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 811-08542
The Saratoga Advantage Trust
(Exact name of registrant as specified in charter)
12725 W. Indian School Rd, Suite E-101, Avondale, AZ 85392
(Address of principal executive offices) (Zip code)
Stuart M Strauss, Esq. Dechert LLP
1095 Avenue of the Americas, New York, NY, 10036
(Name and address of agent for service)
Registrant's telephone number, including area code: 623-266-4567
Date of fiscal year end: 8/31
Date of reporting period: 8/31/22
Item 1. Reports to Stockholders.
Class A and C Shares | ||
ANNUAL REPORT | ||
As Of August 31, 2022 | ||
THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS | ||
AND TO OTHERS WHO HAVE RECEIVED A COPY OF THE PROSPECTUS. | ||
TABLE OF CONTENTS
Chairman’s Letter | Page 1 |
Investment Review | Page 6 |
Schedules of Investments | Page 44 |
Statements of Assets and Liabilities | Page 84 |
Statements of Operations | Page 88 |
Statements of Changes in Net Assets | Page 92 |
Notes to Financials | Page 98 |
Financial Highlights | Page 119 |
Report of Independent Registered Public Accounting Firm | Page 137 |
Supplemental Information | Page 139 |
Privacy Notice | Page 150 |
TRUSTEES AND OFFICERS | |
Bruce E. Ventimiglia | Trustee, Chairman, President & CEO |
Patrick H. McCollough | Trustee |
Udo W. Koopmann | Trustee |
Floyd E. Seal | Trustee |
Stephen H. Hamrick | Trustee |
Stephen Ventimiglia | Vice President & Secretary |
Jonathan W. Ventimiglia | Vice President, Assistant Secretary, |
Treasurer & Chief Financial Officer | |
Frederick C. Teufel, Jr | Chief Compliance Officer |
Timothy J. Burdick | Assistant Secretary |
Richard S. Gleason | Assistant Treasurer |
Investment Manager | Distributor |
Saratoga Capital Management, LLC | Northern Lights Distributors, LLC |
12725 W. Indian School Road, Suite E-101 | 4221 N 203rd Street, Suite 100 |
Avondale, Arizona 85392 | Elkhorn, Nebraska 68022 |
Transfer & Shareholder Servicing Agent | Custodian |
Ultimus Fund Solutions, LLC | BNY Mellon Corp. |
4221 N 203rd Street, Suite 100 | 225 Liberty Street |
Elkhorn, Nebraska 68022 | New York, New York 10286 |
Administrator & Fund Accounting Agent | Custody Administrator |
Ultimus Fund Solutions, LLC | Ultimus Fund Solutions, LLC |
4221 N 203rd Street, Suite 100 | 4221 N 203rd Street, Suite 100 |
Elkhorn, Nebraska 68022 | Elkhorn, Nebraska 68022 |
THE SARATOGA ADVANTAGE TRUST
Annual Report to Shareholders
October 23, 2022
Dear Shareholder:
We are pleased to provide you with this annual report on the investment strategies and performance of the portfolios in the Saratoga Advantage Trust (the “Trust”). This report covers the twelve months from September 1, 2021, through August 31, 2022.
We believe that successful investing requires discipline and patience. Try to stay focused on your long-term investment goals. Don’t let short-term stock and bond market fluctuations or investment manias change your long-term investment strategy. The Saratoga Advantage Trust’s portfolios are managed by some of the world’s leading institutional investment advisory firms. Combining the strength of the Trust’s performance with a well-designed asset allocation plan can help you to achieve your long-term investment goals.
ECONOMIC OVERVIEW
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States regressed by an annualized growth rate of -0.6% (AGR) during the second quarter of 2022, up from the -1.6% AGR during the first quarter of 2022. The steady growth that the US economy enjoyed prior to, and during its recovery from, the pandemic-related recession is being eaten away at by inflation. Thus far, the National Bureau of Economic Research (NBER) has yet to characterize the current economic environment as a recession; our own proprietary economic stage analysis has generally agreed with the NBER’s historical characterizations, and we believe it is important to use a nuanced framework when approaching recession determinations. We would not be surprised to see the economy bounce around near zero growth while inflation remains elevated. And, while our metrics indicate the economy is likely already in, or will shortly enter, recession, we believe it is important to note that investing based on economic stages requires looking well beyond the broad macro environment.
Looking at the main components of GDP during the quarter, Personal Consumption Expenditures (PCE) advanced by 2.0%, while Gross Private Domestic Investment (GPDI) fell sharply, down over 14%, and government spending fell again. Government spending, which accounts for both consumption and gross investment, has now fallen for five straight quarters and seven of the last eight. Non-defense spending by the government continues to fall, as federal, state, and local budgets tighten. Though fiscal tightening has not been extreme, the fall in government spending sheds light on the particular difficulty leaders are facing as they deal with the current economy: in an environment where we might usually see fiscal largesse, inflation is forcing governments to spend less out of fear consumer demand will continue to run amuck.
1
While consumer spending grew during the quarter, the Goods portion of PCE continues to deteriorate. The Services portion of PCE represents consumer spending on services, which accounts for roughly 40% of the entire US economy; it is undeniably positive to see services spending remain resilient, though it is likewise fair to point out that not much else in the current GDP report is inspiring. Though the freefall of investment in Residential and Nonresidential Structures is unsurprising as the cost of debt moves higher, it is nonetheless a heavy burden on the economy.
As we wrote in last quarter’s MIVI, the depth of economic pain we see will likely correlate with how inflation persists. While many may focus on inflation falling back to the Federal Reserve’s (Fed) nominal 2.0% target, we believe inflation around 4.0% should allow the economy and earnings to recover and investors to see some relief.
Monetary Policy: The Federal Reserve continues its tapering program. The Fed balance sheet topped out at roughly $8.96 trillion in April 2022 and has dropped to $8.79 at the end of September 2022.
As of August, the monetary base fell -11.79% y-o-y, down from a cycle high of 57.7%. It is not unprecedented for the Fed to take out the monetary base at this rate, but it is still a significant development. The monetary base dropping will put downward pressure on inflation, however that effect can take considerable time. Within the monetary base, we see the Fed is manipulating policy considerably via currency in circulation (CiC). CiC hit a pandemic-high growth rate of 17% y-o-y in 2020; that figure has now dropped to 4.0% y-o-y, far below its mean historical y-o-y growth rate of roughly 7.0%. M2, one of the most widely used monetary figures for measuring liquidity in the economy, is also down significantly from its cycle high 22% y-o-y growth in February 2021 to 4.1% y-o-y currently, also well below its long-term mean of 7.1% y-o-y.
In the earlier months of Fed tightening, we wrote that while the Fed was pulling back on their accommodation, they were still supporting liquidity via their monetary policy. This is no longer the case. Extraordinarily loose monetary policy has reversed into a somewhat tight policy that should both dampen inflationary pressures and economic growth. Now the question becomes, how quickly and to what degree will these effects become realized? Historically, monetary tightening has had a faster effect than loosening, so we should perhaps be unsurprised that the Fed already seems to be having success in pressuring the economy.
Interest Rates: One-year treasuries continue to move up rapidly; we generally see this treasury issue move up when inflation is high and the market is anticipating the Fed will move their target rates higher. One- and two-year treasuries, which had been mostly rangebound through last summer, have moved up sharply since fall 2021. Three-month treasuries were in a slight downtrend through last summer and their yields remained under 0.10 as recently as the start of 2022; however, year-to-date these short-term issues have put in an extreme uptrend as the market and the Fed finally seemed to accept the economy was running hot on inflation. We previously wrote that interest rate performance suggested the economy might not be as strong as it looked toward the end of 2021, and that seems to have been confirmed by the current negative GDP environment.
Regarding long-term corporate bonds, the quality spread as measured by Moody’s-rated Baa bonds minus Aaa bonds continues moving up. The quality spread has historically been a good predictor of confidence in the corporate bond market and helps us establish a baseline expectation for corporate earnings. The quality spread approached a long-term low of 0.65 during June 2021 but
2
has more recently moved up to 1.10 in September 2022. We mentioned last quarter that spread moves had broken a number of technical barriers to the upside, suggesting corporate earnings might begin to stall. This quarter’s further move up gives us further confidence that weak earnings are likely on the table; we are unsurprised to see earnings estimates continue to be revised to the downside.
Equity Valuations: As of September 30, 2022, the S&P 500 index was at 3,585. Our proprietary valuation work suggests a fair value for the S&P 500 around 3,525. Earnings growth projections are facing slight adjustments downward. We believe PE levels are likely to stay suppressed below their modern historical (1990 to present) mean of roughly 24.9 as inflation and intermediate-to-long-term interest rates are presenting a headwind to valuations. Earnings are generally a leading indicator, peaking slightly before recessions. Earnings have potentially put in a near-term peak; however, it is not a foregone conclusion that they will fall precipitously. It appears earnings estimates are factoring in a touch-and-go recessionary environment, as opposed to a deep recession, and this is a base case we tentatively agree seems likely, though continued hot inflation could change that assumption.
To create a range of equity market outcomes, we use a valuation tool which we refer to as our Proper PE Valuation™ tool. Among other things, this analysis provides us with a set of ranges above and below which we consider the S&P 500 overvalued or undervalued, respectively. Our proprietary valuation work currently sets an appropriate S&P 500 PE from 18.5 to 19.5. This produces a fair value range of 3,525 to 3,715 over the next 6 months. Earnings growth is stalling, and our valuation work has reduced PE projections from our last report. The current levels and trends of the underlying data we analyze, including our technical work, indicates that we are likely to stay in or near fair- value range for the near-term, however there is likely more risk to that target on the downside than the upside.
Inflation: The Saratoga Economic Strength Monitor™ (ESM) has typically trended with, or in advance of, the Consumer Price Index and Fed activity. In March of 2021, ESM signaled that the Fed was being confronted with a “hot” economy, and that it would potentially make sense to begin removing accommodation from the economy; it took the Fed nearly a year to react. Now, we’re looking at nearly the opposite scenario. In May of this year, ESM dropped precipitously, and continues to hover near levels at which it would likely be appropriate for the Fed to “wait and see” just how much damage they’ve done while adopting a more neutral stance. Nevertheless, the Fed seems intent to continue on its dizzyingly quick path of large interest rate hikes.
Wages have historically played a large roll in our inflation research. In particular, we focus on average weekly earnings of Production and Non-Supervisory employees, specifically for Goods-producing workers (Goods Wages), as a reliable leading indicator for inflation. It is useful to think about the growth of these types of wages in comparison to the growth of inflation. As of December 2020, Goods Wages had risen 7.8% y-o-y, while CPI was at just 1.3%. However, that story has changed. Over the past year, Goods Wages are up just 4.8% while CPI remains over 8%; it is unlikely wages can continue to push inflation while their growth runs so far behind CPI.
On the supply side of the economy, certain commodities show signs of a slowdown. Copper and cotton, two important economic inputs, have fallen by over 20% this year, while lumber is down over 50%; however, of course, consumers are still facing painful energy inflation.
3
COMPARING THE PORTFOLIOS’ PERFORMANCE TO BENCHMARKS
When reviewing the performance of the portfolios against their benchmarks, it is important to note that the Trust is designed to help investors to implement an asset allocation strategy to meet their individual needs as well as select individual investments within each asset category among the myriad of choices available. Each Saratoga portfolio was formed to represent an asset class, and each portfolio’s institutional money manager was selected based on their ability to manage money within that class.
Therefore, the Saratoga portfolios may help investors to properly implement their asset allocation decisions and keep their investments within the risk parameters that they establish with their investment consultants. Without the intended asset class consistency of the Saratoga portfolios, even the most carefully crafted allocation strategy could be negated. Furthermore, the benchmarks do not necessarily provide precise standards against which to measure the portfolios, in that the characteristics of the benchmarks can vary widely at different points in time from the Saratoga portfolios (e.g., characteristics such as: average market capitalizations, price-to-earnings and price-to-book ratios, bond quality ratings and maturities, etc.). In addition, the benchmarks can potentially have a survivor bias built into them (i.e., the performance of only funds that are still in existence may remain part of the benchmark’s performance while funds that do not exist anymore may be removed from the benchmark’s performance).
ELECTRONIC DELIVERY AVAILABLE
This report can be delivered to you electronically. Electronic delivery can help simplify your record keeping. With electronic delivery, you’ll receive an email with a link to your Saratoga Advantage Trust quarterly statement, daily confirmations and/or semi-annual and annual reports each time one is available. You have the ability to choose which items you want delivered electronically. Choose one item or all items. It’s up to you. Please call our Customer Service Department toll-free at 1-888-672-4839 for instructions on how to establish electronic delivery.
4
AUTOMATED ACCOUNT UPDATES
I am pleased to inform you that you can get automated updates on your investments in the Saratoga Advantage Trust 24 hours a day, every day, by calling toll-free 1-888-672-4839. For additional information about the Trust, please call your financial advisor, visit our website at www.saratogacap.com or call 1-800-807-FUND.
Finally, following you will find specific information on the investment strategy and performance of each of the Trust’s portfolios. Please speak with your financial advisor if you have any questions about your investment in the Saratoga Advantage Trust or your allocation of assets among the Trust’s portfolios.
We remain dedicated to serving your investment needs.
Thank you for investing with us.
Best wishes,
Bruce E. Ventimiglia
Chairman, President and
Chief Executive Officer
Investors should consider the investment objectives, risks, charges, and expenses of the Saratoga Funds carefully. This and other information about the Saratoga Funds is contained in your prospectus, which should be read carefully. To obtain an additional copy of the prospectus, please call (800) 807-FUND. Past performance is not indicative of future results. Investments in stocks, bonds and mutual funds are not guaranteed and the principal value and investment return can fluctuate. Consequently, investors may receive back less than invested.
The S&P 500 is an unmanaged, capitalization-weighted index. It is not possible to invest directly in the S&P 500.
The security holdings discussed may not be representative of the Funds’ current or future investments. Portfolio holdings are subject to change and should not be considered to be investment advice. Any statements not of a factual nature constitute opinions which are subject to change without notice. Information contained herein was obtained from recognized statistical services and other sources believed to be reliable and we therefore cannot make any representation as to its completeness or accuracy. The Funds of the Saratoga Advantage Trust are distributed by Northern Lights Distributors, LLC, member FINRA/SIPC; the Saratoga Advantage Trust and Northern Lights Distributors, LLC are not affiliated entities. 5937-NLD-10262022
5
INVESTMENT REVIEW |
LARGE CAPITALIZATION VALUE PORTFOLIO
Advised by: M.D. Sass Investors Services, Inc., New York, New York
Objective: The Portfolio seeks total return consisting of capital appreciation and dividend income.
Total Aggregate Return for the Periods Ended August 31, 2022 | |||||
One Year: | Five Year: | Ten Year: | Inception: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 1/4/99 – 8/31/22* | 2/14/06 – 8/31/22* | |
Class A | |||||
With Sales Charge | (6.33)% | 7.68% | 9.91% | NA | 4.54% |
Without Sales Charge | (0.62)% | 8.96% | 10.56% | NA | 4.92% |
Class C | |||||
With Sales Charge | (2.22)% | 8.30% | 9.90% | 3.50% | NA |
Without Sales Charge | (1.22)% | 8.30% | 9.90% | 3.50% | NA |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 1.72% and 2.31% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
In determining which securities to buy, hold or sell, the Portfolio’s Adviser focuses its investment selection on finding high quality companies with compelling valuations, measurable catalysts to unlock value and above-average long -term earnings growth potential. In general, the Adviser looks for companies that have value-added product lines to help preserve pricing power, a strong history of free cash flow generation, strong balance sheets, competent management with no record of misleading shareholders, and financially sound customers. Independent research is used to produce estimates for future earnings, which are inputs into the Adviser’s proprietary valuation model. The Adviser focuses its investments where it has a differentiated view and there exists, in its view, significant price appreciation potential to its estimate of the stocks’ intrinsic value.
PORTFOLIO ADVISER COMMENTARY
The Saratoga Advantage Trust Large Cap Value Portfolio posted negative absolute performance for the period but outperformed on a relative basis. Relative outperformance was driven primarily by stock selection in the Financial, Industrial and Healthcare sectors.
The portfolio’s top contributor during the fiscal year was Quanta Services (0.00%). We believe Quanta is a uniquely positioned leading infrastructure contractor at the epicenter of secular growth markets in electric transmission and distribution (our favored engineering and construction market), renewable generation, and underground utility and infrastructure sectors. The company looks poised to benefit from recent US infrastructure bills. Vertex Pharmaceuticals (0.00%) was the portfolio’s second-best performing stock during this period. This biopharmaceutical company develops small molecule drugs for patients with serious diseases. Vertex stock benefits from strong earnings and its growing pipeline of drug growth and discovery. The company has also benefited from a lack of data coming from AbbVie for a competing cystic fibrosis drug. We have sold, taking profits in both of these positions during the year.
The portfolio’s main detractors were Qorvo Inc. (0.00%), and Alphabet Inc. (4.47%). Qorvo underperformed largely due to investor concerns about a cyclical peak in semiconductor demand for smartphones. Qorvo benefited in 2021 from increased shipments of smartphones with higher content per phone but they extrapolated this demand into 2022 while their specific end markets were slowing materially leading to downward earnings revisions. Alphabet Inc. underperformed due in part to investor concerns about digital ad spending (which is sensitive to the macro economy) and slowing growth at YouTube. However, we believe YouTube should do well over the medium- and longer-term as its video ad impressions could benefit from the shift to ad-supported video on demand and connected TV; additionally, we see Google Search’s deep moat as the best positioned mobile ad product and search advertising remains the most effective ad medium. We sold Qorvo during the year, and still hold Alphabet.
A recent addition to the portfolio was Match Group Inc. (2.43%). Our value-oriented, relatively concentrated approach to stock selection has benefited portfolio performance during the past fiscal year. We believe the challenging, choppy market environment we’ve seen this year is likely to continue, which could continue to favor superior stock selection, in-depth research, and a concentrated value approach.
Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 8/31/22. The securities held in the Portfolio are subject to change and any discussion of those securities should not be considered investment advice.
6
INVESTMENT REVIEW |
LARGE CAPITALIZATION VALUE PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
LARGE CAPITALIZATION VALUE PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
CACI International, Inc., Class A | 7.1% |
Walker & Dunlop, Inc. | 5.6% |
East West Bancorp, Inc. | 5.4% |
Crown Holdings, Inc. | 5.4% |
ON Semiconductor Corporation | 5.3% |
Corteva, Inc. | 5.3% |
MasTec, Inc. | 5.1% |
Liberty Media Corporation-Liberty Formula One, Class C | 5.0% |
First Republic Bank | 4.8% |
Raytheon Technologies Corporation | 4.8% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar Large Value Average (“Large Value Average”), as of August 31, 2022, consisted of 1,241 mutual funds comprised of large market capitalization value stocks. The Large Value Average is not managed and it is not possible to invest directly in the Large Value Average.
The S&P 500/Citigroup Value Index, is broad, unmanaged-capitalization weighted index which is the successor to the S&P 500/BARRA Value Index, uses a multifactor methodology to score constituents, which are weighted according to market cap and classified as growth, value, or a mix of growth and value. The S&P 500/Citigroup Value Index does not include fees and expenses, and investor may not invest directly in an index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
Large Capitalization Value Portfolio is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Large Capitalization Value Portfolio or any member of the public regarding the advisability of investing in mutual funds comprised of large market capitalization value stocks generally or in the Large Capitalization Value Portfolio in particular or the ability of the Morningstar Large Value Average to track general large market capitalization value stocks market performance.
THE MORNINGSTAR ENTITIES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE MORNINGSTAR LARGE VALUE AVERAGE CATEGORY OR ANY DATA INCLUDED THEREIN AND MORNINGSTAR ENTITIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
7
INVESTMENT REVIEW |
LARGE CAPITALIZATION GROWTH PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks capital appreciation.
Total Aggregate Return for the Periods Ended August 31, 2022 | |||||
One Year: | Five Year: | Ten Year: | Inception: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 1/4/99 – 8/31/22* | 2/14/06 – 8/31/22* | |
Class A | |||||
With Sales Charge | (21.57)% | 11.56% | 13.45% | NA | 9.38% |
Without Sales Charge | (16.80)% | 12.89% | 14.12% | NA | 9.77% |
Class C | |||||
With Sales Charge | (18.28)% | 12.20% | 13.44% | 5.03% | NA |
Without Sales Charge | (17.28)% | 12.20% | 13.44% | 5.03% | NA |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 1.76% and 2.37% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio’s Adviser employs quantitative and qualitative analysis that seeks to identify high quality companies that it believes have the ability to accelerate earnings growth and exceed investor expectations. The Adviser’s selection process consists of three steps. First, the Adviser reviews a series of screens utilizing the Adviser’s investment models, which are based on fundamental characteristics, designed to eliminate companies that the Adviser’s research shows have a high probability of underperformance. Factors considered when reviewing the screens include a multi-factor valuation framework, earnings quality, capital structure and financial quality. Next, securities that pass the initial screens are then evaluated to try to identify stocks with the highest probability of producing an earnings growth rate that exceeds investor expectations. This process incorporates changes in earnings expectations and earnings quality analysis. Finally, these steps produce a list of eligible companies which are subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. The Adviser uses the results of this analysis to construct the Portfolio’s security positions.
PORTFOLIO ADVISOR COMMENTARY
A year ago, financial markets were beginning to become concerned with a rising inflationary and interest rate environment, yet inflation expectations were still firmly anchored at 2.5%, up from 1.8% one-year prior, and the yield on the 10- year Treasury sat at 1.49%. A short nine months later the year-over-year change in the US Consumer Price Index hit 9.0% before modestly retreating to 8.3% over the coming months, the 10-year Treasury yield has more than doubled, and equity markets have entered bear market territory. There is no debate that inflation is back with a vengeance; the debate is now moving to how quickly inflation fades, to what level it fades, and what are the second-order effects on economic growth, corporate earnings, and other factors?
The US economy has seen two consecutive quarters of negative growth and further downturns are possible. The global economy looks to be headed for a period of below trend growth as tight monetary policy potentially constrains economic activity. This below-trend growth will almost assuredly lead to at least a modest adjustment in the outlook for corporate earnings, but that comes off much lower market multiples than have been seen for quite some time.
For the 12-months ended August 31, 2022, the Saratoga Advantage Trust Large Capitalization Growth Portfolio posted strong relative performance, though absolute returns in both the portfolio and asset class were considerably negative. The top performing sector in the portfolio was Communication Services led by television broadcasting and digital media company Nexstar Media (0.52%). Auto parts retailer AutoZone (2.09%) and beauty supply company Ulta Beauty (2.26%) were top performers in the Consumer Discretionary sector. A small over-weight to Moderna, Inc. (0.0%), a biotechnology company most associated with COVID-19 vaccines, hurt performance during the final quarter of 2021 after reporting lower than expected earnings and reducing guidance for vaccine doses and sales.
Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 8/31/22. The securities held in the Portfolio are subject to change and any discussion of those securities should not be considered investment advice.
8
INVESTMENT REVIEW |
LARGE CAPITALIZATION GROWTH PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
LARGE CAPITALIZATION GROWTH PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Apple, Inc. | 10.8% |
Microsoft Corporation | 8.4% |
Tesla, Inc. | 4.3% |
Amazon.com, Inc. | 4.0% |
Costco Wholesale Corporation | 3.3% |
Waste Management, Inc. | 2.5% |
Synopsys, Inc. | 2.4% |
Gartner, Inc. | 2.3% |
Ulta Beauty, Inc. | 2.3% |
Paychex, Inc. | 2.2% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar Large Growth Average (“Large Growth Average”), as of August 31, 2022, consisted of 1,272 mutual funds comprised of large market capitalization growth stocks. The Large Growth Average is not managed and it is not possible to invest directly in the Large Growth Average.
The S&P 500/Citigroup Growth Index, is broad, unmanaged-capitalization weighted index which is the successor to the S&P 500/BARRA Growth Index, uses a multifactor methodology to score constituents, which are weighted according to market cap and classified as growth, value, or a mix of growth and value. The S&P 500/Citigroup Value Index does not include fees and expenses, and investor may not invest directly in an index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
Large Capitalization Growth Portfolio is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Large Capitalization Growth Portfolio or any member of the public regarding the advisability of investing in mutual funds comprised of large market capitalization growth stocks generally or in the Large Capitalization Growth Portfolio in particular or the ability of the Morningstar Large Growth Average to track general large market capitalization growth stocks market performance.
THE MORNINGSTAR ENTITIES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE MORNINGSTAR LARGE GROWTH AVERAGE CATEGORY OR ANY DATA INCLUDED THEREIN AND MORNINGSTAR ENTITIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
9
INVESTMENT REVIEW |
MID CAPITALIZATION PORTFOLIO
Advised by: Vaughn Nelson Investment Management, L.P., Houston, Texas
Objective: The Portfolio seeks long-term capital appreciation.
Total Aggregate Return for the Year Ended August 31, 2022 | ||||
One Year: | Five Year: | Ten Year: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 6/28/02 – 8/31/22* | |
Class A | ||||
With Sales Charge | (15.42)% | 5.04% | 8.28% | 7.05% |
Without Sales Charge | (10.28)% | 6.29% | 8.93% | 7.36% |
Class C | ||||
With Sales Charge | (11.84)% | 5.65% | 8.29% | 6.73% |
Without Sales Charge | (10.84)% | 5.65% | 8.29% | 6.73% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 2.06% and 2.64% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio invests in securities of companies that are believed by the Adviser to be undervalued, thereby offering above-average potential for capital appreciation. The Portfolio may also invest in equity securities of foreign companies. The Adviser invests in medium capitalization companies with a focus on total return using a bottom-up value oriented investment process. The Adviser seeks companies with the following characteristics, although not all of the companies it selects will have these attributes: (i) companies earning a positive economic margin with stable-to-improving returns; (ii) companies valued at a discount to their asset value; and (iii) companies with an attractive dividend yield and minimal basis risk. In selecting investments, the Adviser generally employs the following strategy: (i) value-driven investment philosophy that selects stocks selling at attractive values based upon business fundamentals, economic margin analysis, discounted cash flow models and historical valuation multiples. The Adviser reviews companies that it believes are out-of-favor or misunderstood; (ii) use of value-driven screens to create a research universe of companies with market capitalizations of at least $1 billion; and (iii) use of fundamental and risk analysis to construct a portfolio of securities that the Adviser believes has an attractive return potential.
PORTFOLIO ADVISOR COMMENTARY
During the fourth quarter of 2021, with rising inflationary pressures becoming a political issue, the US Federal Reserve began reducing their Quantitative Easing purchases and provided forward guidance that interest rate increases were on the horizon. US equity markets declined modestly in the next quarter. Capital market performance during the quarter was dominated by Russia’s invasion of Ukraine and NATO’s sharp response. These events further supported inflationary pressures and are an additional weight to future economic growth. Even with the added cost pressures from the invasion of Ukraine, inflation remained elevated relative to recent history. The Federal Reserve raised the Fed Funds rate by twenty-five basis points during the quarter, kicking off the first Fed hiking cycle since 2018.
US equity markets continued their decline throughout the second quarter of 2022, and international markets followed suit. Risk assets continued to be pressured by accelerating inflation, decelerating economic growth, and tightening financial conditions. Inflation in the US moved from goods to services and housing. While interest rates shifted materially higher, the yield curve flattened with money supply decelerating materially. The rapid slowdown in economic growth and tightening financial conditions created a recessionary environment in the US, Europe, and most export led economies.
US and international equity markets remained volatile during the third quarter of 2022. Helping to drive equity markets down was exceptional US dollar strength as the Federal Reserve dramatically tightened financial conditions by increasing interest rates and aggressively shrinking their balance sheet. The strong US dollar accelerated the exportation of US inflation to the rest of the world, forcing nearly all global central banks to follow the US Federal Reserve in raising interest rates.
For the twelve-month period ending 8/31/21, the Saratoga Advantage Trust Mid Capitalization Portfolio posted negative absolute and positive relative performance. Security selection within Communication Services and Information Technology were the largest contributors to relative outperformance. The largest detractor was stock selection within Health Care and Consumer Staples.
Over the short- to medium-term, we believe markets will continue to be heavily influenced by the ongoing energy and capital shortages dominating realpolitik. Given the nature of the challenges, there appear to be no short-term solutions, but only tradeoffs driven by the political calendar and responses to crises as they flare up. As these twin crises confront a developing global recession with all major central banks continuing to tighten financial conditions, equity investors’ underlying premise for optimism must be that countries do not choose bankruptcy via austerity. We have witnessed pivots by the Bank of England, the European Union Bank, the Bank of Japan, and the Bank of Korea supporting this premise as they have reimplemented forms of liquidity support.
10
INVESTMENT REVIEW |
MID CAPITALIZATION PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MID CAPITALIZATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Motorola Solutions, Inc. | 5.0% |
Nexstar Media Group, Inc. | 4.8% |
Vistra Corporation | 3.6% |
Evergy, Inc. | 3.1% |
Alliant Energy Corporation | 3.1% |
Ameren Corporation | 3.1% |
Republic Services, Inc. | 3.0% |
CMS Energy Corporation | 3.0% |
WillScot Mobile Mini Holdings Corporation | 2.7% |
Nasdaq, Inc. | 2.5% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Russell Midcap® Index measures the performance of the mid-cap segment of the US equity universe. The Russell Midcap Index is a subset of the Russell 1000® Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap® Index represents approximately 27% of the total market capitalization of the Russell 1000® companies, as of the most recent reconstitution. The Russell Midcap Index is constructed to provide a comprehensive and unbiased barometer for the mid-cap segment. The index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true midcap opportunity set. Investors may not invest in the Index directly; unlike the Portfolio’s return, the Index does not reflect any fees or expenses.
The Morningstar Mid Capitalization Blend Average (“Mid Cap Blend Average”), as of August 31, 2022, consisted of 417 mutual funds comprised of mid market capitalization stocks. The Mid Cap Blend Average is not managed and it is not possible to invest directly in the Mid Cap Blend Average.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
Mid Capitalization Portfolio is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Mid Capitalization Portfolio or any member of the public regarding the advisability of investing in mutual funds comprised of mid market capitalization stocks generally or in the Mid Capitalization Portfolio in particular or the ability of the Morningstar Mid Cap Blend Average to track general mid market capitalization stocks market performance.
THE MORNINGSTAR ENTITIES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE MORNINGSTAR MID CAP BLEND AVERAGE OR ANY DATA INCLUDED THEREIN AND MORNINGSTAR ENTITIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
11
INVESTMENT REVIEW |
SMALL CAPITALIZATION PORTFOLIO
Advised by: Zacks Investment Management, Inc., Chicago, Illinois
Objective: The Portfolio seeks maximum capital appreciation.
Total Aggregate Return for the Year Ended August 31, 2022 | |||||
One Year: | Five Year: | Ten Year: | Inception: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 1/4/99 – 8/31/22* | 2/14/06 – 8/31/22* | |
Class A | |||||
With Sales Charge | (13.83)% | 6.99% | 7.75% | NA | 5.88% |
Without Sales Charge | (8.58)% | 8.28% | 8.39% | NA | 6.26% |
Class C | |||||
With Sales Charge | (9.75)% | 7.77% | 7.75% | 7.58% | NA |
Without Sales Charge | (8.75)% | 7.77% | 7.75% | 7.58% | NA |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 2.11% and 2.84% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
In selecting securities for the Portfolio, the Adviser begins with a screening process that seeks to identify growing companies whose stocks sell at discounted price-to-earnings and price-to-cash flow multiples. The Adviser also attempts to discern situations where intrinsic asset values are not widely recognized. The Adviser favors such higher-quality companies that generate strong cash flow, provide above-average free cash flow yields and maintain sound balance sheets. Rigorous fundamental analysis, from both a quantitative and qualitative standpoint, is applied to all investment candidates. While the Adviser employs a disciplined “bottom -up” approach that attempts to identify undervalued stocks, it nonetheless is sensitive to emerging secular trends. The Adviser does not, however, rely on macroeconomic forecasts in its stock selection efforts and prefers to remain fully invested.
PORTFOLIO ADVISOR COMMENTARY
During the first three quarters of the annual period ended August 31, 2022, small-cap stocks as an asset class underperformed mid-cap and large-cap stocks. The period was notable for persistently high levels of inflation, the Federal Reserve’s acceptance that inflation has become more than transitory, and their willingness to start tackling the inflation problem by removing monetary stimulus programs. Coupled with interest rate increases, investors seemed to prefer less growth-sensitive larger stocks.
During the most recent quarter, small-cap stocks outperformed mid-cap and-large cap stocks, as employment growth and the US economy as a whole stayed relatively solid. Russia’s war in Ukraine continued to strain the global energy supply, while China maintained its zero-COVID policy further applying pressure to global supply chains. All of these factors contributed to broad and high inflation. In order to bring inflation down, the Federal Reserve continued the tightening of financial conditions by raising interest rates fast, while winding down its balance sheet. The markets began to anticipate a slowdown in economic growth that may lead to a global recession. In this environment, small-cap companies with a domestic focus outperformed.
The Saratoga Advantage Trust Small Capitalization Portfolio was down for the period, though it outperformed meaningfully on a relative basis. Both Energy and Health Care sector picks in the portfolio outperformed. Stock selection in the Technology and Consumer Discretionary sectors underperformed. The strategy’s overweight exposure to Energy and underweight exposure to Consumer Staples, Utilities, and Technology sectors helped relative performance while an underweight exposure to Health Care and overweight exposure to the Materials detracted.
12
INVESTMENT REVIEW |
SMALL CAPITALIZATION PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
SMALL CAPITALIZATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Matador Resources Company | 2.3% |
WESCO International, Inc. | 2.2% |
Chord Energy Corporation | 2.0% |
Chesapeake Energy Corporation | 2.0% |
Magnolia Oil & Gas Corporation | 1.9% |
Academy Sports & Outdoors, Inc. | 1.7% |
Builders FirstSource, Inc. | 1.7% |
Shockwave Medical, Inc. | 1.7% |
Molina Healthcare, Inc. | 1.7% |
Ovintiv, Inc. | 1.6% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Russell 2000 Index is comprised of the 2,000 smallest U.S domicile publicly traded common stock which are included in the Russell 3000 Index. The common stock included in the Russell 2000 Index represent approximately 10% of the U.S equity market as measured by market capitalization. The Russell 3000 Index is an unmanaged index of the 3,000 largest U.S domicile publicity traded common stocks by market capitalization representing approximately 98% of the U.S publicity traded equity market. The Russell 2000 Index is an unmanaged index which does not include fees and expenses, and whose performance reflects reinvested dividends. Investors may not invest in the Index directly.
The Morningstar Small Blend Average (“Small Blend Average”), as of August 31, 2022, consisted of 624 mutual funds comprised of small market capitalization stocks. The Small Blend Average is not managed and it is not possible to invest directly in the Small Blend Average.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
Small Capitalization Portfolio is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Small Capitalization Portfolio or any member of the public regarding the advisability of investing in mutual funds comprised of small market capitalization stocks generally or in the Small Capitalization Portfolio in particular or the ability of the Morningstar Small Blend Average to track general small market capitalization stocks market performance.
THE MORNINGSTAR ENTITIES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE MORNINGSTAR SMALL CAP BLEND AVERAGE OR ANY DATA INCLUDED THEREIN AND MORNINGSTAR ENTITIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
13
INVESTMENT REVIEW |
INTERNATIONAL EQUITY PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks long-term capital appreciation.
Total Aggregate Return for the Year Ended August 31, 2022 | |||||
One Year: | Five Year: | Ten Year: | Inception: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 1/4/99 – 8/31/22* | 2/14/06 – 8/31/22* | |
Class A | |||||
With Sales Charge | (29.33)% | (3.49)% | (0.06)% | NA | (1.37)% |
Without Sales Charge | (25.02)% | (2.35)% | 0.53% | NA | (1.01)% |
Class C | |||||
With Sales Charge | (26.55)% | (2.94)% | (0.11)% | (1.03)% | NA |
Without Sales Charge | (25.55)% | (2.94)% | (0.11)% | (1.03)% | NA |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 2.78% and 3.96% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser seeks to purchase reasonably valued stocks it believes have the ability to accelerate earnings growth and exceed investor expectations. The Adviser utilizes a three step process in stock selection. First, the Adviser reviews a series of screens utilizing the Adviser’s investment models, which are based on fundamental characteristics, designed to eliminate companies that the Adviser’s research shows have a high probability of underperformance. Factors considered when reviewing the screens include a multi-factor valuation framework, earnings quality, capital structure and financial quality. Next, securities that pass the initial screens are then evaluated to try to identify stocks with the highest probability of producing an earnings growth rate that exceeds investor expectations. This process incorporates changes in earnings expectations and earnings quality analysis. Finally, these steps produce a list of eligible companies which are subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. A stock is sold when it no longer meets the Adviser’s criteria.
PORTFOLIO ADVISOR COMMENTARY
Sentiment has changed dramatically over the last year from one of cautious optimism about the continuation of the recovery to deep concern about high inflation, rising interest rates, and the potential for a global recession. Add to that Russia’s war on Ukraine and the picture is markedly negative. Central banks in most of the developed world (with Japan as a notable exception) are mirroring the actions of the US Federal Reserve by aggressively raising interest rates to combat inflation. Europe faces a greater challenge than its peers due to the war, which, beyond the immeasurable human toll, has meant shortages and skyrocketing energy prices for countries that depend on Russia for a sizable portion of their energy needs.
China’s second quarter GDP came in at just 0.4%, well below expectations, which dashed hopes of the country reaching its full year growth target of 5.2%. China’s anemic growth is due to several factors including a collapse in the real estate market, strict adherence to a zero-Covid policy, and a historic heat wave and drought. Elsewhere in emerging markets, the stronger US dollar has been an additional headwind on top of already rising prices for countries that import a substantial proportion of dollar-denominated goods.
In the Saratoga Advantage Trust International Equity Portfolio, Emerging Asia flipped from best to worst performer between the prior fiscal year and this one. Chinese and Taiwanese names generally fared the worst. Developed Asia was the best relative performer with two Japanese holdings, shipping company Nippon Yusen (2.41%) and healthcare equipment provider Olympus Corporation (2.54%), leading the region. From a sector standpoint, about two thirds of portfolio’s underperformance came from the Financials sector, although this was mostly due to stocks not held. Information Technology was the top contributor for the period, also largely due to stocks avoided.
The World Bank recently warned that if central banks are too aggressive in raising rates to curb inflation the global economy is more likely to tip into recession. Of particular concern is the impact a more severe economic slowdown would have on developing countries, which are more dramatically impacted by rising energy and food prices. The good news is inflation is showing signs of peaking or at least slowing down. And while periods of high inflation have significant follow-on effects for the economy and corporate earnings, analysts are predicting a wider than normal range of outcomes, which suggests a high degree of uncertainty. Stock market returns for 2022 year-to-date reveal the great extent to which many investors are already pricing in potential negative outcomes.
Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 8/31/22. The securities held in the Portfolio are subject to change and any discussion of those securities should not be considered investment advice.
14
INVESTMENT REVIEW |
INTERNATIONAL EQUITY PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
INTERNATIONAL EQUITY PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Bumrungrad Hospital PCL | 2.9% |
Sony Group Corporation | 2.8% |
Eni SpA | 2.7% |
Nokia OYJ | 2.7% |
Woodside Energy Group Ltd. | 2.6% |
Wal-Mart de Mexico S.A.B. de C.V. | 2.6% |
Macquarie Group Ltd. | 2.6% |
Novo Nordisk A/S | 2.5% |
Olympus Corporation | 2.5% |
Korean Air Lines Company Ltd. | 2.5% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Compositions*
MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets countries (excluding the US) and 21 Emerging Markets countries. With 1,824 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
15
INVESTMENT REVIEW |
HEALTH & BIOTECHNOLOGY PORTFOLIO
Advised by: Oak Associates, Ltd., Akron, Ohio
Objective: The Portfolio seeks long-term capital growth.
Total Aggregate Return for the Year Ended August 31, 2022 | |||||
One Year: | Five Year: | Ten Year: | Inception: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 7/15/99 – 8/31/22* | 1/18/00 – 8/31/22* | |
Class A | |||||
With Sales Charge | (12.60)% | 3.34% | 8.69% | 6.96% | N/A |
Without Sales Charge | (7.28)% | 4.57% | 9.34% | 7.23% | N/A |
Class C | |||||
With Sales Charge | (8.85)% | 3.96% | 8.69% | N/A | 4.46% |
Without Sales Charge | (7.85)% | 3.96% | 8.69% | N/A | 4.46% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 2.54% and 3.13% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser utilizes a top -down investment approach focused on long-term economic trends. The Adviser begins with the overall outlook for the economy, then seeks to identify specific industries with attractive characteristics and long-term growth potential. Ultimately, the Adviser seeks to identify high-quality companies within the selected industries and to acquire them at attractive prices. The Adviser’s stock selection process is based on an analysis of individual companies’ fundamental values, such as earnings growth potential and the quality of corporate management.
PORTFOLIO ADVISOR COMMENTARY
The Saratoga Advantage Trust Health & Biotechnology Portfolio was down during the annual period but avoided much of the market mayhem that struck other sectors and outperformed handily on a relative basis.
After several years of rising equity prices, US markets retreated during the fiscal year ended August 31st, 2022, as inflation infiltrated both domestic and global economies. The Fed began raising interest rates in March to curb demand, which initially calmed investors. However, as rising prices intensified, the Fed was forced to step up its pace. The fear has now shifted from feeling the Fed was too far behind the curve to get inflation under control to the risk of oversteering and causing a bigger recession than intended or necessary.
The Healthcare sector was down during the period on an absolute basis but solidly outperformed the overall S&P 500 as investors continued to favor more defensive sectors. Within the industry, the Healthcare Distributors substantially outperformed, a result of strong financial performance as well as attractive valuations. The Life Sciences Tools and Services sector was a relative underperformer largely due to peaking Covid-related sales. The passage of the Inflation Reduction Act in August, which included efforts to control high-cost drugs, will also bear monitoring for the Healthcare sector. However, due to the elongated timeframe of its implementation and limited number of initial medications, the ultimate impact will not be known for quite some time.
Going forward, all eyes will be on the Federal Reserve until we have more evidence of slowing economic growth and reduced inflationary pressures. We expect to see further evidence in the coming quarters as the accumulated efforts of monetary policy both through rate hikes and quantitative tightening work their way through the economy. With the S&P 500 retreating to June lows, valuations have contracted and investor sentiment, a contrarian indicator, now sits near its trough which is a stronger foundation from which to build. As we have seen, strong rallies can occur as the market works to find a bottom.
16
INVESTMENT REVIEW |
HEALTH & BIOTECHNOLOGY PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
HEALTH & BIOTECHNOLOGY PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
UnitedHealth Group, Inc. | 6.1% |
Elevance Health, Inc. | 5.8% |
United Therapeutics Corporation | 5.7% |
McKesson Corporation | 5.4% |
Amgen, Inc. | 5.3% |
Cardinal Health, Inc. | 3.7% |
Jazz Pharmaceuticals plc | 3.5% |
Merck & Company, Inc. | 3.4% |
Regeneron Pharmaceuticals, Inc. | 3.4% |
Gilead Sciences, Inc. | 3.3% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The S&P 500™ Index is an unmanaged index. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.
The S&P 500® Healthcare Index is a widely-recognized, unmanaged, equally-weighted Index, adjusted for capital gains distribution and income dividends, of securities of companies engaged in the healthcare/biotechnology and medical industries. Index returns assume reinvestment of dividends; unlike the Portfolio’s returns, however, Index returns do not reflect any fees or expenses. Such costs would lower performance. It is not possible to invest directly in an Index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
17
INVESTMENT REVIEW |
TECHNOLOGY & COMMUNICATIONS PORTFOLIO
Advised by: Oak Associates, Ltd., Akron, Ohio
Objective: The Portfolio seeks long-term growth of capital.
Total Aggregate Return for the Year Ended August 31, 2022 | |||||
One Year: | Five Year: | Ten Year: | Inception: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 10/22/97 – 8/31/22* | 1/14/00 – 8/31/22* | |
Class A | |||||
With Sales Charge | (30.59)% | 8.53% | 11.98% | 6.69% | NA |
Without Sales Charge | (26.36)% | 9.83% | 12.65% | 6.94% | NA |
Class C | |||||
With Sales Charge | (27.74)% | 9.18% | 11.97% | NA | 0.77% |
Without Sales Charge | (26.74)% | 9.18% | 11.97% | NA | 0.77% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 2.39% and 2.97% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
In buying and selling securities for the Portfolio, the Adviser relies on fundamental analysis of each issuer and its potential for success in light of its current financial condition, its industry position and economic and market conditions. Factors considered include growth potential, earnings, valuation, competitive advantages and management.
PORTFOLIO ADVISOR COMMENTARY
The Saratoga Advantage Trust Technology & Communications Portfolio was down for the annual period, though relative performance was positive.
Inflationary pressures both domestically and abroad helped cause US markets to fall considerably during the period. Consumers and investors alike have enjoyed easy money policies both monetarily and fiscally for much of the past decade largely without inflation rearing its head. However, the substantial accommodative measures employed to overcome the pandemic created abundant demand that overwhelmed depleted inventories and disrupted supply chains. Further compounding the global supply shock has been the war in Ukraine as well as continued lockdowns in China.
During the period, the Technology sector underperformed the broader market as slowing growth pushed investors to more defensive segments of the economy. Within the industry, outperformance came from those companies with an enterprise focus. As employees return to the office in bigger numbers, corporations are once again spending on hardware, software, and services to support them. Alternatively, as expectations for economic growth slowed, consumer-oriented companies such as those in the Media and Marketing space lagged.
Despite its underperformance over the past year, we remain constructive on the broader Technology industry and believe its secular trends continue to make it one of the most profitable and fastest growing sectors within the market. With the S&P 500 retreating to June lows, valuations have contracted and investor sentiment, a contrarian indicator, now sits near its trough which is a stronger foundation from which to build. We see several segments of the industry as particularly attractive on a relative valuation basis including Software, Semiconductors, and Semiconductor Capital Equipment for long-term investors.
18
INVESTMENT REVIEW |
TECHNOLOGY & COMMUNICATIONS PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
TECHNOLOGY & COMMUNICATIONS PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Alphabet, Inc. | 8.2% |
Amazon.com, Inc. | 6.5% |
Apple, Inc. | 5.7% |
Microsoft Corporation | 5.2% |
KLA Corporation | 5.2% |
Oracle Corporation | 5.2% |
Cisco Systems, Inc. | 5.2% |
QUALCOMM, Inc. | 4.7% |
Visa, Inc. | 4.7% |
Synopsys, Inc. | 3.9% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The S&P 500™ Index is an unmanaged index. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.
The Lipper Science & Technology Funds Index is an equal-weighted performance Index, adjusted for capital gain distribution and income dividends, of the largest qualifying funds within the Science and Technology fund classification, as defined by Lipper. Indexes are not managed and it is not possible directly in an Index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
19
INVESTMENT REVIEW |
ENERGY & BASIC MATERIALS PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks long-term growth of capital.
Total Aggregate Return for the Year Ended August 31, 2022 | |||||
One Year: | Five Year: | Ten Year: | Inception: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 10/23/97 - 8/31/22* | 1/7/03 - 8/31/22* | |
Class A | |||||
With Sales Charge | 9.79% | (0.53)% | (1.65)% | 3.33% | NA |
Without Sales Charge | 16.54% | 0.66% | (1.07)% | 3.58% | NA |
Class C | |||||
With Sales Charge | 14.66% | 0.35% | (1.51)% | NA | 3.44% |
Without Sales Charge | 15.66% | 0.35% | (1.51)% | NA | 3.44% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 4.43% and 5.06% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser employs quantitative and qualitative analysis that seeks to identify reasonably valued, high quality companies within the energy and basic materials sectors. The Adviser’s selection process incorporates a multi-factor valuation framework, capital structure, and financial quality analysis. The valuation framework includes, but is not limited to, analysis of price to earnings, price to sales, price to book, and price to operating cash flow. Valuation methodology is industry-specific within the energy and basic materials sectors. This process produces a list of eligible companies which are then subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. The Adviser uses the results of this analysis to construct the Portfolio’s security positions.
PORTFOLIO ADVISOR COMMENTARY
A year ago, financial markets were beginning to become concerned with a rising inflationary and interest rate environment, yet inflation expectations were still firmly anchored at 2.5%, up from 1.8% one-year prior, and the yield on the 10-year Treasury sat at 1.49%. A short nine months later the year-over-year change in the US Consumer Price Index hit 9.0% before modestly retreating to 8.3% over the coming months, the 10-year Treasury yield has more than doubled, and equity markets have entered bear market territory. There is no debate that inflation is back with a vengeance; the debate is now moving to how quickly inflation fades, to what level it fades, and what are the second-order effects on economic growth, corporate earnings, and other factors?
The US economy has seen two consecutive quarters of negative growth and further downturns are possible. The global economy looks to be headed for a period of below trend growth as tight monetary policy potentially constrains economic activity. This below-trend growth will almost assuredly lead to at least a modest adjustment in the outlook for corporate earnings, but that comes off much lower market multiples than have been seen for quite some time.
The price of West Texas Intermediate (WTI) rose from $68 per barrel on August 31, 2021, to $92 per barrel on August 31, 2022. Prices spiked above $120 per barrel in February on Russia’s invasion and again in June largely due to constrained supplies. However, prices have been trending down since then as global demand weakens.
The Saratoga Advantage Trust Energy & Basic Materials Portfolio’s holdings in the Energy sector (roughly 56% of portfolio weight on average during the period) were positive for the year. Exploration and Production names almost doubled in value and an overweight to this industry aided returns, making it the best absolute and relative performer. Equipment & Services was the worst absolute performer and Storage & Transportation was the worst on a relative basis. The portfolio’s Basic Materials holdings (42% of portfolio weight on average) produced a negative return for the year. Fertilizers & Agricultural Chemicals had the best absolute returns, while Specialty Chemicals had the worst. An overweight to Commodity Chemicals detracted from performance while an underweight to Industrial Gases and Construction Materials helped.
20
INVESTMENT REVIEW |
ENERGY & BASIC MATERIALS PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
ENERGY & BASIC MATERIALS PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Exxon Mobil Corporation | 9.9% |
Chevron Corporation | 7.2% |
PetroChina Company Ltd. | 4.0% |
Valero Energy Corporation | 3.6% |
EOG Resources, Inc. | 3.5% |
BP plc | 3.4% |
China Petroleum & Chemical Corporation | 3.3% |
Canadian Natural Resources Ltd. | 3.1% |
Shell plc | 2.9% |
Chesapeake Energy Corporation | 2.7% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The S&P 500™ Index is an unmanaged index. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.
The Lipper Natural Resources Funds Index is an equal-weighted performance Index, adjusted for capital gain distributions and income dividends, of the largest qualifying funds within the Natural Resources fund classification, as defined by Lipper. Indexes are not managed and it is not possible to invest directly in an Index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
21
INVESTMENT REVIEW |
FINANCIAL SERVICES PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks long-term growth of capital.
Total Aggregate Return for the Year Ended August 31, 2022 | ||||
One Year: | Five Year: | Ten Year: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 8/1/00 – 2/28/22* | |
Class A | ||||
With Sales Charge | (19.92)% | 2.19% | 6.46% | 2.23% |
Without Sales Charge | (15.00)% | 3.40% | 7.10% | 2.50% |
Class C | ||||
With Sales Charge | (13.37)% | 3.96% | 7.06% | 2.15% |
Without Sales Charge | (12.37)% | 3.96% | 7.06% | 2.15% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 3.81% and 4.41% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser employs quantitative and qualitative analysis that seeks to identify reasonably valued, high quality financial services companies that it believes have the ability to accelerate earnings growth and exceed investor expectations. The Adviser’s selection process consists of three steps. First, the Adviser reviews a series of screens utilizing the Adviser’s investment models, which are based on fundamental characteristics designed to eliminate companies that the Adviser’s research shows have a high probability of underperformance. Factors considered when reviewing the screens include a multi-factor valuation framework, earnings quality, and capital structure. The valuation framework includes, but is not limited to, analysis of price to earnings, price to sales, price to book, cash held to price and various cash flow ratios. Valuation methodology is industry-specific within the financial services sector. Next, securities that pass the initial screens are then evaluated to try to identify stocks with the highest probability of producing an earnings growth rate that exceeds investor expectations. This process incorporates changes in earnings expectations and earnings quality analysis. Finally, these steps produce a list of eligible companies which are subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. The Adviser uses the results of this analysis to construct the Portfolio’s security positions.
PORTFOLIO ADVISOR COMMENTARY
A year ago, financial markets were beginning to become concerned with a rising inflationary and interest rate environment, yet inflation expectations were still firmly anchored at 2.5%, up from 1.8% one-year prior, and the yield on the 10-year Treasury sat at 1.49%. A short nine months later the year-over-year change in the US Consumer Price Index hit 9.0% before modestly retreating to 8.3% over the coming months, the 10-year Treasury yield has more than doubled, and equity markets have entered bear market territory. There is no debate that inflation is back with a vengeance; the debate is now moving to how quickly inflation fades, to what level it fades, and what are the second-order effects on economic growth, corporate earnings, and other factors?
The US economy has seen two consecutive quarters of negative growth and further downturns are possible. The global economy looks to be headed for a period of below trend growth as tight monetary policy potentially constrains economic activity. This below-trend growth will almost assuredly lead to at least a modest adjustment in the outlook for corporate earnings, but that comes off much lower market multiples than have been seen for quite some time.
For the 12-months ended August 31, 2022, Financial Services companies modestly trailed the broad market averages. Within the Saratoga Advantage Trust Financial Services Portfolio, Regional Banks was the top performing sector on a relative basis while Multi- line Insurance was the top absolute performing group. Asset Management & Custody Banks was the weakest performing group in the portfolio and benchmark.
The portfolio is positioned with an underweight to Investment Banking and Brokerage and an overweight to Asset Management & Custody Banks.
22
INVESTMENT REVIEW |
FINANCIAL SERVICES PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
FINANCIAL SERVICES PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Berkshire Hathaway, Inc. | 10.7% |
Chubb Ltd. | 4.3% |
JPMorgan Chase & Company | 4.2% |
Citigroup, Inc. | 4.1% |
Bank of America Corporation | 4.1% |
Morgan Stanley | 4.0% |
CME Group, Inc. | 3.6% |
US Bancorp | 3.5% |
Blackstone, Inc. | 3.4% |
Raymond James Financial, Inc. | 3.3% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The S&P 500™ Index is an unmanaged index. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.
The Lipper Financial Services Funds Index is an equal, dollar-weighted Index of the 30 largest mutual funds within the Financial Services fund classification defined by Lipper. The Index is adjusted for the reinvestment of capital gains income dividends. Indexes are not managed and it is not possible to invest directly in an Index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
23
INVESTMENT REVIEW |
INVESTMENT QUALITY BOND PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Avondale, Arizona
Objective: The Portfolio seeks current income and reasonable stability of principal.
Total Aggregate Return for the Year Ended August 31, 2022 | |||||
One Year: | Five Year: | Ten Year: | Inception: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 1/4/99 – 8/31/22* | 2/14/06 – 8/31/22* | |
Class A | |||||
With Sales Charge | (9.19)% | (1.21)% | (0.53)% | NA | 1.10% |
Without Sales Charge | (3.62)% | (0.04)% | 0.06% | NA | 1.46% |
Class C | |||||
With Sales Charge | (5.28)% | (0.53)% | (0.39)% | 1.78% | NA |
Without Sales Charge | (4.28)% | (0.53)% | (0.39)% | 1.78% | NA |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 1.90% and 2.48% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (the “Underlying Funds”). The Portfolio will normally invest at least 80% of its total assets in Underlying Funds which invest in investment grade fixed-income securities or mortgage pass-through securities rated within the four highest grades by Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Corporation (“S&P”) or Fitch Inc. (“Fitch”) or, if not rated, securities considered by an Underlying Fund’s adviser to be of comparable quality. In deciding which Underlying Funds to buy, hold or sell in pursuing the Portfolio’s investment objective, the Manager considers economic developments, interest rate trends, and performance history of an Underlying Fund’s management team, among other factors. The average maturity of the securities held by an Underlying Fund will generally range from three to ten years. In addition, the Portfolio may invest up to 5% of its net assets in Underlying Funds that invest in fixed-income securities of any grade, including those that are rated lower than investment grade at the time of purchase, commonly known as “junk bonds.”
PORTFOLIO ADVISOR COMMENTARY
One-year treasuries continue to move up rapidly; we generally see this treasury issue move up when inflation is high and the market is anticipating the Fed will move their target rates higher. One- and two-year treasuries, which had been mostly rangebound through last summer, have moved up sharply since fall 2021. Three- month treasuries were in a slight downtrend through last summer and their yields remained under 0.10 as recently as the start of 2022; however, year-to-date these short-term issues have put in an extreme uptrend as the market and the Fed finally seemed to accept the economy was running hot on inflation. We previously wrote that interest rate performance suggested the economy might not be as strong as it looked toward the end of 2021, and that seems to have been confirmed by the current negative GDP environment.
Regarding long-term corporate bonds, the quality spread as measured by Moody’s-rated Baa bonds minus Aaa bonds continues moving up. The quality spread has historically been a good predictor of confidence in the corporate bond market and helps us establish a baseline expectation for corporate earnings. The quality spread approached a long-term low of 0.65 during June 2021 but has more recently moved up to 1.10 in September 2022. We mentioned last quarter that spread moves had broken a number of technical barriers to the upside, suggesting corporate earnings might begin to stall. This quarter’s further move up gives us further confidence that weak earnings are likely on the table; we are unsurprised to see earnings estimates continue to be revised to the downside.
We believe the economic environment is neutral for shorter- term bonds and negative for longer-term bonds. The Saratoga Investment Quality Bond Portfolio utilizes Saratoga’s dynamic allocation process to allocate to the portfolio’s underlying funds. Currently the portfolio’s allocation is overweight the ultra-short-term bond strategy with a lesser allocation to the short-term bond strategy and no allocation to the intermediate or long-term bond strategies. This posture benefited the portfolio on a relative basis during the period.
24
INVESTMENT REVIEW |
INVESTMENT QUALITY BOND PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
INVESTMENT QUALITY BOND PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 87.6% |
Vanguard Short-Term Bond Index Fund, Admiral Class | 7.5% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Bloomberg Intermediate U.S. Government/Credit Bond Index is a broad-based flagship benchmark that measures the non-securitized component of the US Aggregate Index with less than 10 years to maturity. The index includes investment grade, US dollar-denominated, fixed-rate treasuries, government-related and corporate securities. Investors may not invest directly in the Index.
The Lipper Short-Intermediate Investment Grade Debt Funds Index consist of the 30 largest mutual funds that invest at least 65% of their assets in investment grade debt issues (rated in the top four grades) with dollar-weighted average maturities of 1 to 5 years. Indexes are not managed and it is not possible to invest directly in an Index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
25
INVESTMENT REVIEW |
MUNICIPAL BOND PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Avondale, Arizona
Objective: The Portfolio seeks a high level of interest income that is excluded from
federal income taxation to the extent consistent with prudent investment management
and the preservation of capital.
Total Aggregate Return for the Year Ended August 31, 2022 | |||||
One Year: | Five Year: | Ten Year: | Inception: | Inception: | |
9/1/21 – 8/31/22 | 9/1/17 – 8/31/22* | 9/1/12 – 8/31/22* | 1/4/99 - 8/31/22* | 2/14/06 - 8/31/22* | |
Class A | |||||
With Sales Charge | (9.10)% | (2.40)% | (1.18)% | NA | (0.19)% |
Without Sales Charge | (3.59)% | (1.24)% | (0.60)% | NA | 0.16% |
Class C | |||||
With Sales Charge | (5.12)% | (1.38)% | (0.75)% | 0.90% | NA |
Without Sales Charge | (4.12)% | (1.38)% | (0.75)% | 0.90% | NA |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 3.52% and 4.12% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (the “Underlying Funds”). As a matter of fundamental policy, the Portfolio will normally invest at least 80% of its total assets in securities that pay interest exempt from federal income taxes. The Manager generally invests the Portfolio’s assets in Underlying Funds that invest in municipal obligations. There are no maturity limitations on the securities held by the Underlying Funds. Municipal obligations are bonds, notes or short-term commercial paper issued by state governments, local governments, and their respective agencies. In pursuing the Portfolio’s investment objective, the Manager has considerable leeway in deciding which Underlying Funds it buys, holds or sells on a day-to-day basis. The Underlying Fund’s adviser will invest primarily in municipal bonds rated within the four highest grades by Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Corporation (“S&P”) or Fitch Inc. (“Fitch”) or, if not rated, of comparable quality in the opinion of an Underlying Fund’s adviser. An Underlying Fund may invest without limit in municipal obligations such as private activity bonds that pay interest income subject to the “alternative minimum tax,” although the Portfolio does not currently expect to invest more than 20% of its total assets in such instruments.
PORTFOLIO ADVISOR COMMENTARY
One-year treasuries continue to move up rapidly; we generally see this treasury issue move up when inflation is high and the market is anticipating the Fed will move their target rates higher. One- and two-year treasuries, which had been mostly rangebound through last summer, have moved up sharply since fall 2021. Three- month treasuries were in a slight downtrend through last summer and their yields remained under 0.10 as recently as the start of 2022; however, year-to-date these short-term issues have put in an extreme uptrend as the market and the Fed finally seemed to accept the economy was running hot on inflation. We previously wrote that interest rate performance suggested the economy might not be as strong as it looked toward the end of 2021, and that seems to have been confirmed by the current negative GDP environment.
We believe the economic environment is neutral for shorter-term bonds and negative for longer-term bonds. The Saratoga Municipal Bond Portfolio utilizes Saratoga’s dynamic allocation process to allocate to the portfolio’s underlying funds. Currently the portfolio’s allocation is overweight the ultra-short-term bond strategy with a lesser allocation to the short-term bond strategy and no allocation to the intermediate or long-term bond strategies. The portfolio’s allocation benefited relative performance during the period.
26
INVESTMENT REVIEW |
MUNICIPAL BOND PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MUNICIPAL BOND PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
JPMorgan Ultra-Short Municipal Fund, Class I | 90.1% |
Vanguard Short-Term Tax-Exempt Fund, Admiral Class | 7.7% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Bloomberg Municipal Bond Index consist of approximately 25,000 municipal bonds which are selected to be representative of the long-term, investment grade tax-exempt bond market. The bonds selected for the index have the following characteristic: a minimum credit rating of at least Baa; an original issue of at least $50 million; at least $3 million of the issue outstanding; issued within the last five years; and a maturity of at least one year. The Bloomber Index is an unmanaged index which does not include fees and expenses. Investors may not invest directly in the Index.
The Lipper Intermediate Municipal Debt Funds Index consists of the 30 largest mutual funds that invest at least 65% of their assets in municipal debt issues in the top four credit rating. Indexes are not managed and it is not possible to invest directly in the Index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
27
INVESTMENT REVIEW |
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Avondale, Arizona
Objective: The U.S. Government Money Market Portfolio seeks to provide maximum
current income to the extent consistent with the maintenance of liquidity and the
preservation of capital.
7-Day Compounded Yield¹ | U.S. Government Money Market Portfolio (Class A and C) |
8/31/22 | 0.01% |
Total Aggregate Return for the Periods Ended August 31, 2022 | |||||
One Year: | Five Year: | Ten Year: | Inception: | Inception: | |
9/1/21 - 8/31/22 | 9/1/17 - 8/31/22* | 9/1/12 - 8/31/22* | 1/4/99 - 8/31/22* | 2/14/06 - 8/31/22* | |
Class A | |||||
With Sales Charge | (5.65)% | (0.94)% | (0.47)% | NA | 0.07% |
Without Sales Charge | 0.01% | 0.22% | 0.11% | NA | 0.42% |
Class C | |||||
With Sales Charge | (0.99)% | 0.10% | 0.06% | 0.92% | NA |
Without Sales Charge | 0.01% | 0.10% | 0.06% | 0.92% | NA |
¹ | The current 7-day yield more closely reflects the current earnings of the Portfolio than the total return quotation. |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 1.64% and 2.24% for the A and C Classes, respectively.
An investment in the U.S. Government Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the U.S. Government Money Market Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
28
INVESTMENT REVIEW |
AGGRESSIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Avondale, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Periods Ended August 31, 2022 | ||
One Year: | Inception: | |
9/1/2021 - | 1/4/2018 - | |
8/31/22 | 8/31/22*+ | |
Class A | ||
With Sales Charge | (14.29)% | 3.15% |
Without Sales Charge | (9.07)% | 4.46% |
Class C | ||
With Sales Charge | (10.93)% | 3.89% |
Without Sales Charge | (9.93)% | 3.89% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 3.38% and 4.00% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, sector equity, fixed income, money market and alternative investments. The target allocations are: approximately 35%-95% of the Portfolio’s assets to core equity investments; 7.5%-30% to sector equity investments; 2%-55% to fixed income investments; 2.5%-55% to money market investments; and 4%-40% to alternative investments. The Portfolio will invest in equity, fixed income, and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions. The sectors in which the Portfolio typically invests include: health and biotechnology, technology and communications, financial services, energy and basic materials and global real estate.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States regressed by an annualized growth rate of -0.6% (AGR) during the second quarter of 2022, up from the -1.6% AGR during the first quarter of 2022. The steady growth that the US economy enjoyed prior to, and during its recovery from, the pandemic-related recession is being eaten away at by inflation. Thus far, the National Bureau of Economic Research (NBER) has yet to characterize the current economic environment as a recession; our own proprietary economic stage analysis has generally agreed with the NBER’s historical characterizations, and we believe it is important to use a nuanced framework when approaching recession determinations. We would not be surprised to see the economy bounce around near zero growth while inflation remains elevated. And, while our metrics indicate the economy is likely already in, or will shortly enter, recession, we believe it is important to note that investing based on economic stages requires looking well beyond the broad macro environment.
Looking at the main components of GDP during the quarter, Personal Consumption Expenditures (PCE) advanced by 2.0%, while Gross Private Domestic Investment (GPDI) fell sharply, down over 14%, and government spending fell again. Government spending, which accounts for both consumption and gross investment, has now fallen for five straight quarters and seven of the last eight. Non-defense spending by the government continues to fall, as federal, state, and local budgets tighten. Though fiscal tightening has not been extreme, the fall in government spending sheds light on the particular difficulty leaders are facing as they deal with the current economy: in an environment where we might usually see fiscal largesse, inflation is forcing governments to spend less out of fear consumer demand will continue to run amuck.
While consumer spending grew during the quarter, the Goods portion of PCE continues to deteriorate. The Services portion of PCE represents consumer spending on services, which accounts for roughly 40% of the entire US economy; it is undeniably positive to see services spending remain resilient, though it is likewise fair to point out that not much else in the current GDP report is inspiring. Though the freefall of investment in Residential and Nonresidential Structures is unsurprising as the cost of debt moves higher, it is nonetheless a heavy burden on the economy. The depth of economic pain we see will likely correlate with how inflation persists. While many may focus on inflation falling back to the Federal Reserve’s nominal 2.0% target, we believe inflation around 4.0% should allow the economy and earnings to recover and investors to see some relief.
29
INVESTMENT REVIEW |
AGGRESSIVE BALANCED ALLOCATION PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
AGGRESSIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Saratoga Large Capitalization Value Portfolio, Class I | 18.6% |
Saratoga Large Capitalization Growth Portfolio, Class I | 13.2% |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 12.3% |
Saratoga Mid Capitalization Portfolio, Class I | 11.0% |
Eaton Vance Global Macro Absolute Return Fund, Class I | 9.8% |
Vanguard Small-Cap Index Fund, Admiral Class | 8.4% |
Vanguard Total International Stock Index Fund, Admiral Class | 6.3% |
Saratoga Health & Biotechnology Portfolio, Class I | 4.1% |
Saratoga Energy & Basic Materials Portfolio, Class I | 3.3% |
Saratoga Technology & Communications Portfolio, Class I | 3.3% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 70%-85% Equity Category seeks to provide income and capital appreciation by investing in multiple asset classes. The Funds typically have 70%-85% equity exposure in domestic holdings.
The Morningstar Moderately Aggressive Target Risk Index represents a portfolio of global equities, bonds and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek a slightly above-average exposure to equity market risk and returns.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
Aggressive Balanced Allocation Portfolio is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Aggressive Balanced Allocation Portfolio or any member of the public regarding the advisability of investing in mutual funds comprised of multiple asset classes generally or in the Aggressive Balanced Allocation Portfolio in particular or the ability of the Morningstar US Fund Allocation 70%-85% Equity Category and/or Morningstar Moderately Aggressive Target Risk Index to track general market performance.
THE MORNINGSTAR ENTITIES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE MORNINGSTAR US FUND ALLOCATION 70%-85% EQUITY CATEGORY OR ANY DATA INCLUDED THEREIN AND MORNINGSTAR ENTITIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
30
We rely on roughly fifty macroeconomic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the annual period ending August 31, 2022, we believe monetary policy statistics are negative for equities and longer-term bonds, while being neutral for shorter-term bonds. Interest rate statistics are negative for equities and longer -term bonds, while being neutral for shorter- term bonds. Valuation statistics are negative for equities. Inflation statistics are decidedly negative for equities, neutral for shorter-term bonds, and negative for longer-term bonds. Generally, the allocation change made during the last annual reporting period remains intact. That allocation change overweighted large cap value versus large cap growth, overweighted mid and small cap relative to overall equity exposure, and boosted the ratio of fixed income relative to equities and cash equivalents. Additionally, within the bond portion of the portfolio, ultra-short-term bonds continue to be favored. During the annual period, the portfolio’s allocation posture provided positive relative performance.
31
INVESTMENT REVIEW |
CONSERVATIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Avondale, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Periods Ended August 31, 2022 | ||
One Year: | Inception: | |
9/1/21 - 8/31/22 | 1/4/18 - 8/31/22*+ | |
Class A | ||
With Sales Charge | (12.00)% | 2.25% |
Without Sales Charge | (6.64)% | 3.56% |
Class C | ||
With Sales Charge | (8.34)% | 3.04% |
Without Sales Charge | (7.34)% | 3.04% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 2.63% and 3.38% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”) . The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, fixed income, money market and alternative investments. The target allocations are: approximately 5%-65% of the Portfolio’s assets to core equity investments; 8%-75% to fixed income investments; 10%- 75% to money market investments; and 2%-30% to alternative investments. The Manager does not currently intend to allocate any of the Portfolio’s assets to sector equity investments; however, it may do so in the future. The Portfolio will invest in equity, fixed income, and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are affecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States regressed by an annualized growth rate of -0.6% (AGR) during the second quarter of 2022, up from the -1.6% AGR during the first quarter of 2022. The steady growth that the US economy enjoyed prior to, and during its recovery from, the pandemic-related recession is being eaten away at by inflation. Thus far, the National Bureau of Economic Research (NBER) has yet to characterize the current economic environment as a recession; our own proprietary economic stage analysis has generally agreed with the NBER’s historical characterizations, and we believe it is important to use a nuanced framework when approaching recession determinations. We would not be surprised to see the economy bounce around near zero growth while inflation remains elevated. And, while our metrics indicate the economy is likely already in, or will shortly enter, recession, we believe it is important to note that investing based on economic stages requires looking well beyond the broad macro environment.
Looking at the main components of GDP during the quarter, Personal Consumption Expenditures (PCE) advanced by 2.0%, while Gross Private Domestic Investment (GPDI) fell sharply, down over 14%, and government spending fell again. Government spending, which accounts for both consumption and gross investment, has now fallen for five straight quarters and seven of the last eight. Non-defense spending by the government continues to fall, as federal, state, and local budgets tighten. Though fiscal tightening has not been extreme, the fall in government spending sheds light on the particular difficulty leaders are facing as they deal with the current economy: in an environment where we might usually see fiscal largesse, inflation is forcing governments to spend less out of fear consumer demand will continue to run amuck.
32
While consumer spending grew during the quarter, the Goods portion of PCE continues to deteriorate. The Services portion of PCE represents consumer spending on services, which accounts for roughly 40% of the entire US economy; it is undeniably positive to see services spending remain resilient, though it is likewise fair to point out that not much else in the current GDP report is inspiring. Though the freefall of investment in Residential and Nonresidential Structures is unsurprising as the cost of debt moves higher, it is nonetheless a heavy burden on the economy. The depth of economic pain we see will likely correlate with how inflation persists. While many may focus on inflation falling back to the Federal Reserve’s nominal 2.0% target, we believe inflation around 4.0% should allow the economy and earnings to recover and investors to see some relief.
We rely on roughly fifty macroeconomic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the annual period ending August 31, 2022, we believe monetary policy statistics are negative for equities and longer- term bonds, while being neutral for shorter-term bonds. Interest rate statistics are negative for equities and longer-term bonds, while being neutral for shorter-term bonds. Valuation statistics are negative for equites. Inflation statistics are decidedly negative for equities, neutral for shorter -term bonds, and negative for longer-term bonds. Generally, the allocation change made during the last annual reporting period remains intact. That allocation change overweighted large cap value versus large cap growth, overweighted mid and small cap relative to overall equity exposure, and boosted the ratio of fixed income relative to equities and cash equivalents. Additionally, within the bond portion of the portfolio, ultra-short-term bonds continue to be favored. During the annual period, the portfolio’s allocation posture provided positive relative performance.
33
INVESTMENT REVIEW |
CONSERVATIVE BALANCED ALLOCATION PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
CONSERVATIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 31.8% |
Saratoga Large Capitalization Value Portfolio, Class I | 14.0% |
Saratoga Large Capitalization Growth Portfolio, Class I | 10.1% |
Saratoga Mid Capitalization Portfolio, Class I | 8.4% |
Eaton Vance Global Macro Absolute Return Fund, Class I | 7.2% |
Vanguard Small-Cap Index Fund, Admiral Class | 1.9% |
Vanguard Total International Stock Index Fund, Admiral Class | 1.1% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 30%-50% Equity Category invests in both stocks and bonds and maintains a relatively smaller position in stocks. The Funds typically have 30%-50% of assets in equities and 50%-70% of assets in fixed income and cash.
The Morningstar Moderately Conservative Target Risk Index represents a portfolio of global equities, bonds and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek a slightly below-average exposure to equity market risk and returns.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
Conservative Balanced Allocation Portfolio is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Conservative Balanced Allocation Portfolio or any member of the public regarding the advisability of investing in mutual funds comprised of stocks and bonds generally or in the Conservative Balanced Allocation Portfolio in particular or the ability of the Morningstar US Fund Allocation 30%-50% Equity Category and/or Morningstar Moderately Conservative Target Risk Index to track general stocks and market performance.
THE MORNINGSTAR ENTITIES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE MORNINGSTAR US FUND ALLOCATION 30%-50% EQUITY CATEGORY OR ANY DATA INCLUDED THEREIN AND MORNINGSTAR ENTITIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
34
INVESTMENT REVIEW |
MODERATE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Avondale, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Periods Ended August 31, 2022 | ||
One Year: | Inception: | |
9/1/21 – 8/31/22 | 1/4/2018 – 8/31/22*+ | |
Class A | ||
With Sales Charge | (12.88)% | 3.42% |
Without Sales Charge | (7.59)% | 4.74% |
Class C | ||
With Sales Charge | (9.37)% | 4.17% |
Without Sales Charge | (8.37)% | 4.17% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 2.99% and 3.70% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”) . The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, sector equity, fixed income, money market and alternative investments. The target allocations are: approximately 20%-82.5% of the Portfolio’s assets to core equity investments; 2.5%-25% to sector equity investments; 6%-65% to fixed income investments; 7%-65% to money market investments; and 3%-35% to alternative investments. The Portfolio will invest in equity, fixed income, and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions. The sectors in which the Portfolio typically invests include: health and biotechnology, technology and communications, financial services, energy and basic materials and global real estate.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States regressed by an annualized growth rate of -0.6% (AGR) during the second quarter of 2022, up from the -1.6% AGR during the first quarter of 2022. The steady growth that the US economy enjoyed prior to, and during its recovery from, the pandemic-related recession is being eaten away at by inflation. Thus far, the National Bureau of Economic Research (NBER) has yet to characterize the current economic environment as a recession; our own proprietary economic stage analysis has generally agreed with the NBER’s historical characterizations, and we believe it is important to use a nuanced framework when approaching recession determinations. We would not be surprised to see the economy bounce around near zero growth while inflation remains elevated. And, while our metrics indicate the economy is likely already in, or will shortly enter, recession, we believe it is important to note that investing based on economic stages requires looking well beyond the broad macro environment.
Looking at the main components of GDP during the quarter, Personal Consumption Expenditures (PCE) advanced by 2.0%, while Gross Private Domestic Investment (GPDI) fell sharply, down over 14%, and government spending fell again. Government spending, which accounts for both consumption and gross investment, has now fallen for five straight quarters and seven of the last eight. Non-defense spending by the government continues to fall, as federal, state, and local budgets tighten. Though fiscal tightening has not been extreme, the fall in government spending sheds light on the particular difficulty leaders are facing as they
35
deal with the current economy: in an environment where we might usually see fiscal largesse, inflation is forcing governments to spend less out of fear consumer demand will continue to run amuck.
While consumer spending grew during the quarter, the Goods portion of PCE continues to deteriorate. The Services portion of PCE represents consumer spending on services, which accounts for roughly 40% of the entire US economy; it is undeniably positive to see services spending remain resilient, though it is likewise fair to point out that not much else in the current GDP report is inspiring. Though the freefall of investment in Residential and Nonresidential Structures is unsurprising as the cost of debt moves higher, it is nonetheless a heavy burden on the economy. The depth of economic pain we see will likely correlate with how inflation persists. While many may focus on inflation falling back to the Federal Reserve’s nominal 2.0% target, we believe inflation around 4.0% should allow the economy and earnings to recover and investors to see some relief.
We rely on roughly fifty macroeconomic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the annual period ending August 31, 2022, we believe monetary policy statistics are negative for equities and longer- term bonds, while being neutral for shorter-term bonds. Interest rate statistics are negative for equities and longer-term bonds, while being neutral for shorter-term bonds. Valuation statistics are negative for equites. Inflation statistics are decidedly negative for equities, neutral for shorter -term bonds, and negative for longer-term bonds. Generally, the allocation change made during the last annual reporting period remains intact. That allocation change overweighted large cap value versus large cap growth, overweighted mid and small cap relative to overall equity exposure, and boosted the ratio of fixed income relative to equities and cash equivalents. Additionally, within the bond portion of the portfolio, ultra-short-term bonds continue to be favored. During the annual period, the portfolio’s allocation posture provided positive relative performance.
36
INVESTMENT REVIEW |
MODERATE BALANCED ALLOCATION PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MODERATE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 22.9% |
Saratoga Large Capitalization Value Portfolio, Class I | 19.7% |
Saratoga Large Capitalization Growth Portfolio, Class I | 14.1% |
Saratoga Mid Capitalization Portfolio, Class I | 11.9% |
Eaton Vance Global Macro Absolute Return Fund, Class I | 7.5% |
Vanguard Small-Cap Index Fund, Admiral Class | 4.0% |
Vanguard Total International Stock Index Fund, Admiral Class | 2.5% |
Saratoga Health & Biotechnology Portfolio, Class I | 2.2% |
Saratoga Technology & Communications Portfolio, Class I | 2.0% |
Saratoga Energy & Basic Materials Portfolio, Class I | 1.7% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 50%-70% Equity Category invests in stocks and bonds and maintains a relatively higher position in stocks. The Funds typically have 50%-70% of assets in equities and the remainder in fixed income and cash.
The Morningstar Moderate Target Risk Index represents a portfolio of global equities, bonds and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek average exposure to equity market risk and returns.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
Moderate Balanced Allocation Portfolio is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Moderate Balanced Allocation Portfolio or any member of the public regarding the advisability of investing in mutual funds comprised of stocks and bonds generally or in the Moderate Balanced Allocation Portfolio in particular or the ability of the Morningstar US Fund Allocation 50%-70% Equity Category and/or Morningstar Moderate Target Risk Index to track general stocks and bonds market performance.
THE MORNINGSTAR ENTITIES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE MORNINGSTAR US FUND ALLOCATION 50%-70% EQUITY CATEGORY OR ANY DATA INCLUDED THEREIN AND MORNINGSTAR ENTITIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
37
INVESTMENT REVIEW |
MODERATELY AGGRESSIVE BALANCED ALLOCATION
PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Avondale, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Periods Ended August 31, 2022 | ||
One Year: | Inception: | |
9/1/21 – 8/31/22 | 1/4/18 – 8/31/22*+ | |
Class A | ||
With Sales Charge | (13.39)% | 3.00% |
Without Sales Charge | (8.09)% | 4.32% |
Class C | ||
With Sales Charge | (9.79)% | 3.77% |
Without Sales Charge | (8.79)% | 3.77% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 3.14% and 4.15% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”) . The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, sector equity, fixed income, money market and alternative investments. The target allocations are: approximately 30%-90% of the Portfolio’s assets to core equity investments; 5%-27.5% to sector equity investments; 3%-60% to fixed income investments; 5%-60% to money market investments; and 3.5%-37.5% to alternative investments. The Portfolio will invest in equity, fixed income, and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions. The sectors in which the Portfolio typically invests include: health and biotechnology, technology and communications, financial services, energy and basic materials and global real estate.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States regressed by an annualized growth rate of -0.6% (AGR) during the second quarter of 2022, up from the -1.6% AGR during the first quarter of 2022. The steady growth that the US economy enjoyed prior to, and during its recovery from, the pandemic-related recession is being eaten away at by inflation. Thus far, the National Bureau of Economic Research (NBER) has yet to characterize the current economic environment as a recession; our own proprietary economic stage analysis has generally agreed with the NBER’s historical characterizations, and we believe it is important to use a nuanced framework when approaching recession determinations. We would not be surprised to see the economy bounce around near zero growth while inflation remains elevated. And, while our metrics indicate the economy is likely already in, or will shortly enter, recession, we believe it is important to note that investing based on economic stages requires looking well beyond the broad macro environment.
Looking at the main components of GDP during the quarter, Personal Consumption Expenditures (PCE) advanced by 2.0%, while Gross Private Domestic Investment (GPDI) fell sharply, down over 14%, and government spending fell again. Government spending, which accounts for both consumption and gross investment, has now fallen for five straight quarters and seven of the last eight. Non-defense spending by the government continues to fall, as federal, state, and local budgets tighten. Though fiscal tightening has not been extreme, the fall in government spending sheds light on the particular difficulty leaders are facing as they
38
deal with the current economy: in an environment where we might usually see fiscal largesse, inflation is forcing governments to spend less out of fear consumer demand will continue to run amuck.
While consumer spending grew during the quarter, the Goods portion of PCE continues to deteriorate. The Services portion of PCE represents consumer spending on services, which accounts for roughly 40% of the entire US economy; it is undeniably positive to see services spending remain resilient, though it is likewise fair to point out that not much else in the current GDP report is inspiring. Though the freefall of investment in Residential and Nonresidential Structures is unsurprising as the cost of debt moves higher, it is nonetheless a heavy burden on the economy. The depth of economic pain we see will likely correlate with how inflation persists. While many may focus on inflation falling back to the Federal Reserve’s nominal 2.0% target, we believe inflation around 4.0% should allow the economy and earnings to recover and investors to see some relief.
We rely on roughly fifty macroeconomic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the annual period ending August 31, 2022, we believe monetary policy statistics are negative for equities and longer- term bonds, while being neutral for shorter-term bonds. Interest rate statistics are negative for equities and longer-term bonds, while being neutral for shorter-term bonds. Valuation statistics are negative for equites. Inflation statistics are decidedly negative for equities, neutral for shorter -term bonds, and negative for longer-term bonds. Generally, the allocation change made during the last annual reporting period remains intact. That allocation change overweighted large cap value versus large cap growth, overweighted mid and small cap relative to overall equity exposure, and boosted the ratio of fixed income relative to equities and cash equivalents. Additionally, within the bond portion of the portfolio, ultra-short-term bonds continue to be favored. During the annual period, the portfolio’s allocation posture provided positive relative performance.
39
INVESTMENT REVIEW |
MODERATELY AGGRESSIVE BALANCED ALLOCATION PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MODERATELY AGGRESSIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 18.6% |
Saratoga Large Capitalization Value Portfolio, Class I | 18.3% |
Saratoga Large Capitalization Growth Portfolio, Class I | 13.1% |
Saratoga Mid Capitalization Portfolio, Class I | 11.9% |
Eaton Vance Global Macro Absolute Return Fund, Class I | 8.3% |
Vanguard Small-Cap Index Fund, Admiral Class | 6.3% |
Vanguard Total International Stock Index Fund, Admiral Class | 4.1% |
Saratoga Health & Biotechnology Portfolio, Class I | 2.7% |
Saratoga Energy & Basic Materials Portfolio, Class I | 2.5% |
Saratoga Technology & Communications Portfolio, Class I | 2.2% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 50%-70% Equity Category invests in stocks and bonds and maintains a relatively higher position in stocks. The Funds typically have 50%-70% of assets in equities and the remainder in fixed income and cash.
The Morningstar Moderate Target Risk Index represents a portfolio of global equities, bonds and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek average exposure to equity market risk and returns.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
Moderately Aggressive Balanced Allocation Portfolio is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Moderately Aggressive Balanced Allocation Portfolio or any member of the public regarding the advisability of investing in mutual funds comprised of stocks and bonds generally or in the Moderately Aggressive Balanced Allocation Portfolio in particular or the ability of Morningstar US Fund Allocation 50%-70% Equity Category and/or Morningstar Moderate Target Risk Index to track general stocks and bonds market performance.
THE MORNINGSTAR ENTITIES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE MORNINGSTAR US FUND ALLOCATION 50%-70% EQUITY CATEGORY OR ANY DATA INCLUDED THEREIN AND MORNINGSTAR ENTITIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
40
INVESTMENT REVIEW |
MODERATELY CONSERVATIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Avondale, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Periods Ended August 31, 2022 | ||
One Year: | Inception: | |
9/1/21 – 8/31/22 | 1/10/18 – 8/31/22*+ | |
Class A | ||
With Sales Charge | (12.52)% | 2.75% |
Without Sales Charge | (7.19)% | 4.07% |
Class C | ||
With Sales Charge | (9.01)% | 3.37% |
Without Sales Charge | (8.01)% | 3.37% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 10, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratios as stated in the fee table to the Portfolio’s prospectus dated December 28, 2021, are 2.98% and 3.88% for the A and C Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”) . The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, fixed income, money market and alternative investments. The target allocations are: approximately 10%-75% of the Portfolio’s assets to core equity investments; 7%-70% to fixed income investments; 8.5%-70% to money market investments; and 2.5%-32.5% to alternative investments. The Manager does not currently intend to allocate any of the Portfolio’s assets to sector equity investments; however, it may do so in the future. The Portfolio will invest in equity, fixed income, and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States regressed by an annualized growth rate of -0.6% (AGR) during the second quarter of 2022, up from the -1.6% AGR during the first quarter of 2022. The steady growth that the US economy enjoyed prior to, and during its recovery from, the pandemic-related recession is being eaten away at by inflation. Thus far, the National Bureau of Economic Research (NBER) has yet to characterize the current economic environment as a recession; our own proprietary economic stage analysis has generally agreed with the NBER’s historical characterizations, and we believe it is important to use a nuanced framework when approaching recession determinations. We would not be surprised to see the economy bounce around near zero growth while inflation remains elevated. And, while our metrics indicate the economy is likely already in, or will shortly enter, recession, we believe it is important to note that investing based on economic stages requires looking well beyond the broad macro environment.
Looking at the main components of GDP during the quarter, Personal Consumption Expenditures (PCE) advanced by 2.0%, while Gross Private Domestic Investment (GPDI) fell sharply, down over 14%, and government spending fell again. Government spending, which accounts for both consumption and gross investment, has now fallen for five straight quarters and seven of the last eight. Non-defense spending by the government continues to fall, as federal, state, and local budgets tighten. Though fiscal tightening has not been extreme, the fall in government spending sheds light on the particular difficulty leaders are facing as they
41
deal with the current economy: in an environment where we might usually see fiscal largesse, inflation is forcing governments to spend less out of fear consumer demand will continue to run amuck.
While consumer spending grew during the quarter, the Goods portion of PCE continues to deteriorate. The Services portion of PCE represents consumer spending on services, which accounts for roughly 40% of the entire US economy; it is undeniably positive to see services spending remain resilient, though it is likewise fair to point out that not much else in the current GDP report is inspiring. Though the freefall of investment in Residential and Nonresidential Structures is unsurprising as the cost of debt moves higher, it is nonetheless a heavy burden on the economy. The depth of economic pain we see will likely correlate with how inflation persists. While many may focus on inflation falling back to the Federal Reserve’s nominal 2.0% target, we believe inflation around 4.0% should allow the economy and earnings to recover and investors to see some relief.
We rely on roughly fifty macroeconomic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the annual period ending August 31, 2022, we believe monetary policy statistics are negative for equities and longer- term bonds, while being neutral for shorter-term bonds. Interest rate statistics are negative for equities and longer-term bonds, while being neutral for shorter-term bonds. Valuation statistics are negative for equites. Inflation statistics are decidedly negative for equities, neutral for shorter -term bonds, and negative for longer-term bonds. Generally, the allocation change made during the last annual reporting period remains intact. That allocation change overweighted large cap value versus large cap growth, overweighted mid and small cap relative to overall equity exposure, and boosted the ratio of fixed income relative to equities and cash equivalents. Additionally, within the bond portion of the portfolio, ultra-short-term bonds continue to be favored. During the annual period, the portfolio’s allocation posture provided positive relative performance.
42
INVESTMENT REVIEW |
MODERATELY CONSERVATIVE BALANCED ALLOCATION PORTFOLIO
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MODERATELY CONSERVATIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 28.2% |
Saratoga Large Capitalization Value Portfolio, Class I | 18.4% |
Saratoga Large Capitalization Growth Portfolio, Class I | 13.5% |
Saratoga Mid Capitalization Portfolio, Class I | 11.8% |
Eaton Vance Global Macro Absolute Return Fund, Class I | 7.8% |
Vanguard Small-Cap Index Fund, Admiral Class | 5.9% |
Vanguard Total International Stock Index Fund, Admiral Class | 3.7% |
* | Based on total net assets as of August 31, 2022. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 50%-70% Equity Category invests in stocks and bonds and maintains a relatively higher position in stocks. The funds typically have 50%-70% of assets in equities and the remainder in fixed income and cash.
The Morningstar Moderate Target Risk Index represents a portfolio of global equities, bonds and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek average exposure to equity market risk and returns.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
Moderately Conservative Balanced Allocation Portfolio is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Moderately Conservative Balanced Allocation Portfolio or any member of the public regarding the advisability of investing in mutual funds comprised of stocks and bonds generally or in the Moderately Conservative Balanced Allocation Portfolio in particular or the ability of the Morningstar US Fund Allocation 50%-70% Equity Category and/or Morningstar Moderate Target Risk Index to track general stocks and bonds market performance.
THE MORNINGSTAR ENTITIES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE MORNINGSTAR US FUND ALLOCATION 50%-70% EQUITY CATEGORY OR ANY DATA INCLUDED THEREIN AND MORNINGSTAR ENTITIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
43
SARATOGA LARGE CAPITALIZATION VALUE PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 91.9% | ||||||||
AEROSPACE & DEFENSE - 4.8% | ||||||||
10,749 | Raytheon Technologies Corporation | $ | 964,723 | |||||
ASSET MANAGEMENT - 4.7% | ||||||||
86,185 | Blue Owl Capital, Inc. | 956,653 | ||||||
BANKING - 10.2% | ||||||||
15,166 | East West Bancorp, Inc. | 1,094,530 | ||||||
6,362 | First Republic Bank | 965,942 | ||||||
2,060,472 | ||||||||
CHEMICALS - 5.3% | ||||||||
17,465 | Corteva, Inc. | 1,072,875 | ||||||
CONTAINERS & PACKAGING - 5.4% | ||||||||
12,080 | Crown Holdings, Inc. | 1,094,327 | ||||||
ELECTRICAL EQUIPMENT - 8.5% | ||||||||
60,974 | API Group Corporation(a) | 948,146 | ||||||
3,199 | Rockwell Automation, Inc. | 757,971 | ||||||
1,706,117 | ||||||||
ENGINEERING & CONSTRUCTION - 5.1% | ||||||||
12,909 | MasTec, Inc.(a),(b) | 1,039,174 | ||||||
HEALTH CARE FACILITIES & SERVICES - 11.0% | ||||||||
4,570 | AmerisourceBergen Corporation | 669,779 | ||||||
3,106 | Charles River Laboratories International, Inc.(a) | 637,506 | ||||||
1,935 | Chemed Corporation | 921,428 | ||||||
2,228,713 | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - 4.2% | ||||||||
13,684 | Interactive Brokers Group, Inc., Class A | 842,798 |
See accompanying notes to financial statements.
44
SARATOGA LARGE CAPITALIZATION VALUE PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 91.9% (Continued) | ||||||||
INTERNET MEDIA & SERVICES - 6.9% | ||||||||
8,330 | Alphabet, Inc., Class A(a) | $ | 901,473 | |||||
8,677 | Match Group, Inc.(a) | 490,511 | ||||||
1,391,984 | ||||||||
PUBLISHING & BROADCASTING - 5.0% | ||||||||
15,694 | Liberty Media Corporation-Liberty Formula One, Class C(a) | 999,394 | ||||||
SEMICONDUCTORS - 5.3% | ||||||||
15,603 | ON Semiconductor Corporation(a) | 1,073,018 | ||||||
SPECIALTY FINANCE - 5.6% | ||||||||
11,289 | Walker & Dunlop, Inc. | 1,134,093 | ||||||
TECHNOLOGY SERVICES - 9.9% | ||||||||
5,084 | CACI International, Inc., Class A(a) | 1,427,943 | ||||||
6,006 | PayPal Holdings, Inc.(a) | 561,201 | ||||||
1,989,144 | ||||||||
TOTAL COMMON STOCKS (Cost $18,094,984) | 18,553,485 | |||||||
Principal | ||||||||
Amount ($) | ||||||||
COLLATERAL FOR SECURITIES LOANED — 0.0%* | ||||||||
REPURCHASE AGREEMENTS - 0.0%* | ||||||||
209 | BNP Paribas SA, dated 8/31/2022, due 9/1/2022, 2.250%, total to be received $209 (Collateralized by various US Government agency obligations, due 10/13/2022-05/15/2052, 0.000%-3.875% totaling $213)(c) | 209 | ||||||
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $209) |
See accompanying notes to financial statements.
45
SARATOGA LARGE CAPITALIZATION VALUE PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENT — 9.4% | ||||||||
MONEY MARKET FUND - 9.4% | ||||||||
1,903,444 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $1,903,444)(d) | $ | 1,903,444 | |||||
TOTAL INVESTMENTS - 101.3% (Cost $19,998,637) | $ | 20,457,138 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.3)% | (269,106 | ) | ||||||
NET ASSETS - 100.0% | $ | 20,188,032 |
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of August 31, 2022 was $936,698. |
(c) | Security was purchased with cash received as collateral for securities on loan at August 31, 2022. Total collateral had a value of $209 at August 31, 2022. Additional collateral received from the borrower not disclosed in the Schedule of Investments had a value of $961,874 on August 31, 2022. |
(d) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
* | Less than .005% |
See accompanying notes to financial statements.
46
SARATOGA LARGE CAPITALIZATION GROWTH PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.3% | ||||||||
ADVERTISING & MARKETING - 1.1% | ||||||||
4,350 | Trade Desk, Inc. (The), Class A(a) | $ | 272,745 | |||||
AUTOMOTIVE - 4.3% | ||||||||
3,690 | Tesla, Inc.(a) | 1,017,001 | ||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 0.4% | ||||||||
6,120 | Exelixis, Inc.(a) | 108,569 | ||||||
COMMERCIAL SUPPORT SERVICES - 2.5% | ||||||||
3,530 | Waste Management, Inc. | 596,676 | ||||||
CONSTRUCTION MATERIALS - 1.3% | ||||||||
1,020 | Carlisle Companies, Inc. | 301,573 | ||||||
E-COMMERCE DISCRETIONARY - 3.9% | ||||||||
7,430 | Amazon.com, Inc.(a) | 941,901 | ||||||
FOOD - 0.9% | ||||||||
7,180 | Pilgrim’s Pride Corporation(a) | 204,415 | ||||||
HEALTH CARE FACILITIES & SERVICES - 5.1% | ||||||||
1,360 | IQVIA Holdings, Inc.(a) | 289,217 | ||||||
1,420 | McKesson Corporation | 521,140 | ||||||
770 | UnitedHealth Group, Inc. | 399,884 | ||||||
1,210,241 | ||||||||
INDUSTRIAL SUPPORT SERVICES - 2.0% | ||||||||
1,610 | United Rentals, Inc.(a) | 470,184 | ||||||
INFRASTRUCTURE REIT - 1.0% | ||||||||
990 | American Tower Corporation | 251,509 | ||||||
INSURANCE - 3.0% | ||||||||
6,990 | Arch Capital Group Ltd.(a) | 319,583 |
See accompanying notes to financial statements
47
SARATOGA LARGE CAPITALIZATION GROWTH PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.3% (Continued) | ||||||||
INSURANCE - 3.0% (Continued) | ||||||||
1,465 | Everest Re Group Ltd. | $ | 394,158 | |||||
713,741 | ||||||||
INTERNET MEDIA & SERVICES - 6.9% | ||||||||
4,230 | Airbnb, Inc., Class A(a) | 478,498 | ||||||
4,240 | Alphabet, Inc., Class A(a) | 458,853 | ||||||
4,240 | Alphabet, Inc., Class C(a) | 462,796 | ||||||
3,310 | GoDaddy, Inc., Class A(a) | 250,964 | ||||||
1,651,111 | ||||||||
LEISURE FACILITIES & SERVICES - 3.5% | ||||||||
160 | Chipotle Mexican Grill, Inc.(a) | 255,488 | ||||||
1,090 | Choice Hotels International, Inc. | 125,034 | ||||||
2,640 | Live Nation Entertainment, Inc.(a) | 238,550 | ||||||
1,400 | Marriott International, Inc., Class A | 215,236 | ||||||
834,308 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 5.0% | ||||||||
3,700 | Agilent Technologies, Inc. | 474,525 | ||||||
2,610 | Masimo Corporation(a) | 383,383 | ||||||
280 | Mettler-Toledo International, Inc.(a) | 339,489 | ||||||
1,197,397 | ||||||||
PUBLISHING & BROADCASTING - 0.5% | ||||||||
650 | Nexstar Media Group, Inc. | 124,358 | ||||||
RETAIL - CONSUMER STAPLES - 3.3% | ||||||||
1,490 | Costco Wholesale Corporation | 777,929 | ||||||
RETAIL - DISCRETIONARY - 5.5% | ||||||||
235 | AutoZone, Inc.(a) | 498,014 | ||||||
1,280 | Ulta Beauty, Inc.(a) | 537,434 | ||||||
1,810 | Williams-Sonoma, Inc. (b) | 269,238 | ||||||
1,304,686 | ||||||||
SELF-STORAGE REIT - 0.8% | ||||||||
550 | Public Storage | 181,957 |
See accompanying notes to financial statements
48
SARATOGA LARGE CAPITALIZATION GROWTH PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.3% (Continued) | ||||||||
SEMICONDUCTORS - 5.6% | ||||||||
1,420 | Advanced Micro Devices, Inc.(a) | $ | 120,516 | |||||
1,360 | Applied Materials, Inc. | 127,935 | ||||||
720 | Broadcom, Inc. | 359,359 | ||||||
2,850 | NVIDIA Corporation | 430,179 | ||||||
2,190 | QUALCOMM, Inc. | 289,671 | ||||||
1,327,660 | ||||||||
SOFTWARE - 21.1% | ||||||||
2,825 | Crowdstrike Holdings, Inc., Class A(a) | 515,873 | ||||||
3,450 | Datadog, Inc.(a) | 362,077 | ||||||
9,010 | Fortinet, Inc.(a) | 438,697 | ||||||
7,643 | Microsoft Corporation | 1,998,415 | ||||||
480 | Palo Alto Networks, Inc.(a) | 267,269 | ||||||
1,010 | Splunk, Inc.(a) | 90,930 | ||||||
1,630 | Synopsys, Inc.(a) | 564,013 | ||||||
2,400 | Veeva Systems, Inc., Class A(a) | 478,368 | ||||||
6,750 | ZoomInfo Technologies, Inc., Class A(a) | 306,585 | ||||||
5,022,227 | ||||||||
TECHNOLOGY HARDWARE - 13.2% | ||||||||
16,330 | Apple, Inc. | 2,567,403 | ||||||
3,800 | Arista Networks, Inc.(a) | 455,544 | ||||||
4,190 | Pure Storage, Inc., Class A(a) | 121,384 | ||||||
3,144,331 | ||||||||
TECHNOLOGY SERVICES - 5.9% | ||||||||
360 | Fair Isaac Corporation(a) | 161,784 | ||||||
1,950 | Gartner, Inc.(a) | 556,374 | ||||||
4,280 | Paychex, Inc. | 527,895 | ||||||
860 | Visa, Inc., Class A | 170,891 | ||||||
1,416,944 |
See accompanying notes to financial statements
49
SARATOGA LARGE CAPITALIZATION GROWTH PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.3% (Continued) | ||||||||
TRANSPORTATION & LOGISTICS - 2.5% | ||||||||
4,680 | Expeditors International of Washington, Inc. | $ | 481,525 | |||||
800 | Landstar System, Inc. | 117,304 | ||||||
598,829 | ||||||||
TOTAL COMMON STOCKS (Cost $20,049,782) | 23,670,292 | |||||||
SHORT-TERM INVESTMENT — 0.9% | ||||||||
MONEY MARKET FUND - 0.9% | ||||||||
219,972 | Dreyfus Institutional Preferred Government Money Market Fund Institutional Class, Institutional Class, 2.27% (Cost $219,972)(c) | 219,972 | ||||||
TOTAL INVESTMENTS - 100.2% (Cost $20,269,754) | $ | 23,890,264 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)% | (59,034 | ) | ||||||
NET ASSETS - 100.0% | $ | 23,831,230 |
LTD - Limited Company
REIT - Real Estate Investment Trust
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of August 31, 2022 was $266,411. Collateral received from the borrower not disclosed in the Schedule of investments had a value of $281,890 on August 31, 2022. |
(c) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements
50
SARATOGA MID CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 93.1% | ||||||||
APPAREL & TEXTILE PRODUCTS - 0.5% | ||||||||
1,510 | Skechers USA, Inc., Class A(a) | $ | 57,078 | |||||
ASSET MANAGEMENT - 2.3% | ||||||||
1,243 | Apollo Global Management, Inc. | 69,086 | ||||||
755 | Ares Management Corporation, Class A | 55,976 | ||||||
4,348 | Brightsphere Investment Group, Inc. | 74,307 | ||||||
525 | Raymond James Financial, Inc. | 54,794 | ||||||
254,163 | ||||||||
BANKING - 1.2% | ||||||||
2,410 | Bank of NT Butterfield & Son Ltd. (The) | 78,614 | ||||||
2,085 | Huntington Bancshares, Inc. | 27,939 | ||||||
890 | PacWest Bancorp | 23,434 | ||||||
129,987 | ||||||||
BIOTECH & PHARMA - 1.2% | ||||||||
8,675 | Elanco Animal Health, Inc.(a) | 131,253 | ||||||
CHEMICALS - 3.3% | ||||||||
305 | Avery Dennison Corporation | 56,004 | ||||||
2,110 | Axalta Coating Systems Ltd.(a) | 54,333 | ||||||
1,525 | FMC Corporation | 164,822 | ||||||
1,050 | LyondellBasell Industries N.V., Class A | 87,150 | ||||||
362,309 | ||||||||
COMMERCIAL SUPPORT SERVICES - 4.0% | ||||||||
3,125 | Aramark | 111,594 | ||||||
2,300 | Republic Services, Inc. | 328,256 | ||||||
439,850 | ||||||||
CONSUMER SERVICES - 0.7% | ||||||||
880 | Grand Canyon Education, Inc.(a) | 71,614 | ||||||
CONTAINERS & PACKAGING - 2.3% | ||||||||
2,795 | Crown Holdings, Inc. | 253,199 |
See accompanying notes to financial statements.
51
SARATOGA MID CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 93.1% (Continued) | ||||||||
E-COMMERCE DISCRETIONARY - 1.3% | ||||||||
10,140 | Leslie’s, Inc.(a),(b) | $ | 143,785 | |||||
ELECTRIC UTILITIES - 15.9% | ||||||||
5,570 | Alliant Energy Corporation | 339,993 | ||||||
3,650 | Ameren Corporation | 338,063 | ||||||
4,855 | CMS Energy Corporation | 327,907 | ||||||
5,000 | Evergy, Inc. | 342,650 | ||||||
15,940 | Vistra Corporation | 394,515 | ||||||
1,743,128 | ||||||||
ELECTRICAL EQUIPMENT - 5.3% | ||||||||
485 | Allegion plc | 46,124 | ||||||
1,370 | AMETEK, Inc. | 164,618 | ||||||
395 | Hubbell, Inc. | 81,489 | ||||||
335 | Keysight Technologies, Inc.(a) | 54,903 | ||||||
1,780 | nVent Electric plc | 58,669 | ||||||
2,255 | Otis Worldwide Corporation | 162,856 | ||||||
568,659 | ||||||||
ENGINEERING & CONSTRUCTION - 2.7% | ||||||||
7,465 | WillScot Mobile Mini Holdings Corporation(a) | 299,645 | ||||||
HEALTH CARE FACILITIES & SERVICES - 3.7% | ||||||||
32,145 | Aveanna Healthcare Holdings, Inc.(a) | 58,504 | ||||||
660 | IQVIA Holdings, Inc.(a) | 140,356 | ||||||
12,130 | Sotera Health Company(a) | 205,118 | ||||||
403,978 | ||||||||
HOME CONSTRUCTION - 0.4% | ||||||||
2,305 | AZEK Company, Inc. (The)(a) | 42,066 | ||||||
HOUSEHOLD PRODUCTS - 2.5% | ||||||||
3,280 | Church & Dwight Company, Inc. | 274,569 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 4.5% | ||||||||
1,870 | Cboe Global Markets, Inc. | 220,604 |
See accompanying notes to financial statements.
52
SARATOGA MID CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 93.1% (Continued) | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - 4.5% (Continued) | ||||||||
4,620 | Nasdaq, Inc. | $ | 275,029 | |||||
495,633 | ||||||||
INSURANCE - 5.7% | ||||||||
2,075 | Allstate Corporation (The) | 250,037 | ||||||
1,285 | Arthur J Gallagher & Company | 233,317 | ||||||
1,135 | Reinsurance Group of America, Inc. | 142,284 | ||||||
625,638 | ||||||||
LEISURE PRODUCTS - 0.6% | ||||||||
570 | Axon Enterprise, Inc.(a) | 66,508 | ||||||
MACHINERY - 0.7% | ||||||||
845 | Crane Holdings Company | 79,734 | ||||||
MEDICAL EQUIPMENT & DEVICES - 4.7% | ||||||||
615 | Agilent Technologies, Inc. | 78,874 | ||||||
7,120 | Avantor, Inc.(a) | 177,358 | ||||||
445 | Cooper Companies, Inc. (The) | 127,911 | ||||||
1,900 | Hologic, Inc.(a) | 128,364 | ||||||
512,507 | ||||||||
METALS & MINING - 0.4% | ||||||||
2,885 | Constellium S.E.(a) | 38,428 | ||||||
OIL & GAS PRODUCERS - 6.6% | ||||||||
1,780 | Diamondback Energy, Inc. | 237,238 | ||||||
975 | Pioneer Natural Resources Company | 246,890 | ||||||
32,475 | Southwestern Energy Company(a) | 243,238 | ||||||
727,366 | ||||||||
PUBLISHING & BROADCASTING - 4.8% | ||||||||
2,760 | Nexstar Media Group, Inc. | 528,043 | ||||||
SEMICONDUCTORS - 0.7% | ||||||||
360 | Analog Devices, Inc. | 54,551 | ||||||
255 | Entegris, Inc. | 24,194 | ||||||
78,745 |
See accompanying notes to financial statements.
53
SARATOGA MID CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 93.1% (Continued) | ||||||||
SOFTWARE - 3.6% | ||||||||
12,652 | N-Able, Inc.(a) | $ | 126,014 | |||||
4,840 | SS&C Technologies Holdings, Inc. | 269,878 | ||||||
395,892 | ||||||||
SPECIALTY FINANCE - 1.3% | ||||||||
15,670 | Rithm Capital Corporation | 147,768 | ||||||
TECHNOLOGY HARDWARE - 5.0% | ||||||||
2,270 | Motorola Solutions, Inc. | 552,541 | ||||||
TECHNOLOGY SERVICES - 6.7% | ||||||||
810 | CACI International, Inc., Class A(a) | 227,505 | ||||||
505 | CDW Corporation/DE | 86,204 | ||||||
280 | Equifax, Inc. | 52,850 | ||||||
335 | FactSet Research Systems, Inc. | 145,169 | ||||||
3,625 | MAXIMUS, Inc. | 219,639 | ||||||
731,367 | ||||||||
WHOLESALE - CONSUMER STAPLES - 0.5% | ||||||||
1,080 | Performance Food Group Company(a) | 53,978 | ||||||
TOTAL COMMON STOCKS (Cost $8,404,668) | 10,209,431 | |||||||
Principal | ||||||||
Amount ($) | ||||||||
COLLATERAL FOR SECURITIES LOANED — 0.0% | ||||||||
REPURCHASE AGREEMENT - 0.0% | ||||||||
77 | BNP Paribas SA, dated 8/31/2022, due 9/1/2022, 2.250%, total to be received $79 (Collateralized by various US Government agency obligations, due 10/13/2022-05/15/2052, 0.000%-3.875% totaling $78) | 77 | ||||||
TOTAL REPURCHASE AGREEMENT (Cost $77) | 77 |
See accompanying notes to financial statements.
54
SARATOGA MID CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENT — 7.2% | ||||||||
MONEY MARKET FUND - 7.2% | ||||||||
794,108 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $794,108)(c) | $ | 794,108 | |||||
TOTAL INVESTMENTS - 100.4% (Cost $9,198,853) | $ | 11,003,616 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% | (40,170 | ) | ||||||
NET ASSETS - 100.0% | $ | 10,963,446 |
LTD - Limited
Company NV - Naamioze Vennootschap
PLC - Public Limited Company
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of August 31, 2022 was $142,339. Collateral received from the borrower not disclosed in the Schedule of investments had a value of $149,447 on August 31, 2022. |
(c) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
55
SARATOGA SMALL CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 94.9% | ||||||||
AEROSPACE & DEFENSE - 1.5% | ||||||||
15,891 | AMMO, Inc.(a),(b) | $ | 60,544 | |||||
2,116 | Kratos Defense & Security Solutions, Inc.(a) | 26,535 | ||||||
87,079 | ||||||||
BANKING - 12.3% | ||||||||
1,181 | 1st Source Corporation | 55,731 | ||||||
1,230 | Amalgamated Financial Corporation | 27,675 | ||||||
4,379 | Banc of California, Inc. | 73,918 | ||||||
787 | Banner Corporation | 47,818 | ||||||
640 | City Holding Company | 54,406 | ||||||
812 | Eagle Bancorp, Inc. | 39,406 | ||||||
2,952 | Eastern Bankshares, Inc. | 57,269 | ||||||
959 | First Bancorp | 34,917 | ||||||
3,468 | Fulton Financial Corporation | 56,286 | ||||||
836 | Nicolet Bankshares, Inc.(a) | 64,021 | ||||||
738 | Preferred Bank | 50,066 | ||||||
615 | ServisFirst Bancshares, Inc. | 51,881 | ||||||
418 | Silvergate Capital Corporation, Class A(a) | 38,088 | ||||||
2,435 | United Community Banks, Inc. | 81,646 | ||||||
733,128 | ||||||||
BEVERAGES - 1.5% | ||||||||
836 | Celsius Holdings, Inc.(a),(b) | 86,518 | ||||||
BIOTECH & PHARMA - 1.6% | ||||||||
2,288 | Alkermes plc(a) | 54,157 | ||||||
787 | Intra-Cellular Therapies, Inc.(a) | 39,555 | ||||||
93,712 | ||||||||
CHEMICALS - 1.5% | ||||||||
1,427 | American Vanguard Corporation | 28,440 | ||||||
467 | Balchem Corporation | 61,560 | ||||||
90,000 | ||||||||
COMMERCIAL SUPPORT SERVICES - 2.2% | ||||||||
394 | AMN Healthcare Services, Inc.(a) | 40,440 | ||||||
689 | Korn Ferry | 41,974 |
See accompanying notes to financial statements.
56
SARATOGA SMALL CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 94.9% (Continued) | ||||||||
COMMERCIAL SUPPORT SERVICES - 2.2% (Continued) | ||||||||
2,435 | Resources Connection, Inc. | $ | 47,580 | |||||
129,994 | ||||||||
CONSTRUCTION MATERIALS - 0.7% | ||||||||
418 | Simpson Manufacturing Company, Inc. | 38,724 | ||||||
CONSUMER SERVICES - 0.4% | ||||||||
2,312 | Coursera, Inc.(a) | 26,588 | ||||||
ELECTRIC UTILITIES - 0.7% | ||||||||
566 | Otter Tail Corporation | 42,756 | ||||||
ELECTRICAL EQUIPMENT - 2.9% | ||||||||
935 | AAON, Inc. | 53,744 | ||||||
566 | Badger Meter, Inc. | 53,595 | ||||||
492 | Novanta, Inc.(a) | 65,775 | ||||||
173,114 | ||||||||
ENGINEERING & CONSTRUCTION - 1.3% | ||||||||
664 | EMCOR Group, Inc. | 78,963 | ||||||
FOOD - 1.5% | ||||||||
3,862 | BellRing Brands, Inc.(a) | 91,490 | ||||||
FORESTRY, PAPER & WOOD PRODUCTS - 0.6% | ||||||||
590 | Boise Cascade Company | 36,775 | ||||||
HEALTH CARE FACILITIES & SERVICES - 2.2% | ||||||||
295 | Molina Healthcare, Inc.(a) | 99,524 | ||||||
1,771 | Pediatrix Medical Group, Inc.(a) | 31,559 | ||||||
131,083 | ||||||||
HOME CONSTRUCTION - 1.0% | ||||||||
935 | KB Home | 26,788 | ||||||
615 | Patrick Industries, Inc. | 32,576 | ||||||
59,364 |
See accompanying notes to financial statements.
57
SARATOGA SMALL CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 94.9% (Continued) | ||||||||
HOTEL REIT - 1.2% | ||||||||
4,083 | Pebblebrook Hotel Trust | $ | 71,942 | |||||
INDUSTRIAL INTERMEDIATE PROD - 0.8% | ||||||||
1,156 | AZZ, Inc. | 49,257 | ||||||
INDUSTRIAL SUPPORT SERVICES - 2.2% | ||||||||
1,009 | WESCO International, Inc.(a) | 132,865 | ||||||
INSURANCE - 1.4% | ||||||||
123 | Kinsale Capital Group, Inc. | 31,190 | ||||||
2,435 | Lemonade, Inc.(a) | 53,863 | ||||||
85,053 | ||||||||
INTERNET MEDIA & SERVICES - 1.4% | ||||||||
1,648 | HealthStream, Inc.(a) | 36,470 | ||||||
689 | TechTarget, Inc.(a) | 44,716 | ||||||
81,186 | ||||||||
LEISURE PRODUCTS - 4.5% | ||||||||
1,894 | Acushnet Holdings Corporation | 90,248 | ||||||
1,968 | Clarus Corporation(b) | 29,855 | ||||||
590 | Fox Factory Holding Corporation(a) | 54,994 | ||||||
369 | LCI Industries | 42,756 | ||||||
1,328 | OneWater Marine, Inc.(a) | 52,921 | ||||||
270,774 | ||||||||
MACHINERY - 2.7% | ||||||||
541 | CSW Industrials, Inc. | 68,491 | ||||||
566 | Lindsay Corporation | 90,763 | ||||||
159,254 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 4.3% | ||||||||
4,133 | Adaptive Biotechnologies Corporation(a) | 36,866 | ||||||
271 | Inspire Medical Systems, Inc.(a) | 51,894 | ||||||
344 | Shockwave Medical, Inc.(a) | 102,120 | ||||||
664 | STAAR Surgical Company(a) | 62,808 | ||||||
1 | Zynex, Inc. | 9 | ||||||
253,697 |
See accompanying notes to financial statements.
58
SARATOGA SMALL CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 94.9% (Continued) | ||||||||
METALS & MINING - 3.2% | ||||||||
148 | Arch Resources, Inc. | $ | 21,546 | |||||
664 | Encore Wire Corporation | 86,386 | ||||||
2,386 | MP Materials Corporation(a) | 83,486 | ||||||
191,418 | ||||||||
MORTGAGE FINANCE - 0.4% | ||||||||
1,919 | Ready Capital Corporation | 25,139 | ||||||
OFFICE REIT - 1.3% | ||||||||
2,903 | Equity Commonwealth(a) | 76,378 | ||||||
OIL & GAS PRODUCERS - 12.2% | ||||||||
2,263 | Brigham Minerals, Inc., Class A | 67,324 | ||||||
1,181 | Chesapeake Energy Corporation(b) | 118,679 | ||||||
861 | Chord Energy Corporation | 121,875 | ||||||
4,649 | Magnolia Oil & Gas Corporation | 110,972 | ||||||
2,288 | Matador Resources Company | 136,364 | ||||||
246 | Murphy USA, Inc. | 71,382 | ||||||
1,820 | Ovintiv, Inc. | 96,715 | ||||||
723,311 | ||||||||
PUBLISHING & BROADCASTING - 0.6% | ||||||||
1,919 | Gray Television, Inc. | 36,653 | ||||||
RETAIL - CONSUMER STAPLES - 0.9% | ||||||||
689 | BJ’s Wholesale Club Holdings, Inc.(a) | 51,324 | ||||||
RETAIL - DISCRETIONARY - 7.9% | ||||||||
2,411 | Academy Sports & Outdoors, Inc. | 103,866 | ||||||
123 | Avis Budget Group, Inc.(a) | 20,588 | ||||||
1,205 | Boot Barn Holdings, Inc.(a) | 80,277 | ||||||
1,599 | Buckle, Inc. (The) | 51,616 | ||||||
1,748 | Builders FirstSource, Inc.(a) | 102,450 | ||||||
3,616 | Designer Brands, Inc., Class A(b) | 61,689 | ||||||
3,001 | Macy’s, Inc. | 51,977 | ||||||
472,463 |
See accompanying notes to financial statements.
59
SARATOGA SMALL CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 94.9% (Continued) | ||||||||
SEMICONDUCTORS - 2.3% | ||||||||
615 | Diodes, Inc.(a) | $ | 43,770 | |||||
615 | Power Integrations, Inc. | 43,990 | ||||||
541 | Semtech Corporation(a) | 24,989 | ||||||
197 | Silicon Laboratories, Inc.(a) | 24,690 | ||||||
137,439 | ||||||||
SOFTWARE - 2.9% | ||||||||
123 | Consensus Cloud Solutions, Inc.(a) | 6,193 | ||||||
3,296 | Fastly, Inc.(a) | 30,818 | ||||||
1,255 | Phreesia, Inc.(a) | 32,203 | ||||||
295 | Qualys, Inc.(a) | 44,811 | ||||||
418 | Rapid7, Inc.(a) | 24,035 | ||||||
394 | Ziff Davis, Inc.(a) | 30,448 | ||||||
168,508 | ||||||||
SPECIALTY FINANCE - 1.3% | ||||||||
787 | GATX Corporation | 76,032 | ||||||
31 | PROG Holdings, Inc.(a),(b) | 575 | ||||||
76,607 | ||||||||
SPECIALTY REITS - 2.1% | ||||||||
5,043 | GEO Group, Inc. (The)(a) | 41,252 | ||||||
1,230 | Hannon Armstrong Sustainable Infrastructure | 48,610 | ||||||
2,042 | Outfront Media, Inc. | 36,143 | ||||||
126,005 | ||||||||
STEEL - 1.1% | ||||||||
1,624 | Commercial Metals Company | 65,788 | ||||||
TECHNOLOGY HARDWARE - 0.7% | ||||||||
861 | InterDigital, Inc. | 43,188 | ||||||
TECHNOLOGY SERVICES - 0.3% | ||||||||
1,033 | LiveRamp Holdings, Inc.(a) | 20,505 | ||||||
TELECOMMUNICATIONS - 0.9% | ||||||||
1,181 | Iridium Communications, Inc.(a) | 52,425 |
See accompanying notes to financial statements.
60
SARATOGA SMALL CAPITALIZATION PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 94.9% (Continued) | ||||||||
TRANSPORTATION & LOGISTICS - 4.9% | ||||||||
492 | Atlas Air Worldwide Holdings, Inc.(a) | $ | 49,161 | |||||
2,952 | Heartland Express, Inc. | 44,723 | ||||||
4,575 | Marten Transport Ltd. | 90,630 | ||||||
640 | Matson, Inc. | 47,142 | ||||||
123 | Saia, Inc.(a) | 25,440 | ||||||
959 | Universal Logistics Holdings, Inc. | 35,013 | ||||||
292,109 | ||||||||
WHOLESALE - CONSUMER STAPLES - 1.1% | ||||||||
1,328 | Performance Food Group Company(a) | 66,373 | ||||||
WHOLESALE - DISCRETIONARY - 0.4% | ||||||||
1,082 | G-III Apparel Group Ltd.(a) | 22,798 | ||||||
TOTAL COMMON STOCKS (Cost $5,176,244) | 5,651,747 | |||||||
Principal | ||||||||
Amount ($) | ||||||||
COLLATERAL FOR SECURITIES LOANED — 1.6% | ||||||||
REPURCHASE AGREEMENT - 1.6% | ||||||||
96,300 | BNP Paribas SA, dated 8/31/2022, due 9/1/2022, 2.250%, total to be received $98,226 (Collateralized by various US Government agency obligations, due 10/13/2022-05/15/2052, 0.000%-3.875% totaling $98,128) | 96,300 | ||||||
TOTAL REPURCHASE AGREEMENT (Cost $96,300) | 96,300 | |||||||
Shares | ||||||||
SHORT-TERM INVESTMENT — 5.5% | ||||||||
MONEY MARKET FUND - 5.5% | ||||||||
327,831 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $327,831)(c) | 327,831 | ||||||
TOTAL INVESTMENTS - 102.1% (Cost $5,600,375) | $ | 6,075,878 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.1)% | (123,220 | ) | ||||||
NET ASSETS - 100.0% | $ | 5,952,658 |
LTD - Limited Company
PLC - Public Limited Company
REIT - Real Estate Investment Trust
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of August 31, 2022 was $354,163. Collateral received from the borrower not disclosed in the Schedule of investments had a value of $266,412 on August 31, 2022. |
(c) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
61
SARATOGA INTERNATIONAL EQUITY PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.5% | ||||||||
Australia - 7.4% | ||||||||
610 | Macquarie Group Ltd.(a) | $ | 72,986 | |||||
25,400 | Stockland Corporation Ltd.(a) | 62,479 | ||||||
3,200 | Woodside Energy Group Ltd. | 74,329 | ||||||
209,794 | ||||||||
Canada - 4.7% | ||||||||
720 | Bank of Montreal | 66,467 | ||||||
3,870 | Manulife Financial Corporation | 66,912 | ||||||
133,379 | ||||||||
China - 4.0% | ||||||||
2,000 | BYD Company Ltd., H Shares(a) | 61,630 | ||||||
10,200 | China Merchants Bank Company Ltd., H Shares(a) | 52,164 | ||||||
113,794 | ||||||||
Denmark - 2.5% | ||||||||
680 | Novo Nordisk A/S, Class B(a) | 72,700 | ||||||
Finland - 2.7% | ||||||||
15,430 | Nokia Corporation | 77,716 | ||||||
France - 4.1% | ||||||||
750 | Arkema S.A.(a) | 63,282 | ||||||
1,320 | Compagnie de Saint-Gobain | 53,139 | ||||||
116,421 | ||||||||
Germany - 8.9% | ||||||||
303 | Allianz SE(a) | 51,191 | ||||||
1,970 | GEA Group AG | 68,494 | ||||||
390 | Merck KGaA(a) | 66,959 | ||||||
1,350 | Siemens Healthineers AG(a) | 65,934 | ||||||
252,578 | ||||||||
Hong Kong - 2.3% | ||||||||
81,000 | Lenovo Group Ltd.(a) | 66,712 | ||||||
Indonesia - 2.5% | ||||||||
242,000 | Bank Rakyat Indonesia Persero Tbk PT | 70,631 |
See accompanying notes to financial statements.
62
SARATOGA INTERNATIONAL EQUITY PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.5% (Continued) | ||||||||
Italy - 2.7% | ||||||||
6,590 | Eni SpA | $ | 77,806 | |||||
Japan - 16.5% | ||||||||
400 | Hirose Electric Company, Ltd. | 56,682 | ||||||
1,200 | Konami Corporation(b) | 60,903 | ||||||
900 | Nippon Yusen KK(a) | 68,651 | ||||||
3,400 | Olympus Corporation(a) | 72,415 | ||||||
1,000 | Sony Corporation(a) | 79,509 | ||||||
3,500 | Tokyo Gas Company Ltd. | 65,668 | ||||||
1,900 | Toyota Tsusho Corporation(a) | 66,519 | ||||||
470,347 | ||||||||
Korea (Republic of) - 4.4% | ||||||||
1,140 | Kia Motors Corporation(a) | 68,074 | ||||||
800 | Orion Corporation of Republic of Korea | 58,385 | ||||||
126,459 | ||||||||
Luxembourg - 1.9% | ||||||||
790 | Eurofins Scientific S.E.(a) | 54,630 | ||||||
Mexico - 2.6% | ||||||||
22,320 | Wal-Mart de Mexico S.A.B de C.V. | 73,149 | ||||||
Netherlands - 2.2% | ||||||||
1,830 | STMicroelectronics N.V. | 63,742 | ||||||
South Africa - 2.3% | ||||||||
6,120 | Mr. Price Group Ltd.(a) | 66,297 | ||||||
South Korea - 2.5% | ||||||||
3,600 | Korean Air Lines Company Ltd.(c) | 71,283 |
See accompanying notes to financial statements.
63
SARATOGA INTERNATIONAL EQUITY PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.5% (Continued) | ||||||||
Spain - 2.2% | ||||||||
25,800 | Banco Santander S.A. | $ | 62,421 | |||||
Switzerland - 2.3% | ||||||||
4,220 | UBS Group AG(a) | 66,855 | ||||||
Taiwan Province of China - 4.5% | ||||||||
7,830 | Asustek Computer, Inc. | 65,642 | ||||||
750 | Taiwan Semiconductor Manufacturing Company Ltd. - ADR | 62,512 | ||||||
128,154 | ||||||||
Thailand - 2.9% | ||||||||
14,200 | Bumrungrad Hospital PCL | 83,819 | ||||||
United Kingdom - 13.4% | ||||||||
1,790 | Anglo American plc | 57,509 | ||||||
35,540 | Barclays plc | 67,751 | ||||||
2,260 | BP plc - ADR | 69,699 | ||||||
1,280 | Coca-Cola European Partners plc | 62,938 | ||||||
1,120 | InterContinental Hotels Group plc | 60,788 | ||||||
3,700 | Mondi plc(a) | 62,796 | ||||||
381,481 | ||||||||
TOTAL COMMON STOCKS (Cost $2,836,025) | 2,840,168 | |||||||
Principal | ||||||||
Amount ($) | ||||||||
COLLATERAL FOR SECURITIES LOANED — 2.3% | ||||||||
REPURCHASE AGREEMENT - 2.3% | ||||||||
64,581 | Daiwa Capital Markets America, Inc., dated 8/31/2022, due 9/1/2022, 2.270%, total to be received $65,873 (Collateralized by various US Government agency obligations, due 09/29/2022-10/31/2027, 0.000%-2.750% totaling $65,855) | 64,581 | ||||||
TOTAL REPURCHASE AGREEMENT (Cost $64,581) | 64,581 |
See accompanying notes to financial statements.
64
SARATOGA INTERNATIONAL EQUITY PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENT — 0.9% | ||||||||
MONEY MARKET FUND - 0.9% | ||||||||
24,963 | Dreyfus Institutional Preferred Government Money, Institutional Class, 2.27% (Cost $24,963)(d) | $ | 24,963 | |||||
TOTAL INVESTMENTS - 102.7% (Cost $2,925,569) | $ | 2,929,712 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.7)% | (76,564 | ) | ||||||
NET ASSETS - 100.0% | $ | 2,853,148 |
ADR - American Depositary Receipt
A/S - Anonim Sirketi
LTD - Limited Company
NV - Naamioze Vennootschap
PLC - Public Limited Company
S/A - Société Anonyme
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/ (Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Hong Kong Dollar | 09/01/2022 | Bank of NY | 132,939 | $ | 16,938 | $ | 2 | |||||||||
Japanese Yen | 09/01/2022 | Bank of NY | 7,806,363 | 56,194 | (318 | ) | ||||||||||
$ | 73,132 | $ | (316 | ) | ||||||||||||
To Sell: | ||||||||||||||||
Australian Dollar | 09/01/2022 | Bank of NY | 17,570 | $ | 12,022 | $ | 22 | |||||||||
Hong Kong Dollar | 09/01/2022 | Bank of NY | 153,911 | 19,610 | (2 | ) | ||||||||||
Japanese Yen | 09/01/2022 | Bank of NY | 2,148,926 | 15,469 | 87 | |||||||||||
Polish Zloty | 09/01/2022 | Bank of NY | 192,024 | 40,868 | (287 | ) | ||||||||||
Swiss Franc | 09/01/2022 | Bank of NY | 68,320 | 69,875 | 135 | |||||||||||
$ | 157,844 | $ | (45 | ) | ||||||||||||
Total | $ | (361 | ) |
(a) | The value of this security has been determined in good faith under policies of the Board of Trustees. |
(b) | All or a portion of this security is on loan. The total fair value of the securities on loan as of August 31, 2022 was $61,113. |
(c) | Non-income producing security. |
(d) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
65
SARATOGA HEALTH & BIOTECHNOLOGY FUND |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 96.0% | ||||||||
BIOTECH & PHARMA - 45.9% | ||||||||
2,965 | AbbVie, Inc. | $ | 398,674 | |||||
2,685 | Amgen, Inc. | 645,206 | ||||||
1,184 | Biogen, Inc.(a) | 231,330 | ||||||
14,929 | Exelixis, Inc.(a) | 264,841 | ||||||
6,420 | Gilead Sciences, Inc. | 407,477 | ||||||
8,035 | GSK plc - ADR | 260,977 | ||||||
2,735 | Jazz Pharmaceuticals plc(a) | 424,527 | ||||||
2,320 | Johnson & Johnson | 374,309 | ||||||
4,935 | Merck & Company, Inc. | 421,252 | ||||||
2,366 | Moderna, Inc.(a) | 312,951 | ||||||
3,191 | Novartis A.G. - ADR | 256,939 | ||||||
7,668 | Pfizer, Inc. | 346,824 | ||||||
720 | Regeneron Pharmaceuticals, Inc.(a) | 418,363 | ||||||
3,065 | United Therapeutics Corporation(a) | 694,589 | ||||||
570 | Vertex Pharmaceuticals, Inc.(a) | 160,603 | ||||||
5,618,862 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 37.2% | ||||||||
2,665 | AmerisourceBergen Corporation | 390,582 | ||||||
6,336 | Cardinal Health, Inc. | 448,082 | ||||||
2,756 | Centene Corporation(a) | 247,323 | ||||||
1,211 | Charles River Laboratories International, Inc.(a) | 248,558 | ||||||
1,136 | Cigna Corporation | 321,999 | ||||||
1,457 | Elevance Health, Inc. | 706,805 | ||||||
630 | Humana, Inc. | 303,521 | ||||||
1,804 | McKesson Corporation | 662,068 | ||||||
721 | Medpace Holdings, Inc.(a) | 106,427 | ||||||
2,910 | Quest Diagnostics, Inc. | 364,652 | ||||||
1,450 | UnitedHealth Group, Inc. | 753,030 | ||||||
4,553,047 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 12.9% | ||||||||
691 | Bio-Rad Laboratories, Inc., Class A(a) | 335,163 | ||||||
1,673 | Illumina, Inc.(a) | 337,343 | ||||||
1,622 | Intuitive Surgical, Inc.(a) | 333,710 | ||||||
3,025 | Medtronic plc | 265,958 |
See accompanying notes to financial statements.
66
SARATOGA HEALTH & BIOTECHNOLOGY FUND |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 96.0% (Continued) | ||||||||
MEDICAL EQUIPMENT & DEVICES - 12.9% (Continued) | ||||||||
1,524 | Stryker Corporation | $ | 312,725 | |||||
1,584,899 | ||||||||
TOTAL COMMON STOCKS (Cost $9,084,031) | 11,756,808 | |||||||
SHORT-TERM INVESTMENT — 4.3% | ||||||||
MONEY MARKET FUND - 4.3% | ||||||||
527,795 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $527,795)(b) | 527,795 | ||||||
TOTAL INVESTMENTS - 100.3% (Cost $9,611,826) | $ | 12,284,603 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% | (38,413 | ) | ||||||
NET ASSETS - 100.0% | $ | 12,246,190 |
ADR - American Depositary Receipt
PLC - Public Limited Company
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
67
SARATOGA TECHNOLOGY & COMMUNICATION PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.3% | ||||||||
DATA CENTER REIT - 2.1% | ||||||||
6,915 | Digital Realty Trust, Inc. | $ | 854,901 | |||||
E-COMMERCE DISCRETIONARY - 9.3% | ||||||||
20,660 | Amazon.com, Inc.(a) | 2,619,068 | ||||||
25,000 | eBay, Inc. | 1,103,250 | ||||||
3,722,318 | ||||||||
ENTERTAINMENT CONTENT - 3.2% | ||||||||
16,455 | Activision Blizzard, Inc. | 1,291,553 | ||||||
INTERNET MEDIA & SERVICES - 12.0% | ||||||||
6,000 | Alphabet, Inc., Class A(a) | 649,320 | ||||||
24,170 | Alphabet, Inc., Class C(a) | 2,638,155 | ||||||
9,500 | Meta Platforms, Inc., Class A(a) | 1,547,835 | ||||||
4,835,310 | ||||||||
SEMICONDUCTORS - 16.0% | ||||||||
48,033 | Intel Corporation | 1,533,213 | ||||||
6,081 | KLA Corporation | 2,092,655 | ||||||
14,420 | QUALCOMM, Inc. | 1,907,333 | ||||||
9,300 | Skyworks Solutions, Inc. | 916,515 | ||||||
6,449,716 | ||||||||
SOFTWARE - 23.4% | ||||||||
12,790 | Akamai Technologies, Inc.(a) | 1,154,681 | ||||||
8,042 | Microsoft Corporation | 2,102,743 | ||||||
28,151 | Oracle Corporation | 2,087,397 | ||||||
7,120 | Salesforce, Inc.(a) | 1,111,574 | ||||||
4,550 | Synopsys, Inc.(a) | 1,574,391 | ||||||
11,510 | VMware, Inc., Class A | 1,335,505 | ||||||
9,366,291 | ||||||||
TECHNOLOGY HARDWARE - 10.8% | ||||||||
14,500 | Apple, Inc. | 2,279,690 | ||||||
46,577 | Cisco Systems, Inc. | 2,082,923 | ||||||
4,362,613 | ||||||||
TECHNOLOGY SERVICES - 22.5% | ||||||||
17,805 | Amdocs Ltd. | 1,521,794 |
See accompanying notes to financial statements.
68
SARATOGA TECHNOLOGY & COMMUNICATION PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.3% (Continued) | ||||||||
TECHNOLOGY SERVICES - 22.5% (Continued) | ||||||||
18,963 | Cognizant Technology Solutions Corporation, Class A | $ | 1,197,893 | |||||
8,412 | Global Payments, Inc. | 1,045,023 | ||||||
6,795 | Jack Henry & Associates, Inc. | 1,305,999 | ||||||
4,139 | Mastercard, Inc., Class A | 1,342,567 | ||||||
8,010 | PayPal Holdings, Inc.(a) | 748,454 | ||||||
9,502 | Visa, Inc., Class A | 1,888,143 | ||||||
9,049,873 | ||||||||
TOTAL COMMON STOCKS (Cost $17,306,318) | 39,932,575 | |||||||
SHORT-TERM INVESTMENT — 0.8% | ||||||||
MONEY MARKET FUND - 0.8% | ||||||||
332,713 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $332,713)(b) | 332,713 | ||||||
TOTAL INVESTMENTS - 100.1% (Cost $17,639,031) | $ | 40,265,288 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)% | (56,230 | ) | ||||||
NET ASSETS - 100.0% | $ | 40,209,058 |
LTD - Limited Company
REIT - Real Estate Investment Trust
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
69
SARATOGA ENERGY & BASIC MATERIALS PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.2% | ||||||||
CHEMICALS - 13.9% | ||||||||
2,978 | BASF S.E. - ADR | $ | 31,834 | |||||
1,660 | Covestro A.G. - ADR | 24,917 | ||||||
775 | Dow, Inc. | 39,525 | ||||||
725 | Huntsman Corporation | 20,315 | ||||||
120 | Linde plc | 33,943 | ||||||
418 | LyondellBasell Industries N.V., Class A | 34,694 | ||||||
639 | Mosaic Company (The) | 34,423 | ||||||
95 | PPG Industries, Inc. | 12,063 | ||||||
142 | Westlake Corporation | 14,005 | ||||||
245,719 | ||||||||
CONTAINERS & PACKAGING - 4.8% | ||||||||
740 | Berry Global Group, Inc.(a) | 40,205 | ||||||
591 | International Paper Company | 24,597 | ||||||
499 | Westrock Company | 20,254 | ||||||
85,056 | ||||||||
ENGINEERING & CONSTRUCTION - 0.1% | ||||||||
172 | Technip Energies N.V. - ADR | 2,140 | ||||||
FORESTRY, PAPER & WOOD PRODUCTS - 1.4% | ||||||||
538 | Sylvamo Corporation | 23,909 | ||||||
METALS & MINING - 10.8% | ||||||||
2,112 | Anglo American plc - ADR | 34,024 | ||||||
7,789 | B2Gold Corporation | 23,756 | ||||||
444 | BHP Group Ltd. - ADR | 24,371 | ||||||
493 | Freeport-McMoRan, Inc. | 14,593 | ||||||
277 | Newmont Corporation | 11,457 | ||||||
624 | Rio Tinto plc - ADR | 35,126 | ||||||
1,432 | Sibanye Stillwater Ltd. - ADR | 12,859 | ||||||
2,778 | Vale S.A. - ADR | 34,503 | ||||||
190,689 | ||||||||
OIL & GAS PRODUCERS - 61.8% | ||||||||
873 | Antero Midstream Corporation | 8,791 | ||||||
1,925 | BP plc - ADR | 59,367 |
See accompanying notes to financial statements.
70
SARATOGA ENERGY & BASIC MATERIALS PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.2% (Continued) | ||||||||
OIL & GAS PRODUCERS - 61.8% (Continued) | ||||||||
1,010 | Canadian Natural Resources Ltd. | $ | 55,358 | |||||
474 | Chesapeake Energy Corporation | 47,632 | ||||||
804 | Chevron Corporation | 127,080 | ||||||
1,265 | China Petroleum & Chemical Corporation - ADR | 58,848 | ||||||
400 | Civitas Resources, Inc. | 26,876 | ||||||
270 | ConocoPhillips | 29,552 | ||||||
326 | Diamondback Energy, Inc. | 43,449 | ||||||
563 | Enbridge, Inc. | 23,207 | ||||||
1,013 | Eni SpA - ADR | 23,927 | ||||||
517 | EOG Resources, Inc. | 62,712 | ||||||
4,855 | Equitrans Midstream Corporation | 45,006 | ||||||
1,824 | Exxon Mobil Corporation | 174,356 | ||||||
853 | Ovintiv, Inc. | 45,328 | ||||||
1,516 | PetroChina Company Ltd. - ADR | 70,086 | ||||||
1,008 | Petroleo Brasileiro S.A. - ADR | 14,404 | ||||||
978 | Shell plc - ADR | 51,814 | ||||||
1,111 | Suncor Energy, Inc. | 35,908 | ||||||
424 | TotalEnergies S.E. - ADR | 21,416 | ||||||
539 | Valero Energy Corporation | 63,128 | ||||||
161 | Woodside Energy Group Ltd. - ADR | 3,672 | ||||||
1,091,917 | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 1.1% | ||||||||
508 | Schlumberger N.V. | 19,380 | ||||||
STEEL - 4.3% | ||||||||
4,849 | Cia Siderurgica Nacional S.A. - ADR | 13,092 | ||||||
276 | Nucor Corporation | 36,692 | ||||||
327 | Steel Dynamics, Inc. | 26,395 | ||||||
76,179 | ||||||||
TOTAL COMMON STOCKS (Cost $1,408,271) | 1,734,989 |
See accompanying notes to financial statements.
71
SARATOGA ENERGY & BASIC MATERIALS PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENT — 1.7% | ||||||||
MONEY MARKET FUND - 1.7% | ||||||||
30,021 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $30,021)(b) | $ | 30,021 | |||||
TOTAL INVESTMENTS - 99.9% (Cost $1,438,292) | $ | 1,765,010 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.1% | 2,085 | |||||||
NET ASSETS - 100.0% | $ | 1,767,095 |
ADR - American Depositary Receipt
LTD - Limited Company
NV - Naamioze Vennootschap
PLC - Public Limited Company
S/A - Société Anonyme
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
72
SARATOGA FINANCIAL SERVICES PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.5% | ||||||||
ASSET MANAGEMENT - 13.0% | ||||||||
46 | Ameriprise Financial, Inc. | $ | 12,329 | |||||
25 | BlackRock, Inc. | 16,660 | ||||||
447 | Blackstone, Inc. | 41,992 | ||||||
221 | Charles Schwab Corporation (The) | 15,680 | ||||||
400 | Raymond James Financial, Inc. | 41,748 | ||||||
566 | Stifel Financial Corporation | 33,569 | ||||||
161,978 | ||||||||
BANKING - 33.1% | ||||||||
1,506 | Bank of America Corporation | 50,617 | ||||||
178 | Bank OZK | 7,214 | ||||||
1,055 | Citigroup, Inc. | 51,495 | ||||||
410 | East West Bancorp, Inc. | 29,590 | ||||||
345 | Fifth Third Bancorp | 11,782 | ||||||
464 | JPMorgan Chase & Company | 52,770 | ||||||
49 | PNC Financial Services Group, Inc. (The) | 7,742 | ||||||
449 | Popular, Inc. | 34,672 | ||||||
1,657 | Regions Financial Corporation | 35,907 | ||||||
681 | Synovus Financial Corporation | 27,349 | ||||||
205 | Truist Financial Corporation | 9,602 | ||||||
955 | US Bancorp | 43,558 | ||||||
872 | Wells Fargo & Company | 38,115 | ||||||
251 | Zions Bancorp NA | 13,813 | ||||||
414,226 | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - 11.4% | ||||||||
191 | Cboe Global Markets, Inc. | 22,532 | ||||||
232 | CME Group, Inc. | 45,382 | ||||||
54 | Goldman Sachs Group, Inc. (The) | 17,964 | ||||||
67 | Intercontinental Exchange, Inc. | 6,757 | ||||||
579 | Morgan Stanley | 49,342 | ||||||
141,977 | ||||||||
INSURANCE - 30.3% | ||||||||
589 | Aflac, Inc. | 34,998 | ||||||
230 | American Financial Group, Inc. | 29,366 | ||||||
27 | Aon plc, Class A | 7,540 |
See accompanying notes to financial statements.
73
SARATOGA FINANCIAL SERVICES PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.5% (Continued) | ||||||||
INSURANCE - 30.3% (Continued) | ||||||||
55 | Arthur J Gallagher & Company | $ | 9,986 | |||||
120 | Axis Capital Holdings Ltd. | 6,378 | ||||||
477 | Berkshire Hathaway, Inc., Class B(a) | 133,943 | ||||||
286 | Chubb Ltd. | 54,068 | ||||||
144 | Marsh & McLennan Companies, Inc. | 23,237 | ||||||
624 | MetLife, Inc. | 40,142 | ||||||
78 | Progressive Corporation (The) | 9,567 | ||||||
255 | Voya Financial, Inc. | 15,690 | ||||||
200 | W R Berkley Corporation | 12,960 | ||||||
377,875 | ||||||||
MORTGAGE FINANCE - 1.5% | ||||||||
1,534 | AGNC Investment Corporation | 18,331 | ||||||
SPECIALTY FINANCE - 8.0% | ||||||||
113 | American Express Company | 17,176 | ||||||
231 | Capital One Financial Corporation | 24,444 | ||||||
171 | Discover Financial Services | 17,184 | ||||||
480 | Fidelity National Financial, Inc. | 18,768 | ||||||
683 | Synchrony Financial | 22,368 | ||||||
99,940 | ||||||||
TECHNOLOGY SERVICES - 2.2% | ||||||||
14 | MSCI, Inc. | 6,289 | ||||||
61 | S&P Global, Inc. | 21,483 | ||||||
27,772 | ||||||||
TOTAL COMMON STOCKS (Cost $825,510) | 1,242,099 |
See accompanying notes to financial statements.
74
SARATOGA FINANCIAL SERVICES PORTFOLIO |
SCHEDULE OF INVESTMENTS (Continued) |
August 31, 2022 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENT — 0.5% | ||||||||
MONEY MARKET FUND - 0.5% | ||||||||
6,575 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $6,575)(b) | $ | 6,575 | |||||
TOTAL INVESTMENTS - 100.0% (Cost $832,085) | $ | 1,248,674 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0% | (221 | ) | ||||||
NET ASSETS - 100.0% | $ | 1,248,453 |
LTD - Limited Company
MSCI - Morgan Stanley Capital International
PLC - Public Limited Company
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
75
SARATOGA INVESTMENT QUALITY BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
OPEN END FUNDS — 95.1% | ||||||||
FIXED INCOME - 95.1% | ||||||||
86,698 | Vanguard Short-Term Bond Index Fund, Admiral Class | $ | 866,982 | |||||
515,729 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 10,185,640 | ||||||
11,052,622 | ||||||||
TOTAL OPEN END FUNDS (Cost $11,329,738) | 11,052,622 | |||||||
SHORT-TERM INVESTMENT — 5.5% | ||||||||
MONEY MARKET FUND - 5.5% | ||||||||
640,801 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $640,801)(a) | 640,801 | ||||||
TOTAL INVESTMENTS - 100.6% (Cost $11,970,539) | $ | 11,693,423 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)% | (70,210 | ) | ||||||
NET ASSETS - 100.0% | $ | 11,623,213 |
(a) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
76
SARATOGA MUNICIPAL BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
OPEN END FUNDS — 97.8% | ||||||||
FIXED INCOME - 97.8% | ||||||||
64,003 | JPMorgan Ultra-Short Municipal Fund, Class I | $ | 632,992 | |||||
3,471 | Vanguard Short-Term Tax-Exempt Fund, Admiral Class | 54,075 | ||||||
687,067 | ||||||||
TOTAL OPEN END FUNDS (Cost $699,794) | 687,067 | |||||||
SHORT-TERM INVESTMENT — 3.4% | ||||||||
MONEY MARKET FUND - 3.4% | ||||||||
23,551 | Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 1.44% (Cost $23,547)(a) | 23,547 | ||||||
TOTAL INVESTMENTS - 101.2% (Cost $723,341) | $ | 710,614 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2)% | (9,285 | ) | ||||||
NET ASSETS - 100.0% | $ | 701,329 |
(a) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
77
SARATOGA U.S. GOVERNMENT MONEY MARKET PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 99.5% | ||||||||
MONEY MARKET FUNDS - 99.5% | ||||||||
1,328,270 | BlackRock Liquidity FedFund, Institutional Class, 2.02%(a) | $ | 1,328,270 | |||||
1,328,270 | Dreyfus Government Cash Management, Class I, 2.11%(a) | 1,328,270 | ||||||
1,328,270 | Federated Hermes Government Obligations Fund, Institutional Class, 2.11%(a) | 1,328,270 | ||||||
1,328,269 | JPMorgan US Government Money Market Fund, Capital Class, 2.00%(a) | 1,328,269 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,313,079) | 5,313,079 | |||||||
TOTAL INVESTMENTS - 99.5% (Cost $5,313,079) | $ | 5,313,079 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.5% | 27,336 | |||||||
NET ASSETS - 100.0% | $ | 5,340,415 |
(a) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
78
SARATOGA AGGRESSIVE BALANCED ALLOCATION PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
OPEN END FUNDS — 93.5% | ||||||||
ALTERNATIVE - 9.9% | ||||||||
11,385 | Eaton Vance Global Macro Absolute Return Fund, Class I | $ | 90,960 | |||||
EQUITY - 71.3% | ||||||||
2,446 | Saratoga Energy & Basic Materials Portfolio, Class I(a) | 30,400 | ||||||
1,667 | Saratoga Health & Biotechnology Portfolio, Class I(a) | 37,663 | ||||||
5,256 | Saratoga Large Capitalization Growth Portfolio, Class I(a) | 122,256 | ||||||
6,619 | Saratoga Large Capitalization Value Portfolio, Class I(a) | 171,886 | ||||||
8,655 | Saratoga Mid Capitalization Portfolio, Class I(a) | 101,696 | ||||||
1,324 | Saratoga Technology & Communications Portfolio, Class I(a) | 30,388 | ||||||
704 | Vanguard Financials Index Fund, Admiral Class | 28,708 | ||||||
853 | Vanguard Small-Cap Index Fund, Admiral Class | 77,564 | ||||||
2,134 | Vanguard Total International Stock Index Fund, Admiral Class | 58,631 | ||||||
659,192 | ||||||||
FIXED INCOME - 12.3% | ||||||||
5,752 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 113,586 | ||||||
TOTAL OPEN END FUNDS (Cost $893,690) | 863,738 | |||||||
SHORT-TERM INVESTMENT — 6.8% | ||||||||
MONEY MARKET FUND - 6.8% | ||||||||
63,192 | Dreyfus Institutional Preferred Government Money, Institutional Class, 2.27% (Cost $63,192)(b) | 63,192 | ||||||
TOTAL INVESTMENTS - 100.3% (Cost $956,882) | $ | 926,930 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% | (2,601 | ) | ||||||
NET ASSETS - 100.0% | $ | 924,329 |
(a) | Investment in affiliate. |
(b) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
79
SARATOGA CONSERVATIVE BALANCED ALLOCATION PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
OPEN END FUNDS — 74.6% | ||||||||
ALTERNATIVE - 7.3% | ||||||||
23,843 | Eaton Vance Global Macro Absolute Return Fund, Class I | $ | 190,512 | |||||
EQUITY - 35.5% | ||||||||
11,360 | Saratoga Large Capitalization Growth Portfolio, Class I(a) | 264,245 | ||||||
14,152 | Saratoga Large Capitalization Value Portfolio, Class I(a) | 367,534 | ||||||
18,762 | Saratoga Mid Capitalization Portfolio, Class I(a) | 220,453 | ||||||
545 | Vanguard Small-Cap Index Fund, Admiral Class | 49,563 | ||||||
1,013 | Vanguard Total International Stock Index Fund, Admiral Class | 27,833 | ||||||
929,628 | ||||||||
FIXED INCOME - 31.8% | ||||||||
42,269 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 834,808 | ||||||
TOTAL OPEN END FUNDS (Cost $2,043,131) | 1,954,948 | |||||||
SHORT-TERM INVESTMENT — 25.8% | ||||||||
MONEY MARKET FUND - 25.8% | ||||||||
677,052 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $677,052)(b) | 677,052 | ||||||
TOTAL INVESTMENTS - 100.4% (Cost $2,720,183) | $ | 2,632,000 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% | (10,236 | ) | ||||||
NET ASSETS - 100.0% | $ | 2,621,764 |
(a) | Investment in affiliate. |
(b) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
80
SARATOGA MODERATE BALANCED ALLOCATION PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
OPEN END FUNDS — 90.3% | ||||||||
ALTERNATIVE - 7.6% | ||||||||
15,598 | Eaton Vance Global Macro Absolute Return Fund, Class I | $ | 124,628 | |||||
EQUITY - 59.8% | ||||||||
2,283 | Saratoga Energy & Basic Materials Portfolio, Class I(a) | 28,381 | ||||||
1,582 | Saratoga Health & Biotechnology Portfolio, Class I(a) | 35,761 | ||||||
10,002 | Saratoga Large Capitalization Growth Portfolio, Class I(a) | 232,635 | ||||||
12,519 | Saratoga Large Capitalization Value Portfolio, Class I(a) | 325,123 | ||||||
16,623 | Saratoga Mid Capitalization Value Portfolio, Class I(a) | 195,317 | ||||||
1,443 | Saratoga Technology & Communications Portfolio, Class I(a) | 33,105 | ||||||
677 | Vanguard Financials Index Fund, Admiral Class | 27,608 | ||||||
728 | Vanguard Small-Cap Index Fund, Admiral Class | 66,165 | ||||||
1,500 | Vanguard Total International Stock Index Fund, Admiral Class | 41,217 | ||||||
985,312 | ||||||||
FIXED INCOME - 22.9% | ||||||||
19,091 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 377,051 | ||||||
TOTAL OPEN END FUNDS (Cost $1,514,941) | 1,486,991 | |||||||
SHORT-TERM INVESTMENT — 10.1% | ||||||||
MONEY MARKET FUND - 10.1% | ||||||||
165,737 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $165,737)(b) | 165,737 | ||||||
TOTAL INVESTMENTS - 100.4% (Cost $1,680,678) | $ | 1,652,728 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% | (5,658 | ) | ||||||
NET ASSETS - 100.0% | $ | 1,647,070 |
(a) | Investment in affiliate. |
(b) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
81
SARATOGA MODERATELY AGGRESSIVE BALANCED ALLOCATION PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
OPEN END FUNDS — 89.9% | ||||||||
ALTERNATIVE - 8.3% | ||||||||
9,470 | Eaton Vance Global Macro Absolute Return Fund, Class I | $ | 75,663 | |||||
EQUITY - 62.9% | ||||||||
1,832 | Saratoga Energy & Basic Materials Portfolio, Class I(a) | 22,769 | ||||||
1,079 | Saratoga Health & Biotechnology Portfolio, Class I(a) | 24,375 | ||||||
5,112 | Saratoga Large Capitalization Growth Portfolio, Class I(a) | 118,895 | ||||||
6,396 | Saratoga Large Capitalization Value Portfolio, Class I(a) | 166,113 | ||||||
9,181 | Saratoga Mid Capitalization Portfolio, Class I(a) | 107,872 | ||||||
868 | Saratoga Technology & Communications Portfolio, Class I(a) | 19,930 | ||||||
401 | Vanguard Financials Index Fund, Admiral Class | 16,351 | ||||||
626 | Vanguard Small-Cap Index Fund, Admiral Class | 56,889 | ||||||
1,355 | Vanguard Total International Stock Index Fund, Admiral Class | 37,245 | ||||||
570,439 | ||||||||
FIXED INCOME - 18.7% | ||||||||
8,559 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 169,052 | ||||||
TOTAL OPEN END FUNDS (Cost $832,906) | 815,154 | |||||||
SHORT-TERM INVESTMENT — 10.3% | ||||||||
MONEY MARKET FUND - 10.3% | ||||||||
93,605 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $93,605)(b) | 93,605 | ||||||
TOTAL INVESTMENTS - 100.2% (Cost $926,511) | $ | 908,759 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)% | (1,960 | ) | ||||||
NET ASSETS - 100.0% | $ | 906,799 |
(a) | Investment in affiliate. |
(b) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
82
SARATOGA MODERATELY CONSERVATIVE BALANCED ALLOCATION PORTFOLIO |
SCHEDULE OF INVESTMENTS |
August 31, 2022 |
Shares | Fair Value | |||||||
OPEN END FUNDS — 89.4% | ||||||||
ALTERNATIVE - 7.8% | ||||||||
6,356 | Eaton Vance Global Macro Absolute Return Fund, Class I | $ | 50,784 | |||||
EQUITY - 53.4% | ||||||||
3,775 | Saratoga Large Capitalization Growth Portfolio, Class I(a) | 87,806 | ||||||
4,616 | Saratoga Large Capitalization Value Portfolio, Class I(a) | 119,865 | ||||||
6,551 | Saratoga Mid Capitalization Portfolio, Class I(a) | 76,978 | ||||||
418 | Vanguard Small-Cap Index Fund, Admiral Class | 38,025 | ||||||
881 | Vanguard Total International Stock Index Fund, Admiral Class | 24,198 | ||||||
346,872 | ||||||||
FIXED INCOME - 28.2% | ||||||||
9,286 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 183,410 | ||||||
TOTAL OPEN END FUNDS (Cost $600,864) | 581,066 | |||||||
SHORT-TERM INVESTMENT — 10.9% | ||||||||
MONEY MARKET FUND - 10.9% | ||||||||
70,665 | Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class, 2.27% (Cost $70,665)(b) | 70,665 | ||||||
TOTAL INVESTMENTS - 100.3% (Cost $671,529) | $ | 651,731 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% | (2,044 | ) | ||||||
NET ASSETS - 100.0% | $ | 649,687 |
(a) | Investment in affiliate. |
(b) | Rate disclosed is the seven day effective yield as of August 31, 2022. |
See accompanying notes to financial statements.
83
STATEMENTS OF ASSETS AND LIABILITIES |
August 31, 2022
Large | Large | |||||||||||||||||||
Capitalization | Capitalization | Mid | Small | International | ||||||||||||||||
Value | Growth | Capitalization | Capitalization | Equity | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments, at cost (including collateral on loaned securities Note 4) | $ | 19,998,637 | $ | 20,269,754 | $ | 9,198,853 | $ | 5,600,375 | $ | 2,925,569 | ||||||||||
Investments in securities, at value (including collateral on loaned securities Note 4) | $ | 20,457,138 | $ | 23,890,264 | $ | 11,003,616 | $ | 6,075,878 | $ | 2,929,712 | ||||||||||
Foreign Cash (Cost $0, $0, $0, $0, $1,776) | — | — | — | — | 1,776 | |||||||||||||||
Receivable for securities sold | — | — | 7,132 | — | 262,669 | |||||||||||||||
Receivable for fund shares sold | 36 | 28 | 23 | 9 | 6 | |||||||||||||||
Interest and dividends receivable | 29,072 | 28,636 | 14,392 | 6,580 | 24,870 | |||||||||||||||
Prepaid expenses and other assets | 3,900 | 14,503 | 2,934 | 2,642 | 3,470 | |||||||||||||||
Total Assets | 20,490,146 | 23,933,431 | 11,028,097 | 6,085,109 | 3,222,503 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Securities lending collateral (a) (See Note 2) | 209 | — | 77 | 96,300 | 64,581 | |||||||||||||||
Payable for securities purchased | 238,258 | — | — | — | 245,188 | |||||||||||||||
Payable for fund shares redeemed | 184 | 143 | 122 | 28 | 19 | |||||||||||||||
Payable to manager | 13,082 | 14,325 | 7,245 | 3,150 | 10,065 | |||||||||||||||
Unrealized depreciation on forward currency exchange contracts | — | — | — | — | 361 | |||||||||||||||
Administration fees payable | 17,933 | 51,261 | 13,416 | 8,444 | 4,550 | |||||||||||||||
Custody fees payable | 1,371 | 3,785 | 10,103 | 5,069 | 22,929 | |||||||||||||||
Trustee fees payable | — | — | 2,674 | 1,314 | 1,507 | |||||||||||||||
Compliance officer fees payable | 9,664 | 966 | 6,212 | 2,582 | 2,024 | |||||||||||||||
Payable for distribution (12b-1) fees | 216 | 2,118 | 587 | 23 | 14 | |||||||||||||||
Dividend Payable | — | — | — | — | 511 | |||||||||||||||
Accrued expenses and other liabilities | 21,197 | 29,603 | 24,215 | 15,541 | 17,606 | |||||||||||||||
Total Liabilities | 302,114 | 102,201 | 64,651 | 132,451 | 369,355 | |||||||||||||||
Net Assets | $ | 20,188,032 | $ | 23,831,230 | $ | 10,963,446 | $ | 5,952,658 | $ | 2,853,148 | ||||||||||
Net Assets: | ||||||||||||||||||||
Par value of shares of beneficial interest | $ | 7,800 | $ | 11,418 | $ | 9,573 | $ | 8,613 | $ | 3,147 | ||||||||||
Paid in capital | 18,199,003 | 20,356,326 | 9,014,224 | 4,972,371 | 5,492,490 | |||||||||||||||
Accumulated earnings (loss) | 1,981,229 | 3,463,486 | 1,939,649 | 971,674 | (2,642,489 | ) | ||||||||||||||
Net Assets | $ | 20,188,032 | $ | 23,831,230 | $ | 10,963,446 | $ | 5,952,658 | $ | 2,853,148 | ||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 19,753,419 | $ | 20,825,631 | $ | 9,485,771 | $ | 5,893,420 | $ | 2,808,630 | ||||||||||
Shares of beneficial interest outstanding | 760,594 | 895,439 | 806,982 | 849,430 | 309,716 | |||||||||||||||
Net asset value, redemption price and offering price per share | $ | 25.97 | $ | 23.26 | $ | 11.75 | $ | 6.94 | $ | 9.07 | ||||||||||
Class A | ||||||||||||||||||||
Net Assets | $ | 314,536 | $ | 1,087,068 | $ | 1,355,260 | $ | 54,856 | $ | 36,453 | ||||||||||
Shares of beneficial interest outstanding | 12,988 | 54,711 | 134,093 | 9,032 | 4,003 | |||||||||||||||
Net asset value, redemption price per share | $ | 24.22 | $ | 19.87 | $ | 10.11 | $ | 6.07 | $ | 9.11 | ||||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 25.70 | $ | 21.08 | $ | 10.73 | $ | 6.44 | $ | 9.67 | ||||||||||
Class C | ||||||||||||||||||||
Net Assets | $ | 120,077 | $ | 1,918,531 | $ | 122,415 | $ | 4,382 | $ | 8,065 | ||||||||||
Shares of beneficial interest outstanding | 6,390 | 191,651 | 16,256 | 2,834 | 989 | |||||||||||||||
Net asset value, offering price per share (b) | $ | 18.79 | $ | 10.01 | $ | 7.53 | $ | 1.55 | $ | 8.15 | ||||||||||
$ | 936,698 | $ | 266,411 | $ | 142,339 | $ | 354,163 | $ | 61,113 |
(a) | Includes securities loaned of: |
(b) | Redemption price per C share varies based on length of time shares are held. |
84
STATEMENTS OF ASSETS AND LIABILITIES |
August 31, 2022 |
Investment | ||||||||||||||||||||
Health & | Technology & | Energy & Basic | Financial | Quality | ||||||||||||||||
Biotechnology | Communications | Materials | Services | Bond | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in securities, at cost (including collateral on loaned securities Note 4) | $ | 9,611,826 | $ | 17,639,031 | $ | 1,438,292 | $ | 832,085 | $ | 11,970,539 | ||||||||||
Investments in securities, at value (including collateral on loaned securities Note 4) | $ | 12,284,603 | $ | 40,265,288 | $ | 1,765,010 | $ | 1,248,674 | $ | 11,693,423 | ||||||||||
Foreign Cash (Cost $0, $0, $865, $0, $0) | — | — | 865 | — | — | |||||||||||||||
Receivable for securities sold | — | — | — | 13,065 | — | |||||||||||||||
Receivable for fund shares sold | 4 | 195 | 3 | 3 | — | |||||||||||||||
Interest and dividends receivable | 26,225 | 101,577 | 16,076 | 1,814 | 18,723 | |||||||||||||||
Prepaid expenses and other assets | 6,088 | 12,164 | 2,680 | 701 | 9,302 | |||||||||||||||
Total Assets | 12,316,920 | 40,379,224 | 1,784,634 | 1,264,257 | 11,721,448 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Payable for fund shares redeemed | 2,263 | 13,688 | — | — | 446 | |||||||||||||||
Payable to manager | 13,501 | 43,702 | 7,481 | 6,439 | 11,818 | |||||||||||||||
Administration fees payable | 13,616 | 42,392 | 1,663 | 904 | 15,145 | |||||||||||||||
Custody fees payable | 52 | — | 1,918 | 1,012 | 810 | |||||||||||||||
Trustee fees payable | 2,903 | 4,449 | — | 67 | 4,564 | |||||||||||||||
Compliance officer fees payable | 5,229 | 4,045 | 1,551 | 506 | 10,023 | |||||||||||||||
Payable for distribution (12b-1) fees | 4,662 | 9,973 | 92 | 80 | 8,026 | |||||||||||||||
Dividend Payable | 60 | — | 105 | 84 | — | |||||||||||||||
Accrued expenses and other liabilities | 28,444 | 51,917 | 4,729 | 6,712 | 47,403 | |||||||||||||||
Total Liabilities | 70,730 | 170,166 | 17,539 | 15,804 | 98,235 | |||||||||||||||
Net Assets | $ | 12,246,190 | $ | 40,209,058 | $ | 1,767,095 | $ | 1,248,453 | $ | 11,623,213 | ||||||||||
Net Assets: | ||||||||||||||||||||
Par value of shares of beneficial interest | $ | 5,951 | $ | 19,619 | $ | 1,442 | $ | 1,330 | $ | 12,589 | ||||||||||
Paid in capital | 8,928,316 | 11,852,426 | 2,582,698 | 837,670 | 11,968,468 | |||||||||||||||
Accumulated earnings (loss) | 3,311,923 | 28,337,013 | (817,045 | ) | 409,453 | (357,844 | ) | |||||||||||||
Net Assets | $ | 12,246,190 | $ | 40,209,058 | $ | 1,767,095 | $ | 1,248,453 | $ | 11,623,213 | ||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 6,793,933 | $ | 22,533,088 | $ | 1,522,881 | $ | 1,044,002 | $ | 11,436,465 | ||||||||||
Shares of beneficial interest outstanding | 300,619 | 981,989 | 122,472 | 109,150 | 1,238,460 | |||||||||||||||
Net asset value, redemption price and offering price per share | $ | 22.60 | $ | 22.95 | $ | 12.43 | $ | 9.56 | $ | 9.23 | ||||||||||
Class A | ||||||||||||||||||||
Net Assets | $ | 4,820,695 | $ | 13,788,616 | $ | 237,222 | $ | 204,436 | $ | 151,386 | ||||||||||
Shares of beneficial interest outstanding | 249,140 | 701,674 | 20,998 | 23,846 | 16,551 | |||||||||||||||
Net asset value, redemption price per share | $ | 19.35 | $ | 19.65 | $ | 11.30 | $ | 8.57 | $ | 9.15 | ||||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 20.53 | $ | 20.85 | $ | 11.99 | $ | 9.09 | $ | 9.71 | ||||||||||
Class C | ||||||||||||||||||||
Net Assets | $ | 631,562 | $ | 3,887,354 | $ | 6,992 | $ | 15 | $ | 35,362 | ||||||||||
Shares of beneficial interest outstanding | 45,319 | 278,200 | 757 | 2 | 3,920 | |||||||||||||||
Net asset value, offering price per share (a) | $ | 13.94 | $ | 13.97 | $ | 9.24 | $ | 7.41 | (b) | $ | 9.02 |
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding |
85
STATEMENTS OF ASSETS AND LIABILITIES |
August 31, 2022 |
Aggressive | Conservative | Moderate | ||||||||||||||||||
Municipal | U.S. Government | Balanced | Balanced | Balanced | ||||||||||||||||
Bond | Money Market | Allocation | Allocation | Allocation | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in Affiliates, at cost | $ | — | $ | — | $ | 516,292 | $ | 900,009 | $ | 863,792 | ||||||||||
Investments in securities, at cost | 723,341 | 5,313,079 | 440,590 | 1,820,174 | 816,886 | |||||||||||||||
Total Investments, at cost | $ | 723,341 | $ | 5,313,079 | $ | 956,882 | $ | 2,720,183 | $ | 1,680,678 | ||||||||||
Investments Affiliates, at value | $ | — | $ | — | $ | 494,289 | $ | 852,232 | $ | 850,322 | ||||||||||
Investments in securities, at value | 710,614 | 5,313,079 | 432,641 | 1,779,768 | 802,406 | |||||||||||||||
Total Investments, at value | $ | 710,614 | $ | 5,313,079 | $ | 926,930 | $ | 2,632,000 | $ | 1,652,728 | ||||||||||
Cash | 9 | — | — | — | — | |||||||||||||||
Receivable for fund shares sold | — | — | — | — | — | |||||||||||||||
Interest and dividends receivable | 389 | 20,991 | 172 | 1,297 | 740 | |||||||||||||||
Receivable from manager | — | 14,708 | — | — | — | |||||||||||||||
Prepaid expenses and other assets | 3,406 | 820 | 1,727 | 201 | 1,216 | |||||||||||||||
Total Assets | 714,418 | 5,349,598 | 928,829 | 2,633,498 | 1,654,684 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Payable for fund shares redeemed | — | 160 | — | — | — | |||||||||||||||
Payable to manager | 2,658 | — | 2,129 | 5,156 | 3,147 | |||||||||||||||
Administration fees payable | 811 | 1,673 | 807 | 2,594 | 1,709 | |||||||||||||||
Custody fees payable | 1,268 | 374 | 192 | 273 | 230 | |||||||||||||||
Compliance officer fees payable | — | 1,016 | 215 | 381 | 360 | |||||||||||||||
Payable for distribution (12b-1) fees | 7,837 | — | 135 | 555 | 436 | |||||||||||||||
Distributions payable | — | — | — | — | — | |||||||||||||||
Accrued expenses and other liabilities | 515 | 5,960 | 1,022 | 2,775 | 1,732 | |||||||||||||||
Total Liabilities | 13,089 | 9,183 | 4,500 | 11,734 | 7,614 | |||||||||||||||
Net Assets | $ | 701,329 | $ | 5,340,415 | $ | 924,329 | $ | 2,621,764 | $ | 1,647,070 | ||||||||||
Net Assets: | ||||||||||||||||||||
Par value of shares of beneficial interest | $ | 805 | $ | 53,522 | $ | 891 | $ | 2,527 | $ | 1,537 | ||||||||||
Paid in capital | 735,181 | 5,286,545 | 898,991 | 2,603,474 | 1,594,743 | |||||||||||||||
Accumulated earnings (loss) | (34,657 | ) | 348 | 24,447 | 15,763 | 50,790 | ||||||||||||||
Net Assets | $ | 701,329 | $ | 5,340,415 | $ | 924,329 | $ | 2,621,764 | $ | 1,647,070 | ||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 614,770 | $ | 5,107,995 | $ | 772,512 | $ | 1,960,484 | $ | 1,133,504 | ||||||||||
Shares of beneficial interest outstanding | 70,452 | 5,120,416 | 74,366 | 188,354 | 105,446 | |||||||||||||||
Net asset value, redemption price and offering price per share | $ | 8.73 | $ | 1.00 | $ | 10.39 | $ | 10.41 | $ | 10.75 | ||||||||||
Class A | ||||||||||||||||||||
Net Assets | $ | 65,033 | $ | 138,744 | $ | 12 | $ | 35,532 | $ | 16,162 | ||||||||||
Shares of beneficial interest outstanding | 7,567 | 138,491 | 1 | 3,420 | 1,507 | |||||||||||||||
Net asset value, redemption price per share | $ | 8.59 | $ | 1.00 | $ | 10.34 | (b) | $ | 10.39 | $ | 10.72 | |||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 9.11 | $ | 1.06 | $ | 10.97 | $ | 11.02 | $ | 11.37 | ||||||||||
Class C | ||||||||||||||||||||
Net Assets | $ | 21,526 | $ | 93,676 | $ | 151,805 | $ | 625,748 | $ | 497,404 | ||||||||||
Shares of beneficial interest outstanding | 2,504 | 93,327 | 14,736 | 60,931 | 46,779 | |||||||||||||||
Net asset value, offering price per share (a) | $ | 8.60 | $ | 1.00 | $ | 10.30 | $ | 10.27 | $ | 10.63 | ||||||||||
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding. |
86
STATEMENTS OF ASSETS AND LIABILITIES |
August 31, 2022 |
Moderately | Moderately | |||||||
Aggressive Balanced | Conservative | |||||||
Allocation | Balanced Allocation | |||||||
Portfolio | Portfolio | |||||||
Assets: | ||||||||
Investments in Affiliates, at cost | $ | 470,306 | $ | 293,796 | ||||
Investments in Unaffilated securities, at cost | 456,205 | 377,733 | ||||||
Total Investments, at cost | $ | 926,511 | $ | 671,529 | ||||
Investments Affiliates, at value | $ | 459,954 | $ | 284,649 | ||||
Investments in Unaffiated securities, at value | 448,805 | 367,082 | ||||||
Total Investments, at value | $ | 908,759 | $ | 651,731 | ||||
Interest and dividends receivable | 207 | 229 | ||||||
Prepaid expenses and other assets | 391 | 48 | ||||||
Total Assets | 909,357 | 652,008 | ||||||
Liabilities: | ||||||||
Payable to manager | 486 | 627 | ||||||
Administration fees payable | 700 | 567 | ||||||
Custody fees payable | 101 | 156 | ||||||
Compliance officer fees payable | 158 | 161 | ||||||
Payable for distribution (12b-1) fees | 177 | 134 | ||||||
Accrued expenses and other liabilities | 936 | 676 | ||||||
Total Liabilities | 2,558 | 2,321 | ||||||
Net Assets | $ | 906,799 | $ | 649,687 | ||||
Net Assets: | ||||||||
Par value of shares of beneficial interest | $ | 859 | $ | 655 | ||||
Paid in capital | 878,583 | 629,398 | ||||||
Accumulated earnings | 27,357 | 19,634 | ||||||
Net Assets | $ | 906,799 | $ | 649,687 | ||||
Net Asset Value Per Share | ||||||||
Class I | ||||||||
Net Assets | $ | 656,169 | $ | 495,136 | ||||
Shares of beneficial interest outstanding | 62,001 | 49,738 | ||||||
Net asset value, redemption price and offering price per share | $ | 10.58 | $ | 9.95 | ||||
Class A | ||||||||
Net Assets | $ | 63,240 | $ | 12 | ||||
Shares of beneficial interest outstanding | 6,000 | 1 | ||||||
Net asset value, redemption price per share | $ | 10.54 | $ | 9.95 | (b) | |||
Offering price per share (maximum sales charge of 5.75%) | $ | 11.18 | $ | 10.56 | ||||
Class C | ||||||||
Net Assets | $ | 187,390 | $ | 154,539 | ||||
Shares of beneficial interest outstanding | 17,884 | 15,808 | ||||||
Net asset value, offering price per share (a) | $ | 10.48 | $ | 9.78 |
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding |
87
STATEMENTS OF OPERATIONS |
For the Year Ended August 31, 2022
Large | Large | |||||||||||||||||||
Capitalization | Capitalization | Mid | Small | International | ||||||||||||||||
Value | Growth | Capitalization | Capitalization | Equity | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 133,207 | $ | 186,930 | $ | 195,941 | $ | 89,211 | $ | 147,713 | ||||||||||
Interest income | 11,962 | 1,299 | 4,299 | 1,398 | 239 | |||||||||||||||
Securities lending income - net | 349 | 457 | 2,943 | 939 | 956 | |||||||||||||||
Less: Foreign withholding taxes | (346 | ) | — | — | — | (24,676 | ) | |||||||||||||
Total Investment Income | 145,172 | 188,686 | 203,183 | 91,548 | 124,232 | |||||||||||||||
Operating Expenses: | ||||||||||||||||||||
Management fees | 125,030 | 179,674 | 89,911 | 41,845 | 27,470 | |||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||
Class A Shares | 1,441 | 4,879 | 6,205 | 260 | 243 | |||||||||||||||
Class C Shares | 1,210 | 23,470 | 1,467 | 40 | 94 | |||||||||||||||
Administration fees | 111,430 | 189,360 | 78,214 | 43,800 | 35,248 | |||||||||||||||
Professional fees | 31,432 | 43,648 | 24,472 | 16,571 | 12,089 | |||||||||||||||
Compliance officer fees | 14,713 | 8,272 | 7,246 | 2,698 | 2,533 | |||||||||||||||
Registration fees | 9,799 | 13,286 | 11,829 | 6,000 | 8,001 | |||||||||||||||
Custodian fees | 6,961 | 6,321 | 15,607 | 13,001 | 25,000 | |||||||||||||||
Trustees’ fees | 5,233 | 3,666 | 4,092 | 2,205 | 1,475 | |||||||||||||||
Printing and postage expense | 4,981 | 3,914 | 2,394 | 394 | 1,394 | |||||||||||||||
Shareholder servicing fees | 1,838 | 5,577 | 3,044 | 2,576 | 434 | |||||||||||||||
Insurance expense | 1,537 | 2,091 | 1,460 | 789 | 526 | |||||||||||||||
Miscellaneous expenses | 5,164 | 4,964 | 3,099 | 2,499 | 4,187 | |||||||||||||||
Total Operating Expenses | 320,769 | 489,122 | 249,040 | 132,678 | 118,694 | |||||||||||||||
Less: Expenses waived and/or reimbursed | — | — | — | — | (12,272 | ) | ||||||||||||||
Net Operating Expenses | 320,769 | 489,122 | 249,040 | 132,678 | 106,422 | |||||||||||||||
Net Investment Income (Loss) | (175,597 | ) | (300,436 | ) | (45,857 | ) | (41,130 | ) | 17,810 | |||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investments and Foreign currency transactions | 2,271,820 | 2,414,678 | 654,914 | 586,336 | (34,722 | ) | ||||||||||||||
Net Realized Gain (Loss) | 2,271,820 | 2,414,678 | 654,914 | 586,336 | (34,722 | ) | ||||||||||||||
Net change in unrealized depreciation on Investments and Foreign currency translations | (2,240,901 | ) | (7,058,931 | ) | (1,862,137 | ) | (1,080,060 | ) | (927,795 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on investments | 30,919 | (4,644,253 | ) | (1,207,223 | ) | (493,724 | ) | (962,517 | ) | |||||||||||
Net Decrease in Net Assets Resulting From Operations | $ | (144,678 | ) | $ | (4,944,689 | ) | $ | (1,253,080 | ) | $ | (534,854 | ) | $ | (944,707 | ) |
88
STATEMENTS OF OPERATIONS |
For the Year Ended August 31, 2022 |
Investment | ||||||||||||||||||||
Health & | Technology & | Energy & Basic | Financial | Quality | ||||||||||||||||
Biotechnology | Communications | Materials | Services | Bond | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 182,056 | $ | 564,451 | $ | 102,473 | $ | 40,151 | $ | 91,326 | ||||||||||
Interest income | 2,008 | 1,974 | 188 | 94 | 2,529 | |||||||||||||||
Securities lending income - net | 980 | 12,410 | — | — | — | |||||||||||||||
Less: Foreign withholding taxes | 669 | — | (5,264 | ) | (110 | ) | — | |||||||||||||
Total Investment Income | 185,713 | 578,835 | 97,397 | 40,135 | 93,855 | |||||||||||||||
Operating Expenses: | ||||||||||||||||||||
Management fees | 160,719 | 656,719 | 20,987 | 19,509 | 65,254 | |||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||
Class A Shares | 20,466 | 67,057 | 692 | 944 | 610 | |||||||||||||||
Class C Shares | 6,755 | 69,073 | 68 | — | 361 | |||||||||||||||
Administration fees | 82,815 | 321,014 | 12,189 | 10,284 | 76,981 | |||||||||||||||
Professional fees | 28,417 | 64,879 | 4,278 | 5,793 | 48,841 | |||||||||||||||
Registration fees | 19,070 | 29,407 | 5,749 | 6,398 | 3,285 | |||||||||||||||
Shareholder servicing fees | 7,501 | 29,424 | 80 | 350 | 1,792 | |||||||||||||||
Compliance officer fees | 7,384 | 3,600 | 1,803 | 2,555 | 11,961 | |||||||||||||||
Trustees’ fees | 4,296 | 9,092 | 442 | 577 | 6,534 | |||||||||||||||
Printing and postage expense | 2,785 | 4,424 | 697 | 697 | 3,000 | |||||||||||||||
Custodian fees | 2,394 | 9,211 | 4,501 | 2,935 | 3,000 | |||||||||||||||
Insurance expense | 1,537 | 6,820 | 157 | 204 | 1,402 | |||||||||||||||
Miscellaneous expenses | 4,186 | 2,058 | 2,686 | 2,099 | 4,187 | |||||||||||||||
Total Operating Expenses | 348,325 | 1,272,778 | 54,329 | 52,345 | 227,208 | |||||||||||||||
Less: Expenses waived | — | — | (3,323 | ) | (4,609 | ) | (843 | ) | ||||||||||||
Net Operating Expenses | 348,325 | 1,272,778 | 51,006 | 47,736 | 226,365 | |||||||||||||||
Net Investment Income (Loss) | (162,612 | ) | (693,943 | ) | 46,391 | (7,601 | ) | (132,510 | ) | |||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investments and Foreign currency transactions | 780,400 | 6,914,320 | 39,051 | 50,524 | (6,949 | ) | ||||||||||||||
Distribution of realized gains by underlying investment companies | — | — | — | — | 3,267 | |||||||||||||||
Net realized gain (loss) | 780,400 | 6,914,320 | 39,051 | 50,524 | (3,682 | ) | ||||||||||||||
Net change in unrealized appreciation (depreciation) on Investments and Foreign currency transactions | (1,595,366 | ) | (22,277,865 | ) | 123,493 | (284,403 | ) | (265,599 | ) | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (814,966 | ) | (15,363,545 | ) | 162,544 | (233,879 | ) | (269,281 | ) | |||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (977,578 | ) | $ | (16,057,488 | ) | $ | 208,935 | $ | (241,480 | ) | $ | (401,791 | ) |
89
STATEMENTS OF OPERATIONS |
For the Year Ended August 31, 2022 |
Aggressive | Conservative | Moderate | ||||||||||||||||||
Municipal | U.S. Government | Balanced | Balanced | Balanced | ||||||||||||||||
Bond | Money Market | Allocation | Allocation | Allocation | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 3,800 | $ | — | $ | 9,114 | $ | 17,831 | $ | 11,794 | ||||||||||
Interest income | 93 | 26,382 | 346 | 2,686 | 834 | |||||||||||||||
Dividend income from Affiliates | — | — | 28,993 | 79,419 | 54,586 | |||||||||||||||
Total Investment Income | 3,893 | 26,382 | 38,453 | 99,936 | 67,214 | |||||||||||||||
Operating Expenses: | ||||||||||||||||||||
Management fees | 4,563 | 26,855 | 8,896 | 24,345 | 15,468 | |||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||
Class A Shares | 288 | 799 | 3 | 93 | 103 | |||||||||||||||
Class C Shares | 299 | 909 | 1,745 | 6,544 | 5,161 | |||||||||||||||
Administration fees | 5,260 | 5,140 | 6,490 | 16,486 | 10,923 | |||||||||||||||
Professional fees | 3,176 | 5,262 | 1,530 | 4,449 | 2,815 | |||||||||||||||
Registration fees | 1,544 | 7,016 | 721 | 2,631 | 2,015 | |||||||||||||||
Custodian fees | 1,299 | 1,789 | 854 | 1,230 | 891 | |||||||||||||||
Printing and postage expense | 748 | 1,692 | 86 | 335 | 395 | |||||||||||||||
Compliance officer fees | 500 | 2,347 | 366 | 1,211 | 726 | |||||||||||||||
Trustees’ fees | 292 | — | 279 | 742 | 476 | |||||||||||||||
Shareholder servicing fees | 201 | 172 | 307 | 18 | 55 | |||||||||||||||
Insurance expense | 102 | 494 | 77 | 219 | 139 | |||||||||||||||
Miscellaneous expenses | 3,665 | 1,986 | 2,436 | 2,651 | 2,521 | |||||||||||||||
Total Operating Expenses | 21,937 | 54,461 | 23,790 | 60,954 | 41,688 | |||||||||||||||
Less: Expenses waived and/or reimbursed | (5,596 | ) | (27,277 | ) | (12,260 | ) | (27,543 | ) | (19,364 | ) | ||||||||||
Less: Fee waived by distributor | — | (1,708 | ) | — | — | — | ||||||||||||||
Net Operating Expenses | 16,341 | 25,476 | 11,530 | 33,411 | 22,324 | |||||||||||||||
Net Investment Income (Loss) | (12,448 | ) | 906 | 26,923 | 66,525 | 44,890 | ||||||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investments | (2,141 | ) | — | 638 | (898 | ) | (34 | ) | ||||||||||||
Affiliated Investments | — | — | 1,434 | (12,633 | ) | (352 | ) | |||||||||||||
Distribution of realized gains by underlying: | ||||||||||||||||||||
Investment Companies | — | — | 7 | 54 | 25 | |||||||||||||||
Affiliated Investment Companies | — | — | 54,862 | 137,568 | 99,373 | |||||||||||||||
Net realized gain (loss) | (2,141 | ) | — | 56,941 | 124,091 | 99,012 | ||||||||||||||
Net change in unrealized depreciation on: | ||||||||||||||||||||
Affiliated Investments | — | — | (129,967 | ) | (318,749 | ) | (233,004 | ) | ||||||||||||
Investments | (12,686 | ) | — | (47,464 | ) | (56,199 | ) | (47,676 | ) | |||||||||||
Net change in unrealized depreciation | (12,686 | ) | — | (177,431 | ) | (374,948 | ) | (280,680 | ) | |||||||||||
Net Realized and Unrealized Loss on Investments | (14,827 | ) | — | (120,490 | ) | (250,857 | ) | (181,668 | ) | |||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (27,275 | ) | $ | 906 | $ | (93,567 | ) | $ | (184,332 | ) | $ | (136,778 | ) |
90
STATEMENTS OF OPERATIONS |
For the Year Ended August 31, 2022 |
Moderately | Moderately | |||||||
Aggressive Balanced | Conservative | |||||||
Allocation | Balanced Allocation | |||||||
Portfolio | Portfolio | |||||||
Investment Income: | ||||||||
Dividend income | $ | 7,186 | $ | 5,527 | ||||
Interest income | 457 | 360 | ||||||
Dividend income from Affiliates | 28,066 | 22,148 | ||||||
Total Investment Income | 35,709 | 28,035 | ||||||
Operating Expenses: | ||||||||
Management fees | 8,318 | 6,455 | ||||||
Distribution (12b-1) fees | ||||||||
Class A Shares | 137 | — | ||||||
Class C Shares | 1,959 | 1,620 | ||||||
Administration fees | 6,397 | 5,265 | ||||||
Printing and postage expense | 242 | — | ||||||
Custodian fees | 509 | 658 | ||||||
Registration fees | 737 | 1,538 | ||||||
Professional fees | 1,579 | 1,233 | ||||||
Compliance officer fees | 350 | 313 | ||||||
Trustees’ fees | 261 | 199 | ||||||
Shareholder servicing fees | 7 | — | ||||||
Insurance expense | 70 | 59 | ||||||
Miscellaneous expenses | 2,436 | 2,205 | ||||||
Total Operating Expenses | 23,002 | 19,545 | ||||||
Less: Expenses waived and/or reimbursed | (11,730 | ) | (10,829 | ) | ||||
Net Operating Expenses | 11,272 | 8,716 | ||||||
Net Investment Income | 24,437 | 19,319 | ||||||
Realized and Unrealized Gain on Investments: | ||||||||
Net realized gain from: | ||||||||
Investments | — | 1,684 | ||||||
Affiliated Investments | — | 3,288 | ||||||
Distribution of realized gains by underlying: | ||||||||
Investment Companies | 11 | 13 | ||||||
Affiliated Investment Companies | 51,934 | 38,868 | ||||||
Net realized gain | 51,945 | 43,853 | ||||||
Net change in unrealized appreciation on: | ||||||||
Investments | (34,176 | ) | (25,129 | ) | ||||
Affiliated Investments | (121,971 | ) | (90,367 | ) | ||||
Net change in unrealized appreciation | ||||||||
Net change in unrealized appreciation | (156,147 | ) | (115,496 | ) | ||||
Net Realized and Unrealized Gain on Investments | (104,202 | ) | (71,643 | ) | ||||
Net Increase in Net Assets Resulting From Operations | $ | (79,765 | ) | $ | (52,324 | ) |
91
STATEMENTS OF CHANGES IN NET ASSETS |
Large Capitalization Value | Large Capitalization Growth | Mid Capitalization | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment loss | $ | (175,597 | ) | $ | (114,918 | ) | $ | (300,436 | ) | $ | (194,772 | ) | $ | (45,857 | ) | $ | (30,160 | ) | ||||||
Net realized gain on investments | 2,271,820 | 4,011,125 | 2,414,678 | 6,927,660 | 654,914 | 1,637,562 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (2,240,901 | ) | 1,860,508 | (7,058,931 | ) | 1,160,216 | (1,862,137 | ) | 2,159,175 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | (144,678 | ) | 5,756,715 | (4,944,689 | ) | 7,893,104 | (1,253,080 | ) | 3,766,577 | |||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (3,674,554 | ) | — | (4,975,376 | ) | (2,327,697 | ) | (1,378,401 | ) | (754,964 | ) | |||||||||||||
Class A | (80,177 | ) | — | (281,806 | ) | (120,213 | ) | (240,355 | ) | (129,740 | ) | |||||||||||||
Class C | (29,151 | ) | — | (953,439 | ) | (377,270 | ) | (30,769 | ) | (17,823 | ) | |||||||||||||
Return of Capital | ||||||||||||||||||||||||
Class I | — | — | (347,446 | ) | — | — | — | |||||||||||||||||
Class A | — | — | (19,679 | ) | — | — | — | |||||||||||||||||
Class C | — | — | (66,582 | ) | — | — | — | |||||||||||||||||
Total Dividends and Distributions to Shareholders | (3,783,882 | ) | — | (6,644,328 | ) | (2,825,180 | ) | (1,649,525 | ) | (902,527 | ) | |||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 3,257,933 | 3,628,345 | 1,881,802 | 1,944,919 | 406,493 | 990,739 | ||||||||||||||||||
Class A | 82,321 | 2,500 | 200,477 | 76,296 | 59,384 | 9,669 | ||||||||||||||||||
Class C | 5,405 | 47,222 | 4,655 | 43,118 | 3,782 | 3,671 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 3,441,478 | — | 4,849,242 | 2,107,325 | 1,286,038 | 703,634 | ||||||||||||||||||
Class A | 76,371 | — | 294,392 | 117,708 | 234,887 | 127,091 | ||||||||||||||||||
Class C | 29,094 | — | 1,001,805 | 368,539 | 13,713 | 8,094 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (2,164,716 | ) | (2,504,892 | ) | (3,305,158 | ) | (9,747,525 | ) | (673,918 | ) | (1,361,432 | ) | ||||||||||||
Class A | (158,894 | ) | (18,980 | ) | (287,870 | ) | (263,314 | ) | (244,493 | ) | (96,286 | ) | ||||||||||||
Class C | (8,057 | ) | (74,906 | ) | (510,815 | ) | (573,861 | ) | (27,460 | ) | (8,735 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 4,560,935 | 1,079,289 | 4,128,530 | (5,926,795 | ) | 1,058,426 | 376,445 | |||||||||||||||||
Total Increase (Decrease) in Net Assets | 632,375 | 6,836,004 | (7,460,487 | ) | (858,871 | ) | (1,844,179 | ) | 3,240,495 | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 19,555,657 | 12,719,653 | 31,291,717 | 32,150,588 | 12,807,625 | 9,567,130 | ||||||||||||||||||
End of year | $ | 20,188,032 | $ | 19,555,657 | $ | 23,831,230 | $ | 31,291,717 | $ | 10,963,446 | $ | 12,807,625 |
92
STATEMENTS OF CHANGES IN NET ASSETS |
Small Capitalization | International Equity | Health & Biotechnology | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (41,130 | ) | $ | (40,553 | ) | $ | 17,810 | $ | 28,664 | $ | (162,612 | ) | $ | (116,005 | ) | ||||||||
Net realized gain (loss) on investments and foreign currency transactions | 586,336 | 2,165,985 | (34,722 | ) | 459,761 | 780,400 | 663,424 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions | (1,080,060 | ) | 350,542 | (927,795 | ) | 845,463 | (1,595,366 | ) | 2,062,305 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | (534,854 | ) | 2,475,974 | (944,707 | ) | 1,333,888 | (977,578 | ) | 2,609,724 | |||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (1,399,513 | ) | — | (17,024 | ) | (71,813 | ) | (225,964 | ) | (748,517 | ) | |||||||||||||
Class A | (16,646 | ) | — | — | (564 | ) | (194,237 | ) | (619,728 | ) | ||||||||||||||
Class C | (1,601 | ) | — | (28 | ) | — | (34,723 | ) | (113,339 | ) | ||||||||||||||
Total Dividends and Distributions to Shareholders | (1,417,760 | ) | — | (17,052 | ) | (72,377 | ) | (454,924 | ) | (1,481,584 | ) | |||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 781,646 | 637,835 | 349,181 | 740,397 | 572,190 | 662,888 | ||||||||||||||||||
Class A | — | 812 | 342 | 333 | 106,461 | 38,640 | ||||||||||||||||||
Class C | 2,125 | 2,062 | 1,436 | 8,869 | 3,600 | 5,600 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 1,287,014 | — | 15,533 | 66,588 | 213,457 | 704,772 | ||||||||||||||||||
Class A | 16,303 | — | — | 556 | 183,321 | 581,914 | ||||||||||||||||||
Class C | 1,564 | — | 28 | — | 33,363 | 108,888 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (878,995 | ) | (1,819,410 | ) | (1,033,188 | ) | (3,891,680 | ) | (794,718 | ) | (1,251,390 | ) | ||||||||||||
Class A | (10,911 | ) | (5,355 | ) | (54,731 | ) | (180,106 | ) | (356,886 | ) | (842,809 | ) | ||||||||||||
Class C | (5 | ) | (1,034 | ) | — | (374 | ) | (37,330 | ) | (159,205 | ) | |||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 1,198,741 | (1,185,090 | ) | (721,399 | ) | (3,255,417 | ) | (76,542 | ) | (150,702 | ) | |||||||||||||
Total Increase (Decrease) in Net Assets | (753,873 | ) | 1,290,884 | (1,683,158 | ) | (1,993,906 | ) | (1,509,044 | ) | 977,438 | ||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 6,706,531 | 5,415,647 | 4,536,306 | 6,530,212 | 13,755,234 | 12,777,796 | ||||||||||||||||||
End of year | $ | 5,952,658 | $ | 6,706,531 | $ | 2,853,148 | $ | 4,536,306 | $ | 12,246,190 | $ | 13,755,234 |
93
STATEMENTS OF CHANGES IN NET ASSETS |
Technology & Communications | Energy & Basic Materials | Financial Services | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (693,943 | ) | $ | (899,475 | ) | $ | 46,391 | $ | 14,976 | $ | (7,601 | ) | $ | (5,820 | ) | ||||||||
Net realized gain (loss) on investments and foreign currency transactions | 6,914,320 | 9,832,876 | 39,051 | (53,595 | ) | 50,524 | 84,670 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions | (22,277,865 | ) | 4,021,084 | 123,493 | 294,852 | (284,403 | ) | 508,795 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (16,057,488 | ) | 12,954,485 | 208,935 | 256,233 | (241,480 | ) | 587,645 | ||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (3,661,327 | ) | (3,614,187 | ) | (14,413 | ) | (15,098 | ) | (64,974 | ) | (38,252 | ) | ||||||||||||
Class A | (2,390,759 | ) | (2,357,418 | ) | (764 | ) | (1,326 | ) | (12,021 | ) | (7,790 | ) | ||||||||||||
Class C | (1,434,203 | ) | (1,589,787 | ) | (32 | ) | (59 | ) | (1 | ) | (5 | ) | ||||||||||||
Total Dividends and Distributions to Shareholders | (7,486,289 | ) | (7,561,392 | ) | (15,209 | ) | (16,483 | ) | (76,996 | ) | (46,047 | ) | ||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 1,442,127 | 3,049,924 | 672,606 | 582,944 | 329,190 | 506,202 | ||||||||||||||||||
Class A | 1,119,873 | 847,818 | 138,576 | 4,188 | — | 48,645 | ||||||||||||||||||
Class C | 27,640 | 100,587 | 1,275 | — | — | — | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 3,351,958 | 3,305,200 | 14,282 | 14,886 | 64,059 | 37,289 | ||||||||||||||||||
Class A | 2,262,107 | 2,207,612 | 735 | 1,277 | 10,901 | 7,123 | ||||||||||||||||||
Class C | 1,405,624 | 1,549,461 | 32 | 58 | 1 | 5 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (5,550,304 | ) | (6,838,473 | ) | (451,944 | ) | (644,855 | ) | (445,231 | ) | (582,895 | ) | ||||||||||||
Class A | (2,248,929 | ) | (3,605,212 | ) | (11,520 | ) | (37,434 | ) | (9,225 | ) | (7,498 | ) | ||||||||||||
Class C | (3,619,617 | ) | (2,273,067 | ) | (1,245 | ) | (50 | ) | — | (113 | ) | |||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (1,809,521 | ) | (1,656,150 | ) | 362,797 | (78,986 | ) | (50,305 | ) | 8,758 | ||||||||||||||
Total Increase (Decrease) in Net Assets | (25,353,298 | ) | 3,736,943 | 556,523 | 160,764 | (368,781 | ) | 550,356 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 65,562,356 | 61,825,413 | 1,210,572 | 1,049,808 | 1,617,234 | 1,066,878 | ||||||||||||||||||
End of year | $ | 40,209,058 | $ | 65,562,356 | $ | 1,767,095 | $ | 1,210,572 | $ | 1,248,453 | $ | 1,617,234 |
94
STATEMENTS OF CHANGES IN NET ASSETS |
Investment Quality Bond | Municipal Bond | U.S. Government Money Market | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (132,510 | ) | $ | (50,881 | ) | $ | (12,448 | ) | $ | (7,392 | ) | $ | 906 | $ | 414 | ||||||||
Net realized gain (loss) on investments | (6,949 | ) | 187,843 | (2,141 | ) | 11,199 | — | — | ||||||||||||||||
Distribution of realized gains by underlying investment companies | 3,267 | — | — | — | — | — | ||||||||||||||||||
Net change in unrealized depreciation on investments | (265,599 | ) | (215,453 | ) | (12,686 | ) | (10,610 | ) | — | — | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (401,791 | ) | (78,491 | ) | (27,275 | ) | (6,803 | ) | 906 | 414 | ||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (152,472 | ) | (12,407 | ) | — | — | (535 | ) | (1,113 | ) | ||||||||||||||
Class A | (2,014 | ) | (233 | ) | — | — | (20 | ) | (77 | ) | ||||||||||||||
Class C | (483 | ) | (46 | ) | — | — | (8 | ) | (35 | ) | ||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Class I | — | — | — | (429 | ) | — | — | |||||||||||||||||
Class A | — | — | — | (59 | ) | — | — | |||||||||||||||||
Class C | — | — | — | (26 | ) | — | — | |||||||||||||||||
Total Dividends and Distributions to Shareholders | (154,969 | ) | (12,686 | ) | — | (514 | ) | (563 | ) | (1,225 | ) | |||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 777,268 | 9,424,988 | 35,854 | 390,161 | 1,604,222 | 3,456,916 | ||||||||||||||||||
Class A | 5,854 | 46,610 | — | 1,036 | 841 | 36,789 | ||||||||||||||||||
Class C | — | — | 1,359 | 1,360 | 17,054 | 167,408 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 150,968 | 12,071 | — | 410 | 531 | 1,102 | ||||||||||||||||||
Class A | 1,993 | 228 | — | 59 | 19 | 76 | ||||||||||||||||||
Class C | 475 | 45 | — | 26 | 8 | 31 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (964,856 | ) | (1,673,988 | ) | (167,328 | ) | (121,948 | ) | (1,983,776 | ) | (3,180,632 | ) | ||||||||||||
Class A | (20,132 | ) | (15,057 | ) | (9,853 | ) | (668 | ) | (271,534 | ) | (17,140 | ) | ||||||||||||
Class C | — | (1,501 | ) | (13,603 | ) | (1,051 | ) | (28,529 | ) | (160,567 | ) | |||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (48,430 | ) | 7,793,396 | (153,571 | ) | 269,385 | (661,164 | ) | 303,983 | |||||||||||||||
Total Increase (Decrease) in Net Assets | (605,190 | ) | 7,702,219 | (180,846 | ) | 262,068 | (660,821 | ) | 303,172 | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 12,228,403 | 4,526,184 | 882,175 | 620,107 | 6,001,236 | 5,698,064 | ||||||||||||||||||
End of year | $ | 11,623,213 | $ | 12,228,403 | $ | 701,329 | $ | 882,175 | $ | 5,340,415 | $ | 6,001,236 |
95
STATEMENTS OF CHANGES IN NET ASSETS |
Aggressive Balanced | Conservative Balanced | Moderate Balanced | ||||||||||||||||||||||
Allocation Portfolio | Allocation Portfolio | Allocation Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 26,923 | $ | (1,394 | ) | $ | 66,525 | $ | (12,014 | ) | $ | 44,890 | $ | (6,803 | ) | |||||||||
Net realized gain (loss) on investments | 2,072 | 37,120 | (13,531 | ) | 96,901 | (386 | ) | 41,053 | ||||||||||||||||
Distribution of realized gains by underlying affiliated investment companies | 54,869 | 32,830 | 137,622 | 63,630 | 99,398 | 54,826 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (177,431 | ) | 121,289 | (374,948 | ) | 174,956 | (280,680 | ) | 186,625 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | (93,567 | ) | 189,845 | (184,332 | ) | 323,473 | (136,778 | ) | 275,701 | |||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (74,884 | ) | (13,041 | ) | (151,581 | ) | (8,242 | ) | (90,465 | ) | (13,922 | ) | ||||||||||||
Class A | (1 | ) | — | (2,719 | ) | (78 | ) | (3,886 | ) | (412 | ) | |||||||||||||
Class C | (14,576 | ) | (1,883 | ) | (43,805 | ) | — | (36,027 | ) | (3,179 | ) | |||||||||||||
Total Dividends and Distributions to Shareholders | (89,461 | ) | (14,924 | ) | (198,105 | ) | (8,320 | ) | (130,378 | ) | (17,513 | ) | ||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 34,584 | 34,626 | 68,411 | 419,528 | 44,402 | 48,946 | ||||||||||||||||||
Class A | — | 4,900 | — | — | 1,131 | 13,386 | ||||||||||||||||||
Class C | 5,162 | 996 | 14,462 | 40,492 | 43,323 | 23,167 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 74,884 | 13,042 | 149,854 | 8,122 | 90,466 | 13,922 | ||||||||||||||||||
Class A | 1 | 0 | ^ | 2,720 | 78 | 3,886 | 412 | |||||||||||||||||
Class C | 14,576 | 1,882 | 43,805 | — | 36,027 | 3,178 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (28,382 | ) | (12,000 | ) | (24,149 | ) | (268,063 | ) | (8,550 | ) | (17,500 | ) | ||||||||||||
Class A | (5,322 | ) | (4,877 | ) | (50 | ) | — | (33,771 | ) | (2,135 | ) | |||||||||||||
Class C | (17,369 | ) | (39,413 | ) | (13,852 | ) | (35,897 | ) | (35,578 | ) | (72,609 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 78,134 | (844 | ) | 241,201 | 164,260 | 141,336 | 10,767 | |||||||||||||||||
Total Increase (Decrease) in Net Assets | (104,894 | ) | 174,077 | (141,236 | ) | 479,413 | (125,820 | ) | 268,955 | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 1,029,223 | 855,146 | 2,763,000 | 2,283,587 | 1,772,890 | 1,503,935 | ||||||||||||||||||
End of year | $ | 924,329 | $ | 1,029,223 | $ | 2,621,764 | $ | 2,763,000 | $ | 1,647,070 | $ | 1,772,890 |
^ | Less than $0.50 |
96
STATEMENTS OF CHANGES IN NET ASSETS |
Moderately Aggressive Balanced | Moderately Conservative Balanced | |||||||||||||||
Allocation Portfolio | Allocation Portfolio | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 24,437 | $ | (1,504 | ) | $ | 19,319 | $ | (2,192 | ) | ||||||
Net realized gain on investments | — | 25,190 | 4,972 | 34,195 | ||||||||||||
Distribution of realized gains by underlying affiliated and non affiliated investment companies | 51,945 | 27,724 | 38,881 | 24,998 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (156,147 | ) | 100,470 | (115,496 | ) | 67,100 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (79,765 | ) | 151,880 | (52,324 | ) | 124,101 | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
Total Distributions Paid: | ||||||||||||||||
Class I | (53,434 | ) | (9,999 | ) | (63,427 | ) | (8,874 | ) | ||||||||
Class A | (5,239 | ) | (229 | ) | (1 | ) | — | ^ | ||||||||
Class C | (13,273 | ) | (1,548 | ) | (16,396 | ) | (1,908 | ) | ||||||||
Total Dividends and Distributions to Shareholders | (71,946 | ) | (11,776 | ) | (79,824 | ) | (10,782 | ) | ||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||
Class I | 21,324 | 7,217 | 525 | 13,025 | ||||||||||||
Class A | 69,017 | — | — | — | ||||||||||||
Class C | 8,955 | 12,547 | 6,500 | 69,866 | ||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||
Class I | 53,434 | 9,999 | 56,212 | 8,009 | ||||||||||||
Class A | 5,239 | 229 | 1 | 0 | ^ | |||||||||||
Class C | 13,273 | 1,548 | 16,396 | 1,908 | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Class I | (2,626 | ) | (24 | ) | (77,504 | ) | (330,644 | ) | ||||||||
Class A | (12 | ) | (16,723 | ) | — | — | ||||||||||
Class C | (5,726 | ) | (2,839 | ) | (6,500 | ) | (7,434 | ) | ||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 162,878 | 11,954 | (4,370 | ) | (245,270 | ) | ||||||||||
Total Increase (Decrease) in Net Assets | 11,167 | 152,058 | (136,518 | ) | (131,951 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 895,632 | 743,574 | 786,205 | 918,156 | ||||||||||||
End of year | $ | 906,799 | $ | 895,632 | $ | 649,687 | $ | 786,205 |
^ | Less than $0.50 |
97
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 |
1. | ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES |
The Saratoga Advantage Trust (the “Trust”) was organized on April 8, 1994, as a Delaware Statutory Trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Trust commenced investment operations on September 2, 1994. The Trust currently consists of seventeen series. These financial statements include the following seventeen series: the Large Capitalization Value Portfolio; the Large Capitalization Growth Portfolio; the Mid Capitalization Portfolio; the Small Capitalization Portfolio; the International Equity Portfolio; the Health & Biotechnology Portfolio; the Technology & Communications Portfolio; the Energy & Basic Materials Portfolio; the Financial Services Portfolio; the Investment Quality Bond Portfolio; the Municipal Bond Portfolio; the U.S. Government Money Market Portfolio, Aggressive Balanced Allocation Portfolio, Conservative Balanced Allocation Portfolio, Moderate Balanced Allocation Portfolio, Moderately Aggressive Balanced Allocation Portfolio, and Moderately Conservative Balanced Allocation Portfolio, (collectively, the “Portfolios”). Saratoga Capital Management, LLC (the “Manager”) serves as the Trust’s Manager.
The following serve as advisers (the “Advisers”) to their respective Portfolio(s): M.D. Sass Investors Services, Inc. serves as Adviser to Large Capitalization Value; Smith Group Asset Management serves as Adviser to Large Capitalization Growth, Energy & Basic Materials, Financial Services and International Equity; Vaughan Nelson Investment Management, L.P. serves as Adviser to Mid Capitalization; Zacks Investment Management, Inc. serves as Adviser to Small Capitalization; Oak Associates, Ltd. serves as Adviser to Health & Biotechnology and Technology & Communications; Saratoga Capital Management, LLC serves as Adviser to U.S. Government Money Market, Investment Quality Bond, Municipal Bond, Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation. Ultimus Fund Solutions, LLC (the “Administrator”), serves the Trust as administrator, custody administrator, transfer agent and fund accounting agent. Northern Lights Distributors, LLC (“NLD” or the “Distributor”) is the Trust’s Distributor.
The Large Capitalization Value Portfolio, the Large Capitalization Growth Portfolio, the Mid Capitalization Portfolio, the Small Capitalization Portfolio, the International Equity Portfolio, the Health & Biotechnology Portfolio, the Technology & Communications Portfolio, the Energy & Basic Materials Portfolio, the Financial Services Portfolio, the Investment Quality Bond Portfolio, the Municipal Bond Portfolio, the U.S. Government Money Market Portfolio, Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderately Conservative Balanced Allocation, Moderate Balanced Allocation, and Moderately Aggressive Balanced Allocation are diversified portfolios.
Portfolio | Primary Objective | |
Large Capitalization Value | Total return consisting of capital appreciation and dividend income | |
Large Capitalization Growth | Capital appreciation | |
Mid Capitalization | Long-term capital appreciation | |
Small Capitalization | Maximum capital appreciation | |
International Equity | Long-term capital appreciation | |
Health & Biotechnology | Long-term capital growth | |
Technology & Communications | Long-term capital growth | |
Energy & Basic Materials | Long-term capital growth | |
Financial Services | Long-term capital growth | |
Investment Quality Bond | Current income and reasonable stability of principal | |
Municipal Bond | High level of interest income that is excluded from federal income taxation to the extent consistent with prudent investment management and the preservation of capital | |
U.S. Government Money Market | Maximum current income to the extent consistent with the maintenance of liquidity and the preservation of capital | |
Aggressive Balanced Allocation | Total return consisting of capital appreciation and income | |
Conservative Balanced Allocation | Total return consisting of capital appreciation and income | |
Moderate Balanced Allocation | Total return consisting of capital appreciation and income | |
Moderately Aggressive Balanced Allocation | Total return consisting of capital appreciation and income | |
Moderately Conservative Balanced Allocation | Total return consisting of capital appreciation and income |
Currently, all Portfolios offer Class A, Class C and Class I shares. Each class represents an interest in the same assets of the applicable Portfolio, and the classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans.
98
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
The following is a summary of significant accounting policies followed by the Portfolios in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Portfolio is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies” including FASB Accounting Standard Update ASU 2013-08.
(a) Valuation of Investments
Investment securities listed on a national securities exchange are valued at the last reported sale price on the valuation date. NASDAQ traded securities are valued at the NASDAQ Official Closing Price (NOCP). If there are no such reported sales, the securities are valued at the mean between current bid and ask. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees using methods which include current market quotations from a major market maker in the securities and trader-reviewed “matrix” prices. Short-term debt securities having a remaining maturity of sixty days or less may be valued at amortized cost or amortized value, which approximates market value. U.S. Government Money Market values all of its securities on the basis of amortized cost, which approximates market value. Options listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the last bid and ask price. Options not listed on a securities exchange or board of trade for which over-the-counter market quotations are readily available shall be valued at the mean of the current bid and asked prices. Futures are valued based on their daily settlement value. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. Any securities or other assets for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures established by the Board of Trustees. There is no single standard for determining the fair value of such securities. Rather, in determining the fair value of a security, the board-appointed Fair Valuation Committee shall take into account the relevant factors and surrounding circumstances, a few of which may include: (i) the nature and pricing history (if any) of the security; (ii) whether any dealer quotations for the security are available; and (iii) possible valuation methodologies that could be used to determine the fair value of a security. The International Equity Portfolio uses fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange. Foreign currency and Forward currency exchange contracts are valued daily at the London close each day. The ability of issuers of debt securities held by the portfolios to meet their obligations may be affected by economic or political developments in a specific state, industry or region. Investments in foreign countries may involve certain considerations and risks not typically associated with domestic investments, including, but not limited to, the possibility of future political and economic developments and the level of government supervision and regulation of foreign securities markets.
Valuation of Fund of Funds - The Funds may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based upon the methods established by the board of directors of the Underlying Funds. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by a Fund will not change.
The Portfolios utilize various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Portfolios have the ability to access.
Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Portfolios’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
99
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of August 31, 2022, for the Portfolios’ assets and liabilities measured at fair value:
Large Capitalization Value | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 18,553,485 | $ | — | $ | — | $ | 18,553,485 | ||||||||
Collateral for Securities Loaned | — | 209 | — | 209 | ||||||||||||
Short-Term Investment | 1,903,444 | — | — | 1,903,444 | ||||||||||||
Total | $ | 20,456,929 | $ | 209 | $ | — | $ | 20,457,138 | ||||||||
Large Capitalization Growth | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 23,670,292 | $ | — | $ | — | $ | 23,670,292 | ||||||||
Short-Term Investments | 219,972 | — | — | 219,972 | ||||||||||||
Total | $ | 23,890,264 | $ | — | $ | — | $ | 23,890,264 | ||||||||
Mid Capitalization | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 10,209,431 | $ | — | $ | — | $ | 10,209,431 | ||||||||
Collateral for Securities Loaned | — | 77 | — | 77 | ||||||||||||
Short-Term Investment | 794,108 | — | — | 794,108 | ||||||||||||
Total | $ | 11,003,539 | $ | 77 | $ | — | $ | 11,003,616 | ||||||||
Small Capitalization | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 5,651,747 | $ | — | $ | — | $ | 5,651,747 | ||||||||
Collateral for Securities Loaned | — | 96,300 | — | 96,300 | ||||||||||||
Short-Term Investment | 327,831 | — | — | 327,831 | ||||||||||||
Total | $ | 5,979,578 | $ | 96,300 | $ | — | $ | 6,075,878 |
100
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
International Equity | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 209,794 | $ | — | $ | 209,794 | ||||||||
Canada | 133,379 | — | — | 133,379 | ||||||||||||
China | — | 113,794 | — | 113,794 | ||||||||||||
Denmark | — | 72,700 | — | 72,700 | ||||||||||||
Finland | — | 77,716 | — | 77,716 | ||||||||||||
France | — | 116,421 | — | 116,421 | ||||||||||||
Germany | — | 252,578 | — | 252,578 | ||||||||||||
Hong Kong | — | 66,712 | — | 66,712 | ||||||||||||
Indonesia | — | 70,631 | — | 70,631 | ||||||||||||
Italy | — | 77,806 | — | 77,806 | ||||||||||||
Japan | — | 470,347 | — | 470,347 | ||||||||||||
Korea (Republic of) | — | 126,459 | — | 126,459 | ||||||||||||
Luxembourg | — | 54,630 | — | 54,630 | ||||||||||||
Mexico | 73,149 | — | — | 73,149 | ||||||||||||
Netherlands | — | 63,742 | — | 63,742 | ||||||||||||
South Africa | — | 66,297 | — | 66,297 | ||||||||||||
South Korea | — | 71,283 | — | 71,283 | ||||||||||||
Spain | — | 62,421 | — | 62,421 | ||||||||||||
Switzerland | — | 66,855 | — | 66,855 | ||||||||||||
Taiwan Province of China | — | 128,154 | — | 128,154 | ||||||||||||
Thailand | — | 83,819 | — | 83,819 | ||||||||||||
United Kingdom | — | 381,481 | — | 381,481 | ||||||||||||
Collateral for Securities Loaned | — | 64,581 | — | 64,581 | ||||||||||||
Short -Term Investment | 24,963 | — | — | 24,963 | ||||||||||||
Total | $ | 231,491 | $ | 2,698,221 | $ | — | $ | 2,929,712 | ||||||||
Health & Biotechnology | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 11,756,808 | $ | — | $ | — | $ | 11,756,808 | ||||||||
Short -Term Investment | 527,795 | — | — | 527,795 | ||||||||||||
Total | $ | 12,284,603 | $ | — | $ | — | $ | 12,284,603 | ||||||||
Technology & Communications | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 39,932,575 | $ | — | $ | — | $ | 39,932,575 | ||||||||
Short-Term Investment | 332,713 | — | — | 332,713 | ||||||||||||
Total | $ | 40,265,288 | $ | — | $ | — | $ | 40,265,288 | ||||||||
Energy & Basic Materials | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,734,989 | $ | — | $ | — | $ | 1,734,989 | ||||||||
Short-Term Investment | 30,021 | — | — | 30,021 | ||||||||||||
Total | $ | 1,765,010 | $ | — | $ | — | $ | 1,765,010 | ||||||||
Financial Services | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,242,099 | $ | — | $ | — | $ | 1,242,099 | ||||||||
Short-Term Investment | 6,575 | — | — | 6,575 | ||||||||||||
Total | $ | 1,248,674 | $ | — | $ | — | $ | 1,248,674 |
101
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
Investment Quality Bond | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open End Funds | $ | 11,052,622 | $ | — | $ | — | $ | 11,052,622 | ||||||||
Short-Term Investment | 640,801 | — | — | 640,801 | ||||||||||||
Total | $ | 11,693,423 | $ | — | $ | — | $ | 11,693,423 | ||||||||
Municipal Bond | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open End Funds | $ | 687,067 | $ | — | $ | — | $ | 687,067 | ||||||||
Short-Term Investment | 23,547 | — | — | 23,547 | ||||||||||||
Total | $ | 710,614 | $ | — | $ | — | $ | 710,614 | ||||||||
U.S. Government Money Market | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments | $ | 5,313,079 | $ | — | $ | — | $ | 5,313,079 | ||||||||
Total | $ | 5,313,079 | $ | — | $ | — | $ | 5,313,079 | ||||||||
Aggressive Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 863,738 | $ | — | $ | — | $ | 863,738 | ||||||||
Short-Term Investment | 63,192 | — | — | 63,192 | ||||||||||||
Total | $ | 926,930 | $ | — | $ | — | $ | 926,930 | ||||||||
Conservative Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 1,954,948 | $ | — | $ | — | $ | 1,954,948 | ||||||||
Short-Term Investment | 677,052 | — | — | 677,052 | ||||||||||||
Total | $ | 2,632,000 | $ | — | $ | — | $ | 2,632,000 | ||||||||
Moderate Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 1,486,991 | $ | — | $ | — | $ | 1,486,991 | ||||||||
Short-Term Investment | 165,737 | — | — | 165,737 | ||||||||||||
Total | $ | 1,652,728 | $ | — | $ | — | $ | 1,652,728 | ||||||||
Moderately Aggressive Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 815,154 | $ | — | $ | — | $ | 815,154 | ||||||||
Short-Term Investment | 93,605 | — | — | 93,605 | ||||||||||||
Total | $ | 908,759 | $ | — | $ | — | $ | 908,759 | ||||||||
Moderately Conservative Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 581,066 | $ | — | $ | — | $ | 581,066 | ||||||||
Short-Term Investment | 70,665 | — | — | 70,665 | ||||||||||||
Total | $ | 651,731 | $ | — | $ | — | $ | 651,731 |
The Funds did not hold any Level 3 securities during the period.
102
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
(b) Federal Income Tax
It is each Portfolio’s policy to continue to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Therefore, no federal income tax provision is required.
Capital loss carry forwards, as of each Portfolio’s most recent tax year-ended August 31, 2022, available to offset future capital gains, and utilized capital gains, if any, are as follows:
Non-Expiring | Non-Expiring | |||||||||||||||
Short-Term | Long-Term | CLCF Utilized | Total | |||||||||||||
Large Capitalization Value | $ | — | $ | — | $ | — | $ | — | ||||||||
Large Capitalization Growth | — | — | — | — | ||||||||||||
Mid Capitalization | — | — | — | — | ||||||||||||
Small Capitalization | — | — | — | — | ||||||||||||
International Equity | 2,321,286 | 221,586 | 76,112 | 2,542,872 | ||||||||||||
Health & Biotechnology | — | — | — | — | ||||||||||||
Technology & Communications | — | — | — | — | ||||||||||||
Energy & Basic Materials | 842,460 | 279,768 | 60,095 | 1,122,228 | ||||||||||||
Financial Services | — | — | — | — | ||||||||||||
Investment Quality Bond | 746 | — | — | 746 | ||||||||||||
Municipal Bond | 8,328 | 4,062 | — | 12,390 | ||||||||||||
U.S. Government Money Market | — | — | — | — | ||||||||||||
Aggressive Balanced Allocation | — | — | — | — | ||||||||||||
Conservative Balanced Allocation | — | — | — | — | ||||||||||||
Moderate Balanced Allocation | — | — | — | — | ||||||||||||
Moderately Aggressive Balanced Allocation | — | — | — | — | ||||||||||||
Moderately Conservative Balanced Allocation | — | — | — | — |
The Portfolios recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions taken on its 2019-2021 returns and expected to be taken in the Portfolios’ 2022 returns and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. The Portfolios identify its major tax jurisdictions as U.S. Federal, Arizona and foreign jurisdictions where the Portfolios make significant investments. The Portfolios recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year ended August 31, 2022, the Portfolios did not incur any interest or penalties.
(c) Security Transactions and Other Income
Security transactions are reflected for financial reporting purposes as of the trade date. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis including premium amortized and discount accreted. All paydown gains and losses are classified as interest income in the accompanying Statements of Operations in accordance with U.S. GAAP. Discounts and premiums on securities purchased are accreted and amortized, over the lives of the respective securities with a corresponding increase/decrease in the cost basis of that security using the yield to maturity method, or where applicable, the first call date of the security. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.
(d) Dividends and Distributions
The following table summarizes each Portfolio’s intended dividend and capital gain declaration policy:
Capital | ||||
Portfolio | Income Dividends | Gains | ||
Large Capitalization Value | Annually | Annually | ||
Large Capitalization Growth | Annually | Annually | ||
Mid Capitalization | Annually | Annually | ||
Small Capitalization | Annually | Annually | ||
International Equity | Annually | Annually | ||
Health & Biotechnology | Annually | Annually | ||
Technology & Communication | Annually | Annually |
103
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
Capital | ||||
Portfolio | Income Dividends | Gains | ||
Energy & Basic Materials | Annually | Annually | ||
Financial Services | Annually | Annually | ||
Investment Quality Bond | Monthly | Annually | ||
Municipal Bond | Monthly | Annually | ||
U.S. Government Money Market | Daily - paid monthly | Annually | ||
Aggressive Balanced Allocation | Annually | Annually | ||
Conservative Balanced Allocation | Annually | Annually | ||
Moderate Balanced Allocation | Annually | Annually | ||
Moderately Aggressive Balanced Allocation | Annually | Annually | ||
Moderately Conservative Balanced Allocation | Annually | Annually |
Each Portfolio records dividends and distributions to its shareholders on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book-tax” differences are either permanent or temporary in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the net asset accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as distributions of paid-in- surplus or tax return of capital. These reclassifications have no effect on net assets, results from operations or net asset value per share of each Portfolio.
(e) Allocation of Expenses
Expenses specifically attributable to a particular Portfolio are borne by that Portfolio. Other expenses are allocated to each Portfolio based on its net assets in relation to the total net assets of all the applicable Portfolios of the Trust or another reasonable basis. Each Fund’s income, expenses (other than the class specific distribution fees) and realized and unrealized gains and losses are allocated proportionally each day between the classes based upon the relative net assets of each class.
(f) Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Trust’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Trust may be delayed or limited.
(g) Indemnification
The Trust indemnifies its Officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Portfolios enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
(h) Other
The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Foreign currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
104
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the company’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
Market Disruptions Risk. The Portfolio is subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19), which can negatively impact the securities markets and cause the Portfolio to lose value.
The spread of COVID-19 has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Portfolios hold, and may adversely affect the Portfolios’ investments and operations. The transmission of COVID-19 and efforts to contain its spread have resulted in travel restrictions and disruptions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event and service cancellations or interruptions, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in the marketplace and the jobs market. The impact of COVID-19 could adversely affect the economies of many nations or the entire global economy, the financial well-being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways.
The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of the Portfolios’ securities or other assets. Such impacts may adversely affect the performance of the Portfolios.
2. | SECURITIES LENDING |
Under an agreement with the BNY Mellon Corp. (“BNY Mellon”), the Portfolios can lend their portfolio securities to brokers, dealers and other financial institutions approved by the Board of Trustees to earn additional income. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned plus accrued interest, which is invested in highly liquid, short-term instruments such as repurchase agreements collateralized by U.S. Government securities and money market funds in accordance with the Portfolios’ security lending procedures. A portion of the income generated by the investment in the collateral, net of any rebates paid by BNY Mellon to the borrowers, is remitted to BNY Mellon as lending agent, and the remainder is paid to the Portfolios. The Portfolios continue to receive interest or dividends on the securities loaned. The Portfolios have the right under the Master Securities Lending Agreement to recover the securities from the borrower on demand; if the borrower fails to deliver the securities on a timely basis, the Portfolios could experience delays or losses on recovery. Additionally, the Portfolios are subject to the risk of loss from investments made with the cash received as collateral. The Portfolios manage credit exposure arising from these lending transactions by, in appropriate circumstances, entering into master netting agreements and collateral agreements with third party borrowers that provide in the event of default (such as bankruptcy or a borrower’s failure to pay or perform), the right to net a third party borrower’s rights and obligations under such agreement and liquidate and set off collateral against the net amount owed by the counterparty.
At August 31, 2022, the following portfolios loaned securities and received U.S. Government securities and cash collateral for the loan. This cash was invested in repurchase agreements as shown in the Schedules of Investments. The aggregate market value of the collateral shown below includes non-cash U.S Treasury securities and is calculated based on prior day’s prices.
Market Value of | Market Value | Value of | ||||||||||
Portfolio | Loaned Securities | of Collateral | Non-cash Collateral | |||||||||
Large Capitalization Value | $ | 936,698 | $ | 962,083 | $ | 961,874 | ||||||
Large Capitalization Growth | 266,411 | 281,890 | 281,890 | |||||||||
Mid Capitalization | 142,339 | 149,524 | 149,447 | |||||||||
Small Capitalization | 354,163 | 362,712 | 266,412 | |||||||||
International Equity | 61,113 | 64,581 | — |
105
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
At August 31, 2022, the percentage of total investment income the Portfolios received from the investment of cash collateral retained by the lending agent, BNY Mellon, was as follows:
Percentage of Total | ||
Portfolio | Investment Income | |
Large Capitalization Value | 0.24% | |
Large Capitalization Growth | 0.24% | |
Mid Capitalization | 1.45% | |
Small Capitalization | 1.03% | |
International Equity | 0.77% | |
Health & Biotechnology | 0.53% | |
Technology & Communications | 2.14% |
The following table presents the Portfolios’ assets and liabilities available for offset under a master netting arrangement net of collateral pledged as of August 31, 2022.
Gross Amounts not offset in the | ||||||||||||||||
Statements of Assets and Liabilities | ||||||||||||||||
Gross Amounts Recognized | Financial | |||||||||||||||
in Statements of Assets and | Instruments | Cash Collateral | Net Amount | |||||||||||||
Liabilities | Pledged | Pledged | of Assets | |||||||||||||
Large Capitalization Value | ||||||||||||||||
Description of Liability | ||||||||||||||||
Securities Loaned | $ | 209 | $ | 209 | $ | — | $ | — | ||||||||
Mid Capitalization | ||||||||||||||||
Description of Liability | ||||||||||||||||
Securities Loaned | $ | 77 | $ | 77 | $ | — | $ | — | ||||||||
Small Capitalization | ||||||||||||||||
Description of Liability | ||||||||||||||||
Securities Loaned | $ | 96,300 | $ | 96,300 | $ | — | $ | — | ||||||||
International Equity | ||||||||||||||||
Description of Liability | ||||||||||||||||
Securities Loaned | $ | 64,581 | $ | 64,581 | $ | — | $ | — |
3. | MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
(a) The management fees are payable to the Manager monthly by each Portfolio and are computed daily at the following annual rates of each Portfolio’s average daily net assets: 1.25% for Health & Biotechnology, Technology & Communications, Energy & Basic Materials and Financial Services; 0.75% for Mid Capitalization and International Equity; 0.65% for Large Capitalization Value, Large Capitalization Growth and Small Capitalization; 0.55% for Investment Quality Bond and Municipal Bond; 0.475% for U.S. Government Money Market; 0.90% for Conservative Balanced Allocation, Moderately Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation, and Aggressive Balanced Allocation. The manager pays the fees charged by the Portfolios’ sub-advisers. The Portfolios do not pay the sub-advisers directly.
For the year ended August 31, 2022, the Manager waived $12,272 for International Equity, $3,323 for Energy & Basic Materials, $4,609 for Financial Services, $ 843 for Investment Quality Bond, $5,596 for Municipal Bond, $27,277 for U.S. Government Money Market, $12,260 for Aggressive Balanced Allocation, $27,543 for Conservative Balanced Allocation, $19,364 for Moderate Balanced Allocation, $11,730 for Moderately Aggressive Balanced Allocation, and $10,829 for Moderately Conservative Balanced Allocation. The U.S Government Money Market Fund is subject to additional voluntary waivers by the Manager to ensure the portfolio maintains a NAV of $1.00.
(b) Ultimus Fund Solutions, LLC (“UFS”), an affiliate of Northern Lights Distributors, LLC (the “Distributor”) provides administrative, fund accounting and transfer agency services to the Portfolios pursuant to agreements with the Trust, for which it receives from each Portfolio: (i) a minimum annual fee or basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses.
106
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
Pursuant to the terms of the Trust’s Custody Administration Agreement with UFS (the “Custody Administration Agreement”), the Trust pays an asset-based fee in decreasing amounts as Trust assets reach certain breakpoints. The Trust also pays certain transaction fees and out-of-pocket expenses pursuant to the Custody Administration Agreement.
In addition, certain affiliates of the Distributor provide services to the Trust as follows:
Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of UFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Trust on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Portfolios.
Certain employees of UFS and NLCS are also officers of the Trust, and are not paid any fees directly by the Trust for serving in such capacity.
(c) The Portfolios have adopted a Plan of Distribution pursuant to Rule 12b-1 under the 1940 Act (the “Plan”) with respect to the sale and distribution of Class A and C shares of the Portfolios. The Plan provides that each Portfolio will pay the Distributor or other entities, including the Manager, a fee, which is accrued daily and paid monthly, at the annual rate of 0.40% of the average daily net assets of Class A shares (0.25% of the average daily net assets of Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation Class A shares) and 1.00% of the average daily net assets of the Portfolios’ Class C shares. A portion of the fee payable pursuant to the Plan, equal to 0.25% of the average daily net assets, is currently characterized as a service fee and it may be paid directly to the Manager, or other entities for providing support services. A service fee is a payment made for personal service and/or the maintenance of shareholder accounts. The aggregate of such service fee payments will not exceed 0.25% of average daily net assets. For the year ended August 31, 2022 the Distributor waived $1,708 in fees for the U.S. Government Money Market Portfolio.
Class A shares are offered at net asset value plus a maximum sales load of 5.75%. Class C shares are offered subject to a CDSC of 1.00%. Class I shares are offered at net asset value.
For the year ended August 31, 2022, the Distributor received sales charges on sales of the Portfolios’ Class A shares. In addition, CDSCs were paid to the Manager for Class C shares. The Distributor and the Manager have advised the Portfolios that the approximate amounts are as follows:
Portfolio | Distributor Sales Charges | CDSC’s | ||||||
Class A | Class C | |||||||
Large Capitalization Value | $ | 1,395 | $ | 54 | ||||
Large Capitalization Growth | 12,109 | 46 | ||||||
Mid Capitalization | 1,872 | 38 | ||||||
Small Capitalization | — | 21 | ||||||
International Equity | 17 | 15 | ||||||
Health & Biotechnology | 3,194 | 36 | ||||||
Technology & Communications | 1,261 | 452 | ||||||
Energy & Basic Materials | 44 | 13 | ||||||
Financial Services | — | — | ||||||
Investment Quality Bond | — | — | ||||||
Municipal Bond | — | — | ||||||
U.S Government Money Market | — | 171 | ||||||
Aggressive Balanced Allocation | — | 60 | ||||||
Conservative Balanced Allocation | — | 148 | ||||||
Moderate Balanced Allocation | 69 | 433 | ||||||
Moderately Aggressive Balanced Allocation | 1,764 | 20 | ||||||
Moderately Conservative Balanced Allocation | — | — |
(d) The Trust and the Manager have entered into Excess Expense Agreements (the “Expense Agreements”). In connection with the Expense Agreements, the Manager is currently voluntarily waiving, all or a portion of its management fees and/or assuming certain other operating expenses (excluding front-end and contingent deferred sales loads, interest and tax expenses, leverage, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) of certain Portfolios in order to maintain the expense ratios of each class of the Portfolios at or below predetermined levels (each an “Expense Cap”). The annual expense caps in effect at August 31, 2022, for each portfolio were: 3.00%, 3.60% and 2.60% for Class A, C and I shares, respectively, of Large Capitalization Value, Large Capitalization Growth, Mid Capitalization, and Small Capitalization; 3.30%, 3.90% and 2.90% for Class A, C and I
107
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
shares, respectively, of International Equity; 2.30%, 2.90% and 1.90%, for Class A, C and I shares, respectively, of Investment Quality Bond and Municipal Bond; 2.15%, 2.75% and 1.75% for Class A, C and I shares, respectively, of U.S. Government Money Market; 3.40%, 4.00% and 3.00% for Class A, C and I shares, respectively, of Health & Biotechnology, Technology & Communications, Energy & Basic Materials and Financial Services. For the Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation the Manager is waiving all or a portion of its management fees and/or assuming certain operating expenses (excluding front end and contingent deferred sales loads, interest and tax expenses, leverage, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) the expense caps are 1.24%, 0.99% and 1.99% for Classes A, I and C shares respectively. Under the terms of the Expense Agreements, the Manager is permitted to seek reimbursement from the Portfolios, subject to limitations, for fees they waived and Portfolio expenses they paid within three (3) years of the end of the fiscal year in which such fees were waived or expenses paid, as long as the reimbursement does not cause the Portfolio’s operating expenses to exceed (i) the expense cap in place at the time the advisory fees were waived or the expenses were incurred; or (ii) the current expense cap, whichever is less.
The Expense Agreement with the Manager may be terminated by either party, without penalty, upon receipt of 60 days prior notice, except for the Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation which shall continue through December 31, 2022.
In addition, the U.S. Government Money Market Portfolio’s distributor has agreed to waive Distribution Fees and/or Service (12b -1) Fees for the Portfolio’s Class A and C shares through December 31, 2022. The Agreement may only be terminated during its term by or with the consent of the Trust’s Board of Trustees.
The following table shows the available waived expenses and expiration date for each Portfolio subject to potential recovery.
Portfolio | 8/31/2023 | 8/31/2024 | 8/31/2025 | |||||||||
International Equity | $ | 30,421 | $ | 7,065 | $ | 12,272 | ||||||
Energy & Basic Materials | 7,300 | 12,004 | 3,323 | |||||||||
Financial Services | 6,123 | 5,710 | 4,609 | |||||||||
Investment Quality Bond | — | — | 843 | |||||||||
Municipal Bond | 9,326 | 9,915 | 5,596 | |||||||||
Aggressive Balanced Allocation | 9,335 | 13,846 | 12,260 | |||||||||
Conservative Balanced Allocation | 19,169 | 25,699 | 27,543 | |||||||||
Moderate Balanced Allocation | 12,115 | 19,205 | 19,364 | |||||||||
Moderately Aggressive Balanced Allocation | 8,273 | 12,873 | 11,730 | |||||||||
Moderately Conservative Balanced Allocation | 10,326 | 11,586 | 10,829 |
(e) The following Portfolios in the Trust had portfolio trades executed with a certain broker pursuant to a commission recapture agreement. For the year ended August 31, 2022, the amount received by the participating Portfolios under this arrangement was as follows: Large Cap Value, $15,771; Health & Biotechnology, $53; and Technology & Communications, $1,766. These amounts are included with the realized gain/loss for each Portfolio in the Statement of Operations.
108
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
(f) Affiliated Investments — Companies which are affiliates of the Portfolios at August 31, 2022, are noted in the Portfolio’s Schedule of Investments. A summary of the investments in the affiliated investments are detailed below:
Affiliated Holding | Value at 8/31/2021 | Purchases | Sale Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 8/31/2022 | Shares at 8/31/2022 | Income | Long Term Capital Gain Distribution | |||||||||||||||||||||||||||
Aggressive Balanced Allocation | ||||||||||||||||||||||||||||||||||||
Saratoga Energy & Basic Materials Portfolio, CL I | $ | 25,850 | $ | 488 | $ | — | $ | — | $ | 4,062 | $ | 30,400 | $ | 2,446 | $ | 280 | $ | — | ||||||||||||||||||
Saratoga Health & Biotechnology Portfolio, CL I | 40,604 | 1,571 | 444 | (45 | ) | (4,023 | ) | 37,663 | 1,667 | 149 | 1,126 | |||||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, Cl I | 150,420 | 30,709 | 5,230 | 869 | (54,512 | ) | 122,256 | 5,256 | 7,199 | 22,470 | ||||||||||||||||||||||||||
Saratoga Large Capitalization Value Portfolio, Cl I | 174,314 | 35,162 | 3,507 | 488 | (34,571 | ) | 171,886 | 6,619 | 17,884 | 15,943 | ||||||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 114,392 | 15,355 | 2,310 | 65 | (25,806 | ) | 101,696 | 8,655 | 3,481 | 10,994 | ||||||||||||||||||||||||||
Saratoga Technology & Communications Portfolio, CL I | 41,251 | 4,593 | 396 | 57 | (15,117 | ) | 30,388 | 1,324 | — | 4,329 | ||||||||||||||||||||||||||
Total | 546,831 | 1,434 | (129,967 | ) | 494,289 | 28,993 | 54,862 | |||||||||||||||||||||||||||||
Conservative Balanced Allocation | ||||||||||||||||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio | 414,802 | 83,989 | 79,586 | (10,295 | ) | (144,665 | ) | 264,245 | 11,360 | 20,002 | 62,427 | |||||||||||||||||||||||||
Saratoga Large Capitalization Value Portfolio, Cl I | 479,880 | 95,892 | 106,772 | (4,416 | ) | (97,050 | ) | 367,534 | 14,152 | 49,637 | 44,251 | |||||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 318,699 | 42,002 | 65,292 | 2,078 | (77,034 | ) | 220,453 | 18,762 | 9,780 | 30,890 | ||||||||||||||||||||||||||
Total | 1,213,381 | (12,633 | ) | (318,749 | ) | 852,232 | 79,419 | 137,568 | ||||||||||||||||||||||||||||
Moderate Balanced Allocation | ||||||||||||||||||||||||||||||||||||
Saratoga Energy & Basic Materials Portfolio, CL I | 24,291 | 263 | — | — | 3,827 | 28,381 | 2,283 | 263 | — | |||||||||||||||||||||||||||
Saratoga Health & Biotechnology Portfolio, CL I | 38,419 | 1,207 | — | — | (3,865 | ) | 35,761 | 1,582 | 141 | 1,065 | ||||||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, CL I | 282,147 | 60,580 | 7,468 | (137 | ) | (102,487 | ) | 232,635 | 10,002 | 13,605 | 42,463 | |||||||||||||||||||||||||
Saratoga Large Capitalization Value Portfolio, Cl I | 328,412 | 70,078 | 8,185 | 83 | (65,265 | ) | 325,123 | 12,519 | 33,970 | 30,283 | ||||||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 215,279 | 31,312 | 2,100 | (298 | ) | (48,876 | ) | 195,317 | 16,623 | 6,607 | 20,866 | |||||||||||||||||||||||||
Saratoga Technology & Communications Portfolio, CL I | 44,747 | 4,696 | — | — | (16,338 | ) | 33,105 | 1,443 | — | 4,696 | ||||||||||||||||||||||||||
Total | 933,295 | (352 | ) | (233,004 | ) | 850,322 | 54,586 | 99,373 | ||||||||||||||||||||||||||||
Moderately Aggressive Balanced Allocation | ||||||||||||||||||||||||||||||||||||
Saratoga Energy & Basic Materials Portfolio, CL I | 18,452 | 1,310 | — | — | 3,007 | 22,769 | 1,832 | 211 | — | |||||||||||||||||||||||||||
Saratoga Health & Biotechnology Portfolio, CL I | 24,585 | 2,409 | — | — | (2,619 | ) | 24,375 | 1,079 | 96 | 726 | ||||||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, CL I | 134,304 | 36,513 | — | — | (51,922 | ) | 118,895 | 5,112 | 6,862 | 21,417 | ||||||||||||||||||||||||||
Saratoga Large Capitalization Value Portfolio, Cl I | 156,252 | 43,186 | — | — | (33,325 | ) | 166,113 | 6,396 | 17,220 | 15,351 | ||||||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 112,951 | 22,244 | — | — | (27,323 | ) | 107,872 | 9,181 | 3,677 | 11,613 | ||||||||||||||||||||||||||
Saratoga Technology & Communications Portfolio, CL I | 25,489 | 4,230 | — | — | (9,789 | ) | 19,930 | 868 | — | 2,827 | ||||||||||||||||||||||||||
Total | 472,033 | — | (121,971 | ) | 459,954 | 28,066 | 51,934 | |||||||||||||||||||||||||||||
Moderately Conservative Balanced Allocation | ||||||||||||||||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, Cl I | 119,609 | 23,247 | 14,090 | 1,522 | (42,482 | ) | 87,806 | 3,775 | 5,641 | 17,606 | ||||||||||||||||||||||||||
Saratoga Large Capitalization Value Portfolio, Cl I | 134,970 | 25,760 | 15,438 | 1,515 | (26,942 | ) | 119,865 | 4,616 | 13,619 | 12,141 | ||||||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 96,449 | 12,009 | 10,788 | 251 | (20,943 | ) | 76,978 | 6,551 | 2,888 | 9,121 | ||||||||||||||||||||||||||
Total | 351,028 | 3,288 | (90,367 | ) | 284,649 | 22,148 | 38,868 |
109
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
4. | INVESTMENT TRANSACTIONS |
(a) For the year ended August 31, 2022, the cost of purchases and proceeds from sales of investment securities, other than short-term securities, for the Portfolios were as follows:
Portfolio | Purchases | Sales | ||||||
Large Capitalization Value | $ | 21,018,157 | $ | 20,002,518 | ||||
Large Capitalization Growth | 16,426,556 | 19,239,724 | ||||||
Mid Capitalization | 4,931,511 | 6,044,974 | ||||||
Small Capitalization | 6,467,052 | 6,962,459 | ||||||
International Equity | 1,715,004 | 2,410,914 | ||||||
Health & Biotechnology | 2,939,131 | 4,026,412 | ||||||
Technology & Communications | 1,327,229 | 10,997,024 | ||||||
Energy & Basic Materials | 1,086,750 | 702,695 | ||||||
Financial Services | 597,320 | 727,196 | ||||||
Investment Quality Bond | 99,308 | 603,201 | ||||||
Municipal Bond | 3,182 | 166,500 | ||||||
Aggressive Balanced Allocation | 100,376 | 19,359 | ||||||
Conservative Balanced Allocation | 255,132 | 285,436 | ||||||
Moderate Balanced Allocation | 190,234 | 24,578 | ||||||
Moderately Aggressive Balanced Allocation | 150,707 | — | ||||||
Moderately Conservative Balanced Allocation | 66,556 | 84,910 |
(b) Certain Portfolios may enter into foreign currency exchange contracts. Because various Portfolios may invest in securities denominated in foreign currencies, they may seek to hedge foreign currency risks by engaging in foreign currency exchange transactions. These may include buying or selling foreign currencies on a spot basis, entering into foreign currency forward contracts, and buying and selling foreign currency options, foreign currency futures, and options on foreign currency futures. Currency exchange rates may fluctuate significantly over short periods and can be subject to unpredictable change based on such factors as political developments and currency controls by foreign governments.
(c) Other Investment Companies or Exchange Traded Funds – Certain Portfolios may invest up to 100% of their net assets in shares of affiliated and unaffiliated investment companies, including money market mutual funds, other mutual funds or exchange-traded funds (“ETFs”). An ETF generally is an open-end investment company, unit investment trust or a portfolio of securities deposited with a depository in exchange for depository receipts. ETFs provide investors the opportunity to buy or sell throughout the day an entire portfolio of securities in a single security. Although index mutual funds are similar to index-based ETFs, they are generally sold and redeemed only once per day at market close. The ETFs in which a Portfolio invests may be subject to liquidity risk. Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the sale of the security at an advantageous time or price. To the extent that the ETFs in which a Portfolio invests hold securities of companies with smaller market capitalizations or securities with substantial market risk, they will have a greater exposure to liquidity risk. In addition, ETFs are subject to the following risks that do not apply to conventional mutual funds that can be found in “Exchange-Traded Funds” below: (1) the market price of the ETF’s shares may trade at a discount to their net asset value; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange deem such action appropriate, the shares are de-listed from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. Additionally, ETFs have management fees, which increase their cost. In addition to the advisory and operational fees a Portfolio bears directly in connection with its own operation, the Portfolio also bears its pro rata portion of the advisory and operational expenses incurred indirectly through investments in other investment companies.
The derivative instruments outstanding, as of August 31, 2022, as disclosed in the Portfolio of Investments and Statement of Assets and Liabilities, and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period, as disclosed in the Statement of Operations, serve as indicators of the volume of derivative activity for the Fund. The derivatives are not accounted for as hedging instruments under GAAP.
110
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
The effect of derivative instruments on the Statements of Assets and Liabilities for the year ended August 31, 2022, were as follows:
Location of derivatives on Statements of | Fair value of liability | |||||||||
Fund | Derivative | Risk Type | Assets and Liabilities | derivatives | ||||||
International Equity | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized depreciation on forward currency exchange contracts | $ | (361 | ) |
The effect of derivative instruments on the Statements of Operations for the year ended August 31, 2022, were as follows:
Realized and unrealized | ||||||||||
Fund | Derivative | Location of loss on derivatives | Risk Type | loss on derivatives | ||||||
International Equity | ||||||||||
Forward Exchange Contracts | Net realized loss from investments and foreign currency transactions | Foreign Exchange | $ | (7,541 | ) | |||||
Forward Exchange Contracts | Net change in unrealized depreciation on investments and foreign currency translations | Foreign Exchange | (2,305 | ) | ||||||
Total | $ | (9,846 | ) |
111
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
5. | AUTHORIZED SHARES OF BENEFICIAL INTEREST AND PAR VALUE PER SHARE |
Each Portfolio has unlimited shares of beneficial interest authorized at $0.01 par value per share. For the periods indicated, transactions were as follows:
Class I Shares | Class A Shares | Class C Shares | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | |||||||||||||||||||
Large Capitalization Value | ||||||||||||||||||||||||
Issued | 119,488 | 131,371 | 2,665 | 103 | 266 | 1,986 | ||||||||||||||||||
Redeemed | (79,642 | ) | (91,184 | ) | (5,786 | ) | (695 | ) | (321 | ) | (3,428 | ) | ||||||||||||
Reinvested from Dividends | 128,702 | — | 3,054 | — | 1,492 | — | ||||||||||||||||||
Net Increase (Decrease) in Shares | 168,548 | 40,187 | (67 | ) | (592 | ) | 1,437 | (1,442 | ) | |||||||||||||||
Large Capitalization Growth | ||||||||||||||||||||||||
Issued | 64,915 | 65,138 | 9,588 | 3,039 | 369 | 2,687 | ||||||||||||||||||
Redeemed | (122,844 | ) | (344,577 | ) | (12,608 | ) | (10,303 | ) | (41,035 | ) | (34,558 | ) | ||||||||||||
Reinvested from Dividends | 165,503 | 80,066 | 11,729 | 5,039 | 78,882 | 25,646 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 107,574 | (199,373 | ) | 8,709 | (2,225 | ) | 38,216 | (6,225 | ) | |||||||||||||||
Mid Capitalization | ||||||||||||||||||||||||
Issued | 30,666 | 74,530 | 4,629 | 828 | 440 | 361 | ||||||||||||||||||
Redeemed | (51,919 | ) | (102,569 | ) | (21,583 | ) | (8,602 | ) | (3,102 | ) | (872 | ) | ||||||||||||
Reinvested from Dividends | 98,547 | 57,113 | 20,879 | 11,713 | 1,629 | 946 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 77,294 | 29,074 | 3,925 | 3,939 | (1,033 | ) | 435 | |||||||||||||||||
Small Capitalization | ||||||||||||||||||||||||
Issued | 100,977 | 82,929 | — | 122 | 1,157 | 564 | ||||||||||||||||||
Redeemed | (115,004 | ) | (215,230 | ) | (1,661 | ) | (737 | ) | (1 | ) | (353 | ) | ||||||||||||
Reinvested from Dividends | 161,280 | — | 2,329 | — | 874 | — | ||||||||||||||||||
Net Increase (Decrease) in Shares | 147,253 | (132,301 | ) | 668 | (615 | ) | 2,030 | 211 | ||||||||||||||||
International Equity | ||||||||||||||||||||||||
Issued | 30,699 | 71,622 | 32 | 32 | 130 | 806 | ||||||||||||||||||
Redeemed | (87,524 | ) | (415,379 | ) | (4,720 | ) | (19,731 | ) | — | (40 | ) | |||||||||||||
Reinvested from Dividends | 1,301 | 6,719 | — | 56 | 3 | — | ||||||||||||||||||
Net Increase (Decrease) in Shares | (55,524 | ) | (337,038 | ) | (4,688 | ) | (19,643 | ) | 133 | 766 | ||||||||||||||
Health & Biotechnology | ||||||||||||||||||||||||
Issued | 23,658 | 29,502 | 5,157 | 1,881 | 246 | 379 | ||||||||||||||||||
Redeemed | (33,351 | ) | (54,748 | ) | (17,461 | ) | (42,257 | ) | (2,538 | ) | (10,545 | ) | ||||||||||||
Reinvested from Dividends | 9,146 | 33,561 | 9,148 | 31,973 | 2,301 | 8,102 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (547 | ) | 8,315 | (3,156 | ) | (8,403 | ) | 9 | (2,064 | ) | ||||||||||||||
Technology & Communications | ||||||||||||||||||||||||
Issued | 48,178 | 98,070 | 43,127 | 31,921 | 1,605 | 4,835 | ||||||||||||||||||
Redeemed | (203,520 | ) | (223,940 | ) | (91,469 | ) | (131,310 | ) | (224,527 | ) | (112,010 | ) | ||||||||||||
Reinvested from Dividends | 109,720 | 116,874 | 86,176 | 88,945 | 75,047 | 82,903 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (45,622 | ) | (8,996 | ) | 37,834 | (10,444 | ) | (147,875 | ) | (24,272 | ) | |||||||||||||
Energy & Basic Materials | ||||||||||||||||||||||||
Issued | 55,483 | 57,625 | 11,812 | 447 | 141 | — | ||||||||||||||||||
Redeemed | (37,157 | ) | (70,601 | ) | (974 | ) | (4,444 | ) | (134 | ) | (6 | ) | ||||||||||||
Reinvested from Dividends | 1,281 | 1,613 | 72 | 152 | 4 | 8 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 19,607 | (11,363 | ) | 10,910 | (3,845 | ) | 11 | 2 | ||||||||||||||||
Financial Services | ||||||||||||||||||||||||
Issued | 28,403 | 49,817 | — | 6,569 | — | — | ||||||||||||||||||
Redeemed | (41,508 | ) | (57,230 | ) | (965 | ) | (784 | ) | — | (14 | ) | |||||||||||||
Reinvested from Dividends | 5,684 | 4,306 | 1,076 | 907 | — | ** | 1 | |||||||||||||||||
Net Increase (Decrease) in Shares | (7,421 | ) | (3,107 | ) | 111 | 6,692 | — | (13 | ) | |||||||||||||||
Investment Quality Bond | ||||||||||||||||||||||||
Issued | 82,426 | 968,709 | 639 | 4,805 | — | — | ||||||||||||||||||
Redeemed | (102,013 | ) | (171,769 | ) | (2,110 | ) | (1,549 | ) | — | (155 | ) | |||||||||||||
Reinvested from Dividends | 15,942 | 1,237 | 212 | 23 | 51 | 5 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (3,645 | ) | 798,177 | (1,259 | ) | 3,279 | 51 | (150 | ) |
112
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
Class I Shares | Class A Shares | Class C Shares | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | August 31, 2022 | August 31, 2021 | |||||||||||||||||||
Municipal Bond | ||||||||||||||||||||||||
Issued | 4,038 | 43,035 | — | 115 | 154 | 150 | ||||||||||||||||||
Redeemed | (19,023 | ) | (13,466 | ) | (1,135 | ) | (74 | ) | (1,565 | ) | (116 | ) | ||||||||||||
Reinvested from Dividends | — | 45 | — | 7 | — | 3 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (14,985 | ) | 29,614 | (1,135 | ) | 48 | (1,411 | ) | 37 | |||||||||||||||
U.S. Government Money Market | ||||||||||||||||||||||||
Issued | 1,604,223 | 3,456,916 | 841 | 36,789 | 17,054 | 167,408 | ||||||||||||||||||
Redeemed | (1,983,775 | ) | (3,180,632 | ) | (271,534 | ) | (17,140 | ) | (28,529 | ) | (160,567 | ) | ||||||||||||
Reinvested from Dividends | 531 | 1,102 | 19 | 76 | 8 | 31 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (379,021 | ) | 277,386 | (270,674 | ) | 19,725 | (11,467 | ) | 6,872 | |||||||||||||||
Aggressive Balanced Allocation | ||||||||||||||||||||||||
Issued | 3,041 | 3,032 | — | 418 | 469 | 87 | ||||||||||||||||||
Redeemed | (2,390 | ) | (1,029 | ) | (418 | ) | (452 | ) | (1,665 | ) | (3,393 | ) | ||||||||||||
Reinvested from Dividends | 6,552 | 1,188 | — | ** | — | ** | 1,276 | 172 | ||||||||||||||||
Net Increase (Decrease) in Shares | 7,203 | 3,191 | (418 | ) | (34 | ) | 80 | (3,134 | ) | |||||||||||||||
Conservative Balanced Allocation | ||||||||||||||||||||||||
Issued | 6,155 | 38,541 | — | — | 1,334 | 3,789 | ||||||||||||||||||
Redeemed | (2,091 | ) | (24,919 | ) | (5 | ) | — | (1,288 | ) | (3,401 | ) | |||||||||||||
Reinvested from Dividends | 13,416 | 742 | 243 | 8 | 3,947 | — | ||||||||||||||||||
Net Increase (Decrease) in Shares | 17,480 | 14,364 | 238 | 8 | 3,993 | 388 | ||||||||||||||||||
Moderate Balanced Allocation | ||||||||||||||||||||||||
Issued | 3,847 | 4,190 | 100 | 1,121 | 3,856 | 2,021 | ||||||||||||||||||
Redeemed | (685 | ) | (1,416 | ) | (3,115 | ) | (181 | ) | (3,121 | ) | (6,721 | ) | ||||||||||||
Reinvested from Dividends | 7,759 | 1,249 | 333 | 37 | 3,101 | 286 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 10,921 | 4,023 | (2,682 | ) | 977 | 3,836 | (4,414 | ) | ||||||||||||||||
Moderately Aggressive Balanced Allocation | ||||||||||||||||||||||||
Issued | 1,877 | 594 | 5,513 | — | 780 | 1,099 | ||||||||||||||||||
Redeemed | (211 | ) | (2 | ) | (1 | ) | (1,432 | ) | (461 | ) | (262 | ) | ||||||||||||
Reinvested from Dividends | 4,638 | 911 | 455 | 21 | 1,155 | 141 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 6,304 | 1,503 | 5,967 | (1,411 | ) | 1,474 | 978 | |||||||||||||||||
Moderately Conservative Balanced Allocation | ||||||||||||||||||||||||
Issued | 50 | 1,258 | — | — | 604 | 6,769 | ||||||||||||||||||
Redeemed | (7,125 | ) | (31,061 | ) | — | — | (604 | ) | (705 | ) | ||||||||||||||
Reinvested from Dividends | 5,224 | 744 | — | ** | — | ** | 1,541 | 179 | ||||||||||||||||
Net Increase (Decrease) in Shares | (1,851 | ) | (29,059 | ) | — | ** | — | ** | 1,541 | 6,243 |
** | Amount represents less than 0.5 shares. |
113
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
6. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation August 31, 2022, were as follows:
Gross | Gross | Net Unrealized | ||||||||||||||
Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||
Cost | Appreciation | Depreciation | (Depreciation) | |||||||||||||
Large Capitalization Value | $ | 19,998,637 | $ | 1,157,723 | $ | (699,222 | ) | $ | 458,501 | |||||||
Large Capitalization Growth | 20,269,754 | 4,476,099 | (855,589 | ) | 3,620,510 | |||||||||||
Mid Capitalization | 9,239,342 | 2,677,655 | (913,381 | ) | 1,764,274 | |||||||||||
Small Capitalization | 5,621,412 | 955,909 | (501,443 | ) | 454,466 | |||||||||||
International Equity | 2,928,546 | 248,820 | (247,654 | ) | 1,166 | |||||||||||
Health & Biotechnology | 9,611,826 | 3,305,627 | (632,850 | ) | 2,672,777 | |||||||||||
Technology & Communications | 17,663,440 | 23,546,636 | (944,788 | ) | 22,601,848 | |||||||||||
Energy & Basic Materials | 1,505,322 | 427,138 | (167,450 | ) | 259,688 | |||||||||||
Financial Services | 834,084 | 449,784 | (35,194 | ) | 414,590 | |||||||||||
Investment Quality Bond | 11,971,496 | — | (278,073 | ) | (278,073 | ) | ||||||||||
Municipal Bond | 723,368 | — | (12,754 | ) | (12,754 | ) | ||||||||||
U.S. Government Money Market | 5,313,079 | — | — | — | ||||||||||||
Aggressive Balanced Allocation | 957,028 | 10,937 | (41,035 | ) | (30,098 | ) | ||||||||||
Conservative Balanced Allocation | 2,729,117 | 1,248 | (98,365 | ) | (97,117 | ) | ||||||||||
Moderate Balanced Allocation | 1,693,558 | 11,531 | (52,361 | ) | (40,830 | ) | ||||||||||
Moderately Aggressive Balanced Allocation | 930,120 | 10,299 | (31,660 | ) | (21,361 | ) | ||||||||||
Moderately Conservative Balanced Allocation | 671,601 | 1,550 | (21,420 | ) | (19,870 | ) |
7. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of dividends utilized during the period ended August 31, 2022 was as follows:
For fiscal year ended | Ordinary | Long-Term | Exempt | Return of | ||||||||||||||||
8/31/2022 | Income | Capital Gains | Income | Capital | Total | |||||||||||||||
Large Capitalization Value | $ | 2,000,493 | $ | 1,783,389 | $ | — | $ | — | $ | 3,783,882 | ||||||||||
Large Capitalization Growth | 1,648,261 | 4,562,360 | — | 433,707 | 6,644,328 | |||||||||||||||
Mid Capitalization | 352,691 | 1,296,834 | — | — | 1,649,525 | |||||||||||||||
Small Capitalization | 202,520 | 1,215,240 | — | — | 1,417,760 | |||||||||||||||
International Equity | 17,052 | — | — | — | 17,052 | |||||||||||||||
Health & Biotechnology | 53,205 | 401,719 | — | — | 454,924 | |||||||||||||||
Technology & Communications | — | 7,486,289 | — | — | 7,486,289 | |||||||||||||||
Energy & Basic Materials | 15,209 | — | — | — | 15,209 | |||||||||||||||
Financial Services | 31,650 | 45,346 | — | — | 76,996 | |||||||||||||||
Investment Quality Bond | — | 154,969 | — | — | 154,969 | |||||||||||||||
Municipal Bond | — | — | — | — | — | |||||||||||||||
U.S. Government Money Market | 615 | — | — | — | 615 | |||||||||||||||
Aggressive Balanced Allocation | 27,299 | 62,162 | — | — | 89,461 | |||||||||||||||
Conservative Balanced Allocation | 53,920 | 144,185 | — | — | 198,105 | |||||||||||||||
Moderate Balanced Allocation | 44,890 | 85,488 | — | — | 130,378 | |||||||||||||||
Moderately Aggressive Balanced Allocation | 24,553 | 47,393 | — | — | 71,946 | |||||||||||||||
Moderately Conservative Balanced Allocation | 19,978 | 59,846 | — | — | 79,824 |
114
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
The tax character of dividends utilized during the period ended August 31, 2021 was as follows:
For fiscal year ended | Ordinary | Long-Term | Exempt | Return of | ||||||||||||||||
8/31/2021 | Income | Capital Gains | Income | Capital | Total | |||||||||||||||
Large Capitalization Value | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Large Capitalization Growth | — | 2,825,180 | — | — | 2,825,180 | |||||||||||||||
Mid Capitalization | 111,672 | 790,855 | — | — | 902,527 | |||||||||||||||
Small Capitalization | — | — | — | — | — | |||||||||||||||
International Equity | 91,767 | — | — | — | 91,767 | |||||||||||||||
Health & Biotechnology | 24,182 | 1,457,402 | — | — | 1,481,584 | |||||||||||||||
Technology & Communications | — | 7,561,392 | — | — | 7,561,392 | |||||||||||||||
Energy & Basic Materials | 16,483 | — | — | — | 16,483 | |||||||||||||||
Financial Services | — | 46,047 | — | — | 46,047 | |||||||||||||||
Investment Quality Bond | 8,659 | 4,027 | — | — | 12,686 | |||||||||||||||
Municipal Bond | — | — | — | 514 | 514 | |||||||||||||||
U.S. Government Money Market | 1,175 | — | — | — | 1,175 | |||||||||||||||
Aggressive Balanced Allocation | 8,359 | 6,565 | — | — | 14,924 | |||||||||||||||
Conservative Balanced Allocation | 5,711 | 2,609 | — | — | 8,320 | |||||||||||||||
Moderate Balanced Allocation | 2,713 | 14,800 | — | — | 17,513 | |||||||||||||||
Moderately Aggressive Balanced Allocation | 4,569 | 7,208 | — | — | 11,777 | |||||||||||||||
Moderately Conservative Balanced Allocation | 284 | 10,498 | — | — | 10,782 |
During the fiscal year ended August 31, 2022, the Funds utilized tax equalization which is the use of earnings and profits distributions to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. Permanent book and tax differences, primarily attributable to the book/tax basis treatment of distributions in excess, net operating losses and short-term capital gains, tax adjustments for prior year tax returns, reclassification of Fund distributions, adjustments for nondeductible payments and foreign tax credit pass-through, and the use of tax equalization credits, resulted in reclassification for the tax year ended August 31, 2022 as follows:
Paid | Distributable | |||||||
In | or Accumulated | |||||||
Capital | Earnings (Loss) | |||||||
Large Capitalization Value | $ | 174,405 | $ | (174,405 | ) | |||
Large Capitalization Growth | (310,779 | ) | 310,779 | |||||
Mid Capitalization | (8,647 | ) | 8,647 | |||||
Small Capitalization | 47,442 | (47,442 | ) | |||||
International Equity | — | — | ||||||
Health & Biotechnology | (21,397 | ) | 21,397 | |||||
Technology & Communications | (198,942 | ) | 198,942 | |||||
Energy & Basic Materials | — | — | ||||||
Financial Services | (3,454 | ) | 3,454 | |||||
Investment Quality Bond | (55,687 | ) | 55,687 | |||||
Municipal Bond | (12,122 | ) | 12,122 | |||||
U.S. Government Money Market | — | — | ||||||
Aggressive Balanced Allocation | — | — | ||||||
Conservative Balanced Allocation | — | — | ||||||
Moderate Balanced Allocation | — | — | ||||||
Moderately Aggressive Balanced Allocation | — | — | ||||||
Moderately Conservative Balanced Allocation | — | — |
Net assets were unaffected by the above reclassifications.
115
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
As of each of the Portfolio’s tax year-ended August 31, 2022, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Post October Loss | Capital Loss | Other | Unrealized | Total | ||||||||||||||||||||||
Ordinary | Long-Term | and | Carry | Book/Tax | Appreciation/ | Accumulated | ||||||||||||||||||||||
Income | Capital Gains | Late Year Loss | Forwards | Differences | (Depreciation) | Earnings/(Deficits) | ||||||||||||||||||||||
Large Capitalization Value | $ | 307,361 | $ | 1,305,588 | $ | (90,221 | ) | $ | — | $ | — | $ | 458,501 | $ | 1,981,229 | |||||||||||||
Large Capitalization Growth | — | — | (157,024 | ) | — | — | 3,620,510 | 3,463,486 | ||||||||||||||||||||
Mid Capitalization | — | 196,082 | (20,707 | ) | — | — | 1,764,274 | 1,939,649 | ||||||||||||||||||||
Small Capitalization | — | 538,104 | (20,896 | ) | — | — | 454,466 | 971,674 | ||||||||||||||||||||
International Equity | 9,278 | — | (108,504 | ) | (2,542,872 | ) | — | (391 | ) | (2,642,489 | ) | |||||||||||||||||
Health & Biotechnology | — | 741,628 | (102,482 | ) | — | — | 2,672,777 | 3,311,923 | ||||||||||||||||||||
Technology & Communications | — | 6,117,007 | (381,842 | ) | — | — | 22,601,848 | 28,337,013 | ||||||||||||||||||||
Energy & Basic Materials | 45,515 | — | — | (1,122,228 | ) | — | 259,668 | (817,045 | ) | |||||||||||||||||||
Financial Services | — | 2,266 | (7,403 | ) | — | — | 414,590 | 409,453 | ||||||||||||||||||||
Investment Quality Bond | — | — | (79,025 | ) | (746 | ) | — | (278,073 | ) | (357,844 | ) | |||||||||||||||||
Municipal Bond | — | — | (9,513 | ) | (12,390 | ) | — | (12,754 | ) | (34,657 | ) | |||||||||||||||||
U.S. Government Money Market | 348 | — | — | — | — | — | 348 | |||||||||||||||||||||
Aggressive Balanced Allocation | — | 54,545 | — | — | — | (30,098 | ) | 24,447 | ||||||||||||||||||||
Conservative Balanced Allocation | — | 112,880 | — | — | — | (97,117 | ) | 15,763 | ||||||||||||||||||||
Moderate Balanced Allocation | — | 91,620 | — | — | — | (40,830 | ) | 50,790 | ||||||||||||||||||||
Moderately Aggressive Balanced Allocation | — | 48,718 | — | — | — | (21,361 | ) | 27,357 | ||||||||||||||||||||
Moderately Conservative Balanced Allocation | — | 39,504 | — | — | — | (19,870 | ) | 19,634 |
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales, adjustments for real estate investment trusts and C-Corporations adjustments. The unrealized appreciation in the table above includes unrealized foreign currency gain/(loss) of $(1,557) for the International Equity Portfolio and $(20) for the Energy & Basic Materials Portfolio.
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Portfolios below incurred and elected to defer such late year losses as follows:
Late Year | ||||
Losses | ||||
Large Capitalization Value | $ | 90,221 | ||
Large Capitalization Growth | 157,024 | |||
Mid Capitalization | 20,707 | |||
Small Capitalization | 20,896 | |||
International Equity | — | |||
Health & Biotechnology | 102,482 | |||
Technology & Communications | 381,842 | |||
Energy & Basic Materials | — | |||
Financial Services | 7,403 | |||
Investment Quality Bond | 76,843 | |||
Municipal Bond | 7,459 | |||
U.S. Government Money Market | — | |||
Aggressive Balanced Allocation | — | |||
Conservative Balanced Allocation | — | |||
Moderate Balanced Allocation | — | |||
Moderately Aggressive Balanced Allocation | — | |||
Moderately Conservative Balanced Allocation | — |
116
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Portfolios below incurred and elected to defer such late year losses as follows:
Post October | ||||
Losses | ||||
Large Capitalization Value | $ | — | ||
Large Capitalization Growth | — | |||
Mid Capitalization | — | |||
Small Capitalization | — | |||
International Equity | 108,504 | |||
Health & Biotechnology | — | |||
Technology & Communications | — | |||
Energy & Basic Materials | — | |||
Financial Services | — | |||
Investment Quality Bond | 2,182 | |||
Municipal Bond | 2,054 | |||
U.S. Government Money Market | — | |||
Aggressive Balanced Allocation | — | |||
Conservative Balanced Allocation | — | |||
Moderate Balanced Allocation | — | |||
Moderately Aggressive Balanced Allocation | — | |||
Moderately Conservative Balanced Allocation | — |
8. | UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES |
Each underlying fund, including each exchange-traded fund (“ETF”), is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Fund will indirectly bear fees and expenses charged by the underlying investment companies in which the Fund invests in addition to the Fund’s direct fees and expenses.
The performance of the Investment Quality Bond Portfolio will be directly affected by the performance of the Vanguard Ultra-Short-Term Bond Fund – Admiral Shares. The financial statements of the Vanguard Ultra-Short-Term Bond Fund – Admiral Shares, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of August 31, 2022, the percentage of net assets invested in the Vanguard Ultra-Short-Term Bond Fund – Admiral Class was 87.6%.
The performance of the Municipal Bond Portfolio will be directly affected by the performance of the JPMorgan Ultra-Short Municipal Fund - Class I. The financial statements of the JPMorgan Ultra-Short Municipal Fund - Class I, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of August 31, 2022, the percentage of net assets invested in the JPMorgan Ultra-Short Municipal Fund - Class I was 90.1%.
The performance of the Conservative Balanced Allocation Portfolio will be directly affected by the performance of the Vanguard Ultra-Short-Term Bond Fund – Admiral Class and Dreyfus Institutional Preferred Government Money Market Fund, Institutional Class. The financial statements of the Vanguard Ultra-Short-Term Bond Fund and Dreyfus Institutional Preferred Government Money Market Fund, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of August 31, 2022, the percentage of net assets invested in the Vanguard Ultra-Short-Term Bond Fund and Dreyfus Institutional Preferred Government Money Market Fund was 31.8% and 25.8%, respectively.
The performance of the Moderately Conservative Balanced Allocation Portfolio will be directly affected by the performance of the Vanguard Ultra-Short-Term Bond Fund – Admiral Class. The financial statements of the Vanguard Ultra-Short- Term Bond Fund, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of August 31, 2022, the percentage of net assets invested in the Vanguard Ultra-Short-Term Bond Fund was 28.2%.
117
NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2022 (Continued) |
9. | BENEFICIAL OWNERSHIP |
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Portfolio creates a presumption of control of the Portfolio under Section 2(a)(9) of the 1940 Act. As of August 31, 2022, the below entities held more than 25% of the voting securities for each of the Funds listed.
First | ||||||
Pershing, | National | Mid Atlantic Trust | ||||
LLC * | Bank * | Company FBO * | ||||
Large Cap Value | — | 40.27% | — | |||
Large Cap Growth | — | 28.29% | — | |||
Mid Cap | — | 43.03% | — | |||
Small Cap | — | 52.04% | — | |||
International Equity | — | 51.83% | — | |||
Energy & Basic Materials | — | 50.25% | — | |||
Financial Services | — | 51.75% | — | |||
Investment Quality Bond | — | 62.75% | — | |||
U.S. Government Money Market | — | 60.89% | — | |||
Aggressive Balanced Allocation | — | 62.70% | 34.64% | |||
Conservative Balanced Allocation | 26.14% | 43.82% | 27.92% | |||
Moderate Balanced Allocation Portfolio | 28.48% | 38.57% | — | |||
Moderately Aggressive Balanced Allocation | — | 58.08% | 40.36% | |||
Moderately Conservative Balanced Allocation | — | 59.23% | 31.53% |
* | Comprised of multiple investors and accounts |
10. | RECENT ACCOUNTING PRONOUNCEMENTS |
In March 2020, FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (’‘ASU 2020-04’’). The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any of applying this ASU.
In October 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). Rule 18f-4 imposes limits on the amount of derivatives a fund can enter into, eliminates the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treats derivatives as senior securities and requires funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
In December 2020, the Securities and Exchange Commission (“SEC”) adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Funds will be required to comply with the rules by September 8, 2022. Management is currently assessing the potential impact of the new rules on the Funds’ financial statements.
11. SUBSEQUENT EVENTS
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.
118
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Large Capitalization Value Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 30.50 | $ | 21.26 | $ | 20.25 | $ | 21.87 | $ | 22.97 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.36 | ) | (0.26 | ) | (0.11 | ) | (0.08 | ) | 0.01 | |||||||||||
Net realized and unrealized gain (loss) | 0.37 | 9.50 | 1.12 | (0.22 | ) | 0.69 | ||||||||||||||
Total from investment operations | 0.01 | 9.24 | 1.01 | (0.30 | ) | 0.70 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (6.29 | ) | — | — | (1.32 | ) | (0.78 | ) | ||||||||||||
Distributions from return of capital | — | — | — | — | (1.02 | ) | ||||||||||||||
Total dividends and distributions | (6.29 | ) | — | — | (1.32 | ) | (1.80 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 24.22 | $ | 30.50 | $ | 21.26 | $ | 20.25 | $ | 21.87 | ||||||||||
Total Return* | (0.62 | )% | 43.46 | % | 4.99 | % | (0.58 | )% | 3.20 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 315 | $ | 398 | $ | 290 | $ | 314 | $ | 498 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 2.11 | % | 1.71 | % | 1.57 | % | 1.54 | % | 1.61 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (1.39 | )% | (0.97 | )% | (0.55 | )% | (0.37 | )% | 0.03 | % | ||||||||||
Portfolio Turnover Rate | 117 | % | 108 | % | 82 | % | 87 | % | 100 | % | ||||||||||
Large Capitalization Growth Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 30.37 | $ | 25.68 | $ | 22.38 | $ | 29.54 | $ | 24.00 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.32 | ) | (0.25 | ) | (0.11 | ) | (0.09 | ) | (0.11 | ) | ||||||||||
Net realized and unrealized gain (loss) | (3.36 | ) | 7.38 | 7.08 | (1.67 | ) | 7.20 | |||||||||||||
Total from investment operations | (3.68 | ) | 7.13 | 6.97 | (1.76 | ) | 7.09 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | |||||||||||||||
Distributions from realized gains | (6.37 | ) | (2.44 | ) | (3.67 | ) | (5.40 | ) | (1.55 | ) | ||||||||||
Distributions from return of capital | (0.45 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions | (6.82 | ) | (2.44 | ) | (3.67 | ) | (5.40 | ) | (1.55 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 19.87 | $ | 30.37 | $ | 25.68 | $ | 22.38 | $ | 29.54 | ||||||||||
Total Return* | (16.80 | )% | 30.64 | % | 35.40 | % | (4.75 | )% | 30.78 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,087 | $ | 1,397 | $ | 1,239 | $ | 1,027 | $ | 1,783 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 2.06 | % | 1.76 | % | 1.52 | % | 1.46 | % | 1.54 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (1.38 | )% | (0.97 | )% | (0.51 | )% | (0.40 | )% | (0.41 | )% | ||||||||||
Portfolio Turnover Rate | 60 | % | 65 | % | 74 | % | 90 | % | 74 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Large Cap Value Portfolio: |
2.11 | % | 1.71 | % | 1.57 | % | 1.54 | % | 1.61 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Large Cap Growth Portfolio: |
2.06 | % | 1.76 | % | 1.52 | % | 1.46 | % | 1.54 | % | |||||||||||
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
119
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Mid Capitalization Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 13.14 | $ | 10.30 | $ | 10.39 | $ | 12.12 | $ | 11.66 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.08 | ) | (0.07 | ) | (0.01 | ) | 0.02 | (0.01 | ) | |||||||||||
Net realized and unrealized gain (loss) | (1.08 | ) | 3.98 | (0.08 | ) | (0.59 | ) | 1.43 | ||||||||||||
Total from investment operations | (1.16 | ) | 3.91 | (0.09 | ) | (0.57 | ) | 1.42 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | — | ** | (0.01 | ) | (0.01 | ) | ||||||||||||
Distributions from realized gains | (1.87 | ) | (1.07 | ) | — | (1.15 | ) | (0.95 | ) | |||||||||||
Total dividends and distributions | (1.87 | ) | (1.07 | ) | — | (1.16 | ) | (0.96 | ) | |||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 10.11 | $ | 13.14 | $ | 10.30 | $ | 10.39 | $ | 12.12 | ||||||||||
Total Return* | (10.28 | )% | 40.11 | % | (0.85 | )% | (3.49 | )% | 12.76 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 1,355 | $ | 1,711 | $ | 1,301 | $ | 1,454 | $ | 2,250 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 2.42 | % | 2.06 | % | 1.86 | % | 1.71 | % | 1.85 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.73 | )% | (0.60 | )% | (0.12 | )% | 0.27 | % | (0.06 | )% | ||||||||||
Portfolio Turnover Rate | 43 | % | 55 | % | 53 | % | 49 | % | 39 | % | ||||||||||
Small Capitalization Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.53 | $ | 5.83 | $ | 5.35 | $ | 7.49 | $ | 6.18 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.07 | ) | (0.08 | ) | (0.04 | ) | (0.02 | ) | (0.04 | ) | ||||||||||
Net realized and unrealized gain (loss) | (0.40 | ) | 2.78 | 0.52 | (1.21 | ) | 1.35 | |||||||||||||
Total from investment operations | (0.47 | ) | 2.70 | 0.48 | (1.23 | ) | 1.31 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (1.99 | ) | — | — | (0.91 | ) | — | |||||||||||||
Total dividends and distributions | (1.99 | ) | — | — | (0.91 | ) | — | |||||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 6.07 | $ | 8.53 | $ | 5.83 | $ | 5.35 | $ | 7.49 | ||||||||||
Total Return* | (8.58 | )% | 46.31 | % | 8.97 | % | (15.76 | )% | 21.20 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 55 | $ | 71 | $ | 52 | $ | 55 | $ | 50 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 2.47 | % | 2.11 | % | 2.08 | % | 1.88 | % | 1.94 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (1.07 | )% | (1.02 | )% | (0.83 | )% | (0.54 | )% | (0.60 | )% | ||||||||||
Portfolio Turnover Rate | 104 | % | 103 | % | 101 | % | 90 | % | 115 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Mid Capitalization Portfolio: |
2.42 | % | 2.06 | % | 1.86 | % | 1.71 | % | 1.85 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Small Cap Portfolio: |
2.47 | % | 2.11 | % | 2.08 | % | 1.88 | % | 1.94 | % | |||||||||||
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
120
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
International Equity Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 12.15 | $ | 8.90 | $ | 8.91 | $ | 10.22 | 10.54 | |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.01 | ) | 0.02 | 0.06 | 0.16 | (0.06 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (3.03 | ) | 3.28 | 0.09 | (1.43 | ) | (0.26 | ) | ||||||||||||
Total from investment operations | (3.04 | ) | 3.30 | 0.15 | (1.27 | ) | (0.32 | ) | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (0.05 | ) | (0.16 | ) | (0.04 | ) | — | ||||||||||||
Total dividends and distributions | — | (0.05 | ) | (0.16 | ) | (0.04 | ) | — | ||||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 9.11 | $ | 12.15 | $ | 8.90 | $ | 8.91 | $ | 10.22 | ||||||||||
Total Return* | (25.02 | )% | 37.26 | % | 1.44 | % | (12.38 | )% # | (3.04 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 36 | $ | 106 | $ | 252 | $ | 361 | $ | 349 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 3.78 | % | 2.78 | % | 2.05 | % | 2.02 | % | 2.69 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.13 | )% | 0.19 | % | 0.71 | % | 1.74 | % | (0.59 | )% | ||||||||||
Portfolio Turnover Rate | 47 | % | 59 | % | 52 | % | 95 | % | 130 | % | ||||||||||
Health & Biotechnology Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 21.69 | $ | 20.31 | $ | 18.82 | $ | 25.04 | $ | 27.29 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.30 | ) | (0.22 | ) | (0.07 | ) | (0.09 | ) | (0.15 | ) | ||||||||||
Net realized and unrealized gain (loss) | (1.25 | ) | 4.18 | 2.47 | (2.07 | ) | 2.13 | |||||||||||||
Total from investment operations | (1.55 | ) | 3.96 | 2.40 | (2.16 | ) | 1.98 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (0.79 | ) | (2.58 | ) | (0.91 | ) | (4.06 | ) | (4.23 | ) | ||||||||||
Total dividends and distributions | (0.79 | ) | (2.58 | ) | (0.91 | ) | (4.06 | ) | (4.23 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 19.35 | $ | 21.69 | $ | 20.31 | $ | 18.82 | $ | 25.04 | ||||||||||
Total Return* | (7.28 | )% | 21.93 | % | 12.76 | % | (9.51 | )% | 8.43 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 4,821 | $ | 5,473 | $ | 5,294 | $ | 5,394 | $ | 5,866 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 2.90 | % | 2.54 | % | 2.31 | % | 2.22 | % | 2.30 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (1.46 | )% | (1.08 | )% | (0.36 | )% | (0.42 | )% | (0.60 | )% | ||||||||||
Portfolio Turnover Rate | 23 | % | 19 | % | 21 | % | 13 | % | 13 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the International Equity Portfolio: |
3.30 | % | 2.63 | % | 1.65 | % | 1.65 | % | 2.47 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Health & Biotechnology Portfolio: |
2.90 | % | 2.54 | % | 2.31 | % | 2.22 | % | 2.30 | % | |||||||||||
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
121
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Technology & Communications Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 30.39 | $ | 28.24 | $ | 21.86 | $ | 22.57 | $ | 18.97 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.35 | ) | (0.44 | ) | (0.19 | ) | (0.06 | ) | (0.18 | ) | ||||||||||
Net realized and unrealized gain (loss) | (6.75 | ) | 6.23 | 7.54 | 0.23 | 5.37 | ||||||||||||||
Total from investment operations | (7.10 | ) | 5.79 | 7.35 | 0.17 | 5.19 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (3.64 | ) | (3.64 | ) | (0.97 | ) | (0.88 | ) | (1.59 | ) | ||||||||||
Total dividends and distributions | (3.64 | ) | (3.64 | ) | (0.97 | ) | (0.88 | ) | (1.59 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 19.65 | $ | 30.39 | $ | 28.24 | $ | 21.86 | $ | 22.57 | ||||||||||
Total Return* | (26.36 | )% | 23.38 | % | 34.74 | % | 1.29 | % | 28.88 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 13,789 | $ | 20,175 | $ | 19,042 | $ | 17,113 | $ | 17,671 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 2.53 | % | 2.39 | % | 2.08 | % | 2.08 | % | 2.15 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (1.45 | )% | (1.60 | )% | (0.83 | )% | (0.31 | )% | (0.91 | )% | ||||||||||
Portfolio Turnover Rate | 3 | % | 10 | % | 10 | % | 2 | % | 1 | % | ||||||||||
Energy & Basic Materials Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.77 | $ | 7.48 | $ | 9.21 | $ | 13.21 | $ | 11.16 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | 0.33 | 0.09 | 0.06 | — | (0.12 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 1.28 | 2.31 | (1.79 | ) | (4.00 | ) | 2.17 | |||||||||||||
Total from investment operations | 1.61 | 2.40 | (1.73 | ) | (4.00 | ) | 2.05 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.08 | ) | (0.11 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (0.08 | ) | (0.11 | ) | — | — | — | |||||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 11.30 | $ | 9.77 | $ | 7.48 | $ | 9.21 | $ | 13.21 | ||||||||||
Total Return* | 16.54 | % | 32.30 | % | (18.78 | )% | (30.28 | )% | 18.37 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 237 | $ | 99 | $ | 104 | $ | 281 | $ | 460 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 3.30 | % | 4.43 | % | 3.97 | % | 3.46 | % | 3.93 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 2.89 | % | 0.97 | % | 0.73 | % | (0.02 | )% | (0.95 | )% | ||||||||||
Portfolio Turnover Rate | 43 | % | 81 | % | 63 | % | 45 | % | 61 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Technology & Communications Portfolio: |
2.53 | % | 2.39 | % | 2.08 | % | 2.08 | % | 2.15 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Energy & Basic Materials Portfolio: |
3.30 | % | 3.40 | % | 3.40 | % | 3.40 | % | 3.40 | % | |||||||||||
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
122
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Financial Services Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.59 | $ | 7.19 | $ | 8.18 | $ | 11.22 | $ | 9.91 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.08 | ) | (0.07 | ) | (0.08 | ) | (0.10 | ) | (0.19 | ) | ||||||||||
Net realized and unrealized gain (loss) | (1.43 | ) | 3.81 | (0.70 | ) | (1.26 | ) | 1.50 | ||||||||||||
Total from investment operations | (1.51 | ) | 3.74 | (0.78 | ) | (1.36 | ) | 1.31 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (0.51 | ) | (0.34 | ) | (0.21 | ) | (1.68 | ) | — | |||||||||||
Total dividends and distributions | (0.51 | ) | (0.34 | ) | (0.21 | ) | (1.68 | ) | — | |||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 8.57 | $ | 10.59 | $ | 7.19 | $ | 8.18 | $ | 11.22 | ||||||||||
Total Return* | (15.00 | )% | 53.66 | % | (9.99 | )% | (11.21 | )% | 13.22 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 204 | $ | 251 | $ | 123 | $ | 96 | $ | 113 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 3.68 | % | 3.81 | % | 3.96 | % | 3.82 | % | 3.83 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (0.82 | )% | (0.76 | )% | (1.04 | )% | (1.12 | )% | (1.68 | )% | ||||||||||
Portfolio Turnover Rate | 39 | % | 59 | % | 71 | % | 67 | % | 52 | % | ||||||||||
Investment Quality Bond Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.62 | $ | 9.76 | $ | 9.54 | $ | 9.30 | $ | 9.58 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.14 | ) | (0.08 | ) | 0.03 | 0.08 | 0.07 | |||||||||||||
Net realized and unrealized gain (loss) | (0.21 | ) | (0.04 | ) | 0.23 | 0.25 | (0.21 | ) | ||||||||||||
Total from investment operations | (0.35 | ) | (0.12 | ) | 0.26 | 0.33 | (0.14 | ) | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (0.02 | ) | (0.04 | ) | (0.09 | ) | (0.07 | ) | |||||||||||
Distributions from realized gains | (0.12 | ) | — | — | — | (0.07 | ) | |||||||||||||
Total dividends and distributions | (0.12 | ) | (0.02 | ) | (0.04 | ) | (0.09 | ) | (0.14 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 9.15 | $ | 9.62 | $ | 9.76 | $ | 9.54 | $ | 9.30 | ||||||||||
Total Return* | (3.62 | )% | (1.27 | )% | 2.77 | % | 3.63 | % | (1.52 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 151 | $ | 171 | $ | 142 | $ | 143 | $ | 80 | ||||||||||
Ratio of gross operating expenses to average net assets (3),(4) | 2.31 | % | 1.81 | % | 1.78 | % | 1.60 | % | 1.94 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | (1.51 | )% | (0.77 | )% | 0.31 | % | 0.83 | % | 0.70 | % | ||||||||||
Portfolio Turnover Rate | 1 | % | 62 | % | 23 | % | 11 | % | 112 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Financial Services Portfolio: |
3.40 | % | 3.40 | % | 3.40 | % | 3.40 | % | 3.40 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Investment Quality Bond Portfolio: |
2.30 | % | 1.81 | % | 1.78 | % | 1.60 | % | 1.39 | % | |||||||||||
(4) | Does not include the expenses of funds in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
123
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Municipal Bond Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.91 | $ | 8.99 | $ | 8.93 | $ | 8.90 | $ | 9.22 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.16 | ) | (0.09 | ) | 0.00 | 0.04 | 0.03 | |||||||||||||
Net realized and unrealized gain (loss) | (0.16 | ) | 0.02 | 0.07 | — | (0.30 | ) | |||||||||||||
Total from investment operations | (0.32 | ) | (0.07 | ) | 0.07 | 0.04 | (0.27 | ) | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | (0.01 | ) | (0.01 | ) | (0.05 | ) | ||||||||||||
Return of Capital | — | (0.01 | ) | — | — | — | ||||||||||||||
Total dividends and distributions | — | (0.01 | ) | (0.01 | ) | (0.01 | ) | (0.05 | ) | |||||||||||
Net Asset Value, End of Year | $ | 8.59 | $ | 8.91 | $ | 8.99 | $ | 8.93 | $ | 8.90 | ||||||||||
Total Return* | (3.59 | )% # | (0.81 | )% # | 0.77 | % # | 0.44 | % # | (2.93 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 65 | $ | 78 | $ | 78 | $ | 75 | $ | 1 | ||||||||||
Ratio of gross operating expenses to average net assets (2),(4) | 2.92 | % | 3.14 | % | 3.15 | % | 2.96 | % | 4.30 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | (1.83 | )% | (0.99 | )% | 0.00 | % | 0.49 | % | 0.32 | % | ||||||||||
Portfolio Turnover Rate | 0 | % | 82 | % | 22 | % | 2 | % | 104 | % | ||||||||||
U.S. Government Money Market Portfolio - Class A Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (1) | 0.00 | ** | 0.00 | ** | 0.00 | ** | 0.01 | 0.00 | ** | |||||||||||
Net realized and unrealized gain (loss) | — | — | — | — | — | |||||||||||||||
Total from investment operations | 0.00 | ** | 0.00 | ** | 0.00 | ** | 0.01 | 0.00 | ** | |||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | (0.01 | ) | (0.00 | ) ** | ||||||||||
Distributions from realized gains | — | — | — | — | — | |||||||||||||||
Total dividends and distributions | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | (0.01 | ) | (0.00 | ) ** | ||||||||||
Net Asset Value, End of Year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Total Return* | 0.01 | % | 0.02 | % | 0.01 | % # | 0.70 | % | 0.29 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 139 | $ | 409 | $ | 390 | $ | 326 | $ | 460 | ||||||||||
Ratio of gross operating expenses to average net assets (3),(4) | 1.36 | % | 1.07 | % | 1.58 | % | 1.64 | % | 1.56 | % | ||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (4) | 0.01 | % | 0.01 | % | 0.11 | % | 0.70 | % | 0.29 | % | ||||||||||
Portfolio Turnover Rate | N/A | N/A | N/A | N/A | N/A | |||||||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Municipal Bond Portfolio: |
2.30 | % | 1.64 | % | 1.54 | % | 1.21 | % | 1.53 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the U.S. Government Money Market Portfolio: |
0.32 | % | 0.02 | % | 0.67 | % | 1.63 | % | 1.16 | % | |||||||||||
(4) | Does not include the expenses of funds in which the Fund invests. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
124
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Aggressive Balanced Allocation Portfolio - Class A Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
December 29, | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 12.48 | $ | 10.39 | $ | 9.92 | $ | 10.43 | $ | 10.00 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | (0.06 | ) | (0.04 | ) | 0.23 | (0.27 | ) | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) | (0.96 | ) | 2.33 | 0.60 | 0.04 | 0.39 | ||||||||||||||
Total from investment operations | (1.02 | ) | 2.29 | 0.83 | (0.23 | ) | 0.43 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.37 | ) | (0.12 | ) | (0.25 | ) | (0.27 | ) | — | |||||||||||
Distributions from realized gains | (0.75 | ) | (0.08 | ) | (0.11 | ) | (0.01 | ) | — | |||||||||||
Total dividends and distributions | (1.12 | ) | (0.20 | ) | (0.36 | ) | (0.28 | ) | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 10.34 | $ | 12.48 | $ | 10.39 | $ | 9.92 | $ | 10.43 | ||||||||||
Total Return* | (9.07 | )% | 22.33 | % # | 8.44 | % | (2.01 | )% | 4.30 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 0 | ^ | $ | 5 | $ | 5 | $ | 4 | $ | 0 | ^ | ||||||||
Ratio of gross operating expenses to average net assets (4) | 2.73 | % | 2.73 | % | 2.26 | % | 3.03 | % | 3.40 | % (3) | ||||||||||
Ratio of net operating expenses to average net assets (4) | 1.24 | % | 1.18 | % | 1.04 | % | 1.04 | % | 0.60 | % (3) | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | (0.46 | )% | (0.35 | )% | 2.31 | % | (2.70 | )% | 0.58 | % (3) | ||||||||||
Portfolio Turnover Rate | 2 | % | 54 | % | 3 | % | 56 | % | 8 | % (5) | ||||||||||
Conservative Balanced Allocation Portfolio - Class A Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
December 29, | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 11.98 | $ | 10.56 | $ | 10.19 | $ | 10.33 | $ | 10.00 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.27 | (0.05 | ) | 0.19 | 0.19 | 0.04 | ||||||||||||||
Net realized and unrealized gain (loss) | (1.01 | ) | 1.49 | 0.52 | (0.14 | ) | 0.29 | |||||||||||||
Total from investment operations | (0.74 | ) | 1.44 | 0.71 | 0.05 | 0.33 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.26 | ) | (0.02 | ) | (0.21 | ) | (0.19 | ) | — | |||||||||||
Distributions from realized gains | (0.59 | ) | — | (0.10 | ) | (0.00 | ) ** | — | ||||||||||||
Distributions from return of capital | — | — | (0.03 | ) | — | — | ||||||||||||||
Total dividends and distributions | (0.85 | ) | (0.02 | ) | (0.34 | ) | (0.19 | ) | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 10.39 | $ | 11.98 | $ | 10.56 | $ | 10.19 | $ | 10.33 | ||||||||||
Total Return* | (6.64 | )% | 13.70 | % | 7.10 | % | 0.68 | % | 3.30 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 36 | $ | 38 | $ | 34 | $ | 31 | $ | 0 | ^ | |||||||||
Ratio of gross operating expenses to average net assets (4) | 2.26 | % | 2.19 | % | 1.85 | % | 2.00 | % | 2.97 | % (3) | ||||||||||
Ratio of net operating expenses to average net assets (4) | 1.24 | % | 1.18 | % | 1.04 | % | 0.98 | % | 0.72 | % (3) | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | 2.47 | % | (0.45 | )% | 1.91 | % | 1.90 | % | 0.62 | % (3) | ||||||||||
Portfolio Turnover Rate | 11 | % | 71 | % | 12 | % | 31 | % | 4 | % (5) | ||||||||||
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of funds in which the Fund invests. |
(5) | Not annualized |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
^ | Net assets at end of period less than $1,000. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
125
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Moderate Balanced Allocation Portfolio - Class A Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
December 29, | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 12.53 | $ | 10.67 | $ | 10.15 | $ | 10.43 | $ | 10.00 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.39 | (0.08 | ) | 0.31 | 0.34 | 0.04 | ||||||||||||||
Net realized and unrealized gain (loss) | (1.27 | ) | 2.06 | 0.55 | (0.34 | ) | 0.39 | |||||||||||||
Total from investment operations | (0.88 | ) | 1.98 | 0.86 | 0.00 | 0.43 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.32 | ) | (0.05 | ) | (0.23 | ) | (0.28 | ) | — | |||||||||||
Distributions from realized gains | (0.61 | ) | (0.07 | ) | (0.11 | ) | (0.00 | ) ** | — | |||||||||||
Total dividends and distributions | (0.93 | ) | (0.12 | ) | (0.34 | ) | (0.28 | ) | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 10.72 | $ | 12.53 | $ | 10.67 | $ | 10.15 | $ | 10.43 | ||||||||||
Total Return* | (7.59 | )% | 18.77 | % # | 8.68 | % | 0.31 | % | 4.30 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 16 | $ | 53 | $ | 34 | $ | 0 | ^ | $ | 0 | ^ | ||||||||
Ratio of gross operating expenses to average net assets (4) | 2.48 | % | 2.39 | % | 1.95 | % | 1.81 | % | 3.11 | % (3) | ||||||||||
Ratio of net operating expenses to average net assets (4) | 1.24 | % | 1.18 | % | 1.04 | % | 1.04 | % | 0.61 | % (3) | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | 3.35 | % | (0.67 | )% | 3.03 | % | 3.38 | % | 0.58 | % (3) | ||||||||||
Portfolio Turnover Rate | 2 | % | 52 | % | 8 | % | 35 | % | 7 | % (5) | ||||||||||
Moderately Aggressive Balanced Allocation Portfolio - Class A Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
December 29, | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 12.24 | $ | 10.46 | $ | 9.93 | $ | 10.35 | $ | 10.00 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.36 | 0.42 | (0.05 | ) | 0.27 | (0.02 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (1.11 | ) | 1.52 | 0.84 | (0.42 | ) | 0.37 | |||||||||||||
Total from investment operations | (0.75 | ) | 1.94 | 0.79 | (0.15 | ) | 0.35 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.36 | ) | (0.06 | ) | (0.25 | ) | (0.27 | ) | — | |||||||||||
Distributions from realized gains | (0.59 | ) | (0.10 | ) | (0.01 | ) | — | — | ||||||||||||
Total dividends and distributions | (0.95 | ) | (0.16 | ) | (0.26 | ) | (0.27 | ) | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 10.54 | $ | 12.24 | $ | 10.46 | $ | 9.93 | $ | 10.35 | ||||||||||
Total Return * | (8.09 | )% | 18.71 | % # | 7.93 | % | (1.18 | )% | 3.50 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 63 | $ | 0 | ^ | $ | 15 | $ | 0 | ^ | $ | 0 | ^ | |||||||
Ratio of gross operating expenses to average net assets (4) | 2.47 | % | 2.49 | % | 2.40 | % | 1.63 | % | 3.36 | % (3) | ||||||||||
Ratio of net operating expenses to average net assets (4) | 1.24 | % | 1.11 | % | 1.04 | % | 1.04 | % | 0.57 | % (3) | ||||||||||
Ratio of net investment income (loss) after expenses reimbursement/recoupment to average net assets (4) | 3.25 | % | 3.82 | % | (0.49 | )% | 2.81 | % | (0.28 | )% (3) | ||||||||||
Portfolio Turnover Rate | 0 | % | 48 | % | 8 | % | 69 | % | 0 | % (5) | ||||||||||
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of funds in which the Fund invests. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
^ | Net assets at end of period less than $1,000. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
126
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Moderately Conservative Balanced Allocation Portfolio - Class A Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
December 29, | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 13.00 | $ | 10.36 | $ | 9.94 | $ | 10.25 | $ | 10.00 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.28 | (0.03 | ) | 0.19 | 0.29 | 0.02 | ||||||||||||||
Net realized and unrealized gain (loss) | (2.07 | ) | 2.82 | 0.58 | (0.34 | ) | 0.23 | |||||||||||||
Total from investment operations | (1.79 | ) | 2.79 | 0.77 | (0.05 | ) | 0.25 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.32 | ) | (0.01 | ) | (0.26 | ) | (0.26 | ) | — | |||||||||||
Distributions from realized gains | (0.94 | ) | (0.14 | ) | (0.09 | ) | — | — | ||||||||||||
Total dividends and distributions | (1.26 | ) | (0.15 | ) | (0.35 | ) | (0.26 | ) | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 9.95 | $ | 13.00 | $ | 10.36 | $ | 9.94 | $ | 10.25 | ||||||||||
Total Return * | (7.19 | )% | 27.25 | % # | 7.85 | % | (0.19 | )% | 2.50 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) ^ | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Ratio of gross operating expenses to average net assets (4) | 2.55 | % | 2.49 | % | 2.10 | % | 2.54 | % | 2.70 | % (3) | ||||||||||
Ratio of net operating expenses to average net assets (4) | 1.24 | % | 1.17 | % | 1.04 | % | 1.04 | % | 0.68 | % (3) | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | 2.63 | % | (0.26 | )% | 1.93 | % | 2.95 | % | 0.23 | % (3) | ||||||||||
Portfolio Turnover Rate | 10 | % | 74 | % | 11 | % | 57 | % | 0 | % (5) | ||||||||||
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of funds in which the Fund invests. |
(5) | Not annualized |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
^ | Net assets at end of period less than $1,000. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
127
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Large Capitalization Value Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 25.16 | $ | 17.64 | $ | 16.91 | $ | 18.61 | $ | 19.93 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.40 | ) | (0.33 | ) | (0.20 | ) | (0.17 | ) | (0.10 | ) | ||||||||||
Net realized and unrealized gain (loss) | 0.32 | 7.85 | 0.93 | (0.21 | ) | 0.58 | ||||||||||||||
Total from investment operations | (0.08 | ) | 7.52 | 0.73 | (0.38 | ) | 0.48 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (6.29 | ) | — | — | (1.32 | ) | (0.78 | ) | ||||||||||||
Distributions from return of capital | — | — | — | — | (1.02 | ) | ||||||||||||||
Total dividends and distributions | (6.29 | ) | — | — | (1.32 | ) | (1.80 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 18.79 | $ | 25.16 | $ | 17.64 | $ | 16.91 | $ | 18.61 | ||||||||||
Total Return* | (1.22 | )% | 42.63 | % | 4.32 | % | (1.15 | )% | 2.54 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 120 | $ | 125 | $ | 113 | $ | 245 | $ | 650 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 2.67 | % | 2.30 | % | 2.17 | % | 2.14 | % | 2.22 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (1.93 | )% | (1.51 | )% | (1.16 | )% | (1.03 | )% | (0.54 | )% | ||||||||||
Portfolio Turnover Rate | 117 | % | 108 | % | 82 | % | 87 | % | 100 | % | ||||||||||
Large Capitalization Growth Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 18.60 | $ | 16.76 | $ | 15.88 | $ | 22.83 | $ | 18.98 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.25 | ) | (0.26 | ) | (0.16 | ) | (0.17 | ) | (0.20 | ) | ||||||||||
Net realized and unrealized gain (loss) | (1.52 | ) | 4.54 | 4.71 | (1.38 | ) | 5.60 | |||||||||||||
Total from investment operations | (1.77 | ) | 4.28 | 4.55 | (1.55 | ) | 5.40 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | |||||||||||||||
Distributions from realized gains | (6.37 | ) | (2.44 | ) | (3.67 | ) | (5.40 | ) | (1.55 | ) | ||||||||||
Distributions from return of capital | (0.45 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions | (6.82 | ) | (2.44 | ) | (3.67 | ) | (5.40 | ) | (1.55 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 10.01 | $ | 18.60 | $ | 16.76 | $ | 15.88 | $ | 22.83 | ||||||||||
Total Return* | (17.28 | )% | 29.86 | % | 34.52 | % | (5.32 | )% | 29.98 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,919 | $ | 2,854 | $ | 2,676 | $ | 3,258 | $ | 9,960 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 2.68 | % | 2.37 | % | 2.13 | % | 2.06 | % | 2.14 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (2.00 | )% | (1.57 | )% | (1.12 | )% | (0.98 | )% | (1.00 | )% | ||||||||||
Portfolio Turnover Rate | 60 | % | 65 | % | 74 | % | 90 | % | 74 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Large Cap Value Portfolio: |
2.67 | % | 2.30 | % | 2.17 | % | 2.14 | % | 2.22 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Large Cap Growth Portfolio: |
2.68 | % | 2.37 | % | 2.13 | % | 2.06 | % | 2.14 | % | |||||||||||
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
128
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Mid Capitalization Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.32 | $ | 8.34 | $ | 8.45 | $ | 10.15 | $ | 9.96 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.12 | ) | (0.11 | ) | (0.06 | ) | (0.03 | ) | (0.06 | ) | ||||||||||
Net realized and unrealized gain (loss) | (0.80 | ) | 3.16 | (0.05 | ) | (0.52 | ) | 1.20 | ||||||||||||
Total from investment operations | (0.92 | ) | 3.05 | (0.11 | ) | (0.55 | ) | 1.14 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (1.87 | ) | (1.07 | ) | — | (1.15 | ) | (0.95 | ) | |||||||||||
Total dividends and distributions | (1.87 | ) | (1.07 | ) | — | (1.15 | ) | (0.95 | ) | |||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 7.53 | $ | 10.32 | $ | 8.34 | $ | 8.45 | $ | 10.15 | ||||||||||
Total Return* | (10.84 | )% | 39.15 | % | (1.30 | )% | (4.10 | )% | 12.06 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 122 | $ | 178 | $ | 141 | $ | 246 | $ | 672 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 3.02 | % | 2.64 | % | 2.46 | % | 2.32 | % | 2.47 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (1.35 | )% | (1.19 | )% | (0.74 | )% | (0.34 | )% | (0.64 | )% | ||||||||||
Portfolio Turnover Rate | 43 | % | 55 | % | 53 | % | 49 | % | 39 | % | ||||||||||
Small Capitalization Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 3.59 | $ | 2.47 | $ | 2.28 | $ | 3.86 | $ | 3.20 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.03 | ) | (0.06 | ) | (0.03 | ) | (0.02 | ) | (0.04 | ) | ||||||||||
Net realized and unrealized gain (loss) | (0.02 | ) | 1.18 | 0.22 | (0.65 | ) | 0.70 | |||||||||||||
Total from investment operations | (0.05 | ) | 1.12 | 0.19 | (0.67 | ) | 0.66 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (1.99 | ) | — | — | (0.91 | ) | — | |||||||||||||
Total dividends and distributions | (1.99 | ) | — | — | (0.91 | ) | — | |||||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 1.55 | $ | 3.59 | $ | 2.47 | $ | 2.28 | $ | 3.86 | ||||||||||
Total Return* | (8.75 | )% | 45.34 | % | 8.33 | % | (16.13 | )% | 20.62 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 4 | $ | 3 | $ | 1 | $ | 41 | $ | 242 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 3.05 | % | 2.84 | % | 2.67 | % | 2.43 | % | 2.54 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (1.58 | )% | (1.69 | )% | (1.43 | )% | (1.03 | )% | (1.20 | )% | ||||||||||
Portfolio Turnover Rate | 104 | % | 103 | % | 101 | % | 90 | % | 115 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Mid Capitalization Portfolio: |
3.02 | % | 2.64 | % | 2.46 | % | 2.32 | % | 2.47 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Small Cap Portfolio: |
3.05 | % | 2.84 | % | 2.67 | % | 2.43 | % | 2.54 | % | |||||||||||
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
129
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
International Equity Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.98 | $ | 8.04 | $ | 7.97 | $ | 9.14 | $ | 9.49 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.04 | ) | (0.03 | ) | 0.01 | 0.09 | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (2.76 | ) | 2.97 | 0.06 | (1.26 | ) | (0.32 | ) | ||||||||||||
Total from investment operations | (2.80 | ) | 2.94 | 0.07 | (1.17 | ) | (0.35 | ) | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.03 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions | (0.03 | ) | — | — | — | — | ||||||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 8.15 | $ | 10.98 | $ | 8.04 | $ | 7.97 | $ | 9.14 | ||||||||||
Total Return* | (25.55 | )% | 36.57 | % | 0.63 | % # | (12.80 | )% # | (3.69 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 8 | $ | 9 | $ | 1 | $ | 9 | $ | 120 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 4.18 | % | 3.96 | % | 2.69 | % | 2.58 | % | 3.30 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.39 | )% | (0.31 | )% | 0.15 | % | 1.13 | % | (0.27 | )% | ||||||||||
Portfolio Turnover Rate | 47 | % | 59 | % | 52 | % | 95 | % | 130 | % | ||||||||||
Health & Biotechnology Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 15.95 | $ | 15.68 | $ | 14.79 | $ | 20.70 | $ | 23.40 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.30 | ) | (0.25 | ) | (0.15 | ) | (0.17 | ) | (0.25 | ) | ||||||||||
Net realized and unrealized gain (loss) | (0.92 | ) | 3.10 | 1.95 | (1.68 | ) | 1.78 | |||||||||||||
Total from investment operations | (1.22 | ) | 2.85 | 1.80 | (1.85 | ) | 1.53 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (0.79 | ) | (2.58 | ) | (0.91 | ) | (4.06 | ) | (4.23 | ) | ||||||||||
Total dividends and distributions | (0.79 | ) | (2.58 | ) | (0.91 | ) | (4.06 | ) | (4.23 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 13.94 | $ | 15.95 | $ | 15.68 | $ | 14.79 | $ | 20.70 | ||||||||||
Total Return* | (7.85 | )% | 21.24 | % | 12.16 | % | (10.03 | )% | 7.78 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 632 | $ | 722 | $ | 743 | $ | 744 | $ | 2,186 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 3.50 | % | 3.13 | % | 2.91 | % | 2.83 | % | 2.90 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (2.06 | )% | (1.67 | )% | (0.96 | )% | (1.02 | )% | (1.20 | )% | ||||||||||
Portfolio Turnover Rate | 23 | % | 19 | % | 21 | % | 32 | % | 13 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the International Equity Portfolio: |
3.90 | % | 3.65 | % | 2.25 | % | 2.25 | % | 2.95 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Health & Biotechnology Portfolio: |
3.50 | % | 3.13 | % | 2.91 | % | 2.83 | % | 2.90 | % | |||||||||||
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
130
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Technology & Communications Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 22.78 | $ | 22.19 | $ | 17.47 | $ | 18.34 | $ | 15.78 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.37 | ) | (0.46 | ) | (0.26 | ) | (0.15 | ) | (0.25 | ) | ||||||||||
Net realized and unrealized gain (loss) | (4.80 | ) | 4.69 | 5.95 | 0.16 | 4.40 | ||||||||||||||
Total from investment operations | (5.17 | ) | 4.23 | 5.69 | 0.01 | 4.15 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (3.64 | ) | (3.64 | ) | (0.97 | ) | (0.88 | ) | (1.59 | ) | ||||||||||
Total dividends and distributions | (3.64 | ) | (3.64 | ) | (0.97 | ) | (0.88 | ) | (1.59 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 13.97 | $ | 22.78 | $ | 22.19 | $ | 17.47 | $ | 18.34 | ||||||||||
Total Return* | (26.74 | )% | 22.63 | % | 33.93 | % | 0.68 | % | 28.07 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 3,887 | $ | 9,708 | $ | 9,994 | $ | 8,280 | $ | 10,996 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 3.27 | % | 2.97 | % | 2.68 | % | 2.68 | % | 2.75 | % | ||||||||||
Ratio of net investment loss after expense reimbursement/recoupment to average net assets | (2.10 | )% | (2.18 | )% | (1.43 | )% | (0.88 | )% | (1.50 | )% | ||||||||||
Portfolio Turnover Rate | 3 | % | 10 | % | 10 | % | 2 | % | 1 | % | ||||||||||
Energy & Basic Materials Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.03 | $ | 6.17 | $ | 7.64 | $ | 10.86 | $ | 9.23 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | 0.16 | 0.03 | 0.03 | (0.04 | ) | (0.17 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 1.09 | 1.91 | (1.50 | ) | (3.18 | ) | 1.80 | |||||||||||||
Total from investment operations | 1.25 | 1.94 | (1.47 | ) | (3.22 | ) | 1.63 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.04 | ) | (0.08 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (0.04 | ) | (0.08 | ) | — | — | — | |||||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 9.24 | $ | 8.03 | $ | 6.17 | $ | 7.64 | $ | 10.86 | ||||||||||
Total Return* | 15.66 | % | 31.63 | % | (19.24 | )% | (29.65 | )% | 17.66 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 7 | $ | 6 | $ | 5 | $ | 8 | $ | 56 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 4.23 | % | 5.06 | % | 4.66 | % | 4.14 | % | 4.54 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 1.74 | % | 0.41 | % | 0.41 | % | (0.41 | )% | (1.58 | )% | ||||||||||
Portfolio Turnover Rate | 43 | % | 81 | % | 63 | % | 45 | % | 61 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Technology & Communications Portfolio: |
3.27 | % | 2.97 | % | 2.68 | % | 2.68 | % | 2.75 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Energy & Basic Materials Portfolio: |
4.00 | % | 4.00 | % | 4.00 | % | 4.00 | % | 4.00 | % | |||||||||||
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
131
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Financial Services Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.96 | $ | 6.05 | $ | 6.95 | $ | 9.89 | $ | 8.78 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | 0.19 | (0.03 | ) | (0.15 | ) | (0.14 | ) | (0.22 | ) | |||||||||||
Net realized and unrealized gain (loss) | (1.23 | ) | 3.28 | (0.54 | ) | (1.12 | ) | 1.33 | ||||||||||||
Total from investment operations | (1.04 | ) | 3.25 | (0.69 | ) | (1.26 | ) | 1.11 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (0.51 | ) | (0.34 | ) | (0.21 | ) | (1.68 | ) | — | |||||||||||
Total dividends and distributions | (0.51 | ) | (0.34 | ) | (0.21 | ) | (1.68 | ) | — | |||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 7.41 | $ | 8.96 | $ | 6.05 | $ | 6.95 | $ | 9.89 | ||||||||||
Total Return* | (12.37 | )% | 55.79 | % | (10.47 | )% | (11.79 | )% | 12.64 | % + | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 0 | $ | 0 | $ | 0 | $ | 7 | $ | 68 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 4.28 | % | 3.42 | % | 4.21 | % | 4.35 | % | 4.42 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 2.34 | % | (0.37 | )% | (2.04 | )% | (1.75 | )% | (2.28 | )% | ||||||||||
Portfolio Turnover Rate | 39 | % | 59 | % | 71 | % | 67 | % | 52 | % | ||||||||||
Investment Quality Bond Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.55 | $ | 9.74 | $ | 9.55 | $ | 9.32 | $ | 9.58 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.19 | ) | (0.12 | ) | (0.02 | ) | 0.01 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | (0.22 | ) | (0.06 | ) | 0.23 | 0.27 | (0.20 | ) | ||||||||||||
Total from investment operations | (0.41 | ) | (0.18 | ) | 0.21 | 0.28 | (0.15 | ) | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (0.01 | ) | (0.02 | ) | (0.05 | ) | (0.04 | ) | |||||||||||
Distributions from realized gains | (0.12 | ) | — | — | — | (0.07 | ) | |||||||||||||
Total dividends and distributions | (0.12 | ) | (0.01 | ) | (0.02 | ) | (0.05 | ) | (0.11 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 9.02 | $ | 9.55 | $ | 9.74 | $ | 9.55 | $ | 9.32 | ||||||||||
Total Return* | (4.28 | )% | (1.83 | )% | 2.17 | % | 3.04 | % | (1.56 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 35 | $ | 37 | $ | 39 | $ | 103 | $ | 365 | ||||||||||
Ratio of gross operating expenses to average net assets (3),(4) | 2.91 | % | 2.39 | % | 2.39 | % | 2.32 | % | 2.54 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | (2.11 | )% | (1.27 | )% | (0.24 | )% | 0.15 | % | 0.54 | % | ||||||||||
Portfolio Turnover Rate | 1 | % | 62 | % | 23 | % | 11 | % | 112 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Financial Services Portfolio: |
4.00 | % | 3.00 | % | 4.00 | % | 4.00 | % | 4.00 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Investment Quality Bond Portfolio: |
2.90 | % | 2.39 | % | 2.39 | % | 2.32 | % | 1.56 | % | |||||||||||
(4) | Does not include the expenses of funds in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
+ | Includes a reimbursement from the Advisor for a trading error without this transaction the total return would have been 16.06%. |
132
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Municipal Bond Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.97 | $ | 9.08 | $ | 9.01 | $ | 8.95 | $ | 9.26 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.22 | ) | (0.12 | ) | 0.00 | ** | 0.00 | ** | 0.00 | ** | ||||||||||
Net realized and unrealized gain (loss) | (0.15 | ) | 0.02 | 0.08 | 0.07 | (0.29 | ) | |||||||||||||
Total from investment operations | (0.37 | ) | (0.10 | ) | 0.08 | 0.07 | (0.29 | ) | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | (0.01 | ) | (0.01 | ) | (0.02 | ) | ||||||||||||
Return of Capital | — | (0.01 | ) | — | — | — | ||||||||||||||
Total dividends and distributions | — | (0.01 | ) | (0.01 | ) | (0.01 | ) | (0.02 | ) | |||||||||||
Net Asset Value, End of Year | $ | 8.60 | $ | 8.97 | $ | 9.08 | $ | 9.01 | $ | 8.95 | ||||||||||
Total Return* | (4.12 | )% # | (1.14 | )% # | 0.88 | % # | 0.77 | % # | (3.16 | )% # | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 22 | $ | 35 | $ | 35 | $ | 70 | $ | 206 | ||||||||||
Ratio of gross operating expenses to average net assets (2),(4) | 3.68 | % | 3.74 | % | 3.72 | % | 4.01 | % | 4.80 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | (2.47 | )% | (1.30 | )% | 0.00 | % | 0.04 | % | 0.02 | % | ||||||||||
Portfolio Turnover Rate | 0 | % | 82 | % | 22 | % | 2 | % | 104 | % | ||||||||||
U.S. Government Money Market Portfolio - Class C Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (1) | 0.00 | ** | 0.00 | ** | 0.00 | ** | 0.00 | ** | 0.00 | ** | ||||||||||
Net realized and unrealized gain (loss) | — | — | — | — | — | |||||||||||||||
Total from investment operations | 0.00 | ** | 0.00 | ** | 0.00 | ** | 0.00 | ** | 0.00 | ** | ||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | ||||||||||
Distributions from realized gains | — | — | — | — | — | |||||||||||||||
Total dividends and distributions | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | ||||||||||
Net Asset Value, End of Year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Total Return* | 0.01 | % | 0.02 | % | 0.00 | % # | 0.16 | % | 0.29 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 94 | $ | 105 | $ | 98 | $ | 165 | $ | 507 | ||||||||||
Ratio of gross operating expenses to average net assets (3),(4) | 1.92 | % | 1.07 | % | 2.18 | % | 2.21 | % | 2.16 | % | ||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (4) | 0.02 | % | 0.00 | % | (0.77 | )% | 0.18 | % | 0.28 | % | ||||||||||
Portfolio Turnover Rate | N/A | N/A | N/A | N/A | N/A | |||||||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Municipal Bond Portfolio: |
2.90 | % | 1.94 | % | 1.55 | % | 1.95 | % | 1.73 | % | |||||||||||
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the U.S. Government Money Market Portfolio: |
0.46 | % | 0.02 | % | 1.68 | % | 2.15 | % | 1.16 | % | |||||||||||
(4) | Does not include the expenses of funds in which the Fund invests. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
133
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Aggressive Balanced Allocation Portfolio - Class C Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
December 29, | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 12.43 | $ | 10.34 | $ | 9.92 | $ | 10.43 | $ | 10.00 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.22 | 0.32 | 0.07 | (0.44 | ) | (0.02 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (1.36 | ) | 1.88 | 0.69 | 0.21 | 0.45 | ||||||||||||||
Total from investment operations | (1.14 | ) | 2.20 | 0.76 | (0.23 | ) | 0.43 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.24 | ) | (0.03 | ) | (0.23 | ) | (0.27 | ) | — | |||||||||||
Distributions from realized gains | (0.75 | ) | (0.08 | ) | (0.11 | ) | (0.01 | ) | — | |||||||||||
Total dividends and distributions | (0.99 | ) | (0.11 | ) | (0.34 | ) | (0.28 | ) | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 10.30 | $ | 12.43 | $ | 10.34 | $ | 9.92 | $ | 10.43 | ||||||||||
Total Return* | (9.93 | )% | 21.37 | % # | 7.64 | % | (2.01 | )% | 4.30 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 152 | $ | 182 | $ | 184 | $ | 116 | $ | 0 | ^ | |||||||||
Ratio of gross operating expenses to average net assets (4) | 3.25 | % | 3.35 | % | 3.01 | % | 2.54 | % | 3.99 | % (3) | ||||||||||
Ratio of net operating expenses to average net assets (4) | 1.99 | % | 1.92 | % | 1.79 | % | 1.79 | % | 1.35 | % (3) | ||||||||||
Ratio of net investment gain (loss) after expense reimbursement/recoupment to average net assets (4) | 1.93 | % | 2.85 | % | 0.76 | % | (4.31 | )% | (0.31 | )% (3) | ||||||||||
Portfolio Turnover Rate | 2 | % | 54 | % | 3 | % | 56 | % | 8 | % (5) | ||||||||||
Conservative Balanced Allocation Portfolio - Class C Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
December 29, | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 11.85 | $ | 10.51 | $ | 10.18 | $ | 10.33 | $ | 10.00 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.19 | (0.14 | ) | 0.14 | (0.27 | ) | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (1.00 | ) | 1.48 | 0.51 | 0.31 | 0.36 | ||||||||||||||
Total from investment operations | (0.81 | ) | 1.34 | 0.65 | 0.04 | 0.33 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.18 | ) | — | (0.19 | ) | (0.19 | ) | — | ||||||||||||
Distributions from realized gains | (0.59 | ) | — | (0.10 | ) | (0.00 | ) ** | — | ||||||||||||
Distributions from return of capital | — | — | (0.03 | ) | (0.00 | ) | — | |||||||||||||
Total dividends and distributions | (0.77 | ) | — | (0.32 | ) | (0.19 | ) | — | ||||||||||||
Net Asset Value, End of Year/Period | $ | 10.27 | $ | 11.85 | $ | 10.51 | $ | 10.18 | $ | 10.33 | ||||||||||
Total Return* | (7.34 | )% | 12.75 | % | 6.45 | % | 0.58 | % | 3.30 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 626 | $ | 675 | $ | 594 | $ | 712 | $ | 0 | ^ | |||||||||
Ratio of gross operating expenses to average net assets (4) | 3.01 | % | 2.94 | % | 2.60 | % | 2.38 | % | 3.71 | % (3) | ||||||||||
Ratio of net operating expenses to average net assets (4) | 1.99 | % | 1.93 | % | 1.79 | % | 1.79 | % | 1.47 | % (3) | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | 1.72 | % | (1.22 | )% | 1.39 | % | (2.60 | )% | (0.43 | )% (3) | ||||||||||
Portfolio Turnover Rate | 11 | % | 71 | % | 12 | % | 31 | % | 4 | % (5) | ||||||||||
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of funds in which the Fund invests. |
(5) | Not annualized |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
^ | Net assets at end of period less than $1,000. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
134
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Moderate Balanced Allocation Portfolio - Class C Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
December 29, | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 12.43 | $ | 10.61 | $ | 10.13 | $ | 10.43 | $ | 10.00 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.22 | (0.13 | ) | 0.10 | (0.40 | ) | (0.01 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (1.19 | ) | 2.02 | 0.68 | 0.38 | 0.44 | ||||||||||||||
Total from investment operations | (0.97 | ) | 1.89 | 0.78 | (0.02 | ) | 0.43 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.22 | ) | — | (0.19 | ) | (0.28 | ) | — | ||||||||||||
Distributions from realized gains | (0.61 | ) | (0.07 | ) | (0.11 | ) | (0.00 | ) ** | — | |||||||||||
Total dividends and distributions | (0.83 | ) | (0.07 | ) | (0.30 | ) | (0.28 | ) | — | |||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year/Period | $ | 10.63 | $ | 12.43 | $ | 10.61 | $ | 10.13 | $ | 10.43 | ||||||||||
Total Return* | (8.37 | )% | 17.94 | % | 7.83 | % | 0.11 | % | 4.30 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 497 | $ | 534 | $ | 502 | $ | 402 | $ | 0 | ^ | |||||||||
Ratio of gross operating expenses to average net assets (4) | 3.11 | % | 3.10 | % | 2.70 | % | 2.56 | % | 3.85 | % (3) | ||||||||||
Ratio of net operating expenses to average net assets (4) | 1.99 | % | 1.93 | % | 1.79 | % | 1.79 | % | 1.36 | % (3) | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | 1.93 | % | (1.10 | )% | 0.96 | % | (3.98 | )% | (0.18 | )% (3) | ||||||||||
Portfolio Turnover Rate | 2 | % | 52 | % | 8 | % | 35 | % | 7 | % (5) | ||||||||||
Moderately Aggressive Balanced Allocation Portfolio - Class C Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
December 29, | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 12.32 | $ | 10.41 | $ | 9.91 | $ | 10.35 | $ | 10.00 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.20 | (0.12 | ) | 0.19 | (0.45 | ) | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (1.21 | ) | 2.13 | 0.52 | 0.28 | 0.38 | ||||||||||||||
Total from investment operations | (1.01 | ) | 2.01 | 0.71 | (0.17 | ) | 0.35 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.24 | ) | — | (0.20 | ) | (0.27 | ) | — | ||||||||||||
Distributions from realized gains | (0.59 | ) | (0.10 | ) | (0.01 | ) | — | — | ||||||||||||
Total dividends and distributions | (0.83 | ) | (0.10 | ) | (0.21 | ) | (0.27 | ) | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 10.48 | $ | 12.32 | $ | 10.41 | $ | 9.91 | $ | 10.35 | ||||||||||
Total Return * | (8.79 | )% | 19.45 | % | 7.13 | % | (1.38 | )% | 3.50 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 187 | $ | 202 | $ | 161 | $ | 175 | $ | 0 | ^ | |||||||||
Ratio of gross operating expenses to average net assets (4) | 3.26 | % | 3.50 | % | 3.08 | % | 2.40 | % | 4.18 | % (3) | ||||||||||
Ratio of net operating expenses to average net assets (4) | 1.99 | % | 1.93 | % | 1.79 | % | 1.79 | % | 1.32 | % (3) | ||||||||||
Ratio of net investment income (loss) after expenses reimbursement/recoupment to average net assets (4) | 1.75 | % | (1.09 | )% | 1.88 | % | (4.40 | )% | (0.43 | )% (3) | ||||||||||
Portfolio Turnover Rate | 0 | % | 48 | % | 8 | % | 69 | % | 0 | % (5) | ||||||||||
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of funds in which the Fund invests. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
^ | Net assets at end of period less than $1,000. |
135
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Moderately Conservative Balanced Allocation Portfolio - Class C Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
December 29, | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 11.78 | $ | 10.28 | $ | 9.92 | $ | 10.25 | $ | 10.00 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.19 | (0.13 | ) | 0.15 | (0.37 | ) | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (1.05 | ) | 1.77 | 0.51 | 0.30 | 0.28 | ||||||||||||||
Total from investment operations | (0.86 | ) | 1.64 | 0.66 | (0.07 | ) | 0.25 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.20 | ) | — | (0.21 | ) | (0.26 | ) | — | ||||||||||||
Distributions from realized gains | (0.94 | ) | (0.14 | ) | (0.09 | ) | — | — | ||||||||||||
Total dividends and distributions | (1.14 | ) | (0.14 | ) | (0.30 | ) | (0.26 | ) | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 9.78 | $ | 11.78 | $ | 10.28 | $ | 9.92 | $ | 10.25 | ||||||||||
Total Return * | (8.01 | )% | 16.10 | % | 6.72 | % # | (0.39 | )% | 2.50 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 155 | $ | 168 | $ | 83 | $ | 190 | $ | 0 | ^ | |||||||||
Ratio of gross operating expenses to average net assets (4) | 3.50 | % | 3.39 | % | 2.85 | % | 3.29 | % | 3.31 | % (3) | ||||||||||
Ratio of net operating expenses to average net assets (4) | 1.99 | % | 1.93 | % | 1.79 | % | 1.79 | % | 1.41 | % (3) | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets (4) | 1.82 | % | (1.16 | )% | 1.50 | % | (3.77 | )% | (0.51 | )% (3) | ||||||||||
Portfolio Turnover Rate | 10 | % | 74 | % | 11 | % | 57 | % | 0 | % (5) | ||||||||||
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of funds in which the Fund invests. |
(5) | Not annualized |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
^ | Net assets at end of period less than $1,000. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
136
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees
of Saratoga Advantage Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Large Capitalization Value Portfolio, Large Capitalization Growth Portfolio, Mid Capitalization Portfolio, Small Capitalization Portfolio, International Equity Portfolio, Health and Biotechnology Portfolio, Technology and Communications Portfolio, Energy and Basic Materials Portfolio, Financial Services Portfolio, Investment Quality Bond Portfolio, Municipal Bond Portfolio, U.S. Government Money Market Portfolio, Aggressive Balanced Allocation Portfolio, Conservative Balanced Allocation Portfolio, Moderate Balanced Allocation Portfolio, Moderately Aggressive Balanced Allocation Portfolio, Moderately Conservative Balanced Allocation Portfolio, (referred to as the “Funds”) each a series of the Saratoga Advantage Trust, including the schedules of investments, as of August 31, 2022, the related statements of operations, the statement of changes in net assets and the financial highlights for each of the periods indicated in the table below, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of August 31, 2022, the results of their operations, the changes in their net assets and their financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
Individual Funds constituting Saratoga Advantage Trust | Statement of Operations | Statements of Changes in Net Assets | Financial Highlights | |||
Large Capitalization Value Portfolio, Large Capitalization Growth Portfolio, Mid Capitalization Portfolio, Small Capitalization Portfolio, International Equity Portfolio, Health and Biotechnology Portfolio, Technology and Communications Portfolio, Energy and Basic Materials Portfolio, Financial Services Portfolio, Investment Quality Bond Portfolio, Municipal Bond Portfolio, U.S. Government Money Market Portfolio | For the year ended August 31, 2022 | For each of the two years in the period ended August 31, 2022 | For each of the five years in the period ended August 31, 2022 | |||
Aggressive Balanced Allocation Portfolio, Conservative Balanced Allocation Portfolio, Moderate Balanced Allocation Portfolio, Moderately Aggressive Balanced Allocation Portfolio, Moderately Conservative Balanced Allocation Portfolio | For the year ended August 31, 2022 | For each of the two years in the period ended August 31, 2022 | For each of the four years in the period ended August 31, 2022 and for the period from December 29, 2017 (commencement of operations) through August 31, 2018 |
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2003.
137
To the Shareholders and Board of Trustees
of Saratoga Advantage Trust
Page Two
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
TAIT, WELLER & BAKER LLP
Philadelphia, Pennsylvania
October 28, 2022
138
SUPPLEMENTAL INFORMATION (Unaudited) |
Shareholders of funds will pay ongoing expenses, such as advisory fees, distribution and services fees (12b-1 fees), and other fund expenses. The following examples are intended to help the shareholder understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges (CDSCs) on redemptions.
This example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period from March 1, 2022, through August 31, 2022.
Actual Expenses: The first table provides information about actual account values and actual expenses. The shareholder may use the information in this line, together with the amount invested, to estimate the expenses that would be paid over the period. Simply divide 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 under the heading entitled “Expenses Paid” to estimate the expenses paid on the account during the period.
Beginning Account | Ending Account | Expense Paid | Expense Ratio | |||||
Value - 3/1/2022 | Value - 8/31/2022 | 3/1/2022 - 8/31/2022* | [Annualized] | |||||
Actual Expenses - Table 2: | ||||||||
Large Capitalization Value – Class I | $1,000.00 | $961.10 | $6.24 | 1.26% | ||||
Large Capitalization Value – Class A | 1,000.00 | 959.20 | 8.62 | 1.75% | ||||
Large Capitalization Value – Class C | 1,000.00 | 956.20 | 11.39 | 2.31% | ||||
Large Capitalization Growth – Class I | 1,000.00 | 906.10 | 6.70 | 1.39% | ||||
Large Capitalization Growth – Class A | 1,000.00 | 904.00 | 8.57 | 1.78% | ||||
Large Capitalization Growth – Class C | 1,000.00 | 901.00 | 11.53 | 2.41% | ||||
Mid Capitalization – Class I | 1,000.00 | 914.40 | 9.25 | 1.92% | ||||
Mid Capitalization – Class A | 1,000.00 | 912.50 | 11.20 | 2.32% | ||||
Mid Capitalization – Class C | 1,000.00 | 909.40 | 14.07 | 2.92% | ||||
Small Capitalization – Class I | 1,000.00 | 918.00 | 9.14 | 1.89% | ||||
Small Capitalization – Class A | 1,000.00 | 915.50 | 11.10 | 2.30% | ||||
Small Capitalization – Class C | 1,000.00 | 917.20 | 13.98 | 2.89% | ||||
International Equity – Class I | 1,000.00 | 782.60 | 13.03 | 2.90% | ||||
International Equity – Class A | 1,000.00 | 780.60 | 14.81 | 3.30% | ||||
International Equity – Class C | 1,000.00 | 777.70 | 17.47 | 3.90% | ||||
Health & Biotechnology – Class I | 1,000.00 | 985.60 | 12.01 | 2.40% | ||||
Health & Biotechnology – Class A | 1,000.00 | 983.70 | 14.00 | 2.80% | ||||
Health & Biotechnology – Class C | 1,000.00 | 981.00 | 16.98 | 3.40% | ||||
Technology & Communications – Class I | 1,000.00 | 855.10 | 7.73 | 1.65% | ||||
Technology & Communications – Class A | 1,000.00 | 852.50 | 9.48 | 2.03% | ||||
Technology & Communications – Class C | 1,000.00 | 850.80 | 13.18 | 2.83% | ||||
Energy & Basic Materials – Class I | 1,000.00 | 984.90 | 15.01 | 3.00% | ||||
Energy & Basic Materials – Class A | 1,000.00 | 984.30 | 16.30 | 3.26% | ||||
Energy & Basic Materials – Class C | 1,000.00 | 980.90 | 19.97 | 4.00% | ||||
Financial Services – Class I | 1,000.00 | 852.10 | 14.00 | 3.00% | ||||
Financial Services – Class A | 1,000.00 | 850.20 | 15.86 | 3.40% | ||||
Financial Services – Class C | 1,000.00 | 866.70 | 18.82 | 4.00% | ||||
Investment Quality Bond – Class I | 1,000.00 | 984.00 | 9.50 | 1.90% | ||||
Investment Quality Bond – Class A | 1,000.00 | 982.80 | 11.49 | 2.30% | ||||
Investment Quality Bond – Class C | 1,000.00 | 979.40 | 14.47 | 2.90% | ||||
Municipal Bond – Class I | 1,000.00 | 985.30 | 9.51 | 1.90% | ||||
Municipal Bond – Class A | 1,000.00 | 982.80 | 11.50 | 2.30% | ||||
Municipal Bond – Class C | 1,000.00 | 980.60 | 14.48 | 2.90% | ||||
U.S. Government Money Market – Class I | 1,000.00 | 1,000.10 | 4.45 | 0.88% | ||||
U.S. Government Money Market – Class A | 1,000.00 | 1,000.10 | 4.34 | 0.86% | ||||
U.S. Government Money Market – Class C | 1,000.00 | 1,000.00 | 4.56 | 0.90% |
139
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Beginning Account | Ending Account | Expense Paid | Expense Ratio | |||||
Value -3/1/2022 | Value - 8/31/2022 | 3/1/2022 - 8/31/2022* | [Annualized] | |||||
Actual Expenses - Table 2: (Continued) | ||||||||
Aggressive Balanced Allocation - Class I | $1,000.00 | $935.20 | $4.83 | 0.99% | ||||
Aggressive Balanced Allocation - Class A | 1,000.00 | 934.90 | 6.05 | 1.10% | ||||
Aggressive Balanced Allocation - Class C | 1,000.00 | 930.40 | 9.68 | 1.99% | ||||
Conservative Balanced Allocation - Class I | 1,000.00 | 953.30 | 4.87 | 0.99% | ||||
Conservative Balanced Allocation - Class A | 1,000.00 | 952.30 | 6.10 | 1.24% | ||||
Conservative Balanced Allocation - Class C | 1,000.00 | 948.30 | 9.77 | 1.99% | ||||
Moderate Aggressive Balanced Allocation - Class I | 1,000.00 | 943.00 | 4.85 | 0.99% | ||||
Moderate Aggressive Balanced Allocation - Class A | 1,000.00 | 941.90 | 6.07 | 1.24% | ||||
Moderate Aggressive Balanced Allocation - Class C | 1,000.00 | 938.20 | 9.72 | 1.99% | ||||
Moderate Balanced Allocation - Class I | 1,000.00 | 946.30 | 4.86 | 0.99% | ||||
Moderate Balanced Allocation - Class A | 1,000.00 | 945.40 | 6.08 | 1.24% | ||||
Moderate Balanced Allocation - Class C | 1,000.00 | 941.50 | 9.74 | 1.99% | ||||
Moderate Conservative Balanced Allocation - Class I | 1,000.00 | 949.40 | 4.86 | 0.99% | ||||
Moderate Conservative Balanced Allocation - Class A | 1,000.00 | 949.40 | 6.09 | 1.24% | ||||
Moderate Conservative Balanced Allocation - Class C | 1,000.00 | 945.80 | 9.76 | 1.99% |
140
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Hypothetical Examples for Comparison Purposes: The second table below provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid for the period. This information may be used to compare the ongoing costs of investing in the fund and other mutual funds. To do so, a shareholder would compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
Beginning Account | Ending Account | Expense Paid | Expense Ratio | |||||
Hypothetical | Value - 3/1/2022 | Value - 8/31/2022 | 3/1/2022 - 8/31/2022* | [Annualized] | ||||
[5% Return Before Expenses] - Table 2: | ||||||||
Large Capitalization Value – Class I | $1,000.00 | $1,018.84 | $6.43 | 1.26% | ||||
Large Capitalization Value – Class A | 1,000.00 | 1,016.40 | 8.88 | 1.75% | ||||
Large Capitalization Value – Class C | 1,000.00 | 1,013.56 | 11.73 | 2.31% | ||||
Large Capitalization Growth – Class I | 1,000.00 | 1,018.18 | 7.09 | 1.39% | ||||
Large Capitalization Growth – Class A | 1,000.00 | 1,016.21 | 9.07 | 1.78% | ||||
Large Capitalization Growth – Class C | 1,000.00 | 1,013.07 | 12.21 | 2.41% | ||||
Mid Capitalization – Class I | 1,000.00 | 1,015.55 | 9.73 | 1.92% | ||||
Mid Capitalization – Class A | 1,000.00 | 1,013.49 | 11.79 | 2.32% | ||||
Mid Capitalization – Class C | 1,000.00 | 1,010.47 | 14.82 | 2.92% | ||||
Small Capitalization – Class I | 1,000.00 | 1,015.68 | 9.60 | 1.89% | ||||
Small Capitalization – Class A | 1,000.00 | 1,013.62 | 11.67 | 2.30% | ||||
Small Capitalization – Class C | 1,000.00 | 1,010.62 | 14.66 | 2.89% | ||||
International Equity – Class I | 1,000.00 | 1,010.59 | 14.70 | 2.90% | ||||
International Equity – Class A | 1,000.00 | 1,008.57 | 16.71 | 3.30% | ||||
International Equity – Class C | 1,000.00 | 1,005.55 | 19.71 | 3.90% | ||||
Health & Biotechnology – Class I | 1,000.00 | 1,013.11 | 12.17 | 2.40% | ||||
Health & Biotechnology – Class A | 1,000.00 | 1,011.09 | 14.19 | 2.80% | ||||
Health & Biotechnology – Class C | 1,000.00 | 1,008.06 | 17.22 | 3.40% | ||||
Technology & Communications – Class I | 1,000.00 | 1,016.88 | 8.40 | 1.65% | ||||
Technology & Communications – Class A | 1,000.00 | 1,014.97 | 10.31 | 2.03% | ||||
Technology & Communications – Class C | 1,000.00 | 1,010.96 | 14.32 | 2.83% | ||||
Energy & Basic Materials – Class I | 1,000.00 | 1,010.08 | 15.20 | 3.00% | ||||
Energy & Basic Materials – Class A | 1,000.00 | 1,008.78 | 16.50 | 3.26% | ||||
Energy & Basic Materials – Class C | 1,000.00 | 1,005.04 | 20.22 | 4.00% | ||||
Financial Services – Class I | 1,000.00 | 1,010.08 | 15.20 | 3.00% | ||||
Financial Services – Class A | 1,000.00 | 1,008.07 | 17.21 | 3.40% | ||||
Financial Services – Class C | 1,000.00 | 1,005.04 | 20.22 | 4.00% | ||||
Investment Quality Bond – Class I | 1,000.00 | 1,015.63 | 9.65 | 1.90% | ||||
Investment Quality Bond – Class A | 1,000.00 | 1,013.61 | 11.67 | 2.30% | ||||
Investment Quality Bond – Class C | 1,000.00 | 1,010.59 | 14.70 | 2.90% | ||||
Municipal Bond – Class I | 1,000.00 | 1,015.63 | 9.65 | 1.90% | ||||
Municipal Bond – Class A | 1,000.00 | 1,013.61 | 11.67 | 2.30% | ||||
Municipal Bond – Class C | 1,000.00 | 1,010.59 | 14.70 | 2.90% | ||||
U.S. Government Money Market – Class I | 1,000.00 | 1,020.75 | 4.50 | 0.88% | ||||
U.S. Government Money Market – Class A | 1,000.00 | 1,020.87 | 4.38 | 0.86% | ||||
U.S. Government Money Market – Class C | 1,000.00 | 1,020.65 | 4.60 | 0.90% |
141
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Beginning Account | Ending Account | Expense Paid | Expense Ratio | |||||
Hypothetical | Value - 3/1/2022 | Value - 8/31/2022 | 3/1/2022 - 8/31/2022* | [Annualized] | ||||
[5% Return Before Expenses] - Table 2: | ||||||||
Aggressive Balanced Allocation - Class I | $1,000.00 | $1,020.21 | $5.04 | 0.99% | ||||
Aggressive Balanced Allocation - Class A | 1,000.00 | 1,018.95 | 6.31 | 1.24% | ||||
Aggressive Balanced Allocation - Class C | 1,000.00 | 1,015.17 | 10.11 | 1.99% | ||||
Conservative Balanced Allocation - Class I | 1,000.00 | 1,020.21 | 5.04 | 0.99% | ||||
Conservative Balanced Allocation - Class A | 1,000.00 | 1,018.95 | 6.31 | 1.24% | ||||
Conservative Balanced Allocation - Class C | 1,000.00 | 1,015.17 | 10.11 | 1.99% | ||||
Moderate Aggressive Balanced Allocation - Class I | 1,000.00 | 1,020.21 | 5.04 | 0.99% | ||||
Moderate Aggressive Balanced Allocation - Class A | 1,000.00 | 1,018.95 | 6.31 | 1.24% | ||||
Moderate Aggressive Balanced Allocation - Class C | 1,000.00 | 1,015.17 | 10.11 | 1.99% | ||||
Moderate Balanced Allocation - Class I | 1,000.00 | 1,020.21 | 5.04 | 0.99% | ||||
Moderate Balanced Allocation - Class A | 1,000.00 | 1,018.95 | 6.31 | 1.24% | ||||
Moderate Balanced Allocation - Class C | 1,000.00 | 1,015.17 | 10.11 | 1.99% | ||||
Moderate Conservative Balanced Allocation - Class I | 1,000.00 | 1,020.21 | 5.04 | 0.99% | ||||
Moderate Conservative Balanced Allocation - Class A | 1,000.00 | 1,020.28 | 6.31 | 1.24% | ||||
Moderate Conservative Balanced Allocation - Class C | 1,000.00 | 1,015.17 | 10.11 | 1.99% |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the days in reporting period). |
142
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
LIQUIDITY RISK MANAGEMENT PROGRAM
The Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the Investment Company Act. The program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into consideration, among other factors, each respective Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.
During the fiscal period ended August 31, 2022, the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Funds’ investments and determined that the Funds held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Funds’ liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Funds’ liquidity risk management program has been effectively implemented.
143
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Board of Trustees & Officers
The Trust is governed by a Board of Trustees, which oversees the Portfolios’ operations. Officers are appointed by the Trustees and serve at the pleasure of the Board. The table below shows, for each Trustee and Officer, his name, address, and age, the position held with the Trust, the length of time served as Trustee and Officer of the Trust, the Trustee’s or Officer’s principal occupations during the last five years, the number of portfolios in the Saratoga Family of Funds overseen by the Trustee or Officer, and other directorships held by the Trustee or Officer.
The Trust’s Statement of Additional Information contains additional information about the Trustees and Officers and is available without charge, upon request, by calling 1-800-807-FUND (3863).
INTERESTED TRUSTEES: | |||||
Name, Age and Address | Position(s) Held with Trust | Term*/ Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During Past 5 Years |
Bruce E. Ventimiglia, 67 12725 W. Indian School Rd. Suite E-101 Avondale, AZ 85392 | President, CEO, and Chairman of the Board of Trustees** | Since September 1994 | Chairman, President and Chief Executive Officer of Saratoga Capital Management, LLC | 17 | None |
INDEPENDENT TRUSTEES: | |||||
Name, Age and Address | Position(s) Held with Trust | Term*/ Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During Past 5 Years |
Patrick H. McCollough, 80 12725 W. Indian School Rd. Suite E-101 Avondale, AZ 85392 | Trustee | Since September 1994 | Retired | 17 | Chairman of the Board (2018– Present), Trustee (2011–2018), Harbor Beach Community Hospital |
Udo Koopmann, 81 12725 W. Indian School Rd. Suite E-101 Avondale, AZ 85392 | Trustee | Since April 1997 | Retired | 17 | None |
Floyd E. Seal, 73 12725 W. Indian School Rd. Suite E-101 Avondale, AZ 85392 | Trustee | Since April 1997 | Retired. Director of Operations, Pet Goods Manufacturing & Imports (January 2013–2017) | 17 | None |
Stephen H. Hamrick, 70 12725 W. Indian School Rd. Suite E-101 Avondale, AZ 85392 | Trustee | Since January 2003 | Retired. President and Chief Executive Officer, Terra Capital Markets, LLC (2011– 2020) (broker-dealer) | 17 | None |
144
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
SENIOR OFFICERS: | |||||
Name, Age and Address | Position(s) Held with Trust | Term*/ Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | Other Directorships Held by Officer |
Stephen Ventimiglia, 66 12725 W. Indian School Rd. Suite E-101 Avondale, AZ 85392 | Vice President and Secretary ** | Since September 1994 | Vice Chairman and Chief Investment Officer of Saratoga Capital Management, LLC | 17 | None |
Jonathan W. Ventimiglia, 39 12725 W. Indian School Rd. Suite E-101 Avondale, AZ 85392 | Treasurer, Chief Financial Officer, Vice President & Assistant Secretary*** | Treasurer & Chief Financial Officer since July 2009; Vice President & Assistant Secretary since January 2008 | Chief Financial Officer and Chief Compliance Officer of Saratoga Capital Management, LLC | 17 | None |
Frederick C. Teufel, Jr., 63 c/o Vigilant, LLC 223 Wilmington West Chester Pike, Suite 216 Chadds Ford, PA 19317 | Chief Compliance Officer | Since July 2021 | Director, Vigilant Compliance, LLC | 17 | None |
* | Each Trustee will serve an indefinite term until his successor, if any, is duly elected and qualified. Officers of the Trust are elected annually. |
** | Bruce E. Ventimiglia and Stephen Ventimiglia are brothers. |
*** | Jonathan W. Ventimiglia is Bruce E. Ventimiglia’s son. |
The Funds’ Statement of Additional Information (“SAI”) includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-800-807-FUND.
145
Board of Trustees (the “Board”) Meeting of April 11, 2022 (the “Meeting”)
The Independent Trustees discussed the information received respecting (i) the nature, quality and scope of services provided by Saratoga Capital Management (“Saratoga”) and each Investment Adviser to the Portfolios; (ii) the investment performance of the Portfolios relative to comparable funds; (iii) the costs of services provided and profits realized by Saratoga; (iv) fees and expenses relative to other comparable funds; (v) the extent to which economies of scale are realized as the Portfolios grow and whether fee levels appropriately reflect economies of scale; and (vi) benefits realized by Saratoga and the Investment Advisers.
The Independent Trustees received a memorandum from their independent legal counsel describing their duties in connection with advisory contract approvals and discussing the factors to be considered by the Board.
Nature, Quality and Scope of Services
The Board reviewed and considered the nature, quality and scope of services provided by Saratoga. In this regard, Saratoga discussed in detail with the Trustees its methodology for selecting Investment Advisers for the Saratoga Portfolios, the procedures and criteria it utilizes in evaluating the adequacy of each Investment Adviser’s performance and the general oversight it provides, including monitoring compliance reports, recommending outside service providers, negotiation of fees and monitoring of quality of services. With respect to the Portfolios that Saratoga manages directly, the Trustees considered the investment process utilized, the quality of key investment personnel and the resources devoted to the investment management functions. The Trustees concluded that the nature and extent of the services provided by Saratoga were necessary and appropriate for the conduct of the business and investment activities of the Saratoga Portfolios. The Trustees also concluded that the overall quality of the advisory and administrative services was satisfactory.
The Trustees also evaluated the quality of the services provided by the Investment Advisers to each Portfolio. The Board concluded that the nature, scope and quality of the services provided by each of the Advisers was satisfactory.
Comparative Performance
The performance of each of the Portfolios was compared to a Lipper or Morningstar Index of funds with investment objectives similar to that of the applicable Portfolio (each, a “benchmark”). Performance was compared over various time periods with an emphasis on longer term performance. The conclusions of the Trustees were as follows:
Large Capitalization Value: The Trustees noted that M.D. Sass Investors Services, Inc. (“M.D. Sass”) has been the Adviser to the Portfolio since August 2008 and that since then through February 28, 2022, the Portfolio had outperformed its benchmark. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Large Capitalization Growth: The Trustees noted that Smith Group Asset Management (“Smith Group”) became the Adviser to the Portfolio in December 2015 and that since then through February 28, 2022, the Portfolio had outperformed its benchmark. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Mid-Capitalization: The Trustees noted that Vaughan Nelson Investment Management LP (“Vaughan Nelson”) became the Adviser to the Portfolio in April 2006 and that since then through February 28, 2022, the Portfolio performed virtually even with its benchmark. The Trustees further noted that the Portfolio had outperformed its benchmark for the one-year period ended February 28, 2022. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Small Capitalization: The Trustees noted that Zacks Investment Management, Inc. (“Zacks”) became the Adviser to the Portfolio in August 2015 and that since then through February 28, 2022, the Portfolio had outperformed its benchmark. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
146
International Equity: The Trustees noted that Smith Group Asset Management (“Smith Group”) became the Adviser to the Portfolio in February 2018 and that since then through February 28, 2022, the Portfolio had underperformed its benchmark. The Trustees discussed with the Adviser the reason for the underperformance and noted that the Portfolio had outperformed its benchmark for the two-year period ended February 28, 2022. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Health & Biotechnology: The Trustees noted Oak Associates, ltd. (“Oak”) was appointed as Adviser to the Portfolio in July 2005 and that since then through February 28, 2022, the Portfolio underperformed its benchmark. The Trustees discussed with the Adviser the reason for the underperformance and noted that the Portfolio had outperformed its benchmark for the one- year period ended February 28, 2022, and that in January 2019 the manager at Oak was replaced by another manager at Oak who is also the Co-Chief Investment Officer of the Advisor. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Technology & Communications: The Trustees noted that Oak Associates, ltd. (“Oak”) became the sole adviser to the Portfolio in December 2015 and that since then through February 28, 2019, the Portfolio outperformed its benchmark. In addition, the Trustees noted that the Portfolio underperformed its benchmark for the two -year period ended February 28, 2021 and outperformed it for the one-year period ended February 28, 2022 resulting in the Portfolio underperforming its benchmark from December 2015 through February 28, 2022. The Trustees noted that they had discussed with the Adviser the reasons for the underperformance. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Financial Services: The Trustees noted that Smith Group Asset Management (“Smith Group”) became the Adviser to the Portfolio in December 2015 and that since then through February 28, 2022, the Portfolio had underperformed its benchmark. The Trustees discussed with the Adviser the reason for the underperformance and noted that the Portfolio outperformed its benchmark for the one-year period ended February 28, 2022. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Energy & Basic Materials: The Trustees noted that Smith Group Asset Management (“Smith Group”) became the Adviser to the Portfolio in December 2015 and that since then through February 28, 2022, the Portfolio underperformed its benchmark. The Trustees discussed with the Adviser the reason for the underperformance and noted that the Portfolio outperformed its benchmark for the one-year period ended February 28, 2022. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Investment Quality Bond Portfolio: The Trustees noted that Saratoga Capital Management, LLC (“Saratoga”) started managing the Portfolio in March 2018 and that since then through February 28, 2022, the Portfolio underperformed its benchmark. The Trustees noted that they had discussed with the Adviser the reasons for the underperformance. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Municipal Bond Portfolio: The Trustees noted that Saratoga Capital Management, LLC (“Saratoga”) started managing the Portfolio in March 2018 and that since then through February 28, 2022, the Portfolio underperformed its benchmark. The Trustees noted that they had discussed with the Adviser the reasons for the underperformance. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
U.S. Government Money Market Portfolio: The Trustees noted that Saratoga started managing the Portfolio in October 2020, and therefore, it is too soon to meaningfully evaluate performance. The Trustees also noted that since the Portfolio’s inception, the Portfolio had slightly underperformed its benchmark index. The Trustees noted that they had discussed with SCM the reasons for the underperformance. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Conservative Balanced Allocation Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in January 2018 and that since then through February 28, 2022, the Portfolio had outperformed its benchmark. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
147
Moderately Conservative Balanced Allocation Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in January 2018 and that since then through February 28, 2022, the Portfolio had underperformed its benchmark. The Trustees further noted that the Portfolio’s two-year relative performance ended February 28, 2022 improved versus its benchmark, though it still underperformed its benchmark. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Moderate Balanced Allocation Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in January 2018 and that since then through February 28, 2022, the Portfolio had underperformed its benchmark. The Trustees further noted that the Portfolio had outperformed its benchmark for the two-year period ended February 28, 2022. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Moderately Aggressive Balanced Allocation Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in January 2018 and that since then through February 28, 2022, the Portfolio had underperformed its benchmark. The Trustees discussed with the Adviser the reason for the underperformance and noted that the Portfolio had outperformed its benchmark for the two-year period ended February 28, 2022. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Aggressive Balanced Allocation Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in January 2018 and that since then through February 28, 2022, the Portfolio had underperformed its benchmark. The Trustees further noted that the Portfolio’s two -year performance ended February 28, 2022, was virtually even with its benchmark. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Comparable Total Average Net Expense Ratio
The total average net expense ratio of each of the Portfolios was compared to Mutual Fund Industry Statistics as reported in the February 28, 2022 Morningstar data regarding mutual fund expenses and assets. The Saratoga Portfolios are considerably smaller in assets compared to the mutual fund industry, but still continue to offer services at a competitive rate. The Trustees noted that Saratoga has, since 1999, agreed to cap expenses of the Portfolios for which it serves as manager at specified levels. In addition, the Trustees noted that Ultimus has agreed to waive the monthly Fund Accounting Services Fees, Fund Administrative Services Fees or Transfer Agency Service Fees to which it is entitled that, but for the waiver, would have accrued and been chargeable to the U.S. Government Money Market Portfolio for a period of 18 months from March 1, 2021.
The Trustees reviewed the total average net expense ratio for each Portfolio and noted the following: (i) total average net expense ratios for the Large Cap Value, Large Cap Growth, Mid Cap, Small Cap, International Equity, Health & Biotechnology, Technology & Communications Portfolios, Financial Services, Energy & Basic Materials, Investment Quality Bond and Municipal Bond Portfolios were higher than the average of comparable funds; (ii) total average net expense ratio for the Conservative Balanced Allocation Portfolio was the same as the average of comparable funds; and (iii) total average net expense ratios for the U.S. Government Money Market, Moderately Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Aggressive Balanced Allocation Portfolios were lower than the average of comparable funds.
The Trustees also noted that the Portfolios’ distributor, Northern Lights Distributors, LLC, has agreed to waive all or a portion of the fees to which it is entitled under the 12b-1 Plans with respect to Class A and Class C shares of the Municipal Bond and U.S. Government Money Market Portfolios through December 31, 2022.
148
Fees Relative to Comparable Funds
The Trustees reviewed the Management Fee rate for each Portfolio and noted the following: (i) fee rate for the Small Cap Portfolio was slightly lower than the average of comparable funds; (ii) fee rates for the Large Cap Value, Large Cap Growth, Mid Cap, and International Equity Portfolios were slightly higher than the average of comparable funds; and (iii) the fee rates for the Health & Biotechnology, Technology & Communications, Financial Services, Energy & Basic Materials, Investment Quality Bond, Municipal Bond, U.S. Government Money Market, Conservative Balanced Allocation, Moderately Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation, and Aggressive Balanced Allocation Portfolios were higher than the average of comparable funds. The Trustees noted that they had discussed with SCM the reasons for the higher fee rates.
The Trustees noted that most of the Portfolios were considerably smaller than many of the funds in the comparison group and considered, with respect to each Portfolio, the adverse impact of the relatively small sizes of the Portfolios on the costs and profitability of Saratoga. The Trustees also noted that Saratoga has, since 1999, agreed to cap expenses of the Portfolios for which it serves as manager at specified levels. The Trustees concluded, based on the foregoing, that the Management Fee rate with respect to each of the Portfolios was not excessive relative to comparable funds.
The Trustees also evaluated the reasonableness of the fee split between Saratoga and the Investment Adviser to each Portfolio managed by Saratoga.
Economies of Scale
The Trustees noted the views of Saratoga that at their current sizes the Portfolios do not realize economies of scale.
Profitability of Investment Manager
The Trustees reviewed the profitability data that had been provided by Saratoga. The Trustees noted that the provision of services under the Management Agreements had resulted in a loss to Saratoga. The Trustees considered the financial viability of Saratoga and its ability to continue to provide high quality services and concluded that Saratoga continues to be capable of and committed to providing high quality services.
Other Benefits
The Trustees considered the benefits obtained by Saratoga and the Investment Advisers from their relationship with the Trust. They noted, in this regard, that certain of the Investment Advisers have soft dollar arrangements pursuant to which commissions on fund portfolio transactions may be utilized to pay for research services. The Trustees noted that the amount of soft dollars was generally small and that research services obtained may enhance the ability of the Advisers to provide quality services to the Portfolios. The Trustees noted that Saratoga receives licensing fees from third parties for the use of the Saratoga asset allocation program.
Conclusion
Based on the foregoing and such other factors as they deemed relevant, the Independent Trustees determined that continuation of the Management Agreements and the Advisory Agreement for each of the Portfolios is in the best interests of the Portfolios and the shareholders. The Independent Trustees noted that no single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the continuation of the Management Agreements and the Advisory Agreement for each of the Portfolios and that each Trustee considered and weighted the factors differently.
149
Rev July 2011
FACTS | WHAT DOES THE SARATOGA ADVANTAGE TRUST 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 wire transfer instructions | ||
● | account transactions and transaction history | ||
● | investment experience and purchase history | ||
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 customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons The Saratoga Advantage Trust (“The Trust”) choose to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do The Funds share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | 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 our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-800-807-FUND |
150
Page 2 |
Who we are | |
Who is providing this notice? | The Saratoga Advantage Trust |
What we do | |
How does The Trust 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. We restrict access to nonpublic personal information about you to those employees who need to know that information to provide products or services to you. |
How does The Trust collect my personal information? | We collect your personal information, for example, when you
● open an account or deposit money
● direct us to buy securities or direct us to sell your securities
● seek information about your investments
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
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 non-affiliates 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 financial companies such as Saratoga Capital Management. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● The Trust does not share your personal information with nonaffiliates so they can market you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● The Trust does not jointly market. |
151
How to Obtain Proxy Voting Information
Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Portfolios use to determine how to vote proxies is available without charge, upon request, by calling 1-888-672-4839 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings
Funds file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N -PORT, within sixty days after the end of the period. Form N-PORT reports are available at the SEC’s website at www.sec.gov.
Saratoga-A22
Item 2. Code of Ethics.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b) For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:
(1) | Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
(2) | Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant; |
(3) Compliance with applicable governmental laws, rules, and regulations;
(4) | The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and |
(5) Accountability for adherence to the code.
(c) Amendments: During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.
(d) Waivers: During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.
Item 3. Audit Committee Financial Expert.
(a) The registrant’s board of trustees has determined that Floyd E. Seal and Udo W. Koopmann are independent audit committee financial experts.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
Registrant Advisor
FYE 08/31/22 $153,000.00 $ 000.00
FYE 08/31/21 $153,000.00 $ 900.00
(b) | Audit-Related Fees |
Registrant Advisor
FYE 08/31/22 $0.00 $0.00
FYE 08/31/21 $0.00 $0.00
(c) | Tax Fees |
Registrant Advisor
FYE 08/31/22 $34,000.00 $ 000.00
FYE 08/31/21 $34,000.00 $ 600.00
Preparation of Federal & State income tax returns, assistance with calculation of required income, capital gain and excise distributions and preparation of Federal excise tax returns.
(d) | All Other Fees |
Registrant Advisor
FYE 08/31/22 $0.00 $0.00
FYE 08/31/21 $0.00 $0.00
(e) | (1) Audit Committee’s Pre-Approval Policies |
The registrant’s Audit Committee is required to pre-approve all audit services and, when appropriate, any non-audit services (including audit-related, tax and all other services) to the registrant. The registrant’s Audit Committee also is required to pre-approve, when appropriate, any non-audit services (including audit-related, tax and all other services) to its adviser, or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant, to the extent that the services may be determined to have an impact on the operations or financial reporting of the registrant. Services are reviewed on an engagement by engagement basis by the Audit Committee.
(2) | Percentages of Services Approved by the Audit Committee |
Registrant Advisor
Audit-Related Fees: 0.00% 0.00%
Tax Fees: 0.00% 0.00%
All Other Fees: 0.00% 0.00%
(f) | During the audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. |
(g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant: |
Registrant Advisor
FYE 08/31/2022 $34,000.00 $ 000.00
FYE 08/31/2021 $34,000.00 $ 600.00
(h) The registrant's audit committee has considered whether the provision of non-audit services to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.
(i) Not Applicable
(j) Not Applicable
(1) That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant;
(2) The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized;
(3) Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant;
(4) The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant; and
(5) Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter.
Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.
Item 6. Schedule of Investments. See Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Funds. Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holder. None.
Item 11. Controls and Procedures.
(a) Based on an evaluation of the registrant’s disclosure controls and procedures as of August 31, 2022, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b) There were no significant changes in the registrant’s internal control over financial reporting that occurred during the period covered by this Form N-CSR that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. (a) Not applicable to open-end investment companies.
(b) Not applicable to open-end investment companies.
Item 13. Exhibits.
(a)(1) Code of Ethics filed herewith.
(a)(3) Not applicable.
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) The Saratoga Advantage Trust
By (Signature and Title)
* /s/ Bruce E. Ventimiglia
Bruce E. Ventimiglia, President and Chief Executive Officer
Date 11/8/22
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/ Jonathan W. Ventimiglia
Jonathan W. Ventimiglia, Treasurer and Chief Financial Officer
Date 11/8/22
By (Signature and Title)
* /s/ Bruce E. Ventimiglia
Bruce E. Ventimiglia, President and Chief Executive Officer
Date 11/8/22
* Print the name and title of each signing officer under his or her signature.