SEC Info  
    Home      Search      My Interests      Help      Sign In      Please Sign In

Forethought Variable Insurance Trust – ‘N-Q’ for 3/30/16

On:  Wednesday, 3/29/17, at 4:59pm ET   ·   Effective:  3/29/17   ·   For:  3/30/16   ·   Accession #:  1580642-17-1978   ·   File #:  811-22865

Previous ‘N-Q’:  ‘N-Q’ on 11/23/16 for 9/30/16   ·   Next:  ‘N-Q’ on 5/30/17 for 3/31/17   ·   Latest:  ‘N-Q’ on 11/29/18 for 9/30/18

Find Words in Filings emoji
 
  in    Show  and   Hints

  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 3/29/17  Forethought Variable Ins Trust    N-Q         3/30/16    2:1.4M                                   Blu Giant, LLC/FAGlobal Atlantic American Funds Managed Risk Portfolio Global Atlantic American Funds Managed Risk Portfolio Class II SharesGlobal Atlantic Balanced Managed Risk Portfolio Global Atlantic Balanced Managed Risk Portfolio Class II SharesGlobal Atlantic BlackRock Selects Managed Risk Portfolio Global Atlantic BlackRock Selects Managed Risk Portfolio Class II SharesGlobal Atlantic Franklin Dividend & Income Managed Risk Portfolio Global Atlantic Franklin Dividend & Income Managed Risk Portfolio Class II SharesGlobal Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio Class II SharesGlobal Atlantic Growth Managed Risk Portfolio Global Atlantic Growth Managed Risk Portfolio Class II SharesGlobal Atlantic Moderate Growth Managed Risk Portfolio Global Atlantic Moderate Growth Managed Risk Portfolio Class II SharesGlobal Atlantic Motif Aging of America Portfolio Class II SharesGlobal Atlantic Motif Real Estate Trends Portfolio Class II SharesGlobal Atlantic Motif Technological Innovations Portfolio Class II SharesGlobal Atlantic PIMCO Tactical Allocation Portfolio Global Atlantic PIMCO Tactical Allocation Portfolio Class II SharesGlobal Atlantic Select Advisor Managed Risk Portfolio Global Atlantic Select Advisor Managed Risk Portfolio Class II SharesGlobal Atlantic Wellington Research Managed Risk Portfolio Global Atlantic Wellington Research Managed Risk Portfolio Class II SharesGlobal Atlantic Wilshire Dynamic Conservative Allocation Portfolio Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio Class II sharesGlobal Atlantic Wilshire Dynamic Global Allocation Portfolio Global Atlantic Wilshire Dynamic Global Allocation Portfolio Class II sharesGlobal Atlantic Wilshire Dynamic Growth Allocation Portfolio Global Atlantic Wilshire Dynamic Growth Allocation Portfolio Class II sharesGlobal Atlantic Wilshire Dynamic Moderate Allocation Portfolio Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio Class II shares

Quarterly Schedule of Portfolio Holdings of a Management Investment Company   —   Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Quarterly Schedule of Portfolio Holdings of a       HTML    685K 
                          Management Investment Company                          
 2: EX-99.C6 OTHER OPIN  Miscellaneous Exhibit                      HTML     16K 


N-Q   —   Quarterly Schedule of Portfolio Holdings of a Management Investment Company


This is an HTML Document rendered as filed.  [ Alternative Formats ]



united states
securities and exchange commission
washington, d.c. 20549

form n-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22865

 

Forethought Variable Insurance Trust

(Exact name of registrant as specified in charter)

 

10 West Market Street, Suite 2300, Indianapolis, IN 46204

(Address of principal executive offices) (Zip code)

 

The Corporation Trust Company, 1209 Orange Street Wilmington, DE 19801

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2619

 

Date of fiscal year end: 12/31

 

Date of reporting period: 9/30/2016

 

EXPLANATORY NOTE

This Registrant is filing this amendment (“Amendment”) to its Form N-Q for the period ended September 30, 2016 (the “Report”) to reflect changes to the Report for the schedule of portfolio investments under Item 1 originally filed with the Securities and Exchange Commission on November 23, 2016 (Accession Number 0001580642-16-012237) for the following series of the Forethought Variable Insurance Trust:

 

Global Atlantic American Funds® Managed Risk Portfolio

Global Atlantic Balanced Managed Risk Portfolio

Global Atlantic BlackRock Global Allocation Managed Risk Portfolio

Global Atlantic Franklin Dividend and Income Managed Risk Portfolio

Global Atlantic Growth Managed Risk Portfolio

Global Atlantic Moderate Growth Managed Risk Portfolio

Global Atlantic PIMCO Tactical Allocation Portfolio

Global Atlantic Select Advisor Managed Risk Portfolio

Global Atlantic Wellington Research Managed Risk

Except as otherwise noted above, the Report was accurate, timely distributed to shareholders, as applicable, and contained all information required per Form N-Q.

 

Item 1. Schedule of Investments.

 

Global Atlantic American Funds® Managed Risk Portfolio^
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     VARIABLE INSURANCE TRUSTS- 89.3%     
     DEBT FUND - 29.6%     
 5,784,009   American Funds Insurance Series - Bond Fund - Class 1  $65,127,936 
           
     EQUITY FUNDS - 59.7%     
 2,956,361   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1   38,935,270 
 1,576,112   American Funds Insurance Series - Global Growth and Income Fund - Class 1   20,899,243 
 355,118   American Funds Insurance Series - Growth Fund - Class 1   23,615,343 
 1,092,942   American Funds Insurance Series - Growth-Income Fund - Class 1   47,783,406 
         131,233,262 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $201,245,928)   196,361,198 
           
     SHORT-TERM INVESTMENTS - 10.7%     
     MONEY MARKET FUND - 10.7%     
 23,550,512   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $23,550,512)   23,550,512 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $224,796,440)(b)  $219,911,710 
     OTHER ASSETS LESS LIABILITIES - NET - (0.0)% *   (113,386)
     TOTAL NET ASSETS - 100.0%  $219,798,324 

 

* Represents less than 0.05%

 

(a) Money market rate shown represents the rate at September 30, 2016.

 

(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $226,405,500 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $2,015,918 
Unrealized Depreciation:   (8,509,708)
Net Unrealized Depreciation:  $(6,493,790)

 

^Formerly FVIT American Funds® Managed Risk Portfolio.
 C: 

 

 
Global Atlantic Balanced Managed Risk Portfolio^
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 92.1%     
     DEBT FUNDS - 47.6%     
 260,849   iShares Core U.S. Aggregate Bond ETF  $29,324,645 
 183,029   iShares Floating Rate Bond ETF   9,288,722 
 92,165   iShares Intermediate Credit Bond ETF   10,262,573 
         48,875,940 
     EQUITY FUNDS - 44.5%     
 168,852   iShares Core S&P 500 ETF   36,735,441 
 15,138   iShares Core S&P Mid-Cap ETF   2,342,000 
 82,354   iShares MSCI EAFE ETF   4,869,592 
 14,127   iShares Russell 2000 ETF   1,754,715 
         45,701,748 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $90,128,986)   94,577,688 
           
     SHORT-TERM INVESTMENT - 8.0%     
     MONEY MARKET FUND - 8.0%     
 8,243,368   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $8,243,368)   8,243,368 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $98,372,354)(b)  $102,821,056 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (135,859)
     TOTAL NET ASSETS - 100.0%  $102,685,197 

 

(a) Money market rate shown represents the rate at September 30, 2016.

 

(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $98,622,598 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $4,555,527 
Unrealized Depreciation:   (357,069)
Net Unrealized Depreciation:  $4,198,458 

 

^Formerly FVIT Balanced Managed Risk Portfolio.
 C: 

 

 
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio^
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

  

Shares      Value 
     VARIABLE INSURANCE TRUST - 95.1%     
     ASSET ALLOCATION FUND - 95.1%     
 17,131,396   BlackRock Global Allocation V.I. Fund - Class 1 (Cost - $290,104,976 )  $269,134,232 
           
     SHORT-TERM INVESTMENTS - 4.9%     
     MONEY MARKET FUND - 4.9%     
 13,858,591   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $13,858,591)   13,858,591 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $303,963,567)(b)  $282,992,823 
     OTHER ASSETS LESS LIABILITIES -NET - (0.0)% *   (88,607)
     TOTAL NET ASSETS - 100.0%  $282,904,216 

 

* Represents less than 0.05%.

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $304,228,279 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $ 
Unrealized Depreciation:   (21,235,456)
Net Unrealized Depreciation:  $(21,235,456)

 

^Formerly FVIT BlackRock Global Allocation Managed Risk Portfolio.
 C: 

 

 
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio^
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     COMMON STOCKS - 68.6%     
     AEROSPACE/DEFENSE - 3.3%     
 19,570   General Dynamics Corp.  $3,036,481 
 39,600   United Technologies Corp.   4,023,360 
         7,059,841 
     AGRICULTURE - 2.4%     
 60,760   Archer-Daniels-Midland Co.   2,562,249 
 43,400   Bunge, Ltd.   2,570,582 
         5,132,831 
     APPAREL - 1.0%     
 41,940   Nike, Inc.   2,208,141 
           
     BEVERAGES - 1.4%     
 28,000   PepsiCo, Inc.   3,045,560 
           
     CHEMICALS - 6.8%     
 30,700   Air Products & Chemicals, Inc.   4,615,438 
 61,100   Albemarle Corp.   5,223,439 
 37,850   Praxair, Inc.   4,573,416 
         14,412,293 
     COMMERCIAL SERVICES - 2.1%     
 12,300   Cintas Corp.   1,384,980 
 15,700   Ecolab, Inc.   1,911,004 
 20,400   Matthews International Corp.   1,239,504 
         4,535,488 
     COMPUTERS - 1.9%     
 33,300   Accenture PLC   4,068,261 
           
     COSMETICS/PERSONAL CARE - 2.5%     
 29,200   Colgate-Palmolive Co.   2,164,888 
 35,800   The Procter & Gamble Co.   3,213,050 
         5,377,938 
     DISTRIBUTION/WHOLESALE - 0.9%     
 8,100   WW Grainger, Inc.   1,821,204 
           
     ELECTRONICS- 3.9%     
 40,660   Honeywell International, Inc.   4,740,549 
 77,076   Johnson Controls International PLC   3,586,341 
         8,326,890 
 C: 

 

 
    FOOD- 0.8%    
 16,260   McCormick & Co., Inc.   1,624,699 
           
     HEALTHCARE-PRODUCTS - 8.6%     
 47,100   Abbott Laboratories   1,991,859 
 25,600   Becton Dickinson and Co.   4,601,088 
 16,600   DENTSPLY Sirona, Inc.   986,538 
 52,000   Medtronic PLC   4,492,800 
 38,100   Stryker Corp.   4,435,221 
 25,000   West Pharmaceutical Services, Inc.   1,862,500 
         18,370,006 
     HOME FURNISHINGS- 0.4%     
 16,900   Legget & Platt, Inc.   770,302 
           
     INSURANCE - 1.0%     
 15,600   Aflac, Inc.   1,121,172 
 6,593   Chubb, Ltd.   828,410 
 3,200   RLI Corp.   218,752 
         2,168,334 
     IRON/STEEL - 0.3%     
 13,610   Nucor Corp.   673,015 
           
     MACHINERY-DIVERSIFIED - 2.4%     
 28,340   Roper Technologies, Inc.   5,171,200 
           
     MEDIA - 0.7%     
 29,040   John Wiley & Sons, Inc.   1,498,754 
           
     MISCELLANEOUS MANUFACTURING - 5.0%     
 19,080   Carlisle Cos., Inc.   1,957,036 
 40,900   Donaldson Co., Inc.   1,526,797 
 44,400   Dover Corp.   3,269,616 
 61,370   Pentair PLC   3,942,409 
         10,695,858 
     OIL & GAS - 2.2%     
 9,900   Chevron Corp.   1,018,908 
 6,500   EOG Resources, Inc.   628,615 
 22,300   ExxonMobil Corp.   1,946,344 
 13,500   Occidental Petroleum Corp.   984,420 
         4,578,287 
     OIL & GAS SERVICES - 1.4%     
 38,000   Schlumberger, Ltd.   2,988,320 
 C: 

 

 
    PHARMACEUTICALS - 3.7%    
 22,560   AbbVie, Inc.   1,422,859 
 34,400   Johnson & Johnson   4,063,672 
 15,500   Perrigo Co. PLC   1,431,115 
 26,900   Roche Holding AG - ADR   833,093 
         7,750,739 
     RETAIL - 8.7%     
 24,290   CVS Health Corp.   2,161,567 
 19,870   McDonald’s Corp.   2,292,203 
 42,000   Ross Stores, Inc.   2,700,600 
 35,600   Target Corp.   2,445,008 
 52,690   The Gap, Inc.   1,171,826 
 17,300   Tiffany & Co.   1,256,499 
 30,870   Walgreens Boots Alliance, Inc.   2,488,739 
 28,900   Wal-Mart Stores, Inc.   2,084,268 
 20,300   Yum! Brands, Inc.   1,843,443 
         18,444,153 
     SEMICONDUCTORS - 3.7%     
 47,400   Linear Technology Corp.   2,810,346 
 21,700   QUALCOMM, Inc.   1,486,450 
 50,300   Texas Instruments, Inc.   3,530,054 
         7,826,850 
     SOFTWARE - 2.4%     
 89,410   Microsoft Corp.   5,150,016 
           
     TRANSPORTATION - 1.1%     
 20,510   United Parcel Service, Inc.   2,242,974 
           
     TOTAL COMMON STOCKS (Cost - $133,504,347)   145,941,954 
           
     MUTUAL FUND - 23.9%     
     DEBT FUND - 23.9%     
 5,056,059   Franklin Templeton Total Return Fund - R6 Shares (Cost - $50,771,242)   50,813,390 
 C: 

 

 
     SHORT-TERM INVESTMENT - 7.7%     
     MONEY MARKET FUND - 7.7%     
 16,353,985   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $16,353,985)   16,353,985 
           
     TOTAL INVESTMENTS - 100.2% (Cost - $200,629,574)(b)  $213,109,329 
     OTHER ASSETS LESS LIABILITIES - NET - (0.2)%   (388,257)
     TOTAL NET ASSETS - 100.0%  $212,721,072 

 

 ADR - American Depositary Receipt

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $200,763,978 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $16,922,792 
Unrealized Depreciation:   (4,443,037)
Net Unrealized Appreciation:  $12,479,755 

 

^Formerly FVIT Franklin Dividend and Income Managed Risk Portfolio.

 

Contracts      Unrealized Appreciation 
     SHORT FUTURES CONTRACTS     
 10   MSCI EAFE Index Mini Future December 2016     
     (Underlying Face Amount at Value $853,350)  $6,750 
 11   MSCI Emerging Market E-Mini Future December 2016     
     (Underlying Face Amount at Value $501,875)   2,955 
           
     NET UNREALIZED APPRECIATION ON SHORT FUTURES CONTRACTS  $9,705 
 C: 

 

 
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio^
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 29.9%     
     EQUITY FUNDS - 29.9%     
 9,471   iShares Core S&P 500 ETF  $2,060,511 
 8,363   SPDR S&P 500 ETF Trust   1,808,917 
 24,537   Vanguard S&P 500 ETF   4,875,257 
     TOTAL EXCHANGE TRADED FUNDS (Cost $8,070,284)   8,744,685 

 

Principal              
Amount      Coupon Rate (%)  Maturity    
     U.S. TREASURY NOTE - 43.7%           
$12,328,000   United States Treasury Note (Cost $12,528,417)  2.13  5/15/2025   12,800,735 
                 
Contracts               
    PURCHASED OPTIONS - 0.2%           
 24   FTSE 100 Index, November 2016, Put @ $6,100         4,055 
 10   S&P 500 Index, November 2016, Put @ $1,950         6,300 
 38   S&P 500 Index, December 2016, Put @ $1,925         42,750 
 1   S&P 500 Index, December 2016, Put @ $1,950         1,325 
     TOTAL PURCHASED OPTIONS (Cost - $66,644)         54,430 
                 
Shares               
     SHORT-TERM INVESTMENTS - 24.7%           
     MONEY MARKET FUND - 12.3%           
 3,615,553   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)         3,615,553 
                 
Principal               
Amount      Coupon Rate (%)(b)  Maturity     
     U.S. GOVERNMENT AGENCY - 12.4%           
$1,458,000   Fannie Mae Discount Notes  0.36  3/1/2017   1,455,798 
 727,000   Federal Home Loan Bank Discount Notes  0.28  12/23/2016   726,539 
 1,456,000   Freddie Mac Discount Notes  0.43  4/6/2017   1,452,748 
               3,635,085 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $7,250,638)         7,250,638 
                 
     TOTAL INVESTMENTS - 98.5% (Cost - $27,915,984)(c)        $28,850,488 
     OTHER ASSETS LESS LIABILITIES - NET - 1.5%         438,741 
     TOTAL NET ASSETS - 100.0%        $29,289,229 

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents discount rate at time of purchase.

 

(c)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes, including options written, is $27,913,131 and differs from fair value by net unrealized appreciation/(depreciation) of securities as follows:

 

Unrealized Appreciation:  $948,598 
Unrealized Depreciation:   (13,729)
Net Unrealized Appreciation:  $934,869 

 

^Formerly FVIT Goldman Sachs Dynamic Trends Allocation Portfolio.
 C: 

 

 
Contracts   Options Written  Value 
 24   FTSE 100 Index, October 2016, Call @ $7,200  $780 
 48   S&P 500 Index, November 2016, Call @ $2,300   1,680 
 1   S&P 500 Index, November 2016, Call @ $2,325   28 
     TOTAL OPTIONS WRITTEN (Premiums received - $4,031)  $2,488 

 

       Unrealized Appreciation/ 
Contracts      (Depreciation) 
    LONG FUTURES CONTRACTS    
 25   FTSE 100 Index Future December 2016     
     (Underlying Face Amount at Value $2,228,345)  $61,708 
 17   Russell 2000 Mini Future December 2016     
     (Underlying Face Amount at Value $2,122,110)   (5,270)
 19   S&P Midcap 400 E-Mini Future December 2016     
     (Underlying Face Amount at Value $2,944,240)   (36,520)
     TOTAL UNREALIZED APPRECIATION OF FUTURES CONTRACTS  $19,918 
 C: 

 

 
Global Atlantic Growth Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 90.8%     
     DEBT FUNDS - 14.3%     
 362,382   iShares Core U.S. Aggregate Bond ETF  $40,738,984 
 251,206   iShares Floating Rate Bond ETF   12,748,705 
 132,843   iShares Intermediate Credit Bond ETF   14,792,068 
         68,279,757 
     EQUITY FUNDS - 76.5%     
 1,023,638   iShares Core S&P 500 ETF   222,702,683 
 293,716   iShares Core S&P Mid-Cap ETF   45,440,802 
 997,091   iShares MSCI EAFE ETF   58,957,991 
 198,282   iShares Russell 1000 ETF   23,885,050 
 116,951   iShares Russell 2000 ETF   14,526,484 
         365,513,010 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $410,286,295)   433,792,767 
           
     SHORT-TERM INVESTMENT - 9.6%     
     MONEY MARKET FUND - 9.6%     
 45,713,848   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a) (Cost - $45,713,848)   45,713,848 
           
     TOTAL INVESTMENTS - 100.4% (Cost - $456,000,143)(b)  $479,506,615 
     OTHER ASSETS LESS LIABILITIES - NET - (0.4)%   (1,710,118)
     TOTAL NET ASSETS - 100.0%  $477,796,497 

 

(a) Money market rate shown represents the rate at September 30, 2016.

 

(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $457,391,579 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $25,644,198 
Unrealized Depreciation:   (3,529,162)
Net Unrealized Appreciation:  $22,115,036 

 

^ Formerly FVIT Growth Managed Risk Portfolio.
 C: 

 

 
Global Atlantic Moderate Growth Managed Risk Portfolio^
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 91.1%     
     DEBT FUNDS - 33.3%     
 258,628   iShares Core U.S. Aggregate Bond ETF  $29,074,960 
 182,835   iShares Floating Rate Bond ETF   9,278,876 
 90,759   iShares Intermediate Credit Bond ETF   10,106,015 
         48,459,851 
     EQUITY FUNDS - 57.8%     
 277,327   iShares Core S&P 500 ETF   60,335,262 
 57,177   iShares Core S&P Mid-Cap ETF   8,845,854 
 205,299   iShares MSCI EAFE ETF   12,139,330 
 22,233   iShares Russell 2000 ETF   2,761,561 
         84,082,007 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $125,777,970)   132,541,858 
           
     SHORT-TERM INVESTMENT - 9.2%     
     MONEY MARKET FUND - 9.2%     
 13,433,416   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a) (Cost - $13,433,416)   13,433,416 
           
     TOTAL INVESTMENTS - 100.4% (Cost - $139,211,386)(b)  $145,975,274 
     OTHER ASSETS LESS LIABILITIES - NET - (0.4)%   (561,217)
     TOTAL NET ASSETS - 100.0%  $145,414,057 

 

(a) Money market rate shown represents the rate at September 30, 2016.

 

(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $139,514,216 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $7,026,134 
Unrealized Depreciation:   (565,076)
Net Unrealized Appreciation:  $6,461,058 

 

^ Formerly FVIT Moderate Growth Managed Risk Portfolio.
 C: 

 

 
Global Atlantic Motif Aging of America Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     COMMON STOCKS - 97.2%     
     BIOTECHNOLOGY - 21.7%     
 45   Aduro Biotech, Inc. *  $559 
 15   Amgen, Inc.   2,502 
 82   ARIAD Pharmaceuticals, Inc. *   1,123 
 25   Celgene Corp. *   2,613 
 18   Cellectis SA * (ADR)   433 
 61   Epizyme, Inc. *   600 
 45   Exact Sciences Corp. *   836 
 93   Exelixis, Inc. *   1,189 
 41   FibroGen, Inc. *   849 
 9   Five Prime Therapeutics, Inc. *   472 
 29   Foundation Medicine, Inc. *   677 
 175   ImmunoGen, Inc. *   469 
 20   Incyte Corp. *   1,886 
 26   Innoviva, Inc.   286 
 18   Medicines Co. (The) *   679 
 122   Merrimack Pharmaceuticals, Inc. *   775 
 29   Myriad Genetics, Inc. *   597 
 75   NeoGenomics, Inc. *   617 
 49   NewLink Genetics Corp. *   736 
 43   OncoMed Pharmaceuticals, Inc. *   491 
 28   Seattle Genetics, Inc. *   1,512 
 85   Spectrum Pharmaceuticals, Inc. *   397 
 9   United Therapeutics Corp. *   1,063 
         21,361 
     HEALTHCARE PRODUCTS - 18.9%     
 9   ABIOMED, Inc. *   1,157 
 103   Accuray, Inc. *   656 
 33   AtriCure, Inc. *   522 
 7   Baxter International, Inc.   333 
 26   BioTelemetry, Inc. *   483 
 34   Boston Scientific Corp. *   809 
 2   CR Bard, Inc.   449 
 16   Edwards Lifesciences Corp. *   1,929 
 46   Endologix. Inc. *   589 
 25   Genomic Health. Inc. *   723 
 19   Globus Medical, Inc. *   429 
 8   Hologic, Inc. *   311 
 6   ICU Medical, Inc. *   758 
 17   Insulet Corp. *   696 
 17   K2M Group Holdings, Inc. *   302 
 17   LivaNova, PLC *   1,022 
 12   Medtronic PLC   1,037 
 25   Merit Medical Systems, Inc. *   607 
 101   Novocure Ltd. *   863 
 8   NuVasive, Inc. *   533 
 39   NxStage Medical, Inc. *   975 
 7   Orthofix International NV *   299 
 69   Rockwell Medical, Inc. *   462 
 4   Stryker Corp.   466 
 11   Varian Medical Systems, Inc. *   1,095 
 6   Vascular Solutions, Inc. *   289 
 17   Wright Medical Group NV *   417 
 3   Zimmer Biomet Holdings, Inc.   390 
         18,601 
 C: 

 

 
     HEALTHCARE - SERVICES - 18.1%     
 2   Aetna, Inc.   231 
 33   Almost Family, Inc. *   1,213 
 41   Amedisys, Inc. *   1,945 
 161   Brookdale Senior Living, Inc. *   2,809 
 73   Capital Senior Living Corp. *   1,226 
 11   Chemed Corp.   1,552 
 10   DaVita, Inc. *   661 
 81   Ensign Group, Inc.   1,631 
 28   Fresenius Medical Care AG & Co. KGaA (ADR)   1,226 
 37   Kindred Healthcare, Inc.   378 
 36   LHC Group, Inc. *   1,328 
 25   National HealthCare Corp.   1,650 
 10   Triple-S Management Corp. *   219 
 5   UnitedHealth Group, Inc.   700 
 91   Universal American Corp.   696 
 3   WellCare Health Plans, Inc. *   351 
         17,816 
     PHARMACEUTICALS - 11.3%     
 11   AbbVie, Inc.   694 
 20   Agios Pharmaceuticals, Inc. *   1,056 
 88   Array BioPharma, Inc. *   594 
 30   AstraZeneca PLC   986 
 466   BioScrip, Inc. *   1,347 
 9   Bristol-Myers Squibb Co.   485 
 72   Corcept Therapeutics, Inc. *   468 
 11   DexCom, Inc. *   964 
 6   Dr. Reddy’s Laboratories Ltd. (ADR)   279 
 7   Eli Lilly & Co.   562 
 48   Insys Therapeutics, Inc. *   566 
 3   Johnson & Johnson   354 
 8   Novartis AG (ADR)   632 
 25   Novo Nordisk A/S (ADR)   1,040 
 98   Regulus Therapeutics, Inc. *   323 
 6   Sanofi (ADR)   229 
 59   SciClone Pharmaceuticals, Inc. *   605 
         11,184 
 C: 

 

 
     REAL ESTATE INVESTMENT TRUSTS - 27.2%     
 73   Care Capital Properties, Inc.   2,081 
 113   CareTrust REIT, Inc.   1,670 
 66   HCP, Inc.   2,505 
 33   LTC Properties, Inc.   1,716 
 31   National Health Investors, Inc.   2,433 
 158   New Senior Investment Group, Inc.   1,823 
 93   Omega Healthcare Investors, Inc.   3,297 
 74   Sabra Health Care REIT, Inc.   1,863 
 65   Senior Housing Properties Trust   1,476 
 48   Ventas, Inc.   3,390 
 61   Welltower, Inc.   4,561 
         26,815 
     TOTAL COMMON STOCKS (Cost - $97,866)   95,777 
           
     SHORT-TERM INVESTMENT - 0.8%     
     MONEY MARKET FUND - 0.8%     
 761   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $761)   761 
           
     TOTAL INVESTMENTS - 98.0% (Cost - $98,627)(b)  $96,538 
     OTHER ASSETS LESS LIABILITIES - NET - 2.0%   2,026 
     TOTAL NET ASSETS - 100.0%  $98,564 

 

 ADR - American Depository Receipt

 

 REIT - Real Estate Investment Trust

 

*Non-income producing security.

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $98,627 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $3,032 
Unrealized Depreciation:   (5,121)
Net Unrealized Depreciation:  $(2,089)
 C: 

 

 
Global Atlantic Motif Real EstateTrends Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     COMMON STOCKS - 99.1%     
     ENGINEERING & CONSTRUCTION - 2.6%     
 22   SBA Communications Corp.  $2,467 
           
     HEALTHCARE SERVICES - 6.6%     
 16   Almost Family, Inc. *   588 
 19   Amedisys, Inc. *   901 
 76   Brookdale Senior Living, Inc. *   1,326 
 35   Capital Senior Living Corp. *   588 
 5   Chemed Corp.   705 
 38   Ensign Group, Inc. (The)   765 
 17   LHC Group, Inc. *   627 
 12   National HealthCare Corp.   792 
         6,292 
     REAL ESTATE INVESTMENT TRUSTS - 89.9%     
 37   American Campus Communities, Inc.   1,882 
 26   American Tower Corp.   2,947 
 41   Apartment Investment & Management Co.   1,882 
 17   AvalonBay Communities, Inc.   3,023 
 17   Boston Properties, Inc.   2,317 
 24   Camden Property Trust   2,010 
 34   Care Capital Properties, Inc.   969 
 53   CareTrust REIT, Inc.   783 
 51   CBL & Associates Properties, Inc.   619 
 22   Columbia Property Trust, Inc.   493 
 18   CoreSite Realty Corp.   1,333 
 35   Crown Castle International Corp.   3,297 
 64   CubeSmart   1,745 
 32   CyrusOne, Inc.   1,522 
 14   DCT Industrial Trust, Inc.   680 
 24   Digital Realty Trust, Inc.   2,331 
 9   Douglas Emmett, Inc.   330 
 34   Duke Realty Corp.   929 
 34   DuPont Fabros Technology, Inc.   1,403 
 32   Education Realty Trust, Inc.   1,380 
 27   Empire State Realty Trust, Inc.   566 
 9   Equinix, Inc.   3,242 
 46   Equity Residential   2,959 
 11   Essex Property Trust, Inc.   2,450 
 28   Extra Space Storage, Inc.   2,223 
 100   General Growth Properties, Inc.   2,760 
 C: 

 

 
 31   HCP, Inc.   1,176 
 78   Independence Realty Trust, Inc.   702 
 36   Investors Real Estate Trust   214 
 18   Life Storage, Inc.   1,601 
 20   LTC Properties, Inc.   1,040 
 18   Macerich Co. (The)   1,456 
 12   Mack-Cali Realty Corp.   327 
 20   Mid-America Apartment Communities, Inc.   1,880 
 28   Monmouth Real Estate Investment Corp.   400 
 114   Monogram Residential Trust, Inc.   1,213 
 15   National Health Investors, Inc.   1,177 
 40   National Storage Affiliates Trust   838 
 74   New Senior Investment Group, Inc.   854 
 72   New York REIT, Inc.   659 
 44   Omega Healthcare Investors, Inc.   1,560 
 93   Paramount Group, Inc.   1,524 
 24   Pennsylvania Real Estate Investment Trust   553 
 25   Post Properties, Inc.   1,653 
 37   Prologis, Inc.   1,981 
 14   Public Storage   3,124 
 26   QTS Realty Trust, Inc.   1,374 
 35   Sabra Health Care REIT, Inc.   881 
 29   Senior Housing Properties Trust   659 
 10   Simon Property Group, Inc.   2,070 
 11   SL Green Realty Corp.   1,189 
 27   STAG Industrial, Inc.   662 
 17   Taubman Centers, Inc.   1,265 
 61   UDR, Inc.   2,195 
 22   Ventas, Inc.   1,554 
 10   Vornado Realty Trust   1,012 
 5   Washington Real Estate Investment Trust   156 
 28   Welltower, Inc.   2,094 
         85,118 
     TOTAL COMMON STOCKS (Cost - $99,880)   93,877 
           
     SHORT-TERM INVESTMENT - 0.6%     
     MONEY MARKET FUND - 0.6%     
 517   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $517)   517 
           
     TOTAL INVESTMENTS - 99.7% (Cost - $100,397)(b)  $94,394 
     OTHER ASSETS LESS LIABILITIES - NET - 0.3%   303 
     TOTAL NET ASSETS - 100.0%  $94,697 

 

 REIT - Real Estate Investment Trust

 

*Non-income producting security.

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $100,397 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $209 
Unrealized Depreciation:   (6,212)
Net Unrealized Depreciation:  $(6,003)
 C: 

 

 
Global Atlantic Motif Technological Innovations Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     COMMON STOCKS - 99.9%     
     AUTO PARTS & EQUIPMENT - 0.8%     
 20   Mobileye NV *  $851 
           
     COMMERCIAL SERVICES - 7.3%     
 7   Cimpress NV *   708 
 7   FleetCor Technologies, Inc. *   1,216 
 14   Global Payments, Inc.   1,075 
 13   Paylocity Holding Corp. *   578 
 37   PayPal Holdings, Inc. *   1,516 
 63   Square, Inc. *   735 
 19   Total System Services, Inc.   896 
 18   Vantiv, Inc. *   1,013 
         7,737 
     COMPUTERS - 2.7%     
 13   Fleetmatics Group PLC *   780 
 24   Fortinet, Inc. *   886 
 23   Teradata Corp. *   713 
 31   VeriFone Systems, Inc. *   488 
         2,867 
     DIVERSIFIED FINANCIAL SERVICES - 7.1%     
 19   American Express Co.   1,217 
 15   Blackhawk Network Holdings, Inc. *   453 
 7   Ellie Mae, Inc. *   737 
 23   Mastercard, Inc.   2,341 
 34   Visa, Inc.   2,812 
         7,560 
     ELECTRONICS - 0.7%     
 42   Gentex Corp.   738 
           
     HOME FURNISHINGS - 0.6%     
 7   Harman International Industries, Inc.   591 
 C: 

 

 
     INTERNET - 39.0%     
 28   Alibaba Group Holding Ltd. * (ADR)   2,962 
 4   Alphabet, Inc. *   3,216 
 4   Amazon.com, Inc. *   3,349 
 11   Baidu, Inc. * (ADR)   2,002 
 45   Box, Inc. *   709 
 15   Criteo SA * (ADR)   527 
 27   Ctrip.com International Ltd. * (ADR)   1,257 
 33   eBay, Inc. *   1,086 
 9   Expedia, Inc.   1,051 
 7   F5 Networks, Inc. *   872 
 26   Facebook, Inc. *   3,335 
 37   FireEye, Inc. *   545 
 116   Groupon, Inc. *   597 
 67   JD.com, Inc. * (ADR)   1,748 
 39   Match Group, Inc. *   694 
 15   Netflix, Inc. *   1,478 
 1   Priceline Group, Inc. (The) *   1,471 
 9   Shutterstock, Inc. *   573 
 12   SINA Corp. *   886 
 15   Splunk, Inc. *   880 
 7   Stamps.com, Inc. *   662 
 53   Symantec, Corp.   1,330 
 9   TripAdvisor, Inc. *   569 
 63   Twitter, Inc. *   1,452 
 56   Vipshop Holdings Ltd. * (ADR)   822 
 14   Wayfair, Inc. *   551 
 31   Weibo Corp. * (ADR)   1,564 
 31   Yahoo!, Inc. *   1,336 
 39   Yandex NV *   821 
 19   Yelp, Inc. *   792 
 14   YY, Inc. * (ADR)   746 
 21   Zendesk, Inc. *   645 
 21   Zillow Group, Inc. *   723 
         41,251 
     LEISURE TIME - 0.8%     
 28   Qunar Cayman Islands Ltd. * (ADR)   812 
           
     REAL ESTATE INVESTMENT TRUSTS - 4.5%     
 8   CoreSite Realty Corp.   592 
 13   CyrusOne, Inc.   618 
 10   Digital Realty Trust, Inc.   971 
 15   DuPont Fabros Technology, Inc.   619 
 4   Equinix, Inc.   1,441 
 11   QTS Realty Trust, Inc.   581 
         4,822 
     RETAIL - 0.8%     
 16   Copart, Inc. *   857 
 C: 

 

 
     SEMICONDUCTORS - 3.7%     
 10   Qorvo, Inc. *   557 
 29   QUALCOMM, Inc.   1,987 
 10   Silicon Motion Technology Corp. (ADR)   518 
 11   Skyworks Solutions, Inc.   838 
         3,900 
    SOTFWARE - 29.3%    
 15   2U, Inc. *   574 
 32   ACI Worldwide, Inc. *   620 
 34   Activision Blizzard, Inc.   1,506 
 12   Adobe Systems, Inc. *   1,302 
 20   Akamai Technologies, Inc. *   1,060 
 6   athenahealth, Inc. *   757 
 15   Check Point Software Technologies Ltd. *   1,164 
 12   Citrix Systems, Inc. *   1,023 
 11   CommVault Systems, Inc. *   584 
 14   Cornerstone OnDemand, Inc. *   643 
 10   CyberArk Software, Ltd. *   496 
 17   Electronic Arts, Inc. *   1,452 
 86   First Data Corp. *   1,132 
 10   HubSpot, Inc. *   576 
 11   Imperva, Inc. *   591 
 17   InterXion Holding NV *   616 
 12   Medidata Solutions, Inc. *   669 
 3   MicroStrategy, Inc. *   502 
 44   Momo, Inc. * (ADR)   990 
 4   NetEase, Inc. (ADR)   963 
 8   NetSuite, Inc. *   886 
 16   New Relic, Inc. *   613 
 13   Paycom Software, Inc. *   652 
 8   Proofpoint, Inc. *   599 
 28   Rackspace Hosting, Inc. *   887 
 22   RealPage, Inc. *   565 
 21   salesforce.com, Inc. *   1,498 
 14   ServiceNow, Inc. *   1,108 
 13   Tableau Software, Inc. *   719 
 17   Take-Two Interactive Software, Inc. *   766 
 4   Ultimate Software Group, Inc. *   818 
 20   Veeva Systems, Inc. *   826 
 17   Verint Systems, Inc. *   640 
 19   VMware, Inc. *   1,394 
 14   Workday, Inc. *   1,284 
 208   Zynga, Inc. *   605 
         31,080 
     TELECOMMNUNICATIONS - 2.6%     
 11   Arista Networks, Inc. *   936 
 6   LogMeIn, Inc.   542 
 8   Palo Alto Networks, Inc. *   1,275 
         2,753 
           
     TOTAL COMMON STOCKS (Cost - $99,834)   105,819 
           
     SHORT-TERM INVESTMENT - 0.1%     
     MONEY MARKET FUND - 0.1%     
 139   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $139)   139 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $99,973)(b)  $105,958 
     OTHER ASSETS LESS LIABILITIES - NET - 0.1%   (72)
     TOTAL NET ASSETS - 100.0%  $105,886 

 

ADR American Depositary Receipt

 

*Non-income producing security

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $99,973 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $7,965 
Unrealized Depreciation:   (1,980)
Net Unrealized Appreciation:  $5,985 
 C: 

 

 
Global Atlantic PIMCO Tactical Allocation Portfolio^
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares            Value 
     EXCHANGE TRADED FUNDS - 29.9%           
     EQUITY FUNDS - 29.9%           
 49,017   iShares MSCI EAFE ETF        $2,898,375 
 13,396   SPDR S&P 500 ETF Trust         2,897,555 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $5,402,612)         5,795,930 
                 
Principal               
Amount      Coupon Rate (%)  Maturity     
     ASSET BACKED SECURITIES - 3.0%           
$20,435   ACE Securities Corp. Home Equity Loan Trust Series 2002-HE2 (b)  1.80  8/25/2032   19,664 
 42,869   ACE Securities Corp. Home Equity Loan Trust Series 2006-OP1 (b)  0.68  4/25/2036   40,484 
 39,143   Citigroup Mortgage Loan Trust 2007-AMC1 (a)(b)  0.69  12/25/2036   25,992 
 22,834   Countrywide Asset-Backed Certificates (b)  0.66  12/25/2036   20,112 
 30,793   Countrywide Asset-Backed Certificates (b)  0.67  6/25/2047   20,169 
 16,298   CWABS Asset-Backed Certificates Trust 2006-17 (b)  0.68  3/25/2047   14,688 
 40,794   FBR Securitization Trust (b)  1.20  10/25/2035   35,110 
 50,000   Ford Credit Floorplan Master Owner Trust A (b)  1.12  8/15/2020   50,265 
 12,020   Fremont Home Loan Trust 2005-E (b)  0.77  1/25/2036   12,026 
 30,260   GSAMP Trust 2006-HE4 (b)  0.67  6/25/2036   25,926 
 10,585   Long Beach Mortgage Loan Trust 2004-2 (b)  2.14  6/25/2034   10,328 
 35,174   Long Beach Mortgage Loan Trust 2005-3 (b)  0.79  8/25/2045   30,321 
 35,488   Long Beach Mortgage Loan Trust 2006-7 (b)  0.68  8/25/2036   20,728 
 37,155   Nissan Auto Receivables 2016-B Owner Trust  0.63  5/15/2017   37,179 
 18,722   RASC Series 2004-KS10 Trust (b)  2.25  11/25/2034   16,187 
 98,515   SLC Student Loan Trust 2006-2 (b)  0.95  9/15/2026   96,099 
 53,426   SLM Student Loan Trust 2005-3 (b)  0.80  10/25/2024   52,669 
 18,370   Soundview Home Loan Trust 2007-WMC1 (b)  0.64  2/25/2037   6,143 
 14,428   Structured Asset Investment Loan Trust 2004-7 (b)  1.58  8/25/2034   13,686 
 28,318   Structured Asset Securities Corp. Mortgage Loan Trust 2006-BC2 (b)  0.68  9/25/2036   24,432 
     TOTAL ASSET BACKED SECURUTIES (Cost - $575,331)         572,208 
                 
     CORPORATE BONDS - 23.4%           
     AGRICULTURE - 0.1%           
 10,000   Reynolds American, Inc.  5.85  8/15/2045   13,001 
                 
     AIRLINES - 0.3%           
 50,000   Spirit Airlines 2015-1 Pass Through Trust A  4.10  4/1/2028   51,469 
                 
     AUTO MANUFACTURERS - 0.6%           
 40,000   Ford Motor Credit Co. LLC  3.20  1/15/2021   41,065 
 20,000   General Motors Financial Co., Inc.  3.20  7/13/2020   20,479 
 50,000   General Motors Financial Co., Inc.  3.20  7/6/2021   50,614 
               112,158 
 C: 

 

 
     BANKS - 8.3%           
 73,000   Bank of America Corp.  3.30  1/11/2023   75,567 
 44,000   Bank of America Corp.  3.88  3/22/2017   44,508 
 25,000   Bank of America Corp.  4.00  4/1/2024   26,940 
 50,000   Bank of America Corp.  5.65  5/1/2018   53,038 
 45,000   The Bank of Nova Scotia  1.10  12/13/2016   45,013 
 100,000   Barclays Bank PLC (b)  1.64  9/8/2017   100,327 
 50,000   Citigroup, Inc.  2.65  10/26/2020   51,074 
 50,000   Credit Suisse AG (b)  1.65  9/12/2017   50,060 
 50,000   Deutsche Bank AG (b)  2.72  5/10/2019   48,812 
 50,000   The Goldman Sachs Group, Inc. (b)  1.48  5/22/2017   50,087 
 10,000   The Goldman Sachs Group, Inc.  3.75  5/22/2025   10,501 
 15,000   The Goldman Sachs Group, Inc.  6.00  6/15/2020   17,060 
 50,000   HSBC USA, Inc. (b)  1.56  8/7/2018   50,076 
 35,000   JPMorgan Chase & Co.  3.13  1/23/2025   35,773 
 25,000   JPMorgan Chase & Co.  3.88  2/1/2024   26,958 
 50,000   JPMorgan Chase & Co.  3.90  7/15/2025   53,916 
 35,000   KeyCorp.  2.90  9/15/2020   36,335 
 26,000   Morgan Stanley  2.13  4/25/2018   26,219 
 100,000   Natixis SA (b)  1.55  9/25/2017   100,000 
 25,000   Regions Financial Corp.  3.20  2/8/2021   25,989 
 20,000   Royal Bank Scotland Group PLC  9.50  3/16/2022   20,626 
 93,000   Santander UK PLC  1.38  3/13/2017   92,949 
 100,000   Sumitomo Mitsui Banking Corp. (b)  1.55  9/15/2017   100,041 
 100,000   Sumitomo Mitsui Trust Bank Limited (b)  1.58  9/18/2017   100,000 
 200,000   UBS Group Funding Jersey Ltd. (a)(b)  2.34  2/1/2022   202,690 
 100,000   Wachovia Corp.  5.63  10/15/2016   100,126 
 60,000   Wells Fargo & Co.  2.63  12/15/2016   60,191 
               1,604,876 
     BIOTECHNOLOGY - 0.5%           
 100,000   Amgen, Inc.  2.13  5/15/2017   100,580 
                 
     COMMERCIAL SERVICES - 0.2%           
 30,000   S&P Global, Inc.  2.50  8/15/2018   30,474 
                 
     COMPUTERS - 0.3%           
 50,000   Diamond 1 Finance Corp. / Diamond 2 Finance Corp. (a)  5.45  6/15/2023   53,573 
                 
     CONSUMER FINANCE - 4.2%           
 100,000   Bosphorus CLO  1.43  10/15/2025   112,608 
 2,000,000   NYKREDIT  1.00  1/1/2017   302,748 
 2,700,000   Realkredit Danmark  1.00  1/1/2017   408,678 
               824,034 
     ELECTRIC - 0.2%           
 30,000   Duke Energy Corp.  3.05  8/15/2022   31,360 
                 
     ENVIRONMENTAL CONTROL - 0.1%           
 25,000   Republic Services, Inc.  3.55  6/1/2022   26,863 
                 
     FOOD - 0.5%           
 100,000   Wm Wrigley, Jr. Co. (a)  1.40  10/21/2016   100,027 
                 
     HEALTHCARE PRODUCTS - 0.5%           
 100,000   Thermo Fisher Scientific, Inc.  1.30  2/1/2017   100,204 
                 
     MUNICIPAL - 0.1%           
 30,000   City of Chicago IL  7.75  1/1/2042   32,264 
                 
     OIL & GAS - 0.6%           
 35,000   BP Capital Markets PLC  3.51  3/17/2025   37,099 
 100,000   Petrobras Global Finance BV  4.38  5/20/2023   89,450 
               126,549 
     PHARMACEUTICALS - 2.6%           
 50,000   AbbVie, Inc.  2.85  5/14/2023   50,760 
 50,000   AbbVie, Inc.  3.20  5/14/2026   50,618 
 100,000   Actavis Funding SCS  1.30  6/15/2017   99,917 
 200,000   Shire Acquisitions Investments Ireland DAC  1.90  9/23/2019   199,897 
 100,000   Teva Pharmaceutical Finance Co. BV  2.40  11/10/2016   100,135 
               501,327 
 C: 

 

 
     PIPELINES - 0.9%           
 20,000   Kinder Morgan Finance Co. LLC (a)  6.00  1/15/2018   20,974 
 25,000   MPLX LP  4.88  6/1/2025   25,832 
 100,000   ONEOK Partners LP  3.20  9/15/2018   101,893 
 23,000   Regency Energy Partners LP / Regency Energy Finance Corp.  4.50  11/1/2023   23,155 
               171,854 
     REAL ESTATE INVESTMENT TRUSTS - 0.9%           
 100,000   American Tower Corp.  2.25  1/15/2022   99,796 
 25,000   Digital Realty Trust LP  3.95  7/1/2022   26,497 
 30,000   Duke Realty LP  3.88  2/15/2021   31,848 
 10,000   Host Hotels & Resorts LP  4.00  6/15/2025   10,189 
               168,330 
     SOFTWARE - 0.3%           
 50,000   Fidelity National Information Services, Inc.  2.85  10/15/2018   51,313 
                 
     SOVERIGN - 1.0%           
 200,000   Development Bank of Japan, Inc. (a)  1.63  9/1/2021   199,384 
                 
     TELECOMMUNICATIONS - 1.0%           
 30,000   AT&T, Inc.  2.80  2/17/2021   30,868 
 50,000   Telecom Italia SpA  6.38  6/24/2019   72,092 
 100,000   Vodafone Group, PLC  5.63  2/27/2017   101,663 
               204,623 
     WATER - 0.2%           
 20,000   Severn Trent Utilities Finance PLC  6.25  6/7/2029   39,068 
                 
     TOTAL CORPORATE BONDS (Cost - $4,450,083)         4,543,331 
                 
     MORTGAGE BACKED SECURITIES - 21.3%           
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 21.3%           
 300,000   Fannie Mae TBA +  3.00  11/1/2042   311,508 
 2,600,000   Fannie Mae TBA +  3.50  11/1/2042   2,743,000 
 800,000   Fannie Mae TBA +  4.00  11/1/2044   858,687 
 200,000   Fannie Mae TBA +  4.50  11/1/2044   218,875 
     TOTAL MORTGAGE BACKED SECURITIES (Cost - $4,116,969)         4,132,070 
                 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 5.0%           
     AGENCY COLLATERAL - 2.4%           
 76,937   Government National Mortgage Association (b)  0.99  3/20/2065   76,891 
 96,926   Government National Mortgage Association (b)  1.09  5/20/2065   95,972 
 98,528   Government National Mortgage Association (b)  1.11  8/20/2065   97,632 
 83,339   Government National Mortgage Association (b)  1.19  10/20/2065   83,376 
 98,139   Government National Mortgage Association (b)  1.49  12/20/2065   99,357 
               453,228 
     WHOLE LOAN COLLATERAL - 2.6%           
 32,269   Alternative Loan Trust 2005-J12 (b)  0.80  8/25/2035   23,505 
 25,056   Alternative Loan Trust 2006-OA9 (b)  0.74  7/20/2046   14,599 
 41,633   American Home Mortgage Assets Trust 2006-2 (b)  0.72  9/25/2046   29,928 
 20,936   Bear Stearns ALT-A Trust 2005-8 (b)  2.99  10/25/2035   18,844 
 20,504   Bear Stearns ARM Trust 2005-5 (b)  2.58  8/25/2035   20,052 
 26,150   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3 (a,b)  0.78  8/25/2035   23,782 
 24,345   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4 (a,b)  0.76  10/25/2035   21,958 
 38,420   Credit Suisse First Boston Mortgage Securities Corp.  4.50  7/25/2020   38,283 
 22,345   First Horizon Mortgage Pass-Through Trust 2005-AR2 (b)  3.04  6/25/2035   21,178 
 44,871   Great Hall Mortgages No. 1 PLC (a,b)  0.99  6/18/2039   42,552 
 33,941   GreenPoint Mortgage Funding Trust 2006-AR2 (b)  2.51  3/25/2036   29,876 
 26,930   GSR Mortgage Loan Trust 2005-AR6 (b)  2.92  9/25/2035   27,070 
 16,609   Impac CMB Trust Series 2005-8 (b)  1.23  2/25/2036   15,517 
 24,251   IndyMac INDX Mortgage Loan Trust 2006-AR4 (b)  0.74  5/25/2046   19,902 
 6,162   JP Morgan Mortgage Trust 2006-S2  5.88  6/25/2021   5,786 
 5,838   JP Morgan Resecuritization Trust Series 2009-7 (a,b)  3.12  8/27/2037   5,808 
 13,013   Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 (b)  0.78  11/25/2035   12,271 
 23,631   MortgageIT Trust 2005-4 (b)  0.81  10/25/2035   21,166 
 26,358   RALI Series 2005-QR1 Trust  6.00  10/25/2034   27,456 
 19,458   Reperforming Loan REMIC Trust 2006-R1 (a,b)  0.87  1/25/2036   16,552 
 25,190   Structured Adjustable Rate Mortgage Loan Trust (b)  0.83  10/25/2035   22,959 
 13,164   Structured Adjustable Rate Mortgage Loan Trust (b)  2.96  9/25/2034   12,971 
 13,483   Structured Adjustable Rate Mortgage Loan Trust (b)  3.05  2/25/2034   13,262 
 27,021   WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust (b)  2.30  4/25/2037   23,258 
               508,535 
                 
     TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $967,863)         961,763 
 C: 

 

 
     COMMERCIAL MORTGAGE BACKED SECURITIES - 1.7%           
 186,900   FHLMC Multifamily Structured Pass Through Certificates (b)  1.22  9/25/2022   187,955 
 50,499   JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18  5.44  6/12/2047   50,753 
 100,000   RFTI 2015-FL1 Issuer Ltd. (a,b)  2.27  8/15/2030   99,671 
     TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $337,342)         338,379 
                 
     U.S. TREASURY SECURITIES - 20.6%           
 300,000   United States Treasury Inflation Indexed Note  0.13  4/15/2018   303,268 
 200,000   United States Treasury Inflation Indexed Note  0.13  7/15/2022   214,284 
 100,000   United States Treasury Inflation Indexed Note  0.38  7/15/2025   104,799 
 150,000   United States Treasury Inflation Indexed Note  0.63  1/15/2026   159,773 
 50,000   United States Treasury Inflation Indexed Bond  0.75  2/15/2045   52,667 
 175,000   United States Treasury Inflation Indexed Bond  1.75  1/15/2028   235,291 
 100,000   United States Treasury Inflation Indexed Bond  2.38  1/15/2025   152,132 
 100,000   United States Treasury Inflation Indexed Bond  2.38  1/15/2027   146,343 
 100,000   United States Treasury Inflation Indexed Bond  2.50  1/15/2029   142,287 
 100,000   United States Treasury Inflation Indexed Bond  3.63  4/15/2028   205,438 
 100,000   United States Treasury Bond  2.50  2/15/2046   103,359 
 100,000   United States Treasury Bond  2.50  5/15/2046   103,500 
 200,000   United States Treasury Bond  2.88  8/15/2045   222,766 
 500,000   United States Treasury Bond  3.00  5/15/2045   570,078 
 50,000   United States Treasury Bond  4.38  11/15/2039   69,719 
 700,000   United States Treasury Note  1.13  8/31/2021   699,289 
 200,000   United States Treasury Note  1.50  8/15/2026   198,055 
 100,000   United States Treasury Note  1.63  5/15/2026   100,133 
 200,000   United States Treasury Note  2.50  8/15/2023   214,258 
     TOTAL U.S. TREASURY SECURITIES (Cost - $3,865,145)         3,997,439 
                 
Contracts               
    PURCHASED OPTIONS ON INDICES- 0.9%           
 24   S&P 500 Index, June 2017, Put @ $1,450         24,720 
 24   S&P 500 Index, June 2017, Put @ $1,650         51,360 
 24   S&P 500 Index, June 2017, Put @ $1,850         98,400 
     TOTAL PURCHASED OPTIONS ON INDICES (Cost - $318,843)         174,480 
                 
Principal              
Amount      Coupon Rate (%)  Maturity     
    SHORT-TERM INVESTMENTS - 14.3%           
     FEDERAL HOME LOAN BANK - 3.6%           
$100,000   Federal Home Loan Bank Discount Notes  0.06  10/17/2016   99,985 
 200,000   Federal Home Loan Bank Discount Notes  0.03  10/21/2016   199,967 
 300,000   Federal Home Loan Bank Discount Notes  0.02  10/28/2016   299,932 
 100,000   Federal Home Loan Bank Discount Notes  0.02  11/2/2016   99,974 
               699,858 
 C: 

 

 
Shares               
    MONEY MARKET FUND - 2.4%           
 463,602   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (c)         463,602 
                 
Principal               
Amount      Coupon Rate (%)  Maturity     
     U.S. TREASURY BILLS - 8.3%           
$600,000   United States Treasury Bill  0.36  3/2/2017   598,865 
 1,000,000   United States Treasury Bill  0.02  3/9/2017   997,829 
               1,596,694 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $2,760,154)         2,760,154 
                 
     TOTAL INVESTMENTS - 120.1% (Cost - $22,794,342)(d)        $23,275,754 
     OTHER ASSETS LESS LIABILITIES - NET - (20.1)%         (3,892,858)
     TOTAL NET ASSETS - 100.0%        $19,382,896 

 

TBA - To Be Announced Security

 

*Represents less than 0.05%.

 

+All or a portion of these TBAs are subject to dollar-roll transactions.

 

(a)144(a) - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of September 30, 2016, these securities amounted to $812,963 or 4.2% of net assets.

 

(b)Variable Rate Security - interest rate subject to periodic change.

 

(c)Money market rate shown represents the rate at September 30, 2016.

 

(d)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $22,957,183 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $662,927 
Unrealized Depreciation:   (344,356)
Net Unrealized Appreciation:  $318,571 

 

^ Formerly FVIT PIMCO Tactical Allocation Portfolio.

 

        Unrealized Appreciation/ 
Contracts      (Depreciation) 
    SHORT FUTURES CONTRACTS    
 13   90 Day Euro Future December 2017     
     (Underlying Face Amount at Value $3,215,388)  $(462)
 4   90 Day Euro Future March 2018     
     (Underlying Face Amount at Value $989,150)   (1,352)
 2   90 Day Euro Future June 2018     
     (Underlying Face Amount at Value $494,425)   (1,862)
 1   Euro-Bund Future December 2016     
     (Underlying Face Amount at Value $465,285)   (1,180)
         (4,856)
     LONG FUTURES CONTRACTS     
 10   90 Day Euro Future December 2016     
     (Underlying Face Amount at Value $2,477,000)   375 
 80   S&P 500 E-Mini December 2016     
     (Underlying Face Amount at Value $8,642,000)   295 
 3   US 10 Year Future December 2016     
     (Underlying Face Amount at Value $393,375)   (355)
 12   US 5Year Note (CBT) December 2016     
     (Underlying Face Amount at Value $1,458,192)   350 
         665 
           
     TOTAL UNREALIZED DEPRECIATION OF FUTURES CONTRACTS  $(4,191)
 C: 

 

 
Notional      Fixed Received     Unrealized Appreciation/ 
Amount $       Rate (%)  Expiration  (Depreciation) 
    Interest Rate Swaps          
 (100,000)  Goldman Sachs  1.02  12/16/2020  $(3,550)
 (100,000)  Goldman Sachs  1.02  6/15/2046   (16,835)
 (100,000)  Goldman Sachs  1.02  6/15/2021   (3,830)
 (300,000)  Goldman Sachs  1.02  6/15/2018   (1,288)
 (200,000)  Goldman Sachs  1.02  12/21/2046   (21,617)
 (300,000)  Goldman Sachs  2.00  6/15/2021   491 
              $(46,629)
                 
Notional      Fixed Received     Unrealized Appreciation/ 
Amount $      Rate (%)  Expiration  (Depreciation) 
    Credit Default Swaps          
 500,000   North American Investment High Yield CDX Index  5.00  6/20/2019  $25,370 
 100,000   North American Investment Grade CDX Index  1.00  6/20/2021   1,437 
 2,000,000   North American Investment Grade CDX Index  1.00  6/20/2021   28,741 
              $55,548 
 C: 

 

 
Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2016 (Unaudited)

 

Schedule of Forward Foreign Currency Contracts

 

Settlement      Currency Units to               Unrealized Appreciation 
Date   Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                            
10/4/2016   Goldman Sachs   104,000  EUR   116,103  USD   116,837   $(734)
11/10/2016   Goldman Sachs   150,000  SGD   111,472  USD   110,051    1,421 
11/10/2016   Goldman Sachs   239,176,520  SOU   218,000  USD   216,949    1,051 
11/10/2016   Goldman Sachs   1,083,555  TWD   33,843  USD   34,658    (815)
11/14/2016   Goldman Sachs   31,000  GBP   40,545  USD   40,331    214 
11/14/2016   Goldman Sachs   66,000  GBP   85,801  USD   85,865    (64)
11/15/2016   Goldman Sachs   161,304  MAL   39,720  USD   39,001    719 
1/3/2017   Goldman Sachs   2,022,000  DKK   293,771  USD   306,477    (12,706)
1/3/2017   Goldman Sachs   2,756,940  DKK   411,655  USD   417,873    (6,218)
Net unrealized depreciation on forward foreign currency contracts   $(17,132)
 C: 

 

 
Global Atlantic Select Advisor Managed Risk Portfolio^
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 14.7%     
     EQUITY FUNDS - 14.7%     
 65,721   iShares Core S&P 500 ETF  $14,298,261 
 21,952   iShares Russell 2000 ETF   2,726,658 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $15,453,138)   17,024,919 
           
     VARIABLE INSURANCE TRUSTS - 74.1%     
     DEBT FUND - 21.5%     
 1,854,003   MFS Research Bond Series   24,880,723 
           
     EQUITY FUNDS - 52.6%     
 381,830   American Century VP Mid Cap Value - Class 1   7,541,149 
 1,173,454   American Century VP Value Fund - Investor Class   11,499,848 
 85,296   Invesco VI International Growth Fund - Class 1   2,907,754 
 406,935   MFS Growth Series   16,057,668 
 262,424   MFS VIT II International Value Portfolio   6,277,189 
 737,324   Putnam VT Equity Income - Class 1A   16,619,286 
         60,902,894 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $83,472,690)   85,783,617 
           
     SHORT-TERM INVESTMENTS -11.3%     
     MONEY MARKET FUND - 11.3%     
 13,084,529   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $13,084,529)   13,084,529 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $112,010,357)(b)  $115,893,065 
     OTHER ASSETS LESS LIABILITIES -NET - (0.0)%   (16,505) 
     TOTAL NET ASSETS - 100.0%  $115,876,560 

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $112,271,185 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $3,964,809 
Unrealized Depreciation:   (342,929)
Net Unrealized Appreciation:  $3,621,880 

 

^ Formerly FVIT Select Advisor Managed Risk Portfolio.
 C: 

 

 
Global Atlantic Wellington Research Managed Risk Portfolio ^
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     COMMON STOCKS - 60.4%     
     ADVERTISING - 0.1%     
 16,789   The Interpublic Group of Cos., Inc.  $375,234 
           
     AEROSPACE/DEFENSE - 1.4%     
 11,387   General Dynamics Corp.   1,766,807 
 6,726   Lockheed Martin Corp.   1,612,357 
 5,558   Northrop Grumman Corp.   1,189,134 
 9,770   The Boeing Co.   1,287,100 
         5,855,398 
     AGRICULTURE - 0.7%     
 47,325   Altria Group, Inc.   2,992,360 
           
     AIRLINES - 0.1%     
 11,530   American Airlines Group, Inc.   422,113 
           
     APPAREL - 0.8%     
 44,942   NIKE, Inc.   2,366,196 
 12,037   Under Armour, Inc. *   407,573 
 6,304   VF Corp.   353,339 
         3,127,108 
     BANKS - 3.0%     
 249,512   Bank of America Corp.   3,904,863 
 40,609   Capital One Financial Corp.   2,916,944 
 8,419   Northern Trust Corp.   572,408 
 24,902   The PNC Financial Services Group, Inc.   2,243,421 
 58,983   Wells Fargo & Co.   2,611,767 
         12,249,403 
     BEVERAGES - 2.6%     
 5,390   Anheuser-Busch InBev - ADR   708,300 
 5,650   Constellation Brands, Inc.   940,668 
 12,197   Dr. Pepper Snapple Group, Inc.   1,113,708 
 12,245   Molson Coors Brewing Co.   1,344,501 
 13,820   Monster Beverage Corp. *   2,028,914 
 33,217   PepsiCo, Inc.   3,613,013 
 16,494   The Coca-Cola Co.   698,026 
         10,447,130 
     BIOTECHNOLOGY - 0.7%     
 4,620   Aduro Biotech, Inc. *   57,427 
 1,621   Alnylam Pharmaceuticals, Inc. *   109,871 
 16,235   ARIAD Pharmaceuticals, Inc. *   222,257 
 2,160   BlueBird Bio, Inc. *   146,405 
 6,720   Celgene Corp. *   702,442 
 9,720   GlycoMimetics, Inc. *   69,498 
 5,320   Incyte Corp. *   501,623 
 10,265   Karyopharm Therapeutics, Inc. *   99,878 
 8,270   Nivalis Therapeutics, Inc. *   67,235 
 22,261   Novavax, Inc. *   46,303 
 4,862   Otonomy, Inc. *   88,440 
 8,936   PTC Therapeutics, Inc. *   125,193 
 1,495   Regeneron Pharmaceuticals, Inc. *   601,020 
 10,080   Syndax Pharmaceuticals, Inc. *   152,813 
         2,990,405 
     BUILDING MATERIALS - 0.7%     
 26,021   Boise Cascade Co. *   660,933 
 14,480   CRH PLC - ADR   481,750 
 4,580   Fortune Brands Home & Security, Inc.   266,098 
 2,610   Martin Marietta Materials, Inc.   467,477 
 13,836   Summit Materials, Inc. *   256,658 
 4,840   Vulcan Materials Co.   550,453 
         2,683,369 
 C: 

 

 
     CHEMICALS - 1.0%     
 8,158   Cabot Corp.   427,561 
 13,832   Celanese Corp.   920,658 
 5,010   Monsanto Co.   512,022 
 7,021   PPG Industries, Inc.   725,691 
 21,662   The Dow Chemical Co.   1,122,741 
 8,242   The Mosaic Co.   201,599 
 1,067   The Sherwin-Williams Co.   295,196 
         4,205,468 
     COMMERCIAL SERVICES - 1.9%     
 11,887   Automatic Data Processing, Inc.   1,048,433 
 6,915   Equifax, Inc.   930,621 
 3,203   FleetCor Technologies, Inc. *   556,457 
 21,891   Global Payments, Inc.   1,680,353 
 7,564   IHS Markit Ltd. *   284,028 
 14,956   Nielsen Holdings PLC   801,193 
 5,610   S&P Global, Inc.   710,002 
 36,219   TransUnion *   1,249,555 
 6,358   WEX, Inc. *   687,236 
         7,947,878 
     COMPUTERS - 3.9%     
 8,440   Accenture PLC - Cl. A   1,031,115 
 77,029   Apple, Inc.   8,708,128 
 11,348   Cognizant Technology Solutions Corp. - Cl. A *   541,413 
 35,786   Genpact Ltd. *   857,075 
 82,910   Pure Storage, Inc. *   1,123,430 
 99,521   Seagate Technology PLC   3,836,535 
         16,097,696 
     COSMETICS/PERSONAL CARE - 1.4%     
 31,116   Colgate-Palmolive Co.   2,306,940 
 60,962   Coty, Inc. *   1,414,319 
 22,674   The Estee Lauder Cos., Inc.   2,008,009 
         5,729,268 
     DIVERSIFIED FINANCIAL SERVICES - 2.7%     
 3,786   Alliance Data Systems Corp. *   812,211 
 34,306   American Express Co.   2,196,956 
 1,641   BlackRock, Inc. - Cl. A   594,797 
 4,132   Evercore Partners, Inc.   212,839 
 2,626   Intercontinental Exchange, Inc.   707,339 
 16,053   Invesco Ltd.   501,977 
 13,153   Legg Mason, Inc.   440,362 
 150,404   Santander Consumer USA Holdings, Inc. *   1,828,913 
 43,641   Visa, Inc. - Cl. A   3,609,111 
 16,354   WisdomTree Investments, Inc.   168,283 
         11,072,788 
     ELECTRIC - 2.3%     
 10,954   Ameren Corp.   538,718 
 23,970   Avangrid, Inc.   1,001,467 
 18,368   Dominion Resources, Inc.   1,364,191 
 4,930   Duke Energy Corp.   394,597 
 12,343   Edison International   891,782 
 7,628   Eversource Energy   413,285 
 22,828   Exelon Corp.   759,944 
 19,584   NextEra Energy, Inc.   2,395,515 
 19,423   PG&E Corp.   1,188,105 
 5,662   Pinnacle West Capital Corp.   430,255 
         9,377,859 
     ELECTRICAL COMPONENTS & EQUIPMENT - 0.2%     
 15,050   AMETEK, Inc.   719,089 
 1,880   SunPower Corp. *   16,770 
         735,859 
 C: 

 

 
     ELECTRONICS - 0.8%     
 16,308   Fortive Corp.   830,077 
 20,852   Honeywell International, Inc.   2,431,135 
         3,261,212 
     ENERGY - ALTERNATE SOURCES - 0.0% **     
 1,799   First Solar, Inc. *   71,043 
           
     FOOD - 1.1%     
 72,083   Mondelez International, Inc. - Cl. A   3,164,444 
 15,654   Post Holdings, Inc. *   1,208,019 
         4,372,463 
     FOREST PRODUCTS & PAPER - 0.3%     
 23,054   International Paper Co.   1,106,131 
           
     GAS - 0.5%     
 11,770   Sempra Energy   1,261,626 
 13,320   UGI Corp.   602,597 
         1,864,223 
     HEALTHCARE-PRODUCTS - 4.0%     
 10,124   Abbott Laboratories   428,144 
 23,285   Baxter International, Inc.   1,108,366 
 6,888   Becton Dickinson and Co.   1,237,980 
 67,960   Boston Scientific Corp. *   1,617,448 
 12,290   ConforMIS, Inc. *   121,917 
 32,617   Danaher Corp.   2,556,847 
 56,848   Medtronic, PLC   4,911,667 
 16,921   St. Jude Medical, Inc.   1,349,619 
 13,373   Stryker Corp.   1,556,751 
 7,432   Thermo Fisher Scientific, Inc.   1,182,134 
         16,070,873 
     HEALTHCARE-SERVICES - 1.4%     
 9,630   Cigna Corp.   1,254,982 
 18,054   HCA Holdings, Inc. *   1,365,424 
 22,742   UnitedHealth Group, Inc.   3,183,880 
         5,804,286 
     HOLDING COMPANY - 0.1%     
 48,290   Conyers Park Acquisition Corp. *   519,117 
           
     INSURANCE - 3.1%     
 44,897   American International Group, Inc.   2,664,188 
 45,909   Assured Guaranty Ltd.   1,273,975 
 5,610   Chubb Ltd.   704,896 
 33,645   Marsh & McLennan Cos., Inc.   2,262,626 
 11,745   MetLife, Inc.   521,830 
 12,063   Principal Financial Group, Inc.   621,365 
 13,926   Prudential Financial, Inc.   1,137,058 
 10,710   The Allstate Corp.   740,918 
 31,305   The Hartford Financial Services Group, Inc.   1,340,480 
 42,055   XL Group Ltd.   1,414,310 
         12,681,646 
     INTERNET - 5.2%     
 8,149   Alphabet, Inc. - Cl. A *   6,552,285 
 8,083   Amazon.com, Inc. *   6,767,977 
 6,700   Blucora, Inc. *   75,040 
 18,091   Expedia, Inc.   2,111,582 
 29,116   Facebook, Inc. - Cl. A *   3,734,709 
 11,062   Netflix, Inc. *   1,090,160 
 20,840   Wayfair, Inc. *   820,471 
         21,152,224 
 C: 

 

 
     IRON/STEEL - 0.1%     
 2,130   Reliance Steel & Aluminum Co.   153,424 
 5,860   Steel Dynamics, Inc.   146,441 
         299,865 
     LODGING - 0.0% **     
 2,040   Las Vegas Sands Corp.   117,382 
           
     MEDIA - 2.3%     
 14,309   Charter Communications, Inc. *   3,863,001 
 62,836   Comcast Corp.   4,168,540 
 55,884   Twenty-First Century Fox, Inc.   1,353,510 
         9,385,051 
     METAL FABRICATE/HARDWARE - 0.1%     
 7,110   Tenaris SA - ADR   201,924 
           
     MISCELLANEOUS MANUFACTURING - 1.3%     
 17,439   Eaton Corp. PLC   1,145,917 
 27,800   General Electric Co.   823,436 
 17,676   Illinois Tool Works, Inc.   2,118,292 
 19,087   Pentair - PLC   1,226,149 
         5,313,794 
     OIL & GAS - 2.6%     
 15,781   Anadarko Petroleum Corp.   999,884 
 15,729   Chevron Corp.   1,618,829 
 147,781   Cobalt International Energy, Inc. *   183,248 
 14,773   ConocoPhillips   642,182 
 6,284   Ensco PLC   53,414 
 5,153   Exxon Mobil Corp.   449,754 
 1,968   Hess Corp.   105,524 
 34,877   Newfield Exploration Co. *   1,515,754 
 17,430   Patterson-UTI Energy, Inc.   389,909 
 26,509   PBF Energy, Inc.   600,164 
 8,951   PDC Energy, Inc. *   600,254 
 9,640   Pioneer Natural Resources Co.   1,789,666 
 35,228   QEP Resources, Inc.   688,003 
 3,814   Tesoro Corp.   303,442 
 9,654   Valero Energy Corp.   511,662 
         10,451,689 
     OIL & GAS SERVICES - 0.3%     
 12,680   Baker Hughes, Inc.   639,960 
 2,732   Halliburton Co.   122,612 
 2,350   Oceaneering International, Inc.   64,648 
 19,850   Tesco Corp.   161,976 
 43,480   Weatherford International PLC *   244,358 
         1,233,554 
     PACKAGING & CONTAINERS - 0.4%     
 15,989   Ball Corp.   1,310,299 
 14,152   Owens-Illinois, Inc. *   260,255 
         1,570,554 
     PHARMACEUTICALS - 4.0%     
 4,933   Aerie Pharmaceuticals, Inc. *   186,171 
 9,751   Alkermes PLC *   458,590 
 8,922   Allergan PLC *   2,054,826 
 35,739   AstraZeneca PLC - ADR   1,174,384 
 46,905   Bristol-Myers Squibb Co.   2,529,118 
 9,093   Cardinal Health, Inc.   706,526 
 6,020   Chiasma, Inc. *   17,699 
 15,040   Eli Lilly & Co   1,207,110 
 14,966   Ironwood Pharmaceuticals, Inc. - Cl. A *   237,660 
 16,060   Johnson & Johnson   1,897,168 
 15,171   McKesson Corp.   2,529,764 
 32,335   Merck & Co., Inc.   2,018,027 
 19,189   Mylan NV *   731,485 
 7,080   MyoKardia, Inc. *   115,687 
 3,055   Regulus Therapeutics, Inc. *   10,082 
 3,164   TESARO, Inc. *   317,159 
 15,851   Trevena, Inc. *   106,994 
         16,298,450 
 C: 

 

 
     PIPELINES - 0.6%     
 34,693   Kinder Morgan, Inc.   802,449 
 5,786   ONEOK, Inc.   297,343 
 15,119   Spectra Energy Corp.   646,337 
 12,060   TransCanada Corp.   573,574 
         2,319,703 
     REAL ESTATE INVESTMENT TRUSTS - 2.1%     
 23,722   American Tower Corp.   2,688,414 
 10,972   Apartment Investment & Management Co.   503,725 
 6,223   Boston Properties, Inc.   848,133 
 2,090   Equinix, Inc.   752,922 
 18,945   Host Hotels & Resorts, Inc.   294,974 
 31,246   Outfront Media Inc   738,968 
 14,217   Prologis, Inc.   761,178 
 7,900   Regency Centers Corp.   612,171 
 7,182   Simon Property Group, Inc.   1,486,746 
         8,687,231 
     RETAIL - 1.9%     
 14,798   Advance Auto Parts, Inc.   2,206,678 
 11,250   Costco Wholesale Corp.   1,715,737 
 6,724   L Brands, Inc.   475,857 
 3,105   O’Reilly Automotive, Inc. *   869,742 
 24,696   Starbucks Corp.   1,337,041 
 15,103   Walgreens Boots Alliance, Inc.   1,217,604 
 300   Wingstop, Inc.   8,790 
         7,831,449 
     SEMICONDUCTORS - 1.6%     
 5,464   Broadcom Ltd.   942,649 
 72,800   Intel Corp.   2,748,200 
 1,350   MACOM Technology Solutions Holdings, Inc. *   57,159 
 9,312   Microchip Technology, Inc.   578,648 
 15,553   Micron Technology, Inc. *   276,532 
 3,542   NXP Semiconductors NV *   361,319 
 20,995   QUALCOMM, Inc.   1,438,157 
         6,402,664 
     SOFTWARE - 1.8%     
 18,299   Electronic Arts, Inc. *   1,562,735 
 6,310   Envestnet, Inc. *   230,000 
 53,881   Microsoft Corp.   3,103,546 
 3,625   Salesforce.com, Inc. *   258,571 
 11,700   ServiceNow, Inc. *   926,055 
 11,516   SS&C Technologies Holdings, Inc.   370,239 
 9,822   Workday, Inc. *   900,579 
         7,351,725 
     TELECOMMUNICATIONS - 0.1%     
 6,629   Arista Networks, Inc. *   563,995 
           
     TEXTILES - 0.5%     
 10,208   Mohawk Industries, Inc. *   2,045,071 
           
     TRANSPORTATION - 0.7%     
 9,060   CSX Corp.   276,330 
 4,731   FedEx Corp.   826,411 
 4,465   Genesee & Wyoming, Inc. *   307,862 
 2,000   JB Hunt Transport Services, Inc.   162,280 
 1,160   Kansas City Southern   108,251 
 780   Kirby Corp. *   48,485 
 12,878   Knight Transportation, Inc.   369,470 
 17,720   XPO Logistics, Inc. *   649,792 
         2,748,881 
     TOTAL COMMON STOCKS (Cost - $221,444,967)   246,035,536 
           
     PREFERRED STOCK - 0.0% **     
     TELECOMMUNICATIONS - 0.0% **     
 3,000   Verizon Communications, Inc. (Cost $75,000)   83,820 
           
     EXCHANGE TRADED FUND - 1.7%     
     EQUITY FUND - 1.7%     
 32,656   SPDR S&P 500 ETF Trust (Cost - $6,216,079)   7,063,493 
 C: 

 

 
Principal Amount      Coupon Rate (%)  Maturity    
     ASSET BACKED SECURITIES - 3.5%           
$101,000   Ally Master Owner Trust  1.33  3/15/2019   101,207 
 100,000   Ally Master Owner Trust  1.60  10/15/2019   100,501 
 116,000   AmeriCredit Automobile Receivables Trust 2013-5  1.52  1/8/2019   116,147 
 14,247   AmeriCredit Automobile Receivables Trust 2014-1  0.90  2/8/2019   14,252 
 95,000   AmeriCredit Automobile Receivables Trust 2014-1  1.68  7/8/2019   95,266 
 120,000   AmeriCredit Automobile Receivables Trust 2014-1  2.15  3/9/2020   120,847 
 145,000   AmeriCredit Automobile Receivables Trust 2014-2  1.60  7/8/2019   145,307 
 250,000   Apidos CLO XXI (a)++  2.11  7/18/2027   250,152 
 350,000   Apidos CLO XXII (a)++  2.75  10/20/2027   351,399 
 300,000   Atrium XII (a)++  2.95  10/22/2026   301,406 
 300,000   Babson CLO Ltd. 2013-I (a)++  1.80  4/20/2025   298,929 
 270,000   Babson CLO Ltd. 2015-I (a)++  2.13  4/20/2027   270,099 
 300,000   Ballyrock CLO 2016-1 Ltd. (a)++  2.41  10/15/2028   300,433 
 325,000   BlueMountain CLO 2015-3 Ltd. (a)++  2.18  10/20/2027   325,285 
 225,000   Capital Auto Receivables Asset Trust 2015-3  1.72  1/22/2019   226,004 
 385,000   CARDS II Trust (a)++  1.22  7/15/2021   385,739 
 225,000   CarMax Auto Owner Trust 2013-4  1.71  7/15/2019   226,336 
 100,000   CarMax Auto Owner Trust 2013-4  1.95  9/16/2019   100,144 
 150,000   Cent CLO 20 Ltd. (a)++  2.19  1/25/2026   150,010 
 250,000   Cent CLO 21 Ltd. (a)++  2.22  7/27/2026   250,001 
 250,000   Cent CLO 23 Ltd. (a)++  2.17  4/17/2026   253,771 
 429,976   Chesapeake Funding II LLC (a)++  1.45  6/15/2028   432,254 
 100,000   Chrysler Capital Auto Receivables Trust 2013-A (a)  1.83  3/15/2019   100,034 
 80,000   Chrysler Capital Auto Receivables Trust 2013-B (a)  1.78  6/17/2019   80,107 
 90,000   Chrysler Capital Auto Receivables Trust 2015-A (a)  1.55  2/18/2020   89,195 
 350,000   CIFC Funding 2014-II Ltd. (a)++  2.31  5/24/2026   350,039 
 250,000   CNH Equipment Trust 2015-C  1.66  11/16/2020   250,612 
 73,875   DB Master Finance LLC 2015-1 (a)  3.26  2/20/2045   74,372 
 67,384   Drive Auto Receivables Trust 2015-B (a)  2.12  6/17/2019   67,498 
 265,000   Dryden 41 Senior Loan Fund (a)++  2.83  1/15/2028   266,008 
 450,000   Evergreen Credit Card Trust Series 2016-1 (a)++  1.24  4/15/2020   451,638 
 40,216   Exeter Automobile Receivables Trust 2015-2 (a)  1.54  11/15/2019   40,078 
 114,581   First Investors Auto Owner Trust 2014-1 (a)  1.49  1/15/2020   114,512 
 135,000   First Investors Auto Owner Trust 2014-1 (a)  2.26  1/15/2020   135,328 
 89,209   First Investors Auto Owner Trust 2014-3 (a)  1.67  11/16/2020   89,218 
 55,000   First Investors Auto Owner Trust 2014-3 (a)  2.39  11/16/2020   55,096 
 10,000   Ford Credit Auto Owner Trust 2013-A  1.36  10/15/2018   10,009 
 100,000   Ford Credit Auto Owner Trust 2014-A  1.90  9/15/2019   100,496 
 145,000   Ford Credit Floorplan Master Owner Trust A  1.77  8/15/2020   146,248 
 100,000   Ford Credit Floorplan Master Owner Trust A (a)  2.09  3/15/2022   101,828 
 100,000   Ford Credit Floorplan Master Owner Trust A  2.31  2/15/2021   101,457 
 275,000   Galaxy XIX CLO Ltd. (a)++  2.26  1/24/2027   275,799 
 190,000   Green Tree Agency Advance Funding Trust I Series 2015-T1 (a)  2.30  10/15/2046   190,130 
 300,000   Highbridge Loan Management 6-2015 Ltd. (a)++  2.23  5/5/2027   300,067 
 100,000   Hyundai Auto Receivables Trust 2013-A  1.13  9/17/2018   99,983 
 60,000   Hyundai Auto Receivables Trust 2013-B  1.45  2/15/2019   60,145 
 91,000   Hyundai Auto Receivables Trust 2013-B  1.71  2/15/2019   91,430 
 167,000   Hyundai Auto Receivables Trust 2014-B  2.10  11/15/2019   167,756 
 300,000   Madison Park Funding XI Ltd. (a)++  1.99  10/23/2025   298,897 
 250,000   Madison Park Funding XV Ltd. (a)++  3.13  1/27/2026   250,469 
 250,000   Magnetite XII Ltd. (a)++  2.18  4/15/2027   250,060 
 190,000   MMAF Equipment Finance LLC 2016-A (a)  1.39  12/17/2018   189,947 
 140,000   MMAF Equipment Finance LLC 2016-A (a)  2.21  12/15/2032   140,553 
 200,000   NYCTL 2016-A Trust (a)  1.47  11/10/2029   199,974 
 300,000   Octagon Investment Partners XVI Ltd. (a)++  1.80  7/17/2025   297,702 
 100,000   OneMain Financial Issuance Trusts 2016-1A (a)  3.66  2/20/2029   102,667 
 170,000   OneMain Financial Issuance Trusts 2016-2 (a)  4.10  3/20/2028   175,156 
 275,000   OZLM Funding V Ltd. (a)++  2.18  1/17/2026   275,017 
 100,000   Prestige Auto Receivables Trust 2014-1 (a)  1.91  4/15/2020   100,201 
 250,000   Race Point VIII CLO Ltd. (a)++  2.06  2/20/2025   250,217 
 200,000   Santander Drive Auto Receivables Trust 2012-5  3.30  9/17/2018   201,806 
 1,780   Santander Drive Auto Receivables Trust 2012-6  1.94  3/15/2018   1,781 
 45,000   Santander Drive Auto Receivables Trust 2013-2  2.57  3/15/2019   45,519 
 34,807   Santander Drive Auto Receivables Trust 2013-5  2.25  6/17/2019   35,015 
 100,000   Santander Drive Auto Receivables Trust 2014-1  2.36  4/15/2020   100,774 
 33,272   Santander Drive Auto Receivables Trust 2014-2  1.62  2/15/2019   33,312 
 33,777   Santander Drive Auto Receivables Trust 2014-4  1.82  5/15/2019   33,862 
 80,000   Santander Drive Auto Receivables Trust 2015-1  1.97  11/15/2019   80,325 
 33,543   Santander Drive Auto Receivables Trust 2015-4  1.20  12/17/2018   33,572 
 325,000   Shackleton 2015-VIII CLO Ltd. (a)++  2.21  10/20/2027   325,285 
 325,000   Sound Point Clo XII Ltd. (a)++  2.14  10/20/2028   325,875 
 165,000   Springleaf Funding Trust 2015-A (a)  3.16  11/15/2024   167,162 
 190,000   SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T3 (a)  2.92  7/15/2047   189,428 
 620,000   Trillium Credit Card Trust II (a)++  1.24  5/26/2021   621,735 
 250,000   Voya CLO 2014-2 Ltd. (a)++  2.13  7/17/2026   250,004 
 300,000   Webster Park CLO Ltd. A-2 (a)++  2.95  1/20/2027   301,930 
 105,000   Westlake Automobile Receivables Trust 2015-2 (a)  1.83  1/15/2021   105,161 
 145,000   Westlake Automobile Receivables Trust 2016-2 (a)  1.57  6/17/2019   144,875 
     TOTAL ASSET BACKED SECURITIES (Cost - $14,076,900)         14,152,853 
 C: 

 

 
     CORPORATE BONDS - 10.8%           
     ADVERTISING - 0.0% **           
 140,000   Omnicom Group, Inc.  3.60  4/15/2026   148,012 
                 
     AEROSPACE/DEFENSE - 0.2%           
 100,000   BAE Systems Holdings, Inc. (a)  3.85  12/15/2025   106,337 
 50,000   Lockheed Martin Corp.  2.50  11/23/2020   51,614 
 147,000   Lockheed Martin Corp.  4.07  12/15/2042   157,471 
 30,000   Lockheed Martin Corp.  4.50  5/15/2036   34,138 
 75,000   Lockheed Martin Corp.  4.70  5/15/2046   89,109 
 50,000   Lockheed Martin Corp.  4.85  9/15/2041   58,991 
 125,000   Lockheed Martin Corp.  6.15  9/1/2036   168,207 
               665,867 
     AGRICULTURE - 0.2%           
 230,000   BAT International Finance PLC (a)  2.75  6/15/2020   238,165 
 20,000   BAT International Finance PLC (a)  3.50  6/15/2022   21,474 
 216,000   Cargill, Inc. (a)  4.76  11/23/2045   254,257 
 475,000   Imperial Brands Finance PLC (a)  3.75  7/21/2022   504,032 
               1,017,928 
     AUTO MANUFACTURERS - 0.3%           
 450,000   Ford Motor Credit Co. LLC  3.16  8/4/2020   463,791 
 100,000   Ford Motor Credit Co. LLC  6.63  8/15/2017   104,363 
 275,000   General Motors Financial Co., Inc.  3.50  7/10/2019   283,305 
 200,000   General Motors Financial Co., Inc.  3.70  5/9/2023   203,412 
 125,000   General Motors Financial Co., Inc.  4.20  3/1/2021   131,545 
 100,000   Nissan Motor Acceptance Corp. (a)  2.65  9/26/2018   102,100 
               1,288,516 
 C: 

 

 
     BANKS - 2.8%           
 135,000   Bank of America Corp.  2.25  4/21/2020   135,929 
 640,000   Bank of America Corp.  2.63  10/19/2020   653,115 
 160,000   Bank of America Corp.  4.20  8/26/2024   169,431 
 300,000   Banque Federative du Credit Mutuel SA (a)  2.75  10/15/2020   310,280 
 405,000   Barclays Bank PLC  3.20  8/10/2021   407,129 
 100,000   Barclays Bank PLC  5.14  10/14/2020   108,283 
 150,000   BB&T Corp.  2.45  1/15/2020   153,500 
 50,000   BNP Paribas SA  2.38  9/14/2017   50,387 
 400,000   BPCE SA (a)  5.15  7/21/2024   420,739 
 300,000   Capital One Financial Corp.  3.20  2/5/2025   305,813 
 105,000   Capital One Financial Corp.  4.20  10/29/2025   109,546 
 70,000   Citigroup, Inc.  3.30  4/27/2025   72,003 
 300,000   Citigroup, Inc.  3.50  5/15/2023   308,202 
 50,000   Citigroup, Inc.  4.05  7/30/2022   53,136 
 55,000   Citigroup, Inc.  5.50  9/13/2025   62,724 
 185,000   Citizens Financial Group, Inc.  4.30  12/3/2025   194,115 
 200,000   Credit Agricole SA (a)  4.38  3/17/2025   204,173 
 50,000   Credit Suisse AG  5.40  1/14/2020   54,653 
 250,000   Credit Suisse Group Funding Guernsey Ltd.  3.13  12/10/2020   253,274 
 395,000   Credit Suisse Group Funding Guernsey Ltd.  3.80  9/15/2022   403,525 
 525,000   Discover Bank  3.10  6/4/2020   540,089 
 300,000   Fifth Third Bank  2.15  8/20/2018   303,868 
 305,000   HSBC Holdings PLC  3.40  3/8/2021   315,450 
 200,000   HSBC Holdings PLC  3.60  5/25/2023   206,559 
 60,000   HSBC Holdings PLC  4.00  3/30/2022   63,926 
 250,000   Huntington Bancshares, Inc.  3.15  3/14/2021   259,163 
 400,000   JPMorgan Chase & Co.  2.95  10/1/2026   401,047 
 200,000   Lloyds Bank PLC  3.50  5/14/2025   211,280 
 70,000   Morgan Stanley  3.13  7/27/2026   70,419 
 110,000   Morgan Stanley  3.88  4/29/2024   117,644 
 455,000   Morgan Stanley  4.35  9/8/2026   485,759 
 400,000   PNC Bank NA  2.60  7/21/2020   412,656 
 120,000   Santander Holdings USA, Inc.  2.65  4/17/2020   120,721 
 400,000   Santander Holdings USA, Inc.  2.70  5/24/2019   404,994 
 200,000   Santander Issuances SAU  5.18  11/19/2025   203,770 
 300,000   Santander UK PLC  2.00  8/24/2018   301,104 
 300,000   Santander UK PLC (a)  5.00  11/7/2023   312,647 
 200,000   Skandinaviska Enskilda Banken AB (a)  2.45  5/27/2020   204,473 
 350,000   State Street Corp.  3.55  8/18/2025   379,476 
 130,000   The Goldman Sachs Group, Inc.  2.63  4/25/2021   132,007 
 200,000   The Goldman Sachs Group, Inc.  3.50  1/23/2025   206,837 
 85,000   The Goldman Sachs Group, Inc.  4.75  10/21/2045   95,392 
 55,000   The Goldman Sachs Group, Inc.  4.80  7/8/2044   61,859 
 50,000   The Goldman Sachs Group, Inc.  6.75  10/1/2037   63,666 
 250,000   The Huntington National Bank  2.40  4/1/2020   253,143 
 50,000   The PNC Financial Services Group, Inc.  3.90  4/29/2024   53,596 
 250,000   UBS Group Funding Jersey Ltd. (a)  2.95  9/24/2020   256,106 
 225,000   UBS Group Funding Jersey Ltd. (a)  3.00  4/15/2021   231,090 
 150,000   Wells Fargo & Co.  3.00  2/19/2025   152,325 
 35,000   Wells Fargo & Co.  4.10  6/3/2026   37,133 
               11,288,156 
     BEVERAGES - 0.3%           
 400,000   Anheuser-Busch InBev Finance, Inc.  3.30  2/1/2023   422,203 
 260,000   Anheuser-Busch InBev Finance, Inc.  3.65  2/1/2026   279,240 
 300,000   Anheuser-Busch InBev Finance, Inc.  4.70  2/1/2036   344,932 
 70,000   Anheuser-Busch InBev Finance, Inc.  4.90  2/1/2046   83,285 
 55,000   Anheuser-Busch InBev Worldwide, Inc.  3.75  7/15/2042   55,050 
               1,184,710 
     BIOTECHNOLOGY - 0.1%           
 130,000   Biogen, Inc.  2.90  9/15/2020   135,012 
 70,000   Celgene Corp.  3.55  8/15/2022   74,374 
 50,000   Celgene Corp.  3.63  5/15/2024   52,626 
 90,000   Gilead Sciences, Inc.  2.55  9/1/2020   92,961 
               354,973 
     CHEMICALS - 0.2%           
 300,000   Agrium, Inc.  3.15  10/1/2022   311,441 
 55,000   Agrium, Inc.  7.13  5/23/2036   71,788 
 375,000   CF Industries, Inc.  7.13  5/1/2020   431,744 
 150,000   LYB International Finance BV  4.88  3/15/2044   162,043 
 40,000   Monsanto Co.  3.38  7/15/2024   41,449 
               1,018,465 
 C: 

 

 
     COMMERCIAL SERVICES - 0.3%           
 100,000   Catholic Health Initiatives  2.95  11/1/2022   101,179 
 120,000   Catholic Health Initiatives  4.35  11/1/2042   118,983 
 500,000   ERAC USA Finance, LLC (a)  3.30  10/15/2022   523,786 
 355,000   Total System Services, Inc.  3.80  4/1/2021   376,711 
               1,120,659 
     DIVERSIFIED FINANCIAL SERVICES - 0.3%           
 50,000   American Express Co.  1.55  5/22/2018   50,093 
 285,000   LeasePlan Corp NV (a)  2.88  1/22/2019   287,700 
 350,000   Private Export Funding Corp.  3.25  6/15/2025   384,155 
 155,000   Synchrony Financial  2.60  1/15/2019   156,826 
 15,000   Synchrony Financial  2.70  2/3/2020   15,188 
 205,000   Synchrony Financial  3.75  8/15/2021   215,628 
               1,109,590 
     ELECTRIC - 0.9%           
 200,000   Appalachian Power Co.  3.40  6/1/2025   213,091 
 150,000   Berkshire Hathaway Energy Co.  4.50  2/1/2045   167,590 
 60,000   Consolidated Edison Co. of New York, Inc.  4.63  12/1/2054   68,735 
 160,000   Dominion Resources, Inc. #  2.96  7/1/2019   164,225 
 230,000   Dominion Resources, Inc. #  4.10  4/1/2021   246,331 
 175,000   Duke Energy Carolinas LLC  6.10  6/1/2037   230,649 
 70,000   Duke Energy Corp.  2.65  9/1/2026   68,689 
 225,000   Duke Energy Corp.  3.75  4/15/2024   242,974 
 55,000   Emera US Finance LP (a)  2.70  6/15/2021   56,285 
 190,000   Entergy Corp.  2.95  9/1/2026   190,309 
 10,000   Eversource Energy  3.15  1/15/2025   10,413 
 190,000   Fortis, Inc. (a)  3.06  10/4/2026   189,193 
 450,000   NextEra Energy Capital Holdings, Inc.  2.06  9/1/2017   452,442 
 51,000   Oncor Electric Delivery Co. LLC  2.95  4/1/2025   52,995 
 160,000   Oncor Electric Delivery Co. LLC  4.10  6/1/2022   176,888 
 75,000   Pacific Gas & Electric Co.  3.40  8/15/2024   80,443 
 50,000   PPL Capital Funding, Inc.  3.50  12/1/2022   53,051 
 156,000   SCANA Corp.  4.13  2/1/2022   163,075 
 45,000   SCANA Corp.  4.75  5/15/2021   48,470 
 150,000   South Carolina Electric & Gas Co.  5.10  6/1/2065   175,799 
 225,000   The Southern Co.  2.75  6/15/2020   232,082 
 290,000   The Southern Co.  2.95  7/1/2023   299,630 
               3,583,359 
     ENGINEERING & CONSTRUCTION - 0.1%           
 50,000   SBA Tower Trust (a)  2.90  10/15/2019   50,711 
 255,000   SBA Tower Trust (a)  3.16  10/15/2020   261,622 
               312,333 
     FOOD - 0.2%           
 165,000   Kraft Heinz Foods Co.  3.50  7/15/2022   175,342 
 65,000   Kraft Heinz Foods Co.  4.38  6/1/2046   68,772 
 240,000   Sigma Alimentos SA de CV (a)  4.13  5/2/2026   240,600 
 375,000   The Kroger Co.  2.95  11/1/2021   390,963 
 15,000   Tyson Foods, Inc.  2.65  8/15/2019   15,381 
               891,058 
     GAS - 0.1%           
 125,000   Dominion Gas Holdings LLC  3.60  12/15/2024   132,852 
 275,000   KeySpan Gas East Corp. (a)  2.74  8/15/2026   278,350 
               411,202 
     HEALTHCARE-PRODUCTS - 0.2%           
 325,000   Boston Scientific Corp.  3.38  5/15/2022   341,771 
 205,000   Medtronic, Inc.  3.50  3/15/2025   220,758 
 75,000   Medtronic, Inc.  4.38  3/15/2035   84,989 
               647,518 
 C: 

 

 
     HEALTHCARE-SERVICES - 0.3%           
 135,000   Aetna, Inc.  2.80  6/15/2023   137,854 
 105,000   Aetna, Inc.  4.25  6/15/2036   108,753 
 75,000   Anthem, Inc.  3.50  8/15/2024   78,963 
 150,000   Anthem, Inc.  4.65  8/15/2044   163,617 
 25,000   Dignity Health  3.81  11/1/2024   26,703 
 75,000   Kaiser Foundation Hospitals  3.50  4/1/2022   79,873 
 30,000   Memorial Sloan-Kettering Cancer Center  4.20  7/1/2055   33,556 
 50,000   Memorial Sloan-Kettering Cancer Center  5.00  7/1/2042   62,906 
 50,000   Providence St. Joseph Health Obligated Group  3.74  10/1/2047   51,286 
 100,000   The City of Hope  5.62  11/15/2043   129,271 
 35,000   The New York and Presbyterian Hospital  4.02  8/1/2045   38,442 
 300,000   United Health Group, Inc.  2.88  3/15/2023   312,936 
 45,000   United Health Group, Inc.  3.35  7/15/2022   48,322 
 75,000   United Health Group, Inc.  3.75  7/15/2025   82,362 
               1,354,844 
     INSURANCE - 0.3%           
 50,000   American International Group, Inc.  4.88  6/1/2022   56,257 
 190,000   Berkshire Hathaway, Inc.  2.75  3/15/2023   197,445 
 50,000   Chubb INA Holdings, Inc.  2.30  11/3/2020   51,339 
 75,000   Chubb INA Holdings, Inc.  3.35  5/15/2024   79,799 
 150,000   Principal Financial Group, Inc.  3.40  5/15/2025   153,982 
 125,000   Teachers Insurance & Annuity Association of America (a)  4.90  9/15/2044   140,589 
 250,000   The Hartford Financial Services Group, Inc.  5.50  3/30/2020   278,722 
 290,000   Trinity Acquisition PLC  4.40  3/15/2026   303,718 
               1,261,851 
     INTERNET - 0.2%           
 400,000   Alibaba Group Holding Ltd.  2.50  11/28/2019   408,023 
 265,000   Amazon.com, Inc.  4.80  12/5/2034   311,351 
 245,000   Expedia, Inc. (a)  5.00  2/15/2026   257,863 
               977,237 
     LODGING - 0.1%           
 325,000   Marriott International, Inc.  2.30  1/15/2022   327,742 
 225,000   Marriott International, Inc.  2.88  3/1/2021   233,408 
               561,150 
     MACHINERY - CONSTRUCTION AND MINING - 0.0% **           
 45,000   Caterpillar, Inc.  4.30  5/15/2044   50,107 
                 
     MEDIA - 0.3%           
 50,000   21st Century Fox America, Inc.  3.70  9/15/2024   54,006 
 60,000   Charter Communications Operating LLC (a)  6.48  10/23/2045   72,559 
 100,000   Comcast Corp.  6.40  3/1/2040   140,202 
 275,000   Cox Communications, Inc. (a)  4.80  2/1/2035   272,506 
 100,000   NBCUniversal Media, LLC  2.88  1/15/2023   104,142 
 250,000   Sky PLC (a)  3.75  9/16/2024   264,323 
 275,000   Time Warner, Inc.  4.88  3/15/2020   303,731 
 50,000   Viacom, Inc.  4.25  9/1/2023   53,132 
               1,264,601 
     MISCELLANEOUS MANUFACTURING - 0.2%           
 180,000   General Electric Co.  6.88  1/10/2039   271,129 
 10,000   Parker-Hannifin Corp.  4.45  11/21/2044   11,822 
 225,000   Pentair Finance SA  2.90  9/15/2018   228,151 
 50,000   Pentair Finance SA  3.15  9/15/2022   49,970 
 250,000   Siemens Financieringsmaatschappij NV (a)  2.90  5/27/2022   261,755 
               822,827 
 C: 

 

 
     OIL & GAS - 0.7%           
 240,000   Anadarko Petroleum Corp.  4.85  3/15/2021   257,644 
 23,000   Anadarko Petroleum Corp.  6.38  9/15/2017   23,978 
 200,000   BG Energy Capital PLC (a)  4.00  10/15/2021   218,766 
 105,000   BP Capital Markets PLC  2.32  2/13/2020   107,028 
 105,000   ConocoPhillips Co.  2.88  11/15/2021   107,876 
 105,000   ConocoPhillips Co.  3.35  5/15/2025   107,646 
 20,000   ConocoPhillips Co.  4.95  3/15/2026   22,543 
 30,000   ConocoPhillips Co.  5.75  2/1/2019   32,680 
 15,000   ConocoPhillips Co.  6.00  1/15/2020   16,915 
 325,000   Devon Energy Corp.  3.25  5/15/2022   322,677 
 100,000   Devon Energy Corp.  5.00  6/15/2045   97,284 
 45,000   Devon Energy Corp.  5.60  7/15/2041   45,405 
 130,000   Marathon Oil Corp.  2.70  6/1/2020   127,417 
 50,000   Marathon Oil Corp.  5.90  3/15/2018   52,258 
 170,000   Noble Energy, Inc.  4.15  12/15/2021   180,762 
 200,000   Petroleos Mexicanos (a)  5.50  2/4/2019   210,900 
 170,000   Phillips 66  4.88  11/15/2044   188,851 
 225,000   Pioneer Natural Resources Co.  7.50  1/15/2020   260,302 
 225,000   Shell International Finance BV  4.13  5/11/2035   241,335 
 230,000   Sinopec Group Overseas Development 2015 Ltd. (a)  2.50  4/28/2020   234,044 
 125,000   Suncor Energy, Inc.  6.10  6/1/2018   134,266 
               2,990,577 
     OIL & GAS SERVICES - 0.0% **           
 110,000   Schlumberger Holdings Corp. (a)  3.00  12/21/2020   114,701 
                 
     PHARMACEUTICALS - 0.6%           
 375,000   AbbVie, Inc.  1.80  5/14/2018   376,532 
 50,000   AbbVie, Inc.  3.20  11/6/2022   52,055 
 85,000   Actavis Funding SCS  3.00  3/12/2020   87,764 
 20,000   Actavis Funding SCS  3.45  3/15/2022   20,997 
 55,000   Actavis Funding SCS  3.80  3/15/2025   58,209 
 50,000   Actavis Funding SCS  3.85  6/15/2024   53,145 
 175,000   Actavis Funding SCS  4.55  3/15/2035   185,885 
 275,000   Bayer US Finance LLC (a)  2.38  10/8/2019   279,036 
 170,000   Cardinal Health, Inc.  3.20  3/15/2023   178,395 
 35,000   Cardinal Health, Inc.  4.50  11/15/2044   38,499 
 95,000   EMD Finance LLC (a)  2.95  3/19/2022   97,934 
 135,000   EMD Finance LLC (a)  3.25  3/19/2025   139,292 
 100,000   Forest Laboratories LLC (a)  5.00  12/15/2021   111,917 
 150,000   Merck & Co., Inc.  2.75  2/10/2025   155,439 
 220,000   Mylan NV (a)  3.00  12/15/2018   224,850 
 325,000   Teva Pharmaceutical Finance Netherlands III BV  2.80  7/21/2023   325,834 
 30,000   Teva Pharmaceutical Finance Netherlands III BV  4.10  10/1/2046   29,858 
               2,415,641 
     PIPELINES - 0.4%           
 65,000   Columbia Pipeline Group, Inc.  2.45  6/1/2018   65,387 
 175,000   Columbia Pipeline Group, Inc.  4.50  6/1/2025   190,078 
 95,000   Enterprise Products Operating LLC  3.95  2/15/2027   99,547 
 130,000   Enterprise Products Operating LLC  5.10  2/15/2045   139,810 
 100,000   Phillips 66 Partners LP  3.61  2/15/2025   100,573 
 250,000   Regency Energy Partners LP / Regency Energy Finance Corp.  5.88  3/1/2022   275,669 
 275,000   Sunoco Logistics Partners Operations LP  4.40  4/1/2021   295,003 
 131,000   TransCanada PipeLines Ltd.  4.88  1/15/2026   151,552 
 200,000   Western Gas Partners LP  4.00  7/1/2022   204,500 
               1,522,119 
     REAL ESTATE INVESTMENT TRUSTS - 0.4%           
 300,000   American Tower Corp.  3.45  9/15/2021   315,737 
 50,000   AvalonBay Communities, Inc.  2.95  9/15/2022   51,305 
 140,000   Crown Castle International Corp.  3.70  6/15/2026   146,076 
 150,000   DDR Corp.  4.63  7/15/2022   162,758 
 75,000   HCP, Inc.  3.88  8/15/2024   76,770 
 200,000   HCP, Inc.  4.00  6/1/2025   205,363 
 260,000   Scentre Group Trust 1/Scentre Group Trust 2 (a)  2.38  11/5/2019   263,778 
 275,000   WEA Finance LLC / Westfield UK & Europe Finance PLC (a)  3.25  10/5/2020   286,510 
               1,508,297 
     RETAIL - 0.3%           
 50,000   AutoZone, Inc.  2.88  1/15/2023   51,035 
 300,000   Auto Zone, Inc.  3.13  7/15/2023   310,840 
 250,000   CVS Health Corp.  4.00  12/5/2023   275,361 
 55,000   CVS Health Corp.  4.88  7/20/2035   64,453 
 130,000   CVS Health Corp.  5.13  7/20/2045   159,074 
 200,000   O’Reilly Automotive, Inc.  3.80  9/1/2022   212,589 
 100,000   The Home Depot, Inc.  2.00  6/15/2019   102,081 
               1,175,433 
 C: 

 

 
     SOFTWARE - 0.2%           
 235,000   Microsoft Corp.  2.40  8/8/2026   235,199 
 180,000   Microsoft Corp.  3.70  8/8/2046   182,193 
 225,000   Oracle Corp.  2.80  7/8/2021   235,032 
               652,424 
     TELECOMMUNICATIONS - 0.3%           
 30,000   AT&T, Inc.  3.95  1/15/2025   31,845 
 20,000   AT&T, Inc.  4.50  5/15/2035   21,014 
 110,000   AT&T, Inc.  4.75  5/15/2046   115,110 
 150,000   Crown Castle Towers LLC (a)  3.22  5/15/2022   155,536 
 120,000   GTP Acquisition Partners I LLC (a)  2.35  6/15/2020   119,532 
 225,000   Orange SA  9.00  3/1/2031   358,987 
 334,000   Verizon Communications, Inc.  4.52  9/15/2048   353,149 
 4,000   Verizon Communications, Inc.  6.40  9/15/2033   5,183 
               1,160,356 
     TOYS/GAMES/HOBBIES - 0.0% **           
 50,000   Mattel, Inc.  2.35  5/6/2019   50,846 
                 
     TRANSPORTATION - 0.1%           
 85,000   FedEx Corp.  4.55  4/1/2046   94,416 
 225,000   FedEx Corp.  8.00  1/15/2019   257,958 
 89,000   Kansas City Southern  4.95  8/15/2045   101,033 
               453,407 
     TRUCKING & LEASING - 0.1%           
 150,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  3.20  7/15/2020   155,220 
 200,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  3.38  2/1/2022   207,984 
 50,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  4.88  7/11/2022   55,795 
               418,999 
     WHOLE LOAN COLLATERAL - 0.1%           
 98,447   Mill City Mortgage Loan Trust 2016-1 (a)++  2.50  4/25/2057   98,997 
 210,881   Towd Point Mortgage Trust 2016-3 (a)++  2.25  8/25/2055   210,785 
               309,782 
                 
     TOTAL CORPORATE BONDS (Cost $42,198,790)         44,107,545 
                 
     COMMERCIAL MORTGAGE BACKED SECURITIES - 1.1%           
 155,000   Banc of America Commercial Mortgage Trust 2015-UBS7  3.71  9/15/2048   172,007 
 525,000   Citigroup Commercial Mortgage Trust 2015-GC35  3.82  11/10/2048   581,829 
 130,000   COMM 2013-CCRE8 Mortgage Trust  3.33  6/10/2046   139,602 
 225,000   CSAIL 2015-C1 Commercial Mortgage Trust  3.51  4/15/2050   244,277 
 420,000   CSAIL 2015-C2 Commercial Mortgage Trust  3.50  6/15/2057   456,021 
 405,000   CSAIL 2015-C3 Commercial Mortgage Trust  3.72  8/15/2048   447,332 
 465,000   Fannie Mae Multifamily Remic Trust 2015-M12 ++  2.88  5/25/2025   489,559 
 300,000   GS Mortgage Securities Trust 2015-GS1  3.73  11/10/2048   332,824 
 75,106   JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19++  5.88  2/12/2049   76,105 
 101,619   JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20++  5.79  2/12/2051   104,442 
 100,000   JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1  3.91  1/15/2049   111,706 
 19,596   LB-UBS Commercial Mortgage Trust 2008-C1++  6.29  4/15/2041   20,532 
 73,232   ML-CFC Commercial Mortgage Trust 2007-7++  5.81  6/12/2050   74,912 
 104,866   ML-CFC Commercial Mortgage Trust 2007-9  5.70  9/12/2049   108,213 
 490,000   Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22  3.31  4/15/2048   523,435 
 100,000   SFAVE Commerical Mortgage Securities Trust 2015-5AVE (a)++  4.14  1/5/2043   106,493 
 260,000   SG Commercial Mortgage Securities Trust 2016-C5  3.06  10/10/2048   270,092 
 5,739   Wachovia Bank Commercial Mortgage Trust Series 2006-C29  5.31  11/15/2048   5,744 
 125,000   Wells Fargo Commercial Mortgage Trust 2015-LC22  3.84  9/15/2058   139,268 
 250,000   Wells Fargo Commercial Mortgage Trust 2015-NXS1  3.15  5/15/2048   264,976 
     TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $4,465,698)         4,669,369 
 C: 

 

 
     MORTGAGE BACKED SECURITIES - 8.6%           
     FEDERAL HOME LOAN MORTGAGE CORP. - 2.2%           
 100,000   Freddie Mac +  2.50  10/1/2030   103,656 
 200,000   Freddie Mac +  3.00  10/1/2030   210,094 
 525,000   Freddie Mac +  4.00  11/15/2044   562,857 
 175,000   Freddie Mac +  4.50  10/1/2044   191,585 
 50,000   Freddie Mac +  5.00  10/1/2044   55,444 
 50,000   Freddie Mac +  5.50  10/1/2038   56,242 
 27,503   Freddie Mac Gold Pool  2.50  10/1/2028   28,665 
 15,092   Freddie Mac Gold Pool  3.00  9/1/2028   15,941 
 52,364   Freddie Mac Gold Pool  3.00  2/1/2043   54,745 
 4,158,053   Freddie Mac Gold Pool  3.00  9/1/2046   4,324,700 
 148,902   Freddie Mac Gold Pool  3.50  11/1/2034   158,667 
 42,706   Freddie Mac Gold Pool  3.50  10/1/2043   45,143 
 2,811,182   Freddie Mac Gold Pool  3.50  6/1/2046   2,977,719 
 33,025   Freddie Mac Gold Pool  4.00  8/1/2044   35,499 
               8,820,957 
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 5.9%           
 1,375,000   Fannie Mae +  2.50  10/1/2030   1,424,844 
 700,000   Fannie Mae +  3.00  11/1/2026   733,879 
 775,000   Fannie Mae +  3.00  10/1/2030   813,871 
 3,300,000   Fannie Mae +  3.00  10/14/2045   3,433,805 
 200,000   Fannie Mae +  3.50  10/15/2029   210,844 
 100,000   Fannie Mae +  4.00  10/15/2030   103,359 
 1,625,000   Fannie Mae +  4.00  10/1/2044   1,745,986 
 675,000   Fannie Mae +  4.50  10/1/2038   739,441 
 375,000   Fannie Mae +  5.00  10/1/2033   416,426 
 300,000   Fannie Mae +  5.50  10/1/2033   337,922 
 75,000   Fannie Mae +  6.00  10/25/2035   86,062 
 155,889   Fannie Mae Pool  2.47  5/1/2025   160,990 
 37,162   Fannie Mae Pool  2.50  4/1/2028   38,597 
 310,000   Fannie Mae Pool  2.68  5/1/2025   324,290 
 400,000   Fannie Mae Pool  2.81  7/1/2025   423,041 
 110,000   Fannie Mae Pool  2.99  10/1/2025   118,044 
 25,241   Fannie Mae Pool  3.00  10/1/2028   26,563 
 102,541   Fannie Mae Pool  3.00  7/1/2043   107,012 
 1,205,961   Fannie Mae Pool  3.00  9/1/2045   1,255,544 
 2,212,296   Fannie Mae Pool  3.00  1/1/2046   2,307,057 
 54,242   Fannie Mae Pool  3.09  10/1/2025   58,544 
 3,844,328   Fannie Mae Pool  3.50  2/1/2046   4,064,635 
 2,755,051   Fannie Mae Pool  3.50  3/1/2046   2,909,054 
 52,769   Fannie Mae Pool  4.00  11/1/2043   56,883 
 928,092   Fannie Mae Pool  4.00  1/1/2046   999,382 
 1,026,281   Fannie Mae Pool  4.00  2/1/2046   1,104,979 
               24,001,054 
     GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.5%           
 315,000   Ginnie Mae +  3.00  5/20/2046   330,332 
 425,000   Ginnie Mae +  4.00  10/15/2045   455,580 
 350,000   Ginnie Mae +  4.50  10/1/2044   377,727 
 50,000   Ginnie Mae +  5.00  10/1/2044   55,617 
 100,000   Ginnie Mae +  5.00  10/15/2045   108,047 
 59,030   Ginnie Mae II Pool  3.00  12/20/2042   62,186 
 66,912   Ginnie Mae II Pool  3.50  7/20/2043   71,357 
 614,651   Ginnie Mae II Pool  3.50  2/20/2046   654,525 
 28,556   Ginnie Mae II Pool  4.00  12/20/2044   30,698 
               2,146,069 
     TOTAL MORTGAGE BACKED SECURITIES (Cost - $34,579,553)         34,968,080 
                 
     MUNICIPAL SECURITIES - 0.7%           
 115,000   Bay Area Toll Authority  7.04  4/1/2050   183,921 
 90,000   Chicago O’Hare International Airport  6.40  1/1/2040   126,689 
 25,000   Chicago Transit Authority  6.90  12/1/2040   33,317 
 55,000   Chicago Transit Authority  6.90  12/1/2040   72,255 
 315,000   County of Sacramento CA  5.73  8/15/2023   350,072 
 165,000   Kansas Development Finance Authority  4.93  4/15/2045   188,156 
 120,000   Long Island Power Authority  3.88  9/1/2024   128,286 
 60,000   Los Angeles Community College District  6.60  8/1/2042   92,408 
 100,000   Metropolitan Transportation Authority  6.81  11/15/2040   144,979 
 145,000   Municipal Electric Authority of Georgia  6.64  4/1/2057   195,740 
 230,000   New Jersey Economic Development Authority  3.80  6/15/2018   235,272 
 70,000   Port Authority of New York & New Jersey  4.81  10/15/2065   85,313 
 100,000   Port Authority of New York & New Jersey  5.65  11/1/2040   131,813 
 40,000   Regents of the University of California Medical Center Pooled Revenue  6.55  5/15/2048   57,780 
 115,000   Regents of the University of California Medical Center Pooled Revenue  6.58  5/15/2049   164,802 
 50,000   State of California  7.55  4/1/2039   80,070 
 35,000   State of California  7.60  11/1/2040   56,740 
 370,000   State of Illinois  5.10  6/1/2033   356,680 
 35,000   University of California  3.93  5/15/2045   36,684 
     TOTAL MUNICIPAL SECURITIES (Cost - $2,530,430)         2,720,977 
 C: 

 

 
     SOVEREIGN DEBT - 0.2%           
 320,000   Export-Import Bank of Korea  1.75  5/26/2019   322,679 
 330,000   Qatar Government International Bond (a)  4.63  6/2/2046   360,525 
     TOTAL SOVEREIGN DEBT (Cost - $641,760)         683,204 
                 
     U.S. TREASURY SECURITIES - 8.8%           
 3,815,000   United States Treasury Bond  2.50  2/15/2045   3,942,566 
 760,000   United States Treasury Bond  2.50  2/15/2046   785,531 
 250,000   United States Treasury Bond  2.88  5/15/2043   278,360 
 545,000   United States Treasury Bond  2.88  8/15/2045   607,036 
 690,000   United States Treasury Bond  3.00  11/15/2044   786,735 
 1,580,000   United States Treasury Bond  3.38  5/15/2044   1,927,785 
 5,000   United States Treasury Bond  3.63  8/15/2043   6,365 
 5,000   United States Treasury Bond  3.75  11/15/2043   6,507 
 3,550,000   United States Treasury Note  0.63  11/30/2017   3,547,227 
 2,080,000   United States Treasury Note  0.75  10/31/2017   2,081,462 
 685,000   United States Treasury Note  0.75  12/31/2017   685,295 
 700,000   United States Treasury Note  0.75  3/31/2018   700,191 
 835,000   United States Treasury Note  1.25  3/31/2021   839,370 
 2,640,000   United States Treasury Note  1.38  7/31/2018   2,668,565 
 1,495,000   United States Treasury Note  1.38  12/31/2018   1,513,221 
 1,470,000   United States Treasury Note  1.38  2/28/2019   1,488,719 
 725,000   United States Treasury Note  1.38  9/30/2020   733,638 
 1,465,000   United States Treasury Note  1.50  11/30/2019   1,490,695 
 7,455,000   United States Treasury Note  1.50  3/31/2023   7,508,288 
 345,000   United States Treasury Note  1.63  6/30/2020   352,520 
 465,000   United States Treasury Note  1.63  2/15/2026   465,164 
 235,000   United States Treasury Note  1.75  12/31/2020   241,279 
 2,595,000   United States Treasury Note  2.00  11/30/2020   2,689,878 
 400,000   United States Treasury Note  2.00  2/15/2025   414,219 
 20,000   United States Treasury Note  2.25  11/15/2025   21,113 
 2,400   United States Treasury Note  2.38  8/15/2024   2,557 
     TOTAL U.S. TREASURY SECURITIES (Cost - $34,818,883)         35,784,286 
                 
Shares               
    SHORT-TERM INVESTMENTS - 7.1%           
    MONEY MARKET FUND - 7.1%           
 28,970,188   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (b)           
     TOTAL SHORT-TERM INVESTMENTS (Cost - $28,970,188)         28,970,188 
                 
     TOTAL INVESTMENTS - 102.9% (Cost - $390,018,248)(c)        $419,239,351 
     OTHER ASSETS LESS LIABILITIES - NET - (2.9)%         (11,967,380)
     TOTAL NET ASSETS - 100.0%        $407,271,971 

 

+All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions.

 

*Non-income producing security.

 

**Represents less than 0.01%

 

++Variable rate security.

 

#Step coupon.

 

ADR - American Depositary Receipt

 

ETF - Exchange Traded Fund

 

LP - Limited Partnership

 

REIT - Real Estate Investment Trust

 

(a)144(a) - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of September 30, 2016, these securities amounted to $21,289,049 or 5.2% of net assets.

 

(b)Money market rate shown represents the rate at September 30, 2016.

 

(c)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes, including securities sold short, is $388,414,463 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $36,159,570 
Unrealized Depreciation:   (7,790,100)
Net Unrealized Appreciation:  $28,369,470 

 

^Formerly FVIT Wellington Research Managed Risk Portfolio.
 C: 

 

 
Principal Amount      Coupon Rate (%)  Maturity  Value 
     SECURITIES SOLD SHORT - (0.6)%           
     MORTGAGE BACKED SECURITIES - (0.6)%           
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - (0.6)%           
 2,325,000   Fannie Mae + (Cost - $2,445,105)  3.50  10/1/2042  $2,455,418 

 

+All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions.

 

Contracts      Unrealized Appreciation 
    SHORT FUTURES CONTRACT    
 4   MSCI Emerging Market E-Mini Future December 2016     
     (Underlying Face Amount at Value $182,500)  $2,900 
           
     LONG FUTURES CONTRACT     
 15   US 10 Year Future December 2016     
     (Underlying Face Amount at Value $1,966,875)  $4,922 
           
     NET UNREALIZED APPRECIATION OF SHORT FUTURES CONTRACTS  $7,822 
 C: 

 

 
Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 39.3%     
     DEBT FUNDS - 23.8%     
 48   iShares Core U.S. Aggregate Bond ETF  $5,396 
 14   iShares International Aggregate Bond Fund   750 
         6,146 
           
     EQUITY FUNDS - 15.5%     
 8   iShares Core S&P 500 ETF   1,740 
 22   iShares MSCI EAFE Value ETF   1,015 
 4   iShares Russell 2000 ETF   497 
 8   iShares S&P 500 Value ETF   760 
         4,012 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $9,922)   10,158 
           
     VARIABLE INSURANCE TRUSTS - 59.5%     
     DEBT FUNDS - 40.6%     
 363   American Funds Insurance Series - Bond Fund - Class I   4,089 
 321   BlackRock High Yield VI Fund - Class I   2,314 
 305   MFS Research Bond Series   4,091 
         10,494 
           
     EQUITY FUNDS - 18.9%     
 97   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class I   1,282 
 25   American Funds Insurance Series - New World Fund - Class I   510 
 26   MFS Growth Series   1,021 
 65   MFS VIT III Mid Cap Value Portfolio   517 
 7   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   511 
 466   Oppenheimer International Growth Fund - Non-Service Shares   1,024 
         4,865 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $15,298)   15,359 
           
     SHORT-TERM INVESTMENT - 1.3%     
     MONEY MARKET FUND - 1.3%     
 329   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $329)   329 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $25,549)(b)  $25,846 
     OTHER ASSETS LESS LIABILITIES -NET - (0.1)%   (15)
     TOTAL NET ASSETS - 100.0%  $25,831 

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,549 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $399 
Unrealized Depreciation:   (102)
Net Unrealized Appreciation:  $297 
 C: 

 

 
Global Atlantic Wilshire Dynamic Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 48.1%     
     DEBT FUNDS - 22.6%     
 34   iShares Core U.S. Aggregate Bond ETF  $3,822 
 38   iShares International Aggregate Bond Fund   2,035 
         5,857 
           
     EQUITY FUNDS - 25.5%     
 9   iShares Core MSCI EAFE ETF   496 
 8   iShares Core S&P 500 ETF   1,740 
 19   iShares Global REIT ETF   517 
 50   iShares MSCI EAFE Value ETF   2,308 
 4   iShares Russell 2000 ETF   497 
 11   iShares S&P 500 Value ETF   1,045 
         6,603 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $12,161)   12,460 
           
     VARIABLE INSURANCE TRUSTS - 50.6%     
     DEBT FUNDS - 22.8%     
 114   American Funds Insurance Series - Bond Fund - Class I   1,284 
 251   BlackRock High Yield VI Fund - Class I   1,808 
 57   MFS Research Bond Series   770 
 183   PIMCO Variable Insurance Trust - Foreign Bond Portfolio U.S. Dollar Hedged Fund - Institutional Class   2,057 
         5,919 
           
     EQUITY FUNDS - 27.8%     
 98   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1   1,287 
 75   American Funds Insurance Series - New World Fund - Class I   1,536 
 26   MFS Growth Series   1,026 
 98   MFS VIT III Mid Cap Value Portfolio   779 
 7   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   513 
 935   Oppenheimer International Growth Fund - Non-Service Shares   2,058 
         7,199 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $12,973)   13,118 
           
     SHORT-TERM INVESTMENT - 1.3%     
     MONEY MARKET FUND - 1.3%     
 348   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $348)   348 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $25,482)(b)  $25,926 
     OTHER ASSETS LESS LIABILITIES -NET - 0.0%*   11 
     TOTAL NET ASSETS - 100.0%  $25,937 

 

*Represents less than 0.05%.

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,482 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $565 
Unrealized Depreciation:   (121)
Net Unrealized Appreciation:  $444 
 C: 

 

 
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 48.2%     
     DEBT FUND - 13.0%     
 30   iShares Core U.S. Aggregate Bond ETF  $3,373 
           
     EQUITY FUNDS - 35.2%     
 14   iShares Core MSCI EAFE ETF   772 
 17   iShares Core S&P 500 ETF   3,699 
 19   iShares Global REIT ETF   517 
 45   iShares MSCI EAFE Value ETF   2,077 
 6   iShares Russell 2000 ETF   745 
 14   iShares S&P 500 Value ETF   1,329 
         9,139 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $12,146)   12,512 
           
     VARIABLE INSURANCE TRUSTS - 51.6%     
     DEBT FUNDS - 14.9%     
 114   American Funds Insurance Series - Bond Fund - Class I   1,285 
 251   BlackRock High Yield VI Fund - Class I   1,809 
 58   MFS Research Bond Series   771 
         3,865 
           
     EQUITY FUNDS - 36.7%     
 176   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1   2,320 
 75   American Funds Insurance Series - New World Fund - Class I   1,536 
 39   MFS Growth Series   1,541 
 164   MFS VIT III Mid Cap Value Portfolio   1,298 
 14   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   1,028 
 819   Oppenheimer International Growth Fund - Non-Service Shares   1,802 
         9,525 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $13,387)   13,390 
           
     SHORT-TERM INVESTMENT - 1.7%     
     MONEY MARKET FUND - 1.7%     
 458   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $458)   458 
           
     TOTAL INVESTMENTS - 101.5% (Cost - $25,991)(b)  $26,360 
     OTHER ASSETS LESS LIABILITIES -NET - (1.5)%   (400)
     TOTAL NET ASSETS - 100.0%  $25,960 

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,991 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $548 
Unrealized Depreciation:   (179)
Net Unrealized Appreciation:  $369 
 C: 

 

 
Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2016 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 45.4%     
     DEBT FUNDS - 20.7%     
 43   iShares Core U.S. Aggregate Bond ETF  $4,834 
 10   iShares International Aggregate Bond Fund   535 
         5,369 
           
     EQUITY FUNDS - 24.7%     
 14   iShares Core S&P 500 ETF   3,046 
 39   iShares MSCI EAFE Value ETF   1,800 
 4   iShares Russell 2000 ETF   497 
 11   iShares S&P 500 Value ETF   1,045 
         6,388 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $11,443)   11,757 
           
     VARIABLE INSURANCE TRUSTS - 53.5%     
     DEBT FUNDS - 24.8%     
 227   American Funds Insurance Series - Bond Fund - Class I   2,562 
 251   BlackRock High Yield VI Fund - Class I   1,804 
 153   MFS Research Bond Series   2,050 
         6,416 
           
     EQUITY FUNDS - 28.7%     
 137   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1   1,799 
 50   American Funds Insurance Series - New World Fund - Class I   1,022 
 32   MFS Growth Series   1,280 
 131   MFS VIT III Mid Cap Value Portfolio   1,036 
 10   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   769 
 700   Oppenheimer International Growth Fund - Non-Service Shares   1,540 
         7,446 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $13,846)   13,862 
           
     SHORT-TERM INVESTMENTS - 0.9%     
     MONEY MARKET FUND - 0.9%     
 226   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $226)   226 
           
     TOTAL INVESTMENTS - 99.8% (Cost - $25,515)(b)  $25,845 
     OTHER ASSETS LESS LIABILITIES -NET - 0.2%   51 
     TOTAL NET ASSETS - 100.0%  $25,896 

 

(a)Money market rate shown represents the rate at September 30, 2016.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,515 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $471 
Unrealized Depreciation:   (141)
Net Unrealized Appreciation:  $330 
 C: 

 

 

The following is a summary of significant accounting policies followed by the Portfolios in preparation of their financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Portfolios follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.

 

Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Futures and future options are valued at the final settle price or, in the absence of a settle price, at the last sale price on the day of valuation. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost to the extent it is determined that amortized cost approximates fair value. Investments in open-end investment companies are valued at net asset value, as discussed in more detail below.

 

Valuation of Investment Companies – The Portfolios may invest in portfolios of open-end investment companies (the “underlying funds”). The underlying funds are valued at their respective net asset values as reported by such investment companies. The underlying funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by the board(s) of trustees of the underlying funds.

 

Exchange Traded Funds – The Portfolios may invest in passive exchange traded funds (“ETFs”). ETFs are a type of index fund that is bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. The Portfolios may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity in an ETF could result in it being more volatile than the underlying securities. Additionally, ETFs have fees and expenses that increase their costs versus the costs of owning the underlying securities directly.

 

Illiquid Securities – The Portfolios may hold securities, such as private placements, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued at their fair market value as determined using the “fair value” procedures approved by the Board of Trustees (the “Board”). The Board has delegated execution of these procedures to a fair value team composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) Global Atlantic Investment Advisors, LLC (formerly Forethought Investment Advisors, LLC prior to March 30, 2016) (the “Adviser”) and/or Sub-Adviser. The team may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant, or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

 C: 

 

 

Fair Value Team and Valuation Process – As noted above, the fair valuation team is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) Adviser and/or Sub-adviser. The applicable investments are valued collectively via inputs from each of these groups. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are not readily available on a particular business day (including, without limitation, securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); (ii) securities for which, in the opinion of the Adviser or sub-adviser, the prices or values available do not represent the fair value of the instrument (factors which may cause the Adviser or sub-adviser to make such a judgment include, but are not limited to, the following: the availability of only a bid price or an ask price; the spread between bid and ask prices; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets or regulators, such as the suspension or limitation of trading); (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) subsequent to the determination of the closing price reported on the principal exchange on which the securities are traded, but prior to the relevant Portfolio’s calculation of its net asset value (“NAV”); and (v) mutual funds that do not provide timely NAV information. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private placements or non-traded securities are valued via inputs from the Adviser or sub-adviser valuation based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the Adviser or sub-adviser is unable to obtain a current bid from such independent dealers or other independent parties, the fair value team shall determine the fair value of restricted or illiquid securities using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Portfolio’s holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights as well as any estimation of the cost of registration or otherwise qualifying the security for public sale, including commissions; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; (xi) the market value of any securities into which the security is convertible or exchangeable; and (xii) the security’s embedded option values; and (xiii) information about the financial condition of the issuer and its prospects.

 

Each Portfolio utilizes various methods to measure the fair value of all of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Portfolio 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 in 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 Portfolio’s 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.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 C: 

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of September 30, 2016 for each Portfolio’s investments measured at fair value:

 

Global Atlantic American Funds® Managed Risk Portfolio

 

Assets  Level 1   Level 2   Level 3   Total 
Variable Insurance Trusts  $196,361,198   $   $   $196,361,198 
Money Market Fund   23,550,512            23,550,512 
Total  $219,911,710   $   $   $219,911,710 
                     
Global Atlantic Balanced Managed Risk Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $94,577,688   $   $   $94,577,688 
Money Market Fund   8,243,368            8,243,368 
Total  $102,821,056   $   $   $102,821,056 
                     
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Variable Insurance Trusts  $269,134,232   $   $   $269,134,232 
Money Market Fund   13,858,591            13,858,591 
Total  $282,992,823   $   $   $282,992,823 
                     
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Common Stock  $145,941,954   $   $   $145,941,954 
Mutual Fund   50,813,390            50,813,390 
Money Market Fund   16,353,985            16,353,985 
Short Futures Contracts *   9,705            9,705 
Total  $213,109,329   $   $   $213,109,329 
 C: 

 

 
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $8,744,685   $   $   $8,744,685 
U.S. Treasury Note       12,800,735        12,800,735 
Purchased Options   54,430            54,430 
Short Term Investments   3,615,553    3,635,085        7,250,638 
Long Futures Contracts *   19,918            19,918 
Total  $12,434,586   $16,435,820   $   $28,870,406 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Written Options  $2,488   $   $   $2,488 
Total  $2,488   $   $    2,488 
                     
Global Atlantic Growth Managed Risk Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $433,792,767   $   $   $433,792,767 
Money Market Fund   45,713,848            45,713,848 
Total  $479,506,615   $   $   $479,506,615 
                     
Global Atlantic Moderate Growth Managed Risk Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $132,541,858   $   $   $132,541,858 
Money Market Fund   13,433,416            13,433,416 
Total  $145,975,274   $   $   $145,975,274 
                     
Global Atlantic Motif Aging of America Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $95,777   $   $   $95,777 
Money Market Fund   761            761 
Total  $96,538   $   $   $96,538 
                     
Global Atlantic Motif Real Estate Trends Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $93,877   $   $   $93,877 
Money Market Fund   517            517 
Total  $94,394   $   $   $94,394 
 C: 

 

 
Global Atlantic Motif Technological Innovations Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $105,819   $   $   $105,819 
Money Market Fund   139            139 
Total  $105,958   $   $   $105,958 
                     
Global Atlantic PIMCO Tactical Allocation Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $5,795,930   $   $   $5,795,930 
Asset Backed Securities       572,208        572,208 
Corporate Bond       4,543,331        4,543,331 
Mortgage Backed Securities       4,132,070        4,132,070 
Collateralized Mortgage Obligations       961,763        961,763 
Commercial Mortgage Backed Securities       338,379        338,379 
U.S. Treasury Securities       3,997,439        3,997,439 
Purchased Options   174,480            174,480 
Short Term Investments   463,602    2,296,552        2,760,154 
Swap Contracts       8,919        8,919 
Long Futures Contracts*   665            665 
Total  $6,434,677   $16,850,661   $   $23,285,338 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Short Futures Contracts*  $4,856   $   $   $4,856 
Total  $4,856   $   $   $4,856 
                     
Global Atlantic Select Advisor Managed Risk Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $17,024,919   $   $   $17,024,919 
Variable Insurance Trusts   85,783,617            85,783,617 
Money Market Fund   7,454,529            7,454,529 
Total  $110,263,065   $   $   $110,263,065 
 C: 

 

 
Global Atlantic Wellington Research Managed Risk Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Common Stock  $246,035,536   $   $   $246,035,536 
Exchange Traded Funds   7,063,493            7,063,493 
Preferred Stock   83,820            83,820 
Asset Backed Securities       14,152,853        14,152,853 
Corporate Bonds       4,107,545        44,107,545 
Commercial Mortgage Backed Securities       4,669,369        4,669,369 
Mortgage Backed Securities       34,968,080        34,968,080 
Municipal Securities       2,720,977        2,720,977 
Sovereign Debt       683,204        683,204 
U.S. Treasury Securities       35,784,286        35,784,286 
Short Term Investments   28,970,188            28,970,188 
Long & Short Futures Contracts *   7,822            7,822 
Total  $282,160,859   $137,086,314   $   $419,247,173 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Security Sold Short  $   $2,455,418   $   $2,455,418 
Total  $   $2,455,418   $   $2,455,418 
                     
Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $10,158   $   $   $10,158 
Variable Insurance Trusts   15,359            15,359 
Money Market Fund   329            329 
Total  $25,846   $   $   $25,846 
                     
Global Atlantic Wilshire Dynamic Global Allocation Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $12,460   $   $   $12,460 
Variable Insurance Trusts   13,118            13,118 
Money Market Fund   348            348 
Total  $25,926   $   $   $25,926 
 C: 

 

 
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $12,512   $   $   $12,512 
Variable Insurance Trusts   13,390            13,390 
Money Market Fund   458            458 
Total  $26,360   $   $   $26,360 
                     
Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio
   
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $11,757   $   $   $11,757 
Variable Insurance Trusts   13,862            13,862 
Money Market Fund   226            226 
Total  $25,845   $   $   $25,845 

 

*Cumulative appreciation (depreciation) on futures contracts is reported in the above table.

 

The Portfolios did not hold any Level 3 securities during the period.

 

There were no transfers between levels for any Portfolio. It is the Portfolios’ policy to record transfers at the end of the reporting period.

 

Cash and Cash Equivalents – Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Portfolios maintain deposits with a financial institution which are generally an amount that is in excess of federally insured limits.

 

Foreign Currency Translation – The accounting records of the Portfolios’ are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates deemed appropriate by the investment adviser. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of such transactions.

 

Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investments.

 

Forward Foreign Currency Contracts As foreign securities are purchased, a Portfolio may enter into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. A forward involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by the Portfolio as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from forward foreign currency contracts in the statements of operations.

 

When-Issued and Delayed-Delivery Transactions – The Portfolios may engage in when-issued or delayed-delivery transactions. The Portfolios record when-issued securities on the trade date and maintain security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

 C: 

 

 

Dollar Roll Transactions – A mortgage dollar roll transaction involves a sale by the Portfolio of mortgage related securities that it holds with an agreement by the Portfolios to repurchase similar securities at an agreed upon price and date. The securities purchased will bear the same interest rate as those sold, but generally will be collateralized by pools of mortgages with different prepayment histories than those securities sold. The Portfolios account for mortgage dollar rolls as purchases and sales transactions.

 

Options Transactions – The Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio and Global Atlantic PIMCO Tactical Allocation Portfolio are subject to equity price risk, interest rate risk and foreign currency risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against this risk.

 

A Portfolio may purchase and write (i.e., sell) put and call options. Such options may relate to particular securities, futures or stock indices, and may or may not be listed on a domestic or foreign securities exchange and may or may not be issued by the Options Clearing Corporation. Options trading is a highly specialized activity that entails greater than ordinary investment risk. Options may be more volatile than the underlying instruments, and therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. A call option for a particular security gives the purchaser of the option the right to buy, and the writer (seller) the obligation to sell, the underlying security at the stated exercise price at any time prior to the expiration of the option, regardless of the market price of the security. The premium paid to the writer is in consideration for undertaking the obligation under the option contract. A put option for a particular security gives the purchaser the right to sell the security and the writer (seller) the obligation to buy the underlying security at the stated exercise price at any time prior to the expiration date of the option, regardless of the market price of the security.

 

Stock index options are put options and call options on various stock indices. In most respects, they are identical to listed options on common stocks. The primary difference between stock options and index options occurs when index options are exercised. In the case of stock options, the underlying security, common stock, is delivered. However, upon the exercise of an index option, settlement does not occur by delivery of the securities comprising the index. The option holder who exercises the index option receives an amount of cash if the closing level of the stock index upon which the option is based is greater than, in the case of a call, or less than, in the case of a put, the exercise price of the option. This amount of cash is equal to the difference between the closing price of the stock index and the exercise price of the option expressed in dollars times a specified multiple. A stock index fluctuates with changes in the market value of the stocks included in the index.

 

The Portfolios may purchase and sell options on the same types of futures in which it may invest. Options on futures are similar to options on underlying instruments except that options on futures give the purchaser the right, in return for the premium paid, to assume a position in a futures contract (a long position if the option is a call and a short position if the option is a put), rather than to purchase or sell the futures contract, at a specified exercise price at any time during the period of the option. Upon exercise of the option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by the delivery of the accumulated balance in the writer’s futures margin account which represents the amount by which the market price of the futures contract, at exercise, exceeds (in the case of a call) or is less than (in the case of a put) the exercise price of the option on the futures contract. Purchasers of options who fail to exercise their options prior to the exercise date suffer a loss of the premium paid.

 

Futures ContractsThe Portfolios are subject to equity price risk in the normal course of pursuing their investment objectives. The Portfolios may sell futures contracts to hedge against market risk, foreign currency exchange rate risks, and to reduce return volatility. A futures contract provides for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument (e.g., units of a stock index) for a specified price, date, time and place designated at the time the contract is made. Brokerage fees are incurred when a futures contract is bought or sold and initial and variation margin deposits must be maintained. Entering into a contract to buy is commonly referred to as buying or purchasing a contract or holding a long position. Entering into a contract to sell is commonly referred to as selling a contract or holding a short position. The Portfolios may also buy or sell hedge instruments based on one or more market indices in an attempt to maintain the Portfolios’ volatility at a targeted level. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Portfolio’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, a Portfolio

 C: 

 

 

recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Portfolio’s basis in the contract. If a Portfolio were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Portfolio would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Each Portfolio segregates liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. These amounts are disclosed on the Statements of Assets and Liabilities as Deposits with Brokers. Risks may exceed amounts recognized in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to a Portfolio since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

Swap Agreements – The Global Atlantic Wellington Research Managed Risk Portfolio and the Global Atlantic PIMCO Tactical Allocation Portfolio are subject to equity price risk and/or interest rate risk in the normal course of pursuing their investment objectives. The Portfolios may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), or credit risk. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.

 

The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. A Portfolio amortizes upfront payments and/or accrues for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statement of Operations. Realized gains and losses from the decrease in notional value of the swap are recognized on trade date. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statement of Operations. A Portfolio segregates cash or liquid securities having a value at least equal to the amount of its current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market and counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Each Portfolio’s maximum risk of loss from the counterparty credit risk is the discounted net value of the cash flow to be received from the counterparty over the contract’s remaining life, to be the extent that amount is positive.

 

Short Sales – A Portfolio may make short sales of securities: (i) to offset potential declines in long positions in similar securities; (ii) to increase the flexibility of the Portfolio; (iii) for investment return, (iv) as part of a risk arbitrage strategy; and (v) as part of its overall portfolio management strategies involving the use of derivative instruments. A short sale is a transaction in which the Portfolio sells a security it does not own or have the right to acquire (or that it owns but does not wish to deliver) in anticipation that the market price of that security will decline.

 

When a Portfolio makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Portfolio is required to make a margin deposit in connection with such short sales; the Portfolio may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.

 

If the price of the security sold short increases between the time of the short sale and the time the Portfolio cover its short position, the Portfolio will incur a loss; conversely, if the price declines, the Portfolio will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.

 

To the extent a Portfolio sells securities short, it will provide collateral to the broker-dealer and (except in the case of short sales “against the box”) will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current market value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A Portfolio does not intend to enter into short sales (other than short sales “against the box”) if immediately after such sales the aggregate of the value of all collateral plus the amount in such segregated account exceeds 10% of the value of the Portfolio’s net assets. This percentage may be varied by action of the Board of Trustees. A short sale is “against

 C: 

 

 

the box” to the extent the Portfolio contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short.

 

The notional value and unrealized appreciation/(depreciation) of the derivative instruments outstanding as of September 30, 2016, as disclosed in the Portfolios of Investments, serve as indicators of the volume of derivative activity for the Portfolios.

 C: 

 

 

Item 2. Controls and Procedures.

 

(a)       The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

(b)       There were no significant changes in the registrant’s internal control over financial reporting 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.

 

Item 3. Exhibits.

 

Certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) (and Item 3 of Form N-Q) are filed herewith

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) Forethought Variable Insurance Trust

 

By (Signature and Title)

* /s/ Robert M. Arena, Jr.

Robert M. Arena, Jr., Principal Executive Officer

 

Date 03/29/2017

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)

* /s/ Robert M. Arena, Jr.

Robert M. Arena, Jr., Principal Executive Officer

 

Date 03/29/2017

 

By (Signature and Title)

* /s/ Laura Szalyga

Laura Szalyga, Principal Financial Officer

 

Date 03/29/2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘N-Q’ Filing    Date    Other Filings
Filed on / Effective on:3/29/17
11/23/16N-Q
9/30/16497,  497K,  N-Q
For Period End:3/30/16
 List all Filings 
Top
Filing Submission 0001580642-17-001978   –   Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

Copyright © 2024 Fran Finnegan & Company LLC – All Rights Reserved.
AboutPrivacyRedactionsHelp — Thu., Mar. 28, 7:06:09.3am ET