UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
________
FORM N-CSRS
________
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-23028
WINTON DIVERSIFIED OPPORTUNITIES FUND
(Exact name of registrant as specified in charter)
________
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
Michael Beattie
C/O SEI Corporation
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-866-330-9999
DATE OF FISCAL YEAR END: OCTOBER 31, 2017
DATE OF REPORTING PERIOD: APRIL 30, 2017
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO OMITTED]
Winton Diversified
Opportunities Fund
Semi-Annual Report
April 30, 2017 (Unaudited)
[LOGO OMITTED]
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TABLE OF CONTENTS
Fund Information ............................................................ 1
Letter to Shareholders ...................................................... 2
Consolidated Schedule of Investments ........................................ 4
Consolidated Statement of Assets and Liabilities ............................ 24
Consolidated Statement of Operations ........................................ 25
Consolidated Statements of Changes in Net Assets ............................ 26
Consolidated Financial Highlights ........................................... 27
Notes to the Consolidated Financial Statements .............................. 28
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 during the
most recent 12-month period ended June 30, will be available (i) without
charge, upon request, by calling 1-866-330-9999; and (ii) on the SEC's website
at http://www.sec.gov.
THIS REPORT HAS BEEN PREPARED FOR SHAREHOLDERS AND MAY BE DISTRIBUTED TO OTHERS
ONLY IF PRECEDED OR ACCOMPANIED BY AN EFFECTIVE PROSPECTUS.
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FUND INFORMATION
For the six-month period ended April 30, 2017
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 six-month period ended
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LETTER TO SHAREHOLDERS
Performance Summary
Winton Diversified Opportunities Fund's net asset value per share declined by
-0.06% between November 1, 2016 and April 30, 2017. For comparison, the HFRX
Global Hedge Fund Index rose 3.86% and 3-month USD Libor returned 0.51% over
the same period.
Portfolio Review
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 single-stock equities. It
employs multiple strategies in over 100 markets.
The six months under review was a period of optimism for global financial
markets. Many of the world's major stock indices posted double-digit returns
with the Dow Jones Industrial Average breaking through the symbolic 20,000 mark
and the S&P 500 reaching new all-time highs. European equities also performed
well as political concerns eased alongside election results in Netherlands and
France. Fixed income markets generally lost ground as US Treasury yields
rallied around the US presidential election and the Federal Reserve hiked rates
twice during the review period. The Japanese yen also weakened versus the US
dollar, while the British pound recovered some of its Brexit losses from the
preceding summer. In commodities, energy prices rose and base metals
appreciated as concerns around a slowdown in Chinese economic growth subsided.
The Fund's performance was flat over the six month as profits in stock indices,
single-stock equities and agricultural commodities were erased by losses in
energies, currencies, fixed income and metals. Long exposure to rallying
stock markets was the biggest driver of returns, with the top-performing US and
European indices leading the gains. Elsewhere, the Fund benefited from
positioning in the information technology and energy sectors in single-stock
equities. In commodities, exposure to crops and livestock added value, mostly
due to falling cocoa and coffee prices as well as a rallying live cattle
market, which rose by a third over the review period.
2
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
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LETTER TO SHAREHOLDERS (continued)
The commodities sectors detracted from performance overall, however, due to
losses in energies and precious metals. Sentiment in energy markets during 2016
was dominated by the prospect of an OPEC deal to cut production, which was
finally agreed on the last day of November and led oil prices to rally to
levels not seen since the summer of 2015. The Fund's net short exposure to the
sector at the start of the review period detracted from returns, before some
large falls in gas prices during January and February hurt the Fund's long
positioning in the natural gas market. Gold, meanwhile, led the losses in
precious metals as positioning was out of sync with market movements during
five of the six months.
The fixed income and currencies sectors were also challenging for performance,
having made positive contributions to returns over the 12 months preceding the
review period. The sharp rally in Treasury yields around the US presidential
election weighed on performance, but the long downward trend in yields had
already started to falter during the preceding months. The result was that the
Fund's positions in the sector were much reduced by the time of the rout.
Similarly, in another trend reversal, a longstanding short position in the
British pound, which was a major positive contributor to performance during the
prior review period, was a detractor from returns having appreciated nearly 6%
versus the US dollar ahead of Brexit negotiations.
We were disappointed to see the Fund's net asset value per share end the review
period near where it started, but we were pleased to see our single-stock
equities, carry and other futures systems provide valuable diversification for
our trend-following systems. We take comfort in our research and continue to
believe that the Program has the potential to provide our investors with
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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CONSOLIDATED SCHEDULE OF INVESTMENTS
Below is a list of open equity swap contracts held by the Fund at April 30,
2017. 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 10/04/17 151 29,570 --
AbbVie Inc FEDEF-1D 10/04/17 104 6,858 --
Acadia Realty Trust FEDEF-1D 10/04/17 452 13,144 --
Accenture PLC FEDEF-1D 10/04/17 67 8,127 --
Activision Blizzard Inc FEDEF-1D 10/04/17 660 34,485 --
Adobe Systems Inc FEDEF-1D 10/04/17 75 10,031 --
Advanced Micro Devices Inc FEDEF-1D 10/04/17 75 998 --
Aetna Inc FEDEF-1D 10/04/17 281 37,955 --
Aflac Inc FEDEF-1D 10/04/17 361 27,032 --
Alaska Air Group Inc FEDEF-1D 10/04/17 241 20,507 --
Allegiant Travel Co FEDEF-1D 10/04/17 42 6,107 --
Alliance Data Systems Corp FEDEF-1D 10/04/17 78 19,471 --
Alliant Energy Corp FEDEF-1D 10/04/17 87 3,421 --
Allstate Corp FEDEF-1D 10/04/17 428 34,792 --
Alphabet Inc FEDEF-1D 10/04/17 83 76,735 --
Altria Group Inc FEDEF-1D 10/04/17 1,333 95,683 --
AMC Networks Inc FEDEF-1D 10/04/17 183 10,921 --
American Express Co FEDEF-1D 10/04/17 513 40,655 --
American Tower Corp FEDEF-1D 10/04/17 34 4,282 --
American Water Works Co FEDEF-1D 10/04/17 68 5,424 --
Ameriprise Financial Inc FEDEF-1D 10/04/17 156 19,945 --
AmerisourceBergen Corp FEDEF-1D 10/04/17 409 33,558 --
Amgen Inc FEDEF-1D 10/04/17 54 8,819 --
Analog Devices Inc FEDEF-1D 10/04/17 214 16,307 --
Anthem Inc FEDEF-1D 10/04/17 210 37,357 --
Aon PLC FEDEF-1D 10/04/17 194 23,249 --
Apple Inc FEDEF-1D 10/04/17 456 65,504 --
Applied Materials Inc FEDEF-1D 10/04/17 865 35,128 --
Archer-Daniels-Midland Co FEDEF-1D 10/04/17 150 6,863 --
Arrow Electronics Inc FEDEF-1D 10/04/17 111 7,826 --
Arthur J Gallagher & Co FEDEF-1D 10/04/17 443 24,724 --
Ashland Global Holdings Inc FEDEF-1D 10/04/17 111 13,709 --
Assurant Inc FEDEF-1D 10/04/17 237 22,809 --
Autodesk Inc FEDEF-1D 10/04/17 88 7,926 --
Automatic Data Processing Inc FEDEF-1D 10/04/17 218 22,779 --
AutoNation Inc FEDEF-1D 10/04/17 265 11,130 --
AutoZone Inc FEDEF-1D 10/04/17 4 2,769 --
Avery Dennison Corp FEDEF-1D 10/04/17 48 3,994 --
Avista Corp FEDEF-1D 10/04/17 322 12,989 --
Baker Hughes Inc FEDEF-1D 10/04/17 16 950 --
Bank of America Corp FEDEF-1D 10/04/17 105 2,451 --
Bank of New York Mellon Corp FEDEF-1D 10/04/17 381 17,930 --
Baxter International Inc FEDEF-1D 10/04/17 458 25,501 --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
4
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) $
-----------------------------------------------------------------------------------------------------------
Becton Dickinson and Co FEDEF-1D 10/04/17 16 2,992 --
Bed Bath & Beyond Inc FEDEF-1D 10/04/17 543 21,041 --
Best Buy Co Inc FEDEF-1D 10/04/17 541 28,029 --
Boeing Co FEDEF-1D 10/04/17 169 31,236 --
Broadcom Ltd FEDEF-1D 10/04/17 19 4,195 --
CA Inc FEDEF-1D 10/04/17 1,159 38,050 --
Cadence Design Systems Inc FEDEF-1D 10/04/17 558 18,174 --
Campbell Soup Co FEDEF-1D 10/04/17 52 2,992 --
Capital One Financial Corp FEDEF-1D 10/04/17 360 28,937 --
Cardinal Health Inc FEDEF-1D 10/04/17 363 26,350 --
Care Capital Properties Inc FEDEF-1D 10/04/17 336 9,028 --
Carnival Corp FEDEF-1D 10/04/17 422 26,067 --
CBOE Holdings Inc FEDEF-1D 10/04/17 37 3,049 --
CBRE Group Inc FEDEF-1D 10/04/17 208 7,448 --
CBS Corp FEDEF-1D 10/04/17 49 3,261 --
Centene Corp FEDEF-1D 10/04/17 220 16,368 --
CH Robinson Worldwide Inc FEDEF-1D 10/04/17 19 1,381 --
Charter Communications Inc FEDEF-1D 10/04/17 44 15,187 --
Chubb Ltd FEDEF-1D 10/04/17 145 19,901 --
Church & Dwight Co Inc FEDEF-1D 10/04/17 585 28,975 --
Cigna Corp FEDEF-1D 10/04/17 202 31,587 --
Cincinnati Financial Corp FEDEF-1D 10/04/17 18 1,298 --
Cirrus Logic Inc FEDEF-1D 10/04/17 97 6,242 --
Cisco Systems Inc FEDEF-1D 10/04/17 1,742 59,350 --
Citigroup Inc FEDEF-1D 10/04/17 18 1,064 --
Citrix Systems Inc FEDEF-1D 10/04/17 505 40,875 --
Clorox Co FEDEF-1D 10/04/17 214 28,610 --
Colgate-Palmolive Co FEDEF-1D 10/04/17 562 40,486 --
Comcast Corp FEDEF-1D 10/04/17 890 34,879 --
Comerica Inc FEDEF-1D 10/04/17 41 2,899 --
Constellation Brands Inc FEDEF-1D 10/04/17 2 345 --
Corelogic Inc FEDEF-1D 10/04/17 305 13,036 --
Corning Inc FEDEF-1D 10/04/17 1,082 31,216 --
Cummins Inc FEDEF-1D 10/04/17 89 13,434 --
CVS Health Corp FEDEF-1D 10/04/17 520 42,869 --
Darden Restaurants Inc FEDEF-1D 10/04/17 98 8,349 --
Darling Ingredients Inc FEDEF-1D 10/04/17 572 8,654 --
DaVita Inc FEDEF-1D 10/04/17 9 621 --
Deere & Co FEDEF-1D 10/04/17 108 12,054 --
Discover Financial Services FEDEF-1D 10/04/17 463 28,979 --
Discovery Communications Inc FEDEF-1D 10/04/17 324 9,325 --
Dish Network Corp FEDEF-1D 10/04/17 181 11,664 --
Dollar General Corp FEDEF-1D 10/04/17 51 3,708 --
Dow Chemical Co FEDEF-1D 10/04/17 150 9,420 --
DR Horton Inc FEDEF-1D 10/04/17 895 29,437 --
Dr Pepper Snapple Group Inc FEDEF-1D 10/04/17 115 10,540 --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
5
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) $
-----------------------------------------------------------------------------------------------------------
DST Systems Inc FEDEF-1D 10/04/17 129 15,881 --
Eastman Chemical Co FEDEF-1D 10/04/17 55 4,386 --
eBay Inc FEDEF-1D 10/04/17 834 27,864 --
Edison International FEDEF-1D 10/04/17 79 6,318 --
Electronic Arts Inc FEDEF-1D 10/04/17 359 34,040 --
EPR Properties FEDEF-1D 10/04/17 136 9,889 --
Equifax Inc FEDEF-1D 10/04/17 37 5,006 --
Equity Residential FEDEF-1D 10/04/17 288 18,599 --
Estee Lauder Cos Inc FEDEF-1D 10/04/17 92 8,017 --
Esterline Technologies Co FEDEF-1D 10/04/17 126 11,523 --
Everest Re Group Ltd FEDEF-1D 10/04/17 146 36,750 --
Expeditors International of
Washington Inc FEDEF-1D 10/04/17 142 7,965 --
Express Scripts Holding Co FEDEF-1D 10/04/17 357 21,898 --
Extra Space Storage FEDEF-1D 10/04/17 26 1,964 --
F5 Networks Inc FEDEF-1D 10/04/17 293 37,835 --
Facebook Inc FEDEF-1D 10/04/17 544 81,736 --
Fifth Third Bancorp FEDEF-1D 10/04/17 803 19,617 --
First Solar Inc FEDEF-1D 10/04/17 91 2,689 --
Fiserv Inc FEDEF-1D 10/04/17 256 30,500 --
Fluor Corp FEDEF-1D 10/04/17 51 2,617 --
Foot Locker Inc FEDEF-1D 10/04/17 195 15,081 --
Ford Motor Co FEDEF-1D 10/04/17 1,612 18,490 --
Fortune Brands Home &
Security Inc FEDEF-1D 10/04/17 284 18,102 --
Franklin Resources Inc FEDEF-1D 10/04/17 312 13,450 --
Gap Inc FEDEF-1D 10/04/17 800 20,960 --
Garmin Ltd FEDEF-1D 10/04/17 271 13,778 --
Gartner Inc FEDEF-1D 10/04/17 20 2,282 --
General Dynamics Corp FEDEF-1D 10/04/17 421 81,586 --
General Mills Inc FEDEF-1D 10/04/17 36 2,070 --
Genuine Parts Co FEDEF-1D 10/04/17 147 13,527 --
GGP Inc FEDEF-1D 10/04/17 350 7,564 --
Gilead Sciences Inc FEDEF-1D 10/04/17 527 36,126 --
Goodyear Tire & Rubber Co FEDEF-1D 10/04/17 79 2,862 --
H&R Block Inc FEDEF-1D 10/04/17 376 9,321 --
Hanesbrands Inc FEDEF-1D 10/04/17 71 1,549 --
Harley-Davidson Inc FEDEF-1D 10/04/17 71 4,034 --
Harris Corp FEDEF-1D 10/04/17 96 10,741 --
Hartford Financial Services
Group Inc FEDEF-1D 10/04/17 373 18,038 --
Hasbro Inc FEDEF-1D 10/04/17 35 3,469 --
HCA Holdings Inc FEDEF-1D 10/04/17 99 8,337 --
Healthcare Realty Trust Inc FEDEF-1D 10/04/17 400 13,120 --
Henry Schein Inc FEDEF-1D 10/04/17 14 2,433 --
Hershey Co FEDEF-1D 10/04/17 162 17,528 --
Hewlett Packard Enterprise Co FEDEF-1D 10/04/17 93 1,733 --
Hilton Worldwide Holdings FEDEF-1D 10/04/17 110 6,487 --
Hologic Inc FEDEF-1D 10/04/17 12 542 --
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) $
-----------------------------------------------------------------------------------------------------------
Home Depot Inc FEDEF-1D 10/04/17 39 6,088 --
Honeywell International Inc FEDEF-1D 10/04/17 23 3,016 --
Hormel Foods Corp FEDEF-1D 10/04/17 78 2,736 --
HP Inc FEDEF-1D 10/04/17 2,322 43,700 --
Humana Inc FEDEF-1D 10/04/17 120 26,638 --
Hyatt Hotels Corp FEDEF-1D 10/04/17 46 2,553 --
Illinois Tool Works Inc FEDEF-1D 10/04/17 113 15,604 --
Ingersoll-Rand PLC FEDEF-1D 10/04/17 175 15,531 --
Intel Corp FEDEF-1D 10/04/17 843 30,474 --
Intercontinental Exchange Inc FEDEF-1D 10/04/17 30 1,806 --
International Business Machines
Corp FEDEF-1D 10/04/17 196 31,417 --
Interpublic Group of Cos Inc FEDEF-1D 10/04/17 725 17,088 --
Intuit Inc FEDEF-1D 10/04/17 236 29,550 --
Intuitive Surgical Inc FEDEF-1D 10/04/17 1 836 --
Invesco Ltd FEDEF-1D 10/04/17 139 4,579 --
Johnson & Johnson FEDEF-1D 10/04/17 37 4,568 --
JPMorgan Chase & Co FEDEF-1D 10/04/17 174 15,138 --
Juniper Networks Inc FEDEF-1D 10/04/17 181 5,443 --
Keysight Technologies Inc FEDEF-1D 10/04/17 242 9,058 --
Kilroy Realty Corp FEDEF-1D 10/04/17 119 8,393 --
Kimberly-Clark Corp FEDEF-1D 10/04/17 357 46,321 --
Kimco Realty Corp FEDEF-1D 10/04/17 13 264 --
Kla-Tencor Corp FEDEF-1D 10/04/17 193 18,956 --
Kohl's Corp FEDEF-1D 10/04/17 126 4,918 --
Kraft Heinz Co FEDEF-1D 10/04/17 10 904 --
Kroger Co FEDEF-1D 10/04/17 242 7,175 --
L Brands Inc FEDEF-1D 10/04/17 132 6,971 --
L-3 Communications Corp FEDEF-1D 10/04/17 21 3,607 --
Lam Research Corp FEDEF-1D 10/04/17 333 48,235 --
Lancaster Colony Corp FEDEF-1D 10/04/17 107 13,471 --
Leggett & Platt Inc FEDEF-1D 10/04/17 121 6,357 --
Lennar Corp FEDEF-1D 10/04/17 676 34,138 --
Lennox International Inc FEDEF-1D 10/04/17 107 17,697 --
Lexington Realty Trust FEDEF-1D 10/04/17 1,006 10,231 --
Lifepoint Health Inc FEDEF-1D 10/04/17 148 9,198 --
Lincoln National Corp FEDEF-1D 10/04/17 301 19,845 --
Lockheed Martin Corp FEDEF-1D 10/04/17 260 70,057 --
Lowe's Cos Inc FEDEF-1D 10/04/17 165 14,005 --
LyondellBasell Industries NV FEDEF-1D 10/04/17 289 24,496 --
Macy's Inc FEDEF-1D 10/04/17 415 12,126 --
ManPowerGroup Inc FEDEF-1D 10/04/17 87 8,785 --
Marsh & McLennan Cos Inc FEDEF-1D 10/04/17 458 33,952 --
Masco Corp FEDEF-1D 10/04/17 36 1,333 --
Mastercard Inc FEDEF-1D 10/04/17 27 3,141 --
McCormick & Co Inc FEDEF-1D 10/04/17 37 3,696 --
McDonald's Corp FEDEF-1D 10/04/17 30 4,198 --
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) $
-----------------------------------------------------------------------------------------------------------
McKesson Corp FEDEF-1D 10/04/17 210 29,041 --
Medtronic PLC FEDEF-1D 10/04/17 5 415 --
MetLife Inc FEDEF-1D 10/04/17 61 3,160 --
Metter-Toledo Intl FEDEF-1D 10/04/17 8 4,107 --
Microchip Technology Inc FEDEF-1D 10/04/17 42 3,174 --
Microsemi Corp FEDEF-1D 10/04/17 164 7,698 --
Microsoft Corp FEDEF-1D 10/04/17 600 41,076 --
Mohawk Industries Inc FEDEF-1D 10/04/17 5 1,174 --
Molson Coors Brewing Co FEDEF-1D 10/04/17 78 7,479 --
Mondelez International Inc FEDEF-1D 10/04/17 138 6,214 --
Monsanto Co FEDEF-1D 10/04/17 32 3,732 --
Moody's Corp FEDEF-1D 10/04/17 71 8,401 --
Motorola Solutions Inc FEDEF-1D 10/04/17 293 25,189 --
MSC Industrial Direct Co FEDEF-1D 10/04/17 94 8,416 --
National Instruments Corp FEDEF-1D 10/04/17 364 12,707 --
National Oilwell Varco Inc FEDEF-1D 10/04/17 18 629 --
NetApp Inc FEDEF-1D 10/04/17 558 22,236 --
Netscout Systems Inc FEDEF-1D 10/04/17 340 12,801 --
New Jersey Resources Corp FEDEF-1D 10/04/17 337 13,598 --
News Corp FEDEF-1D 10/04/17 172 2,188 --
NextEra Energy Inc FEDEF-1D 10/04/17 136 18,164 --
Nordstrom Inc FEDEF-1D 10/04/17 153 7,385 --
Northern Trust Corp FEDEF-1D 10/04/17 1 90 --
Northrop Grumman Corp FEDEF-1D 10/04/17 294 72,312 --
Norwegian Cruise Line Holdings FEDEF-1D 10/04/17 201 10,840 --
NRG Energy Inc FEDEF-1D 10/04/17 146 2,467 --
Nucor Corp FEDEF-1D 10/04/17 86 5,274 --
NVIDIA Corp FEDEF-1D 10/04/17 129 13,455 --
NVR Inc FEDEF-1D 10/04/17 2 4,223 --
Omnicom Group Inc FEDEF-1D 10/04/17 535 43,934 --
Oracle Corp FEDEF-1D 10/04/17 1,195 53,727 --
O'Reilly Automotive Inc FEDEF-1D 10/04/17 16 3,970 --
Palo Alto Networks Inc FEDEF-1D 10/04/17 53 5,746 --
Paychex Inc FEDEF-1D 10/04/17 315 18,673 --
Paypal Holdings Inc FEDEF-1D 10/04/17 198 9,449 --
Philip Morris International Inc FEDEF-1D 10/04/17 725 80,359 --
Pitney Bowes Inc FEDEF-1D 10/04/17 34 452 --
PNC Financial Services Group Inc FEDEF-1D 10/04/17 65 7,784 --
PPL Corp FEDEF-1D 10/04/17 578 22,028 --
Principal Financial Group Inc FEDEF-1D 10/04/17 128 8,337 --
Proassurance Corp FEDEF-1D 10/04/17 206 12,751 --
Procter & Gamble Co FEDEF-1D 10/04/17 299 26,112 --
Progressive Corp FEDEF-1D 10/04/17 642 25,500 --
Prudential Financial Inc FEDEF-1D 10/04/17 152 16,269 --
Public Storage FEDEF-1D 10/04/17 4 838 --
PVH Corp FEDEF-1D 10/04/17 152 15,357 --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
8
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) $
-----------------------------------------------------------------------------------------------------------
QUALCOMM Inc FEDEF-1D 10/04/17 481 25,849 --
Quest Diagnostics Inc FEDEF-1D 10/04/17 55 5,803 --
Ralph Lauren Corp FEDEF-1D 10/04/17 81 6,538 --
Raymond James Financial Inc FEDEF-1D 10/04/17 108 8,048 --
Raytheon Co FEDEF-1D 10/04/17 442 68,603 --
Red Hat Inc FEDEF-1D 10/04/17 216 19,025 --
Republic Services Inc FEDEF-1D 10/04/17 210 13,228 --
Reynolds American Inc FEDEF-1D 10/04/17 1,396 90,042 --
Robert Half International Inc FEDEF-1D 10/04/17 79 3,638 --
Rockwell Collins Inc FEDEF-1D 10/04/17 130 13,532 --
Roper Technologies Inc FEDEF-1D 10/04/17 9 1,968 --
Ross Stores Inc FEDEF-1D 10/04/17 59 3,835 --
Royal Caribbean Cruises Ltd FEDEF-1D 10/04/17 104 11,086 --
Royal Gold Inc FEDEF-1D 10/04/17 88 6,220 --
S&P Global Inc FEDEF-1D 10/04/17 71 9,527 --
salesforce.com Inc FEDEF-1D 10/04/17 209 17,999 --
Scotts Miracle-Gro Co FEDEF-1D 10/04/17 126 12,172 --
Scripps Networks Interactive Inc FEDEF-1D 10/04/17 469 35,044 --
Seagate Technology PLC FEDEF-1D 10/04/17 278 11,712 --
Sirius XM Holdings Inc FEDEF-1D 10/04/17 2,581 12,776 --
Skyworks Solutions Inc FEDEF-1D 10/04/17 326 32,515 --
Snap-on Inc FEDEF-1D 10/04/17 49 8,209 --
Southwest Airlines Co FEDEF-1D 10/04/17 224 12,593 --
Stanley Black & Decker Inc FEDEF-1D 10/04/17 86 11,709 --
Starbucks Corp FEDEF-1D 10/04/17 38 2,282 --
State Street Corp FEDEF-1D 10/04/17 127 10,655 --
Stryker Corp FEDEF-1D 10/04/17 6 818 --
SunTrust Banks Inc FEDEF-1D 10/04/17 90 5,113 --
Synchrony Financial FEDEF-1D 10/04/17 88 2,446 --
Synopsys Inc FEDEF-1D 10/04/17 58 4,275 --
Sysco Corp FEDEF-1D 10/04/17 71 3,754 --
T Rowe Price Group Inc FEDEF-1D 10/04/17 25 1,772 --
Tanger Factory Outlet Centers Inc FEDEF-1D 10/04/17 391 12,195 --
Target Corp FEDEF-1D 10/04/17 430 24,016 --
TE Connectivity Ltd FEDEF-1D 10/04/17 358 27,698 --
Tech Data Corp FEDEF-1D 10/04/17 86 8,226 --
TEGNA Inc FEDEF-1D 10/04/17 975 24,843 --
Teradata Corp FEDEF-1D 10/04/17 194 5,661 --
Texas Instruments Inc FEDEF-1D 10/04/17 473 37,452 --
Textron Inc FEDEF-1D 10/04/17 99 4,619 --
The Brink's Co FEDEF-1D 10/04/17 204 12,526 --
The Chemours Co FEDEF-1D 10/04/17 150 6,044 --
The GEO Group Inc FEDEF-1D 10/04/17 252 8,397 --
Thermo Fisher Scientific Inc FEDEF-1D 10/04/17 5 827 --
Time Warner Inc FEDEF-1D 10/04/17 482 47,848 --
TJX Cos Inc FEDEF-1D 10/04/17 24 1,887 --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
9
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
-----------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
-----------------------------------------------------------------------------------------------------------
Torchmark Corp FEDEF-1D 10/04/17 54 4,142 --
Transdigm Group Inc FEDEF-1D 10/04/17 7 1,727 --
Travelers Cos Inc FEDEF-1D 10/04/17 378 45,987 --
Twenty-First Century Fox Inc FEDEF-1D 10/04/17 431 13,163 --
Tyson Foods Inc FEDEF-1D 10/04/17 459 29,495 --
Ulta Salon Cosmetics & Fragrances FEDEF-1D 10/04/17 19 5,347 --
United Rental Inc FEDEF-1D 10/04/17 54 5,922 --
United Therapeutics Corp FEDEF-1D 10/04/17 206 25,894 --
UnitedHealth Group Inc FEDEF-1D 10/04/17 162 28,331 --
Universal Health Services Inc FEDEF-1D 10/04/17 48 5,796 --
Unum Group FEDEF-1D 10/04/17 279 12,926 --
Urban Edge Properties FEDEF-1D 10/04/17 336 8,568 --
US Bancorp FEDEF-1D 10/04/17 291 14,922 --
Valero Energy Corp FEDEF-1D 10/04/17 450 29,075 --
Valmont Industries Inc FEDEF-1D 10/04/17 56 8,532 --
VeriSign Inc FEDEF-1D 10/04/17 159 14,138 --
Verisk Analytics Inc FEDEF-1D 10/04/17 31 2,567 --
VF Corp FEDEF-1D 10/04/17 25 1,366 --
Viacom Inc FEDEF-1D 10/04/17 518 22,046 --
Walgreens Boots Alliance Inc FEDEF-1D 10/04/17 264 22,847 --
Wal-Mart Stores Inc FEDEF-1D 10/04/17 438 32,929 --
Walt Disney Co FEDEF-1D 10/04/17 306 35,374 --
Waste Management Inc FEDEF-1D 10/04/17 482 35,080 --
Waters Corp FEDEF-1D 10/04/17 75 12,742 --
Wellcare Health Plans Inc FEDEF-1D 10/04/17 24 3,682 --
Wells Fargo & Co FEDEF-1D 10/04/17 185 9,960 --
Western Union Co FEDEF-1D 10/04/17 1,339 26,593 --
Whirlpool Corp FEDEF-1D 10/04/17 83 15,411 --
Williams Cos Inc FEDEF-1D 10/04/17 194 5,942 --
Williams-Sonoma Inc FEDEF-1D 10/04/17 380 20,539 --
WW Grainger Inc FEDEF-1D 10/04/17 48 9,250 --
Wyndham Worldwide Corp FEDEF-1D 10/04/17 218 20,778 --
Xerox Corp FEDEF-1D 10/04/17 1,682 12,094 --
Xilinx Inc FEDEF-1D 10/04/17 498 31,429 --
Yum! Brands Inc FEDEF-1D 10/04/17 17 1,118 --
Zebra Technologies Corp FEDEF-1D 10/04/17 96 9,050 --
Abbott Laboratories (FEDEF-1D) 10/04/17 (323) (14,096) --
Acuity Brands Inc (FEDEF-1D) 10/04/17 (74) (13,031) --
Aecom (FEDEF-1D) 10/04/17 (223) (7,629) --
AES Corp (FEDEF-1D) 10/04/17 (568) (6,424) --
Affiliated Managers Group Inc (FEDEF-1D) 10/04/17 (30) (4,968) --
Agilent Technologies Inc (FEDEF-1D) 10/04/17 (272) (14,974) --
Air Products & Chemicals Inc (FEDEF-1D) 10/04/17 (59) (8,290) --
Akamai Technologies Inc (FEDEF-1D) 10/04/17 (29) (1,767) --
Akorn Inc (FEDEF-1D) 10/04/17 (140) (4,683) --
Albemarle Corp (FEDEF-1D) 10/04/17 (10) (1,089) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
10
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
-----------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
-----------------------------------------------------------------------------------------------------------
Alexandria Real Estate
Equities Inc (FEDEF-1D) 10/04/17 (131) (14,739) --
Alexion Pharmaceuticals Inc (FEDEF-1D) 10/04/17 (126) (16,100) --
Alkermes Inc (FEDEF-1D) 10/04/17 (124) (7,223) --
Allergan PLC (FEDEF-1D) 10/04/17 (209) (50,967) --
Alnylam Pharmaceuticals (FEDEF-1D) 10/04/17 (131) (7,022) --
Alphabet Inc (FEDEF-1D) 10/04/17 (17) (15,401) --
Amazon.com Inc (FEDEF-1D) 10/04/17 (11) (10,175) --
Ameren Corp (FEDEF-1D) 10/04/17 (330) (18,048) --
American Airlines Group Inc (FEDEF-1D) 10/04/17 (52) (2,216) --
American Electric Power Co Inc (FEDEF-1D) 10/04/17 (276) (18,721) --
American International Group Inc (FEDEF-1D) 10/04/17 (463) (28,201) --
AMETEK Inc (FEDEF-1D) 10/04/17 (340) (19,448) --
Amphenol Corp (FEDEF-1D) 10/04/17 (96) (6,942) --
Anadarko Petroleum Corp (FEDEF-1D) 10/04/17 (407) (23,207) --
Apache Corp (FEDEF-1D) 10/04/17 (410) (19,942) --
Apartment Investment &
Management Co (FEDEF-1D) 10/04/17 (4) (175) --
Aptargroup Inc (FEDEF-1D) 10/04/17 (158) (12,687) --
Arconic Inc (FEDEF-1D) 10/04/17 (241) (6,587) --
AT&T Inc (FEDEF-1D) 10/04/17 (678) (26,869) --
AUTOLIV Inc (FEDEF-1D) 10/04/17 (22) (2,204) --
AvalonBay Communities Inc (FEDEF-1D) 10/04/17 (2) (380) --
B&G Foods Inc (FEDEF-1D) 10/04/17 (303) (12,726) --
Ball Corp (FEDEF-1D) 10/04/17 (627) (48,210) --
Bank of Hawaii Corp (FEDEF-1D) 10/04/17 (113) (9,207) --
Bank of the Ozarks Inc (FEDEF-1D) 10/04/17 (124) (5,886) --
BB&T Corp (FEDEF-1D) 10/04/17 (238) (10,277) --
Berkshire Hathaway Inc (FEDEF-1D) 10/04/17 (20) (3,304) --
Biogen Inc (FEDEF-1D) 10/04/17 (7) (1,898) --
Biomarin Pharmaceutical (FEDEF-1D) 10/04/17 (71) (6,805) --
Bio-Techne Corp (FEDEF-1D) 10/04/17 (102) (10,922) --
BlackRock Inc (FEDEF-1D) 10/04/17 (3) (1,154) --
BorgWarner Inc (FEDEF-1D) 10/04/17 (134) (5,666) --
Boston Properties Inc (FEDEF-1D) 10/04/17 (45) (5,697) --
Boston Scientific Corp (FEDEF-1D) 10/04/17 (755) (19,917) --
Boyd Gaming Corp (FEDEF-1D) 10/04/17 (490) (11,113) --
Bristol-Myers Squibb Co (FEDEF-1D) 10/04/17 (481) (26,960) --
Brown-Forman Corp (FEDEF-1D) 10/04/17 (285) (13,486) --
Cabot Oil & Gas Corp (FEDEF-1D) 10/04/17 (796) (18,499) --
Camden Property Trust (FEDEF-1D) 10/04/17 (95) (7,821) --
Canadian National Railway Co (FEDEF-1D) 10/04/17 (96) (6,940) --
Canadian Pacific Railway (FEDEF-1D) 10/04/17 (50) (7,663) --
CarMax Inc (FEDEF-1D) 10/04/17 (60) (3,510) --
Caterpillar Inc (FEDEF-1D) 10/04/17 (81) (8,283) --
Celanese Corp (FEDEF-1D) 10/04/17 (97) (8,443) --
Celgene Corp (FEDEF-1D) 10/04/17 (96) (11,909) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
11
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
-----------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
-----------------------------------------------------------------------------------------------------------
CenterPoint Energy Inc (FEDEF-1D) 10/04/17 (1,161) (33,123) --
CenturyLink Inc (FEDEF-1D) 10/04/17 (1,017) (26,106) --
Cerner Corp (FEDEF-1D) 10/04/17 (52) (3,367) --
CF Industries Holdings Inc (FEDEF-1D) 10/04/17 (782) (20,911) --
Charles River Laboratories (FEDEF-1D) 10/04/17 (6) (538) --
Chemical Financial Corp (FEDEF-1D) 10/04/17 (266) (12,622) --
Chevron Corp (FEDEF-1D) 10/04/17 (375) (40,013) --
Chipotle Mexican Grill Inc (FEDEF-1D) 10/04/17 (38) (18,030) --
Ciena Corp (FEDEF-1D) 10/04/17 (254) (5,819) --
Cimarex Energy Co (FEDEF-1D) 10/04/17 (188) (21,936) --
Cintas Corp (FEDEF-1D) 10/04/17 (20) (2,449) --
Citizens Financial Group Inc (FEDEF-1D) 10/04/17 (181) (6,645) --
CME Group Inc (FEDEF-1D) 10/04/17 (134) (15,569) --
CMS Energy Corp (FEDEF-1D) 10/04/17 (308) (13,983) --
Coach Inc (FEDEF-1D) 10/04/17 (32) (1,260) --
Coca-Cola Co (FEDEF-1D) 10/04/17 (849) (36,634) --
Cognizant Technology
Solutions Corp (FEDEF-1D) 10/04/17 (145) (8,733) --
Community Bank System Inc (FEDEF-1D) 10/04/17 (169) (9,456) --
ConAgra Foods Inc (FEDEF-1D) 10/04/17 (75) (2,909) --
Concho Resources Inc (FEDEF-1D) 10/04/17 (40) (5,066) --
ConocoPhillips (FEDEF-1D) 10/04/17 (412) (19,739) --
Consolidated Edison Inc (FEDEF-1D) 10/04/17 (146) (11,575) --
Cooper Cos Inc (FEDEF-1D) 10/04/17 (4) (801) --
Corecivic Inc (FEDEF-1D) 10/04/17 (336) (11,575) --
Costco Wholesale Corp (FEDEF-1D) 10/04/17 (105) (18,640) --
Coty Inc (FEDEF-1D) 10/04/17 (575) (10,264) --
Cousins Properties Inc (FEDEF-1D) 10/04/17 (1,208) (10,256) --
CR Bard Inc (FEDEF-1D) 10/04/17 (1) (307) --
Crown Castle International Corp (FEDEF-1D) 10/04/17 (353) (33,394) --
CSX Corp (FEDEF-1D) 10/04/17 (188) (9,558) --
Cullen/Frost Bankers Inc (FEDEF-1D) 10/04/17 (113) (10,666) --
Danaher Corp (FEDEF-1D) 10/04/17 (120) (10,000) --
Delphi Automotive PLC (FEDEF-1D) 10/04/17 (38) (3,055) --
Delta Air Lines Inc (FEDEF-1D) 10/04/17 (142) (6,452) --
DENTSPLY SIRONA Inc (FEDEF-1D) 10/04/17 (313) (19,794) --
Devon Energy Corp (FEDEF-1D) 10/04/17 (560) (22,114) --
Diamond Offshore Drilling Inc (FEDEF-1D) 10/04/17 (299) (4,312) --
Diamondrock Hospitality Corp (FEDEF-1D) 10/04/17 (970) (10,680) --
Digital Realty Trust (FEDEF-1D) 10/04/17 (78) (8,958) --
Dollar Tree Inc (FEDEF-1D) 10/04/17 (126) (10,429) --
Dominion Resources Inc (FEDEF-1D) 10/04/17 (321) (24,855) --
Domtar Corp (FEDEF-1D) 10/04/17 (293) (11,617) --
Douglas Emmett Inc (FEDEF-1D) 10/04/17 (330) (12,431) --
Dover Corp (FEDEF-1D) 10/04/17 (114) (8,992) --
DTE Energy Co (FEDEF-1D) 10/04/17 (162) (16,944) --
Duke Energy Corp (FEDEF-1D) 10/04/17 (565) (46,613) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
12
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
-----------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
-----------------------------------------------------------------------------------------------------------
Dun & Bradstreet Corp (FEDEF-1D) 10/04/17 (19) (2,083) --
E*TRADE Financial Corp (FEDEF-1D) 10/04/17 (208) (7,186) --
Eastgroup Properties Inc (FEDEF-1D) 10/04/17 (204) (15,963) --
Eaton Corp PLC (FEDEF-1D) 10/04/17 (325) (24,583) --
Ecolab Inc (FEDEF-1D) 10/04/17 (76) (9,811) --
Edwards Lifesciences Corp (FEDEF-1D) 10/04/17 (2) (219) --
EI du Pont de Nemours & Co (FEDEF-1D) 10/04/17 (106) (8,454) --
Eli Lilly & Co (FEDEF-1D) 10/04/17 (211) (17,315) --
Emerson Electric Co (FEDEF-1D) 10/04/17 (170) (10,248) --
Endo International PLC (FEDEF-1D) 10/04/17 (2,178) (24,764) --
Entergy Corp (FEDEF-1D) 10/04/17 (362) (27,606) --
EOG Resources Inc (FEDEF-1D) 10/04/17 (245) (22,663) --
EQT Corp (FEDEF-1D) 10/04/17 (511) (29,710) --
Equinix Inc (FEDEF-1D) 10/04/17 (31) (12,949) --
Essex Property Trust Inc (FEDEF-1D) 10/04/17 (83) (20,291) --
Eversource Energy (FEDEF-1D) 10/04/17 (333) (19,780) --
Exelon Corp (FEDEF-1D) 10/04/17 (499) (17,280) --
Expedia Inc (FEDEF-1D) 10/04/17 (75) (10,029) --
Exxon Mobil Corp (FEDEF-1D) 10/04/17 (301) (24,577) --
Fastenal Co (FEDEF-1D) 10/04/17 (247) (11,036) --
Federal Realty Investment Trust (FEDEF-1D) 10/04/17 (45) (5,890) --
Federated Investors Inc (FEDEF-1D) 10/04/17 (359) (9,628) --
FedEx Corp (FEDEF-1D) 10/04/17 (67) (12,710) --
Fiat Chrysler Automobiles NV (FEDEF-1D) 10/04/17 (205) (2,331) --
Fidelity National Information
Services Inc (FEDEF-1D) 10/04/17 (293) (24,668) --
FirstEnergy Corp (FEDEF-1D) 10/04/17 (1,420) (42,515) --
FLIR Systems Inc (FEDEF-1D) 10/04/17 (288) (10,578) --
Flowserve Corp (FEDEF-1D) 10/04/17 (327) (16,634) --
FMC Corp (FEDEF-1D) 10/04/17 (160) (11,717) --
FNB Corp (FEDEF-1D) 10/04/17 (685) (9,754) --
Fortive Corp (FEDEF-1D) 10/04/17 (106) (6,706) --
Freeport-McMoran Inc (FEDEF-1D) 10/04/17 (991) (12,635) --
Frontier Communications Corp (FEDEF-1D) 10/04/17 (8,909) (16,749) --
General Electric Co (FEDEF-1D) 10/04/17 (999) (28,961) --
General Motors Co (FEDEF-1D) 10/04/17 (310) (10,738) --
Genesee & Wyoming Inc (FEDEF-1D) 10/04/17 (219) (14,839) --
Gentex Corp (FEDEF-1D) 10/04/17 (106) (2,189) --
Global Payments Inc (FEDEF-1D) 10/04/17 (123) (10,056) --
Goldman Sachs Group Inc (FEDEF-1D) 10/04/17 (1) (224) --
Granite Construction Inc (FEDEF-1D) 10/04/17 (102) (5,376) --
Halliburton Co (FEDEF-1D) 10/04/17 (657) (30,143) --
HCP Inc (FEDEF-1D) 10/04/17 (293) (9,186) --
Helmerich & Payne Inc (FEDEF-1D) 10/04/17 (96) (5,821) --
Hess Corp (FEDEF-1D) 10/04/17 (448) (21,876) --
HollyFrontier Corp (FEDEF-1D) 10/04/17 (904) (25,439) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
13
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
-----------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
-----------------------------------------------------------------------------------------------------------
Home Bancshares Inc (FEDEF-1D) 10/04/17 (319) (8,119) --
Host Hotels & Resorts Inc (FEDEF-1D) 10/04/17 (101) (1,813) --
Hubbell Inc (FEDEF-1D) 10/04/17 (122) (13,802) --
Huntington Bancshares Inc (FEDEF-1D) 10/04/17 (493) (6,340) --
IDEXX Laboratories Inc (FEDEF-1D) 10/04/17 (41) (6,877) --
ILG Inc (FEDEF-1D) 10/04/17 (573) (13,815) --
Illumina Inc (FEDEF-1D) 10/04/17 (3) (555) --
Incyte Corp (FEDEF-1D) 10/04/17 (49) (6,090) --
Interactive Brokers Group Inc (FEDEF-1D) 10/04/17 (206) (7,175) --
International Flavors &
Fragrances Inc (FEDEF-1D) 10/04/17 (56) (7,761) --
International Paper Co (FEDEF-1D) 10/04/17 (258) (13,924) --
Iron Mountain Inc (FEDEF-1D) 10/04/17 (325) (11,297) --
J.C. Penney Co (FEDEF-1D) 10/04/17 (783) (4,213) --
Jabil Circuit Inc (FEDEF-1D) 10/04/17 (313) (9,083) --
Jacobs Engineering Group Inc (FEDEF-1D) 10/04/17 (152) (8,348) --
JB Hunt Transport Services Inc (FEDEF-1D) 10/04/17 (205) (18,380) --
Jetblue Airways Corp (FEDEF-1D) 10/04/17 (345) (7,531) --
JM Smucker Co (FEDEF-1D) 10/04/17 (37) (4,689) --
John Bean Technologies Co (FEDEF-1D) 10/04/17 (145) (12,854) --
Johnson Controls International
PLC (FEDEF-1D) 10/04/17 (811) (33,713) --
Kansas City Southern (FEDEF-1D) 10/04/17 (117) (10,538) --
Kapstone Paper & Packaging Corp (FEDEF-1D) 10/04/17 (285) (6,011) --
Kellogg Co (FEDEF-1D) 10/04/17 (10) (710) --
Kemper Corp (FEDEF-1D) 10/04/17 (196) (7,713) --
KeyCorp (FEDEF-1D) 10/04/17 (928) (16,927) --
Kinder Morgan Inc (FEDEF-1D) 10/04/17 (972) (20,052) --
Landstar System Inc (FEDEF-1D) 10/04/17 (136) (11,621) --
Las Vegas Sands Corp (FEDEF-1D) 10/04/17 (25) (1,475) --
Lear Corp (FEDEF-1D) 10/04/17 (16) (2,283) --
LegacyTexas Financial Group Inc (FEDEF-1D) 10/04/17 (158) (5,974) --
Leidos Holdings Inc (FEDEF-1D) 10/04/17 (304) (16,009) --
Leucadia National Corp (FEDEF-1D) 10/04/17 (968) (24,578) --
Level 3 Communications Inc (FEDEF-1D) 10/04/17 (641) (38,947) --
Life Storage Inc (FEDEF-1D) 10/04/17 (162) (12,699) --
Littlefuse Inc (FEDEF-1D) 10/04/17 (89) (13,719) --
LKQ Corp (FEDEF-1D) 10/04/17 (536) (16,745) --
Loews Corp (FEDEF-1D) 10/04/17 (583) (27,179) --
Lumentum Holdings Inc (FEDEF-1D) 10/04/17 (118) (5,045) --
M&T Bank Corp (FEDEF-1D) 10/04/17 (39) (6,061) --
Macerich Co (FEDEF-1D) 10/04/17 (42) (2,622) --
Mack-Cali Realty Corp (FEDEF-1D) 10/04/17 (310) (8,386) --
Magna International Inc (FEDEF-1D) 10/04/17 (53) (2,214) --
Mallinckrodt PLC (FEDEF-1D) 10/04/17 (530) (24,868) --
Marathon Oil Corp (FEDEF-1D) 10/04/17 (1,226) (18,231) --
Marathon Petroleum Corp (FEDEF-1D) 10/04/17 (49) (2,496) --
Marriott International Inc (FEDEF-1D) 10/04/17 (5) (472) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
14
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
-----------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
-----------------------------------------------------------------------------------------------------------
Martin Marietta Materials (FEDEF-1D) 10/04/17 (34) (7,486) --
Mattel Inc (FEDEF-1D) 10/04/17 (39) (874) --
Matthews International Corp (FEDEF-1D) 10/04/17 (219) (15,012) --
MB Financial Inc (FEDEF-1D) 10/04/17 (168) (7,142) --
Mead Johnson Nutrition Co (FEDEF-1D) 10/04/17 (36) (3,194) --
Medidata Solutions Inc (FEDEF-1D) 10/04/17 (158) (10,338) --
Merck & Co Inc (FEDEF-1D) 10/04/17 (295) (18,387) --
MGM Resorts International (FEDEF-1D) 10/04/17 (51) (1,566) --
Michael Kors Holdings Ltd (FEDEF-1D) 10/04/17 (60) (2,240) --
Micron Technology Inc (FEDEF-1D) 10/04/17 (338) (9,352) --
Mid-America Apartment Company (FEDEF-1D) 10/04/17 (179) (17,759) --
Monolithic Power Systems Inc (FEDEF-1D) 10/04/17 (99) (9,059) --
Monster Beverage Corp (FEDEF-1D) 10/04/17 (224) (10,165) --
Mosaic Co (FEDEF-1D) 10/04/17 (617) (16,616) --
Mueller Industries Inc (FEDEF-1D) 10/04/17 (189) (6,056) --
Murphy Oil Corp (FEDEF-1D) 10/04/17 (36) (942) --
Mylan NV (FEDEF-1D) 10/04/17 (769) (28,722) --
Nasdaq Inc (FEDEF-1D) 10/04/17 (95) (6,543) --
National Retail Properties Inc (FEDEF-1D) 10/04/17 (259) (10,935) --
Navient Corp (FEDEF-1D) 10/04/17 (531) (8,071) --
Neogen Corp (FEDEF-1D) 10/04/17 (170) (10,596) --
Netflix Inc (FEDEF-1D) 10/04/17 (134) (20,395) --
New York Community Bancorp Inc (FEDEF-1D) 10/04/17 (1,008) (13,396) --
New York Times Co (FEDEF-1D) 10/04/17 (1,214) (17,542) --
Newell Brands Inc (FEDEF-1D) 10/04/17 (423) (20,194) --
Newfield Exploration Co (FEDEF-1D) 10/04/17 (622) (21,534) --
Newmont Mining Corp (FEDEF-1D) 10/04/17 (103) (3,482) --
Nielsen Holdings PLC (FEDEF-1D) 10/04/17 (148) (6,087) --
NiSource Inc (FEDEF-1D) 10/04/17 (905) (21,946) --
Noble Energy Inc (FEDEF-1D) 10/04/17 (647) (20,918) --
Norfolk Southern Corp (FEDEF-1D) 10/04/17 (75) (8,812) --
Northwestern Corp (FEDEF-1D) 10/04/17 (273) (16,320) --
Nuvasive Inc (FEDEF-1D) 10/04/17 (142) (10,296) --
Occidental Petroleum Corp (FEDEF-1D) 10/04/17 (498) (30,647) --
Oceaneering Int'l Inc (FEDEF-1D) 10/04/17 (231) (6,096) --
Old National Bancorp (FEDEF-1D) 10/04/17 (659) (11,071) --
ONEOK Inc (FEDEF-1D) 10/04/17 (205) (10,785) --
Orbital ATK Inc (FEDEF-1D) 10/04/17 (144) (14,256) --
PACCAR Inc (FEDEF-1D) 10/04/17 (314) (20,953) --
Parexal International Corp (FEDEF-1D) 10/04/17 (8) (511) --
Parker-Hannifin Corp (FEDEF-1D) 10/04/17 (32) (5,146) --
Patterson Cos Inc (FEDEF-1D) 10/04/17 (25) (1,112) --
PDC Energy Inc (FEDEF-1D) 10/04/17 (123) (6,793) --
Pentair PLC (FEDEF-1D) 10/04/17 (109) (7,032) --
People's United Financial Inc (FEDEF-1D) 10/04/17 (350) (6,115) --
PepsiCo Inc (FEDEF-1D) 10/04/17 (35) (3,965) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
15
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
-----------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
-----------------------------------------------------------------------------------------------------------
PerkinElmer Inc (FEDEF-1D) 10/04/17 (9) (535) --
Perrigo Co PLC (FEDEF-1D) 10/04/17 (402) (29,724) --
Pfizer Inc (FEDEF-1D) 10/04/17 (411) (13,941) --
PG&E Corp (FEDEF-1D) 10/04/17 (341) (22,864) --
Phillips 66 (FEDEF-1D) 10/04/17 (204) (16,230) --
Pinnacle Financial Partners Inc (FEDEF-1D) 10/04/17 (178) (11,392) --
Pinnacle West Capital Corp (FEDEF-1D) 10/04/17 (289) (24,591) --
Pioneer Natural Resources Co (FEDEF-1D) 10/04/17 (135) (23,354) --
PPG Industries Inc (FEDEF-1D) 10/04/17 (140) (15,378) --
Praxair Inc (FEDEF-1D) 10/04/17 (106) (13,248) --
Prestige Brands Holdings (FEDEF-1D) 10/04/17 (258) (14,812) --
Priceline Group Inc (FEDEF-1D) 10/04/17 (1) (1,847) --
Prologis Inc (FEDEF-1D) 10/04/17 (11) (599) --
Prosperity Bancshares Inc (FEDEF-1D) 10/04/17 (102) (6,854) --
PS Business Parks Inc (FEDEF-1D) 10/04/17 (99) (12,032) --
Public Service Enterprise
Group Inc (FEDEF-1D) 10/04/17 (250) (11,013) --
PulteGroup Inc (FEDEF-1D) 10/04/17 (518) (11,743) --
Qiagen NV (FEDEF-1D) 10/04/17 (17) (512) --
Qorvo Inc (FEDEF-1D) 10/04/17 (22) (1,497) --
Quanta Services Inc (FEDEF-1D) 10/04/17 (203) (7,194) --
Range Resources Corp (FEDEF-1D) 10/04/17 (602) (15,947) --
Realty Income Corp (FEDEF-1D) 10/04/17 (107) (6,243) --
Regeneron Pharmaceuticals Inc (FEDEF-1D) 10/04/17 (52) (20,201) --
Regions Financial Corp (FEDEF-1D) 10/04/17 (49) (674) --
Rockwell Automation Inc (FEDEF-1D) 10/04/17 (95) (14,948) --
Rollins Inc (FEDEF-1D) 10/04/17 (371) (14,406) --
Ryder System Inc (FEDEF-1D) 10/04/17 (30) (2,037) --
SBA Communications Corp (FEDEF-1D) 10/04/17 (260) (32,887) --
SCANA Corp (FEDEF-1D) 10/04/17 (381) (25,264) --
Schlumberger Ltd (FEDEF-1D) 10/04/17 (278) (20,180) --
Selective Insurance Group (FEDEF-1D) 10/04/17 (234) (12,355) --
Sempra Energy (FEDEF-1D) 10/04/17 (228) (25,769) --
Sensata Technologies (FEDEF-1D) 10/04/17 (371) (15,278) --
Sherwin-Williams Co (FEDEF-1D) 10/04/17 (21) (7,028) --
Signet Jewelers Ltd (FEDEF-1D) 10/04/17 (35) (2,304) --
Simon Property Group Inc (FEDEF-1D) 10/04/17 (11) (1,818) --
Simpson Manufacturing Co (FEDEF-1D) 10/04/17 (255) (10,636) --
SL Green Realty Corp (FEDEF-1D) 10/04/17 (24) (2,518) --
SM Energy Co (FEDEF-1D) 10/04/17 (147) (3,321) --
Smith (A.O) Corp (FEDEF-1D) 10/04/17 (236) (12,716) --
Sonoco Products Co (FEDEF-1D) 10/04/17 (339) (17,733) --
Sotheby's (FEDEF-1D) 10/04/17 (166) (7,862) --
Southern Co (FEDEF-1D) 10/04/17 (561) (27,938) --
Southwestern Energy Co (FEDEF-1D) 10/04/17 (100) (751) --
Sprouts Farmers Market Inc (FEDEF-1D) 10/04/17 (461) (10,285) --
Staples Inc (FEDEF-1D) 10/04/17 (243) (2,374) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
16
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
-----------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
-----------------------------------------------------------------------------------------------------------
Stericycle Inc (FEDEF-1D) 10/04/17 (145) (12,374) --
Steris PLC (FEDEF-1D) 10/04/17 (195) (14,391) --
Sterling Bancorp (FEDEF-1D) 10/04/17 (461) (10,718) --
Stifel Financial Corp (FEDEF-1D) 10/04/17 (181) (8,845) --
Symantec Corp (FEDEF-1D) 10/04/17 (402) (12,715) --
Synnex Corp (FEDEF-1D) 10/04/17 (97) (10,518) --
TCF Financial Corp (FEDEF-1D) 10/04/17 (542) (8,948) --
TechnipFMC PLC (FEDEF-1D) 10/04/17 (84) (2,531) --
Telephone & Data Systems Inc (FEDEF-1D) 10/04/17 (289) (7,936) --
Tesoro Corp (FEDEF-1D) 10/04/17 (22) (1,754) --
Tetra Tech Inc (FEDEF-1D) 10/04/17 (254) (11,163) --
THOR Industries Inc (FEDEF-1D) 10/04/17 (23) (2,212) --
Tiffany & Co (FEDEF-1D) 10/04/17 (108) (9,898) --
Timken Co (FEDEF-1D) 10/04/17 (206) (9,940) --
Toll Brothers Inc (FEDEF-1D) 10/04/17 (65) (2,339) --
Total System Services Inc (FEDEF-1D) 10/04/17 (331) (18,970) --
Tractor Supply Co (FEDEF-1D) 10/04/17 (19) (1,176) --
Transocean Ltd (FEDEF-1D) 10/04/17 (643) (7,092) --
Tri Pointe Group Inc (FEDEF-1D) 10/04/17 (73) (909) --
TripAdvisor Inc (FEDEF-1D) 10/04/17 (223) (10,037) --
Tyler Technologies Inc (FEDEF-1D) 10/04/17 (61) (9,979) --
UDR Inc (FEDEF-1D) 10/04/17 (142) (5,302) --
Ultimate Software Group Inc (FEDEF-1D) 10/04/17 (53) (10,742) --
Under Armour Inc (FEDEF-1D) 10/04/17 (148) (3,181) --
Union Pacific Corp (FEDEF-1D) 10/04/17 (176) (19,705) --
United Bankshares Inc (FEDEF-1D) 10/04/17 (296) (11,810) --
United Continental Holdings Inc (FEDEF-1D) 10/04/17 (103) (7,232) --
United Technologies Corp (FEDEF-1D) 10/04/17 (68) (8,091) --
Universal Forest Products Inc (FEDEF-1D) 10/04/17 (72) (6,861) --
Urban Outfitters Inc (FEDEF-1D) 10/04/17 (39) (892) --
Valley National Bancorp (FEDEF-1D) 10/04/17 (877) (10,314) --
Varian Medical Systems Inc (FEDEF-1D) 10/04/17 (11) (998) --
Ventas Inc (FEDEF-1D) 10/04/17 (70) (4,481) --
Verizon Communications Inc (FEDEF-1D) 10/04/17 (531) (24,378) --
Vertex Pharmaceuticals Inc (FEDEF-1D) 10/04/17 (240) (28,392) --
Visa Inc (FEDEF-1D) 10/04/17 (146) (13,318) --
Vornado Realty Trust (FEDEF-1D) 10/04/17 (153) (14,725) --
Vulcan Materials Co (FEDEF-1D) 10/04/17 (149) (18,011) --
Wabtec Corp (FEDEF-1D) 10/04/17 (145) (12,164) --
Watts Water Technologies Inc (FEDEF-1D) 10/04/17 (215) (13,373) --
WEC Energy Group Inc (FEDEF-1D) 10/04/17 (59) (3,571) --
Welltower Inc (FEDEF-1D) 10/04/17 (33) (2,358) --
Westar Energy Inc (FEDEF-1D) 10/04/17 (313) (16,285) --
Western Digital Corp (FEDEF-1D) 10/04/17 (58) (5,166) --
Westrock Co (FEDEF-1D) 10/04/17 (122) (6,534) --
Wex Inc (FEDEF-1D) 10/04/17 (123) (12,480) --
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
17
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
-----------------------------------------------------------------------------------------------------------
REFERENCE ENTITY/OBLIGATION FUND PAYS/ TERMINATION CONTRACTS NOTIONAL UNREALIZED
(RECEIVES) DATE AMOUNT $ APPRECIATION/
(DEPRECIATION) $
-----------------------------------------------------------------------------------------------------------
Weyerhaeuser Co (FEDEF-1D) 10/04/17 (318) (10,771) --
Whole Foods Market Inc (FEDEF-1D) 10/04/17 (113) (4,110) --
Willis Towers Watson PLC (FEDEF-1D) 10/04/17 (9) (1,194) --
Wynn Resorts Ltd (FEDEF-1D) 10/04/17 (102) (12,547) --
Xcel Energy Inc (FEDEF-1D) 10/04/17 (766) (34,508) --
Xylem Inc (FEDEF-1D) 10/04/17 (301) (15,474) --
Yahoo! Inc (FEDEF-1D) 10/04/17 (186) (8,967) --
Zimmer Biomet Holdings Inc (FEDEF-1D) 10/04/17 (100) (11,965) --
Zions Bancorporation (FEDEF-1D) 10/04/17 (154) (6,165) --
Zoetis Inc (FEDEF-1D) 10/04/17 (280) (15,711) --
-------------
--
=============
FEDEF -- FEDERAL FUNDS RATE
For the six-month period ended April 30, 2017, 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.
18
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
A list of open futures contracts held by the Fund at April 30, 2017 are as
follows:
--------------------------------------------------------------------------------
TYPE OF CONTRACT NUMBER OF EXPIRATION UNREALIZED
CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
--------------------------------------------------------------------------------
3-Month Euro EURIBOR ................ (1) Dec-2017 (55)
3-Month Euro EURIBOR ................ (1) Mar-2018 (68)
3-Month Euro EURIBOR ................ (1) Jun-2018 (68)
3-Month Euro EURIBOR ................ (1) Sep-2018 (82)
3-Month Euro EURIBOR ................ (1) Dec-2018 (68)
3-Month Euro EURIBOR ................ (1) Mar-2019 (82)
3-Month Euro EURIBOR ................ (1) Jun-2019 (95)
3-Month Euro EURIBOR ................ (1) Sep-2019 (109)
3-Month Euro EURIBOR ................ (1) Dec-2019 (109)
90-Day Bank Bill (AUD) .............. 2 Sep-2017 89
90-Day Bank Bill (AUD) .............. 1 Dec-2017 16
90-Day Bank Bill (AUD) .............. 1 Mar-2018 35
90-Day Euro$ ........................ (1) Jun-2018 (701)
90-Day Euro$ ........................ (2) Sep-2018 (1,439)
90-Day Euro$ ........................ (2) Dec-2018 (1,639)
90-Day Euro$ ........................ (3) Mar-2019 (2,614)
90-Day Euro$ ........................ (2) Jun-2019 (1,776)
90-Day Euro$ ........................ (2) Sep-2019 (1,901)
90-Day Euro$ ........................ (2) Dec-2019 (1,901)
90-Day Euro$ ........................ (1) Mar-2020 (151)
90-Day Sterling ..................... 6 Dec-2017 191
90-Day Sterling ..................... 9 Mar-2018 299
90-Day Sterling ..................... 10 Jun-2018 198
90-Day Sterling ..................... 10 Sep-2018 195
90-Day Sterling ..................... 10 Dec-2018 150
90-Day Sterling ..................... 9 Mar-2019 260
90-Day Sterling ..................... 8 Jun-2019 165
90-Day Sterling ..................... 7 Sep-2019 151
90-Day Sterling ..................... 7 Dec-2019 91
90-Day Sterling ..................... 5 Mar-2020 29
90-Day Sterling ..................... 1 Jun-2020 32
Amsterdam Index ..................... 1 May-2017 2,478
AUD/USD Currency .................... 1 Jun-2017 (2,401)
Australian 3-Year Bond .............. (1) Jun-2017 (779)
Brent Crude Oil ..................... (1) May-2017 (631)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
19
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
TYPE OF CONTRACT NUMBER OF EXPIRATION UNREALIZED
CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
--------------------------------------------------------------------------------
CAC40 10 Euro ........................ 4 May-2017 12,491
CAD Currency ......................... (8) Jun-2017 8,861
CHF Currency ......................... (5) Jun-2017 (7,259)
Cocoa ................................ (3) Jul-2017 7,138
Cocoa ................................ (1) Sep-2017 1,650
Cocoa (ICE) .......................... (2) May-2017 4,415
Cocoa (ICE) .......................... (1) Jul-2017 1,954
Coffee 'C' ........................... (2) Jul-2017 6,561
Coffee 'C' ........................... (1) Sep-2017 2,925
Coffee Robusta ....................... (1) Jul-2017 349
Copper ............................... (1) Jul-2017 (1,350)
Corn .................................(14) Jul-2017 2,842
Corn ................................. (7) Sep-2017 1,709
Cotton No. 2 ......................... 2 Jul-2017 1,184
Cotton No. 2 ......................... 1 Dec-2017 465
DAX Index ............................ 2 Jun-2017 24,610
DJIA E-MINI CBOT ..................... 2 Jun-2017 2,129
E-MINI MSCI Emerging Index ........... 8 Jun-2017 11,869
Euro CHF 3-Month (ICE) ............... (1) Jun-2017 50
Euro FX Currency .....................(22) Jun-2017 (62,293)
Euro-Bobl ............................ 8 Jun-2017 (3,763)
Euro-BTP ............................. 1 Jun-2017 385
Euro-Bund ............................ 8 Jun-2017 (6,172)
Euro-Schatz .......................... 11 Jun-2017 (2,540)
Euro-Stoxx 50 ........................ 29 Jun-2017 52,240
Feeder Cattle ........................ 1 May-2017 8,987
FTSE 100 Index ....................... 4 Jun-2017 (6,035)
FTSE China A50 ....................... 2 May-2017 229
Gasoil Euro .......................... 1 May-2017 (4,476)
Gasoil Euro .......................... 1 Jun-2017 (2,826)
GBP Currency .........................(11) Jun-2017 (45,937)
Gold 100 OZ .......................... 2 Jun-2017 (1,151)
Hang Seng Index ...................... 3 May-2017 9,111
H-shares Index ....................... 3 May-2017 2,710
Japanese 10-Year Bond ................ 1 Jun-2017 3,303
Japanese Yen Currency ................ 9 Jun-2017 (15,167)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
20
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
TYPE OF CONTRACT NUMBER OF EXPIRATION UNREALIZED
CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
--------------------------------------------------------------------------------
Kansas City Hard Red Wheat Future ... (4) Jul-2017 (2,565)
Kansas City Hard Red Wheat Future ... (1) Sep-2017 (1,163)
Lean Hogs ........................... 1 Jun-2017 560
Live Cattle ......................... 4 Jul-2017 21,018
Live Cattle ......................... 2 Sep-2017 11,519
LME Copper .......................... 1 May-2017 (8,093)
LME Prime Aluminum .................. 3 May-2017 (849)
LME Prime Aluminum .................. 6 Jul-2017 (3,837)
Long Gilt 10-Year Bond .............. 3 Jun-2017 5,618
Mexican Peso ........................ 17 Jun-2017 9,606
Mill Wheat .......................... (1) Sep-2017 (137)
MSCI Sing Index ..................... 3 May-2017 816
MSCI Taiwan Index ................... 4 May-2017 1,857
NASDAQ 100 E-MINI ................... 9 Jun-2017 34,558
Natural Gas ......................... 4 Jun-2017 238
Natural Gas ......................... 2 Jul-2017 (381)
New Zealand 3-Month T-Bill .......... 1 Jun-2017 101
New Zealand 3-Month T-Bill .......... 1 Sep-2017 135
New Zealand Currency ................ (2) Jun-2017 1,209
Nikkei 225 Index .................... 3 Jun-2017 (723)
NY Harbor ........................... 1 Jun-2017 (5,364)
OMX Index ........................... 5 May-2017 4,123
Russell 2000 Index E-MINI ........... (22) Jun-2017 (35,847)
S&P 500 Index E-MINI ................ 34 Jun-2017 42,554
S&P Mid 400 Index E-MINI ............ 1 Jun-2017 (311)
S&P TSE 60 Index .................... 1 Jun-2017 346
SGX Nifty 50 ........................ 2 May-2017 197
Soybean ............................. (3) Jul-2017 23
Soybean ............................. (1) Aug-2017 562
Soybean Meal ........................ (2) Jul-2017 (181)
Soybean Meal ........................ (1) Aug-2017 (200)
Soybean Oil ......................... (1) Jul-2017 (144)
SPI 200 Index ....................... 5 Jun-2017 10,998
Sugar #11 ........................... (5) Sep-2017 2,170
Sugar #11 ........................... (2) Dec-2017 817
Topix Index ......................... 3 Jun-2017 (2,901)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
21
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
--------------------------------------------------------------------------------
TYPE OF CONTRACT NUMBER OF EXPIRATION UNREALIZED
CONTRACTS DATE APPRECIATION/
LONG/(SHORT) (DEPRECIATION) $
--------------------------------------------------------------------------------
U.S. 2-Year Treasury Note ........... 21 Jul-2017 3,192
U.S. 5-Year Treasury Note ........... 18 Jul-2017 11,826
U.S. 10-Year Treasury Note .......... (9) Jun-2017 (11,528)
U.S. Long Treasury Bond ............. (5) Jun-2017 (12,354)
U.S. Ultra Long Treasury Bond ....... (3) Jun-2017 (9,603)
Wheat ............................... (5) Jul-2017 1,010
Wheat ............................... (3) Sep-2017 36
WTI Crude Oil ....................... (3) Jun-2017 9,078
WTI Crude Oil ....................... (2) Jul-2017 3,179
---------
78,073
=========
AUD -- AUSTRALIAN DOLLAR ICE -- INTERCONTINENTAL EXCHANGE
Bobl -- GERMAN FEDERAL OBLIGATIONS LME -- LONDON METAL EXCHANGE
BTP -- LONG ITALIAN BOND MSCI -- MORGAN STANLEY CAPITAL INTERNATIONAL
CAC -- COTATION ASSISTEE EN CONTINU NASDAQ -- NATIONAL ASSOCIATION OF SECURITIES
(PARIS STOCK EXCHANGE) DEALERS AUTOMATED QUOTATIONS
CAD -- CANADIAN DOLLAR OMX -- STOCKHOLM STOCK EXCHANGE
CBOT -- CHICAGO BOARD OF TRADE OZ -- OUNCE
CHF -- SWISS FRANC S&P -- STANDARD & POORS
DAX -- DEUTSCHE BOERSE AG GERMAN STOCK INDEX SGX -- SINGAPORE EXCHANGE
DJIA -- DOW JONES INDUSTRIAL AVERAGE Schatz -- SHORT-TERM GERMAN FEDERAL OBLIGATIONS
EURIBOR -- EURO INTERBANK OFFERED RATE SPI -- SHARE PRICE INDEX
E-MINI -- FUTURES CONTRACT 1/5 THE SIZE TSE -- TORONTO STOCK EXCHANGE
OF A STANDARD CONTRACT WTI -- WEST TEXAS INTERMEDIATE
FTSE -- FINANCIAL TIMES STOCK EXCHANGE USD -- UNITED STATES DOLLAR
GBP -- BRITISH POUND
For the six-month period ended April 30, 2017, 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 April 30, 2017, the Fund's
net assets were $14,410,661.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
22
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED SCHEDULE OF INVESTMENTS -- CONTINUED
The following shows the levels of inputs used as of April 30, 2017, in valuing
the Fund's financial instruments carried at fair value:
--------------------------------------------------------------------------------
FINANCIAL INSTRUMENTS LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
$ $ $ $
--------------------------------------------------------------------------------
Futures Contracts
Unrealized appreciation 349,892 -- -- 349,892
Unrealized depreciation (271,819) -- -- (271,819)
EquitySwaps*
Unrealized appreciation -- -- -- --
Unrealized depreciation -- -- -- --
--------- ------- ------- ---------
Total Financial Instruments 78,073 -- -- 78,073
========= ======= ======= =========
* EQUITY SWAPS REFLECT A FAIR VALUE OF $0 AT THE CLOSE OF BUSINESS ON APRIL
30, 2017 AS THE MONTHLY REALIZATION OF GAINS AND LOSSES ON THESE POSITIONS
WAS CRYSTALLIZED ON APRIL 30, 2017, UPON THE MONTHLY RESET. THE CUMULATIVE
NET REALIZED GAIN FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2017 WAS
$472,175.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
23
Winton Diversified Opportunities Fund
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
ASSETS: $
----------
Cash .............................................................. 10,234,930
Cash collateral on derivative contracts ........................... 3,166,605
Deposits held with broker (Note 2) ................................ 516,203
Foreign currency (Cost $442,506) .................................. 442,459
Due from broker (Note 2) .......................................... 179,163
Receivable from Investment Adviser (Note 7) ....................... 36,278
Dividends receivable .............................................. 5,415
Prepaid expenses .................................................. 659
------------
Total assets .............................................. 14,581,712
------------
LIABILITIES:
Due to broker (Note 2) ............................................ 149,685
Payable due to Administrator (Note 6) ............................. 13,562
Interest payable (Note 2) ......................................... 3,368
Dividends payable (Note 2) ........................................ 2,429
Chief Compliance Officer fees payable (Note 5) .................... 2,007
------------
Total liabilities ......................................... 171,051
------------
NET ASSETS ........................................................ 14,410,661
============
Net assets consist of:
Paid-in capital ................................................... 16,146,372
Accumulated net investment loss ................................... (494,342)
Accumulated net realized loss on futures contracts, swap
contracts and foreign currency transactions ..................... (1,319,394)
Net unrealized appreciation on futures contracts .................. 78,073
Net unrealized depreciation on foreign currency translation ....... (48)
------------
NET ASSETS ........................................................ 14,410,661
============
NET ASSET VALUE, Offering and Redemption Price Per Share --
Class I shares (unlimited authorization - no par value)
($14,410,661 / 865,108 shares) ................................. 16.66
============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
24
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
CONSOLIDATED STATEMENT OF OPERATIONS
INVESTMENT INCOME $
------------
Dividends ....................................................... 48,700
------------
Total investment income ...................................... 48,700
------------
EXPENSES
Professional fees ............................................... 90,753
Investment advisory fees (Note 7) ............................... 82,060
Administration fees (Note 6) .................................... 81,745
Custodian fees .................................................. 52,362
Dividend expense (Note 2) ....................................... 27,253
Transfer Agent fees ............................................. 19,988
Interest expense (Note 2) ....................................... 17,738
Printing fees ................................................... 16,948
Trustees' fees .................................................. 16,560
Insurance and other expenses .................................... 7,025
Chief Compliance Officer fees (Note 5) .......................... 2,866
------------
TOTAL EXPENSES ............................................... 415,298
------------
LESS:
Investment advisory fees waived (Note 7) ........................ (82,060)
Reimbursement from Investment Adviser (Note 7) .................. (182,550)
------------
NET EXPENSES ................................................. 150,688
------------
NET INVESTMENT LOSS ............................................. (101,988)
------------
NET REALIZED (LOSS)/GAIN ON:
Futures contracts ............................................ (497,317)
Swap contracts ............................................... 472,175
Foreign currency transactions ................................ 9,943
------------
(15,199)
------------
NET CHANGE IN UNREALIZED APPRECIATION ON:
Futures contracts ............................................ 101,620
Foreign currency and translation of other assets
and liabilities denominated in foreign currency ............ 680
------------
102,300
------------
Net realized loss and unrealized appreciation ................... 87,101
------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS ............ (14,887)
============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
25
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--------------------------------------------------------------------------------
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
SIX-MONTH
PERIOD ENDED YEAR ENDED
APRIL 30, 2017 OCTOBER 31,
(UNAUDITED) 2016
OPERATIONS: $ $
-------------- -----------
Net investment loss ................................... (101,988) (70,662)
Net realized loss on futures contracts, swap
contracts and foreign currency transactions ......... (15,199) (1,612,293)
Net change in unrealized appreciation on futures
contracts, foreign currency and translation of
other assets and liabilities denominated in foreign
currency ......................................... 102,300 742,179
---------- ----------
Net decrease in net assets resulting from operations .. (14,887) (940,776)
---------- ----------
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 ................................................ 2,810,000 2,931,083
Reinvestment of dividends ............................. -- 663,127
---------- ----------
Net increase in net assets from capital
share transactions .................................. 2,810,000 3,594,210
---------- ----------
Total increase in net assets .......................... 2,795,113 1,879,862
---------- ----------
NET ASSETS:
Beginning of period/year .............................. 11,615,548 9,735,686
---------- ----------
End of period/year .................................... 14,410,661 11,615,548
========== ==========
(Accumulated net investment loss/distributions in
excess of net investment income) .................... (494,342) (392,354)
========== ==========
(1) SEE NOTE 10 -- SHARE TRANSACTIONS IN NOTES TO THE CONSOLIDATED FINANCIAL
STATEMENTS.
AMOUNTS DESIGNATED AS "--" ARE $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF
THE CONSOLIDATED FINANCIAL STATEMENTS.
26
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--------------------------------------------------------------------------------
CONSOLIDATED FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA & RATIOS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS/YEAR
SIX-MONTH
PERIOD ENDED YEAR PERIOD
APRIL 30, ENDED ENDED
2017 OCTOBER 31, OCTOBER 31,
(UNAUDITED) 2016 2015*
CLASS I SHARES $ $ $
------------ ----------- -----------
Net asset value, beginning of periods/year ................. 16.67 19.47 20.00
------ ------ ------
INCOME FROM OPERATIONS:
Net investment loss(1) ..................................... (0.13) (0.12) (0.02)
Net realized and unrealized gain/(loss) on investments ..... 0.12 (1.21) (0.51)
------ ------ ------
Total from operations ...................................... (0.01) (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 periods/year ....................... 16.66 16 .67 19.47
====== ====== ======
TOTAL RETURN+ .............................................. (0.06)% (7.46)% (2.65)%
====== ====== ======
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of periods/year ($ Thousands) ..............$14,411 $11,616 $9,736
Ratio of expenses to average net assets (including
dividend expense, interest expense, waivers and
reimbursements)(2) ........................................ 2.29%(3) 2.99% 2.72%(3)
Ratio of expenses to average net assets (including
dividend expense, interest expense, excluding waivers
and reimbursements) ....................................... 6.32%(3) 7.30% 15.98%(3)
Ratio of net investment loss to average net assets ......... (1.55)%(3) (0.64)% (1.43)%(3)
Portfolio turnover rate(4) ................................. 0.00% 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%, 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 RATE CALCULATION.
+ TOTAL RETURN IS FOR THE PERIOD INDICATED AND HAS NOT BEEN ANNUALIZED.
RETURN SHOWN DOES NOT REFLECT THE DEDUCTIONS OF TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. TOTAL
RETURN MAY HAVE BEEN LOWER HAD THE ADVISER NOT WAIVED ITS FEE AND/OR
REIMBURSED OTHER EXPENSES.
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.
27
Winton Diversified Opportunities Fund
For the six-month period ended
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--------------------------------------------------------------------------------
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 Adviser is registered with the
Commodity Futures Trading Commission ("CFTC") as a commodity pool operator and
is a member of the National Futures Association. A claim of exemption pursuant
to CFTC Rule 4.7 has been made with respect to the Fund by the Adviser.
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.
28
Winton Diversified Opportunities Fund
For the six-month period ended
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--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
1. ORGANIZATION (CONTINUED)
The Fund seeks to achieve its investment objective in accordance with its
investment strategy by following a systematic investment process which has been
developed and is implemented by the Adviser. The investment process is based on
statistical analysis of historical data. This research is used to develop
investment strategies that are operated as an automated, computer-based system.
This investment systemis 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, 2017.
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.
29
Winton Diversified Opportunities Fund
For the six-month period ended
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--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 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
30
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
E) SECURITIES SOLD SHORT (CONTINUED)
loan. To borrow the security, the Fund also may be required to pay a
premium, which would increase the cost of the security sold. The proceeds
of the short sale will be retained by the broker, to the extent necessary
to meet margin 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
31
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
G) SWAP AGREEMENTS(CONTINUED)
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. 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 no unrealized appreciation or depreciation as of
April 30, 2017.
All swaps held by the Fund during the six-month period ended April 30, 2017
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
32
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
I) FEDERAL INCOME TAXES(CONTINUED)
provision in the current period. However, management's conclusions
regarding tax positions taken may be subject to review and adjustment at a
later date based on factors including, but not limited to, examination by
tax authorities (i.e., all open tax year ends, since inception), on-going
analysis of and changes to tax laws, regulations and interpretations
thereof.
As of and during the six-month period ended April 30, 2017, 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.
33
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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.
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
34
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
3. INVESTMENTS (CONTINUED)
will follow the rules regarding the valuation of exchange traded options. If the
OTC option is not also an exchange traded option, the Fund or Subsidiary will
value the option at fair value in accordance with procedures adopted by the
Board. Futures contracts and options on futures contracts are valued at the last
trade price prior to the end of the Fund's or Subsidiary's pricing cycle. Swap
contracts held by the Fund or Subsidiary are valued primarily using valuations
from independent pricing services. If the valuations cannot be so sourced, then
valuations can be based on broker quotations, or if no broker quotations are
available, from the swap counterparty or by reference to daily quoted values for
the indices or securities upon which the swap contract is valued. In the absence
of the above, an appropriate method of valuation will be determined subject to
the fair valuation procedures established by the Adviser.
Illiquid securities, securities for which reliable quotations or pricing
services are not readily available, and all other assets will be valued either
at the average of 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:
35
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
3. INVESTMENTS (CONTINUED)
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 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 six-month period ended April 30, 2017.
For the six-month period ended April 30, 2017, there were no transfers between
levels. It is the Fund's policy to recognize transfers into and out of levels
at the end of the reporting period.
For details of the investment classification, refer to the Consolidated
Schedule of Investments.
TRANSACTIONS
During the six-month period ended April 30, 2017, the Fund and Subsidiary
purchased 1,090,506 swap contracts and closed 1,061,271 swap contracts for a
realized gain of $472,175 with 178,769 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.
36
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
3. INVESTMENTS (CONTINUED)
During the six-month period ended April 30, 2017, the Fund and Subsidiary
purchased 2,345 futures contracts and closed 2,300 futures contracts for a
realized loss of $497,317 with 527 futures contracts outstanding. All future
contracts held by the Fund are exchange-traded and therefore no right of offset
exists. The future contracts were collateralized by cash, which is included in
Cash collateral on derivative contracts on the Consolidated Statement of Assets
and Liabilities.
4. BASIS FOR CONSOLIDATION FOR THE SUBSIDIARY
The Consolidated Statement of Assets and Liabilities, Consolidated Schedule of
Investments, Consolidated Statement of Operations, Consolidated 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 April 30, 2017 were $512,578, which represented
3.56% of the net assets of the Fund.
Income, gains and losses attributed to the Fund's investments in the
Subsidiary, during the six-month period ended April 30, 2017, are as follows:
$
---------
INVESTMENT INCOME:
Interest income --
NET REALIZED GAIN/(LOSS) ON:
Futures contracts ............................ (489,710)
Swap contracts ............................... --
Foreign currency transactions ................ (868)
NET CHANGE IN UNREALIZED DEPRECIATION ON:
Futures contracts ............................ 78,537
Foreign currency translation ................. 100
---------
TOTAL INCOME, GAINS AND LOSSES ATTRIBUTED TO
THE FUND'S INVESTMENTS IN THE SUBSIDIARY ..... (411,941)
=========
37
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
5. TRANSACTIONS WITH AFFILIATES
An affiliate of the Adviser holds 61.8% of the Class I shares as of April 30,
2017.
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.
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 six-month period ended April 30,
2017, the Fund paid $81,745 for these services, of which $13,562 was
outstanding at April 30, 2017.
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.
38
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 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" refersto an increase in theNAVofashare
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, 2018 (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
39
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
7. INVESTMENT ADVISORY AGREEMENT (CONTINUED)
notice to the Fund, effective as of the close of business on February 28, 2018.
During the six-month period ended April 30, 2017, fees which were waived and/or
reimbursed by the Adviser were $264,610.
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.
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 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)
===========
40
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
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 $28,127 to offset capital gains.
Late year loss deferrals represent ordinary losses realized on investment
transactions from January 1, 2016 through October 31, 2016, that, in accordance
with Federal income tax regulations, the Fund defers and treats as having
arisen in the following fiscal year.
Other temporary differences are primarily mark to market gain from open
futures.
9. DERIVATIVE TRANSACTIONS
The fair value of derivative instruments as of April 30, 2017 was as follows:
ASSET DERIVATIVES LIABILITY DERIVATIVES
-----------------------------------------------------------------------------------
($) ($)
-----------------------------------------------------------------------------------
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS:*
COMMODITY CONTRACTS
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 90,389 contracts 33,348
EQUITY CONTRACTS
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 213,316 contracts 45,817
FOREIGN EXCHANGE CONTRACTS
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 18,467 contracts 117,890
INTEREST RATE CONTRACTS
Net assets -- Unrealized Net assets -- Unrealized
appreciation on futures depreciation on futures
contracts 27,720 contracts 74,764
-------- --------
TOTAL DERIVATIVES NOT ACCOUNTED
FOR AS HEDGING INSTRUMENTS 349,892 271,819
======== ========
* INCLUDES CUMULATIVE APPRECIATION/DEPRECIATION OF FUTURES CONTRACTS AS
REPORTED IN THE CONSOLIDATED SCHEDULE OF INVESTMENTS. ONLY CURRENT DAY'S
VARIATION MARGIN, AS OF APRIL 30, 2017 IS REPORTED WITHIN THE CONSOLIDATED
STATEMENT OF ASSETS AND LIABILITIES.
41
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
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 six-month period ended April 30, 2017.
Amount of realized gain/(loss) on derivatives recognized in income:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS
FUTURES SWAPS TOTAL
$ $ $
--------- -------- ---------
Commodity contracts ........... (489,710) -- (489,710)
Equity contracts .............. 411,088 472,175 883,263
Foreign exchange contracts .... (32,610) -- (32,610)
Interest rate contracts ....... (386,085) -- (386,085)
-------- ------- ---------
Total ....................... (497,317) 472,175 (25,142)
======== ======= =========
Change in unrealized appreciation/(depreciation) on derivatives recognized in
income:
DERIVATIVES NOT ACCOUNTED FOR AS HEDGING INSTRUMENTS
FUTURES SWAPS TOTAL
$ $ $
---------- ------ --------
Commodity contracts ............. 78,878 -- 78,878
Equity contracts ................ 152,575 -- 152,575
Foreign exchange contracts ...... (233,130) -- (233,130)
Interest rate contracts ......... 103,297 -- 103,297
------- ------- -------
Total ......................... 101,620 -- 101,620
======= ======= =======
10. SHARE TRANSACTIONS
Class I shares of beneficial interest in the Fund were offered during an
initial offering period ending on September 30, 2015. During the initial
offering period, Class I shares were offered at the offering price, which was
$20.00 per share. Thereafter, the shares are offered on a continuous monthly
basis (generally as of 4:00 p.m. Eastern Time on the last business day of each
month (the "Closing Time"), at the NAV per share at that time. At each Closing
Time, purchase orders received in proper form will be accepted by the Fund and
deposited monies will be invested in the Fund as of the first business day of
the next month following the acceptance of an investor's purchase order. For
each investor, the Fund requires a minimum initial investment of $10,000 and
minimum subsequent investments of $5,000. The Fund
42
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
10. SHARE TRANSACTIONS (CONTINUED)
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 six-month period ended April 30, 2017.
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.
43
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
10. SHARE TRANSACTIONS (CONTINUED)
The share transactions for the Fund are shown below:
SIX-MONTH
PERIOD ENDED YEAR ENDED
APRIL 30, 2017 OCTOBER 31,
(UNAUDITED) 2016
-------------- -----------
SHARES TRANSACTIONS:
CLASS I SHARES
Issued ......................................... 168,106 160,566
Reinvestment of dividends ...................... -- 36,436
------- -------
INCREASE IN CLASS I SHARES ..................... 168,106 197,002
------- -------
Net increase in shares outstanding ............. 168,106 197,002
======= =======
11. RISKS ASSOCIATED WITH FINANCIAL INSTRUMENTS
As with all investment companies, shareholders are subject to the risk that
investments could lose money. A Fund share is not a bank deposit and it is not
insured nor guaranteed by the Federal Deposit Insurance Corporation or any
government agency. The risk factors affecting investments in the Fund and
Subsidiary are set out in the Prospectus and Statement of Additional
Information. The nature and the extent of the investments held at April 30,
2017 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'sbusiness 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.
44
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
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 theuseofderivativesby registered investment companies, such as
the Fund or Subsidiary, and such new regulations may require the Fund
and/or Subsidiary to alter its structure or operations.
IV) OTHER PRICE RISK -- Other price risk is the risk that the fair value
of the securities will fluctuate as a result of changes in market
prices (other than those arising from interest rate, derivatives or
currency risk), whether caused by factors specific to an individual
instrument, its issuer or all the factors affecting all financial
instruments in the market.
45
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
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, 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
46
Winton Diversified Opportunities Fund
For the six-month period ended
[LOGO OMITTED] April 30, 2017 (Unaudited)
--------------------------------------------------------------------------------
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
11. RISKS ASSOCIATED WITH FINANCIAL INSTRUMENTS (CONTINUED)
E) SUBSIDIARY RISK (CONTINUED)
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 April 30, 2017.
47
WIN-SA-002-0200
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for semi-annual report.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments is included as part of the Report to Shareholders filed
under Item 1 of this form.
Item 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable for semi-annual report.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a) Not applicable for semi-annual report.
(b) Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no changes to the procedures by which shareholders may
recommend nominees to the Registrant's Board of Trustees during the period
covered by this report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the Registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act
(17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the
report, are effective based on the evaluation of these controls and procedures
required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules
13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There has been no change in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))
that occurred during the second fiscal quarter of the period covered by this
report that has materially affected, or is reasonably likely to materially
affect, the Registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the Registrant as required by Rule 30a-2(a)
under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are
filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this
filing as an Exhibit.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Winton Diversified Opportunities Fund
By (Signature and Title) /s/ Michael Beattie
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Michael Beattie, President
Date: July 7, 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: July 7, 2017
By (Signature and Title) /s/ Stephen Connors
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Stephen Connors
Treasurer, Controller & CFO
Date: July 7, 2017