UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
________
FORM N-CSRS
________
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-23028
WINTON DIVERSIFIED OPPORTUNITIES FUND
(Exact name of registrant as specified in charter)
________
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
Michael Beattie
C/O SEI Corporation
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-866-330-9999
DATE OF FISCAL YEAR END: OCTOBER 31, 2016
DATE OF REPORTING PERIOD: APRIL 30, 2016
ITEM 1. REPORTS TO STOCKHOLDERS.
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Winton Diversified Opportunities Fund
Semi-Annual Report
April 30, 2016 (Unaudited)
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TABLE OF CONTENTS
Fund Information ............................................................ 1
Letter to Shareholders ...................................................... 2
Consolidated Schedule of Investments ........................................ 4
Consolidated Statement of Assets and Liabilities ............................ 25
Consolidated Statement of Operations ........................................ 26
Consolidated Statements of Changes in Net Assets ............................ 27
Consolidated Financial Highlights ........................................... 28
Notes to the Consolidated Financial Statements .............................. 29
The Fund files its complete schedule of investments of fund holdings with the
Securities and Exchange Commission (the "SEC") for the first and third quarters
of each fiscal year on Form N-Q within sixty days of the period end. The Fund's
N-Q forms are available on the SEC's website at http://www.sec.gov, and may be
reviewed and copied at the SEC's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
A description of the policies and procedures that the Fund uses to determine
how to vote proxies relating to fund securities, as well as information
relating to how the Fund voted proxies relating to fund securities will be
available (i) without charge, upon request, by calling 1-866-330-9999; and (ii)
on the SEC's website at http://www.sec.gov.
THIS REPORT HAS BEEN PREPARED FOR SHAREHOLDERS AND MAY BE DISTRIBUTED TO OTHERS
ONLY IF PRECEDED OR ACCOMPANIED BY AN EFFECTIVE PROSPECTUS.
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FUND INFORMATION
For the six-month period ended April 30, 2016
REGISTERED OFFICE P.O. Box 588
Portland, ME 04112
ADVISER Winton Capital US LLC
375 Park Avenue
New York, NY 10152
DISTRIBUTOR SEI Investments Distribution Co.
One Freedom Valley Drive
Oaks, PA1 9456
ADMINISTRATOR SEI Investments Global Funds Services
One Freedom Valley Drive
Oaks, PA 19456
LEGAL COUNSEL Morgan, Lewis & Bockius LLP
1701 Market Street
Philadelphia, PA 19103-2921
CUSTODIAN The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
TRANSFER AGENT Atlantic Shareholder Services, LLC
Three Canal Plaza
Portland, ME 04101
PRIME BROKER Morgan Stanley & Co., LLC
One New York Plaza
NewYork, NY 10004
INDEPENDENT REGISTERED KPMGLLP
PUBLICACCOUNTINGFIRM 1601 Market Street
Philadelphia, PA 19103
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For the six-month period ended
April 30, 2016 (Unaudited)
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LETTER TO SHAREHOLDERS
Performance Summary
The Winton Diversified Opportunities Fund's net asset value per share declined
by 3.63% between November 1, 2015 and April 30 2016. For comparison, the HFRX
Global Hedge Fund Index fell 3.49% and 3-month USD Libor returned 0.28% over
the same period.
Portfolio Review
The Winton Diversified Opportunities Fund (the "Fund") follows the Winton
Diversified Program (Enhanced) (the "Program"), a systematic investment
approach based on the advanced statistical analysis of historical data. The
Program is operated as an automated, computer-based system that uses leverage
to invest long and short, across global derivative instruments. It trades
multiple strategies in over 100 markets and has an allocation to a long-short
equity system.
The period under review was challenging for performance as solid returns earned
in the opening two months of 2016 were erased by a later reversal in long-term
price trends, most notably in fixed income and energies. Yet, for the period as
a whole, trading in these sectors was profitable and the majority of losses
were concentrated in the Fund's exposure to equity markets.
Long fixed income positioning was the main positive driver of performance:
eurodollar and euribor futures added value in short-term interest rates, while
Japanese government bond and German bund futures led the contributors in bonds.
The crude oil price trended downwards during the first half of the review
period and the energies sector was another notable contributor as the Fund's
short positions profited across the board.
Despite the US Federal Reserve's first rate hike since June 2006, and further
monetary easing in Europe and Japan, the US dollar declined in value versus
most major currencies over the six-month period. Fund returns in the currencies
sector were mixed: a long position in the Japanese yen was the top individual
contributor at the contract level, whereas a longstanding short position in the
euro held back performance.
Nevertheless, it was mostly exposure to stock markets that pushed the Fund's
overall returns into negative territory. The long-short equity system had a
difficult six months with the utilities and consumer discretionary sectors
weighing on its returns. Meanwhile in index futures, the Fund's overall long
position turned short when stock markets sold off in the opening weeks of the
year, which detracted when markets subsequently recovered. Precious metals cost
some performance as well due to the gold price rallying in the opening months
of 2016 after declining for three consecutive calendar years.
2
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For the six-month period ended
April 30, 2016 (Unaudited)
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LETTER TO SHAREHOLDERS (continued)
In terms of Program development, Winton believes that financial markets can be
studied using scientific methods in the same way as other natural phenomena,
giving rise to inferential and ever-evolving investment systems. The Program is
therefore backed by Winton's overarching research process. With this in mind,
we transferred our futures system onto a new technology platform in November
2015. We believe that the new platform will make it easier to alter the system
going forward. As part of this project, improvements to our data processes also
enhanced the level of control we have around checking incoming data as well as
the calculations we subsequently perform on it.
While we were disappointed to see the Fund's net asset value per share fall
over the review period, we do not expect the Program to deliver positive
returns in every timeframe. We also remain anxious about the twin risks of
reduced liquidity and overcrowding in trend-following strategies, and our drive
to incorporate innovative research into the Program is intended to mitigate
these risks. We take comfort in our research and continue to believe that the
Program has the potential to provide our investors with attractive
diversification benefits and returns that are in line with the stated
investment objective.
Sincerely,
Winton Capital US LLC ("Winton")
DEFINITION OF COMPARATIVE INDEX
-------------------------------
THE HFRX GLOBAL HEDGE FUND INDEX is designed to be representative of the
overall composition of the hedge fund universe.
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CONSOLIDATED SCHEDULE OF INVESTMENTS
Below is a list of open equity swap contracts held by the Fund at April 30,
2016. All equity swap contracts are held with one counterparty, Morgan Stanley.
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
ACS Actividades de Construccion
y Servicios SA ....................... EONIA-1D 10/04/17 255 8,432 -
Adidas AG ............................... EONIA-1D 10/03/17 261 33,654 -
Ageas ................................... EONIA-1D 10/03/17 555 21,774 -
Air Liquide SA .......................... EONIA-1D 10/03/17 87 9,863 -
Allianz SE .............................. EONIA-1D 10/03/17 172 29,200 -
Amadeus IT Holding SA ................... EONIA-1D 10/04/17 481 21,889 -
ASML Holding NV ......................... EONIA-1D 10/03/17 128 12,371 -
Assicurazioni Generali SpA .............. EONIA-1D 10/03/17 1,961 29,911 -
Atlantia SpA ............................ EONIA-1D 10/03/17 339 9,441 -
AXA SA .................................. EONIA-1D 10/03/17 1,760 44,369 -
Banco Bilbao Vizcaya Argentaria SA ...... EONIA-1D 10/04/17 2,085 14,285 -
Banco Santander SA ...................... EONIA-1D 10/04/17 2,811 14,231 -
BASF SE ................................. EONIA-1D 10/03/17 15 1,239 -
Bayer AG ................................ EONIA-1D 10/03/17 20 2,307 -
BNP Paribas SA .......................... EONIA-1D 10/03/17 377 19,962 -
Bouygues SA ............................. EONIA-1D 10/03/17 291 9,704 -
Cap Gemini SA ........................... EONIA-1D 10/03/17 252 23,527 -
Casino Guichard Perrachon SA ............ EONIA-1D 10/03/17 167 9,937 -
Christian Dior SE ....................... EONIA-1D 10/03/17 74 12,995 -
Cie Generale des Etablissements
Michelin ............................. EONIA-1D 10/03/17 124 12,943 -
Continental AG .......................... EONIA-1D 10/03/17 81 17,790 -
Credit Agricole SA ...................... EONIA-1D 10/03/17 1,047 11,581 -
Dassault Systemes ....................... EONIA-1D 10/03/17 112 8,760 -
Delhaize Group .......................... EONIA-1D 10/03/17 90 9,433 -
Deutsche Boerse AG ...................... EONIA-1D 10/03/17 162 13,299 -
Deutsche Lufthansa AG ................... EONIA-1D 10/03/17 582 9,037 -
Deutsche Post AG ........................ EONIA-1D 10/03/17 174 5,109 -
EDP - Energias de Portugal SA ........... EONIA-1D 10/03/17 586 2,083 -
Eni SpA ................................. EONIA-1D 10/03/17 2,339 38,034 -
Erste Group Bank AG ..................... EONIA-1D 10/03/17 154 4,430 -
Essilor International SA ................ EONIA-1D 10/03/17 28 3,625 -
Ferrovial SA ............................ EONIA-1D 10/04/17 1,414 30,425 -
Fortum OYJ .............................. EONIA-1D 10/03/17 324 4,883 -
Fresenius Medical Care AG & Co KGaA ..... EONIA-1D 10/03/17 37 3,210 -
Fresenius SE & Co KGaA .................. EONIA-1D 10/03/17 228 16,584 -
Groupe Bruxelles Lambert SA ............. EONIA-1D 10/03/17 26 2,296 -
Heineken NV ............................. EONIA-1D 10/03/17 68 6,374 -
Hermes International .................... EONIA-1D 10/03/17 50 17,807 -
Hochtief AG ............................. EONIA-1D 10/03/17 55 7,051 -
Industria de Diseno Textil SA ........... EONIA-1D 10/04/17 816 26,197 -
The accompanying notes are an integral part of the financial statements.
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CONSOLIDATED SCHEDULE OF INVESTMENTS - CONTINUED
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REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Infineon Technologies AG ................ EONIA-1D 10/03/17 1,222 17,387 -
ING Groep NV ............................ EONIA-1D 10/03/17 2,112 25,866 -
Intesa Sanpaolo SpA ..................... EONIA-1D 10/03/17 1,194 3,309 -
KBC Groep NV ............................ EONIA-1D 10/03/17 293 16,451 -
Kering .................................. EONIA-1D 10/03/17 60 10,282 -
Kone OYJ ................................ EONIA-1D 10/03/17 145 6,615 -
Koninklijke Ahold NV .................... EONIA-1D 10/03/17 478 10,400 -
Koninklijke KPN NV ...................... EONIA-1D 10/03/17 2,012 7,914 -
Legrand SA .............................. EONIA-1D 10/03/17 161 9,170 -
Linde AG ................................ EONIA-1D 10/03/17 16 2,444 -
L'Oreal SA .............................. EONIA-1D 10/03/17 20 3,629 -
Luxottica Group SpA ..................... EONIA-1D 10/03/17 461 25,112 -
LVMH Moet Hennessy Louis Vuitton SE ..... EONIA-1D 10/03/17 127 21,102 -
Mediaset SpA ............................ EONIA-1D 10/03/17 5,406 24,329 -
Mediobanca SpA .......................... EONIA-1D 10/03/17 249 2,046 -
Metso OYJ ............................... EONIA-1D 10/03/17 611 14,686 -
Muenchener Rueckversicherungs-
Gesellschaft AG in Muenchen .......... EONIA-1D 10/03/17 41 7,604 -
Nokia OYJ ............................... EONIA-1D 10/03/17 430 2,536 -
Nokian Renkaat OYJ ...................... EONIA-1D 10/03/17 606 22,359 -
Orange SA ............................... EONIA-1D 10/03/17 488 8,092 -
Peugeot SA .............................. EONIA-1D 10/03/17 1,937 31,176 -
Porsche Automobil Holding SE ............ EONIA-1D 10/03/17 217 12,109 -
PostNL NV ............................... EONIA-1D 10/03/17 2,821 12,340 -
Randstad Holding NV ..................... EONIA-1D 10/03/17 299 16,060 -
RELX NV ................................. EONIA-1D 10/03/17 614 10,304 -
Renault SA .............................. EONIA-1D 10/03/17 361 34,841 -
RWE AG .................................. EONIA-1D 10/03/17 285 4,257 -
Ryanair Holdings PLC .................... EONIA-1D 10/03/17 962 14,475 -
Safran SA ............................... EONIA-1D 10/03/17 61 4,203 -
Sampo Oyj ............................... EONIA-1D 10/03/17 231 10,086 -
Sanofi .................................. EONIA-1D 10/03/17 324 26,754 -
SAP SE .................................. EONIA-1D 10/03/17 11 861 -
SES SA .................................. EONIA-1D 10/03/17 664 18,116 -
Societe Generale SA ..................... EONIA-1D 10/03/17 511 20,042 -
STMicroelectronics NV ................... EONIA-1D 10/03/17 726 4,464 -
Stora Enso OYJ .......................... EONIA-1D 10/03/17 99 864 -
Telefonica SA ........................... EONIA-1D 10/04/17 75 818 -
Tenaris SA .............................. EONIA-1D 10/03/17 2,105 28,396 -
Thales SA ............................... EONIA-1D 10/03/17 215 18,588 -
Umicore SA .............................. EONIA-1D 10/03/17 265 13,208 -
Unibail-Rodamco SE ...................... EONIA-1D 10/03/17 34 9,111 -
UPM-Kymmene OYJ ......................... EONIA-1D 10/03/17 1,656 31,631 -
Valeo SA ................................ EONIA-1D 10/03/17 204 32,343 -
Vinci SA ................................ EONIA-1D 10/03/17 206 15,390 -
The accompanying notes are an integral part of the financial statements.
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CONSOLIDATED SCHEDULE OF INVESTMENTS - CONTINUED
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REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Vivendi SA .............................. EONIA-1D 10/03/17 1,796 34,469 -
voestalpine AG .......................... EONIA-1D 10/03/17 100 3,605 -
Wartsila OYJ Abp ........................ EONIA-1D 10/03/17 136 5,831 -
Wolters Kluwer NV ....................... EONIA-1D 10/03/17 48 1,827 -
Abbott Laboratories ..................... FEDEF-1D 10/04/17 571 22,212 -
AbbVie Inc .............................. FEDEF-1D 10/04/17 160 9,760 -
Accenture PLC ........................... FEDEF-1D 10/04/17 319 36,021 -
Adobe Systems Inc ....................... FEDEF-1D 10/04/17 35 3,298 -
Advance Auto Parts Inc .................. FEDEF-1D 10/04/17 161 25,132 -
Aetna Inc ............................... FEDEF-1D 10/04/17 190 21,331 -
Aflac Inc ............................... FEDEF-1D 10/04/17 679 46,831 -
Agilent Technologies Inc ................ FEDEF-1D 10/04/17 182 7,447 -
Alaska Air Group Inc .................... FEDEF-1D 10/04/17 422 29,721 -
Alliance Data Systems Corp .............. FEDEF-1D 10/04/17 11 2,236 -
Allstate Corp ........................... FEDEF-1D 10/04/17 135 8,782 -
Altria Group Inc ........................ FEDEF-1D 10/04/17 217 13,608 -
Amazon.com Inc .......................... FEDEF-1D 10/04/17 41 27,043 -
AMC Networks Inc ........................ FEDEF-1D 10/04/17 309 20,156 -
American Express Co ..................... FEDEF-1D 10/04/17 1,142 74,721 -
American International Group Inc ........ FEDEF-1D 10/04/17 852 47,559 -
Ameriprise Financial Inc ................ FEDEF-1D 10/04/17 549 52,649 -
AmerisourceBergen Corp .................. FEDEF-1D 10/04/17 571 48,592 -
AMETEK Inc .............................. FEDEF-1D 10/04/17 823 39,578 -
Amgen Inc ............................... FEDEF-1D 10/04/17 254 40,208 -
Analog Devices Inc ...................... FEDEF-1D 10/04/17 237 13,348 -
Anthem Inc .............................. FEDEF-1D 10/04/17 275 38,712 -
Apartment Investment &
Management Co ........................ FEDEF-1D 10/04/17 187 7,491 -
Apple Inc ............................... FEDEF-1D 10/04/17 701 65,712 -
Archer-Daniels-Midland Co ............... FEDEF-1D 10/04/17 686 27,399 -
Assurant Inc ............................ FEDEF-1D 10/04/17 392 33,151 -
Automatic Data Processing Inc ........... FEDEF-1D 10/04/17 62 5,483 -
AutoNation Inc .......................... FEDEF-1D 10/04/17 315 15,955 -
AutoZone Inc ............................ FEDEF-1D 10/04/17 46 35,201 -
AvalonBay Communities Inc ............... FEDEF-1D 10/04/17 5 884 -
Avery Dennison Corp ..................... FEDEF-1D 10/04/17 50 3,631 -
Bank of America Corp .................... FEDEF-1D 10/04/17 1,542 22,452 -
Bank of New York Mellon Corp ............ FEDEF-1D 10/04/17 1,013 40,763 -
Baxter International Inc ................ FEDEF-1D 10/04/17 61 2,697 -
BB&T Corp ............................... FEDEF-1D 10/04/17 1,131 40,015 -
Bed Bath & Beyond Inc ................... FEDEF-1D 10/04/17 987 46,606 -
Best Buy Co Inc ......................... FEDEF-1D 10/04/17 1,413 45,329 -
Boeing Co ............................... FEDEF-1D 10/04/17 230 31,004 -
Brown-Forman Corp ....................... FEDEF-1D 10/04/17 444 42,766 -
CA Inc .................................. FEDEF-1D 10/04/17 319 9,462 -
The accompanying notes are an integral part of the financial statements.
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CONSOLIDATED SCHEDULE OF INVESTMENTS - CONTINUED
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REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Cablevision Systems Corp ................ FEDEF-1D 10/04/17 1,666 55,628 -
Cadence Design Systems Inc .............. FEDEF-1D 10/04/17 1,354 31,399 -
Camden Property Trust ................... FEDEF-1D 10/04/17 47 3,794 -
Campbell Soup Co ........................ FEDEF-1D 10/04/17 59 3,641 -
Capital One Financial Corp .............. FEDEF-1D 10/04/17 1,006 72,824 -
Cardinal Health Inc ..................... FEDEF-1D 10/04/17 400 31,384 -
Carnival Corp ........................... FEDEF-1D 10/04/17 642 31,490 -
Caterpillar Inc ......................... FEDEF-1D 10/04/17 33 2,565 -
CBS Corp ................................ FEDEF-1D 10/04/17 164 9,169 -
CH Robinson Worldwide Inc ............... FEDEF-1D 10/04/17 341 24,201 -
Charles Schwab Corp ..................... FEDEF-1D 10/04/17 126 3,580 -
Church & Dwight Co Inc .................. FEDEF-1D 10/04/17 174 16,130 -
Cigna Corp .............................. FEDEF-1D 10/04/17 207 28,678 -
Cintas Corp ............................. FEDEF-1D 10/04/17 382 34,296 -
Cisco Systems Inc ....................... FEDEF-1D 10/04/17 2,405 66,113 -
Citigroup Inc ........................... FEDEF-1D 10/04/17 598 27,675 -
Citrix Systems Inc ...................... FEDEF-1D 10/04/17 262 21,442 -
Clorox Co ............................... FEDEF-1D 10/04/17 103 12,899 -
CME Group Inc ........................... FEDEF-1D 10/04/17 69 6,342 -
Coach Inc ............................... FEDEF-1D 10/04/17 554 22,310 -
Coca-Cola Enterprises Inc ............... FEDEF-1D 10/04/17 666 34,952 -
Cognizant Technology Solutions Corp ..... FEDEF-1D 10/04/17 367 21,422 -
Comcast Corp ............................ FEDEF-1D 10/04/17 487 29,590 -
Comerica Inc ............................ FEDEF-1D 10/04/17 104 4,618 -
Computer Sciences Corp .................. FEDEF-1D 10/04/17 871 28,856 -
Constellation Brands Inc ................ FEDEF-1D 10/04/17 70 10,924 -
Corning Inc ............................. FEDEF-1D 10/04/17 1,283 23,954 -
Costco Wholesale Corp ................... FEDEF-1D 10/04/17 57 8,443 -
CR Bard Inc ............................. FEDEF-1D 10/04/17 14 2,970 -
Cummins Inc ............................. FEDEF-1D 10/04/17 318 37,216 -
CVS Health Corp ......................... FEDEF-1D 10/04/17 279 28,040 -
Danaher Corp ............................ FEDEF-1D 10/04/17 160 15,480 -
Darden Restaurants Inc .................. FEDEF-1D 10/04/17 503 31,312 -
DaVita HealthCare Partners Inc .......... FEDEF-1D 10/04/17 243 17,958 -
Deere & Co .............................. FEDEF-1D 10/04/17 248 20,859 -
Delphi Automotive PLC ................... FEDEF-1D 10/04/17 206 15,168 -
DENTSPLY SIRONA Inc ..................... FEDEF-1D 10/04/17 100 5,960 -
Discover Financial Services ............. FEDEF-1D 10/04/17 1,086 61,109 -
Dollar General Corp ..................... FEDEF-1D 10/04/17 337 27,604 -
Dover Corp .............................. FEDEF-1D 10/04/17 169 11,103 -
Dow Chemical Co ......................... FEDEF-1D 10/04/17 603 31,724 -
DR Horton Inc ........................... FEDEF-1D 10/04/17 1,692 50,862 -
Dr Pepper Snapple Group Inc ............. FEDEF-1D 10/04/17 90 8,182 -
E*TRADE Financial Corp .................. FEDEF-1D 10/04/17 76 1,914 -
Eastman Chemical Co ..................... FEDEF-1D 10/04/17 98 7,485 -
The accompanying notes are an integral part of the financial statements.
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CONSOLIDATED SCHEDULE OF INVESTMENTS - CONTINUED
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REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Eaton Corp PLC .......................... FEDEF-1D 10/04/17 100 6,327 -
eBay Inc ................................ FEDEF-1D 10/04/17 3,336 81,498 -
Ecolab Inc .............................. FEDEF-1D 10/04/17 102 11,728 -
Edwards Lifesciences Corp ............... FEDEF-1D 10/04/17 248 26,340 -
Electronic Arts Inc ..................... FEDEF-1D 10/04/17 298 18,431 -
Eli Lilly & Co .......................... FEDEF-1D 10/04/17 192 14,502 -
EMC Corp/MA ............................. FEDEF-1D 10/04/17 1,721 44,935 -
Equifax Inc ............................. FEDEF-1D 10/04/17 130 15,633 -
Equinix Inc ............................. FEDEF-1D 10/04/17 29 9,580 -
Equity Residential ...................... FEDEF-1D 10/04/17 9 613 -
Estee Lauder Cos Inc .................... FEDEF-1D 10/04/17 55 5,273 -
Everest Re Group Ltd .................... FEDEF-1D 10/04/17 258 47,704 -
Expedia Inc ............................. FEDEF-1D 10/04/17 247 28,595 -
Expeditors International of
Washington Inc ....................... FEDEF-1D 10/04/17 677 33,586 -
Express Scripts Holding Co .............. FEDEF-1D 10/04/17 236 17,400 -
F5 Networks Inc ......................... FEDEF-1D 10/04/17 331 34,672 -
Fastenal Co FEDEF-1D 10/04/17 111 5,194 -
Fidelity National Information Services Inc FEDEF-1D 10/04/17 758 49,876 -
Fifth Third Bancorp ..................... FEDEF-1D 10/04/17 2,635 48,247 -
Fiserv Inc .............................. FEDEF-1D 10/04/17 454 44,365 -
Fluor Corp .............................. FEDEF-1D 10/04/17 751 41,050 -
FMC Technologies Inc .................... FEDEF-1D 10/04/17 8 244 -
Foot Locker Inc ......................... FEDEF-1D 10/04/17 541 33,239 -
Ford Motor Co ........................... FEDEF-1D 10/04/17 5,514 74,770 -
Franklin Resources Inc .................. FEDEF-1D 10/04/17 368 13,741 -
Gap Inc ................................. FEDEF-1D 10/04/17 1,594 36,949 -
Garmin Ltd .............................. FEDEF-1D 10/04/17 267 11,382 -
General Dynamics Corp ................... FEDEF-1D 10/04/17 339 47,636 -
General Mills Inc ....................... FEDEF-1D 10/04/17 288 17,666 -
Genuine Parts Co ........................ FEDEF-1D 10/04/17 351 33,685 -
Gilead Sciences Inc ..................... FEDEF-1D 10/04/17 837 73,832 -
Goldman Sachs Group Inc ................. FEDEF-1D 10/04/17 454 74,506 -
Goodyear Tire & Rubber Co ............... FEDEF-1D 10/04/17 1,903 55,130 -
H&R Block Inc ........................... FEDEF-1D 10/04/17 1,717 34,752 -
Harley-Davidson Inc ..................... FEDEF-1D 10/04/17 688 32,907 -
Harris Corp ............................. FEDEF-1D 10/04/17 69 5,521 -
Hartford Financial Services Group Inc ... FEDEF-1D 10/04/17 1,718 76,245 -
Hasbro Inc .............................. FEDEF-1D 10/04/17 551 46,637 -
Hologic Inc ............................. FEDEF-1D 10/04/17 228 7,659 -
Home Depot Inc .......................... FEDEF-1D 10/04/17 234 31,330 -
HP Inc .................................. FEDEF-1D 10/04/17 2,567 31,497 -
Humana Inc .............................. FEDEF-1D 10/04/17 21 3,718 -
Huntington Bancshares Inc ............... FEDEF-1D 10/04/17 4,424 44,505 -
Ingredion Inc ........................... FEDEF-1D 10/04/17 129 14,847 -
The accompanying notes are an integral part of the financial statements.
8
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CONSOLIDATED SCHEDULE OF INVESTMENTS - CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Intel Corp .............................. FEDEF-1D 10/04/17 1,700 51,476 -
Intercontinental Exchange Inc ........... FEDEF-1D 10/04/17 44 10,561 -
International Business Machines Corp .... FEDEF-1D 10/04/17 579 84,499 -
Interpublic Group of Cos Inc ............ FEDEF-1D 10/04/17 572 13,122 -
Intuitive Surgical Inc .................. FEDEF-1D 10/04/17 20 12,527 -
Invesco Ltd ............................. FEDEF-1D 10/04/17 515 15,970 -
Johnson Controls Inc .................... FEDEF-1D 10/04/17 258 10,681 -
JPMorgan Chase & Co ..................... FEDEF-1D 10/04/17 1,207 76,282 -
Juniper Networks Inc .................... FEDEF-1D 10/04/17 840 19,656 -
KeyCorp ................................. FEDEF-1D 10/04/17 3,200 39,328 -
Kohl's Corp ............................. FEDEF-1D 10/04/17 657 29,105 -
Kroger Co ............................... FEDEF-1D 10/04/17 459 16,244 -
L Brands Inc ............................ FEDEF-1D 10/04/17 244 19,103 -
Laboratory Corp of America Holdings ..... FEDEF-1D 10/04/17 126 15,790 -
Lam Research Corp ....................... FEDEF-1D 10/04/17 588 44,923 -
Leggett & Platt Inc ..................... FEDEF-1D 10/04/17 483 23,807 -
Lincoln National Corp ................... FEDEF-1D 10/04/17 368 15,990 -
Linear Technology Corp .................. FEDEF-1D 10/04/17 462 20,550 -
LKQ Corp ................................ FEDEF-1D 10/04/17 1,227 39,325 -
Lockheed Martin Corp .................... FEDEF-1D 10/04/17 26 6,042 -
Lowe's Cos Inc .......................... FEDEF-1D 10/04/17 300 22,806 -
LyondellBasell Industries NV ............ FEDEF-1D 10/04/17 652 53,901 -
M&T Bank Corp ........................... FEDEF-1D 10/04/17 170 20,114 -
Macy's Inc .............................. FEDEF-1D 10/04/17 857 33,929 -
Marathon Petroleum Corp ................. FEDEF-1D 10/04/17 305 11,919 -
Marriott International Inc/MD ........... FEDEF-1D 10/04/17 142 9,953 -
Masco Corp .............................. FEDEF-1D 10/04/17 1,150 35,317 -
MasterCard Inc .......................... FEDEF-1D 10/04/17 518 50,241 -
Mattel Inc .............................. FEDEF-1D 10/04/17 900 27,981 -
McCormick & Co Inc/MD ................... FEDEF-1D 10/04/17 91 8,534 -
McDonald's Corp ......................... FEDEF-1D 10/04/17 35 4,427 -
McKesson Corp ........................... FEDEF-1D 10/04/17 32 5,370 -
Merck & Co Inc .......................... FEDEF-1D 10/04/17 301 16,507 -
MetLife Inc ............................. FEDEF-1D 10/04/17 1,248 56,285 -
Microchip Technology Inc ................ FEDEF-1D 10/04/17 345 16,764 -
Micron Technology Inc ................... FEDEF-1D 10/04/17 972 10,449 -
Microsoft Corp .......................... FEDEF-1D 10/04/17 152 7,580 -
Mohawk Industries Inc ................... FEDEF-1D 10/04/17 183 35,251 -
Molson Coors Brewing Co ................. FEDEF-1D 10/04/17 71 6,790 -
Mondelez International Inc .............. FEDEF-1D 10/04/17 2,128 91,419 -
Moody's Corp ............................ FEDEF-1D 10/04/17 303 29,003 -
Mosaic Co ............................... FEDEF-1D 10/04/17 527 14,751 -
Mylan NV ................................ FEDEF-1D 10/04/17 74 3,087 -
Nasdaq Inc .............................. FEDEF-1D 10/04/17 306 18,883 -
NetApp Inc .............................. FEDEF-1D 10/04/17 870 20,567 -
The accompanying notes are an integral part of the financial statements.
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CONSOLIDATED SCHEDULE OF INVESTMENTS - CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
New York Community Bancorp Inc .......... FEDEF-1D 10/04/17 2,447 36,778 -
Newell Rubbermaid Inc ................... FEDEF-1D 10/04/17 546 24,865 -
Newmont Mining Corp ..................... FEDEF-1D 10/04/17 154 5,385 -
NIKE Inc ................................ FEDEF-1D 10/04/17 763 44,971 -
Nordstrom Inc ........................... FEDEF-1D 10/04/17 409 20,912 -
Northern Trust Corp ..................... FEDEF-1D 10/04/17 386 27,437 -
Northrop Grumman Corp ................... FEDEF-1D 10/04/17 8 1,650 -
Nucor Corp .............................. FEDEF-1D 10/04/17 622 30,963 -
NVIDIA Corp ............................. FEDEF-1D 10/04/17 1,437 51,057 -
NVR Inc ................................. FEDEF-1D 10/04/17 23 38,210 -
Omnicom Group Inc ....................... FEDEF-1D 10/04/17 250 20,743 -
Oracle Corp ............................. FEDEF-1D 10/04/17 531 21,166 -
O'Reilly Automotive Inc ................. FEDEF-1D 10/04/17 158 41,503 -
PACCAR Inc .............................. FEDEF-1D 10/04/17 402 23,682 -
Paychex Inc ............................. FEDEF-1D 10/04/17 39 2,033 -
PepsiCo Inc ............................. FEDEF-1D 10/04/17 103 10,605 -
PerkinElmer Inc ......................... FEDEF-1D 10/04/17 315 15,882 -
Pfizer Inc .............................. FEDEF-1D 10/04/17 1,232 40,299 -
Phillips 66 ............................. FEDEF-1D 10/04/17 95 7,800 -
PNC Financial Services Group Inc ........ FEDEF-1D 10/04/17 704 61,797 -
Priceline Group Inc ..................... FEDEF-1D 10/04/17 20 26,873 -
Principal Financial Group Inc ........... FEDEF-1D 10/04/17 1,679 71,660 -
Progressive Corp ........................ FEDEF-1D 10/04/17 1,035 33,741 -
Prudential Financial Inc ................ FEDEF-1D 10/04/17 887 68,867 -
Public Service Enterprise Group Inc ..... FEDEF-1D 10/04/17 100 4,613 -
PVH Corp ................................ FEDEF-1D 10/04/17 252 24,091 -
QUALCOMM Inc ............................ FEDEF-1D 10/04/17 122 6,163 -
Quest Diagnostics Inc ................... FEDEF-1D 10/04/17 114 8,569 -
Ralph Lauren Corp ....................... FEDEF-1D 10/04/17 75 6,991 -
Regions Financial Corp .................. FEDEF-1D 10/04/17 1,769 16,593 -
Reynolds American Inc ................... FEDEF-1D 10/04/17 424 21,030 -
Robert Half International Inc ........... FEDEF-1D 10/04/17 666 25,514 -
Rockwell Automation Inc ................. FEDEF-1D 10/04/17 265 30,070 -
Roper Technologies Inc .................. FEDEF-1D 10/04/17 44 7,748 -
Ross Stores Inc ......................... FEDEF-1D 10/04/17 587 33,330 -
SanDisk Corp ............................ FEDEF-1D 10/04/17 110 8,264 -
Scripps Networks Interactive Inc ........ FEDEF-1D 10/04/17 628 39,156 -
Seagate Technology PLC .................. FEDEF-1D 10/04/17 867 18,875 -
Sealed Air Corp ......................... FEDEF-1D 10/04/17 178 8,430 -
Skyworks Solutions Inc .................. FEDEF-1D 10/04/17 69 4,611 -
Snap-on Inc ............................. FEDEF-1D 10/04/17 230 36,634 -
Southwest Airlines Co ................... FEDEF-1D 10/04/17 221 9,859 -
St Jude Medical Inc ..................... FEDEF-1D 10/04/17 711 54,178 -
Stanley Black & Decker Inc .............. FEDEF-1D 10/04/17 186 20,817 -
Staples Inc FEDEF-1D 10/04/17 42 428 -
The accompanying notes are an integral part of the financial statements.
10
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CONSOLIDATED SCHEDULE OF INVESTMENTS - CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Starbucks Corp .......................... FEDEF-1D 10/04/17 872 49,033 -
Starwood Hotels & Resorts
Worldwide Inc ........................ FEDEF-1D 10/04/17 193 15,803 -
State Street Corp ....................... FEDEF-1D 10/04/17 266 16,572 -
Stericycle Inc .......................... FEDEF-1D 10/04/17 154 14,716 -
Stryker Corp ............................ FEDEF-1D 10/04/17 121 13,190 -
SunTrust Banks Inc ...................... FEDEF-1D 10/04/17 1,083 45,204 -
Symantec Corp ........................... FEDEF-1D 10/04/17 714 11,885 -
T Rowe Price Group Inc .................. FEDEF-1D 10/04/17 9 678 -
Target Corp ............................. FEDEF-1D 10/04/17 641 50,960 -
TE Connectivity Ltd ..................... FEDEF-1D 10/04/17 74 4,402 -
TEGNA Inc ............................... FEDEF-1D 10/04/17 1,494 34,900 -
Tesoro Corp ............................. FEDEF-1D 10/04/17 337 26,856 -
Texas Instruments Inc ................... FEDEF-1D 10/04/17 236 13,461 -
Thermo Fisher Scientific Inc ............ FEDEF-1D 10/04/17 31 4,472 -
Tiffany & Co ............................ FEDEF-1D 10/04/17 380 27,113 -
Time Warner Inc ......................... FEDEF-1D 10/04/17 211 15,855 -
TJX Cos Inc ............................. FEDEF-1D 10/04/17 360 27,295 -
Toll Brothers Inc ....................... FEDEF-1D 10/04/17 241 6,579 -
Torchmark Corp .......................... FEDEF-1D 10/04/17 629 36,413 -
Total System Services Inc ............... FEDEF-1D 10/04/17 978 50,015 -
Tractor Supply Co ....................... FEDEF-1D 10/04/17 272 25,748 -
Travelers Cos Inc ....................... FEDEF-1D 10/04/17 318 34,948 -
Twenty-First Century Fox Inc ............ FEDEF-1D 10/04/17 1,092 33,044 -
Tyson Foods Inc ......................... FEDEF-1D 10/04/17 1,067 70,230 -
UDR Inc ................................. FEDEF-1D 10/04/17 138 4,819 -
United Parcel Service Inc ............... FEDEF-1D 10/04/17 132 13,869 -
United Therapeutics Corp ................ FEDEF-1D 10/04/17 226 23,775 -
UnitedHealth Group Inc .................. FEDEF-1D 10/04/17 191 25,151 -
Universal Health Services Inc ........... FEDEF-1D 10/04/17 134 17,913 -
Unum Group .............................. FEDEF-1D 10/04/17 1,150 39,342 -
US Bancorp .............................. FEDEF-1D 10/04/17 956 40,812 -
Valero Energy Corp ...................... FEDEF-1D 10/04/17 833 49,039 -
Varian Medical Systems Inc .............. FEDEF-1D 10/04/17 6 487 -
VeriSign Inc ............................ FEDEF-1D 10/04/17 312 26,957 -
VF Corp ................................. FEDEF-1D 10/04/17 332 20,933 -
Viacom Inc .............................. FEDEF-1D 10/04/17 726 29,693 -
Visa Inc ................................ FEDEF-1D 10/04/17 497 38,388 -
Walgreens Boots Alliance Inc ............ FEDEF-1D 10/04/17 213 16,887 -
Walt Disney Co .......................... FEDEF-1D 10/04/17 485 50,081 -
Waters Corp ............................. FEDEF-1D 10/04/17 142 18,483 -
Wells Fargo & Co ........................ FEDEF-1D 10/04/17 1,325 66,224 -
Western Digital Corp .................... FEDEF-1D 10/04/17 489 19,983 -
Western Union Co ........................ FEDEF-1D 10/04/17 3,818 76,360 -
Whirlpool Corp .......................... FEDEF-1D 10/04/17 49 8,533 -
The accompanying notes are an integral part of the financial statements.
11
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CONSOLIDATED SCHEDULE OF INVESTMENTS - CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Williams-Sonoma Inc ..................... FEDEF-1D 10/04/17 3 176 -
Wyndham Worldwide Corp .................. FEDEF-1D 10/04/17 198 14,048 -
Xerox Corp .............................. FEDEF-1D 10/04/17 1,310 12,576 -
Xilinx Inc .............................. FEDEF-1D 10/04/17 1,136 48,939 -
XL Group PLC ............................ FEDEF-1D 10/04/17 1,744 57,081 -
Yum! Brands Inc ......................... FEDEF-1D 10/04/17 280 22,277 -
Zions Bancorporation .................... FEDEF-1D 10/04/17 54 1,486 -
3i Group PLC ............................ SONIA-1D 10/03/17 1,713 11,854 -
Aggreko PLC ............................. SONIA-1D 10/03/17 172 2,732 -
ARM Holdings PLC ........................ SONIA-1D 10/03/17 68 932 -
Associated British Foods PLC ............ SONIA-1D 10/03/17 190 8,507 -
Aviva PLC ............................... SONIA-1D 10/03/17 709 4,480 -
Babcock International Group PLC ......... SONIA-1D 10/03/17 332 4,597 -
BHP Billiton PLC ........................ SONIA-1D 10/03/17 5 68 -
British American Tobacco PLC ............ SONIA-1D 10/03/17 44 2,681 -
British Land Co PLC ..................... SONIA-1D 10/03/17 3,594 37,759 -
BT Group PLC ............................ SONIA-1D 10/03/17 173 1,120 -
Burberry Group PLC ...................... SONIA-1D 10/03/17 981 17,044 -
Capita PLC .............................. SONIA-1D 10/03/17 1,332 19,483 -
Carnival PLC ............................ SONIA-1D 10/03/17 283 14,047 -
CRH PLC ................................. SONIA-1D 10/03/17 296 8,598 -
Daily Mail & General Trust PLC .......... SONIA-1D 10/03/17 503 5,130 -
Diageo PLC .............................. SONIA-1D 10/03/17 98 2,643 -
Experian PLC ............................ SONIA-1D 10/03/17 1,132 20,693 -
GKN PLC ................................. SONIA-1D 10/03/17 1,578 6,426 -
Glencore PLC ............................ SONIA-1D 10/03/17 444 1,057 -
Hammerson PLC ........................... SONIA-1D 10/03/17 2,106 17,987 -
HSBC Holdings PLC ....................... SONIA-1D 10/03/17 2,908 19,227 -
IMI PLC ................................. SONIA-1D 10/03/17 43 587 -
Imperial Brands PLC ..................... SONIA-1D 10/03/17 151 8,205 -
InterContinental Hotels Group PLC ....... SONIA-1D 10/03/17 449 17,904 -
Intertek Group PLC ...................... SONIA-1D 10/03/17 325 15,467 -
ITV PLC ................................. SONIA-1D 10/03/17 4,977 16,377 -
Kingfisher PLC .......................... SONIA-1D 10/03/17 4,470 23,768 -
Ladbrokes PLC ........................... SONIA-1D 10/03/17 3,580 6,131 -
Land Securities Group PLC ............... SONIA-1D 10/03/17 2,231 36,902 -
Legal & General Group PLC ............... SONIA-1D 10/03/17 3,212 10,471 -
London Stock Exchange Group PLC ......... SONIA-1D 10/03/17 120 4,757 -
Man Group PLC ........................... SONIA-1D 10/03/17 828 1,786 -
Marks & Spencer Group PLC ............... SONIA-1D 10/03/17 5,649 34,957 -
Next PLC ................................ SONIA-1D 10/03/17 528 39,231 -
Old Mutual PLC .......................... SONIA-1D 10/03/17 1,010 2,738 -
Persimmon PLC ........................... SONIA-1D 10/03/17 1,158 33,621 -
Petrofac Ltd ............................ SONIA-1D 10/03/17 357 4,408 -
Provident Financial PLC ................. SONIA-1D 10/03/17 268 11,411 -
The accompanying notes are an integral part of the financial statements.
12
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CONSOLIDATED SCHEDULE OF INVESTMENTS - CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Randgold Resources Ltd .................. SONIA-1D 10/03/17 46 4,550 -
Reckitt Benckiser Group PLC ............. SONIA-1D 10/03/17 64 6,223 -
RELX PLC ................................ SONIA-1D 10/03/17 271 4,791 -
Rentokil Initial PLC .................... SONIA-1D 10/03/17 2,198 5,656 -
Rio Tinto PLC ........................... SONIA-1D 10/03/17 238 8,000 -
Royal Dutch Shell PLC ................... SONIA-1D 10/03/17 121 3,158 -
SABMiller PLC ........................... SONIA-1D 10/03/17 17 1,040 -
Sage Group PLC .......................... SONIA-1D 10/03/17 2,302 19,913 -
Schroders PLC ........................... SONIA-1D 10/03/17 106 3,894 -
Segro PLC ............................... SONIA-1D 10/03/17 1,548 9,448 -
Shire PLC ............................... SONIA-1D 10/03/17 166 10,335 -
Sky PLC ................................. SONIA-1D 10/03/17 2,861 39,234 -
Smiths Group PLC ........................ SONIA-1D 10/03/17 167 2,704 -
Standard Life PLC ....................... SONIA-1D 10/03/17 2,339 11,145 -
UBM PLC ................................. SONIA-1D 10/03/17 911 7,574 -
Vodafone Group PLC ...................... SONIA-1D 10/03/17 5,547 17,767 -
Weir Group PLC .......................... SONIA-1D 10/03/17 452 7,926 -
William Hill PLC ........................ SONIA-1D 10/03/17 3,671 16,773 -
Wm Morrison Supermarkets PLC ............ SONIA-1D 10/03/17 1,966 5,490 -
Wolseley PLC ............................ SONIA-1D 10/03/17 157 8,766 -
WPP PLC ................................. SONIA-1D 10/03/17 166 3,871 -
Alfa Laval AB ........................... STIBO-1W 10/03/17 1,275 20,107 -
Atlas Copco AB .......................... STIBO-1W 10/03/17 665 17,214 -
Boliden AB .............................. STIBO-1W 10/03/17 1,392 24,276 -
Electrolux AB ........................... STIBO-1W 10/03/17 785 22,784 -
Hennes & Mauritz AB ..................... STIBO-1W 10/03/17 615 21,872 -
Holmen AB ............................... STIBO-1W 10/03/17 46 1,586 -
Investor AB ............................. STIBO-1W 10/03/17 936 34,361 -
Millicom International Cellular SA ...... STIBO-1W 10/03/17 120 6,936 -
Nordea Bank AB .......................... STIBO-1W 10/03/17 2,213 21,488 -
Sandvik AB .............................. STIBO-1W 10/03/17 1,126 11,558 -
Securitas AB ............................ STIBO-1W 10/03/17 785 12,399 -
Skandinaviska Enskilda Banken AB ........ STIBO-1W 10/03/17 1,859 17,761 -
Skanska AB .............................. STIBO-1W 10/03/17 165 3,630 -
SKF AB .................................. STIBO-1W 10/03/17 226 4,164 -
Svenska Cellulosa AB SCA ................ STIBO-1W 10/03/17 701 22,084 -
Svenska Handelsbanken AB ................ STIBO-1W 10/03/17 878 11,692 -
Swedbank AB ............................. STIBO-1W 10/03/17 318 6,861 -
Telefonaktiebolaget LM Ericsson ......... STIBO-1W 10/03/17 2,136 17,295 -
TeliaSonera AB .......................... STIBO-1W 10/03/17 2,540 12,134 -
ABB Ltd ................................. TOIS -1D 10/03/17 279 5,899 -
Actelion Ltd ............................ TOIS -1D 10/03/17 49 7,918 -
Adecco Group SA ......................... TOIS -1D 10/03/17 282 18,155 -
Baloise Holding AG ...................... TOIS -1D 10/03/17 24 2,970 -
Cie Financiere Richemont SA ............. TOIS -1D 10/03/17 197 13,104 -
The accompanying notes are an integral part of the financial statements.
13
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CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Lonza Group AG .......................... TOIS -1D 10/03/17 19 3,161 -
Nestle SA ............................... TOIS -1D 10/03/17 75 5,591 -
Novartis AG ............................. TOIS -1D 10/03/17 147 11,218 -
Swatch Group AG ......................... TOIS -1D 10/03/17 80 27,323 -
Swiss Life Holding AG ................... TOIS -1D 10/03/17 22 5,553 -
Swiss Re AG ............................. TOIS -1D 10/03/17 234 20,761 -
Syngenta AG ............................. TOIS -1D 10/03/17 28 11,210 -
Zurich Insurance Group AG ............... TOIS -1D 10/03/17 51 11,416 -
Abertis Infraestructuras SA ............. (EONIA-1D) 10/04/17 (515) (8,684) -
Acciona SA .............................. (EONIA-1D) 10/04/17 (16) (1,281) -
Accor SA ................................ (EONIA-1D) 10/03/17 (341) (15,106) -
Acerinox SA ............................. (EONIA-1D) 10/04/17 (49) (579) -
Aegon NV ................................ (EONIA-1D) 10/03/17 (358) (2,055) -
Airbus Group SE ......................... (EONIA-1D) 10/03/17 (20) (1,251) -
Akzo Nobel NV ........................... (EONIA-1D) 10/03/17 (175) (12,403) -
Alstom SA ............................... (EONIA-1D) 10/03/17 (42) (1,073) -
Anheuser-Busch InBev SA/NV .............. (EONIA-1D) 10/03/17 (75) (9,284) -
Banco de Sabadell SA .................... (EONIA-1D) 10/04/17 (467) (893) -
Banco Popolare SC ....................... (EONIA-1D) 10/03/17 (46) (325) -
Banco Popular Espanol SA ................ (EONIA-1D) 10/04/17 (2,869) (7,803) -
Bayerische Motoren Werke AG ............. (EONIA-1D) 10/03/17 (122) (11,246) -
Beiersdorf AG ........................... (EONIA-1D) 10/03/17 (31) (2,782) -
Carrefour SA ............................ (EONIA-1D) 10/03/17 (147) (4,165) -
Cie de Saint-Gobain ..................... (EONIA-1D) 10/03/17 (186) (8,519) -
Colruyt SA .............................. (EONIA-1D) 10/03/17 (71) (4,088) -
Commerzbank AG .......................... (EONIA-1D) 10/03/17 (1,423) (13,297) -
Daimler AG .............................. (EONIA-1D) 10/03/17 (150) (10,425) -
Danone SA ............................... (EONIA-1D) 10/03/17 (130) (9,106) -
Deutsche Bank AG ........................ (EONIA-1D) 10/03/17 (305) (5,752) -
Distribuidora Internacional de
Alimentacion SA ...................... (EONIA-1D) 10/04/17 (1,929) (10,705) -
E.ON SE ................................. (EONIA-1D) 10/03/17 (109) (1,124) -
Edenred ................................. (EONIA-1D) 10/03/17 (254) (5,009) -
Electricite de France SA ................ (EONIA-1D) 10/03/17 (87) (1,250) -
Enagas SA ............................... (EONIA-1D) 10/04/17 (499) (15,203) -
Enel SpA ................................ (EONIA-1D) 10/03/17 (3,947) (17,889) -
Engie SA ................................ (EONIA-1D) 10/03/17 (1,960) (32,320) -
Finmeccanica SpA ........................ (EONIA-1D) 10/03/17 (810) (10,231) -
Galp Energia SGPS SA .................... (EONIA-1D) 10/03/17 (561) (7,706) -
Gas Natural SDG SA ...................... (EONIA-1D) 10/04/17 (329) (6,844) -
GEA Group AG ............................ (EONIA-1D) 10/03/17 (113) (5,239) -
HeidelbergCement AG ..................... (EONIA-1D) 10/03/17 (113) (10,040) -
Henkel AG & Co KGaA ..................... (EONIA-1D) 10/03/17 (49) (5,593) -
Iberdrola SA ............................ (EONIA-1D) 10/04/17 (1,374) (9,761) -
K+S AG .................................. (EONIA-1D) 10/03/17 (407) (10,151) -
The accompanying notes are an integral part of the financial statements.
14
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Kerry Group PLC ......................... (EONIA-1D) 10/03/17 (18) (1,599) -
Koninklijke DSM NV ...................... (EONIA-1D) 10/03/17 (291) (17,848) -
Koninklijke Philips NV .................. (EONIA-1D) 10/03/17 (1,047) (28,775) -
Lagardere SCA ........................... (EONIA-1D) 10/03/17 (137) (3,635) -
LANXESS AG .............................. (EONIA-1D) 10/03/17 (37) (1,935) -
MAN SE .................................. (EONIA-1D) 10/03/17 (33) (3,581) -
Merck KGaA .............................. (EONIA-1D) 10/03/17 (6) (564) -
METRO AG ................................ (EONIA-1D) 10/03/17 (214) (6,800) -
OMV AG .................................. (EONIA-1D) 10/03/17 (285) (8,554) -
Pernod Ricard SA ........................ (EONIA-1D) 10/03/17 (85) (9,177) -
Proximus SADP ........................... (EONIA-1D) 10/03/17 (48) (1,615) -
QIAGEN NV ............................... (EONIA-1D) 10/03/17 (27) (605) -
Red Electrica Corp SA ................... (EONIA-1D) 10/04/17 (207) (18,482) -
Repsol SA ............................... (EONIA-1D) 10/04/17 (723) (9,476) -
Saipem SpA .............................. (EONIA-1D) 10/03/17 (8,181) (3,916) -
Schneider Electric SE ................... (EONIA-1D) 10/03/17 (58) (3,775) -
Siemens AG .............................. (EONIA-1D) 10/03/17 (239) (24,938) -
Snam SpA ................................ (EONIA-1D) 10/03/17 (2,444) (14,917) -
Sodexo SA ............................... (EONIA-1D) 10/03/17 (105) (10,604) -
Solvay SA ............................... (EONIA-1D) 10/03/17 (92) (9,298) -
Suez Environnement Co ................... (EONIA-1D) 10/03/17 (248) (4,572) -
Technip SA .............................. (EONIA-1D) 10/03/17 (53) (3,102) -
Telecom Italia SpA/Milano ............... (EONIA-1D) 10/03/17 (9,592) (9,336) -
Terna Rete Elettrica Nazionale SpA ...... (EONIA-1D) 10/03/17 (4,028) (22,712) -
ThyssenKrupp AG ......................... (EONIA-1D) 10/03/17 (762) (17,722) -
TOTAL SA ................................ (EONIA-1D) 10/03/17 (349) (17,557) -
UCB SA .................................. (EONIA-1D) 10/03/17 (40) (2,993) -
Unilever NV ............................. (EONIA-1D) 10/03/17 (98) (4,305) -
Unione di Banche Italiane SpA ........... (EONIA-1D) 10/03/17 (1,026) (4,349) -
Veolia Environnement SA ................. (EONIA-1D) 10/03/17 (177) (4,349) -
Volkswagen AG ........................... (EONIA-1D) 10/03/17 (42) (6,082) -
3M Co ................................... (FEDEF-1D) 10/04/17 (190) (31,802) -
AES Corp ................................ (FEDEF-1D) 10/04/17 (1,683) (18,782) -
Affiliated Managers Group Inc ........... (FEDEF-1D) 10/04/17 (57) (9,708) -
Air Products & Chemicals Inc ............ (FEDEF-1D) 10/04/17 (60) (8,753) -
Airgas Inc .............................. (FEDEF-1D) 10/04/17 (96) (13,674) -
Akamai Technologies Inc ................. (FEDEF-1D) 10/04/17 (99) (5,048) -
Albemarle Corp .......................... (FEDEF-1D) 10/04/17 (136) (8,998) -
Alcoa Inc ............................... (FEDEF-1D) 10/04/17 (997) (11,136) -
Alexandria Real Estate Equities Inc ..... (FEDEF-1D) 10/04/17 (92) (8,551) -
Alexion Pharmaceuticals Inc ............. (FEDEF-1D) 10/04/17 (131) (18,246) -
Allergan PLC ............................ (FEDEF-1D) 10/04/17 (49) (10,611) -
Ameren Corp ............................. (FEDEF-1D) 10/04/17 (467) (22,416) -
American Electric Power Co Inc .......... (FEDEF-1D) 10/04/17 (485) (30,798) -
American Tower Corp ..................... (FEDEF-1D) 10/04/17 (269) (28,213) -
The accompanying notes are an integral part of the financial statements.
15
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Amphenol Corp ........................... (FEDEF-1D) 10/04/17 (57) (3,182) -
Aon PLC ................................. (FEDEF-1D) 10/04/17 (10) (1,051) -
Applied Materials Inc ................... (FEDEF-1D) 10/04/17 (5) (102) -
AT&T Inc ................................ (FEDEF-1D) 10/04/17 (742) (28,804) -
Autodesk Inc ............................ (FEDEF-1D) 10/04/17 (321) (19,202) -
Ball Corp ............................... (FEDEF-1D) 10/04/17 (190) (13,562) -
Becton Dickinson and Co ................. (FEDEF-1D) 10/04/17 (46) (7,418) -
Berkshire Hathaway Inc .................. (FEDEF-1D) 10/04/17 (22) (3,201) -
Biogen Inc .............................. (FEDEF-1D) 10/04/17 (24) (6,600) -
BlackRock Inc ........................... (FEDEF-1D) 10/04/17 (30) (10,690) -
BorgWarner Inc .......................... (FEDEF-1D) 10/04/17 (283) (10,165) -
Boston Properties Inc ................... (FEDEF-1D) 10/04/17 (96) (12,371) -
Boston Scientific Corp .................. (FEDEF-1D) 10/04/17 (926) (20,298) -
Bristol-Myers Squibb Co ................. (FEDEF-1D) 10/04/17 (195) (14,075) -
CarMax Inc .............................. (FEDEF-1D) 10/04/17 (534) (28,275) -
CBRE Group Inc .......................... (FEDEF-1D) 10/04/17 (57) (1,689) -
Celgene Corp ............................ (FEDEF-1D) 10/04/17 (28) (2,895) -
CenterPoint Energy Inc .................. (FEDEF-1D) 10/04/17 (2,090) (44,831) -
CenturyLink Inc ......................... (FEDEF-1D) 10/04/17 (180) (5,571) -
Cerner Corp ............................. (FEDEF-1D) 10/04/17 (179) (10,049) -
CF Industries Holdings Inc .............. (FEDEF-1D) 10/04/17 (166) (5,490) -
Chevron Corp ............................ (FEDEF-1D) 10/04/17 (344) (35,150) -
Chubb Ltd ............................... (FEDEF-1D) 10/04/17 (91) (10,725) -
Cincinnati Financial Corp ............... (FEDEF-1D) 10/04/17 (68) (4,489) -
CMS Energy Corp ......................... (FEDEF-1D) 10/04/17 (306) (12,448) -
Coca-Cola Co/The ........................ (FEDEF-1D) 10/04/17 (95) (4,256) -
Colgate-Palmolive Co .................... (FEDEF-1D) 10/04/17 (69) (4,893) -
ConAgra Foods Inc ....................... (FEDEF-1D) 10/04/17 (131) (5,837) -
ConocoPhillips .......................... (FEDEF-1D) 10/04/17 (18) (860) -
Consolidated Edison Inc ................. (FEDEF-1D) 10/04/17 (38) (2,835) -
Cooper Companies Inc .................... (FEDEF-1D) 10/04/17 (25) (3,827) -
Crown Castle International Corp ......... (FEDEF-1D) 10/04/17 (285) (24,761) -
CSX Corp ................................ (FEDEF-1D) 10/04/17 (132) (3,600) -
Dollar Tree Inc ......................... (FEDEF-1D) 10/04/17 (104) (8,290) -
Dominion Resources Inc/VA ............... (FEDEF-1D) 10/04/17 (554) (39,594) -
DTE Energy Co ........................... (FEDEF-1D) 10/04/17 (411) (36,645) -
Duke Energy Corp ........................ (FEDEF-1D) 10/04/17 (530) (41,753) -
Edison International .................... (FEDEF-1D) 10/04/17 (43) (3,041) -
EI du Pont de Nemours & Co .............. (FEDEF-1D) 10/04/17 (138) (9,096) -
Emerson Electric Co ..................... (FEDEF-1D) 10/04/17 (144) (7,867) -
Endo International PLC .................. (FEDEF-1D) 10/04/17 (22) (594) -
Entergy Corp ............................ (FEDEF-1D) 10/04/17 (508) (38,191) -
EOG Resources Inc ....................... (FEDEF-1D) 10/04/17 (14) (1,157) -
Essex Property Trust Inc ................ (FEDEF-1D) 10/04/17 (56) (12,345) -
Eversource Energy ....................... (FEDEF-1D) 10/04/17 (396) (22,350) -
The accompanying notes are an integral part of the financial statements.
16
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Exelon Corp ............................. (FEDEF-1D) 10/04/17 (267) (9,369) -
Exxon Mobil Corp ........................ (FEDEF-1D) 10/04/17 (615) (54,366) -
Federal Realty Investment Trust ......... (FEDEF-1D) 10/04/17 (189) (28,743) -
FedEx Corp .............................. (FEDEF-1D) 10/04/17 (138) (22,785) -
FirstEnergy Corp ........................ (FEDEF-1D) 10/04/17 (372) (12,123) -
Flowserve Corp .......................... (FEDEF-1D) 10/04/17 (180) (8,786) -
Frontier Communications Corp ............ (FEDEF-1D) 10/04/17 (3,334) (18,537) -
General Electric Co ..................... (FEDEF-1D) 10/04/17 (1,403) (43,142) -
Halliburton Co .......................... (FEDEF-1D) 10/04/17 (67) (2,768) -
Hanesbrands Inc ......................... (FEDEF-1D) 10/04/17 (34) (987) -
Harman International Industries Inc ..... (FEDEF-1D) 10/04/17 (33) (2,533) -
HCP Inc ................................. (FEDEF-1D) 10/04/17 (870) (29,432) -
Helmerich & Payne Inc ................... (FEDEF-1D) 10/04/17 (46) (3,042) -
Hershey Co .............................. (FEDEF-1D) 10/04/17 (59) (5,493) -
Hess Corp ............................... (FEDEF-1D) 10/04/17 (16) (954) -
HollyFrontier Corp ...................... (FEDEF-1D) 10/04/17 (28) (997) -
Honeywell International Inc ............. (FEDEF-1D) 10/04/17 (85) (9,713) -
Hormel Foods Corp ....................... (FEDEF-1D) 10/04/17 (32) (1,234) -
Host Hotels & Resorts Inc ............... (FEDEF-1D) 10/04/17 (553) (8,748) -
IDEXX Laboratories Inc .................. (FEDEF-1D) 10/04/17 (15) (1,265) -
Illinois Tool Works Inc ................. (FEDEF-1D) 10/04/17 (460) (48,079) -
Ingersoll-Rand PLC ...................... (FEDEF-1D) 10/04/17 (266) (17,434) -
International Flavors & Fragrances Inc .. (FEDEF-1D) 10/04/17 (57) (6,810) -
International Paper Co .................. (FEDEF-1D) 10/04/17 (554) (23,972) -
Intuit Inc .............................. (FEDEF-1D) 10/04/17 (171) (17,252) -
Iron Mountain Inc ....................... (FEDEF-1D) 10/04/17 (533) (19,470) -
JB Hunt Transport Services Inc .......... (FEDEF-1D) 10/04/17 (255) (21,134) -
JM Smucker Co ........................... (FEDEF-1D) 10/04/17 (37) (4,698) -
Johnson & Johnson ....................... (FEDEF-1D) 10/04/17 (58) (6,501) -
Kellogg Co .............................. (FEDEF-1D) 10/04/17 (156) (11,982) -
Kimberly-Clark Corp ..................... (FEDEF-1D) 10/04/17 (261) (32,675) -
Kimco Realty Corp ....................... (FEDEF-1D) 10/04/17 (63) (1,772) -
Kinder Morgan Inc/DE .................... (FEDEF-1D) 10/04/17 (73) (1,296) -
L-3 Communications Holdings Inc ......... (FEDEF-1D) 10/04/17 (136) (17,888) -
Lennar Corp ............................. (FEDEF-1D) 10/04/17 (154) (6,978) -
Leucadia National Corp .................. (FEDEF-1D) 10/04/17 (36) (600) -
Loews Corp .............................. (FEDEF-1D) 10/04/17 (292) (11,587) -
Marathon Oil Corp ....................... (FEDEF-1D) 10/04/17 (11) (155) -
Marsh & McLennan Cos Inc ................ (FEDEF-1D) 10/04/17 (189) (11,935) -
Mead Johnson Nutrition Co ............... (FEDEF-1D) 10/04/17 (72) (6,275) -
Medtronic PLC ........................... (FEDEF-1D) 10/04/17 (63) (4,986) -
Monsanto Co ............................. (FEDEF-1D) 10/04/17 (217) (20,329) -
Motorola Solutions Inc .................. (FEDEF-1D) 10/04/17 (206) (15,489) -
National Oilwell Varco Inc .............. (FEDEF-1D) 10/04/17 (60) (2,162) -
Netflix Inc (FEDEF-1D) 10/04/17 (43) (3,871) -
The accompanying notes are an integral part of the financial statements.
17
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
NextEra Energy Inc ...................... (FEDEF-1D) 10/04/17 (123) (14,462) -
NiSource Inc ............................ (FEDEF-1D) 10/04/17 (183) (4,156) -
Norfolk Southern Corp ................... (FEDEF-1D) 10/04/17 (277) (24,960) -
Occidental Petroleum Corp ............... (FEDEF-1D) 10/04/17 (16) (1,226) -
Parker-Hannifin Corp .................... (FEDEF-1D) 10/04/17 (21) (2,436) -
Pentair PLC ............................. (FEDEF-1D) 10/04/17 (386) (22,419) -
Perrigo Co PLC .......................... (FEDEF-1D) 10/04/17 (165) (15,951) -
PG&E Corp ............................... (FEDEF-1D) 10/04/17 (643) (37,423) -
Philip Morris International Inc ......... (FEDEF-1D) 10/04/17 (2) (196) -
Pinnacle West Capital Corp .............. (FEDEF-1D) 10/04/17 (298) (21,650) -
PPG Industries Inc ...................... (FEDEF-1D) 10/04/17 (303) (33,448) -
PPL Corp ................................ (FEDEF-1D) 10/04/17 (944) (35,532) -
Praxair Inc ............................. (FEDEF-1D) 10/04/17 (191) (22,435) -
Procter & Gamble Co ..................... (FEDEF-1D) 10/04/17 (326) (26,119) -
Prologis Inc ............................ (FEDEF-1D) 10/04/17 (96) (4,359) -
Public Storage .......................... (FEDEF-1D) 10/04/17 (33) (8,079) -
PulteGroup Inc .......................... (FEDEF-1D) 10/04/17 (541) (9,949) -
Raytheon Co ............................. (FEDEF-1D) 10/04/17 (91) (11,498) -
Realty Income Corp ...................... (FEDEF-1D) 10/04/17 (27) (1,598) -
Red Hat Inc ............................. (FEDEF-1D) 10/04/17 (15) (1,101) -
Regeneron Pharmaceuticals Inc ........... (FEDEF-1D) 10/04/17 (31) (11,678) -
Republic Services Inc ................... (FEDEF-1D) 10/04/17 (60) (2,824) -
ResMed Inc .............................. (FEDEF-1D) 10/04/17 (23) (1,283) -
Rockwell Collins Inc .................... (FEDEF-1D) 10/04/17 (128) (11,288) -
S&P Global Inc .......................... (FEDEF-1D) 10/04/17 (150) (16,028) -
salesforce.com Inc ...................... (FEDEF-1D) 10/04/17 (74) (5,609) -
SCANA Corp .............................. (FEDEF-1D) 10/04/17 (267) (18,340) -
Schlumberger Ltd ........................ (FEDEF-1D) 10/04/17 (169) (13,577) -
Sempra Energy ........................... (FEDEF-1D) 10/04/17 (454) (46,921) -
Sherwin-Williams Co ..................... (FEDEF-1D) 10/04/17 (75) (21,548) -
Simon Property Group Inc ................ (FEDEF-1D) 10/04/17 (29) (5,834) -
Southern Co ............................. (FEDEF-1D) 10/04/17 (795) (39,830) -
Spectra Energy Corp ..................... (FEDEF-1D) 10/04/17 (450) (14,072) -
Sysco Corp .............................. (FEDEF-1D) 10/04/17 (136) (6,266) -
Textron Inc ............................. (FEDEF-1D) 10/04/17 (50) (1,934) -
TripAdvisor Inc ......................... (FEDEF-1D) 10/04/17 (20) (1,292) -
Tyco International PLC .................. (FEDEF-1D) 10/04/17 (478) (18,413) -
Under Armour Inc ........................ (FEDEF-1D) 10/04/17 (292) (12,830) -
Union Pacific Corp ...................... (FEDEF-1D) 10/04/17 (133) (11,602) -
United Technologies Corp ................ (FEDEF-1D) 10/04/17 (253) (26,406) -
Ventas Inc .............................. (FEDEF-1D) 10/04/17 (183) (11,368) -
Verizon Communications Inc .............. (FEDEF-1D) 10/04/17 (434) (22,108) -
Vertex Pharmaceuticals Inc .............. (FEDEF-1D) 10/04/17 (11) (928) -
Vornado Realty Trust .................... (FEDEF-1D) 10/04/17 (104) (9,956) -
Vulcan Materials Co ..................... (FEDEF-1D) 10/04/17 (117) (12,593) -
The accompanying notes are an integral part of the financial statements.
18
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Wal-Mart Stores Inc ..................... (FEDEF-1D) 10/04/17 (57) (3,812) -
Waste Management Inc .................... (FEDEF-1D) 10/04/17 (458) (26,926) -
WEC Energy Group Inc .................... (FEDEF-1D) 10/04/17 (149) (8,673) -
Welltower Inc ........................... (FEDEF-1D) 10/04/17 (20) (1,388) -
Weyerhaeuser Co ......................... (FEDEF-1D) 10/04/17 (337) (10,824) -
Whole Foods Market Inc .................. (FEDEF-1D) 10/04/17 (487) (14,162) -
Williams Cos Inc ........................ (FEDEF-1D) 10/04/17 (25) (485) -
WW Grainger Inc ......................... (FEDEF-1D) 10/04/17 (12) (2,814) -
Wynn Resorts Ltd ........................ (FEDEF-1D) 10/04/17 (4) (353) -
Xcel Energy Inc ......................... (FEDEF-1D) 10/04/17 (1,040) (41,631) -
Xylem Inc/NY ............................ (FEDEF-1D) 10/04/17 (528) (22,060) -
Yahoo! Inc .............................. (FEDEF-1D) 10/04/17 (46) (1,684) -
Zimmer Biomet Holdings Inc .............. (FEDEF-1D) 10/04/17 (506) (58,580) -
Aberdeen Asset Management PLC ........... (SONIA-1D) 10/03/17 (1,787) (7,800) -
Amec Foster Wheeler PLC ................. (SONIA-1D) 10/03/17 (426) (3,074) -
Antofagasta PLC ......................... (SONIA-1D) 10/03/17 (648) (4,575) -
AstraZeneca PLC ......................... (SONIA-1D) 10/03/17 (159) (9,126) -
BAE Systems PLC ......................... (SONIA-1D) 10/03/17 (2,399) (16,731) -
Barclays PLC ............................ (SONIA-1D) 10/03/17 (8,121) (20,351) -
BP PLC .................................. (SONIA-1D) 10/03/17 (700) (3,823) -
Bunzl PLC ............................... (SONIA-1D) 10/03/17 (36) (1,073) -
Cable & Wireless Communications PLC ..... (SONIA-1D) 10/03/17 (3,024) (3,252) -
Centrica PLC ............................ (SONIA-1D) 10/03/17 (320) (1,115) -
Cobham PLC .............................. (SONIA-1D) 10/03/17 (1,354) (3,047) -
Compass Group PLC ....................... (SONIA-1D) 10/03/17 (85) (1,514) -
Firstgroup PLC .......................... (SONIA-1D) 10/03/17 (1,036) (1,512) -
G4S PLC ................................. (SONIA-1D) 10/03/17 (1,975) (5,437) -
GlaxoSmithKline PLC ..................... (SONIA-1D) 10/03/17 (528) (11,256) -
Hays PLC ................................ (SONIA-1D) 10/03/17 (792) (1,482) -
International Consolidated Airlines
Group SA ............................. (SONIA-1D) 10/03/17 (1,290) (9,896) -
J Sainsbury PLC ......................... (SONIA-1D) 10/03/17 (3,007) (12,694) -
Johnson Matthey PLC ..................... (SONIA-1D) 10/03/17 (291) (12,276) -
Lloyds Banking Group PLC ................ (SONIA-1D) 10/03/17 (1,818) (1,782) -
National Grid PLC ....................... (SONIA-1D) 10/03/17 (955) (13,603) -
Pearson PLC ............................. (SONIA-1D) 10/03/17 (707) (8,316) -
Prudential PLC .......................... (SONIA-1D) 10/03/17 (32) (630) -
Rexam PLC ............................... (SONIA-1D) 10/03/17 (390) (3,562) -
Rolls-Royce Holdings PLC ................ (SONIA-1D) 10/03/17 (1,571) (15,369) -
Royal Bank of Scotland Group PLC ........ (SONIA-1D) 10/03/17 (3,715) (12,485) -
RSA Insurance Group PLC ................. (SONIA-1D) 10/03/17 (522) (3,502) -
Severn Trent PLC ........................ (SONIA-1D) 10/03/17 (94) (3,059) -
Smith & Nephew PLC ...................... (SONIA-1D) 10/03/17 (81) (1,368) -
SSE PLC ................................. (SONIA-1D) 10/03/17 (306) (6,752) -
Standard Chartered PLC .................. (SONIA-1D) 10/03/17 (451) (3,638) -
The accompanying notes are an integral part of the financial statements.
19
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April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
------------------------------------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION)$
------------------------------------------------------------------------------------------------------------------------------------
Tate & Lyle PLC ......................... (SONIA-1D) 10/03/17 (487) (4,184) -
United Utilities Group PLC .............. (SONIA-1D) 10/03/17 (717) (9,843) -
Whitbread PLC ........................... (SONIA-1D) 10/03/17 (187) (10,580) -
Assa Abloy AB ........................... (STIBO-1W) 10/03/17 (151) (3,168) -
Swedish Match AB ........................ (STIBO-1W) 10/03/17 (72) (2,284) -
Tele2 AB ................................ (STIBO-1W) 10/03/17 (403) (3,845) -
Volvo AB ................................ (STIBO-1W) 10/03/17 (933) (10,925) -
Clariant AG ............................. (TOIS -1D) 10/03/17 (582) (11,013) -
Credit Suisse Group AG .................. (TOIS -1D) 10/03/17 (298) (4,527) -
GAM Holding AG .......................... (TOIS -1D) 10/03/17 (22) (287) -
Geberit AG .............................. (TOIS -1D) 10/03/17 (48) (18,431) -
Givaudan SA ............................. (TOIS -1D) 10/03/17 (10) (19,704) -
Julius Baer Group Ltd ................... (TOIS -1D) 10/03/17 (34) (1,454) -
Kuehne + Nagel International AG ......... (TOIS -1D) 10/03/17 (14) (2,017) -
LafargeHolcim Ltd ....................... (TOIS -1D) 10/03/17 (270) (13,672) -
SGS SA .................................. (TOIS -1D) 10/03/17 (8) (17,607) -
Swisscom AG ............................. (TOIS -1D) 10/03/17 (26) (13,187) -
-------
-
=======
EONIA - Euro Overnight Index Average
FEDEF - Federal Funds Rate
PLC - Public Limited Company
SONIA - Sterling Overnight Interbank Average Rate
STIBO - Stockholm Interbank Offered Rate
TOIS - Tom/Next Index Swaps Rate
For the six-month period ended April 30, 2016, the notional amount of all open
swap agreements, as presented in the table above, is representative of the
volume of activity for this derivative type during the period.
The accompanying notes are an integral part of the financial statements.
20
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April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
A list of open futures contracts held by the Fund at April 30, 2016 are as
follows:
------------------------------------------------------------------------------------------------
TYPE OF NUMBER OF EXPIRATION UNREALIZED
CONTRACT CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
------------------------------------------------------------------------------------------------
3-Month Euro EURIBOR .................. 5 Jun-2016 (783)
3-Month Euro EURIBOR .................. 4 Dec-2016 (256)
3-Month Euro EURIBOR .................. 8 Mar-2017 (266)
3-Month Euro EURIBOR .................. 8 Jun-2017 3,254
3-Month Euro EURIBOR .................. 9 Sep-2017 4,195
3-Month Euro EURIBOR .................. 9 Dec-2017 5,164
3-Month Euro EURIBOR .................. 9 Mar-2018 4,499
3-Month Euro EURIBOR .................. 9 Jun-2018 4,896
3-Month Euro EURIBOR .................. 9 Sep-2018 5,703
3-Month Euro EURIBOR .................. 9 Dec-2018 5,580
3-Month Euro EURIBOR .................. 9 Mar-2019 1,151
3-Month New Zealand Bill .............. 1 Jun-2016 358
3-Month New Zealand Bill .............. 1 Sep-2016 343
90-Day Bank Bill ...................... (4) Jun-2016 2,594
90-Day Bank Bill ...................... (1) Jun-2016 (308)
90-Day Bank Bill ...................... (3) Dec-2016 (213)
90-Day Euro$ .......................... 5 Dec-2016 (25)
90-Day Euro$ .......................... 10 Mar-2017 1,750
90-Day Euro$ .......................... 10 Jun-2017 2,100
90-Day Euro$ .......................... 10 Sep-2017 3,513
90-Day Euro$ .......................... 10 Dec-2017 2,063
90-Day Euro$ .......................... 10 Mar-2018 3,600
90-Day Euro$ .......................... 10 Jun-2018 1,763
90-Day Euro$ .......................... 11 Sep-2018 1,963
90-Day Euro$ .......................... 11 Dec-2018 3,025
90-Day Euro$ .......................... 11 Mar-2019 (500)
90-Day Euro$ .......................... 6 Jun-2019 (588)
90-Day Sterling ....................... 2 Jun-2016 (395)
90-Day Sterling ....................... 3 Dec-2016 155
90-Day Sterling ....................... 5 Mar-2017 1,340
90-Day Sterling ....................... 5 Jun-2017 745
90-Day Sterling ....................... 5 Sep-2017 826
90-Day Sterling ....................... 5 Dec-2017 62
90-Day Sterling ....................... 5 Mar-2018 1,654
90-Day Sterling ....................... 5 Jun-2018 1,817
90-Day Sterling ....................... 5 Sep-2018 2,018
The accompanying notes are an integral part of the financial statements.
21
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April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
------------------------------------------------------------------------------------------------
TYPE OF NUMBER OF EXPIRATION UNREALIZED
CONTRACT CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
------------------------------------------------------------------------------------------------
90-Day Sterling ....................... 5 Dec-2018 1,176
90-Day Sterling ....................... 5 Mar-2019 (942)
AUD Currency .......................... 13 Jun-2016 (1,630)
Australian 10-Year Bond ............... 1 Jun-2016 7
Australian 3-Year Bond ................ (1) Jun-2016 (472)
Bank Acceptance Future ................ (1) Jun-2016 363
Bank Acceptance Future ................ (2) Sep-2016 226
Brent Crude Oil ....................... (1) May-2016 (4,160)
CAC40 10 Euro ......................... 1 Jun-2016 (1,358)
CAD Currency .......................... 5 May-2016 11,420
CHF Currency .......................... 2 Jul-2016 (75)
Cocoa ................................. (2) Jul-2016 (6,630)
Cocoa ................................. (1) Sep-2016 (2,960)
Cocoa (ICE) ........................... (2) May-2016 (3,140)
Cocoa (ICE) ........................... (1) Jul-2016 (1,737)
Coffee 'C' ............................ (2) Jul-2016 3,019
Coffee 'C' ............................ (1) Sep-2016 1,594
Coffee Robusta ........................ (1) Jul-2016 (320)
Copper ................................ (1) Jul-2016 (937)
Corn .................................. (10) Jul-2016 (6,963)
Corn .................................. (5) Sep-2016 (1,713)
Cotton No. 2 .......................... 1 Jul-2016 (105)
DJIA E-MINI CBOT ...................... 2 Jun-2016 (125)
E-MINI MSCI Emerging Index ............ 1 Jun-2016 (915)
Euro Currency ......................... (5) Jun-2019 (23,188)
Euro Stoxx 50 ......................... (31) Jun-2016 (2,006)
Euro-Bobl ............................. 14 Jun-2016 (7,803)
Euro-BTP .............................. 1 Jun-2016 36
Euro-BTP .............................. 1 Sep-2016 72
Euro-Bund ............................. 9 Jun-2016 (8,762)
Euro-Oat .............................. 2 Jun-2016 328
Euro-Schatz ........................... 4 Jun-2016 (923)
FTSE 100 Index ........................ 2 Sep-2016 (942)
Gasoil Euro ........................... (1) May-2016 (9,400)
Gasoil Euro ........................... (1) Jun-2016 (8,625)
Gasoline RBOB ......................... (1) Jun-2016 (3,276)
GBP Currency .......................... (8) Jun-2016 (19,694)
Gold 100 OZ ........................... 7 Jun-2016 26,340
The accompanying notes are an integral part of the financial statements.
22
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April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
------------------------------------------------------------------------------------------------
TYPE OF NUMBER OF EXPIRATION UNREALIZED
CONTRACT CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
------------------------------------------------------------------------------------------------
H-shares Index ........................ (1) May-2016 1,412
Japanese 10-Year Bond ................. 13 Jun-2019 54,807
Kansas City Hard Red Wheat Future ..... (3) Jul-2016 1,213
Kansas City Hard Red Wheat Future ..... (1) Sep-2016 (300)
Lean Hogs ............................. 2 Jun-2016 1,490
Lean Hogs ............................. 1 Jul-2016 860
Live Cattle ........................... (3) Jul-2016 9,050
Live Cattle ........................... (1) Sep-2016 3,040
LME Copper ............................ (1) May-2016 (7,788)
LME Lead .............................. (1) Jul-2016 (144)
LME Prime Aluminum .................... 2 Jul-2016 778
Long Gilt ............................. 2 May-2016 (4,904)
Mexican Peso .......................... 7 Jun-2016 3,730
Mill Wheat ............................ (1) May-2016 68
MSCI Taiwan Index ..................... 1 Jun-2016 (790)
NASDAQ 100 E-MINI ..................... 2 Jun-2016 (5,775)
Natural Gas ........................... (5) Jun-2016 (3,850)
Natural Gas ........................... (2) Jul-2016 (970)
New Zealand Future .................... 1 Jun-2016 140
NY Harbor ............................. (1) Jun-2016 (2,831)
NY Harbor ............................. (1) Jul-2016 (2,751)
Red Wheat ............................. (1) Jul-2016 (500)
Russell 2000 Index E-MINI ............. (13) Jun-2016 (69,000)
S&P 500 Index EMINI ................... (30) Jul-2016 (65,995)
SGX CNX Nifty Index ................... (1) Jun-2016 45
Silver ................................ 1 Jul-2016 2,945
Soybean ............................... 3 Jul-2016 1,725
Soybean Meal .......................... (1) Jul-2016 (2,040)
Soybean Meal .......................... (1) Aug-2016 (1,290)
Soybean Oil ........................... 2 Jul-2016 (1,680)
Soybean Oil ........................... 1 Aug-2016 (774)
SPI 200 Index ......................... 1 Jun-2016 95
Sugar #11 ............................. 1 Sep-2016 896
U.S. 10-Year Treasury Note ............ 14 Jun-2016 (8,758)
U.S. 2-Year Treasury Note ............. (7) May-2016 (4,344)
U.S. 5-Year Treasury Note ............. (5) Jun-2016 (3,867)
U.S. Long Treasury Bond ............... 7 Jun-2016 (9,094)
U.S. Ultra Long Treasury Bond ......... 4 Jun-2016 (13,016)
The accompanying notes are an integral part of the financial statements.
23
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April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS - CONTINUED
------------------------------------------------------------------------------------------------
TYPE OF NUMBER OF EXPIRATION UNREALIZED
CONTRACT CONTRACTS DATE APPRECIATION/
(SHORT) (DEPRECIATION) $
------------------------------------------------------------------------------------------------
Wheat ................................. (3) Jul-2016 (663)
Wheat ................................. (2) Sep-2016 163
WTI Crude Oil ......................... (1) Jun-2016 (3,660)
WTI Crude Oil ......................... (1) Jul-2016 (3,470)
---------
(147,220)
=========
AUD - Australian Dollar FTSE - Financial Times Stock Exchange
Bobl - German Federal Obligations GBP - British Pound
BTP - Long Italian Bond ICE - Intercontinental Exchange
CAC - Cotation Assistee en Continu (Paris Stock Exchange) LME - London Metal Exchange
CAD - Canadian Dollar MSCI - Morgan Stanley Capital International
CBOT - Chicago Board of Trade Oat - Obligations Assimilables du Tresor (French Government)
CHF - Swiss Franc RBOB - Reformulated Blendstock for Oxygenated Blending
CNX - Crisil NSE Index (National Stock Exchange of India) S&P - Standard & Poors
DJIA - Dow Jones Industrial Average SGX - Singapore Exchange
EURIBOR - Euro Interbank Offered Rate Schatz - Short-term German Federal Obligations
E-MINI - Futures contract 1/5 the size of a standard SPI - Share Price Index
contract WTI - West Texas Intermediate
For the six-month period ended April 30, 2016, the total number of all open
futures contracts, as presented in the table above, is representative of the
volume of activity for the derivative type during the period. As of April 30,
2016, the Fund's net assets were $11,301,487.
The following shows the levels of inputs used as of April 30, 2016, in valuing
the Fund's financial instruments carried at fair value:
--------------------------------------------------------------------------------
FINANCIAL INSTRUMENTS LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
$ $ $ $
--------------------------------------------------------------------------------
Futures Contracts
Unrealized appreciation 193,169 - - 193,169
Unrealized depreciation (340,389) - - (340,389)
Equity Swaps*
Unrealized appreciation - - - -
Unrealized depreciation - - - -
--------- ------- ------- ---------
Total Financial Instruments (147,220) - - (147,220)
========= ======= ======= =========
* EQUITY SWAPS REFLECT A FAIR VALUE OF $0 AT THE CLOSE OF BUSINESS ON APRIL
30, 2016 AS THE MONTHLY REALIZATION OF GAINS AND LOSSES ON THESE POSITIONS
WAS CRYSTALLIZED ON APRIL 30, 2016, UPON THE MONTHLY RE-SET. THE CUMULATIVE
NET REALIZED LOSS FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2016 WAS
$52,338.
The accompanying notes are an integral part of the financial statements.
24
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April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
$
----------
ASSETS:
Cash ............................................................. 7,137,948
Cash collateral on derivative contracts .......................... 3,181,034
Deposits held with broker (Note 2) ............................... 1,050,624
Due from broker (Note 2) ......................................... 296,535
Receivable for capital shares sold ............................... 40,000
Receivable from Investment Adviser (Note 7) ...................... 24,332
Dividends receivable ............................................. 15,208
Foreign currency (Cost $751) ..................................... 752
Prepaid expenses ................................................. 23
----------
Total assets ................................................... 11,746,456
----------
LIABILITIES:
Due to broker (Note 2) ........................................... 347,118
Payable due to Administrator (Note 6) ............................ 13,524
Interest payable (Note 2) ........................................ 5,840
Dividends payable (Note 2) ....................................... 4,874
Payable due to Trustees .......................................... 3,802
Chief Compliance Officer fees payable (Note 5) ................... 1,803
Other accrued expenses ........................................... 68,008
----------
Total liabilities .............................................. 444,969
----------
NET ASSETS ....................................................... 11,301,487
==========
Net assets consist of:
Paid-in capital .................................................. 12,793,127
Distributions in excess of net investment income ................. (13,079)
Accumulated net realized loss on futures contracts, swap
contracts and foreign currency transactions .................... (1,331,433)
Net unrealized depreciation on futures contracts ................. (147,220)
Net unrealized appreciation on foreign currency translation ...... 92
----------
NET ASSETS ....................................................... 11,301,487
==========
NET ASSET VALUE, Offering and Redemption Price Per Share --
Class I shares (unlimited authorization - no par value)
($11,301,487/650,827 shares) ................................... 17.36
==========
The accompanying notes are an integral part of the financial statements.
25
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED STATEMENT OF OPERATIONS
$
----------
INVESTMENT INCOME
Dividends ........................................................ 160,612
Less: foreign taxes withheld ..................................... (3,736)
----------
Total investment income ........................................ 156,876
----------
EXPENSES
Administration fees (Note 6) ..................................... 82,124
Professional fees ................................................ 65,794
Investment advisory fees (Note 7) ................................ 65,207
Dividend expense (Note 2) ........................................ 46,464
Interest expense (Note 2) ........................................ 37,377
Transfer Agent fees .............................................. 21,212
Custodian fees ................................................... 18,648
Printing fees .................................................... 13,108
Insurance and other expenses ..................................... 11,334
Trustees' fees ................................................... 5,105
Chief Compliance Officer fees (Note 5) ........................... 3,254
----------
TOTAL EXPENSES ................................................. 369,627
----------
LESS:
Investment advisory fees waived (Note 7) ......................... (65,207)
Reimbursement from Investment Adviser (Note 7) ................... (136,590)
----------
NET EXPENSES ................................................... 167,830
----------
NET INVESTMENT LOSS .............................................. (10,954)
----------
NET REALIZED GAIN/(LOSS) ON:
Futures contracts .............................................. (349,035)
Swap contracts ................................................. (726,014)
Foreign currency transactions .................................. 12,923
NET CHANGE IN UNREALIZED APPRECIATION ON:
Futures contracts .............................................. 618,730
Foreign currency and translation of other assets and
liabilities denominated in foreign currency ................. 596
----------
Net realized loss and unrealized appreciation .................... (442,800)
----------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS ............. (453,754)
==========
The accompanying notes are an integral part of the financial statements.
26
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
--------------------------------------------------------------------------------
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD
SEPTEMBER 30, 2015
SIX-MONTH (COMMENCEMENT
PERIOD ENDED OF OPERATIONS)
APRIL 30, 2016 THROUGH
(UNAUDITED) OCTOBER 31, 2015
$ $
--------------- ------------------
OPERATIONS:
Net investment loss ............................................ (10,954) (11,831)
Net realized (loss)/gain on futures contracts,
swap contracts and foreign currency transactions ......... (1,062,126) 513,971
Net change in unrealized appreciation/(depreciation) on
futures contracts, foreign currency and translation
of other assets and liabilities denominated in
foreign currency .......................................... 619,326 (766,454)
----------- ----------
Net decrease in net assets resulting from operations ......... (453,754) (264,314)
----------- ----------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net investment income ........................................ (773,572) --
----------- ----------
TOTAL DIVIDENDS AND DISTRIBUTIONS ............................ (773,572) --
----------- ----------
CAPITAL SHARE TRANSACTIONS(1):
CLASS I SHARES
Issued ....................................................... 2,130,000 9,900,000
Reinvestment of dividends .................................... 663,127 --
----------- ----------
Net increase in net assets from capital share
transactions ............................................... 2,793,127 9,900,000
----------- ----------
Total increase in net assets ................................. 1,565,801 9,635,686
----------- ----------
NET ASSETS:
Beginning of period .......................................... 9,735,686 100,000
----------- ----------
End of period ................................................ 11,301,487 9,735,686
=========== ==========
(Distributions in excess of)/undistributed net
investment income .......................................... (13,079) 771,447
=========== ==========
(1) SEE NOTE 10 -- SHARE TRANSACTIONS IN CONSOLIDATED NOTES TO THE FINANCIAL
STATEMENTS.
The accompanying notes are an integral part of the financial statements.
27
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--------------------------------------------------------------------------------
CONSOLIDATED FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA & RATIOS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS
FOR THE PERIOD
SEPTEMBER 30, 2015
SIX-MONTH (COMMENCEMENT
PERIOD ENDED OF OPERATIONS)
APRIL 30, 2016 THROUGH
(UNAUDITED) OCTOBER 31, 2015
CLASS I SHARES $ $
-------------- -------------------
Net asset value, beginning of period .......................... 19.47 20.00
------ -------
LOSS FROM OPERATIONS:
Net investment loss(1) ........................................ (0.02) (0.02)
Net realized and unrealized loss on investments ............... (0.62) (0.51)
------ -------
Total loss from operations .................................... (0.64) (0.53)
------ -------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net investment income ....................................... (1.47) --
------ -------
Total dividends and distributions ............................. (1.47) --
------ -------
Net asset value, end of period ................................ 17.36 19.47
====== =======
TOTAL RETURN+ ................................................. (3.63)% (2.65)%
====== =======
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period ($ Thousands) ....................... 11,301 9,736
Ratio of expenses to average net assets (including
dividend expense, interest expense, waivers and
reimbursements)(2)(3) ....................................... 3.22% 2.72%
Ratio of expenses to average net assets (including
dividend expense, interest expense, excluding waivers
and reimbursements) (3) ..................................... 7.09% 15.98%
Ratio of net investment loss to average net assets (3) ........ (0.21)% (1.43)%
Portfolio turnover rate (4) ................................... 0.00% 0.00%
(1) PER SHARE CALCULATIONS WERE PERFORMED USING AVERAGE SHARES FOR THE PERIOD.
(2) EXCLUDING DIVIDEND AND INTEREST EXPENSE, THE RATIO OF EXPENSES TO NET
ASSETS WOULD HAVE BEEN 1.61%.
(3) ANNUALIZED
(4) PORTFOLIO TURNOVER IS FOR THE PERIOD INDICATED AND HAS NOT BEEN
ANNUALIZED. THE FUND HOLDS EQUITY SWAP CONTRACTS WHICH RESET EACH MONTH
AND/OR HAVE BEEN SOLD DURING THE PERIOD. THESE HOLDINGS ARE SPECIFICALLY
EXCLUDED FROM THE PORTFOLIO TURNOVER RATE CALCULATION.
+ TOTAL RETURN IS FOR THE PERIOD INDICATED AND HAS NOT BEEN ANNUALIZED.
RETURN SHOWN DOES NOT REFLECT THE DEDUCTIONS OF TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. TOTAL
RETURN MAY HAVE BEEN LOWER HAD THE ADVISER NOT WAIVED ITS FEE AND/OR
REIMBURSED OTHER EXPENSES.
The accompanying notes are an integral part of the financial statements.
28
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
1. ORGANIZATION
Winton Diversified Opportunities Fund (the "Fund") is a Delaware statutory
trust registered as an investment company under the Investment Company Act of
1940, as amended (the "1940 Act"). The Fund commenced operations on September
30, 2015. The Fund is a closed-end diversified investment management company
that operates as an interval fund. The Fund currently offers a single class of
shares of beneficial interest designated as Class I shares to investors
eligible to invest in the Fund.
Winton Capital US LLC, a limited liability company organized under the laws of
the State of Delaware and registered with the U.S. Securities and Exchange
Commission ("SEC") as an investment adviser, serves as the Fund's investment
adviser (the "Adviser"). The Adviser is a wholly-owned subsidiary of Winton
Capital Group Limited, an English limited company. The Adviser provides
investment advisory services to the Fund and its Subsidiary (as defined below),
and is responsible for their investment activities.
The Fund's investment objective is to seek to achieve long-term capital
appreciation through compound growth. The investment strategy of the Fund is to
invest globally, long and short, using leverage, in a diversified range of
instruments which the Adviser believes are liquid (including exchange traded
futures, options and forwards, currency forwards traded over the counter,
equity securities (including common stocks of companies of any market
capitalization, depositary receipts and exchange traded funds), derivatives
linked to such securities (including swaps and equity index futures) and other
related instruments) by following a systematic investment process that is based
on statistical research. The Fund either invests directly in those instruments,
or indirectly by investing via a swap or via its wholly-owned subsidiary,
Winton Diversified Opportunities Fund Ltd., organized under the laws of the
Cayman Islands (the "Subsidiary"), which may then invest in such assets
directly or indirectly. The Fund may also invest a significant portion of its
assets in other instruments for cash management purposes. These other
instruments are expected to be predominantly comprised of U.S. Treasury
obligations but may include debt instruments of any government, corporation or
other entity and may include other instruments such as money market funds.
The Fund seeks to achieve its investment objective in accordance with its
investment strategy by following a systematic investment process which has been
developed and is implemented by the Adviser. The investment process is based on
statistical
29
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
1. ORGANIZATION (CONTINUED)
analysis of historical data. This research is used to develop investment
strategies that are operated as an automated, computer-based system. This
investment system is implemented, with certain variations resulting from
particular investment constraints, to create different investment programs,
including the program used by the Fund (the "Program").
A new Prospectus and related Statement of Additional Information were issued on
March 1, 2016.
2. SIGNIFICANT ACCOUNTING POLICIES
The following are significant accounting policies, which are consistently
followed in the preparation of the consolidated financial statements of the
Fund:
A) STATEMENT OF COMPLIANCE -- These financial statements have been prepared
in accordance with generally accepted accounting principles in the United
States of America ("U.S. GAAP"). The Fund is an investment company that
applies the accounting and reporting guidance issued in the Accounting
Standards Codification ("ASC") Topic 946 by the U.S. Financial Accounting
Standards Board ("FASB").
B) USE OF ESTIMATES -- The preparation of financial statements in conformity
with U.S. GAAP requires management to make estimates and assumptions that
affect the fair value of assets, the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date
of the financial statements and the reported amount of increases and
decreases in net assets from operations during the reporting period. Actual
results could differ from those estimates and such differences could be
material.
C) FAIR VALUE MEASUREMENT -- The Fund's securities are recorded at fair
value. The FASB Accounting Standards Codification ("ASC") Topic 820 Fair
Value Measurement defines fair value, establishes a framework for measuring
fair value using a three-tier hierarchy of inputs to value the Fund's
investments.
Fair value is defined as the price that would be received to sell an asset
or paid to transfer a liability (i.e., the "exit price") in an orderly
transaction between market participants at the measurement date.
D) COMMODITY-LINKED INVESTMENTS -- The Fund may seek to gain exposure to the
commodity markets, in whole or in part, through investments in a wholly
owned Subsidiary. The Subsidiary, unlike the Fund, may invest to a
significant
30
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
D) COMMODITY-LINKED INVESTMENTS -- (CONTINUED)
extent in commodities, commodity contracts, commodity-linked derivative
instruments, including swap agreements, other commodity investments and
derivative instruments. The Subsidiary may also invest in other instruments
in which the Fund is permitted to invest, either as investments or to serve
as margin or collateral for its derivative positions. The Fund may invest
up to 25% of its total assets in the Subsidiary.
In order for a Fund to qualify as a regulated investment company under
Subchapter M of the Internal Revenue Code of 1986 ("Subchapter M of the
Code"), the Fund must derive at least 90% of its gross income each taxable
year from qualifying income. The status of certain commodity-linked
derivative instruments as qualifying income has been addressed in Revenue
Ruling 2006-1 and Revenue Ruling 2006-31 which provide that income from
certain commodity-linked derivative instruments in which the Fund invests
will not be considered qualifying income. To the extent the Fund invests in
such instruments directly, the Fund will seek to restrict its income from
commodity-linked derivative instruments that do not generate qualifying
income, such as commodity- linked futures, to a maximum of 10% of its gross
income (when combined with its other investments that produce
non-qualifying income).
E) SECURITIES SOLD SHORT -- The Fund may engage in short sales that are
either "uncovered" or "against the box." A short sale is "against the box"
if at all times during which the short position is open, the Fund owns at
least an equal amount of the securities or securities convertible into, or
exchangeable without further consideration for, securities of the same
issue as the securities that are sold short. A short sale against the box
is a taxable transaction to the Fund with respect to the securities that
are sold short. Uncovered short sales are transactions under which the Fund
sells a security it does not own. To complete such a transaction, the Fund
must borrow the security to make delivery to the buyer. The Fund then is
obligated to replace the security borrowed by purchasing the security at
the market price at the time of the replacement. The price at such time may
be more or less than the price at which the security was sold by the Fund.
Until the security is replaced, the Fund is required to pay the lender
amounts equal to any dividends or interest that accrue during the period of
the loan. To borrow the security, the Fund also may be required to pay a
premium, which would increase the cost of the security sold. The proceeds
of the short sale will be retained by the broker, to the extent necessary
to meet margin
31
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
E) SECURITIES SOLD SHORT (CONTINUED) --
requirements, until the short position is closed out. These proceeds are
listed on the Consolidated Statement of Assets and Liabilities as Due from
broker. The Fund will not sell a security short if, as a result of such
short sale, the aggregate market value of all securities sold short exceeds
10% of the Fund's total assets. This limitation does not apply to short
sales against the box.
Until the Fund closes its short position or replaces the borrowed security,
the Fund may: (a) segregate cash or liquid securities at such a level that
the amount segregated plus the amount deposited with the broker as
collateral will equal the current value of the security sold short; or (b)
otherwise cover the Fund's short position.
F) FUTURES CONTRACTS -- The Fund and Subsidiary may enter into futures
contracts or related options on futures contracts. A futures contract is an
agreement between two parties whereby one party agrees to sell and the
other party agrees to buy a specified amount of a financial instrument at
an agreed upon price and time. Futures contracts are traded on commodity
exchanges or boards of trade (known as "contract markets") approved for
such trading and regulated by the Commodity Futures Trading Commission.
These contract markets standardize the terms, including the maturity date
and underlying financial instrument, of all futures contracts.
G) SWAP AGREEMENTS -- The Fund may invest in swap agreements as an efficient
means to synthetically obtain exposure to securities or baskets of
securities and to manage the Fund's interest rate duration and yield curve
exposure. Swap contracts may also be used to mitigate the Fund's overall
level of risk and/or the Fund's risk to particular types of securities,
currencies or market segments.
EQUITY SWAPS
In a typical equity swap, one party agrees to pay another party the return
on a stock, stock index or basket of stocks in return for a specified
interest rate. By entering into an equity index swap, for example, the
index receiver can gain exposure to stocks making up the index of
securities without actually purchasing those stocks. Equity index swaps
involve not only the risk associated with investment in the securities
represented in the index, but also the risk that the performance of such
securities, including dividends, will not exceed the return on the interest
rate that the Fund will be committed to pay.
32
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
G) SWAP AGREEMENTS (CONTINUED) --
Swaps are marked-to-market daily and are valued at the unrealized
appreciation or depreciation on the instrument based upon quotations from
counterparties, pricing services, brokers or market makers and the
resulting changes in market values, if any, are recorded as an unrealized
gain or loss in the Consolidated Statement of Operations. Net payments of
interest are recorded as realized gains or losses. The equity swaps reset
monthly, as such there was $0 unrealized appreciation/ (depreciation) as of
April 30, 2016.
All swaps held by the Fund during the six-month period ended April 30, 2016
had equity risk exposure.
H) INVESTMENT IN SUBSIDIARY -- The Fund invests in its own Subsidiary. By
investing in the Subsidiary, the Fund is indirectly exposed to the risks
associated with the Subsidiary's investments. With respect to its
investments, the Subsidiary will generally be subject to the same
fundamental, non-fundamental and certain other investment restrictions as
the Fund; however, the Subsidiary (unlike the Fund) may invest in
commodity-linked swap agreements and other commodity-linked derivative
instruments. The Subsidiary, however, is not registered under the 1940 Act
and will not be subject to all of the investor protections of the 1940 Act.
Thus the Fund, as an investor in its own Subsidiary, will not have all of
the protections offered to investors in registered investment companies.
The Subsidiary commenced operations on September 30, 2015.
I) ORGANIZATION AND OFFERING COSTS -- The Adviser or an affiliate of the
Adviser, agreed to pay the organization and initial offering costs on
behalf of the Fund including the Subsidiary. The organization and initial
offering costs include the preparation and filing of incorporation
documents, bylaws, declarations of trust, registration statements, board
materials, state and federal registration of shares and audit fees. As a
result, the Fund's financial statements do not reflect these organization
and offering costs. The Fund and Subsidiary incurred no organization and
offering costs incurred for the six-month period ended April 30, 2016. Any
additional organization and initial offering costs incurred by the Fund and
Subsidiary will be paid by the Adviser or an affiliate of the Adviser.
J) FEDERAL INCOME TAXES -- It is the Fund's intention to continue to qualify
as a regulated investment company for Federal income tax purposes by
complying with the appropriate provisions of Subchapter M of the Code.
Accordingly, no provision for Federal income taxes has been made in the
financial statements.
33
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
J) FEDERAL INCOME TAXES (CONTINUED) --
The Fund evaluates tax positions taken or expected to be taken in the
course of preparing the Fund's tax returns to determine whether it is
"more-likely-than-not" (i.e., greater than 50 percent) that each tax
position will be sustained upon examination by a taxing authority based on
the technical merits of the position. Tax positions deemed to meet the
more-likely-than-not threshold are recorded as a tax benefit in the current
year. The Fund did not record any tax provision in the current period.
However, management's conclusions regarding tax positions taken may be
subject to review and adjustment at a later date based on factors
including, but not limited to, examination by tax authorities (i.e., all
open tax year ends, since inception), on-going analysis of and changes to
tax laws, regulations and interpretations thereof.
As of and during the six-month period ended April 30, 2016, the Fund did
not have a liability for any unrecognized taxable benefits. The Fund
recognizes interest and penalties, if any, related to unrecognized taxable
benefits as income tax expense in the Consolidated Statement of Operations.
During the period, the Fund did not incur any interest or penalties.
K) SECURITY TRANSACTIONS, DIVIDEND AND INVESTMENT INCOME -- Security
transactions are accounted for on trade date basis for financial reporting
purposes. Costs used in determining realized gains and losses on the sale
of investment securities are based on the specific identification method.
Dividend income is recognized on the ex-dividend date. Certain dividends
from foreign securities will be recorded as soon as the Fund is informed of
the dividend, net of withholding taxes, if such information is obtained
subsequent to the ex-dividend date. Interest income is recognized on an
accrual basis and includes the amortization of premiums and the accretion
of discount. Amortization and accretion are calculated using the effective
interest method over the holding period of the investment. Realized gains
and losses are calculated on the identified cost basis.
I) FOREIGN CURRENCY TRANSLATION -- The books and records of the Fund are
maintained in U.S. Dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S.
Dollars on the date of valuation. The Fund does not isolate that portion of
realized or unrealized gains and losses resulting from changes in the
foreign exchange rate from fluctuations arising from changes in the market
prices of the securities. These gains and losses are included in net
realized and unrealized gains and losses on investments on the Consolidated
Statement of Operations.
34
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
I) FOREIGN CURRENCY TRANSLATION (CONTINUED) --
Net realized and unrealized gains and losses on foreign currency
transactions represent net foreign exchange gains or losses from foreign
currency exchange contracts, disposition of foreign currencies, currency
gains or losses realized between trade and settlement dates on securities
transactions and the difference between the amount of the investment income
and foreign withholding taxes recorded on the Fund's books and the U.S.
Dollar equivalent of the amounts actually received or paid.
M) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Fund distributes its
net investment income annually and distributions from net realized capital
gains, if any, are declared and paid annually. All distributions are
recorded on ex-dividend date.
N) RECENT ACCOUNTING PRONOUNCEMENT -- In August 2014, the FASB issued
Accounting Standards Update ("ASU") 2014-15 -- Presentation of Financial
Statements -- Going Concern (Subtopic 205-40) ("ASU 2014-15"). The
pronouncement outlines management's responsibility regarding assessment of
the Fund's ability to continue as a going concern, even if the Fund's
liquidation is not imminent. Under this guidance, during each period in
which financial statements are prepared, management will need to evaluate
whether there are conditions or events that, in the aggregate, raise
substantial doubt about the entity's ability to continue as a going concern
within one year after the date the financial statements are available for
issuance. ASU 2014-15 is effective for annual periods ending after December
15, 2016, however early adoption is permitted. It is expected that this
pronouncement will have no significant impact on the financial statements.
3. INVESTMENTS
Securities listed on a securities exchange, market or automated quotation
system for which quotations are readily available (except for securities traded
on NASDAQ), including securities traded over-the-counter ("OTC"), are valued at
the last quoted sale price on an exchange or market (foreign or domestic) on
which they are traded on the valuation date (or at approximately 4:00 p.m.,
Eastern Time, if a security's primary exchange is normally open at that time),
or, if there is no such reported sale on the valuation date, at the most recent
quoted bid price. For securities traded on NASDAQ, the NASDAQ official closing
price will be used.
35
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
3. INVESTMENTS (CONTINUED)
If available, money market securities and other debt securities are priced
based upon valuations provided by recognized independent, third-party pricing
agents. Such values generally reflect the last reported sales price if the
security is actively traded. The third-party pricing agents may also value debt
securities by employing methodologies that utilize actual market transactions,
broker-supplied valuations, or other methodologies designed to identify the
market value for such securities. Such methodologies generally consider such
factors as security prices, yields, maturities, call features, ratings and
developments relating to specific securities in arriving at valuations. Money
market securities with remaining maturities of sixty days or less may be valued
at their amortized cost, which approximates market value.
If such prices are not available or determined to not represent the fair value
of the security as of the Fund's pricing time, the security will be valued at
fair value as determined in good faith using methods approved by the Board of
Trustees (the "Board").
Exchange traded options on securities and indices purchased by the Fund or
Subsidiary generally are valued at their last trade price or, if there is no
last trade price, the last bid price. Exchange-traded options on securities and
indices written by the Fund or Subsidiary are generally valued at their last
trade price or, if there is no last trade price, the last asked price. In the
case of options traded in the OTC market, if the OTC option is also an
exchange-traded option, the Fund or Subsidiary will follow the rules regarding
the valuation of exchange traded options. If the OTC option is not also an
exchange traded option, the Fund or Subsidiary will value the option at fair
value in accordance with procedures adopted by the Board. Futures contracts and
options on futures contracts are valued at the last trade price prior to the end
of the Fund's or Subsidiary's pricing cycle. Swap contracts held by the Fund or
Subsidiary are valued primarily using valuations from independent pricing
services. If the valuations cannot be so sourced, then valuations can be based
on broker quotations, or if no broker quotations are available, from the swap
counterparty or by reference to daily quoted values for the indices or
securities upon which the swap contract is valued. In the absence of the above,
an appropriate method of valuation will be determined subject to the fair
valuation procedures established by the Adviser.
Illiquid securities, securities for which reliable quotations or pricing
services are not readily available, and all other assets will be valued either
at the average of
36
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
3. INVESTMENTS (CONTINUED)
the last bid price of the securities obtained from two or
more dealers or otherwise at their respective fair value as determined in good
faith by, or under procedures established by the Board. The Board has adopted
fair valuation procedures for the Fund and has delegated responsibility for
fair value determinations to the Fair Valuation Committee. The members of the
Fair Valuation Committee report, as necessary, to the Board regarding portfolio
valuation determination. The Board, from time to time, will review these
methods of valuation and will recommend changes which may be necessary to
assure that the investments of the Fund are valued at fair value.
The Subsidiary's assets and liabilities will also be valued in accordance with
the methods listed above. The Fund's investment in the Subsidiary is valued at
the net asset value of the Subsidiary and the results of the Subsidiary are
consolidated into the Fund for financial reporting purposes.
In accordance with the authoritative guidance on fair value measurements and
disclosure under U.S. GAAP, the Fund categorizes its investments, based on the
priority of the valuation technique, into a three-level fair value hierarchy.
The valuation hierarchy is based upon the observability of the inputs to the
valuation of the financial asset or liability as of the measurement date. A
financial instrument's categorization within the valuation hierarchy is based
on the lowest level of input that is significant to the fair value measurement.
The three levels of the fair value hierarchy are as follows:
Level 1 -- unadjusted quoted prices in active markets for identical
investments that the Fund has the ability to access.
Level 2 -- observable inputs other than quoted prices included in Level 1
that are not observable for the asset or the investment either directly
(i.e. as prices) or indirectly (i.e. derived from prices). These inputs may
include quoted prices for an identical investment on an inactive market,
prices for similar investments, interest rates, prepayment speeds, credit
risk, yield curves, default rates, and similar data.
Level 3 -- significant unobservable inputs for the investment to the extent
that relevant observable inputs are not available, representing the Fund's
own assumptions about the assumptions that a market participant would use
in valuing the investment, and that would be based on the best information
available.
37
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
3. INVESTMENTS (CONTINUED)
The Fund's assessment of the significance of a particular input to the fair
value measurement in its entirety requires judgment and consideration of
factors specific to the asset or liability.
Investments classified within Level 3 whose fair value measurement considers
several inputs may include Level 1 or Level 2 inputs as components of the
overall fair value measurement. There were no Level 3 assets and liabilities as
of and for the six-month period ended April 30, 2016.
For the six-month period ended April 30, 2016, there were no transfers between
levels. It is the Fund's policy to recognize transfers into and out of levels
at the end of the reporting period.
For details of the investment classification, refer to the Consolidated
Schedule of Investments.
TRANSACTIONS
During the six-month period ended April 30, 2016, the Fund purchased 3,927,758
swap contracts and closed 3,991,917 swap contracts for a realized loss of
$726,014 with 435,164 swap contracts outstanding. This turnover is inclusive of
monthly swap resets, expirations and transactions with the counterparty. The
open swap contracts are collateralized by cash, which is included in Cash
collateral on derivative contracts on the Consolidated Statement of Assets and
Liabilities.
During the six-month period ended April 30, 2016, the Fund purchased 1,497
futures contracts and closed 1,591 futures contracts for a realized loss of
$349,035 with 548 futures contracts outstanding. All future contracts held by
the Fund are exchange-traded and therefore no right of offset exists. The
future contracts were collateralized by cash, which is included in Cash
collateral on derivative contracts on the Consolidated Statement of Assets and
Liabilities.
4. BASIS FOR CONSOLIDATION FOR THE SUBSIDIARY
The Consolidated Statement of Assets and Liabilities, Consolidated Schedule of
Investments, Consolidated Statement of Operations, Consolidated Statement of
Changes in Net Assets, and the Consolidated Financial Highlights of the Fund
include the accounts of its Subsidiary. All intercompany balances and
transactions have been eliminated on consolidation of the Subsidiary.
38
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
4. BASIS FOR CONSOLIDATION FOR THE SUBSIDIARY (CONTINUED)
The Subsidiary has a fiscal year end of October 31 for financial statement
consolidation purposes and a non conforming tax year end of September 30. The
net assets of the Subsidiary at April 30, 2016, were $1,066,165, which
represented 9.43% of the net assets of the Fund.
Income, gains and losses attributed to the Fund's investments in the
Subsidiary, during the six-month period ended April 30, 2016, are as follows:
$
-------
INVESTMENT INCOME:
Interest income ................................. --
NET REALIZED GAIN/(LOSS) ON:
Futures contracts ............................... 149,970
Swap contracts .................................. (490)
Foreign currency transactions ................... (18)
NET CHANGE IN UNREALIZED DEPRECIATION ON:
Futures contracts ............................... (8,892)
---------
TOTAL INCOME, GAINS AND LOSSES ATTRIBUTED TO
THE FUND'S INVESTMENTS IN THE SUBSIDIARY ........ 140,570
=========
5. TRANSACTIONS WITH AFFILIATES
An affiliate of the Adviser holds 82% of the Class I shares as of April 30,
2016.
Certain officers of the Fund are also officers of SEI Investments Global Funds
Services (the "Administrator"), a wholly owned subsidiary of SEI Investments
Company, and/or SEI Investments Distribution Co. (the "Distributor"). Such
officers are paid no fees by the Fund, other than the Chief Compliance Officer
("CCO") as described below, for serving as officers of the Fund.
A portion of the services provided by the CCO and his staff, who are employees
of the Administrator, are paid for by the Fund as incurred. The services
include regulatory oversight of the Fund's advisors and service providers, as
required by SEC regulations.
The CCO's services and fees have been approved by and are reviewed by the
Board. The Fund pays these fees to the Administrator.
39
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
6. ADMINISTRATION, CUSTODIAN, TRANSFER AGENT AND DISTRIBUTION AGREEMENTS
The Fund and the Administrator are parties to an Administration Agreement under
which the Administrator provides administrative services to the Fund. For these
services, the Administrator is paid an asset based fee, which will vary
depending on the number of share classes and the average daily net assets of
the Fund, subject to certain minimums. For the six-month period ended April 30,
2016, the Fund paid $82,124 for these services, of which $13,524 was
outstanding at April 30, 2016.
The Bank of New York Mellon (the "Custodian") serves as the Fund's Custodian
pursuant to a custody agreement.
Atlantic Shareholder Services, LLC (the "Transfer Agent") serves as the Fund's
transfer agent and dividend disbursing agent pursuant to a transfer agency
agreement.
The Distributor is the principal distributor of shares of the Fund. The
Distributor may enter into selected dealer agreements with other selling agents
or sub-distributors for the sale and distribution of Fund shares.
7. INVESTMENT ADVISORY AGREEMENT
Pursuant to the Advisory Agreement, the Fund pays the Adviser a monthly fee at
the annual rate of 1.25% of average net assets. The management fee is applied
to the Fund's net asset value ("NAV") (before the deduction of any Incentive
Fee and the repurchase of any shares pursuant to a periodic repurchase offer).
The Management Fee is accrued at least weekly and paid monthly, in arrears.
The Fund pays the Adviser a performance based incentive fee ("Incentive Fee"),
quarterly in arrears, generally accrued as of the end of each business day,
equal to 20.00% of the Investment Profits (as defined below) attributable to
each share for such calendar quarter; provided, however, that an Incentive Fee
with respect to a share will be paid only with respect to Investment Profits
for the applicable calendar quarter in excess of Un-recouped Investment Losses
(as defined below) as of the end of the previous calendar quarter.
The term "Investment Profits" refers to an increase in the NAV of a share
attributable to the net realized and unrealized gains arising from the Fund's
investment activities during the calendar quarter (after deducting (i) interest
earned on, and net realized and unrealized gains arising from, the Fund's cash
balances and fixed
40
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
7. INVESTMENT ADVISORY AGREEMENT (CONTINUED)
income investments held for cash management purposes during the calendar
quarter; and (ii) any management fee accrued during the calendar quarter and
after adjusting for any repurchase of shares made during the calendar quarter).
The term "Un-recouped Investment Losses" refers to any decrease in the NAV of a
share attributable to the net realized and unrealized losses arising from the
Fund's investment activities (after deducting (i) interest earned on, and net
realized and unrealized gains arising from the Fund's cash balances and fixed
income investments held for cash management purposes during the calendar
quarter; and (ii) any management fee accrued during the calendar quarter and
after adjusting for any repurchase of shares made during the calendar quarter)
that have not been offset by subsequent Investment Profits since the formation
of the Fund.
The Adviser has contractually agreed to reduce fees and reimburse expenses to
the extent necessary to keep total annual fund operating expenses after fee
reductions and/or expense reimbursements (excluding interest, taxes, brokerage
commissions, dividend and interest expenses on securities sold short, acquired
fund fees and expenses, Incentive Fees and non-routine expenses) from exceeding
1.61% of the Fund's average daily net assets until February 28, 2017 (the
"Expense Limitation"). This agreement may be terminated: (i) by the Board of
the Fund for any reason at any time, or (ii) by the Adviser, upon ninety (90)
days' prior written notice to the Fund, effective as of the close of business
on February 28, 2017. As of April 30, 2016, fees which were previously waived
and/or reimbursed by the Adviser were $311,254.
The Subsidiary has entered into a separate investment advisory agreement with
the Adviser for the management of the Subsidiary's portfolio. The Subsidiary
does not pay a separate management fee to the Adviser for these services.
41
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
8. FEDERAL TAX INFORMATION
The amount and character of income and capital gain distributions to be paid,
if any, are determined in accordance with Federal income tax regulations, which
may differ from U.S. GAAP. As a result, net investment income/(loss) and net
realized gain/(loss) on investment transactions for a reporting period may
differ significantly from distributions during such period. These book/tax
differences may be temporary or permanent. To the extent these differences are
permanent in nature, they are charged or credited to undistributed net
investment income/(loss), accumulated net realized gain/(loss) or paid-in
capital, as appropriate, in the period that the differences arise.
As of October 31, 2015, the components of Accumulated Losses on a tax basis
were as follows:
$
---------
Undistributed Ordinary Income .................. 773,523
Capital Loss Carryforwards Short-Term .......... (371,594)
Capital Loss Carryforwards Long-Term ........... (606,439)
Unrealized Depreciation ........................ (822,329)
Other Temporary Differences .................... 762,525
---------
Total Accumulated Losses ....................... (264,314)
=========
For Federal Income Tax purposes, the Fund may carry forward a net short term
capital loss and a net long term capital loss to offset future capital gains,
which are not subject to expiration.
Other temporary differences are primarily mark to market gain from open
futures, unrealized gain/losses and capitalized dividend expense associated
with short sale transactions.
42
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
9. DERIVATIVE TRANSACTIONS
The fair value of derivative instruments as of April 30, 2016 was as follows:
--------------------------------------------------------------------------------
Asset Derivatives Liability Derivatives
--------------------------------------------------------------------------------
($) ($)
--------------------------------------------------------------------------------
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS:*
Commodity contracts
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 53,180 contracts 82,676
Equity contracts
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 1,552 contracts 146,906
Foreign Exchange contracts
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 70,078 contracts 44,586
Interest rate contracts
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 68,359 contracts 66,221
------- -------
Total derivatives not accounted
for as hedging instruments 193,169 340,389
======= =======
* Includes cumulative appreciation/depreciation of futures contracts as
reported in the Consolidated Schedule of Investments. Only current day's
variation margin, as of April 30, 2016 is reported within the Consolidated
Statement of Assets and Liabilities.
The tables below show the effect of derivative instruments on the Consolidated
Statement of Operations for the six-month period ended April 30, 2016.
Amount of realized gain/(loss) on derivatives recognized in income:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS
FUTURES SWAPS TOTAL
$ $ $
--------- --------- ----------
Commodity contracts ....... 149,970 -- 149,970
Equity contracts .......... (750,340) (726,014) (1,476,354)
Foreign exchange
contracts ............... (27,348) -- (27,348)
Interest rate contracts ... 278,683 -- 278,683
--------- --------- ----------
Total .................. (349,035) (726,014) (1,075,049)
========= ========= ==========
43
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
9. DERIVATIVE TRANSACTIONS (CONTINUED)
Change in unrealized appreciation/(depreciation) on derivatives recognized in
income:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS
FUTURES SWAPS TOTAL
$ $ $
--------- --------- ----------
Commodity contracts ....... (8,892) -- (8,892)
Equity contracts .......... 600,499 -- 600,499
Foreign exchange
contracts ............... 12,610 -- 12,610
Interest rate contracts ... 14,513 -- 14,513
--------- --------- ----------
Total .................. 618,730 -- 618,730
========= ========= ==========
10. SHARE TRANSACTIONS
Class I shares of beneficial interest in the Fund were offered during an initial
offering period ending on September 30, 2015. During the initial offering
period, Class I shares were offered at the offering price, which was $20.00 per
share. Thereafter, the shares are offered on a continuous monthly basis
(generally as of 4:00 p.m. Eastern Time on the last business day of each month
(the "Closing Time"), at the NAV per share at that time. At each Closing Time,
purchase orders received in proper form will be accepted by the Fund and
deposited monies will be invested in the Fund as of the first business day of
the next month following the acceptance of an investor's purchase order. For
each investor, the Fund requires a minimum initial investment of $10,000 and
minimum subsequent investments of $5,000. The Fund may waive these minimum
investment requirements for one or more investors in its sole discretion.
Because the Fund will pay the Adviser an incentive fee based on the Fund's
performance, each investor must also be a "qualified client" as that term is
defined in Rule 205-3 under the Investment Advisers Act of 1940. Class I shares
are not listed on any securities exchange. There is no guarantee that a
secondary market for Fund shares will develop. In addition, shares are subject
to transfer restrictions, including a requirement that shares may be transferred
only to persons who meet the Fund's eligibility requirements set forth in the
prospectus. Shareholders will not have the right to redeem their shares.
However, as described below, in order to provide some liquidity to shareholders,
the Fund will conduct periodic repurchase offers for a portion of its
outstanding shares.
44
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
10. SHARE TRANSACTIONS (CONTINUED)
As an interval fund, the Fund will make periodic offers to repurchase a portion
of its outstanding shares at NAV per share. The Fund has adopted a fundamental
policy, which cannot be changed without shareholder approval, to make
repurchase offers once every three months. The pricing date for the Fund's
first repurchase offer was March 31, 2016.
For each repurchase offer, the Fund will offer to repurchase at least 5% of its
total outstanding shares, unless the Fund's Board has approved a higher amount
(but not more than 25% of total outstanding shares) for a particular repurchase
offer. The Adviser currently expects under normal market circumstances to
recommend that, at each repurchase offer, the Fund will offer to repurchase at
least 15% of its total outstanding shares, subject to approval of the Board. It
is possible that a repurchase offer may be oversubscribed, with the result that
shareholders may only be able to have a portion of the shares they request for
repurchase actually repurchased. There is no guarantee that the Fund will offer
to repurchase more than 5% of its total outstanding shares (including all
classes of shares) in any repurchase offer, and there is no guarantee that
shareholders will be able to sell shares in an amount or at the time that they
desire.
The share transactions for the Fund are shown below:
FOR THE PERIOD
SEPTEMBER 30, 2015
SIX-MONTH (COMMENCEMENT
PERIOD ENDED OF OPERATIONS)
APRIL 30, 2016 THROUGH
(UNAUDITED) OCTOBER 31, 2015
$ $
-------------- -------------------
Shares transactions:
CLASS I SHARES
Issued .................................. 114,391 495,000
Reinvestment of dividends ............... 36,436 --
------- -------
INCREASE IN CLASS I SHARES .............. 150,827 495,000
------- -------
Net increase in shares outstanding ...... 150,827 495,000
======= =======
45
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
11. RISKS ASSOCIATED WITH FINANCIAL INSTRUMENTS
As with all investment companies, shareholders are subject to the risk that
investments could lose money. A Fund share is not a bank deposit and it is not
insured nor guaranteed by the Federal Deposit Insurance Corporation or any
government agency. The risk factors affecting investments in the Fund and
Subsidiary are set out in the Prospectus and Statement of Additional
Information. The nature and the extent of the investments held at April 30,
2016 are set out in the Schedule of Investments.
The Board is responsible for overseeing the Fund's service providers and, thus,
has oversight responsibility with respect to risk management performed by those
service providers. Each service provider is responsible for one or more
discrete aspects of the Fund's business and, consequently, for managing the
risks associated with that business.
The Fund is subject to the principal risks noted below, any of which may
adversely affect the Fund's net asset value and ability to meet its investment
objective.
A) MARKET RISK -- Market risk is the risk that changes in interest rates,
foreign exchange rates or equity security prices will affect the positions
held by the Fund making them less valuable. The Fund is exposed to market
risk on financial instruments that are valued at market prices. The Fund's
market risk is monitored on a regular basis by the Adviser in accordance
with its policies and procedures.
(I) CURRENCY RISK --As a result of the Fund's and Subsidiary's
investments in securities and derivatives denominated in, and/or
receiving revenues in, non-U.S. currencies, the Fund and Subsidiary
will be subject to currency risk. Currency risk is the risk that
non-U.S. currencies will decline in value relative to the U.S. dollar,
which would adversely affect the U.S. dollar value of an investment in
the Fund and Subsidiary. Currency exchange rates may fluctuate in
response to, among other things, changes in interest rates,
intervention (or failure to intervene) by U.S. or non-U.S.
governments, central banks or supranational entities, or by the
imposition of currency controls or other political developments in the
United States of abroad.
(II) INTEREST RATE RISK -- Interest rate risk is the risk that the fair
value or future cash flows of a financial instrument will fluctuate
because of changes in market interest rates. The Fund will invest in
U.S. treasuries that will be interest bearing. The Fund and
Subsidiary's cash and cash equivalents also will expose them to
interest rate risk.
46
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
11. RISKS ASSOCIATED WITH FINANCIAL INSTRUMENTS (CONTINUED)
(III) DERIVATIVES RISK -- The Fund's and Subsidiary's use of futures
contracts, forward contracts, options and swaps will be subject to
market risk and correlation risk. Correlation risk is the risk that
changes in the value of the derivative may not correlate perfectly
with the underlying asset, rate or index. The Fund's and Subsidiary's
use of forward contracts and swap agreements is also subject to credit
risk and valuation risk. Valuation risk is the risk that the
derivative may be difficult to value and/or may be valued incorrectly.
Credit risk is the risk that the issuer of a security or the
counterparty to a contract will default or otherwise become unable to
honor a financial obligation. Each of these risks could cause the Fund
and/or Subsidiary to lose more than the principal amount invested in a
derivative instrument. The U.S. Government is in the process of
adopting and implementing regulations governing derivatives markets
and the ultimate impact of the regulations remains unclear. In
addition, the SEC is considering implementing regulations that would
govern the use of derivatives by registered investment companies, such
as the Fund or Subsidiary, and such new regulations may require the
Fund and/or Subsidiary to alter its structure or operations.
(IV) OTHER PRICE RISK -- Other price risk is the risk that the fair value
of the securities will fluctuate as a result of changes in market
prices (other than those arising from interest rate, derivatives or
currency risk), whether caused by factors specific to an individual
instrument, its issuer or all the factors affecting all financial
instruments in the market.
All investments are valued at fair value, with fair value changes
recognized in the Consolidated Statement of Operations. All changes in
market prices directly affect net change in net assets resulting from
operations in the Consolidated Statement of Changes in Net Assets. The
Adviser, in accordance with the policies and procedures in place,
monitors the risk on a regular basis.
(B) CREDIT RISK -- Credit risk is the risk that the issuer of a security or
the counterparty to a contract will default or otherwise become unable to
honor a financial obligation. The carrying amounts of assets and
liabilities will be an estimate of the maximum exposure at the Consolidated
Statement of Assets and Liabilities date.
47
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
11. RISKS ASSOCIATED WITH FINANCIAL INSTRUMENTS (CONTINUED)
(C) LIQUIDITY RISK -- Liquidity risk is the risk that the Fund and Subsidiary
will encounter difficulty in meeting obligations associated with its
financial liabilities that are settled by delivering cash or another
financial asset. Exposure to liquidity risk arises because of the
possibility that the Fund and/or Subsidiary could be required to pay its
liabilities or redeem its shares earlier than expected.
(D) COUNTERPARTY RISK -- The Fund and Subsidiary will be subject to the risk
of the inability of any counterparty (including the Fund's or Subsidiary's
custodian and clearing brokers and prime brokers used by the Fund or
Subsidiary) to perform with respect to transactions, whether due to
insolvency, bankruptcy or other causes. If there is a failure or default by
the counterparty to such a transaction, the Fund or Subsidiary will have
contractual remedies pursuant to the agreements related to the transaction
but these may be of limited or no legal and/or commercial benefit depending
on the financial position of the defaulting counterparty. The Fund and
Subsidiary may not be able to recover all of its cash and/or securities in
the event of the insolvency and bankruptcy of its custodian. These risks
are heightened to the extent that the Fund or the Subsidiary gains a
substantial amount of investment exposure indirectly through swaps.
(E) SUBSIDIARY RISK -- The Subsidiary is not registered under the 1940 Act
and, unless otherwise noted in the prospectus, is not subject to all of the
investor protections of the 1940 Act. Thus, the Fund, as an investor in the
Subsidiary, will not have all of the protections offered to investors in
registered investment companies. In addition, changes in the laws of the
United States and/or the Cayman Islands, or governmental interpretation of
such laws, under which the Fund and Subsidiary, respectively, are
organized, could result in the inability of the Fund and Subsidiary to
operate as intended and could negatively affect the Fund and its
shareholders.
12. INDEMNIFICATIONS
In the normal course of business the Fund and Subsidiary enter into contracts
with third-party service providers that contain a variety of representations
and warranties and that provide general indemnifications. Additionally, under
the Fund's organizational documents, the officers and trustees are indemnified
against certain liabilities arising out of the performance of their duties to
the Fund. The Fund's maximum exposure under these arrangements is unknown, as
it involves
48
[WINTON LOGO OMITTED] Winton Diversified Opportunities Fund
For the six-month period ended
April 30, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
12. INDEMNIFICATIONS (CONTINUED)
possible future claims that may or may not be made against the Fund. Based on
experience, the Adviser is of the view that the risk of loss to the Fund in
connection with the Fund's indemnification obligations is remote; however, there
can be no assurance that such obligations will not result in material
liabilities that adversely affect the Fund.
13. SUBSEQUENT EVENTS
The Fund has evaluated the need for disclosures and/or adjustments resulting
from subsequent events through the date the financials were issued. Based on
this evaluation, no disclosures and/or adjustments were required to the
consolidated financial statements as of April 30, 2016.
49
WIN-SA-002-0100
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for semi-annual report.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments is included as part of the Report to Shareholders filed
under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable for semi-annual report.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a) Not applicable for semi-annual report.
(b) Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no changes to the procedures by which shareholders may recommend
nominees to the Registrant's Board of Trustees during the period covered by this
report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the Registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act
(17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the
report, are effective based on the evaluation of these controls and procedures
required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules
13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There has been no change in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that
occurred during the second fiscal quarter of the period covered by this report
that has materially affected, or is reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the Registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Winton Diversified Opportunities Fund
/s/ Michael Beattie
By (Signature and Title) -------------------------------------
Michael Beattie, President
Date: July 6, 2016
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.
/s/ Michael Beattie
By (Signature and Title) -------------------------------------
Michael Beattie, President
Date: July 6, 2016
/s/ Stephen Connors
By (Signature and Title) -------------------------------------
Stephen Connors
Treasurer, Controller & CFO
Date: July 6, 2016