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January 31, 2014
|
|
Schedule of Investments Neuberger Berman Absolute Return Multi-
Manager Fund (Unaudited)
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January 31, 2014
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Schedule of Investments Neuberger Berman Long Short Multi-Manager Fund
(Unaudited)
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January 31, 2014
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Notes to Schedule of Investments (Unaudited)
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| † |
In accordance with Accounting Standards Codification (“ASC”) 820 “Fair Value Measurements and Disclosures”
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(“ASC 820”), all investments held by each of Neuberger Berman Absolute Return Multi-Manager Fund (“Absolute Return Multi-Manager”) and Neuberger Berman Long Short Multi-Manager Fund (“Long Short Multi-Manager”) (each individually a “Fund,” and collectively, the “Funds”) are carried at the value that Neuberger Berman Management LLC (“Management”) believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds’ investments, some of which are discussed below. Significant management judgment may be necessary to value investments in accordance with ASC 820.
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ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
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| ● |
Level 1 – quoted prices in active markets for identical investments
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| ● |
Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
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| ● |
Level 3 – unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments)
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The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
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The value of the Funds’ investments (long and short positions) in equity securities, exchange traded funds, purchased option contracts, written option contracts, rights and warrants, for which market quotations are readily available, is generally determined by Management by obtaining valuations from an independent pricing service based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued by a Fund at the NASDAQ Official Closing Price (“NOCP”) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern time, unless that price is outside the range of the “inside” bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no reported sale of a security on a particular day, the independent pricing service may value the security based on reported market quotations.
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The value of the Funds’ investments (long and short positions) in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by an independent pricing service to value certain types of debt securities of the Funds:
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|||
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Corporate Debt Securities.
Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, spread to the U.S. Treasury market, and other market information which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available (“Other Market Information”).
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| Convertible Bonds . Inputs used to value convertible bonds generally include underlying stock data, dealer quotes, conversion premiums, listed bond and preferred stock prices and other market information, which may include benchmark curves, trade execution data, and sensitivity analysis, when available. | |||
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U.S. Treasury Securities.
Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
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Asset-Backed Securities and Mortgage-Backed Securities.
Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
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Bank Loans
. The value of bank loan securities is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
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The value of financial futures contracts is determined by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
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The value of forward foreign currency contracts (“forward contracts”) is determined by obtaining valuations from an independent pricing service based on actual traded currency rates on an independent pricing service’s network, along with other traded and quoted currency rates provided to the pricing service by leading market participants (Level 2 inputs).
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The value of total return swaps is determined by obtaining valuations from an independent pricing service using the underlying index and stated London Interbank Offered Rate (“LIBOR”) (Level 2 inputs).
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The value of equity swaps is determined by obtaining valuations from an independent pricing service using the underlying security and stated LIBOR rate or Federal Funds floating rate (Level 2 inputs).
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Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
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Investments in investment companies are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs).
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If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, the applicable Fund seeks to obtain quotations from principal market makers (generally considered Level 3 inputs). If such quotations are not readily available, the security is valued using methods the Neuberger Berman Alternative Funds’ Board of Trustees (the “Board”) has approved on the belief that they reflect fair value. Numerous factors may be considered when determining the fair value of a security based on Level 2 or 3 inputs, including available analyst, media or other reports, trading in futures or American Depositary Receipts (“ADRs”) and whether the issuer of the security being fair valued has other securities outstanding.
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The value of the Funds’ investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are translated from the local currency into U.S. dollars using the exchange rate as of 4:00 p.m., Eastern time. The Board has approved the use of Interactive Data Pricing and Reference Data, Inc. (“Interactive”) to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). In the absence of precise information about the market values of these foreign securities as of the close of the New York Stock Exchange, the Board has determined on the basis of available data that prices adjusted in this way are likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
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Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
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Asset Valuation Inputs
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Level 1
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Level 2
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Level 3§
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Total
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Absolute Return Multi-Manager
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Investments:
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Common Stocks
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Airlines
|
$1,760,284
|
$260,476
|
$—
|
$2,020,760
|
|
Biotechnology
|
24,418,256
|
3,120
|
—
|
24,421,376
|
|
Machinery
|
5,007,940
|
32,890
|
—
|
5,040,830
|
|
Media
|
49,256,242
|
—
|
750
|
49,256,992
|
|
Real Estate Management & Development
|
2,648,224
|
355,146
|
—
|
3,003,370
|
|
Other Common Stocks^
|
392,430,778
|
—
|
—
|
392,430,778
|
|
Total Common Stocks
|
475,521,724
|
651,632
|
750
|
476,174,106
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|
Preferred Stocks^
|
5,396,002
|
—
|
—
|
5,396,002
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|
Exchange Traded Funds
|
5,273,908
|
—
|
—
|
5,273,908
|
|
Rights^
|
17,979
|
—
|
—
|
17,979
|
|
Warrants^
|
147,395
|
—
|
—
|
147,395
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|
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government
|
—
|
29,180
|
—
|
29,180
|
|
Collateralized Mortgage Obligations
|
—
|
10,228,693
|
—
|
10,228,693
|
|
Commercial Mortgage-Backed Securities
|
—
|
11,289,946
|
496,719
|
11,786,665
|
|
Asset-Backed Securities
|
—
|
1,842,493
|
—
|
1,842,493
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Corporate Debt Securities^
|
—
|
19,275,628
|
—
|
19,275,628
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|
Convertible Corporate Debt Securities^
|
—
|
569,695
|
—
|
569,695
|
|
Bank Loan Obligations
|
||||
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Advertising
|
—
|
1,008,750
|
2,077,320
|
3,086,070
|
|
Aerospace & Defense
|
—
|
838,312
|
—
|
838,312
|
|
Building Products
|
—
|
562,385
|
610,500
|
1,172,885
|
|
Capital Markets
|
—
|
197,043
|
—
|
197,043
|
|
Chemicals
|
—
|
1,156,301
|
87,870
|
1,244,171
|
|
Commercial Services & Supplies
|
—
|
9,728,153
|
—
|
9,728,153
|
|
Communications Equipment
|
—
|
2,123,146
|
—
|
2,123,146
|
|
Computers & Peripherals
|
—
|
2,316,268
|
—
|
2,316,268
|
|
Diversified Financial Services
|
—
|
949,203
|
—
|
949,203
|
|
Diversified Telecommunication Services
|
—
|
5,977,876
|
59,000
|
6,036,876
|
|
Electrical Components & Equipment
|
—
|
473,591
|
—
|
473,591
|
|
Electronic Equipment, Instruments & Components
|
—
|
991,036
|
—
|
991,036
|
|
Energy Equipment & Services
|
—
|
2,036,899
|
—
|
2,036,899
|
|
Environmental Control
|
—
|
242,807
|
—
|
242,807
|
|
Food Products
|
—
|
4,008,552
|
571,263
|
4,579,815
|
|
Health Care Equipment & Supplies
|
—
|
1,392,871
|
—
|
1,392,871
|
|
Health Care Providers & Services
|
—
|
530,076
|
2,506,250
|
3,036,326
|
|
Health Care Technology
|
—
|
103,811
|
490,000
|
593,811
|
|
Hotels, Restaurants & Leisure
|
—
|
10,483,092
|
—
|
10,483,092
|
|
Independent Power Producers & Energy Traders
|
—
|
2,081,217
|
—
|
2,081,217
|
|
Insurance
|
—
|
995,000
|
—
|
995,000
|
|
Internet Software & Services
|
—
|
2,436,190
|
1,239,556
|
3,675,746
|
|
IT Services
|
—
|
$502,590
|
—
|
$502,590
|
|
Media
|
—
|
6,252,208
|
—
|
6,252,208
|
|
Metal Fabricate/Hardware
|
—
|
194,559
|
—
|
194,559
|
|
Metals & Mining
|
—
|
710,410
|
—
|
710,410
|
|
Miscellaneous Manufacturing
|
—
|
265,475
|
—
|
265,475
|
|
Oil & Gas Services
|
—
|
3,414,431
|
—
|
3,414,431
|
|
Oil, Gas & Consumable Fuels
|
—
|
1,563,296
|
247,242
|
1,810,538
|
|
Packaging & Containers
|
—
|
394,290
|
—
|
394,290
|
|
Personal Products
|
—
|
—
|
476,548
|
476,548
|
|
Pharmaceuticals
|
—
|
1,503,103
|
—
|
1,503,103
|
|
Retail
|
—
|
210,724
|
—
|
210,724
|
|
Software
|
—
|
9,986,254
|
3,129,278
|
13,115,532
|
|
Trading Companies & Distributors
|
—
|
350,305
|
—
|
350,305
|
|
Transportation Infrastructure
|
—
|
130,279
|
—
|
130,279
|
|
Total Bank Loan Obligations
|
—
|
76,110,503
|
11,494,827
|
87,605,330
|
|
Purchased Options
|
3,641,403
|
4,500
|
—
|
3,645,903
|
|
Short-Term Investment
|
—
|
288,297,805
|
—
|
288,297,805
|
|
Total Long Positions
|
489,998,411
|
408,300,075
|
11,992,296
|
910,290,782
|
|
Long Short Multi-Manager
|
||||
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Investments:
|
||||
|
Common Stocks
|
||||
|
Real Estate Management & Development
|
$19,223
|
$6,718
|
$—
|
$25,941
|
|
Other Common Stocks^
|
4,535,771
|
—
|
—
|
4,535,771
|
|
Total Common Stocks
|
4,554,994
|
6,718
|
—
|
4,561,712
|
|
Exchange Traded Funds
|
68,765
|
—
|
—
|
68,765
|
|
Preferred Stocks^
|
71,734
|
—
|
—
|
71,734
|
|
Short-Term Investment
|
—
|
2,099,346
|
—
|
2,099,346
|
|
Total Long Positions
|
4,695,493
|
2,106,064
|
—
|
6,801,557
|
|
Asset Valuation Inputs
|
||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
|
Absolute Return Multi-Manager
|
||||
|
Forward contracts (unrealized appreciation)
|
$—
|
$826,115
|
$—
|
$826,115
|
|
Total
|
—
|
826,115
|
—
|
826,115
|
|
Long Short Multi-Manager
|
||||
|
Forward contracts (unrealized appreciation)
|
$—
|
$9,791
|
$—
|
$9,791
|
|
Equity swaps
|
—
|
516
|
—
|
516
|
|
Total
|
—
|
10,307
|
—
|
10,307
|
| § |
The following is a reconciliation between the beginning and ending balances of investments in which significant
unobservable inputs (Level 3) were used in determining value:
|
|
Beginning
balance
as
of
11/01/13
|
Accrued
discounts/ (premiums)
|
Realized
gain/loss
and change
in unrealized appreciation/ (depreciation)
|
Purchases
|
Sales
|
Transfers
in to
Level 3
|
Transfers
out of
Level 3
|
Balance
as of
01/31/14
|
Net change
in unrealized appreciation/
(depreciation)
from
investments
still held as
of
01/31/14
|
|
|
Investments in
Securities:
|
|||||||||
|
Absolute Return Multi-Manager
|
|||||||||
|
Common Stocks
|
|||||||||
|
Media
|
$750
|
$-
|
$-
|
$-
|
$-
|
$-
|
$-
|
$750
|
$-
|
|
Commercial Mortgage-Backed Securities
|
496,719
|
51
|
(51)
|
-
|
-
|
-
|
-
|
496,719
|
(51)
|
|
Bank Loan Obligations
|
|||||||||
|
Advertising
|
-
|
-
|
14,425
|
2,062,895
|
-
|
-
|
-
|
2,077,320
|
14,425
|
|
Aerospace & Defense
|
503,750
|
-
|
-
|
-
|
-
|
-
|
(503,750)
|
-
|
-
|
|
Building Products
|
285
|
1,965
|
608,250
|
-
|
610,500
|
1,965
|
|||
|
Chemicals
|
87,000
|
59
|
811
|
-
|
-
|
-
|
-
|
87,870
|
811
|
|
Commercial Services & Supplies
|
500,000
|
-
|
-
|
-
|
-
|
-
|
(500,000)
|
-
|
-
|
|
Diversified Telecommunication Services
|
-
|
19
|
620
|
-
|
-
|
58,361
|
-
|
59,000
|
620
|
|
Energy Equipment & Services
|
151,414
|
-
|
-
|
-
|
-
|
-
|
(151,414)
|
-
|
-
|
|
Food Products
|
-
|
137
|
10,612
|
-
|
(1,250)
|
561,764
|
-
|
571,263
|
10,605
|
|
Health Care Providers & Services
|
-
|
1,030
|
31,630
|
982,500
|
-
|
1,491,090
|
-
|
2,506,250
|
31,630
|
|
Health Care Technology
|
435,000
|
291
|
54,709
|
-
|
-
|
-
|
-
|
490,000
|
54,709
|
|
Internet Software & Services
|
1,467,180
|
1,172
|
(221,437)
|
-
|
(7,359)
|
-
|
-
|
1,239,556
|
(222,165)
|
|
Oil, Gas & Consumable Fuels
|
44,100
|
275
|
1,390
|
-
|
(2,538)
|
204,015
|
-
|
247,242
|
1,317
|
|
Personal Products
|
-
|
-
|
5,913
|
470,635
|
-
|
-
|
-
|
476,548
|
5,913
|
|
Software
|
2,244,500
|
832
|
12,696
|
2,478,750
|
-
|
-
|
(1,607,500)
|
3,129,278
|
12,696
|
|
Total
|
5,930,413
|
4,151
|
(86,717)
|
5,994,780
|
(11,147)
|
2,923,480
|
(2,762,664)
|
11,992,296
|
(87,525)
|
|
The following is a summary, categorized by Level, of inputs used to value the Funds’ investments as of January 31, 2014:
|
|
Liability Valuation Inputs
|
||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
|
Absolute Return Multi-Manager
|
||||
|
Investments:
|
||||
|
Common Stocks Sold Short^
|
$(116,768,770)
|
$—
|
$—
|
$(116,768,770)
|
|
Exchange Traded Funds Sold Short
|
(86,608,841)
|
—
|
—
|
(86,608,841)
|
|
Corporate Debt Securities Sold Short^
|
—
|
(5,374,920)
|
—
|
(5,374,920)
|
|
Total Short Positions
|
(203,377,611)
|
(5,374,920)
|
—
|
(208,752,531)
|
|
Long Short Multi-Manager
|
||||
|
Investments:
|
||||
|
Common Stocks Sold Short^
|
$(1,577,532)
|
$ —
|
$—
|
$(1,577,532)
|
|
Exchange Traded Funds Sold Short
|
(576,941)
|
—
|
—
|
(576,941)
|
|
Total Short Positions
|
(2,154,473)
|
—
|
—
|
(2,154,473)
|
|
^
The Schedule of Investments provides information on the industry categorization for the portfolio.
|
|
|
Cost
|
Gross
Unrealized
Appreciation
|
Gross
Unrealized
Depreciation
|
Net
Unrealized
Appreciation
(Depreciation)
|
|||||||||||||
|
Absolute Return Multi-Manager
|
$ | 898,621,159 | $ | 23,698,200 | $ | (12,028,577 | ) | $ | 11,669,623 | ||||||||
|
Long Short Multi-Manager
|
6,780,433 | 143,142 | (122,018 | ) | 21,124 | ||||||||||||
|
*
|
Security did not produce income during the last twelve months.
|
|
^^
|
All or a portion of this security has not settled as of January 31, 2014 and thus does not have an interest rate in effect. Interest rates do not take effect until settlement.
|
|
±
|
At
January 31, 2014
, Absolute Return Multi-Manager had outstanding call and put options written as follows:
|
|
≠
|
Security had an event of default.
|
|||||
|
¢
|
All or a portion of this security was purchased on a delayed delivery basis.
|
|||||
|
£
|
At January 31, 2014, Absolute Return Multi-Manager had pledged securities in the amount of $57,159,903 to cover collateral requirements for borrowing in connection with securities sold short and option contracts written. At January 31, 2014, Long Short Multi-Manager had pledged securities in the amount of $819,568 to cover collateral requirements for borrowing in connection with securities sold short.
|
|||||
|
a
|
Step Bond: Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
|
|||||
|
c
|
Payment-in-kind security for which part of the income earned may be paid as additional principal.
|
|||||
|
f
|
Value of the security was determined using methods the Board has approved on the belief they reflect fair value.
|
|||||
|
ñ
|
Securities were purchased under Rule 144A of the Securities Act of 1933 or are private placements and, unless registered under the Act or exempted from registration, may only be sold to qualified institutional investors. These securities have been deemed by the investment manager to be liquid. At January 31, 2014, these securities amounted to approximately $18,531,947 or 2.04% of net assets for Absolute Return Multi-Manager.
|
|||||
|
N
|
These securities have been deemed by the investment manager to be illiquid. At January 31, 2014, these securities amounted to approximately $11,593,129 or 1.28% of net assets for Absolute Return Multi-Manager.
|
|||||
|
Ø
|
All or a portion of this security or cash is segregated in connection with obligations for securities sold short and/or delayed delivery purchase commitments and/or call and put options written and/or forward foreign currency contracts and/or swaps.
|
|||||
|
ØØ
|
At January 31, 2014, Absolute Return Multi-Manager had deposited $207,170,689 in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short. At January 31, 2014, Long Short Multi-Manager had deposited $2,158,440 in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short. In addition, Absolute Return Multi-Manager had deposited $14,940,000 in a segregated account for forward foreign currency contracts and/or swaps.
|
|||||
|
μ
|
Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of January 31, 2014 and their final maturities.
|
|||||
|
††
|
As of January 31, 2014, the value of unfunded loan commitments was approximately $25,950 pursuant to the
following loan agreement:
|
|||||
|
Borrower
|
Principal
Amount
|
Value
|
||
|
Alinta Energy, due 12/31/20
|
$25,789
|
$25,950
|
||
|
Buy
|
Counterparty
|
Contracts
to Receive
|
In Exchange
For
|
Settlement
Date
|
Value
|
Net Unrealized
Appreciation
(Depreciation)
|
|||||||
|
Australian Dollar
|
J.P. Morgan
|
198,500
|
$174,779
|
02/20/14
|
$173,540
|
$(1,239)
|
|||||||
|
Brazilian Real
|
J.P. Morgan
|
514,700
|
213,096
|
02/20/14
|
212,392
|
(704)
|
|||||||
|
Danish Krone
|
J.P. Morgan
|
14,252,292
|
2,594,000
|
02/20/14
|
2,576,537
|
(17,463)
|
|||||||
|
Euro
|
J.P. Morgan
|
3,075,000
|
4,172,573
|
02/20/14
|
4,147,265
|
(25,308)
|
|||||||
|
Hong Kong Dollar
|
J.P. Morgan
|
1,313,500
|
169,414
|
02/20/14
|
169,190
|
(224)
|
|||||||
|
Japanese Yen
|
J.P. Morgan
|
404,594,709
|
3,902,538
|
02/20/14
|
3,960,287
|
57,749
|
|||||||
|
Norwegian Krone
|
J.P. Morgan
|
6,633,500
|
1,070,504
|
02/20/14
|
1,056,135
|
(14,369)
|
|||||||
|
Philippine Peso
|
J.P. Morgan
|
11,991,100
|
271,138
|
02/20/14
|
264,515
|
(6,623)
|
|||||||
|
Pound Sterling
|
J.P. Morgan
|
838,100
|
1,368,045
|
02/20/14
|
1,377,598
|
9,553
|
|||||||
|
South African Rand
|
J.P. Morgan
|
19,194,800
|
1,789,524
|
02/20/14
|
1,723,480
|
(66,044)
|
|||||||
|
Swedish Krona
|
J.P. Morgan
|
2,489,200
|
380,777
|
02/20/14
|
379,853
|
(924)
|
|||||||
|
Swiss Franc
|
J.P. Morgan
|
1,122,100
|
1,243,001
|
02/20/14
|
1,237,778
|
(5,223)
|
|||||||
|
Thai Baht
|
J.P. Morgan
|
10,244,900
|
312,375
|
02/20/14
|
310,088
|
(2,287)
|
|||||||
|
Turkish Lira
|
J.P. Morgan
|
138,600
|
60,946
|
02/20/14
|
61,049
|
103
|
|||||||
| Total |
$(73,003)
|
||||||||||||
| Counterparty | Description | Value † | ||
| JPMorgan Chase Bank, N.A. | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio. | $ | (347,813) | |
|
Buy
|
Counterparty
|
Contracts
to Receive
|
In Exchange
For
|
Settlement
Date
|
Value
|
Net Unrealized
Appreciation
(Depreciation)
|
|||||||
|
Australian Dollar
|
J.P. Morgan
|
600
|
$533
|
02/20/14
|
$525
|
$(8)
|
|||||||
|
Danish Krone
|
J.P. Morgan
|
181,700
|
33,164
|
02/20/14
|
32,848
|
(316)
|
|||||||
|
Euro
|
J.P. Morgan
|
33,600
|
45,763
|
02/20/14
|
45,317
|
(446)
|
|||||||
|
Hong Kong Dollar
|
J.P. Morgan
|
6,100
|
787
|
02/20/14
|
786
|
(1)
|
|||||||
|
Japanese Yen
|
J.P. Morgan
|
4,753,956
|
45,707
|
02/20/14
|
46,533
|
826
|
|||||||
|
Norwegian Krone
|
J.P. Morgan
|
124,500
|
20,161
|
02/20/14
|
19,822
|
(339)
|
|||||||
|
Pound Sterling
|
J.P. Morgan
|
5,000
|
8,267
|
02/20/14
|
8,219
|
(48)
|
|||||||
|
South African Rand
|
J.P. Morgan
|
207,100
|
18,840
|
02/20/14
|
18,595
|
(245)
|
|||||||
|
Swiss Franc
|
J.P. Morgan
|
21,000
|
23,262
|
02/20/14
|
23,165
|
(97)
|
|||||||
|
Thai Baht
|
J.P. Morgan
|
60,600
|
1,825
|
02/20/14
|
1,834
|
9
|
|||||||
|
Total
|
$(665)
|
||||||||||||
|
Sell
|
Counterparty
|
Contracts
to Deliver
|
In Exchange
For
|
Settlement
Date
|
Value
|
Net Unrealized
Appreciation
(Depreciation)
|
||
|
Australian Dollar
|
J.P. Morgan
|
42,700
|
$37,887
|
02/20/14
|
$37,331
|
$556
|
||
|
Danish Krone
|
J.P. Morgan
|
116,800
|
21,305
|
02/20/14
|
21,115
|
190
|
||
|
Euro
|
J.P. Morgan
|
131,200
|
178,755
|
02/20/14
|
176,950
|
1,805
|
||
|
Euro
|
J.P. Morgan
|
65,000
|
88,821
|
02/28/14
|
87,666
|
1,155
|
||
|
Hong Kong Dollar
|
J.P. Morgan
|
316,300
|
40,778
|
02/20/14
|
40,741
|
37
|
||
|
Japanese Yen
|
J.P. Morgan
|
9,586,600
|
91,409
|
02/20/14
|
93,836
|
(2,427)
|
||
|
Japanese Yen
|
J.P. Morgan
|
11,672,100
|
114,298
|
02/28/14
|
114,254
|
44
|
||
|
New Zealand Dollar
|
J.P. Morgan
|
6,000
|
4,893
|
02/20/14
|
4,847
|
46
|
||
|
Norwegian Krone
|
J.P. Morgan
|
124,500
|
20,265
|
02/20/14
|
19,822
|
443
|
||
|
Philippine Peso
|
J.P. Morgan
|
2,365,100
|
53,158
|
02/20/14
|
52,172
|
986
|
||
|
Pound Sterling
|
J.P. Morgan
|
5,600
|
9,175
|
02/20/14
|
9,205
|
(30)
|
||
|
Pound Sterling
|
J.P. Morgan
|
22,000
|
36,436
|
02/28/14
|
36,160
|
276
|
||
|
South African Rand
|
J.P. Morgan
|
581,800
|
55,657
|
02/20/14
|
52,239
|
3,418
|
||
|
Thai Baht
|
J.P. Morgan
|
777,100
|
23,504
|
02/20/14
|
23,521
|
(17)
|
||
|
Total
|
$6,482
|
|||||||
| Counterparty | Description | Value † | ||
| JPMorgan Chase Bank, N.A. | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio. | $ | 516 | |
|
NUMBER OF
SHARES
|
VALUE($
)†
|
|||
|
Common Stocks (42.0%)
|
||||
|
Chemicals (7.9%)
|
||||
|
645
|
Air Products & Chemicals, Inc.
|
67,815
|
||
|
212
|
Airgas, Inc.
|
21,887
|
||
|
200
|
CF Industries Holdings, Inc.
|
46,172
|
||
|
3,655
|
Dow Chemical Co.
|
166,339
|
||
|
2,849
|
E. I. du Pont de Nemours & Co.
|
173,817
|
||
|
464
|
Eastman Chemical Co.
|
36,173
|
||
|
809
|
Ecolab, Inc.
|
81,337
|
||
|
425
|
FMC Corp.
|
30,018
|
||
|
248
|
International Flavors & Fragrances, Inc.
|
21,497
|
||
|
1,128
|
LyondellBasell Industries NV Class A
|
88,841
|
||
|
1,656
|
Monsanto Co.
|
176,447
|
||
|
852
|
Mosaic Co.
|
38,050
|
||
|
435
|
PPG Industries, Inc.
|
79,327
|
||
|
923
|
Praxair, Inc.
|
115,117
|
||
|
262
|
Sherwin-Williams Co.
|
48,014
|
||
|
372
|
Sigma-Aldrich Corp.
|
34,585
|
||
|
1,225,436
|
||||
|
Construction Materials (0.2%)
|
||||
|
404
|
Vulcan Materials Co.
|
24,939
|
||
|
Containers & Packaging (0.6%)
|
||||
|
470
|
Ball Corp.
|
24,059
|
||
|
316
|
Bemis Co., Inc.
|
12,169
|
||
|
534
|
MeadWestvaco Corp.
|
19,262
|
||
|
501
|
Owens-Illinois, Inc.
|
16,052
|
*
|
|
|
602
|
Sealed Air Corp.
|
18,776
|
||
|
90,318
|
||||
|
Energy Equipment & Services (1.7%)
|
||||
|
414
|
Baker Hughes, Inc.
|
23,449
|
||
|
232
|
Cameron International Corp.
|
13,913
|
*
|
|
|
65
|
Diamond Offshore Drilling, Inc.
|
3,155
|
||
|
223
|
Ensco PLC Class A
|
11,232
|
||
|
220
|
FMC Technologies, Inc.
|
10,877
|
*
|
|
|
870
|
Halliburton Co.
|
42,639
|
||
|
98
|
Helmerich & Payne, Inc.
|
8,628
|
||
|
280
|
Nabors Industries Ltd.
|
4,782
|
||
|
410
|
National Oilwell Varco, Inc.
|
30,754
|
||
|
238
|
Noble Corp. PLC
|
7,385
|
||
|
116
|
Rowan Cos. PLC Class A
|
3,639
|
*
|
|
|
1,252
|
Schlumberger Ltd.
|
109,638
|
||
|
270,091
|
||||
|
Gas Utilities (0.6%)
|
||||
|
2,000
|
Suburban Propane Partners LP
|
88,600
|
||
|
Hotels, Restaurants & Leisure (0.6%)
|
||||
|
1,700
|
Cedar Fair LP
|
84,558
|
||
|
600
|
Hilton Worldwide Holdings, Inc.
|
12,990
|
*
|
|
|
97,548
|
||||
|
Household Durables (0.2%)
|
||||
|
1,720
|
TRI Pointe Homes, Inc.
|
30,341
|
*
|
|
|
Metals & Mining (1.6%)
|
||||
|
3,291
|
Alcoa, Inc.
|
37,879
|
||
|
322
|
Allegheny Technologies, Inc.
|
10,124
|
||
|
484
|
Cliffs Natural Resources, Inc.
|
9,351
|
||
|
3,082
|
Freeport-McMoRan Copper & Gold, Inc.
|
99,888
|
||
|
1,633
|
Newmont Mining Corp.
|
35,273
|
||
|
976
|
Nucor Corp.
|
47,189
|
||
|
457
|
United States Steel Corp.
|
11,932
|
||
|
251,636
|
||||
|
Multi-Utilities (0.2%)
|
||||
|
1,600
|
CenterPoint Energy, Inc.
|
37,440
|
||
|
Oil, Gas & Consumable Fuels (17.6%)
|
||||
|
1,800
|
Alliance Holdings GP LP
|
112,554
|
||
|
461
|
Anadarko Petroleum Corp.
|
37,198
|
||
|
373
|
Apache Corp.
|
29,937
|
||
|
2,400
|
Boardwalk Pipeline Partners LP
|
59,088
|
||
|
378
|
Cabot Oil & Gas Corp.
|
15,113
|
||
|
486
|
Chesapeake Energy Corp.
|
13,078
|
||
|
1,800
|
Chevron Corp.
|
200,934
|
||
|
1,126
|
ConocoPhillips
|
73,134
|
||
|
204
|
CONSOL Energy, Inc.
|
7,619
|
||
|
5,500
|
Crestwood Equity Partners LP
|
71,610
|
||
|
4,176
|
Crestwood Midstream Partners LP
|
96,466
|
||
|
360
|
Denbury Resources, Inc.
|
5,785
|
*
|
|
|
350
|
Devon Energy Corp.
|
20,727
|
||
|
4,100
|
Energy Transfer Equity LP
|
171,052
|
||
|
2,100
|
Enterprise Products Partners
|
139,398
|
||
|
253
|
EOG Resources, Inc.
|
41,806
|
||
|
140
|
EQT Corp.
|
12,993
|
||
|
4,257
|
Exxon Mobil Corp.
|
392,325
|
||
|
270
|
Hess Corp.
|
20,382
|
||
|
584
|
Kinder Morgan, Inc.
|
19,862
|
||
|
666
|
Marathon Oil Corp.
|
21,838
|
||
|
308
|
Marathon Petroleum Corp.
|
26,811
|
||
|
167
|
Murphy Oil Corp.
|
9,454
|
||
|
130
|
Newfield Exploration Co.
|
3,220
|
*
|
|
|
2,100
|
NGL Energy Partners LP
|
73,479
|
||
|
334
|
Noble Energy, Inc.
|
20,818
|
||
|
1,700
|
NuStar GP Holdings LLC
|
47,821
|
||
|
751
|
Occidental Petroleum Corp.
|
65,765
|
||
|
1,600
|
ONEOK, Inc.
|
109,584
|
||
|
257
|
Peabody Energy Corp.
|
4,382
|
||
|
594
|
Phillips 66
|
43,416
|
||
|
120
|
Pioneer Natural Resources Co.
|
20,318
|
||
|
4,200
|
PVR Partners LP
|
117,768
|
||
|
165
|
QEP Resources, Inc.
|
5,097
|
||
|
151
|
Range Resources Corp.
|
13,015
|
||
|
5,800
|
Regency Energy Partners LP
|
159,094
|
||
|
1,600
|
Southcross Energy Partners LP
|
28,544
|
||
|
325
|
Southwestern Energy Co.
|
13,224
|
*
|
|
|
2,410
|
Spectra Energy Corp.
|
86,640
|
||
|
900
|
Spectra Energy Partners LP
|
39,870
|
||
|
850
|
Teekay LNG Partners LP
|
34,400
|
||
|
1,700
|
Teekay Offshore Partners LP
|
53,516
|
||
|
131
|
Tesoro Corp.
|
6,749
|
||
|
524
|
Valero Energy Corp.
|
26,776
|
||
|
600
|
Western Gas Partners LP
|
35,676
|
||
|
3,021
|
Williams Cos., Inc.
|
122,320
|
||
|
182
|
WPX Energy, Inc.
|
3,467
|
*
|
|
|
2,734,123
|
||||
|
Paper & Forest Products (0.4%)
|
||||
|
1,334
|
International Paper Co.
|
63,685
|
||
|
Real Estate Investment Trusts (10.0%)
|
||||
|
1,225
|
Altisource Residential Corp.
|
36,750
|
||
|
800
|
American Homes 4 Rent Class A
|
13,344
|
ñ
|
|
|
2,220
|
American Homes 4 Rent Class A
|
37,030
|
||
|
1,570
|
American Residential Properties, Inc.
|
29,045
|
*
|
|
|
1,330
|
American Tower Corp.
|
107,570
|
||
|
575
|
AvalonBay Communities, Inc.
|
71,013
|
||
|
525
|
Boston Properties, Inc.
|
56,747
|
||
|
500
|
Camden Property Trust
|
30,910
|
||
|
1,380
|
CBL & Associates Properties, Inc.
|
23,446
|
||
|
885
|
Corporate Office Properties Trust
|
21,992
|
||
|
1,565
|
Cousins Properties, Inc.
|
16,824
|
||
|
2,020
|
DDR Corp.
|
31,653
|
||
|
1,410
|
Douglas Emmett, Inc.
|
35,856
|
||
|
420
|
EastGroup Properties, Inc.
|
24,923
|
||
|
1,375
|
Equity Residential
|
76,148
|
||
|
325
|
Federal Realty Investment Trust
|
35,425
|
||
|
2,470
|
General Growth Properties, Inc.
|
49,746
|
||
|
777
|
HCP, Inc.
|
30,420
|
||
|
525
|
Health Care REIT, Inc.
|
30,408
|
||
|
695
|
Highwoods Properties, Inc.
|
25,812
|
||
|
2,740
|
Host Hotels & Resorts, Inc.
|
50,389
|
||
|
1,065
|
LaSalle Hotel Properties
|
32,759
|
||
|
520
|
OMEGA Healthcare Investors, Inc.
|
16,609
|
||
|
565
|
Post Properties, Inc.
|
26,516
|
||
|
1,475
|
Prologis, Inc.
|
57,171
|
||
|
380
|
Public Storage
|
59,884
|
||
|
1,035
|
QTS Realty Trust, Inc. Class A
|
23,484
|
||
|
350
|
Regency Centers Corp.
|
16,849
|
||
|
1,135
|
Simon Property Group, Inc.
|
175,743
|
||
|
325
|
SL Green Realty Corp.
|
30,475
|
||
|
385
|
Taubman Centers, Inc.
|
25,033
|
||
|
1,120
|
Terreno Realty Corp.
|
19,342
|
||
|
985
|
Urstadt Biddle Properties, Inc. Class A
|
18,479
|
||
|
1,160
|
Ventas, Inc.
|
72,372
|
||
|
925
|
Vornado Realty Trust
|
84,943
|
||
|
2,055
|
Weyerhaeuser Co.
|
61,403
|
||
|
1,556,513
|
||||
|
Real Estate Management & Development (0.4%)
|
||||
|
860
|
Brookfield Asset Management, Inc. Class A
|
32,637
|
||
|
1,880
|
Forest City Enterprises, Inc. Class A
|
34,197
|
*
|
|
|
66,834
|
||||
|
Specialty Retail (0.0%)
|
||||
|
58
|
CST Brands, Inc.
|
1,852
|
||
|
41
|
Murphy USA, Inc.
|
1,589
|
*
|
|
| 3,441 | ||||
|
Total Common Stocks
(Cost $5,966,740)
|
6,540,945
|
||||
|
Principal Amount
a
|
|||||
|
Government Securities (14.2%)
|
|||||
|
Sovereign (14.2%)
|
|||||
|
AUD
|
45,000
|
Australia Government Bond, Senior Unsecured Notes, 1.25%, due 2/21/22
|
40,519
|
||
|
AUD
|
160,000
|
Australia Government Bond, Senior Unsecured Notes, 2.50%, due 9/20/30
|
165,425
|
||
|
CAD
|
148,055
|
Canadian Government Bond, Bonds, 4.25%, due 12/1/21
|
173,883
|
||
|
EUR
|
258,188
|
France Government Bond OAT, Bonds, 0.25%, due 7/25/24
|
334,296
|
||
|
EUR
|
37,902
|
Italy Buoni Poliennali Del Tesoro, Bonds, 2.55%, due 9/15/41
|
46,032
|
||
|
EUR
|
119,151
|
Italy Buoni Poliennali Del Tesoro, Senior Unsecured Notes, 2.35%, due 9/15/35
|
150,439
|
||
|
EUR
|
352,758
|
Italy Buoni Poliennali Del Tesoro, Senior Unsecured Notes, 2.60%, due 9/15/23
|
478,536
|
||
|
NZD
|
180,000
|
New Zealand Government Bond, Senior Unsecured Notes, 2.00%, due 9/20/25
|
139,095
|
||
|
SEK
|
1,185,000
|
Sweden Government Bond, Bonds, 0.25%, due 6/1/22
|
176,552
|
||
|
GBP
|
41,596
|
United Kingdom Gilt Inflation Linked Bonds, 0.13%, due 3/22/24
|
70,459
|
||
|
GBP
|
222,978
|
United Kingdom Gilt Inflation Linked Bonds, 0.13%, due 3/22/29
|
370,879
|
||
|
GBP
|
35,000
|
United Kingdom Gilt Inflation Linked Bonds, 0.13%, due 3/22/44
|
58,405
|
||
|
NUMBER OF
SHARES
|
VALUE($)
†
|
||||
|
Common Stocks (86.1%)
|
|||||
|
Aerospace & Defense (3.0%)
|
|||||
|
7,891
|
Boeing Co.
|
988,427
|
|||
|
6,209
|
General Dynamics Corp.
|
629,034
|
|||
|
6,419
|
Honeywell International, Inc.
|
585,605
|
|||
|
85
|
L-3 Communications Holdings, Inc.
|
9,441
|
|||
|
84
|
Lockheed Martin Corp.
|
12,676
|
|||
|
699
|
Precision Castparts Corp.
|
178,070
|
|||
|
901
|
Raytheon Co.
|
85,658
|
|||
|
1,600
|
Textron, Inc.
|
56,800
|
|||
|
1,080
|
United Technologies Corp.
|
123,142
|
|||
|
2,668,853
|
|||||
|
Air Freight & Logistics (0.6%)
|
|||||
|
1,257
|
FedEx Corp.
|
167,583
|
|||
|
3,604
|
United Parcel Service, Inc. Class B
|
343,209
|
|||
|
510,792
|
|||||
|
Airlines (0.7%)
|
|||||
|
2,011
|
American Airlines Group, Inc.
|
67,469
|
*
|
||
|
13,197
|
Delta Air Lines, Inc.
|
403,960
|
|||
|
3,093
|
United Continental Holdings, Inc.
|
141,783
|
*
|
||
|
613,212
|
|||||
|
Auto Components (0.3%)
|
|||||
|
3,265
|
BorgWarner, Inc.
|
175,330
|
|||
|
1,074
|
Delphi Automotive PLC
|
65,396
|
|||
|
240,726
|
|||||
|
Automobiles (0.7%)
|
|||||
|
17,957
|
General Motors Co.
|
647,889
|
*
|
||
|
Beverages (1.4%)
|
|||||
|
2,309
|
Anheuser-Busch InBev NV ADR
|
221,410
|
|||
|
959
|
Beam, Inc.
|
79,885
|
|||
|
12,410
|
Coca-Cola Co.
|
469,346
|
|||
|
3,161
|
Dr Pepper Snapple Group, Inc.
|
151,348
|
|||
|
3,516
|
PepsiCo, Inc.
|
282,546
|
|||
|
1,204,535
|
|||||
|
Biotechnology (1.2%)
|
|||||
|
3,468
|
Amgen, Inc.
|
412,518
|
|||
|
1,148
|
Celgene Corp.
|
174,416
|
*
|
||
|
1,571
|
Regeneron Pharmaceuticals, Inc.
|
453,375
|
*
|
||
|
381
|
Vertex Pharmaceuticals, Inc.
|
30,114
|
*
|
||
|
1,070,423
|
|||||
|
Capital Markets (1.0%)
|
|||||
|
934
|
BlackRock, Inc.
|
280,639
|
|||
|
2,308
|
Franklin Resources, Inc.
|
120,039
|
|||
|
1,673
|
Goldman Sachs Group, Inc.
|
274,573
|
|||
|
1,317
|
Golub Capital BDC, Inc.
|
24,101
|
|||
|
1,848
|
Invesco Ltd.
|
61,446
|
|||
|
1,194
|
T. Rowe Price Group, Inc.
|
93,657
|
|||
|
854,455
|
|||||
|
Chemicals (3.0%)
|
|||||
|
551
|
Air Products & Chemicals, Inc.
|
57,932
|
|||
|
3,659
|
Ashland, Inc.
|
339,592
|
|||
|
2,180
|
E. I. du Pont de Nemours & Co.
|
133,002
|
|||
|
783
|
Eastman Chemical Co.
|
61,043
|
|||
|
3,445
|
Ecolab, Inc.
|
346,360
|
|||
|
949
|
International Flavors & Fragrances, Inc.
|
82,259
|
|||
|
841
|
Methanex Corp.
|
50,393
|
|||
|
3,120
|
Minerals Technologies, Inc.
|
161,242
|
|||
|
2,816
|
Monsanto Co.
|
300,045
|
|||
|
2,816
|
Mosaic Co.
|
125,762
|
|||
|
2,268
|
Praxair, Inc.
|
282,865
|
|||
|
1,295
|
Scotts Miracle-Gro Co. Class A
|
76,910
|
|||
|
4,048
|
Sensient Technologies Corp.
|
198,028
|
|||
|
312
|
Sherwin-Williams Co.
|
57,177
|
|||
|
3,646
|
WR Grace & Co.
|
343,891
|
*
|
||
|
2,616,501
|
|||||
|
Commercial Banks (1.4%)
|
|||||
|
1,762
|
BankUnited, Inc.
|
54,798
|
|||
|
1,988
|
CIT Group, Inc.
|
92,541
|
|||
|
8,322
|
Itau Unibanco Holding SA ADR, Preference Shares
|
101,861
|
|||
|
1,197
|
M&T Bank Corp.
|
133,478
|
|||
|
597
|
PNC Financial Services Group, Inc.
|
47,688
|
|||
|
608
|
Texas Capital Bancshares, Inc.
|
36,158
|
*
|
||
|
8,524
|
U.S. Bancorp
|
338,659
|
|||
|
9,409
|
Wells Fargo & Co.
|
426,604
|
|||
|
1,231,787
|
|||||
|
Commercial Services & Supplies (1.7%)
|
|||||
|
6,812
|
ADT Corp.
|
204,633
|
|||
|
10,538
|
Covanta Holding Corp.
|
189,684
|
|||
|
5,509
|
Healthcare Services Group, Inc.
|
149,459
|
|||
|
15,640
|
Pitney Bowes, Inc.
|
393,815
|
|||
|
1,972
|
Stericycle, Inc.
|
230,842
|
*
|
||
|
4,843
|
Tetra Tech, Inc.
|
142,917
|
*
|
||
|
4,575
|
Tyco International Ltd.
|
185,242
|
|||
|
1,496,592
|
|||||
|
Communications Equipment (0.3%)
|
|||||
|
2,973
|
Arris Group, Inc.
|
77,001
|
*
|
||
|
9,945
|
Cisco Systems, Inc.
|
217,895
|
|||
|
294,896
|
|||||
|
Computers & Peripherals (2.5%)
|
|||||
|
2,360
|
Apple, Inc.
|
1,181,416
|
|||
|
29,779
|
EMC Corp.
|
721,843
|
|||
|
4,616
|
SanDisk Corp.
|
321,043
|
|||
|
2,224,302
|
|||||
|
Construction & Engineering (0.3%)
|
|||||
|
1,135
|
Chicago Bridge & Iron Co. NV
|
85,113
|
|||
|
4,364
|
Quanta Services, Inc.
|
136,026
|
*
|
||
|
221,139
|
|||||
|
Consumer Finance (0.9%)
|
|||||
|
9,605
|
American Express Co.
|
816,617
|
|||
|
Containers & Packaging (0.8%)
|
|||||
|
1,687
|
Packaging Corp. of America
|
108,980
|
|||
|
17,916
|
Sealed Air Corp.
|
558,800
|
|||
|
667,780
|
|||||
|
Diversified Consumer Services (0.1%)
|
|||||
|
1,442
|
Sotheby's
|
69,101
|
|||
|
Diversified Financial Services (2.7%)
|
|||||
|
5,526
|
Berkshire Hathaway, Inc. Class B
|
616,702
|
*
|
||
|
2,723
|
Citigroup, Inc.
|
129,152
|
|||
|
1,812
|
CME Group, Inc.
|
135,465
|
|||
|
860
|
IntercontinentalExchange Group, Inc.
|
179,559
|
|||
|
23,002
|
JPMorgan Chase & Co.
|
1,273,391
|
|||
|
781
|
Moody's Corp.
|
58,247
|
|||
|
2,392,516
|
|||||
|
Diversified Telecommunication Services (0.3%)
|
|||||
|
4,116
|
BCE Inc.
|
172,748
|
|||
|
2,150
|
tw telecom, Inc.
|
63,339
|
*
|
||
|
236,087
|
|||||
|
Electric Utilities (1.6%)
|
|||||
|
410
|
El Paso Electric Co.
|
14,936
|
|||
|
12,187
|
Great Plains Energy, Inc.
|
300,775
|
|||
|
2,827
|
ITC Holdings Corp.
|
292,595
|
|||
|
5,331
|
NextEra Energy, Inc.
|
490,079
|
|||
|
3,275
|
Northeast Utilities
|
143,445
|
|||
|
1,315
|
NRG Yield, Inc. Class A
|
51,206
|
|||
|
1,504
|
OGE Energy Corp.
|
51,241
|
|||
|
1,153
|
Pinnacle West Capital Corp.
|
60,683
|
|||
|
1,404,960
|
|||||
|
Electrical Equipment (0.7%)
|
|||||
|
3,896
|
ABB Ltd. ADR
|
96,777
|
*
|
||
|
2,911
|
Eaton Corp. PLC
|
212,765
|
|||
|
1,384
|
Generac Holdings, Inc.
|
66,612
|
|||
|
1,249
|
Rockwell Automation, Inc.
|
143,435
|
|||
|
655
|
Roper Industries, Inc.
|
89,892
|
|||
|
609,481
|
|||||
|
Electronic Equipment, Instruments & Components (0.5%)
|
|||||
|
16,319
|
Corning, Inc.
|
280,850
|
|||
|
1,644
|
Dolby Laboratories, Inc. Class A
|
67,387
|
*
|
||
|
2,422
|
National Instruments Corp.
|
70,238
|
|||
|
1,770
|
Universal Display Corp.
|
57,490
|
*
|
||
|
475,965
|
|||||
|
Energy Equipment & Services (2.4%)
|
|||||
|
1,562
|
Dresser-Rand Group, Inc.
|
89,034
|
*
|
||
|
2,713
|
Ensco PLC Class A
|
136,654
|
|||
|
2,303
|
FMC Technologies, Inc.
|
113,860
|
*
|
||
|
30,111
|
McDermott International, Inc.
|
251,126
|
*
|
||
|
4,096
|
Rowan Cos. PLC Class A
|
128,491
|
*
|
||
|
14,272
|
Schlumberger Ltd.
|
1,249,799
|
|||
|
5,097
|
Seadrill Ltd.
|
182,014
|
|||
|
2,150,978
|
|||||
|
Food & Staples Retailing (1.2%)
|
|||||
|
3,149
|
Costco Wholesale Corp.
|
353,822
|
|||
|
3,174
|
CVS Caremark Corp.
|
214,943
|
|||
|
4,715
|
Safeway, Inc.
|
147,297
|
|||
|
3,306
|
Walgreen Co.
|
189,599
|
|||
|
2,031
|
Whole Foods Market, Inc.
|
106,140
|
|||
|
1,011,801
|
|||||
|
Food Products (2.2%)
|
|||||
|
2,174
|
Bunge Ltd.
|
164,702
|
|||
|
6,703
|
ConAgra Foods, Inc.
|
213,088
|
|||
|
8,288
|
Kraft Foods Group, Inc.
|
433,877
|
|||
|
734
|
McCormick & Co., Inc.
|
47,108
|
|||
|
1,662
|
Mead Johnson Nutrition Co.
|
127,791
|
|||
|
9,184
|
Mondelez International, Inc. Class A
|
300,776
|
|||
|
2,673
|
Nestle SA ADR
|
194,194
|
|||
|
3,060
|
Unilever NV
|
114,261
|
|||
|
14,377
|
WhiteWave Foods Co. Class A
|
348,067
|
*
|
||
|
1,943,864
|
|||||
|
Gas Utilities (0.1%)
|
|||||
|
1,747
|
National Fuel Gas Co.
|
131,654
|
|||
|
Health Care Equipment & Supplies (2.5%)
|
|||||
|
2,759
|
Abbott Laboratories
|
101,145
|
|||
|
718
|
Becton, Dickinson & Co.
|
77,630
|
|||
|
3,133
|
C.R. Bard, Inc.
|
406,005
|
|||
|
1,004
|
Cooper Cos., Inc.
|
124,777
|
|||
|
4,657
|
Covidien PLC
|
317,794
|
|||
|
954
|
Edwards Lifesciences Corp.
|
62,124
|
*
|
||
|
2,613
|
Hill-Rom Holdings, Inc.
|
94,774
|
|||
|
2,968
|
IDEXX Laboratories, Inc.
|
339,124
|
*
|
||
|
4,678
|
Medtronic, Inc.
|
264,588
|
|||
|
4,185
|
Sirona Dental Systems, Inc.
|
301,069
|
*
|
||
|
731
|
Zimmer Holdings, Inc.
|
68,692
|
|||
|
2,157,722
|
|||||
|
Health Care Providers & Services (2.5%)
|
|||||
|
1,282
|
Aetna, Inc.
|
87,599
|
|||
|
3,595
|
Cardinal Health, Inc.
|
244,532
|
|||
|
2,599
|
DaVita HealthCare Partners, Inc.
|
168,753
|
*
|
||
|
9,409
|
Express Scripts Holding Co.
|
702,758
|
*
|
||
|
3,304
|
HCA Holdings, Inc.
|
166,092
|
*
|
||
|
1,783
|
Henry Schein, Inc.
|
204,849
|
*
|
||
|
932
|
Laboratory Corporation of America Holdings
|
83,722
|
*
|
||
|
1,373
|
McKesson Corp.
|
239,465
|
|||
|
5,497
|
VCA Antech, Inc.
|
175,574
|
*
|
||
|
1,309
|
WellPoint, Inc.
|
112,574
|
|||
|
2,185,918
|
|||||
|
Hotels, Restaurants & Leisure (2.0%)
|
|||||
|
7,719
|
Arcos Dorados Holdings, Inc. Class A
|
68,390
|
|||
|
2,105
|
Darden Restaurants, Inc.
|
104,071
|
|||
|
5,007
|
Dunkin' Brands Group, Inc.
|
232,976
|
|||
|
3,021
|
Hyatt Hotels Corp. Class A
|
144,374
|
*
|
||
|
2,758
|
Las Vegas Sands Corp.
|
211,042
|
|||
|
5,515
|
McDonald's Corp.
|
519,348
|
|||
|
6,714
|
SeaWorld Entertainment, Inc.
|
217,668
|
|||
|
1,843
|
Starbucks Corp.
|
131,074
|
|||
|
13,803
|
Wendy's Co.
|
125,193
|
|||
|
1,754,136
|
|||||
|
Household Durables (0.9%)
|
|||||
|
2,071
|
Jarden Corp.
|
125,192
|
*
|
||
|
6,069
|
Lennar Corp. Class A
|
243,731
|
|||
|
8,245
|
Newell Rubbermaid, Inc.
|
254,771
|
|||
|
3,183
|
Toll Brothers, Inc.
|
116,975
|
*
|
||
|
689
|
Tupperware Brands Corp.
|
53,990
|
|||
|
794,659
|
|||||
|
Household Products (1.3%)
|
|||||
|
2,967
|
Church & Dwight Co., Inc.
|
191,609
|
|||
|
438
|
Kimberly-Clark Corp.
|
47,904
|
|||
|
11,929
|
Procter & Gamble Co.
|
914,000
|
|||
|
1,153,513
|
|||||
|
Independent Power Producers & Energy Traders (0.4%)
|
|||||
|
6,462
|
AES Corp.
|
90,856
|
|||
|
13,241
|
Calpine Corp.
|
251,314
|
*
|
||
|
989
|
TransAlta Renewables, Inc.
|
10,114
|
|||
|
352,284
|
|||||
|
Industrial Conglomerates (1.7%)
|
|||||
|
4,380
|
3M Co.
|
561,472
|
|||
|
5,996
|
Danaher Corp.
|
446,043
|
|||
|
13,226
|
General Electric Co.
|
332,369
|
|||
|
5,350
|
Koninklijke Philips NV
|
185,645
|
|||
|
1,525,529
|
|||||
|
Insurance (2.1%)
|
|||||
|
2,881
|
Allstate Corp.
|
147,507
|
|||
|
1,885
|
American International Group, Inc.
|
90,405
|
|||
|
5,538
|
Aon PLC
|
445,587
|
|||
|
714
|
Assurant, Inc.
|
46,660
|
|||
|
200
|
Enstar Group Ltd.
|
24,792
|
*
|
||
|
1,588
|
Lincoln National Corp.
|
76,272
|
|||
|
997
|
Loews Corp.
|
44,456
|
|||
|
3,535
|
Marsh & McLennan Cos., Inc.
|
161,585
|
|||
|
4,628
|
MetLife, Inc.
|
227,003
|
|||
|
5,947
|
Progressive Corp.
|
138,208
|
|||
|
1,901
|
Reinsurance Group of America, Inc.
|
141,948
|
|||
|
3,143
|
Travelers Cos., Inc.
|
255,463
|
|||
|
2,648
|
Unum Group
|
85,266
|
|||
|
1,885,152
|
|||||
|
Internet & Catalog Retail (0.3%)
|
|||||
|
845
|
Amazon.com, Inc.
|
303,093
|
*
|
||
|
Internet Software & Services (2.3%)
|
|||||
|
15,790
|
eBay, Inc.
|
840,028
|
*
|
||
|
976
|
Google, Inc. Class A
|
1,152,627
|
*
|
||
|
1,992,655
|
|||||
|
IT Services (3.1%)
|
|||||
|
1,037
|
Accenture PLC Class A
|
82,835
|
|||
|
7,180
|
Amdocs Ltd.
|
310,607
|
|||
|
2,105
|
Automatic Data Processing, Inc.
|
161,243
|
|||
|
1,827
|
Fiserv, Inc.
|
102,403
|
*
|
||
|
7,405
|
Genpact Ltd.
|
125,663
|
*
|
||
|
7,101
|
IBM Corp.
|
1,254,605
|
|||
|
2,130
|
MasterCard, Inc. Class A
|
161,198
|
|||
|
8,091
|
VeriFone Systems, Inc.
|
234,720
|
*
|
||
|
1,555
|
Visa, Inc. Class A
|
334,994
|
|||
|
2,768,268
|
|||||
|
Leisure Equipment & Products (0.3%)
|
|||||
|
2,886
|
Mattel, Inc.
|
109,206
|
|||
|
1,081
|
Polaris Industries, Inc.
|
135,341
|
|||
|
244,547
|
|||||
|
Life Sciences Tools & Services (0.1%)
|
|||||
|
1,219
|
Charles River Laboratories International, Inc.
|
68,910
|
*
|
||
|
357
|
Thermo Fisher Scientific, Inc.
|
41,105
|
|||
|
110,015
|
|||||
|
Machinery (0.9%)
|
|||||
|
2,703
|
Deere & Co.
|
232,350
|
|||
|
1,141
|
Dover Corp.
|
98,765
|
|||
|
1,408
|
Ingersoll-Rand PLC
|
82,776
|
|||
|
1,457
|
Mueller Industries, Inc.
|
90,684
|
|||
|
911
|
Pall Corp.
|
72,971
|
|||
|
2,311
|
Pentair Ltd.
|
171,776
|
|||
|
381
|
Valmont Industries, Inc.
|
55,771
|
|||
|
805,093
|
|||||
|
Media (3.3%)
|
|||||
|
5,745
|
Comcast Corp. Class A
|
312,815
|
|||
|
5,127
|
Comcast Corp. Class A Special
|
268,398
|
|||
|
1,191
|
Discovery Communications, Inc. Class C
|
87,801
|
*
|
||
|
1,843
|
Lions Gate Entertainment Corp.
|
59,584
|
|||
|
9,749
|
News Corp. Class A
|
155,594
|
*
|
||
|
2,163
|
Omnicom Group, Inc.
|
156,991
|
|||
|
8,607
|
Pearson PLC
|
157,337
|
|||
|
4,876
|
Pearson PLC ADR
|
89,182
|
|||
|
7,917
|
Regal Entertainment Group Class A
|
154,381
|
|||
|
940
|
Scripps Networks Interactive, Inc. Class A
|
68,169
|
|||
|
1,269
|
Thomson Reuters Corp.
|
45,760
|
|||
|
1,138
|
Time Warner, Inc.
|
71,501
|
|||
|
939
|
Tribune Co.
|
69,956
|
*
|
||
|
5,408
|
Twenty-First Century Fox, Inc. Class A
|
172,083
|
|||
|
6,413
|
Viacom, Inc. Class B
|
526,507
|
|||
|
6,681
|
Walt Disney Co.
|
485,107
|
|||
|
2,881,166
|
|||||
|
Metals & Mining (0.7%)
|
|||||
|
2,110
|
Allegheny Technologies, Inc.
|
66,339
|
|||
|
3,718
|
Carpenter Technology Corp.
|
216,053
|
|||
|
3,578
|
Dominion Diamond Corp.
|
51,988
|
*
|
||
|
7,029
|
Goldcorp, Inc.
|
174,952
|
|||
|
2,061
|
Nucor Corp.
|
99,649
|
|||
|
608,981
|
|||||
|
Multi-Utilities (0.8%)
|
|||||
|
2,513
|
Alliant Energy Corp.
|
130,576
|
|||
|
6,692
|
Ameren Corp.
|
253,225
|
|||
|
7,556
|
CenterPoint Energy, Inc.
|
176,810
|
|||
|
2,325
|
Wisconsin Energy Corp.
|
99,208
|
|||
|
659,819
|
|||||
|
Multiline Retail (0.3%)
|
|||||
|
1,830
|
Kohl's Corp.
|
92,653
|
|||
|
2,677
|
Macy's, Inc.
|
142,417
|
|||
|
1,165
|
Nordstrom, Inc.
|
66,929
|
|||
|
301,999
|
|||||
|
Oil, Gas & Consumable Fuels (8.9%)
|
|||||
|
6,418
|
Anadarko Petroleum Corp.
|
517,868
|
|||
|
2,892
|
Antero Resources Corp.
|
169,876
|
*
|
||
|
515
|
Apache Corp.
|
41,334
|
|||
|
6,991
|
BG Group PLC
|
117,453
|
|||
|
1,197
|
BG Group PLC ADR
|
20,122
|
|||
|
19,236
|
Cabot Oil & Gas Corp.
|
769,055
|
|||
|
8,587
|
Cenovus Energy, Inc.
|
224,550
|
|||
|
658
|
Cheniere Energy, Inc.
|
28,913
|
*
|
||
|
758
|
Chevron Corp.
|
84,616
|
|||
|
2,638
|
ConocoPhillips
|
171,338
|
|||
|
552
|
Continental Resources, Inc.
|
60,830
|
*
|
||
|
1,699
|
Denbury Resources, Inc.
|
27,303
|
*
|
||
|
1,339
|
Devon Energy Corp.
|
79,296
|
|||
|
4,302
|
Enbridge, Inc.
|
180,641
|
|||
|
4,829
|
EOG Resources, Inc.
|
797,944
|
|||
|
4,387
|
Exxon Mobil Corp.
|
404,306
|
|||
|
1,260
|
GasLog Ltd.
|
26,410
|
|||
|
14,767
|
Occidental Petroleum Corp.
|
1,293,146
|
|||
|
3,123
|
Pioneer Natural Resources Co.
|
528,786
|
|||
|
2,416
|
QEP Resources, Inc.
|
74,630
|
|||
|
14,854
|
Range Resources Corp.
|
1,280,266
|
|||
|
2,427
|
Royal Dutch Shell PLC ADR
|
167,706
|
|||
|
1,767
|
Southwestern Energy Co.
|
71,899
|
*
|
||
|
1,306
|
Targa Resources Corp.
|
117,919
|
|||
|
7,586
|
Teekay Corp.
|
410,934
|
|||
|
2,103
|
Whiting Petroleum Corp.
|
122,773
|
*
|
||
|
7,789,914
|
|||||
|
Paper & Forest Products (0.2%)
|
|||||
|
2,801
|
International Paper Co.
|
133,720
|
|||
|
Personal Products (0.4%)
|
|||||
|
4,318
|
Estee Lauder Cos., Inc. Class A
|
296,819
|
|||
|
793
|
Nu Skin Enterprises, Inc. Class A
|
67,524
|
|||
|
364,343
|
|||||
|
Pharmaceuticals (6.2%)
|
|||||
|
4,173
|
AbbVie, Inc.
|
205,437
|
|||
|
1,481
|
Allergan, Inc.
|
169,723
|
|||
|
3,733
|
AstraZeneca PLC ADR
|
237,045
|
|||
|
26,168
|
Bristol-Myers Squibb Co.
|
1,307,615
|
|||
|
11,299
|
Johnson & Johnson
|
999,623
|
|||
|
3,325
|
Merck & Co., Inc.
|
176,125
|
|||
|
5,347
|
Novartis AG ADR
|
422,787
|
|||
|
39,413
|
Pfizer, Inc.
|
1,198,155
|
|||
|
455
|
Roche Holding AG
|
125,111
|
|||
|
1,854
|
Roche Holding AG ADR
|
127,184
|
|||
|
3,964
|
Sanofi ADR
|
193,840
|
|||
|
2,792
|
Teva Pharmaceutical Industries Ltd. ADR
|
124,607
|
|||
|
6,656
|
Zoetis, Inc.
|
202,076
|
|||
|
5,489,328
|
|||||
|
Professional Services (0.8%)
|
|||||
|
1,385
|
IHS, Inc. Class A
|
157,073
|
*
|
||
|
8,236
|
Nielsen Holdings NV
|
348,300
|
|||
|
3,494
|
Verisk Analytics, Inc. Class A
|
223,127
|
*
|
||
|
728,500
|
|||||
|
Real Estate Investment Trusts (2.1%)
|
|||||
|
6,008
|
American Tower Corp.
|
485,927
|
|||
|
785
|
Annaly Capital Management, Inc.
|
8,455
|
|||
|
3,995
|
Ares Commercial Real Estate Corp.
|
53,253
|
|||
|
3,561
|
Corrections Corporation of America
|
119,543
|
|||
|
1,244
|
Hannon Armstrong Sustainable Infrastructure Capital, Inc.
|
16,458
|
|||
|
3,470
|
Plum Creek Timber Co., Inc.
|
149,453
|
|||
|
19,492
|
Starwood Property Trust, Inc.
|
588,658
|
|||
|
1,528
|
Vornado Realty Trust
|
140,316
|
|||
|
8,544
|
Weyerhaeuser Co.
|
255,295
|
|||
|
1,817,358
|
|||||
|
Real Estate Management & Development (0.2%)
|
|||||
|
5,411
|
Brookfield Asset Management, Inc. Class A
|
205,347
|
|||
|
Road & Rail (2.1%)
|
|||||
|
7,915
|
Avis Budget Group, Inc.
|
298,475
|
*
|
||
|
291
|
Canadian National Railway Co.
|
15,569
|
|||
|
1,123
|
Canadian Pacific Railway Ltd.
|
170,112
|
|||
|
5,002
|
CSX Corp.
|
134,604
|
|||
|
18,901
|
Hertz Global Holdings, Inc.
|
491,804
|
*
|
||
|
2,062
|
J.B. Hunt Transport Services, Inc.
|
154,753
|
|||
|
555
|
Kansas City Southern
|
58,602
|
|||
|
2,037
|
Norfolk Southern Corp.
|
188,606
|
|||
|
1,906
|
Union Pacific Corp.
|
332,101
|
|||
|
1,844,626
|
|||||
|
Semiconductors & Semiconductor Equipment (1.4%)
|
|||||
|
5,733
|
Altera Corp.
|
191,654
|
|||
|
1,350
|
ASML Holding NV
|
114,250
|
|||
|
10,757
|
Intel Corp.
|
263,977
|
|||
|
2,914
|
Microchip Technology, Inc.
|
130,722
|
|||
|
1,878
|
Skyworks Solutions, Inc.
|
56,810
|
*
|
||
|
10,405
|
Texas Instruments, Inc.
|
441,172
|
|||
|
1,198,585
|
|||||
|
Software (3.6%)
|
|||||
|
7,911
|
Activision Blizzard, Inc.
|
135,515
|
|||
|
1,454
|
ANSYS, Inc.
|
114,183
|
*
|
||
|
911
|
Check Point Software Technologies Ltd.
|
59,607
|
*
|
||
|
7,049
|
Intuit, Inc.
|
516,339
|
|||
|
46,275
|
Microsoft Corp.
|
1,751,509
|
|||
|
3,840
|
NICE-Systems Ltd. ADR
|
151,488
|
|||
|
5,597
|
Nuance Communications, Inc.
|
85,802
|
*
|
||
|
7,958
|
Oracle Corp.
|
293,650
|
|||
|
2,644
|
Symantec Corp.
|
56,608
|
|||
|
3,164,701
|
|||||
|
Specialty Retail (1.8%)
|
|||||
|
1,419
|
Asbury Automotive Group, Inc.
|
66,721
|
*
|
||
|
5,620
|
Bed Bath & Beyond, Inc.
|
358,837
|
*
|
||
|
2,100
|
Foot Locker, Inc.
|
81,060
|
|||
|
1,302
|
Gap, Inc.
|
49,580
|
|||
|
3,682
|
Home Depot, Inc.
|
282,962
|
|||
|
1,401
|
L Brands, Inc.
|
73,356
|
|||
|
18,248
|
Office Depot, Inc.
|
89,233
|
*
|
||
|
2,181
|
PetSmart, Inc.
|
137,403
|
|||
|
2,874
|
Tiffany & Co.
|
239,088
|
|||
|
3,001
|
TJX Cos., Inc.
|
172,137
|
|||
|
1,221
|
Zale Corp.
|
18,462
|
*
|
||
|
1,568,839
|
|||||
|
Textiles, Apparel & Luxury Goods (0.5%)
|
|||||
|
1,767
|
Hanesbrands, Inc.
|
125,705
|
|||
|
1,509
|
Luxottica Group SpA ADR
|
79,328
|
|||
|
1,128
|
NIKE, Inc. Class B
|
82,175
|
|||
|
1,290
|
PVH Corp.
|
155,922
|
|||
|
443,130
|
|||||
|
Thrifts & Mortgage Finance (0.1%)
|
|||||
|
5,931
|
People's United Financial, Inc.
|
84,279
|
|||
|
Tobacco (0.1%)
|
|||||
|
1,552
|
Philip Morris International, Inc.
|
121,273
|
|||
|
Trading Companies & Distributors (0.2%)
|
|||||
|
1,077
|
United Rentals, Inc.
|
87,172
|
*
|
||
|
300
|
W.W. Grainger, Inc.
|
70,344
|
|||
|
157,516
|
|||||
|
Transportation Infrastructure (0.1%)
|
|||||
|
5,463
|
Wesco Aircraft Holdings, Inc.
|
122,098
|
*
|
||
|
Water Utilities (0.2%)
|
|||||
|
3,482
|
American Water Works Co., Inc.
|
148,229
|
|||
|
Wireless Telecommunication Services (0.1%)
|
|||||
|
1,417
|
SBA Communications Corp. Class A
|
131,427
|
*
|
||
|
Total Common Stocks
(Cost $71,616,465)
|
75,804,668
|
||||
|
Preferred Stocks (0.2%)
|
|||||
|
Commercial Banks (0.1%)
|
|||||
|
3,090
|
U.S. Bancorp, Ser. F, 6.50%
|
83,894
|
|||
|
Marine (0.1%)
|
|||||
|
1,883
|
Seaspan Corp., Ser. C, 9.50%
|
49,617
|
|||
|
Total Preferred Stocks
(Cost $133,932)
|
133,511
|
||||
|
Exchange Traded Funds (0.1%)
|
|||||
|
172
|
ProShares UltraShort 20+ Year Treasury
|
12,028
|
*
|
||
|
394
|
SPDR Gold Shares
|
47,315
|
*
|
||
|
Total Exchange Traded Funds (Cost $63,799)
|
59,343
|
||||
|
Mutual Funds (6.8%)
|
|||||
|
580,232
|
Neuberger Berman Core Bond Fund Institutional Class
(Cost $6,007,300)
|
6,022,089
|
§
|
||
|
Short-Term Investments (6.9%)
|
|||||
|
6,110,068
|
State Street Institutional Treasury Money Market Fund Institutional Class
(Cost $6,110,068)
|
6,110,068
|
|||
|
|
|||||
|
Total Investments (100.1%)
(Cost $83,931,565)
|
88,129,679
|
##
|
|||
|
Liabilities, less cash, receivables and other assets [(0.1%)]
|
(128,213)
|
||||
|
Total Net Assets (100.0%)
|
$88,001,466
|
||||
|
NUMBER OF SHARES
|
VALUE($)
|
†
|
|||
|
Long Positions (98.5%)
|
|||||
|
Common Stocks (29.2%)
|
|||||
|
Australia (0.9%)
|
|||||
|
201,527
|
Arrium Ltd.
|
274,250
|
|||
|
Austria (1.2%)
|
|||||
|
15,669
|
C.A.T. Oil AG
|
356,510
|
|||
|
Bermuda (0.6%)
|
|||||
|
3,583
|
Assured Guaranty Ltd.
|
75,780
|
|||
|
9,254
|
Maiden Holdings Ltd.
|
101,609
|
|||
|
177,389
|
|||||
|
Canada (1.7%)
|
|||||
|
25,095
|
BlackBerry Ltd.
|
237,713
|
*
|
||
|
8,575
|
Lightstream Resources Ltd.
|
47,812
|
|||
|
4,177
|
MDC Partners, Inc. Class A
|
100,373
|
|||
|
14,520
|
Trinidad Drilling Ltd.
|
120,593
|
|||
|
506,491
|
|||||
|
China (1.2%)
|
|||||
|
11,831
|
Greenlight Capital Re Ltd. Class A
|
380,130
|
*
|
||
|
Denmark (0.5%)
|
|||||
|
3,434
|
Schouw & Co.
|
150,832
|
|||
|
Finland (0.5%)
|
|||||
|
7,660
|
Cramo OYJ
|
152,176
|
|||
|
Italy (1.2%)
|
|||||
|
49,112
|
Cementir Holding SpA
|
293,829
|
|||
|
1,878
|
Italmobiliare SpA
|
70,489
|
*
|
||
|
364,318
|
|||||
|
Japan (1.7%)
|
|||||
|
2,600
|
Chudenko Corp.
|
46,671
|
|||
|
4,800
|
Inabata & Co. Ltd.
|
54,075
|
|||
|
10,000
|
Nippon Paper Industries Co. Ltd.
|
182,343
|
|||
|
13,000
|
Nippon Seiki Co. Ltd.
|
245,826
|
|||
|
528,915
|
|||||
|
Sweden (1.2%)
|
|||||
|
50,587
|
Eniro AB
|
377,970
|
*
|
||
|
Switzerland (1.0%)
|
|||||
|
1,772
|
Autoneum Holding AG
|
306,848
|
*
|
||
|
United Kingdom (4.9%)
|
|||||
|
48,226
|
Ferrexpo PLC
|
120,504
|
|||
|
14,195
|
Keller Group PLC
|
276,288
|
|||
|
27,092
|
Pace PLC
|
159,129
|
|||
|
23,421
|
RPS Group PLC
|
131,445
|
|||
|
56,009
|
SVG Capital PLC
|
389,469
|
*
|
||
|
36,436
|
Trinity Mirror PLC
|
106,617
|
*
|
||
|
15,858
|
Xaar PLC
|
289,365
|
|||
|
1,472,817
|
|||||
|
United States (12.6%)
|
|||||
|
1,960
|
Alliant Techsystems, Inc.
|
281,652
|
|||
|
19,829
|
American Equity Investment Life Holding Co.
|
435,246
|
È
|
||
|
1,692
|
American National Insurance Co.
|
175,968
|
È
|
||
|
5,919
|
Cirrus Logic, Inc.
|
103,642
|
*
|
||
|
11,354
|
CNO Financial Group, Inc.
|
192,337
|
|||
|
15,817
|
Education Management Corp.
|
109,612
|
*
|
||
|
8,710
|
Ferro Corp.
|
109,572
|
*
|
||
|
22,287
|
Genworth Financial, Inc. Class A
|
328,733
|
*
|
||
|
2,463
|
Greenbrier Cos., Inc.
|
90,367
|
*
|
||
|
17,429
|
Kindred Healthcare, Inc.
|
330,105
|
|||
|
3,259
|
Matador Resources Co.
|
63,355
|
*
|
||
|
5,132
|
Media General, Inc.
|
91,504
|
*È
|
||
|
10,707
|
MiMedx Group, Inc.
|
83,943
|
*
|
||
|
1,513
|
National Western Life Insurance Co.
|
330,061
|
|||
|
8,675
|
Penn Virginia Corp.
|
104,013
|
*
|
||
|
9,540
|
Pilgrim's Pride Corp.
|
159,604
|
*È
|
||
|
19,090
|
Rite Aid Corp.
|
105,949
|
*È
|
||
|
14,143
|
Sanmina Corp.
|
236,471
|
*È
|
||
|
15,791
|
SkyWest, Inc.
|
205,441
|
|||
|
1,845
|
Tutor Perini Corp.
|
41,697
|
*
|
||
|
11,691
|
Zeltiq Aesthetics, Inc.
|
239,549
|
*È
|
||
|
3,818,821
|
|||||
|
Total Common Stocks
(Cost $8,789,533)
|
8,867,467
|
||||
|
Short-Term Investments (69.3%)
|
|||||
|
20,995,497
|
State Street Institutional Government Money Market Fund Institutional Class
(Cost $20,995,497)
|
20,995,497
|
ØØ
|
||
|
Total Long Positions (98.5%)
(Cost $29,785,030)
|
29,862,964
|
##
|
|||
| Cash, receivables and other assets, less liabilities (31.4%) |
9,519,911
|
± | |||
| Short Positions (see summary below) ((29.9)%) |
(9,072,693)
|
||||
| Total Net Assets (100.0%) |
$30,310,182
|
||||
| Short Positions ((29.9)%) | |||||
| Common Stocks Sold Short (29.9%)‡ | |||||
|
Australia (1.0%)
|
|||||
|
(18,308)
|
Iluka Resources Ltd.
|
(140,675)
|
|||
|
(17,272)
|
Newcrest Mining Ltd.
|
(145,866)
|
|||
|
(286,541)
|
|||||
|
Canada (1.4%)
|
|||||
|
(6,693)
|
Franco-Nevada Corp.
|
(324,810)
|
|||
|
(4,350)
|
Goldcorp, Inc.
|
(108,540)
|
|||
|
(433,350)
|
|||||
|
Denmark (0.5%)
|
|||||
|
(4,635)
|
Vestas Wind Systems A/S
|
(152,478)
|
*
|
||
|
France (1.5%)
|
|||||
|
(6,010)
|
Remy Cointreau SA
|
(448,893)
|
|||
|
Japan (1.7%)
|
|||||
|
(4,200)
|
Dwango Co. Ltd.
|
(107,045)
|
|||
|
(9,700)
|
Kenedix, Inc.
|
(39,590)
|
*
|
||
|
(9,800)
|
Kyushu Electric Power Co., Inc.
|
(113,855)
|
*
|
||
|
(71,000)
|
Sharp Corp.
|
(246,002)
|
*
|
||
|
(506,492)
|
|||||
|
Mexico (0.2%)
|
|||||
|
(5,771)
|
Fresnillo PLC
|
(73,002)
|
|||
|
Spain (1.5%)
|
|||||
|
(12,504)
|
Distribuidora Internacional de Alimentacion SA
|
(102,939)
|
|||
|
(896)
|
Grifols SA
|
(46,458)
|
|||
|
(1,539)
|
Inditex SA
|
(229,774)
|
|||
|
(12,535)
|
Prosegur Cia de Seguridad SA
|
(75,401)
|
|||
|
(454,572)
|
|||||
|
Sweden (1.3%)
|
|||||
|
(2,658)
|
Hennes & Mauritz AB
|
(114,574)
|
|||
|
(11,601)
|
Lundin Petroleum AB
|
(200,451)
|
*
|
||
|
(6,794)
|
Volvo AB
Class B
|
(90,014)
|
|||
|
(405,039)
|
|||||
|
Switzerland (1.0%)
|
|||||
|
(20,297)
|
Meyer Burger Technology AG
|
(307,818)
|
*
|
||
|
United Kingdom (4.4%)
|
|||||
|
(18,228)
|
Asia Resource Minerals PLC
|
(71,616)
|
*
|
||
|
(20,819)
|
Domino's Pizza Group PLC
|
(180,876)
|
|||
|
(26,771)
|
Experian PLC
|
(457,692)
|
|||
|
(36,326)
|
Imagination Technologies Group PLC
|
(103,010)
|
*
|
||
|
(12,142)
|
Ocado Group PLC
|
(104,392)
|
*
|
||
|
(34,606)
|
Telecity Group PLC
|
(406,755)
|
|||
|
(1,324,341)
|
|||||
|
United States (15.4%)
|
|||||
|
(1,222)
|
American Tower Corp.
|
(98,835)
|
|||
|
(10,932)
|
Apartment Investment & Management Co. Class A
|
(305,768)
|
|||
|
(382)
|
AvalonBay Communities, Inc.
|
(47,177)
|
|||
|
(22,247)
|
Cobalt International Energy, Inc.
|
(364,183)
|
*
|
||
|
(3,448)
|
CONSOL Energy, Inc.
|
(128,783)
|
|||
|
(260)
|
Equinix, Inc.
|
(48,152)
|
*
|
||
|
(1,606)
|
Federal Realty Investment Trust
|
(175,054)
|
|||
|
(5,135)
|
Fusion-io, Inc.
|
(56,485)
|
*
|
||
|
(1,416)
|
Genomic Health, Inc.
|
(42,650)
|
*È
|
||
|
(48,443)
|
Glimcher Realty Trust
|
(414,672)
|
|||
|
(8,647)
|
Health Care REIT, Inc.
|
(500,834)
|
|||
|
(5,711)
|
Healthcare Trust of America, Inc. Class A
|
(61,279)
|
|||
|
(46,422)
|
JC Penney Co., Inc.
|
(274,818)
|
*È
|
||
|
(1,421)
|
Macerich Co.
|
(80,429)
|
|||
|
(605)
|
Medivation, Inc.
|
(48,158)
|
*
|
||
|
(895)
|
Pharmacyclics, Inc.
|
(119,098)
|
*
|
||
|
(2,210)
|
Regency Centers Corp.
|
(106,389)
|
|||
|
(404)
|
Regeneron Pharmaceuticals, Inc.
|
(116,590)
|
*
|
||
|
(1,242)
|
Shutterfly, Inc.
|
(58,821)
|
*
|
||
|
(3,091)
|
Simon Property Group, Inc.
|
(478,611)
|
|||
|
(16,995)
|
Southern Copper Corp.
|
(475,520)
|
|||
|
(4,409)
|
Sun Communities, Inc.
|
(206,121)
|
|||
|
(1,343)
|
Theravance, Inc.
|
(49,449)
|
*
|
||
|
(1,981)
|
Trulia, Inc.
|
(68,404)
|
*
|
||
|
(768)
|
Ulta Salon Cosmetics & Fragrance, Inc.
|
(65,825)
|
*
|
||
|
(2,694)
|
Ventas, Inc.
|
(168,079)
|
|||
|
(1,518)
|
Vertex Pharmaceuticals, Inc.
|
(119,983)
|
*
|
||
| (4,680,167) | |||||
|
Total Short Positions
(Proceeds $(9,446,820))
|
(9,072,693)
|
||||
|
LONG POSITIONS BY INDUSTRY
|
|
Global Allocation Fund (Unaudited)
|
|
Industry
|
Investments at
Value
†
|
Percentage of
Net Assets
|
||||||
|
Insurance
|
$ | 2,019,864 | 6.7 | % | ||||
|
Media
|
676,464 | 2.2 | % | |||||
|
Auto Components
|
552,674 | 1.8 | % | |||||
|
Energy Equipment & Services
|
477,103 | 1.6 | % | |||||
|
Communications Equipment
|
396,842 | 1.3 | % | |||||
|
Metals & Mining
|
394,754 | 1.3 | % | |||||
|
Capital Markets
|
389,469 | 1.3 | % | |||||
|
Construction & Engineering
|
364,656 | 1.2 | % | |||||
|
Construction Materials
|
364,318 | 1.2 | % | |||||
|
Health Care Providers & Services
|
330,105 | 1.1 | % | |||||
|
Food Products
|
310,436 | 1.0 | % | |||||
|
Computers & Peripherals
|
289,365 | 1.0 | % | |||||
|
Aerospace & Defense
|
281,652 | 0.9 | % | |||||
|
Health Care Equipment & Supplies
|
239,549 | 0.8 | % | |||||
|
Electronic Equipment, Instruments & Components
|
236,471 | 0.8 | % | |||||
|
Oil, Gas & Consumable Fuels
|
215,180 | 0.7 | % | |||||
|
Trading Companies & Distributors
|
206,251 | 0.7 | % | |||||
|
Airlines
|
205,441 | 0.7 | % | |||||
|
Paper & Forest Products
|
182,343 | 0.6 | % | |||||
|
Commercial Services & Supplies
|
131,445 | 0.4 | % | |||||
|
Diversified Consumer Services
|
109,612 | 0.4 | % | |||||
|
Chemicals
|
109,572 | 0.3 | % | |||||
|
Food & Staples Retailing
|
105,949 | 0.3 | % | |||||
|
Semiconductors & Semiconductor Equipment
|
103,642 | 0.3 | % | |||||
|
Machinery
|
90,367 | 0.3 | % | |||||
|
Biotechnology
|
83,943 | 0.3 | % | |||||
|
Short-Term Investments and Other Assets-Net
|
30,515,408 | 100.7 | % | |||||
|
Short Positions (see summary below)
|
(9,072,693 | ) | (29.9 | )% | ||||
| $ | 30,310,182 | 100.0 | % | |||||
|
SHORT POSITIONS BY INDUSTRY
|
|
Global Allocation Fund (Unaudited)
|
|
Industry
|
Investments at
Value
†
|
Percentage of
Net Assets
|
||||||
|
Real Estate Investment Trusts
|
$ | (2,643,248 | ) | (8.7 | )% | |||
|
Metals & Mining
|
(1,268,413 | ) | (4.2 | )% | ||||
|
Oil, Gas & Consumable Fuels
|
(765,033 | ) | (2.5 | )% | ||||
|
Biotechnology
|
(542,386 | ) | (1.8 | )% | ||||
|
Internet Software & Services
|
(523,311 | ) | (1.7 | )% | ||||
|
Professional Services
|
(457,692 | ) | (1.5 | )% | ||||
|
Beverages
|
(448,893 | ) | (1.5 | )% | ||||
|
Specialty Retail
|
(410,173 | ) | (1.4 | )% | ||||
|
Machinery
|
(397,833 | ) | (1.3 | )% | ||||
|
Multiline Retail
|
(274,818 | ) | (0.9 | )% | ||||
|
Household Durables
|
(246,002 | ) | (0.8 | )% | ||||
|
Hotels, Restaurants & Leisure
|
(180,875 | ) | (0.6 | )% | ||||
|
Internet & Catalog Retail
|
(163,213 | ) | (0.5 | )% | ||||
|
Electrical Equipment
|
(152,478 | ) | (0.5 | )% | ||||
|
Electric Utilities
|
(113,855 | ) | (0.4 | )% | ||||
|
Software
|
(107,045 | ) | (0.4 | )% | ||||
|
Semiconductors & Semiconductor Equipment
|
(103,010 | ) | (0.3 | )% | ||||
|
Food & Staples Retailing
|
(102,939 | ) | (0.3 | )% | ||||
|
Commercial Services & Supplies
|
(75,401 | ) | (0.2 | )% | ||||
|
Computers & Peripherals
|
(56,485 | ) | (0.2 | )% | ||||
|
Real Estate Management & Development
|
(39,590 | ) | (0.2 | )% | ||||
|
Total Common Stocks Sold Short
|
$ | (9,072,693 | ) | (29.9 | )% | |||
|
NUMBER OF SHARES
|
VALUE($)
|
†
|
|||
|
Long Positions (99.2%)
|
|||||
|
Common Stocks (66.2%)
|
|||||
|
Aerospace & Defense (1.5%)
|
|||||
|
69,400
|
Boeing Co.
|
8,693,044
|
|||
|
91,700
|
Precision Castparts Corp.
|
23,360,575
|
|||
|
32,053,619
|
|||||
|
Air Freight & Logistics (0.4%)
|
|||||
|
92,300
|
United Parcel Service, Inc. Class B
|
8,789,729
|
|||
|
Airlines (2.1%)
|
|||||
|
1,438,000
|
Delta Air Lines, Inc.
|
44,017,180
|
|||
|
Automobiles (1.6%)
|
|||||
|
956,020
|
General Motors Co.
|
34,493,202
|
*
|
||
|
Building Products (0.1%)
|
|||||
|
89,500
|
Ply Gem Holdings, Inc.
|
1,186,770
|
*
|
||
|
Capital Markets (0.4%)
|
|||||
|
29,000
|
BlackRock, Inc.
|
8,713,630
|
|||
|
Chemicals (0.4%)
|
|||||
|
100,200
|
Ashland, Inc.
|
9,299,562
|
|||
|
Commercial Banks (1.4%)
|
|||||
|
329,700
|
Fifth Third Bancorp
|
6,930,294
|
ØØ
|
||
|
198,300
|
U.S. Bancorp
|
7,878,459
|
|||
|
310,000
|
Wells Fargo & Co.
|
14,055,400
|
|||
|
28,864,153
|
|||||
|
Commercial Services & Supplies (0.7%)
|
|||||
|
440,000
|
Copart, Inc.
|
15,083,200
|
*
|
||
|
Communications Equipment (0.2%)
|
|||||
|
231,500
|
Cisco Systems, Inc.
|
5,072,165
|
|||
|
Computers & Peripherals (1.1%)
|
|||||
|
19,700
|
Apple, Inc.
|
9,861,820
|
|||
|
200,600
|
SanDisk Corp.
|
13,951,730
|
|||
|
23,813,550
|
|||||
|
Diversified Consumer Services (0.2%)
|
|||||
|
166,250
|
K12, Inc.
|
3,649,188
|
*
|
||
|
Diversified Financial Services (2.8%)
|
|||||
|
393,100
|
Citigroup, Inc.
|
18,644,733
|
|||
|
245,500
|
CME Group, Inc.
|
18,353,580
|
|||
|
373,000
|
JPMorgan Chase & Co.
|
20,649,280
|
|||
|
57,647,593
|
|||||
|
Electric Utilities (3.1%)
|
|||||
|
1,272,500
|
Brookfield Infrastructure Partners LP
|
46,815,275
|
|||
|
283,200
|
Northeast Utilities
|
12,404,160
|
|||
|
130,000
|
NRG Yield, Inc. Class A
|
5,062,200
|
|||
|
64,281,635
|
|||||
|
Electronic Equipment, Instruments & Components (0.4%)
|
|||||
|
104,500
|
Amphenol Corp. Class A
|
9,078,960
|
|||
|
Food & Staples Retailing (0.7%)
|
|||||
|
136,000
|
Costco Wholesale Corp.
|
15,280,960
|
|||
|
Health Care Equipment & Supplies (1.8%)
|
|||||
|
189,800
|
C.R. Bard, Inc.
|
24,596,182
|
|||
|
167,000
|
Sirona Dental Systems, Inc.
|
12,013,980
|
*
|
||
|
36,610,162
|
|||||
|
Health Care Providers & Services (2.4%)
|
|||||
|
952,214
|
Accretive Health, Inc.
|
8,769,891
|
*
|
||
|
627,400
|
DaVita HealthCare Partners, Inc.
|
40,737,082
|
*
|
||
|
49,506,973
|
|||||
|
Hotels, Restaurants & Leisure (3.1%)
|
|||||
|
630,000
|
Arcos Dorados Holdings, Inc. Class A
|
5,581,800
|
|||
|
483,700
|
Dunkin' Brands Group, Inc.
|
22,506,561
|
|||
|
712,800
|
Hilton Worldwide Holdings, Inc.
|
15,432,120
|
*
|
||
|
120,000
|
McDonald's Corp.
|
11,300,400
|
|||
|
133,700
|
Wyndham Worldwide Corp.
|
9,484,678
|
|||
|
64,305,559
|
|||||
|
Household Durables (2.0%)
|
|||||
|
570,000
|
Lennar Corp. Class A
|
22,891,200
|
|||
|
300,000
|
Newell Rubbermaid, Inc.
|
9,270,000
|
|||
|
1,133,650
|
Standard Pacific Corp.
|
9,976,120
|
*
|
||
|
42,137,320
|
|||||
|
Independent Power Producers & Energy Traders (0.0%)
|
|||||
|
35,700
|
Brookfield Renewable Energy Partners LP
|
941,052
|
|||
|
Internet & Catalog Retail (0.5%)
|
|||||
|
107,400
|
Vipshop Holdings Ltd. ADS
|
11,286,666
|
*
|
||
|
Internet Software & Services (2.3%)
|
|||||
|
474,000
|
eBay, Inc.
|
25,216,800
|
*
|
||
|
19,400
|
Google, Inc. Class A
|
22,910,818
|
*
|
||
|
48,127,618
|
|||||
|
IT Services (2.9%)
|
|||||
|
1,590,889
|
Genpact Ltd.
|
26,997,386
|
*
|
||
|
154,800
|
Visa, Inc. Class A
|
33,348,564
|
|||
|
60,345,950
|
|||||
|
Machinery (1.6%)
|
|||||
|
244,000
|
Ingersoll-Rand PLC
|
14,344,760
|
|||
|
148,400
|
Nordson Corp.
|
10,287,088
|
|||
|
54,100
|
Valmont Industries, Inc.
|
7,919,158
|
|||
|
32,551,006
|
|||||
|
Media (0.3%)
|
|||||
|
299,607
|
AMC Entertainment Holdings, Inc. Class A
|
6,402,602
|
*
|
||
|
Metals & Mining (2.1%)
|
|||||
|
911,000
|
ArcelorMittal
|
15,013,280
|
|||
|
848,000
|
Steel Dynamics, Inc.
|
13,992,000
|
|||
|
548,300
|
United States Steel Corp.
|
14,316,113
|
|||
|
43,321,393
|
|||||
|
Multi-Utilities (0.9%)
|
|||||
|
290,200
|
NiSource, Inc.
|
9,974,174
|
|||
|
193,000
|
Wisconsin Energy Corp.
|
8,235,310
|
|||
|
18,209,484
|
|||||
|
Multiline Retail (0.3%)
|
|||||
|
92,000
|
Target Corp.
|
5,210,880
|
|||
|
Oil, Gas & Consumable Fuels (7.2%)
|
|||||
|
1,430,000
|
Alpha Natural Resources, Inc.
|
8,122,400
|
*
|
||
|
300,000
|
Antero Resources Corp.
|
17,622,000
|
*
|
||
|
470,600
|
Athlon Energy, Inc.
|
14,353,300
|
*
|
||
|
370,400
|
Cabot Oil & Gas Corp.
|
14,808,592
|
|||
|
42,200
|
Chevron Corp.
|
4,710,786
|
|||
|
800,000
|
Enbridge, Inc.
|
33,592,000
|
|||
|
51,000
|
Exxon Mobil Corp.
|
4,700,160
|
|||
|
1,897,100
|
Forest Oil Corp.
|
5,786,155
|
*
|
||
|
120,000
|
MarkWest Energy Partners LP
|
8,422,800
|
|||
|
518,700
|
Peabody Energy Corp.
|
8,843,835
|
|||
|
667,600
|
Rice Energy, Inc.
|
15,701,952
|
*
|
||
|
281,500
|
Teekay Corp.
|
15,248,855
|
|||
|
151,912,835
|
|||||
|
Personal Products (0.4%)
|
|||||
|
129,900
|
Estee Lauder Cos., Inc. Class A
|
8,929,326
|
|||
|
Pharmaceuticals (1.9%)
|
|||||
|
720,000
|
Bristol-Myers Squibb Co.
|
35,978,400
|
|||
|
136,500
|
Pfizer, Inc.
|
4,149,600
|
|||
|
40,128,000
|
|||||
|
Professional Services (1.3%)
|
|||||
|
320,000
|
Nielsen Holdings NV
|
13,532,800
|
|||
|
216,442
|
Verisk Analytics, Inc. Class A
|
13,821,986
|
*
|
||
|
27,354,786
|
|||||
|
Real Estate Investment Trusts (1.4%)
|
|||||
|
200,000
|
General Growth Properties, Inc.
|
4,028,000
|
|||
|
875,000
|
Weyerhaeuser Co.
|
26,145,000
|
|||
|
30,173,000
|
|||||
|
Real Estate Management & Development (1.2%)
|
|||||
|
624,000
|
Brookfield Asset Management, Inc. Class A
|
23,680,800
|
|||
|
74,214
|
Brookfield Property Partners LP
|
1,406,355
|
|||
|
25,087,155
|
|||||
|
Road & Rail (1.8%)
|
|||||
|
200,280
|
Canadian Pacific Railway Ltd.
|
30,338,414
|
|||
|
47,000
|
Union Pacific Corp.
|
8,189,280
|
|||
|
38,527,694
|
|||||
|
Semiconductors & Semiconductor Equipment (0.7%)
|
|||||
|
457,000
|
Altera Corp.
|
15,277,510
|
|||
|
Software (1.3%)
|
|||||
|
745,000
|
Activision Blizzard, Inc.
|
12,761,850
|
|||
|
265,934
|
MICROS Systems, Inc.
|
14,767,315
|
*
|
||
|
27,529,165
|
|||||
|
Specialty Retail (4.9%)
|
|||||
|
335,000
|
Asbury Automotive Group, Inc.
|
15,751,700
|
*
|
||
|
200,000
|
Best Buy Co., Inc.
|
4,708,000
|
|||
|
125,000
|
Container Store Group, Inc.
|
4,593,750
|
*
|
||
|
477,700
|
Home Depot, Inc.
|
36,711,245
|
|||
|
70,500
|
Lumber Liquidators Holdings, Inc.
|
6,273,795
|
*
|
||
|
400,000
|
PetSmart, Inc.
|
25,200,000
|
|||
|
133,000
|
Tractor Supply Co.
|
8,845,830
|
|||
|
102,084,320
|
|||||
|
Textiles, Apparel & Luxury Goods (3.1%)
|
|||||
|
90,000
|
Lululemon Athletica, Inc.
|
4,112,100
|
*
|
||
|
78,700
|
Michael Kors Holdings Ltd.
|
6,290,491
|
*
|
||
|
378,000
|
PVH Corp.
|
45,688,860
|
|||
|
289,400
|
Wolverine World Wide, Inc.
|
8,074,260
|
|||
|
64,165,711
|
|||||
|
Tobacco (0.4%)
|
|||||
|
111,600
|
Philip Morris International, Inc.
|
8,720,424
|
|||
|
Transportation Infrastructure (1.5%)
|
|||||
|
1,444,642
|
Wesco Aircraft Holdings, Inc.
|
32,287,749
|
*
|
||
|
Water Utilities (1.1%)
|
|||||
|
515,000
|
American Water Works Co., Inc.
|
21,923,550
|
|||
|
Wireless Telecommunication Services (0.7%)
|
|||||
|
164,300
|
SBA Communications Corp. Class A
|
15,238,825
|
*
|
||
|
Total Common Stocks
(Cost $1,305,065,881)
|
1,389,621,811
|
||||
|
CONTRACTS
|
|||||
|
Purchased Options (0.0%)
|
|||||
|
1,500
|
SPDR S&P 500 ETF Trust, Put, February 2014 @ 168
(Cost $224,250)
|
99,000
|
|||
|
NUMBER OF SHARES
|
VALUE($)
|
†
|
|||
|
|
|
†
|
In accordance with Accounting Standards Codification (“ASC”) 820 “Fair Value Measurements and Disclosures” (“ASC 820”), all investments held by each of Neuberger Berman Dynamic Real Return Fund (“Dynamic Real Return”), Neuberger Berman Flexible Select Fund (“Flexible Select”), Neuberger Berman Global Allocation Fund (“Global Allocation”) and Neuberger Berman Long Short Fund (“Long Short”) (each individually a “Fund,” and collectively, the “Funds”) are carried at the value that Neuberger Berman Management LLC (“Management”) believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds’ investments, some of which are discussed below. Significant management judgment may be necessary to value investments in accordance with ASC 820.
|
|
|
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
|
|
|
●
|
Level 1 – quoted prices in active markets for identical investments
|
|
|
●
|
Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
|
|
●
|
Level 3 – unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments)
|
|
|
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds’ investments (long and short positions) in equity securities, exchange traded funds, purchased option contracts, written option contracts and closed-end funds, for which market quotations are readily available, is generally determined by Management by obtaining valuations from an independent pricing service based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued by a Fund at the NASDAQ Official Closing Price (“NOCP”) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern time, unless that price is outside the range of the “inside” bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no reported sale of a security on a particular day, the independent pricing service may value the security based on reported market quotations.
The value of the Funds’ investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by an independent pricing service to value certain types of debt securities of the Funds:
|
|
|
Corporate Debt Securities.
Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, spread to the U.S. Treasury market, and other market information which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available (“Other Market Information”).
U.S. Treasury Securities.
Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
Sovereign Debt.
Inputs used to value sovereign debt generally include dealer quotes, bond market activity, discounted cash flow models, and other relevant information such as credit spreads, benchmark curves and Other Market Information.
|
|
|
The value of financial futures contracts is determined by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
|
|
|
The value of forward foreign currency contracts (“forward contracts”) is determined by obtaining valuations from an independent pricing service based on actual traded currency rates on an independent pricing service’s network, along with other traded and quoted currency rates provided to the pricing service by leading market participants (Level 2 inputs).
The value of total return swaps is determined by obtaining valuations from an independent pricing service using the underlying index and stated LIBOR (“London Interbank Offered Rate”) rate (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in investment companies, with the exception of closed-end funds, are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, the applicable Fund seeks to obtain quotations from principal market makers (generally considered Level 3 inputs). If such quotations are not readily available, the security is valued using methods the Neuberger Berman Alternative Funds’ Board of Trustees (the “Board”) has approved on the belief that they reflect fair value. Numerous factors may be considered when determining the fair value of a security based on Level 2 or 3 inputs, including available analyst, media or other reports, trading in futures or American Depositary Receipts ("ADRs") and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Funds’ investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern time. The Board has approved the use of Interactive Data Pricing and Reference Data, Inc. (“Interactive”) to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of Interactive to evaluate the prices of foreign income securities as of the close of the New York Stock Exchange (the “NYSE”). Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the close of the NYSE (Level 2 inputs) to assist in determining prices for certain foreign income securities. In the case of both foreign equity and foreign income securities, in the absence of precise information about the market values of these foreign securities as of the close of the NYSE, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
The following is a summary, categorized by Level, of inputs used to value the Funds’ investments as of January 31, 2014:
|
|
Common Stocks^
|
75,804,668 | - | - | 75,804,668 | ||||||||||||
|
Preferred Stocks^
|
133,511 | - | - | 133,511 | ||||||||||||
|
Exchange Traded Funds
|
59,343 | - | - | 59,343 | ||||||||||||
|
Mutual Funds
|
- | 6,022,089 | - | 6,022,089 | ||||||||||||
|
Short-Term Investments
|
- | 6,110,068 | - | 6,110,068 | ||||||||||||
|
Total Investments
|
75,997,522 | 12,132,157 | - | 88,129,679 | ||||||||||||
|
Global Allocation
|
||||||||||||||||
|
Investments:
|
||||||||||||||||
|
Common Stocks^
|
8,867,467 | - | - | 8,867,467 | ||||||||||||
|
Short-Term Investments
|
- | 20,995,497 | - | 20,995,497 | ||||||||||||
|
Total Long Positions
|
8,867,467 | 20,995,497 | - | 29,862,964 | ||||||||||||
|
Long Short
|
||||||||||||||||
|
Investments:
|
||||||||||||||||
|
Common Stocks^
|
1,389,621,811 | - | - | 1,389,621,811 | ||||||||||||
|
Corporate Debt Securities^
|
- | 290,981,704 | - | 290,981,704 | ||||||||||||
|
Purchased Options
|
99,000 | - | - | 99,000 | ||||||||||||
|
Short-Term Investments
|
- | 399,786,660 | - | 399,786,660 | ||||||||||||
|
Total Long Positions
|
$ | 1,389,720,811 | $ | 690,768,364 | $ | $ | 2,080,489,175 |
|
^
|
The Schedule of Investments provides information on the industry and/or country categorization for the portfolio.
|
|
Asset Valuation Inputs
|
|
|
|
|||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Dynamic Real Return
|
||||||||||||||||
|
Futures contracts (unrealized appreciation)
|
$ | 17,013 | $ | - | $ | - | $ | 17,013 | ||||||||
|
Total
|
$ | 17,013 | $ | - | $ | - | $ | 17,013 | ||||||||
|
Global Allocation
|
||||||||||||||||
|
Forward contracts (unrealized appreciation)
|
$ | - | $ | 15,243 | $ | - | $ | 15,243 | ||||||||
|
Futures contracts (unrealized appreciation)
|
178,858 | - | - | 178,858 | ||||||||||||
|
Total return swaps
|
- | 208,258 | - | 208,258 | ||||||||||||
|
Total
|
$ | 178,858 | $ | 223,501 | $ | - | $ | 402,359 | ||||||||
|
Liability Valuation Inputs
|
||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Global Allocation
|
||||||||||||||||
|
Common Stocks Sold Short^
|
$ | (9,072,693 | ) | $ | - | $ | - | $ | (9,072,693 | ) | ||||||
|
Total Short Positions
|
$ | (9,072,693 | ) | $ | - | $ | - | $ | (9,072,693 | ) | ||||||
|
Long Short
|
||||||||||||||||
|
Common Stocks Sold Short^
|
$ | (110,295,768 | ) | $ | - | $ | - | $ | (110,295,768 | ) | ||||||
|
Exchange Traded Funds Sold Short
|
(165,989,836 | ) | - | - | (165,989,836 | ) | ||||||||||
|
Total Short Positions
|
$ | (276,285,604 | ) | $ | - | $ | - | $ | (276,285,604 | ) | ||||||
|
^
|
The Schedule of Investments provides information on the industry and/or country categorization for the portfolio.
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Dynamic Real Return
|
||||||||||||||||
|
Futures contracts (unrealized depreciation)
|
$ | (42,415 | ) | $ | - | $ | - | $ | (42,415 | ) | ||||||
|
Total
|
$ | (42,415 | ) | $ | - | $ | - | $ | (42,415 | ) | ||||||
|
Global Allocation
|
||||||||||||||||
|
Forward contracts (unrealized depreciation)
|
$ | - | $ | (11,501 | ) | $ | - | $ | (11,501 | ) | ||||||
|
Futures contracts (unrealized depreciation)
|
(294,441 | ) | - | - | (294,441 | ) | ||||||||||
|
Total return swaps
|
- | (566,163 | ) | - | (566,163 | ) | ||||||||||
|
Total
|
$ | (294,441 | ) | $ | (577,664 | ) | $ | - | $ | (872,105 | ) | |||||
|
Long Short
|
||||||||||||||||
|
Futures contracts (unrealized depreciation)
|
$ | (507,904 | ) | $ | - | $ | - | $ | (507,904 | ) | ||||||
|
Total
|
$ | (507,904 | ) | $ | - | $ | - | $ | (507,904 | ) | ||||||
| ## |
At January 31, 2014, selected fund information on a U.S. federal income tax basis was as follows:
|
|
Cost
|
Gross
Unrealized
Appreciation
|
Gross
Unrealized
Depreciation
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
|
Dynamic Real Return
|
$15,208,372
|
$819,651
|
$533,673
|
$285,978
|
|
Flexible Select
|
84,058,958
|
5,352,171
|
1,281,450
|
4,070,721
|
|
Global Allocation
|
29,876,234
|
477,224
|
490,494
|
(13,270)
|
|
Long Short
|
1,997,397,439
|
122,084,947
|
38,993,211
|
83,091,736
|
|
ñ
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), or are private placements and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors. These securities have been deemed by the investment manager to be liquid. At January 31, 2014, these securities amounted to $13,344 or 0.1% of net assets for Dynamic Real Return.
|
|
È
|
All or a portion of this security is on loan.
|
|
ØØ
|
All or a portion of this security is segregated in connection with obligations for common stocks sold short and/or forward contracts and/or total return swap contracts and/or financial futures contracts.
|
|
§
|
Affiliated issuer.
|
|
Balance of
Shares Held
October 31,
2013
|
Gross
Purchases
And
Additions
|
Gross Sales
And
Reductions
|
Balance of
Shares Held
January 31,
2014
|
Value
January 31,
2014
|
Distributions
From
Investments
in Affiliated
Issuers
(2)
|
Net Realized
Gain (Loss)
From
Investments
in Affiliated
Issuers
|
|
|
Dynamic Real Return
|
|||||||
|
Neuberger Berman Emerging Markets Equity Fund Institutional Class
|
84,322
|
445
|
-
|
84,767
|
$1,310,748
|
$7,294
|
$-
|
|
Neuberger Berman Floating Rate Income Fund Institutional Class
|
88,308
|
848
|
-
|
89,156
|
918,388
|
8,731
|
-
|
|
Neuberger Berman High Income Bond Fund Institutional Class
|
159,659
|
5,327
|
31,185
|
133,801
|
1,256,262
|
50,154
|
1,581
|
|
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class
|
161,988
|
-
|
5,518
|
156,470
|
1,389,434
|
-*
|
(2,461)
|
|
Total
|
$4,874,832
|
$66,179
|
$(880)
|
||||
|
Flexible Select
|
|||||||
|
Neuberger Berman Core Bond Fund Institutional Class
|
576,112
|
19,154
|
15,034
|
580,232
|
$6,022,089
|
$35,961
|
$(3,747)
|
| (1) |
Affiliated issuers, as defined in the Investment Company Act of 1940, as amended (the "1940 Act"). Neuberger Berman Alternative Funds and Management have obtained an exemptive order from the SEC that permits the Funds to invest in both affiliated and unaffiliated investment companies, including exchange-traded funds, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, subject to the terms and conditions of such order.
|
|
| (2) |
Distributions received include distributions from net investment income and capital gains, if any, from the underlying fund.
|
|
| * Security did not produce income during the last twelve months. | ||
|
‡
|
At January 31, 2014, Global Allocation had deposited $9,503,514 in a segregated account to cover collateral requirements for borrowing in connection with securities sold short. This collateral is made up of the proceeds from the securities sold short and collateral received from security lending activities. At January 31, 2014, Long Short had deposited $295,133,624 in a segregated account to cover collateral requirements for borrowing in connection with securities sold short.
|
|
±
|
At January 31, 2014, open positions in financial futures contracts were as follows:
|
|
Fund
|
Expiration
|
Open Contracts
|
Position
|
Unrealized
Appreciation
(Depreciation)
|
|||||
|
Dynamic Real Return
|
March 2014
|
2 Australian Dollar/US Dollar Currency
|
Short
|
$7,098
|
|||||
|
Dynamic Real Return
|
March 2014
|
1 Canadian Currency
|
Short
|
3,970
|
|||||
|
Dynamic Real Return
|
March 2014
|
1 Euro Currency
|
Short
|
1,349
|
|||||
|
Dynamic Real Return
|
March 2014
|
1 German Euro Bond
|
Short
|
(3,440)
|
|||||
|
Dynamic Real Return
|
March 2014
|
1 Japanese Currency
|
Short
|
(2,140)
|
|||||
|
Dynamic Real Return
|
March 2014
|
1 Mini Japanese Government Bond, 10 year
|
Short
|
(452)
|
|||||
|
Dynamic Real Return
|
March 2014
|
2 New Zealand Dollar
|
Short
|
2,808
|
|||||
|
Dynamic Real Return
|
March 2014
|
6 Ultra Long US Treasury Bond
|
Short
|
(34,695)
|
|||||
|
Dynamic Real Return
|
March 2014
|
1 US Treasury Note, 2 Year
|
Short
|
17
|
|||||
|
Dynamic Real Return
|
March 2014
|
4 GBP Currency
|
Long
|
971
|
|||||
|
Dynamic Real Return
|
March 2014
|
3 Long US Treasury Bond
|
Long
|
(474)
|
|||||
|
Dynamic Real Return
|
December 2016
|
1Eurodollar, 90 Day
|
Long
|
800
|
|||||
|
Dynamic Real Return
|
December 2016
|
2 Sterling Interest Rate, 3 Month
|
Long
|
(1,214)
|
|||||
|
Total
|
$(25,402)
|
||||||||
|
Global Allocation
|
March 2014
|
28 Mini Japanese Government Bond, 10 Year
|
Short
|
(31,469)
|
|||||
|
Global Allocation
|
March 2014
|
10 Australian Dollar/US Dollar Currency
|
Short
|
15,414
|
|||||
|
Global Allocation
|
March 2014
|
9 Australian Treasury Bond, 10 Year
|
Short
|
(23,493)
|
|||||
|
Global Allocation
|
March 2014
|
4 GBP Currency
|
Short
|
(2,311)
|
|||||
|
Global Allocation
|
March 2014
|
25 Government of Canada Bond, 10 Year
|
Short
|
(85,941)
|
|||||
|
Global Allocation
|
March 2014
|
1 CHF Currency
|
Short
|
2,854
|
|||||
|
Global Allocation
|
March 2014
|
8 Euro STOXX 50 Index
|
Short
|
4,190
|
|||||
|
Global Allocation
|
March 2014
|
8 Euro-Bond
|
Short
|
(50,958)
|
|||||
|
Global Allocation
|
March 2014
|
16 FTSE 100 Index
|
Short
|
44,565
|
|||||
|
Global Allocation
|
March 2014
|
4 Japanese Yen
|
Short
|
(4,311)
|
|||||
|
Global Allocation
|
March 2014
|
8 S&P TSX 60 Index
|
Short
|
(27,428)
|
|||||
|
Global Allocation
|
February 2014
|
5 Hang Seng Index Future
|
Long
|
1,550
|
|||||
|
Global Allocation
|
March 2014
|
8 Canadian Currency
|
Long
|
(31,727)
|
|||||
|
Global Allocation
|
March 2014
|
3 Euro Currency
|
Long
|
(9,702)
|
|||||
|
Global Allocation
|
March 2014
|
15 UK Long Gilt Bond
|
Long
|
56,835
|
|||||
|
Global Allocation
|
March 2014
|
3 MSCI Emerging Market Muni
|
Long
|
(8,201)
|
|||||
|
Global Allocation
|
March 2014
|
8 S&P 500 E-Mini Index
|
Long
|
3,105
|
|||||
|
Global Allocation
|
March 2014
|
2 SPI 200 Index
|
Long
|
4,414
|
|||||
|
Global Allocation
|
March 2014
|
9 Topix Index
|
Long
|
(18,900)
|
|||||
|
Global Allocation
|
March 2014
|
26 US Treasury Note, 10 Year
|
Long
|
45,931
|
|||||
|
Total
|
$(115,583)
|
||||||||
|
Long Short
|
March 2014
|
1,225 S&P 500 E-Mini Index
|
Short
|
$(156,517)
|
|||||
|
Long Short
|
March 2014
|
405 US Treasury Note, 10 Year
|
Short
|
(351,387)
|
|||||
|
Total
|
$(507,904)
|
||||||||
|
Long positions
|
Short positions
|
|
|
Dynamic Real Return
|
$1,457,396
|
$(2,134,862)
|
|
Global Allocation
|
$10,068,900
|
$ (14,451,218)
|
|
Long Short
|
$-
|
$(159,745,500)
|
|
Dynamic Real Return
|
$69,668
|
|
Global Allocation
|
$656,917
|
|
Long Short
|
$7,516,966
|
|
Rate Type
|
|||||||
|
Swap
Counterparty
|
Notional Amount
|
Termination Date
|
Variable-rate Payments Made/(Received) by the Fund
|
Reference Entity
|
Accrued Net Interest Receivable
(Payable)
|
Unrealized Appreciation
(Depreciation)
|
Total Fair Value
|
|
J.P. Morgan
|
$13,668,117
|
January 7, 2015
|
.755%
(1)
|
J.P. Morgan Global
Government Bond Total
Return Index Unhedged
|
$(1,657)
|
$215,421
|
$213,764
|
|
J.P. Morgan
|
16,705,476
|
January 14, 2015
|
.210%
(2)
|
MSCI Daily Total Return
Net World Index
|
(7,163)
|
(564,506)
|
(571,669)
|
|
Total
|
$(8,820)
|
$(349,085)
|
$(357,905)
|
||||
| (1) |
1 month LIBOR plus .59% at January 3, 2014.
|
|
|
(2)
|
1 month LIBOR plus .05% at January 10, 2014.
|
|
Contracts to Receive
|
In Exchange
For
|
Counterparty
|
Settlement
Date
|
Value
|
Net Unrealized
Appreciation
(Depreciation)
|
||
|
35,724
|
Brazilian Real
|
$14,879
|
Goldman Sachs International
|
02/13/14
|
$14,768
|
$(111)
|
|
|
2,042,710,305
|
Indonesian Rupiah
|
167,917
|
J.P. Morgan Chase Bank, N.A.
|
02/13/14
|
167,041
|
(876)
|
|
|
73,522,832
|
South Korean Won
|
69,535
|
Goldman Sachs International
|
02/13/14
|
68,650
|
(885)
|
|
|
376,591
|
Polish Zloty
|
122,674
|
Morgan Stanley
|
02/13/14
|
119,405
|
(3,269)
|
|
|
6,022,811
|
New Taiwan Dollar
|
201,015
|
J.P. Morgan Chase Bank, N.A.
|
02/13/14
|
198,837
|
(2,178)
|
|
|
1,159,641
|
South African Rand
|
108,402
|
Barclays Bank PLC
|
02/13/14
|
104,219
|
(4,183)
|
|
|
Total
|
(11,502)
|
||||||
|
Contracts to Deliver
|
In Exchange
For
|
Counterparty
|
Settlement
Date
|
Value
|
Net Unrealized
Appreciation
(Depreciation)
|
||
|
36,640,057
|
Chilean Peso
|
$68,928
|
Goldman Sachs International
|
02/13/14
|
$65,891
|
$3,037
|
|
|
4,062,003
|
Czech Koruna
|
200,711
|
Barclays Bank PLC
|
02/13/14
|
198,975
|
1,736
|
|
|
36,419,275
|
Hungarian Forint
|
165,488
|
Morgan Stanley
|
02/13/14
|
157,246
|
8,242
|
|
|
183,324
|
Mexican Peso
|
13,968
|
Goldman Sachs International
|
02/13/14
|
13,699
|
269
|
|
|
297,952
|
Singapore Dollar
|
235,327
|
Barclays Bank PLC
|
02/13/14
|
233,368
|
1,959
|
|
|
Total
|
$
15,243
|
||||||
|
a
|
Principal amount is stated in the currency in which security is denominated.
|
|
|
AUD = Australian Dollar
CAD = Canadian Dollar
EUR = Euro
GBP = Pound Sterling
NZD = New Zealand Dollar
SEK = Swedish Krona
|
|
†
|
In accordance with Accounting Standards Codification (“ASC”) 820 “Fair Value Measurements and Disclosures” (“ASC 820”), all investments held by Neuberger Berman Risk Balanced Commodity Strategy Fund (the “Fund”) are carried at the value that Neuberger Berman Management LLC (“Management”) believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund’s investments, some of which are discussed below. Significant management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
|
| ● |
Level 1 – quoted prices in active markets for identical investments
|
||
| ● |
Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
|
||
| ● |
Level 3 – unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
|
|
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund’s investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by an independent pricing service to value certain types of debt securities of the Fund:
|
|
Corporate Debt Securities
.
Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, spread to the U.S. Treasury market, and other market information which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available (“Other Market Information”).
Asset-Backed Securities.
Inputs used to value asset-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
U.S. Treasury Securities.
Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
U.S. Government Agency Securities.
Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
|
|
The value of commodity futures contracts is determined by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in money market funds are valued using the fund’s daily calculated net asset value per share (Level 2 inputs).
|
|
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, the Fund seeks to obtain quotations from principal market makers (generally considered Level 3 inputs). If such quotations are not readily available, the security is valued using methods the Neuberger Berman Alternative Funds’ Board of Trustees (the “Board”) has approved on the belief that they reflect fair value. Numerous factors may be considered when determining the fair value of a security based on Level 2 or 3 inputs, including available analyst, media or other reports, trading in futures or American Depositary Receipts (“ADRs”) and whether the issuer of the security being fair valued has other securities outstanding.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
The following is a summary, categorized by Level, of inputs used to value the Fund’s investments as of January 31, 2014:
|
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3§
|
Total
|
||||||||||||
|
Investments:
|
||||||||||||||||
|
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government
|
$ | - | $ | 10,018,136 | $ | - | $ | 10,018,136 | ||||||||
|
U.S. Government Agency Securities
|
- | 500,183 | - | 500,183 | ||||||||||||
|
Asset-Backed Securities
|
- | 8,190,133 | - | 8,190,133 | ||||||||||||
|
Corporate Debt Securities
|
||||||||||||||||
|
Banks
|
- | 9,071,473 | 921,343 | 9,992,816 | ||||||||||||
|
Other Corporate Debt Securities^
|
- | 15,205,234 | - | 15,205,234 | ||||||||||||
| - | 24,276,707 | 921,343 | 25,198,050 | |||||||||||||
|
Short-Term Investments
^
|
- | 9,559,204 | - | 9,559,204 | ||||||||||||
|
Total Investments
|
$ | - | $ | 52,544,363 | $ | 921,343 | $ | 53,465,706 | ||||||||
|
^
|
The Consolidated Schedule of Investments provides information on the industry categorization for the portfolio.
|
|
§
|
The following is a reconciliation between the beginning and ending balances of investments in which significant unobservable inputs (Level 3) were used in determining value:
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Futures Contracts (unrealized appreciation)
|
$803,690
|
$-
|
$-
|
$803,690
|
||||||||||||
|
Liability Valuation Inputs
|
||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Futures Contracts (unrealized depreciation)
|
$(1,674,893)
|
$-
|
$-
|
$(1,674,893)
|
||||||||||||
|
Investment in
Subsidiary
|
Percentage of
Net Assets
|
|
|
$6,680,230
|
12.6%
|
|
##
|
At January 31, 2014, the cost of investments for U.S. federal income tax purposes was $53,445,648. Gross unrealized appreciation of investments was $32,104 and gross unrealized depreciation of investments was $12,046, resulting in net unrealized appreciation of $20,058 based on cost for U.S. federal income tax purposes.
|
|
ØØ
|
All or a portion of this security is segregated in connection with obligations for commodity futures contracts.
|
|
ñ
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), or are private placements and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors. These securities have been deemed by the investment manager to be liquid. At January 31, 2014, these securities amounted to $1,102,615 or 2.1% of net assets.
|
|
††
|
A portion of this security is held by the Subsidiary.
|
|
(a)
|
Interest rate represents discount rate at time of purchase, not a coupon rate.
|
|
µ
|
Floating rate securities are securities whose yields vary with a designated index or market rate. These securities are shown at their current rates as of January 31, 2014, and their final maturity dates.
|
|
±
|
At January 31, 2014, open positions in commodity futures contracts
(1)
were:
|
|
Expiration
|
Open Contracts
|
Position
|
Unrealized
Appreciation
(Depreciation)
|
|
February 2014
|
38 Lead
|
Long
|
$(87,148)
|
|
February 2014
|
17 Nickel
|
Long
|
(70,203)
|
|
February 2014
|
43 Premium High Grade Aluminum
|
Long
|
(226,537)
|
|
February 2014
|
43 Zinc
|
Long
|
(481)
|
|
March 2014
|
42 Lead
|
Long
|
24,758
|
|
March 2014
|
20 Nickel
|
Long
|
58,456
|
|
March 2014
|
55 Premium High Grade Aluminum
|
Long
|
(140,213)
|
|
March 2014
|
53 Zinc
|
Long
|
86,621
|
|
April 2014
|
29 Cattle Feeder
|
Long
|
12,957
|
|
April 2014
|
20 Gasoline RBOB
|
Long
|
(34,410)
|
|
April 2014
|
41 Lead
|
Long
|
(61,429)
|
|
April 2014
|
25 Natural Gas
|
Long
|
19,433
|
|
April 2014
|
23 New York Harbor ULSD
|
Long
|
(29,945)
|
|
April 2014
|
21 Nickel
|
Long
|
58,376
|
|
April 2014
|
16 Platinum
|
Long
|
(19,597)
|
|
April 2014
|
44 Premium High Grade Aluminum
|
Long
|
(93,545)
|
|
April 2014
|
34 WTI Crude
|
Long
|
(37,832)
|
|
April 2014
|
48 Zinc
|
Long
|
(85,458)
|
|
May 2014
|
42 Brent Crude Oil
|
Long
|
(27,174)
|
|
May 2014
|
23 Cocoa
|
Long
|
51,682
|
|
May 2014
|
11 Coffee 'C'
|
Long
|
13,487
|
|
May 2014
|
33 Copper
|
Long
|
(117,312)
|
|
May 2014
|
25 Cotton No. 2
|
Long
|
22,931
|
|
May 2014
|
37 Gas Oil
|
Long
|
(1,075)
|
|
May 2014
|
41 Lead
|
Long
|
(13,354)
|
|
May 2014
|
19 Nickel
|
Long
|
15,930
|
|
May 2014
|
43 Premium High Grade Aluminum
|
Long
|
(11,625)
|
|
May 2014
|
17 Silver
|
Long
|
(74,685)
|
|
May2014
|
49 Sugar 11
|
Long
|
(28,682)
|
|
May 2014
|
48 Zinc
|
Long
|
(12,052)
|
|
June 2014
|
30 Gold 100 Oz.
|
Long
|
(10,170)
|
|
June 2014
|
44 Lean Hogs
|
Long
|
13,417
|
|
June 2014
|
44 Live Cattle
|
Long
|
2,950
|
|
July 2014
|
120 Corn
|
Long
|
7,081
|
|
July 2014
|
53 KC Wheat
|
Long
|
(107,037)
|
|
July 2014
|
41 Soybean
|
Long
|
4,822
|
|
July 2014
|
19 Soybean Meal
|
Long
|
2,068
|
|
July 2014
|
17 Soybean Oil
|
Long
|
(6,101)
|
|
July 2014
|
52 Wheat
|
Long
|
(135,072)
|
|
February 2014
|
38 Lead
|
Short
|
(27,848)
|
|
February 2014
|
17 Nickel
|
Short
|
(50,721)
|
|
February 2014
|
43 Premium High Grade Aluminum
|
Short
|
109,581
|
|
February 2014
|
43 Zinc
|
Short
|
(88,219)
|
|
March 2014
|
42 Lead
|
Short
|
62,957
|
|
March 2014
|
20 Nickel
|
Short
|
(56,312)
|
|
March 2014
|
55 Premium High Grade Aluminum
|
Short
|
115,131
|
|
March 2014
|
53 Zinc
|
Short
|
97,503
|
|
April 2014
|
41 Lead
|
Short
|
10,696
|
|
April 2014
|
21 Nickel
|
Short
|
(20,656)
|
|
April 2014
|
44 Premium High Grade Aluminum
|
Short
|
7,792
|
|
April 2014
|
48 Zinc
|
Short
|
5,061
|
|
$(871,203)
|
| (1) |
Commodity futures are held by the Subsidiary.
|
|
(a)
|
Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (“1940 Act”)), as of a date within 90 days of the filing date of this document, the Chief Executive Officer and Treasurer and Principal Financial and Accounting Officer of the Registrant have concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-CSR and Form N-Q is accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure.
|
|
(b)
|
There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
|
|
By:
|
/s/ Robert Conti
|
|
Robert Conti
|
|
|
Chief Executive Officer and President
|
|
By:
|
/s/ Robert Conti
|
|
Robert Conti
|
|
|
Chief Executive Officer and President
|
|
By:
|
/s/ John M. McGovern
|
|
John M. McGovern
|
|
|
Treasurer and Principal Financial
|
|
|
and Accounting Officer
|