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Name | Symbol | Market | Type |
---|---|---|---|
Ecofin Digital Payments Infrastructure Fund | AMEX:TPAY | AMEX | Exchange Traded Fund |
Price Change | % Change | Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 25.32 | 0 | 01:00:00 |
|
Semi-Annual Report
|
www.securianamfunds.com
|
February 29, 2020
|
•
|
the U.S. economy had, at that point, seen a record 123 months of continuous economic expansion
|
|
•
|
risk markets were performing well, with the S&P 500 up 18.34% for 2019 (through 08/31)
|
•
|
low volatility equity had recently outperformed the broad equity market
|
|
•
|
gold and long Treasuries had massively outperformed equity
|
|
•
|
the 10-Year-3-Month yield curve was deeply inverted
|
Long
|
Oil
|
Low
|
|||||
Gold
|
Treasuries
|
West Texas
|
Volatility
|
||||
Return (%)
|
(in USD)
|
(Bloomberg
|
Intermediate
|
Equity
|
S&P 500
|
Russell
|
Nasdaq
|
Barclays U.S.
|
oil future
|
(MSCI USA
|
2000
|
||||
Long Treasury)
|
Min Vol Index)
|
||||||
08/31/2019
|
|||||||
to
|
4.52
|
-0.12
|
-6.42
|
6.44
|
11.05
|
8.61
|
17.35
|
01/31/2020
|
|||||||
01/31/2020
|
|||||||
to
|
-0.22
|
6.70
|
-13.19
|
-8.11
|
-8.23
|
-8.42
|
-5.78
|
02/28/2020
|
|||||||
08/31/2019
|
|||||||
to
|
4.30
|
6.58
|
-18.77
|
-2.19
|
1.91
|
-0.54
|
10.57
|
02/28/2020
|
•
|
U.S.-China Trade War (ongoing)
|
|
•
|
Impeachment of President Trump
|
|
•
|
Declining Eurozone and China GDP growth, and corresponding IMF global growth forecast cuts
|
|
•
|
United States, Mexico, Canada Trade Agreement negotiations
|
|
•
|
Hong Kong Protests
|
|
•
|
Coronavirus
|
1
|
A repurchase agreement (repo) is a form of short-term borrowing for dealers in government securities. In the case of a repo, a dealer sells government securities to investors, usually on an overnight basis, and
buys them back the following day at a slightly higher price. That small difference in price is the implicit overnight interest rate. Repos are typically used to raise short-term capital. They are also a common tool of central bank open market
operations.
|
•
|
the U.S. economy had, at that point, seen a record 123 months of continuous economic expansion
|
|
•
|
risk markets were performing well, with the S&P 500 up 18.34% for 2019 (through 08/31)
|
•
|
low volatility equity had recently outperformed the broad equity market
|
|
•
|
gold and long Treasuries had massively outperformed equity
|
|
•
|
the 10-Year-3-Month yield curve was deeply inverted
|
Long
|
Oil
|
Low
|
|||||
Gold
|
Treasuries
|
West Texas
|
Volatility
|
||||
Return (%)
|
(in USD)
|
(Bloomberg
|
Intermediate
|
Equity
|
S&P 500
|
Russell
|
Nasdaq
|
Barclays U.S.
|
oil future
|
(MSCI USA
|
2000
|
||||
Long Treasury)
|
Min Vol Index)
|
||||||
08/31/2019
|
|||||||
to
|
4.52
|
-0.12
|
-6.42
|
6.44
|
11.05
|
8.61
|
17.35
|
01/31/2020
|
|||||||
01/31/2020
|
|||||||
to
|
-0.22
|
6.70
|
-13.19
|
-8.11
|
-8.23
|
-8.42
|
-5.78
|
02/28/2020
|
|||||||
08/31/2019
|
|||||||
to
|
4.30
|
6.58
|
-18.77
|
-2.19
|
1.91
|
-0.54
|
10.57
|
02/28/2020
|
•
|
U.S.-China Trade War (ongoing)
|
|
•
|
Impeachment of President Trump
|
|
•
|
Declining Eurozone and China GDP growth, and corresponding IMF global growth forecast cuts
|
|
•
|
United States, Mexico, Canada Trade Agreement negotiations
|
|
•
|
Hong Kong Protests
|
|
•
|
Coronavirus
|
•
|
FTSE 100: -8.99%
|
|
•
|
Euro Stoxx 50: -8.43%
|
|
•
|
Nikkei 225: -8.82%
|
|
•
|
Shenzhen 300: -1.59%
|
|
•
|
Hang Seng: -0.38%
|
One Year
|
Three Years
|
Since Inception(1)
|
|
Dynamic Managed Volatility Fund
|
9.66%
|
8.83%
|
9.88%
|
S&P 500 Index(2)
|
8.19%
|
9.87%
|
13.03%
|
Securian AM DMV Benchmark(3)
|
9.94%
|
8.17%
|
9.61%
|
(1)
|
September 28, 2015.
|
(2)
|
The Standard & Poor’s 500 Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. This Index cannot be invested in directly.
|
(3)
|
The Securian AM DMV Benchmark is comprised of 60% S&P 500 Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index. This Index cannot be invested in directly.
|
One Year
|
Three Years
|
Since Inception(1)
|
|
Managed Volatility Equity Fund
|
3.86%
|
5.49%
|
6.63%
|
S&P 500 Index(2)
|
8.19%
|
9.87%
|
13.03%
|
Securian AM MVE Benchmark(3)
|
5.84%
|
7.84%
|
9.49%
|
(1)
|
September 28, 2015.
|
(2)
|
The Standard & Poor’s 500 Index is an unmanaged, capitalization-weighted index generally representative of the U.S. market for large capitalization stocks. This Index cannot be invested in directly.
|
(3)
|
The Securian AM MVE Benchmark is comprised of 60% S&P 500 Low Volatility Index, 20% S&P BMI International Developed Low Volatility Index, and 20% Bloomberg Barclays U.S. 3 Month Treasury Bellwether
Index. This Index cannot be invested in directly.
|
One Year
|
Three Years
|
Five Years
|
Since Inception(1)
|
|
Real Asset Income Fund
|
1.55%
|
2.29%
|
2.33%
|
5.75%
|
Morningstar US Real Asset Index(2)
|
0.96%
|
1.82%
|
1.09%
|
1.30%
|
Securian AM RAI Benchmark(3)
|
2.60%
|
3.17%
|
3.77%
|
6.47%
|
(1)
|
September 12, 2012.
|
(2)
|
The Morningstar US Real Asset Index is a diversified portfolio of four different asset classes that have historically displayed high sensitivity to inflation. These four asset classes are U.S. Treasury
inflation-protected securities (“TIPS”), commodity futures-based strategies, real estate investment trusts (“REITs”), and inflation-sensitive equities such as upstream commodity stocks and master limited partnerships. This Index cannot be
invested in directly.
|
(3)
|
The Securian AM RAI Benchmark is comprised of 54% FTSE NAREIT Equity REITs Index; 12% S&P 500 Utilities Index; 12% Alerian MLP Total Return Index; 12% Bloomberg Barclays Capital U.S. Government Inflation
Linked Bond Index; and 10% Wells Fargo Hybrid & Preferred REIT Index. This Index cannot be invested in directly.
|
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period(1)
|
|
(9/1/2019)
|
(2/29/2020)
|
(9/1/2019 to 2/29/2020)
|
|
Dynamic Managed Volatility Fund Actual(2)
|
$1,000.00
|
$1,034.80
|
$2.78
|
Dynamic Managed Volatility Fund Hypothetical
|
|||
(5% annual return before expenses)
|
$1,000.00
|
$1,022.13
|
$2.77
|
(1)
|
Expenses are equal to the Fund’s annualized expense ratio for the most recent six-month period of 0.55% for the Fund multiplied by the average account value over the period, multiplied by 182/366 to reflect the
one-half year period.
|
(2)
|
Based on the actual returns for the six-month period ended February 29, 2020 of 3.48% for the Fund.
|
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period(3)
|
|
(9/1/2019)
|
(2/29/2020)
|
(9/1/2019 to 2/29/2020)
|
|
Managed Volatility Equity Fund Actual(4)
|
$1,000.00
|
$ 991.30
|
$2.73
|
Managed Volatility Equity Fund Hypothetical
|
|||
(5% annual return before expenses)
|
$1,000.00
|
$1,022.13
|
$2.77
|
(3)
|
Expenses are equal to the Fund’s annualized expense ratio for the most recent six-month period of 0.55% for the Fund multiplied by the average account value over the period, multiplied by 182/366 to reflect the
one-half year period.
|
(4)
|
Based on the actual returns for the six-month period ended February 29, 2020 of -0.87% for the Fund.
|
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period(5)
|
|
(9/1/2019)
|
(2/29/2020)
|
(9/1/2019 to 2/29/2020)
|
|
Real Asset Income Fund Actual(6)
|
$1,000.00
|
$ 953.30
|
$3.64
|
Real Asset Income Fund Hypothetical
|
|||
(5% annual return before expenses)
|
$1,000.00
|
$1,021.13
|
$3.77
|
(5)
|
Expenses are equal to the Fund’s annualized expense ratio for the most recent six-month period of 0.75% for the Fund multiplied by the average account value over the period, multiplied by 182/366 to reflect the
one-half year period.
|
(6)
|
Based on the actual returns for the six-month period ended February 29, 2020 of -4.67% for the Fund.
|
iShares Core S&P 500 Fund
|
39.5
|
%
|
||
iShares iBoxx $ Investment Grade Corporate Bond Fund
|
10.0
|
%
|
||
U.S. Treasury Bond, 2.625%, 12/15/2021
|
5.8
|
%
|
||
Takeda Pharmaceutical, 5.000%, 11/26/2028
|
1.0
|
%
|
||
E*TRADE Financial, 2.950%, 08/24/2022
|
0.9
|
%
|
||
Abbott Laboratories, 4.750%, 04/14/2043
|
0.7
|
%
|
||
AT&T, 4.500%, 05/15/2035
|
0.6
|
%
|
||
Verizon Communications, 5.250%, 03/16/2037
|
0.6
|
%
|
||
Sherwin-Williams, 3.950%, 01/15/2026
|
0.5
|
%
|
||
Florida Gas Transmission, 4.350%, 07/15/2025
|
0.5
|
%
|
(1)
|
Fund holdings and sector allocations are subject to change at any time and are not recommendations to buy or sell any security.
|
(2)
|
Short-term investments are not included.
|
iShares MSCI USA Minimum Volatility Fund
|
32.1
|
%
|
||
iShares MSCI EAFE Minimum Volatility Fund
|
24.8
|
%
|
||
iShares Core High Dividend Fund
|
17.3
|
%
|
||
iShares MSCI Emerging Markets Minimum Volatility Fund
|
5.9
|
%
|
||
iShares Short Maturity Bond Fund
|
5.3
|
%
|
||
iShares MSCI Germany Fund
|
4.0
|
%
|
(1)
|
Fund holdings and sector allocations are subject to change at any time and are not recommendations to buy or sell any security.
|
(2)
|
Short-term investments are not included.
|
Digital Realty Trust
|
2.1
|
%
|
||
Simon Property Group
|
2.1
|
%
|
||
U.S. Treasury Bond, 2.375%, 01/15/2025
|
2.0
|
%
|
||
Crown Castle International
|
2.0
|
%
|
||
STAG Industrial
|
1.8
|
%
|
||
Enterprise Products Partners
|
1.7
|
%
|
||
Prologis
|
1.6
|
%
|
||
Welltower
|
1.6
|
%
|
||
Magellan Midstream Partners
|
1.6
|
%
|
||
U.S. Treasury Bond, 0.125%, 07/15/2024
|
1.6
|
%
|
(1)
|
Fund holdings and sector allocations are subject to change at any time and are not recommendations to buy or sell any security.
|
(2)
|
Short-term investments are not included.
|
Fair
|
||||||||
Shares
|
Value
|
|||||||
EXCHANGE TRADED FUNDS – 49.5%
|
||||||||
iShares Core S&P 500 Fund (a)(b)
|
80,666
|
$
|
23,869,876
|
|||||
iShares iBoxx $ Investment Grade Corporate Bond Fund
|
45,500
|
6,014,190
|
||||||
Total Exchange Traded Funds
|
||||||||
(Cost $22,820,472)
|
29,884,066
|
|||||||
Par
|
||||||||
CORPORATE BONDS – 23.3%
|
||||||||
Airlines – 0.3%
|
||||||||
British Airways
|
||||||||
Series 2013-1
|
||||||||
4.625%, 12/20/2025 (c)
|
$
|
179,513
|
192,933
|
|||||
Banks – 2.1%
|
||||||||
Astoria Financial
|
||||||||
3.500%, 06/08/2020
|
250,000
|
250,630
|
||||||
Barclays
|
||||||||
4.375%, 01/12/2026 (d)
|
200,000
|
221,161
|
||||||
JPMorgan Chase
|
||||||||
4.500%, 01/24/2022
|
250,000
|
263,565
|
||||||
PNC Bank
|
||||||||
2.450%, 07/28/2022
|
250,000
|
255,693
|
||||||
Synchrony Bank
|
||||||||
3.000%, 06/15/2022
|
250,000
|
256,407
|
||||||
1,247,456
|
||||||||
Chemicals – 1.0%
|
||||||||
Sherwin-Williams
|
||||||||
3.950%, 01/15/2026
|
300,000
|
330,592
|
||||||
Yara International
|
||||||||
4.750%, 06/01/2028 (c)(d)
|
250,000
|
283,829
|
||||||
614,421
|
||||||||
Consumer Discretionary – 1.0%
|
||||||||
CBS
|
||||||||
3.500%, 01/15/2025
|
300,000
|
320,810
|
||||||
Harley-Davidson Financial Services
|
||||||||
3.550%, 05/21/2021 (c)
|
250,000
|
255,750
|
||||||
576,560
|
Fair
|
||||||||
Par
|
Value
|
|||||||
CORPORATE BONDS – 23.3% (Continued)
|
||||||||
Consumer Staples – 0.4%
|
||||||||
CVS Health
|
||||||||
6.943%, 01/10/2030
|
$
|
190,525
|
$
|
231,577
|
||||
Diversified Financial Services – 3.0%
|
||||||||
American Express
|
||||||||
2.500%, 08/01/2022
|
250,000
|
255,241
|
||||||
Capital One Financial
|
||||||||
4.250%, 04/30/2025
|
250,000
|
277,607
|
||||||
E*TRADE Financial
|
||||||||
2.950%, 08/24/2022
|
500,000
|
517,472
|
||||||
First American Financial
|
||||||||
4.600%, 11/15/2024
|
200,000
|
220,825
|
||||||
Invesco Financial
|
||||||||
3.750%, 01/15/2026 (d)
|
250,000
|
278,458
|
||||||
Total System Services
|
||||||||
4.800%, 04/01/2026
|
250,000
|
286,955
|
||||||
1,836,558
|
||||||||
Energy – 2.8%
|
||||||||
Florida Gas Transmission
|
||||||||
4.350%, 07/15/2025 (c)
|
300,000
|
329,861
|
||||||
ONEOK
|
||||||||
4.000%, 07/13/2027
|
250,000
|
272,266
|
||||||
Phillips 66
|
||||||||
4.650%, 11/15/2034
|
200,000
|
241,062
|
||||||
Valero Energy
|
||||||||
3.650%, 03/15/2025
|
300,000
|
323,770
|
||||||
4.350%, 06/01/2028
|
250,000
|
281,494
|
||||||
Williams Partners
|
||||||||
3.750%, 06/15/2027
|
250,000
|
262,560
|
||||||
1,711,013
|
||||||||
Health Care – 0.7%
|
||||||||
Abbott Laboratories
|
||||||||
4.750%, 04/15/2043
|
300,000
|
399,388
|
||||||
Industrial – 1.4%
|
||||||||
General Dynamics
|
||||||||
3.500%, 05/15/2025
|
250,000
|
274,782
|
||||||
Textron
|
||||||||
4.000%, 03/15/2026
|
250,000
|
274,058
|
|
Fair | |||||||
Par
|
Value
|
|||||||
CORPORATE BONDS – 23.3% (Continued)
|
||||||||
Industrial – 1.4% (Continued)
|
||||||||
Tyco Electronics Group
|
||||||||
3.700%, 02/15/2026 (d)
|
$
|
250,000
|
$
|
274,185
|
||||
823,025
|
||||||||
Insurance – 3.1%
|
||||||||
Allied World Assurance Company Holdings
|
||||||||
4.350%, 10/29/2025 (d)
|
250,000
|
275,990
|
||||||
Assured Guaranty US Holdings
|
||||||||
5.000%, 07/01/2024
|
200,000
|
227,588
|
||||||
Hanover Insurance Group
|
||||||||
4.500%, 04/15/2026
|
250,000
|
283,088
|
||||||
Horace Mann Educators
|
||||||||
4.500%, 12/01/2025
|
250,000
|
278,247
|
||||||
Liberty Mutual Group
|
||||||||
4.250%, 06/15/2023 (c)
|
250,000
|
271,242
|
||||||
Manulife Financial
|
||||||||
4.150%, 03/04/2026 (d)
|
250,000
|
284,340
|
||||||
Old Republic International
|
||||||||
4.875%, 10/01/2024
|
200,000
|
225,933
|
||||||
1,846,428
|
||||||||
Pharmaceuticals – 1.0%
|
||||||||
Takeda Pharmaceutical
|
||||||||
5.000%, 11/26/2028 (d)
|
500,000
|
611,165
|
||||||
Real Estate Investment Trusts – 2.3%
|
||||||||
Alexandria Real Estate Equities
|
||||||||
4.300%, 01/15/2026
|
200,000
|
226,206
|
||||||
Essex Portfolio
|
||||||||
3.500%, 04/01/2025
|
300,000
|
325,402
|
||||||
Healthcare Trust of America Holdings
|
||||||||
3.750%, 07/01/2027
|
250,000
|
276,365
|
||||||
Host Hotels & Resorts
|
||||||||
Series F
|
||||||||
4.500%, 02/01/2026
|
250,000
|
282,824
|
||||||
Kimco Realty
|
||||||||
3.400%, 11/01/2022
|
250,000
|
261,663
|
||||||
1,372,460
|
Fair
|
||||||||
Par
|
Value
|
|||||||
CORPORATE BONDS – 23.3% (Continued)
|
||||||||
Technology – 0.5%
|
||||||||
Hewlett Packard Enterprise
|
||||||||
4.900%, 10/15/2025
|
$
|
100,000
|
$
|
113,717
|
||||
Juniper Networks
|
||||||||
4.500%, 03/15/2024
|
200,000
|
220,911
|
||||||
334,628
|
||||||||
Telecommunications – 2.1%
|
||||||||
AT&T
|
||||||||
4.500%, 05/15/2035
|
300,000
|
349,815
|
||||||
Comcast
|
||||||||
4.650%, 07/15/2042
|
250,000
|
314,147
|
||||||
Verizon Communications
|
||||||||
5.250%, 03/16/2037
|
250,000
|
334,332
|
||||||
Vodafone Group
|
||||||||
4.125%, 05/30/2025 (d)
|
250,000
|
279,371
|
||||||
1,277,665
|
||||||||
Transportation – 1.3%
|
||||||||
Kansas City Southern
|
||||||||
4.300%, 05/15/2043
|
250,000
|
303,532
|
||||||
Penske Truck Leasing / PTL Finance
|
||||||||
3.300%, 04/01/2021 (c)
|
200,000
|
203,566
|
||||||
3.900%, 02/01/2024 (c)
|
250,000
|
269,418
|
||||||
776,516
|
||||||||
Utilities – 0.3%
|
||||||||
Oglethorpe Power
|
||||||||
4.250%, 04/01/2046
|
200,000
|
210,324
|
||||||
Total Corporate Bonds
|
||||||||
(Cost $12,612,981)
|
14,062,117
|
|||||||
U.S. GOVERNMENT SECURITY – 5.8%
|
||||||||
U.S. Treasury Bond – 5.8%
|
||||||||
2.625%, 12/15/2021
|
||||||||
Total U.S. Government Securities
|
||||||||
(Cost $3,386,597)
|
3,400,000
|
3,502,266
|
Fair
|
||||||||||||
Contracts
|
Notional
|
Value
|
||||||||||
PURCHASED CALL OPTIONS – 1.0%
|
||||||||||||
CBOE VIX Index (e)
|
||||||||||||
Expiration: March 2020, Exercise Price: $18.00
|
255
|
$
|
1,022,805
|
$
|
221,850
|
|||||||
Expiration: March 2020, Exercise Price: $19.00
|
255
|
1,022,805
|
201,450
|
|||||||||
Expiration: March 2020, Exercise Price: $20.00
|
255
|
1,022,805
|
182,325
|
|||||||||
Total Purchased Call Options
|
||||||||||||
(Cost $116,408)
|
605,625
|
|||||||||||
Shares
|
||||||||||||
SHORT-TERM INVESTMENT – 19.7%
|
||||||||||||
First American Government Obligations Fund, Class X, 1.49% (f)
|
||||||||||||
(Cost $11,867,114)
|
11,867,114
|
11,867,114
|
||||||||||
Total Investments – 99.3%
|
||||||||||||
(Cost $50,803,572)
|
59,921,188
|
|||||||||||
Other Assets and Liabilities, Net – 0.7%
|
406,891
|
|||||||||||
Total Net Assets – 100.0%
|
$
|
60,328,079
|
(a)
|
All or a portion of this security is designated as collateral for futures contracts. As of February 29, 2020, the fair value of collateral was $23,869,876.
|
(b)
|
Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.
|
(c)
|
Security purchased within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other
Òqualified institutional buyers.Ó As of February 29, 2020, the fair value of these investments were $1,806,599, or 3.0% of total net assets.
|
(d)
|
Foreign Security. The Fund had $2,508,499 or 4.2% of net assets in foreign securities at February 29, 2020.
|
(e)
|
Held in connection with written option contracts. See Schedule of Written Options for further information.
|
(f)
|
The rate shown is the annualized seven-day effective yield as of February 29, 2020.
|
Futures Contracts Purchased
|
|||||||||||||||||
Number of
|
Unrealized
|
||||||||||||||||
Contracts
|
Expiration
|
Notional
|
Fair
|
Appreciation
|
|||||||||||||
Description
|
Purchased
|
Date
|
Amount
|
Value
|
(Depreciation)
|
||||||||||||
E-mini S&P 500 Index
|
21
|
March 2020
|
$
|
3,098,550
|
$
|
(55,833
|
)
|
$
|
(291,536
|
)
|
|||||||
U.S. Treasury 2 Year Note Futures
|
7
|
June 2020
|
1,528,297
|
5,469
|
9,280
|
||||||||||||
Ultra U.S. Treasury Bond Futures
|
12
|
June 2020
|
2,490,000
|
51,750
|
74,687
|
||||||||||||
|
$
|
(207,569
|
)
|
||||||||||||||
Futures Contracts Sold
|
|||||||||||||||||
Number of
|
|||||||||||||||||
Contracts
|
Expiration
|
Notional
|
Fair
|
Unrealized
|
|||||||||||||
Description
|
Sold
|
Date
|
Amount
|
Value
|
Depreciation
|
||||||||||||
U.S. Treasury Bond Futures
|
6
|
June 2020
|
$
|
1,021,500
|
$
|
(16,687
|
)
|
$
|
(27,109
|
)
|
|||||||
U.S. Treasury 5 Year Note Futures
|
22
|
June 2020
|
2,700,500
|
(20,969
|
)
|
(33,053
|
)
|
||||||||||
|
$
|
(60,162
|
)
|
||||||||||||||
|
Contracts
|
Expiration
|
Notional
|
Exercise
|
Fair | |||||||||||||
Description
|
Call/Put
|
Written
|
Date
|
Amount
|
Price
|
Value
|
||||||||||||
CBOE VIX Index*
|
||||||||||||||||||
(Premiums received $16,852)
|
Call
|
383
|
March 2020
|
$
|
1,536,213
|
$
|
30.00
|
$
|
97,665
|
|||||||||
CBOE VIX Index*
|
||||||||||||||||||
(Premiums received $14,903)
|
Call
|
382
|
March 2020
|
1,532,202
|
32.50
|
76,400
|
||||||||||||
$
|
174,065
|
*
|
Held in connection with purchased option contracts. See Schedule of Investments for further information.
|
Fair
|
||||||||||||
Shares
|
Value
|
|||||||||||
EXCHANGE TRADED FUNDS – 89.4%
|
||||||||||||
iShares Core High Dividend Fund
|
77,517
|
$
|
6,565,690
|
|||||||||
iShares MSCI EAFE Minimum Volatility Fund (a)
|
137,166
|
9,439,764
|
||||||||||
iShares MSCI Emerging Markets Minimum Volatility Fund
|
41,986
|
2,240,373
|
||||||||||
iShares MSCI Germany Fund
|
57,796
|
1,515,411
|
||||||||||
iShares MSCI USA Minimum Volatility Fund (a)(b)
|
199,114
|
12,199,715
|
||||||||||
iShares Short Maturity Bond Fund
|
40,225
|
2,027,340
|
||||||||||
Total Exchange Traded Funds
|
||||||||||||
(Cost $28,165,098)
|
33,988,293
|
|||||||||||
Contracts
|
Notional
|
|||||||||||
PURCHASED CALL OPTIONS – 1.0%
|
||||||||||||
CBOE VIX Index (c)
|
||||||||||||
Expiration: March 2020, Exercise Price: $18.00
|
165
|
$
|
661,815
|
143,550
|
||||||||
Expiration: March 2020, Exercise Price: $19.00
|
165
|
661,815
|
130,350
|
|||||||||
Expiration: March 2020, Exercise Price: $20.00
|
165
|
661,815
|
117,975
|
|||||||||
Total Purchased Call Options
|
||||||||||||
(Cost $75,323)
|
391,875
|
|||||||||||
Shares
|
||||||||||||
SHORT-TERM INVESTMENT – 9.6%
|
||||||||||||
First American Government Obligations Fund, Class X, 1.49% (d)
|
||||||||||||
(Cost $3,667,315)
|
3,667,315
|
3,667,315
|
||||||||||
Total Investments – 100.0%
|
||||||||||||
(Cost $31,907,736)
|
38,047,483
|
|||||||||||
Other Assets and Liabilities, Net – 0.0%
|
674
|
|||||||||||
Total Net Assets – 100.0%
|
$
|
38,048,157
|
(a)
|
This security is designated as collateral for futures contracts. As of February 29, 2020, the fair value of the collateral was $11,584,214.
|
(b)
|
Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.
|
(c)
|
Held in connection with written option contracts. See Schedule of Written Options for further information.
|
(d)
|
The rate shown is the annualized seven-day effective yield as of February 29, 2020.
|
Number of
|
|||||||||||||||||
Contracts
|
Expiration
|
Notional
|
Fair
|
Unrealized
|
|||||||||||||
Description
|
Sold
|
Date
|
Amount
|
Value
|
Appreciation
|
||||||||||||
E-mini S&P 500 Index
|
50
|
3/24/2020
|
$
|
7,377,500
|
$
|
(35,243
|
)
|
$
|
294,582
|
|
|
Contracts
|
Expiration |
Notional
|
Exercise
|
Fair | ||||||||||||
Description
|
Call/Put
|
Written
|
Date
|
Amount
|
Price
|
Value
|
||||||||||||
CBOE VIX Index*
|
||||||||||||||||||
(Premiums received $10,912)
|
Call
|
248
|
March 2020
|
$
|
994,728
|
$
|
30.00
|
$
|
63,240
|
|||||||||
CBOE VIX Index*
|
||||||||||||||||||
(Premiums received $9,636)
|
Call
|
247
|
March 2020
|
990,717
|
32.50
|
49,400
|
||||||||||||
$
|
112,640
|
*
|
Held in connection with purchased option contracts. See Schedule of Investments for further information.
|
Fair
|
||||||||
Shares
|
Value
|
|||||||
REIT COMMON STOCKS – 50.3%
|
||||||||
Health Care – 7.7%
|
||||||||
CareTrust REIT
|
32,712
|
$
|
682,699
|
|||||
Healthcare Trust of America, Class A
|
2,914
|
90,742
|
||||||
Healthpeak Properties
|
32,713
|
1,035,039
|
||||||
National Health Investors
|
6,681
|
546,038
|
||||||
OMEGA Healthcare Investors
|
13,578
|
537,689
|
||||||
Physicians Realty Trust
|
25,400
|
479,044
|
||||||
Sabra Health Care REIT
|
21,759
|
425,389
|
||||||
Ventas
|
15,900
|
854,943
|
||||||
Welltower
|
16,664
|
1,246,801
|
||||||
5,898,384
|
||||||||
Hotels – 2.1%
|
||||||||
Host Hotels & Resorts
|
13,400
|
194,032
|
||||||
Park Hotels & Resorts
|
4,200
|
76,692
|
||||||
Pebblebrook Hotel Trust
|
19,100
|
386,011
|
||||||
Ryman Hospitality Properties
|
7,700
|
535,227
|
||||||
Service Properties Trust
|
28,800
|
520,704
|
||||||
1,712,666
|
||||||||
Industrial – 3.9%
|
||||||||
Industrial Logistics Properties Trust
|
16,648
|
343,948
|
||||||
Prologis
|
14,901
|
1,255,856
|
||||||
STAG Industrial
|
48,584
|
1,359,380
|
||||||
2,959,184
|
||||||||
Mortgage – 1.8%
|
||||||||
Blackstone Mortgage Trust, Class A
|
16,647
|
600,291
|
||||||
Ladder Capital
|
13,500
|
205,875
|
||||||
Starwood Property Trust
|
25,800
|
572,244
|
||||||
1,378,410
|
||||||||
Multi-Family – 7.3%
|
||||||||
American Campus Communities
|
24,300
|
1,055,592
|
||||||
Apartment Investment & Management Company, Class A
|
20,703
|
990,432
|
||||||
AvalonBay Communities
|
3,700
|
742,183
|
||||||
Camden Property Trust
|
9,778
|
1,036,272
|
||||||
Independence Realty Trust
|
12,500
|
165,750
|
||||||
Investors Real Estate Trust
|
1,000
|
70,450
|
||||||
Mid-America Apartment Communities
|
3,900
|
504,114
|
||||||
UDR
|
21,900
|
985,062
|
||||||
5,549,855
|
Fair
|
||||||||
Shares
|
Value
|
|||||||
REIT COMMON STOCKS – 50.3% (Continued)
|
||||||||
Net Lease – 3.3%
|
||||||||
Agree Realty
|
10,412
|
$
|
747,790
|
|||||
Easterly Government Properties
|
4,500
|
106,965
|
||||||
EPR Properties
|
10,200
|
604,248
|
||||||
STORE Capital
|
24,998
|
821,434
|
||||||
VEREIT
|
23,323
|
201,977
|
||||||
2,482,414
|
||||||||
Office – 4.5%
|
||||||||
Boston Properties
|
7,700
|
992,838
|
||||||
Columbia Property Trust
|
14,000
|
264,040
|
||||||
Corporate Office Properties Trust
|
12,210
|
309,401
|
||||||
Cousins Properties
|
5,500
|
196,295
|
||||||
Highwoods Properties
|
20,300
|
911,064
|
||||||
Hudson Pacific Properties
|
8,600
|
277,608
|
||||||
SL Green Realty
|
3,722
|
291,954
|
||||||
Vornado Realty Trust
|
3,200
|
171,456
|
||||||
3,414,656
|
||||||||
Retail – 6.8%
|
||||||||
Acadia Realty Trust
|
9,100
|
207,844
|
||||||
Brixmor Property Group
|
10,600
|
193,026
|
||||||
Essential Properties Realty Trust
|
7,800
|
178,698
|
||||||
Federal Realty Investment Trust
|
600
|
69,804
|
||||||
Four Corners Property Trust
|
12,900
|
370,101
|
||||||
Getty Realty
|
10,700
|
303,238
|
||||||
National Retail Properties
|
15,600
|
793,260
|
||||||
Regency Centers
|
16,300
|
936,272
|
||||||
Retail Opportunity Investments
|
24,536
|
368,040
|
||||||
Simon Property Group
|
12,800
|
1,575,424
|
||||||
Weingarten Realty Investors
|
6,300
|
169,659
|
||||||
5,165,366
|
||||||||
Single-Family – 0.2%
|
||||||||
Invitation Homes
|
4,600
|
131,974
|
||||||
Specialty – 12.7%
|
||||||||
CatchMark Timber Trust, Class A
|
39,590
|
363,832
|
||||||
CoreSite Realty
|
3,900
|
404,547
|
||||||
Crown Castle International
|
10,600
|
1,518,874
|
||||||
CubeSmart
|
8,100
|
245,187
|
||||||
CyrusOne
|
12,349
|
748,102
|
Fair
|
||||||||
Shares
|
Value
|
|||||||
REIT COMMON STOCKS – 50.3% (Continued)
|
||||||||
Specialty – 12.7% (Continued)
|
||||||||
Digital Realty Trust
|
13,212
|
$
|
1,586,893
|
|||||
Equinix
|
700
|
400,960
|
||||||
Extra Space Storage
|
5,043
|
506,116
|
||||||
Gaming and Leisure Properties
|
2,900
|
129,543
|
||||||
Hannon Armstrong Sustainable Infrastructure Capital
|
6,000
|
203,700
|
||||||
Jernigan Capital
|
19,800
|
354,816
|
||||||
Life Storage
|
1,300
|
140,283
|
||||||
OUTFRONT Media
|
9,200
|
242,328
|
||||||
Public Storage
|
4,400
|
920,128
|
||||||
QTS Realty Trust, Class A
|
6,100
|
342,637
|
||||||
VICI Properties
|
33,100
|
829,486
|
||||||
Weyerhaeuser Company
|
27,800
|
722,244
|
||||||
9,659,676
|
||||||||
Total REIT Common Stocks
|
||||||||
(Cost $35,179,239)
|
38,352,585
|
|||||||
OTHER COMMON STOCKS – 15.3%
|
||||||||
Energy – 2.8%
|
||||||||
Kinder Morgan
|
30,473
|
584,168
|
||||||
ONEOK
|
13,600
|
907,392
|
||||||
Sempra Energy
|
2,100
|
293,538
|
||||||
Targa Resources
|
11,900
|
385,560
|
||||||
2,170,658
|
||||||||
Infrastructure – 1.0%
|
||||||||
Brookfield Infrastructure Partners (a)
|
14,900
|
753,046
|
||||||
Real Estate Operating Company – 0.5%
|
||||||||
Brookfield Property Partners (a)
|
21,523
|
351,255
|
||||||
Telecommunications – 1.3%
|
||||||||
AT&T
|
10,100
|
355,722
|
||||||
Verizon Communications
|
11,500
|
622,840
|
||||||
978,562
|
||||||||
Utilities – 9.7%
|
||||||||
AES
|
43,300
|
724,409
|
||||||
American Electric Power
|
10,910
|
973,827
|
||||||
Brookfield Renewable Partners (a)
|
6,100
|
304,146
|
||||||
CenterPoint Energy
|
23,800
|
547,876
|
Fair
|
||||||||
Shares
|
Value
|
|||||||
OTHER COMMON STOCKS – 15.3% (Continued)
|
||||||||
Utilities – 9.7% (Continued)
|
||||||||
Clearway Energy, Class A
|
3,900
|
$
|
79,131
|
|||||
Covanta Holding
|
13,793
|
184,274
|
||||||
Dominion Energy
|
9,170
|
716,911
|
||||||
DTE Energy
|
3,547
|
396,093
|
||||||
Duke Energy
|
4,500
|
412,650
|
||||||
Evergy
|
7,536
|
492,478
|
||||||
Exelon
|
27,300
|
1,176,903
|
||||||
FirstEnergy
|
7,900
|
351,787
|
||||||
PPL
|
16,300
|
489,163
|
||||||
South Jersey Industries
|
19,541
|
528,584
|
||||||
7,378,232
|
||||||||
Total Other Common Stocks
|
||||||||
(Cost $10,067,252)
|
11,631,753
|
|||||||
Par
|
||||||||
U.S. GOVERNMENT SECURITIES – 11.4%
|
||||||||
U.S. Treasury Bonds – 11.4%
|
||||||||
1.250%, 07/15/2020 (b)
|
$
|
589,160
|
592,997
|
|||||
1.125%, 01/15/2021 (b)
|
587,360
|
593,587
|
||||||
0.625%, 07/15/2021 (b)
|
570,080
|
578,449
|
||||||
0.125%, 07/15/2022 (b)
|
558,730
|
566,866
|
||||||
0.125%, 01/15/2023 (b)
|
445,320
|
451,202
|
||||||
0.375%, 07/15/2023 (b)
|
552,115
|
567,638
|
||||||
0.125%, 07/15/2024 (b)
|
1,163,408
|
1,194,035
|
||||||
2.375%, 01/15/2025 (b)
|
1,363,280
|
1,548,417
|
||||||
0.375%, 07/15/2025 (b)
|
433,448
|
452,986
|
||||||
0.625%, 01/15/2026 (b)
|
594,820
|
629,437
|
||||||
3.875%, 04/15/2029 (b)
|
781,585
|
1,080,437
|
||||||
2.125%, 02/15/2040 (b)
|
297,233
|
423,311
|
||||||
Total U.S. Government Securities
|
||||||||
(Cost $8,427,130)
|
8,679,362
|
Fair
|
||||||||
Shares
|
Value
|
|||||||
MASTER LIMITED PARTNERSHIPS – 10.1%
|
||||||||
Energy – 10.1%
|
||||||||
Cheniere Energy Partners
|
14,600
|
$
|
494,940
|
|||||
Energy Transfer
|
105,952
|
1,173,948
|
||||||
Enterprise Products Partners
|
56,884
|
1,327,673
|
||||||
Magellan Midstream Partners
|
22,001
|
1,200,154
|
||||||
MPLX
|
43,772
|
888,134
|
||||||
NextEra Energy Partners
|
9,500
|
547,865
|
||||||
PBF Logistics
|
14,094
|
267,363
|
||||||
Plains All American Pipeline
|
65,200
|
891,284
|
||||||
Sprague Resources
|
15,075
|
185,272
|
||||||
USA Compression Partners
|
28,000
|
383,040
|
||||||
Viper Energy Partners
|
20,800
|
370,864
|
||||||
Total Master Limited Partnerships
|
||||||||
(Cost $7,755,590)
|
7,730,537
|
|||||||
REIT PREFERRED STOCKS – 9.8%
|
||||||||
Hotels – 2.8%
|
||||||||
Hersha Hospitality Trust, Series E, 6.500%
|
15,570
|
378,351
|
||||||
Pebblebrook Hotel Trust, Series D, 6.375%
|
14,103
|
324,510
|
||||||
Pebblebrook Hotel Trust, Series E, 6.375%
|
19,702
|
478,167
|
||||||
Summit Hotel Properties, Series D, 6.450%
|
16,071
|
397,757
|
||||||
Summit Hotel Properties, Series E, 6.250%
|
10,800
|
258,984
|
||||||
Sunstone Hotel Investors, Series E, 6.950%
|
10,407
|
267,044
|
||||||
2,104,813
|
||||||||
Industrial – 0.5%
|
||||||||
Rexford Industrial Realty, Series C, 5.625%
|
10,100
|
253,510
|
||||||
STAG Industrial, Series C, 6.875%
|
4,041
|
104,137
|
||||||
357,647
|
||||||||
Net Lease – 0.7%
|
||||||||
EPR Properties, Series G, 5.750%
|
20,380
|
514,595
|
||||||
Office – 1.4%
|
||||||||
Armada Hoffler Properties, Series A, 6.750%
|
12,400
|
340,876
|
||||||
PS Business Parks, Series W, 5.200%
|
19,100
|
483,039
|
||||||
PS Business Parks, Series Z, 4.875%
|
11,900
|
292,621
|
||||||
1,116,536
|
|
Fair
|
|||||||
Shares
|
Value
|
|||||||
REIT PREFERRED STOCKS – 9.8% (Continued)
|
||||||||
Other – 0.6%
|
||||||||
Colony Capital, Class H, 7.125%
|
6,900
|
$
|
152,490
|
|||||
Digital Realty Trust, Series L, 5.200%
|
11,900
|
297,738
|
||||||
Digital Realty Trust, Series I, 6.350%
|
1,463
|
37,745
|
||||||
487,973
|
||||||||
Retail – 1.7%
|
||||||||
Investors Real Estate Trust, Series C, 6.625%
|
12,332
|
317,549
|
||||||
Pennsylvania Real Estate Investment Trust, Series D, 6.875%
|
16,586
|
246,966
|
||||||
Saul Centers, Series D, 6.125%
|
14,300
|
361,790
|
||||||
Saul Centers, Series E, 6.000%
|
16,300
|
401,958
|
||||||
1,328,263
|
||||||||
Single-Family – 0.8%
|
||||||||
American Homes 4 Rent, Series F, 5.875%
|
22,998
|
588,979
|
||||||
Specialty – 1.3%
|
||||||||
Public Storage, Series H, 5.600%
|
15,100
|
408,153
|
||||||
Public Storage. Series I, 4.875%
|
23,100
|
586,278
|
||||||
994,431
|
||||||||
Total REIT Preferred Stocks
|
||||||||
(Cost $7,559,037)
|
7,493,237
|
|||||||
OTHER PREFERRED STOCKS – 1.6%
|
||||||||
Energy – 0.9%
|
||||||||
Energy Transfer Partners, Series D, 7.625%
|
14,200
|
332,138
|
||||||
Sempra Energy, 5.750%
|
11,600
|
299,744
|
||||||
631,882
|
||||||||
Utilities – 0.7%
|
||||||||
CMS Energy, 5.875%
|
10,500
|
274,890
|
||||||
Duke Energy, 5.625%
|
10,400
|
273,208
|
||||||
548,098
|
||||||||
Total Other Preferred Stocks
|
||||||||
(Cost $1,144,757)
|
1,179,980
|
|||||||
CLOSED-END FUND – 0.7%
|
||||||||
BlackRock Floating Rate Income Strategies Fund
|
||||||||
(Cost $535,328)
|
40,822
|
510,683
|
||||||
Fair
|
||||||||
Shares
|
Value
|
|||||||
EXCHANGE TRADED FUND – 0.3%
|
||||||||
Invesco DB Commodity Index Tracking Fund
|
||||||||
(Cost $233,539)
|
17,300
|
$
|
235,453
|
|||||
Par
|
||||||||
CORPORATE BOND – 0.3%
|
||||||||
Utilities – 0.3%
|
||||||||
CenterPoint Energy
|
||||||||
6.125%, 03/01/2024
|
||||||||
(Cost $200,000)
|
$
|
200,000
|
206,361
|
|||||
Shares
|
||||||||
SHORT-TERM INVESTMENT – 0.0%
|
||||||||
First American Government Obligations Fund, Class X, 1.49% (c)
|
||||||||
(Cost $7,931)
|
7,931
|
7,931
|
||||||
Total Investments – 99.8%
|
||||||||
(Cost $71,109,803)
|
76,027,882
|
|||||||
Other Assets and Liabilities, Net – 0.2%
|
114,239
|
|||||||
Total Net Assets – 100.0%
|
$
|
76,142,121
|
(a)
|
Foreign Security. The Fund had $1,408,447 or 1.8% of net assets in foreign securities at February 29, 2020.
|
(b)
|
U.S. Treasury inflation-protected security (TIPS). TIPS are securities in which the principal amount is adjusted for inflation and the semiannual interest payments equal a fixed percentage of the
inflation-adjusted principal amount.
|
(c)
|
The rate shown is the annualized seven-day effective yield as of February 29, 2020.
|
Dynamic
|
Managed
|
|||||||||||
Managed
|
Volatility
|
Real Asset
|
||||||||||
Volatility Fund
|
Equity Fund
|
Income Fund
|
||||||||||
ASSETS:
|
||||||||||||
Investments, at fair value:
|
||||||||||||
(cost $50,803,572, $31,907,736, and $71,109,803, respectively)
|
$
|
59,921,188
|
$
|
38,047,483
|
$
|
76,027,882
|
||||||
Receivable for investment securities sold
|
—
|
—
|
821,337
|
|||||||||
Receivable for capital shares sold
|
6,624
|
6,610
|
16,547
|
|||||||||
Dividends & interest receivable
|
164,814
|
4,163
|
119,713
|
|||||||||
Return of capital receivable
|
—
|
—
|
25,640
|
|||||||||
Cash held as collateral
|
525,000
|
180,027
|
—
|
|||||||||
Prepaid expenses
|
1,765
|
12,418
|
9,703
|
|||||||||
Total assets
|
60,619,391
|
38,250,701
|
77,020,822
|
|||||||||
LIABILITIES:
|
||||||||||||
Written option contracts, at value (premiums received
|
||||||||||||
$31,755, $20,548, and $0, respectively)
|
174,065
|
112,640
|
—
|
|||||||||
Payable for capital shares redeemed
|
34,553
|
22,901
|
—
|
|||||||||
Payable for investment securities purchased
|
—
|
—
|
809,360
|
|||||||||
Payable to adviser, net
|
12,893
|
1,474
|
31,237
|
|||||||||
Payable for fund administration & accounting fees
|
14,263
|
13,198
|
15,677
|
|||||||||
Payable for compliance fees
|
1,941
|
2,041
|
2,037
|
|||||||||
Payable for custody fees
|
1,367
|
1,348
|
2,385
|
|||||||||
Payable for transfer agent fees and expenses
|
4,623
|
5,749
|
5,901
|
|||||||||
Variation margin payable
|
36,269
|
35,243
|
—
|
|||||||||
Other accrued expenses
|
11,338
|
7,950
|
12,104
|
|||||||||
Total liabilities
|
291,312
|
202,544
|
878,701
|
|||||||||
NET ASSETS
|
$
|
60,328,079
|
$
|
38,048,157
|
$
|
76,142,121
|
||||||
NET ASSETS CONSIST OF:
|
||||||||||||
Paid-in capital
|
$
|
50,772,962
|
$
|
31,562,590
|
$
|
72,006,712
|
||||||
Distributable earnings
|
9,555,117
|
6,485,567
|
4,135,409
|
|||||||||
Net Assets
|
$
|
60,328,079
|
$
|
38,048,157
|
$
|
76,142,121
|
||||||
Shares issued and outstanding(1)
|
4,689,660
|
3,164,643
|
7,144,777
|
|||||||||
Net asset value, offering price, and redemption price per share
|
$
|
12.86
|
$
|
12.02
|
$
|
10.66
|
(1)
|
Unlimited shares authorized without par value.
|
Dynamic
|
Managed
|
|||||||||||
Managed
|
Volatility
|
Real Asset
|
||||||||||
Volatility Fund
|
Equity Fund
|
Income Fund
|
||||||||||
INVESTMENT INCOME:
|
||||||||||||
Dividend income (net of foreign taxes withheld of $0,
|
||||||||||||
$0 and $658, respectively)
|
$
|
351,360
|
$
|
554,661
|
$
|
1,373,540
|
||||||
Distributions received from master limited partnerships
|
—
|
—
|
472,160
|
|||||||||
Less: return of capital distributions
|
—
|
—
|
(472,160
|
)
|
||||||||
Net distributions from master limited partnerships
|
—
|
—
|
—
|
|||||||||
Interest income
|
525,651
|
28,577
|
49,278
|
|||||||||
Total investment income
|
877,011
|
583,238
|
1,422,818
|
|||||||||
EXPENSES:
|
||||||||||||
Advisory fees (See note 5)
|
188,206
|
123,213
|
309,289
|
|||||||||
Fund administration & accounting fees (See note 5)
|
39,682
|
35,873
|
44,358
|
|||||||||
Transfer agent fees (See note 5)
|
13,669
|
16,367
|
15,163
|
|||||||||
Audit fees
|
10,950
|
9,896
|
10,490
|
|||||||||
Federal & state registration fees
|
7,980
|
13,983
|
12,736
|
|||||||||
Trustee fees (See note 5)
|
6,653
|
6,653
|
6,653
|
|||||||||
Compliance fees (See note 5)
|
5,559
|
5,649
|
5,649
|
|||||||||
Legal fees
|
4,773
|
4,773
|
4,776
|
|||||||||
Custody fees (See note 5)
|
3,543
|
3,437
|
7,976
|
|||||||||
Other
|
2,909
|
2,902
|
4,884
|
|||||||||
Postage & printing fees
|
2,088
|
2,386
|
3,180
|
|||||||||
Total expenses before waiver
|
286,012
|
225,132
|
425,154
|
|||||||||
Less: waiver by adviser
|
(117,560
|
)
|
(114,930
|
)
|
(115,865
|
)
|
||||||
Net expenses
|
168,452
|
110,202
|
309,289
|
|||||||||
NET INVESTMENT INCOME
|
708,559
|
473,036
|
1,113,529
|
|||||||||
REALIZED AND UNREALIZED
|
||||||||||||
GAIN (LOSS) ON INVESTMENTS:
|
||||||||||||
Net realized gain on investments
|
34,961
|
264,340
|
700,199
|
|||||||||
Net realized gain on futures contracts
|
708,276
|
645,012
|
—
|
|||||||||
Net realized gain (loss) on purchased option contracts
|
48,851
|
(203,028
|
)
|
—
|
||||||||
Net realized loss on written option contracts
|
(121,213
|
)
|
(11,441
|
)
|
—
|
|||||||
Net change in unrealized appreciation/depreciation on investments
|
1,113,066
|
(1,600,593
|
)
|
(5,554,853
|
)
|
|||||||
Net change in unrealized appreciation/depreciation on futures contracts
|
(253,106
|
)
|
244,316
|
—
|
||||||||
Net change in unrealized appreciation/depreciation
|
||||||||||||
on written option contracts
|
(146,404
|
)
|
(101,023
|
)
|
—
|
|||||||
Net realized and unrealized gain (loss) on investments
|
1,384,431
|
(762,417
|
)
|
(4,854,654
|
)
|
|||||||
NET INCREASE (DECREASE) IN NET ASSETS
|
||||||||||||
RESULTING FROM OPERATIONS
|
$
|
2,092,990
|
$
|
(289,381
|
)
|
$
|
(3,741,125
|
)
|
Six Months Ended
|
||||||||
February 29, 2020
|
Year Ended
|
|||||||
(Unaudited)
|
August 31, 2019
|
|||||||
OPERATIONS:
|
||||||||
Net investment income
|
$
|
708,559
|
$
|
1,133,729
|
||||
Net realized gain (loss) on investments
|
34,961
|
(2,479
|
)
|
|||||
Net realized gain on futures contracts
|
708,276
|
376,639
|
||||||
Net realized gain on purchased option contracts
|
48,851
|
526,743
|
||||||
Net realized gain (loss) on written option contracts
|
(121,213
|
)
|
99,658
|
|||||
Net change in unrealized appreciation/depreciation on investments
|
1,113,066
|
1,949,724
|
||||||
Net change in unrealized appreciation/depreciation on futures contracts
|
(253,106
|
)
|
(793,748
|
)
|
||||
Net change in unrealized appreciation/depreciation on written options
|
(146,404
|
)
|
3,119
|
|||||
Net increase in net assets resulting from operations
|
2,092,990
|
3,293,385
|
||||||
CAPITAL SHARE TRANSACTIONS:
|
||||||||
Proceeds from shares sold
|
1,514,309
|
15,094,126
|
||||||
Proceeds from reinvestment of distributions
|
1,318,713
|
2,315,282
|
||||||
Payments for shares redeemed
|
(2,925,005
|
)
|
(409,063
|
)
|
||||
Net increase (decrease) in net assets resulting from capital share transactions
|
(91,983
|
)
|
17,000,345
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS
|
(1,337,871
|
)
|
(2,352,620
|
)
|
||||
TOTAL INCREASE IN NET ASSETS
|
663,136
|
17,941,110
|
||||||
NET ASSETS:
|
||||||||
Beginning of period
|
59,664,943
|
41,723,833
|
||||||
End of period
|
$
|
60,328,079
|
$
|
59,664,943
|
Six Months Ended
|
||||||||
February 29, 2020
|
Year Ended
|
|||||||
(Unaudited)
|
August 31, 2019
|
|||||||
OPERATIONS:
|
||||||||
Net investment income
|
$
|
473,036
|
$
|
777,181
|
||||
Net realized gain on investments
|
264,340
|
315,231
|
||||||
Net realized gain (loss) on futures contracts
|
645,012
|
(1,428,490
|
)
|
|||||
Net realized gain (loss) on purchased option contracts
|
(203,028
|
)
|
838,309
|
|||||
Net realized loss on written option contracts
|
(11,441
|
)
|
(368,343
|
)
|
||||
Net change in unrealized appreciation/depreciation of investments
|
(1,600,593
|
)
|
1,267,634
|
|||||
Net change in unrealized appreciation/depreciation on futures contracts
|
244,316
|
(96,238
|
)
|
|||||
Net changed in unrealized appreciation/depreciation on written options
|
(101,023
|
)
|
8,021
|
|||||
Net increase (decrease) in net assets resulting from operations
|
(289,381
|
)
|
1,313,305
|
|||||
CAPITAL SHARE TRANSACTIONS:
|
||||||||
Proceeds from shares sold
|
2,458,882
|
6,841,551
|
||||||
Proceeds from reinvestment of distributions
|
467,997
|
1,203,400
|
||||||
Payments for shares redeemed
|
(3,879,537
|
)
|
(6,193,632
|
)
|
||||
Net increase (decrease) in net assets resulting from capital share transactions
|
(952,658
|
)
|
1,851,319
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS
|
(535,672
|
)
|
(1,319,565
|
)
|
||||
TOTAL INCREASE (DECREASE) IN NET ASSETS
|
(1,777,711
|
)
|
1,845,059
|
|||||
NET ASSETS:
|
||||||||
Beginning of period
|
39,825,868
|
37,980,809
|
||||||
End of period
|
$
|
38,048,157
|
$
|
39,825,868
|
Six Months Ended
|
||||||||
February 29, 2020
|
Year Ended
|
|||||||
(Unaudited)
|
August 31, 2019
|
|||||||
OPERATIONS:
|
||||||||
Net investment income
|
$
|
1,113,529
|
$
|
1,769,080
|
||||
Net realized gain on investments
|
700,199
|
2,084,572
|
||||||
Net change in unrealized appreciation/depreciation on investments
|
(5,554,853
|
)
|
1,047,165
|
|||||
Net increase (decrease) in net assets resulting from operations
|
(3,741,125
|
)
|
4,900,817
|
|||||
CAPITAL SHARE TRANSACTIONS:
|
||||||||
Proceeds from shares sold
|
648,240
|
616,808
|
||||||
Proceeds from reinvestment of distributions
|
1,453,575
|
1,744,428
|
||||||
Payments for shares redeemed
|
(3,207,515
|
)
|
(1,724,551
|
)
|
||||
Net increase (decrease) in net assets resulting from capital share transactions
|
(1,105,700
|
)
|
636,685
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS
|
(2,707,967
|
)
|
(3,228,444
|
)
|
||||
TOTAL INCREASE (DECREASE) IN NET ASSETS
|
(7,554,792
|
)
|
2,309,058
|
|||||
NET ASSETS:
|
||||||||
Beginning of period
|
83,696,913
|
81,387,855
|
||||||
End of period
|
$
|
76,142,121
|
$
|
83,696,913
|
Six Months
|
||||||||||||||||||||
Ended
|
Year
|
Year
|
Year
|
|||||||||||||||||
February 29,
|
Ended
|
Ended
|
Ended
|
For the Period
|
||||||||||||||||
2020
|
August 31,
|
August 31,
|
August 31,
|
Inception through
|
||||||||||||||||
(Unaudited)
|
2019
|
2018
|
2017
|
August 31, 2016(1)
|
||||||||||||||||
PER SHARE DATA(2):
|
||||||||||||||||||||
Net asset value, beginning of period
|
$
|
12.70
|
$
|
12.72
|
$
|
11.95
|
$
|
10.81
|
$
|
10.00
|
||||||||||
INVESTMENT OPERATIONS:
|
||||||||||||||||||||
Net investment income
|
0.15
|
0.24
|
0.23
|
0.19
|
0.16
|
|||||||||||||||
Net realized and unrealized
|
||||||||||||||||||||
gain on investments
|
0.29
|
0.28
|
1.36
|
1.12
|
0.81
|
|||||||||||||||
Total from investment operations
|
0.44
|
0.52
|
1.59
|
1.31
|
0.97
|
|||||||||||||||
LESS DISTRIBUTIONS:
|
||||||||||||||||||||
From net investment income
|
(0.24
|
)
|
(0.17
|
)
|
(0.20
|
)
|
(0.17
|
)
|
(0.14
|
)
|
||||||||||
From net capital gains
|
(0.04
|
)
|
(0.37
|
)
|
(0.62
|
)
|
—
|
(0.02
|
)
|
|||||||||||
Total distributions
|
(0.28
|
)
|
(0.54
|
)
|
(0.82
|
)
|
(0.17
|
)
|
(0.16
|
)
|
||||||||||
Net asset value, end of period
|
$
|
12.86
|
$
|
12.70
|
$
|
12.72
|
$
|
11.95
|
$
|
10.81
|
||||||||||
TOTAL RETURN(3)
|
3.48
|
%
|
4.54
|
%
|
13.74
|
%
|
12.27
|
%
|
9.75
|
%
|
||||||||||
SUPPLEMENTAL DATA AND RATIOS:
|
||||||||||||||||||||
Net assets, end of period (in millions)
|
$
|
60.3
|
$
|
59.7
|
$
|
41.7
|
$
|
35.6
|
$
|
28.2
|
||||||||||
Ratio of expenses to average net assets(4):
|
||||||||||||||||||||
Before expense reimbursement(5)
|
0.93
|
%
|
1.03
|
%
|
1.19
|
%
|
1.36
|
%
|
1.55
|
%
|
||||||||||
After expense reimbursement(5)
|
0.55
|
%
|
0.55
|
%
|
0.55
|
%
|
0.55
|
%
|
0.55
|
%
|
||||||||||
Ratio of net investment income
|
||||||||||||||||||||
to average net assets(4):
|
||||||||||||||||||||
Before expense reimbursement(5)
|
1.93
|
%
|
1.67
|
%
|
1.20
|
%
|
0.87
|
%
|
0.62
|
%
|
||||||||||
After expense reimbursement(5)
|
2.31
|
%
|
2.15
|
%
|
1.84
|
%
|
1.68
|
%
|
1.62
|
%
|
||||||||||
Portfolio turnover rate(3)
|
5
|
%
|
1
|
%
|
7
|
%
|
0
|
%(6)
|
36
|
%
|
(1)
|
Inception date of the Fund was September 28, 2015.
|
(2)
|
For an Institutional Class Fund Share outstanding for the entire period.
|
(3)
|
Not annualized for periods less than one year.
|
(4)
|
Does not include income and expenses of investment companies in which the Fund invests.
|
(5)
|
Annualized for periods less than one year.
|
(6)
|
Rate is less than 0.5%.
|
Six Months
|
||||||||||||||||||||
Ended
|
Year
|
Year
|
Year
|
|||||||||||||||||
February 29,
|
Ended
|
Ended
|
Ended
|
For the Period
|
||||||||||||||||
2020
|
August 31,
|
August 31,
|
August 31,
|
Inception through
|
||||||||||||||||
(Unaudited)
|
2019
|
2018
|
2017
|
August 31, 2016(1)
|
||||||||||||||||
PER SHARE DATA(2):
|
||||||||||||||||||||
Net asset value, beginning of period
|
$
|
12.29
|
$
|
12.33
|
$
|
11.62
|
$
|
10.85
|
$
|
10.00
|
||||||||||
INVESTMENT OPERATIONS:
|
||||||||||||||||||||
Net investment income
|
0.15
|
0.24
|
0.22
|
0.23
|
0.15
|
|||||||||||||||
Net realized and unrealized
|
||||||||||||||||||||
gain (loss) on investments
|
(0.25
|
)
|
0.14
|
0.67
|
0.77
|
0.86
|
||||||||||||||
Total from investment operations
|
(0.10
|
)
|
0.38
|
0.89
|
1.00
|
1.01
|
||||||||||||||
LESS DISTRIBUTIONS:
|
||||||||||||||||||||
From net investment income
|
(0.17
|
)
|
(0.19
|
)
|
(0.18
|
)
|
(0.23
|
)
|
(0.15
|
)
|
||||||||||
From net capital gains
|
—
|
(0.23
|
)
|
—
|
—
|
—
|
||||||||||||||
From return of capital
|
—
|
—
|
—
|
—
|
(0.01
|
)
|
||||||||||||||
Total distributions
|
(0.17
|
)
|
(0.42
|
)
|
(0.18
|
)
|
(0.23
|
)
|
(0.16
|
)
|
||||||||||
Net asset value, end of period
|
$
|
12.02
|
$
|
12.29
|
$
|
12.33
|
$
|
11.62
|
$
|
10.85
|
||||||||||
TOTAL RETURN(3)
|
-0.87
|
%
|
3.32
|
%
|
7.69
|
%
|
9.36
|
%
|
10.10
|
%
|
||||||||||
SUPPLEMENTAL DATA AND RATIOS:
|
||||||||||||||||||||
Net assets, end of period (in millions)
|
$
|
38.0
|
$
|
39.8
|
$
|
38.0
|
$
|
44.4
|
$
|
29.9
|
||||||||||
Ratio of expenses to average net assets(4):
|
||||||||||||||||||||
Before expense reimbursement(5)
|
1.12
|
%
|
1.14
|
%
|
1.15
|
%
|
1.22
|
%
|
1.67
|
%
|
||||||||||
After expense reimbursement(5)
|
0.55
|
%
|
0.55
|
%
|
0.55
|
%
|
0.55
|
%
|
0.55
|
%
|
||||||||||
Ratio of net investment income
|
||||||||||||||||||||
to average net assets(4):
|
||||||||||||||||||||
Before expense reimbursement(5)
|
1.79
|
%
|
1.45
|
%
|
1.13
|
%
|
1.48
|
%
|
0.40
|
%
|
||||||||||
After expense reimbursement(5)
|
2.36
|
%
|
2.04
|
%
|
1.73
|
%
|
2.15
|
%
|
1.52
|
%
|
||||||||||
Portfolio turnover rate(3)
|
2
|
%
|
8
|
%
|
12
|
%
|
0
|
%(6)
|
15
|
%
|
(1)
|
Inception date of the Fund was September 28, 2015.
|
(2)
|
For an Institutional Class Fund Share outstanding for the entire period.
|
(3)
|
Not annualized for periods less than one year.
|
(4)
|
Does not include income and expenses of investment companies in which the Fund invests.
|
(5)
|
Annualized for periods less than one year.
|
(6)
|
Rate is less than 0.5%.
|
(1)
|
For an Institutional Class Fund Share outstanding for the entire period.
|
(2)
|
Not annualized for periods less than one year.
|
(3)
|
Annualized for periods less than one year.
|
(4)
|
Effective December 29, 2017, the contractual rate was lowered from 0.95% to 0.75% of average daily net assets.
|
Level 1 –
|
Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
|
Level 2 –
|
Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument
on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
|
Level 3 –
|
Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in
valuing the asset or liability, and would be based on the best information available.
|
*
|
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, which are presented at the unrealized appreciation depreciation on the investment.
|
Purchased
|
Written
|
Long
|
Short
|
|||||||||||||
Option
|
Option
|
Futures
|
Futures
|
|||||||||||||
Fund
|
Contracts
|
Contracts
|
Contracts
|
Contracts
|
||||||||||||
Dynamic Managed Volatility Fund
|
$
|
11,559,829
|
$
|
(4,539,938
|
)
|
$
|
18,503,204
|
$
|
(2,411,034
|
)
|
||||||
Managed Volatility Equity Fund
|
6,700,288
|
(5,225,521
|
)
|
4,285,799
|
(1,229,625
|
)
|
|
Assets
|
Liabilities
|
||||||||||
Derivatives not accounted for as
|
||||||||||||
hedging instruments under ASC 815
|
Location
|
Fair Value
|
Location
|
Fair Value
|
||||||||
Equity Contracts – Futures
|
Net Assets –
|
Net Assets –
|
||||||||||
unrealized
|
unrealized
|
|||||||||||
appreciation on
|
depreciation on
|
|||||||||||
futures contracts**
|
$
|
—
|
futures contracts**
|
$
|
(291,536
|
)
|
||||||
Interest Rate Contracts – Futures
|
Net Assets –
|
Net Assets –
|
||||||||||
unrealized
|
unrealized
|
|||||||||||
appreciation on
|
depreciation on
|
|||||||||||
futures contracts**
|
23,805
|
futures contracts**
|
—
|
|||||||||
Equity Contracts – Purchased Options
|
Investments,
|
Investments,
|
||||||||||
at fair value
|
605,625
|
at fair value
|
—
|
|||||||||
Equity Contracts – Written Options
|
Written option contracts,
|
Written option contracts,
|
||||||||||
at fair value
|
—
|
at fair value
|
(174,065
|
)
|
||||||||
Total
|
$
|
629,430
|
$
|
(465,601
|
)
|
**
|
Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedules of Open Futures Contracts. Variation margin is presented on the Statements of Assets and Liabilities.
|
|
|
Assets
|
Liabilities
|
|||||||||
Derivatives not accounted for as
|
||||||||||||
hedging instruments under ASC 815
|
Location
|
Fair Value
|
Location
|
Fair Value
|
||||||||
Equity Contracts – Futures
|
Net Assets –
|
Net Assets –
|
||||||||||
unrealized
|
unrealized
|
|||||||||||
appreciation on
|
depreciation on
|
|||||||||||
futures contracts**
|
$
|
294,582
|
futures contracts**
|
$
|
—
|
|||||||
Equity Contracts – Purchased Options
|
Investments,
|
Investments,
|
||||||||||
at fair value
|
391,875
|
at fair value
|
—
|
|||||||||
Equity Contracts – Written Options
|
Written option contracts,
|
Written option contracts,
|
||||||||||
at fair value
|
—
|
at fair value
|
(112,640
|
)
|
||||||||
Total
|
$
|
686,457
|
$
|
(112,640
|
)
|
**
|
Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedules of Open Futures Contracts. Variation margin is presented on the Statements of Assets and Liabilities.
|
Dynamic Managed Volatility Fund
|
Managed Volatility Equity Fund
|
|||||||||||||||||||||||
Derivatives not accounted for as
|
Purchased
|
Written
|
Purchased
|
Written
|
||||||||||||||||||||
hedging instruments under ASC 815
|
Futures
|
Options
|
Options
|
Futures
|
Options
|
Options
|
||||||||||||||||||
Interest Rate Contracts
|
$
|
75,808
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Equity Contracts
|
632,468
|
48,851
|
(121,213
|
)
|
645,012
|
(203,028
|
)
|
(11,441
|
)
|
|||||||||||||||
Total
|
$
|
708,276
|
$
|
48,851
|
$
|
(121,213
|
)
|
$
|
645,012
|
$
|
(203,028
|
)
|
$
|
(11,441
|
)
|
Dynamic Managed Volatility Fund
|
Managed Volatility Equity Fund
|
|||||||||||||||||||||||
Derivatives not accounted for as
|
Purchased
|
Written
|
Purchased
|
Written
|
||||||||||||||||||||
hedging instruments under ASC 815
|
Futures
|
Options
|
Option
|
Futures
|
Options
|
Option
|
||||||||||||||||||
Interest Rate Contracts
|
$
|
23,805
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Equity Contracts
|
(276,911
|
)
|
519,302
|
(146,404
|
)
|
244,316
|
343,488
|
(101,023
|
)
|
|||||||||||||||
Total
|
$
|
(253,106
|
)
|
$
|
519,302
|
$
|
(146,404
|
)
|
$
|
244,316
|
$
|
343,488
|
$
|
(101,023
|
)
|
*
|
Included in net change in unrealized appreciation on investments as reported on the Statements of Operations.
|
Gross Amounts Not Offset in
|
||||||||||||||||||||||||
Statements of Assets and Liabilities
|
||||||||||||||||||||||||
Gross
|
Net Amounts
|
|||||||||||||||||||||||
Amounts
|
of Assets
|
|||||||||||||||||||||||
Offset in
|
Presented
|
|||||||||||||||||||||||
Gross
|
Statement of
|
in Statement
|
Cash
|
|||||||||||||||||||||
Amounts
|
Assets and
|
of Assets and
|
Financial
|
Collateral
|
Net
|
|||||||||||||||||||
Assets:
|
Recognized
|
Liabilities
|
Liabilities
|
Instruments
|
Pledged
|
Amount
|
||||||||||||||||||
Futures Contracts**
|
$
|
57,219
|
$
|
(57,219
|
)
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
|||||||||||
Liabilities:
|
||||||||||||||||||||||||
Futures Contracts**
|
$
|
93,488
|
$
|
(57,219
|
)
|
$
|
36,269
|
$
|
36,269
|
$
|
—
|
$
|
—
|
|||||||||||
Written Options Contracts
|
174,065
|
—
|
174,065
|
—
|
174,065
|
—
|
||||||||||||||||||
|
$
|
267,553
|
$
|
(57,219
|
)
|
$
|
210,334
|
$
|
36,269
|
$
|
174,065
|
$
|
—
|
|||||||||||
Managed Volatility Equity Fund
|
||||||||||||||||||||||||
Gross Amounts Not Offset in
|
||||||||||||||||||||||||
Statements of Assets and Liabilities
|
||||||||||||||||||||||||
Gross
|
Net Amounts
|
|||||||||||||||||||||||
Amounts
|
of Assets
|
|||||||||||||||||||||||
Offset in
|
Presented
|
|||||||||||||||||||||||
Gross
|
Statement of
|
in Statement
|
Cash
|
|||||||||||||||||||||
Amounts
|
Assets and
|
of Assets and
|
Financial
|
Collateral
|
Net
|
|||||||||||||||||||
Assets:
|
Recognized
|
Liabilities
|
Liabilities
|
Instruments
|
Pledged
|
Amount
|
||||||||||||||||||
Futures Contracts**
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Liabilities:
|
||||||||||||||||||||||||
Futures Contracts**
|
$
|
35,243
|
$
|
—
|
$
|
35,243
|
$
|
35,243
|
$
|
—
|
$
|
—
|
||||||||||||
Written Options Contracts
|
112,640
|
—
|
112,640
|
—
|
112,640
|
—
|
||||||||||||||||||
|
$
|
147,883
|
$
|
—
|
$
|
147,883
|
$
|
35,243
|
$
|
112,640
|
$
|
—
|
**
|
Cumulative appreciation/depreciation on futures contracts is reported in the Schedules of Open Futures Contracts. Variation margin presented above is presented on the Statements of Assets and Liabilities
|
Fund
|
||||
Dynamic Managed Volatility Fund
|
0.65%
|
|
||
Managed Volatility Equity Fund
|
0.65%
|
|
||
Real Asset Income Fund
|
0.75%
|
|
Fund
|
||||
Dynamic Managed Volatility Fund
|
0.55%
|
|
||
Managed Volatility Equity Fund
|
0.55%
|
|
||
Real Asset Income Fund
|
0.75%
|
|
March 2020-
|
September 2020-
|
September 2021-
|
September 2022-
|
|||||||||||||
Fund
|
August 2020
|
August 2021
|
August 2022
|
February 2023
|
||||||||||||
Dynamic Managed Volatility Fund
|
$
|
128,409
|
$
|
248,378
|
$
|
252,224
|
$
|
117,560
|
||||||||
Managed Volatility Equity Fund
|
140,300
|
243,024
|
224,521
|
114,930
|
||||||||||||
Real Asset Income Fund
|
48,446
|
189,095
|
216,403
|
115,865
|
Dynamic Managed Volatility Fund
|
Managed Volatility Equity Fund
|
|||||||||||||||
For the Period Ended
|
Year Ended
|
For the Period Ended
|
Year Ended
|
|||||||||||||
February 29, 2020
|
August 31, 2019
|
February 29, 2020
|
August 31, 2019
|
|||||||||||||
Shares sold
|
115,252
|
1,252,293
|
193,491
|
573,049
|
||||||||||||
Shares issued to holders in
|
||||||||||||||||
reinvestment of dividends
|
100,909
|
198,939
|
36,819
|
104,213
|
||||||||||||
Shares redeemed
|
(223,176
|
)
|
(33,629
|
)
|
(306,852
|
)
|
(516,529
|
)
|
||||||||
Net increase (decrease) in
|
||||||||||||||||
shares outstanding
|
(7,015
|
)
|
1,417,603
|
(76,542
|
)
|
160,733
|
Real Asset Income Fund
|
||||||||
For the Period Ended
|
Year Ended
|
|||||||
February 29, 2020
|
August 31, 2019
|
|||||||
Shares sold
|
55,833
|
54,892
|
||||||
Shares issued to holders in reinvestment of dividends
|
127,223
|
167,640
|
||||||
Shares redeemed
|
(277,743
|
)
|
(156,612
|
)
|
||||
Net increase in shares outstanding
|
(94,687
|
)
|
(564,444
|
)
|
U.S. Government Securities
|
Other
|
|||||||||||||||
Purchases
|
Sales
|
Purchases
|
Sales
|
|||||||||||||
Dynamic Managed Volatility Fund
|
$
|
—
|
$
|
1,634,245
|
$
|
3,199,228
|
$
|
764,569
|
||||||||
Managed Volatility Equity Fund
|
—
|
—
|
792,937
|
1,276,080
|
||||||||||||
Real Asset Income Fund
|
—
|
—
|
18,063,816
|
19,564,833
|
Aggregate
|
Aggregate
|
Federal
|
||||||||||||||
Gross
|
Gross
|
Net
|
Income
|
|||||||||||||
Fund
|
Appreciation
|
Depreciation
|
Appreciation
|
Tax Cost
|
||||||||||||
Dynamic Managed Volatility Fund
|
$
|
8,067,806
|
$
|
(30,085
|
)
|
$
|
8,037,721
|
$
|
50,375,523
|
|||||||
Managed Volatility Equity Fund
|
7,818,060
|
(54,962
|
)
|
7,763,098
|
31,988,841
|
|||||||||||
Real Asset Income Fund
|
12,856,575
|
(2,181,046
|
)
|
10,675,529
|
72,812,892
|
Undistributed
|
Undistributed
|
Other
|
Total
|
|||||||||||||||||
Ordinary
|
Long-Term
|
Accumulated
|
Unrealized
|
Accumulated
|
||||||||||||||||
Fund
|
Income
|
Capital Gains
|
Losses
|
Appreciation
|
Earnings
|
|||||||||||||||
Dynamic Managed Volatility Fund
|
$
|
658,732
|
$
|
103,545
|
$
|
—
|
$
|
8,037,721
|
$
|
8,799,998
|
||||||||||
Managed Volatility Equity Fund
|
299,631
|
—
|
(752,109
|
)
|
7,763,098
|
7,310,620
|
||||||||||||||
Real Asset Income Fund
|
606,988
|
697,219
|
(1,395,235
|
)
|
10,675,529
|
10,584,501
|
Ordinary
|
Long Term
|
|||||||||||
Fund
|
Income*
|
Capital Gains**
|
Total
|
|||||||||
Dynamic Managed Volatility Fund
|
$
|
1,234,291
|
$
|
103,580
|
$
|
1,337,870
|
||||||
Managed Volatility Equity Fund
|
535,672
|
—
|
535,672
|
|||||||||
Real Asset Income Fund
|
1,624,187
|
1,083,780
|
2,707,966
|
Ordinary
|
Long Term
|
|||||||||||
Fund
|
Income*
|
Capital Gains**
|
Total
|
|||||||||
Dynamic Managed Volatility Fund
|
$
|
1,279,453
|
$
|
1,073,167
|
$
|
2,352,620
|
||||||
Managed Volatility Equity Fund
|
794,778
|
524,787
|
1,319,565
|
|||||||||
Real Asset Income Fund
|
2,615,620
|
612,824
|
3,228,444
|
*
|
For federal income tax purposes, distributions of short-term capital gains are treated as ordinary income distributions.
|
|
**
|
The Funds designate long term capital gain dividends pursuant to Sec. 852(b)(3)(C).
|
Fund
|
Shareholder
|
Percent of Shares Held
|
Dynamic Managed Volatility Fund
|
Minnesota Life Insurance Company
|
68.5%
|
Managed Volatility Equity Fund
|
Pershing LLC
|
75.3%
|
Real Asset Income Fund
|
Minnesota Life Insurance Company
|
34.2%
|
Real Asset Income Fund
|
Comerica Bank (FBO)
|
28.4%
|
•
|
Securian AM Real Asset Income Fund. The Trustees considered that the Fund had outperformed its peer group median and average over the year-to-date and one-year periods
ended October 31, 2019, and underperformed its peer group median and average over the three-year and five-year periods ended October 31, 2019. The Trustees also noted that the Fund had outperformed its primary benchmark across all periods
ended October 31, 2019 and underperformed its custom index over all periods ended October 31, 2019. The Trustees considered that the Fund had produced positive total returns since inception. In addition, the Trustees observed that the Fund’s
performance over all relevant time periods was closely aligned with the performance of the composite of separately managed accounts that Securian manages utilizing a similar investment strategy to that of the Fund.
|
|
•
|
Securian AM Dynamic Managed Volatility Fund. The Trustees considered that the Fund had outperformed its peer group median and average over the year-to-date, one-year,
and three-year periods ended October 31, 2019, ranking in the top five percent of its peer group in all periods. The Trustees also noted that the Fund had underperformed its primary benchmark index over the year-to-date, one-year and
three-year periods ended October 31, 2019. The Trustees also considered that the Fund had underperformed its custom benchmark over the year-to-date and one-year periods ended October 31, 2019 but outperformed its custom benchmark over the
three-year period. The Trustees also took into account that the Fund achieved a positive return from its inception through October 31, 2019 and in each of the periods reviewed by the Trustees. In addition, the Trustees observed that the
Fund’s performance was closely aligned, over all relevant time periods, with the performance of the composite of accounts that Securian manages utilizing a similar investment strategy to that of the Fund.
|
|
•
|
Securian AM Managed Volatility Equity Fund. The Trustees considered that the Fund had outperformed its Morningstar peer group median and average over the year-to-date,
one-year, and three-year periods ended October 31, 2019. The Trustees also noted that the Fund had underperformed its benchmark index and custom index over the year-to-date, one-year, and three-year periods. The Trustees
|
also took into account that the Fund achieved a positive return from across all periods reviewed by the Trustees. In addition, the Trustees observed that the Managed Volatility Fund’s performance was closely
aligned, over all relevant time periods, with the performance of the composite of accounts that Securian manages utilizing a similar investment strategy to that of the Fund.
|
•
|
Securian AM Real Asset Income Fund. The Trustees noted the Fund’s advisory fee was significantly higher than the peer group average and median, but also considered the
differences between the strategy and portfolio composition of the Fund and the majority of funds that comprise the peer group, including the fact that the Fund’s strategy is less focused on bonds than many of the funds comprising the peer
group. The Trustees further noted the total expenses of the Fund (after waivers and expense reimbursements) were higher than the median and average and median total expenses reported for the peer group. The Trustees also noted that the total
expenses of the of the Fund were lower than the peer group median and average when limited to funds with similar assets sizes to the Fund. The Trustees also took into account that the advisory fees and total expenses (after waivers and
expense reimbursements) borne by the Fund were within the range of that borne by funds in the peer group.
|
|
•
|
Securian AM Dynamic Managed Volatility Fund. The Trustees noted the Fund’s advisory fee was significantly lower than the peer group average and median. The Trustees
further noted the total expenses of the Fund (after waivers and expense reimbursements) were significantly lower than average and median total expenses reported for the peer group.
|
|
•
|
Securian AM Managed Volatility Equity Fund. The Trustees noted the Fund’s advisory fee was significantly lower than the peer group average and median and was in the
first percentile for the peer group. The Trustees further noted the total expenses of the Fund (after waivers and expense reimbursements) were significantly lower than the peer group average and median.
|
(a)
|
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
|
(b)
|
Not Applicable.
|
(a)
|
The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the
“Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded
that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the
Registrant and by the Registrant’s service provider.
|
(b)
|
There were no significant changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that has materially affected, or is
reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|
(a)
|
(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an
exhibit. Not applicable for semi-annual reports.
|
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