | Orion Class B | | 178,089 | |
3,642 | | Sampo Class A | | 100,130 | |
| | | | 307,736 | |
| | France (2) — 1.1% | | | |
1,784 | | Alten | | 50,813 | |
1,017 | | April | | 17,669 | |
428 | | Christian Dior | | 60,397 | |
8,612 | | CNP Assurances | | 131,547 | |
1,710 | | Euler Hermes | | 123,483 | |
4,538 | | Metropole Television | | 77,593 | |
1,307 | | Societe BIC | | 116,663 | |
186 | | Virbac | | 32,141 | |
4,502 | | Vivendi | | 100,626 | |
| | | | 710,932 | |
| | Gabon (2) — 0.2% | | | |
322 | | Total Gabon | | 135,548 | |
| | | | | |
| | Germany (2) — 1.0% | | | |
1,157 | | Aixtron | | 16,385 | |
3,379 | | BASF | | 246,708 | |
1,798 | | Gerry Weber International | | 55,831 | |
4,252 | | K+S | | 269,491 | |
1,088 | | SMA Solar Technology | | 65,407 | |
385 | | Wacker Chemie | | 38,759 | |
| | | | 692,581 | |
| | Greece (2) — 0.2% | | | |
11,957 | | OPAP | | 138,127 | |
| | | | | |
| | Hong Kong (2) — 2.9% | | | |
11,900 | | ASM Pacific Technology | | 130,678 | |
8,000 | | Cheung Kong Holdings | | 99,171 | |
21,500 | | China Mobile | | 204,351 | |
157,000 | | CNOOC | | 296,798 | |
30,000 | | Great Eagle Holdings | | 66,631 | |
29,500 | | Hopewell Holdings | | 76,614 | |
3,600 | | Jardine Matheson Holdings | | 181,435 | |
35,500 | | Kerry Properties | | 130,288 | |
69,000 | | Lonking Holdings | | 27,131 | |
106,000 | | SmarTone Telecommunications Holding | | 195,786 | |
112,000 | | Texwinca Holdings | | 141,900 | |
16,600 | | VTech Holdings | | 155,005 | |
22,000 | | Wharf Holdings | | 117,028 | |
122,000 | | Xinyi Glass Holdings | | 76,870 | |
58,500 | | XTEP International Holdings | | 22,646 | |
| | | | 1,922,332 | |
| | Indonesia (2) — 0.8% | | | |
214,000 | | International Nickel Indonesia | | 87,271 | |
375,500 | | Perusahaan Gas Negara | | 123,896 | |
14,500 | | Surya Citra Media | | 10,328 | |
73,000 | | Tambang Batubara Bukit Asam | | 149,742 | |
192,500 | | Telekomunikasi Indonesia | | 160,588 | |
| | | | 531,825 | |
| | Ireland — 0.4% | | | |
4,000 | | Accenture Class A | | 241,040 | |
| | | | | |
| | Israel (2) — 1.2% | | | |
24,481 | | Bank Hapoalim | | 94,995 | |
77,269 | | Bezeq Israeli Telecommunication | | 163,466 | |
2,685 | | Cellcom Israel | | 59,217 | |
3,070 | | First International Bank of Israel (1) | | 32,027 | |
22,586 | | Israel Chemicals | | 268,112 | |
7,518 | | Osem Investments | | 104,272 | |
7,644 | | Partner Communications | | 90,862 | |
| | | | 812,951 | |
| | Italy (2) — 0.4% | | | |
20,380 | | Recordati | | 177,460 | |
2,650 | | Saipem | | 118,435 | |
| | | | 295,895 | |
| | Japan (2) — 7.2% | | | |
2,400 | | Aeon Mall | | 55,670 | |
28,000 | | Bank of Yokohama | | 128,261 | |
1,700 | | Cosmos Pharmaceutical | | 78,892 | |
19,000 | | Daiwa House Industry | | 238,209 | |
668 | | Dena | | 28,847 | |
2,400 | | FCC | | 50,734 | |
26,000 | | Gunma Bank | | 133,133 | |
7,600 | | Heiwa | | 126,004 | |
15,000 | | Higo Bank | | 81,941 | |
1,100 | | Hisamitsu Pharmaceutical | | 44,285 | |
5,800 | | Hoya | | 126,776 | |
9,000 | | JGC | | 253,679 | |
10,000 | | Kaken Pharmaceutical | | 125,581 | |
53 | | KDDI | | 388,443 | |
2,000 | | K’s Holdings | | 84,030 | |
4,600 | | Kurita Water Industries | | 126,736 | |
8,000 | | Kyowa Hakko Kirin | | 90,206 | |
3,600 | | Lawson | | 202,675 | |
3,900 | | Miraca Holdings | | 148,813 | |
43,100 | | Mitsubishi UFJ Financial Group | | 187,406 | |
12,000 | | Nippon Electric Glass | | 107,710 | |
750 | | Nitori Holdings | | 71,764 | |
1,300 | | Nitto Denko | | 54,639 | |
151 | | NTT DoCoMo | | 268,320 | |
1,690 | | ORIX | | 147,571 | |
1,370 | | Point | | 59,121 | |
12,000 | | San-In Godo Bank | | 87,278 | |
5,000 | | Santen Pharmaceutical | | 186,663 | |
1,400 | | Shimamura | | 140,086 | |
The accompanying notes are an integral part of the financial statements.
60
Shares | | | | Value $ | |
| | | | | |
4,200 | | Sugi Holdings | | 109,666 | |
7,000 | | Sumitomo Mitsui Financial Group | | 195,761 | |
1,900 | | Sundrug | | 56,100 | |
6,600 | | Takeda Pharmaceutical | | 297,689 | |
11 | | Tokyu REIT | | 57,999 | |
1,600 | | Tsuruha Holdings | | 81,786 | |
2,800 | | Unipres | | 76,414 | |
1,660 | | Yamada Denki | | 119,440 | |
| | | | 4,818,328 | |
| | Malaysia (2) — 0.2% | | | |
6,500 | | DiGi.com | | 66,953 | |
15,700 | | Petronas Gas | | 66,822 | |
| | | | 133,775 | |
| | Mexico — 0.5% | | | |
1,800 | | America Movil ADR | | 45,756 | |
97,800 | | Grupo Mexico | | 271,226 | |
650 | | Industrias Penoles | | 26,546 | |
3,100 | | Kimberly-Clark de Mexico | | 17,653 | |
| | | | 361,181 | |
| | Netherlands (2) — 0.6% | | | |
2,289 | | ASM International | | 64,459 | |
5,096 | | ASML Holding | | 213,819 | |
2,879 | | Royal Dutch Shell Class A | | 102,007 | |
| | | | 380,285 | |
| | Norway (2) — 1.5% | | | |
5,695 | | Fred Olsen Energy | | 191,275 | |
4,027 | | Kongsberg Gruppen | | 86,426 | |
3,026 | | Leroy Seafood Group | | 46,882 | |
209,228 | | Marine Harvest | | 93,367 | |
10,016 | | Statoil | | 254,462 | |
14,127 | | Storebrand | | 86,416 | |
6,730 | | TGS Nopec Geophysical | | 152,642 | |
2,293 | | Yara International | | 108,569 | |
| | | | 1,020,039 | |
| | Philippines — 0.9% | | | |
70,900 | | Aboitiz Equity Ventures (2) | | 67,714 | |
184,900 | | Aboitiz Power (2) | | 127,618 | |
108,800 | | DMCI Holdings (2) | | 98,244 | |
3,500 | | Philippine Long Distance Telephone ADR | | 194,390 | |
16,970 | | Semirara Mining (2) | | 84,257 | |
| | | | 572,223 | |
| | Poland (2) — 0.3% | | | |
4,612 | | KGHM Polska Miedz | | 222,696 | |
| | | | | |
| | Russia — 0.1% | | | |
4,800 | | CTC Media | | 55,248 | |
| | | | | |
| | Singapore (2) — 1.4% | | | |
8,000 | | Jardine Cycle & Carriage | | 287,516 | |
89,000 | | M1 | | 173,777 | |
9,000 | | Singapore Land | | 41,927 | |
63,000 | | Singapore Post | | 51,289 | |
70,000 | | Singapore Telecommunications | | 176,939 | |
40,000 | | StarHub | | 89,507 | |
11,000 | | Straits Asia Resources | | 20,543 | |
32,000 | | UOL Group | | 113,101 | |
7,000 | | Wheelock Properties Singapore | | 8,909 | |
| | | | 963,508 | |
| | South Africa (2) — 1.3% | | | |
5,622 | | Adcock Ingram Holdings | | 43,535 | |
9,637 | | African Bank Investments | | 41,866 | |
4,277 | | African Rainbow Minerals | | 98,989 | |
31,479 | | AVI | | 141,825 | |
26,245 | | FirstRand | | 65,388 | |
1,866 | | Kumba Iron Ore | | 110,914 | |
9,030 | | MTN Group | | 157,924 | |
11,178 | | Sanlam | | 42,037 | |
1,457 | | Sasol | | 65,932 | |
7,271 | | Vodacom Group | | 82,535 | |
3,586 | | Wilson Bayly Holmes-Ovcon | | 48,930 | |
| | | | 899,875 | |
| | South Korea (2) — 0.8% | | | |
991 | | Hyundai Department Store | | 141,619 | |
236 | | Hyundai Heavy Industries | | 62,844 | |
372 | | Hyundai Motor | | 74,670 | |
2,140 | | KP Chemical | | 30,089 | |
3,096 | | KT&G | | 193,038 | |
| | | | 502,260 | |
| | Spain (2) — 0.7% | | | |
8,248 | | Antena 3 de Television | | 49,397 | |
4,891 | | Duro Felguera | | 32,728 | |
3,484 | | Enagas | | 68,523 | |
2,077 | | Grupo Catalana Occidente | | 38,286 | |
1,400 | | Prosegur Cia de Seguridad | | 69,620 | |
940 | | Red Electrica | | 45,293 | |
2,484 | | Viscofan | | 95,398 | |
3,226 | | Zardoya Otis | | 43,470 | |
| | | | 442,715 | |
| | Sweden (2) — 0.6% | | | |
4,816 | | Axfood | | 182,797 | |
3,063 | | Getinge | | 79,531 | |
3,365 | | Intrum Justitia | | 55,263 | |
2,907 | | SKF Class B | | 64,485 | |
| | | | 382,076 | |
| | Switzerland — 1.4% | | | |
3,900 | | ACE | | 281,385 | |
2,100 | | Allied World Assurance Holdings | | 122,010 | |
16,635 | | Ferrexpo (2) | | 85,640 | |
1,193 | | Meyer Burger Technology (1) (2) | | 28,576 | |
2,064 | | Novartis (2) | | 116,356 | |
324 | | Partners Group Holding (2) | | 60,650 | |
The accompanying notes are an integral part of the financial statements.
61
Shares | | | | Value $ | |
| | | | | |
1,631 | | Roche Holding (2) | | 267,780 | |
| | | | 962,397 | |
| | Taiwan — 1.1% | | | |
32,000 | | Chicony Electronics (2) | | 53,493 | |
10,100 | | HTC (2) | | 227,074 | |
23,100 | | Powertech Technology (2) | | 56,261 | |
26,000 | | Radiant Opto-Electronics (2) | | 76,454 | |
19,700 | | Taiwan Mobile (2) | | 56,473 | |
5,000 | | Taiwan Prosperity Chemical (2) | | 14,284 | |
5,400 | | Taiwan Semiconductor Manufacturing ADR | | 68,148 | |
18,870 | | Tripod Technology (2) | | 49,112 | |
56,500 | | TSRC (2) | | 146,744 | |
| | | | 748,043 | |
| | Thailand (2) — 0.8% | | | |
44,400 | | Advanced Info Service NVDR | | 187,318 | |
1,650 | | Banpu NVDR | | 33,411 | |
46,900 | | PTT Exploration & Production NVDR | | 243,807 | |
8,300 | | Siam Makro NVDR | | 55,818 | |
| | | | 520,354 | |
| | Turkey (2) — 0.5% | | | |
7,173 | | Ford Otomotiv Sanayi | | 52,191 | |
12,695 | | Trakya Cam Sanayi | | 20,365 | |
17,304 | | Turk Telekomunikasyon | | 73,281 | |
2,978 | | Turk Traktor ve Ziraat Makineleri | | 55,405 | |
23,873 | | Turkiye Is Bankasi Class C | | 55,537 | |
48,819 | | Turkiye Sinai Kalkinma Bankasi | | 54,625 | |
| | | | 311,404 | |
| | United Kingdom (2) — 9.7% | | | |
26,992 | | Aberdeen Asset Management | | 83,127 | |
4,464 | | African Barrick Gold | | 38,671 | |
16,922 | | AMEC | | 250,823 | |
15,722 | | Antofagasta | | 292,675 | |
13,266 | | Ashmore Group | | 73,496 | |
10,179 | | AstraZeneca | | 488,779 | |
28,462 | | BAE Systems | | 126,243 | |
26,069 | | Beazley | | 52,598 | |
9,521 | | BHP Billiton | | 299,869 | |
7,321 | | British American Tobacco | | 335,735 | |
19,447 | | Bunzl | | 251,607 | |
49,425 | | Cairn Energy (1) | | 233,470 | |
5,878 | | Capita Group | | 68,594 | |
32,953 | | Compass Group | | 299,298 | |
921 | | Croda International | | 25,897 | |
10,171 | | Domino Printing Sciences | | 93,723 | |
19,993 | | Drax Group | | 174,074 | |
11,126 | | Electrocomponents | | 39,146 | |
3,121 | | Eurasian Natural Resources | | 32,880 | |
1,398 | | Fidessa Group | | 36,496 | |
17,746 | | Halfords Group | | 93,080 | |
32,387 | | Halma | | 174,071 | |
34,264 | | HSBC Holdings | | 299,021 | |
7,669 | | IG Group Holdings | | 57,199 | |
12,847 | | IMI | | 169,347 | |
34,960 | | Mitie Group | | 141,122 | |
19,545 | | N Brown Group | | 82,839 | |
5,643 | | Next | | 231,329 | |
6,253 | | Petrofac | | 143,664 | |
32,883 | | Premier Farnell | | 92,272 | |
29,721 | | Prudential | | 307,050 | |
4,426 | | Reckitt Benckiser Group | | 227,229 | |
5,377 | | Rio Tinto | | 290,946 | |
12,602 | | Sage Group | | 56,215 | |
10,827 | | Smith & Nephew | | 99,120 | |
1,859 | | Spirax-Sarco Engineering | | 57,118 | |
10,050 | | Standard Chartered | | 234,555 | |
38,164 | | Tesco | | 246,106 | |
1,209 | | Victrex | | 24,597 | |
7,954 | | WH Smith | | 69,980 | |
3,361 | | Xstrata | | 55,993 | |
| | | | 6,450,054 | |
| | United States — 45.3% | | | |
| | Consumer Discretionary — 4.9% | | | |
3,700 | | Advance Auto Parts | | 240,759 | |
4,500 | | Aeropostale (1) | | 61,470 | |
4,600 | | Apollo Group Class A (1) | | 217,810 | |
1,100 | | Bed Bath & Beyond (1) | | 68,024 | |
8,600 | | Best Buy | | 225,578 | |
2,200 | | Buckle | | 98,032 | |
2,900 | | Career Education (1) | | 46,777 | |
5,200 | | Darden Restaurants | | 248,976 | |
3,900 | | DeVry | | 146,952 | |
2,500 | | DIRECTV (1) | | 113,650 | |
4,800 | | GameStop Class A (1) | | 122,736 | |
4,600 | | Gap | | 86,940 | |
4,400 | | Guess? | | 145,156 | |
1,700 | | ITT Educational Services (1) | | 105,332 | |
1,500 | | John Wiley & Sons Class A | | 71,340 | |
800 | | JOS A Bank Clothiers (1) | | 42,752 | |
4,300 | | Limited Brands | | 183,653 | |
10,300 | | Mattel | | 290,872 | |
1,000 | | McDonald’s | | 92,850 | |
5,100 | | McGraw-Hill | | 216,750 | |
2,000 | | PetSmart | | 93,900 | |
900 | | Ross Stores | | 78,957 | |
900 | | Strayer Education | | 76,689 | |
1,100 | | TJX | | 64,823 | |
1,600 | | Tupperware Brands | | 90,464 | |
| | | | 3,231,242 | |
| | Consumer Staples — 4.3% | | | |
600 | | Brown-Forman Class B | | 44,838 | |
6,600 | | Campbell Soup | | 219,450 | |
5,100 | | Coca-Cola | | 348,432 | |
3,800 | | Colgate-Palmolive | | 343,406 | |
The accompanying notes are an integral part of the financial statements.
62
Shares | | | | Value $ | |
| | | | | |
4,100 | | General Mills | | 157,973 | |
1,300 | | Hershey | | 74,399 | |
5,600 | | HJ Heinz | | 299,264 | |
4,400 | | Hormel Foods | | 129,668 | |
10,000 | | Kroger | | 231,800 | |
1,300 | | Lorillard | | 143,858 | |
2,600 | | McCormick | | 126,256 | |
800 | | Nu Skin Enterprises Class A | | 40,424 | |
1,200 | | Philip Morris International | | 83,844 | |
3,600 | | Ruddick | | 157,356 | |
4,500 | | Walgreen | | 149,400 | |
5,300 | | Wal-Mart Stores | | 300,616 | |
| | | | 2,850,984 | |
| | Energy — 5.5% | | | |
2,400 | | Alliance Resource Partners LP | | 182,232 | |
3,400 | | Apache | | 338,742 | |
2,900 | | Atwood Oceanics (1) | | 123,946 | |
900 | | BP Prudhoe Bay Royalty Trust | | 96,750 | |
2,700 | | Chevron | | 283,635 | |
1,600 | | Contango Oil & Gas (1) | | 102,944 | |
2,500 | | Devon Energy | | 162,375 | |
3,700 | | Diamond Offshore Drilling | | 242,498 | |
1,700 | | Energen | | 83,402 | |
3,500 | | ExxonMobil | | 273,315 | |
3,400 | | Halliburton | | 127,024 | |
4,600 | | Helmerich & Payne | | 244,628 | |
1,300 | | Hess | | 81,328 | |
11,300 | | Marathon Oil | | 294,139 | |
2,900 | | Murphy Oil | | 160,573 | |
6,200 | | Natural Resource Partners LP | | 183,520 | |
3,500 | | Occidental Petroleum | | 325,290 | |
5,400 | | Peabody Energy | | 234,198 | |
8,000 | | RPC | | 148,560 | |
| | | | 3,689,099 | |
| | Financials — 6.1% | | | |
5,700 | | Aflac | | 257,013 | |
2,900 | | Amtrust Financial Services | | 73,602 | |
3,900 | | Aon | | 181,818 | |
2,200 | | Bank of Hawaii | | 92,906 | |
4,800 | | Bank of New York Mellon | | 102,144 | |
8,330 | | Citigroup | | 263,145 | |
5,750 | | Commerce Bancshares | | 223,100 | |
700 | | Credit Acceptance (1) | | 48,244 | |
4,200 | | Delphi Financial Group Class A | | 111,216 | |
7,500 | | Federated Investors Class B | | 146,550 | |
10,400 | | Fifth Third Bancorp | | 124,904 | |
2,500 | | FirstMerit | | 35,025 | |
2,200 | | Franklin Resources | | 234,586 | |
2,300 | | Goldman Sachs Group | | 251,965 | |
4,700 | | HCC Insurance Holdings | | 125,067 | |
23,300 | | Huntington Bancshares | | 120,694 | |
7,900 | | JPMorgan Chase | | 274,604 | |
32,600 | | KeyCorp | | 230,156 | |
4,100 | | Northern Trust | | 165,927 | |
4,700 | | PNC Financial Services Group | | 252,437 | |
800 | | Portfolio Recovery Associates (1) | | 56,112 | |
700 | | ProAssurance | | 53,585 | |
900 | | PS Business Parks REIT | | 47,907 | |
1,200 | | Rayonier REIT | | 50,076 | |
600 | | StanCorp Financial Group | | 20,364 | |
3,400 | | State Street | | 137,326 | |
700 | | T. Rowe Price Group | | 36,988 | |
4,100 | | TD Ameritrade Holding | | 68,798 | |
2,900 | | Trustmark | | 64,206 | |
2,200 | | Waddell & Reed Financial Class A | | 61,006 | |
7,000 | | Wells Fargo | | 181,370 | |
| | | | 4,092,841 | |
| | Healthcare — 9.0% | | | |
9,000 | | Abbott Laboratories | | 484,830 | |
1,200 | | AMERIGROUP (1) | | 66,756 | |
7,400 | | AmerisourceBergen | | 301,920 | |
7,000 | | Baxter International | | 384,860 | |
5,300 | | Becton Dickinson | | 414,619 | |
5,400 | | Bristol-Myers Squibb | | 170,586 | |
1,300 | | Chemed | | 77,168 | |
3,200 | | CIGNA | | 141,888 | |
1,100 | | CR Bard | | 94,545 | |
3,500 | | DaVita (1) | | 245,000 | |
11,700 | | Eli Lilly | | 434,772 | |
3,300 | | Express Scripts (1) | | 150,909 | |
7,200 | | Gilead Sciences (1) | | 299,952 | |
1,600 | | Henry Schein (1) | | 110,912 | |
2,500 | | Humana | | 212,225 | |
7,400 | | Johnson & Johnson | | 476,486 | |
3,400 | | Laboratory Corp. of America Holdings (1) | | 285,090 | |
6,600 | | Lincare Holdings | | 155,430 | |
1,300 | | Magellan Health Services (1) | | 66,911 | |
8,700 | | Medtronic | | 302,238 | |
100 | | Mettler-Toledo International (1) | | 15,360 | |
5,500 | | Patterson | | 173,085 | |
4,200 | | PSS World Medical (1) | | 93,450 | |
400 | | Quality Systems | | 15,564 | |
8,300 | | St. Jude Medical | | 323,700 | |
2,900 | | Stryker | | 138,939 | |
6,000 | | UnitedHealth Group | | 287,940 | |
1,200 | | Varian Medical Systems (1) | | 70,464 | |
300 | | Waters (1) | | 24,036 | |
| | | | 6,019,635 | |
| | Industrials — 4.4% | | | |
3,600 | | 3M | | 284,472 | |
9,600 | | Applied Materials | | 118,272 | |
13,700 | | CSX | | 304,277 | |
800 | | Cubic | | 37,696 | |
600 | | Cummins | | 59,658 | |
3,400 | | Deluxe | | 80,308 | |
2,300 | | Dover | | 127,719 | |
3,600 | | Emerson Electric | | 173,232 | |
4,700 | | General Dynamics | | 301,693 | |
4,100 | | Kla-Tencor | | 193,069 | |
The accompanying notes are an integral part of the financial statements.
63
Shares | | | | Value $ | |
| | | | | |
3,800 | | Lockheed Martin | | 288,420 | |
1,700 | | Parker Hannifin | | 138,635 | |
2,100 | | Rockwell Automation | | 142,065 | |
500 | | Rockwell Collins | | 27,915 | |
2,800 | | Union Pacific | | 278,796 | |
1,700 | | United Parcel Service Class B | | 119,408 | |
3,600 | | United Technologies | | 280,728 | |
| | | | 2,956,363 | |
| | Information Technology — 8.3% | | | |
3,500 | | Altera | | 132,720 | |
7,000 | | Analog Devices | | 255,990 | |
1,100 | | Apple (1) | | 445,258 | |
5,700 | | BMC Software (1) | | 198,132 | |
3,200 | | Broadridge Financial Solutions | | 71,200 | |
15,700 | | CA | | 340,062 | |
2,100 | | CACI International Class A (1) | | 115,269 | |
16,200 | | Dell (1) | | 256,122 | |
7,700 | | Harris | | 290,675 | |
16,300 | | Hewlett-Packard | | 433,743 | |
17,500 | | Intel | | 429,450 | |
2,200 | | International Business Machines | | 406,186 | |
400 | | Intuit | | 21,468 | |
4,300 | | j2 Global Communications | | 132,354 | |
400 | | Jack Henry & Associates | | 12,964 | |
3,100 | | Lexmark International Class A | | 98,270 | |
4,100 | | Linear Technology | | 132,471 | |
1,800 | | Mantech International Class A | | 63,234 | |
4,600 | | Maxim Integrated Products | | 120,336 | |
2,600 | | Microchip Technology | | 94,016 | |
16,500 | | Microsoft | | 439,395 | |
1,700 | | NeuStar Class A (1) | | 54,043 | |
10,500 | | Oracle | | 344,085 | |
700 | | Paychex | | 20,398 | |
6,500 | | QLogic (1) | | 90,805 | |
300 | | Syntel | | 14,670 | |
9,400 | | Teradyne (1) | | 134,608 | |
4,900 | | Texas Instruments | | 150,577 | |
7,000 | | Vishay Intertechnology (1) | | 75,250 | |
5,100 | | Xilinx | | 170,646 | |
| | | | 5,544,397 | |
| | Materials — 2.4% | | | |
1,400 | | Aptargroup | | 67,158 | |
3,700 | | Ball | | 127,909 | |
700 | | CF Industries Holdings | | 113,589 | |
4,300 | | Cliffs Natural Resources | | 293,346 | |
7,900 | | Freeport-McMoRan Copper & Gold | | 318,054 | |
4,700 | | Mosaic | | 275,232 | |
500 | | NewMarket | | 97,070 | |
3,300 | | Newmont Mining | | 220,539 | |
1,300 | | Southern Copper | | 39,884 | |
100 | | Terra Nitrogen LP | | 17,039 | |
| | | | 1,569,820 | |
| | Utilities — 0.4% | | | |
2,700 | | Aqua America | | 59,913 | |
2,000 | | El Paso Electric | | 64,060 | |
2,500 | | Exelon | | 110,975 | |
| | | | 234,948 | |
| | Total United States | | 30,189,329 | |
| | TOTAL COMMON STOCK
(Cost $66,454,399) | | 65,342,305 | |
| | | | | |
| | PREFERRED STOCK — 0.6% | | | |
| | | | | |
| | Brazil — 0.5% | | | |
6,200 | | AES Tiete | | 88,783 | |
2,400 | | Cia de Bebidas das Americas ADR | | 80,928 | |
2,000 | | Cia de Gas de Sao Paulo | | 40,897 | |
3,000 | | Cia Energetica de Minas Gerais ADR | | 51,120 | |
2,800 | | Vale ADR | | 66,080 | |
| | | | 327,808 | |
| | Germany (2)— 0.1% | | | |
1,878 | | Fuchs Petrolub | | 92,076 | |
| | | | | |
| | TOTAL PREFERRED STOCK
(Cost $416,158) | | 419,884 | |
The accompanying notes are an integral part of the financial statements.
64
Shares | | | | Value $ | |
| | | | | |
| | SHORT-TERM INVESTMENT (3) — 0.5% | | | |
306,310 | | JPMorgan Prime Money Market Fund, 0.020%
(Cost $306,310) | | 306,310 | |
| | | | | |
| | TOTAL INVESTMENTS — 99.2%
(Cost $67,176,867) | | 66,068,499 | |
| | OTHER ASSETS LESS LIABILITIES — 0.8% | | 566,100 | |
| | | | | |
| | NET ASSETS — 100% | | $ | 66,634,599 | |
| | | | | | |
(1) | Denotes non-income producing security. |
(2) | Security is fair valued. (See Note 2 in Notes to Financial Statements.) |
(3) | The rate shown represents the 7-day current yield as of October 31, 2011. |
The accompanying notes are an integral part of the financial statements.
65
A summary of the outstanding forward foreign currency contracts held by the Fund at October 31, 2011, is as follows:
| | | | | | | | | | | | Unrealized | |
| | | | | | Currency to | | Appreciation | |
Counterparty | | Settlement Date | | Currency to Deliver | | Receive | | (Depreciation) | |
Barclays Capital | | 12/1/11 | | ZAR | | 3,078,600 | | USD | | 376,745 | | $ | (11,937 | ) |
JPMorgan | | 12/1/11 | | USD | | 234,980 | | TRY | | 426,900 | | 5,099 | |
JPMorgan | | 12/1/11 | | USD | | 173,187 | | ZAR | | 1,370,700 | | (133 | ) |
State Street Bank | | 12/1/11 | | TRY | | 811,800 | | USD | | 431,737 | | (24,801 | ) |
State Street Bank | | 12/1/11 | | USD | | 220,178 | | ZAR | | 1,707,900 | | (4,550 | ) |
| | | | | | | | | | | | $ | (36,322 | ) |
ADR — American Depositary Receipt
LP — Limited Partnership
NVDR — Non Voting Depositary Receipt
REIT — Real Estate Investment Trust
TRY — Turkish Lira
USD — United States Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of October 31, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities | | | | | | | | | |
Common Stock (1) | | | | | | | | | |
Australia | | $ | — | | $ | 2,099,836 | | $ | — | | $ | 2,099,836 | |
Austria | | — | | 52,942 | | — | | 52,942 | |
Belgium | | — | | 623,539 | | — | | 623,539 | |
Bermuda | | 248,193 | | 259,616 | | — | | 507,809 | |
Brazil | | 402,502 | | — | | — | | 402,502 | |
British Virgin Islands | | 40,500 | | — | | — | | 40,500 | |
Canada | | 4,032,036 | | — | | — | | 4,032,036 | |
Cayman Islands | | — | | 67,467 | | — | | 67,467 | |
Chile | | 312,881 | | — | | — | | 312,881 | |
China | | — | | 905,528 | | — | | 905,528 | |
Czech Republic | | — | | 65,498 | | — | | 65,498 | |
Denmark | | — | | 507,010 | | — | | 507,010 | |
Finland | | — | | 307,736 | | — | | 307,736 | |
France | | — | | 710,932 | | — | | 710,932 | |
Gabon | | — | | 135,548 | | — | | 135,548 | |
Germany | | — | | 692,581 | | — | | 692,581 | |
Greece | | — | | 138,127 | | — | | 138,127 | |
Hong Kong | | — | | 1,922,332 | | — | | 1,922,332 | |
Indonesia | | — | | 531,825 | | — | | 531,825 | |
Ireland | | 241,040 | | — | | — | | 241,040 | |
Israel | | — | | 812,951 | | — | | 812,951 | |
Italy | | — | | 295,895 | | — | | 295,895 | |
Japan | | — | | 4,818,328 | | — | | 4,818,328 | |
Malaysia | | — | | 133,775 | | — | | 133,775 | |
Mexico | | 361,181 | | — | | — | | 361,181 | |
Netherlands | | — | | 380,285 | | — | | 380,285 | |
Norway | | — | | 1,020,039 | | — | | 1,020,039 | |
Philippines | | 194,390 | | 377,833 | | — | | 572,223 | |
Poland | | — | | 222,696 | | — | | 222,696 | |
Russia | | 55,248 | | — | | — | | 55,248 | |
Singapore | | — | | 963,508 | | — | | 963,508 | |
| | | | | | | | | | | | | |
The accompanying notes are an integral part of the financial statements.
66
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities (concluded) | | | | | | | | | | | | | |
South Africa | | $ | — | | $ | 899,875 | | $ | — | | $ | 899,875 | |
South Korea | | — | | 502,260 | | — | | 502,260 | |
Spain | | — | | 442,715 | | — | | 442,715 | |
Sweden | | — | | 382,076 | | — | | 382,076 | |
Switzerland | | 403,395 | | 559,002 | | — | | 962,397 | |
Taiwan | | 68,148 | | 679,895 | | — | | 748,043 | |
Thailand | | — | | 520,354 | | — | | 520,354 | |
Turkey | | — | | 311,404 | | — | | 311,404 | |
United Kingdom | | — | | 6,450,054 | | — | | 6,450,054 | |
United States | | | | | | | | | |
Consumer Discretionary | | 3,231,242 | | — | | — | | 3,231,242 | |
Consumer Staples | | 2,850,984 | | — | | — | | 2,850,984 | |
Energy | | 3,689,099 | | — | | — | | 3,689,099 | |
Financials | | 4,092,841 | | — | | — | | 4,092,841 | |
Healthcare | | 6,019,635 | | — | | — | | 6,019,635 | |
Industrials | | 2,956,363 | | — | | — | | 2,956,363 | |
Information Technology | | 5,544,397 | | — | | — | | 5,544,397 | |
Materials | | 1,569,820 | | — | | — | | 1,569,820 | |
Utilities | | 234,948 | | — | | — | | 234,948 | |
| | 30,189,329 | | — | | — | | 30,189,329 | |
Total Common Stock | | $ | 36,548,843 | | $ | 28,793,462 | | $ | — | | $ | 65,342,305 | |
| | | | | | | | | |
Preferred Stock | | | | | | | | | |
Brazil | | 327,808 | | — | | — | | 327,808 | |
Germany | | — | | 92,076 | | — | | 92,076 | |
Total Preferred Stock | | 327,808 | | 92,076 | | — | | 419,884 | |
| | | | | | | | | |
Short-Term Investment | | 306,310 | | — | | — | | 306,310 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 37,182,961 | | $ | 28,885,538 | | $ | — | | $ | 66,068,499 | |
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Other Financial Instruments | | | | | | | | | | | | | |
Forwards—Unrealized Appreciation | | $ | — | | $ | 5,099 | | $ | — | | $ | 5,099 | |
Forwards—Unrealized Depreciation | | — | | (41,421 | ) | — | | (41,421 | ) |
Total Other Financial Instruments | | $ | — | | $ | (36,322 | ) | $ | — | | $ | (36,322 | ) |
(1) The primary reason for changes in the classification 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 accompanying notes are an integral part of the financial statements.
67
Schroder Total Return Fixed Income Fund
Schedule of Investments
October 31, 2011
Principal
Amount ($) | | | | Value $ | |
| | | | | |
| | CORPORATE OBLIGATIONS — 43.3% | | | |
| | Abbott Laboratories | | | |
75,000 | | 4.125%, 05/27/20 | | 82,581 | |
| | Agrium | | | |
105,000 | | 6.125%, 01/15/41 | | 126,984 | |
| | Air Canada (1) | | | |
190,000 | | 9.250%, 08/01/15 | | 182,875 | |
| | Alliance One International | | | |
200,000 | | 10.000%, 07/15/16 | | 174,000 | |
| | Altria Group | | | |
90,000 | | 9.950%, 11/10/38 | | 137,153 | |
| | America Movil | | | |
205,000 | | 2.375%, 09/08/16 | | 206,721 | |
| | American Axle & Manufacturing | | | |
220,000 | | 7.750%, 11/15/19 | | 220,275 | |
| | Anheuser-Busch InBev Worldwide | | | |
20,000 | | 7.750%, 01/15/19 | | 26,185 | |
280,000 | | 5.375%, 11/15/14 | | 315,237 | |
| | ArcelorMittal | | | |
50,000 | | 6.125%, 06/01/18 | | 51,425 | |
| | AT&T | | | |
65,000 | | 6.550%, 02/15/39 | | 81,660 | |
420,000 | | 3.875%, 08/15/21 | | 438,249 | |
| | Atmos Energy | | | |
65,000 | | 8.500%, 03/15/19 | | 86,940 | |
| | Audatex North America (1) | | | |
220,000 | | 6.750%, 06/15/18 | | 224,400 | |
| | Avis Budget Car Rental LLC | | | |
195,000 | | 8.250%, 01/15/19 | | 195,488 | |
| | Bank of America MTN | | | |
670,000 | | 5.650%, 05/01/18 | | 671,800 | |
| | Bank of Montreal (1) | | | |
1,335,000 | | 2.850%, 06/09/15 | | 1,397,518 | |
625,000 | | 2.625%, 01/25/16 | | 648,951 | |
| | Bank of Nova Scotia (1) | | | |
2,170,000 | | 1.450%, 07/26/13 | | 2,188,990 | |
| | BG Energy Capital (1) | | | |
365,000 | | 4.000%, 10/15/21 | | 377,112 | |
| | Bombardier (1) | | | |
225,000 | | 7.750%, 03/15/20 | | 248,625 | |
| | Camden Property Trust | | | |
185,000 | | 4.625%, 06/15/21 | | 185,346 | |
| | Canadian Imperial Bank of Commerce (1) | | | |
935,000 | | 2.600%, 07/02/15 | | 968,914 | |
1,100,000 | | 2.000%, 02/04/13 | | 1,115,489 | |
| | Case New Holland | | | |
140,000 | | 7.750%, 09/01/13 | | 149,800 | |
| | Caterpillar Financial Services | | | |
185,000 | | 1.375%, 05/20/14 | | 186,684 | |
| | CCO Holdings LLC | | | |
80,000 | | 7.000%, 01/15/19 | | 83,400 | |
| | Centrais Eletricas Brasileiras (1) | | | |
230,000 | | 5.750%, 10/27/21 | | 240,350 | |
| | CenturyLink | | | |
185,000 | | 6.450%, 06/15/21 | | 185,640 | |
| | Cequel Communications Holding I LLC (1) | | | |
175,000 | | 8.625%, 11/15/17 | | 183,750 | |
| | Chesapeake Energy | | | |
185,000 | | 6.625%, 08/15/20 | | 201,419 | |
| | Chesapeake Oilfield Operating LLC (1) | | | |
260,000 | | 6.625%, 11/15/19 | | 267,800 | |
| | Chrysler Group LLC (1) | | | |
215,000 | | 8.250%, 06/15/21 | | 197,800 | |
| | Citigroup | | | |
340,000 | | 3.953%, 06/15/16 | | 348,472 | |
| | CNA Financial | | | |
140,000 | | 7.350%, 11/15/19 | | 154,530 | |
| | Coca-Cola (1) | | | |
220,000 | | 1.800%, 09/01/16 | | 219,743 | |
| | Consolidated Edison of New York | | | |
45,000 | | 4.450%, 06/15/20 | | 50,539 | |
| | Continental Airlines (1) | | | |
135,000 | | 6.750%, 09/15/15 | | 136,012 | |
| | CSX | | | |
95,000 | | 6.150%, 05/01/37 | | 116,054 | |
165,000 | | 4.750%, 05/30/42 | | 169,436 | |
270,000 | | 3.700%, 10/30/20 | | 278,343 | |
| | CVS Caremark | | | |
250,000 | | 6.125%, 09/15/39 | | 304,743 | |
165,000 | | 5.750%, 06/01/17 | | 192,894 | |
| | Danske Bank (1) | | | |
515,000 | | 3.875%, 04/14/16 | | 507,546 | |
| | DaVita | | | |
210,000 | | 6.375%, 11/01/18 | | 212,625 | |
| | Delhaize Group | | | |
165,000 | | 5.700%, 10/01/40 | | 170,813 | |
| | Delta Air Lines (1) | | | |
141,000 | | 9.500%, 09/15/14 | | 150,165 | |
| | Deutsche Telekom International Finance | | | |
90,000 | | 8.750%, 06/15/30 | | 127,181 | |
| | Digital Realty Trust LP | | | |
230,000 | | 5.875%, 02/01/20 | | 237,943 | |
140,000 | | 5.250%, 03/15/21 | | 136,954 | |
| | DIRECTV Holdings LLC | | | |
540,000 | | 6.375%, 03/01/41 | | 647,312 | |
| | Dow Chemical | | | |
105,000 | | 4.250%, 11/15/20 | | 108,380 | |
| | Duke Energy Carolinas LLC | | | |
30,000 | | 4.300%, 06/15/20 | | 33,914 | |
| | DuPont Fabros Technology LP | | | |
The accompanying notes are an integral part of the financial statements.
68
Principal
Amount ($) | | | | Value $ | |
| | | | | |
200,000 | | 8.500%, 12/15/17 | | 215,000 | |
| | El Paso Pipeline Partners Operating LLC | | | |
165,000 | | 6.500%, 04/01/20 | | 183,536 | |
| | Enterprise Products Operating LLC | | | |
60,000 | | 6.125%, 10/15/39 | | 69,641 | |
| | EQT | | | |
30,000 | | 8.125%, 06/01/19 | | 35,747 | |
| | Equinix | | | |
195,000 | | 7.000%, 07/15/21 | | 208,163 | |
| | Express Scripts | | | |
145,000 | | 3.125%, 05/15/16 | | 148,453 | |
| | FMG Resources (1) | | | |
230,000 | | 8.250%, 11/01/19 | | 233,450 | |
| | Ford Motor Credit LLC | | | |
135,000 | | 6.625%, 08/15/17 | | 148,122 | |
| | General Electric Capital | | | |
255,000 | | 4.650%, 10/17/21 | | 263,205 | |
| | Gilead Sciences | | | |
205,000 | | 4.500%, 04/01/21 | | 221,653 | |
| | Goldman Sachs Group | | | |
190,000 | | 6.750%, 10/01/37 | | 183,110 | |
| | Hartford Financial Services Group | | | |
65,000 | | 5.500%, 03/30/20 | | 66,757 | |
| | Hess | | | |
135,000 | | 6.000%, 01/15/40 | | 161,394 | |
| | International Paper | | | |
100,000 | | 7.950%, 06/15/18 | | 120,181 | |
| | Jabil Circuit | | | |
200,000 | | 5.625%, 12/15/20 | | 203,000 | |
| | JPMorgan Chase Bank | | | |
475,000 | | 6.000%, 10/01/17 | | 512,238 | |
| | Kansas City Southern de Mexico | | | |
180,000 | | 6.625%, 12/15/20 | | 196,200 | |
| | Kinder Morgan Energy Partners LP | | | |
55,000 | | 6.500%, 09/01/39 | | 62,051 | |
| | Kohl’s | | | |
240,000 | | 4.000%, 11/01/21 | | 246,242 | |
| | Kraft Foods | | | |
60,000 | | 6.875%, 02/01/38 | | 80,831 | |
175,000 | | 6.875%, 01/26/39 | | 232,583 | |
65,000 | | 5.375%, 02/10/20 | | 75,044 | |
| | Lockheed Martin | | | |
305,000 | | 3.350%, 09/15/21 | | 308,061 | |
| | Macy’s Retail Holdings | | | |
140,000 | | 6.700%, 07/15/34 | | 154,156 | |
| | MarkWest Energy Partners | | | |
260,000 | | 6.250%, 06/15/22 | | 267,150 | |
| | McDonald’s | | | |
215,000 | | 6.300%, 03/01/38 | | 294,771 | |
| | McKesson | | | |
120,000 | | 7.500%, 02/15/19 | | 155,259 | |
| | Midamerican Energy Holdings | | | |
185,000 | | 5.750%, 04/01/18 | | 215,052 | |
| | Morgan Stanley (2) | | | |
470,000 | | 3.800%, 04/29/16 | | 455,182 | |
165,000 | | 2.016%, 01/24/14 | | 157,546 | |
| | Mosaic | | | |
50,000 | | 4.875%, 11/15/41 | | 51,349 | |
45,000 | | 3.750%, 11/15/21 | | 46,135 | |
| | National Bank of Canada (1) | | | |
820,000 | | 2.200%, 10/19/16 | | 830,208 | |
| | NBC Universal | | | |
235,000 | | 5.150%, 04/30/20 | | 264,558 | |
| | Nederlandse Waterschapsbank (1) | | | |
950,000 | | 1.375%, 05/16/14 | | 960,523 | |
| | Nevada Power, Series L | | | |
45,000 | | 5.875%, 01/15/15 | | 50,400 | |
| | Newmont Mining | | | |
100,000 | | 6.250%, 10/01/39 | | 125,674 | |
| | News America | | | |
265,000 | | 4.500%, 02/15/21 | | 277,271 | |
| | Nextel Communications, Series E | | | |
215,000 | | 6.875%, 10/31/13 | | 213,387 | |
| | Nisource Finance | | | |
80,000 | | 6.125%, 03/01/22 | | 92,458 | |
| | Noble Energy | | | |
95,000 | | 6.000%, 03/01/41 | | 110,899 | |
| | Nordstrom | | | |
125,000 | | 6.750%, 06/01/14 | | 140,880 | |
85,000 | | 4.750%, 05/01/20 | | 92,359 | |
| | Norfolk Southern | | | |
100,000 | | 5.900%, 06/15/19 | | 120,519 | |
| | Occidental Petroleum | | | |
95,000 | | 1.750%, 02/15/17 | | 95,646 | |
| | PepsiCo | | | |
150,000 | | 4.875%, 11/01/40 | | 173,654 | |
| | Petrobras International Finance | | | |
100,000 | | 5.750%, 01/20/20 | | 108,396 | |
| | Petrohawk Energy | | | |
125,000 | | 7.250%, 08/15/18 | | 143,750 | |
| | Plains All American Pipeline | | | |
30,000 | | 8.750%, 05/01/19 | | 38,476 | |
| | Precision Drilling (1) | | | |
240,000 | | 6.500%, 12/15/21 | | 254,400 | |
| | Prudential Financial | | | |
140,000 | | 4.750%, 09/17/15 | | 150,028 | |
| | Quest Diagnostics | | | |
150,000 | | 4.700%, 04/01/21 | | 160,839 | |
| | Qwest | | | |
60,000 | | 7.625%, 06/15/15 | | 66,900 | |
| | Rent-A-Center | | | |
200,000 | | 6.625%, 11/15/20 | | 202,000 | |
| | Republic Services | | | |
30,000 | | 5.250%, 11/15/21 | | 34,273 | |
| | Reynolds American | | | |
170,000 | | 7.625%, 06/01/16 | | 202,709 | |
65,000 | | 7.250%, 06/15/37 | | 73,010 | |
| | Reynolds Group Issuer LLC (1) | | | |
The accompanying notes are an integral part of the financial statements.
69
Principal
Amount ($) | | | | Value $ | |
| | | | | |
200,000 | | 7.125%, 04/15/19 | | 205,000 | |
| | Rio Tinto Finance USA | | | |
220,000 | | 3.500%, 11/02/20 | | 225,471 | |
| | Royal Bank of Canada (1) | | | |
500,000 | | 3.125%, 04/14/15 | | 524,994 | |
| | Royal Caribbean Cruises | | | |
175,000 | | 11.875%, 07/15/15 | | 208,688 | |
| | Sabra Health Care | | | |
200,000 | | 8.125%, 11/01/18 | | 198,000 | |
| | Seagate HDD Cayman (1) | | | |
205,000 | | 7.000%, 11/01/21 | | 201,925 | |
| | Senior Housing Properties Trust | | | |
185,000 | | 4.300%, 01/15/16 | | 183,692 | |
| | Southern Copper | | | |
160,000 | | 6.750%, 04/16/40 | | 169,296 | |
| | Sparebanken 1 Boligkreditt (1) | | | |
195,000 | | 1.250%, 10/25/13 | | 195,110 | |
| | SunCoke Energy (1) | | | |
210,000 | | 7.625%, 08/01/19 | | 213,150 | |
| | Swedbank Hypotek (1) (2) | | | |
440,000 | | 0.813%, 03/28/14 | | 440,845 | |
| | Targa Resources Partners (1) | | | |
135,000 | | 6.875%, 02/01/21 | | 133,988 | |
| | Teck Resources | | | |
70,000 | | 10.750%, 05/15/19 | | 86,567 | |
| | Telecom Italia Capital | | | |
270,000 | | 6.175%, 06/18/14 | | 274,430 | |
| | Tenneco | | | |
195,000 | | 6.875%, 12/15/20 | | 200,850 | |
| | Texas Instruments | | | |
190,000 | | 2.375%, 05/16/16 | | 196,713 | |
| | Time Warner | | | |
115,000 | | 5.375%, 10/15/41 | | 121,731 | |
| | Time Warner Cable | | | |
200,000 | | 6.550%, 05/01/37 | | 236,120 | |
| | Toronto-Dominion Bank (1) | | | |
1,470,000 | | 0.875%, 09/12/14 | | 1,456,472 | |
| | United Business Media (1) | | | |
220,000 | | 5.750%, 11/03/20 | | 218,009 | |
| | Univision Communications (1) | | | |
180,000 | | 7.875%, 11/01/20 | | 182,700 | |
| | US Bank | | | |
440,000 | | 4.950%, 10/30/14 | | 480,299 | |
| | Valero Energy | | | |
70,000 | | 6.125%, 02/01/20 | | 80,513 | |
50,000 | | 4.500%, 02/01/15 | | 54,013 | |
| | Verizon Communications | | | |
540,000 | | 3.500%, 11/01/21 | | 545,916 | |
| | Viacom | | | |
165,000 | | 4.500%, 03/01/21 | | 177,483 | |
| | Wachovia Bank (2) | | | |
365,000 | | 0.637%, 11/03/14 | | 340,169 | |
| | Wal-Mart Stores | | | |
385,000 | | 3.625%, 07/08/20 | | 413,000 | |
| | Waste Management | | | |
110,000 | | 4.750%, 06/30/20 | | 120,190 | |
| | Watson Pharmaceuticals | | | |
155,000 | | 6.125%, 08/15/19 | | 181,351 | |
| | Wells Fargo Bank | | | |
250,000 | | 5.750%, 05/16/16 | | 277,440 | |
| | Willis Group Holdings | | | |
170,000 | | 5.750%, 03/15/21 | | 181,134 | |
| | Wind Acquisition Finance (1) | | | |
200,000 | | 7.250%, 02/15/18 | | 193,500 | |
| | Windstream | | | |
175,000 | | 7.875%, 11/01/17 | | 189,875 | |
| | WPP Finance UK | | | |
160,000 | | 8.000%, 09/15/14 | | 183,033 | |
| | Xerox | | | |
305,000 | | 4.500%, 05/15/21 | | 318,215 | |
| | XL Group | | | |
435,000 | | 5.750%, 10/01/21 | | 459,534 | |
| | Yum! Brands | | | |
65,000 | | 6.875%, 11/15/37 | | 85,440 | |
| | TOTAL CORPORATE OBLIGATIONS
(Cost $36,089,796) | | 37,462,495 | |
The accompanying notes are an integral part of the financial statements.
70
Principal
Amount ($) | | | | Value $ | |
| | | | | |
| | SOVEREIGN GOVERNMENT — 1.2% | | | |
| | Province of New Brunswick Canada | | | |
370,000 | | 2.750%, 06/15/18 | | 381,885 | |
| | Province of Ontario Canada | | | |
505,000 | | 2.300%, 05/10/16 | | 517,350 | |
| | Province of Quebec Canada | | | |
95,000 | | 2.750%, 08/25/21 | | 93,549 | |
| | TOTAL SOVEREIGN GOVERNMENT
(Cost $986,459) | | 992,784 | |
| | | | | |
| | U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS — 38.8% | | | |
| | FHLMC | | | |
100,546 | | 5.500%, 05/01/38 | | 108,780 | |
1,074,477 | | 5.000%, 08/01/40 | | 1,153,783 | |
512,835 | | 4.500%, 10/01/24 | | 548,947 | |
| | FHLMC Gold | | | |
58,117 | | 6.500%, 07/01/32 | | 64,284 | |
4,584 | | 6.000%, 12/01/28 | | 5,078 | |
340,001 | | 5.000%, 07/01/39 | | 364,989 | |
705,664 | | 4.500%, 12/01/40 | | 748,238 | |
216,623 | | 4.500%, 05/01/41 | | 228,694 | |
1,225,000 | | 4.000%, 10/01/41 | | 1,254,070 | |
478,027 | | 3.500%, 09/01/26 | | 496,640 | |
| | FHLMC IO REMIC (2) (3) | | | |
12 | | 1169.001%, 01/15/22 | | 303 | |
| | FHLMC TBA | | | |
1,625,000 | | 4.500%, 11/15/41 | | 1,713,867 | |
| | FNMA | | | |
27,822 | | 7.500%, 12/01/29 | | 32,047 | |
29,425 | | 6.000%, 12/01/28 | | 32,280 | |
52,074 | | 6.000%, 10/01/29 | | 57,127 | |
757,020 | | 6.000%, 05/01/36 | | 830,475 | |
1,221,599 | | 6.000%, 03/01/37 | | 1,342,041 | |
374,882 | | 5.500%, 11/01/34 | | 408,505 | |
1,184,051 | | 5.500%, 10/01/35 | | 1,290,246 | |
1,110,946 | | 5.500%, 07/01/38 | | 1,210,585 | |
246,520 | | 5.000%, 10/01/29 | | 265,510 | |
241,476 | | 4.500%, 07/01/41 | | 255,738 | |
364,511 | | 4.500%, 09/01/41 | | 386,040 | |
320,000 | | 4.500%, 10/01/41 | | 338,900 | |
182,013 | | 4.000%, 11/01/40 | | 189,489 | |
836,005 | | 4.000%, 08/01/41 | | 871,900 | |
1,519,224 | | 4.000%, 10/01/41 | | 1,572,400 | |
588,878 | | 2.050%, 03/01/34 (2) | | 612,984 | |
| | FNMA IO (3) | | | |
505,632 | | 5.000%, 07/01/18 | | 42,679 | |
568,247 | | 5.000%, 07/01/18 | | 49,009 | |
367,121 | | 5.000%, 07/01/18 | | 32,079 | |
| | FNMA IO REMIC (3) | | | |
818,258 | | 5.500%, 01/25/19 | | 85,066 | |
| | FNMA REMIC | | | |
230,414 | | 6.500%, 01/25/32 | | 262,220 | |
125,707 | | 5.000%, 07/25/37 | | 138,252 | |
| | FNMA TBA | | | |
150,000 | | 5.000%, 11/25/41 | | 161,367 | |
120,000 | | 4.500%, 11/26/26 | | 127,800 | |
50,000 | | 4.500%, 11/25/41 | | 52,883 | |
| | GNMA | | | |
100,729 | | 25.015%, 10/16/35 (2) | | 139,378 | |
4,857 | | 8.000%, 11/15/17 | | 5,670 | |
4,601 | | 8.000%, 06/15/26 | | 5,370 | |
29,985 | | 7.000%, 09/15/23 | | 35,003 | |
48,555 | | 6.000%, 10/20/32 | | 54,495 | |
120,305 | | 6.000%, 06/20/35 | | 135,022 | |
451,391 | | 5.000%, 05/20/30 | | 502,326 | |
388,000 | | 5.000%, 12/20/33 | | 409,613 | |
275,000 | | 4.500%, 06/16/27 | | 310,279 | |
610,000 | | 4.500%, 06/20/27 | | 686,517 | |
495,000 | | 4.500%, 06/20/39 | | 548,633 | |
485,000 | | 4.500%, 08/20/40 | | 537,501 | |
257,000 | | 4.000%, 09/20/38 | | 280,356 | |
485,000 | | 4.000%, 08/20/39 | | 524,695 | |
340,224 | | 4.000%, 12/15/40 | | 364,313 | |
1,078,070 | | 3.000%, 07/20/40 (2) | | 1,119,217 | |
185,602 | | 0.645%, 02/20/39 (2) | | 185,984 | |
| | GNMA IO (3) | | | |
113,510 | | 4.500%, 11/20/32 | | 6,607 | |
423,392 | | 4.500%, 06/20/33 | | 26,777 | |
| | GNMA TBA | | | |
3,965,000 | | 4.000%, 11/15/41 | | 4,230,159 | |
4,320,000 | | 4.000%, 11/20/41 | | 4,604,850 | |
| | NCUA Guaranteed Notes, Series R1 (2) | | | |
171,438 | | 1.840%, 10/07/20 | | 173,528 | |
118,280 | | 0.691%, 10/07/20 | | 118,433 | |
| | NCUA Guaranteed Notes, Series R2 (2) | | | |
726,496 | | 0.791%, 11/06/17 | | 726,721 | |
544,599 | | 0.711%, 11/05/20 | | 544,599 | |
| | TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS
(Cost $33,008,261) | | 33,611,341 | |
| | | | | |
| | U.S. TREASURY OBLIGATIONS — 18.2% | | | |
| | United States Treasury Bills (4) (5) | | | |
4,400,000 | | 0.010%, 11/10/11 | | 4,399,987 | |
4,000,000 | | 0.005%, 02/16/12 | | 3,999,436 | |
| | United States Treasury Notes (4) | | | |
2,500,000 | | 4.750%, 01/31/12 | | 2,529,395 | |
745,000 | | 4.375%, 05/15/41 | | 914,604 | |
2,205,000 | | 2.125%, 08/15/21 | | 2,195,708 | |
1,180,000 | | 1.750%, 10/31/18 | | 1,191,062 | |
The accompanying notes are an integral part of the financial statements.
71
Principal
Amount ($) | | | | Value $ | |
| | | | | |
545,000 | | 1.000%, 08/31/16 | | 546,110 | |
| | TOTAL U.S. TREASURY OBLIGATIONS
(Cost $15,755,512) | | 15,776,302 | |
| | | | | |
| | COMMERCIAL MORTGAGE-BACKED OBLIGATIONS — 4.8% | | | |
| | Americold LLC Trust, Series ARTA, Class A1 (1) | | | |
268,169 | | 3.847%, 01/14/29 | | 281,844 | |
| | Americold LLC Trust, Series ARTA, Class A2FX (1) | | | |
410,000 | | 4.954%, 01/14/29 | | 436,463 | |
| | Bear Stearns Commercial Mortgage Securities, Series 2002-TOP6, Class A2 | | | |
217,741 | | 6.460%, 10/15/36 | | 219,413 | |
| | Credit Suisse First Boston Mortgage Securities, Series CKN2, Class A3 | | | |
219,938 | | 6.133%, 04/15/37 | | 221,902 | |
| | Extended Stay America Trust, Series ESHA, Class A (1) | | | |
958,499 | | 2.951%, 11/05/27 | | 956,504 | |
| | Four Times Square Trust, Series 4TS, Class A (1) | | | |
1,008,000 | | 5.401%, 12/13/28 | | 1,084,390 | |
| | LB-UBS Commercial Mortgage Trust, Series 2002-C7, Class A4 | | | |
171,991 | | 4.960%, 12/15/31 | | 177,121 | |
| | LSTAR Commercial Mortgage Trust, Series 1, Class B (1) (2) | | | |
110,000 | | 5.759%, 06/25/43 | | 101,975 | |
| | Morgan Stanley Capital I, Series 2003-T11, Class A4 | | | |
655,000 | | 5.150%, 06/13/41 | | 687,649 | |
| | TOTAL COMMERCIAL MORTGAGE-BACKED OBLIGATIONS
(Cost $4,102,821) | | 4,167,261 | |
| | | | | |
| | ASSET-BACKED SECURITIES — 2.4% | | | |
| | BA Credit Card Trust, Series A1 (2) | | | |
335,000 | | 0.529%, 09/15/15 | | 336,073 | |
| | Chase Issuance Trust, Series A13 (2) | | | |
335,000 | | 1.847%, 09/15/15 | | 343,681 | |
| | CNH Equipment Trust, Series A | | | |
405,000 | | 2.040%, 10/17/16 | | 415,421 | |
| | Discover Card Master Trust, Series A1 (2) | | | |
335,000 | | 1.543%, 12/15/14 | | 337,595 | |
| | MBNA Credit Card Master Note Trust, Series A10 (2) | | | |
165,000 | | 0.289%, 11/16/15 | | 164,905 | |
| | Nelnet Student Loan Trust, Series 4A (1) (2) | | | |
250,293 | | 1.045%, 04/25/46 | | 250,558 | |
| | Wachovia Auto Owner Trust, Series A (2) | | | |
221,607 | | 1.395%, 03/20/14 | | 222,629 | |
| | TOTAL ASSET-BACKED SECURITIES
(Cost $2,060,504) | | 2,070,862 | |
| | | | | |
| | MUNICIPAL BONDS — 0.8% | | | |
| | California — 0.2% | | | |
140,000 | | State of California, GO | | | |
| | 7.550%, 04/01/39 | | 170,747 | |
| | | | | |
| | New York — 0.1% | | | |
75,000 | | Metropolitan Transportation Authority, RB | | | |
| | 6.814%, 11/15/40 | | 92,560 | |
| | | | | |
| | South Carolina — 0.3% | | | |
236,881 | | South Carolina Student Loan, RB (2) | | | |
| | 0.868%, 01/25/21 | | 236,431 | |
| | | | | |
Principal
Amount
($)/Shares | | | | | |
| | | | | |
| | Utah — 0.2% | | | |
170,000 | | State of Utah, GO | | | |
| | 3.539%, 07/01/25 | | 173,502 | |
| | TOTAL MUNICIPAL BONDS
(Cost $647,295) | | 673,240 | |
| | | | | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 0.5% | | | |
| | Impac CMB Trust (2) | | | |
175,294 | | 0.645%, 10/25/35 | | 140,895 | |
223,346 | | 0.625%, 05/25/35 | | 173,391 | |
86,711 | | 0.615%, 03/25/35 | | 77,204 | |
| | Residential Accredit Loans, Series 1999-QS4 , Class A1 | | | |
5,906 | | 6.250%, 03/25/14 | | 6,044 | |
| | Salomon Brothers Mortgage Securities VII, Series 2001-CPB1, Class A (2) | | | |
4,815 | | 2.762%, 12/25/30 | | 4,748 | |
| | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $420,742) | | 402,282 | |
| | | | | |
| | SHORT-TERM INVESTMENT (6) — 8.1% | | | |
7,048,939 | | JPMorgan Prime Money Market Fund, 0.020%
(Cost $7,048,938) | | 7,048,939 | |
The accompanying notes are an integral part of the financial statements.
72
| | | | Value $ | |
| | | | | |
| | TOTAL INVESTMENTS — 118.1%
(Cost $100,120,328) | | 102,205,506 | |
| | OTHER LIABILITIES IN EXCESS OF OTHER ASSETS — (18.1)% | | (15,648,759 | ) |
| | | | | |
| | NET ASSETS — 100% | | $ | 86,556,747 | |
| | | | | | |
(1) | 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 October 31, 2011, the value of these securities amounted to $18,612,048, representing 21.5% of the net assets of the Fund. |
(2) | Variable Rate Security — Rate disclosed is as of October 31, 2011 |
(3) | Security considered illiquid. On October 31, 2011 the value of these securities amounted to $242,520, representing 0.3% of the net assets of the Fund. |
(4) | Security, or a portion of this security, has been pledged as collateral on open derivative positions and mortgage dollar rolls. |
(5) | Zero Coupon Security — Rate disclosed is the effective yield at time of purchase. |
(6) | The rate shown represents the 7-day current yield as of October 31, 2011. |
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 Corporation |
LP — Limited Partnership |
MTN — Medium Term Note |
NCUA — National Credit Union Administration |
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 October 31, 2011 is as follows:
Type of Contract | | Number of
Contracts
Long (Short) | | Expiration
Date | | Unrealized
Appreciation
(Depreciation) | |
Australian 10-Year Bond | | 12 | | Dec-11 | | $ | (44,033 | ) |
Canadian 10-Year Bond | | 19 | | Dec-11 | | 19,522 | |
U.S. 2-Year Treasury Note | | 39 | | Jan-12 | | (6,493 | ) |
U.S. 5-Year Treasury Note | | (25) | | Jan-12 | | (7,621 | ) |
U.S. 10-Year Treasury Note | | (49) | | Dec-11 | | 42,860 | |
U.S. Long Treasury Bond | | (6) | | Dec-11 | | (12,797 | ) |
U.S. Ultra Long Treasury Bond | | 20 | | Dec-11 | | 182,495 | |
| | | | | | $ | 173,933 | |
The accompanying notes are an integral part of the financial statements.
73
The following is a summary of the inputs used as of October 31, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities (1) | | | | | | | | | |
Corporate Obligations | | $ | — | | $ | 37,462,495 | | $ | — | | $ | 37,462,495 | |
Sovereign Government | | — | | 992,784 | | — | | 992,784 | |
U.S. Government Mortgage-Backed Obligations | | — | | 33,611,341 | | — | | 33,611,341 | |
U.S. Treasury Obligations | | — | | 15,776,302 | | — | | 15,776,302 | |
Commercial Mortgage-Backed Obligations | | — | | 4,167,261 | | — | | 4,167,261 | |
Asset-Backed Securities | | — | | 2,070,862 | | — | | 2,070,862 | |
Municipal Bonds | | — | | 673,240 | | — | | 673,240 | |
Collateralized Mortgage Obligations | | — | | 402,282 | | — | | 402,282 | |
Short-Term Investment | | 7,048,939 | | — | | — | | 7,048,939 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 7,048,939 | | $ | 95,156,567 | | $ | — | | $ | 102,205,506 | |
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Other Financial Instruments | | | | | | | | | |
Futures—Unrealized Appreciation | | $ | — | | $ | 244,877 | | $ | — | | $ | 244,877 | |
Futures—Unrealized Depreciation | | — | | (70,944 | ) | — | | (70,944 | ) |
Total Other Financial Instruments | | $ | — | | $ | 173,933 | | $ | — | | $ | 173,933 | |
(1) There were no significant transfers between 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.
74
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The accompanying notes are an integral part of the financial statements.
75
Schroder Mutual Funds
Statements of Assets and Liabilities
October 31, 2011
| | North
American
Equity Fund | | U.S.
Opportunities
Fund | | U.S. Small and
Mid Cap
Opportunities
Fund | |
ASSETS | | | | | | | |
Investments in securities, at value — Note 2 | | $ | 509,648,586 | | $ | 153,871,630 | | $ | 214,982,723 | |
Cash | | — | | — | | 1,033 | |
Foreign currency | | 7 | | — | | — | |
Receivable for securities sold | | 1,379,027 | | 883,342 | | 1,173,788 | |
Receivable for Fund shares sold | | 560,593 | | 28,567 | | 752,090 | |
Dividends and tax reclaims receivable | | 546,314 | | 41,987 | | 61,761 | |
Prepaid expenses | | 14,240 | | 15,467 | | 9,586 | |
Due from Investment Advisor — Note 3 | | — | | — | | 27,159 | |
Unrealized appreciation on spot foreign currency contracts | | — | | — | | — | |
Unrealized appreciation on forward foreign currency contracts | | 2,318 | | — | | — | |
Initial margin for futures contracts | | 4,108,000 | | — | | — | |
Deferred offering costs — Note 2 | | — | | — | | — | |
Variation margin receivable | | — | | — | | — | |
TOTAL ASSETS | | 516,259,085 | | 154,840,993 | | 217,008,140 | |
LIABILITIES | | | | | | | |
Payable for securities purchased | | — | | 1,811,877 | | 219,881 | |
Unrealized depreciation on spot foreign currency contracts | | — | | — | | — | |
Variation margin payable | | 1,622,660 | | — | | — | |
Income distributions payable | | — | | — | | — | |
Accrued foreign capital gains tax | | — | | — | | — | |
Unrealized depreciation on forward foreign currency contracts | | 631,945 | | — | | — | |
Payable for Fund shares redeemed | | 21,626 | | 144,078 | | 337,781 | |
Investment Advisory fees payable — Note 3 | | 104,475 | | 122,713 | | 177,650 | |
Sub-administration fees payable — Note 3 | | 5,433 | | 10,738 | | 15,545 | |
Trustees’ fees payable — Note 6 | | 1,514 | | 712 | | 875 | |
Distribution fees payable, Advisor Shares — Note 3 | | 48 | | 865 | | 1,348 | |
Audit fees payable | | 32,250 | | 30,821 | | 30,821 | |
Accrued expenses and other liabilities | | 81,749 | | 46,590 | | 50,457 | |
TOTAL LIABILITIES | | 2,501,700 | | 2,168,394 | | 834,358 | |
NET ASSETS | | $ | 513,757,385 | | $ | 152,672,599 | | $ | 216,173,782 | |
NET ASSETS | | | | | | | |
Capital paid-in | | $ | 552,810,030 | | $ | 127,971,773 | | $ | 204,406,107 | |
Undistributed (distributions in excess of) net investment income | | 6,562,686 | | — | | 405,662 | |
Accumulated net realized gain (loss) on investments, futures and foreign currency transactions | | (69,991,375 | ) | 4,972,842 | | 1,630,203 | |
Accumulated foreign capital gains tax on appreciated securities | | — | | — | | — | |
Net unrealized appreciation (depreciation) on investments | | 20,585,249 | | 19,727,984 | | 9,731,810 | |
Net unrealized appreciation on futures | | 4,420,351 | | — | | — | |
Net unrealized appreciation (depreciation) on forward foreign currency contracts and foreign currency translations | | (629,556 | ) | — | | — | |
NET ASSETS | | $ | 513,757,385 | | $ | 152,672,599 | | $ | 216,173,782 | |
Net Assets: | | | | | | | |
Investor Shares | | $ | 513,588,638 | | $ | 149,940,682 | | $ | 209,199,439 | |
Advisor Shares | | 168,747 | | 2,731,917 | | 6,974,343 | |
Institutional Shares | | — | | — | | — | |
Total shares outstanding end of year: | | | | | | | |
Investor Shares | | 52,598,452 | | 6,585,146 | | 18,101,924 | |
Advisor Shares | | 17,349 | | 121,466 | | 611,976 | |
Institutional Shares | | — | | — | | — | |
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding) | | | | | | | |
Investor Shares | | $ | 9.76 | | $ | 22.77 | | $ | 11.56 | |
Advisor Shares | | 9.73 | | 22.49 | | 11.40 | |
Institutional Shares | | — | | — | | — | |
Cost of securities | | $ | 489,063,337 | | $ | 134,143,646 | | $ | 205,250,913 | |
Cost of foreign currency | | $ | 7 | | $ | — | | $ | — | |
The accompanying notes are an integral part of the financial statements.
76
| | Emerging Market
Equity Fund | | International
Alpha Fund | | International
Multi-Cap Value
Fund | | Global Quality
Fund | | Total Return
Fixed Income
Fund | |
ASSETS | | | | | | | | | | | |
Investments in securities, at value — Note 2 | | $ | 332,848,187 | | $ | 47,856,775 | | $ | 19,155,717 | | $ | 66,068,499 | | $ | 102,205,506 | |
Cash | | — | | — | | — | | — | | 1,038 | |
Foreign currency | | 31,811 | | 3 | | 3,263 | | 112,506 | | — | |
Receivable for securities sold | | 519,467 | | 1,377,892 | | 94,098 | | 1,084,756 | | 5,353,581 | |
Receivable for Fund shares sold | | 772,550 | | 101,356 | | 7,010 | | — | | 263,266 | |
Dividends and tax reclaims receivable | | 465,303 | | 259,268 | | 76,777 | | 118,319 | | 570,122 | |
Prepaid expenses | | 14,137 | | 13,881 | | 18,245 | | 2,781 | | 6,525 | |
Due from Investment Advisor — Note 3 | | 48,065 | | 20,016 | | 46,945 | | 25,536 | | 16,660 | |
Unrealized appreciation on spot foreign currency contracts | | 1,147,770 | | 969,301 | | 55,556 | | 547,631 | | — | |
Unrealized appreciation on forward foreign currency contracts | | — | | — | | 9,994 | | 5,099 | | — | |
Initial margin for futures contracts | | — | | — | | — | | — | | 121,584 | |
Deferred offering costs — Note 2 | | — | | — | | — | | 250 | | — | |
Variation margin receivable | | — | | — | | — | | — | | 103,206 | |
TOTAL ASSETS | | 335,847,290 | | 50,598,492 | | 19,467,605 | | 67,965,377 | | 108,641,488 | |
LIABILITIES | | | | | | | | | | | |
Payable for securities purchased | | 3,378,748 | | 1,040,377 | | 197,552 | | 616,409 | | 21,871,646 | |
Unrealized depreciation on spot foreign currency contracts | | 1,150,244 | | 972,968 | | 57,441 | | 539,267 | | — | |
Variation margin payable | | — | | — | | — | | — | | 74,078 | |
Income distributions payable | | — | | — | | — | | — | | 27,627 | |
Accrued foreign capital gains tax | | 233,076 | | — | | 5,815 | | 10,910 | | — | |
Unrealized depreciation on forward foreign currency contracts | | — | | — | | 19,935 | | 41,421 | | — | |
Payable for Fund shares redeemed | | 759,127 | | 16,037 | | 44,731 | | — | | 3,180 | |
Investment Advisory fees payable — Note 3 | | 257,570 | | 39,374 | | 15,576 | | 29,716 | | 17,722 | |
Sub-administration fees payable — Note 3 | | 22,538 | | 3,534 | | 1,363 | | 4,728 | | 6,203 | |
Trustees’ fees payable — Note 6 | | 1,085 | | 506 | | 408 | | 511 | | 560 | |
Distribution fees payable, Advisor Shares — Note 3 | | 17,502 | | 1,406 | | 1,352 | | — | | 564 | |
Audit fees payable | | 36,764 | | 34,469 | | 37,972 | | 35,003 | | 33,260 | |
Accrued expenses and other liabilities | | 130,920 | | 39,948 | | 73,400 | | 52,813 | | 49,901 | |
TOTAL LIABILITIES | | 5,987,574 | | 2,148,619 | | 455,545 | | 1,330,778 | | 22,084,741 | |
NET ASSETS | | $ | 329,859,716 | | $ | 48,449,873 | | $ | 19,012,060 | | $ | 66,634,599 | | $ | 86,556,747 | |
NET ASSETS | | | | | | | | | | | |
Capital paid-in | | $ | 330,077,417 | | $ | 57,312,196 | | $ | 22,346,320 | | $ | 67,674,163 | | $ | 83,604,999 | |
Undistributed (distributions in excess of) net investment income | | 3,089,857 | | 466,709 | | 498,614 | | 1,156,269 | | (49,040 | ) |
Accumulated net realized gain (loss) on investments, futures and foreign currency transactions | | (2,401,259 | ) | (9,400,801 | ) | (2,576,181 | ) | (1,040,043 | ) | 741,605 | |
Accumulated foreign capital gains tax on appreciated securities | | (233,076 | ) | — | | (5,815 | ) | (10,910 | ) | — | |
Net unrealized appreciation (depreciation) on investments | | (668,956 | ) | 50,433 | | (1,242,244 | ) | (1,108,368 | ) | 2,085,178 | |
Net unrealized appreciation on futures | | — | | — | | — | | — | | 173,933 | |
Net unrealized appreciation (depreciation) on forward foreign currency contracts and foreign currency translations | | (4,267 | ) | 21,336 | | (8,634 | ) | (36,512 | ) | 72 | |
NET ASSETS | | $ | 329,859,716 | | $ | 48,449,873 | | $ | 19,012,060 | | $ | 66,634,599 | | $ | 86,556,747 | |
Net Assets: | | | | | | | | | | | |
Investor Shares | | $ | 234,257,862 | | $ | 44,038,496 | | $ | 12,244,576 | | $ | — | | $ | 84,037,634 | |
Advisor Shares | | 95,601,854 | | 4,411,377 | | 6,767,484 | | — | | 2,519,113 | |
Institutional Shares | | — | | — | | — | | 66,634,599 | | — | |
Total shares outstanding end of year: | | | | | | | | | | | |
Investor Shares | | 19,065,684 | | 4,702,746 | | 1,468,326 | | — | | 8,135,388 | |
Advisor Shares | | 7,814,300 | | 472,470 | | 812,284 | | — | | 243,653 | |
Institutional Shares | | — | | — | | — | | 661,691 | | — | |
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding) | | | | | | | | | | | |
Investor Shares | | $ | 12.29 | | $ | 9.36 | | $ | 8.34 | | $ | — | | $ | 10.33 | |
Advisor Shares | | 12.23 | | 9.34 | | 8.33 | | — | | 10.34 | |
Institutional Shares | | — | | — | | — | | 100.70 | | — | |
Cost of securities | | $ | 333,517,143 | | $ | 47,806,342 | | $ | 20,397,961 | | $ | 67,176,867 | | $ | 100,120,328 | |
Cost of foreign currency | | $ | 31,515 | | $ | 2 | | $ | 3,201 | | $ | 112,332 | | $ | — | |
The accompanying notes are an integral part of the financial statements.
77
Schroder Mutual Funds
Statements of Operations
For the Year or Period Ended October 31, 2011
| | North
American
Equity Fund | | U.S.
Opportunities
Fund | | U.S. Small
and Mid Cap
Opportunities
Fund | |
INVESTMENT INCOME | | | | | | | |
Dividend income | | $ | 9,757,687 | | $ | 1,601,459 | | $ | 2,703,585 | |
Interest income | | — | | — | | 268 | |
Foreign taxes withheld | | (63,400 | ) | (5,293 | ) | (3,727 | ) |
TOTAL INCOME | | 9,694,287 | | 1,596,166 | | 2,700,126 | |
EXPENSES | | | | | | | |
Investment Advisory fees — Note 3 | | 1,212,807 | | 1,768,780 | | 2,140,357 | |
Sub-administration fees — Note 3 | | 63,070 | | 154,771 | | 187,284 | |
Trustees fees — Note 6 | | 37,017 | | 19,614 | | 20,326 | |
Distribution fees, Advisor Shares — Note 3 | | 619 | | 7,738 | | 23,746 | |
Legal fees | | 130,226 | | 59,308 | | 73,375 | |
Transfer agent fees | | 119,646 | | 102,572 | | 104,489 | |
Insurance | | 56,827 | | 29,191 | | 22,542 | |
Registration fees | | 53,685 | | 34,111 | | 32,892 | |
Printing | | 34,600 | | 37,847 | | 26,120 | |
Audit fees | | 33,114 | | 30,477 | | 30,845 | |
Custodian fees | | 26,864 | | 27,150 | | 25,367 | |
Pricing fees | | 11,445 | | 3,622 | | 2,893 | |
Organization costs | | — | | — | | — | |
Other | | 23,479 | | 11,581 | | 20,075 | |
TOTAL EXPENSES | | 1,803,399 | | 2,286,762 | | 2,710,311 | |
Expenses waived by Investment Advisor — Note 3 | | — | | — | | (439,203 | ) |
Reimbursement from Investment Advisor | | — | | — | | — | |
NET EXPENSES | | 1,803,399 | | 2,286,762 | | 2,271,108 | |
NET INVESTMENT INCOME (LOSS) | | 7,890,888 | | (690,596 | ) | 429,018 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTION CONTRACTS, FUTURES AND FOREIGN CURRENCY TRANSACTIONS AND TRANSLATIONS | | | | | | | |
Net realized gain (loss) on investments and option contracts sold | | 38,015,583 | | 16,566,684 | | 2,120,295 | |
Net realized gain (loss) on futures | | 2,042,391 | | — | | — | |
Net realized gain (loss) on foreign currency transactions | | 394,977 | | (1,984 | ) | (1,610 | ) |
Net realized gain (loss) on investments, option contracts, futures and foreign currency transactions | | 40,452,951 | | 16,564,700 | | 2,118,685 | |
| | | | | | | |
Change in unrealized depreciation on investments | | (10,415,950 | ) | (8,316,914 | ) | (2,799,251 | ) |
Change in unrealized appreciation on futures | | 2,130,121 | | — | | — | |
Change in accrued foreign capital gains tax on appreciated securities | | — | | — | | — | |
Change in unrealized appreciation (depreciation) on forward foreign currency contracts and foreign currency translations | | (622,471 | ) | — | | — | |
Net change in unrealized depreciation on investments, futures, forward foreign currency contracts and foreign currency translations | | (8,908,300 | ) | (8,316,914 | ) | (2,799,251 | ) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | 31,544,651 | | 8,247,786 | | (680,566 | ) |
| | | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 39,435,539 | | $ | 7,557,190 | | $ | (251,548 | ) |
The accompanying notes are an integral part of the financial statements.
78
| | Emerging
Market Equity
Fund | | International
Alpha Fund | | International
Multi-Cap
Value Fund | | Global
Quality Fund* | | Total Return
Fixed Income
Fund | |
INVESTMENT INCOME | | | | | | | | | | | |
Dividend income | | $ | 8,065,975 | | $ | 1,747,846 | | $ | 755,478 | | $ | 1,412,485 | | $ | 1,178 | |
Interest income | | — | | — | | — | | 323 | | 3,345,165 | |
Foreign taxes withheld | | (712,406 | ) | (176,519 | ) | (67,107 | ) | (85,808 | ) | (951 | ) |
TOTAL INCOME | | 7,353,569 | | 1,571,327 | | 688,371 | | 1,327,000 | | 3,345,392 | |
EXPENSES | | | | | | | | | | | |
Investment Advisory fees — Note 3 | | 2,854,917 | | 701,778 | | 161,748 | | 239,843 | | 249,180 | |
Sub-administration fees — Note 3 | | 249,805 | | 62,981 | | 14,153 | | 38,157 | | 87,212 | |
Trustees fees — Note 6 | | 25,323 | | 13,469 | | 9,935 | | 9,485 | | 15,215 | |
Distribution fees, Advisor Shares — Note 3 | | 221,043 | | 60,511 | | 9,742 | | — | | 6,982 | |
Legal fees | | 81,205 | | 41,370 | | 31,358 | | 38,492 | | 44,903 | |
Transfer agent fees | | 109,672 | | 94,908 | | 91,223 | | 37,561 | | 96,045 | |
Insurance | | 31,793 | | 19,289 | | 13,790 | | 11,336 | | 25,223 | |
Registration fees | | 45,661 | | 30,634 | | 32,233 | | 944 | | 40,485 | |
Printing | | 50,139 | | 16,824 | | 10,237 | | 12,870 | | 13,289 | |
Audit fees | | 33,665 | | 34,013 | | 33,126 | | 41,006 | | 32,249 | |
Custodian fees | | 292,192 | | 32,230 | | 73,137 | | 54,153 | | 24,278 | |
Pricing fees | | 20,571 | | 9,238 | | 92,836 | | 49,757 | | 45,240 | |
Organization costs | | — | | — | | — | | 68,218 | | — | |
Other | | 19,890 | | 10,149 | | 20,373 | | 8,552 | | 8,315 | |
TOTAL EXPENSES | | 4,035,876 | | 1,127,394 | | 593,891 | | 610,374 | | 688,616 | |
Expenses waived by Investment Advisor — Note 3 | | (246,172 | ) | (238,495 | ) | (161,748 | ) | (239,843 | ) | (249,180 | ) |
Reimbursement from Investment Advisor | | — | | — | | (236,391 | ) | (65,276 | ) | (33,754 | ) |
NET EXPENSES | | 3,789,704 | | 888,899 | | 195,752 | | 305,255 | | 405,682 | |
NET INVESTMENT INCOME (LOSS) | | 3,563,865 | | 682,428 | | 492,619 | | 1,021,745 | | 2,939,710 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTION CONTRACTS, FUTURES AND FOREIGN CURRENCY TRANSACTIONS AND TRANSLATIONS | | | | | | | | | | | |
Net realized gain (loss) on investments and option contracts sold | | 512,148 | | 4,984,196 | | 730,750 | | (697,088 | ) | 1,637,434 | † |
Net realized gain (loss) on futures | | — | | — | | (208,786 | ) | (311,983 | ) | 347,398 | |
Net realized gain (loss) on foreign currency transactions | | (445,117 | ) | 29,570 | | 64,886 | | 161,194 | | 54,230 | |
Net realized gain (loss) on investments, option contracts, futures and foreign currency transactions | | 67,031 | | 5,013,766 | | 586,850 | | (847,877 | ) | 2,039,062 | |
| | | | | | | | | | | |
Change in unrealized depreciation on investments | | (29,984,893 | ) | (12,261,304 | ) | (2,237,059 | ) | (1,108,368 | ) | (1,552,431 | ) |
Change in unrealized appreciation on futures | | — | | — | | — | | — | | 217,399 | |
Change in accrued foreign capital gains tax on appreciated securities | | 181,139 | | — | | 1,956 | | (10,910 | ) | — | |
Change in unrealized appreciation (depreciation) on forward foreign currency contracts and foreign currency translations | | (4,962 | ) | 11,209 | | (11,529 | ) | (36,512 | ) | (53,068 | ) |
Net change in unrealized depreciation on investments, futures, forward foreign currency contracts and foreign currency translations | | (29,808,716 | ) | (12,250,095 | ) | (2,246,632 | ) | (1,155,790 | ) | (1,388,100 | ) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | (29,741,685 | ) | (7,236,329 | ) | (1,659,782 | ) | (2,003,667 | ) | 650,962 | |
| | | | | | | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (26,177,820 | ) | $ | (6,553,901 | ) | $ | (1,167,163 | ) | $ | (981,922 | ) | $ | 3,590,672 | |
* Fund commenced investment activities on November 9, 2010.
† 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.
79
Schroder Mutual Funds
Statements of Changes in Net Assets
For the Years Ended October 31,
| | North American Equity Fund | | U.S. Opportunities Fund | |
| | 2011 | | 2010 | | 2011 | | 2010 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | |
From Operations: | | | | | | | | | |
Net investment income (loss) | | $ | 7,890,888 | | $ | 7,789,545 | | $ | (690,596 | ) | $ | (920,177 | ) |
Net realized gain on investments, futures and foreign currency transactions | | 40,452,951 | | 6,071,138 | | 16,564,700 | | 22,355,404 | |
Change in unrealized appreciation (depreciation) on investments, futures, foreign capital gains tax on appreciated securities, forward foreign currency contracts and foreign currency translations | | (8,908,300 | ) | 49,171,612 | | (8,316,914 | ) | 11,259,018 | |
Net increase (decrease) in net assets resulting from operations | | 39,435,539 | | 63,032,295 | | 7,557,190 | | 32,694,245 | |
| | | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | | |
Net investment income: | | | | | | | | | |
Investor Shares | | (6,799,964 | ) | (6,697,194 | ) | — | | — | |
Advisor Shares | | (2,261 | ) | (1,744 | ) | — | | — | |
Net realized gains: | | | | | | | | | |
Investor Shares | | — | | — | | — | | — | |
Advisor Shares | | — | | — | | — | | — | |
Total dividends and distributions | | (6,802,225 | ) | (6,698,938 | ) | — | | — | |
| | | | | | | | | |
Share Transactions: | | | | | | | | | |
Investor Shares: | | | | | | | | | |
Sales of shares | | 75,162,899 | | 83,713,990 | | 10,258,639 | | 9,119,019 | |
Reinvestment of distributions | | 5,772,543 | | 4,892,614 | | — | | — | |
Redemption of shares | | (89,102,201 | ) | (31,105,919 | ) | (41,381,887 | ) | (30,352,894 | ) |
Redemption of shares in-kind | | — | | — | | — | | — | |
Redemption fees - Note 5 | | — | | — | | 973 | | 1,070 | |
Total increase (decrease) from Investor Share transactions | | (8,166,759 | ) | 57,500,685 | | (31,122,275 | ) | (21,232,805 | ) |
Advisor Shares: | | | | | | | | | |
Sales of shares | | 47,350 | | 43,235 | | 487,051 | | 351,739 | |
Reinvestment of distributions | | 2,261 | | 1,744 | | — | | — | |
Redemption of shares | | (61,414 | ) | (6,543 | ) | (831,946 | ) | (723,997 | ) |
Redemption fees - Note 5 | | — | | — | | — | | — | |
Total increase (decrease) from Advisor Share transactions | | (11,803 | ) | 38,436 | | (344,895 | ) | (372,258 | ) |
Net increase (decrease) in net assets from share transactions | | (8,178,562 | ) | 57,539,121 | | (31,467,170 | ) | (21,605,063 | ) |
Total increase (decrease) in net assets | | 24,454,752 | | 113,872,478 | | (23,909,980 | ) | 11,089,182 | |
Net Assets | | | | | | | | | |
Beginning of year | | 489,302,633 | | 375,430,155 | | 176,582,579 | | 165,493,397 | |
End of year | | $ | 513,757,385 | | $ | 489,302,633 | | $ | 152,672,599 | | $ | 176,582,579 | |
Undistributed (accumulated net investment loss/distributions in excess of) net investment income | | $ | 6,562,686 | | $ | 4,999,635 | | $ | — | | $ | — | |
The accompanying notes are an integral part of the financial statements.
80
| | U.S. Small and Mid Cap
Opportunities Fund | | Emerging Market Equity Fund | |
| | 2011 | | 2010 | | 2011 | | 2010 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | |
From Operations: | | | | | | | | | |
Net investment income (loss) | | $ | 429,018 | | $ | (109,454 | ) | $ | 3,563,865 | | $ | 1,066,501 | |
Net realized gain on investments, futures and foreign currency transactions | | 2,118,685 | | 4,482,718 | | 67,031 | | 3,087,680 | |
Change in unrealized appreciation (depreciation) on investments, futures, foreign capital gains tax on appreciated securities, forward foreign currency contracts and foreign currency translations | | (2,799,251 | ) | 8,926,889 | | (29,808,716 | ) | 22,682,108 | |
Net increase (decrease) in net assets resulting from operations | | (251,548 | ) | 13,300,153 | | (26,177,820 | ) | 26,836,289 | |
| | | | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | | | |
Net investment income: | | | | | | | | | |
Investor Shares | | — | | — | | (771,689 | ) | (232,619 | ) |
Advisor Shares | | — | | — | | (241,589 | ) | (160,075 | ) |
Net realized gains: | | | | | | | | | |
Investor Shares | | (2,600,911 | ) | — | | (446,768 | ) | — | |
Advisor Shares | | (231,110 | ) | — | | (242,237 | ) | — | |
Total dividends and distributions | | (2,832,021 | ) | — | | (1,702,283 | ) | (392,694 | ) |
| | | | | | | | | |
Share Transactions: | | | | | | | | | |
Investor Shares: | | | | | | | | | |
Sales of shares | | 191,062,391 | | 84,184,389 | | 142,886,662 | | 112,693,987 | |
Reinvestment of distributions | | 1,879,721 | | — | | 1,034,252 | | 162,214 | |
Redemption of shares | | (91,994,172 | ) | (20,485,770 | ) | (42,068,431 | ) | (11,058,440 | ) |
Redemption of shares in-kind | | — | | — | | — | | — | |
Redemption fees - Note 5 | | 1,026 | | 1,349 | | 1,264 | | 15,485 | |
Total increase (decrease) from Investor Share transactions | | 100,948,966 | | 63,699,968 | | 101,853,747 | | 101,813,246 | |
Advisor Shares: | | | | | | | | | |
Sales of shares | | 2,391,383 | | 5,788,842 | | 51,007,570 | | 91,866,519 | |
Reinvestment of distributions | | 220,154 | | — | | 467,446 | | 157,498 | |
Redemption of shares | | (6,036,011 | ) | (743,744 | ) | (35,867,056 | ) | (27,562,814 | ) |
Redemption fees - Note 5 | | 772 | | 527 | | 20,945 | | 38,739 | |
Total increase (decrease) from Advisor Share transactions | | (3,423,702 | ) | 5,045,625 | | 15,628,905 | | 64,499,942 | |
Net increase (decrease) in net assets from share transactions | | 97,525,264 | | 68,745,593 | | 117,482,652 | | 166,313,188 | |
Total increase (decrease) in net assets | | 94,441,695 | | 82,045,746 | | 89,602,549 | | 192,756,783 | |
Net Assets | | | | | | | | | |
Beginning of year | | 121,732,087 | | 39,686,341 | | 240,257,167 | | 47,500,384 | |
End of year | | $ | 216,173,782 | | $ | 121,732,087 | | $ | 329,859,716 | | $ | 240,257,167 | |
Undistributed (accumulated net investment loss/distributions in excess of) net investment income | | $ | 405,662 | | $ | (12,074 | ) | $ | 3,089,857 | | $ | 665,800 | |
The accompanying notes are an integral part of the financial statements.
81
Schroder Mutual Funds
Statements of Changes in Net Assets
For the Years or Period Ended October 31,
| | International Alpha Fund | | International Multi-Cap Value
Fund | |
| | 2011 | | 2010 | | 2011 | | 2010 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | |
From Operations: | | | | | | | | | |
Net investment income | | $ | 682,428 | | $ | 408,545 | | $ | 492,619 | | $ | 361,490 | |
Net realized gain (loss) on investments, option contracts, futures and foreign currency transactions | | 5,013,766 | | 5,626,787 | | 586,850 | | 640,382 | |
Change in unrealized appreciation (depreciation) on investments, option contracts, futures, forward foreign currency contracts and foreign currency translations | | (12,250,095 | ) | 4,307,126 | | (2,246,632 | ) | 856,357 | |
Net increase (decrease) in net assets resulting from operations | | (6,553,901 | ) | 10,342,458 | | (1,167,163 | ) | 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 | ) |
Institutional Class Shares | | — | | — | | — | | — | |
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 | | 13,034,938 | | 29,731,581 | | 2,652,229 | | 312,808 | |
Reinvestment of distributions | | 495,645 | | 226,636 | | 31,043 | | 310,675 | |
Redemption of shares | | (10,509,252 | ) | (3,818,042 | ) | (550,068 | ) | (79,997 | ) |
Redemption of shares in-kind | | — | | — | | — | | — | |
Redemption fees - Note 5 | | 6 | | 416 | | — | | — | |
Total increase (decrease) from Investor Share transactions | | 3,021,337 | | 26,140,591 | | 2,133,204 | | 543,486 | |
Advisor Shares: | | | | | | | | | |
Sales of shares | | 5,872,858 | | 4,386,896 | | 6,487,477 | | 777,133 | |
Reinvestment of distributions | | 520,745 | | 629,776 | | 32,922 | | 44,484 | |
Redemption of shares | | (27,076,776 | ) | (21,576,805 | ) | (1,269,137 | ) | (223,140 | ) |
Redemption fees - Note 5 | | 1,212 | | 2,061 | | 6,544 | | 148 | |
Total increase (decrease) from Advisor Share transactions | | (20,681,961 | ) | (16,558,072 | ) | 5,257,806 | | 598,625 | |
Institutional Shares: | | | | | | | | | |
Sales of shares | | — | | — | | — | | — | |
Reinvestment of distributions | | — | | — | | — | | — | |
Redemption of shares | | — | | — | | — | | — | |
Redemption fees - Note 5 | | — | | — | | — | | — | |
Total increase from Institutional Share transactions | | — | | — | | — | | — | |
Net increase (decrease) in net assets from share transactions | | (17,660,624 | ) | 9,582,519 | | 7,391,010 | | 1,142,111 | |
Total increase (decrease) in net assets | | (25,849,561 | ) | 19,003,665 | | 5,795,273 | | 2,645,049 | |
Net Assets | | | | | | | | | |
Beginning of year/period | | 74,299,434 | | 55,295,769 | | 13,216,787 | | 10,571,738 | |
End of year/period | | $ | 48,449,873 | | $ | 74,299,434 | | $ | 19,012,060 | | $ | 13,216,787 | |
Undistributed (distributions in excess of) net investment income | | $ | 466,709 | | $ | 279,748 | | $ | 498,614 | | $ | 304,453 | |
The accompanying notes are an integral part of the financial statements.
82
| | Global Quality
Fund | | Total Return Fixed Income Fund | |
| | 2011* | | 2011 | | 2010 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | |
From Operations: | | | | | | | |
Net investment income | | $ | 1,021,745 | | $ | 2,939,710 | | $ | 6,363,225 | |
Net realized gain (loss) on investments, option contracts, futures and foreign currency transactions | | (847,877 | ) | 2,039,062 | † | 10,952,633 | † |
Change in unrealized appreciation (depreciation) on investments, option contracts, futures, forward foreign currency contracts and foreign currency translations | | (1,155,790 | ) | (1,388,100 | ) | (2,004,790 | ) |
Net increase (decrease) in net assets resulting from operations | | (981,922 | ) | 3,590,672 | | 15,311,068 | |
| | | | | | | |
Dividends and Distributions to Shareholders: | | | | | | | |
Net investment income: | | | | | | | |
Investor Shares | | — | | (3,068,016 | ) | (6,399,877 | ) |
Advisor Shares | | — | | (81,495 | ) | (204,227 | ) |
Institutional Class Shares | | (57,642 | ) | — | | — | |
Net realized gains: | | | | | | | |
Investor Shares | | — | | (3,551,562 | ) | (5,972,324 | ) |
Advisor Shares | | — | | (109,017 | ) | (188,056 | ) |
Total dividends and distributions | | (57,642 | ) | (6,810,090 | ) | (12,764,484 | ) |
| | | | | | | |
Share Transactions: | | | | | | | |
Investor Shares: | | | | | | | |
Sales of shares | | — | | 39,023,730 | | 74,398,741 | |
Reinvestment of distributions | | — | | 5,723,308 | | 11,301,057 | |
Redemption of shares | | — | | (17,135,071 | ) | (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 | | — | | (35,715,173 | ) | (38,517,817 | ) |
Advisor Shares: | | | | | | | |
Sales of shares | | — | | 1,078,832 | | 1,717,746 | |
Reinvestment of distributions | | — | | 164,998 | | 319,565 | |
Redemption of shares | | — | | (2,732,306 | ) | (4,938,214 | ) |
Redemption fees - Note 5 | | — | | — | | — | |
Total increase (decrease) from Advisor Share transactions | | — | | (1,488,476 | ) | (2,900,903 | ) |
Institutional Shares: | | | | | | | |
Sales of shares | | 70,851,958 | | — | | — | |
Reinvestment of distributions | | 55,906 | | — | | — | |
Redemption of shares | | (3,239,888 | ) | — | | — | |
Redemption fees - Note 5 | | 6,187 | | — | | — | |
Total increase from Institutional Share transactions | | 67,674,163 | | — | | — | |
Net increase (decrease) in net assets from share transactions | | 67,674,163 | | (37,203,649 | ) | (41,418,720 | ) |
Total increase (decrease) in net assets | | 66,634,599 | | (40,423,067 | ) | (38,872,136 | ) |
Net Assets | | | | | | | |
Beginning of year/period | | — | | 126,979,814 | | 165,851,950 | |
End of year/period | | $ | 66,634,599 | | $ | 86,556,747 | | $ | 126,979,814 | |
Undistributed (distributions in excess of) net investment income | | $ | 1,156,269 | | $ | (49,040 | ) | $ | (105,856 | ) |
† Includes realized gains or losses from in-kind transactions (see Note 7 in Notes to Financial Statements).
* Fund commenced investment activities on November 9, 2010.
The accompanying notes are an integral part of the financial statements.
83
Schroder Mutual Funds
Financial Highlights
For the Years or Period 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 | |
North American Equity Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 9.20 | | $ | 0.18 | | $ | 0.53 | | $ | 0.71 | | $ | (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 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 9.17 | | $ | 0.17 | | $ | 0.51 | | $ | 0.68 | | $ | (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 | ) |
U.S. Opportunities Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 21.94 | | $ | (0.09 | )(1) | $ | 0.92 | † | $ | 0.83 | | $ | — | | $ | — | | $ | — | |
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 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 21.73 | | $ | (0.15 | )(1) | $ | 0.91 | | $ | 0.76 | | $ | — | | $ | — | | $ | — | |
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 | ) |
U.S. Small and Mid Cap Opportunities Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 11.23 | | $ | 0.03 | (1) | $ | 0.56 | † | $ | 0.59 | | $ | — | | $ | (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 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 11.11 | | $ | — | (1)(b) | $ | 0.55 | † | $ | 0.55 | | $ | — | | $ | (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 | | — | | — | | — | |
Emerging Market Equity Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 13.42 | | $ | 0.18 | (1) | $ | (1.21 | )† | $ | (1.03 | ) | $ | (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 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 13.36 | | $ | 0.14 | (1) | $ | (1.19 | )† | $ | (1.05 | ) | $ | (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 | ) |
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 | |
North American Equity Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 9.76 | | 7.70 | % | $ | 513,589 | | 0.37 | % | 0.37 | % | 1.63 | % | 72 | % |
2010 | | 9.20 | | 15.68 | | 489,133 | | 0.39 | | 0.39 | | 1.76 | | 88 | |
2009 | | 8.09 | | 10.59 | | 375,315 | | 0.43 | | 0.43 | | 2.09 | | 85 | |
2008 | | 7.58 | | (34.81 | ) | 486,931 | | 0.35 | | 0.35 | | 1.94 | | 131 | |
2007 | | 13.52 | | 15.08 | | 809,998 | | 0.33 | | 0.33 | | 1.82 | | 38 | |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 9.73 | | 7.43 | % | $ | 169 | | 0.72 | % | 0.72 | % | 1.27 | % | 72 | % |
2010 | | 9.17 | | 15.27 | | 170 | | 0.74 | | 0.74 | | 1.41 | | 88 | |
2009 | | 8.07 | | 10.28 | | 116 | | 0.78 | | 0.78 | | 1.69 | | 85 | |
2008 | | 7.55 | | (35.08 | ) | 102 | | 0.70 | | 0.70 | | 1.57 | | 131 | |
2007 | | 13.48 | | 14.66 | | 133 | | 0.68 | | 0.68 | | 1.41 | | 38 | |
U.S. Opportunities Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 22.77 | | 3.78 | % | $ | 149,941 | | 1.29 | % | 1.29 | % | (0.39 | )% | 91 | % |
2010 | | 21.94 | | 20.88 | | 173,625 | | 1.33 | | 1.33 | | (0.52 | ) | 57 | |
2009 | | 18.15 | | 14.95 | | 162,694 | | 1.40 | | 1.40 | | (0.45 | ) | 64 | |
2008 | | 15.79 | | (31.08 | ) | 178,772 | | 1.25 | | 1.25 | | (0.29 | ) | 74 | |
2007 | | 25.40 | | 20.02 | | 302,351 | | 1.25 | | 1.25 | | 0.10 | | 77 | |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 22.49 | | 3.50 | % | $ | 2,732 | | 1.54 | % | 1.54 | % | (0.65 | )% | 91 | % |
2010 | | 21.73 | | 20.66 | | 2,957 | | 1.58 | | 1.58 | | (0.77 | ) | 57 | |
2009 | | 18.01 | | 14.64 | | 2,800 | | 1.65 | | 1.65 | | (0.71 | ) | 64 | |
2008 | | 15.71 | | (31.28 | ) | 3,337 | | 1.50 | | 1.50 | | (0.54 | ) | 74 | |
2007 | | 25.32 | | 19.76 | | 5,910 | | 1.50 | | 1.50 | | (0.17 | ) | 77 | |
U.S. Small and Mid Cap Opportunities Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 11.56 | | 5.21 | % | $ | 209,199 | | 1.05 | % | 1.25 | % | 0.21 | % | 100 | % |
2010 | | 11.23 | | 19.85 | | 111,939 | | 1.05 | | 1.52 | | (0.13 | ) | 122 | |
2009 | | 9.37 | | 17.71 | | 36,103 | | 1.05 | | 2.32 | | (0.04 | ) | 75 | |
2008 | | 7.96 | | (32.31 | ) | 11,999 | | 1.37 | | 2.74 | | (0.38 | ) | 92 | |
2007 | | 12.56 | | 22.60 | | 10,197 | | 1.40 | | 3.13 | | (0.23 | ) | 93 | |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 11.40 | | 4.90 | % | $ | 6,974 | | 1.30 | % | 1.52 | % | 0.00 | % | 100 | % |
2010 | | 11.11 | | 19.59 | | 9,793 | | 1.30 | | 1.77 | | (0.38 | ) | 122 | |
2009 | | 9.29 | | 17.45 | | 3,584 | | 1.30 | | 2.33 | | (0.40 | ) | 75 | |
2008 | | 7.91 | | (32.56 | ) | 230 | | 1.64 | | 3.01 | | (0.55 | ) | 92 | |
2007 | | 12.53 | | 22.48 | | 1,420 | | 1.65 | | 3.37 | | (0.45 | ) | 93 | |
Emerging Market Equity Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 12.29 | | (7.73 | )% | $ | 234,258 | | 1.25 | % | 1.34 | % | 1.34 | % | 69 | % |
2010 | | 13.42 | | 18.97 | | 152,681 | | 1.25 | | 1.53 | | 0.82 | | 75 | |
2009 | | 11.34 | | 62.38 | | 33,479 | | 1.25 | | 2.61 | | 1.34 | | 91 | |
2008 | | 6.99 | | (55.18 | ) | 16,312 | | 1.72 | | 2.51 | | 0.53 | | 123 | |
2007 | | 17.91 | | 70.50 | | 27,774 | | 1.75 | | 2.68 | | 0.37 | | 107 | |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 12.23 | | (7.95 | )% | $ | 95,602 | | 1.50 | % | 1.59 | % | 1.05 | % | 69 | % |
2010 | | 13.36 | | 18.60 | | 87,577 | | 1.50 | | 1.81 | | 0.64 | | 75 | |
2009 | | 11.32 | | 62.41 | | 14,021 | | 1.50 | | 2.47 | | 0.55 | | 91 | |
2008 | | 6.97 | | (55.25 | ) | 1,061 | | 1.98 | | 2.73 | | 0.20 | | 123 | |
2007 | | 17.86 | | 70.09 | | 2,594 | | 2.00 | | 2.95 | | 0.08 | | 107 | |
† | | Includes redemption fees. Amount was less than $0.01 per share. |
†† | | 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. |
(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) | | Amount was less than $0.01 per share. |
The accompanying notes are an integral part of the financial statements.
85
Schroder Mutual Funds
Financial Highlights
For the Years or Period 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 | | 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 | | $ | 0.10 | (1) | $ | (1.01 | )† | $ | (0.91 | ) | $ | (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 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 10.47 | | $ | 0.10 | (1) | $ | (1.02 | )† | $ | (0.92 | ) | $ | (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 | ) |
International Multi-Cap Value Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 8.95 | | $ | 0.28 | (1) | $ | (0.60 | ) | $ | (0.32 | ) | $ | (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 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 8.94 | | $ | 0.24 | (1) | $ | (0.58 | )† | $ | (0.34 | ) | $ | (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 | ) |
Global Quality Fund | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | |
2011(b) | | $ | 100.00 | | $ | 2.36 | (1) | $ | (1.43 | )† | $ | 0.93 | | $ | (0.23 | ) | $ | — | | $ | (0.23 | ) |
Total Return Fixed Income Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 10.50 | | $ | 0.32 | | $ | 0.13 | | $ | 0.45 | | $ | (0.32 | ) | $ | (0.30 | ) | $ | (0.62 | ) |
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 | ) |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 10.51 | | $ | 0.29 | | $ | 0.13 | | $ | 0.42 | | $ | (0.29 | ) | $ | (0.30 | ) | $ | (0.59 | ) |
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 | ) |
The accompanying notes are an integral part of the financial statements.
86
| | 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 to Average Net
Assets (Including Waivers,
Reimbursements and
Offsets) | | Portfolio
Turnover
Rate | |
International Alpha Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 9.36 | | (8.87 | )% | $ | 44,038 | | 1.15 | % | 1.49 | % | 0.97 | % | 96 | % |
2010 | | 10.51 | | 18.90 | | 46,392 | | 1.15 | | 1.63 | | 0.82 | | 101 | |
2009 | | 9.00 | | 35.28 | | 15,878 | | 1.15 | | 1.75 | | 1.82 | | 109 | |
2008 | | 6.73 | | (48.95 | ) | 15,876 | | 1.25 | | 1.61 | | 1.26 | | 88 | |
2007 | | 13.44 | | 27.38 | | 28,483 | | 1.25 | | 1.54 | | 0.92 | | 112 | |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 9.34 | | (8.97 | )% | $ | 4,411 | | 1.40 | % | 1.72 | % | 0.91 | % | 96 | % |
2010 | | 10.47 | | 18.61 | | 27,908 | | 1.40 | | 1.89 | | 0.69 | | 101 | |
2009 | | 8.97 | | 34.84 | | 39,418 | | 1.40 | | 1.99 | | 1.49 | | 109 | |
2008 | | 6.71 | | (49.04 | ) | 15,430 | | 1.50 | | 1.86 | | 1.04 | | 88 | |
2007 | | 13.40 | | 26.92 | | 28,308 | | 1.50 | | 1.77 | | 0.60 | | 112 | |
International Multi-Cap Value Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 8.34 | | (3.72 | )% | $ | 12,245 | | 1.15 | % | 3.60 | % | 3.14 | % | 91 | % |
2010 | | 8.95 | | 16.96 | | 11,049 | | 1.15 | | 4.56 | | 3.20 | | 90 | |
2009 | | 7.91 | | 48.45 | | 9,230 | | 1.15 | | 5.49 | | 3.23 | | 140 | |
2008 | | 5.61 | | (50.61 | ) | 7,274 | | 1.25 | | 3.65 | | 3.92 | | 50 | |
2007 | | 13.65 | | 31.56 | | 12,479 | | 1.25 | | 3.85 | | 2.97 | | 58 | |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 8.33 | | (3.90 | )% | $ | 6,767 | | 1.40 | % | 3.89 | % | 2.73 | % | 91 | % |
2010 | | 8.94 | | 16.64 | | 2,168 | | 1.40 | | 4.83 | | 2.94 | | 90 | |
2009 | | 7.91 | | 48.42 | | 1,342 | | 1.40 | | 5.71 | | 3.01 | | 140 | |
2008 | | 5.59 | | (50.78 | ) | 771 | | 1.50 | | 3.89 | | 3.58 | | 50 | |
2007 | | 13.62 | | 31.31 | | 1,660 | | 1.50 | | 4.12 | | 2.76 | | 58 | |
Global Quality Fund | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | |
2011(b) | | $ | 100.70 | | 0.93 | % | $ | 66,635 | | 0.70 | % | 1.40 | % | 2.35 | % | 90 | %(c) |
Total Return Fixed Income Fund | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 10.33 | | 4.60 | % | $ | 84,038 | | 0.40 | % | 0.68 | % | 2.96 | % | 473 | % |
2010 | | 10.50 | | 9.09 | | 122,861 | | 0.40 | | 0.61 | | 3.69 | | 452 | |
2009 | | 10.33 | | 14.79 | | 158,900 | | 0.40 | | 0.72 | | 3.68 | | 590 | |
2008 | | 9.57 | | 1.93 | | 72,310 | | 0.40 | | 0.70 | | 4.03 | | 555 | |
2007 | | 9.79 | | 4.90 | | 71,259 | | 0.40 | | 0.96 | | 4.97 | | 464 | |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 10.34 | | 4.34 | % | $ | 2,519 | | 0.65 | % | 0.94 | % | 2.71 | % | 473 | % |
2010 | | 10.51 | | 8.82 | | 4,118 | | 0.65 | | 0.87 | | 3.47 | | 452 | |
2009 | | 10.34 | | 14.61 | | 6,952 | | 0.65 | | 0.98 | | 3.39 | | 590 | |
2008 | | 9.57 | | 1.67 | | 996 | | 0.65 | | 0.95 | | 3.78 | | 555 | |
2007 | | 9.79 | | 4.53 | | 852 | | 0.65 | | 1.48 | | 4.73 | | 464 | |
† | | Includes redemption fees. Amount was less than $0.01 per share. |
†† | | Includes redemption fees of $0.01 per share. |
(1) | | Per share net investment income 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. |
(b) | | Fund commenced investment activities on November 9, 2010. |
(c) | | Not annualized. |
The accompanying notes are an integral part of the financial statements.
87
Notes to Financial Statements
October 31, 2011
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 diversified series: Schroder North American Equity Fund, Schroder Global Value Fund (formerly Schroder QEP Global Value Fund) and Schroder Global Quality Fund (formerly 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 diversified series: Schroder U.S. Opportunities Fund and Schroder International Alpha 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 six separate series, five of which are diversified: Schroder U.S. Small and Mid Cap Opportunities Fund, Schroder Emerging Market Equity Fund, Schroder International Multi-Cap Value 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”), and one of which is non-diversified: Schroder Absolute Return EMD and Currency Fund. On April 1, 2011, Schroder U.S. Small and Mid Cap Opportunities Fund closed to new investors. The financial statements for the Schroder Multi-Asset Growth Portfolio, which was in liquidation as of October 31, 2011, are presented separately.
As of the date of these financial statements, Schroder Global Value Fund and Schroder Absolute Return EMD and Currency 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 (“U.S. 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 U.S. GAAP:
VALUATION OF INVESTMENTS: Portfolio securities, including exchange traded fund (“ETF”) shares, 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 are valued at the closing mid-market price. Prices used for valuations generally are provided by independent pricing services. Investments in registered investment companies are priced at each Fund’s daily net asset value. 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. Such valuations may use a matrix, formula or other objective method that takes into consideration market indices, matrices, yield curves and other specific adjustments. 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
88
Notes to Financial Statements (continued)
October 31, 2011
when under normal conditions it would be 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.
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 Emerging Market Equity Fund, Schroder International Alpha Fund, Schroder International Multi-Cap Value Fund and Schroder Global Quality Fund 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 Emerging Market Equity Fund, Schroder International Alpha Fund, Schroder International Multi-Cap Value Fund and Schroder Global Quality Fund, 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 year ended October 31, 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 qualify, or 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 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 year ended October 31, 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 year, the Funds did not incur any interest or penalties.
89
Notes to Financial Statements (continued)
October 31, 2011
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 and expense 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 gains 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.
ORGANIZATION AND OFFERING COSTS: During the period ended October 31, 2011, the Schroder Global Quality Fund commenced operations and incurred offering costs of $68,218. Schroder Investment Management North America, Inc. (“SIMNA”) absorbed $54,526 of the offering costs for Schroder Global Quality Fund. The amortized portion of the offering costs and the amount absorbed by SIMNA are included in “Organization Costs” and “Reimbursement from Investment Advisor” on the Statements of Operations. The remaining offering costs are being amortized over a 12-month period from Schroder Global Quality Fund’s inception date and are reflected as “Deferred offering costs” in the Statements of Assets and Liabilities.
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 purchases 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 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 were utilized 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
90
Notes to Financial Statements (continued)
October 31, 2011
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 Emerging Market Equity Fund and Schroder International Alpha Fund 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.
91
Notes to Financial Statements (continued)
October 31, 2011
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, Advisor Shares and Institutional 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 | | Institutional
Shares | |
Schroder North American Equity Fund | | 0.25 | % | N/A | | N/A | | N/A | |
Schroder U.S. Opportunities Fund | | 1.00 | % | 1.70 | % | 1.95 | % | N/A | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 1.00 | % | 1.05 | % | 1.30 | % | N/A | |
Schroder Emerging Market Equity Fund | | 1.00 | % | 1.25 | % | 1.50 | % | N/A | |
Schroder International Alpha Fund | | 0.975 | % | 1.15 | % | 1.40 | % | N/A | |
Schroder International Multi-Cap Value Fund | | 1.00 | % | 1.15 | % | 1.40 | % | N/A | |
Schroder Global Quality Fund | | 0.55 | % | N/A | | N/A | | 0.70 | % |
Schroder Total Return Fixed Income Fund | | 0.25 | % | 0.40 | % | 0.65 | % | N/A | |
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 North American Equity Fund, Schroder Emerging Market Equity Fund, Schroder International Alpha Fund, Schroder International Multi-Cap Value Fund and Schroder Global Quality Fund. 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 and Schroder Global Quality 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 U.S. Opportunities Fund’s and Schroder International Alpha Fund’s advisory fees.
Effective November 1, 2010, under (i) amended sub-administration and accounting agreements with SEI Investments Global Funds Services (“SEI”), the SCFD Funds and the SGST Funds, other than Schroder North American Equity Fund, and (ii) an amended administration and accounting agreement with SEI, the SST Funds, pay fees to SEI based on the aggregate 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. Each Fund pays its pro rata portion of such fees.
Prior to November 1, 2010, under (i) sub-administration and accounting agreements with SEI, the SCFD Funds, and (ii) an administration and accounting agreement with SEI, the SST Funds, paid fees to SEI based on the aggregate 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
92
Notes to Financial Statements (continued)
October 31, 2011
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 fees.
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 Advisor Shares. Under the Plan, a Fund may make payments at an annual rates of up to 0.25% of the average daily net assets attributable to their Advisor Shares to compensate Schroder Advisors for distribution services and certain shareholder services with respect to the Funds’ 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.
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. The year-end fair values on the Schedules of Investments and the amounts of realized and changes in unrealized gains and losses as disclosed on the Statements of Operations are generally indicative of the volume of the Fund’s derivative activity for the year.
The fair value of derivative instruments as of October 31, 2011, was as follows:
| | Statement of Assets | | Asset | | Liability | |
Fund | | and Liabilities Location | | Derivatives | | Derivatives | |
| | | | | | | |
Schroder North American Equity Fund | | | | | |
Equity contracts | | Unrealized appreciation/(depreciation) on futures contracts | | $ | 4,420,351 | | $ | — | |
Foreign exchange contracts | | Unrealized appreciation/(depreciation) on forward foreign currency contracts | | 2,318 | | (631,945 | ) |
| | | | $ | 4,422,669 | | $ | (631,945 | ) |
| | | | | | | |
Schroder Emerging Market Equity Fund | | | | | |
Equity Contracts | | Investments in securities, at value | | $ | 4,554,987 | | $ | — | |
| | | | | | | |
Schroder International Multi-Cap Value Fund | | | | | |
Foreign exchange contracts | | Unrealized appreciation/(depreciation) on forward foreign currency contracts | | $ | 9,994 | | $ | (19,935 | ) |
| | | | | | | |
Schroder Global Quality Fund | | | | | |
Foreign exchange contracts | | Unrealized appreciation/(depreciation) on forward foreign currency contracts | | $ | 5,099 | | $ | (41,421 | ) |
| | | | | | | |
Schroder Total Return Fixed Income Fund | | | | | |
Interest rate contracts | | Unrealized appreciation/(depreciation) on futures contracts | | $ | 244,877 | | $ | (70,944 | ) |
93
Notes to Financial Statements (continued)
October 31, 2011
The effect of derivative instruments on the Statement of Operations for the year or period ended October 31, 2011, was as follows:
The amount of realized and unrealized gain (loss) on derivatives recognized in income:
Fund | | Realized Gain (Loss) | | Change in Unrealized
Appreciation
(Depreciation) | | Total | |
| | | | | | | |
Schroder North American Equity Fund | | | | | | | |
Equity contracts | | | | | | | |
Futures contracts | | $ | 2,042,391 | | $ | 2,130,121 | | $ | 4,172,512 | |
Foreign exchange contracts | | | | | | | |
Forward contracts | | 1,133,408 | | (624,392 | ) | 509,016 | |
| | $ | 3,175,799 | | $ | 1,505,729 | | $ | 4,681,528 | |
| | | | | | | |
Schroder Emerging Market Equity Fund | | | | | | | |
Equity contracts | | | | | | | |
Equity-linked warrants | | $ | (246,452 | ) | $ | (950,143 | ) | $ | (1,196,595 | ) |
| | | | | | | |
Schroder International Alpha Fund | | | | | | | |
Equity contracts | | | | | | | |
Equity-linked warrants | | $ | 543,379 | | $ | (857,733 | ) | $ | (314,354 | ) |
| | | | | | | |
Schroder International Multi-Cap Value Fund | | | | | | | |
Equity contracts | | | | | | | |
Futures contracts | | $ | (208,786 | ) | $ | — | | $ | (208,786 | ) |
Foreign exchange contracts | | | | | | | |
Forward contracts | | 21,491 | | (9,941 | ) | 11,550 | |
| | $ | (187,295 | ) | $ | (9,941 | ) | $ | (197,236 | ) |
| | | | | | | |
Schroder Global Quality Fund | | | | | | | |
Equity contracts | | | | | | | |
Futures contracts | | $ | (311,983 | ) | $ | — | | $ | (311,983 | ) |
Foreign exchange contracts | | | | | | | |
Forward contracts | | 88,963 | | (36,322 | ) | 52,641 | |
| | $ | (223,020 | ) | $ | (36,322 | ) | $ | (259,342 | ) |
| | | | | | | |
Schroder Total Return Fixed Income Fund | | | | | | | |
Interest rate contracts | | | | | | | |
Futures contracts | | $ | 347,398 | | $ | 217,399 | | $ | 564,797 | |
Options | | 162,643 | | — | | 162,643 | |
| | $ | 510,041 | | $ | 217,399 | | $ | 727,440 | |
94
Notes to Financial Statements (continued)
October 31, 2011
NOTE 5 — REDEMPTION FEES
Schroder U.S. Opportunities Fund, Schroder U.S. Small and Mid Cap Opportunities Fund, Schroder Emerging Market Equity Fund, Schroder International Alpha Fund, Schroder International Multi-Cap Value Fund, and Schroder Global Quality Fund 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 year or period ended October 31, 2011 were as follows:
Schroder U.S. Opportunities Fund | | $ | 973 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 1,798 | |
Schroder Emerging Market Equity Fund | | 22,209 | |
Schroder International Alpha Fund | | 1,218 | |
Schroder International Multi-Cap Value Fund | | 6,544 | |
Schroder Global Quality Fund | | 6,187 | |
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, 2011, 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 and U.S. Government securities for each Fund, for the year or period ended October 31, 2011 were as follows:
| | Purchases | | Sales and Maturities | |
Schroder North American Equity Fund | | $ | 326,367,149 | | $ | 361,958,780 | |
Schroder U.S. Opportunities Fund | | 143,506,189 | | 169,853,362 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 275,990,958 | | 190,113,462 | |
Schroder Emerging Market Equity Fund | | 308,925,848 | | 195,968,383 | |
Schroder International Alpha Fund | | 67,339,370 | | 85,546,589 | |
Schroder International Multi-Cap Value Fund | | 21,854,269 | | 14,595,934 | |
Schroder Global Quality Fund | | 107,652,273 | | 40,081,894 | |
Schroder Total Return Fixed Income Fund | | 71,439,830 | | 80,973,686 | |
| | | | | | | |
Purchases and proceeds from sales and maturities of U.S. Government securities for the year ended October 31, 2011 were as follows:
| | Purchases | | Sales and Maturities | |
Schroder Total Return Fixed Income Fund | | $ | 402,176,299 | | $ | 430,180,336 | |
| | | | | | | |
95
Notes to Financial Statements (continued)
October 31, 2011
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 and October 31, 2011, Schroder Total Return Fixed Income Fund realized gains from in-kind redemptions of $2,493,006 and $963,090, respectively.
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 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, 2011, 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 North American Equity Fund | | $ | 474,388 | | $ | (481,030 | ) | $ | 6,642 | |
Schroder U.S. Opportunities Fund | | 690,596 | | 42,297 | | (732,893 | ) |
Schroder U.S. Small and Mid Cap Opportunities Fund | | (11,282 | ) | (16,699 | ) | 27,981 | |
Schroder Emerging Market Equity Fund | | (126,530 | ) | 126,530 | | — | |
Schroder International Alpha Fund | | 1,139,569 | | (1,139,569 | ) | — | |
Schroder International Multi-Cap Value Fund | | 130,116 | | (130,116 | ) | — | |
Schroder Global Quality Fund | | 192,166 | | (192,166 | ) | — | |
Schroder Total Return Fixed Income Fund | | 266,617 | | (1,231,815 | ) | 965,198 | |
| | | | | | | | | | |
96
Notes to Financial Statements (continued)
October 31, 2011
The tax character of dividends and distributions declared during the years or periods ended October 31, 2011 and October 31, 2010, was as follows:
| | Ordinary
Income | | Long-Term
Capital Gain | | Total | |
Schroder North American Equity Fund | | | | | | | |
2011 | | $ | 6,802,225 | | $ | — | | $ | 6,802,225 | |
2010 | | 6,698,938 | | — | | 6,698,938 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | | | | | | |
2011 | | — | | 2,832,021 | | 2,832,021 | |
2010 | | — | | — | | — | |
Schroder Emerging Market Equity Fund | | | | | | | |
2011 | | 1,702,283 | | — | | 1,702,283 | |
2010 | | 392,694 | | — | | 392,694 | |
Schroder International Alpha Fund | | | | | | | |
2011 | | 1,635,036 | | — | | 1,635,036 | |
2010 | | 921,312 | | — | | 921,312 | |
Schroder International Multi-Cap Value Fund | | | | | | | |
2011 | | 428,574 | | — | | 428,574 | |
2010 | | 355,291 | | — | | 355,291 | |
Schroder Global Quality Fund | | | | | | | |
2011 | | 57,642 | | — | | 57,642 | |
Schroder Total Return Fixed Income Fund | | | | | | | |
2011 | | 6,087,969 | | 722,121 | | 6,810,090 | |
2010 | | 11,879,530 | | 884,954 | | 12,764,484 | |
| | | | | | | | | | |
As of October 31, 2011, 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 North American Equity Fund | | $ | 5,987,153 | | $ | — | | $ | (61,744,503 | ) | $ | 16,704,707 | | $ | (2 | ) | $ | (39,052,645 | ) |
Schroder U.S. Opportunities Fund | | — | | 5,123,091 | | — | | 19,577,722 | | 13 | | 24,700,826 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 416,576 | | 2,865,685 | | — | | 8,496,330 | | (10,916 | ) | 11,767,675 | |
Schroder Emerging Market Equity Fund | | 3,104,956 | | 1,928,376 | | — | | (5,237,548 | ) | (13,485 | ) | (217,701 | ) |
Schroder International Alpha Fund | | 463,284 | | — | | (8,934,666 | ) | (390,939 | ) | (2 | ) | (8,862,323 | ) |
Schroder International Multi-Cap Value Fund | | 569,678 | | — | | (2,440,646 | ) | (1,439,005 | ) | (24,287 | ) | (3,334,260 | ) |
Schroder Global Quality Fund | | 1,150,356 | | — | | (458,255 | ) | (1,723,572 | ) | (8,093 | ) | (1,039,564 | ) |
Schroder Total Return Fixed Income Fund | | 1,132,211 | | — | | — | | 2,016,023 | | (196,486 | ) | 2,951,748 | |
| | | | | | | | | | | | | | | | | | | |
As of October 31, 2011, 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 International Alpha Fund, which may be subject to annual limitations:
| | October 31, | |
| | 2017 | | 2019 | |
| | | | | |
Schroder North American Equity Fund | | $ | 61,744,503 | | $ | — | |
Schroder International Alpha Fund | | 8,934,666 | | — | |
Schroder International Multi-Cap Value Fund | | 2,440,646 | | — | |
Schroder Global Quality Fund | | — | | 458,255 | |
| | | | | | | |
97
Notes to Financial Statements (continued)
October 31, 2011
During the year ended October 31, 2011, the Funds listed below utilized capital loss carryforwards to offset capital gains:
Schroder North American Equity Fund | | $ | 39,074,769 | |
Schroder U.S. Opportunities Fund | | 11,578,862 | |
Schroder Emerging Market Equity Fund | | 836,401 | |
Schroder International Alpha Fund | | 3,916,824 | |
Schroder International Multi-Cap Value Fund | | 546,396 | |
Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, preenactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
At October 31, 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 North American Equity Fund | | $ | 492,314,323 | | $ | 50,264,283 | | $ | (32,930,020 | ) | $ | 17,334,263 | |
Schroder U.S. Opportunities Fund | | 134,293,908 | | 23,450,353 | | (3,872,631 | ) | 19,577,722 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 206,486,393 | | 16,084,309 | | (7,587,979 | ) | 8,496,330 | |
Schroder Emerging Market Equity Fund | | 337,848,392 | | 17,875,071 | | (22,875,276 | ) | (5,000,205 | ) |
Schroder International Alpha Fund | | 48,269,050 | | 3,090,814 | | (3,503,089 | ) | (412,275 | ) |
Schroder International Multi-Cap Value Fund | | 20,580,271 | | 1,065,700 | | (2,490,254 | ) | (1,424,554 | ) |
Schroder Global Quality Fund | | 67,744,649 | | 2,792,612 | | (4,468,762 | ) | (1,676,150 | ) |
Schroder Total Return Fixed Income Fund | | 100,165,045 | | 2,300,078 | | (259,617 | ) | 2,040,461 | |
| | | | | | | | | | | | | |
NOTE 9 — PORTFOLIO INVESTMENT RISKS
Schroder Emerging Market Equity Fund, Schroder International Alpha Fund, Schroder International Multi-Cap Value Fund and Schroder Global Quality Fund 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 Fund, Schroder International Multi-Cap Value Fund and Schroder Global Quality Fund 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.
98
Notes to Financial Statements (continued)
October 31, 2011
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 October 31, 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 North American Equity Fund | | 3 | | 93.13 | % |
Schroder U.S. Opportunities Fund | | 3 | | 74.95 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 3 | | 82.32 | |
Schroder Emerging Market Equity Fund | | 7 | | 64.26 | |
Schroder International Alpha Fund | | 4 | | 80.21 | |
Schroder International Multi-Cap Value Fund | | 3 | | 60.75 | |
Schroder Global Quality Fund | | 1 | | 11.04 | |
Schroder Total Return Fixed Income Fund | | 5 | | 71.64 | |
Some of the accounts shown above for Schroder North American Equity Fund, Schroder International Alpha Fund and Schroder International Multi-Cap Value Fund are owned by an affiliate of SIMNA.
NOTE 11 — LINE OF CREDIT
The Funds 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. For the year ended October 31, 2011, the International Alpha Fund utilized the line of credit for varying amounts up to $5,483,836 for a period of 4 days paying interest of $636, which is included in the Statement of Operations as custody expense.
NOTE 12 — CAPITAL SHARE TRANSACTIONS
Capital share transactions for the Year or Period ended October 31, 2011 and the Year Ended October 31, 2010, were as follows:
| | North American Equity
Fund | | U.S. Opportunities Fund | | U.S. Small and Mid Cap
Opportunities Fund | |
| | 2011 | | 2010 | | 2011 | | 2010 | | 2011 | | 2010 | |
Investor Shares: | | | | | | | | | | | | | |
Sales of shares | | 8,123,797 | | 9,782,983 | | 430,858 | | 447,471 | | 15,742,261 | | 8,095,115 | |
Reinvestment of distributions | | 605,088 | | 578,323 | | — | | — | | 161,627 | | — | |
Redemption of shares | | (9,292,092 | ) | (3,582,781 | ) | (1,757,970 | ) | (1,501,173 | ) | (7,767,722 | ) | (1,980,904 | ) |
Net increase (decrease) in Investor Shares | | (563,207 | ) | 6,778,525 | | (1,327,112 | ) | (1,053,702 | ) | 8,136,166 | | 6,114,211 | |
Advisor Shares: | | | | | | | | | | | | | |
Sales of shares | | 4,849 | | 4,777 | | 19,918 | | 17,209 | | 200,650 | | 568,099 | |
Reinvestment of distributions | | 237 | | 206 | | — | | — | | 19,144 | | — | |
Redemption of shares | | (6,285 | ) | (756 | ) | (34,550 | ) | (36,523 | ) | (489,354 | ) | (72,187 | ) |
Net increase (decrease) in Advisor Shares | | (1,199 | ) | 4,227 | | (14,632 | ) | (19,314 | ) | (269,560 | ) | 495,912 | |
99
Notes to Financial Statements (continued)
October 31, 2011
| | Emerging Market Equity
Fund | | International Alpha Fund | | International Multi-Cap
Value Fund | |
| | 2011 | | 2010 | | 2011 | | 2010 | | 2011 | | 2010 | |
Investor Shares: | | | | | | | | | | | | | |
Sales of shares | | 10,777,360 | | 9,328,153 | | 1,243,461 | | 3,034,459 | | 293,828 | | 38,779 | |
Reinvestment of distributions | | 76,839 | | 13,395 | | 47,340 | | 24,239 | | 3,560 | | 39,426 | |
Redemption of shares | | (3,168,303 | ) | (912,952 | ) | (1,003,487 | ) | (408,244 | ) | (64,097 | ) | (10,036 | ) |
Net increase in Investor Shares | | 7,685,896 | | 8,428,596 | | 287,314 | | 2,650,454 | | 233,291 | | 68,169 | |
Advisor Shares: | | | | | | | | | | | | | |
Sales of shares | | 3,916,396 | | 7,580,351 | | 560,766 | | 475,440 | | 717,925 | | 95,234 | |
Reinvestment of distributions | | 34,806 | | 13,038 | | 49,737 | | 67,428 | | 3,775 | | 5,638 | |
Redemption of shares | | (2,690,491 | ) | (2,278,788 | ) | (2,802,736 | ) | (2,270,844 | ) | (151,989 | ) | (28,034 | ) |
Net increase (decrease) in Advisor Shares | | 1,260,711 | | 5,314,601 | | (2,192,233 | ) | (1,727,976 | ) | 569,711 | | 72,838 | |
| | Global
Quality
Fund | | Total Return Fixed
Income Fund | |
| | 2011(a) | | 2011 | | 2010 | |
Investor Shares: | | | | | | | |
Sales of shares | | — | | 3,872,772 | | 7,159,758 | |
Reinvestment of distributions | | — | | 570,983 | | 1,109,605 | |
Redemption of shares | | — | | (1,712,566 | ) | (5,256,665 | ) |
Redemption of shares in-kind | | — | | (6,301,208 | ) | (6,682,727 | ) |
Net decrease in Investor Shares | | — | | (3,570,019 | ) | (3,670,029 | ) |
Advisor Shares: | | | | | | | |
Sales of shares | | — | | 104,834 | | 164,994 | |
Reinvestment of distributions | | — | | 16,447 | | 31,501 | |
Redemption of shares | | — | | (269,637 | ) | (476,605 | ) |
Net decrease in Advisor Shares | | — | | (148,356 | ) | (280,110 | ) |
Institutional Class Shares: | | | | | | | |
Sales of shares | | 692,526 | | — | | — | |
Reinvestment of distributions | | 547 | | — | | — | |
Redemption of shares | | (31,382 | ) | — | | — | |
Net increase in Institutional Class Shares | | 661,691 | | — | | — | |
(a) Fund commenced investment activities on November 9, 2010.
100
Notes to Financial Statements (concluded)
October 31, 2011
NOTE 13 — LITIGATION
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 intentional and constructive 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 has joined in motions to dismiss that were previously been filed by other defendants. By order dated October 6, 2011, the motions to dismiss were granted with respect to the constructive fraudulent transfer claims. The motions to dismiss remain pending with respect to the intentional fraudulent transfer claims. The possible outcome of the action is currently uncertain.
NOTE 14 — RECENT ACCOUNTING PRONOUNCEMENTS
In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective Control of Repurchase Agreements”. ASU 2011-03 is an amendment to Topic 860 “Transfers and Servicing”. These amendments simplify the accounting for repurchase agreements by eliminating the requirement that the transferor demonstrate it has adequate collateral to fund substantially all the cost of purchasing replacement assets. As a result, more arrangements could be accounted for as secured borrowings rather than sales. The guidance applies to public and nonpublic companies and is effective for interim and annual reporting periods beginning on or after December 15, 2011. The guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. Early adoption is not allowed. At this time, management is evaluating the implications of ASU 2011-03 and its impact on the financial statements.
In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
NOTE 15 — 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 October 31, 2011.
The Trustees of SST have approved the liquidation of Schroder Multi-Asset Growth Portfolio. The liquidation is expected to occur on or about December 15, 2011.
101
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Schroder Global Series Trust,
Schroder Capital Funds (Delaware) and
Schroder Series Trust
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Schroder North American Equity Fund and Schroder Global Quality Fund (constituting part of Schroder Global Series Trust), Schroder U.S. Opportunities Fund and Schroder International Alpha Fund, (constituting Schroder Capital Funds (Delaware)) and Schroder International Multi-Cap Value Fund, Schroder U.S. Small and Mid Cap Opportunities Fund, Schroder Emerging Market Equity Fund and Schroder Total Return Fixed Income Fund (constituting part of the Schroder Series Trust) (collectively referred to as the “Funds”) at October 31, 2011, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 23, 2011
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Information Regarding Review and Approval of Investment Advisory Contracts (unaudited)
RENEWAL OF INVESTMENT ADVISORY AGREEMENTS FOR THE SCHRODER MUTUAL FUNDS
The Advisory Agreements for all of the Schroder Mutual Funds (the “Funds”) are subject to annual approval by the Trustees of the Funds. The Trustees meet over the course of the year with investment advisory personnel from Schroder Investment Management North America Inc. (“SIMNA”) and regularly review detailed information regarding the investment program and performance of each Fund. The Trustees met in June 2011 to consider the continuation of the Advisory Agreements in respect of each of the Funds included in this report for the following year. The Trustees considered a number of factors, though they did not identify one particular factor alone that they considered determinative. Factors considered by the Trustees included those described below, among others. The Trustees considered the fees charged by SIMNA to the Funds under the Advisory Agreements, and the fees payable by SIMNA to Schroder Investment Management North America Limited (“SIMNA Ltd.”) as sub-advisor to Schroder Emerging Market Equity Fund, Schroder International Alpha Fund, Schroder International Multi-Cap Value Fund, Schroder North American Equity Fund, Schroder Global Quality Fund and Schroder Global Value Fund out of the fees received by SIMNA with respect to such Funds. The Trustees also considered the total expense ratio of each of the Funds. The Trustees reviewed the information provided by SIMNA and compiled by the independent Lipper organization showing a comparison of SIMNA’s fee rate for each Fund, as well as each Fund’s expense ratio, and each Fund’s brokerage commissions compared to peer mutual funds having similar objectives, strategies, and asset sizes. The Trustees also considered information provided by SIMNA as to the fees charged by SIMNA to clients other than the Funds, including institutional separate accounts, private funds, offshore funds and mutual funds for which SIMNA serves as sub-advisor.
The Trustees noted that the advisory fees or the advisory and administrative fees charged by SIMNA to the Funds appeared generally to be fair compared to those paid by other clients of SIMNA and that SIMNA generally charges lower fees to third-party mutual funds for which SIMNA serves as sub-advisor. Representatives of SIMNA reviewed with the Trustees the reasons for the differences between the fees charged to the Funds and to those third-party mutual funds, citing, among other things, the fact that the services and resources required of SIMNA where it sub-advises mutual funds sponsored by others are substantially less than in the case of the Funds, since many of the compliance and regulatory responsibilities related to the management function are retained in part by the primary advisor. The Trustees also noted that in many cases the fees charged to SIMNA’s separate account clients are lower than those charged to the Funds. Representatives of SIMNA stated that this is primarily due to the fact that the compliance, legal, and administrative burdens of providing investment advice to mutual funds exceed those required to provide advisory services to non-mutual fund clients and that management of public mutual funds generally subjects SIMNA and SIMNA Ltd. to increased regulatory and enterprise risk. Representatives of SIMNA also reported that the Funds require the resources necessary to conduct daily valuation and to satisfy liquidity requirements, which is not necessarily the case for separate account clients. Representatives of SIMNA also noted that fees charged to institutional or high net worth clients are determined in the context of the competitive market in which the products are offered.
The Trustees considered the profitability analysis with respect to each Fund for the years ended December 31, 2010 and December 31, 2009. The Trustees noted that the profitability improved in the calendar year ended December 31, 2010 as compared to the calendar year ended December 31, 2009 as assets under management had grown. The Trustees noted that in the calendar year ended December 31, 2010, Schroder U.S. Opportunities Fund paid fees at a relatively high rate to SIMNA and that SIMNA realized a substantial profit from the relationship. Representatives of SIMNA noted that Schroder U.S. Opportunities Fund and Schroder U.S. Small and Mid Cap Opportunities Fund were closed to new investors. In addition, SIMNA noted its belief that the long-term very favorable performance of Schroder U.S. Opportunities Fund, the Fund’s limited capacity, and the amount of resources the strategy demands justify the relatively high fee charged by SIMNA and the level of profitability it derives. The Trustees concluded that the profitability of the Funds, including Schroder U.S. Opportunities Fund, to SIMNA did not appear unreasonable in light of services rendered, the Funds’ performance and SIMNA’s investment of resources in the Funds. The Trustees considered whether economies of scale would likely be realized as the Funds grow and whether a reduction in the advisory fees paid by the Funds by means of breakpoints would be appropriate. They concluded, in light of the sizes of the Funds and their expected growth rates, that it did not appear necessary at this point for new breakpoints to be implemented, although they would continue to consider the matter in the future as the Funds grow. In addition, representatives of SIMNA noted that most
103
of the Funds were relatively small and, in its view, competitively priced, and that SIMNA believed that where it is recognizing profit from a product, the level of profitability is not excessive.
Representatives of SIMNA discussed with the Trustees the detailed fee and expense and performance information presented by Lipper for each of the Funds in connection with the proposed renewal of the Advisory Agreements. Representatives of SIMNA also explained that Lipper selects the peer group funds for the Funds with input from SIMNA. The Trustees noted that Lipper performance data also shows performance compared to benchmarks.
In reviewing the Lipper information, the Trustees considered the management fee for Schroder North American Equity Fund. The Trustees’ review showed that the Fund is strong in its performance and low in its overall expense ratio, with contractual and actual management fees (actual management fees are contractual management fees after any applicable fee waiver and/or expense limitation) ranking first out of fourteen peer group funds, and Investor Shares total expenses ranking in the first quintile and Advisor Shares total expenses ranking in the second quintile as measured by Lipper compared to peer group funds. The Trustees noted that non-management fee expenses remained below the median but higher than five other peer group funds. The Trustees noted that representatives of SIMNA had explained that expenses had risen, as a percentage of assets, as assets under management for the Fund had decreased. The Trustees also noted that the Fund’s performance in the last year was in the first quintile for Investor Shares and Advisor Shares compared to its Lipper peer group. The Trustees determined that Schroder North American Equity Fund’s management fee did not appear unreasonable in light of the information provided.
The Trustees’ review of Schroder International Multi-Cap Value Fund showed that, although the Fund’s contractual management fee was high and in the fourth quintile compared to its Lipper peer group, the actual management fee paid was in the second quintile, with Investor Shares total expense ranking in the first quintile and Advisor Shares ranking in the third quintile. The Trustees considered that the Fund ranked first in investment performance out of five peer group funds in the calendar year ended December 31, 2010. The Trustees also noted that the Fund had passed the three-year mark since inception without significant inflows, but that there had been an increase recently in assets under management for the Fund. The Trustees determined that Schroder International Multi-Cap Value Fund’s management fee did not appear unreasonable in light of the Fund’s performance record and the other information provided.
With respect to Schroder U.S. Opportunities Fund, the Trustees noted that, while the Fund’s performance was in the fourth quintile for the calendar year ended December 31, 2010 compared to its peer group, historically the Fund has had very competitive performance. The Trustees discussed with SIMNA the specific factors, including current market conditions and long-term nature of the Fund’s strategy that had led to underperformance in recent periods. Representatives of SIMNA noted in particular that the board equity market rise in the period following the 2008 financial crisis would favor momentum and pure growth advisers, and not research-oriented investors like the Fund’s managers. The Trustees noted that the Fund’s performance appeared to have improved since the calendar year ended December 31, 2010. While the Trustees noted that the Fund’s contractual management fee was in the fourth quintile and actual management fee was in the fifth quintile compared to the Fund’s peer group, and that the total expenses for Investor Shares were in the fourth quintile and total expenses for Advisor Shares were in the fifth quintile compared to its Lipper peer group, they determined that Schroder U.S. Opportunities Fund’s management fee and the total expense ratio did not appear unreasonable given the limited capacity and research intensive investment strategy of the Fund.
The Trustees noted that Schroder U.S. Small and Mid Cap Opportunities Fund’s contractual management fee was in the fifth quintile compared to its peer group, but the actual management fee paid was in the first quintile compared to its peer group, given the expense reimbursement arrangement. The Trustees also noted that, compared to the Fund’s peer group, total expenses for Investor Shares were in the first quintile, while total expenses for Advisor Shares were in the fourth quintile, reflecting among other things the distribution fee paid by the Advisory Shares. The Trustees discussed with SIMNA the specific factors, including current market conditions and the long-term nature of the Fund’s strategy that had led to underperformance in recent periods. The Trustees determined that the management fee did not appear unreasonable in light of the information provided and the historical performance of Schroder U.S. Small and Mid Cap Opportunities Fund, although they determined to continue to monitor the Fund’s performance.
104
As to Schroder International Alpha Fund, the Trustees noted that the contractual management fee was above the median and that the actual management fee was below the median when compared to the Fund’s peer group. They also noted that the Fund’s total expenses were in the second and fourth quintiles for Investor Shares and Advisor Shares, respectively, compared to the Fund’s peer group, and the Fund’s performance was third out of its peer group of five funds during the calendar year ended December 31, 2010 for both Investor Shares and Advisor Shares and fourth out of its peer group of five funds during the three-year period ended December 31, 2010. Representatives of SIMNA noted that the peer group was quite small, and that, when the Fund’s performance is measured against the entire comparative performance universe, it is in the first quintile for both its Investor Shares and Advisor Shares during the calendar year ended December 31, 2010. The Trustees determined that Schroder International Alpha Fund’s management fee did not appear unreasonable in light of the information provided and the historical performance of the Fund.
With respect to Schroder Emerging Market Equity Fund, the Trustees noted that, while the contractual management fee was in the third quintile, the actual management fee paid compared to its peer group was in the second quintile when compared to the Fund’s peer group. The Trustees also noted that total expenses were in the first quintile for Investor Shares and second quintile for Advisor Shares compared to the Fund’s peer group. The Trustees considered that, although the Fund had experienced fifth quintile performance during the calendar year ended December 31, 2010, its three-year performance record was in the first quintile when compared to the Fund’s peer group. The Trustees determined that the management fee did not appear unreasonable in light of the information provided and the Fund’s historical performance.
For Schroder Total Return Fixed Income Fund, the Trustees considered that the Fund has competitive contractual and actual management fees, ranking second out of sixteen peer group funds for contractual management fees and third out of sixteen peer group funds for actual management fees. They noted that expenses were ranked in the first quintile for Investor Shares and third quintile for Advisor Shares compared to peer group funds. The Trustees also noted that while the Fund’s performance was in the fourth quintile in the calendar year ended December 31, 2010, the Fund had outperformed many of its peers by a significant margin during and immediately following the recent financial crisis. The Trustees determined that Schroder Total Return Fixed Income Fund’s management fee did not appear unreasonable in light of the information provided, the quality of the Fund’s portfolio management team, and the Fund’s historical performance.
With respect to Schroder Global Quality Fund, representatives of SIMNA noted that the Fund launched in the latter part of the calendar year ended December 31, 2010 and that comparative data was therefore unavailable. With respect to Schroder Global Value Fund, representatives of SIMNA noted that the Fund has not yet commenced operations. In light of the information provided, the Trustees determined to continue the Funds’ contractual arrangements unchanged.
The Trustees considered the overall nature, extent, and quality of the services provided by SIMNA and SIMNA Ltd. and the non-advisory services provided by affiliates of SIMNA. In this regard, the Trustees took into account the experience of the Funds’ portfolio management teams and of SIMNA’s senior management, and the time and attention devoted by each to the Funds. After considering all the information described above, the Trustees at the meeting, including a majority of the Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended) of the Funds, SIMNA or SIMNA Ltd., in concluding that each of the Fund’s fees appeared reasonable, unanimously voted to approve the continuation of the Advisory Agreements in respect of each of the Funds, including the advisory fees proposed in connection with that continuation.
105
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 Mutual 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
5/1/11 | | Ending
Account
Value
10/31/11 | | Net
Annualized
Expense
Ratios | | Expenses
Paid
During
Period* | |
Schroder North American Equity Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 929.50 | | 0.37 | % | $ | 1.80 | |
Advisor Shares | | 1,000.00 | | 928.40 | | 0.72 | | 3.50 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,023.34 | | 0.37 | % | $ | 1.89 | |
Advisor Shares | | 1,000.00 | | 1,021.58 | | 0.72 | | 3.67 | |
| | | | | | | | | |
Schroder U.S. Opportunities Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 873.10 | | 1.29 | % | $ | 6.09 | |
Advisor Shares | | 1,000.00 | | 871.70 | | 1.54 | | 7.27 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,018.70 | | 1.29 | | $ | 6.56 | |
Advisor Shares | | 1,000.00 | | 1,017.44 | | 1.54 | | 7.83 | |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the account period, multiplied by 184/365 (to reflect the one-half year period).
106
| | Beginning
Account
Value
5/1/11 | | Ending
Account
Value
10/31/11 | | Net
Annualized
Expense
Ratios | | Expenses
Paid
During
Period* | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 885.80 | | 1.05 | % | $ | 4.99 | |
Advisor Shares | | 1,000.00 | | 885.10 | | 1.30 | | 6.18 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,019.91 | | 1.05 | % | $ | 5.35 | |
Advisor Shares | | 1,000.00 | | 1,018.65 | | 1.30 | | 6.61 | |
| | | | | | | | | |
Schroder Emerging Market Equity Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 825.40 | | 1.25 | % | $ | 5.75 | |
Advisor Shares | | 1,000.00 | | 824.10 | | 1.50 | | 6.90 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,018.90 | | 1.25 | | $ | 6.36 | |
Advisor Shares | | 1,000.00 | | 1,017.64 | | 1.50 | | 7.63 | |
| | | | | | | | | |
Schroder International Alpha Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 806.20 | | 1.15 | % | $ | 5.24 | |
Advisor Shares | | 1,000.00 | | 805.90 | | 1.40 | | 6.37 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,019.41 | | 1.15 | | $ | 5.85 | |
Advisor Shares | | 1,000.00 | | 1,018.15 | | 1.40 | | 7.12 | |
| | | | | | | | | |
Schroder International Multi-Cap Value Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 844.10 | | 1.15 | % | $ | 5.35 | |
Advisor Shares | | 1,000.00 | | 843.10 | | 1.40 | | 6.50 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,019.41 | | 1.15 | | $ | 5.85 | |
Advisor Shares | | 1,000.00 | | 1,018.15 | | 1.40 | | 7.12 | |
| | | | | | | | | |
Schroder Global Quality Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Institutional Class Shares | | $ | 1,000.00 | | $ | 894.70 | | 0.70 | % | $ | 3.34 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Institutional Class Shares | | $ | 1,000.00 | | $ | 1,021.68 | | 0.70 | | $ | 3.57 | |
| | | | | | | | | |
Schroder Total Return Fixed Income Fund | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,040.40 | | 0.40 | % | $ | 2.06 | |
Advisor Shares | | 1,000.00 | | 1,039.00 | | 0.65 | | 3.34 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,023.19 | | 0.40 | | $ | 2.04 | |
Advisor Shares | | 1,000.00 | | 1,021.93 | | 0.65 | | 3.31 | |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the account period, multiplied by 184/365 (to reflect the one-half year period).
107
Trustees and Officers (unaudited)
Additional information regarding the Trustees is included in the Funds’ Statement of Additional Information, which is available free of charge by calling (800) 464-3108.
Name, Age
and Address | | Position(s)
Held with the
Trusts | | Term of Office
and Length of
Time Served | | Principal Occupation
During Past 5 Years | | Number of
Series
In Fund
Complex
Overseen by
Board
Member (a) | | Other
Directorships
Held by Board Member |
Trustees | | | | | �� | | | | | |
| | | | | | | | | | |
Catherine A. Mazza†, 51
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Trustee and Chairman
(All Trusts) | | Indefinite
Since 2003 (SGST)
Since 2006 (SCFD and SST) | | Trustee and Chairman of each Trust; Institutional Relationship Director, SIMNA; Member of the Board of Managers, Schroder Fund Advisors LLC. Formerly, President and Chief Executive Officer, SCFD and SST; Senior Vice President, SIMNA. | | 10 | | None |
| | | | | | | | | | |
Jay S. Calhoun*, 56
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Trustee
(All Trusts) | | Indefinite
Since 12/2010 | | Treasurer, Carnegie Mellon University. Formerly, Managing Partner, Rysamax Partners (marketing and business development support); Senior Vice President and Treasurer, New York Life Insurance Company. | | 10 | | None |
| | | | | | | | | | |
Margaret M. Cannella*, 59
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Trustee
(All Trusts) | | Indefinite
Since 12/2010 | | Adjunct professor, Columbia Business School. Formerly, Managing Director, Head, Global Credit Research and Corporate Strategy, JP Morgan Securities Inc. and Managing Director, Head, US Corporate Research, JP Morgan Securities Inc. | | 10 | | CHF Finance International (for profit joint venture of the World Bank and CHF); Pierre Foods; Trustee, Princeton-in-Asia; Wilshire Funds. |
| | | | | | | | | | |
James D. Vaughn*, 66
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Trustee
(All Trusts) | | Indefinite
Since 2003 | | Retired. Formerly Managing Partner, Deloitte & Touche USA, LLP - Denver (accounting). | | 10 | | AMG National Trust Bank. |
* Also serves as a member of the Audit Committee for each Trust on which they serve.
† Trustee deemed to be an “interested person” of the Trusts as defined in the 1940 Act is referred to as an “Interested Trustee.” Ms. Mazza is an Interested Trustee due to her status as an officer and employee of SIMNA, the Trust’s investment advisor and its affiliates.
(a) The “Fund Complex” includes all series of Schroder Capital Funds (Delaware), Schroder Series Trust and Schroder Global Series Trust.
108
Name, Age
and Address | | Position(s)
Held with the
Trusts | | Term of Office
and Length of Time Served | | Principal
Occupation(s)
During Past 5 Years |
Officers | | | | | | |
| | | | | | |
Mark A. Hemenetz, 55
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | President and Principal Executive Officer | | Indefinite
Since 2004 | | Chief Operating Officer-Americas, SIMNA; Member of Board of Managers, Schroder Fund Advisors LLC. |
| | | | | | |
Alan M. Mandel, 54
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Treasurer and Principal Financial and Accounting Officer | | Indefinite
Since 1998 (SST and SCFD)
Since 2003 (SGST) | | Head of Fund Administration, SIMNA; Member of Board of Managers, Schroder Fund Advisors, LLC. |
| | | | | | |
Stephen M. DeTore, 60
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Chief Compliance Officer | | Indefinite
Since 2005 | | Chief Compliance Officer, SIMNA; Member of Board of Managers, Schroder Fund Advisors LLC. |
| | | | | | |
William Sauer, 48
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Vice President | | Indefinite
Since 2008 | | Head of Investor Services, SIMNA. Formerly, Vice President, The Bank of New York |
| | | | | | |
Carin Muhlbaum, 49
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Vice President | | Indefinite
Vice President since 1998
(SST and SCFD)
Vice President since 2003
(SGST) | | General Counsel, SIMNA; Member of Board of Managers, Secretary and General Counsel, Schroder Fund Advisors LLC. |
| | | | | | |
Abby Ingber, 48
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Chief Legal Officer and Secretary/Clerk | | Indefinite
Chief Legal Officer since 2006
Secretary/Clerk since 2007 | | Deputy General Counsel, SIMNA. Formerly, Senior Counsel, TIAA-CREF. |
| | | | | | |
Angel Lanier, 50
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Assistant Secretary | | Indefinite
Since 2005 | | Legal Assistant, SIMNA; Assistant Secretary, Schroder Fund Advisors LLC. |
109
Notice to Shareholders (unaudited)
For shareholders that do not have an October 31, 2011 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2011 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended October 31, 2011, each Fund has designated the following items with regard to distributions paid during the year.
| | Long Term
(15% Rate)
Capital Gain
Distribution | | Ordinary
Income
Distributions | | Total
Distributions | | Qualifying
For
Corporate
Dividends
Rec.
Deductions
(1) | | Qualifying
Dividend
Income
(2) | | U.S.
Government
Interest
(3) | | Qualifying
Interest
Income
(4) | | Qualifying
Short-Term
Capital Gain
(5) | |
| | | | | | | | | | | | | | | | | |
Schroder North American Equity Fund | | 0.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | 0.00 | % |
| | | | | | | | | | | | | | | | | |
Schroder U.S. Opportunities Fund | | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % |
| | | | | | | | | | | | | | | | | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | 100.00 | % | 0.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % |
| | | | | | | | | | | | | | | | | |
Schroder Emerging Market Equity Fund (c) | | 0.00 | % | 100.00 | % | 100.00 | % | 0.40 | % | 100.00 | % | 0.00 | % | 0.00 | % | 100.00 | % |
| | | | | | | | | | | | | | | | | |
Schroder International Alpha Fund (a) | | 0.00 | % | 100.00 | % | 100.00 | % | 0.00 | % | 70.14 | % | 0.00 | % | 0.00 | % | 0.00 | % |
| | | | | | | | | | | | | | | | | |
Schroder International Multi-Cap Value Fund (b) | | 0.00 | % | 100.00 | % | 100.00 | % | 0.00 | % | 99.09 | % | 0.00 | % | 0.74 | % | 0.00 | % |
| | | | | | | | | | | | | | | | | |
Schroder Global Quality Fund (d) | | 0.00 | % | 100.00 | % | 100.00 | % | 11.97 | % | 87.45 | % | 0.00 | % | 0.02 | % | 0.00 | % |
| | | | | | | | | | | | | | | | | |
Schroder Total Return Fixed Income Fund | | 10.37 | % | 89.63 | % | 100.00 | % | 0.00 | % | 0.00 | % | 4.51 | % | 64.82 | % | 100.00 | % |
(1) Qualifying dividends represent dividends which qualify for the corporate dividend received deduction and is reflected as a percentage of “Ordinary Income Distributions”.
(2) The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of “Ordinary Income Distributions”. It is the intention of each of the aforementioned funds to designate the maximum amount permitted by law.
(3) “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government Obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government Obligations is exempt from state income tax. However, for shareholders of the Schroder Total Return Fixed Income Fund who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income.
(4) The percentage in this column represents the amount of “Qualifying Interest Income” as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of net investment income distributions that are exempt from U.S. withholding tax when paid by foreign investors.
(5) The percentage in this column represents the amount of “Qualifying Short-Term Capital Gain” as created by the American Job Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that are exempt from U.S. withholding tax when paid by foreign investors.
(a) The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2011, the total amount of foreign source income is $1,747,787. The total amount of foreign tax to be paid is $176,519. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.
(b) The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2011, the total amount of foreign source income is $756,945. The total amount of foreign tax to be paid is $67,107. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.
(c) The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2011, the total amount of foreign source income is $8,015,989. The total amount of foreign tax to be paid is $712,406. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.
110
(d) The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2011, the total amount of foreign source income is $1,067,769. The total amount of foreign tax to be paid is $85,808. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.
111
On December 9, 2011, the following Funds made per share income, short-term and long-term capital gain distributions to the shareholders of record as of December 8, 2011:
| | Net
Investment
Income | | Short-Term
Capital
Gains | | Long-Term
Capital
Gains | |
Schroder North American Equity Fund | | | | | | | |
Investor Shares | | $ | 0.1474 | | $ | — | | $ | — | |
Advisor Shares | | 0.1141 | | — | | — | |
Schroder U.S. Opportunities Fund | | | | | | | |
Investor Shares | | — | | — | | 0.7780 | |
Advisor Shares | | — | | — | | 0.7780 | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | | | | | | |
Investor Shares | | 0.0294 | | — | | 0.1577 | |
Advisor Shares | | — | | — | | 0.1577 | |
Schroder Emerging Market Equity Fund | | | | | | — | |
Investor Shares | | 0.1219 | | — | | 0.0701 | |
Advisor Shares | | 0.0956 | | — | | 0.0701 | |
Schroder International Alpha Fund | | | | | | | |
Investor Shares | | 0.1039 | | — | | — | |
Advisor Shares | | — | | — | | — | |
Schroder International Multi-Cap Value Fund | | | | | | | |
Investor Shares | | 0.2880 | | — | | — | |
Advisor Shares | | 0.2723 | | — | | — | |
Schroder Global Quality Fund | | | | | | | |
Institutional Shares | | 1.9537 | | — | | — | |
Schroder Total Return Fixed Income Fund | | | | | | | |
Investor Shares | | — | | 0.1163 | | — | |
Advisor Shares | | — | | 0.1163 | | — | |
| | | | | | | | | | |
112
Shareholder Voting Results (Unaudited)
Schroder Series Trust
Schroder Global Series Trust
Schroder Capital Funds (Delaware)
(each, a “Trust” and together, the “Trusts”)
Special Meeting of Shareholders
December 3, 2010
At the Combined Meeting of Shareholders, shareholders of each of the Trusts were asked to vote for the election of Trustees of the applicable Trust. The results of the vote are provided below:
| | Total Shares
Outstanding | | Votes in Favor | | Votes Withheld | | % of Outstanding
Shares Voting in Favor | | % of Shares
Present Voting in
Favor | |
Jay S. Calhoun | | | | | | | | | | | |
Schroder Global Series Trust | | 53,848,984.9720 | | 24,513,423.4520 | | — | | 45.523 | % | 100.000 | % |
Schroder Series Trust | | 42,927,874.9220 | | 26,278,774.3110 | | 158,039.0000 | | 61.216 | % | 99.402 | % |
Schroder Capital Funds (Delaware) | | 15,141,060.6260 | | 11,120,662.1675 | | 321,638.8195 | | 73.447 | % | 97.189 | % |
| | | | | | | | | | | |
Margaret M. Cannella | | | | | | | | | | | |
Schroder Global Series Trust | | 53,848,984.9720 | | 24,513,423.4520 | | — | | 45.523 | % | 100.000 | % |
Schroder Series Trust | | 42,927,874.9220 | | 26,275,871.3110 | | 160,942.0000 | | 61.209 | % | 99.391 | % |
Schroder Capital Funds (Delaware) | | 15,141,060.6260 | | 11,117,011.1675 | | 325,289.8195 | | 73.423 | % | 97.157 | % |
| | | | | | | | | | | |
Catherine A. Mazza | | | | | | | | | | | |
Schroder Global Series Trust | | 53,848,984.9720 | | 24,513,423.4520 | | — | | 45.523 | % | 100.000 | % |
Schroder Series Trust | | 42,927,874.9220 | | 26,300,760.3110 | | 136,053.0000 | | 61.267 | % | 99.485 | % |
Schroder Capital Funds (Delaware) | | 15,141,060.6260 | | 11,122,126.1675 | | 320,174.8195 | | 73.456 | % | 97.202 | % |
| | | | | | | | | | | |
James D. Vaughn | | | | | | | | | | | |
Schroder Global Series Trust | | 53,848,984.9720 | | 24,513,423.4520 | | — | | 45.523 | % | 100.000 | % |
Schroder Series Trust | | 42,927,874.9220 | | 22,312,873.3110 | | 4,123,940.0000 | | 51.977 | % | 84.401 | % |
Schroder Capital Funds (Delaware) | | 15,141,060.6260 | | 11,112,424.1675 | | 329,876.8195 | | 73.392 | % | 97.117 | % |
113
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. |
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 55552 |
Schroder Mutual Funds
October 31, 2011 | Annual Report |
| |
| Schroder Multi-Asset Growth Portfolio (in liquidation) |
Table of Contents
Management Discussion and Analysis | 1 |
| |
Schedule of Investments | 3 |
| |
Statement of Assets and Liabilites | 6 |
| |
Statement of Operations | 7 |
| |
Statement of Changes in Net Assets | 8 |
| |
Financial Highlights | 10 |
| |
Notes to Financial Statements | 12 |
| |
Report of Independent Registered Public Accounting Firm | 20 |
| |
Information Regarding Review and Approval of Investment Advisory Contracts | 21 |
| |
Disclosure of Fund Expenses | 23 |
| |
Trustees and Officers | 24 |
| |
Notice to Shareholders | 26 |
| |
Shareholder Voting Results | 27 |
Proxy Voting (Unaudited)
A description of the Fund’s 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 Fund’s Statement of Additional Information or on the Schroder Funds website at http://www.schroderfunds.com, by downloading the Fund’s Statement of Additional Information. Information regarding how the Fund 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 Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s 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.
MANAGEMENT DISCUSSION AND ANALYSIS (As of December 9, 2011)
Performance
For the 12 months ended October 31, 2011, the Schroder Multi-Asset Growth Portfolio (the “Fund”) declined -3.51% (Investor Shares), -3.84% (Advisor Shares) and -3.73% (Class A Shares), compared to the Consumer Price Index (“CPI” or “the Index”, specifically, the CPI for All Urban Consumers) which rose 3.53%. For the same period, the MSCI World Index, a market-weighted index designed to measure the equity market performance of developed markets, rose by 1.76%.
Fund Liquidation
On October 20, 2011, Board of Trustees of Schroder Series Trust voted to liquidate Schroder Multi-Asset Growth Portfolio on or about December 15, 2011. The decision to liquidate the Fund was made in light of the Fund’s relatively small size and a determination that the Fund is unlikely in the foreseeable future to achieve a size sufficient to realize desirable economies of scale.
1
Comparison of Change in the Value of a $10,000 Investment in the Schroder Multi-Asset Growth Portfolio
Investor, A and Advisor Shares, vs. the Morgan Stanley Capital International (MSCI) World Index,
and the Consumer Price Index
The MSCI World Index is an unmanaged market capitalization index that is designed to measure global developed market equity performance. The Consumer Price Index is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services.
PERFORMANCE INFORMATION
| | One Year Ended
October 31, 2011 | | Annualized
Since
Inception (a) | |
Schroder Multi-Asset Growth Portfolio — | | | | | |
Investor Shares | | (3.51 | )% | (2.20 | )% |
A Shares | | (3.73 | )% | (2.44 | )% |
A Shares with load (b) | | (8.02 | )% | (3.60 | )% |
Advisor Shares | | (3.84 | )% | (2.45 | )% |
MSCI World Index | | 1.76 | % | (4.06 | )% |
Consumer Price Index | | 3.53 | % | 1.96 | % |
(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 | | 12.7 | % |
iShares S&P 500 Index Fund | | 7.9 | |
PIMCO Emerging Markets Bond Fund | | 7.9 | |
PIMCO Emerging Local Bond Fund | | 6.1 | |
HSBC Infrastructure | | 4.2 | |
* Excludes any Short-Term Investments.
2
Schroder Multi-Asset Growth Portfolio (in liquidation)
Schedule of Investments †
October 31, 2011
Shares | | | | Value $ | |
| | | | | |
| | EQUITIES — 34.5% | | | |
| | Domestic Equities — 20.6% | | | |
5,162 | | iShares S&P 500 Index Fund | | 649,380 | |
90,323 | | Schroder U.S. Small and Mid Cap Opportunities Fund, Investor Shares (1)(2) | | 1,044,133 | |
| | | | 1,693,513 | |
| | International Equities — 13.9% | | | |
2,161 | | iShares MSCI All Country Asia ex Japan Index Fund | | 115,743 | |
5,055 | | iShares MSCI EAFE Index Fund | | 264,731 | |
2,747 | | iShares MSCI Pacific ex-Japan Index Fund | | 117,242 | |
16,167 | | Schroder Emerging Market Equity Fund, Investor Shares (2) | | 198,691 | |
16,110 | | Schroder International Alpha Fund, Investor Shares (2) | | 150,787 | |
34,760 | | Schroder International Multi-Cap Value Fund, Investor Shares (2) | | 289,897 | |
| | | | 1,137,091 | |
| | TOTAL EQUITIES
(Cost $2,358,638) | | 2,830,604 | |
| | | | | |
| | FIXED INCOME — 23.8% | | | |
| | Emerging Market Bonds — 18.1% | | | |
32,544 | | PIMCO Developing Local Markets Fund | | 337,481 | |
47,099 | | PIMCO Emerging Local Bond Fund | | 498,304 | |
57,082 | | PIMCO Emerging Markets Bond Fund | | 646,739 | |
| | | | 1,482,524 | |
| | High Yield Bonds — 5.7% | | | |
25,008 | | Goldman Sachs High Yield Fund | | 175,308 | |
31,064 | | T. Rowe Price High Yield Fund | | 294,797 | |
| | | | 470,105 | |
| | TOTAL FIXED INCOME
(Cost $1,938,446) | | 1,952,629 | |
| | | | | |
| | COMMODITIES — 5.1% | | | |
23,776 | | CS Commodity Return, Institutional Shares | | 206,614 | |
26,019 | | PIMCO CommodityRealReturn Strategy Fund | | 208,412 | |
| | TOTAL COMMODITIES
(Cost $460,236) | | 415,026 | |
| | | | | |
| | REAL ESTATE — 4.3% | | | |
4,142 | | iShares Dow Jones U.S. Real Estate Index Fund | | 237,088 | |
3,819 | | iShares S&P World ex-U.S. Property Index Fund | | 115,067 | |
| | TOTAL REAL ESTATE
(Cost $360,715) | | 352,155 | |
| | | | | |
| | INFRASTRUCTURE — 4.3% | | | |
183,193 | | HSBC Infrastructure
(Cost $332,958) | | 347,937 | |
| | | | | |
| | PRIVATE EQUITY — 0.6% | | | |
5,534 | | PowerShares Listed Private Equity Portfolio
(Cost $64,018) | | 48,422 | |
| | | | | |
| | SHORT-TERM INVESTMENT (3) — 27.4% | | | |
2,245,948 | | JPMorgan Prime Money Market Fund, 0.020%
(Cost $2,245,948) | | 2,245,948 | |
| | | | | |
| | TOTAL INVESTMENTS — 100.0%
(Cost $7,760,959) | | 8,192,721 | |
| | | | | |
| | OTHER ASSETS LESS LIABILITIES — 0.0% | | 1,163 | |
| | | | | |
| | NET ASSETS — 100% | | $ | 8,193,884 | |
| | | | | | |
† Investment categories are based on the underlying investments of the invested security.
(1) | Denotes non-income producing security. |
(2) | Affiliated fund. |
(3) | The rate shown represents the 7-day current yield as of October 31, 2011. |
The accompanying notes are an integral part of the financial statements.
3
A summary of the open futures contracts held by the Fund at October 31, 2011 is as follows:
Type of Contract | | Number of
Contracts
Long (Short) | | Expiration
Date | | Unrealized
Appreciation
(Depreciation) | |
FTSE 100 Index | | 3 | | Dec-11 | | $ | (6,242 | ) |
S&P 500 Index E-MINI | | (6 | ) | Dec-11 | | (50,504 | ) |
U.S. 10-Year Treasury Note | | 8 | | Dec-11 | | (1,279 | ) |
U.S. Long Treasury Bond | | 2 | | Dec-11 | | (11,750 | ) |
| | | | | | $ | (69,775 | ) |
A summary of the outstanding forward foreign currency contracts held by the Fund at October 31, 2011 is as follows:
| | | | | | | | Unrealized | |
| | | | | | | | Appreciation | |
Counterparty | | Settlement Date | | Currency to Deliver | | Currency to Receive | | (Depreciation) | |
Barclays Capital | | 11/17/11 | | GBP | 130,200 | | USD | 200,821 | | $ | (8,532 | ) |
| | | | | | | | | | | | |
Barclays Capital | | 12/8/11 | | GBP | 78,640 | | USD | 121,273 | | (5,145 | ) |
| | | | | | | | | | | |
Barclays Capital | | 12/8/11 | | AUD | 390,000 | | USD | 381,343 | | (27,719 | ) |
| | | | | | | | | | | |
Barclays Capital | | 12/8/11 | | AUD | 79,210 | | USD | 80,278 | | (2,804 | ) |
| | | | | | | | | | | |
JPMorgan | | 11/17/11 | | USD | 213,226 | | GBP | 130,200 | | (3,873 | ) |
| | | | | | | | | | | |
JPMorgan | | 12/8/11 | | EUR | 516,202 | | USD | 728,753 | | 14,585 | |
| | | | | | | | | | | |
Morgan Stanley | | 11/17/11 | | JPY | 20,000,000 | | USD | 259,059 | | 3,023 | |
| | | | | | | | | | | |
Morgan Stanley | | 11/17/11 | | USD | 261,837 | | JPY | 20,000,000 | | (5,801 | ) |
| | | | | | | | | | | |
Standard Bank | | 11/17/11 | | USD | 418,257 | | SGD | 508,600 | | (13,030 | ) |
| | | | | | | | $ | (49,296 | ) |
AUD — Australian Dollar
EAFE — Europe, Australasia, and the Far East
EUR — Euro
FTSE — Financial Times and the London Stock Exchange
GBP — British Pound Sterling
JPY — Japanese Yen
MSCI — Morgan Stanley Capital International
S&P — Standard & Poor’s
SGD — Singapore Dollar
USD — United States Dollar
The accompanying notes are an integral part of the financial statements.
4
The following is a summary of the inputs used as of October 31, 2011, in valuing the Fund’s investments carried at value:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments in Securities (1) | | | | | | | | | | | | | |
Equities | | $ | 2,830,604 | | $ | — | | $ | — | | $ | 2,830,604 | |
Fixed Income | | 1,952,629 | | — | | — | | 1,952,629 | |
Commodities | | 415,026 | | — | | — | | 415,026 | |
Real Estate | | 352,155 | | — | | — | | 352,155 | |
Infrastructure | | 347,937 | | — | | — | | 347,937 | |
Private Equity | | 48,422 | | — | | — | | 48,422 | |
Short-Term Investment | | 2,245,948 | | — | | — | | 2,245,948 | |
| | | | | | | | | |
Total Investments in Securities | | $ | 8,192,721 | | $ | — | | $ | — | | $ | 8,192,721 | |
| | | | | | | | | |
Other Financial Instruments (1) | | | | | | | | | |
Futures — Unrealized Depreciation | | $ | (69,775 | ) | $ | — | | $ | — | | $ | (69,775 | ) |
Forwards — Unrealized Appreciation | | — | | 17,608 | | — | | 17,608 | |
Forwards — Unrealized Depreciation | | — | | (66,904 | ) | — | | (66,904 | ) |
Total Other Financial Instruments | | $ | (69,775 | ) | $ | (49,296 | ) | $ | — | | $ | (119,071 | ) |
(1) There were no transfers between 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.
5
Schroder Multi-Asset Growth Portfolio (in liquidation)
Statement of Assets and Liabilities
October 31, 2011
ASSETS | | | |
Investments in securities, at value — Note 2 | | $ | 6,509,213 | |
Investments in affiliated securities, at value — Note 2 | | 1,683,508 | |
Initial margin for futures contracts | | 64,228 | |
Variation margin receivable | | 21,543 | |
Unrealized appreciation on forward foreign currency contracts | | 17,608 | |
Due from Investment Advisor — Note 3 | | 124,150 | |
Dividends receivable | | 7,386 | |
TOTAL ASSETS | | 8,427,636 | |
LIABILITIES | | | |
Unrealized depreciation on forward foreign currency contracts | | 66,904 | |
Variation margin payable | | 6,248 | |
Investment Advisory fees payable — Note 3 | | 5,101 | |
Trustees’ fees payable — Note 6 | | 2.343 | |
Distribution fees payable, Advisor Shares — Note 3 | | 873 | |
Distribution fees payable, A Shares — Note 3 | | 645 | |
Sub-administration fees payable — Note 3 | | 596 | |
Distribution fees payable, R Shares — Note 3 | | 174 | |
Transfer agent fees payable | | 60,581 | |
Audit fees payable | | 41,714 | |
Registration fees payable | | 18,229 | |
Legal fees payable | | 17,808 | |
Accrued expenses and other liabilities | | 12,536 | |
TOTAL LIABILITIES | | 233,752 | |
NET ASSETS | | $ | 8,193,884 | |
NET ASSETS | | | |
Capital paid-in | | $ | 18,455,393 | |
Undistributed net investment income | | 120,577 | |
Accumulated net realized loss on investments, affiliated investments, futures and foreign currency transactions | | (10,694,719 | ) |
Net unrealized appreciation on investments and affiliated investments | | 431,762 | |
Net unrealized depreciation on futures | | (69,775 | ) |
Net unrealized depreciation on forward foreign currency contracts and foreign currency translations | | (49,354 | ) |
NET ASSETS | | $ | 8,193,884 | |
Investor Shares: | | | |
Net assets | | $ | 1,786,158 | |
Total shares outstanding at end of year | | 219,105 | |
Net asset value, offering and redemption price per share (net assets ÷ shares outstanding) | | $ | 8.15 | |
A Shares: | | | |
Net assets | | $ | 2,442,936 | |
Total shares outstanding at end of year | | 299,370 | |
Net asset value and redemption price per share (net assets ÷ shares outstanding) | | $ | 8.16 | |
Maximum offering price per share ($8.16 ÷ 95.5%) | | $ | 8.54 | |
Advisor Shares: | | | |
Net assets | | $ | 3,964,790 | |
Total shares outstanding at end of year | | 487,392 | |
Net asset value, offering and redemption price per share (net assets ÷ shares outstanding) | | $ | 8.13 | |
Cost of securities | | $ | 6,546,652 | |
Cost of affiliated securities | | $ | 1,214,307 | |
The accompanying notes are an integral part of the financial statements.
6
Schroder Multi-Asset Growth Portfolio (in liquidation)
Statement of Operations
For the Year ended October 31, 2011
INVESTMENT INCOME | | | |
Dividend income | | $ | 347,682 | (1) |
Interest income | | 79 | |
Foreign taxes withheld | | (204 | ) |
TOTAL INCOME | | 347,557 | |
EXPENSES | | | |
Investment Advisory fees — Note 3 | | 64,228 | |
Distribution fees, Advisor Shares — Note 3 | | 10,396 | |
Distribution fees, A Shares — Note 3 | | 6,473 | |
Distribution fees, R Shares — Note 3 | | 2,338 | |
Trustees fees — Note 6 | | 11,503 | |
Sub-administration fees — Note 3 | | 7,493 | |
Transfer agent fees | | 203,016 | |
Registration fees | | 95,942 | |
Legal fees | | 42,510 | |
Audit fees | | 39,342 | |
Insurance | | 15,490 | |
Custodian fees | | 10,718 | |
Printing | | 3,376 | |
Pricing fees | | 284 | |
Other | | 9,897 | |
TOTAL EXPENSES | | 523,006 | |
Expenses waived by Investment Advisor — Note 3 | | (64,228 | ) |
Reimbursement from Investment Advisor | | (353,935 | ) |
NET EXPENSES | | 104,843 | |
NET INVESTMENT INCOME | | 242,714 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, AFFILIATED INVESTMENTS, FUTURES AND FOREIGN CURRENCY TRANSACTIONS AND TRANSLATIONS | | | |
Net realized gain on investments sold | | 101,276 | |
Net realized gain on affiliated investments sold | | 327,951 | |
Net realized gain on futures | | 37,657 | |
Net realized loss on foreign currency transactions | | (51,674 | ) |
Net realized gain on investments, affiliated investments, futures and foreign currency transactions | | 415,210 | |
| | | |
Change in unrealized depreciation on investments | | (483,263 | ) |
Change in unrealized depreciation on affiliated investments | | (421,629 | ) |
Change in unrealized depreciation on futures | | (83,957 | ) |
Change in unrealized depreciation on forward foreign currency contracts and foreign currency translations | | (14,268 | ) |
Net change in unrealized depreciation on investments, affiliated investments, futures, forward foreign currency contracts and foreign currency translations | | (1,003,117 | ) |
NET REALIZED AND UNREALIZED LOSS | | (587,907 | ) |
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (345,193 | ) |
(1) Includes affiliated income of $26,577.
The accompanying notes are an integral part of the financial statements.
7
Schroder Multi-Asset Growth Portfolio (in liquidation)
Statement of Changes in Net Assets
For the Years Ended October 31,
| | 2011 | | 2010 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | |
From Operations: | | | | | |
Net investment income | | $ | 242,714 | | $ | 168,135 | |
Net realized gain on investments, affiliated investments, futures and foreign currency transactions | | 415,210 | | 320,845 | |
Change in unrealized appreciation (depreciation) on investments, affiliated investments, futures, forward foreign currency contracts and foreign currency translations | | (1,003,117 | ) | 452,391 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | (345,193 | ) | 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 | | 952,274 | | 595,278 | |
Reinvestment of distributions | | 16,335 | | 14,813 | |
Redemption of shares | | (245,324 | ) | (137,846 | ) |
Redemption fees - Note 5 | | — | | 95 | |
Total increase from Investor Share transactions | | 723,285 | | 472,340 | |
A Shares: | | | | | |
Sales of shares | | 164,026 | | 117,768 | |
Reinvestment of distributions | | 92 | | 45,079 | |
Redemption of shares | | (77,849 | ) | (370,534 | ) |
Redemption fees - Note 5 | | — | | 24 | |
Total increase (decrease) from A Share transactions | | 86,269 | | (207,663 | ) |
Advisor Shares: | | | | | |
Sales of shares | | 287,057 | | 623,484 | |
Reinvestment of distributions | | 5,563 | | 73,802 | |
Redemption of shares | | (26,324 | ) | (361,505 | ) |
Redemption fees - Note 5 | | 17 | | — | |
Total increase from Advisor Share transactions | | 266,313 | | 335,781 | |
R Shares*: | | | | | |
Reinvestment of distributions | | — | | 8,406 | |
Redemption of shares | | (438,897 | ) | — | |
Total increase (decrease) from R Share transactions | | (438,897 | ) | 8,406 | |
Net increase in net assets from share transactions | | 636,970 | | 608,864 | |
Total increase (decrease) in net assets | | (13,824 | ) | 1,401,408 | |
Net Assets | | | | | |
Beginning of year | | 8,207,708 | | 6,806,300 | |
End of year | | $ | 8,193,884 | | $ | 8,207,708 | |
Undistributed net investment income | | $ | 120,577 | | $ | 234,622 | |
*The R Shares were fully liquidated on October 28, 2011.
The accompanying notes are an integral part of the financial statements.
8
This page is intentionally left blank.
The accompanying notes are an integral part of the financial statements.
9
Schroder Multi-Asset Growth Portfolio (in liquidation)
Financial Highlights
For 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(1) | | Net Realized
and
Unrealized
Gains
(Losses) | | Total from
Investment
Operations | | Dividends
from Net
Investment
Income | | Distributions
from Net
Realized Gain | | Total
Distributions | |
Multi-Asset Growth Portfolio | | | | | | | | | | | | | | | |
Investor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 8.78 | | $ | 0.27 | | $ | (0.56 | ) | $ | (0.29 | ) | $ | (0.34 | ) | $ | — | | $ | (0.34 | ) |
2010 | | 7.92 | | 0.19 | | 0.86 | | 1.05 | | (0.19 | ) | — | | (0.19 | ) |
2009 | | 7.01 | | 0.18 | | 1.09 | | 1.27 | | (0.36 | ) | — | | (0.36 | ) |
2008(b) | | 10.00 | | 0.16 | | (3.15 | ) | (2.99 | ) | — | | — | | — | |
A Shares | | | | | | | | | | | | | | | |
2011 | | $ | 8.79 | | $ | 0.25 | | $ | (0.56 | ) | $ | (0.31 | ) | $ | (0.32 | ) | $ | — | | $ | (0.32 | ) |
2010 | | 7.92 | | 0.19 | | 0.84 | | 1.03 | | (0.16 | ) | — | | (0.16 | ) |
2009 | | 7.00 | | 0.21 | | 1.05 | † | 1.26 | | (0.34 | ) | — | | (0.34 | ) |
2008(b) | | 10.00 | | 0.14 | | (3.14 | )† | (3.00 | ) | — | | — | | — | |
Advisor Shares | | | | | | | | | | | | | | | |
2011 | | $ | 8.77 | | $ | 0.25 | | $ | (0.57 | )† | $ | (0.32 | ) | $ | (0.32 | ) | $ | — | | $ | (0.32 | ) |
2010 | | 7.91 | | 0.18 | | 0.86 | | 1.04 | | (0.18 | ) | — | | (0.18 | ) |
2009 | | 7.00 | | 0.17 | | 1.08 | † | 1.25 | | (0.34 | ) | — | | (0.34 | ) |
2008(b) | | 10.00 | | 0.14 | | (3.14 | ) | (3.00 | ) | — | | — | | — | |
The accompanying notes are an integral part of the financial statements.
10
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 to Average Net
Assets (Including Waivers,
Reimbursements and
Offsets) | | Portfolio
Turnover
Rate | |
| | | | | | | | | | | | | |
$ | 8.15 | | (3.51 | )% | $ | 1,786 | | 1.00 | % | 5.96 | % | 3.04 | % | 64 | % |
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 | (c) | 1.91 | | 151 | |
| | | | | | | | | | | | | |
$ | 8.16 | | (3.73 | )% | $ | 2,443 | | 1.25 | % | 6.20 | % | 2.80 | % | 64 | % |
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 | (c) | 1.65 | | 151 | |
| | | | | | | | | | | | | |
$ | 8.13 | | (3.84 | )% | $ | 3,965 | | 1.25 | % | 6.20 | % | 2.81 | % | 64 | % |
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 | (c) | 1.66 | | 151 | |
(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 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 December 20, 2007. All ratios for the period have been annualized, except for the Total Return and Portfolio Turnover Rate. |
(c) | 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%, and 3.46%, for the Investor Shares, A Shares, and Advisor Shares respectively. |
† | Includes redemption fees. Amount was less than $0.01 per share. |
The accompanying notes are an integral part of the financial statements.
11
Notes to Financial Statements
October 31, 2011
NOTE 1 — ORGANIZATION
Schroder Series Trust (“SST”) is an open-end series management investment company registered under the Investment Company Act of 1940, as amended. 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 six separate series, five of which are diversified: Schroder Multi-Asset Growth Portfolio, Schroder International Multi-Cap Value Fund, Schroder Emerging Market Equity Fund, Schroder U.S. Small and Mid Cap Opportunities Fund and Schroder Total Return Fixed Income Fund (collectively, the “SST Funds”), and one of which is non-diversified: Schroder Absolute Return and Currency Fund. Only the Financial Statements of the Schroder Multi-Asset Growth Portfolio (the “Fund”) are presented in this report. The financial statements of the remaining SST Funds and other Schroder Mutual Funds are presented separately. As of the date of these financial statements, Schroder Absolute Return EMD and Currency Fund had not yet commenced operations.
The Board of Trustees (“Trustees”) voted to liquidate the Fund on October 20, 2011. It is expected that the Fund will liquidate on or about December 15, 2011. In connection with the liquidation, the Fund will pay a distribution of all of the Fund’s remaining assets to shareholders on a pro rata basis at the time of the liquidation. It is expected that the liquidation proceeds will be paid entirely in cash.
In connection with its liquidation, the Fund adopted the liquidation basis of accounting, which among other things, requires the Fund to record assets and liabilities at their net realizable value and to provide estimated costs of liquidating the Fund to the extent that they are reasonably determinable.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. 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 Fund which are in conformity with U.S. GAAP:
VALUATION OF INVESTMENTS: Portfolio securities, including exchange traded fund (“ETF”) shares, 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. Prices used for valuations generally are provided by independent pricing services. Investments in registered investment companies are priced at each fund’s daily net asset value. The assets of the Fund include investments in underlying affiliated registered investment companies, which are valued at their respective daily net asset values. Other securities and assets for which market quotations are not readily available are valued in accordance with Fair Value Procedures established by the Fund’s Trustees. The Fund’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Fund’s 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 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.
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 Fund’s 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 Fund’s own assumptions in determining the fair value of investments)
12
Notes to Financial Statements (continued)
October 31, 2011
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the year ended October 31, 2011, there have been no significant changes to the Fund’s fair valuation methodologies. Fair value measurement classifications are summarized on the Schedule of Investments.
FEDERAL INCOME TAXES: It is the intention of the Fund to qualify, or 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 Fund would not be subject to Federal income taxes to the extent that, among other things, it distributes substantially all of its taxable income, including realized capital gains, for the fiscal year. In addition, as a result of distributing substantially all of its net investment income during each calendar year, capital gains and certain other amounts, if any, the Fund would not be subject to a Federal excise tax. The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether it is “more-likely than-not” (i.e., greater than 50-percent) that each tax 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 Fund 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 year ended October 31, 2011, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the period, the Fund 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.
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. 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 gains are recorded as a reduction of costs of investments and/or as a realized gain. The Fund estimates 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 Fund and other Schroder Mutual Funds can be directly attributable to a specific Fund. Expenses not directly attributable to a specific Fund are allocated among the Fund and other Schroder Mutual 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 the Fund.
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. The Fund 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 Fund entering into offsetting commitments.
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
13
Notes to Financial Statements (continued)
October 31, 2011
(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 Statement 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 the Fund’s total return. Futures contracts involve leverage and are subject to market risk that may exceed the amounts recognized in the Statement 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 the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
NOTE 3 — INVESTMENT ADVISORY FEES, ADMINISTRATION AGREEMENTS AND DISTRIBUTION PLANS
The Fund has entered into an investment advisory agreement with Schroder Investment Management North America Inc. (“SIMNA”). Under this agreement, SIMNA provides investment management services and is entitled to receive for its services compensation, payable monthly, at the following annual rate based on average daily net assets of the Fund. In order to limit the expenses of the Investor Shares, A Shares and Advisor Shares of the Fund, SIMNA has contractually agreed to pay or reimburse the Fund for expenses through February 29, 2012, to the extent that the total annual fund operating expenses of the 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 | | A Shares | | Advisor Shares | |
Schroder Multi-Asset Growth Portfolio | | 0.75 | %* | 1.00 | % | 1.25 | % | 1.25 | % |
*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 the Fund. SIMNA pays SIMNA Ltd. 50% of the investment advisory fees it receives from the Fund, after waivers.
Effective November 1, 2010, under sub-administration and accounting agreements with SEI Investments Global Funds Services (“SEI”), the Fund along with other open-end series management investment companies managed by SIMNA, paid fees to SEI based on the aggregate average daily net assets of all the SST Funds and other Schroder Mutual Funds 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. The Fund pays its pro rata portion of such fees.
Prior to November 1, 2010, under sub-administration and accounting agreements with SEI, the Fund along with other open-end series management investment companies managed by SIMNA, paid fees to SEI based on the aggregate average daily net assets of all the SST Funds and other Schroder Mutual 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 asses; and 0.05% on net assets in excess of $5 billion. The Fund paid its pro rata portion of such fees.
The Fund has 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, the Fund may make payments at the following annual rates to compensate Schroder Advisors for distribution services and certain shareholder services with respect to the Fund’s A Shares, Advisor Shares and R Shares: A Shares and Advisor Shares: up to 0.25% of the average daily net assets attributable to its A Shares or Advisor Shares; and R Shares: up to 0.50% of the average daily net assets attributable to its R Shares. The R Shares were fully liquidated on October 28, 2011.
14
Notes to Financial Statements (continued)
October 31, 2011
NOTE 4 — DERIVATIVE CONTRACTS
Derivative instruments and hedging activities require enhanced disclosures about the Fund’s derivative and hedging activities, including how such activities are accounted for and their effect on the Fund’s financial position, performance, and cash flows. The year-end fair values on the Schedule of Investments and the amounts of realized and changes in unrealized gains and losses as disclosed on the Statement of Operations are generally indicative of the volume of the Fund’s derivative activity for the year.
The fair value of derivative instruments as of October 31, 2011, was as follows:
Schroder Multi-Asset Growth
Portfolio | | Statement of Assets
and Liabilities Location | | Asset
Derivatives | | Liability
Derivatives | |
Equity contracts | | Unrealized appreciation/(depreciation) on futures contracts | | $ | — | | $ | (56,746 | ) |
Interest rate contracts | | Unrealized appreciation/(depreciation) on futures contracts | | — | | (13,029 | ) |
Foreign exchange contracts | | Unrealized appreciation/(depreciation) on forward foreign currency contracts | | 17,608 | | (66,904 | ) |
| | | | $ | 17,608 | | $ | (136,679 | ) |
The effect of derivative instruments on the Statement of Operations for the year ended October 31, 2011, was as follows:
The amount of realized and unrealized gain (loss) on derivatives recognized in income:
Schroder Multi-Asset Growth Portfolio | | Realized Gain
(Loss) | | Change in Unrealized
Appreciation
(Depreciation) | | Total | |
| | | | | | | |
Equity contracts | | | | | | | |
Futures contracts | | $ | 27,676 | | $ | (70,928 | ) | $ | (43,252 | ) |
Interest rate contracts | | | | | | | |
Futures contracts | | 9,981 | | (13,029 | ) | (3,048 | ) |
Foreign exchange contracts | | | | | | | |
Forward contracts | | (25,910 | ) | (10,823 | ) | (36,733 | ) |
| | $ | 11,747 | | $ | (94,780 | ) | $ | (83,033 | ) |
15
Notes to Financial Statements (continued)
October 31, 2011
NOTE 5 — REDEMPTION FEES
The Fund generally imposes 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 Fund and not paid to Schroder Advisors or any other entity. The redemption fees are included in the Statement of Changes in Net Assets under “Redemption fees,” and are included as part of “Capital paid-in” on the Statement of Assets and Liabilities. The Fund retained redemption fees of $17 for the year ended October 31, 2011.
NOTE 6 — TRANSACTIONS WITH AFFILIATES
TRUSTEES’ FEES: The Fund pays no compensation to Trustees who are interested persons of all open-end investment companies distributed by Schroder Advisors, including the Fund. For their services as Trustees of all open-end investment companies distributed by Schroder Advisors for the year ended October 31, 2011, Trustees who are not interested persons of Schroder Mutual 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 Schroder Mutual 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 Schroder Mutual Fund or group of Schroder Mutual Funds, payments of such meeting fees are allocated only among those funds to which the meeting relates.
Officers of the Fund are also officers of SIMNA and Schroder Advisors. Such officers are paid no fees by the Fund for serving as officers of the Fund.
NOTE 7 — INVESTMENT TRANSACTIONS
Purchases and proceeds from sales of investments, excluding short-term securities for the Fund, for the year ended October 31, 2011 were as follows:
| | Purchases | | Sales | |
Schroder Multi-Asset Growth Portfolio | | $ | 5,080,784 | | $ | 6,418,785 | |
| | | | | | | |
Investments made by the Fund in other Schroder Mutual 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 the Fund is as follows:
Affiliated Registered Investment Company | | Purchases | | Sales | | Realized Gains | | Income from
Affiliated
Investments | |
| | | | | | | | | |
Schroder U.S. Small and Mid Cap Opportunities Fund | | $ | 35,795 | | $ | 605,026 | | $ | 207,519 | | $ | — | |
| | | | | | | | | |
Schroder Emerging Market Equity Fund | | 283,501 | | 335,847 | | 82,626 | | 2,533 | |
| | | | | | | | | |
Schroder International Alpha Fund | | 3,835 | | 51,380 | | 19,444 | | 3,835 | |
| | | | | | | | | |
Schroder International Multi-Cap Value Fund | | 20,209 | | 313,789 | | 18,362 | | 20,209 | |
| | | | | | | | | | | | | |
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 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.
16
Notes to Financial Statements (continued)
October 31, 2011
At October 31, 2011, the Fund 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 Multi-Asset Growth Portfolio | | $ | (51,158 | ) | $ | 51,674 | | $ | (516 | ) |
| | | | | | | | | | |
The tax character of dividends and distributions declared during the years ended October 31, 2011 and October 31, 2010, was as follows:
| | Ordinary
Income | | Long-Term
Capital Gain | | Total | |
Schroder Multi-Asset Growth Portfolio | | | | | | | |
2011 | | $ | 305,601 | | $ | — | | $ | 305,601 | |
2010 | | 148,827 | | — | | 148,827 | |
| | | | | | | | | | |
As of October 31, 2011, the components of accumulated losses on a tax basis were as follows:
| | Undistributed
Ordinary
Income | | Capital Loss
Carryforward | | Unrealized
Appreciation
(Depreciation) | | Other
Temporary
Differences | | Total
Distributable
Earnings
(Accumulated
Losses) | |
Schroder Multi-Asset Growth Portfolio | | $ | 123,205 | | $ | (10,235,143 | ) | $ | (136,748 | ) | $ | (12,823 | ) | $ | (10,261,509 | ) |
| | | | | | | | | | | | | | | | |
As of October 31, 2011, the Fund 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:
| | October 31, | |
| | 2016 | | 2017 | |
| | | | | |
Schroder Multi-Asset Growth Portfolio | | $ | 2,772,155 | | $ | 7,462,988 | |
| | | | | | | |
During the year ended October 31, 2011, the Fund utilized capital loss carryforwards to offset capital gains in the amount of $300,195.
As stated in Note 1, the Fund is in liquidation so the capital loss carryforwards may not be used.
At October 31, 2011, the identified cost for Federal income tax purposes of investments owned by the Fund and the respective gross unrealized appreciation and depreciation were as follows:
| | Identified Tax
Cost | | Gross
Unrealized
Appreciation | | Gross
Unrealized
(Depreciation) | | Net Unrealized
Appreciation
(Depreciation) | |
Schroder Multi-Asset Growth Portfolio | | $ | 8,280,115 | | $ | 640,224 | | $ | (727,618 | ) | $ | (87,394 | ) |
| | | | | | | | | | | | | |
17
Notes to Financial Statements (continued)
October 31, 2011
NOTE 9 — BENEFICIAL INTEREST
The following table shows the number of shareholders each owning of record, or to the knowledge of the Fund beneficially, 5% or more of shares of the Fund outstanding as of October 31, 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 Multi-Asset Growth Portfolio | | 6 | | 94.03 | % |
NOTE 10 — LINE OF CREDIT
The Fund, along with other Schroder Mutual Funds, 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 Fund did not have any borrowings under the credit agreement during the year ended October 31, 2011.
NOTE 11 — CAPITAL SHARE TRANSACTIONS
| | Multi-Asset Growth
Portfolio | |
| | 2011 | | 2010 | |
Investor Shares: | | | | | |
Sales of shares | | 111,861 | | 71,681 | |
Reinvestment of distributions | | 1,911 | | 1,859 | |
Redemption of shares | | (28,195 | ) | (16,666 | ) |
Net increase in Investor Shares | | 85,577 | | 56,874 | |
A Shares: | | | | | |
Sales of shares | | 18,053 | | 14,361 | |
Reinvestment of distributions | | 11 | | 5,635 | |
Redemption of shares | | (9,346 | ) | (44,463 | ) |
Net increase (decrease) in A Shares | | 8,718 | | (24,467 | ) |
Advisor Shares: | | | | | |
Sales of shares | | 32,140 | | 77,451 | |
Reinvestment of distributions | | 651 | | 9,260 | |
Redemption of shares | | (2,957 | ) | (44,502 | ) |
Net increase in Advisor Shares | | 29,834 | | 42,209 | |
R Shares*: | | | | | |
Reinvestment of distributions | | — | | 1,054 | |
Redemption of shares | | (53,589 | ) | — | |
Net increase (decrease) in R Shares | | (53,589 | ) | 1,054 | |
*The R Shares were fully liquidated on October 28, 2011.
18
Notes to Financial Statements (continued)
October 31, 2011
NOTE 12 — SUBSEQUENT EVENTS
The Fund has 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 October 31, 2011.
The Trustees have approved liquidation of the Fund. The liquidation is expected to occur on or about December 15, 2011.
19
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Schroder Series Trust
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Schroder Multi-Asset Growth Portfolio (constituting part of the Schroder Series Trust) at October 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 23, 2011
20
Information Regarding Review and Approval of Investment Advisory Contracts (unaudited)
The Advisory Agreements for all of the Schroder Mutual Funds (the “Schroder Mutual Funds”) are subject to annual approval by the Trustees of the Schroder Mutual Funds. The Trustees meet over the course of the year with investment advisory personnel from Schroder Investment Management North America Inc. (“SIMNA”) and regularly review detailed information regarding the investment program and performance of each Schroder Mutual Fund. The Trustees met in June 2011 to consider the continuation of the Advisory Agreements in respect of Schroder Multi-Asset Growth Portfolio, the Fund included in this report for the following year. The Trustees considered a number of factors, though they did not identify one particular factor alone that they considered determinative. Factors considered by the Trustees included those described below, among others. The Trustees considered the fees charged by SIMNA to the Fund under the Advisory Agreements, and the fees payable by SIMNA to Schroder Investment Management North America Limited (“SIMNA Ltd.”) as sub-advisor to the Fund out of the fees received by SIMNA with respect to the Fund. The Trustees also considered the total expense ratio of the Fund. The Trustees reviewed the information provided by SIMNA and compiled by the independent Lipper organization showing a comparison of SIMNA’s fee rate for the Fund, as well as the Fund’s expense ratio, and the Fund’s brokerage commissions compared to peer mutual funds having similar objectives, strategies, and asset sizes. The Trustees also considered information provided by SIMNA as to the fees charged by SIMNA to clients other than the Fund, including institutional separate accounts, private funds, offshore funds and mutual funds for which SIMNA serves as sub-advisor.
The Trustees noted that the advisory fees or the advisory and administrative fees charged by SIMNA to the Schroder Mutual Funds appeared generally to be fair compared to those paid by other clients of SIMNA and that SIMNA generally charges lower fees to third-party mutual funds for which SIMNA serves as sub-advisor. Representatives of SIMNA reviewed with the Trustees the reasons for the differences between the fees charged to the Schroder Mutual Funds and to those third-party mutual funds, citing, among other things, the fact that the services and resources required of SIMNA where it sub-advises mutual funds sponsored by others are substantially less than in the case of the Schroder Mutual Funds, since many of the compliance and regulatory responsibilities related to the management function are retained in part by the primary advisor. The Trustees also noted that in many cases the fees charged to SIMNA’s separate account clients are lower than those charged to the Schroder Mutual Funds. Representatives of SIMNA stated that this is primarily due to the fact that the compliance, legal, and administrative burdens of providing investment advice to mutual funds exceed those required to provide advisory services to non-mutual fund clients and that management of public mutual funds generally subjects SIMNA and SIMNA Ltd. to increased regulatory and enterprise risk. Representatives of SIMNA also reported that the Schroder Mutual Funds require the resources necessary to conduct daily valuation and to satisfy liquidity requirements, which is not necessarily the case for separate account clients. Representatives of SIMNA also noted that fees charged to institutional or high net worth clients are determined in the context of the competitive market in which the products are offered.
The Trustees considered the profitability analysis with respect to each Schroder Mutual Fund for the years ended December 31, 2010 and December 31, 2009. The Trustees noted that the profitability improved in the calendar year ended December 31, 2010 as compared to the calendar year ended December 31, 2009 as assets under management had grown. The Trustees concluded that the profitability of the Schroder Mutual Funds to SIMNA did not appear unreasonable in light of services rendered, the Schroder Mutual Funds’ performance and SIMNA’s investment of resources in the Schroder Mutual Funds. The Trustees considered whether economies of scale would likely be realized as the Schroder Mutual Funds grow and whether a reduction in the advisory fees paid by the Schroder Mutual Funds by means of breakpoints would be appropriate. They concluded, in light of the sizes of the Schroder Mutual Funds and their expected growth rates, that it did not appear necessary at this point for new breakpoints to be implemented, although they would continue to consider the matter in the future as the Schroder Mutual Funds grow. In addition, representatives of SIMNA noted that most of the Schroder Mutual Funds were relatively small and, in its view, competitively priced, and that SIMNA believed that where it is recognizing profit from a product, the level of profitability is not excessive.
Representatives of SIMNA discussed with the Trustees the detailed fee and expense and performance information presented by Lipper for the Fund in connection with the proposed renewal of the Advisory Agreements. Representatives of SIMNA also explained that Lipper selects the peer group funds for the Fund with input from SIMNA. The Trustees noted that Lipper performance data also shows performance compared to benchmarks.
21
Information Regarding Review and Approval of Investment Advisory Contracts (unaudited) — (concluded)
For Schroder Multi-Asset Growth Portfolio, the Trustees considered that the Fund’s performance for the last year compared to its peer group was in the third quintile, and representatives of SIMNA discussed the difficulty of comparing the Fund’s strategy to that of its Lipper peer group because the peer group is quite small and the Fund’s investment program is in many respects unique. Representatives of SIMNA also discussed the Fund’s overall performance and noted that the Fund is performing for the most part as management designed it to perform. The Trustees noted that the Fund’s contractual management fee was in the second quintile for its peer group but its actual management fee was in the first quintile for its peer group. The Trustees also considered that total expenses of the Fund were in the first quintile for Investor Shares and in the third quintile for Advisor Shares, A Shares and R Shares.
Representatives of SIMNA confirmed that the services provided by SIMNA and SIMNA Ltd. to the Fund are separate and distinct from the services provided by SIMNA and SIMNA Ltd. to the underlying Schroder mutual funds held by the Fund, and that the advisory fees charged to the Fund are based on services that are in addition to, and not duplicative of, services provided pursuant to the advisory agreements between SIMNA and SIMNA Ltd. to the underlying funds. In addition, representatives of SIMNA noted that the management fee waiver and expense cap were still in place and that management regularly reviewed the management fee waiver and expense cap to reflect adjustments in investments by the Fund in other Schroder mutual funds and pooled vehicles. The Trustees, in light of the information provided, determined that the Fund’s management fee did not appear unreasonable.
The Trustees considered the overall nature, extent, and quality of the services provided by SIMNA and SIMNA Ltd. and the non-advisory services provided by affiliates of SIMNA. In this regard, the Trustees took into account the experience of the Fund’s portfolio management team and of SIMNA’s senior management, and the time and attention devoted by each to the Fund. After considering all the information described above, the Trustees at the meeting, including a majority of the Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended) of the Schroder Mutual Funds, SIMNA or SIMNA Ltd., in concluding that the Fund’s fees appeared reasonable, unanimously voted to approve the continuation of the Fund’s Advisory Agreements, including the advisory fees proposed in connection with that continuation.
22
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 Mutual 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 A Shares and 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
5/1/11 | | Ending
Account
Value
10/31/11 | | Net
Annualized
Expense
Ratios | | Expenses
Paid
During
Period* | |
Schroder Multi-Asset Growth Portfolio | | | | | | | | | |
Actual Expenses | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 869.80 | | 1.00 | % | $ | 4.71 | |
A Shares | | 1,000.00 | | 869.00 | | 1.25 | | 6.30 | |
Advisor Shares | | 1,000.00 | | 868.60 | | 1.25 | | 5.89 | |
Hypothetical Example for Comparison Purposes | | | | | | | | | |
Investor Shares | | $ | 1,000.00 | | $ | 1,020.16 | | 1.00 | % | $ | 5.09 | |
A Shares | | 1,000.00 | | 1,018.90 | | 1.25 | | 6.36 | |
Advisor Shares | | 1,000.00 | | 1,018.90 | | 1.25 | | 6.36 | |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the account period, multiplied by 184/365 (to reflect the one-half year period).
23
Trustees and Officers (unaudited)
Additional information regarding the Trustees is included in the Fund’s Statement of Additional Information, which is available free of charge by calling (800) 464-3108.
Name, Age
and Address | | Position(s)
Held with the
Trusts | | Term of Office
and Length of
Time Served | | Principal Occupation
During Past 5 Years | | Number of
Series
In Fund
Complex
Overseen by
Board
Member (a) | | Other
Directorships
Held by Board Member |
Trustees | | | | | | | | | | |
| | | | | | | | | | |
Catherine A. Mazza†, 51
875 Third Avenue, 22nd Fl.
New York, NY 10022
| | Trustee and
Chairman
(All Trusts)
| | Indefinite
Since 2003 (SGST)
Since 2006 (SCFD and SST)
| | Trustee and Chairman of each Trust; Institutional Relationship Director, SIMNA; Member of the Board of Managers, Schroder Fund Advisors LLC. Formerly, President and Chief Executive Officer, SCFD and SST; Senior Vice President, SIMNA. | | 10 | | None |
| | | | | | | | | | |
Jay S. Calhoun*, 56
875 Third Avenue, 22nd Fl.
New York, NY 10022
| | Trustee
(All Trusts)
| | Indefinite
Since 12/2010
| | Treasurer, Carnegie Mellon University. Formerly, Managing Partner, Rysamax Partners (marketing and business development support); Senior Vice President and Treasurer, New York Life Insurance
Company. | | 10 | | None |
| | | | | | | | | | |
Margaret M. Cannella*, 59
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Trustee
(All Trusts)
| | Indefinite
Since 12/2010
| | Adjunct professor, Columbia Business School. Formerly, Managing Director, Head, Global Credit Research and Corporate Strategy, JP Morgan Securities Inc. and Managing Director, Head, US Corporate Research, JP Morgan
Securities Inc. | | 10 | | CHF Finance International (for profit joint venture of the World Bank and CHF); Pierre Foods; Trustee, Princeton-in-Asia; Wilshire Funds. |
| | | | | | | | | | |
James D. Vaughn*, 66
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Trustee
(All Trusts) | | Indefinite
Since 2003 | | Retired. Formerly Managing Partner, Deloitte & Touche USA, LLP — Denver (accounting.) | | 10 | | AMG National Trust Bank. |
* Also serves as a member of the Audit Committee for each Trust on which they serve.
† Trustee deemed to be an “interested person” of the Trusts as defined in the 1940 Act is referred to as an “Interested Trustee.” Ms. Mazza is an Interested Trustee due to her status as an officer and employee of SIMNA, the Trust’s investment advisor and its ffiliates.
(a) The “Fund Complex” includes all series of Schroder Capital Funds (Delaware) (“SCFD”), SST and Schroder Global Series Trust (“SGST”).
24
Trustees and Officers (unaudited) — (concluded)
Name, Age
and Address | | Position(s)
Held with the
Trusts | | Term of Office
and Length of Time Served | | Principal
Occupation(s)
During Past 5 Years |
Officers | | | | | | |
| | | | | | |
Mark A. Hemenetz, 55
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | President and
Principal Executive Officer | | Indefinite
Since 2004 | | Chief Operating Officer-Americas, SIMNA; Member of Board of Managers, Schroder Fund Advisors LLC. |
| | | | | | |
Alan M. Mandel, 54
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Treasurer and Principal Financial and
Accounting Officer | | Indefinite
Since 1998 (SST and SCFD)
Since 2003 (SGST) | | Head of Fund Administration, SIMNA; Member of Board of Managers, Schroder Fund Advisors, LLC. |
| | | | | | |
Stephen M. DeTore, 60
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Chief Compliance Officer | | Indefinite
Since 2005 | | Chief Compliance Officer, SIMNA; Member of Board of Managers, Schroder Fund Advisors LLC. |
| | | | | | |
William Sauer, 48
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Vice President | | Indefinite
Since 2008 | | Head of Investor Services, SIMNA. Formerly, Vice President, The Bank of New York |
| | | | | | |
Carin Muhlbaum, 49
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Vice President | | Indefinite
Vice President since 1998
(SST and SCFD)
Vice President since 2003 (SGST) | | General Counsel, SIMNA; Member of Board of Managers, Secretary and General Counsel, Schroder Fund Advisors LLC. |
| | | | | | |
Abby Ingber, 48
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Chief Legal Officer
and Secretary/Clerk
| | Indefinite
Chief Legal Officer since 2006
Secretary/Clerk since 2007 | | Deputy General Counsel, SIMNA. Formerly, Senior Counsel, TIAA-CREF. |
| | | | | | |
Angel Lanier, 50
875 Third Avenue, 22nd Fl.
New York, NY 10022 | | Assistant Secretary | | Indefinite
Since 2005 | | Legal Assistant, SIMNA; Assistant Secretary, Schroder Fund Advisors LLC. |
25
Notice to Shareholders (unaudited)
For shareholders that do not have an October 31, 2011 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2011 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended October 31, 2011, the Fund has designated the following items with regard to distributions paid during the year.
| | Long Term
(15% Rate)
Capital Gain
Distribution | | Ordinary
Income
Distributions | | Total
Distributions | | Qualifying
For
Corporate
Dividends
Rec.
Deductions
(1) | | Qualifying
Dividend
Income
(2) | | U.S.
Government
Interest
(3) | | Qualifying
Interest
Income
(4) | | Qualifying
Short-Term
Capital Gain
(5) | |
| | | | | | | | | | | | | | | | | |
Schroder Multi-Asset Growth Portfolio | | 0.00 | % | 100.00 | % | 100.00 | % | 1.24 | % | 15.77 | % | 0.00 | % | 0.04 | % | 0.00 | % |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividend received deduction and is reflected as a percentage of “Ordinary Income Distributions”. |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of “Ordinary Income Distributions”. It is the intention of the aforementioned fund to designate the maximum amount permitted by law. |
(3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government Obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government Obligations is exempt from state income tax. |
(4) | The percentage in this column represents the amount of “Qualifying Interest Income” as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of net investment income distributions that are exempt from U.S. withholding tax when paid by foreign investors. |
(5) | The percentage in this column represents the amount of “Qualifying Short-Term Capital Gain” as created by the American Job Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that are exempt from U.S. withholding tax when paid by foreign investors. |
For the Short period ended December 15, 2011, the fund designates all distributions in short period as ordinary income distributions.
On December 9, 2011, the Fund made per share income distributions to the shareholders of record as of December 8, 2011:
| | Net
Investment
Income | |
Schroder Multi-Asset Growth Portfolio | | | |
Investor Shares | | $ | 0.1545 | |
A Shares | | 0.1338 | |
Advisor Shares | | 0.1338 | |
| | | | |
26
Shareholder Voting Results (unaudited)
Schroder Series Trust
(the ‘‘Trust’’)
Special Meeting of Shareholders
December 3, 2010
At the Combined Meeting of Shareholders, shareholders of the Trust were asked to vote for the election of Trustees of the applicable Trust. The results of the vote are provided below:
| | Total Shares
Outstanding | | Votes in Favor | | Votes Withheld | | % of Outstanding
Shares Voting in Favor | | % of Shares
Present Voting in
Favor | |
Jay S. Calhoun | | | | | | | | | | | |
Schroder Series Trust | | 42,927,874.9220 | | 26,278,774.3110 | | 158,039.0000 | | 61.216 | % | 99.402 | % |
| | | | | | | | | | | |
Margaret M. Cannella | | | | | | | | | | | |
Schroder Series Trust | | 42,927,874.9220 | | 26,275,871.3110 | | 160,942.0000 | | 61.209 | % | 99.391 | % |
| | | | | | | | | | | |
Catherine A. Mazza | | | | | | | | | | | |
Schroder Series Trust | | 42,927,874.9220 | | 26,300,760.3110 | | 136,053.0000 | | 61.267 | % | 99.485 | % |
| | | | | | | | | | | |
James D. Vaughn | | | | | | | | | | | |
Schroder Series Trust | | 42,927,874.9220 | | 22,312,873.3110 | | 4,123,940.0000 | | 51.977 | % | 84.401 | % |
27
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. |
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 Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus which contains important information concerning the Trust. |
| | |
| | Schroder Series Trust
P.O. Box 8507
Boston, MA 02266
(800) 464-3108 |
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer and principal accounting officer.
Item 3. Audit Committee Financial Expert.
(a)(1) The registrant’s board of trustees has determined that the registrant has at least one audit committee financial expert serving on the audit committee.
(a)(2) The audit committee financial expert is James D. Vaughn. Mr. Vaughn is independent as defined in Form N-CSR Item 3(a)(2).
Item 4. Principal Accountant Fees and Services.
PricewaterhouseCoopers LLP billed the Trust aggregate fees for services rendered to the Trust for the last two fiscal years as follows:
| | | | 2011 | | 2010 | |
| | | | All fees and
services to the
Trust that were
pre-approved | | All fees and
services to
service
affiliates that
were pre-
approved | | All other fees
and services to
service
affiliates that
did not require
pre-approval | | All fees and
services to the
Trust that were
pre-approved | | All fees and
services to
service
affiliates that
were pre-
approved | | All other fees
and services to
service
affiliates that
did not require
pre-approval | |
(a) | | Audit Fees | | $ | 148,997 | | N/A | | $ | 38,780 | | $ | 150,247 | | N/A | | $ | 31,000 | |
(b) | | Audit-Related Fees | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
(c) | | Tax Fees | | $ | 18,530 | (1) | $ | 0 | | $ | 432,838 | (2) | $ | 24,050 | (1) | $ | 0 | | $ | 308,813 | (2) |
(d) | | All Other Fees | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
Notes:
(1) Tax return preparation fees.
(2) Tax compliance services provided to service affiliates of the Funds.
(e)(1) The Audit Committee pre-approves, to the extent required by applicable regulations (including paragraph (c)(7) of Rule 2-01 of Regulation S-X), (i) all audit and permitted non-audit services rendered by the independent accountants to the registrant and (ii) all non-audit services rendered by the independent accountants to the registrant’s investment adviser and to certain affiliates of the investment adviser.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
| | 2011 | | 2010 | |
Audit-Related Fees | | n/a | | n/a | |
Tax Fees | | 0 | % | 0 | % |
All Other Fees | | n/a | | n/a | |
(f) Not applicable.
(g) The aggregate non-audit fees and services billed by PricewaterhouseCoopers LLP for the last two fiscal years were $451,368 and $332,863 for 2011 and 2010, respectively.
(h) Not applicable.
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 August 1, 2011 through October 31, 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) Code of Ethics attached hereto.
(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: January 4, 2012 | |
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: January 4, 2012 | |
| |
| |
By (Signature and Title)* | /s/ Alan M. Mandel |
| Alan M. Mandel |
| Treasurer and Chief Financial Officer |
Date: January 4, 2012 | |
* Print the name and title of each signing officer under his or her signature.
