UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
________
FORM N-CSR
________
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-23028
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)
SEI Investments
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: OCTOBER 31, 2016
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO OMITTED]
WINTON DIVERSIFIED
OPPORTUNITIES FUND
ANNUAL REPORT
OCTOBER 31, 2016
[LOGO OMITTED]
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TABLE OF CONTENTS
Fund Information ............................................................ 1
Letter to Shareholders ...................................................... 2
Growth of a $10,000 Investment .............................................. 4
Consolidated Schedule of Investments ........................................ 5
Consolidated Statement of Assets and Liabilities ............................ 21
Consolidated Statement of Operations ........................................ 22
Consolidated Statements of Changes in Net Assets ............................ 23
Consolidated Financial Highlights ........................................... 24
Notes to the Consolidated Financial Statements .............................. 25
Report of Independent Registered Public Accounting Firm ..................... 45
Trustees and Officers of the Fund ........................................... 46
Notice to Shareholders ...................................................... 50
The Fund files its complete consolidated 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 year ended October 31, 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, PA 19456
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
New York, NY 10004
INDEPENDENT REGISTERED KPMG LLP
PUBLIC ACCOUNTING FIRM 1601 Market Street
Philadelphia, PA 19103
1
Winton Diversified Opportunities Fund
For the year ended
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LETTER TO SHAREHOLDERS
Performance Summary
The Winton Diversified Opportunities Fund's net asset value per share declined
by -7.46% between November 1, 2015 and October 31, 2016. For comparison, the
HFRX Global Hedge Fund Index fell -1.30% and 3-month USD Libor returned 0.67%
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 where decisions are driven by statistical inference based on the
empirical analysis of data, rather than instinct or intuition. The Program is
operated as an automated, computer-based system that uses leverage to invest
long and short, across global futures, forwards and equities. It employs
multiple strategies in over 100 markets.
Fund performance was challenging over the review period as exposure to stock
markets pushed returns into negative territory. The cash equities sector had a
particularly difficult start to 2016 with both momentum and fundamental signals
detracting from returns, although performance from the latter signal has
recovered since July. Meanwhile, the Program's overall position in stock
indices turned short overall when equities sold off in the opening weeks of the
year, detracted from returns when markets subsequently recovered, and was then
long as markets fell after Brexit. In commodities, precious metals also weighed
on returns due to Program positioning being short as gold rallied in the
opening months of 2016 and long falling prices during May, August and October.
Futures sectors were profitable for the Fund overall with carry and
trend-following signals both adding value. Long fixed income positioning was
the main positive driver of performance for the 12 months as a whole due to
some strong performance in the early part of the review period: EURIBOR and
short sterling futures were the most profitable markets in short-term interest
rates, while German bund and Japanese government bond futures led the
contributors to returns in bonds. The Fund also held onto profits from a strong
downwards trend in crude oil prices during the first half of the review period,
which benefited the Program's short positions in energies.
2
Winton Diversified Opportunities Fund
For the year ended
[LOGO OMITTED] October 31, 2016 (Unaudited)
--------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS (continued)
Smaller profits were made in currencies and the sector was responsible for the
top-two contributors to returns at the contract level: the British pound and
the Japanese yen. The Program profited from sterling falling by a fifth against
the greenback over the review period on concerns around the Brexit vote, while
a longstanding position in the Japanese yen benefited from a 15% appreciation
versus the US dollar, despite tightening policy in the US and further easing in
Japan. These profits were reduced by losses from a short position in the euro.
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 which seeks
improvements across the investment 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, changes 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 decline
over the review period, we do not expect the Program to deliver positive
returns in every timeframe. 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.
3
Winton Diversified Opportunities Fund
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GROWTH OF A $10,000 INVESTMENT
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN+
--------------------------------------------------------------------------------
ONE ANNUALIZED
YEAR RETURN INCEPTION TO DATE*
--------------------------------------------------------------------------------
Winton Diversified Opportunities Fund,
Class I shares -7.46% -9.18%
--------------------------------------------------------------------------------
HFRX Global Hedge Fund Index -1.30% 0.13%
--------------------------------------------------------------------------------
[LINE GRAPH OMITTED - PLOT POINTS AS FOLLOWS]
Initial Investment Date 9/30/15 10/31/15 1/31/16 4/30/16 7/31/16 10/31/16
Winton Diversified Opportunities, I Class $10,000 $9,735 $9,982 $9,382 $9,620 $9,009
HFRX Global Hedged Fund Index $10,000 $10,146 $9,664 $9,793 $10,000 $10,014
* THE WINTON DIVERSIFIED OPPORTUNITIES FUND COMMENCED OPERATIONS ON
SEPTEMBER 30, 2015.
+ IF THE ADVISER HAD NOT WAIVED A PORTION OF ITS FEE AND/OR REIMBURSED OTHER
EXPENSES, THE FUND'S TOTAL RETURN MAY HAVE BEEN LOWER.
THE PERFORMANCE DATA QUOTED HEREIN REPRESENTS PAST PERFORMANCE AND THE RETURN
AND VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT, WHEN REDEEMED,
MAY BE WORTH LESS THAN ITS ORIGINAL COST.
THE FUND'S PERFORMANCE ASSUMES THE REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS.
INDEX RETURNS ASSUME REINVESTMENT OF DIVIDENDS AND, UNLIKE A FUND'S RETURNS, DO
NOT REFLECT ANY FEES OR EXPENSES. IF SUCH FEES AND EXPENSES WERE INCLUDED IN
THE INDEX RETURNS, THE PERFORMANCE WOULD HAVE BEEN LOWER. PLEASE NOTE THAT ONE
CANNOT INVEST DIRECTLY IN AN UNMANAGED INDEX. SEE DEFINITION OF COMPARATIVE
INDEX ON PAGE 3.
THERE ARE NO ASSURANCES THAT THE FUND WILL MEET ITS STATED OBJECTIVES. THE
FUND'S HOLDINGS AND ALLOCATIONS ARE SUBJECT TO CHANGE BECAUSE IT IS ACTIVELY
MANAGED AND SHOULD NOT BE CONSIDERED RECOMMENDATIONS TO BUY INDIVIDUAL
SECURITIES.
RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD
PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
4
Winton Diversified Opportunities Fund
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CONSOLIDATED SCHEDULE OF INVESTMENTS
Below is a list of open equity swap contracts held by the Fund at October 31,
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) $
---------------------------------------------------------------------------------------------------------
3M Co ............................. FEDEF-1D 10/04/17 199 32,895 --
AbbVie Inc ........................ FEDEF-1D 10/04/17 202 11,268 --
Accenture PLC ..................... FEDEF-1D 10/04/17 217 25,224 --
Activision Blizzard Inc ........... FEDEF-1D 10/04/17 184 7,943 --
Aetna Inc ......................... FEDEF-1D 10/04/17 75 8,051 --
Aflac Inc ......................... FEDEF-1D 10/04/17 788 54,270 --
Air Products & Chemicals Inc ...... FEDEF-1D 10/04/17 40 5,337 --
Alaska Air Group Inc .............. FEDEF-1D 10/04/17 552 39,865 --
Albemarle Corp .................... FEDEF-1D 10/04/17 363 30,329 --
Allegion PLC ...................... FEDEF-1D 10/04/17 19 1,213 --
Alliance Data Systems Corp ........ FEDEF-1D 10/04/17 25 5,112 --
Allstate Corp ..................... FEDEF-1D 10/04/17 631 42,845 --
Altria Group Inc .................. FEDEF-1D 10/04/17 529 34,977 --
Amazon.com Inc .................... FEDEF-1D 10/04/17 22 17,376 --
AMC Networks Inc .................. FEDEF-1D 10/04/17 123 6,018 --
Ameren Corp ....................... FEDEF-1D 10/04/17 51 2,547 --
American Express Co ............... FEDEF-1D 10/04/17 70 4,649 --
Ameriprise Financial Inc .......... FEDEF-1D 10/04/17 102 9,016 --
AmerisourceBergen Corp ............ FEDEF-1D 10/04/17 776 54,568 --
Amgen Inc ......................... FEDEF-1D 10/04/17 198 27,950 --
Amphenol Corp ..................... FEDEF-1D 10/04/17 84 5,538 --
Anthem Inc ........................ FEDEF-1D 10/04/17 152 18,523 --
Aon PLC ........................... FEDEF-1D 10/04/17 183 20,282 --
Apartment Investment &
Management Co .................... FEDEF-1D 10/04/17 325 14,323 --
Apple Inc ......................... FEDEF-1D 10/04/17 440 49,958 --
Applied Materials Inc ............. FEDEF-1D 10/04/17 1,735 50,454 --
Assurant Inc ...................... FEDEF-1D 10/04/17 192 15,460 --
AT&T Inc .......................... FEDEF-1D 10/04/17 592 21,780 --
Automatic Data Processing Inc ..... FEDEF-1D 10/04/17 367 31,951 --
AutoNation Inc .................... FEDEF-1D 10/04/17 101 4,431 --
AutoZone Inc ...................... FEDEF-1D 10/04/17 38 28,202 --
AvalonBay Communities Inc ......... FEDEF-1D 10/04/17 65 11,127 --
Avery Dennison Corp ............... FEDEF-1D 10/04/17 346 24,147 --
Bank of America Corp .............. FEDEF-1D 10/04/17 971 16,022 --
Bank of New York Mellon Corp ...... FEDEF-1D 10/04/17 283 12,245 --
Baxter International Inc .......... FEDEF-1D 10/04/17 1,312 62,438 --
Becton Dickinson and Co ........... FEDEF-1D 10/04/17 59 9,907 --
Bed Bath & Beyond Inc ............. FEDEF-1D 10/04/17 898 36,297 --
Berkshire Hathaway Inc ............ FEDEF-1D 10/04/17 464 66,955 --
Best Buy Co Inc ................... FEDEF-1D 10/04/17 1,105 42,996 --
Biogen Inc ........................ FEDEF-1D 10/04/17 4 1,121 --
BlackRock Inc FEDEF-1D 10/04/17 71 24,228 --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
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Winton Diversified Opportunities Fund
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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) $
---------------------------------------------------------------------------------------------------------
Boeing Co ......................... FEDEF-1D 10/04/17 159 22,646 --
BorgWarner Inc .................... FEDEF-1D 10/04/17 41 1,469 --
Boston Properties Inc ............. FEDEF-1D 10/04/17 66 7,952 --
Brown-Forman Corp ................. FEDEF-1D 10/04/17 130 6,002 --
CA Inc ............................ FEDEF-1D 10/04/17 457 14,048 --
Cadence Design Systems Inc ........ FEDEF-1D 10/04/17 138 3,530 --
Camden Property Trust ............. FEDEF-1D 10/04/17 79 6,434 --
Campbell Soup Co .................. FEDEF-1D 10/04/17 481 26,138 --
Capital One Financial Corp ........ FEDEF-1D 10/04/17 482 35,687 --
Cardinal Health Inc ............... FEDEF-1D 10/04/17 912 62,645 --
Caterpillar Inc ................... FEDEF-1D 10/04/17 3 250 --
CBS Corp .......................... FEDEF-1D 10/04/17 285 16,137 --
CenturyLink Inc ................... FEDEF-1D 10/04/17 168 4,465 --
CH Robinson Worldwide Inc ......... FEDEF-1D 10/04/17 401 27,316 --
Chubb Ltd ......................... FEDEF-1D 10/04/17 332 42,164 --
Church & Dwight Co Inc ............ FEDEF-1D 10/04/17 170 8,204 --
Cincinnati Financial Corp ......... FEDEF-1D 10/04/17 489 34,611 --
Cisco Systems Inc ................. FEDEF-1D 10/04/17 1,638 50,254 --
Citigroup Inc ..................... FEDEF-1D 10/04/17 203 9,977 --
Citrix Systems Inc ................ FEDEF-1D 10/04/17 299 25,355 --
Clorox Co ......................... FEDEF-1D 10/04/17 223 26,764 --
CME Group Inc ..................... FEDEF-1D 10/04/17 9 901 --
CMS Energy Corp ................... FEDEF-1D 10/04/17 64 2,698 --
Coach Inc ......................... FEDEF-1D 10/04/17 512 18,376 --
Coca-Cola Co ...................... FEDEF-1D 10/04/17 1,368 58,003 --
Colgate-Palmolive Co .............. FEDEF-1D 10/04/17 64 4,567 --
Comcast Corp ...................... FEDEF-1D 10/04/17 154 9,520 --
Comerica Inc ...................... FEDEF-1D 10/04/17 15 781 --
Computer Sciences Corp ............ FEDEF-1D 10/04/17 882 48,025 --
ConAgra Foods Inc ................. FEDEF-1D 10/04/17 110 5,300 --
Consolidated Edison Inc ........... FEDEF-1D 10/04/17 207 15,639 --
Constellation Brands Inc .......... FEDEF-1D 10/04/17 89 14,874 --
Corning Inc ....................... FEDEF-1D 10/04/17 820 18,622 --
Costco Wholesale Corp ............. FEDEF-1D 10/04/17 50 7,394 --
Cummins Inc ....................... FEDEF-1D 10/04/17 204 26,075 --
CVS Health Corp ................... FEDEF-1D 10/04/17 366 30,781 --
Danaher Corp ...................... FEDEF-1D 10/04/17 79 6,205 --
Darden Restaurants Inc ............ FEDEF-1D 10/04/17 266 17,234 --
DaVita Inc ........................ FEDEF-1D 10/04/17 255 14,948 --
DENTSPLY SIRONA Inc ............... FEDEF-1D 10/04/17 379 21,819 --
Discover Financial Services ....... FEDEF-1D 10/04/17 543 30,587 --
Dollar General Corp ............... FEDEF-1D 10/04/17 208 14,371 --
Dollar Tree Inc ................... FEDEF-1D 10/04/17 29 2,191 --
Dover Corp ........................ FEDEF-1D 10/04/17 63 4,214 --
Dow Chemical Co ................... FEDEF-1D 10/04/17 968 52,088 --
DR Horton Inc ..................... FEDEF-1D 10/04/17 1,497 43,159 --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
6
Winton Diversified Opportunities Fund
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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) $
---------------------------------------------------------------------------------------------------------
Dr Pepper Snapple Group Inc ....... FEDEF-1D 10/04/17 334 29,322 --
Eastman Chemical Co ............... FEDEF-1D 10/04/17 168 12,081 --
Eaton Corp PLC .................... FEDEF-1D 10/04/17 351 22,383 --
eBay Inc .......................... FEDEF-1D 10/04/17 1,529 43,592 --
Edison International .............. FEDEF-1D 10/04/17 90 6,613 --
Edwards Lifesciences Corp ......... FEDEF-1D 10/04/17 294 27,995 --
EI du Pont de Nemours & Co ........ FEDEF-1D 10/04/17 232 15,959 --
Electronic Arts Inc ............... FEDEF-1D 10/04/17 191 14,997 --
Emerson Electric Co ............... FEDEF-1D 10/04/17 673 34,108 --
Equifax Inc ....................... FEDEF-1D 10/04/17 89 11,033 --
Equinix Inc ....................... FEDEF-1D 10/04/17 14 5,002 --
Equity Residential ................ FEDEF-1D 10/04/17 595 36,741 --
Estee Lauder Cos Inc .............. FEDEF-1D 10/04/17 479 41,735 --
Everest Re Group Ltd .............. FEDEF-1D 10/04/17 229 46,606 --
Eversource Energy ................. FEDEF-1D 10/04/17 10 551 --
Expeditors International of
Washington Inc ................... FEDEF-1D 10/04/17 419 21,566 --
Express Scripts Holding Co ........ FEDEF-1D 10/04/17 69 4,651 --
F5 Networks Inc ................... FEDEF-1D 10/04/17 205 28,333 --
Facebook Inc ...................... FEDEF-1D 10/04/17 27 3,537 --
Fastenal Co ....................... FEDEF-1D 10/04/17 497 19,373 --
Federal Realty Investment Trust ... FEDEF-1D 10/04/17 82 11,909 --
Fifth Third Bancorp ............... FEDEF-1D 10/04/17 1,387 30,181 --
First Solar Inc ................... FEDEF-1D 10/04/17 64 2,591 --
Fiserv Inc ........................ FEDEF-1D 10/04/17 390 38,407 --
FLIR Systems Inc .................. FEDEF-1D 10/04/17 53 1,745 --
Fluor Corp ........................ FEDEF-1D 10/04/17 471 24,487 --
FMC Technologies Inc .............. FEDEF-1D 10/04/17 279 9,003 --
Foot Locker Inc ................... FEDEF-1D 10/04/17 365 24,371 --
Ford Motor Co ..................... FEDEF-1D 10/04/17 5,299 62,210 --
Franklin Resources Inc ............ FEDEF-1D 10/04/17 342 11,512 --
Gap Inc ........................... FEDEF-1D 10/04/17 1,315 36,281 --
Garmin Ltd ........................ FEDEF-1D 10/04/17 771 37,286 --
General Electric Co ............... FEDEF-1D 10/04/17 1,052 30,613 --
General Growth Properties Inc ..... FEDEF-1D 10/04/17 89 2,221 --
General Mills Inc ................. FEDEF-1D 10/04/17 189 11,714 --
Genuine Parts Co .................. FEDEF-1D 10/04/17 602 54,535 --
Gilead Sciences Inc ............... FEDEF-1D 10/04/17 616 45,356 --
Goodyear Tire & Rubber Co ......... FEDEF-1D 10/04/17 99 2,874 --
H&R Block Inc ..................... FEDEF-1D 10/04/17 32 735 --
Harley-Davidson Inc ............... FEDEF-1D 10/04/17 267 15,224 --
Hartford Financial Services
Group Inc ....................... FEDEF-1D 10/04/17 1,044 46,051 --
Hasbro Inc ........................ FEDEF-1D 10/04/17 292 24,356 --
Helmerich & Payne Inc ............. FEDEF-1D 10/04/17 106 6,690 --
Henry Schein Inc .................. FEDEF-1D 10/04/17 29 4,327 --
Hewlett Packard Enterprise Co ..... FEDEF-1D 10/04/17 217 4,876 --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
7
Winton Diversified Opportunities Fund
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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) $
---------------------------------------------------------------------------------------------------------
Home Depot Inc .................... FEDEF-1D 10/04/17 426 51,976 --
Honeywell International Inc ....... FEDEF-1D 10/04/17 370 40,582 --
Hormel Foods Corp ................. FEDEF-1D 10/04/17 700 26,950 --
HP Inc ............................ FEDEF-1D 10/04/17 4,233 61,336 --
Huntington Bancshares Inc ......... FEDEF-1D 10/04/17 213 2,258 --
IDEXX Laboratories Inc ............ FEDEF-1D 10/04/17 204 21,857 --
Illinois Tool Works Inc ........... FEDEF-1D 10/04/17 202 22,941 --
Illumina Inc ...................... FEDEF-1D 10/04/17 9 1,225 --
Ingersoll-Rand PLC ................ FEDEF-1D 10/04/17 276 18,572 --
Ingredion Inc ..................... FEDEF-1D 10/04/17 70 9,182 --
Intel Corp ........................ FEDEF-1D 10/04/17 590 20,573 --
Intercontinental Exchange Inc ..... FEDEF-1D 10/04/17 17 4,597 --
International Business Machines
Corp ............................ FEDEF-1D 10/04/17 279 42,880 --
Interpublic Group of Cos Inc ...... FEDEF-1D 10/04/17 1,341 30,025 --
Intuit Inc ........................ FEDEF-1D 10/04/17 36 3,915 --
Intuitive Surgical Inc ............ FEDEF-1D 10/04/17 29 19,490 --
Iron Mountain Inc ................. FEDEF-1D 10/04/17 75 2,530 --
JB Hunt Transport Services Inc .... FEDEF-1D 10/04/17 146 11,915 --
JM Smucker Co ..................... FEDEF-1D 10/04/17 103 13,525 --
Johnson & Johnson ................. FEDEF-1D 10/04/17 337 39,089 --
JPMorgan Chase & Co ............... FEDEF-1D 10/04/17 515 35,669 --
Juniper Networks Inc .............. FEDEF-1D 10/04/17 331 8,719 --
Kellogg Co ........................ FEDEF-1D 10/04/17 86 6,461 --
KeyCorp ........................... FEDEF-1D 10/04/17 21 297 --
Kimberly-Clark Corp ............... FEDEF-1D 10/04/17 431 49,311 --
Kimco Realty Corp ................. FEDEF-1D 10/04/17 970 25,812 --
Kohl's Corp ....................... FEDEF-1D 10/04/17 625 27,344 --
Kraft Heinz Co .................... FEDEF-1D 10/04/17 22 1,957 --
Lam Research Corp ................. FEDEF-1D 10/04/17 622 60,247 --
Leggett & Platt Inc ............... FEDEF-1D 10/04/17 633 29,042 --
Lennar Corp ....................... FEDEF-1D 10/04/17 141 5,878 --
Lincoln National Corp ............. FEDEF-1D 10/04/17 209 10,260 --
LKQ Corp .......................... FEDEF-1D 10/04/17 505 16,301 --
Lockheed Martin Corp .............. FEDEF-1D 10/04/17 61 15,029 --
Lowe's Cos Inc .................... FEDEF-1D 10/04/17 396 26,393 --
LyondellBasell Industries NV ...... FEDEF-1D 10/04/17 546 43,434 --
M&T Bank Corp ..................... FEDEF-1D 10/04/17 8 982 --
Macerich Co ....................... FEDEF-1D 10/04/17 32 2,265 --
Macy's Inc ........................ FEDEF-1D 10/04/17 402 14,669 --
Marathon Petroleum Corp ........... FEDEF-1D 10/04/17 197 8,587 --
Marsh & McLennan Cos Inc .......... FEDEF-1D 10/04/17 632 40,062 --
Masco Corp ........................ FEDEF-1D 10/04/17 583 18,003 --
Mastercard Inc .................... FEDEF-1D 10/04/17 61 6,528 --
Mattel Inc ........................ FEDEF-1D 10/04/17 987 31,120 --
McCormick & Co Inc ................ FEDEF-1D 10/04/17 290 27,802 --
McDonald's Corp ................... FEDEF-1D 10/04/17 753 84,765 --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
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Winton Diversified Opportunities Fund
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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) $
---------------------------------------------------------------------------------------------------------
McKesson Corp ..................... FEDEF-1D 10/04/17 87 11,064 --
Mead Johnson Nutrition Co ......... FEDEF-1D 10/04/17 67 5,010 --
Medtronic PLC ..................... FEDEF-1D 10/04/17 27 2,215 --
Merck & Co Inc .................... FEDEF-1D 10/04/17 69 4,052 --
MetLife Inc ....................... FEDEF-1D 10/04/17 247 11,599 --
Microchip Technology Inc .......... FEDEF-1D 10/04/17 239 14,471 --
Microsoft Corp .................... FEDEF-1D 10/04/17 623 37,330 --
Mohawk Industries Inc ............. FEDEF-1D 10/04/17 34 6,266 --
Molson Coors Brewing Co ........... FEDEF-1D 10/04/17 124 12,872 --
Mondelez International Inc ........ FEDEF-1D 10/04/17 953 42,828 --
Monsanto Co ....................... FEDEF-1D 10/04/17 5 504 --
Motorola Solutions Inc ............ FEDEF-1D 10/04/17 254 18,435 --
Mylan NV .......................... FEDEF-1D 10/04/17 25 913 --
Nasdaq Inc ........................ FEDEF-1D 10/04/17 462 29,554 --
NetApp Inc ........................ FEDEF-1D 10/04/17 790 26,813 --
Newmont Mining Corp ............... FEDEF-1D 10/04/17 210 7,778 --
NextEra Energy Inc ................ FEDEF-1D 10/04/17 173 22,144 --
NIKE Inc .......................... FEDEF-1D 10/04/17 154 7,728 --
NiSource Inc ...................... FEDEF-1D 10/04/17 343 7,978 --
Nordstrom Inc ..................... FEDEF-1D 10/04/17 482 25,064 --
Norfolk Southern Corp ............. FEDEF-1D 10/04/17 6 558 --
Northern Trust Corp ............... FEDEF-1D 10/04/17 34 2,462 --
Northrop Grumman Corp ............. FEDEF-1D 10/04/17 161 36,869 --
Nucor Corp ........................ FEDEF-1D 10/04/17 797 38,933 --
NVIDIA Corp ....................... FEDEF-1D 10/04/17 931 66,250 --
NVR Inc ........................... FEDEF-1D 10/04/17 12 18,276 --
Omnicom Group Inc ................. FEDEF-1D 10/04/17 920 73,434 --
Oracle Corp ....................... FEDEF-1D 10/04/17 1,690 64,930 --
O'Reilly Automotive Inc ........... FEDEF-1D 10/04/17 92 24,328 --
PACCAR Inc ........................ FEDEF-1D 10/04/17 81 4,449 --
Palo Alto Networks Inc ............ FEDEF-1D 10/04/17 14 2,154 --
Parker-Hannifin Corp .............. FEDEF-1D 10/04/17 38 4,665 --
Paychex Inc ....................... FEDEF-1D 10/04/17 175 9,660 --
PepsiCo Inc ....................... FEDEF-1D 10/04/17 206 22,083 --
PerkinElmer Inc ................... FEDEF-1D 10/04/17 179 9,109 --
Philip Morris International Inc ... FEDEF-1D 10/04/17 489 47,159 --
PNC Financial Services Group Inc .. FEDEF-1D 10/04/17 403 38,527 --
PPG Industries Inc ................ FEDEF-1D 10/04/17 433 40,325 --
PPL Corp .......................... FEDEF-1D 10/04/17 530 18,200 --
Praxair Inc ....................... FEDEF-1D 10/04/17 17 1,990 --
Priceline Group Inc ............... FEDEF-1D 10/04/17 7 10,320 --
Principal Financial Group Inc ..... FEDEF-1D 10/04/17 66 3,604 --
Procter & Gamble Co ............... FEDEF-1D 10/04/17 295 25,606 --
Progressive Corp .................. FEDEF-1D 10/04/17 1,687 53,157 --
Prudential Financial Inc .......... FEDEF-1D 10/04/17 403 34,170 --
Public Storage .................... FEDEF-1D 10/04/17 63 13,464 --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
9
Winton Diversified Opportunities Fund
[LOGO OMITTED] October 31, 2016
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
---------------------------------------------------------------------------------------------------------
PVH Corp .......................... FEDEF-1D 10/04/17 165 17,652 --
Qorvo Inc ......................... FEDEF-1D 10/04/17 44 2,449 --
QUALCOMM Inc ...................... FEDEF-1D 10/04/17 289 19,860 --
Quest Diagnostics Inc ............. FEDEF-1D 10/04/17 163 13,275 --
Ralph Lauren Corp ................. FEDEF-1D 10/04/17 101 9,908 --
Raytheon Co ....................... FEDEF-1D 10/04/17 121 16,530 --
Realty Income Corp ................ FEDEF-1D 10/04/17 417 24,703 --
Regions Financial Corp ............ FEDEF-1D 10/04/17 1,894 20,285 --
Republic Services Inc ............. FEDEF-1D 10/04/17 356 18,736 --
ResMed Inc ........................ FEDEF-1D 10/04/17 173 10,340 --
Reynolds American Inc ............. FEDEF-1D 10/04/17 517 28,476 --
Robert Half International Inc ..... FEDEF-1D 10/04/17 128 4,790 --
Rockwell Automation Inc ........... FEDEF-1D 10/04/17 80 9,578 --
Rockwell Collins Inc .............. FEDEF-1D 10/04/17 440 37,101 --
Roper Technologies Inc ............ FEDEF-1D 10/04/17 115 19,931 --
Ross Stores Inc ................... FEDEF-1D 10/04/17 488 30,520 --
SCANA Corp ........................ FEDEF-1D 10/04/17 34 2,494 --
Scripps Networks Interactive Inc .. FEDEF-1D 10/04/17 799 51,424 --
Seagate Technology PLC ............ FEDEF-1D 10/04/17 264 9,058 --
Sherwin-Williams Co ............... FEDEF-1D 10/04/17 127 31,097 --
Simon Property Group Inc .......... FEDEF-1D 10/04/17 43 7,996 --
SL Green Realty Corp .............. FEDEF-1D 10/04/17 10 982 --
Snap-on Inc ....................... FEDEF-1D 10/04/17 114 17,567 --
Southwest Airlines Co ............. FEDEF-1D 10/04/17 394 15,780 --
Staples Inc ....................... FEDEF-1D 10/04/17 1,239 9,169 --
Starbucks Corp .................... FEDEF-1D 10/04/17 600 31,842 --
State Street Corp ................. FEDEF-1D 10/04/17 94 6,600 --
SunTrust Banks Inc ................ FEDEF-1D 10/04/17 601 27,183 --
Sysco Corp ........................ FEDEF-1D 10/04/17 501 24,108 --
T Rowe Price Group Inc ............ FEDEF-1D 10/04/17 724 46,343 --
Target Corp ....................... FEDEF-1D 10/04/17 502 34,502 --
TE Connectivity Ltd ............... FEDEF-1D 10/04/17 140 8,802 --
TEGNA Inc ......................... FEDEF-1D 10/04/17 508 9,967 --
Tesoro Corp ....................... FEDEF-1D 10/04/17 390 33,138 --
Texas Instruments Inc ............. FEDEF-1D 10/04/17 130 9,211 --
Thermo Fisher Scientific Inc ...... FEDEF-1D 10/04/17 181 26,612 --
Tiffany & Co ...................... FEDEF-1D 10/04/17 179 13,142 --
Time Warner Inc ................... FEDEF-1D 10/04/17 195 17,353 --
TJX Cos Inc ....................... FEDEF-1D 10/04/17 400 29,500 --
Total System Services Inc ......... FEDEF-1D 10/04/17 150 7,482 --
Travelers Cos Inc ................. FEDEF-1D 10/04/17 791 85,570 --
Twenty-First Century Fox Inc ...... FEDEF-1D 10/04/17 982 25,797 --
Tyson Foods Inc ................... FEDEF-1D 10/04/17 980 69,433 --
UDR Inc ........................... FEDEF-1D 10/04/17 111 3,882 --
United Parcel Service Inc ......... FEDEF-1D 10/04/17 18 1,940 --
United Technologies Corp .......... FEDEF-1D 10/04/17 29 2,964 --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
10
Winton Diversified Opportunities Fund
[LOGO OMITTED] October 31, 2016
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
---------------------------------------------------------------------------------------------------------
United Therapeutics Corp .......... FEDEF-1D 10/04/17 338 40,584 --
UnitedHealth Group Inc ............ FEDEF-1D 10/04/17 88 12,437 --
Universal Health Services Inc ..... FEDEF-1D 10/04/17 9 1,086 --
Unum Group ........................ FEDEF-1D 10/04/17 860 30,444 --
US Bancorp ........................ FEDEF-1D 10/04/17 738 33,033 --
Valero Energy Corp ................ FEDEF-1D 10/04/17 842 49,880 --
Ventas Inc ........................ FEDEF-1D 10/04/17 141 9,553 --
VeriSign Inc ...................... FEDEF-1D 10/04/17 260 21,845 --
Verisk Analytics Inc .............. FEDEF-1D 10/04/17 31 2,528 --
Verizon Communications Inc ........ FEDEF-1D 10/04/17 985 47,379 --
Viacom Inc ........................ FEDEF-1D 10/04/17 469 17,616 --
Visa Inc .......................... FEDEF-1D 10/04/17 167 13,779 --
Wal-Mart Stores Inc ............... FEDEF-1D 10/04/17 275 19,256 --
Walt Disney Co .................... FEDEF-1D 10/04/17 229 21,226 --
Waste Management Inc .............. FEDEF-1D 10/04/17 240 15,758 --
Waters Corp ....................... FEDEF-1D 10/04/17 14 1,948 --
WEC Energy Group Inc .............. FEDEF-1D 10/04/17 151 9,018 --
Wells Fargo & Co .................. FEDEF-1D 10/04/17 1,019 46,884 --
Welltower Inc ..................... FEDEF-1D 10/04/17 180 12,335 --
Western Digital Corp .............. FEDEF-1D 10/04/17 59 3,448 --
Western Union Co .................. FEDEF-1D 10/04/17 2,865 57,501 --
Whirlpool Corp .................... FEDEF-1D 10/04/17 81 12,135 --
Williams-Sonoma Inc ............... FEDEF-1D 10/04/17 67 3,097 --
Wyndham Worldwide Corp ............ FEDEF-1D 10/04/17 313 20,608 --
Xerox Corp ........................ FEDEF-1D 10/04/17 281 2,745 --
Xilinx Inc ........................ FEDEF-1D 10/04/17 474 24,112 --
Xylem Inc ......................... FEDEF-1D 10/04/17 27 1,305 --
Yum! Brands Inc ................... FEDEF-1D 10/04/17 94 8,110 --
Zoetis Inc ........................ FEDEF-1D 10/04/17 30 1,434 --
Abbott Laboratories ............... (FEDEF-1D) 10/04/17 (2) (78) --
Adobe Systems Inc ................. (FEDEF-1D) 10/04/17 (14) (1,505) --
Advance Auto Parts Inc ............ (FEDEF-1D) 10/04/17 (61) (8,545) --
AES Corp .......................... (FEDEF-1D) 10/04/17 (1,045) (12,300) --
Affiliated Managers Group Inc ..... (FEDEF-1D) 10/04/17 (190) (25,205) --
Agilent Technologies Inc .......... (FEDEF-1D) 10/04/17 (566) (24,661) --
Akamai Technologies Inc ........... (FEDEF-1D) 10/04/17 (507) (35,221) --
Alexandria Real Estate Equities Inc (FEDEF-1D) 10/04/17 (172) (18,543) --
Alexion Pharmaceuticals Inc ....... (FEDEF-1D) 10/04/17 (165) (21,533) --
Allergan PLC ...................... (FEDEF-1D) 10/04/17 (114) (23,819) --
Alphabet Inc ...................... (FEDEF-1D) 10/04/17 (2) (1,569) --
American Airlines Group Inc ....... (FEDEF-1D) 10/04/17 (68) (2,761) --
American Electric Power Co Inc .... (FEDEF-1D) 10/04/17 (18) (1,167) --
American International Group Inc .. (FEDEF-1D) 10/04/17 (737) (45,473) --
American Tower Corp ............... (FEDEF-1D) 10/04/17 (112) (13,125) --
AMETEK Inc ........................ (FEDEF-1D) 10/04/17 (102) (4,498) --
Anadarko Petroleum Corp ........... (FEDEF-1D) 10/04/17 (24) (1,427) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
11
Winton Diversified Opportunities Fund
[LOGO OMITTED] October 31, 2016
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
---------------------------------------------------------------------------------------------------------
Analog Devices Inc ................ (FEDEF-1D) 10/04/17 (42) (2,692) --
Apache Corp ....................... (FEDEF-1D) 10/04/17 (18) (1,071) --
Archer-Daniels-Midland Co ......... (FEDEF-1D) 10/04/17 (97) (4,226) --
Arconic Inc ....................... (FEDEF-1D) 10/04/17 (302) (8,673) --
Autodesk Inc ...................... (FEDEF-1D) 10/04/17 (82) (5,927) --
Baker Hughes Inc .................. (FEDEF-1D) 10/04/17 (174) (9,640) --
Ball Corp ......................... (FEDEF-1D) 10/04/17 (319) (24,585) --
BB&T Corp ......................... (FEDEF-1D) 10/04/17 (6) (235) --
Boston Scientific Corp ............ (FEDEF-1D) 10/04/17 (287) (6,314) --
Bristol-Myers Squibb Co ........... (FEDEF-1D) 10/04/17 (521) (26,524) --
Cabot Oil & Gas Corp .............. (FEDEF-1D) 10/04/17 (297) (6,201) --
CarMax Inc ........................ (FEDEF-1D) 10/04/17 (517) (25,819) --
Carnival Corp ..................... (FEDEF-1D) 10/04/17 (1) (49) --
CBRE Group Inc .................... (FEDEF-1D) 10/04/17 (783) (20,170) --
Celgene Corp ...................... (FEDEF-1D) 10/04/17 (123) (12,568) --
CenterPoint Energy Inc ............ (FEDEF-1D) 10/04/17 (1,425) (32,490) --
Cerner Corp ....................... (FEDEF-1D) 10/04/17 (196) (11,482) --
CF Industries Holdings Inc ........ (FEDEF-1D) 10/04/17 (159) (3,818) --
Charles Schwab Corp ............... (FEDEF-1D) 10/04/17 (123) (3,899) --
Chevron Corp ...................... (FEDEF-1D) 10/04/17 (446) (46,719) --
Chipotle Mexican Grill Inc ........ (FEDEF-1D) 10/04/17 (31) (11,184) --
Cigna Corp ........................ (FEDEF-1D) 10/04/17 (32) (3,803) --
Cintas Corp ....................... (FEDEF-1D) 10/04/17 (157) (16,747) --
Cognizant Technology Solutions
Corp ............................ (FEDEF-1D) 10/04/17 (152) (7,805) --
ConocoPhillips .................... (FEDEF-1D) 10/04/17 (41) (1,781) --
Cooper Cos Inc .................... (FEDEF-1D) 10/04/17 (4) (704) --
CR Bard Inc ....................... (FEDEF-1D) 10/03/17 (38) (8,234) --
Crown Castle International Corp ... (FEDEF-1D) 10/04/17 (151) (13,739) --
CSX Corp .......................... (FEDEF-1D) 10/04/17 (99) (3,020) --
Deere & Co ........................ (FEDEF-1D) 10/04/17 (57) (5,033) --
Delphi Automotive PLC ............. (FEDEF-1D) 10/04/17 (86) (5,596) --
Delta Air Lines Inc ............... (FEDEF-1D) 10/04/17 (30) (1,253) --
Devon Energy Corp ................. (FEDEF-1D) 10/04/17 (27) (1,023) --
Diamond Offshore Drilling Inc ..... (FEDEF-1D) 10/04/17 (81) (1,336) --
Discovery Communications Inc ...... (FEDEF-1D) 10/04/17 (90) (2,260) --
Discovery Communications Inc ...... (FEDEF-1D) 10/04/17 (83) (2,167) --
Dominion Resources Inc ............ (FEDEF-1D) 10/04/17 (431) (32,411) --
DTE Energy Co ..................... (FEDEF-1D) 10/04/17 (92) (8,833) --
Duke Energy Corp .................. (FEDEF-1D) 10/04/17 (90) (7,202) --
E*TRADE Financial Corp ............ (FEDEF-1D) 10/04/17 (141) (3,971) --
Ecolab Inc ........................ (FEDEF-1D) 10/04/17 (94) (10,732) --
Eli Lilly & Co .................... (FEDEF-1D) 10/04/17 (112) (8,270) --
Entergy Corp ...................... (FEDEF-1D) 10/04/17 (455) (33,524) --
EOG Resources Inc ................. (FEDEF-1D) 10/04/17 (107) (9,675) --
EQT Corp .......................... (FEDEF-1D) 10/04/17 (18) (1,188) --
Essex Property Trust Inc .......... (FEDEF-1D) 10/04/17 (41) (8,778) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
12
Winton Diversified Opportunities Fund
[LOGO OMITTED] October 31, 2016
--------------------------------------------------------------------------------
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 (114) (3,884) --
Expedia Inc ....................... (FEDEF-1D) 10/04/17 (37) (4,782) --
Exxon Mobil Corp .................. (FEDEF-1D) 10/04/17 (89) (7,415) --
FedEx Corp ........................ (FEDEF-1D) 10/04/17 (114) (19,872) --
Fidelity National Information
Services Inc .................... (FEDEF-1D) 10/04/17 (562) (41,543) --
FirstEnergy Corp .................. (FEDEF-1D) 10/04/17 (79) (2,709) --
Flowserve Corp .................... (FEDEF-1D) 10/04/17 (52) (2,202) --
FMC Corp .......................... (FEDEF-1D) 10/04/17 (98) (4,595) --
Frontier Communications Corp ...... (FEDEF-1D) 10/04/17 (2,014) (8,096) --
General Dynamics Corp ............. (FEDEF-1D) 10/04/17 (52) (7,838) --
General Motors Co ................. (FEDEF-1D) 10/04/17 (65) (2,054) --
Goldman Sachs Group Inc ........... (FEDEF-1D) 10/04/17 (31) (5,525) --
Halliburton Co .................... (FEDEF-1D) 10/04/17 (348) (16,008) --
Hanesbrands Inc ................... (FEDEF-1D) 10/04/17 (318) (8,173) --
Harman International
Industries Inc .................. (FEDEF-1D) 10/04/17 (95) (7,572) --
Harris Corp ....................... (FEDEF-1D) 10/04/17 (145) (12,935) --
HCP Inc ........................... (FEDEF-1D) 10/04/17 (420) (14,385) --
Hershey Co ........................ (FEDEF-1D) 10/04/17 (66) (6,762) --
Hess Corp ......................... (FEDEF-1D) 10/04/17 (28) (1,343) --
HollyFrontier Corp ................ (FEDEF-1D) 10/04/17 (71) (1,771) --
Hologic Inc ....................... (FEDEF-1D) 10/04/17 (240) (8,642) --
Host Hotels & Resorts Inc ......... (FEDEF-1D) 10/04/17 (226) (3,498) --
Humana Inc ........................ (FEDEF-1D) 10/04/17 (24) (4,117) --
International Flavors &
Fragrances Inc .................. (FEDEF-1D) 10/04/17 (17) (2,223) --
International Paper Co ............ (FEDEF-1D) 10/04/17 (125) (5,629) --
Invesco Ltd ....................... (FEDEF-1D) 10/04/17 (137) (3,848) --
Jacobs Engineering Group Inc ...... (FEDEF-1D) 10/04/17 (36) (1,857) --
Johnson Controls International PLC (FEDEF-1D) 10/04/17 (626) (25,240) --
Kansas City Southern .............. (FEDEF-1D) 10/04/17 (35) (3,072) --
Kinder Morgan Inc ................. (FEDEF-1D) 10/04/17 (235) (4,801) --
Kroger Co ......................... (FEDEF-1D) 10/04/17 (86) (2,664) --
L Brands Inc ...................... (FEDEF-1D) 10/04/17 (83) (5,992) --
L-3 Communications Holdings Inc ... (FEDEF-1D) 10/04/17 (94) (12,872) --
Laboratory Corp of America
Holdings ........................ (FEDEF-1D) 10/04/17 (36) (4,512) --
Legg Mason Inc .................... (FEDEF-1D) 10/04/17 (101) (2,901) --
Leucadia National Corp ............ (FEDEF-1D) 10/04/17 (957) (17,867) --
Level 3 Communications Inc ........ (FEDEF-1D) 10/04/17 (88) (4,941) --
Linear Technology Corp ............ (FEDEF-1D) 10/04/17 (163) (9,790) --
Loews Corp ........................ (FEDEF-1D) 10/04/17 (316) (13,597) --
Marathon Oil Corp ................. (FEDEF-1D) 10/04/17 (70) (923) --
Marriott International Inc ........ (FEDEF-1D) 10/04/17 (18) (1,237) --
Michael Kors Holdings Ltd ......... (FEDEF-1D) 10/04/17 (35) (1,777) --
Micron Technology Inc ............. (FEDEF-1D) 10/04/17 (165) (2,831) --
Monster Beverage Corp ............. (FEDEF-1D) 10/04/17 (8) (1,155) --
Moody's Corp ...................... (FEDEF-1D) 10/04/17 (115) (11,560) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
13
Winton Diversified Opportunities Fund
[LOGO OMITTED] October 31, 2016
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
---------------------------------------------------------------------------------------------------------
Mosaic Co ......................... (FEDEF-1D) 10/04/17 (152) (3,577) --
Murphy Oil Corp ................... (FEDEF-1D) 10/04/17 (36) (931) --
National Oilwell Varco Inc ........ (FEDEF-1D) 10/04/17 (93) (2,985) --
Navient Corp ...................... (FEDEF-1D) 10/04/17 (104) (1,329) --
Netflix Inc ....................... (FEDEF-1D) 10/04/17 (4) (499) --
New York Community Bancorp Inc .... (FEDEF-1D) 10/04/17 (1,536) (22,057) --
Newell Brands Inc ................. (FEDEF-1D) 10/04/17 (126) (6,051) --
News Corp ......................... (FEDEF-1D) 10/04/17 (381) (4,618) --
News Corp ......................... (FEDEF-1D) 10/04/17 (167) (2,071) --
Noble Energy Inc .................. (FEDEF-1D) 10/04/17 (51) (1,758) --
NRG Energy Inc .................... (FEDEF-1D) 10/04/17 (105) (1,116) --
Occidental Petroleum Corp ......... (FEDEF-1D) 10/04/17 (721) (52,568) --
ONEOK Inc ......................... (FEDEF-1D) 10/04/17 (32) (1,550) --
Owens-Illinois Inc ................ (FEDEF-1D) 10/04/17 (156) (3,011) --
Pentair PLC ....................... (FEDEF-1D) 10/04/17 (403) (22,217) --
Perrigo Co PLC .................... (FEDEF-1D) 10/04/17 (63) (5,241) --
Pfizer Inc ........................ (FEDEF-1D) 10/04/17 (126) (3,995) --
PG&E Corp ......................... (FEDEF-1D) 10/04/17 (352) (21,866) --
Phillips 66 ....................... (FEDEF-1D) 10/04/17 (120) (9,738) --
Pinnacle West Capital Corp ........ (FEDEF-1D) 10/04/17 (31) (2,360) --
Pioneer Natural Resources Co ...... (FEDEF-1D) 10/04/17 (43) (7,698) --
Pitney Bowes Inc .................. (FEDEF-1D) 10/04/17 (196) (3,497) --
Prologis Inc ...................... (FEDEF-1D) 10/04/17 (22) (1,148) --
Public Service Enterprise
Group Inc ....................... (FEDEF-1D) 10/04/17 (25) (1,052) --
PulteGroup Inc .................... (FEDEF-1D) 10/04/17 (723) (13,448) --
Quanta Services Inc ............... (FEDEF-1D) 10/04/17 (87) (2,501) --
Red Hat Inc ....................... (FEDEF-1D) 10/04/17 (252) (19,517) --
Regeneron Pharmaceuticals Inc ..... (FEDEF-1D) 10/04/17 (52) (17,941) --
Royal Caribbean Cruises Ltd ....... (FEDEF-1D) 10/04/17 (33) (2,537) --
Ryder System Inc .................. (FEDEF-1D) 10/04/17 (30) (2,082) --
S&P Global Inc .................... (FEDEF-1D) 10/04/17 (76) (9,261) --
salesforce.com Inc ................ (FEDEF-1D) 10/04/17 (281) (21,120) --
Schlumberger Ltd .................. (FEDEF-1D) 10/04/17 (291) (22,765) --
Sealed Air Corp ................... (FEDEF-1D) 10/04/17 (208) (9,491) --
Sempra Energy ..................... (FEDEF-1D) 10/04/17 (246) (26,347) --
Signet Jewelers Ltd ............... (FEDEF-1D) 10/04/17 (21) (1,706) --
Southern Co ....................... (FEDEF-1D) 10/04/17 (114) (5,879) --
Spectra Energy Corp ............... (FEDEF-1D) 10/04/17 (530) (22,159) --
St Jude Medical Inc ............... (FEDEF-1D) 10/04/17 (493) (38,375) --
Stanley Black & Decker Inc ........ (FEDEF-1D) 10/04/17 (51) (5,806) --
Stericycle Inc .................... (FEDEF-1D) 10/04/17 (89) (7,128) --
Stryker Corp ...................... (FEDEF-1D) 10/04/17 (1) (115) --
Symantec Corp ..................... (FEDEF-1D) 10/04/17 (296) (7,409) --
Synchrony Financial ............... (FEDEF-1D) 10/04/17 (80) (2,287) --
Teradata Corp ..................... (FEDEF-1D) 10/04/17 (97) (2,615) --
Textron Inc ....................... (FEDEF-1D) 10/04/17 (47) (1,884) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
14
Winton Diversified Opportunities Fund
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--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
---------------------------------------------------------------------------------------------------------
Toll Brothers Inc ................. (FEDEF-1D) 10/04/17 (20) (549) --
Torchmark Corp .................... (FEDEF-1D) 10/04/17 (74) (4,692) --
Tractor Supply Co ................. (FEDEF-1D) 10/04/17 (76) (4,760) --
Transocean Ltd .................... (FEDEF-1D) 10/04/17 (132) (1,269) --
TripAdvisor Inc ................... (FEDEF-1D) 10/04/17 (200) (12,896) --
Twenty-First Century Fox Inc ...... (FEDEF-1D) 10/04/17 (234) (6,175) --
Under Armour Inc .................. (FEDEF-1D) 10/04/17 (107) (3,328) --
Union Pacific Corp ................ (FEDEF-1D) 10/04/17 (145) (12,786) --
United Continental Holdings Inc ... (FEDEF-1D) 10/04/17 (27) (1,518) --
United Rental Inc ................. (FEDEF-1D) 10/04/17 (13) (984) --
Varian Medical Systems Inc ........ (FEDEF-1D) 10/04/17 (94) (8,529) --
Vertex Pharmaceuticals Inc ........ (FEDEF-1D) 10/04/17 (13) (986) --
VF Corp ........................... (FEDEF-1D) 10/04/17 (192) (10,408) --
Vornado Realty Trust .............. (FEDEF-1D) 10/04/17 (1) (93) --
Vulcan Materials Co ............... (FEDEF-1D) 10/04/17 (64) (7,245) --
Walgreens Boots Alliance Inc ...... (FEDEF-1D) 10/04/17 (22) (1,820) --
Weyerhaeuser Co ................... (FEDEF-1D) 10/04/17 (159) (4,759) --
Whole Foods Market Inc ............ (FEDEF-1D) 10/04/17 (260) (7,355) --
WW Grainger Inc ................... (FEDEF-1D) 10/04/17 (3) (624) --
Wynn Resorts Ltd .................. (FEDEF-1D) 10/04/17 (85) (8,037) --
Xcel Energy Inc ................... (FEDEF-1D) 10/04/17 (146) (6,066) --
Yahoo! Inc ........................ (FEDEF-1D) 10/04/17 (521) (21,648) --
Zimmer Biomet Holdings Inc ........ (FEDEF-1D) 10/04/17 (246) (25,928) --
Zions Bancorporation .............. (FEDEF-1D) 10/04/17 (63) (2,029) --
------------
--
============
FEDEF -- FEDERAL FUNDS RATE
For the year ended October 31, 2016, the notional amounts of all open swap
agreements, as presented in the table above, is representative of the volume of
activity for this derivative type.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
15
Winton Diversified Opportunities Fund
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--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
A list of open futures contracts held by the Fund at October 31, 2016 are as
follows:
--------------------------------------------------------------------------------
TYPE OF CONTRACT NUMBER OF EXPIRATION UNREALIZED
CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
--------------------------------------------------------------------------------
3-Month Euro EURIBOR .......... 1 Jun-2017 (193)
3-Month Euro EURIBOR .......... 3 Sep-2017 (884)
3-Month Euro EURIBOR .......... 3 Dec-2017 (870)
3-Month Euro EURIBOR .......... 3 Mar-2018 (1,091)
3-Month Euro EURIBOR .......... 3 Jun-2018 (1,187)
3-Month Euro EURIBOR .......... 3 Sep-2018 (1,310)
3-Month Euro EURIBOR .......... 3 Dec-2018 (1,116)
3-Month Euro EURIBOR .......... 3 Mar-2019 (1,560)
3-Month Euro EURIBOR .......... 3 Jun-2019 (1,200)
3-Month Euro EURIBOR .......... 2 Sep-2019 (977)
3-Month Euro EURIBOR .......... 1 Dec-2019 (300)
90-Day Bank Bill .............. 1 Dec-2016 (200)
90-Day Bank Bill .............. 2 Mar-2017 (360)
90-Day Bank Bill .............. 1 Jun-2017 (200)
90-Day Bank Bill .............. 1 Sep-2017 (265)
90-Day Euro$ .................. 3 Jun-2017 (1,013)
90-Day Euro$ .................. 4 Sep-2017 (1,150)
90-Day Euro$ .................. 4 Dec-2017 (1,163)
90-Day Euro$ .................. 4 Mar-2018 (1,350)
90-Day Euro$ .................. 4 Jun-2018 (1,200)
90-Day Euro$ .................. 4 Sep-2018 (1,625)
90-Day Euro$ .................. 4 Dec-2018 (2,076)
90-Day Euro$ .................. 3 Mar-2019 (1,413)
90-Day Euro$ .................. 3 Jun-2019 (975)
90-Day Euro$ .................. 2 Sep-2019 (576)
90-Day Euro$ .................. 1 Dec-2019 (201)
90-Day Sterling ............... 2 Jun-2017 (527)
90-Day Sterling ............... 4 Sep-2017 (1,144)
90-Day Sterling ............... 4 Dec-2017 (1,195)
90-Day Sterling ............... 4 Mar-2018 (1,358)
90-Day Sterling ............... 4 Jun-2018 (1,657)
90-Day Sterling ............... 4 Sep-2018 (1,912)
90-Day Sterling ............... 4 Dec-2018 (1,201)
90-Day Sterling ............... 3 Mar-2019 (1,747)
90-Day Sterling ............... 3 Jun-2019 (1,679)
90-Day Sterling ............... 2 Sep-2019 (1,317)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
16
Winton Diversified Opportunities Fund
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--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
TYPE OF CONTRACT NUMBER OF EXPIRATION UNREALIZED
CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
--------------------------------------------------------------------------------
90-Day Sterling ............... 1 Dec-2019 61
AUD/USD Currency .............. 10 Dec-2016 1,347
Australian 3-Year Bond ........ (1) Dec-2016 (96)
Australian 10-Year Bond ....... 3 Dec-2016 (7,175)
Brent Crude Oil ............... (2) Jan-2017 6,719
Brent Crude Oil ............... (1) Feb-2017 4,009
CAC40 10 Euro ................. 3 Nov-2016 (101)
CAD Bank Acceptance ........... (1) Dec-2016 (48)
CAD Currency .................. (2) Dec-2016 1,615
Canadian 10-Year Bond ......... 1 Dec-2016 (1,482)
CHF Currency .................. (5) Dec-2016 6,535
Cocoa ......................... (2) Dec-2016 4,960
Cocoa ......................... (1) Mar-2017 3,190
Cocoa (ICE) ................... (1) Dec-2016 (265)
Coffee 'C' .................... (2) Dec-2016 (17,625)
Coffee Robusta ................ (1) Jan-2017 (151)
Copper ........................ (1) Dec-2016 (2,813)
Corn .......................... (10) Dec-2016 (8,587)
Corn .......................... (5) Mar-2017 (3,725)
Cotton No. 2 .................. 2 Dec-2016 (1,365)
Cotton No. 2 .................. 1 Mar-2017 2,255
Dax Index ..................... 1 Dec-2016 8,088
DJIA E-MINI CBOT .............. 2 Dec-2016 (455)
E-MINI MSCI Emerging Index .... 8 Dec-2016 389
Euro Currency ................. (32) Dec-2016 47,002
Euro-Bobl ..................... 12 Dec-2016 (9,213)
Euro-BTP ...................... 2 Dec-2016 (5,885)
Euro-Bund ..................... 8 Dec-2016 (24,956)
Euro-Oat ...................... 1 Dec-2016 (3,248)
Euro-Schatz ................... 27 Dec-2016 (1,917)
Euro-Stoxx 50 ................. 17 Dec-2016 5,722
FTSE 100 Index ................ 5 Dec-2016 9,560
FTSE China A50 ................ 5 Nov-2016 (416)
FTSE/JSE Top 40 Index ......... (1) Dec-2016 570
GBP Currency .................. (23) Dec-2016 118,347
Gold 100 OZ ................... 3 Dec-2016 (24,700)
Hang Seng Index ............... 4 Nov-2016 (14,197)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
17
Winton Diversified Opportunities Fund
[LOGO OMITTED] October 31, 2016
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
TYPE OF CONTRACT NUMBER OF EXPIRATION UNREALIZED
CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
--------------------------------------------------------------------------------
H-shares Index ................ 3 Nov-2016 (3,665)
Japanese 10-Year Bond ......... 1 Dec-2016 (3,309)
Japanese Yen Currency ......... 14 Dec-2016 (38,046)
Kansas City Hard Red Wheat
Future ...................... (3) Dec-2016 3,450
Kansas City Hard Red Wheat
Future ...................... (1) Mar-2017 763
Lean Hogs ..................... (2) Dec-2016 (3,591)
Live Cattle ................... (1) Dec-2016 520
LME Copper .................... (1) Nov-2016 (5,144)
LME Copper .................... (1) Jan-2017 (4,199)
LME Lead ...................... (1) Jan-2017 25
LME Nickel .................... 1 Nov-2016 570
LME Prime Aluminum ............ 1 Nov-2016 1,414
LME Prime Aluminum ............ 2 Jan-2017 2,397
Long Gilt 10-Year Bond ........ 1 Dec-2016 (7,109)
Mexican Peso .................. 6 Dec-2016 (1,228)
Mill Wheat .................... (1) Dec-2016 (229)
MSCI Taiwan Index ............. 4 Nov-2016 (938)
NASDAQ 100 E-MINI ............. 12 Dec-2016 (4,367)
New Zealand 3-Month T-Bill .... 1 Mar-2017 4
New Zealand Currency .......... 1 Dec-2016 (1,865)
Nikkei 225 Index .............. 2 Dec-2016 9,682
NY Harbor ..................... (1) Dec-2016 3,624
OMX Index ..................... 5 Nov-2016 (341)
Red Wheat ..................... (1) Dec-2016 (1,025)
Russell 2000 Index E-MINI ..... 6 Dec-2016 (24,146)
S&P 500 Index E-MINI .......... (35) Dec-2016 27,411
S&P Mid 400 Index E-MINI ...... 1 Dec-2016 (720)
S&P TSE 60 Index .............. 1 Dec-2016 4,126
SGX Nifty 50 .................. 2 Nov-2016 (703)
Silver ........................ 1 Dec-2016 (4,520)
Soybean ....................... 2 Jan-2017 1,936
Soybean ....................... 1 Mar-2017 1,024
Soybean Meal .................. (1) Dec-2016 (1,701)
Soybean Oil ................... 3 Dec-2016 1,481
Soybean Oil ................... 1 Jan-2017 1,146
SPI 200 Index ................. 3 Dec-2016 (8,087)
Sugar #11 ..................... 3 Mar-2017 (3,584)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
18
Winton Diversified Opportunities Fund
[LOGO OMITTED] October 31, 2016
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
TYPE OF CONTRACT NUMBER OF EXPIRATION UNREALIZED
CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
--------------------------------------------------------------------------------
Sugar #11 ..................... 2 May-2017 (2,129)
Topix Index ................... 2 Dec-2016 7,171
U.S. 2-Year Treasury Note ..... (10) Dec-2016 343
U.S. 5-Year Treasury Note ..... (6) Dec-2016 2,163
U.S. 10-Year Treasury Note .... 8 Dec-2016 (9,032)
U.S. Long Treasury Bond ....... 3 Dec-2016 (19,625)
U.S. Ultra Long Treasury Bond . 2 Dec-2016 (21,625)
Wheat ......................... (4) Dec-2016 1,624
Wheat ......................... (2) Mar-2017 1,713
WTI Crude Oil ................. (4) Dec-2016 13,208
WTI Crude Oil ................. (2) Jan-2017 7,829
---------
(23,547)
=========
AUD -- AUSTRALIAN DOLLAR
Bobl -- GERMAN FEDERAL OBLIGATIONS
BTP -- LONG ITALIAN BOND
CAC -- COTATION ASSISTEE EN CONTINU (PARIS STOCK EXCHANGE)
CAD -- CANADIAN DOLLAR
CBOT -- CHICAGO BOARD OF TRADE
CHF -- SWISS FRANC
DAX -- DEUTSCHE BOERSE AG GERMAN STOCK INDEX
DJIA -- DOW JONES INDUSTRIAL AVERAGE
EURIBOR -- EURO INTERBANK OFFERED RATE
E-MINI -- FUTURES CONTRACT 1/5 THE SIZE OF A STANDARD CONTRACT
FTSE -- FINANCIAL TIMES STOCK EXCHANGE
GBP -- BRITISH POUND
ICE -- INTERCONTINENTAL EXCHANGE
JSE -- JOHANNESBURG STOCK EXCHANGE
LME -- LONDON METAL EXCHANGE
MSCI -- MORGAN STANLEY CAPITAL INTERNATIONAL
Oat -- OBLIGATIONS ASSIMILABLES DU TRESOR (FRENCH GOVERNMENT)
OMX -- STOCKHOLM STOCK EXCHANGE
OZ -- OUNCE
S&P -- STANDARD & POORS
SGX -- SINGAPORE EXCHANGE
Schatz -- SHORT-TERM GERMAN FEDERAL OBLIGATIONS
SPI -- SHARE PRICE INDEX
TSE -- TORONTO STOCK EXCHANGE
WTI -- WEST TEXAS INTERMEDIATE
USD -- UNITED STATES DOLLAR
For the year ended October 31, 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. As of October 31, 2016, the Fund's net assets
were $11,615,548.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
19
Winton Diversified Opportunities Fund
[LOGO OMITTED] October 31, 2016
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
The following shows the levels of inputs used as of October 31, 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 313,993 -- -- 313,993
Unrealized depreciation (337,540) -- -- (337,540)
Equity Swaps*
Unrealized appreciation -- -- -- --
Unrealized depreciation -- -- -- --
--------- ------ ------ --------
Total Financial Instruments (23,547) -- -- (23,547)
========= ====== ====== =========
* EQUITY SWAPS REFLECT A FAIR VALUE OF $0 AT THE CLOSE OF BUSINESS ON
OCTOBER 31, 2016 AS THE MONTHLY REALIZATION OF GAINS AND LOSSES ON THESE
POSITIONS WAS CRYSTALLIZED ON OCTOBER 31, 2016, UPON THE MONTHLY RE-SET.
THE CUMULATIVE NET REALIZED LOSS FOR THE YEAR ENDED OCTOBER 31, 2016 WAS
$627,582.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
20
Winton Diversified Opportunities Fund
[LOGO OMITTED] October 31, 2016
--------------------------------------------------------------------------------
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
ASSETS: $
------------
Cash ............................................................. 7,533,676
Cash collateral on derivative contracts .......................... 3,159,274
Deposits held with broker (Note 2) ............................... 626,129
Foreign currency (Cost $433,569) ................................. 432,841
Due from broker (Note 2) ......................................... 149,180
Receivable from Investment Adviser (Note 7) ...................... 61,203
Dividends receivable ............................................. 4,685
Prepaid expenses ................................................. 1,457
------------
Total assets ............................................. 11,968,445
------------
LIABILITIES:
Due to broker (Note 2) ........................................... 217,300
Payable due to Administrator (Note 6) ............................ 13,975
Interest payable (Note 2) ........................................ 3,974
Chief Compliance Officer fees payable (Note 5) ................... 2,051
Dividends payable (Note 2) ....................................... 763
Payable due to Trustees .......................................... 309
Other accrued expenses ........................................... 114,525
------------
Total liabilities ........................................ 352,897
------------
NET ASSETS ....................................................... 11,615,548
============
Net assets consist of:
Paid-in capital .................................................. 13,336,372
Distributions in excess of net investment income ................. (392,354)
Accumulated net realized loss on futures contracts, swap
contracts and foreign currency transactions .................... (1,304,195)
Net unrealized depreciation on futures contracts ................. (23,547)
Net unrealized depreciation on foreign currency translation ...... (728)
------------
NET ASSETS ....................................................... 11,615,548
============
NET ASSET VALUE, Offering and Redemption Price Per Share --
Class I shares (unlimited authorization -- no par value)
($11,615,548 / 697,002 shares) ................................. 16.67
============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
21
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
CONSOLIDATED STATEMENT OF OPERATIONS
INVESTMENT INCOME $
------------
Dividends ....................................................... 260,859
Less: foreign taxes withheld .................................... (2,954)
------------
Total investment income ..................................... 257,905
------------
EXPENSES
Professional fees ............................................... 202,655
Administration fees (Note 6) .................................... 165,073
Investment advisory fees (Note 7) ............................... 137,393
Dividend expense (Note 2) ....................................... 86,050
Interest expense (Note 2) ....................................... 65,627
Custodian fees .................................................. 36,917
Printing fees ................................................... 33,240
Transfer Agent fees ............................................. 26,647
Insurance and other expenses .................................... 25,377
Trustees' fees .................................................. 16,303
Chief Compliance Officer fees (Note 5) .......................... 6,317
------------
TOTAL EXPENSES .............................................. 801,599
------------
LESS:
Investment advisory fees waived (Note 7) ........................ (137,393)
Reimbursement from Investment Adviser (Note 7) .................. (335,639)
------------
NET EXPENSES ................................................ 328,567
------------
NET INVESTMENT LOSS ............................................. (70,662)
------------
NET REALIZED (LOSS)/GAIN ON:
Futures contracts ............................................. (989,621)
Swap contracts ................................................ (627,582)
Foreign currency transactions ................................. 4,910
------------
(1,612,293)
------------
NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON:
Futures contracts ............................................. 742,403
Foreign currency and translation of other assets and
liabilities denominated in foreign currency ................ (224)
------------
742,179
------------
Net realized loss and unrealized depreciation ................... (870,114)
------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS ............ (940,776)
============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
22
[LOGO OMITTED] Winton Diversified Opportunities Fund
--------------------------------------------------------------------------------
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
YEAR ENDED PERIOD ENDED
OCTOBER 31, OCTOBER 31,
2016 2015*
OPERATIONS: $ $
----------- ------------
Net investment loss ................................. (70,662) (11,831)
Net realized gain/(loss) on futures contracts, swap
contracts and foreign currency transactions ....... (1,612,293) 513,971
Net change in unrealized appreciation/
(depreciation) on futures contracts, foreign
currency and translation of other assets and
liabilities denominated in foreign currency ....... 742,179 (766,454)
----------- ---------
Net decrease in net assets resulting
from operations ................................... (940,776) (264,314)
----------- ---------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net investment income ............................... (773,521) --
Return of capital ................................... (51) --
----------- ---------
TOTAL DIVIDENDS AND DISTRIBUTIONS ................... (773,572) --
----------- ---------
CAPITAL SHARE TRANSACTIONS(1):
CLASS I SHARES
Issued .............................................. 2,931,083 9,900,000
Reinvestment of dividends ........................... 663,127 --
----------- ---------
Net increase in net assets from capital
share transactions ................................ 3,594,210 9,900,000
----------- ---------
Total increase in net assets ........................ 1,879,862 9,635,686
----------- ---------
NET ASSETS:
Beginning of year/period ............................ 9,735,686 100,000
----------- ---------
End of year/period .................................. 11,615,548 9,735,686
=========== =========
(Distributions in excess of)/undistributed
net investment income ............................. (392,354) 771,447
=========== =========
* THE FUND COMMENCED OPERATIONS ON SEPTEMBER 30, 2015.
(1) SEE NOTE 10 -- SHARE TRANSACTIONS IN NOTES TO THE CONSOLIDATED FINANCIAL
STATEMENTS.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
23
[LOGO OMITTED] Winton Diversified Opportunities Fund
--------------------------------------------------------------------------------
CONSOLIDATED FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA & RATIOS
FOR A SHARE OUTSTANDING THROUGHOUT THE YEAR/PERIOD
YEAR ENDED PERIOD ENDED
OCTOBER 31, OCTOBER 31,
2016 2015*
CLASS I SHARES $ $
--------- --------
Net asset value, beginning of year/period ................ 19.47 20.00
--------- --------
INCOME FROM OPERATIONS:
Net investment loss(1) ................................... (0.12) (0.02)
Net realized and unrealized loss on investments .......... (1.21) (0.51)
--------- --------
Total from operations .................................... (1.33) (0.53)
--------- --------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net investment income .................................. (1.47) --
Return of capital ...................................... -- --
--------- --------
Total dividends and distributions ........................ (1.47) --
--------- --------
Net asset value, end of year/period ...................... 16.67 19.47
========= ========
TOTAL RETURN+ ............................................ (7.46)% (2.65)%
========= ========
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of year/period ($ Thousands) ............. $11,616 $9,736
Ratio of expenses to average net assets (including
dividend expense, interest expense, waivers and
reimbursements)(2) ..................................... 2.99% 2.72%(2)
Ratio of expenses to average net assets (including
dividend expense, interest expense, excluding
waivers and reimbursements) ............................ 7.30% 15.98%(2)
Ratio of net investment loss to average net assets ....... (0.64)% (1.43)%(2)
Portfolio turnover rate(4) ............................... 0.00% 0.00%
* THE FUND COMMENCED OPERATIONS ON SEPTEMBER 30, 2015.
(1) PER SHARE CALCULATIONS WERE PERFORMED USING AVERAGE SHARES FOR THE PERIOD.
(2) EXCLUDING DIVIDEND AND INTEREST EXPENSE, THE RATIOS OF EXPENSES TO NET
ASSETS WOULD HAVE BEEN 1.61%AND 1.61%, RESPECTIVELY.
(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 YEAR OR PERIOD. THESE HOLDINGS ARE
SPECIFICALLY EXCLUDED FROM THE PORTFOLIO TURNOVER RATECALCULATION.
+ 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.
AMOUNTS DESIGNATED AS "--" ARE $0.00 OR HAVE BEEN ROUNDED TO $0.00.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
24
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
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
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'sinvestment 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
25
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
1. ORGANIZATION (CONTINUED)
on statistical 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").
An updated 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 Financial Services -- Investment
Companies 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
26
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
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
27
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
e) SECURITIES SOLD SHORT (CONTINUED) --
sale will be retained by the broker, to the extent necessary to meet margin
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.
28
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
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
October 31, 2016.
All swaps held by the Fund during the year ended October 31, 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) 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.
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.
29
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
i) FEDERAL INCOME TAXES (CONTINUED)--
As of and during the year ended October 31, 2016, the Fund did not have a
liability for any unrecognized taxable benefits.
j) 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.
Dividends are 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.
k) 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.
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.
l) 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.
30
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
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.
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
31
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
3. INVESTMENTS (CONTINUED)
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 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 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
32
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
3. INVESTMENTS (CONTINUED)
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.
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 year ended October 31, 2016.
For the year ended October 31, 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 year ended October 31, 2016, the Fund and Subsidiary purchased
5,952,453 swap contracts and closed 6,302,199 swap contracts for a realized
loss of $627,582 with 149,534 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 year ended October 31, 2016, the Fund and Subsidiary purchased 2,970
futures contracts and closed 3,125 futures contracts for a realized loss of
$989,621 with 482 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.
33
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
4. BASIS FOR CONSOLIDATION FOR THE SUBSIDIARY
The Consolidated Statement of Assets and Liabilities, Consolidated Schedule of
Investments, Consolidated Statement of Operations, Consolidated Statements of
Changes in Net Assets, Consolidated Financial Highlights and the Notes to the
Consolidated Financial Statements of the Fund include the accounts of its
Subsidiary. All intercompany balances and transactions have been eliminated on
consolidation of the Subsidiary.
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 October 31, 2016 were $674,520, which
represented 5.81% of the net assets of the Fund.
Income, gains and losses attributed to the Fund's investments in the
Subsidiary, during the year ended October 31, 2016, are as follows:
$
---------
INVESTMENT INCOME:
Interest income ............................. --
NET REALIZED GAIN/(LOSS) ON:
Futures contracts ........................... (245,078)
Swap contracts .............................. --
Foreign currency transactions ............... (4,714)
NET CHANGE IN UNREALIZED DEPRECIATION ON:
Futures contracts ........................... (892)
Foreign currency translation ................ (391)
---------
TOTAL INCOME, GAINS AND LOSSES ATTRIBUTED TO
THE FUND'S INVESTMENTS IN THE SUBSIDIARY .... (251,075)
=========
5. TRANSACTIONS WITH AFFILIATES
An affiliate of the Adviser holds 77% of the Class I shares as of October 31,
2016.
Certain officers of the Fund are also employees 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.
34
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
5. TRANSACTIONS WITH AFFILIATES (CONTINUED)
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 are reviewed and approved by the Board. The Fund
pays these fees to the Administrator.
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 year ended October 31, 2016, the
Fund paid $165,073 for these services, of which $13,975 was outstanding at
October 31, 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, 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
35
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
7. INVESTMENT ADVISORY AGREEMENT (CONTINUED)
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 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. During the year ended October 31, 2016, fees which were
waived and/or reimbursed by the Adviser were $335,639.
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.
36
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
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.
The following permanent differences primarily attributable to swap re-classes,
return of capital, net operating loss and foreign currency realized gain/(loss)
have been reclassified to/from the following accounts during the fiscal year
ended October 31, 2016:
$
----------
Undistributed net investment loss ................ (319,567)
Accumulated realized gain ........................ 577,405
Paid-in capital .................................. (257,838)
These reclassifications have no impact on net assets or net asset value per
share.
The tax character of dividends and distributions declared by the Fund during
the last two fiscal years were as follows:
ORDINARY LONG-TERM RETURN OF
INCOME CAPITAL GAIN CAPITAL TOTAL
$ $ $ $
-------- ------------ --------- -------
2016 .......... 773,521 -- 51 773,572
2015 .......... -- -- -- --
As of October 31, 2016, the components of Accumulated Losses on a tax basis
were as follows:
$
-----------
Capital loss carryforwards short-term ............ (404,306)
Capital loss carryforwards long-term ............. (578,312)
Late year loss deferral .......................... (372,561)
Unrealized depreciation .......................... (347,666)
Other temporary differences ...................... (17,979)
-----------
Total Accumulated Losses ......................... (1,720,824)
===========
37
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
8. FEDERAL TAX INFORMATION (CONTINUED)
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. During the year ended October 31, 2016 the
Fund utilized long term capital losses of $28,127 to offset capital gains.
Late year loss deferrals represent ordinary losses realized on investment
transactions from January 1, 2016 through October 31, 2016, that, in accordance
with Federal income tax regulations, the Fund defers and treats as having
arisen in the following fiscal year.
Other temporary differences are primarily mark to market gain from open
futures.
9. DERIVATIVE TRANSACTIONS
The fair value of derivative instruments as of October 31, 2016 was as
follows:
--------------------------------------------------------------------------------
ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------------------------------------------------------------------------
($) ($)
--------------------------------------------------------------------------------
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS:*
COMMODITY CONTRACTS
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 63,857 contracts 85,694
EQUITY CONTRACTS
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 72,719 contracts 57,795
FOREIGN EXCHANGE CONTRACTS
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 174,846 contracts 41,139
INTEREST RATE CONTRACTS
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 2,571 contracts 152,912
------- -------
TOTAL DERIVATIVES NOT ACCOUNTED
FOR AS HEDGING INSTRUMENTS 313,993 337,540
======= =======
* INCLUDES CUMULATIVE APPRECIATION/DEPRECIATION OF FUTURES CONTRACTS AS
REPORTED IN THE CONSOLIDATED SCHEDULE OF INVESTMENTS. ONLY CURRENT DAY'S
VARIATION MARGIN, AS OF OCTOBER 31, 2016 IS REPORTED WITHIN THE
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES.
38
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
9. DERIVATIVE TRANSACTIONS (CONTINUED)
The tables below show the effect of derivative instruments on the Consolidated
Statement of Operations for the year ended October 31, 2016.
Amount of realized gain/(loss) on derivatives recognized in income:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS
FUTURES SWAPS TOTAL
$ $ $
---------- -------- ----------
Commodity contracts ............. (245,078) -- (245,078)
Equity contracts ................ (1,241,146) (627,582) (1,868,728)
Foreign exchange contracts ...... (24,611) -- (24,611)
Interest rate contracts ......... 521,214 -- 521,214
---------- -------- ----------
Total ......................... (989,621) (627,582) (1,617,203)
========== ======== ==========
Change in unrealized appreciation/(depreciation) on derivatives recognized in
income:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS
FUTURES SWAPS TOTAL
$ $ $
--------- ------- ---------
Commodity contracts ............... (1,234) -- (1,234)
Equity contracts .................. 760,946 -- 760,946
Foreign exchange contracts ........ 121,312 -- 121,312
Interest rate contracts ........... (138,621) -- (138,621)
--------- ------- ---------
Total ........................... 742,403 -- 742,403
========= ======= =========
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
39
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
10. SHARE TRANSACTIONS (CONTINUED)
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.
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. There were no redemption requests by
investors during the year ended October 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.
40
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
10. SHARE TRANSACTIONS (CONTINUED)
The share transactions for the Fund are shown below:
YEAR ENDED PERIOD ENDED
OCTOBER 31, OCTOBER 31,
2016 2015*
----------- ------------
Shares transactions:
CLASS I SHARES
Issued ...................................... 160,566 495,000
Reinvestment of dividends ................... 36,436 --
------- -------
INCREASE IN CLASS I SHARES .................. 197,002 495,000
------- -------
Net increase in shares outstanding .......... 197,002 495,000
======= =======
* THE FUND COMMENCED OPERATIONS ON SEPTEMBER 30, 2015.
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 October 31,
2016 are set out in the Consolidated 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.
41
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
11. RISKS ASSOCIATED WITH FINANCIAL INSTRUMENTS (CONTINUED)
a) MARKET RISK (CONTINUED) --
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 or 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.
III) DERIVATIVES RISK -- The Fund's and Subsidiary's use of futures
contracts, forward contracts, options and swaps will be subject to,
inter alia, 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. 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 oroperations.
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.
42
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
11. RISKS ASSOCIATED WITH FINANCIAL INSTRUMENTS (CONTINUED)
a) MARKET RISK (CONTINUED) --
IV) OTHER PRICE RISK (CONTINUED) --
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.
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,
43
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
11. RISKS ASSOCIATED WITH FINANCIAL INSTRUMENTS (CONTINUED)
e) SUBSIDIARY RISK (CONTINUED) --
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 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. REGULATORY MATTERS
In October 2016, the Securities and Exchange Commission (the "SEC") released
its Final Rule on Investment Company Reporting Modernization (the "Rule").
The Rule which introduces two new regulatory reporting forms for investment
companies -- Form N-PORT and Form N-CEN -- also contains amendments to
Regulation S-X which impact financial statement presentation, particularly the
presentation of derivative investments. Although still evaluating the impact of
the Rule, management believes that many of the Regulation S-X amendments are
consistent with the Fund's current financial statement presentation and expects
that the Fund will be able to comply with the Rule's Regulation S-X amendments
by the August 1, 2017 compliance date.
14. 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 October 31, 2016.
44
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees and Shareholders of
Winton Diversified Opportunities Fund:
We have audited the accompanying consolidated statement of assets and
liabilities of Winton Diversified Opportunities Fund (the "Fund") (and
subsidiary), including the consolidated schedule of investments, as of October
31, 2016, and the related consolidated statement of operations for the year
ending October 31, 2016, the consolidated statements of changes in net assets
and consolidated financial highlights for the year ended October 31, 2016 and
for the period September 30, 2015 (commencement of operations) through October
31, 2015. The consolidated financial statements and consolidated financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on the consolidated financial statements and
consolidated financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2016, by
correspondence with the custodian and brokers or other appropriate auditing
procedures. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the consolidated financial statements and consolidated
financial highlights referred to above present fairly, in all material
respects, the financial position of the Fund (and subsidiary) as of October 31,
2016, the results of their operations, the changes in their net assets, and the
financial highlights for the periods presented in the first paragraph, in
conformity with U.S. generally accepted accounting principles.
KPMG LLP
Philadelphia, Pennsylvania
December 22, 2016
45
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
TRUSTEES AND OFFICERS OF THE FUND
Set forth below are the names, years of birth, position(s) with the Fund,
length of term of office, principal occupations for the last five years, and
other directorships of each of the persons currently serving as Trustees and
Officers of the Fund. Unless otherwise noted, the business address of each
Trustee is SEI Investments Company, 1 Freedom Valley Drive, Oaks, Pennsylvania
19456. Trustees who are deemed not to be "interested persons" of the Fund are
referred to as "Independent Board Members." Mr. Doran is a Trustee who may be
deemed to be "interested" persons of the Fund as that term is defined in the
1940 Act by virtue of their affiliation with the Fund's Distributor. The Fund's
Statement of Additional Information ("SAI") includes additional information
about the Trustees and Officers. The SAI may be obtained without charge by
calling 1-866-330-9999.
The following chart lists Trustees and Officers as of October 31, 2016.
---------------------------------------------------------------------------------------------------------------
NAME AND POSITION(S) PRINCIPAL OTHER DIRECTORSHIPS
YEAR OF BIRTH HELD WITH OCCUPATION(S) HELD IN THE PAST 5 YEARS(4)
THE TRUST AND IN THE PAST 5 YEARS
LENGTH OF
TIME SERVED(1)
---------------------------------------------------------------------------------------------------------------
INTERESTED BOARD MEMBER (2,3)
---------------------------------------------------------------------------------------------------------------
WILLIAM M. Chairman of Self-Employed Current Directorships: Trustee of The Advisors'
DORAN the Board of Consultant since Inner Circle Fund, The Advisors' Inner Circle
1701 Market Street Trustees 2003.Partner at Fund II, The Advisors' Inner Circle Fund III,
Philadelphia, PA (Since 2014) Morgan, Lewis & Bishop Street Funds, SEI Daily Income Trust, SEI
19103 Bockius LLP (law Institutional International Trust, SEI Institutional
(Born: 1940) firm) from 1976 Investments Trust, SEI Institutional Managed
to 2003. Counsel Trust, SEI Asset Allocation Trust, SEI Tax Exempt
to the Trust, SEI Trust, Adviser Managed Trust, New Covenant
Investments, Funds, SEI Insurance Products Trust, and The
SIMC, the KP Funds. Director of SEI Investments (Europe),
Administrator Limited, SEI Investments--Global Funds Services,
and the Limited, SEI Investments Global, Limited, SEI
Distributor. Investments (Asia), Limited, SEI Asset Korea Co.,
Ltd., SEI Global Nominee Ltd., SEI Investments
-- Unit Trust Management (UK) Limited and
Winton Series Trust. Director of the Distributor
since 2003. Former Directorships: Director of SEI
Alpha Strategy Portfolios, LP to 2013. Trustee
of O'Connor EQUUS (closed-end investment
company) to 2016. Trustee of SEI Liquid Asset
Trust to 2016.
---------------------------------------------------------------------------------------------------------------
(1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
DIES, RESIGNS, OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF
TRUST.
(2) DENOTES TRUSTEES WHO MAY BE DEEMED TO BE "INTERESTED" PERSONS OF THE FUND
AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH
THE DISTRIBUTOR AND/OR ITS AFFILIATES.
(3) BOARD MEMBER OVERSEES 1 FUND IN THE TRUST.
(4) DIRECTORSHIPS OF COMPANIES REQUIRED TO REPORT TO THE SECURITIES AND
EXCHANGE COMMISSION UNDER THE SECURITIES EXCHANGE ACT OF 1934 (I.E.,
"PUBLIC COMPANIES") OR OTHER INVESTMENT COMPANIES UNDER THE 1940 ACT.
46
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
TRUSTEES AND OFFICERS OF THE FUND (Continued)
----------------------------------------------------------------------------------------------------------------
NAME AND POSITION(S) PRINCIPAL OCCUPATION(S) OTHER DIRECTORSHIPS
YEAR OF BIRTH HELD WITH IN THE PAST 5 YEARS HELD IN THE PAST 5 YEARS(3)
THE TRUST AND
LENGTH OF
TIME SERVED(1)
----------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES (2)
----------------------------------------------------------------------------------------------------------------
JON HUNT Trustee Retired since Current Directorships: Trustee of City
(Born: 1951) (Since 2014) 2013. Consultant National Rochdale Funds, The Advisors'
to Management, Inner Circle Fund III, and Winton
Convergent Capital Series Trust. Member of Independent
Management, LLC Committee of Nuveen Commodities Asset
("CCM") from 2012 Management. Former Directorships: Trustee
to 2013. Managing of O'Connor EQUUS (closed-end investment
Director and Chief company) to 2016.
Operating Officer, CCM
from 1998 to 2012.
----------------------------------------------------------------------------------------------------------------
THOMAS LEMKE Trustee Retired since 2013. Current Directorships: Independent Director
(Born: 1954) (Since 2014) Executive Vice of Victory Funds. Trustee of AXA Premier
President and General VIP Trust, The Advisors' Inner Circle Fund III,
Counsel, Legg Mason, JP Morgan Active ETFs, and Winton Series
Inc. from 2005 to 2013 Trust. Former Directorships: Director of ICI
Mutual Insurance Company to 2013. Former
Directorships: Trustee of O'Connor EQUUS
(closed-end investment company) to 2016.
----------------------------------------------------------------------------------------------------------------
RANDALL YANKER Trustee Co-Founder and Senior Current Directorships: Trustee of The
(Born: 1960) (Since 2014) Partner, Alternative Advisors' Inner Circle Fund III, and Winton
Asset Managers, L.P. Series Trust. Former Directorships: Trustee
since 2004 of O'Connor EQUUS (closed-end investment
company) to 2016.
----------------------------------------------------------------------------------------------------------------
JAY C. NADEL Trustee Self-Employed Current Directorships: Trustee of City
(Born: 1958) (Since 2016) Consultant since 2004. National Rochdale Funds, Winton Series
Trust, and Gallery Trust. Director of Lapolla
Industries, Inc. Former Directorships:
Trustee of Rochdale Investment Trust to
2013.
----------------------------------------------------------------------------------------------------------------
(1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
DIES, RESIGNS, OR IS REMOVED IN ACCORDANCE WITH THE FUND'S DECLARATION OF
TRUST.
(2) BOARD MEMBERS OVERSEE 1 FUND IN THE TRUST.
(3) DIRECTORSHIPS OF COMPANIES REQUIRED TO REPORT TO THE SECURITIES AND
EXCHANGE COMMISSION UNDER THE SECURITIES EXCHANGE ACT OF 1934 (I.E.,
"PUBLIC COMPANIES") OR OTHER INVESTMENT COMPANIES UNDER THE 1940 ACT.
47
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
TRUSTEES AND OFFICERS OF THE FUND (Continued)
--------------------------------------------------------------------------------------------------------
NAME AND POSITION(S) HELD WITH PRINCIPAL OCCUPATION(S)
YEAR OF BIRTH THE TRUST AND LENGTH IN THE PAST 5 YEARS
OF TIME SERVED
--------------------------------------------------------------------------------------------------------
OFFICERS
--------------------------------------------------------------------------------------------------------
MICHAEL BEATTIE President Director of Client Service, SEI Investments Company,
(Born: 1965) (since 2014) since 2004.
--------------------------------------------------------------------------------------------------------
ROBERT A. NESHER Vice Chairman SEI employee 1974 to present; currently
(Born: 1946) (since 2014) performs various services on behalf of SEI Investments
for which Mr. Nesher is compensated. President and
Director of SEI Structured Credit Fund, LP. President
and Chief Executive Officer of SEI Alpha Strategy
Portfolios, LP, June 2007 to present. President and
Director of SEI Opportunity Fund, L.P. to 2010.
--------------------------------------------------------------------------------------------------------
STEPHEN CONNORS Treasurer, Controller Director, SEI Investments, Fund Accounting since
(Born: 1984) and Chief Financial December 2015. Audit Manager, Deloitte & Touche
Officer LLP, from 2011 to 2014. Audit Supervisor, BBD, LLP
(since 2015) (formerly Briggs, Bunting & Dougherty,
LLP), from 2007 to 2011.
--------------------------------------------------------------------------------------------------------
DIANNE M. Vice President and Counsel at SEI Investments since 2010. Associate at
DESCOTEAUX Secretary Morgan, Lewis & Bockius LLP from 2006 to 2010.
(Born: 1977) (since 2014)
--------------------------------------------------------------------------------------------------------
RUSSELL EMERY Chief Compliance Chief Compliance Officer of SEI Institutional Managed
(Born: 1962) Officer Trust, SEI Asset Allocation Trust, SEI Institutional
(since 2014) International Trust, SEI Institutional Investments
Trust, SEI Daily Income Trust, SEI Tax Exempt Trust,
The Advisors' Inner Circle Fund, The Advisors' Inner
Circle Fund II and Bishop StreetFunds since 2006; SEI
Structured Credit Fund, LP since 2007; SEI Adviser
Managed Trust since 2010; SEI Insurance Products
Trust and The KP Funds since 2013; Winton Series Trust
since 2014; and SEI Catholic Values Trust and Gallery
Trust since 2015. Chief Compliance Officer of SEI Alpha
Strategy Portfolios, LP from 2007 to 2013; SEI Liquid
Asset Trust from 2006 to 2016 and O'Connor EQUUS
(closed-end investment company) from 2014 to 2016.
--------------------------------------------------------------------------------------------------------
48
Winton Diversified Opportunities Fund
[LOGO OMITTED] For the year ended October 31, 2016
--------------------------------------------------------------------------------
TRUSTEES AND OFFICERS OF THE FUND (Continued)
----------------------------------------------------------------------------------------------------
NAME AND POSITION(S) HELD WITH PRINCIPAL OCCUPATION(S)
YEAR OF BIRTH THE TRUST AND LENGTH IN THE PAST 5 YEARS
OF TIME SERVED
----------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
----------------------------------------------------------------------------------------------------
LISA WHITTAKER Vice President and Counsel at SEI Investments since 2012. Associate
(Born: 1978) Assistant Secretary Counsel and Compliance Officer at The Glenmede Trust
(since 2014) Company, N.A. from 2011 to 2012. Associate at Drinker
Biddle & Reath LLP from 2006 to 2011.
----------------------------------------------------------------------------------------------------
JOHNY.KIM Vice President and Attorney, SEI Investment Company (2014-present).
(Born: 1981) Assistant Secretary Associate, Stradley Ronon Stevens & Young, LLP
(since 2014) (2009-2014).
----------------------------------------------------------------------------------------------------
BRIDGET E. SUDALL Anti-Money Laundering Anti-Money Laundering Compliance Officer and
(Born: 1980) Compliance Officer and Privacy Officer since 2015. Senior Associate and
Privacy Officer AML Officer, Morgan Stanley Alternative Investment
(since 2015) Partners, April 2011 to March 2015. Investor Services
Team Lead, Morgan Stanley Alternative Investment
Partners, July 2007 to April 2011.
----------------------------------------------------------------------------------------------------
49
Winton Diversified Opportunities Fund
[LOGO OMITTED] October 31, 2016 (Unaudited)
--------------------------------------------------------------------------------
NOTICE TO SHAREHOLDERS
For shareholders who do not have an October 31, 2016 taxable year end, this
notice is for informational purposes only. For shareholders with an October 31,
2016 taxable year end, please consult your tax adviser as to the pertinence of
this notice. For the fiscal year ended October 31, 2016, the Fund is
designating the following items with regard to distributions paid during the
year.
QUALIFYING
ORDINARY FOR DIVIDENDS QUALIFYING U.S. INTEREST SHORT-TERM
RETURN OF INCOME TOTAL RECEIVED DIVIDEND GOVERNMENT RELATED CAPITAL GAIN
CAPITAL DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2) INTEREST (3) DIVIDEND (4) DIVIDENDS (5)
------------------------------------------------------------------------------------------------------------------------------------
0.01% 99.99% 100.00% 0.01% 0.00% 0.00% 0.00% 0.00%
------------------------------------------------------------------------------------------------------------------------------------
(1) QUALIFYING DIVIDENDS REPRESENT DIVIDENDS WHICH QUALIFY FOR THE CORPORATE
DIVIDENDS RECEIVED DEDUCTION AND IS REFLECTED AS A PERCENTAGE OF ORDINARY
INCOME DISTRIBUTIONS (THE TOTAL OF SHORT TERM CAPITAL GAIN AND NET
INVESTMENT INCOME DISTRIBUTIONS).
(2) THE PERCENTAGE IN THIS COLUMN REPRESENTS THE AMOUNT OF "QUALIFYING
DIVIDEND INCOME" AS CREATED BY THE JOBS AND GROWTH RELIEF RECONCILIATION
ACT OF 2003 AND IS REFLECTED AS A PERCENTAGE OF ORDINARY INCOME
DISTRIBUTIONS (THE TOTAL OF SHORT TERM CAPITAL GAIN AND NET INVESTMENT
INCOME DISTRIBUTIONS). IT IS THE INTENTION OF THE FUND TO DESIGNATE THE
MAXIMUM AMOUNT PERMITTED BY LAW.
(3) "U.S. GOVERNMENT INTEREST" REPRESENTS THE AMOUNT OF INTEREST THAT WAS
DERIVED FROM DIRECT U.S. GOVERNMENT OBLIGATIONS AND DISTRIBUTED DURING THE
FISCAL YEAR. THIS AMOUNT IS REFLECTED AS A PERCENTAGE OF TOTAL ORDINARY
INCOME. GENERALLY, INTEREST FROM DIRECT U.S. GOVERNMENT OBLIGATIONS IS
EXEMPT FROM STATE INCOME TAX. HOWEVER, FOR SHAREHOLDERS WHO ARE RESIDENTS
OF CALIFORNIA, CONNECTICUT AND NEW YORK, THE STATUTORY THRESHOLD
REQUIREMENTS WERE NOT SATISFIED TO PERMIT EXEMPTION OF THESE AMOUNTS FROM
STATE INCOME.
(4) THE PERCENTAGE OF THIS COLUMN REPRESENTS THE AMOUNT OF "INTEREST RELATED
DIVIDEND" AND IS REFLECTED AS A PERCENTAGE OF ORDINARY INCOME DISTRIBUTION.
INTEREST RELATED DIVIDENDS ARE EXEMPTED FROM U.S. WITHHOLDING TAX WHEN PAID
TO FOREIGN INVESTORS.
(5) THE PERCENTAGE OF THIS COLUMN REPRESENTS THE AMOUNT OF "SHORT-TERM CAPITAL
GAIN DIVIDENDS" AND IS REFLECTED AS A PERCENTAGE OF SHORT TERM CAPITAL GAIN
DISTRIBUTION THAT IS EXEMPTED FROM U.S. WITHHOLDING TAX WHEN PAID TO
FOREIGN INVESTORS.
50
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WIN-AR-002-0200
Item 2. CODE OF ETHICS.
The Registrant has adopted a code of ethics that applies to the Registrant's
principal executive officer, principal financial officer, controller or
principal accounting officer, and any person who performs a similar function.
Item 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The Registrant's board of trustees has determined that the Registrant has
at least one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is Thomas Lemke, and he is
independent as defined in Form N-CSR Item 3 (a)(2).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by KPMG LLP ("KPMG") related to the Winton Diversified Opportunities
Fund ("Fund").
KPMG billed the Fund aggregate fees for services rendered to the Trust for the
last two fiscal years as follows:
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Fiscal Year 2016 Fiscal Year 2015
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All fees and All fees and All other All fees and All fees and All other
services to services to fees and services to services to fees and
the Registrant service services to the Registrant service services to
that were affiliates that service that were affiliates that service
pre- were pre- affiliates that pre- were pre- affiliates that
approved approved did not require approved approved did not require
pre-approval pre-approval
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(a) Audit $56,650 $0 $0 $55,000 N/A N/A
Fees(1)
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(b) Audit- $0 $0 $0 N/A N/A N/A
Related
Fees
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(c) Tax $6,300 $0 $0 $8,500 N/A N/A
Fees
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(d) All $0 $0 $0 N/A N/A N/A
Other
Fees(2)
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(e)(1) The Fund's Audit Committee has adopted and the Board of Trustees has
ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"),
which sets forth the procedures and the conditions pursuant to which services
proposed to be performed by the independent auditor of the Fund may be
pre-approved.
The Policy provides that all requests or applications for proposed services to
be provided by the independent auditor must be submitted to the Registrant's
Chief Financial Officer ("CFO") and must include a detailed description of the
services proposed to be rendered. The CFO will determine whether such services:
(1) require specific pre-approval; (2) are included within the list of services
that have received the general pre-approval of the Audit Committee pursuant to
the Policy; or (3) have been previously pre-approved in connection with the
independent auditor's annual engagement letter for the applicable year or
otherwise. In any instance where services require pre-approval, the Audit
Committee will consider whether such services are consistent with SEC's rules
and whether the provision of such services would impair the auditor's
independence.
Requests or applications to provide services that require specific pre-approval
by the Audit Committee will be submitted to the Audit Committee by the CFO. The
Audit Committee will be informed by the CFO on a quarterly basis of all services
rendered by the independent auditor. The Audit Committee has delegated specific
pre-approval authority to either the Audit Committee Chair or financial expert,
provided that the estimated fee for any such proposed pre-approved service does
not exceed $100,000 and any pre-approval decisions are reported to the Audit
Committee at its next regularly scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are
identified and described in the Policy. In addition, the Policy sets forth a
maximum fee per engagement with respect to each identified service that has
received general pre-approval.
All services to be provided by the independent auditor shall be provided
pursuant to a signed written engagement letter with the Registrant, the
investment advisor or applicable control affiliate (except that matters as to
which an engagement letter would be impractical because of timing issues or
because the matter is small may not be the subject of an engagement letter) that
sets forth both the services to be provided by the independent auditor and the
total fees to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on
an annual basis to meet its responsibility to oversee the work of the
independent auditor and to assure the auditor's independence from the
Registrant, such as reviewing a formal written statement from the independent
auditor delineating all relationships between the independent auditor and the
Registrant, and discussing with the independent auditor its methods and
procedures for ensuring independence.
(e)(2) Percentage of fees billed by KPMG to non-audit services pursuant to
waiver of pre-approval requirement were as follows:
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2016 2015
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Audit-Related Fees 0% 0%
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Tax Fees 0% 0%
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All Other Fees 0% 0%
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(f) Not applicable.
(g) The aggregate non-audit fees and services billed by KPMG for fiscal years
2016 and 2015 for services rendered to the Registrant, and rendered to the
Registrant's investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under common
control with the adviser that provides ongoing services to the Registrant for
the last two fiscal years was $6,300 and $8,500, respectively.
(h) During the past fiscal year, all non-audit services provided by Registrant's
principal accountant to either Registrant's investment adviser or to any entity
controlling, controlled by, or under common control with Registrant's investment
adviser that provides ongoing services to Registrant were pre-approved by the
audit committee of Registrant's Board of Trustees. Included in the audit
committee's pre-approval was the review and consideration as to whether the
provision of these non-audit services is compatible with maintaining the
principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end management investment companies.
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.
The Fund has adopted the following procedures regarding this matter:
1. Proxy Voting Responsibility - The Fund has delegated proxy voting
responsibility to the Adviser. The Adviser's proxy voting policies and
procedures are included Appendix B to the Fund's SAI.
2. Compliance Responsibility - The Adviser is responsible for monitoring
compliance with its policy and procedures. The Fund's administrator is
responsible for filing Form N-PX with the SEC pursuant to Rule 30b1-4 under
the 1940 Act.
3. Disclosure - The Fund's administrator and counsel are responsible for
ensuring that appropriate disclosure is made in the Fund's prospectus and
SAI.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
(a)(1) Fund Management
Winton Capital US LLC (the "Adviser") does not use a traditional portfolio
manager structure when managing its clients' accounts, including the Fund.
Rather, the Adviser employs a professional research team to perform statistical
analysis on historical data related to financial markets in an attempt to
identify profitable investment opportunities for its clients. The Adviser's
research team includes individuals holding degrees in diverse fields ranging
from astrophysics, machine learning, statistics, actuarial sciences and
financial mathematics and is responsible for developing the Investment System
that forms the basis of the Fund's investment strategy. Messr. Harding , in his
capacity as Chief Executive Officer of Winton Capital Group Limited, has
ultimate responsibility for the Investment System and how it operates.
Therefore, Messr. Harding is primarily responsible for the management of the
Fund's portfolio.
Mr. Harding founded Winton in 1997.
(a)(2) Other Accounts Managed by Fund Management and Potential Conflicts of
Interest
In addition to the Fund, Messr. Harding is responsible for the day-to-day
advisement of certain other accounts, as listed below ("Other Accounts"). The
information below is provided as of October 31, 2015 and excludes accounts where
Winton has advisory but not discretionary authority.
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REGISTERED OTHER POOLED
INVESTMENT COMPANIES INVESTMENT VEHICLES OTHER ACCOUNTS
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NUMBER NUMBER NUMBER
OF TOTAL ASSETS OF TOTAL ASSETS(1) OF TOTAL ASSETS
NAME ACCOUNTS ($ MILLIONS) ACCOUNTS ($ MILLIONS) ACCOUNTS ($ MILLIONS)
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David Winton Harding 2 $47.3 61(1) $31,105(1) 8(2) $1,013(2)
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(1) Includes 59 accounts with assets under advisement of approximately $32,964
million that are subject to performance- based advisory fees.
(2) Includes 3 accounts with assets under advisement of approximately $423.7
million that are subject to performance-based advisory fees.
CONFLICTS OF INTERESTS. A potential conflict of interest may arise as a result
of Winton's provision of advisory services to Other Accounts. Other Accounts may
pay higher management fees and/or performance fees than the Fund, and this could
create an incentive for Winton to favor such funds in the allocation of
investment opportunities.
Winton has implemented procedures that are designed to ensure that investment
opportunities are allocated in a manner that: (i) treats all of its clients
fairly and equitably; (ii) prevents conflict regarding allocation of investment
opportunities among its clients; and (iii) complies with applicable regulatory
requirements. For example, Winton uses an allocation algorithm designed to
allocate all filled orders ratably based on a defined allocation procedure.
Notwithstanding the foregoing, an aggregated order may be allocated on a
different basis under certain circumstances depending on factors which include,
but are not limited to, available cash, liquidity requirements, risk parameters
and legal and/or regulatory requirements.
Winton and its investment personnel may hold investments in Other Accounts. This
may create an incentive for Winton and its investment personnel to take
investment actions based on those investment interests which might diverge, in
some cases, from the interests of other clients or favor or disfavor certain
funds over other funds. Any potential conflict that arises from these
circumstances is mitigated by several factors, including: (i) the requirement
that any material changes to Winton's investment system must be tested, reviewed
and approved by Winton's investment management meeting; (ii) the fact that
Winton's investment system is designed to achieve long-term capital appreciation
as opposed to short-term profits; and (iii) the fact that most of Winton's
investments are made in accordance with the signals produced by its investment
system.
Certain broker-dealers that Winton may use to execute Fund transactions are also
clients of Winton and/or may refer clients to Winton, which creates potential
conflicts of interest. These conflicts are addressed by the fact that Winton
adheres to a policy that prohibits Winton from considering any factor other than
best execution for its clients when Winton executes client transactions.
(a)(3) Compensation Structure of Fund Management Team
Compensation for Messr. Harding includes a fixed salary. Compensation is
assessed in accordance with a remuneration policy (designed to support key
business strategies without creating incentives for undue risk-taking) and is
subject to approval by a remuneration committee chaired by an independent
non-executive director of Winton.
(a)(4) Disclosure of Securities Ownership
The Fund is required to show the dollar amount range of Messr. Harding's
"beneficial ownership" of shares of the Fund as of the end of the most recently
completed fiscal year. Dollar amount ranges disclosed are established by the
SEC. "Beneficial ownership" is determined in accordance with Rule 16a-1(a)(2)
under the Securities Exchange Act of 1934, as amended (the "1934 Act"). As of
the date this filing, Messr. Harding did not beneficially own shares of the
Fund.
(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 270.30a-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 (17CFR 270.3a-3(d)) that
occurred during 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) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the Registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), is 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
By (Signature and Title) /s/ Michael Beattie
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Michael Beattie
President
Date: January 5, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /s/ Michael Beattie
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Michael Beattie
President
Date: January 5, 2017
By (Signature and Title) /s/ Stephen Connors
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Stephen Connors
Treasurer, Controller and
Chief Financial Officer
Date: January 5, 2017