-------------------------
OMB APPROVAL
-------------------------
OMB Number: 3235-0570
Expires: August 31, 2011
Estimated average burden
hours per response: 18.9
-------------------------
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 811-21531
---------------------------------------------
TFS Capital Investment Trust
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1800 Bayberry Court, Suite 103 Richmond, Virginia 23226
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Wade R. Bridge, Esq.
Ultimus Fund Solutions, LLC 225 Pictoria Drive, Suite 450 Cincinnati, Ohio 45246
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (804) 484-1401
----------------------------
Date of fiscal year end: October 31, 2008
---------------------------
Date of reporting period: October 31, 2008
---------------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
----------------------------------------------------
TFS Market Neutral Fund
TFS Small Cap Fund
----------------------------------------------------
each a series of the
TFS Capital Investment Trust
----------------------------------------------------
ANNUAL REPORT
October 31, 2008
[LOGO OMITTED] TFS
CAPITAL
For more information or assistance in opening an account,
please call toll-free 1-888-534-2001.
LETTER TO SHAREHOLDERS
================================================================================
December 15, 2008
Dear Shareholder,
Enclosed is the Annual Report to shareholders of the TFS Market Neutral Fund
(ticker: TFSMX) and the TFS Small Cap Fund (ticker: TFSSX) for the fiscal period
ended October 31, 2008. On behalf of the investment manager, TFS Capital LLC
("TFS"), I'd like to thank you for your investment. As previously mentioned, we
are pleased to announce that TFSMX's strong performance earned it the 2008
Lipper Award in the Equity Market Neutral category. This award is presented to
the fund in the category with the best 3-year return ending December 31, 2007.
For this period TFSMX was ranked #1 out of 23 funds.(1) Below are performance
highlights for the Funds.
TFS MARKET NEUTRAL FUND (TICKER: TFSMX)
- --------------------------------------------------------------------------------
Since Inception
1 year return 3 year return (9/7/2004)
- --------------------------------------------------------------------------------
TFS Market Neutral Fund -6.32% 8.98% 8.21%
S&P 500 Index -36.10% -5.21% -1.60%
- --------------------------------------------------------------------------------
Average annual total returns for periods ended 10/31/2008 and since inception.
The TFS Market Neutral Fund has struggled during the recent liquidity crisis.
Similar to August of 2007, the rapid unwinding of positions by long-short
managers is believed to have had a significant adverse affect on TFSMX. This
activity has led TFSMX into its largest peak-to-valley drawdown since inception
and resulted in its first ever negative return as measured on a
trailing-12-months basis. While we continue to expect above average volatility
in the coming months, we are optimistic given that we perceive conditions to be
improving.
Despite TFSMX's recent challenges, it continues to perform extremely well
relative to the broad equity markets. For example, the "1-year return" in the
chart above shows the greatest separation versus the S&P 500 Index that we have
ever reported in an annual report. Also, from inception through the fiscal
period-end of October 31, 2008, TFSMX generated an 8.21% average annual return
and an annualized standard deviation of 8.17%, whereas the S&P 500 Index
generated a -1.60% average annual return and an annualized standard deviation of
19.72%. Therefore, from inception through October 31, 2008, TFSMX produced an
annual return that was 9.81 percentage points higher than that of the S&P 500
Index while generating only 41% of the volatility. Given a slightly positive
market exposure (beta) since inception, the negative growth of the overall U.S.
equity market (i.e. S&P 500 Index) did slightly hurt TFSMX's performance over
the periods noted. That impact is small, however, and most of the performance
can be attributed to equity selection (alpha generation) by TFS. So, one can
conclude that the models utilized by TFS to assist in picking stocks were
generally successful at predicting the relative price movement of stocks within
TFSMX's target universe.
1
The strategies used in managing TFSMX have resulted in it having a very low
correlation to other asset classes. According to Modern Portfolio Theory
("MPT"), investors may benefit significantly by combining non-correlated
investments. As such, we encourage investors to evaluate the impact that the
inclusion of TFSMX would have on their portfolios. We believe TFSMX is best used
as a component of a diversified portfolio of investments rather than a single
holding for a given shareholder. We do not recommend allocating the majority of
one's assets to TFSMX. For your reference, below are the correlations to several
other asset classes.
- --------------------------------------------------------------------------------
Index Correlation Since Inception
- --------------------------------------------------------------------------------
S&P 500 Index 0.30
Russell 2000(R) Index 0.24
MSCI EAFE Index 0.38
Lehman Brothers U.S. Aggregate Bond Index -0.01
Wilshire REIT ETF Index 0.05
Dow Jones Commodity Futures 0.33
- --------------------------------------------------------------------------------
Please note that we have developed an interactive "Asset Allocation Tool" on our
website. We encourage you to visit our web site to determine if an allocation to
TFSMX may have improved the performance of your portfolio.
TFS SMALL CAP FUND (TICKER: TFSSX)
- --------------------------------------------------------------------------------
Since Inception
1 year return (3/7/2006)
- --------------------------------------------------------------------------------
TFS Small Cap Fund -38.18% -8.12%
Russell 2000(R) Index -34.16% -9.34%
- --------------------------------------------------------------------------------
Average annual total returns for periods ended 10/31/2008 and since inception.
Through October 31, 2008, TFSSX continued to achieve its objective of
outperforming the Russell 2000(R) Index (the "Index") as measured by its
performance since inception. From inception on March 7th, 2006, through the
recent fiscal period-end of October 31, 2008, it generated an average annual
return of -8.12% versus -9.34% for the Index. It did, however, underperform the
Index during the fiscal period posting a -38.18% return versus a -34.16% return
for the Index. It is noteworthy that TFSSX generated its returns while having an
average beta versus the Index since inception of 0.74. TFSSX's recent struggles
are believed to be attributable to the rapid unwinding of positions by longshort
managers. TFSSX's portfolio appears to have significant overlap with the
holdings of the hedge fund universe in aggregate. As such, rapid unwinding of
positions by hedge fund managers can cause TFSSX's portfolio to decline more
rapidly than its benchmark Index while this activity is occurring. We attribute
the recent poor (relative) performance to this activity.
For both Funds, there were no significant changes to the investing strategies
during the period that impacted performance. We did, however, take a defensive
cash position in TFSMX in an effort to dampen volatility and mitigate further
declines in TFSMX's net asset value. As described in the prospectus, TFS
develops quantitative models through
2
rigorous historical analysis of the stock market. These models help TFS make
objective decisions that we believe will lead to good performance.
Best regards,
Larry S. Eiben
Chief Operating Officer & Co-Portfolio Manager
TFS Capital LLC
(1) TFSMX was ranked #3 out of 50 funds using its 1-year return.
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RESULTS AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. FEE WAIVERS HAVE POSITIVELY IMPACTED EACH
FUND'S PERFORMANCE OVER THE RELEVANT PERIODS AND WITHOUT SUCH WAIVERS FUND
PERFORMANCE WOULD HAVE BEEN LOWER. FOR EACH FUND'S CURRENT EXPENSE RATIO
INFORMATION PLEASE SEE THE FINANCIAL HIGHLIGHTS TABLES INCLUDED IN THIS REPORT.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, ARE AVAILABLE AT
WWW.TFSCAPITAL.COM.
An investor should consider the investment objectives, risks, charges and
expenses of the Funds carefully before investing. The Funds' prospectus contains
this and other important information. To obtain a copy of the TFS Funds'
prospectus please visit www.TFSCapital.com or call 1-888-534-2001 and a copy
will be sent to you free of charge. Please read the prospectus carefully before
you invest. The TFS Funds are distributed by Ultimus Fund Distributors, LLC.
3
TFS MARKET NEUTRAL FUND
PERFORMANCE INFORMATION (UNAUDITED)
================================================================================
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE
TFS MARKET NEUTRAL FUND VERSUS THE S&P 500 INDEX
[LINE GRAPH OMITTED]
TFS Market Neutral Fund S&P 500 Index
--------------------------- ---------------------------
9/7/2004 $10,000 9/7/2004 $10,000
10/31/2004 10,280 10/31/2004 10,103
1/31/2005 10,427 1/31/2005 10,604
4/30/2005 10,067 4/30/2005 10,434
7/31/2005 10,728 7/31/2005 11,182
10/31/2005 10,718 10/31/2005 10,984
1/31/2006 11,455 1/31/2006 11,705
4/30/2006 12,056 4/30/2006 12,042
7/31/2006 12,397 7/31/2006 11,784
10/31/2006 12,607 10/31/2006 12,778
1/31/2007 13,798 1/31/2007 13,404
4/30/2007 14,297 4/30/2007 13,877
7/31/2007 14,735 7/31/2007 13,685
10/31/2007 14,806 10/31/2007 14,639
1/31/2008 14,499 1/31/2008 13,094
4/30/2008 15,378 4/30/2008 13,228
7/31/2008 15,598 7/31/2008 12,167
10/31/2008 13,870 10/31/2008 9,355
Past performance is not predictive of future performance.
--------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS(a)
FOR THE PERIODS ENDED OCTOBER 31, 2008
4 Months(c) 1 Year Since Inception(b)
----------- ------ ------------------
TFS Market Neutral Fund -15.01% -6.32% 8.21%
S&P 500 Index -23.76% -36.10% -1.60%
--------------------------------------------------------------------
(a) The total returns shown do not reflect the deduction of taxes a
shareholder would pay on Fund distributions or the redemption of Fund
shares.
(b) Initial public offering of shares was September 7, 2004.
(c) Fund changed fiscal year end from June 30 to October 31.
4
TFS SMALL CAP FUND
PERFORMANCE INFORMATION (UNAUDITED)
================================================================================
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE
TFS SMALL CAP FUND VERSUS THE RUSSELL 2000 INDEX
[LINE GRAPH OMITTED]
TFS Small Cap Fund Russell 2000 Index
--------------------------- ---------------------------
3/7/2006 $ 10,000 3/7/2006 $ 10,000
4/30/2006 10,730 4/30/2006 10,622
7/31/2006 10,000 7/31/2006 9,761
10/31/2006 10,790 10/31/2006 10,717
1/31/2007 11,723 1/31/2007 11,221
4/30/2007 12,163 4/30/2007 11,453
7/31/2007 12,223 7/31/2007 10,944
10/31/2007 12,924 10/31/2007 11,711
1/31/2008 10,926 1/31/2008 10,123
4/30/2008 11,126 4/30/2008 10,198
7/31/2008 11,267 7/31/2008 10,210
10/31/2008 7,989 10/31/2008 7,710
Past performance is not predictive of future performance.
--------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS(a)
FOR THE PERIODS ENDED OCTOBER 31, 2008
4 Months(c) 1 Year Since Inception(b)
----------- ------ ------------------
TFS Small Cap Fund -26.96% -38.18% -8.12%
Russell 2000 Index -21.68% -34.16% -9.34%
--------------------------------------------------------------------
(a) The total returns shown do not reflect the deduction of taxes a
shareholder would pay on Fund distributions or the redemption of Fund
shares.
(b) Initial public offering of shares was March 7, 2006.
(c) Fund changed fiscal year end from June 30 to October 31.
5
TFS MARKET NEUTRAL FUND
PORTFOLIO INFORMATION
OCTOBER 31, 2008 (UNAUDITED)
================================================================================
TFS MARKET NEUTRAL FUND VS S&P 500 INDEX
NET SECTOR EXPOSURE*
[BAR CHART OMITTED]
TFS Market
Neutral Fund S&P 500 Index
------------- -------------
Consumer Discretionary -5.4% 8.2%
Consumer Staples 0.2% 12.9%
Energy 2.7% 13.2%
Financials -0.6% 14.9%
Health Care -0.9% 13.9%
Industrials 3.4% 11.0%
Information Technology 5.8% 15.7%
Materials 2.2% 3.1%
Telecommunication Services 0.3% 3.3%
Utilities 0.6% 3.8%
Closed-End Funds 16.0% 0.0%
* The net percentages for the TFS Market Neutral Fund are computed by taking
the net dollar exposure, including short positions, and dividing by the
net assets of the Fund. Consequently, the percentages are not likely to
total to 100%.
TOP 10 LONG EQUITY POSITIONS
- -------------------------------------------------------------------
% OF
SECURITY DESCRIPTION NET ASSETS
- -------------------------------------------------------------------
Nuveen Multi-Strategy Income & Growth Fund 0.46%
Eaton Vance Tax-Advantaged Global Dividend Income Fund 0.41%
Integral Systems, Inc. 0.41%
Van Kampen Dynamic Credit Opportunities Fund 0.41%
Contango Oil & Gas Company 0.39%
LHC Group, Inc. 0.38%
GeoResources, Inc. 0.38%
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. 0.38%
CardioNet, Inc. 0.38%
Nuveen Multi-Currency Short-Term Government Income Fund 0.38%
TOP 10 SHORT EQUITY POSITIONS
- -------------------------------------------------------------------
% OF
SECURITY DESCRIPTION NET ASSETS
- -------------------------------------------------------------------
Banner Corporation 0.21%
Astec Industries, Inc. 0.21%
Iconix Brand Group, Inc. 0.20%
Popular, Inc. 0.20%
Provident Bankshares Corporation 0.19%
Pre-Paid Legal Services, Inc. 0.19%
Capella Education Company 0.19%
Herman Miller, Inc. 0.19%
Lance, Inc. 0.19%
Universal Technical Institute, Inc. 0.19%
6
TFS SMALL CAP FUND
PORTFOLIO INFORMATION
OCTOBER 31, 2008 (UNAUDITED)
================================================================================
TFS SMALL CAP FUND
SECTOR ALLOCATION (% OF NET ASSETS)
[BAR CHART OMITTED]
Consumer Discretionary 8.2%
Consumer Staples 4.3%
Energy 4.1%
Financials 17.9%
Health Care 15.2%
Industrials 21.8%
Information Technology 22.6%
Materials 1.9%
Telecommunication Services 1.0%
Utilities 1.2%
TOP 10 EQUITY POSITIONS
- -------------------------------------------------------------------
% OF
SECURITY DESCRIPTION NET ASSETS
- -------------------------------------------------------------------
Emergent BioSolutions, Inc. 1.71%
Almost Family, Inc. 1.26%
Unitil Corporation 1.18%
Atmel Corporation 1.11%
Home Diagnostics, Inc. 1.11%
Huron Consulting Group, Inc. 1.07%
Teleflex, Inc. 1.04%
Hanover Insurance Group, Inc. (The) 1.03%
Bank Mutual Corporation 1.02%
International Rectifier Corporation 1.01%
7
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2008
================================================================================
COMMON STOCKS -- 49.0% SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 3.7%
AUTO COMPONENTS -- 0.8%
China Automotive Systems, Inc. (a) ............. 14,500 $ 35,815
Federal-Mogul Corporation (a) (b) .............. 122,219 876,310
Hawk Corporation - Class A (a) (b) ............. 42,473 613,735
Noble International Ltd. (b) ................... 150,745 241,192
Shiloh Industries, Inc. (a) .................... 435 2,179
Spartan Motors, Inc. ........................... 52,317 240,135
Standard Motor Products, Inc. .................. 78,023 328,477
TRW Automotive Holdings Corporation (a) (b) .... 110,173 696,294
Wonder Auto Technology, Inc. (a) ............... 43,792 174,730
------------
3,208,867
------------
DIVERSIFIED CONSUMER SERVICES -- 0.4%
Carriage Services, Inc. (a) .................... 16,653 39,634
Hillenbrand, Inc. (b) .......................... 68,289 1,297,491
Lincoln Educational Services Corporation (a) ... 4,387 63,436
Mac-Gray Corporation (a) ....................... 4,801 36,440
------------
1,437,001
------------
HOTELS, RESTAURANTS & LEISURE -- 0.6%
Ark Restaurants Corporation .................... 662 8,269
BJ's Restaurants, Inc. (a) ..................... 24,489 217,707
Einstein Noah Restaurant Group, Inc. (a) ....... 66,471 533,098
Empire Resorts, Inc. (a) ....................... 26,323 64,491
International Speedway Corporation - Class A (b) 40,124 1,259,492
Morton's Restaurant Group, Inc. (a) ............ 10,200 35,292
Red Lion Hotels Corporation (a) (b) ............ 53,825 149,095
------------
2,267,444
------------
INTERNET & CATALOG RETAIL -- 0.0%
ValueVision Media, Inc. (a) .................... 28,700 19,803
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.2%
Cybex International, Inc. (a) .................. 2,800 5,544
Sturm, Ruger & Company, Inc. (a) (b) ........... 101,197 723,558
------------
729,102
------------
MEDIA -- 0.4%
Cumulus Media, Inc. - Class A (a) .............. 16,149 16,956
Liberty Media Corporation - Capital Group -
Series A (a) (b) ............................. 159,950 1,089,260
LodgeNet Interactive Corporation (a) ........... 42,629 42,629
Rentrak Corporation (a) ........................ 12,957 147,062
Saga Communications, Inc. - Class A (a) ........ 10,500 56,175
------------
1,352,082
------------
MULTI-LINE RETAIL -- 0.1%
Retail Ventures, Inc. (a) ...................... 192,053 395,629
------------
8
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 49.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 3.7% (CONTINUED)
SPECIALTY RETAIL -- 0.6%
A.C. Moore Arts & Crafts, Inc. (a) ............. 66,295 $ 184,300
Foot Locker, Inc. (b) .......................... 40,800 596,496
Franklin Covey Company (a) ..................... 36,222 184,732
Gander Mountain Company (a) .................... 6,656 13,512
New York & Company, Inc. (a) (b) ............... 175,629 495,274
Office Depot, Inc. (a) ......................... 153,560 552,816
Trans World Entertainment Corporation (a) ...... 875 2,100
Wet Seal, Inc. (The) - Class A (a) ............. 50,200 147,588
------------
2,176,818
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.6%
Fuqi International, Inc. (a) (b) ............... 143,591 1,135,805
Heelys, Inc. (a) ............................... 35,504 124,619
Unifi, Inc. (a) (b) ............................ 251,125 1,205,400
------------
2,465,824
------------
CONSUMER STAPLES -- 1.8%
FOOD PRODUCTS -- 0.9%
Darling International, Inc. (a) (b) ............ 144,207 1,087,321
Del Monte Foods Company (b) .................... 203,921 1,286,741
Omega Protein Corporation (a) (b) .............. 137,205 1,012,573
------------
3,386,635
------------
HOUSEHOLD PRODUCTS -- 0.2%
Central Garden & Pet Company (a) (b) ........... 173,092 585,051
Oil-Dri Corporation of America ................. 600 9,930
------------
594,981
------------
PERSONAL PRODUCTS -- 0.6%
NBTY, Inc. (a) (b) ............................. 49,906 1,166,303
Nutraceutical International Corporation (a) (b) 34,212 313,040
Parlux Fragrances, Inc. (a) .................... 126,835 409,677
Physicians Formula Holdings, Inc. (a) .......... 6,097 21,522
Prestige Brands Holdings, Inc. (a) ............. 43,791 302,596
------------
2,213,138
------------
TOBACCO -- 0.1%
Star Scientific, Inc. (a) (b) .................. 180,208 573,062
------------
ENERGY -- 3.1%
ENERGY EQUIPMENT & SERVICES -- 0.9%
Boots & Coots International Well
Control, Inc. (a) (b) .......................... 323,278 556,038
Gulf Island Fabrication, Inc. (b) .............. 49,926 984,041
OMNI Energy Services Corporation (a) (b) ....... 64,859 145,933
TETRA Technologies, Inc. (a) (b) ............... 162,000 1,127,520
TGC Industries, Inc. (a) ....................... 7,005 15,761
Union Drilling, Inc. (a) (b) ................... 104,543 572,896
------------
3,402,189
------------
9
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 49.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
ENERGY -- 3.1% (CONTINUED)
OIL, GAS & CONSUMABLE FUELS -- 2.2%
Adams Resources & Energy, Inc. ................. 2,648 $ 49,253
Approach Resources, Inc. (a) (b) ............... 90,497 986,417
Barnwell Industries, Inc. ...................... 600 3,840
BMB Munai, Inc. (a) ............................ 79,772 198,632
Clayton Williams Energy, Inc. (a) (b) .......... 24,620 1,192,347
Contango Oil & Gas Company (a) (b) ............. 26,636 1,464,980
CREDO Petroleum Corporation (a) ................ 15,747 137,786
CVR Energy, Inc. (a) (b) ....................... 150,843 598,847
Delek US Holdings, Inc. ........................ 20,100 112,359
Edge Petroleum Corporation (a) ................. 61,743 36,428
Evolution Petroleum Corporation (a) ............ 2,504 4,082
GeoResources, Inc. (a) (b) ..................... 95,511 1,426,934
Gulfport Energy Corporation (a) (b) ............ 168,149 1,185,450
North European Oil Royalty Trust ............... 552 16,726
RAM Energy Resources, Inc. (a) (b) ............. 281,221 345,902
Venoco, Inc. (a) (b) ........................... 116,600 493,218
------------
8,253,201
------------
FINANCIALS -- 8.4%
CAPITAL MARKETS -- 1.2%
BGC Partners, Inc. - Class A (b) ............... 227,180 929,166
Cowen Group, Inc. (a) .......................... 55,563 392,831
GLG Partners, Inc. (b) ......................... 250,490 801,568
Highland Distressed Opportunities, Inc. ........ 15,394 31,096
Investment Technology Group, Inc. (a) (b) ...... 47,464 968,740
Kohlberg Capital Corporation ................... 96,283 538,222
LaBranche & Company, Inc. (a) .................. 91,170 567,989
TICC Capital Corporation ....................... 63,958 223,853
Westwood Holdings Group, Inc. .................. 6,164 236,389
------------
4,689,854
------------
COMMERCIAL BANKS -- 1.2%
Bancorp Rhode Island, Inc. ..................... 10,571 256,030
Bank of Granite Corporation .................... 6,296 24,240
Cadence Financial Corporation .................. 3,975 29,812
Cascade Financial Corporation .................. 5,900 41,005
Center Financial Corporation (b) ............... 91,627 943,758
First Citizens BancShares, Inc. - Class A (b) .. 6,622 1,012,636
First Security Group, Inc. (b) ................. 12,044 90,209
First State Bancorporation ..................... 8,036 29,733
German American Bancorp, Inc. .................. 379 4,320
Harleysville National Corporation .............. 19,677 272,920
Independent Bank Corporation ................... 75,075 275,525
NewBridge Bancorp .............................. 2,914 10,986
Northrim BanCorp, Inc. ......................... 1,598 21,078
Porter Bancorp, Inc. ........................... 106 1,961
Republic Bancorp, Inc. - Class A (b) ........... 43,436 999,897
Santander BanCorp (b) .......................... 54,138 513,770
10
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
===============================================================================
COMMON STOCKS -- 49.0% (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------
FINANCIALS -- 8.4% (CONTINUED)
COMMERCIAL BANKS -- 1.2% (CONTINUED)
Taylor Capital Group, Inc. ..................... 8,097 $ 91,091
TIB Financial Corporation ...................... 921 4,154
United Security Bancshares, Inc. ............... 553 11,060
------------
4,634,185
------------
CONSUMER FINANCE -- 0.5%
EZCORP, Inc. - Class A (a) (b) ................. 78,603 1,245,072
QC Holdings, Inc. .............................. 4,577 36,891
Rewards Network, Inc. (a) ...................... 34,289 130,298
Student Loan Corporation (The) (b) ............. 18,049 658,788
------------
2,071,049
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.3%
Compass Diversified Holdings (b) ............... 90,782 1,107,540
Encore Capital Group, Inc. (a) ................. 8,165 76,425
Marlin Business Services Corporation (a) ....... 1,300 5,148
------------
1,189,113
------------
INSURANCE -- 3.5%
Affirmative Insurance Holdings, Inc. ........... 42,828 50,965
Allied World Assurance Company Holdings Ltd. (b) 43,642 1,399,599
American Physicians Service Group, Inc. ........ 18,332 359,307
Amerisafe, Inc. (a) ............................ 14,300 246,532
Castlepoint Holdings Ltd. (b) .................. 113,502 1,023,788
Conseco, Inc. (a) (b) .......................... 135,314 251,684
Eastern Insurance Holdings, Inc. (b) ........... 12,269 115,206
Erie Indemnity Company - Class A (b) ........... 33,685 1,252,745
First Mercury Financial Corporation (a) (b) .... 89,869 969,687
Hallmark Financial Services, Inc. (a) .......... 16,559 107,634
Hanover Insurance Group, Inc. (The) (b) ........ 30,659 1,203,366
HCC Insurance Holdings, Inc. ................... 4,700 103,682
Meadowbrook Insurance Group, Inc. .............. 20,866 109,964
Navigators Group, Inc. (The) (a) (b) ........... 24,700 1,247,597
Odyssey Re Holdings Corporation (b) ............ 33,244 1,311,143
OneBeacon Insurance Group Ltd. (b) ............. 69,578 960,176
StanCorp Financial Group, Inc. (b) ............. 31,486 1,073,043
Unitrin, Inc. (b) .............................. 62,970 1,322,370
Universal Insurance Holdings, Inc. ............. 24,256 65,006
Willis Group Holdings Ltd. ..................... 1,015 26,634
------------
13,200,128
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.6%
American Land Lease, Inc. (b) .................. 24,954 214,854
AmREIT, Inc. - Class A ......................... 925 5,550
Brandywine Realty Trust (b) .................... 147,418 1,273,692
DuPont Fabros Technology, Inc. ................. 118,050 735,451
Gladstone Commercial Corporation ............... 1,727 20,171
Hatteras Financial Corporation (b) ............. 51,344 1,119,299
LTC Properties, Inc. (b) ....................... 50,600 1,223,002
MFA Mortgage Investments, Inc. (b) ............. 201,675 1,109,213
11
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 49.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 8.4% (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 1.6% (CONTINUED)
Monmouth Real Estate Investment
Corporation - Class A .......................... 3,725 $ 27,192
Supertel Hospitality, Inc. (b) ................. 68,654 156,531
UMH Properties, Inc. ........................... 1,800 10,710
Urstadt Biddle Properties, Inc. ................ 299 4,910
------------
5,900,575
------------
THRIFTS & MORTGAGE FINANCE -- 0.1%
BankAtlantic Bancorp, Inc. - Class A ........... 14,800 91,316
First Defiance Financial Corporation ........... 3,792 38,109
Home Federal Bancorp, Inc. ..................... 3,579 41,481
Kentucky First Federal Bancorp ................. 675 6,419
Parkvale Financial Corporation ................. 160 2,397
Prudential Bancorp, Inc. of Pennsylvania ....... 2,100 20,181
Willow Financial Bancorp, Inc. (a) ............. 9,346 80,843
------------
280,746
------------
HEALTH CARE -- 5.9%
BIOTECHNOLOGY -- 0.6%
Altus Pharmaceuticals, Inc. (a) ................ 2,139 1,219
Avigen, Inc. (a) ............................... 13,191 7,915
Emergent BioSolutions, Inc. (a) (b) ............ 76,129 1,371,083
Micromet, Inc. (a) (b) ......................... 217,817 903,941
Poniard Pharmaceuticals, Inc. (a) .............. 10,300 32,342
SIGA Technologies, Inc. (a) .................... 29,627 97,473
------------
2,413,973
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3%
Anika Therapeutics, Inc. (a) (b) ............... 23,147 139,576
AtriCure, Inc. (a) ............................. 4,205 27,206
ATS Medical, Inc. (a) .......................... 59,812 158,502
Endologix, Inc. (a) ............................ 4,227 8,750
Exactech, Inc. (a) (b) ......................... 57,959 1,170,772
HealthTronics, Inc. (a) ........................ 46,553 90,313
Home Diagnostics, Inc. (a) (b) ................. 40,356 351,501
Medical Action Industries, Inc. (a) ............ 6,500 74,750
Sonic Innovations, Inc. (a) .................... 10,300 17,407
STAAR Surgical Company (a) ..................... 59,981 147,553
STERIS Corporation ............................. 23,000 782,920
Teleflex, Inc. (b) ............................. 11,690 619,453
VNUS Medical Technologies, Inc. (a) (b) ........ 63,112 973,818
Young Innovations, Inc. (b) .................... 12,167 206,839
------------
4,769,360
------------
HEALTH CARE PROVIDERS & SERVICES -- 3.5%
Alliance Imaging, Inc. (a) (b) ................. 135,662 1,105,645
Allion Healthcare, Inc. (a) .................... 34,138 147,817
Almost Family, Inc. (a) (b) .................... 29,538 1,422,550
America Service Group, Inc. (a) ................ 4,670 40,956
American CareSource Holdings, Inc. (a) ......... 500 3,750
Animal Health International, Inc. (a) .......... 48,995 316,018
12
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 49.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 5.9% (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES -- 3.5% (CONTINUED)
BioScrip, Inc. (a) (b) ......................... 138,989 $ 416,967
CardioNet, Inc. (a) (b) ........................ 55,603 1,422,881
Corvel Corporation (a) ......................... 5,342 143,272
Ensign Group, Inc. (The) (b) ................... 49,578 812,583
Genoptix, Inc. (a) (b) ......................... 33,538 1,121,511
Health Grades, Inc. (a) ........................ 79,791 171,551
Hythiam, Inc. (a) .............................. 100 64
IPC The Hospitalist Company, Inc. (a) (b) ...... 55,104 1,121,917
LHC Group, Inc. (a) (b) ........................ 40,657 1,434,379
Skilled Healthcare Group, Inc. - Class A (a) (b) 64,956 797,660
U.S. Physical Therapy, Inc. (a) ................ 21,111 293,021
Universal American Financial Corporation (a) (b) 152,120 1,346,262
WellCare Health Plans, Inc. (a) (b) ............ 47,105 1,138,528
------------
13,257,332
------------
HEALTH CARE TECHNOLOGY -- 0.2%
Computer Programs & Systems, Inc. .............. 18,527 513,013
iCad, Inc. (a) ................................. 92,152 234,066
Transcend Services, Inc. (a) ................... 5,950 67,235
------------
814,314
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.3%
Bio-Imaging Technologies, Inc. (a) ............. 5,800 23,548
Bruker Corporation (a) (b) ..................... 148,277 606,453
Life Sciences Research, Inc. (a) ............... 7,332 135,202
MEDTOX Scientific, Inc. (a) (b) ................ 29,852 294,042
------------
1,059,245
------------
PHARMACEUTICALS -- 0.0%
Emisphere Technologies, Inc. (a) ............... 9,544 11,644
------------
INDUSTRIALS -- 10.0%
AEROSPACE & DEFENSE -- 1.4%
Argon ST, Inc. (a) (b) ......................... 48,431 1,010,271
Astronics Corporation (a) (b) .................. 45,250 565,625
Astronics Corporation - Class B (a) (b) ........ 11,312 136,536
BE Aerospace, Inc. (a) (b) ..................... 101,777 1,309,870
Esterline Technologies Corporation (a) (b) ..... 29,879 1,077,138
Stanley, Inc. (a) (b) .......................... 33,620 1,151,821
------------
5,251,261
------------
AIR FREIGHT & LOGISTICS -- 0.6%
Atlas Air Worldwide Holdings, Inc. (a) (b) ..... 50,774 980,954
UTI Worldwide, Inc. (b) ........................ 98,994 1,164,169
------------
2,145,123
------------
AIRLINES -- 0.3%
Copa Holdings SA - Class A (b) ................. 42,717 1,083,730
------------
BUILDING PRODUCTS -- 0.3%
Armstrong World Industries, Inc. (a) (b) ....... 66,572 1,306,808
------------
13
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 49.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 10.0% (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES -- 1.7%
Alternative Asset Management Acquisition
Corporation (a) .............................. 2,900 $ 26,477
American Ecology Corporation (b) ............... 55,061 965,770
Cornell Companies, Inc. (a) (b) ................ 52,864 1,203,713
EnergySolutions, Inc. (b) ...................... 198,154 893,675
Hicks Acquisition Company I, Inc. (a) .......... 11,100 99,900
IKON Office Solutions, Inc. (b) ................ 69,070 1,190,076
Intersections, Inc. (a) ........................ 916 7,694
North American Galvanizing & Coatings, Inc. (a) 64,584 237,023
NRDC Acquisition Corporation (a) ............... 9,559 86,031
NTR Acquisition Company (a) .................... 2,334 22,616
PeopleSupport, Inc. (a) (b) .................... 90,181 1,103,365
PRG-Schultz International, Inc. (a) (b) ........ 112,765 478,124
Triplecrown Acquisition Corporation (a) ........ 19,763 174,903
------------
6,489,367
------------
CONSTRUCTION & ENGINEERING -- 0.6%
MasTec, Inc. (a) (b) ........................... 122,143 1,065,087
Michael Baker Corporation (a) (b) .............. 43,461 1,035,676
Sterling Construction Company, Inc. (a) ........ 11,879 156,921
------------
2,257,684
------------
ELECTRICAL EQUIPMENT -- 0.8%
Chase Corporation (b) .......................... 21,766 317,348
Fushi Copperweld, Inc. (a) (b) ................. 139,499 620,771
Magnetek, Inc. (a) ............................. 34,229 73,592
Polypore International, Inc. (a) (b) ........... 87,099 742,954
Powell Industries, Inc. (a) (b) ................ 38,405 710,877
Thomas & Betts Corporation (a) (b) ............. 19,959 474,026
------------
2,939,568
------------
MACHINERY -- 1.0%
American Railcar Industries, Inc. .............. 8,000 88,960
Chart Industries, Inc. (a) (b) ................. 66,333 903,455
Crane Company (b) .............................. 72,076 1,179,884
Hardinge, Inc. ................................. 32,175 224,260
L.S. Starrett Company (The) .................... 11,458 162,704
TurboChef Technologies, Inc. (a) ............... 105,970 533,029
Xerium Technologies, Inc. (b) .................. 196,686 765,109
------------
3,857,401
------------
MARINE -- 0.4%
International Shipholding Corporation (a) (b) .. 25,542 628,078
Star Bulk Carriers Corporation ................. 8,018 28,945
Ultrapetrol (Bahamas) Ltd. (a) ................. 157,711 652,923
------------
1,309,946
------------
PROFESSIONAL SERVICES -- 1.4%
Acacia Research Corporation (a) ................ 7,786 20,088
Barrett Business Services, Inc. ................ 11,857 130,427
Corporate Executive Board Company (The) (b) .. . 45,700 1,363,231
Diamond Management & Technology
Consultants, Inc. ............................ 100,506 400,014
14
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 49.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 10.0% (CONTINUED)
PROFESSIONAL SERVICES -- 1.4% (CONTINUED)
GP Strategies Corporation (a) .................. 44,494 $ 267,854
ICF International, Inc. (a) (b) ................ 64,600 1,200,268
Volt Information Sciences, Inc. (a) (b) ........ 122,456 936,788
VSE Corporation (b) ............................ 30,626 1,004,227
------------
5,322,897
------------
ROAD & RAIL -- 0.5%
Marten Transport Ltd. (a) (b) .................. 67,977 1,249,417
PAM Transportation Services, Inc. (a) .......... 4,186 36,335
Saia, Inc. (a) ................................. 26,386 279,955
USA Truck, Inc. (a) ............................ 30,003 443,144
------------
2,008,851
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.8%
DXP Enterprises, Inc. (a) (b) .................. 74,548 1,040,690
Textainer Group Holdings Ltd. (b) .............. 68,991 760,971
WESCO International, Inc. (a) (b) .............. 63,808 1,268,503
------------
3,070,164
------------
TRANSPORTATION INFRASTRUCTURE -- 0.2%
CAI International, Inc. (a) .................. 86,565 685,595
------------
INFORMATION TECHNOLOGY -- 11.8%
COMMUNICATIONS EQUIPMENT -- 1.7%
Acme Packet, Inc. (a) (b) ...................... 216,838 1,027,812
BigBand Networks, Inc. (a) (b) ................. 191,040 706,848
Cogo Group, Inc. (a) (b) ....................... 224,591 1,221,775
Extreme Networks, Inc. (a) ..................... 73,660 135,534
Neutral Tandem, Inc. (a) (b) ................... 69,745 1,214,958
Opnext, Inc. (a) (b) ........................... 189,117 756,468
Tellabs, Inc. (a) (b) .......................... 317,111 1,344,551
Zhone Technologies, Inc. (a) ................... 46,028 5,615
------------
6,413,561
------------
COMPUTERS & PERIPHERALS -- 1.0%
3PAR, Inc. (a) ................................. 85,881 547,921
Compellant Technologies, Inc. (a) (b) .......... 92,471 1,007,934
Netezza Corporation (a) (b) .................... 120,771 1,171,479
Super Micro Computer, Inc. (a) (b) ............. 110,859 696,194
TransAct Technologies, Inc. (a) ................ 55,973 391,811
------------
3,815,339
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS -- 1.1%
Frequency Electronics, Inc. .................... 400 1,724
Keithley Instruments, Inc. ..................... 23,355 99,259
LoJack Corporation (a) ......................... 6,400 27,968
Multi-Fineline Electronix, Inc. (a) (b) ........ 94,826 1,107,568
National Instruments Corporation (b) ........... 46,273 1,175,334
PC Connection, Inc. (a) ........................ 61,658 372,414
Spectrum Control, Inc. (a) (b) ................. 55,488 345,690
TESSCO Technologies, Inc. (a) .................. 900 9,873
15
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 49.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 11.8% (CONTINUED)
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS -- 1.1% (CONTINUED)
Vishay Intertechnology, Inc. (a) (b) ........... 250,351 $ 1,079,013
Zones, Inc. (a) ................................ 2,080 16,869
------------
4,235,712
------------
INTERNET SOFTWARE & SERVICES -- 0.3%
Internap Network Services Corporation (a) ...... 151,106 432,163
Limelight Networks, Inc. (a) (b) ............... 253,810 604,068
NaviSite, Inc. (a) ............................. 6,200 3,100
------------
1,039,331
------------
IT SERVICES -- 2.6%
Computer Task Group, Inc. (a) .................. 5,453 27,210
Convergys Corporation (a) (b) .................. 101,498 780,520
ExlService Holdings, Inc. (a) .................. 64,991 474,434
iGATE Corporation (a) (b) ...................... 143,227 972,511
Integral Systems, Inc. (a) (b) ................. 63,264 1,554,397
Mastech Holdings, Inc. (a) ..................... 5,995 9,292
NCI, Inc. - Class A (a) (b) .................... 49,371 1,175,030
Online Resources Corporation (a) ............... 39,864 139,524
Sapient Corporation (a) (b) .................... 230,190 1,263,743
SI International, Inc. (a) (b) ................. 37,268 1,073,318
Startek, Inc. (a) .............................. 7,371 24,398
TeleTech Holdings, Inc. (a) (b) ................ 134,665 1,217,372
Tier Technologies, Inc. (a) .................... 25,369 151,707
Unisys Corporation (a) (b) ..................... 296,545 450,748
Virtusa Corporation (a) ........................ 74,540 410,715
------------
9,724,919
------------
OFFICE ELECTRONICS -- 0.3%
Zebra Technologies Corporation - Class A (a) (b) 54,339 1,099,821
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0%
Atmel Corporation (a) (b) ...................... 299,705 1,243,776
AuthenTec, Inc. (a) ............................ 19,864 37,344
AXT, Inc. (a) (b) .............................. 103,360 164,343
Eagle Test Systems, Inc. (a) (b) ............... 68,309 1,034,198
Fairchild Semiconductor International,
Inc. (a) (b) ................................ 203,143 1,153,852
Integrated Device Technology, Inc. (a) (b) ..... 168,000 1,068,480
Integrated Silicon Solution, Inc. (a) .......... 14,400 26,064
International Rectifier Corporation (a) (b) .... 89,500 1,381,880
Mindspeed Technologies, Inc. (a) ............... 20,936 30,357
Nanometrics, Inc. (a) .......................... 19,386 23,845
Pericom Semiconductor Corporation (a) .......... 39,102 304,996
Photronics, Inc. (a) ........................... 251,615 173,614
Ramtron International Corporation (a) .......... 14,662 34,309
Teradyne, Inc. (a) (b) ......................... 186,800 952,680
Virage Logic Corporation (a) ................... 4,543 20,534
White Electronic Designs Corporation (a) ....... 4,861 19,396
------------
7,669,668
------------
16
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 49.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 11.8% (CONTINUED)
SOFTWARE -- 2.8%
ArcSight, Inc. (a) (b) ......................... 140,993 $ 833,269
Cadence Design Systems, Inc. (a) ............... 64,459 262,348
Digimarc Corporation (a) (b) ................... 25,286 252,857
Dynamics Research Corporation (a) .............. 639 4,920
Ebix, Inc. (a) (b) ............................. 30,689 780,421
Glu Mobile, Inc. (a) ........................... 14,324 12,748
Guidance Software, Inc. (a) .................... 53,259 151,788
Magma Design Automation, Inc. (a) .............. 146,557 382,514
NetScout Systems, Inc. (a) (b) ................. 122,204 1,175,602
Novell, Inc. (a) (b) ........................... 250,719 1,168,351
Parametric Technology Corporation (a) (b) ...... 91,903 1,193,820
Pegasystems, Inc. (b) .......................... 92,047 1,203,975
PROS Holdings, Inc. (a) (b) .................... 125,589 674,413
Quest Software, Inc. (a) (b) ................... 97,714 1,294,711
SumTotal Systems, Inc. (a) ..................... 67,463 216,556
TeleCommunication Systems, Inc. (a) (b) ........ 152,087 1,046,359
------------
10,654,652
------------
MATERIALS -- 2.7%
CHEMICALS -- 1.6%
American Pacific Corporation (a) ............... 3,660 42,273
Chemtura Corporation (b) ....................... 152,768 264,289
Hercules, Inc. (b) ............................. 66,100 1,111,141
Innophos Holdings, Inc. ........................ 30,300 810,525
KMG Chemicals, Inc. (b) ........................ 15,454 62,589
OMNOVA Solutions, Inc. (a) ..................... 31,492 38,735
Quaker Chemical Corporation (b) ................ 48,111 920,363
Scotts Miracle-Gro Company (The) -
Class A (b) ................................. 50,799 1,326,870
Solutia, Inc. (a) (b) .......................... 135,277 1,304,070
Stepan Company ................................. 7,500 268,725
------------
6,149,580
------------
CONSTRUCTION MATERIALS -- 0.0%
U.S. Concrete, Inc. (a) ........................ 18,126 57,097
------------
CONTAINERS & PACKAGING -- 0.1%
BWAY Holding Company (a) ....................... 14,626 109,403
Graphic Packaging Holding Company (a) .......... 30,752 56,891
Smurfit-Stone Container Corporation (a) (b) .... 167,618 226,284
------------
392,578
------------
METALS & MINING -- 1.0%
A.M. Castle & Company (b) ...................... 87,081 1,059,776
ASA Ltd. ....................................... 100 3,808
Carpenter Technology Corporation (b) ........... 58,759 1,063,538
General Steel Holdings, Inc. (a) ............... 130,002 616,210
Horsehead Holding Corporation (a) .............. 188,303 651,528
Sutor Technology Group Ltd. (a) ................ 101,382 217,971
------------
3,612,831
------------
17
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 49.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
MATERIALS -- 2.7% (CONTINUED)
PAPER & FOREST PRODUCTS -- 0.0%
Verso Paper Corporation ........................ 131,913 $ 204,465
------------
TELECOMMUNICATION SERVICES -- 0.8%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5%
HickoryTech Corporation ........................ 3,895 24,344
NTELOS Holdings Corporation .................... 28,400 738,400
SureWest Communications (b) .................... 63,964 1,130,244
------------
1,892,988
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.3%
Syniverse Holdings, Inc. (a) (b) ............... 65,026 1,222,489
------------
UTILITIES -- 0.8%
ELECTRIC UTILITIES -- 0.0%
Unitil Corporation ............................. 200 4,800
------------
GAS UTILITIES -- 0.4%
Atmos Energy Corporation (b) ................... 54,328 1,318,540
------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS -- 0.0%
Synthesis Energy Systems, Inc. (a) ............. 59,743 131,435
------------
MULTI-UTILITIES -- 0.4%
Vectren Corporation (b) ........................ 53,785 1,355,382
------------
WATER UTILITIES -- 0.0%
Artesian Resources Corporation - Class A ....... 2,895 41,775
York Water Company ............................. 2,197 26,364
------------
68,139
------------
TOTAL COMMON STOCKS (Cost $234,630,435) ........ $185,559,016
------------
================================================================================
CLOSED-END FUNDS -- 16.0% SHARES VALUE
- --------------------------------------------------------------------------------
40/86 Strategic Income Fund ......................... 12,171 $ 75,947
Aberdeen Asia-Pacific Income Fund, Inc. (b) ......... 197,108 823,911
Aberdeen Australia Equity Fund, Inc. ................ 100 860
Aberdeen Global Income Fund, Inc. ................... 25,801 211,568
ACM Managed Dollar Income Fund ...................... 28,168 131,545
Adams Express Company (The) ......................... 41,298 370,443
Advent/Claymore Convertible Securities &
Income Fund ...................................... 100 1,306
Advent/Claymore Enhanced Growth & Income Fund ....... 20,011 179,499
Advent/Claymore Global Convertible
Securities & Income Fund ......................... 63,173 389,146
18
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 16.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
Alliance California Municipal Income Fund, Inc. ..... 800 $ 8,880
AllianceBernstein Global High Income Fund, Inc. ..... 45,698 384,320
Alpine Global Premier Properties Fund (b) ........... 144,784 644,289
Alpine Total Dynamic Dividend Fund .................. 100 815
American Income Fund, Inc. .......................... 200 1,240
American Select Portfolio ........................... 4,300 40,979
American Strategic Income Portfolio II .............. 11,083 95,757
American Strategic Income Portfolio III ............. 3,360 30,408
American Strategic Income Portfolio, Inc. ........... 4,895 42,635
Asia Tigers Fund, Inc. (a) .......................... 111 1,329
Bancroft Fund Ltd. .................................. 200 2,260
BlackRock California Investment Quality
Municipal Trust .................................. 300 3,084
BlackRock California Municipal Bond Trust ........... 200 2,294
BlackRock California Municipal Income Trust II ...... 300 3,045
BlackRock Core Bond Trust ........................... 4,000 38,200
BlackRock Corporate High Yield Fund III, Inc. ....... 87,145 366,880
BlackRock Corporate High Yield Fund V, Inc. (b) ..... 79,995 563,165
BlackRock Corporate High Yield Fund VI, Inc. ........ 55,579 397,946
BlackRock Corporate High Yield Fund, Inc. ........... 30,053 134,337
BlackRock Debt Strategies Fund, Inc. ................ 100 360
BlackRock Defined Opportunity Credit Trust .......... 100 1,100
BlackRock Diversified Income Strategies Fund, Inc. .. 3,835 30,872
BlackRock Dividend Achievers Trust .................. 100 920
BlackRock EcoSolutions Investment Trust ............. 502 4,618
BlackRock Enhanced Dividend Achievers Trust ......... 37,251 315,516
BlackRock Enhanced Equity Yield Fund, Inc. .......... 6,840 65,732
BlackRock Florida Municipal 2020 Term Trust ......... 400 4,084
BlackRock Global Energy & Resources Trust ........... 13,300 239,267
BlackRock Global Equity Income Trust (b) ............ 64,010 584,411
BlackRock Global Floating Rate Income Trust ......... 52,704 507,540
BlackRock High Income Shares ........................ 146,414 193,266
BlackRock High Yield Trust .......................... 1,200 5,688
BlackRock Income Opportunity Trust, Inc. ............ 780 6,365
BlackRock Income Trust .............................. 42,297 232,211
BlackRock Insured Municipal Income
Investment Trust ................................. 2,200 22,660
BlackRock International Growth & Income Trust (b) ... 16,288 148,058
BlackRock Limited Duration Income Trust ............. 25,670 291,611
BlackRock Muni Intermediate Duration Fund, Inc. ..... 100 1,120
BlackRock Muni New York Intermediate
Duration Fund, Inc. .............................. 1,500 14,535
BlackRock MuniEnhanced Fund, Inc. ................... 7,995 58,364
BlackRock MuniHoldings California Insured Fund, Inc.. 12,600 127,890
BlackRock MuniHoldings Fund, Inc. ................... 2,350 25,215
BlackRock MuniHoldings Insured Fund II, Inc. ........ 12,700 120,650
BlackRock MuniHoldings Insured Fund, Inc. ........... 1,550 14,136
BlackRock MuniHoldings Insured Investment Fund ...... 40,920 387,922
BlackRock MuniHoldings New Jersey Insured Fund, Inc.. 7,208 78,279
BlackRock MuniHoldings New York Insured Fund, Inc. .. 12,795 128,590
BlackRock MuniYield California Fund, Inc. ........... 5,700 58,311
BlackRock MuniYield California Insured Fund, Inc. ... 5,100 52,377
BlackRock MuniYield Insured Investment Fund ......... 1,300 12,181
19
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 16.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
BlackRock MuniYield Investment Fund ................. 9,014 $ 85,182
BlackRock MuniYield Michigan Insured Fund II, Inc. .. 4,915 46,447
BlackRock MuniYield Michigan Insured Fund, Inc. ..... 6,728 68,356
BlackRock MuniYield New Jersey Fund, Inc. ........... 2,262 24,837
BlackRock MuniYield New Jersey Insured Fund, Inc. ... 1,200 12,684
BlackRock MuniYield New York Insured Fund, Inc. ..... 3,500 35,175
BlackRock MuniYield Pennsylvania Insured Fund ....... 13,524 135,375
BlackRock MuniYield Quality Fund II, Inc. ........... 73 639
BlackRock New York Insured Municipal Income Trust ... 2,100 21,735
BlackRock Pennsylvania Strategic Municipal Trust .... 100 952
BlackRock Preferred & Corporate Income
Strategies Fund, Inc. ............................ 28,226 197,582
BlackRock Preferred & Equity Advantage Trust (b) .... 88,464 828,023
BlackRock Preferred Income Strategies Fund, Inc. (b). 107,728 872,597
BlackRock Preferred Opportunity Trust ............... 5,400 45,954
BlackRock Real Asset Equity Trust (b) ............... 93,253 721,778
BlackRock S&P Quality Rankings Global
Equity Managed Trust ............................. 1,409 14,794
BlackRock Senior High Income Fund, Inc. ............. 107,065 305,135
BlackRock Strategic Bond Trust ...................... 11,426 101,920
BlackRock Strategic Dividend Achievers Trust ........ 15,067 135,754
BlackRock World Investment Trust .................... 43,603 402,020
Calamos Convertible & High Income Fund .............. 100 874
Calamos Global Dynamic Income Fund (b) .............. 127,020 806,577
Calamos Strategic Total Return Fund ................. 39,362 273,172
Central Europe & Russia Fund, Inc. (The) ............ 100 1,894
Central Securities Corporation ...................... 975 18,623
Chartwell Dividend & Income Fund, Inc. .............. 1,850 6,808
Chile Fund, Inc. .................................... 2,570 25,751
Clough Global Allocation Fund ....................... 4,450 52,510
Clough Global Equity Fund ........................... 28,351 311,577
Clough Global Opportunities Fund .................... 40,496 417,514
Cohen & Steers Dividend Majors Fund, Inc. ........... 100 1,201
Cohen & Steers Global Income Builder, Inc. .......... 8,236 75,359
Cohen & Steers Premium Income Realty Fund, Inc. ..... 5,825 35,008
Cohen & Steers REIT & Preferred Income Fund, Inc. ... 4,785 39,285
Cohen & Steers REIT & Utility Income Fund, Inc. ..... 7,200 63,720
Cohen & Steers Select Utility Fund, Inc. ............ 3,547 43,912
Cornerstone Progressive Return Fund ................. 100 855
Cornerstone Strategic Value Fund, Inc. .............. 728 1,594
Cornerstone Total Return Fund, Inc. ................. 73 333
Credit Suisse Asset Management Income Fund, Inc. .... 95,101 232,046
Credit Suisse High Yield Bond Fund .................. 3,700 7,289
Delaware Enhanced Global Dividend & Income Fund ..... 46,119 357,422
Delaware Investments Arizona Municipal
Income Fund, Inc. ................................ 1,300 12,844
Delaware Investments Dividend & Income Fund, Inc. ... 257 1,290
Delaware Investments Global Dividend &
Income Fund, Inc. ................................ 500 2,545
Delaware Investments Minnesota Municipal
Income Fund II ................................... 1,600 18,336
Delaware Investments National Municipal Income Fund. 1,901 17,679
Denali Fund (The) ................................... 100 1,127
20
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 16.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
Diamond Hill Financial Trends Fund .................. 300 $ 2,304
Dividend Capital Realty Income Allocation Fund ...... 45,329 114,229
Dividend Capital Strategic Fund (The) ............... 9,912 38,359
Dow 30 Enhanced Premium & Income Fund, Inc. ......... 437 4,243
Dreman/Claymore Dividend & Income Fund .............. 169,859 506,180
Dreyfus High Yield Strategies Fund .................. 203,967 507,878
Dreyfus Municipal Income, Inc. ...................... 3,401 23,127
Dreyfus Strategic Municipals, Inc. .................. 6,571 40,083
DTF Tax-Free Income, Inc. ........................... 3,780 42,525
DWS Dreman Value Income Edge Fund (b) ............... 150,092 870,534
DWS Global Commodities Stock Fund, Inc. ............. 23,329 237,023
DWS Global High Income Fund, Inc. ................... 21,073 105,365
DWS High Income Trust ............................... 37,232 106,484
DWS Multi-Market Income Trust ....................... 22,985 136,531
DWS RREEF Real Estate Fund II, Inc. ................. 31,039 89,392
DWS RREEF Real Estate Fund, Inc. .................... 69,068 378,493
DWS RREEF World Real Estate &
Tactical Strategies Fund, Inc. ................... 5,681 34,029
DWS Strategic Income Trust .......................... 7,270 56,706
DWS Strategic Municipal Income Trust ................ 300 2,520
Eagle Capital Growth Fund, Inc. ..................... 298 1,520
Eaton Vance Credit Opportunities Fund ............... 3,106 24,848
Eaton Vance Enhanced Equity Income Fund ............. 15,604 191,929
Eaton Vance Enhanced Equity Income Fund II .......... 9,700 111,938
Eaton Vance Floating-Rate Income Trust .............. 1,403 13,497
Eaton Vance Insured Michigan Municipal Bond Fund .... 100 1,001
Eaton Vance Insured New York Municipal Bond Fund .... 100 1,025
Eaton Vance Insured Pennsylvania Municipal
Bond Fund ........................................ 300 3,096
Eaton Vance Limited Duration Income Fund ............ 37,953 400,784
Eaton Vance Michigan Municipal Income Trust ......... 700 6,475
Eaton Vance Pennsylvania Municipal Income Trust ..... 500 4,660
Eaton Vance Senior Floating-Rate Trust .............. 4,000 37,920
Eaton Vance Senior Income Trust ..................... 19,252 91,254
Eaton Vance Short Duration Diversified Income Fund .. 6,669 84,163
Eaton Vance Tax-Advantaged Dividend Income Fund (b). 97,519 1,261,896
Eaton Vance Tax-Advantaged Global Dividend
Income Fund (b) .................................. 126,489 1,555,815
Eaton Vance Tax-Advantaged Global
Dividend Opportunities Fund ...................... 16,063 241,427
Eaton Vance Tax-Managed Buy-Write Income Fund ....... 100 1,197
Eaton Vance Tax-Managed Buy-Write Opportunities Fund. 194 2,177
Eaton Vance Tax-Managed Diversified Equity
Income Fund (b) .................................. 63,597 756,804
Eaton Vance Tax-Managed Global Buy-Write
Opportunities Fund (b) ........................... 76,254 802,955
Eaton Vance Tax-Managed Global Diversified
Equity Income Fund (b) ........................... 109,692 1,146,281
Ellsworth Fund Ltd. ................................. 100 505
Emerging Markets Telecommunications Fund ............ 5,955 75,748
Engex, Inc. (a) ..................................... 100 460
Equus Total Return, Inc. ............................ 8,104 50,002
21
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 16.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
European Equity Fund, Inc. (The) (a) ................ 500 $ 2,690
Evergreen Global Dividend Opportunity Fund (b) ...... 94,407 1,037,533
Evergreen Income Advantage Fund ..................... 59,490 371,812
Evergreen International Balanced Income Fund ........ 4,100 48,913
Evergreen Multi-Sector Income Fund .................. 29,911 349,360
Fiduciary/Claymore Dynamic Equity Fund .............. 800 3,112
First Financial Fund, Inc ........................... 1,300 7,371
First Israel Fund, Inc. ............................. 1,818 20,271
First Trust Active Dividend Income Fund (The) ....... 2,700 25,299
First Trust Enhanced Equity Income Fund ............. 37,127 362,360
First Trust Specialty Finance & Finance
Opportunities Fund ............................... 1,100 5,918
First Trust Strategic High Income Fund II ........... 12,145 87,323
First Trust Strategic High Income Fund III .......... 1,000 5,240
First Trust Tax-Advantaged Preferred Income Fund .... 6,285 32,368
First Trust/Aberdeen Global Opportunity Fund ........ 42,442 422,298
First Trust/FIDAC Mortgage Income Fund .............. 1,829 28,734
First Trust/Four Corners Senior Floating
Rate Income Fund ................................. 12,642 104,929
First Trust/Four Corners Senior Floating
Rate Income Fund II .............................. 26,512 224,026
Flaherty & Crumrine Preferred Income Fund ........... 2,300 13,179
Flaherty & Crumrine Preferred Income
Opportunity Fund, Inc. ........................... 21,888 104,187
Flaherty & Crumrine/Claymore Preferred
Securities Income Fund, Inc. ..................... 18,453 162,386
Flaherty & Crumrine/Claymore Total Return Fund, Inc.. 31,422 285,940
Foxby Corporation ................................... 1,100 726
Franklin Templeton Limited Duration Income Trust .... 20,147 161,176
Franklin Universal Trust ............................ 6,400 25,728
Gabelli Dividend & Income Trust (b) ................. 111,667 1,267,420
Gabelli Global Deal Fund ............................ 41,788 549,512
Gabelli Global Multimedia Trust, Inc. ............... 8,265 38,845
Gabelli Global Utility & Income Trust ............... 100 1,685
Gabelli Healthcare & WellnessRx Trust (The) ......... 550 2,915
General American Investors Company, Inc. ............ 1,400 27,762
Global High Income Fund, Inc. ....................... 848 6,971
Global Income & Currency Fund ....................... 2,515 36,291
Global Income Fund .................................. 2,900 7,830
H&Q Life Sciences Investors ......................... 8,969 83,860
Hartford Income Shares Fund ......................... 100 496
Herzfeld Caribbean Basin Fund, Inc. ................. 1,282 5,910
High Yield Income Fund, Inc. ........................ 4,541 13,941
High Yield Plus Fund, Inc. (The) .................... 24,357 49,201
Highland Credit Strategies Fund ..................... 10,763 97,513
Hyperion Brookfield Strategic Mortgage
Income Fund, Inc. ................................ 14,370 98,578
Hyperion Brookfield Total Return Fund, Inc. ......... 55,758 281,578
Indonesia Fund, Inc. ................................ 30,173 122,201
ING Asia Pacific High Dividend Equity Income Fund ... 3,966 43,785
ING Clarion Global Real Estate Income Fund .......... 144,489 810,583
ING Clarion Real Estate Income Fund ................. 13,951 67,941
ING Global Advantage & Premium Opportunity Fund ..... 1,150 12,236
ING Global Equity Dividend & Premium
Opportunity Fund (b) ............................. 88,677 952,391
ING Prime Rate Trust ................................ 62,425 236,591
22
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 16.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
ING Risk Managed Natural Resources Fund (b) ......... 49,508 $ 650,535
Investment Grade Municipal Income Fund .............. 1,300 13,962
Japan Equity Fund (a) ............................... 2,700 13,878
John Hancock Bank & Thrift Opportunity Fund ......... 45,179 201,047
John Hancock Income Securities Trust ................ 300 2,901
John Hancock Tax-Advantage Global
Shareholder Yield Fund ........................... 10,038 110,418
Kayne Anderson Energy Total Return Fund, Inc. ....... 3,782 61,533
Korea Fund, Inc. .................................... 94 1,119
Latin America Equity Fund, Inc. ..................... 100 2,217
Lazard Global Total Return & Income Fund, Inc. ...... 100 1,297
Lazard World Dividend & Income Fund, Inc. ........... 2,137 19,960
Lehman Brothers First Trust Income
Opportunity Fund ................................. 49,696 327,994
Liberty All Star Equity Fund ........................ 107,481 417,026
LMP Capital & Income Fund, Inc. ..................... 10,378 94,128
LMP Corporate Loan Fund, Inc. ....................... 27,936 193,317
LMP Real Estate Income Fund, Inc. ................... 7,935 51,419
Macquarie Global Infrastructure Total
Return Fund, Inc. (b) ............................ 62,952 823,412
Macquarie/First Trust Global Infrastructure/
Utilities Dividend & Income Fund ................. 15,303 171,547
Madison Strategic Sector Premium Fund ............... 300 2,985
Madison/Claymore Covered Call & Equity Strategy Fund. 800 5,632
Malaysia Fund, Inc. ................................. 15,096 95,256
Managed High Yield Plus Fund, Inc. .................. 17,788 31,663
Massachusetts Health & Education Tax-Exempt Trust ... 404 3,604
MBIA Capital/Claymore Managed Duration
Investment Grade Municipal Fund .................. 2,000 18,440
Mexico Equity & Income Fund, Inc. ................... 100 1,270
Mexico Fund, Inc. (The) ............................. 600 9,936
MFS Charter Income Trust ............................ 16,486 117,545
MFS InterMarket Income Trust I ...................... 2,400 15,672
MFS Intermediate High Income Fund ................... 23,114 42,530
MFS Intermediate Income Trust ....................... 10,786 63,853
MFS Multimarket Income Trust ........................ 62,021 291,499
MFS Municipal Income Trust .......................... 8,800 43,208
MFS Special Value Trust ............................. 1,400 6,580
Morgan Stanley Asia-Pacific Fund, Inc. .............. 1,350 14,917
Morgan Stanley California Insured Municipal
Income Trust ..................................... 7,550 80,785
Morgan Stanley California Quality Municipal
Securities ....................................... 600 6,354
Morgan Stanley Eastern Europe Fund, Inc. ............ 185 2,109
Morgan Stanley Emerging Markets Debt Fund, Inc. ..... 34,108 228,865
Morgan Stanley Emerging Markets
Domestic Debt Fund, Inc. (b) ..................... 146,968 1,425,590
Morgan Stanley Global Opportunity Bond Fund, Inc. ... 5,956 26,266
Morgan Stanley Insured California Municipal
Securities ....................................... 1,900 23,845
Morgan Stanley Insured Municipal Bond Trust ......... 2,900 29,290
Morgan Stanley Insured Municipal Income Trust ....... 2,900 31,204
Morgan Stanley Insured Municipal Trust .............. 7,250 74,312
Morgan Stanley Municipal Premium Income Trust ....... 10,320 62,539
Morgan Stanley New York Quality Municipal Securities. 990 10,415
Morgan Stanley Quality Municipal Income Trust ....... 3,150 29,043
23
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 16.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
Morgan Stanley Quality Municipal Investment Trust ... 2,400 $ 23,472
Morgan Stanley Quality Municipal Securities ......... 1,100 11,605
Nasdaq Premium Income & Growth Fund, Inc. ........... 3,693 40,291
Neuberger Berman California Intermediate
Municipal Fund, Inc. ............................. 1 11
Neuberger Berman Dividend Advantage Fund, Inc. ...... 3,615 28,089
Neuberger Berman Income Opportunity Fund, Inc. ...... 19,262 84,753
Neuberger Berman Intermediate Municipal Fund, Inc. .. 3,800 41,800
Neuberger Berman New York Intermediate
Municipal Fund, Inc. ............................. 200 2,114
Neuberger Berman Real Estate Securities
Income Fund, Inc. ................................ 48,250 151,022
New America High Income Fund, Inc. .................. 249,623 252,119
New Germany Fund, Inc. .............................. 30,068 221,902
New Ireland Fund, Inc. .............................. 13,135 117,558
NFJ Dividend, Interest & Premium Strategy Fund ...... 3,300 47,388
Nicholas-Applegate Convertible & Income Fund ........ 900 4,797
Nicholas-Applegate Equity & Convertible Income Fund . 22,301 293,258
Nuveen Arizona Dividend Advantage Municipal Fund .... 600 5,730
Nuveen California Dividend Advantage Municipal Fund . 100 1,101
Nuveen California Dividend Advantage
Municipal Fund 2 ................................. 1,986 21,012
Nuveen California Investment Quality Municipal Fund . 700 7,602
Nuveen California Municipal Market Opportunity Fund . 400 4,144
Nuveen California Quality Income Municipal Fund ..... 1,300 14,170
Nuveen Connecticut Premium Income Municipal Fund .... 100 1,154
Nuveen Core Equity Alpha Fund ....................... 13,000 136,890
Nuveen Diversified Dividend & Income Fund ........... 15,861 112,613
Nuveen Dividend Advantage Municipal Fund ............ 1,500 16,080
Nuveen Equity Premium & Growth Fund ................. 13,200 156,288
Nuveen Equity Premium Advantage Fund ................ 6,900 79,005
Nuveen Equity Premium Income Fund ................... 100 1,220
Nuveen Equity Premium Opportunity Fund .............. 53,469 622,914
Nuveen Floating Rate Income Fund .................... 110,836 740,384
Nuveen Floating Rate Income Opportunity Fund (b) .... 85,336 558,951
Nuveen Florida Investment Quality Municipal Fund .... 10,475 99,931
Nuveen Florida Quality Income Municipal Fund ........ 7,236 71,853
Nuveen Georgia Premium Income Municipal Fund ........ 35 366
Nuveen Global Government Enhanced Income Fund ....... 20,271 305,079
Nuveen Global Value Opportunities Fund .............. 18,837 210,409
Nuveen Insured California Premium Income
Municipal Fund ................................... 1,100 12,727
Nuveen Insured California Premium Income
Municipal Fund 2 ................................. 3,700 37,740
Nuveen Insured Dividend Advantage Municipal Fund .... 2,391 27,305
Nuveen Insured Florida Premium Income
Municipal Fund ................................... 5,105 53,449
Nuveen Insured Florida Tax Free Advantage
Municipal Fund ................................... 1,172 12,036
Nuveen Insured Municipal Opportunity Fund, Inc. ..... 13,400 150,348
Nuveen Insured New York Premium Income
Municipal Fund ................................... 1,795 18,991
Nuveen Insured Premium Income Municipal Fund ........ 16,478 157,035
Nuveen Insured Tax-Free Advantage Municipal Fund .... 100 1,145
Nuveen Investment Quality Municipal Fund, Inc. ...... 400 4,256
Nuveen Maryland Dividend Advantage Municipal Fund 3 . 100 1,051
24
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 16.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
Nuveen Maryland Premium Income Municipal Fund ....... 200 $ 2,178
Nuveen Michigan Dividend Advantage Municipal Fund ... 200 2,062
Nuveen Michigan Premium Income Municipal Fund ....... 3,700 38,073
Nuveen Michigan Quality Income Municipal Fund ....... 900 9,576
Nuveen Multi-Currency Short-Term
Government Income Fund (b) ....................... 101,702 1,422,811
Nuveen Multi-Strategy Income & Growth Fund (b) ...... 352,089 1,742,841
Nuveen Multi-Strategy Income & Growth Fund 2 (b) .... 184,494 922,470
Nuveen Municipal Market Opportunity Fund ............ 100 1,152
Nuveen New Jersey Dividend Advantage Municipal Fund . 1,750 17,902
Nuveen New Jersey Investment Quality Municipal Fund . 10,565 109,876
Nuveen New Jersey Premium Income Municipal Fund ..... 2,400 26,064
Nuveen New York Dividend Advantage Municipal Fund 2 . 100 1,045
Nuveen New York Investment Quality Municipal Fund ... 9,780 103,961
Nuveen New York Quality Income Municipal Fund, Inc. . 4,950 51,480
Nuveen New York Select Quality Municipal Fund, Inc. . 4,402 46,617
Nuveen Ohio Dividend Advantage Municipal Fund ....... 900 10,314
Nuveen Ohio Quality Income Municipal Fund ........... 2,000 23,340
Nuveen Pennsylvania Dividend Advantage Municipal Fund 100 1,075
Nuveen Pennsylvania Dividend Advantage
Municipal Fund II ................................ 700 7,231
Nuveen Pennsylvania Investment Quality
Municipal Fund ................................... 4,450 45,835
Nuveen Pennsylvania Premium Income Municipal Fund 2 . 6,423 60,055
Nuveen Performance Plus Municipal Fund .............. 200 2,300
Nuveen Premier Insured Municipal Income Fund, Inc. .. 100 1,119
Nuveen Premium Income Municipal Fund ................ 5,800 63,394
Nuveen Premium Income Municipal Fund 2 .............. 15,418 158,497
Nuveen Premium Income Municipal Fund 4 .............. 5,600 51,744
Nuveen Quality Income Municipal Fund ................ 562 6,559
Nuveen Quality Preferred Income Fund ................ 62,945 326,685
Nuveen Real Estate Income Fund ...................... 1,400 10,136
Nuveen Select Quality Municipal Fund ................ 100 1,099
Nuveen Senior Income Fund ........................... 51,008 214,744
Nuveen Tax-Advantaged Dividend Growth Fund .......... 29,296 287,101
Nuveen Tax-Advantaged Floating Rate Fund ............ 63,923 258,888
Nuveen Tax-Advantaged Total Return Strategy Fund .... 200 1,772
Old Mutual Claymore Long-Short Fund ................. 24,187 228,567
Petroleum & Resources Corporation ................... 425 10,234
PIMCO Floating Rate Strategy Fund ................... 34,483 270,002
PIMCO Income Opportunity Fund ....................... 1,820 32,760
Pioneer Diversified High Income Trust ............... 2,950 38,674
Pioneer Floating Rate Trust ......................... 8,340 78,062
Pioneer High Income Trust ........................... 175 1,584
Putnam High Income Securities Fund .................. 100 585
Putnam Managed Municipal Income Trust ............... 5,800 33,060
Putnam Master Intermediate Income Trust (b) ......... 116,500 570,850
Putnam Municipal Opportunities Trust ................ 9,200 85,836
Putnam Premier Income Trust (b) ..................... 196,779 944,539
Reaves Utility Income Fund (The) .................... 7,729 108,051
Renaissance Capital Growth & Income Fund III, Inc. .. 2,700 9,423
RMK Advantage Income Fund, Inc. ..................... 115,159 100,442
25
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 16.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
RMK High Income Fund, Inc. .......................... 122,937 $ 110,643
RMK Multi-Sector High Income Fund, Inc. ............. 228,272 146,094
RMK Strategic Income Fund, Inc. ..................... 136,021 111,673
RMR Asia Pacific Real Estate Fund ................... 6,200 43,710
RMR Asia Real Estate Fund (a) ....................... 14,849 100,973
RMR Dividend Capture Fund ........................... 3,801 14,026
RMR F.I.R.E. Fund ................................... 3,100 6,975
RMR Hospitality and Real Estate Fund ................ 4,154 15,370
RMR Preferred Dividend Fund ......................... 1,635 4,431
RMR Real Estate Fund ................................ 20,572 77,762
Royce Value Trust, Inc. ............................. 10,900 105,185
S&P 500 Covered Call Fund, Inc. ..................... 100 1,084
Seligman LaSalle International Real Estate
Fund, Inc. ....................................... 21,912 152,727
Seligman Select Municipal Fund, Inc. ................ 1,460 12,921
Singapore Fund, Inc. ................................ 19,056 153,210
Source Capital, Inc. ................................ 100 3,550
Strategic Global Income Fund, Inc. .................. 1,900 15,998
SunAmerica Focused Alpha Growth Fund, Inc. .......... 10,720 115,240
SunAmerica Focused Alpha Large-Cap Fund, Inc. ....... 16,341 183,019
Swill Helvetia Fund, Inc. ........................... 17,505 207,434
Taiwan Greater China Fund (The) (a) ................. 10,600 42,188
TCW Strategic Income Fund, Inc. ..................... 7,400 22,200
Templeton Dragon Fund, Inc. ......................... 1,550 25,017
Templeton Global Income Fund ........................ 31,184 228,267
Templeton Russia & East European Fund, Inc. ......... 100 2,200
Thai Capital Fund, Inc. (The) ....................... 200 1,198
Thai Fund, Inc. (The) ............................... 19,191 106,510
Tortoise North American Energy Corporation .......... 8,934 123,647
Transamerica Income Shares, Inc. .................... 7,795 122,381
TS&W/Claymore Tax-Advantaged Balanced Fund .......... 8,174 66,945
Turkish Investment Fund, Inc. (The) ................. 100 620
Van Kampen Dynamic Credit Opportunities Fund (b) .... 173,597 1,551,957
Van Kampen High Income Trust II ..................... 18,524 32,047
Van Kampen Senior Income Trust (b) .................. 198,491 700,673
Western Asset Emerging Markets Debt Fund, Inc. (b) .. 72,458 817,326
Western Asset Emerging Markets Income Fund II, Inc. . 40,881 319,689
Western Asset Emerging Markets Income Fund, Inc. .... 9,350 73,211
Western Asset Global High Income Fund, Inc. ......... 58,679 425,423
Western Asset Global Partners Income Fund, Inc. ..... 429 2,952
Western Asset High Income Fund II, Inc. ............. 4,722 28,379
Western Asset High Income Fund, Inc. ................ 408 2,534
Western Asset High Income Opportunity Fund, Inc. .... 6,800 27,472
Western Asset Income Fund ........................... 690 6,658
Western Asset Inflation Management Fund, Inc. ....... 183 2,469
Western Asset Intermediate Muni Fund, Inc. .......... 1,786 14,288
Western Asset Managed High Income Fund, Inc. ........ 1,500 6,660
Western Asset Municipal Partners Fund, Inc. ......... 2,100 20,958
Western Asset Variable Rate Strategic Fund, Inc. .... 1,500 17,850
Western Asset Worldwide Income Fund, Inc. ........... 3,551 30,361
26
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 16.0% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
Western Asset/Claymore Inflation-Linked
Opportunities & Income Fund ...................... 2,600 $ 25,220
Zweig Fund, Inc. .................................... 48,842 147,014
Zweig Total Return Fund, Inc. (The) ................. 9,090 31,179
------------
TOTAL CLOSED-END FUNDS (Cost $75,409,603) $ 60,504,576
------------
================================================================================
MONEY MARKET SECURITIES -- 35.2% SHARES VALUE
- --------------------------------------------------------------------------------
Fidelity Prime Fund, 2.60% (c) ...................... 30,002,414 $ 30,002,414
Goldman Sachs Financial Square Funds -
Government, 1.91% (c) ............................ 25,000,000 25,000,000
T. Rowe Price U.S. Treasury Money Market
Fund, 0.73% (c) .................................. 30,000,000 30,000,000
UMB Money Market Fiduciary, 0.75% (c) ............... 23,308,330 23,308,330
Wells Fargo Advantage Government
Money Market Fund, 1.15% (c) ..................... 25,000,000 25,000,000
------------
TOTAL MONEY MARKET SECURITIES (Cost $133,310,744) ... $133,310,744
------------
TOTAL INVESTMENTS AT VALUE -- 100.2%
(Cost $443,350,782) .............................. $379,374,336
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.2%) ..... (810,377)
------------
TOTAL NET ASSETS -- 100.0% .......................... $378,563,959
============
(a) Non-income producing security.
(b) All or a portion of the shares have been committed as collateral for open
short positions.
(c) Variable rate security. The rate shown is the 7-day effective yield as of
October 31, 2008.
See accompanying notes to financial statements.
27
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT
OCTOBER 31, 2008
================================================================================
COMMON STOCKS -- 40.7% SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 9.1%
AUTO COMPONENTS -- 0.5%
Cooper Tire & Rubber Company ................... 59,910 $ 457,113
Drew Industries, Inc. (a) ...................... 40,007 484,085
Raser Technologies, Inc. (a) ................... 76,162 328,258
Superior Industries International, Inc. ........ 31,306 447,676
------------
1,717,132
------------
AUTOMOBILES -- 0.2%
Fleetwood Enterprises, Inc. (a) ................ 145,824 65,621
Thor Industries, Inc. .......................... 34,300 613,970
Winnebago Industries, Inc. ..................... 38,230 227,086
------------
906,677
------------
DISTRIBUTORS -- 0.1%
LKQ Corporation (a) ............................ 49,400 565,136
------------
DIVERSIFIED CONSUMER SERVICES -- 0.9%
Capella Education Company (a) .................. 15,301 725,267
Corinthian Colleges, Inc. (a) .................. 42,600 608,328
Escala Group, Inc. (a) ......................... 45,400 104,420
Home Solutions of America, Inc. (a) ............ 148,563 44,569
Nobel Learning Communities, Inc. (a) ........... 2,502 33,827
Pre-Paid Legal Services, Inc. (a) .............. 18,432 727,695
Stewart Enterprises, Inc. - Class A ............ 63,777 329,727
Universal Technical Institute, Inc. (a) ........ 43,571 718,922
------------
3,292,755
------------
HOTELS, RESTAURANTS & LEISURE -- 1.2%
Bluegreen Corporation (a) ...................... 18,911 91,718
Bob Evans Farms, Inc. .......................... 17,900 373,752
California Pizza Kitchen, Inc. (a) ............. 45,238 441,975
Dover Downs Gaming & Entertainment, Inc. ....... 10,952 56,074
Gaylord Entertainment Company (a) .............. 15,900 340,419
Great Wolf Resorts, Inc. (a) ................... 127,170 240,351
Jamba, Inc. (a) ................................ 142,744 82,792
Krispy Kreme Doughnuts, Inc. (a) ............... 150,863 416,382
Life Time Fitness, Inc. (a) .................... 1,700 32,368
Multimedia Games, Inc. (a) ..................... 69,722 210,561
P.F. Chang's China Bistro, Inc. (a) ............ 28,500 583,110
Peets Coffee & Tea, Inc. (a) ................... 17,579 394,824
Pinnacle Entertainment, Inc. (a) ............... 46,124 258,294
Red Robin Gourmet Burgers, Inc. (a) ............ 17,025 258,610
Steak n Shake Company (The) (a) ................ 84,138 433,311
Texas Roadhouse, Inc. (a) ...................... 14,400 101,088
Vail Resorts, Inc. (a) ......................... 5,700 189,582
VCG Holding Corporation (a) .................... 11,191 27,082
------------
4,532,293
------------
28
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 9.1% (CONTINUED)
HOUSEHOLD DURABLES -- 1.1%
American Greetings Corporation ................. 29,487 $ 344,408
Beazer Homes USA, Inc. (a) ..................... 69,900 221,583
Brookfield Homes Corporation ................... 35,224 322,652
Cavco Industries, Inc. (a) ..................... 10,931 371,982
Ethan Allen Interiors, Inc. .................... 20,010 357,979
Hooker Furniture Corporation ................... 41,972 382,365
Hovnanian Enterprises, Inc. - Class A (a) ...... 10,963 47,031
iRobot Corporation (a) ......................... 37,682 388,878
La-Z-Boy, Inc. ................................. 60,190 347,898
M/I Homes, Inc. ................................ 26,843 365,333
Sealy Corporation .............................. 96,179 310,658
Standard Pacific Corporation (a) ............... 122,028 347,780
Stanley Furniture Company, Inc. ................ 4,200 41,328
Syntax-Brillian Corporation (a) ................ 70,799 248
Tempur-Pedic International, Inc. ............... 46,700 364,727
WCI Communities, Inc. (a) ...................... 60,282 7,837
------------
4,222,687
------------
INTERNET & CATALOG RETAIL -- 0.7%
1-800-FLOWERS.COM, Inc. (a) .................... 64,874 347,076
Bidz.com, Inc. (a) ............................. 11,327 76,457
Blue Nile, Inc. (a) ............................ 11,800 360,844
Gaiam, Inc. - Class A (a) ...................... 44,193 362,383
NetFlix, Inc. (a) .............................. 14,745 365,086
NutriSystem, Inc. .............................. 25,784 364,844
Overstock.com, Inc. (a) ........................ 41,116 510,249
Stamps.com, Inc. (a) ........................... 28,617 279,302
------------
2,666,241
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.5%
Arctic Cat, Inc. ............................... 56,986 431,954
Brunswick Corporation .......................... 40,000 138,800
Leapfrog Enterprises, Inc. (a) ................. 91,185 615,499
Polaris Industries, Inc. ....................... 8,495 286,026
Pool Corporation ............................... 21,200 369,092
------------
1,841,371
------------
MEDIA -- 1.2%
Arbitron, Inc. ................................. 19,131 623,288
Charter Communications, Inc. - Class A (a) ..... 20,500 9,020
Cox Radio, Inc. - Class A (a) .................. 50,950 277,677
Entercom Communications Corporation ............ 121,235 81,227
Gray Television, Inc. .......................... 129,729 71,351
Harte-Hanks, Inc. .............................. 39,400 276,588
Journal Communications, Inc. ................... 91,620 229,050
Lee Enterprises, Inc. .......................... 103,443 258,608
LIN TV Corporation - Class A (a) ............... 91,143 155,855
Martha Stewart Living Omnimedia, Inc. (a) ...... 87,773 459,053
McClatchy Company - Class A .................... 8,528 26,181
Media General, Inc. ............................ 77,787 593,515
29
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 9.1% (CONTINUED)
MEDIA -- 1.2% (CONTINUED)
Meredith Corporation ........................... 22,600 $ 437,762
New York Times Company (The) ................... 12,865 128,650
RCN Corporation (a) ............................ 37,392 241,178
Scholastic Corporation ......................... 20,068 372,663
Sinclair Broadcast Group, Inc. ................. 76,148 245,958
Warner Music Group Corporation ................. 30,400 125,856
------------
4,613,480
------------
MULTI-LINE RETAIL -- 0.0%
Sears Holdings Corporation (a) ................. 879 50,754
------------
SPECIALTY RETAIL -- 1.8%
America's Car-Mart, Inc. (a) ................... 8,000 130,640
Blockbuster, Inc. (a) .......................... 156,545 237,948
Build-A-Bear Workshop, Inc. (a) ................ 72,720 378,144
Cabela's, Inc. - Class A (a) ................... 11,554 91,854
Casual Male Retail Group, Inc. (a) ............. 68,612 130,363
Charming Shoppes, Inc. (a) ..................... 93,000 102,300
Conn's, Inc. (a) ............................... 21,028 284,930
Genesco, Inc. (a) .............................. 23,600 585,516
Group 1 Automotive, Inc. ....................... 36,024 362,041
Haverty Furniture Companies, Inc. .............. 62,200 612,048
hhgregg, Inc. (a) .............................. 12,200 66,856
Hibbett Sports, Inc. (a) ....................... 14,172 252,403
J. Crew Group, Inc. (a) ........................ 30,800 623,700
Jos. A. Bank Clothiers, Inc. (a) ............... 13,566 345,526
MarineMax, Inc. (a) ............................ 95,939 222,579
Men's Warehouse, Inc. (The) .................... 5,600 85,624
Pep Boys - Manny Moe & Jack (The) .............. 125,746 606,096
Pier 1 Imports, Inc. (a) ....................... 119,182 164,471
Sally Beauty Holdings, Inc. (a) ................ 59,990 304,749
Stein Mart, Inc. ............................... 9,993 21,485
Systemax, Inc. (a) ............................. 29,100 412,056
Talbots, Inc. .................................. 24,500 240,345
West Marine, Inc. (a) .......................... 36,037 228,114
Zale Corporation (a) ........................... 16,434 280,364
Zumiez, Inc. (a) ............................... 11,400 111,264
------------
6,881,416
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.9%
Cherokee, Inc. ................................. 26,384 544,830
Columbia Sportswear Company .................... 7,600 280,212
Crocs, Inc. (a) ................................ 69,290 173,918
G-III Apparel Group Ltd. (a) ................... 8,800 121,528
Iconix Brand Group, Inc. (a) ................... 70,214 764,630
Kenneth Cole Productions, Inc. - Class A ....... 26,100 346,608
K-Swiss, Inc. - Class A ........................ 33,000 499,290
Lululemon Athletica, Inc. (a) .................. 21,130 299,412
True Religion Apparel, Inc. (a) ................ 17,444 292,187
------------
3,322,615
------------
30
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 1.6%
BEVERAGES -- 0.0%
Jones Soda Company (a) ......................... 128,177 $ 102,542
------------
FOOD & STAPLES RETAILING -- 0.3%
Nash Finch Company ............................. 14,140 557,540
United Natural Foods, Inc. (a) ................. 24,230 541,298
------------
1,098,838
------------
FOOD PRODUCTS -- 0.7%
Cal-Maine Foods, Inc. .......................... 6,891 202,527
Chiquita Brands International, Inc. (a) ........ 30,718 419,301
Green Mountain Coffee Roasters, Inc. (a) ....... 16,500 478,335
Hain Celestial Group, Inc. (The) (a) ........... 20,689 480,812
Lance, Inc. .................................... 34,767 719,329
Tootsie Roll Industries, Inc. .................. 18,037 448,580
------------
2,748,884
------------
HOUSEHOLD PRODUCTS -- 0.0%
Spectrum Brands, Inc. (a) ...................... 29,975 18,285
------------
PERSONAL PRODUCTS -- 0.4%
Chattem, Inc. (a) .............................. 7,999 605,284
Mannatech, Inc. ................................ 95,487 382,903
USANA Health Sciences, Inc. (a) ................ 14,056 533,285
------------
1,521,472
------------
TOBACCO -- 0.2%
Universal Corporation .......................... 13,522 535,336
------------
ENERGY -- 0.4%
ENERGY EQUIPMENT & SERVICES -- 0.1%
SulphCo, Inc. (a) .............................. 195,509 391,018
------------
OIL, GAS & CONSUMABLE FUELS -- 0.3%
Cheniere Energy, Inc. (a) ...................... 86,351 322,953
Evergreen Energy, Inc. (a) ..................... 202,222 72,800
GeoGlobal Resources, Inc. (a) .................. 11,200 20,720
Harvest Natural Resources, Inc. (a) ............ 20,973 178,061
Pacific Ethanol, Inc. (a) ...................... 136,969 123,272
Tri-Valley Corporation (a) ..................... 60,474 287,251
USEC, Inc. (a) ................................. 67,860 280,262
Verenium Corporation (a) ....................... 47,283 48,228
------------
1,333,547
------------
FINANCIALS -- 9.0%
CAPITAL MARKETS -- 0.6%
Cohen & Steers, Inc. ........................... 7,840 142,453
Evercore Partners, Inc. - Class A .............. 52,630 640,507
Gladstone Capital Corporation .................. 22,587 269,011
Greenhill & Company, Inc. ...................... 6,627 437,183
KBW, Inc. (a) .................................. 13,600 398,208
NGP Capital Resource Company ................... 16,698 202,881
31
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 9.0% (CONTINUED)
CAPITAL MARKETS -- 0.6% (CONTINUED)
Pzena Investment Management, Inc. .............. 58,270 $ 258,136
U.S. Global Investors, Inc. .................... 2,400 17,304
W.P. Stewart & Company Ltd. (a) ................ 1,043 793
------------
2,366,476
------------
COMMERCIAL BANKS -- 5.5%
Bank of the Ozarks, Inc. ....................... 17,331 526,862
Banner Corporation ............................. 61,884 790,259
Boston Private Financial Holdings, Inc. ........ 53,311 471,269
Capital City Bank Group, Inc. .................. 3,918 109,704
Capitol Bancorp Ltd. ........................... 44,833 459,090
Cascade Bancorp ................................ 43,584 415,791
Cathay General Bancorp ......................... 25,900 634,032
Chemical Financial Corporation ................. 20,436 536,854
City Bank ...................................... 51,215 527,515
City Holding Company ........................... 4,800 200,832
CoBiz Financial, Inc. .......................... 25,510 296,936
Colonial BancGroup, Inc. (The) ................. 25,230 103,191
Community Bank System, Inc. .................... 20,300 506,485
CVB Financial Corporation ...................... 56,035 709,403
East West Bancorp, Inc. ........................ 22,664 393,220
First BanCorp .................................. 54,308 555,028
First Busey Corporation ........................ 25,056 467,044
First Commonwealth Financial Corporation ....... 42,508 470,138
First Financial Bancorporation ................. 27,169 365,423
First Financial Bankshares, Inc. ............... 7,962 431,461
First Regional Bancorp (a) ..................... 13,479 74,135
First South Bancorp, Inc. ...................... 2,090 29,365
Frontier Financial Corporation ................. 33,218 221,232
Glacier Bancorp, Inc. .......................... 22,600 455,842
Great Southern Bancorp, Inc. ................... 14,169 150,900
Greene Bancshares, Inc. ........................ 28,867 570,123
Guaranty Bancorp (a) ........................... 22,054 93,950
Hanmi Financial Corporation .................... 73,711 294,844
Heritage Commerce Corporation .................. 2,600 33,644
Horizon Financial Corporation .................. 100 601
MainSource Financial Group, Inc. ............... 23,841 425,800
Midwest Bank Holdings, Inc. .................... 5,300 15,953
National Penn Bancshares, Inc. ................. 31,292 530,087
Old National Bancorp ........................... 29,394 556,722
Old Second Bancorp, Inc. ....................... 35,040 473,040
Pacific Capital Bancorp ........................ 28,578 561,272
Park National Corporation ...................... 7,827 569,414
Popular, Inc. .................................. 99,221 754,080
PrivateBancorp, Inc. ........................... 14,437 519,876
Provident Bankshares Corporation ............... 68,505 730,948
S&T Bancorp, Inc. .............................. 19,292 657,857
Sandy Spring Bancorp, Inc. ..................... 26,067 559,659
Seacoast Banking Corporation of Florida ........ 54,038 479,857
32
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 9.0% (CONTINUED)
COMMERCIAL BANKS -- 5.5% (CONTINUED)
Security Bank Corporation ...................... 32,473 $ 64,297
Sierra Bancorp ................................. 1,750 34,930
South Financial Group, Inc. (The) .............. 51,824 301,097
Suffolk Bancorp ................................ 7,619 247,237
Susquehanna Bancshares, Inc. ................... 24,383 377,693
Trico Bancshares ............................... 4,700 101,238
Umpqua Holdings Corporation .................... 25,896 440,750
United Community Banks, Inc. ................... 15,451 202,717
United Security Bancshares, Inc. ............... 1,183 16,558
W Holding Company, Inc. ........................ 249,900 162,435
West Coast Bancorp ............................. 50,552 440,813
Westamerica Bancorporation ..................... 7,900 452,275
Western Alliance Bancorp (a) ................... 18,740 277,539
------------
20,849,317
------------
CONSUMER FINANCE -- 0.2%
AmeriCredit Corporation (a) .................... 15,000 87,900
CompuCredit Corporation (a) .................... 115,714 298,542
First Marblehead Corporation (The) ............. 90,388 153,660
World Acceptance Corporation (a) ............... 14,900 275,352
------------
815,454
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.5%
Asset Acceptance Capital Corporation (a) ....... 48,350 392,119
Asta Funding, Inc. ............................. 15,100 51,340
Encore Capital Group, Inc. (a) ................. 28,600 267,696
Financial Federal Corporation .................. 27,570 638,246
Life Partners Holdings, Inc. ................... 818 32,867
PHH Corporation (a) ............................ 13,305 107,238
Portfolio Recovery Associates, Inc. (a) ........ 10,056 360,809
Primus Guaranty Ltd. (a) ....................... 126,268 56,694
------------
1,907,009
------------
INSURANCE -- 0.4%
American Equity Investment Life Holding Company 56,715 256,352
American Safety Insurance Holdings Ltd. (a) .... 12,472 129,085
FPIC Insurance Group, Inc. (a) ................. 3,193 142,919
Greenlight Capital Re Ltd. - Class A (a) ....... 9,368 117,287
IPC Holdings Ltd. .............................. 24,804 684,838
National Financial Partners Corporation ........ 25,318 168,618
------------
1,499,099
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
Acadia Realty Trust ............................ 24,539 443,420
Alesco Financial, Inc. ......................... 132,009 88,446
American Home Mortgage Investment Corporation (a) 23,100 347
Anthracite Capital, Inc. ....................... 104,600 453,964
Arbor Realty Trust, Inc. ....................... 61,977 223,117
Capital Trust, Inc. ............................ 45,125 356,488
CapLease, Inc. ................................. 27,964 188,757
Cousins Properties, Inc. ....................... 10,100 146,248
33
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 9.0% (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 1.4% (CONTINUED)
Crystal River Capital, Inc. .................... 38,153 $ 27,852
Equity One, Inc. ............................... 28,400 496,148
First Industrial Realty Trust, Inc. ............ 19,000 196,460
Friedman, Billings, Ramsey Group, Inc. (a) ..... 74,866 47,166
Glimcher Realty Trust .......................... 48,804 255,733
JER Investors Trust, Inc. ...................... 71,546 232,524
Maguire Properties, Inc. ....................... 27,360 97,128
Newcastle Investment Corporation ............... 9,096 36,839
NorthStar Realty Finance Corporation ........... 112,075 644,431
Parkway Properties, Inc. ....................... 13,757 237,308
RAIT Financial Trust ........................... 126,592 483,581
Redwood Trust, Inc. ............................ 4,695 71,552
Tanger Factory Outlet Centers, Inc. ............ 6,485 234,562
Urstadt Biddle Properties, Inc. - Class A ...... 6,240 102,211
------------
5,064,282
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Avatar Holdings, Inc. (a) ...................... 14,677 498,284
------------
THRIFTS & MORTGAGE FINANCE -- 0.3%
Anchor BanCorp Wisconsin, Inc. ................. 5,400 30,780
Corus Bankshares, Inc. ......................... 85,218 187,480
Downey Financial Corporation ................... 42,834 68,534
Federal Agricultural Mortgage Corporation ...... 2,127 12,337
FirstFed Financial Corporation (a) ............. 1,300 11,635
Guaranty Financial Group, Inc. (a) ............. 62,759 127,401
IndyMac Bancorp, Inc. .......................... 21,333 1,280
Triad Guaranty, Inc. (a) ....................... 21,250 23,162
Washington Federal, Inc. ....................... 34,100 600,842
------------
1,063,451
------------
HEALTH CARE -- 6.8%
BIOTECHNOLOGY -- 2.5%
Alnylam Pharmaceuticals, Inc. (a) .............. 22,381 514,763
Arena Pharmaceuticals, Inc. (a) ................ 85,150 313,352
Ariad Pharmaceuticals, Inc. (a) ................ 70,197 139,692
ArQule, Inc. (a) ............................... 68,892 190,142
Array Biopharma, Inc. (a) ...................... 83,476 410,702
BioSante Pharmaceuticals, Inc. (a) ............. 6,924 22,365
Chelsea Therapeutics International Ltd. (a) .... 1,680 3,545
Cleveland BioLabs, Inc. (a) .................... 13,437 40,983
Cubist Pharmaceuticals, Inc. (a) ............... 24,838 630,637
Cytori Therapeutics, Inc. (a) .................. 21,957 87,828
Dendreon Corporation (a) ....................... 79,586 391,563
Enzon Pharmeceuticals, Inc. (a) ................ 63,883 317,499
Genomic Health, Inc. (a) ....................... 8,650 159,419
GenVec, Inc. (a) ............................... 39,932 39,533
Geron Corporation (a) .......................... 139,532 555,337
GTx, Inc. (a) .................................. 26,661 376,453
Halozyme Therapeutics, Inc. (a) ................ 19,489 93,352
34
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 6.8% (CONTINUED)
BIOTECHNOLOGY -- 2.5% (CONTINUED)
ImmunoGen, Inc. (a) ............................ 10,486 $ 48,550
Incyte Corporation Ltd. (a) .................... 60,635 251,635
InterMune, Inc. (a) ............................ 34,969 515,093
Introgen Therapeutics, Inc. (a) ................ 99,112 39,645
Ligand Pharmaceuticals, Inc. (a) ............... 145,389 300,955
MannKind Corporation (a) ....................... 13,923 52,350
Martek Biosciences Corporation (a) ............. 18,461 550,692
Metabolix, Inc. (a) ............................ 74,465 697,737
Momenta Pharmaceuticals, Inc. (a) .............. 20,445 186,254
Neurocrine Biosciences, Inc. (a) ............... 91,447 377,676
Northfield Laboratories, Inc. (a) .............. 207,951 178,838
Osiris Therapeutics, Inc. (a) .................. 6,200 94,054
Progenics Pharmaceuticals, Inc. (a) ............ 6,971 69,780
Rigel Pharmaceuticals, Inc. (a) ................ 20,155 175,550
Sangamo Biosciences, Inc. (a) .................. 79,121 617,935
Savient Pharmaceuticals, Inc. (a) .............. 13,633 64,893
Synta Pharmaceuticals Corporation (a) .......... 7,721 54,665
Theravance, Inc. (a) ........................... 37,400 253,572
Trimeris, Inc. (a) ............................. 70,100 229,227
Zymogenetics, Inc. (a) ......................... 82,223 263,114
------------
9,309,380
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 2.1%
Abaxis, Inc. (a) ............................... 26,748 411,117
Align Technology, Inc. (a) ..................... 50,943 353,035
ArthroCare Corporation (a) ..................... 14,202 295,117
Conceptus, Inc. (a) ............................ 30,300 490,860
Cooper Companies, Inc. (The) ................... 27,684 456,232
Cyberonics, Inc. (a) ........................... 23,800 303,212
DexCom, Inc. (a) ............................... 80,596 364,294
Greatbatch, Inc. (a) ........................... 25,045 544,729
Hansen Medical, Inc. (a) ....................... 19,800 184,338
Hill-Rom Holdings, Inc. ........................ 18,000 409,680
ICU Medical, Inc. (a) .......................... 5,600 179,368
Insulet Corporation (a) ........................ 54,463 304,993
Integra LifeSciences Holdings Corporation (a) .. 15,600 585,624
Kensey Nash Corporation (a) .................... 20,052 509,120
Medical Action Industries, Inc. (a) ............ 18,500 212,750
Mentor Corporation ............................. 10,970 185,393
Neurometrix, Inc. (a) .......................... 32,952 42,838
NuVasive, Inc. (a) ............................. 13,000 612,170
NxStage Medical, Inc. (a) ...................... 11,800 47,908
SonoSite, Inc. (a) ............................. 20,147 424,497
Stereotaxis, Inc. (a) .......................... 87,326 351,924
SurModics, Inc. (a) ............................ 23,120 612,680
------------
7,881,879
------------
35
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 6.8% (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES -- 0.9%
Amedisys, Inc. (a) ............................. 11,000 $ 620,510
BMP Sunstone Corporation (a) ................... 15,000 101,100
Brookdale Senior Living, Inc. .................. 11,616 100,130
HealthSouth Corporation (a) .................... 48,533 608,604
LCA-Vision, Inc. ............................... 59,377 203,069
Metropolitan Health Networks, Inc. (a) ......... 4,000 8,000
MWI Veterinary Supply, Inc. (a) ................ 16,021 554,807
Owens & Minor, Inc. ............................ 10,862 469,999
PharMerica Corporation (a) ..................... 9,600 197,088
Psychiatric Solutions, Inc. (a) ................ 14,714 489,829
RadNet, Inc. (a) ............................... 15,858 54,551
Sunrise Senior Living, Inc. (a) ................ 14,792 44,672
------------
3,452,359
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.2%
AMAG Pharmaceuticals, Inc. (a) ................. 17,416 532,581
Exelixis, Inc. (a) ............................. 18,475 63,554
Medivation, Inc. (a) ........................... 14,916 279,974
------------
876,109
------------
PHARMACEUTICALS -- 1.1%
Akorn, Inc. (a) ................................ 128,609 399,974
Auxilium Pharmaceuticals, Inc. (a) ............. 14,474 284,414
Cadence Pharmaceuticals, Inc. (a) .............. 3,800 24,814
Caraco Pharmaceutical Laboratories Ltd. (a) .... 6,648 67,610
Columbia Laboratories, Inc. (a) ................ 29,993 47,089
Cypress Bioscience, Inc. (a) ................... 111,440 606,234
Elite Pharmaceuticals, Inc. (a) ................ 44,200 4,420
KV Pharmaceutical Company - Class A (a) ........ 20,533 349,061
Noven Pharmaceuticals, Inc. (a) ................ 33,029 371,576
Pain Therapeutics, Inc. (a) .................... 64,124 586,094
POZEN, Inc. (a) ................................ 43,683 269,524
Salix Pharmaceuticals Ltd. (a) ................. 77,226 710,479
Valeant Pharmaceuticals International (a) ...... 35,168 660,103
------------
4,381,392
------------
INDUSTRIALS -- 6.6%
AEROSPACE & DEFENSE -- 0.5%
American Science & Engineering, Inc. ........... 8,183 514,711
GenCorporation, Inc. (a) ....................... 74,432 364,717
HEICO Corporation .............................. 14,600 561,662
Herley Industries, Inc. (a) .................... 1,200 15,960
Innovative Solutions & Support, Inc. ........... 600 3,690
Taser International, Inc. (a) .................. 77,929 390,424
------------
1,851,164
------------
AIR FREIGHT & LOGISTICS -- 0.1%
Dynamex, Inc. (a) .............................. 13,125 320,381
------------
AIRLINES -- 0.1%
Continental Airlines, Inc. - Class B (a) ....... 13,400 253,528
------------
36
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 6.6% (CONTINUED)
BUILDING PRODUCTS -- 0.9%
AAON, Inc. ..................................... 16,144 $ 266,215
American Woodmark Corporation .................. 22,825 423,175
Builders FirstSource, Inc. (a) ................. 90,876 345,329
Griffon Corporation (a) ........................ 75,966 641,153
Insteel Industries, Inc. ....................... 54,609 560,288
Simpson Manufacturing Company, Inc. ............ 16,498 380,114
Trex Company, Inc. (a) ......................... 34,500 562,695
Universal Forest Products, Inc. ................ 17,998 425,653
------------
3,604,622
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.9%
AMREP Corporation (a) .......................... 9,536 287,129
Comfort Systems USA, Inc. ...................... 35,325 329,582
Document Security Systems, Inc. (a) ............ 14,793 20,710
Energy Infrastructure Acquisition Corporation (a) 1,751 17,598
Fuel Tech, Inc. (a) ............................ 25,247 296,652
Herman Miller, Inc. ............................ 32,788 721,336
HNI Corporation ................................ 23,900 437,848
InnerWorkings, Inc. (a) ........................ 43,541 302,610
Mobile Mini, Inc. (a) .......................... 23,065 387,492
United Stationers, Inc. (a) .................... 12,300 459,897
Virco Manufacturing Corporation ................ 4,110 11,262
------------
3,272,116
------------
CONSTRUCTION & ENGINEERING -- 0.1%
Insituform Technologies, Inc. - Class A (a) .... 34,508 463,442
------------
ELECTRICAL EQUIPMENT -- 0.9%
Acuity Brands, Inc. ............................ 11,100 388,056
American Superconductor Corporation (a) ........ 46,600 582,966
C&D Technologies, Inc. (a) ..................... 78,943 276,301
Encore Wire Corporation ........................ 28,596 548,185
Franklin Electric Company, Inc. ................ 10,539 444,324
FuelCell Energy, Inc. (a) ...................... 99,628 476,222
Medis Technologies Ltd. (a) .................... 62,419 76,151
Microvision, Inc. (a) .......................... 142,175 245,963
Orion Energy Systems, Inc. (a) ................. 17,310 76,856
Plug Power, Inc. (a) ........................... 37,479 36,729
PowerSecure International, Inc. (a) ............ 5,816 22,392
Valence Technology, Inc. (a) ................... 89,266 205,312
------------
3,379,457
------------
MACHINERY -- 1.7%
3D Systems Corporation (a) ..................... 33,472 363,841
Astec Industries, Inc. (a) ..................... 31,000 788,020
Basin Water, Inc. (a) .......................... 61,621 43,751
Briggs & Stratton Corporation .................. 37,686 593,931
China Fire & Security Group, Inc. (a) .......... 12,137 104,378
CLARCOR, Inc. .................................. 3,500 123,865
Columbus McKinnon Corporation (a) .............. 39,731 557,823
37
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 6.6% (CONTINUED)
MACHINERY -- 1.7% (CONTINUED)
Flanders Corporation (a) ....................... 21,090 $ 130,758
Gorman-Rupp Company (The) ...................... 4,900 154,105
Graco, Inc. .................................... 25,300 625,669
Lindsay Corporation ............................ 2,200 104,676
Middleby Corporation (The) (a) ................. 16,000 646,240
Mueller Water Products, Inc. ................... 57,700 403,900
Pentair, Inc. .................................. 9,000 248,760
Tennant Company ................................ 24,500 614,705
Toro Company (The) ............................. 12,109 407,347
Wabash National Corporation .................... 12,700 77,216
Watts Water Technologies, Inc. - Class A ....... 23,400 618,462
------------
6,607,447
------------
PROFESSIONAL SERVICES -- 0.9%
Administaff, Inc. .............................. 18,300 365,817
COMSYS IT Partners, Inc. (a) ................... 12,182 74,067
CoStar Group, Inc. (a) ......................... 8,914 321,082
Heidrick & Struggles International, Inc. ....... 19,748 476,519
Huron Consulting Group, Inc. (a) ............... 11,600 630,692
Kelly Services, Inc. - Class A ................. 24,831 353,594
Korn/Ferry International (a) .................. 5,200 72,228
Odyssey Marine Exploration, Inc. (a) ........... 111,753 422,426
School Specialty, Inc. (a) ..................... 15,932 334,572
TrueBlue, Inc. (a) ............................. 38,631 321,796
------------
3,372,793
------------
ROAD & RAIL -- 0.2%
Knight Transportation, Inc. .................... 40,200 639,180
YRC Worldwide, Inc. (a) ........................ 12,625 57,823
------------
697,003
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.3%
BlueLinx Holdings, Inc. ........................ 1,200 3,228
Building Materials Holding Corporation ......... 63,796 15,311
Houston Wire & Cable Company ................... 31,200 359,424
RSC Holdings, Inc. (a) ......................... 43,000 315,620
Watsco, Inc. ................................... 9,748 400,545
------------
1,094,128
------------
INFORMATION TECHNOLOGY -- 6.0%
COMMUNICATIONS EQUIPMENT -- 1.1%
Anaren, Inc. (a) ............................... 36,827 458,496
Avocent Corporation (a) ........................ 37,600 564,752
DG Fastchannel, Inc. (a) ....................... 6,800 120,428
Infinera Corporation (a) ....................... 85,300 663,634
Network Equipment Technologies, Inc. (a) ....... 77,915 212,708
Orbcomm, Inc. (a) .............................. 95,053 285,159
ParkerVision, Inc. (a) ......................... 41,332 207,073
SeaChange International, Inc. (a) .............. 24,603 187,967
Starent Networks Corporation (a) ............... 57,452 572,797
Tekelec (a) .................................... 23,085 292,949
38
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 6.0% (CONTINUED)
COMMUNICATIONS EQUIPMENT -- 1.1% (CONTINUED)
Telkonet, Inc. (a) ............................. 156,779 $ 36,059
UTStarcom, Inc. (a) ............................ 158,559 377,370
------------
3,979,392
------------
COMPUTERS & PERIPHERALS -- 0.9%
Avid Technology, Inc. (a) ...................... 25,491 378,032
Data Domain, Inc. (a) .......................... 31,710 585,367
Dot Hill Systems Corporation (a) ............... 10,600 12,614
Hutchinson Technology, Inc. (a) ................ 65,367 447,110
Imation Corporation ............................ 26,112 321,700
Immersion Corporation (a) ...................... 40,250 208,495
Intermec, Inc. (a) ............................. 2,600 33,722
Novatel Wireless, Inc. (a) ..................... 53,097 276,635
Palm, Inc. (a) ................................. 72,042 287,448
Presstek, Inc. (a) ............................. 27,136 113,428
STEC, Inc. (a) ................................. 9,600 52,800
Stratasys, Inc. (a) ............................ 45,927 554,798
Synaptics, Inc. (a) ............................ 6,100 188,429
------------
3,460,578
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS -- 1.2%
Agilysys, Inc. ................................. 28,099 112,958
China Security & Surveillance
Technology, Inc. (a) ......................... 40,070 419,533
DTS, Inc. (a) .................................. 32,465 670,402
Echelon Corporation (a) ........................ 64,664 525,718
FARO Technologies, Inc. (a) .................... 9,065 137,516
L-1 Identity Solutions, Inc. (a) ............... 27,897 228,756
Maxwell Technologies, Inc. (a) ................. 17,066 154,789
Radisys Corporation (a) ........................ 55,343 352,535
Research Frontiers, Inc. (a) ................... 35,301 135,203
SYNNEX Corporation (a) ......................... 39,019 602,063
TTM Technologies, Inc. (a) ..................... 38,971 279,032
Universal Display Corporation (a) .............. 37,008 400,427
X-Rite, Inc. (a) ............................... 184,670 594,637
------------
4,613,569
------------
INTERNET SOFTWARE & SERVICES -- 1.1%
Bankrate, Inc. (a) ............................. 7,280 239,585
Constant Contact, Inc. (a) ..................... 27,465 329,855
iMergent, Inc. ................................. 26,380 192,574
Keynote Systems, Inc. (a) ...................... 4,462 43,728
Knot, Inc. (The) (a) ........................... 84,887 585,720
LoopNet, Inc. (a) .............................. 44,292 335,290
Marchex, Inc. - Class B ........................ 46,542 357,442
SAVVIS, Inc. (a) ............................... 54,656 470,042
SonicWALL, Inc. (a) ............................ 11,767 52,716
Switch & Data Facilities Company (a) ........... 35,235 331,914
Travelzoo, Inc. (a) ............................ 12,925 57,128
United Online, Inc. ............................ 48,686 360,276
39
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 6.0% (CONTINUED)
INTERNET SOFTWARE & SERVICES -- 1.1% (CONTINUED)
VistaPrint Ltd. (a) ............................ 21,302 $ 363,625
WebMD Health Corporation (a) ................... 17,236 385,225
------------
4,105,120
------------
IT SERVICES -- 0.2%
MAXIMUS, Inc. .................................. 17,798 568,468
NeuStar, Inc. - Class A (a) .................... 18,994 374,182
------------
942,650
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.9%
Cavium Networks, Inc. (a) ...................... 37,190 473,801
Cohu, Inc. ..................................... 24,403 345,058
Cree, Inc. (a) ................................. 23,259 456,574
Cymer, Inc. (a) ................................ 21,161 517,810
Diodes, Inc. (a) ............................... 21,606 213,467
EMCORE Corporation (a) ......................... 81,664 290,724
FEI Company (a) ................................ 6,950 146,020
FormFactor, Inc. (a) ........................... 12,222 212,907
LDK Solar Company Ltd. (a) ..................... 2,100 38,136
Microsemi Corporation (a) ...................... 21,125 459,257
Sigma Designs, Inc. (a) ........................ 16,600 184,094
SiRF Technology Holdings, Inc. (a) ............. 200 188
------------
3,338,036
------------
SOFTWARE -- 0.6%
Borland Software Corporation (a) ............... 5,462 8,193
Fair Isaac Corporation ......................... 21,750 339,083
FalconStor Software, Inc. (a) .................. 63,317 190,584
Manhattan Associates, Inc. (a) ................ 27,437 461,216
Midway Games, Inc. (a) ......................... 51,015 41,322
OPNET Technologies, Inc. (a) ................... 6,375 80,516
Secure Computing Corporation (a) ............... 22,800 129,048
Sonic Solutions, Inc. (a) ...................... 73,403 149,742
SuccessFactors, Inc. (a) ....................... 13,792 110,198
TiVo, Inc. (a) ................................. 51,116 351,167
Ultimate Software Group, Inc. (The) (a) ........ 22,815 304,124
------------
2,165,193
------------
MATERIALS -- 0.5%
CHEMICALS -- 0.4%
Altair Nanotechnologies, Inc. (a) .............. 158,933 249,525
American Vanguard Corporation .................. 26,583 388,909
Arch Chemicals, Inc. ........................... 7,110 201,711
GenTek, Inc. (a) ............................... 4,088 73,584
Georgia Gulf Corporation ....................... 32,039 73,690
H.B. Fuller Company ............................ 22,000 388,740
Zoltek Companies, Inc. (a) ..................... 6,000 70,740
------------
1,446,899
------------
METALS & MINING -- 0.0%
General Moly, Inc. (a) ......................... 91,483 182,051
------------
40
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 40.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
MATERIALS -- 0.5% (CONTINUED)
PAPER & FOREST PRODUCTS -- 0.1%
AbitibiBowater, Inc. ........................... 49,986 $ 97,473
Louisiana-Pacific Corporation .................. 25,727 123,489
------------
220,962
------------
TELECOMMUNICATION SERVICES -- 0.5%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4%
Alaska Communications Systems Group, Inc. ...... 43,831 409,382
Cbeyond, Inc. (a) .............................. 36,229 435,473
Cincinnati Bell, Inc. (a) ...................... 116,301 277,959
FairPoint Communications, Inc. ................. 65,686 261,430
Global Crossing Ltd. (a) ....................... 10,158 67,652
------------
1,451,896
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.1%
Clearwire Corporation - Class A (a) ............ 42,356 367,227
TerreStar Corporation (a) ...................... 9,157 7,417
------------
374,644
------------
UTILITIES -- 0.2%
MULTI-UTILITIES -- 0.1%
CH Energy Group, Inc. .......................... 11,036 455,014
------------
WATER UTILITIES -- 0.1%
Consolidated Water Company Ltd. ................ 13,939 197,795
------------
TOTAL SECURITIES SOLD SHORT -- 40.7%
(Proceeds $193,607,967) .......................... $154,176,850
------------
(a) Non-income producing security.
See accompanying notes to financial statements.
41
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2008
================================================================================
COMMON STOCKS -- 98.2% SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 8.2%
AUTO COMPONENTS -- 2.3%
Federal-Mogul Corporation (a) .................. 2,600 $ 18,642
Hawk Corporation - Class A (a) ................. 1,100 15,895
Modine Manufacturing Company ................... 2,000 14,800
Standard Motor Products, Inc. .................. 2,710 11,409
TRW Automotive Holdings Corporation (a) ........ 1,300 8,216
------------
68,962
------------
DIVERSIFIED CONSUMER SERVICES -- 0.8%
Hillenbrand, Inc. .............................. 1,300 24,700
------------
HOTELS, RESTAURANTS & LEISURE -- 1.3%
Einstein Noah Restaurant Group, Inc. (a) ....... 1,900 15,238
International Speedway Corporation - Class A ... 600 18,834
Red Lion Hotels Corporation (a) ................ 2,180 6,038
------------
40,110
------------
HOUSEHOLD DURABLES -- 0.6%
Universal Electronics, Inc. (a) ................ 800 16,904
------------
INTERNET & CATALOG RETAIL -- 0.1%
ValueVision Media, Inc. (a) .................... 5,700 3,933
------------
MEDIA -- 0.2%
Cumulus Media, Inc. - Class A (a) .............. 13 14
LodgeNet Interactive Corporation (a) ........... 6,000 6,000
------------
6,014
SPECIALTY RETAIL -- 2.2%
A.C. Moore Arts & Crafts, Inc. (a) ............. 2,400 6,672
Citi Trends, Inc. (a) .......................... 900 15,057
Franklin Covey Company (a) ..................... 4,488 22,889
New York & Company, Inc. (a) ................... 2,200 6,204
Office Depot, Inc. (a) ......................... 3,600 12,960
Tractor Supply Company (a) ..................... 91 3,782
------------
67,564
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.7%
Fuqi International, Inc. (a) ................... 2,800 22,148
------------
CONSUMER STAPLES -- 4.3%
FOOD PRODUCTS -- 1.4%
Del Monte Foods Company ........................ 3,800 23,978
Omega Protein Corporation (a) .................. 2,500 18,450
------------
42,428
------------
HOUSEHOLD PRODUCTS -- 0.4%
Central Garden & Pet Company (a) ............... 3,500 11,830
------------
42
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.2% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 4.3% (CONTINUED)
PERSONAL PRODUCTS -- 2.5%
American Oriental Bioengineering, Inc. (a) ..... 2,200 $ 13,442
NBTY, Inc. (a) ................................. 900 21,033
Nu Skin Enterprises, Inc. - Class A ............ 1,200 15,468
Nutraceutical International Corporation (a) .... 2,648 24,229
Parlux Fragrances, Inc. (a) .................... 1,300 4,199
------------
78,371
------------
ENERGY -- 4.1%
ENERGY EQUIPMENT & SERVICES -- 1.1%
Boots & Coots International Well Control, Inc. (a) 9,598 16,508
Parker Drilling Company (a) .................... 200 1,024
TETRA Technologies, Inc. (a) ................... 1,100 7,656
TGC Industries, Inc. (a) ....................... 3,200 7,200
------------
32,388
------------
OIL, GAS & CONSUMABLE FUELS -- 3.0%
Adams Resources & Energy, Inc. ................. 700 13,020
Approach Resources, Inc. (a) ................... 1,005 10,955
Clayton Williams Energy, Inc. (a) .............. 300 14,529
CREDO Petroleum Corporation (a) ................ 2,000 17,500
CVR Energy, Inc. (a) ........................... 1,800 7,146
GeoResources, Inc. (a) ......................... 1,099 16,419
RAM Energy Resources, Inc. (a) ................. 6,300 7,749
Venoco, Inc. (a) ............................... 1,400 5,922
------------
93,240
------------
FINANCIALS -- 17.9%
CAPITAL MARKETS -- 2.1%
BGC Partners, Inc. - Class A ................... 5,800 23,722
GLG Partners, Inc. ............................. 3,000 9,600
Investment Technology Group, Inc. (a) .......... 800 16,328
optionsXpress Holdings, Inc. ................... 800 14,208
------------
63,858
------------
COMMERCIAL BANKS -- 3.4%
AMCORE Financial, Inc. ......................... 2,236 10,400
Bancorp Rhode Island, Inc. ..................... 1,070 25,915
Center Financial Corporation ................... 2,200 22,660
First Citizens BancShares, Inc. - Class A ...... 200 30,584
First Security Group, Inc. ..................... 1,604 12,014
IBERIABANK Corporation ......................... 15 764
TCF Financial Corporation ...................... 100 1,774
------------
104,111
------------
CONSUMER FINANCE -- 1.3%
EZCORP, Inc. - Class A (a) ..................... 1,500 23,760
Rewards Network, Inc. (a) ...................... 1,888 7,174
Student Loan Corporation (The) ................. 200 7,300
------------
38,234
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.5%
Encore Capital Group, Inc. (a) ................. 1,800 16,848
------------
43
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.2% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 17.9% (CONTINUED)
INSURANCE -- 6.4%
Allied World Assurance Company Holdings Ltd. ... 700 $ 22,449
American Physicians Service Group, Inc. ........ 738 14,465
Eastern Insurance Holdings, Inc. ............... 2,500 23,475
Erie Indemnity Company - Class A ............... 400 14,876
Hanover Insurance Group, Inc. (The) ............ 800 31,400
Meadowbrook Insurance Group, Inc. .............. 2,200 11,594
Odyssey Re Holdings Corporation ................ 600 23,664
StanCorp Financial Group, Inc. ................. 406 13,836
Unitrin, Inc. .................................. 1,100 23,100
Universal Insurance Holdings, Inc. ............. 6,500 17,420
------------
196,279
------------
REAL ESTATE INVESTMENT TRUSTS -- 2.6%
American Land Lease, Inc. ...................... 1,900 16,359
Gladstone Commercial Corporation ............... 135 1,577
LTC Properties, Inc. ........................... 800 19,336
Medical Properties Trust, Inc. ................. 1,800 13,284
PS Business Parks, Inc. ........................ 400 18,108
Supertel Hospitality, Inc. ..................... 4,417 10,071
------------
78,735
------------
THRIFTS & MORTGAGE FINANCE -- 1.6%
Bank Mutual Corporation ........................ 2,700 31,131
First Defiance Financial Corporation ........... 184 1,849
MGIC Investments Corporation ................... 3,500 13,580
Parkvale Financial Corporation ................. 100 1,498
WSFS Financial Corporation ..................... 12 575
------------
48,633
------------
HEALTH CARE -- 15.2%
BIOTECHNOLOGY -- 2.6%
Cell Genesys, Inc. (a) ......................... 7,800 1,786
Cepheid, Inc. (a) .............................. 1,200 14,244
Dyax Corporation (a) ........................... 3,233 10,831
Emergent BioSolutions, Inc. (a) ................ 2,900 52,229
------------
79,090
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 4.2%
Anika Therapeutics, Inc. (a) ................... 1,974 11,903
Exactech, Inc. (a) ............................. 884 17,857
Home Diagnostics, Inc. (a) ..................... 3,900 33,969
STAAR Surgical Company (a) ..................... 4,700 11,562
Teleflex, Inc. ................................. 600 31,794
Young Innovations, Inc. ........................ 1,200 20,400
------------
127,485
------------
HEALTH CARE PROVIDERS & SERVICES -- 7.2%
Almost Family, Inc. (a) ........................ 800 38,528
AmSurg Corporation (a) ......................... 1,200 29,928
Animal Health International, Inc. (a) .......... 3,900 25,155
BioScrip, Inc. (a) ............................. 5,400 16,200
CardioNet, Inc. (a) ............................ 800 20,472
44
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.2% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 15.2% (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES -- 7.2% (CONTINUED)
Chindex International, Inc. (a) ................ 1,400 $ 11,732
Genoptix, Inc. (a) ............................. 541 18,091
IPC The Hospitalist Company (a) ................ 1,000 20,360
Magellan Health Services, Inc. (a) ............. 600 22,164
Universal American Financial Corporation (a) ... 2,000 17,700
------------
220,330
------------
HEALTH CARE TECHNOLOGY -- 0.7%
Phase Forward, Inc. (a) ........................ 1,600 22,832
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.5%
Bio-Imaging Technologies, Inc. (a) ............. 2,030 8,242
MEDTOX Scientific, Inc. (a) .................... 599 5,900
------------
14,142
------------
INDUSTRIALS -- 21.8%
AEROSPACE & DEFENSE -- 1.6%
Astronics Corporation (a) ...................... 964 12,050
Astronics Corporation - Class B (a) ............ 241 2,909
BE Aerospace, Inc. (a) ......................... 1,000 12,870
Triumph Group, Inc. ............................ 500 21,930
------------
49,759
------------
AIR FREIGHT & LOGISTICS -- 0.5%
UTI Worldwide, Inc. ............................ 1,300 15,288
------------
AIRLINES -- 2.5%
Allegiant Travel Company (a) ................... 700 27,881
Copa Holdings SA - Class A ..................... 700 17,759
Hawaiian Holdings, Inc. (a) .................... 4,400 30,800
------------
76,440
------------
BUILDING PRODUCTS -- 0.7%
Armstrong World Industries, Inc. (a) ........... 1,000 19,630
------------
COMMERCIAL SERVICES & SUPPLIES -- 3.1%
Churchill Ventures Ltd. (a) .................... 700 5,369
Energy Infrastructure Acquisition Corporation (a) 1,000 10,050
EnergySolutions, Inc. .......................... 1,300 5,863
Hicks Acquisition Company I, Inc. (a) .......... 1,023 9,207
IKON Office Solutions, Inc. .................... 1,200 20,676
North American Galvanizing & Coatings, Inc. (a) 2,266 8,316
PeopleSupport, Inc. (a) ........................ 1,700 20,800
Triplecrown Acquisition Corporation (a) ........ 1,700 15,045
------------
95,326
------------
ELECTRICAL EQUIPMENT -- 2.4%
Advanced Battery Technologies, Inc. (a) ........ 5,700 16,245
Chase Corporation .............................. 2,029 29,583
Polypore International, Inc. (a) ............... 600 5,118
Thomas & Betts Corporation (a) ................. 900 21,375
------------
72,321
------------
45
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.2% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 21.8% (CONTINUED)
MACHINERY -- 2.6%
CIRCOR International, Inc. ..................... 400 $ 12,260
Crane Company .................................. 700 11,459
Dynamic Materials Corporation .................. 900 17,100
Federal Signal Corporation ..................... 1,600 13,616
Hardinge, Inc. ................................. 1,600 11,152
L.S. Starrett Company (The) .................... 100 1,420
Sauer-Danfoss, Inc. ............................ 1,300 13,325
------------
80,332
------------
MARINE -- 0.6%
Genco Shipping & Trading Ltd. .................. 600 12,510
Star Bulk Carriers Corporation ................. 1,700 6,137
------------
18,647
------------
PROFESSIONAL SERVICES -- 4.7%
Acacia Research Corporation (a) ................ 4,100 10,578
Diamond Management & Technology Consultants, Inc. 4,200 16,716
Exponent, Inc. (a) ............................. 400 11,772
GP Strategies Corporation (a) .................. 3,700 22,274
Huron Consulting Group, Inc. (a) ............... 600 32,622
ICF International, Inc. (a) .................... 1,600 29,728
VSE Corporation ................................ 608 19,936
------------
143,626
------------
ROAD & RAIL -- 1.4%
Marten Transport Ltd. (a) ...................... 1,100 20,218
USA Truck, Inc. (a) ............................ 1,500 22,155
------------
42,373
------------
TRADING COMPANIES & DISTRIBUTORS -- 1.2%
DXP Enterprises, Inc. (a) ...................... 1,400 19,544
Textainer Group Holdings Ltd. .................. 400 4,412
WESCO International, Inc. (a) .................. 700 13,916
------------
37,872
------------
TRANSPORTATION INFRASTRUCTURE -- 0.5%
CAI International, Inc. (a) .................... 1,700 13,464
------------
INFORMATION TECHNOLOGY -- 22.6%
COMMUNICATIONS EQUIPMENT -- 1.8%
Acme Packet, Inc. (a) .......................... 3,900 18,486
DG FastChannel, Inc. (a) ....................... 900 15,939
Tellabs, Inc. (a) .............................. 4,700 19,928
------------
54,353
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 3.8%
AVX Corporation ................................ 2,100 18,942
Brightpoint, Inc. (a) .......................... 4,800 27,648
Frequency Electronics, Inc. .................... 200 862
Multi-Fineline Electronix, Inc. (a) ............ 1,300 15,184
PC Connection, Inc. (a) ........................ 2,800 16,912
Spectrum Control, Inc. (a) ..................... 2,900 18,067
46
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.2% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 22.6% (CONTINUED)
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS -- 3.8% (CONTINUED)
TESSCO Technologies, Inc. (a) .................. 700 $ 7,679
Vishay Intertechnology, Inc. (a) ............... 2,200 9,482
------------
114,776
------------
INTERNET SOFTWARE & SERVICES -- 1.4%
Internap Network Services Corporation (a) ...... 6,500 18,590
Interwoven, Inc. (a) ........................... 1,247 15,725
Vocus, Inc. (a) ................................ 600 10,098
------------
44,413
------------
IT SERVICES -- 3.7%
Convergys Corporation (a) ...................... 1,700 13,073
CSG Systems International, Inc. (a) ............ 1,200 19,956
CyberSource Corporation (a) .................... 75 911
iGATE Corporation (a) .......................... 2,300 15,617
Mastech Holdings, Inc. (a) ..................... 153 238
Ness Technologies, Inc. (a) .................... 3,008 22,229
Online Resources Corporation (a) ............... 3,800 13,300
TeleTech Holdings, Inc. (a) .................... 1,600 14,464
Unisys Corporation (a) ......................... 9,100 13,832
------------
113,620
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.5%
Atmel Corporation (a) .......................... 8,200 34,030
Eagle Test Systems, Inc. (a) ................... 1,300 19,682
Fairchild Semiconductor International, Inc. (a) 2,800 15,904
Integrated Device Technology, Inc. (a) ......... 2,300 14,628
Integrated Silicon Solution, Inc. (a) .......... 2,903 5,254
International Rectifier Corporation (a) ........ 2,000 30,880
Mindspeed Technologies, Inc. (a) ............... 1,800 2,610
Silicon Laboratories, Inc. (a) ................. 600 15,576
Teradyne, Inc. (a) ............................. 2,500 12,750
White Electronic Designs Corporation (a) ....... 4,400 17,556
------------
168,870
------------
SOFTWARE -- 6.4%
ArcSight, Inc. (a) ............................. 2,600 15,366
Concur Technologies, Inc. (a) .................. 800 20,184
Digimarc Corporation (a) ....................... 914 9,143
Ebix, Inc. (a) ................................. 1,200 30,516
Epicor Software Corporation (a) ................ 2,700 19,035
NetScout Systems, Inc. (a) ..................... 2,023 19,461
Novell, Inc. (a) ............................... 4,500 20,970
Parametric Technology Corporation (a) .......... 1,600 20,784
PROS Holdings, Inc. (a) ........................ 2,700 14,499
SumTotal Systems, Inc. (a) ..................... 7,600 24,396
------------
194,354
------------
47
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.2% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
MATERIALS -- 1.9%
CHEMICALS -- 1.1%
Chemtura Corporation ........................... 5,400 $ 9,342
Hercules, Inc. ................................. 1,100 18,491
OMNOVA Solutions, Inc. (a) ..................... 5,300 6,519
------------
34,352
------------
METALS & MINING -- 0.6%
Carpenter Technology Corporation ............... 600 10,860
Sutor Technology Group Ltd. (a) ................ 2,800 6,020
------------
16,880
------------
PAPER & FOREST PRODUCTS -- 0.2%
Verso Paper Corporation ........................ 3,400 5,270
------------
TELECOMMUNICATION SERVICES -- 1.0%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5%
General Communications, Inc. - Class A (a) ..... 1,900 14,592
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.5%
Syniverse Holdings, Inc. (a) ................... 900 16,920
------------
UTILITIES -- 1.2%
ELECTRIC UTILITIES -- 1.2%
Unitil Corporation ............................. 1,500 36,000
------------
TOTAL COMMON STOCKS (Cost $4,507,689) .......... $ 2,998,647
------------
================================================================================
MONEY MARKET SECURITIES -- 2.8% SHARES VALUE
- --------------------------------------------------------------------------------
UMB Money Market Fiduciary, 0.75% (b)
(Cost $84,037) ................................... 84,037 $ 84,037
------------
TOTAL INVESTMENTS AT VALUE -- 101.0%
(Cost $4,591,726) ................................ $ 3,082,684
LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.0%) ..... (29,600)
------------
TOTAL NET ASSETS -- 100.0% .......................... $ 3,053,084
============
(a) Non-income producing security.
(b) Variable rate security. The rate shown is the 7-day effective yield as of
October 31, 2008.
See accompanying notes to financial statements.
48
TFS CAPITAL INVESTMENT TRUST
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2008 (a)
=========================================================================================
TFS TFS
MARKET SMALL
NEUTRAL FUND CAP FUND
- -----------------------------------------------------------------------------------------
ASSETS
Investments in securities:
At acquisition cost ................................. $ 443,350,782 $ 4,591,726
============= =============
At value (Note 2) ................................... $ 379,374,336 $ 3,082,684
Deposits with brokers for securities sold short (Note 2) 174,371,584 --
Dividends and interest receivable ...................... 248,772 1,041
Receivable for investment securities sold .............. 16,494,462 22,350
Receivable for capital shares sold ..................... 533,712 --
Receivable from Adviser (Note 4) ....................... -- 10,499
Other assets ........................................... 52,500 10,297
------------- -------------
TOTAL ASSETS ........................................ 571,075,366 3,126,871
------------- -------------
LIABILITIES
Securities sold short, at value (Note 2)
(proceeds $193,607,967) ............................. 154,176,850 --
Payable for investment securities purchased ............ 36,682,676 63,772
Payable for capital shares redeemed .................... 327,572 --
Dividends payable on securities sold short (Note 2) .... 140,261 --
Interest payable on brokerage accounts ................. 407,403 --
Payable to Adviser (Note 4) ............................ 681,508 --
Payable to Ultimus (Note 4) ............................ 57,600 6,000
Other accrued expenses ................................. 37,537 4,015
------------- -------------
TOTAL LIABILITIES ................................... 192,511,407 73,787
------------- -------------
NET ASSETS ............................................. $ 378,563,959 $ 3,053,084
============= =============
NET ASSETS CONSIST OF:
Paid-in capital ........................................ $ 413,153,306 $ 4,668,552
Undistributed net investment income .................... -- 4,055
Accumulated net realized losses from
security transactions ............................... (10,044,018) (110,481)
Net unrealized appreciation (depreciation) on:
Investments ......................................... (63,976,446) (1,509,042)
Short positions ..................................... 39,431,117 --
------------- -------------
Net assets ............................................. $ 378,563,959 $ 3,053,084
============= =============
Shares of beneficial interest outstanding (unlimited
number of shares authorized, no par value) .......... 28,580,805 448,909
============= =============
Net asset value, redemption price and
offering price per share (b) (Note 2) ............... $ 13.25 $ 6.80
============= =============
(a) Funds changed fiscal year end to October 31.
(b) Redemption price may differ from the net asset value per share depending
upon the length of time the shares are held (Note 2).
See accompanying notes to financial statements.
49
TFS CAPITAL INVESTMENT TRUST
STATEMENTS OF OPERATIONS
=======================================================================================================
TFS MARKET NEUTRAL FUND TFS SMALL CAP FUND
------------------------------------------------------------
FOUR MONTHS YEAR FOUR MONTHS YEAR
ENDED ENDED ENDED ENDED
OCTOBER 31, JUNE 30, OCTOBER 31, JUNE 30,
2008 (a) 2008 2008 (a) 2008
- -------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends ........................... $ 2,384,585 $ 3,185,995 $ 16,540 $ 47,670
Interest ............................ 336,799 -- 155 --
------------ ------------ ------------ ------------
TOTAL INVESTMENT INCOME .......... 2,721,384 3,185,995 16,695 47,670
------------ ------------ ------------ ------------
EXPENSES
Investment advisory fees (Note 4) ... 2,641,095 4,003,322 5,395 108,745
Dividend expense on
securities sold short (Note 2) ... 1,023,405 2,039,896 -- --
Brokerage expense on
securities sold short (Note 2) ... 1,408,259 391,965 -- --
Administration fees (Note 4) ........ 122,469 216,107 8,000 24,000
Transfer agent fees (Note 4) ........ 58,920 73,538 6,000 18,000
Custodian fees ...................... 37,118 87,264 5,056 13,224
Accounting services fees (Note 4) ... 45,747 47,890 10,157 30,505
Borrowing costs (Note 5) ............ 631 131,383 30 1,722
Registration fees ................... 23,104 46,758 5,159 15,144
Professional fees ................... 20,151 40,739 6,746 21,739
Compliance service fees (Note 4) .... 8,205 18,063 8,205 18,063
Pricing fees ........................ 11,893 26,856 1,896 3,918
Insurance expense ................... 9,371 27,564 455 1,422
Postage and supplies ................ 7,570 12,583 1,604 4,600
Printing of shareholder reports ..... 2,044 16,791 1,083 2,389
Trustees' fees and expenses ......... 1,846 8,277 1,846 8,277
Other expenses ...................... 5,693 17,109 2,499 5,930
------------ ------------ ------------ ------------
TOTAL EXPENSES ................... 5,427,521 7,206,105 64,131 277,678
Fees waived and expenses reimbursed
by the Adviser (Note 4) .......... (60,676) (194,726) (51,491) (142,256)
------------ ------------ ------------ ------------
NET EXPENSES ..................... 5,366,845 7,011,379 12,640 135,422
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) ........... (2,645,461) (3,825,384) 4,055 (87,752)
------------ ------------ ------------ ------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS AND
SECURITIES SOLD SHORT
Net realized gains (losses) from
security transactions of:
Investments ...................... (28,429,068) (21,583,171) (20,380) (78,473)
Securities sold short ............ 17,317,074 27,980,135 -- --
Net change in unrealized appreciation
(depreciation) on:
Investments ...................... (54,930,256) (20,608,839) (1,151,693) (763,246)
Securities sold short ............ 9,943,964 27,060,992 -- --
------------ ------------ ------------ ------------
NET REALIZED AND
UNREALIZED GAINS (LOSSES)
ON INVESTMENTS ...................... (56,098,286) 12,849,117 (1,172,073) (841,719)
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN
NET ASSETS FROM OPERATIONS .......... $(58,743,747) $ 9,023,733 $ (1,168,018) $ (929,471)
============ ============ ============ ============
(a) Funds changed fiscal year end to October 31.
See accompanying notes to financial statements.
50
TFS MARKET NEUTRAL FUND
STATEMENTS OF CHANGES IN NET ASSETS
===============================================================================================================
FOUR MONTHS YEAR YEAR
ENDED ENDED ENDED
OCTOBER 31, JUNE 30, JUNE 30,
2008 (a) 2008 2007
- ---------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ............................. $ (2,645,461) $ (3,825,384) $ 75,557
Net realized gains (losses) from security transactions of:
Investments ........................................... (28,429,068) (21,583,171) 9,769,096
Short positions ....................................... 17,317,074 27,980,135 (6,885,849)
Net change in unrealized appreciation (depreciation) on:
Investments ........................................... (54,930,256) (20,608,839) 10,627,956
Short positions ....................................... 9,943,964 27,060,992 1,596,711
------------- ------------- -------------
Net increase (decrease) in net assets from operations ....... (58,743,747) 9,023,733 15,183,471
------------- ------------- -------------
FROM DISTRIBUTIONS
Distributions from net investment income ................. -- (75,557) --
Distributions from net realized gains
from security transactions -- ......................... (4,093,514) (877,699)
------------- ------------- -------------
Decrease in net assets from distributions to shareholders ... -- (4,169,071) (877,699)
------------- ------------- -------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold ................................ 237,571,341 201,721,125 183,577,660
Net asset value of shares issued in
reinvesment of distributions to shareholders .......... -- 3,396,677 819,201
Proceeds from redemption fees collected (note 2) ......... 541,934 982,502 83,852
Payments for shares redeemed ............................. (72,044,321) (151,102,416) (9,878,017)
------------- ------------- -------------
Net increase in net assets from capital share transactions .. 166,068,954 54,997,888 174,602,696
------------- ------------- -------------
TOTAL INCREASE IN NET ASSETS ................................ 107,325,207 59,852,550 188,908,468
NET ASSETS
Beginning of period ...................................... 271,238,752 211,386,202 22,477,734
------------- ------------- -------------
End of period ............................................ $ 378,563,959 $ 271,238,752 $ 211,386,202
============= ============= =============
UNDISTRIBUTED NET INVESTMENT INCOME ......................... $ -- $ -- $ 75,557
============= ============= =============
CAPITAL SHARE ACTIVITY
Shares sold .............................................. 16,482,137 13,716,056 13,360,163
Shares issued in reinvestment of
distributions to shareholders ......................... -- 239,540 61,272
Shares redeemed .......................................... (5,299,283) (11,046,333) (739,689)
------------- ------------- -------------
Net increase in shares outstanding ....................... 11,182,854 2,909,263 12,681,746
Shares outstanding, beginning of period .................. 17,397,951 14,488,688 1,806,942
------------- ------------- -------------
Shares outstanding, end of period ........................ 28,580,805 17,397,951 14,488,688
============= ============= =============
(a) Fund changed fiscal year end to October 31.
See accompanying notes to financial statements.
51
TFS SMALL CAP FUND
STATEMENTS OF CHANGES IN NET ASSETS
========================================================================================================
FOUR MONTHS YEAR YEAR
ENDED ENDED ENDED
OCTOBER 31, JUNE 30, JUNE 30,
2008 (a) 2008 2007
- --------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ......................... $ 4,055 $ (87,752) $ (31,287)
Net realized gains (losses) from security transactions (20,380) (78,473) 780,531
Net change in unrealized appreciation
(depreciation) on investments ..................... (1,151,693) (763,246) 345,551
------------ ------------ ------------
Net increase (decrease) in net assets from operations (1,168,018) (929,471) 1,094,795
------------ ------------ ------------
FROM DISTRIBUTIONS
Distributions from net realized gains
from security transactions ........................ -- (760,875) (1,268)
------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold ............................ 65,589 270,485 693,985
Net asset value of shares issued in
reinvesment of distributions to shareholders ...... -- 748,784 1,250
Proceeds from redemption fees collected (Note 2) ..... 159 1,951 645
Payments for shares redeemed ......................... (425,681) (387,376) (83,566)
------------ ------------ ------------
Net increase (decrease) in net assets from
capital share transactions ........................... (359,933) 633,844 612,314
------------ ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................. (1,527,951) (1,056,502) 1,705,841
NET ASSETS
Beginning of period .................................. 4,581,035 5,637,537 3,931,696
------------ ------------ ------------
End of period ........................................ $ 3,053,084 $ 4,581,035 $ 5,637,537
============ ============ ============
UNDISTRIBUTED NET INVESTMENT INCOME ..................... $ 4,055 $ -- $ --
============ ============ ============
CAPITAL SHARE ACTIVITY
Shares sold .......................................... 9,051 24,283 60,077
Shares issued in reinvestment of
distributions to shareholders ..................... -- 72,486 109
Shares redeemed ...................................... (52,008) (35,844) (7,584)
------------ ------------ ------------
Net increase (decrease) in shares outstanding ........ (42,957) 60,925 52,602
Shares outstanding, beginning of period .............. 491,866 430,941 378,339
------------ ------------ ------------
Shares outstanding, end of period .................... 448,909 491,866 430,941
============ ============ ============
(a) Fund changed fiscal year end to October 31.
See accompanying notes to financial statements.
52
TFS MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
========================================================================================================================
FOUR
MONTHS YEAR YEAR YEAR PERIOD
PER SHARE DATA FOR ENDED ENDED ENDED ENDED ENDED
A SHARE OUTSTANDING OCTOBER 31, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
THROUGHOUT EACH PERIOD: 2008(b) 2008 2007 2006 2005(a)
- ------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. .... $ 15.59 $ 14.59 $ 12.44 $ 10.37 $ 10.00
---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss) .............. (0.09) (0.23) 0.01 (0.04) (0.11)
Net realized and unrealized
gains (losses) on investments .......... (2.27) 1.56 2.35 2.12 0.49
---------- ---------- ---------- ---------- ----------
Total from investment operations ............. (2.36) 1.33 2.36 2.08 0.38
---------- ---------- ---------- ---------- ----------
Less distributions:
Distributions from net
investment income ...................... -- (0.01) -- -- --
Distributions from net realized gains
from security transactions ............. -- (0.40) (0.22) (0.01) --
Distributions in excess of net
realized gains (losses) from
security transactions .................. -- -- -- -- (0.01)
---------- ---------- ---------- ---------- ----------
Total distributions .......................... -- (0.41) (0.22) (0.01) (0.01)
---------- ---------- ---------- ---------- ----------
Proceeds from redemption
fees collected (Note 2) ................... 0.02 0.08 0.01 0.00(c) 0.00(c)
---------- ---------- ---------- ---------- ----------
Net asset value at end of period ............. $ 13.25 $ 15.59 $ 14.59 $ 12.44 $ 10.37
========== ========== ========== ========== ==========
Total return (d) ............................. (15.01%)(e) 9.93% 19.18% 20.04% 3.77%(e)
========== ========== ========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets at end of period (000's) .. .... $ 378,564 $ 271,239 $ 211,386 $ 22,478 $ 8,101
========== ========== ========== ========== ==========
Ratio of gross expenses to
average net assets ..................... 4.60%(h) 4.05% 3.30% 5.10% 6.82%(h)
Ratio of net expenses to
average net assets (f) ................. 4.55%(h) 3.94% 3.07% 3.21% 3.26%(h)
Ratio of net expenses to average
net assets excluding
dividend expense (f) (g) ............... 3.68%(h) 2.80% 2.48% 2.49% 2.49%(h)
Ratio of net expenses to average net
assets excluding dividend expense,
borrowing costs and brokerage
expense on securities sold short (f) (g) 2.49%(h) 2.50% 2.48% 2.49% 2.49%(h)
Ratio of net investment income (loss)
to average net assets .................. (2.24%)(h) (2.15%) 0.09% (0.69%) (1.77%)(h)
Portfolio turnover rate ................... 204%(e) 536% 492% 398% 368%(h)
(a) Represents the period from the commencement of operations (September 7,
2004) through June 30, 2005.
(b) Fund changed fiscal year end to October 31.
(c) Amount rounds to less than $0.01 per share.
(d) Total return is a measure of the change in value of an investment in the
Fund over the period covered, which assumes any dividends or capital gains
distributions are reinvested in shares of the Fund. The returns shown do
not reflect the deduction of taxes a shareholder would pay on Fund
distributions or the redemption of Fund shares.
(e) Not annualized.
(f) Ratio was determined after advisory fee waivers and expense
reimbursements.
(g) Dividend and interest expense totaled 2.06%(h) 1.44%, 0.59%, 0.72% and
0.77%(h) of average net assets for the periods ended October 31, 2008 and
June 30, 2008, 2007, 2006 and 2005, respectively.
(h) Annualized.
See accompanying notes to financial statements.
53
TFS SMALL CAP FUND
FINANCIAL HIGHLIGHTS
====================================================================================================
FOUR MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
PER SHARE DATA FOR A SHARE OCTOBER 31, JUNE 30, JUNE 30, JUNE 30,
OUTSTANDING THROUGHOUT EACH PERIOD: 2008(b) 2008 2007 2006(a)
- ----------------------------------------------------------------------------------------------------
Net asset value at beginning of period ..... $ 9.31 $ 13.08 $ 10.39 $ 10.00
---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss) ............ 0.01 (0.18) (0.07) (0.01)
Net realized and unrealized
gains (losses) on investments ......... (2.52) (1.79) 2.76 0.40
---------- ---------- ---------- ----------
Total from investment operations ........... (2.51) (1.97) 2.69 0.39
---------- ---------- ---------- ----------
Less distributions:
Distributions from net realized gains
from security transactions ........... -- (1.80) (0.00)(c) --
---------- ---------- ---------- ----------
Proceeds from redemption
fees collected (Note 2) ................. 0.00(c) 0.00(c) 0.00(c) --
---------- ---------- ---------- ----------
Net asset value at end of period ........... $ 6.80 $ 9.31 $ 13.08 $ 10.39
========== ========== ========== ==========
Total return (d) ........................... (26.96%)(e) (16.40%) 25.93% 3.90%(e)
========== ========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets at end of period (000's) ..... $ 3,053 $ 4,581 $ 5,638 $ 3,932
========== ========== ========== ==========
Ratio of gross expenses
to average net assets ................ 4.44%(g) 5.57% 5.14% 8.18%(g)
Ratio of net expenses
to average net assets (f) ............ 0.88%(g) 2.72% 2.03% 1.72%(g)
Ratio of net expenses
to average net assets
excluding borrowing costs ............ 0.87%(g) 2.68% 2.03% 1.72%(g)
Ratio of net investment income
(loss) to average net assets ......... 0.28%(g) (1.76%) (0.69%) (0.69%)(g)
Portfolio turnover rate ................. 123%(e) 269% 419% 184%(g)
(a) Represents the period from the commencement of operations (March 7, 2006)
through June 30, 2006.
(b) Fund changed fiscal year end to October 31.
(c) Amount rounds to less than $0.01 per share.
(d) Total return is a measure of the change in value of an investment in the
Fund over the period covered, which assumes any dividends or capital gains
distributions are reinvested in shares of the Fund. The returns shown do
not reflect the deduction of taxes a shareholder would pay on Fund
distributions or the redemption of Fund shares.
(e) Not annualized.
(f) Ratio was determined after advisory fee waivers and expense
reimbursements.
(g) Annualized.
See accompanying notes to financial statements.
54
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 2008
================================================================================
1. ORGANIZATION
The TFS Market Neutral Fund and the TFS Small Cap Fund (individually, a "Fund",
and collectively, the "Funds") are each a diversified series of TFS Capital
Investment Trust (the "Trust"), an open-end management investment company
established as an Ohio business trust under a Declaration of Trust dated January
30, 2004. As part of the Trust's organization, the TFS Market Neutral Fund
issued in a private placement on June 28, 2004 10,000 shares of the Fund, at
$10.00 per share, to TFS Capital LLC (the "Adviser"), the investment adviser to
the Fund. The Fund commenced operations on September 7, 2004. The TFS Small Cap
Fund commenced operations on March 7, 2006.
The TFS Market Neutral Fund seeks to produce capital appreciation while having a
low correlation to the U.S. equity market. For this purpose, the term "U.S.
equity market" means the S&P 500 Index. In addition, the Fund seeks to produce
lower volatility than would result from a long-only investment in the U.S.
equity market. "Long-only" refers to a portfolio of common stocks that mimics
the movement of the S&P 500 Index, as opposed to one that attempts to hedge
equity market risk through the use of short positions, equity options or futures
contracts.
The TFS Small Cap Fund seeks to produce long-term capital appreciation. In
addition, the Fund seeks to outperform the Russell 2000(R) Index.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the Funds' significant accounting policies:
Securities valuation - The Funds' portfolio securities are valued at market
value as of the close of the regular trading on the New York Stock Exchange
("NYSE") (generally 4:00 p.m., Eastern time) on each business day the NYSE is
open. Securities listed on the NYSE or other exchanges are valued on the basis
of their last sale prices on the exchanges on which they are primarily traded.
However, if the last sale price on the NYSE is different than the last sale
price on any other exchange, the NYSE price will be used. If there are no sales
on that day, the securities are valued at the mean of the most recent bid and
ask prices on the NYSE or other primary exchange. Securities which are quoted by
NASDAQ are valued at the NASDAQ Official Closing Price. If there are no sales on
that day, the securities are valued at the mean between the closing bid and ask
prices as reported by NASDAQ. Other assets and securities for which no
quotations are readily available are valued at fair value as determined in good
faith under the supervision of the Board of Trustees of the Trust. Such methods
of fair valuation may include, but are not limited to: multiple of earnings,
discount from market of a similar freely traded security, or a combination of
these and other methods.
The Financial Accounting Standards Board's ("FASB") Statement on Financial
Accounting Standards ("SFAS") No. 157 "Fair Value Measurements" establishes a
single authoritative definition of fair value, sets out a framework for
measuring fair value and requires additional disclosures about fair value
measurements. SFAS No. 157 applies to fair value measurements already required
or permitted by existing standards. The changes to current generally accepted
accounting principles from the application of SFAS No. 157 relate to the
definition of fair value, the methods used to measure fair value, and the
expanded disclosures about fair value measurements.
Various inputs are used in determining the value of each of the Fund's
investments. These inputs are summarized in the three broad levels listed below:
o Level 1 - quoted prices in active markets for identical securities
o Level 2 - other significant observable inputs
o Level 3 - significant unobservable inputs
55
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
As of October 31, 2008, all of the inputs used to value the investments of each
Fund were Level 1.
Share valuation - The net asset value per share of each Fund is calculated daily
by dividing the total value of each Fund's assets, less liabilities, by the
number of shares outstanding. The offering price and redemption price per share
of each Fund is equal to the net asset value per share, except that shares are
subject to a redemption fee of 2% if redeemed within 180 days of the date of
purchase. During the periods ended October 31, 2008, June 30, 2008 and 2007,
proceeds from redemption fees totaled $541,934, $982,502 and $83,852,
respectively, for the TFS Market Neutral Fund and $159, $1,951 and $645,
respectively, for the TFS Small Cap Fund.
Investment income - Dividend income is recorded on the ex-dividend date.
Interest income is accrued as earned.
Security transactions - Security transactions are accounted for on the trade
date. Gains and losses on securities sold are determined on a specific
identification basis.
Distributions to shareholders - Distributions to shareholders arising from net
investment income and net realized capital gains, if any, are distributed at
least once each year. The amount of distributions from net investment income and
net realized gains are determined in accordance with federal income tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. These "book/tax" differences are permanent in
nature and are primarily due to differing treatments of net short-tem gains. The
tax character of distributions paid by each of the Funds during the periods
ended October 31, 2008 and June 30, 2008 was as follows:
Long-Term
Period Ordinary Capital Total
Ended Income Gains Distributions
---------- ---------- ---------- -------------
TFS Market Neutral Fund 10/31/2008 $ -- $ -- $ --
6/30/2008 $4,086,498 $ 82,573 $4,169,071
6/30/2007 $ 362,501 $ 515,198 $ 877,699
TFS Market Small Cap Fund 10/31/2008 $ -- $ -- $ --
6/30/2008 $ 760,875 $ -- $ 760,875
6/30/2007 $ 1,268 $ -- $ 1,268
Short positions - The TFS Market Neutral Fund may sell securities short. For
financial statement purposes, an amount equal to the settlement amount is
included in the Statement of Assets and Liabilities as an asset and an
equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the short position. Subsequent
fluctuations in the market prices of securities sold, but not yet purchased, may
require purchasing the securities at prices which may differ from the market
value reflected on the Statement of Assets and Liabilities. The Market Neutral
Fund is liable for any dividends payable on securities while those securities
are in a short position and will also bear other costs, such as charges for the
prime brokerage accounts, in connection with its short positions. These costs
are reported as brokerage expenses on securities sold short in the Statements of
Operations. As collateral for its short positions, the Market Neutral Fund is
required under the Investment Company Act of 1940 to maintain assets consisting
of cash, cash equivalents or liquid securities. The amount of the collateral is
required to be adjusted daily to reflect changes in the value of the securities
sold short.
Estimates - The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
56
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
Expenses - Common expenses of the Trust are allocated between the Funds based on
the relative net assets of each Fund or the nature of the services performed and
the relative applicability to each Fund.
Federal income tax - It is each Fund's policy to comply with the special
provisions of Subchapter M of the Internal Revenue Code applicable to regulated
investment companies. As provided therein, in any fiscal year in which a Fund so
qualifies and distributes at least 90% of its taxable net income, the Fund (but
not the shareholders) will be relieved of federal income tax on the income
distributed. Accordingly, no provision for income taxes has been made.
In order to avoid imposition of the excise tax applicable to regulated
investment companies, it is also each Fund's intention to declare as dividends
in each calendar year at least 98% of its net investment income (earned during
the calendar year) and 98% of its net realized capital gains (earned during the
twelve months ended October 31) plus undistributed amounts from prior years.
The following information is computed on a tax basis for each item as of October
31, 2008:
- --------------------------------------------------------------------------------------------
TFS MARKET TFS SMALL
NEUTRAL FUND CAP FUND
- --------------------------------------------------------------------------------------------
Tax cost of portfolio investments and securities sold short $ 267,056,585 $ 4,585,455
------------- -------------
Gross unrealized appreciation ............................. $ 48,517,512 $ 75,849
Gross unrealized depreciation ............................. (90,376,611) (1,591,161)
------------- -------------
Net unrealized depreciation ............................... (41,859,099) (1,515,312)
Undistributed ordinary income ............................. 7,411,153 4,055
Capital loss carryforward ................................. (141,401) (104,211)
------------- -------------
Total accumulated deficit ................................. $ (34,589,347) $ (1,615,468)
============= =============
- --------------------------------------------------------------------------------------------
The difference between the federal income tax cost of portfolio of investments
and the financial statement cost for the Funds is due to certain timing
differences in the recognition of capital gains or losses under income tax
regulations and accounting principles generally accepted in the United States of
America. These "book/tax" differences are temporary in nature and are primarily
due to the tax deferral of losses on wash sales.
For the period ended October 31, 2008, the TFS Market Neutral Fund reclassified
$2,555,802 of net investment loss against paid-in capital. This reclassification
is reflected on the Statements of Assets and Liabilities. Such reclassification,
the result of permanent differences between financial statement and income tax
reporting requirements, has no effect on the Fund's net assets or net asset
value per share.
As of October 31, 2008, the Funds had the following capital loss carryforwards
for federal income tax purposes. These capital loss carryforwards may be
utilized in future years to offset net realized capital gains, if any, prior to
distribution to shareholders.
- --------------------------------------------------------------------------------
TFS MARKET TFS SMALL
EXPIRES NEUTRAL FUND CAP FUND
- --------------------------------------------------------------------------------
June 30, 2016 .................................... $ -- $ 16,913
October 31, 2016 ................................. $ 141,401 $ 87,298
- --------------------------------------------------------------------------------
FASB's Interpretation No. 48 ("FIN 48") "Accounting for Uncertainty in Income
Taxes" provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken in the course of preparing each Fund's tax
returns to determine whether the tax positions are "more-likely-than-not" of
being sustained by the applicable tax authority. Tax positions not deemed to
meet the "more-likely-than-not" threshold would be recorded as a tax benefit or
expense in the current year. Based
57
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
on management's analysis, the application of FIN 48 does not have a material
impact on these financial statements. The statute of limitations on the Funds'
tax returns remains open for the years ended June 30, 2005 through June 30,
2008.
3. INVESTMENT TRANSACTIONS
During the four months ended October 31, 2008, cost of purchases and proceeds
from sales of portfolio securities, other than short-term investments, U.S.
government securities and short positions, amounted to $611,060,006 and
$530,207,580, respectively, for the TFS Market Neutral Fund and $5,272,973 and
$5,567,106, respectively, for the TFS Small Cap Fund.
4. TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY AGREEMENT
Each Fund's investments are managed by the Adviser pursuant to the terms of an
Investment Advisory Agreement. The TFS Market Neutral Fund pays the Adviser an
investment advisory fee, computed and accrued daily and paid monthly, at an
annual rate of 2.25% of its average daily net assets. The TFS Small Cap Fund
pays the Adviser an investment advisory fee, computed and accrued daily and paid
monthly, at an annual rate of 1.25% of its average daily net assets (the "Base
Fee"), which may be increased or decreased by as much as 1.25% if the Fund
outperforms or underperforms its benchmark by at least 2.50%. The term
"benchmark," when used for the TFS Small Cap Fund's investment advisory fee
discussion, means the performance of the Russell 2000 Index plus 2.50%. The
performance adjustment is calculated monthly by comparing the TFS Small Cap
Fund's performance to that of the benchmark over the performance period. The
applicable performance period is a rolling twelve month period whereby the most
recent calendar month is substituted for the earliest month as time passes. The
performance fee adjustment will be applied to the average net assets of the Fund
over the performance period. The Base Fee with respect to the Fund will be
increased by one basis point (0.01%) for every two basis points (0.02%) of
outperformance, to a maximum fee of 2.50% per annum. However, if the Fund
underperforms its benchmark the fee will be decreased one basis point (0.01%)
for every two basis points (0.02%) of underperformance, to a minimum fee of
0.00% per annum. TFS may receive the performance fee adjustment for periods
during which the Fund has negative investment performance. During the four
months ended October 31, 2008, investment advisory fees were reduced to $12,645
below the Base Fee pursuant to the performance fee adjustment. During the year
ended June 30, 2008, investment advisory fees were increased by $46,358 above
the Base Fee pursuant to the performance fee adjustment.
The Adviser has contractually agreed to waive its advisory fees and to absorb
each Fund's operating expenses (for the life of the Funds) to the extent
necessary to limit each Fund's aggregate annual ordinary operating expenses
(which do not include brokerage costs, taxes, borrowing costs and extraordinary
expenses) to 2.50% of the TFS Market Neutral Fund's average daily net assets and
1.75% of the TFS Small Cap Fund's average daily net assets. For the TFS Small
Cap Fund, the expense cap is calculated prior to the performance fee adjustment.
Therefore, it is possible that the TFS Small Cap Fund's annual ordinary
operating expenses could exceed the 1.75% cap. As a result of this agreement,
during the periods ended October 31, 2008 and June 30, 2008, the Adviser waived
investment advisory fees of $60,676 and $194,726, respectively, with respect to
the TFS Market Neutral Fund and waived all of its investment advisory fees of
$5,395 and $108,745, respectively, and reimbursed $46,096 and $33,511,
respectively, of other operating expenses with respect to the TFS Small Cap
Fund.
Advisory fee waivers and expenses absorbed by the Adviser are subject to
repayment by the respective Fund for a period of three years after such fees and
expenses were incurred, provided that such repayments do not cause ordinary
operating expenses to exceed the 2.50% and the 1.75% expense cap, respectively,
for the TFS Market Neutral Fund and the TFS Small Cap Fund. As of
58
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
October 31, 2008, the Adviser may in the future recoup fees waived and expenses
reimbursed totaling $579,615 and $374,555, respectively, from the TFS Market
Neutral Fund and the TFS Small Cap Fund. The Adviser may recapture these amounts
no later than the dates as stated below:
June 30, June 30, June 30, October 31,
2009 2010 2011 2011
-------- -------- -------- --------
TFS Market Neutral Fund $139,768 $184,445 $194,726 $ 60,676
TFS Small Cap Fund $ 39,812 $140,996 $142,256 $ 51,491
The President of the Trust is also a Principal of the Adviser.
COMPLIANCE CONSULTING AGREEMENT
Under the terms of a Compliance Consulting Agreement, Drake Compliance, LLC
("Drake") provides ongoing regulatory compliance consulting, monitoring and
reporting services for the Trust.
In addition, a principal of Drake serves as the Trust's Chief Compliance
Officer. For these services, Drake receives $2,000 per month from each Fund. In
addition, each Fund reimburses certain out-of-pocket expenses incurred by Drake
including, but not limited to, postage and supplies and travel expenses.
ADMINISTRATION AGREEMENT
Under the terms of an Administration Agreement, Ultimus Fund Solutions, LLC
("Ultimus") supplies executive, administrative and regulatory services for the
Funds. Ultimus supervises the preparation of tax returns, reports to
shareholders of the Funds, reports to and filings with the Securities and
Exchange Commission and state securities commissions and materials for meetings
of the Board of Trustees. For these services, each Fund pays Ultimus a monthly
fee at an annual rate of 0.15% of its average daily net assets up to $50
million; 0.125% of such assets between $50 million and $100 million; 0.10% of
such assets between $100 million and $250 million; 0.075% of such assets between
$250 million and $500 million; and 0.05% of such assets in excess of $500
million, subject to a minimum monthly fee of $2,000. Certain officers of the
Trust are also officers of Ultimus.
ACCOUNTING SERVICES AGREEMENT
Under the terms of a Fund Accounting Agreement, Ultimus calculates the daily net
asset value per share and maintains the financial books and records of each
Fund. For the performance of these services, the TFS Market Neutral Fund pays
Ultimus a monthly base fee of $4,000 per month plus an asset based fee of 0.005%
of average gross daily assets. In addition, the Fund pays $1 per portfolio trade
in excess of 1,000 portfolio trades per month. For the performance of these
services, the TFS Small Cap Fund pays Ultimus a base fee of $2,500 per month
plus an asset based fee of 0.010% of the first $500 million of average daily net
assets and 0.005% of such assets in excess of $500 million. In addition, each
Fund reimburses certain out-of-pocket expenses incurred by Ultimus in obtaining
valuations of the Funds' portfolio securities.
TRANSFER AGENT AGREEMENT
Under the terms of a Transfer Agent and Shareholder Services Agreement, Ultimus
maintains the records of each shareholder's account, answers shareholders'
inquiries concerning their accounts, processes purchases and redemptions of each
Fund's shares, acts as dividend and distribution disbursing agent and performs
other shareholder service functions. For these services, each Fund pays Ultimus
a monthly fee at an annual rate of $24 per shareholder account, subject to a
$1,500 minimum monthly fee. In addition, the Funds reimburse Ultimus for
out-of-pocket expenses including, but not limited to, postage and supplies.
DISTRIBUTION AGREEMENT
The Trust has entered into a Distribution Agreement with Ultimus Fund
Distributors, LLC (the "Distributor"), pursuant to which the Distributor
provides distribution services and serves as the principal underwriter to each
Fund. The Distributor is a wholly-owned subsidiary of Ultimus. The fees payable
to the Distributor are paid by the Adviser.
59
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
5. BORROWING COSTS
During the periods ended October 31, 2008 and June 30, 2008, the TFS Market
Neutral Fund incurred borrowing costs of $631 and $131,383, respectively, and
the TFS Small Cap Fund incurred $30 and $1,722, respectively. As of October 31,
2008, the TFS Market Neutral Fund and the TFS Small Cap Fund had no outstanding
borrowings. The average outstanding borrowings for the periods ended October 31,
2008 and June 30, 2008 for the TFS Market Neutral Fund include 107 and 218 days,
respectively, of $0 outstanding borrowings and 79 and 213 days, respectively,
for the TFS Small Cap Fund. The average outstanding borrowing and average
interest rate on borrowings during the periods ended October 31, 2008 and June
30, 2008 were as follows:
- --------------------------------------------------------------------------------
AVERAGE AVERAGE
PERIOD OUTSTANDING INTEREST
ENDED BORROWING RATE
- --------------------------------------------------------------------------------
TFS Market Neutral Fund ... 10/31/08 $ 82,832 2.93%
6/30/08 $ 1,524,655 5.67%
TFS Small Cap Fund ........ 10/31/08 $ 13,240 2.64%
6/30/08 $ 18,499 6.16%
- --------------------------------------------------------------------------------
6. CONTINGENCIES AND COMMITMENTS
The Funds indemnify the Trust's officers and Trustees for certain liabilities
that might arise from their performance of their duties to the Funds.
Additionally, in the normal course of business the Funds enter into contracts
that contain a variety of representations and warranties and which provide
general indemnifications. The Funds' maximum exposure under these arrangements
is unknown, as this would involve future claims that may be made against the
Funds that have not yet occurred. However, based on experience, the Funds
expects the risk of loss to be remote.
60
TFS CAPITAL INVESTMENT TRUST
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
================================================================================
To the Shareholders and Board of Trustees of
TFS Capital Investment Trust
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments and schedule of securities sold short, of TFS
Capital Investment Trust (the "Funds") comprising the TFS Market Neutral Fund
and TFS Small Cap Fund, as of October 31, 2008, and the related statements of
operations for the period July 1, 2008 to October 31, 2008 and for the year
ended June 30, 2008, the statements of changes in net assets for the period July
1, 2008 to October 31, 2008 and for each of the two years in the period ended
June 30, 2008, and the financial highlights for the periods presented. These
financial statements and financial highlights are the responsibility of the
Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Funds
are not required to have, nor were we engaged to perform, an audit of their
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Funds' internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of October 31, 2008, by correspondence with the custodian
and brokers. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the portfolios constituting the TFS Capital Investment Trust as of October
31, 2008, the results of their operations for the period July 1, 2008 to October
31, 2008 and for the year ended June 30, 2008, the changes in their net assets
for the period July 1, 2008 to October 31, 2008 and for each of the two years in
the period ended June 30, 2008, and the financial highlights for the periods
presented, in conformity with accounting principles generally accepted in the
United States of America.
DELOITTE & TOUCHE LLP
Cincinnati, Ohio
December 19, 2008
61
TFS CAPITAL INVESTMENT TRUST
ABOUT YOUR FUNDS' EXPENSES (UNAUDITED)
================================================================================
We believe it is important for you to understand the impact of costs on your
investment. As a shareholder of the Funds, you incur two types of costs: (1)
transaction costs, including redemption fees; and (2) ongoing costs, including
management fees and other Fund expenses. The following examples are intended to
help you understand your ongoing costs (in dollars) of investing in the Funds
and to compare these costs with the ongoing costs of investing in other mutual
funds.
A mutual fund's ongoing costs are expressed as a percentage of its average net
assets. This figure is known as the expense ratio. The ongoing costs reflected
in the table are based on an investment of $1,000 made at the beginning of the
most recent semi-annual period (May 1, 2008) and held until the end of the
period (October 31, 2008).
The table below illustrates each Fund's costs in two ways:
Actual fund return - This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from each
Fund's actual return, and the third column shows the dollar amount of operating
expenses that would have been paid by an investor who started with $1,000 in the
Funds. You may use the information here, together with the amount you invested,
to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Funds under the heading "Expenses Paid During Period."
Hypothetical 5% return - This section is intended to help you compare each
Fund's costs with those of other mutual funds. It assumes that each Fund had an
annual return of 5% before expenses during the period shown, but that the
expense ratio is unchanged. In this case, because the return used is not the
Fund's actual return, the results do not apply to your investment. The example
is useful in making comparisons because the Securities and Exchange Commission
requires all mutual funds to calculate expenses based on a 5% return. You can
assess each Fund's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Funds do not charge any sales loads. However, a
redemption fee of 2% is applied on the sale of shares purchased within 180 days
of the date of their purchase and does not apply to the redemption of shares
acquired through reinvestment of dividends and other distributions. The
calculations below assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about each Fund's expenses, including annualized expense
ratios, can be found in this report. For additional information on operating
expenses and other shareholder costs, please refer to the Funds' prospectus.
62
TFS CAPITAL INVESTMENT TRUST
ABOUT YOUR FUNDS' EXPENSES (UNAUDITED) (CONTINUED)
================================================================================
TFS MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
Beginning Ending
Account Value Account Value Expenses Paid
May 1, 2008 October 31, 2008 During Period*
- --------------------------------------------------------------------------------
Based on Actual Fund Return $1,000.00 $ 902.00 $ 23.35
- --------------------------------------------------------------------------------
Based on Hypothetical 5% Return
(before expenses) $1,000.00 $1,000.66 $ 24.56
- --------------------------------------------------------------------------------
TFS SMALL CAP FUND
- --------------------------------------------------------------------------------
Beginning Ending
Account Value Account Value Expenses Paid
May 1, 2008 October 31, 2008 During Period*
- --------------------------------------------------------------------------------
Based on Actual Fund Return $1,000.00 $ 718.10 $ 5.59
- --------------------------------------------------------------------------------
Based on Hypothetical 5% Return
(before expenses) $1,000.00 $1,018.70 $ 6.56
- --------------------------------------------------------------------------------
* Expenses are equal to the annualized expense ratio of 4.87% and 1.29%,
respectively, for the TFS Market Neutral Fund and the TFS Small Cap Fund
for the period, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the applicable period).
OTHER INFORMATION (UNAUDITED)
================================================================================
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to portfolio securities is available without charge
upon request by calling toll-free 1-888-534-2001, or on the Securities and
Exchange Commission's ("SEC") website at http://www.sec.gov. Information
regarding how the Funds voted proxies relating to portfolio securities during
the most recent 12-month period ended June 30 is also available without charge
upon request by calling toll-free 1-888-534-2001, or on the SEC's website at
http://www.sec.gov.
The Funds file a complete listing of portfolio holdings with the SEC as of the
end of the first and third quarters of each fiscal year on Form N-Q. The filings
are available upon request, by calling 1-888-534-2001. Furthermore, you may
obtain copies of the filings on the SEC's website at http://www.sec.gov. The
Funds' Forms N-Q may also be reviewed and copied at the SEC's Public Reference
Room in Washington, DC, and information on the operation of the Public Reference
Room may be obtained by calling 1-800-SEC-0330.
63
TFS CAPITAL INVESTMENT TRUST
BOARD OF TRUSTEES AND OFFICERS (UNAUDITED)
================================================================================
Overall responsibility for management of the Trust rests with its Trustees. The
Trustees serve for terms of indefinite duration until death, resignation,
retirement or removal from office. The Trustees, in turn, elect the officers of
the Trust to actively supervise the Trust's day-to-day operations. The officers
have been elected for an annual term. Certain officers of the Trust also may
serve as Trustees.
The Trust is managed by the Trustees in accordance with the laws of the State of
Ohio governing business trusts. There are currently five Trustees, three of whom
are not "interested persons" of the Trust within the meaning of that term under
the Investment Company Act of 1940.
The Trustees and executive officers of the Trust, their addresses and their
principal occupations during the past five (5) years are as follows:
- ------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS
PRINCIPAL OCCUPATION(S) IN FUND
NAME, LENGTH POSITION(S) DURING PAST 5 YEARS COMPLEX
ADDRESS OF TIME HELD AND DIRECTORSHIPS OF OVERSEEN
AND AGE SERVED WITH TRUST PUBLIC COMPANIES** BY TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES:
- ------------------------------------------------------------------------------------------------------------------------
*Larry S. Eiben Since Trustee Chief Operating Officer and Chief 2
1800 Bayberry Court, Suite 103 January and Compliance Officer of TFS Capital LLC
Richmond, Virginia 23226 2004 President
Year of Birth: 1972
- ------------------------------------------------------------------------------------------------------------------------
*Thomas M. Frederick Since Trustee Director of Business Development for TFS 2
121 Walnut Street, Suite 320 June Capital LLC from July 2006 - present.
West Chester, Pennsylvania 19380 2004 Associate Director of Virginia Student Aid
Year of Birth: 1972 Foundation from February 2004 - July 2006;
Associate Chief Information Officer of
Samuel James Ltd. (equity management firm)
From February 2003 - February 2004.
- ------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
- ------------------------------------------------------------------------------------------------------------------------
Merle C. Hazelton Since Trustee Capital Markets -Assistant Controller of 2
1800 Bayberry Court, Suite 103 June Genworth Financial, Inc. from July 2007 -
Richmond, Virginia 23226 2004 present; Investments -Assistant Controller of
Year of Birth: 1962 Genworth Financial, Inc. from May 2005 to
July 2007; Treasury - Controller of Genworth
Financial, Inc. (insurance/financial services
firm) from February 2002 to May 2005.
- ------------------------------------------------------------------------------------------------------------------------
Mark J.Malone Since Trustee Director, Institutional Equities of Lazard 2
1800 Bayberry Court, Suite 103 June Capital Markets from March 2008 to present;
Richmond, Virginia 23226 2004 Managing Director of Institutional Sales of
Year of Birth: 1966 Morgan Keegan & Company, Inc. from April
2006 to March 2008;Director of Institutional
Equities of Deutsche Bank Securities from
June 1998 - May 2006.
- ------------------------------------------------------------------------------------------------------------------------
Brian O'Connell Since Trustee Independent writer/author from 2
1800 Bayberry Court, Suite 103 June January 1996 - present.
Richmond, Virginia 23226 2004
Year of Birth: 1959
- ------------------------------------------------------------------------------------------------------------------------
64
TFS CAPITAL INVESTMENT TRUST
BOARD OF TRUSTEES AND OFFICERS (UNAUDITED)
(CONTINUED)
================================================================================
NAME, LENGTH POSITION(S)
ADDRESS OF TIME HELD PRINCIPAL OCCUPATION(S)
AND AGE SERVED WITH TRUST DURING PAST 5 YEARS
- -------------------------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS:
- -------------------------------------------------------------------------------------------------------------
Robert G. Dorsey Since Vice Managing Director of Ultimus Fund Solutions,
225 Pictoria Drive, Suite 450 June 2004 President LLC and Ultimus Fund Distributors, LLC
Cincinnati, Ohio 45246
Year of Birth: 1957
- -------------------------------------------------------------------------------------------------------------
Mark J. Seger Since Treasurer Managing Director of Ultimus Fund Solutions,
225 Pictoria Drive, Suite 450 June 2004 LLC and Ultimus Fund Distributors, LLC
Cincinnati, Ohio 45246
Year of Birth: 1962
- -------------------------------------------------------------------------------------------------------------
John F. Splain Since Secretary Managing Director of Ultimus Fund Solutions,
225 Pictoria Drive, Suite 450 June 2004 LLC and Ultimus Fund Distributors, LLC
Cincinnati, Ohio 45246
Year of Birth: 1956
- -------------------------------------------------------------------------------------------------------------
David D. Jones Since Chief Managing Member of Drake Compliance, LLC
719 Sawdust Road, Suite 113 December Compliance (a compliance consulting firm) since January
The Woodlands, TX 77380 2007 Officer 2004; Attorney, David Jones & Assoc., P.C.
Year of Birth: 1958 (a law firm) since January 1998.
- -------------------------------------------------------------------------------------------------------------
* Larry S. Eiben and Thomas M. Frederick, as affiliated persons of TFS
Capital LLC, the Trust's investment adviser, are considered "interested
persons" of the Trust within the meaning of Section 2(a)(19) of the 1940
Act.
** None of the Trustees are directors of public companies.
Additional information about members of the Board of Trustees and executive
officers is available in the Statement of Additional Information ("SAI"). To
obtain a free copy of the SAI, please call 1-888-534-2001.
65
ITEM 2. CODE OF ETHICS.
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. Pursuant to Item 12(a)(1), a
copy of registrant's code of ethics is filed as an exhibit to this Form N-CSR.
During the period covered by this report, the code of ethics has not been
amended, and the registrant has not granted any waivers, including implicit
waivers, from the provisions of the code of ethics.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's board of trustees has determined that the registrant has at
least one audit committee financial expert serving on its audit committee. The
name of the audit committee financial expert is Merle C. Hazelton. Mr. Hazelton
is "independent" for purposes of this Item.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES. The aggregate fees billed for professional services
rendered by the principal accountant for the audit of the
registrant's annual financial statements or for services that are
normally provided by the accountant in connection with statutory and
regulatory filings or engagements were $27,000 with respect to the
registrant's fiscal period ended October 31, 2008 and $32,000 with
respect to the registrant's fiscal year ended June 30, 2008.
(b) AUDIT-RELATED FEES. No fees were billed in either of the last two
fiscal periods for assurance and related services by the principal
accountant that are reasonably related to the performance of the
audit of the registrant's financial statements and are not reported
under paragraph (a) of this Item.
(c) TAX FEES. The aggregate fees billed for professional services
rendered by the principal accountant for tax compliance, tax advice,
and tax planning were $4,650 with respect to the registrant's fiscal
period ended October 31, 2008 and $4,650 with respect to the
registrant's fiscal year ended June 30, 2008. The services
comprising these fees are the preparation of the registrant's
federal income and excise tax returns.
(d) ALL OTHER FEES. No fees were billed in either of the last two fiscal
periods for products and services provided by the principal
accountant, other than the services reported in paragraphs (a)
through (c) of this Item.
(e)(1) The audit committee has not adopted pre-approval policies and
procedures described in paragraph (c)(7) of Rule 2-01 of Regulation
S-X.
(e)(2) None of the services described in paragraph (b) through (d) of this
Item were approved by the audit committee pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Less than 50% of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the
most recent fiscal year were attributed to work performed by persons
other than the principal accountant's full-time, permanent
employees.
(g) With respect to the fiscal periods ended October 31, 2008 and June
30, 2008, aggregate non-audit fees of $4,650 and $4,650,
respectively, were billed by the registrant's principal accountant
for services rendered to the registrant. No non-audit fees were
billed in either of the last two fiscal years by the registrant's
principal accountant for services 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.
(h) The principal accountant has not provided any 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.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable [schedule filed with Item 1]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant has not adopted procedures by which shareholders may recommend
nominees to the registrant's board of trustees.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940) as of a date within 90 days of the filing date of this report, the
registrant's principal executive officer and principal financial officer have
concluded that such disclosure controls and procedures are reasonably designed
and are operating effectively to ensure that material information relating to
the registrant, including its consolidated subsidiaries, is made known to them
by others within those entities, particularly during the period in which this
report is being prepared, and that the information required in filings on Form
N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the second fiscal quarter of the period covered by this
report that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Attached hereto
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Act (17 CFR 270.30a-2(a)): Attached hereto
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the Act (17 CFR 270.23c-1) sent or given during the period covered by the report
by or on behalf of the registrant to 10 or more persons: Not applicable
(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR
270.30a-2(b)): Attached hereto
Exhibit 99.CODE ETH Code of Ethics
Exhibit 99.CERT Certifications required by Rule 30a-2(a) under the Act
Exhibit 99.906CERT Certifications required by Rule 30a-2(b) under the Act
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) TFS Capital Investment Trust
--------------------------------------------------------------------
By (Signature and Title)* /s/ Larry S, Eiben
--------------------------------------------------
Larry S. Eiben, President
Date December 31, 2008
-------------------------------
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/ Larry S. Eiben
--------------------------------------------------
Larry S. Eiben, President
Date December 31, 2008
-------------------------------
By (Signature and Title)* /s/ Mark J. Seger
--------------------------------------------------
Mark J. Seger, Treasurer
Date December 31, 2008
-------------------------------
* Print the name and title of each signing officer under his or her signature.