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Forethought Variable Insurance Trust – ‘N-Q’ for 3/31/17

On:  Tuesday, 5/30/17, at 4:18pm ET   ·   Effective:  5/30/17   ·   For:  3/31/17   ·   Accession #:  1580642-17-3256   ·   File #:  811-22865

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

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

 5/30/17  Forethought Variable Ins Trust    N-Q         3/31/17    2:2.7M                                   Blu Giant, LLC/FAGlobal Atlantic American Funds Managed Risk PortfolioGlobal Atlantic Balanced Managed Risk PortfolioGlobal Atlantic BlackRock Global Allocation Managed Risk PortfolioGlobal Atlantic Franklin Dividend and Income Managed Risk Portfolio Global Atlantic Franklin Dividend and Income Managed Risk Portfolio Class II SharesGlobal Atlantic Goldman Sachs Dynamic Trends Allocation PortfolioGlobal 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 PortfolioGlobal Atlantic Select Advisor Managed Risk PortfolioGlobal Atlantic Wellington Research Managed Risk PortfolioGlobal 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    835K 
                          Management Investment Company                          
 2: EX-99.CERT  Miscellaneous Exhibit                               HTML     13K 


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, Indiana 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: 317-223-2703

 

Date of fiscal year end: 12/31

 

Date of reporting period: 3/31/2017

 

 

Item 1. Schedule of Investments.

 

Global Atlantic American Funds® Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    VARIABLE INSURANCE TRUSTS - 95.3%    
    DEBT FUND - 36.1%    
6,285,796   American Funds Insurance Series - Bond Fund - Class 1    $               68,640,889
   1,239,966   American Funds Insurance Series - High Income Bond Fund - Class 1                     12,994,839
                          81,635,728
    EQUITY FUNDS - 59.2%    
   2,450,729   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1                   34,555,281
   1,387,700   American Funds Insurance Series - Global Growth and Income Fund - Class 1                     19,386,174
      296,166   American Funds Insurance Series - Global Small Capitalization Fund- Class 1                       6,471,230
      324,969   American Funds Insurance Series - Growth Fund - Class 1                     23,888,484
      821,764   American Funds Insurance Series - Growth-Income Fund - Class 1                     38,935,193
      347,770   American Funds Insurance Series - International Fund - Class 1                       6,426,795
      199,478   American Funds Insurance Series - New World Fund - Class 1                       4,308,732
                        133,971,889
    TOTAL VARIABLE INSURANCE TRUSTS (Cost - $206,883,409)                   215,607,617
         
    SHORT-TERM INVESTMENTS - 4.8%    
    MONEY MARKET FUND - 4.8%    
 10,881,107   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
    to yield 0.56% (a)(Cost - $10,881,107)                     10,881,107
         
    TOTAL INVESTMENTS - 100.1% (Cost - $217,764,516)(b)    $             226,488,724
    OTHER ASSETS LESS LIABILITIES - NET - (0.1)%                         (127,900)
    TOTAL NET ASSETS - 100.0%    $          226,360,824
         
  (a) Money market rate shown represents the rate at March 31, 2017.
  (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $221,512,396
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $                 9,294,688
      Unrealized Depreciation:                    (4,318,360)
      Net Unrealized Appreciation:  $                 4,976,328

 

 

 

 

 

Global Atlantic Balanced Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    EXCHANGE TRADED FUNDS - 95.2%    
    DEBT FUNDS - 43.9%    
      50,194   iShares 1-3 Year Credit Bond ETF    $           5,281,915
      25,009   iShares 1-3 Year Treasury Bond ETF                 2,113,761
    231,967   iShares Core U.S. Aggregate Bond ETF               25,166,100
      14,240   iShares iBoxx $ High Yield Corporate Bond ETF                 1,249,987
        8,826   iShares JP Morgan USD Emerging Markets Bond ETF                 1,003,516
      48,284   iShares US Credit Bond ETF                 5,306,894
      82,498   iShares US Treasury Bond ETF                 2,066,575
                    42,188,748
    EQUITY FUNDS - 51.3%    
    150,377   iShares Core MSCI EAFE ETF                 8,714,347
      21,190   iShares Core MSCI Emerging Markets ETF                 1,012,670
    122,184   iShares Core S&P 500 ETF               28,990,598
      23,157   iShares Core S&P Mid-Cap ETF                 3,964,942
      28,076   iShares Core S&P Small-Cap ETF                 1,941,736
      35,668   iShares Russell 1000 ETF                 4,681,425
                    49,305,718
    TOTAL EXCHANGE TRADED FUNDS (Cost - $85,737,890)               91,494,466
         
    SHORT-TERM INVESTMENT - 4.6%    
    MONEY MARKET FUND - 4.6%    
 4,440,674   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class    
     to yield 0.56% (a)(Cost - $4,440,674)                 4,440,674
         
    TOTAL INVESTMENTS - 99.8% (Cost - $90,178,564)(b)    $         95,935,140
    OTHER ASSETS LESS LIABILITIES - NET - 0.2%                    179,654
    TOTAL NET ASSETS - 100.0%    $      96,114,794
         
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes is $90,432,182
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $           6,087,408
      Unrealized Depreciation:                 (584,450)
      Net Unrealized Appreciation:  $           5,502,958

 

 

 

Global Atlantic BlackRock Global Allocation Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    VARIABLE INSURANCE TRUST - 95.2%    
    ASSET ALLOCATION FUND - 95.2%    
     16,237,208   BlackRock Global Allocation V.I. Fund - Class 1 (Cost - $273,301,473 )    $             263,205,148
         
    SHORT-TERM INVESTMENTS - 4.8%    
    MONEY MARKET FUND - 4.8%    
     13,437,387   Fidelity Institutional Money Market Funds - Government Portfolio Institutional Class    
     to yield 0.56% (a)(Cost - $13,437,387)                     13,437,387
         
    TOTAL INVESTMENTS - 100.0% (Cost - $286,738,860)(b)    $             276,642,535
    OTHER ASSETS LESS LIABILITIES -NET - (0.0)% *                          (90,773)
    TOTAL NET ASSETS - 100.0%    $          276,551,762
         
         
 * Represents less than 0.05%.    
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $288,109,872
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $                               -
      Unrealized Depreciation:                 (11,467,337)
      Net Unrealized Depreciation:  $             (11,467,337)

 

 

 

 

 

Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    COMMON STOCKS - 67.9%    
    AEROSPACE/DEFENSE - 3.9%    
                         26,070   General Dynamics Corp.    $                  4,880,304
                         52,200   United Technologies Corp.                        5,857,362
                           10,737,666
    AGRICULTURE - 2.6%    
                         62,560   Archer-Daniels-Midland Co.                        2,880,262
                         53,800   Bunge Ltd.                        4,264,188
                             7,144,450
    APPAREL & TEXTILE PRODUCTS - 1.2 %    
                         58,940   Nike, Inc.                        3,284,726
         
    AUTO PARTS & EQUIPMENT - 0.2%    
                           8,077   Adient PLC                           586,956
         
    BEVERAGES - 1.3%    
                         32,200   PepsiCo, Inc.                        3,601,892
         
    BUILDING MATERIALS - 1.2%    
                         80,775   Johnson Controls International plc                        3,402,243
         
    CHEMICALS - 7.4%    
                         42,400   Air Products & Chemicals, Inc.                        5,736,296
                         78,200   Albemarle Corp.                        8,261,048
                         49,350   Praxair, Inc.                        5,852,910
                         15,350   Versum Materials, Inc.                           469,710
                           20,319,964
    COMMERCIAL SERVICES - 2.2%    
                         21,600   Cintas Corp.                        2,733,264
                         15,700   Ecolab, Inc.                        1,967,838
                         20,400   Matthews International Corp.                        1,380,060
                             6,081,162
    COMPUTERS - 2.0%    
                         44,800   Accenture PLC                        5,370,624
         
    COSMETICS/PERSONAL CARE - 2.6%    
                         45,966   Colgate-Palmolive Co.                        3,364,252
                         41,000   Procter & Gamble Co. (The )                        3,683,850
                             7,048,102
    DISTRIBUTION/WHOLESALE - 0.7%    
                           8,100   WW Grainger, Inc.                        1,885,356
         
    DIVERSIFIED FINANCIAL SERVICES - 0.7%    
                         21,690   Visa, Inc.                        1,927,590
         
    ELECTRONICS- 2.2%    
                         49,060   Honeywell International, Inc.                        6,126,122
         
    FOOD - 0.8%    
                         23,860   McCormick & Co., Inc.                        2,327,543
         
    HEALTHCARE-PRODUCTS - 8.8%    
                         61,600   Abbott Laboratories                        2,735,656
                         33,300   Becton Dickinson and Co.                        6,108,552
                         27,300   DENTSPLY Sirona, Inc.                        1,704,612
                         69,300   Medtronic PLC                        5,582,808
                         46,600   Stryker Corp.                        6,134,890
                         25,000   West Pharmaceutical Services, Inc.                        2,040,250
                           24,306,768
    HOME FURNISHINGS- 0.5%    
                         24,600   Legget & Platt, Inc.                        1,237,872
         
    INSURANCE - 1.4%    
                         20,500   Aflac, Inc.                        1,484,610
                         15,093   Chubb Ltd.                        2,056,421
                           3,200   RLI Corp.                           192,064
                             3,733,095
    IRON/STEEL - 0.7%    
                         30,210   Nucor Corp.                        1,804,141
         
    MACHINERY-DIVERSIFIED - 2.1%    
                         28,340   Roper Technologies, Inc.                        5,851,927
         
    MEDIA - 0.7%    
                         36,740   John Wiley & Sons, Inc.                        1,976,612
         
    MISCELLANEOUS MANUFACTURING - 4.7%    
                         22,180   Carlisle Cos., Inc.                        2,360,174
                         41,900   Donaldson Co., Inc.                        1,907,288
                         55,900   Dover Corp.                        4,491,565
                         66,470   Pentair PLC                        4,172,987
                           12,932,014
    OIL & GAS - 1.6%    
                           9,900   Chevron Corp.                        1,062,963
                           6,500   EOG Resources, Inc.                           634,075
                         22,300   ExxonMobil Corp.                        1,828,823
                         13,500   Occidental Petroleum Corp.                           855,360
                             4,381,221
    OIL & GAS SERVICES - 1.1%    
                         38,000   Schlumberger Ltd.                        2,967,800
         
    PHARMACEUTICALS - 3.1%    
                         22,560   AbbVie, Inc.                        1,470,010
                         39,800   Johnson & Johnson                        4,957,090
                         16,800   Perrigo Co. PLC                        1,115,352
                         26,900   Roche Holding AG - ADR                           861,607
                             8,404,059
    RETAIL - 7.7%    
                         24,490   CVS Health Corp.                        1,922,465
                         52,690   Gap, Inc. (The)                        1,279,840
                         20,570   McDonald's Corp.                        2,666,078
                         55,400   Ross Stores, Inc.                        3,649,198
                         37,400   Target Corp.                        2,064,106
                         23,900   Tiffany & Co.                        2,277,670
                         37,470   Walgreens Boots Alliance, Inc.                        3,111,884
                         28,900   Wal-Mart Stores, Inc.                        2,083,112
                         23,000   Yum China Holdings, Inc.                           625,600
                         23,000   Yum! Brands, Inc.                        1,469,700
                           21,149,653
    SEMICONDUCTORS -3.4%    
                         53,171   Analog Devices, Inc.                        4,357,363
                         62,200   Texas Instruments, Inc.                        5,010,832
                             9,368,195
    SOFTWARE - 2.1%    
                         89,410   Microsoft Corp.                        5,888,543
         
    TRANSPORTATION - 1.0%    
                         25,610   United Parcel Service, Inc.                        2,747,953
         
                 2,213,802   TOTAL COMMON STOCKS (Cost - $164,884,057)                    186,594,249
         
    MUTUAL FUND - 24.1%    
    DEBT FUND - 24.1%    
                    6,785,305   Franklin Templeton Total Return Fund - R6 Shares (Cost - $67,604,053)                      66,156,727
         
    SHORT-TERM INVESTMENT - 7.9%    
    MONEY MARKET FUND - 7.9%    
                  21,643,980   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
     to yield 0.56% (a)(Cost - $21,643,980)                      21,643,980
         
    TOTAL INVESTMENTS - 99.9% (Cost - $254,132,090)(b)    $              274,394,956
    OTHER ASSETS LESS LIABILITIES - NET - 0.1%                           272,578
    TOTAL NET ASSETS - 100.0%    $           274,667,534
         
  ADR - American Depositary Receipt    
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $254,318,752
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $                25,752,156
      Unrealized Depreciation:                    (5,675,952)
      Net Unrealized Appreciation:  $                20,076,204
         
Contracts   SHORT FUTURES CONTRACTS   Unrealized Depreciation
                                  8   MSCI EAFE Index Mini Future June 2017    
    (Underlying Face Amount at Value $712,800)    $                     (18,940)
                                  8   MSCI Emerging Market E-Mini Future June 2017    
    (Underlying Face Amount at Value $384,560)                           (13,410)
         
    NET UNREALIZED DEPRECIATION ON SHORT FUTURES CONTRACTS  $                   (32,350)

 

 

 

 

Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
               
Shares             Value
    EXCHANGE TRADED FUNDS - 46.7%          
    DEBT FUNDS - 7.1%          
             25,757   iShares Short Maturity Bond ETF          $                   1,294,289
             22,000   SPDR Bloomberg Barclays 1-3 Month T-Bill ETF                               1,005,620
                                    2,299,909
    EQUITY FUNDS - 39.6%          
             23,936   iShares Core S&P 500 ETF                               5,679,295
               8,363   SPDR S&P 500 ETF Trust                               1,971,494
             24,537   Vanguard S&P 500 ETF                               5,308,580
                                  12,959,369
               
    TOTAL EXCHANGE TRADED FUNDS (Cost $14,037,183)                             15,259,278
Principal Amount     Coupon Rate (%)   Maturity    
    U.S. TREASURY NOTE - 30.9%          
 $   10,261,000   United States Treasury Note  (Cost $10,377,052) 2.13   5/15/2025                       10,106,285
               
Contracts   PURCHASED OPTIONS - 0.1%          
13   FTSE 100 Index, May 2017, Put @ $6,500                                      1,625
40   S&P 500 Index, April 2017, Put @ $2,050                                         800
40   S&P 500 Index, May 2017, Put @ $2,125                                    15,600
70   Euro Stoxx 50 Index, May 2017, Put @ $2,975                                      5,465
    TOTAL PURCHASED OPTIONS (Cost - $92,208)                                    23,490
Shares              
    SHORT-TERM INVESTMENTS - 24.0%          
    MONEY MARKET FUND - 24.0%          
        7,853,330   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class        
    to yield 0.55% (a) (Cost - $7,853,330)                               7,853,330
               
    TOTAL INVESTMENTS - 101.7% (Cost - $32,359,773)(b)          $                 33,242,383
    OTHER ASSETS LESS LIABILITIES - NET - (1.7)%                                 (544,632)
    TOTAL NET ASSETS - 100.0%          $              32,697,751
               
(a) Money market rate shown represents the rate at March 31, 2017.
(b) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes, including options written, is $32,280,829 and differs
  from fair value by net unrealized appreciation/(depreciation) of securities as follows:
 
               
      Unrealized Appreciation:  $                   1,293,435
      Unrealized Depreciation:                         (350,522)
      Net Unrealized Appreciation:  $                      942,913
               
Contracts   Options Written         Value
                    81   S&P 500 Index, April 2017, Call @ $2,525          $                        (1,215)
                    70   Euro Stoxx 50 Index, April 2017, Call @ $3,525                                   (17,295)
                    14   FTSE 100 Index, April 2017, Call @ $7,700                                        (131)
    TOTAL OPTIONS WRITTEN (Premiums received - $14,967)        $                    (18,641)
 
Contracts   LONG FUTURES CONTRACTS         Unrealized Appreciation/ (Depreciation)
                    70   Euro Stoxx 50 Future June 2017          
    (Underlying Face Amount at Value $2,564,997)          $                        64,718
                    14   FTSE 100 Index Future June 2017          
    (Underlying Face Amount at Value $1,273,671)                                     (2,660)
                    35   Russell 2000 Mini Future June 2017          
    (Underlying Face Amount at Value $2,422,700)                                    27,070
                    21   S&P Midcap 400 E-Mini Future June 2017          
    (Underlying Face Amount at Value $3,608,220)                                    18,375
    TOTAL UNREALIZED APPRECIATION OF FUTURES CONTRACTS  $                    107,503

 

 

Global Atlantic Growth Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    EXCHANGE TRADED FUNDS - 95.2%    
    DEBT FUNDS - 15.2%    
         83,919   iShares 1-3 Year Credit Bond ETF    $                 8,830,796
         41,776   iShares 1-3 Year Treasury Bond ETF                       3,530,908
       388,130   iShares Core U.S. Aggregate Bond ETF                     42,108,224
         23,737   iShares iBoxx $ High Yield Corporate Bond ETF                       2,083,634
         14,706   iShares JP Morgan USD Emerging Markets Bond ETF                       1,672,072
         80,709   iShares US Credit Bond ETF                       8,870,726
       139,097   iShares US Treasury Bond ETF                       3,484,380
                          70,580,740
    EQUITY FUNDS - 80.0%    
    1,131,571   iShares Core MSCI EAFE ETF                     65,574,539
       158,788   iShares Core MSCI Emerging Markets ETF                       7,588,478
       910,075   iShares Core S&P 500 ETF                   215,933,495
       174,408   iShares Core S&P Mid-Cap ETF                     29,862,138
       211,516   iShares Core S&P Small-Cap ETF                     14,628,447
       283,815   iShares Russell 1000 ETF                     37,250,719
                        370,837,816
    TOTAL EXCHANGE TRADED FUNDS (Cost - $400,087,788)                   441,418,556
         
    SHORT-TERM INVESTMENT - 5.0%    
    MONEY MARKET FUND - 5.0%    
  23,127,778   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
     to yield 0.56% (a) (Cost - $23,127,778)                     23,127,778
         
    TOTAL INVESTMENTS - 100.2% (Cost - $423,215,566)(b)    $             464,546,334
    OTHER ASSETS LESS LIABILITIES - NET - (0.2)%                         (882,308)
    TOTAL NET ASSETS - 100.0%    $          463,664,026
         
         
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $424,138,331
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $               41,909,307
      Unrealized Depreciation:                    (1,501,304)
      Net Unrealized Appreciation:  $               40,408,003

 

 

 

 

 

Global Atlantic Moderate Growth Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    EXCHANGE TRADED FUNDS - 95.2%    
    DEBT FUNDS  - 29.7%    
         51,260   iShares 1-3 Year Credit Bond ETF    $                   5,394,090
         25,518   iShares 1-3 Year Treasury Bond ETF                         2,156,781
       237,051   iShares Core U.S. Aggregate Bond ETF                       25,717,663
         14,555   iShares iBoxx $ High Yield Corporate Bond ETF                         1,277,638
           8,971   iShares JP Morgan USD Emerging Markets Bond ETF                         1,020,003
         49,432   iShares US Credit Bond ETF                         5,433,071
         84,386   iShares US Treasury Bond ETF                         2,113,869
                            43,113,115
    EQUITY FUNDS - 65.5%    
       290,360   iShares Core MSCI EAFE ETF                       16,826,362
         40,592   iShares Core MSCI Emerging Markets ETF                         1,939,891
       235,107   iShares Core S&P 500 ETF                       55,783,838
         44,729   iShares Core S&P Mid-Cap ETF                         7,658,499
         54,137   iShares Core S&P Small-Cap ETF                         3,744,115
         70,027   iShares Russell 1000 ETF                         9,191,044
                            95,143,749
    TOTAL EXCHANGE TRADED FUNDS (Cost - $127,754,159)                     138,256,864
         
    SHORT-TERM INVESTMENT - 5.0%    
    MONEY MARKET FUND - 5.0%    
    7,250,745   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
     to yield 0.56% (a) (Cost - $7,250,745)                         7,250,745
         
    TOTAL INVESTMENTS - 100.2% (Cost - $135,004,904)(b)    $               145,507,609
    OTHER ASSETS LESS LIABILITIES - NET - (0.2)%                           (302,175)
    TOTAL NET ASSETS - 100.0%    $            145,205,434
         
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $135,746,880
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $                 10,876,730
      Unrealized Depreciation:                      (1,116,001)
      Net Unrealized Appreciation:  $                   9,760,729

 

 

 

 

 

Global Atlantic Motif Aging of America Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    COMMON STOCKS - 99.3%    
    BIOTECHNOLOGY - 23.4%    
61   Aduro Biotech, Inc. *    $                            656
17   Amgen, Inc.                               2,789
24   Celgene Corp. *                               2,986
20   Cellectis SA * (ADR)                                  480
47   CytomX Therapeutics, Inc. *                                  812
48   Epizyme, Inc. *                                  823
63   Exact Sciences Corp. *                               1,488
71   Exelixis, Inc. *                               1,539
39   FibroGen, Inc. *                                  961
10   Five Prime Therapeutics, Inc. *                                  362
33   Foundation Medicine, Inc. *                               1,064
18   Incyte Corp. *                               2,406
30   Innoviva, Inc.                                  415
19   Medicines Co. (The) *                                  929
144   Merrimack Pharmaceuticals, Inc. *                                  444
37   Myriad Genetics, Inc. *                                  710
75   NeoGenomics, Inc. *                                  592
47   NewLink Genetics Corp. *                               1,133
54   OncoMed Pharmaceuticals, Inc. *                                  497
24   Seattle Genetics, Inc. *                               1,509
115   Spectrum Pharmaceuticals, Inc. *                                  747
8   United Therapeutics Corp. *                               1,083
                                  24,425
    HEALTHCARE PRODUCTS - 17.6%    
             10   ABIOMED, Inc. *                               1,252
           115   Accuray, Inc. *                                  546
             20   Advanced Accelerator Applications SA * (ADR)                                  797
             27   AtriCure, Inc. *                                  517
               7   Baxter International, Inc.                                  363
             25   BioTelemetry, Inc. *                                  724
             37   Boston Scientific Corp. *                                  920
             30   ConforMIS, Inc. *                                  157
               2   CR Bard, Inc.                                  497
             19   Edwards Lifesciences Corp. *                               1,787
             73   Endologix, Inc. *                                  528
             24   Genomic Health. Inc. *                                  756
             19   Globus Medical, Inc. *                                  563
               8   Hologic, Inc. *                                  340
             17   Insulet Corp. *                                  733
             15   K2M Group Holdings, Inc. *                                  308
             20   LeMaitre Vascular, Inc.                                  493
               7   Medtronic PLC                                  564
             22   Merit Medical Systems, Inc. *                                  636
             80   Novocure Ltd. *                                  648
               7   NuVasive, Inc. *                                  523
             35   NxStage Medical, Inc. *                                  939
               9   Orthofix International NV *                                  343
             78   Rockwell Medical, Inc. *                                  488
               4   Stryker Corp.                                  527
               4   Varex Imaging Corp. *                                  134
             13   Varian Medical Systems, Inc. *                               1,185
             18   Wright Medical Group NV *                                  560
               4   Zimmer Biomet Holdings, Inc.                                  488
                                  18,316
    HEALTHCARE - SERVICES - 18.8%    
             37   Addus HomeCare Corp. *                               1,184
               2   Aetna, Inc.                                  255
             29   Almost Family, Inc. *                               1,409
             47   Amedisys, Inc. *                               2,401
           214   Brookdale Senior Living, Inc. *                               2,874
             84   Capital Senior Living Corp. *                               1,181
             11   Chemed Corp.                               2,010
             10   DaVita, Inc. *                                  680
             80   Ensign Group, Inc. (The)                               1,504
             30   Fresenius Medical Care AG & Co. KGaA (ADR)                               1,264
             50   Kindred Healthcare, Inc.                                  418
             32   LHC Group, Inc. *                               1,725
             23   National HealthCare Corp.                               1,640
               5   UnitedHealth Group, Inc.                                  820
               2   WellCare Health Plans, Inc. *                                  280
                                  19,645
    PHARMACEUTICALS - 11.0%    
             12   AbbVie, Inc.                                  782
             21   Agios Pharmaceuticals, Inc. *                               1,226
             77   Array BioPharma, Inc. *                                  688
             38   AstraZeneca PLC (ADR)                               1,183
             10   Bristol-Myers Squibb Co.                                  544
             12   Coherus Biosciences, Inc. *                                  254
             58   Corcept Therapeutics, Inc. *                                  636
             14   DexCom, Inc. *                               1,186
               8   Eli Lilly & Co.                                  673
             74   Insys Therapeutics, Inc. *                                  778
               3   Johnson & Johnson                                  374
             34   MyoKardia, Inc. *                                  447
               8   Novartis AG (ADR)                                  594
             36   Novo Nordisk A/S (ADR)                               1,234
               6   Sanofi (ADR)                                  271
             56   SciClone Pharmaceuticals, Inc. *                                  549
                                  11,419
    REAL ESTATE INVESTMENT TRUSTS - 28.5%    
             86   Care Capital Properties, Inc.                               2,311
           119   CareTrust REIT, Inc.                               2,002
             84   HCP, Inc.                               2,627
             49   LTC Properties, Inc.                               2,347
             34   National Health Investors, Inc.                               2,469
           183   New Senior Investment Group, Inc.                               1,867
           108   Omega Healthcare Investors, Inc.                               3,563
             77   Sabra Health Care REIT, Inc.                               2,151
             77   Senior Housing Properties Trust                               1,559
             55   Ventas, Inc.                               3,577
             75   Welltower, Inc.                               5,311
                                  29,784
    TOTAL COMMON STOCKS (Cost - $101,151)                           103,589
         
    SHORT-TERM INVESTMENT - 0.7%    
    MONEY MARKET FUND - 0.7%    
           761   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
    to yield 0.56% (a)(Cost - $761)                                  761
         
    TOTAL INVESTMENTS - 100.0% (Cost - $101,912)(b)    $                     104,350
    OTHER ASSETS LESS LIABILITIES - NET - 0.0% ^                                    28
    TOTAL NET ASSETS - 100.0%    $                   104,378
         
  ADR - American Depository Receipt    
  REIT - Real Estate Investment Trust    
* Non-income producing security.    
^ Represents less than 0.05%.    
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $102,201  
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $                         9,407
      Unrealized Depreciation:                           (7,258)
      Net Unrealized Appreciation:  $                         2,149
         

 

 

 

Global Atlantic Motif Real EstateTrends Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    COMMON STOCKS - 98.6%    
    HEALTHCARE SERVICES - 7.3%    
             15   Addus HomeCare Corp. *    $                            480
             13   Almost Family, Inc. *                                  632
             21   Amedisys, Inc. *                               1,073
             94   Brookdale Senior Living, Inc. *                               1,262
             38   Capital Senior Living Corp. *                                  534
               5   Chemed Corp.                                  914
             34   Ensign Group, Inc. (The)                                  639
             13   LHC Group, Inc. *                                  701
             10   National HealthCare Corp.                                  713
                                    6,948
    REAL ESTATE INVESTMENT TRUSTS - 91.3%    
             36   American Campus Communities, Inc.                               1,713
             25   American Tower Corp.                               3,038
             38   Apartment Investment & Management Co.                               1,685
             16   AvalonBay Communities, Inc.                               2,938
             46   Bluerock Residential Growth REIT, Inc.                                  566
             17   Boston Properties, Inc.                               2,251
             22   Camden Property Trust                               1,770
             36   Care Capital Properties, Inc.                                  967
             49   CareTrust REIT, Inc.                                  824
             51   CBL & Associates Properties, Inc.                                  487
             22   Columbia Property Trust, Inc.                                  490
             17   CoreSite Realty Corp.                               1,531
             35   Crown Castle International Corp.                               3,306
             61   CubeSmart                               1,584
             34   CyrusOne, Inc.                               1,750
             13   DCT Industrial Trust, Inc.                                  626
             23   Digital Realty Trust, Inc.                               2,447
               9   Douglas Emmett, Inc.                                  346
             33   Duke Realty Corp.                                  867
             33   DuPont Fabros Technology, Inc.                               1,636
             33   Education Realty Trust, Inc.                               1,348
             24   Empire State Realty Trust, Inc.                                  495
               8   Equinix, Inc.                               3,203
             43   Equity Residential                               2,675
             10   Essex Property Trust, Inc.                               2,315
             26   Extra Space Storage, Inc.                               1,934
           109   GGP, Inc.                               2,527
             35   HCP, Inc.                               1,095
             85   Independence Realty Trust, Inc.                                  796
             77   Investors Real Estate Trust                                  457
             13   Kilroy Realty Corp.                                  937
             18   Life Storage, Inc.                               1,478
             20   LTC Properties, Inc.                                  958
             19   Macerich Co. (The)                               1,224
             11   Mack-Cali Realty Corp.                                  296
             19   Mid-America Apartment Communities, Inc.                               1,933
             27   Monmouth Real Estate Investment Corp.                                  385
           103   Monogram Residential Trust, Inc.                               1,027
             14   National Health Investors, Inc.                               1,017
             43   National Storage Affiliates Trust                               1,028
             81   New Senior Investment Group, Inc.                                  826
             61   New York REIT, Inc.                                  591
             33   NexPoint Residential Trust, Inc.                                  797
             44   Omega Healthcare Investors, Inc.                               1,452
             92   Paramount Group, Inc.                               1,491
             28   Pennsylvania Real Estate Investment Trust                                  424
             20   Preferred Apartment Communities, Inc.                                  264
             35   Prologis, Inc.                               1,816
             14   Public Storage                               3,065
             26   QTS Realty Trust, Inc.                               1,267
             55   Quality Care Properties, Inc. *                               1,037
             79   RAIT Financial Trust                                  253
             32   Sabra Health Care REIT, Inc.                                  894
             22   SBA Communications Corp. *                               2,648
             30   Senior Housing Properties Trust                                  608
             11   Simon Property Group, Inc.                               1,892
             11   SL Green Realty Corp.                               1,173
             26   STAG Industrial, Inc.                                  651
             17   Taubman Centers, Inc.                               1,122
             56   UDR, Inc.                               2,031
             23   Ventas, Inc.                               1,496
               9   Vornado Realty Trust                                  903
               5   Washington Real Estate Investment Trust                                  156
             31   Welltower, Inc.                               2,195
                                  87,002
    TOTAL COMMON STOCKS (Cost - $99,835)                             93,950
         
    SHORT-TERM INVESTMENT - 1.2%    
    MONEY MARKET FUND - 1.2%    
        1,170   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
    to yield 0.56% (a)(Cost - $1,170)                               1,170
         
    TOTAL INVESTMENTS - 99.8% (Cost - $101,005)(b)    $                       95,120
    OTHER ASSETS LESS LIABILITIES - NET - 0.2%                                  182
    TOTAL NET ASSETS - 100.0%    $                     95,302
         
  REIT - Real Estate Investment Trust    
 *  Non-income producting security.    
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $101,212  
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $                         2,041
      Unrealized Depreciation:                           (8,133)
      Net Unrealized Depreciation:  $                       (6,092)
         

 

 

 

 

Global Atlantic Motif Technological Innovations Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    COMMON STOCKS - 99.5%    
    AUTO PARTS & EQUIPMENT - 1.2%    
23   Mobileye NV *    $                         1,412
         
    COMMERCIAL SERVICES - 7.4%    
            7   Cimpress NV *                                  603
            8   FleetCor Technologies, Inc. *                               1,211
          15   Global Payments, Inc.                               1,210
          17   Paylocity Holding Corp. *                                  657
          36   PayPal Holdings, Inc. *                               1,549
          59   Square, Inc. *                               1,020
          19   Total System Services, Inc.                               1,016
          18   Vantiv, Inc. *                               1,154
                                    8,420
    COMPUTERS - 3.4%    
          14   Check Point Software Technologies Ltd. *                               1,437
          26   Fortinet, Inc. *                                  997
          26   Teradata Corp. *                                  809
          32   VeriFone Systems, Inc. *                                  599
                                    3,842
    DIVERSIFIED FINANCIAL SERVICES - 7.1%    
          17   American Express Co.                               1,345
          15   Blackhawk Network Holdings, Inc. *                                  609
            8   Ellie Mae, Inc. *                                  802
          21   Mastercard, Inc.                               2,362
          33   Visa, Inc.                               2,933
                                    8,051
    ELECTRONICS - 0.7%    
          39   Gentex Corp.                                  832
         
    INTERNET - 37.9%    
          27   Alibaba Group Holding Ltd. * (ADR)                               2,911
            4   Alphabet, Inc. *                               3,391
            4   Amazon.com, Inc. *                               3,546
          10   Baidu, Inc. * (ADR)                               1,725
          15   Criteo SA * (ADR)                                  750
          30   Ctrip.com International Ltd. * (ADR)                               1,475
          37   eBay, Inc. *                               1,242
          54   Endurance International Group Holdings, Inc. *                                  424
          10   Expedia, Inc.                               1,262
            7   F5 Networks, Inc. *                                  998
          28   Facebook, Inc. *                               3,977
          48   FireEye, Inc. *                                  605
        173   Groupon, Inc. *                                  680
          60   JD.com, Inc. * (ADR)                               1,867
          38   Match Group, Inc. *                                  621
          12   Netflix, Inc. *                               1,774
            8   Palo Alto Networks, Inc. *                                  901
            1   Priceline Group, Inc. (The) *                               1,780
            9   Proofpoint, Inc. *                                  669
          16   Shopify, Inc. *                               1,089
          11   Shutterstock, Inc. *                                  455
          10   SINA Corp. *                                  721
            5   Stamps.com, Inc. *                                  592
          48   Symantec, Corp.                               1,473
          63   Twitter, Inc. *                                  942
          72   Vipshop Holdings Ltd. * (ADR)                                  960
          18   Wayfair, Inc. *                                  729
          23   Weibo Corp. * (ADR)                               1,200
          12   Wix.com Ltd. *                                  815
          40   Yandex NV *                                  877
          16   Yelp, Inc. *                                  524
          16   YY, Inc. * (ADR)                                  738
          28   Zendesk, Inc. *                                  785
          23   Zillow Group, Inc. *                                  778
                                  43,276
    REAL ESTATE INVESTMENT TRUSTS - 5.0%    
            8   CoreSite Realty Corp.                                  720
          16   CyrusOne, Inc.                                  824
          11   Digital Realty Trust, Inc.                               1,170
          16   DuPont Fabros Technology, Inc.                                  793
            4   Equinix, Inc.                               1,601
          12   QTS Realty Trust, Inc.                                  585
                                    5,693
    RETAIL - 0.9%    
          16   Copart, Inc. *                                  991
         
    SEMICONDUCTORS - 3.5%    
          12   Qorvo, Inc. *                                  823
          29   QUALCOMM, Inc.                               1,663
          12   Silicon Motion Technology Corp. (ADR)                                  561
          10   Skyworks Solutions, Inc.                                  980
                                    4,027
    SOFTWARE - 29.5%    
          17   2U, Inc. *                                  674
          33   ACI Worldwide, Inc. *                                  706
          37   Activision Blizzard, Inc.                               1,845
          10   Adobe Systems, Inc. *                               1,301
          16   Akamai Technologies, Inc. *                                  955
            7   athenahealth, Inc. *                                  789
          41   Box, Inc. *                                  669
          12   Citrix Systems, Inc. *                               1,001
          12   CommVault Systems, Inc. *                                  610
          15   Cornerstone OnDemand, Inc. *                                  583
          20   Cotiviti Holdings, Inc. *                                  833
          12   CyberArk Software, Ltd. *                                  610
          14   Electronic Arts, Inc. *                               1,253
          77   First Data Corp. *                               1,194
          11   HubSpot, Inc. *                                  666
          19   InterXion Holding NV *                                  752
          13   Medidata Solutions, Inc. *                                  750
            3   MicroStrategy, Inc. *                                  563
          41   Momo, Inc. * (ADR)                               1,397
            4   NetEase, Inc. (ADR)                               1,136
          19   New Relic, Inc. *                                  704
          14   Paycom Software, Inc. *                                  805
          20   RealPage, Inc. *                                  698
          24   salesforce.com, Inc. *                               1,980
          14   ServiceNow, Inc. *                               1,225
          17   Splunk, Inc. *                               1,059
          16   Tableau Software, Inc. *                                  793
          15   Take-Two Interactive Software, Inc. *                                  889
          24   Twilio, Inc. *                                  693
            5   Ultimate Software Group, Inc. (The) *                                  976
          20   Veeva Systems, Inc. *                               1,026
          17   Verint Systems, Inc. *                                  737
          19   VMware, Inc. *                               1,751
          16   Workday, Inc. *                               1,333
        231   Zynga, Inc. *                                  658
                                  33,614
    TELECOMMNUNICATIONS - 2.9%    
          10   Acacia Communications, Inc. *                                  586
            9   Arista Networks, Inc. *                               1,190
            8   LogMeIn, Inc.                                  780
          11   Nice Ltd. (ADR)                                  748
                                    3,304
         
    TOTAL COMMON STOCKS (Cost - $99,922)                           113,462
         
    SHORT-TERM INVESTMENT - 0.6%    
    MONEY MARKET FUND - 0.6%    
        699   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
    to yield 0.56% (a)(Cost - $699)                                  699
         
    TOTAL INVESTMENTS - 100.1% (Cost - $100,621)(b)    $                     114,161
    OTHER ASSETS LESS LIABILITIES - NET - (0.1)%                                  (58)
    TOTAL NET ASSETS - 100.0%    $                   114,103
         
 ADR     - American Depositary Receipt    
 *  Non-income producing security.    
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $100,835  
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $                       15,568
      Unrealized Depreciation:                           (2,242)
      Net Unrealized Appreciation:  $                       13,326
         
         
         

 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
               
Shares              Value
    EXCHANGE TRADED FUNDS - 29.8%          
    EQUITY FUNDS - 29.8%          
          53,965   iShares MSCI EAFE ETF          $                   3,361,480
          14,247   SPDR S&P 500 ETF Trust                               3,358,588
    TOTAL EXCHANGE TRADED FUNDS (Cost - $5,880,193)                               6,720,068
               
Principal Amount     Coupon Rate (%)   Maturity    
    ASSET BACKED SECURITIES - 2.7%          
 $       18,509   ACE Securities Corp. Home Equity Loan Trust Series 2002-HE2 (b) 2.26   8/25/2032                              17,658
          37,340   ACE Securities Corp. Home Equity Loan Trust Series 2006-OP1 (b) 1.13   4/25/2036                              36,494
        100,000   Bosphorus CLO II DAC 2A (a) 1.43   10/15/2025                            106,998
          32,900   Citigroup Mortgage Loan Trust 2007-AMC1 (a)(b) 1.14   12/25/2036                              21,999
          19,569   Countrywide Asset-Backed Certificates (b) 1.11   12/25/2036                              19,210
          29,256   Countrywide Asset-Backed Certificates (b) 1.12   6/25/2047                              21,922
          15,188   CWABS Asset-Backed Certificates Trust 2006-17 (b) 1.13   3/25/2047                              14,109
          39,072   FBR Securitization Trust (b) 1.66   10/25/2035                              38,313
          50,000   Ford Credit Floorplan Master Owner Trust A (b) 1.51   8/15/2020                              50,190
            6,853   Fremont Home Loan Trust 2005-E (b) 1.22   1/25/2036                                6,841
          27,960   GSAMP Trust 2006-HE4 (b) 1.12   6/25/2036                              25,335
          10,022   Long Beach Mortgage Loan Trust 2004-2 (b) 2.60   6/25/2034                                9,737
          34,023   Long Beach Mortgage Loan Trust 2005-3 (b) 1.24   8/25/2045                              31,077
          34,430   Long Beach Mortgage Loan Trust 2006-7 (b) 1.14   8/25/2036                              20,781
          18,722   RASC Series 2004-KS10 Trust (b) 2.71   11/25/2034                              17,632
          85,541   SLC Student Loan Trust 2006-2 (b) 1.23   9/15/2026                              85,012
          45,095   SLM Student Loan Trust 2005-3 (b) 1.13   10/25/2024                              44,959
          18,222   Soundview Home Loan Trust 2007-WMC1 (b) 1.09   2/25/2037                                7,394
            8,682   Structured Asset Investment Loan Trust 2004-7 (b) 2.03   8/25/2034                                8,149
          26,229   Structured Asset Securities Corp. Mortgage Loan Trust 2006-BC2 (b) 1.13   9/25/2036                              23,548
    TOTAL ASSET BACKED SECURUTIES (Cost - $596,278)                                  607,358
               
    CORPORATE BONDS - 13.2%          
    AEROSPACE/DEFENSE - 0.2%          
          50,000   Rockwell Collins, Inc. 3.50   3/15/2027                              50,014
               
    AGRICULTURE - 0.1%          
          10,000   Reynolds American, Inc. 5.85   8/15/2045                              11,744
               
    AIRLINES - 0.2%          
          48,303   Spirit Airlines Pass Through Trust 2015-1A 4.10   4/1/2028                              49,027
               
    AUTO MANUFACTURERS - 0.9%          
          40,000   Ford Motor Credit Co. LLC 3.20   1/15/2021                              40,428
          20,000   General Motors Financial Co., Inc. 3.20   7/13/2020                              20,344
          50,000   General Motors Financial Co., Inc. 3.20   7/6/2021                              50,190
        100,000   Nissan Motor Acceptance Corp. (a)(b) 1.91   1/13/2022                            100,555
                                       211,517
    BANKS - 5.2%          
          50,000   Bank of America Corp. 5.65   5/1/2018                              52,021
          73,000   Bank of America Corp. 3.30   1/11/2023                              73,453
          25,000   Bank of America Corp. 4.00   4/1/2024                              25,920
        100,000   Barclays Bank PLC (b) 1.91   9/8/2017                            100,227
          50,000   Citigroup, Inc. 2.65   10/26/2020                              50,324
          50,000   Credit Suisse AG (b) 1.92   9/12/2017                              50,118
          50,000   Deutsche Bank AG (b) 2.94   5/10/2019                              50,862
          50,000   The Goldman Sachs Group, Inc. (b) 1.72   5/22/2017                              50,041
          10,000   The Goldman Sachs Group, Inc. 3.75   5/22/2025                              10,123
          15,000   The Goldman Sachs Group, Inc. 6.00   6/15/2020                              16,604
          50,000   HSBC USA, Inc. (b) 1.80   8/7/2018                              50,177
          35,000   JPMorgan Chase & Co. 3.13   1/23/2025                              34,390
          25,000   JPMorgan Chase & Co. 3.88   2/1/2024                              25,987
          50,000   JPMorgan Chase & Co. 3.90   7/15/2025                              51,684
          26,000   Morgan Stanley 2.13   4/25/2018                              26,099
        100,000   Natixis SA (b) 1.85   9/25/2017                            100,000
        100,000   Sumitomo Mitsui Banking Corp. (b) 1.83   9/15/2017                            100,249
        100,000   Sumitomo Mitsui Trust Bank Limited (b) 1.88   9/18/2017                            100,000
        200,000   UBS Group Funding Jersey Ltd. (a) 2.65   2/1/2022                            196,074
                                    1,164,353
    BIOTECHNOLOGY - 0.4%          
        100,000   Amgen, Inc. 2.13   5/15/2017                            100,111
               
    COMMERCIAL SERVICES - 0.1%          
          30,000   S&P Global, Inc. 2.50   8/15/2018                              30,237
               
    COMPUTERS - 0.2%          
          50,000   Diamond 1 Finance Corp. / Diamond 2 Finance Corp. (a) 5.45   6/15/2023                              53,951
               
    ELECTRIC - 0.1%          
          30,000   Duke Energy Corp. 3.05   8/15/2022                              30,234
               
    ENVIRONMENTAL CONTROL - 0.1%          
          25,000   Republic Services, Inc. 3.55   6/1/2022                              25,930
               
    PHARMACEUTICALS - 1.6%          
          50,000   AbbVie, Inc. 2.85   5/14/2023                              49,055
        100,000   Actavis Funding SCS 1.30   6/15/2017                              99,990
        100,000   Shire Acquisitions Investments Ireland DAC 1.90   9/23/2019                              99,279
        100,000   Shire Acquisitions Investments Ireland DAC 2.40   9/23/2021                              97,791
                                       346,115
    PIPELINES - 0.7%          
          20,000   Kinder Morgan Finance Co. LLC (a) 6.00   1/15/2018                              20,625
          23,000   Regency Energy Partners LP / Regency Energy Finance Corp. 4.50   11/1/2023                              23,601
        100,000   Sabine Pass Liquefaction LLC 5.75   5/15/2024                            108,980
                                       153,206
    REAL ESTATE INVESTMENT TRUSTS - 0.7%          
        100,000   American Tower Corp. 2.25   1/15/2022                              96,504
          25,000   Digital Realty Trust LP 3.95   7/1/2022                              26,037
          30,000   Duke Realty LP 3.88   2/15/2021                              31,178
          10,000   Host Hotels & Resorts LP 4.00   6/15/2025                              10,024
                                       163,743
    REGIONAL - 0.9%          
        200,000   Japan Finance Organization for Municipalities (a) 2.13   10/25/2023                            191,338
               
    SOVERIGN - 0.9%          
        200,000   Development Bank of Japan, Inc. (a) 1.63   9/1/2021                            192,732
               
    TELECOMMUNICATIONS - 0.9%          
        100,000   AT&T, Inc. (b) 1.62   1/15/2020                            100,660
          30,000   AT&T, Inc. 2.80   2/17/2021                              30,089
          50,000   Telecom Italia SpA 6.38   6/24/2019                              68,303
                                       199,052
               
    TOTAL CORPORATE BONDS (Cost - $2,976,706)                               2,973,304
               
    MUNICIPAL BOND - 0.1%          
          30,000   City of Chicago IL (Cost - $30,355) 7.75   1/1/2042                              30,853
               
    MORTGAGE BACKED SECURITIES - 15.9%          
    FEDERAL NATIONAL MORTGAGE ASSOCIATION - 15.9%          
        300,000   Fannie Mae TBA + 3.00   10/25/2046                            297,469
     2,200,000   Fannie Mae TBA + 3.50   6/25/2046                         2,241,164
        800,000   Fannie Mae TBA + 4.00   11/25/2045                            837,375
        200,000   Fannie Mae TBA + 4.50   8/25/2044                            214,500
    TOTAL MORTGAGE BACKED SECURITIES (Cost - $3,578,906)                               3,590,508
               
    COLLATERALIZED MORTGAGE OBLIGATIONS  - 3.9%          
    AGENCY COLLATERAL - 1.8%          
          58,927   Government National Mortgage Association (b) 1.28   3/20/2065                              58,992
          91,541   Government National Mortgage Association (b) 1.38   5/20/2065                              90,832
          96,014   Government National Mortgage Association (b) 1.40   8/20/2065                              95,329
          69,134   Government National Mortgage Association (b) 1.48   10/20/2065                              69,381
          95,396   Government National Mortgage Association (b) 1.78   12/20/2065                              96,524
                                       411,058
    WHOLE LOAN COLLATERAL - 2.1%          
          30,137   Alternative Loan Trust 2005-J12 (b) 1.25   8/25/2035                              19,031
          23,240   Alternative Loan Trust 2006-OA9 (b) 1.19   7/20/2046                              12,991
          39,152   American Home Mortgage Assets Trust 2006-2 (b) 1.17   9/25/2046                              27,960
          18,646   Bear Stearns ALT-A Trust 2005-8 (b) 3.31   10/25/2035                              17,682
          18,196   Bear Stearns ARM Trust 2005-5 (b) 2.58   8/25/2035                              18,294
          24,380   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3 (a,b) 1.23   8/25/2035                              23,117
          23,305   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4 (a,b) 1.01   10/25/2035                              21,302
          32,214   Credit Suisse First Boston Mortgage Securities Corp. 4.50   7/25/2020                              31,764
          20,675   First Horizon Mortgage Pass-Through Trust 2005-AR2 (b) 3.07   6/25/2035                              19,958
          41,904   Great Hall Mortgages No. 1 PLC (a,b) 1.28   6/18/2039                              40,728
          31,439   GreenPoint Mortgage Funding Trust 2006-AR2 (b) 2.64   3/25/2036                              27,903
          23,542   GSR Mortgage Loan Trust 2005-AR6 (b) 3.09   9/25/2035                              23,931
          15,509   Impac CMB Trust Series 2005-8 (b) 1.68   2/25/2036                              14,485
          22,560   IndyMac INDX Mortgage Loan Trust 2006-AR4 (b) 1.19   5/25/2046                              19,784
            5,332   JP Morgan Mortgage Trust 2006-S2 5.88   6/25/2021                                4,934
          11,278   Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 (b) 1.23   11/25/2035                              10,918
          20,590   MortgageIT Trust 2005-4 (b) 1.26   10/25/2035                              19,494
          23,940   RALI Series 2005-QR1 Trust 6.00   10/25/2034                              24,897
          17,193   Reperforming Loan REMIC Trust 2006-R1 (a,b) 1.32   1/25/2036                              15,987
          11,504   Structured Adjustable Rate Mortgage Loan Trust (b) 3.33   9/25/2034                              11,465
          21,727   Structured Adjustable Rate Mortgage Loan Trust (b) 1.28   10/25/2035                              20,069
          12,293   Structured Adjustable Rate Mortgage Loan Trust (b) 3.38   2/25/2034                              12,393
          25,280   WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust (b) 2.46   4/25/2037                              22,405
                                       461,492
               
    TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $875,625)                                872,550
               
    COMMERCIAL MORTGAGE BACKED SECURITIES  - 1.1%          
        160,444   Freddie Mac Multifamily Structured Pass Through Certificates (b) 1.48   9/25/2022                            160,832
          74,667   RFTI 2015-FL1 Issuer Ltd. (a,b) 2.66   8/15/2030                              74,839
    TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES  (Cost - $234,859)                                235,671
               
    U.S. TREASURY SECURITIES - 17.8%          
        100,000   United States Treasury Inflation Indexed Bond 2.38   1/15/2027                            142,321
        100,000   United States Treasury Inflation Indexed Bond 3.63   4/15/2028                            199,571
        200,000   United States Treasury Inflation Indexed Note 0.13   7/15/2022                            212,835
        150,000   United States Treasury Inflation Indexed Note 0.63   1/15/2026                            156,080
        100,000   United States Treasury Bond 2.50   2/15/2046                              89,625
        100,000   United States Treasury Bond 2.50   5/15/2046                              89,558
        200,000   United States Treasury Bond 2.88   8/15/2045                            193,961
        100,000   United States Treasury Bond 2.88   11/15/2046                              97,027
        500,000   United States Treasury Bond 3.00   5/15/2045                            497,090
          50,000   United States Treasury Bond 4.38   11/15/2039                              62,059
        700,000   United States Treasury Note 1.13   8/31/2021                            678,152
        400,000   United States Treasury Note 1.50   8/15/2026                            370,125
        100,000   United States Treasury Note 1.63   5/15/2026                              93,801
        600,000   United States Treasury Note 2.00   11/15/2026                            579,610
        100,000   United States Treasury Note 2.00   12/31/2021                            100,383
        250,000   United States Treasury Note 2.25   2/15/2027                            246,807
        200,000   United States Treasury Note 2.50   8/15/2023                            204,047
    TOTAL U.S. TREASURY SECURITIES (Cost - $4,106,581)                             4,013,052
               
Contracts   PURCHASED OPTIONS ON INDICES- 0.5%          
                 22   S&P 500 Index, December 2017, Put @ $1,575                                    12,540
                 22   S&P 500 Index, December 2017, Put @ $1,800                                    29,480
                 22   S&P 500 Index, December 2017, Put @ $2,025                                    67,430
    TOTAL PURCHASED OPTIONS ON INDICES (Cost - $258,149)                                109,450
               
Principal Amount   SHORT-TERM INVESTMENTS - 32.8% Coupon Rate (%)   Maturity    
    FEDERAL HOME LOAN BANK - 17.8%          
 $     200,000   Federal Home Loan Bank Discount Notes 0.00   4/4/2017                            199,991
     1,100,000   Federal Home Loan Bank Discount Notes 0.00   4/11/2017                         1,099,795
        800,000   Federal Home Loan Bank Discount Notes 0.00   4/12/2017                            799,869
        400,000   Federal Home Loan Bank Discount Notes 0.00   4/18/2017                            399,868
        200,000   Federal Home Loan Bank Discount Notes 0.00   4/20/2017                            199,943
     1,300,000   Federal Home Loan Bank Discount Notes 0.00   4/27/2017                         1,299,498
                                    3,998,964
Shares   MONEY MARKET FUND - 7.5%          
     1,687,738   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class        
    to yield 0.56% (c)                               1,687,738
Principal Amount     Coupon Rate (%)   Maturity    
    U.S. TREASURY BILLS - 7.5%          
 $     400,000   United States Treasury Bill 0.36   4/20/2017                            399,900
     1,300,000   United States Treasury Bill 0.02   4/27/2017                         1,299,379
                                    1,699,279
               
    TOTAL SHORT-TERM INVESTMENTS (Cost - $7,385,981)                               7,385,981
               
    TOTAL INVESTMENTS - 117.8% (Cost - $25,923,633)(d)          $                 26,538,795
    OTHER ASSETS LESS LIABILITIES - NET - (17.8)%                              (4,010,684)
    TOTAL NET ASSETS - 100.0%          $              22,528,111
               
 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 March 31, 2017, these securities amounted to $1,060,245 or 4.7% of net assets.
 (b) Variable Rate Security - interest rate subject to periodic change.    
 (c) Money market rate shown represents the rate at March 31, 2017.    
 (d) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,999,420  and differs from fair value by net
  unrealized appreciation (depreciation) of securities as follows:    
               
      Unrealized Appreciation:  $                      918,170
      Unrealized Depreciation:                         (378,610)
      Net Unrealized Appreciation:  $                      539,560
               
               
Contracts   SHORT FUTURES CONTRACTS          Unrealized Appreciation/
(Depreciation)
                   4   90 Day Euro Future March 2018          
    (Underlying Face Amount at Value $983,450)          $                          4,348
                   2   90 Day Euro Future June 2018          
    (Underlying Face Amount at Value $491,100)                                      1,463
                 15   90 Day Euro Future June 2019          
    (Underlying Face Amount at Value $3,669,000)                                     (3,691)
                 11   90 Day Euro Future December 2019          
    (Underlying Face Amount at Value $2,686,338)                                     (2,316)
                   1   Euro-Bund Future June 2017          
    (Underlying Face Amount at Value $172,647)                                          (75)
                   2   Euro-Oat Future June 2017          
    (Underlying Face Amount at Value $314,533)                                     (2,096)
                                          (2,367)
    LONG FUTURES CONTRACTS          
                 11   90 Day Euro Future April 2017          
    (Underlying Face Amount at Value $2,717,894)                                      1,650
                 33   90 Day Euro Future June 2017          
    (Underlying Face Amount at Value $8,143,575)                                          (64)
                 86   S&P 500 E-Mini June 2017          
    (Underlying Face Amount at Value $10,144,775)                                   (38,376)
                   9   US 10 Year Future June 2017          
    (Underlying Face Amount at Value $1,121,067)                                      3,656
                 15   US 5Year Note (CBT) June 2017          
    (Underlying Face Amount at Value $1,765,898)                                      2,785
                                (30,349)
               
    TOTAL NET UNREALIZED DEPRECIATION OF FUTURES CONTRACTS  $                    (32,716)
               
               
Notional Amount $   INTEREST RATE SWAPS Fixed Received Rate (%)   Expiration    Unrealized Appreciation/
(Depreciation)
       (300,000)   Goldman Sachs 1.25   6/15/2018    $                          2,746
       (300,000)   Goldman Sachs 1.25   6/21/2021                                  (210)
       (100,000)   Goldman Sachs 1.25   6/21/2022                                  (376)
       (300,000)   Goldman Sachs 1.50   9/20/2027                               (4,722)
       (100,000)   Goldman Sachs 2.00   12/16/2020                                1,444
        200,000   Goldman Sachs 2.05   2/3/2037                                2,229
       (200,000)   Goldman Sachs 2.05   2/1/2037                               (6,392)
       (200,000)   Goldman Sachs 2.25   12/21/2046                              32,936
       (100,000)   Goldman Sachs 2.50   6/15/2046                                7,417
               $                        35,072
               
    INTEREST RATE FLOOR          
    (6,800,000)   Barclays Bank PLC 0.04   11/28/2017    $                          1,963
     3,400,000   Barclays Bank PLC 0.15   11/28/2017                               (1,234)
               $                             729
    CREDIT DEFAULT SWAPS          
     2,900,000   North American Investment Grade CDX Index 1.00   12/20/2021    $                        15,778
        100,000   North American Investment Grade CDX Index 1.00   6/20/2022                                     37
        594,000   North American High Yield CDX Index 5.00   12/20/2021                              10,703
               $                        26,518
    PURCHASED SWAPTION CONTRACTS          
        400,000   EUR 10 Year Put Swaption, Strike Price 1.08, Expiration 9/6/17          $                        (1,049)
               
    WRITTEN SWAPTION CONTRACTS          
       (500,000)   USD 10 Year Put Swaption, Strike Price 2.94, Expiration 9/6/17          $                          1,837
               

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
March 31, 2017 
 
Schedule of Forward Foreign Currency Contracts          
               
Settlement Date Counterparty Currency Units to Receive/Deliver   In Exchange For   U.S. $ Value Unrealized Appreciation (Depreciation)
To Buy:              
4/17/2017 Barclays Bank PLC  $                2,558,000 MXN  $              124,635    $             135,465  $                               10,830
4/17/2017 Barclays Bank PLC                    1,199,000 MXN                    62,345                     63,496                                     1,151
6/23/2017 Barclays Bank PLC                  46,754,400 KRW                    42,000                     41,850                                      (150)
6/23/2017 Barclays Bank PLC                  73,079,160 KRW                    66,000                     65,414                                      (586)
                                                11,245
               
To Sell:              
4/4/2017 Barclays Bank PLC  $                     11,000 GBP  $                13,679    $               13,756  $                                    (77)
4/4/2017 Barclays Bank PLC                         99,000 EUR                  104,384                   105,905                                   (1,521)
4/4/2017 Barclays Bank PLC                         67,000 GBP                    82,593                     83,788                                   (1,195)
4/4/2017 Barclays Bank PLC                           3,000 EUR                      3,187                       3,209                                        (22)
4/4/2017 Barclays Bank PLC                         93,000 GBP                  114,904                   116,303                                   (1,399)
4/17/2017 Barclays Bank PLC                    2,526,000 MXN                  126,145                   133,771                                   (7,626)
5/2/2017 Barclays Bank PLC                           3,000 EUR                      3,208                       3,213                                          (5)
6/23/2017 Barclays Bank PLC                119,887,520 KRW                  104,650                   107,313                                   (2,663)
                                              (14,508)
               
            Net unrealized depreciation on forward foreign currency contracts  $                               (3,263)

 

 

 

Global Atlantic Select Advisor Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    EXCHANGE TRADED FUNDS - 17.1%    
    DEBT FUNDS - 10.5%    
      30,999   iShares 1-3 Year Credit Bond ETF    $               3,262,025
      40,101   iShares Core U.S. Aggregate Bond ETF                      4,350,557
      49,508   iShares iBoxx $ High Yield Corporate Bond ETF                      4,345,812
                         11,958,394
         
    EQUITY FUNDS - 6.6%    
      45,181   iShares Core MSCI Emerging Markets ETF                      2,159,200
      19,091   iShares Russell 1000 Growth ETF                      2,172,556
      23,754   iShares Russell 2000 ETF                      3,265,700
                           7,597,456
    TOTAL EXCHANGE TRADED FUNDS (Cost - $18,817,320)                    19,555,850
         
    VARIABLE INSURANCE TRUSTS - 78.0%    
    DEBT FUND - 17.2%    
 1,479,786   MFS Research Bond Series - Initial Class                    19,577,575
         
    EQUITY FUNDS - 60.8%    
    203,915   American Century VP Mid Cap Value - Investor Class                      4,339,301
 1,119,385   American Century VP Value Fund - Class I                    11,910,252
    153,031   Invesco VI International Growth Fund - Class I                      5,428,003
    331,660   MFS Growth Series - Initial Class                    14,118,774
      87,895   MFS VIT II Blended Research Core Equity Portfolio - Initial Class                      4,342,906
    402,867   MFS VIT II International Value Portfolio - Initial Class                      9,745,351
    382,685   MFS VIT Mid Cap Growth Series - Initial Class                      3,260,475
    685,666   Putnam VT Equity Income - Class IA                    16,243,426
                         69,388,488
    TOTAL VARIABLE INSURANCE TRUSTS (Cost - $83,129,656)                    88,966,063
         
    SHORT-TERM INVESTMENT - 5.6%    
    MONEY MARKET FUND - 5.6%    
 6,390,781   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
     to yield 0.56% (a)(Cost - $6,390,781)                      6,390,781
         
    TOTAL INVESTMENTS - 100.7% (Cost - $108,337,757)(b)    $           114,912,694
    OTHER ASSETS LESS LIABILITIES -NET - (0.7)%                       (852,937)
    TOTAL NET ASSETS - 100.0%    $        114,059,757
         
   
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $108,857,607
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $               6,827,248
      Unrealized Depreciation:                     (772,161)
      Net Unrealized Appreciation:  $               6,055,087
         

 

 

 

 

Global Atlantic Wellington Research Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
Shares              Value
    COMMON STOCKS - 61.6%          
    AEROSPACE/DEFENSE - 2.0%          
                     9,447   Boeing Co. (The)          $       1,670,796
                     6,476   General Dynamics Corp.                    1,212,307
                   10,282   Lockheed Martin Corp.                    2,751,463
                   27,187   United Technologies Corp.                    3,050,653
                         8,685,219
    AGRICULTURE - 0.9%          
                   47,325   Altria Group, Inc.                    3,379,952
                     9,198   British American Tobacco PLC - ADR                       610,011
                         3,989,963
    AIRLINES - 0.2%          
                   11,530   American Airlines Group, Inc.                       487,719
                     2,521   United Continental Holdings, Inc. *                       178,083
                            665,802
    APPAREL - 1.2%          
                   85,280   NIKE, Inc.                    4,752,654
                     5,924   Under Armour, Inc. *                       108,409
                     7,526   VF Corp.                       413,704
                         5,274,767
    BANKS - 3.9%          
                 298,070   Bank of America Corp.                    7,031,471
                   42,847   Capital One Financial Corp.                    3,713,121
                 109,030   Huntington Bancshares, Inc.                    1,459,912
                   17,294   Morgan Stanley                       740,875
                     9,850   Northern Trust Corp.                       852,813
                   26,752   PNC Financial Services Group, Inc. (The)                    3,216,660
                       17,014,852
    BEVERAGES - 2.4%          
                     5,390   Anheuser-Busch InBev SA/NV - ADR                       591,606
                   10,741   Constellation Brands, Inc.                    1,740,794
                     6,099   Dr. Pepper Snapple Group, Inc.                       597,214
                   16,304   Molson Coors Brewing Co.                    1,560,456
                   55,884   Monster Beverage Corp. *                    2,580,164
                   33,217   PepsiCo, Inc.                    3,715,654
                       10,785,888
    BIOTECHNOLOGY - 0.6%          
                   13,602   Aduro Biotech, Inc. *                       146,221
                     1,621   Alnylam Pharmaceuticals, Inc. *                           83,076
                        284   Biogen, Inc. *                         77,651
                     1,533   BlueBird Bio, Inc. *                       139,350
                     8,905   Celgene Corp. *                    1,108,049
                     9,720   GlycoMimetics, Inc. *                         52,780
                     2,934   Incyte Corp. *                       392,188
                   13,563   Karyopharm Therapeutics, Inc. *                         174,149
                     3,500   Loxo Oncology, Inc. *                       147,280
                   10,854   Otonomy, Inc. *                       132,962
                        484   Regeneron Pharmaceuticals, Inc. *                         187,555
                   10,080   Syndax Pharmaceuticals, Inc. *                       138,298
                         2,779,559
    BUILDING MATERIALS - 0.4%          
                   13,505   Boise Cascade Co. *                       360,584
                     7,983   CRH PLC - ADR                       280,762
                     2,895   Martin Marietta Materials, Inc.                       631,834
                     5,539   Vulcan Materials Co.                       667,339
                         1,940,519
    CHEMICALS - 1.3%          
                     6,640   Cabot Corp.                       397,802
                   11,194   Celanese Corp.                    1,005,781
                   28,598   Dow Chemical Co. (The)                    1,817,117
                     5,010   Monsanto Co.                       567,132
                   14,872   PPG Industries, Inc.                    1,562,750
                     4,613   Westlake Chemical Corp.                       304,689
                         5,655,271
    COMMERCIAL SERVICES - 1.7%          
                     5,870   Automatic Data Processing, Inc.                       601,029
                     6,371   Equifax, Inc.                       871,171
                     3,970   FleetCor Technologies, Inc. *                       601,177
                   25,064   Global Payments, Inc.                    2,022,164
                     8,904   IHS Markit Ltd. *                       373,523
                   26,721   PayPal Holdings, Inc. *                    1,149,537
                     3,561   Total System Services, Inc.                       190,371
                   33,131   TransUnion *                    1,270,574
                     4,134   WEX, Inc. *                         427,869
                         7,507,415
    COMPUTERS - 3.0%          
                     5,406   Accenture PLC - Cl. A                       648,071
                   77,225   Apple, Inc.                  11,094,143
                     4,744   Cognizant Technology Solutions Corp. - Cl. A  *                         282,363
                   25,530   Genpact Ltd.                       632,123
                   15,708   Seagate Technology PLC                       721,468
                       13,378,168
    COSMETICS/PERSONAL CARE - 1.0%          
                 113,412   Coty, Inc.                    2,056,160
                   24,466   Estee Lauder Cos., Inc. (The)                    2,074,472
                         4,130,632
    DIVERSIFIED FINANCIAL SERVICES - 2.7%          
                     3,900   Alliance Data Systems Corp.                       971,100
                   39,303   American Express Co.                    3,109,260
                     4,066   Evercore Partners, Inc.                       316,741
                     6,870   Financial Engines, Inc.                       299,189
                   11,711   Intercontinental Exchange, Inc.                       701,138
                     7,600   Investment Technology Group, Inc.                       153,900
                     8,482   Legg Mason, Inc.                       306,285
                 131,825   Santander Consumer USA Holdings, Inc. *                    1,755,909
                   14,416   TD Ameritrade Holding Corp.                       560,206
                   40,037   Visa, Inc. - Cl. A                    3,558,088
                   16,354   WisdomTree Investments, Inc.                         148,494
                       11,880,310
    ELECTRIC - 2.2%          
                   25,727   Avangrid, Inc.                    1,099,572
                   18,368   Dominion Resources, Inc.                    1,424,806
                   12,343   Edison International                       982,626
                   10,249   Eversource Energy                       602,436
                   25,421   Exelon Corp.                       914,648
                   20,863   NextEra Energy, Inc.                    2,678,183
                   21,536   PG&E Corp.                    1,429,129
                     5,662   Pinnacle West Capital Corp.                       472,098
                         9,603,498
    ELECTRICAL COMPONENTS & EQUIPMENT - 0.3%          
                   22,049   AMETEK, Inc.                    1,192,410
                     1,880   SunPower Corp. *                         11,468
                         1,203,878
    ELECTRONICS - 0.3%          
                   18,008   Fortive Corp.                    1,084,442
               
    ENERGY - ALTERNATE SOURCES - 0.0% **          
                     1,799   First Solar, Inc. *                         48,753
               
    ENVIRONMENTAL CONTROL - 0.4%          
                   26,470   Waste Management, Inc.                    1,930,192
               
    FOOD - 0.7%          
                   72,580   Hostess Brands, Inc. *                    1,151,845
                   21,277   Post Holdings, Inc. *                    1,862,163
                         3,014,008
    FOREST PRODUCTS & PAPER - 0.3%          
                   23,054   International Paper Co.                    1,170,682
               
    GAS - 0.5%          
                   12,823   Sempra Energy                    1,416,942
                   13,320   UGI Corp.                       658,008
                         2,074,950
    HEALTHCARE-PRODUCTS - 3.6%          
                   28,396   Abbott Laboratories                    1,261,066
                   23,285   Baxter International, Inc.                    1,207,560
                     6,888   Becton Dickinson and Co.                    1,263,535
                   81,498   Boston Scientific Corp. *                    2,026,855
                   12,290   ConforMIS, Inc. *                         64,154
                   32,617   Danaher Corp.                    2,789,732
                   56,848   Medtronic, Inc.                    4,579,675
                   13,373   Stryker Corp.                    1,760,555
                     7,432   Thermo Fisher Scientific, Inc.                    1,141,555
                       16,094,687
    HEALTHCARE-SERVICES - 1.5%          
                     9,630   Cigna Corp.                    1,410,699
                   18,054   HCA Holdings, Inc. *                    1,606,625
                   22,742   UnitedHealth Group, Inc.                    3,729,915
                         6,747,239
    HOLDING COMPANY - 0.1%          
                   48,290   Conyers Park Acquisition Corp. *                       545,194
               
    INSURANCE - 3.5%          
                   10,710   Allstate Corp. (The)                       872,758
                   42,862   American International Group, Inc.                    2,675,875
                   45,909   Assured Guaranty Ltd.                    1,703,683
                   17,900   Athene Holding Ltd. *                       894,821
                     5,610   Chubb Ltd.                       764,363
                   20,819   Hartford Financial Services Group, Inc. (The)                    1,000,769
                   55,626   Manulife Financial Corp.                       986,805
                   31,765   Marsh & McLennan Cos., Inc.                    2,347,116
                   19,895   MetLife, Inc.                    1,050,854
                   13,926   Prudential Financial, Inc.                    1,485,626
                   38,698   XL Group Ltd.                    1,542,502
                       15,325,172
    INTERNET - 5.1%          
                     4,552   Alphabet, Inc. - Cl. A *                    3,859,186
                     6,844   Amazon.com, Inc. *                      6,067,480
                   19,042   Blucora, Inc. *                       329,427
                   42,374   eBay, Inc.                    1,422,495
                   11,081   Expedia, Inc.                    1,398,090
                   29,822   Facebook, Inc. - Cl. A                    4,236,215
                   12,700   Netflix, Inc.                    1,877,187
                     1,310   Priceline Group, Inc. (The)                    2,331,761
                   24,047   Wayfair, Inc.                       973,663
                       22,495,504
    IRON/STEEL - 0.1%          
                     2,130   Reliance Steel & Aluminum Co.                       170,443
                   11,492   Steel Dynamics, Inc.                       399,462
                            569,905
    LODGING - 0.1%          
                     9,469   Hilton Worldwide Holdings, Inc.                       553,558
               
    MACHINERY-DIVERSIFIED - 0.0%**          
                     3,226   AGCO Corp.                       194,141
               
    MEDIA - 2.2%          
                     9,088   Charter Communications, Inc. *                    2,974,684
                   90,882   Comcast Corp.                    3,416,254
                   16,900   Liberty Media Corp-Liberty Formula One *                       577,135
                   47,866   Twenty-First Century Fox, Inc.                    1,550,380
                   26,653   Viacom, Inc.                    1,242,563
                         9,761,016
    MINING - 0.0% **          
                   13,882   Freeport-McMoRan, Inc.*                       185,464
               
    MISCELLANEOUS MANUFACTURING - 1.4%          
                   20,039   Eaton Corp. PLC                    1,485,892
                   27,800   General Electric Co.                       828,440
                   17,676   Illinois Tool Works, Inc.                    2,341,540
                   22,487   Pentair PLC                    1,411,734
                         6,067,606
    OIL & GAS - 2.5%          
                   20,774   Antero Resources Corp. *                       473,855
                   14,314   Callon Petroleum Co. *                       188,372
                     5,604   Chevron Corp.                       601,701
                 195,662   Cobalt International Energy, Inc. *                         104,366
                     7,146   Diamondback Energy, Inc. *                       741,147
                   55,356   Extraction Oil & Gas, Inc. *                    1,026,854
                     4,054   Exxon Mobil Corp.                       332,469
                   81,547   Newfield Exploration Co. *                    3,009,900
                   18,271   Parsley Energy, Inc. *                       593,990
                     8,951   PDC Energy, Inc. *                       558,095
                   11,736   Pioneer Natural Resources Co.                    2,185,595
                   69,788   QEP Resources, Inc. *                       887,005
                   19,763   Rice Energy, Inc. *                       468,383
                       11,171,732
    OIL & GAS SERVICES - 0.5%          
                   26,061   Baker Hughes, Inc.                    1,558,969
                   19,416   Helix Energy Solutions Group, Inc. *                       150,862
                   11,291   NOW, Inc. *                       191,495
                   19,850   Tesco Corp. *                       159,793
                         2,061,119
    PACKAGING & CONTAINERS - 0.4%          
                   11,800   Ardagh Group SA *                       259,128
                   18,561   Ball Corp.                    1,378,340
                   14,152   Owens-Illinois, Inc. *                         288,418
                         1,925,886
    PHARMACEUTICALS - 3.7%          
                     4,933   Aerie Pharmaceuticals, Inc. *                         223,712
                     8,431   Aimmune Therapeutics, Inc. *                       183,206
                     8,922   Allergan PLC                    2,131,644
                   35,739   AstraZeneca PLC - ADR                    1,112,912
                   46,905   Bristol-Myers Squibb Co.                    2,550,694
                     3,100   Calithera Biosciences, Inc. *                         35,805
                     9,093   Cardinal Health, Inc.                       741,534
                   26,480   Eli Lilly & Co.                    2,227,233
                   12,183   Herbalife Ltd. *                       708,320
                   14,966   Ironwood Pharmaceuticals, Inc. - Cl. A  *                         255,320
                   16,060   Johnson & Johnson                    2,000,273
                     1,400   Jounce Therapeutics, Inc. *                         30,786
                   16,218   McKesson Corp.                    2,404,481
                   25,853   Mylan NV *                    1,008,008
                     7,080   MyoKardia, Inc. *                         93,102
                     5,181   Ra Pharmaceuticals, Inc. *                       110,303
                     2,284   TESARO, Inc. *                         351,439
                     8,141   Teva Pharmaceutical Industries Ltd. - ADR                       261,245
                   15,851   Trevena, Inc. *                         58,173
                       16,488,190
    PIPELINES - 0.6%          
                     6,200   Enbridge, Inc.                       259,408
                   66,260   Kinder Morgan, Inc.                    1,440,492
                     5,786   ONEOK, Inc.                       320,776
                   12,060   TransCanada Corp.                       556,569
                         2,577,245
    REAL ESTATE INVESTMENT TRUSTS - 2.4%          
                   10,060   Alexandria Real Estate Equities, Inc.                    1,111,831
                   25,782   American Tower Corp.                    3,133,544
                   25,129   Apartment Investment & Management Co.                    1,114,471
                   15,675   Crown Castle International Corp.                    1,480,504
                     2,438   Equinix, Inc.                       976,102
                   33,800   Invitation Homes, Inc. *                       737,854
                   19,151   Outfront Media, Inc.                       508,459
                   13,708   Park Hotels & Resorts, Inc.                       351,884
                   11,533   Prologis, Inc.                       598,332
                     4,492   Simon Property Group, Inc.                       772,759
                       10,785,740
    RETAIL - 1.9%          
                   14,722   Advance Auto Parts, Inc.                    2,182,684
                   15,458   Costco Wholesale Corp.                    2,592,152
                     3,760   L Brands, Inc.                       177,096
                     4,483   O'Reilly Automotive, Inc. *                    1,209,693
                   13,287   TJX Cos., Inc. (The)                    1,050,736
                   15,103   Walgreens Boots Alliance, Inc.                    1,254,304
                        300   Wingstop, Inc.                           8,484
                         8,475,149
    SEMICONDUCTORS - 1.7%          
                   20,359   Analog Devices, Inc.                    1,668,420
                   11,817   Broadcom Ltd.                    2,587,450
                   29,797   Microchip Technology, Inc.                    2,198,423
                   35,318   Micron Technology, Inc. *                    1,020,690
                         7,474,983
    SOFTWARE - 2.3%          
                     5,927   Adobe Systems, Inc. *                       771,281
                     4,145   Akamai Technologies, Inc. *                       247,457
                   12,610   Atlassian Corp PLC                       377,670
                   11,347   Electronic Arts, Inc. *                    1,015,783
                     3,510   Envestnet, Inc. *                       113,373
                     3,145   Guidewire Software, Inc. *                       177,158
                     5,739   HubSpot, Inc. *                       347,496
                   65,073   Microsoft Corp.                    4,285,708
                   12,920   Salesforce.com, Inc. *                    1,065,771
                     6,134   ServiceNow, Inc. *                       536,541
                     4,416   Splunk, Inc. *                       275,073
                     9,216   SS&C Technologies Holdings, Inc.                       326,246
                     8,588   Workday, Inc. *                       715,209
                       10,254,766
    TELECOMMUNICATIONS - 1.0%          
                   19,438   Arista Networks, Inc. *                    2,571,064
                   51,763   Cisco Systems, Inc.                    1,749,589
                         4,320,653
    TEXTILES - 0.3%          
                     5,168   Mohawk Industries, Inc. *                    1,186,004
               
    TRANSPORTATION - 0.7%          
                   11,975   CSX Corp.                       557,436
                     5,073   FedEx Corp.                       989,996
                     4,843   Genesee & Wyoming, Inc. *                       328,646
                     2,299   JB Hunt Transport Services, Inc.                       210,910
                        811   Kansas City Southern                         69,551
                        780   Kirby Corp. *                         55,029
                   12,878   Knight Transportation, Inc.                       403,725
                     9,881   XPO Logistics, Inc. *                       473,201
                         3,088,494
               
    TOTAL COMMON STOCKS (Cost - $230,039,485)                272,168,215
               
    PREFERRED STOCK - 0.0% **          
                     3,000   Verizon Communications, Inc. * (Cost - $75,000)                         79,290
               
    EXCHANGE TRADED FUND - 1.5%          
    EQUITY FUND - 1.5%          
                   27,479   SPDR S&P 500 ETF Trust (Cost - $5,504,096)                    6,477,899
               
Principal Amount     Coupon Rate (%)   Maturity    
    ASSET BACKED SECURITIES - 3.6%          
                 100,000   Ally Master Owner Trust 1.600   10/15/2019                 100,095
                   90,000   AmeriCredit Automobile Receivables Trust 1.510   5/18/2020                   89,951
                   32,456   AmeriCredit Automobile Receivables Trust 2013-5 1.520   1/8/2019                   32,459
                   84,868   AmeriCredit Automobile Receivables Trust 2014-1 1.680   7/8/2019                   84,926
                 120,000   AmeriCredit Automobile Receivables Trust 2014-1 2.150   3/9/2020                 120,488
                 145,000   AmeriCredit Automobile Receivables Trust 2014-2 1.600   7/8/2019                 145,130
                 250,000   Apidos CLO XXI (a)^ 2.454   7/18/2027                 252,202
                 350,000   Apidos CLO XXII (a)^ 3.080   10/20/2027                 351,867
                 300,000   Atrium XII (a)^ 3.291   10/22/2026                 300,991
                 320,000   Avery Point IV CLO Ltd. (a)^     4/25/2026                 320,000
                 300,000   Babson CLO Ltd. 2013-I (a)^ 2.256   4/20/2025                 300,239
                 270,000   Babson CLO Ltd. 2015-I (a)^ 2.586   4/20/2027                 270,724
                 300,000   Ballyrock CLO 2016-1 Ltd. (a)^ 2.406   10/15/2028                 303,360
                 200,000   Bayview Opportunity Master Fund IVa Trust 2017-SPL1 (a)^ 4.000   10/28/2064                 206,771
                 325,000   BlueMountain CLO 2015-3 Ltd. (a)^ 2.510   10/20/2027                 326,113
                 225,000   Capital Auto Receivables Asset Trust 2015-3 1.720   1/22/2019                 225,301
                 385,000   CARDS II Trust (a)^ 1.612   7/15/2021                 386,808
                 495,000   Carlyle Global Market Strategies CLO 2014-5 Ltd. (a)^     10/16/2025                 495,000
                 225,000   CarMax Auto Owner Trust 2013-4 1.710   7/15/2019                 225,386
                 100,000   CarMax Auto Owner Trust 2013-4 1.950   9/16/2019                 100,335
                 150,000   Cent CLO 20 Ltd. (a)^ 2.518   1/25/2026                 150,013
                 250,000   Cent CLO 21 Ltd. (a)^     7/27/2026                 249,744
                 250,000   Cent CLO 23 Ltd. (a)^ 2.648   4/17/2026                 250,173
                 430,000   Chesapeake Funding II LLC (a)^ 1.994   6/15/2028                 432,114
                 100,000   Chrysler Capital Auto Receivables Trust 2013-A (a) 1.830   3/15/2019                 100,055
                   80,000   Chrysler Capital Auto Receivables Trust 2013-B (a) 1.780   6/17/2019                   80,052
                 325,000   Chrysler Capital Auto Receivables Trust 2014-B (a) 1.760   12/16/2019                 325,628
                   90,000   Chrysler Capital Auto Receivables Trust 2015-A (a) 1.550   2/18/2020                   89,943
                 350,000   CIFC Funding 2014-II Ltd. (a)^ 2.235   5/24/2026                 350,114
                 250,000   CNH Equipment Trust 2015-C 1.660   11/16/2020                 250,055
                   73,500   DB Master Finance LLC 2015-1 (a) 3.262   2/20/2045                   73,858
                        498   Drive Auto Receivables Trust 2015-B (a) 2.120   6/17/2019                        498
                 250,000   Drive Auto Receivables Trust 2017-A (a) 1.480   3/15/2019                 249,922
                 265,000   Dryden 41 Senior Loan Fund (a)++ 3.172   1/15/2028                 265,931
                 450,000   Evergreen Credit Card Trust Series 2016-1 (a)^ 1.714   4/15/2020                 452,011
                   17,743   Exeter Automobile Receivables Trust 2015-2 (a) 1.540   11/15/2019                   17,739
                 135,000   First Investors Auto Owner Trust 2014-1 (a) 1.490   1/15/2020                 135,197
                   48,120   First Investors Auto Owner Trust 2014-1 (a) 2.260   1/15/2020                   48,111
                   56,219   First Investors Auto Owner Trust 2014-3 (a) 1.670   11/16/2020                   56,181
                   55,000   First Investors Auto Owner Trust 2014-3 (a) 2.390   11/16/2020                   54,858
                   91,485   First Investors Auto Owner Trust 2017-1 (a) 1.690   4/15/2021                   91,427
                   10,000   Ford Credit Auto Owner Trust 2013-A 1.360   10/15/2018                   10,000
                 100,000   Ford Credit Auto Owner Trust 2014-A 1.900   9/15/2019                 100,242
                 145,000   Ford Credit Floorplan Master Owner Trust A 1.770   8/15/2020                 145,104
                 100,000   Ford Credit Floorplan Master Owner Trust A 2.310   2/15/2021                 100,483
                 100,000   Ford Credit Floorplan Master Owner Trust A (a) 2.090   3/15/2022                   99,902
                 275,000   Galaxy XIX CLO Ltd. (a)^ 2.593   1/24/2027                 275,227
                 175,000   GreatAmerica Leasing Receivables Funding LLC Series 2017-1 (a) 2.360   1/20/2023                 174,462
                 300,000   Highbridge Loan Management 6-2015 Ltd. (a)++ 2.484   5/5/2027                 301,148
                   69,835   Hyundai Auto Receivables Trust 2013-A 1.130   9/17/2018                   69,828
                   60,000   Hyundai Auto Receivables Trust 2013-B 1.450   2/15/2019                   60,019
                   91,000   Hyundai Auto Receivables Trust 2013-B 1.710   2/15/2019                   91,106
                 167,000   Hyundai Auto Receivables Trust 2014-B 2.100   11/15/2019                 167,186
                 300,000   Madison Park Funding XI Ltd. (a)^ 2.321   10/23/2025                 300,167
                 250,000   Madison Park Funding XV Ltd. (a)^ 2.542   1/27/2026                 249,276
                 164,142   MMAF Equipment Finance LLC 2016-A (a) 1.390   12/17/2018                 164,128
                 140,000   MMAF Equipment Finance LLC 2016-A (a) 2.210   12/15/2032                 138,556
                 112,237   NYCTL 2016-A Trust (a) 1.470   11/10/2029                 111,458
                 300,000   Octagon Investment Partners XVI Ltd. (a)++ 2.278   7/17/2025                 299,744
                 100,000   OneMain Financial Issuance Trusts 2016-1A (a) 3.660   2/20/2029                 101,363
                 170,000   OneMain Financial Issuance Trusts 2016-2 (a) 4.100   3/20/2028                 174,141
                 100,000   Prestige Auto Receivables Trust 2014-1 (a) 1.910   4/15/2020                 100,055
                 155,182   Santander Drive Auto Receivables Trust 2012-5 0.000   9/17/2018                 155,262
                   45,000   Santander Drive Auto Receivables Trust 2013-2 2.570   3/15/2019                   45,240
                 235,049   Santander Drive Auto Receivables Trust 2013-5 2.250   6/17/2019                 235,741
                   66,647   Santander Drive Auto Receivables Trust 2014-1 2.360   4/15/2020                   66,863
                     7,845   Santander Drive Auto Receivables Trust 2014-4 1.820   5/15/2019                     7,847
                   58,451   Santander Drive Auto Receivables Trust 2015-1 1.970   11/15/2019                   58,538
                 275,000   Securitized Term Auto Receivables Trust 2016-1 (a) 1.524   3/25/2020                 273,523
                 325,000   Shackleton 2015-VIII CLO Ltd. (a)^ 2.540   10/20/2027                 325,317
                 325,000   Sound Point Clo XII Ltd. (a)^ 2.690   10/20/2028                 328,070
                 165,000   Springleaf Funding Trust 2015-A (a) 3.160   11/15/2024                 166,536
                 190,000   SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T3 (a) 2.920   7/15/2047                 190,186
                 305,000   SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2016-T1 (a) 2.530   11/16/2048                 303,764
                 181,695   Towd Point Mortgage Trust 2016-3 (a)^ 2.250   4/25/2056                 179,924
                 295,622   Towd Point Mortgage Trust 2017-1 (a)^ 2.750   10/25/2056                 295,344
                 620,000   Trillium Credit Card Trust II (a)^ 1.702   5/26/2021                 622,762
                 105,000   Volvo Financial Equipment LLC Series 2017-1 (a) 1.920   3/15/2021                 105,112
                 250,000   Voya CLO 2014-2 Ltd. (a)^ 2.473   7/17/2026                 250,011
                 300,000   Webster Park CLO Ltd. A-2 (a)^ 3.280   1/20/2027                 301,556
                 105,000   Westlake Automobile Receivables Trust 2015-2 (a) 1.830   1/15/2021                 105,024
                 117,026   Westlake Automobile Receivables Trust 2016-2 (a) 1.570   6/17/2019                 117,026
                 200,000   Westlake Automobile Receivables Trust 2017-1 (a) 1.780   4/15/2020                 200,121
    TOTAL ASSET BACKED SECURITIES (Cost - $15,872,134)                  15,929,132
               
    CORPORATE BONDS - 11.1%          
    ADVERTISING - 0.0% **          
                 140,000   Omnicom Group, Inc. 3.600   4/15/2026                 139,929
               
    AEROSPACE/DEFENSE - 0.2%          
                 100,000   BAE Systems Holdings, Inc. (a) 3.850   12/15/2025                 102,618
                   50,000   Lockheed Martin Corp. 2.500   11/23/2020                   50,345
                 147,000   Lockheed Martin Corp. 4.070   12/15/2042                 144,304
                   30,000   Lockheed Martin Corp. 4.500   5/15/2036                   31,861
                   75,000   Lockheed Martin Corp. 4.700   5/15/2046                   81,237
                   50,000   Lockheed Martin Corp. 4.850   9/15/2041                   54,339
                 125,000   Lockheed Martin Corp. 6.150   9/1/2036                 157,631
                            622,335
    AGRICULTURE - 0.2%          
                 230,000   BAT International Finance PLC (a) 2.750   6/15/2020                 231,981
                   20,000   BAT International Finance PLC (a) 3.500   6/15/2022                   20,400
                 216,000   Cargill, Inc. (a) 4.760   11/23/2045                 234,934
                 475,000   Imperial Brands Finance PLC (a) 3.750   7/21/2022                 487,848
                            975,163
    AUTO MANUFACTURERS - 0.3%          
                 105,000   Ford Motor Credit Co. 4.346   12/8/2026                 107,071
                 475,000   Ford Motor Credit Co. LLC 3.096   5/4/2023                 463,435
                 100,000   Ford Motor Credit Co. LLC 6.625   8/15/2017                 101,824
                 600,000   General Motors Financial Co., Inc. 3.700   5/9/2023                 602,262
                 100,000   Nissan Motor Acceptance Corp. (a) 2.650   9/26/2018                 101,006
                         1,375,598
    BANKS - 2.7%          
                 135,000   Bank of America Corp. 2.250   4/21/2020                 134,642
                 640,000   Bank of America Corp. 2.625   10/19/2020                 643,429
                 160,000   Bank of America Corp. 4.200   8/26/2024                 162,931
                 380,000   Bank of New York Mellon Corp. (The)^ 2.089   10/30/2023                 388,694
                 300,000   Banque Federative du Credit Mutuel SA (a) 2.750   10/15/2020                 300,297
                 100,000   Barclays Bank PLC 5.140   10/14/2020                 106,981
                 405,000   Barclays PLC 3.200   8/10/2021                 405,239
                 150,000   BB&T Corp. 2.450   1/15/2020                 151,531
                   50,000   BNP Paribas SA 2.375   9/14/2012                   50,148
                 285,000   BNP Paribas SA (a) 3.800   1/10/2024                 283,611
                 400,000   BPCE SA (a) 5.150   1/21/2024                 410,822
                 105,000   Capital One Financial Corp. 4.200   10/29/2025                 105,419
                   70,000   Citigroup, Inc. 3.300   4/27/2025                   68,563
                 300,000   Citigroup, Inc. 3.500   5/14/2023                 302,179
                   50,000   Citigroup, Inc. 4.050   9/30/2022                   52,069
                   55,000   Citigroup, Inc. 5.500   9/13/2025                   60,129
                 185,000   Citizens Financial Group, Inc. 4.300   12/3/2025                 190,674
                 200,000   Credit Agricole SA (a) 4.375   3/17/2025                 198,547
                   50,000   Credit Suisse AG 5.400   1/14/2020                   53,649
                 285,000   Credit Suisse Group AG (a) 3.574   1/9/2023                 284,549
                 395,000   Credit Suisse Group Funding Guernsey Ltd. 3.800   9/15/2022                 400,375
                 250,000   Credit Suisse Group Funding Guernsey Ltd. 3.125   6/10/2020                 251,387
                 345,000   Deutsche Bank AG (a) 4.250   10/14/2021                 353,882
                 525,000   Discover Bank 3.100   6/4/2020                 535,561
                 300,000   Fifth Third Bank 2.150   8/20/2018                 301,756
                 130,000   Goldman Sachs Group, Inc. (The) 2.625   4/25/2021                 129,644
                 200,000   Goldman Sachs Group, Inc. (The) 3.500   1/23/2025                 199,230
                   85,000   Goldman Sachs Group, Inc. (The) 4.750   10/21/2045                   89,551
                   55,000   Goldman Sachs Group, Inc. (The) 4.800   7/8/2044                   58,079
                   50,000   Goldman Sachs Group, Inc. (The) 6.750   10/3/2037                   61,697
                 305,000   HSBC Holdings PLC 3.400   3/8/2021                 311,930
                 200,000   HSBC Holdings PLC 3.600   5/25/2023                 203,229
                   60,000   HSBC Holdings PLC 4.000   3/30/2022                   62,840
                 200,000   HSBC Holdings PLC ^ 4.041   3/13/2028                 202,164
                 250,000   Huntington Bancshares, Inc. 3.150   3/14/2021                 254,323
                 250,000   Huntington National Bank 2.400   2/26/2020                 250,412
                 200,000   ING Groep NV 3.950   3/29/2027                 200,473
                 400,000   JPMorgan Chase & Co. 2.950   10/1/2026                 380,306
                   70,000   Morgan Stanley 3.125   7/25/2026                   66,813
                 300,000   Morgan Stanley 3.625   1/20/2027                 297,809
                 110,000   Morgan Stanley 3.875   4/28/2024                 113,205
                 455,000   Morgan Stanley 4.350   9/8/2026                 466,045
                 400,000   PNC Bank NA 2.600   7/21/2020                 403,838
                   50,000   PNC Financial Services Group, Inc. (The) 3.900   4/28/2024                   51,864
                 400,000   Santander Holdings USA, Inc. 2.700   5/26/2019                 401,893
                 120,000   Santander Holdings USA, Inc. 2.650   4/17/2020                 119,442
                 300,000   Santander UK PLC 2.000   8/24/2018                 300,630
                 300,000   Santander UK PLC (a) 5.000   11/7/2023                 312,588
                 200,000   Skandinaviska Enskilda Banken AB (a) 2.450   5/27/2020                 200,690
                 350,000   State Street Corp. 3.550   8/18/2025                 359,686
                 250,000   UBS Group Funding Jersey Ltd. (a) 2.950   9/24/2020                 251,666
                 225,000   UBS Group Funding Jersey Ltd. (a) 3.000   4/15/2021                 225,390
                 150,000   Wells Fargo & Co. 3.000   2/19/2025                 146,255
                   35,000   Wells Fargo & Co. 4.100   6/3/2026                   35,735
                 270,000   Wells Fargo & Co. 4.750   12/8/2046                 275,837
                       12,630,328
    BEVERAGES - 0.2%          
                 260,000   Anheuser-Busch InBev Finance, Inc. 3.650   1/25/2026                 262,912
                 300,000   Anheuser-Busch InBev Finance, Inc. 4.700   1/25/2036                 317,388
                   70,000   Anheuser-Busch InBev Finance, Inc. 4.900   1/25/2046                   75,651
                   55,000   Anheuser-Busch InBev Worldwide, Inc. 3.750   7/15/2042                   50,370
                            706,321
    BIOTECHNOLOGY - 0.2%          
                   25,000   Amgen, Inc. 4.563   6/15/2048                   24,829
                 130,000   Biogen, Inc. 2.900   9/15/2020                 132,322
                   70,000   Celgene Corp. 3.550   8/15/2022                   72,108
                 375,000   Celgene Corp. 3.625   5/15/2024                 379,582
                   90,000   Gilead Sciences, Inc. 2.550   9/1/2020                   90,969
                            699,810
    CHEMICALS - 0.1%          
                 300,000   Agrium, Inc. 3.150   10/1/2022                 300,812
                   55,000   Agrium, Inc. 7.125   5/23/2036                   70,511
                 150,000   LYB International Finance BV 4.875   3/15/2044                 155,384
                   40,000   Monsanto Co. 3.375   7/15/2024                   40,128
                            566,835
    COMMERCIAL SERVICES - 0.2%          
                 500,000   ERAC USA Finance, LLC (a) 3.300   10/15/2022                 503,245
                 355,000   Total System Services, Inc. 3.800   4/1/2021                 367,258
                            870,503
    COMPUTERS - 0.1%          
                   15,000   Apple, Inc. 2.450   8/4/2026                   14,189
                 120,000   Apple, Inc. 3.000   2/9/2024                 121,031
                 105,000   Apple, Inc. 3.250   2/23/2026                 106,070
                            241,290
    DIVERSIFIED FINANCIAL SERVICES - 0.3%          
                   50,000   American Express Co. 1.550   5/22/2018                   49,935
                 120,000   GTP Acquisition Partners I LLC (a) 2.350   6/15/2020                 118,462
                 285,000   LeasePlan Corp NV (a) 2.875   1/22/2019                 286,215
                 350,000   Private Export Funding Corp. 3.250   6/15/2025                 360,394
                 155,000   Synchrony Financial 2.600   1/15/2019                 156,211
                   15,000   Synchrony Financial 2.700   2/3/2020                   15,060
                 205,000   Synchrony Financial 3.750   8/15/2021                 211,224
                         1,197,501
    ELECTRIC - 1.0%          
                 200,000   Appalachian Power Co. 3.400   6/1/2025                 202,201
                 150,000   Berkshire Hathaway Energy Co. 4.500   2/1/2045                 156,023
                   60,000   Consolidated Edison Co. of New York, Inc. 4.625   12/1/2054                   63,841
                 160,000   Dominion Resources, Inc. # 2.962   7/1/2019                 162,273
                 230,000   Dominion Resources, Inc. # 4.104   4/1/2021                 239,894
                 175,000   Duke Energy Carolinas LLC 6.100   6/1/2037                 217,045
                   70,000   Duke Energy Corp. 2.650   9/1/2026                   65,220
                 225,000   Duke Energy Corp. 3.750   4/15/2024                 231,423
                   55,000   Emera US Finance LP 2.700   6/15/2021                   54,688
                 190,000   Entergy Corp. 2.950   9/1/2026                 180,138
                   10,000   Eversource Energy 3.150   1/15/2025                     9,949
                 265,000   Fortis, Inc. (a) 3.055   10/4/2026                 247,890
                 175,000   Georgia Power Co. 5.950   2/1/2039                 203,864
                 450,000   NextEra Energy Capital Holdings, Inc. 2.056   9/1/2017                 451,450
                   51,000   Oncor Electric Delivery Co. LLC 2.950   4/1/2025                   50,518
                 160,000   Oncor Electric Delivery Co. LLC 4.100   6/1/2022                 170,477
                   75,000   Pacific Gas & Electric Co. 3.400   8/15/2024                   76,362
                   50,000   PPL Capital Funding, Inc. 3.500   12/1/2022                   51,136
                 311,000   SCANA Corp. 4.125   2/1/2022                 315,192
                 255,000   SCANA Corp. 4.750   5/15/2021                 266,338
                 300,000   SCANA Corp. 6.250   4/1/2020                 327,651
                 150,000   South Carolina Electric & Gas Co. 5.100   6/1/2065                 155,240
                   15,000   South Carolina Electric & Gas Co. 6.050   1/15/2038                   17,559
                 225,000   Southern Co. (The) 2.750   6/15/2020                 226,912
                 290,000   Southern Co. (The) 2.950   7/1/2023                 282,286
                         4,425,570
    ELECTRONICS - 0.1%          
                 440,000   Keysight Technologies, Inc. 4.600   4/6/2027                 443,191
               
    ENGINEERING & CONSTRUCTION - 0.1%          
                   50,000   SBA Tower Trust (a) 2.898   10/15/2019                   50,333
                 255,000   SBA Tower Trust (a) 3.156   10/15/2020                 256,346
                            306,679
    FOOD - 0.3%          
                 105,000   Kraft Heinz Foods Co. 3.000   6/1/2026                   98,673
                 165,000   Kraft Heinz Foods Co. 3.500   7/15/2022                 168,591
                 175,000   Kraft Heinz Foods Co. 4.375   6/1/2046                 164,220
                 375,000   Kroger Co. (The) 2.950   11/1/2021                 377,276
                 125,000   Kroger Co. (The) 4.450   2/1/2047                 122,588
                 240,000   Sigma Alimentos SA de CV (a) 4.125   5/2/2026                 234,600
                   15,000   Tyson Foods, Inc. 2.650   8/15/2019                   15,165
                         1,181,113
    GAS - 0.2%          
                 125,000   Dominion Gas Holdings LLC 3.600   12/15/2024                 126,349
                 275,000   KeySpan Gas East Corp. (a) 2.742   8/15/2026                 262,864
                 450,000   NiSource Finance Corp. 6.400   3/15/2018                 469,350
                            858,563
    HEALTHCARE-PRODUCTS - 0.1%          
                 325,000   Boston Scientific Corp. 3.375   5/15/2022                 331,138
                 205,000   Medtronic, Inc. 3.500   3/15/2025                 209,765
                   75,000   Medtronic, Inc. 4.375   3/15/2035                   78,624
                            619,527
    HEALTHCARE-SERVICES - 0.4%          
                 210,000   Aetna, Inc. 2.800   6/15/2023                 208,284
                   75,000   Anthem, Inc. 3.500   8/15/2024                   75,470
                 150,000   Anthem, Inc. 4.650   8/15/2044                 152,263
                 100,000   Catholic Health Initiatives 2.950   11/1/2022                   96,699
                 120,000   Catholic Health Initiatives 4.350   11/1/2042                 102,309
                 100,000   City of Hope 5.623   11/15/2043                 118,544
                   25,000   Dignity Health 3.812   11/1/2024                   25,099
                 295,000   Kaiser Foundation Hospitals 3.500   4/1/2022                 304,997
                   30,000   Memorial Sloan-Kettering Cancer Center 4.200   7/1/2055                   29,725
                   50,000   Memorial Sloan-Kettering Cancer Center 5.000   7/1/2042                   56,625
                 300,000   United Health Group, Inc. 2.875   3/15/2023                 300,883
                   45,000   United Health Group, Inc. 3.350   7/15/2022                   46,558
                   75,000   United Health Group, Inc. 3.750   7/15/2025                   78,324
                         1,595,780
    INSURANCE - 0.3%          
                   50,000   American International Group, Inc. 4.875   6/1/2022                   54,120
                 190,000   Berkshire Hathaway, Inc. 2.750   3/15/2023                 190,047
                   50,000   Chubb INA Holdings, Inc. 2.300   11/3/2020                   50,180
                   75,000   Chubb INA Holdings, Inc. 3.350   5/15/2024                   76,579
                 250,000   Hartford Financial Services Group, Inc. (The) 5.500   3/30/2020                 272,053
                 275,000   Jackson National Life Global Funding (a) 3.250   1/30/2024                 276,513
                 150,000   Principal Financial Group, Inc. 3.400   5/15/2025                 149,569
                 125,000   Teachers Insurance & Annuity Association of America (a) 4.900   9/15/2044                 135,180
                 290,000   Trinity Acquisition PLC 4.400   3/15/2026                 297,256
                         1,501,497
    INTERNET - 0.2%          
                 400,000   Alibaba Group Holding Ltd. 2.500   11/28/2019                 401,892
                 265,000   Amazon.com, Inc. 4.800   12/5/2034                 293,438
                            695,330
    LODGING - 0.1%          
                 325,000   Marriott International, Inc. 2.300   1/15/2022                 317,686
                 225,000   Marriott International, Inc. 2.875   3/1/2021                 227,487
                            545,173
    MACHINERY - CONSTRUCTION AND MINING - 0.0% **          
                   45,000   Caterpillar, Inc. 4.300   5/15/2044                   45,833
               
    MEDIA - 0.3%          
                   50,000   21st Century Fox America, Inc. 3.700   9/15/2024                   51,123
                 175,000   Charter Communications Operating LLC 4.464   7/23/2022                 184,543
                   60,000   Charter Communications Operating LLC 6.484   10/23/2045                   69,080
                 100,000   Comcast Corp. 6.400   3/1/2040                 128,274
                 275,000   Cox Communications, Inc. (a) 4.800   2/1/2035                 258,932
                 100,000   NBCUniversal Media, LLC 2.875   1/15/2023                 100,276
                 250,000   Sky PLC (a) 3.750   9/16/2024                 252,517
                 275,000   Time Warner, Inc. 4.875   3/15/2020                 295,012
                   50,000   Viacom, Inc. 4.250   9/1/2023                   51,485
                         1,391,242
    MISCELLANEOUS MANUFACTURING - 0.2%          
                 180,000   General Electric Co. 6.875   1/10/2039                 255,603
                   10,000   Parker-Hannifin Corp. 4.450   11/21/2044                   10,556
                 225,000   Pentair Finance SA 2.900   9/15/2018                 227,273
                   50,000   Pentair Finance SA 3.150   9/15/2022                   49,651
                 250,000   Siemens Financieringsmaatschappij NV (a) 2.900   5/27/2022                 251,921
                            795,004
    OIL & GAS - 0.8%          
                 240,000   Anadarko Petroleum Corp. 4.850   3/15/2021                 256,741
                 200,000   BG Energy Capital PLC (a) 4.000   10/15/2021                 211,698
                 105,000   BP Capital Markets PLC 3.245   5/6/2022                 107,256
                 105,000   ConocoPhillips Co. 2.875   11/15/2021                 105,893
                 105,000   ConocoPhillips Co. 3.350   5/15/2025                 105,391
                   20,000   ConocoPhillips Co. 4.950   3/15/2026                   22,198
                   30,000   ConocoPhillips Co. 5.750   2/1/2019                   32,110
                   15,000   ConocoPhillips Co. 6.000   1/15/2020                   16,564
                 325,000   Devon Energy Corp. 3.250   5/15/2022                 321,956
                 130,000   Marathon Oil Corp. 2.700   6/1/2020                 129,086
                   50,000   Marathon Oil Corp. 5.900   3/15/2018                   51,759
                 170,000   Noble Energy, Inc. 4.150   12/15/2021                 178,373
                 775,000   Petroleos Mexicanos 5.500   1/21/2021                 820,337
                 175,000   Petroleos Mexicanos 6.750   9/21/2047                 177,520
                   95,000   Petroleos Mexicanos (a) 5.375   3/13/2022                   99,512
                 170,000   Phillips 66 4.875   11/15/2044                 170,723
                 225,000   Pioneer Natural Resources Co. 7.500   1/15/2020                 254,673
                   75,000   Shell International Finance BV 2.875   5/10/2026                   72,928
                 180,000   Shell International Finance BV 4.125   5/11/2035                 181,371
                 230,000   Sinopec Group Overseas Development 2015 Ltd. (a) 2.500   4/28/2020                 228,965
                 125,000   Suncor Energy, Inc. 6.100   6/1/2018                 131,568
                         3,676,622
    OIL & GAS SERVICES - 0.0% **          
                 110,000   Schlumberger Holdings Corp. (a) 3.000   12/21/2020                 112,478
               
    PHARMACEUTICALS - 0.7%          
                 375,000   AbbVie, Inc. 1.800   5/14/2018                 375,422
                   50,000   AbbVie, Inc. 3.200   11/6/2022                   50,563
                   85,000   Actavis Funding SCS 3.000   3/12/2020                   86,451
                   20,000   Actavis Funding SCS 3.450   3/15/2022                   20,422
                   50,000   Actavis Funding SCS 3.850   6/15/2024                   50,992
                 355,000   Actavis Funding SCS 4.550   3/15/2035                 355,965
                 275,000   Bayer US Finance LLC (a) 2.375   10/8/2019                 276,888
                 170,000   Cardinal Health, Inc. 3.200   3/15/2023                 171,980
                   35,000   Cardinal Health, Inc. 4.500   11/15/2044                   34,668
                   95,000   EMD Finance LLC (a) 2.950   3/19/2022                   95,266
                 135,000   EMD Finance LLC (a) 3.250   3/19/2025                 133,408
                 100,000   Forest Laboratories LLC (a) 5.000   12/15/2021                 108,363
                 150,000   Merck & Co., Inc. 2.750   2/10/2025                 148,078
                 220,000   Mylan NV 3.000   12/15/2018                 222,553
                 123,000   Teva Pharmaceutical Finance Co BV 3.650   11/10/2021                 124,981
                 750,000   Teva Pharmaceutical Finance Netherlands III BV 2.800   7/21/2023                 712,357
                 145,000   Teva Pharmaceutical Finance Netherlands III BV 4.100   10/1/2046                 124,902
                         3,093,259
    PIPELINES - 0.4%          
                   65,000   Columbia Pipeline Group, Inc. 2.450   6/1/2018                   65,310
                 175,000   Columbia Pipeline Group, Inc. 4.500   6/1/2025                 183,346
                 120,000   Energy Transfer Partners LP 3.600   2/1/2023                 119,274
                   90,000   Energy Transfer Partners LP 7.600   2/1/2024                 102,673
                   95,000   Enterprise Products Operating LLC 3.950   2/15/2027                   96,868
                 130,000   Enterprise Products Operating LLC 5.100   2/15/2045                 135,781
                 100,000   Phillips 66 Partners LP 3.605   2/15/2025                   97,381
                   30,000   Regency Energy Partners LP / Regency Energy Finance Corp. 4.500   11/1/2023                   30,784
                   75,000   Sunoco Logistics Partners Operations LP 3.450   1/15/2023                   73,949
                 195,000   Sunoco Logistics Partners Operations LP 4.400   4/1/2021                 205,208
                 131,000   TransCanada PipeLines Ltd. 4.875   1/15/2026                 145,238
                 255,000   Transcanada Trust ++ 5.300   3/15/2077                 251,972
                 200,000   Western Gas Partners LP 4.000   7/1/2022                 205,387
                         1,713,171
    REAL ESTATE INVESTMENT TRUSTS - 0.4%          
                 300,000   American Tower Corp. 3.450   9/15/2021                 305,411
                   86,000   American Tower Corp. 5.000   2/15/2024                   92,875
                   50,000   AvalonBay Communities, Inc. 2.950   9/15/2022                   50,135
                 140,000   Crown Castle International Corp. 3.700   6/15/2026                 137,388
                 150,000   DDR Corp. 4.625   7/15/2022                 157,374
                   75,000   HCP, Inc. 3.875   8/15/2024                   75,419
                 200,000   HCP, Inc. 4.000   6/1/2025                 200,594
                 260,000   Scentre Group Trust 1/Scentre Group Trust 2 (a) 2.375   11/5/2019                 260,821
                 275,000   WEA Finance LLC / Westfield UK & Europe Finance PLC (a) 3.250   10/5/2020                 280,292
                         1,560,309
    RETAIL - 0.3%          
                   50,000   Auto Zone, Inc. 2.875   1/15/2023                   49,329
                 300,000   AutoZone, Inc. 3.125   7/15/2023                 298,182
                 250,000   CVS Health Corp. 4.000   12/5/2023                 262,547
                   55,000   CVS Health Corp. 4.875   7/20/2035                   59,217
                 130,000   CVS Health Corp. 5.125   7/20/2045                 143,429
                 100,000   Home Depot, Inc. (The) 2.000   6/15/2019                 100,776
                 200,000   O'Reilly Automotive, Inc. 3.800   9/1/2022                 207,614
                         1,121,094
    SEMICONDUCTORS - 0.1%          
                 480,000   Broadcom Corp / Broadcom Cayman Finance Ltd. (a)                       483,538
               
    SOFTWARE - 0.2%          
                 235,000   Microsoft Corp. 2.400   8/8/2026                 222,350
                 335,000   Microsoft Corp. 2.875   2/6/2024                 337,152
                 180,000   Microsoft Corp. 3.700   8/8/2046                 168,968
                 225,000   Oracle Corp. 2.800   7/8/2021                 229,609
                            958,079
    TELECOMMUNICATIONS - 0.2%          
                   30,000   AT&T, Inc. 3.950   1/15/2025                   30,253
                 110,000   AT&T, Inc. 4.750   5/15/2046                 102,640
                   20,000   AT&T, Inc. 4.500   5/15/2035                   18,880
                 150,000   Crown Castle Towers LLC (a) 3.222   5/15/2022                 151,956
                 225,000   Orange SA 9.000   3/1/2031                 331,280
                 334,000   Verizon Communications, Inc. 4.522   9/15/2048                 302,594
                     4,000   Verizon Communications, Inc. (a) 4.812   3/15/2039                     3,896
                            941,499
    TOYS/GAMES/HOBBIES - 0.0% **          
                   50,000   Mattel, Inc. 2.350   5/6/2019                   50,100
               
    TRANSPORTATION - 0.1%          
                 260,000   FedEx Corp. 4.550   4/1/2046                 259,805
                 225,000   FedEx Corp. 8.000   1/15/2019                 248,016
                   89,000   Kansas City Southern 4.950   8/15/2045                   89,544
                            597,365
    TRUCKING & LEASING - 0.1%          
                 150,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a) 3.200   7/15/2020                 152,650
                 200,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a) 3.375   2/1/2022                 202,938
                   50,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a) 4.875   7/11/2022                   53,976
                            409,564
    WHOLE LOAN COLLATERAL - 0.0% **          
                   87,707   Mill City Mortgage Loan Trust 2016-1 (a)^ 2.500   4/25/2057                   88,721
               
    TOTAL CORPORATE BONDS (Cost $48,831,444)                  49,235,914
               
    COMMERCIAL MORTGAGE BACKED SECURITIES - 1.0%          
                 155,000   Banc of America Commercial Mortgage Trust 2015-UBS7 3.71   9/15/2048                 160,445
                 205,000   Citigroup Commercial Mortgage Trust 2015-GC35 3.46   12/10/2049                 208,034
                 525,000   Citigroup Commercial Mortgage Trust 2015-GC35 3.82   11/10/2048                 546,898
                 130,000   COMM 2013-CCRE8 Mortgage Trust 3.33   6/10/2046                 133,448
                 225,000   CSAIL 2015-C1 Commercial Mortgage Trust 3.51   4/15/2050                 229,930
                 420,000   CSAIL 2015-C2 Commercial Mortgage Trust 3.50   6/15/2057                 427,434
                 405,000   CSAIL 2015-C2 Commercial Mortgage Trust 3.72   8/15/2048                 418,174
                 465,000   Fannie Mae Multifamily Remic Trust 2015-M12 ^ 2.89   5/25/2025                 463,377
                 300,000   GS Mortgage Securities Trust 2015-GS1 3.73   11/10/2048                 311,766
                   20,662   JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19^ 5.93   2/12/2049                   20,643
                   60,729   JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20^ 5.79   2/12/2051                   61,204
                 100,000   JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1 3.91   1/15/2049                 105,064
                   17,902   LB-UBS Commercial Mortgage Trust 2008-C1^ 6.29   4/15/2041                   18,407
                   32,684   ML-CFC Commercial Mortgage Trust 2007-7^ 5.81   6/12/2050                   32,685
                   90,204   ML-CFC Commercial Mortgage Trust 2007-9 5.70   9/12/2049                   91,033
                 490,000   Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22 3.31   4/15/2048                 494,332
                 100,000   SFAVE Commerical Mortgage Securities Trust 2015-5AVE (a)^ 4.14   1/5/2043                   98,475
                 260,000   SG Commercial Mortgage Securities Trust 2016-C5 3.06   10/10/2048                 251,562
                 125,000   Wells Fargo Commercial Mortgage Trust 2015-LC22 3.84   9/15/2058                 130,430
                 250,000   Wells Fargo Commercial Mortgage Trust 2015-NXS1 3.15   5/15/2048                 249,390
    TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $4,500,809)                  4,452,731
               
    MORTGAGE BACKED SECURITIES - 7.6%          
    FEDERAL HOME LOAN MORTGAGE CORP. - 4.0%          
                 200,000   Freddie Mac + 3.00   11/15/2030                 205,125
              1,500,000   Freddie Mac + 3.00   10/15/2046              1,486,172
                 525,000   Freddie Mac + 4.00   11/15/2045                 549,363
                 175,000   Freddie Mac + 4.50   7/15/2044                 187,469
                   50,000   Freddie Mac + 5.00   2/15/2040                   54,328
                   50,000   Freddie Mac + 5.50   7/15/2038                   55,484
                   25,591   Freddie Mac Gold Pool 2.50   10/1/2028                   25,760
                   98,535   Freddie Mac Gold Pool 2.50   12/1/2031                   98,683
                   13,492   Freddie Mac Gold Pool 3.00   9/1/2028                   13,845
                   49,222   Freddie Mac Gold Pool 3.00   2/1/2043                   48,870
              2,105,247   Freddie Mac Gold Pool 3.00   9/1/2046              2,087,299
              1,538,702   Freddie Mac Gold Pool 3.00   11/1/2046              1,527,851
                 400,901   Freddie Mac Gold Pool 3.00   12/1/2046                 398,074
                 990,682   Freddie Mac Gold Pool 3.00   12/1/2046                 982,236
              3,274,380   Freddie Mac Gold Pool 3.00   12/1/2046              3,246,466
                 198,250   Freddie Mac Gold Pool 3.00   1/1/2047                 196,560
                 129,649   Freddie Mac Gold Pool 3.50   11/1/2034                 134,314
                   37,909   Freddie Mac Gold Pool 3.50   10/1/2043                   38,943
              3,325,737   Freddie Mac Gold Pool 3.50   12/1/2046              3,403,614
              2,666,785   Freddie Mac Gold Pool 3.50   2/1/2047              2,729,881
                   28,515   Freddie Mac Gold Pool 4.00   8/1/2044                   29,932
                       17,500,269
    FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.4%          
                 600,000   Fannie Mae + 2.50   11/25/2031                 600,281
                 700,000   Fannie Mae + 3.00   12/25/2030                 716,734
                 775,000   Fannie Mae + 3.00   6/25/2031                 794,629
                 200,000   Fannie Mae + 3.50   2/25/2046                 208,125
              1,475,000   Fannie Mae + 3.50   2/25/2029              1,508,764
                 100,000   Fannie Mae + 4.00   8/25/2025                 103,156
              1,625,000   Fannie Mae + 4.00   11/25/2045              1,704,219
                 675,000   Fannie Mae + 4.50   8/25/2044                 723,938
                 375,000   Fannie Mae + 5.00   8/25/2039                 409,805
                 300,000   Fannie Mae + 5.50   7/25/2038                 333,000
                   75,000   Fannie Mae + 6.00   8/25/2038                   84,750
                 154,266   Fannie Mae Pool 2.47   5/1/2025                 150,766
                   33,699   Fannie Mae Pool 2.50   4/1/2028                   34,076
                   71,464   Fannie Mae Pool 2.50   2/1/2030                   71,853
                 195,639   Fannie Mae Pool 2.50   6/1/2030                 196,705
                 293,782   Fannie Mae Pool 2.50   10/1/2031                 294,119
                 197,219   Fannie Mae Pool 2.50   12/1/2031                 197,445
                 310,000   Fannie Mae Pool 2.68   5/1/2025                 305,101
                 400,000   Fannie Mae Pool 2.81   7/1/2025                 396,660
                 110,000   Fannie Mae Pool 2.99   10/1/2025                 110,726
                   22,356   Fannie Mae Pool 3.00   10/1/2028                   22,967
                   95,493   Fannie Mae Pool 3.00   7/1/2043                   95,182
              2,159,472   Fannie Mae Pool 3.00   1/1/2046              2,142,639
              1,966,981   Fannie Mae Pool 3.00   10/1/2046              1,955,087
                   53,799   Fannie Mae Pool 3.09   10/1/2025                   54,558
                   45,991   Fannie Mae Pool 4.00   11/1/2043                   48,322
                 825,579   Fannie Mae Pool 4.00   1/1/2046                 866,913
                 938,775   Fannie Mae Pool 4.00   2/1/2046                 985,831
                         15,116,351
    GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.3%          
                 425,000   Ginnie Mae + 4.00   12/20/2045                 448,774
                 350,000   Ginnie Mae + 4.50   8/20/2044                 373,735
                   50,000   Ginnie Mae + 5.00   4/15/2040                   54,633
                 100,000   Ginnie Mae + 5.00   12/20/2040                 107,156
                   53,613   Ginnie Mae II Pool 3.00   12/20/2042                   54,311
                   59,792   Ginnie Mae II Pool 3.50   7/20/2043                   62,216
                   24,182   Ginnie Mae II Pool 4.00   12/20/2044                   25,587
                         1,126,412
               
    TOTAL MORTGAGE BACKED SECURITIES (Cost - $33,939,656)                  33,743,032
               
    MUNICIPAL SECURITIES - 1.0%          
                 115,000   Bay Area Toll Authority 7.043   4/1/2050                 166,150
                   90,000   Chicago O'Hare International Airport 6.395   1/1/2040                 120,024
                   55,000   Chicago Transit Authority 6.899   12/1/2040                   68,535
                 265,000   Chicago Transit Authority 6.899   12/1/2040                 330,217
                 155,000   Commonwealth Financing Authority 4.014   6/1/2033                 153,509
                 130,000   Commonwealth Financing Authority 4.144   6/1/2038                 126,062
                 315,000   County of Sacramento CA 5.730   8/15/2023                 344,071
                 165,000   Kansas Development Finance Authority 4.927   4/15/2045                 177,227
                 120,000   Long Island Power Authority 3.883   9/1/2024                 124,945
                   60,000   Los Angeles Community College District 6.600   8/1/2042                   83,378
                 100,000   Metropolitan Transportation Authority 6.814   11/15/2040                 134,556
                 160,000   Municipal Electric Authority of Georgia 6.637   4/1/2057                 179,610
                 230,000   New Jersey Economic Development Authority 3.802   6/15/2018                 232,914
                   85,000   New Jersey Economic Development Authority 3.882   6/15/2019                   86,434
                   70,000   New York City Transitional Finance Authority Building Aid Revenue 6.828   7/15/2040                   91,172
                   70,000   Port Authority of New York & New Jersey 4.810   10/15/2065                   76,602
                 100,000   Port Authority of New York & New Jersey 5.647   11/1/2040                 123,790
                   40,000   Regents of the University of California Medical Center Pooled Revenue 6.548   5/15/2048                   52,384
                 120,000   Regents of the University of California Medical Center Pooled Revenue 6.583   5/15/2049                 157,596
                 300,000   State of California 7.350   11/1/2039                 423,276
                   50,000   State of California 7.550   4/1/2039                   73,329
                   35,000   State of California 7.600   11/1/2040                   52,171
                 930,000   State of Illinois 5.100   6/1/2033                 848,551
                 100,000   State of Illinois 5.200   3/1/2018                 102,438
                   35,000   University of California 3.931   5/15/2045                   34,893
    TOTAL MUNICIPAL SECURITIES (Cost - $4,355,152)                    4,363,834
               
    SOVEREIGN DEBT - 0.3%          
                 320,000   Export-Import Bank of Korea 1.750   5/26/2019                 317,942
                 272,000   Japan Bank for International Cooperation 2.250   2/24/2020                 272,386
                 400,000   Mexico Government International Bond 4.150   3/28/2027                 406,800
                 200,000   Oman Government International Bond (a) 6.500   3/8/2047                 211,000
    TOTAL SOVEREIGN DEBT (Cost - $590,967)                    1,208,128
               
    U.S. TREASURY SECURITIES - 7.8%          
              3,815,000   United States Treasury Bond 2.500   2/15/2045              3,427,987
                 530,000   United States Treasury Bond 2.500   2/15/2046                 475,013
              1,040,000   United States Treasury Bond 2.500   5/15/2046                 931,409
                 545,000   United States Treasury Bond 2.875   8/15/2045                 528,544
                 690,000   United States Treasury Bond 3.000   11/15/2044                 686,847
              1,580,000   United States Treasury Bond 3.375   5/15/2044              1,686,094
                     5,000   United States Treasury Bond 3.625   8/15/2043                     5,567
                     5,000   United States Treasury Bond 3.750   11/15/2043                     5,690
              2,830,000   United States Treasury Inflation Index Note 0.375   1/15/2027              2,832,646
              1,100,000   United States Treasury Note 0.625   11/30/2017              1,097,422
                 685,000   United States Treasury Note 0.750   12/31/2017                 683,609
                 700,000   United States Treasury Note 0.750   3/31/2018                 697,703
              1,715,000   United States Treasury Note 1.250   3/31/2021              1,679,628
              2,640,000   United States Treasury Note 1.375   7/31/2018              2,647,632
              1,495,000   United States Treasury Note 1.375   12/31/2018              1,498,854
              1,300,000   United States Treasury Note 1.375   2/28/2019              1,303,098
                 725,000   United States Treasury Note 1.375   9/30/2020                 717,750
                 350,000   United States Treasury Note 1.375   9/30/2023                 333,129
              1,465,000   United States Treasury Note 1.500   11/30/2019              1,467,461
              7,375,000   United States Treasury Note 1.500   3/31/2023              7,120,622
                 745,000   United States Treasury Note 1.625   6/30/2020                 745,611
                 830,000   United States Treasury Note 1.625   5/15/2026                 778,547
                 235,000   United States Treasury Note 1.750   12/31/2020                 235,174
              2,595,000   United States Treasury Note 2.000   11/30/2020              2,621,557
                   20,000   United States Treasury Note 2.250   11/15/2025                   19,827
                     2,400   United States Treasury Note 2.375   8/15/2024                     2,419
    TOTAL U.S. TREASURY SECURITIES (Cost - $34,858,595)                  34,229,840
               
    SHORT-TERM INVESTMENTS - 6.9%          
Shares   MONEY MARKET FUND - 6.9%          
            30,437,026   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class          
    to yield 0.56% (b)          
    TOTAL SHORT-TERM INVESTMENTS (Cost - $30,437,026)                  30,437,026
               
    TOTAL INVESTMENTS - 102.4% (Cost - $409,601,797)(c)          $   452,325,041
    OTHER ASSETS LESS LIABILITIES - NET - (2.4)%                (10,556,039)
    TOTAL NET ASSETS - 100.0%          $441,769,002
               
+ 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 March 31, 2017, these securities amounted to $23,632,235 or 5.4% of net assets.
(b) Money market rate shown represents the rate at March 31, 2017.          
(c) Represents cost for financial reporting purposes.  Aggregate cost for federal tax purposes is $410,725,185 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:
      Unrealized Appreciation:    $     48,988,090
      Unrealized Depreciation:            (7,388,234)
      Net Unrealized Appreciation:  $     41,599,856
               
               
               
Contracts   SHORT FUTURES CONTRACTS          Unrealized Depreciation
                            6   MSCI Emerging Market E-Mini Future June 2017          
    (Underlying Face Amount at Value $288,420)          $           (11,670)
                          42   US 10 Year Future June 2017          
    (Underlying Face Amount at Value $5,231,646)                       (15,628)
    NET UNREALIZED DEPRECIATION OF SHORT FUTURES CONTRACTS          $        (27,298)
               

 

 

 

Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    EXCHANGE TRADED FUNDS - 42.7%    
    DEBT FUNDS - 24.8%    
             20   iShares 1-3 Year Credit Bond ETF    $                      2,105
             41   iShares Core U.S. Aggregate Bond ETF                             4,448
                                  6,553
         
    EQUITY FUNDS - 17.9%    
11   iShares Core MSCI Emerging Markets ETF                                526
               9   iShares Core S&P 500 ETF                             2,135
             16   iShares MSCI EAFE Value ETF                                805
               4   iShares Russell 2000 ETF                                550
               7   iShares S&P 500 Value ETF                                728
                                  4,744
         
    TOTAL EXCHANGE TRADED FUNDS (Cost - $10,860)                           11,297
         
    VARIABLE INSURANCE TRUSTS - 56.8%    
    DEBT FUNDS - 41.0%    
           389   American Funds Insurance Series - Bond Fund - Class I                             4,243
           324   BlackRock High Yield VI Fund - Class I                             2,378
           320   MFS Research Bond Series - Initial Shares                             4,237
                                10,858
         
    EQUITY FUNDS - 15.8%    
             92   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class I                             1,294
             31   MFS Growth Series  - Initial Shares                             1,313
             61   MFS VIT III Mid Cap Value Portfolio - Initial Shares                                522
               7   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares                                522
           238   Oppenheimer International Growth Fund - Non-Service Shares                                530
                                  4,181
         
    TOTAL VARIABLE INSURANCE TRUSTS (Cost - $14,876)                           15,039
         
    SHORT-TERM INVESTMENT - 0.5%    
    MONEY MARKET FUND - 0.5%    
           142   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
     to yield 0.56% (a)(Cost - $142)                                142
         
    TOTAL INVESTMENTS - 100.0% (Cost - $25,878)(b)    $                    26,478
    OTHER ASSETS LESS LIABILITIES -NET - (0.0)% *                                  (6)
    TOTAL NET ASSETS - 100.0%    $                   26,472
         
 * Represents less than 0.05%.    
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,883
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $                         815
      Unrealized Depreciation:                            (220)
      Net Unrealized Appreciation:  $                         595
         
         

 

 

 

 

 

Global Atlantic Wilshire Dynamic Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    EXCHANGE TRADED FUNDS - 56.2%    
    DEBT FUNDS - 25.2%    
             18   iShares 1-3 Year Credit Bond ETF    $                      1,894
             30   iShares Core U.S. Aggregate Bond ETF                             3,255
             31   iShares International Aggregate Bond Fund                             1,606
                                  6,755
         
    EQUITY FUNDS - 31.0%    
             23   iShares Core MSCI EAFE ETF                             1,333
             22   iShares Core MSCI Emerging Markets ETF                             1,051
               7   iShares Core S&P 500 ETF                             1,661
             21   iShares Global REIT ETF                                532
             42   iShares MSCI EAFE Value ETF                             2,113
               4   iShares Russell 2000 ETF                                550
             10   iShares S&P 500 Value ETF                             1,040
                                  8,280
         
    TOTAL EXCHANGE TRADED FUNDS (Cost - $14,369)                           15,035
         
    VARIABLE INSURANCE TRUSTS - 43.2%    
    DEBT FUNDS - 23.0%    
           131   American Funds Insurance Series - Bond Fund - Class I                             1,433
           313   BlackRock High Yield VI Fund - Class I                             2,296
             64   MFS Research Bond Series - Initial Shares                                848
           143   PIMCO Variable Insurance Trust - Foreign Bond Portfolio U.S. Dollar Hedged - Institutional Class                           1,580
                                  6,157
         
    EQUITY FUNDS - 20.2%    
             78   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1                             1,097
             24   MFS Growth Series - Initial Shares                             1,019
             53   MFS VIT III Mid Cap Value Portfolio - Initial Shares                                451
               6   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares                                492
        1,050   Oppenheimer International Growth Fund - Non-Service Shares                             2,340
                                  5,399
         
    TOTAL VARIABLE INSURANCE TRUSTS (Cost - $11,297)                           11,556
         
    SHORT-TERM INVESTMENT - 0.6%    
    MONEY MARKET FUND - 0.6%    
           153   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
     to yield 0.56% (a)(Cost - $153)                                153
         
    TOTAL INVESTMENTS - 100.0% (Cost - $25,819)(b)    $                    26,744
    OTHER ASSETS LESS LIABILITIES - NET - 0.0%*                                  (5)
    TOTAL NET ASSETS - 100.0%    $                   26,739
         
 * Represents less than 0.05%.
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,835 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:
         
      Unrealized Appreciation:  $                      1,095
      Unrealized Depreciation:                            (186)
      Net Unrealized Appreciation:  $                         909
         
         
         

 

 

 

 

Global Atlantic Wilshire Dynamic Growth Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    EXCHANGE TRADED FUNDS - 50.6%    
    DEBT FUNDS - 12.8%    
             41   iShares 1-3 Year Credit Bond ETF    $                      4,314
           219   iShares Core U.S. Aggregate Bond ETF                           23,759
                                28,073
    EQUITY FUNDS - 37.8%    
             77   iShares Core MSCI EAFE ETF                             4,462
           188   iShares Core MSCI Emerging Markets ETF                             8,985
           146   iShares Core S&P 500 ETF                           34,641
           167   iShares Global REIT ETF                             4,232
           267   iShares MSCI EAFE Value ETF                           13,430
             47   iShares Russell 2000 ETF                             6,462
           102   iShares S&P 500 Value ETF                           10,612
                                82,824
         
    TOTAL EXCHANGE TRADED FUNDS (Cost - $107,187)                         110,897
         
    VARIABLE INSURANCE TRUSTS - 48.8%    
    DEBT FUNDS - 16.8%    
           994   American Funds Insurance Series - Bond Fund - Class I                           10,857
        2,649   BlackRock High Yield VI Fund - Class I                           19,415
           491   MFS Research Bond Series - Initial Shares                             6,498
                                36,770
         
    EQUITY FUNDS - 32.0%    
        1,534   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1                           21,632
           414   MFS Growth Series - Initial Shares                           17,607
        1,251   MFS VIT III Mid Cap Value Portfolio - Initial Shares                           10,735
           111   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares                             8,733
        5,044   Oppenheimer International Growth Fund - Non-Service Shares                           11,249
                                69,956
         
    TOTAL VARIABLE INSURANCE TRUSTS (Cost - $102,431)                         106,726
         
    SHORT-TERM INVESTMENT - 0.6%    
    MONEY MARKET FUND - 0.6%    
        1,309   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class  
     to yield 0.56% (a)(Cost - $1,309)                             1,309
         
    TOTAL INVESTMENTS - 100.0% (Cost - $210,927)(b)    $                  218,932
    OTHER ASSETS LESS LIABILITIES - NET - (0.0)% *                                (43)
    TOTAL NET ASSETS - 100.0%    $                218,889
         
 * Represents less than 0.05%.    
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $210,942
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $                      8,074
      Unrealized Depreciation:                              (84)
      Net Unrealized Appreciation:  $                      7,990
         
         
         
         

 

 

Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2017
         
 Shares        Value
    EXCHANGE TRADED FUNDS - 48.0%    
    DEBT FUNDS - 18.9%    
             39   iShares Core U.S. Aggregate Bond ETF    $                      4,231
               8   iShares International Aggregate Bond Fund                                842
                                  5,073
         
    EQUITY FUNDS - 29.1%    
             17   iShares Core MSCI Emerging Markets ETF                                812
             17   iShares Core S&P 500 ETF                             4,034
             27   iShares MSCI EAFE Value ETF                             1,358
               4   iShares Russell 2000 ETF                                550
10   iShares S&P 500 Value ETF                             1,040
                                  7,794
         
    TOTAL EXCHANGE TRADED FUNDS (Cost - $12,128)                           12,867
    VARIABLE INSURANCE TRUSTS - 51.7%    
    DEBT FUNDS - 26.7%    
           244   American Funds Insurance Series - Bond Fund - Class I                             2,660
           324   BlackRock High Yield VI Fund - Class I                             2,378
           160   MFS Research Bond Series - Initial Shares                             2,123
                                  7,161
         
    EQUITY FUNDS - 25.0%    
           150   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1                             2,120
             38   MFS Growth Series - Initial Shares                             1,618
           123   MFS VIT III Mid Cap Value Portfolio - Initial Shares                             1,052
             10   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares                                802
           494   Oppenheimer International Growth Fund - Non-Service Shares                             1,102
                                  6,694
         
    TOTAL VARIABLE INSURANCE TRUSTS (Cost - $13,573)                           13,855
         
    SHORT-TERM INVESTMENT - 0.3%    
    MONEY MARKET FUND - 0.3%    
             69   Fidelity Institutional Money Market Funds - Portfolio, Institutional Class    
     to yield 0.56% (a)(Cost - $69)                                  69
         
    TOTAL INVESTMENTS - 100.0% (Cost - $25,770)(b)    $                    26,791
    OTHER ASSETS LESS LIABILITIES -NET - 0.0% *                                  (4)
    TOTAL NET ASSETS - 100.0%    $                   26,787
         
 * Represents less than 0.05%.    
 (a) Money market rate shown represents the rate at March 31, 2017.    
 (b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,773
    and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized Appreciation:  $                      1,172
      Unrealized Depreciation:                            (154)
      Net Unrealized Appreciation:  $                      1,018
         
         

 

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 U.S. generally accepted accounting principles (“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 Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 "Financial Services – 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 (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.

 

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.

 

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 March 31, 2017 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  $ 215,607,617  $                   -  $                   -  $ 215,607,617
Money Market Fund       10,881,107                       -                       -       10,881,107
Total  $ 226,488,724  $                   -  $                   -  $ 226,488,724
         
Global Atlantic Balanced Managed Risk Portfolio      
Assets Level 1 Level 2 Level 3 Total
Exchange Traded Funds  $   91,494,466  $                   -  $                   -  $   91,494,466
Money Market Fund         4,440,674                       -                       -         4,440,674
Total  $   95,935,140  $                   -  $                   -  $   95,935,140
         
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio  
Assets Level 1 Level 2 Level 3 Total
Variable Insurance Trusts  $ 263,205,148  $                   -  $                   -  $ 263,205,148
Money Market Fund       13,437,387                       -                       -       13,437,387
Total  $ 276,642,535  $                   -  $                   -  $ 276,642,535
         
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio  
Assets Level 1 Level 2 Level 3 Total
Common Stock  $ 186,594,249  $                   -  $                   -  $ 186,594,249
Mutual Fund       66,156,727                       -                       -       66,156,727
Money Market Fund       21,643,980                       -                       -       21,643,980
Total  $ 274,394,956  $                   -  $                   -  $ 274,394,956
         
Liabilities Level 1 Level 2 Level 3 Total
Futures Contracts *  $          32,350  $                   -  $                   -  $          32,350
Total  $          32,350  $                   -  $                   -  $          32,350
         
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio  
Assets Level 1 Level 2 Level 3 Total
Exchange Traded Funds  $   15,259,278  $                   -  $                   -  $   15,259,278
U.S. Treasury Note                       -       10,106,285                       -       10,106,285
Purchased Options              23,490                       -                       -              23,490
Short Term Investment         7,853,330                       -                       -         7,853,330
Long Futures Contracts *            107,503                       -                       -            107,503
Total  $   23,243,601  $   10,106,285  $                   -  $   33,349,886
         
Liabilities Level 1 Level 2 Level 3 Total
Written Options  $          18,641  $                   -  $                   -  $          18,641
Total  $          18,641  $                   -  $                   -  $          18,641
         
Global Atlantic Growth Managed Risk Portfolio      
Assets Level 1 Level 2 Level 3 Total
Exchange Traded Funds  $ 441,418,556  $                   -  $                   -  $ 441,418,556
Money Market Fund       23,127,778                       -                       -       23,127,778
Total  $ 464,546,334  $                   -  $                   -  $ 464,546,334
         
Global Atlantic Moderate Growth Managed Risk Portfolio    
Assets Level 1 Level 2 Level 3 Total
Exchange Traded Funds  $ 138,256,864  $                   -  $                   -  $ 138,256,864
Money Market Fund         7,250,745                       -                       -         7,250,745
Total  $ 145,507,609  $                   -  $                   -  $ 145,507,609
         
Global Atlantic Motif Aging of America Portfolio      
Assets Level 1 Level 2 Level 3 Total
Common Stocks  $        103,589  $                   -  $                   -  $        103,589
Money Market Fund                  761                       -                       -                  761
Total  $        104,350  $                   -  $                   -  $        104,350
         
Global Atlantic Motif Real Estate Trends Portfolio    
Assets Level 1 Level 2 Level 3 Total
Common Stocks  $          93,950  $                   -  $                   -  $          93,950
Money Market Fund                1,170                       -                       -                1,170
Total  $          95,120  $                   -  $                   -  $          95,120
         
Global Atlantic Motif Technological Innovations Portfolio    
Assets Level 1 Level 2 Level 3 Total
Common Stocks  $        113,462  $                   -  $                   -  $        113,462
Money Market Fund                  699                       -                       -                  699
Total  $        114,161  $                   -  $                   -  $        114,161
         
Global Atlantic PIMCO Tactical Allocation Portfolio    
Assets Level 1 Level 2 Level 3 Total
Exchange Traded Funds  $     6,720,068  $                   -  $                   -  $     6,720,068
Asset Backed Securities                       -            607,358                       -            607,358
Corporate Bonds                       -         2,973,304                       -         2,973,304
Municipal Bond                       -              30,853                       -              30,853
Mortgage Backed Securities                       -         3,590,508                       -         3,590,508
Collateralized Mortgage Obligations                       -            872,550                       -            872,550
Commercial Mortgage Backed Securities                       -            235,671                       -            235,671
U.S. Treasury Securities                       -         4,013,052                       -         4,013,052
Purchased Options            109,450                       -                       -            109,450
Short Term Investments         1,687,738         5,698,243                       -         7,385,981
Swap Contracts                       -              61,590                       -              61,590
Interest Rate Floor                       -                  729                       -                  729
Total  $     8,517,256  $   18,083,858  $                   -  $   26,601,114
         
Liabilities Level 1 Level 2 Level 3 Total
Short Futures Contracts*  $            2,367  $                   -  $                   -  $            2,367
Long Futures Contracts*              30,349                       -                       -              30,349
Forward Exchange Contracts                       -                3,263                       -                3,263
Swaption Purchased                       -                1,049                       -                1,049
Swaption Written                       -                1,837                       -                1,837
Total  $          32,716  $            6,149  $                   -  $          38,865
         
Global Atlantic Select Advisor Managed Risk Portfolio    
Assets Level 1 Level 2 Level 3 Total
Exchange Traded Funds  $   19,555,850  $                   -  $                   -  $   19,555,850
Variable Insurance Trusts       88,966,063                       -                       -       88,966,063
Money Market Fund         6,390,781                       -                       -         6,390,781
Total  $ 114,912,694  $                   -  $                   -  $ 114,912,694
         
Global Atlantic Wellington Research Managed Risk Portfolio    
Assets Level 1 Level 2 Level 3 Total
Common Stock  $ 272,168,215  $                   -  $                   -  $ 272,168,215
Exchange Traded Funds         6,477,899                       -                       -         6,477,899
Preferred Stock              79,290                       -                       -              79,290
Asset Backed Securities                     -          15,929,132                       -       15,929,132
Corporate Bonds                     -          49,235,914                       -       49,235,914
Commercial Mortgage Backed Securities                     -            4,452,731                       -         4,452,731
Mortgage Backed Securities                     -          33,743,032                       -       33,743,032
Municipal Securities                     -            4,363,834                       -         4,363,834
Sovereign Debt                     -            1,208,128                       -         1,208,128
U.S. Treasury Securities                     -          34,229,840                       -       34,229,840
Short Term Investments       30,437,026                       -                       -       30,437,026
Total  $ 309,162,430  $ 143,162,611  $                   -  $ 452,325,041
         
Liabilities Level 1 Level 2 Level 3 Total
Short Futures Contracts *  $          27,298  $                   -  $                   -  $          27,298
Total  $          27,298  $                   -  $                   -  $          27,298
         
Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio  
Assets Level 1 Level 2 Level 3 Total
Exchange Traded Funds  $          11,297  $                   -  $                   -  $          11,297
Variable Insurance Trusts              15,039                       -                       -              15,039
Money Market Fund                  142                       -                       -                  142
Total  $          26,478  $                   -  $                   -  $          26,478
         
Global Atlantic Wilshire Dynamic Global Allocation Portfolio    
Assets Level 1 Level 2 Level 3 Total
Exchange Traded Funds  $          15,035  $                   -  $                   -  $          15,035
Variable Insurance Trusts              11,556                       -                       -              11,556
Money Market Fund                  153                       -                       -                  153
Total  $          26,744  $                   -  $                   -  $          26,744
         
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio    
Assets Level 1 Level 2 Level 3 Total
Exchange Traded Funds  $        110,897  $                   -  $                   -  $        110,897
Variable Insurance Trusts            106,726                       -                       -            106,726
Money Market Fund                1,309                       -                       -                1,309
Total  $        218,932  $                   -  $                   -  $        218,932
         
Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio  
Assets Level 1 Level 2 Level 3 Total
Exchange Traded Funds  $          12,867  $                   -  $                   -  $          12,867
Variable Insurance Trusts              13,855                       -                       -              13,855
Money Market Fund                    69                       -                       -                    69
Total  $          26,791  $                   -  $                   -  $          26,791
         

 

 

*Cumulative net 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 except the Global Atlantic Wilshire Dynamic Global Allocation Portfolio. Transfers that were made out of Level 2 represent securities no longer being fair valued using observable inputs and are now being valued at net asset value. It is the Portfolios’ policy to record transfers between Level 1 and Level 2 at the end of the reporting period.

 

The following amounts were transfers in/(out) of Level 2 Assets:
Global Atlantic Wilshire Dynamic Global Allocation Portfolio
    Mutual Funds Total
Transfers into Level 2 from Level 1    $                                  -     $                             -   
Transfers from Level 2 into Level 1                              (1,580)                        (1,580)
Net Transfer In/Out of Level 2    $                            (1,580)  $                       (1,580)

 

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.

 

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 Contracts – The 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 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 PIMCO Tactical Allocation Portfolio and the Global Atlantic Wellington Research Managed Risk 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 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 March 31, 2017, as disclosed in the Portfolios of Investments, serve as indicators of the volume of derivative activity for the Portfolios.

 

For information regarding a Portfolio’s other significant accounting policies, please refer to the Portfolio’s most recent Semi-Annual or Annual Report.

 

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

 

/s/ Robert M. Arena, Jr., President

 

Date 5/27/17

 

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

 

/s/ Robert M. Arena, Jr., President

 

Date 5/27/17

 

 

By

 

/s/ Laura Szalyga, Treasurer

 

Date 5/27/17


Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘N-Q’ Filing    Date    Other Filings
Filed on / Effective on:5/30/17
For Period End:3/31/1724F-2NT,  24F-2NT/A
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