Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)
December 30 2019 - 4:07PM
Edgar (US Regulatory)
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 811-22638
Arrow Investments Trust
(Exact name of registrant as specified
in charter)
6100 Chevy Chase Drive Suite 100 Laurel, MD 20707
(Address of principal executive offices) (Zip
code)
Corporation Service Company
251 Little Falls Drive
Wilmington, Delaware 19808
(Name and address of agent for service)
Registrant's telephone number, including area code: 631-470-2619
Date of fiscal year end: 7/31
Date of reporting period: 10/31/2019
Item 1. Schedule of Investments.
Arrow DWA Balanced Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
|
October 31, 2019
|
Shares
|
|
|
|
|
|
|
|
Value
|
|
|
COMMON STOCKS - 19.4%
|
|
|
|
APPAREL & TEXTILE PRODUCTS - 0.7%
|
|
4,919
|
|
NIKE, Inc.
|
|
|
|
|
|
$ 440,496
|
|
|
|
|
|
|
|
|
|
|
|
COMMERCIAL SERVICES - 0.4%
|
|
803
|
|
Cintas Corp.
|
|
|
|
|
|
215,742
|
|
|
|
|
|
|
|
|
|
|
|
CONSUMER PRODUCTS - 0.7%
|
|
19,073
|
|
Coty, Inc.
|
|
|
|
|
|
222,963
|
1,148
|
|
Estee Lauder Cos, Inc.
|
|
|
|
|
|
213,838
|
|
|
|
|
|
|
|
|
436,801
|
|
|
CONTAINERS & PACKAGING - 0.7%
|
|
|
|
|
|
|
5,998
|
|
Ball Corp.
|
|
|
|
|
|
419,680
|
|
|
|
|
|
|
|
|
|
|
|
DISTRIBUTORS - CONSUMER STAPLES - 0.8%
|
|
|
|
|
5,570
|
|
Sysco Corp.
|
|
|
|
|
|
444,876
|
|
|
|
|
|
|
|
|
|
|
|
DISTRIBUTORS - DISCRETIONARY - 0.4%
|
|
|
|
|
2,641
|
|
Copart, Inc. *
|
|
|
|
|
|
218,252
|
|
|
|
|
|
|
|
|
|
|
|
ELECTRICAL EQUIPMENT - 0.4%
|
|
|
|
|
2,148
|
|
Keysight Technologies, Inc. *
|
|
|
|
|
|
216,755
|
|
|
|
|
|
|
|
|
|
|
|
GAMING, LODGING & RESTAURANTS - 0.7%
|
|
117
|
|
Chipotle Mexican Grill, Inc. *
|
|
|
|
|
|
91,045
|
768
|
|
Darden Restaurants, Inc.
|
|
|
|
|
|
86,223
|
443
|
|
McDonald's Corp.
|
|
|
|
|
|
87,138
|
1,043
|
|
Starbucks Corp.
|
|
|
|
|
|
88,196
|
829
|
|
Yum! Brands, Inc.
|
|
|
|
|
|
84,318
|
|
|
|
|
|
|
|
|
436,920
|
|
|
HARDWARE - 1.8%
|
|
261
|
|
Apple, Inc.
|
|
|
|
|
|
64,926
|
4,032
|
|
FLIR Systems, Inc.
|
|
|
|
|
|
207,890
|
4,604
|
|
Garmin Ltd.
|
|
|
|
|
|
431,625
|
3,886
|
|
Hewlett Packard Enterprise Co
|
|
|
|
|
|
63,769
|
3,597
|
|
HP Inc
|
|
|
|
|
|
62,480
|
1,124
|
|
NetApp Inc
|
|
|
|
|
|
62,809
|
1,096
|
|
Seagate Technology PLC
|
|
|
|
|
|
63,601
|
1,020
|
|
Western Digital Corp
|
|
|
|
|
|
52,683
|
1,857
|
|
Xerox Holdings Corporation
|
|
|
|
|
|
63,008
|
|
|
|
|
|
|
|
|
1,072,791
|
|
|
HEALTH CARE FACILITIES & SERVICES - 0.1%
|
|
419
|
|
IQVIA Holdings, Inc. *
|
|
|
|
|
|
60,512
|
|
|
|
|
|
|
|
|
|
|
|
INSTITUTIONAL FINANCIAL SERVICES - 0.4%
|
|
475
|
|
Cboe Global Markets, Inc.
|
|
|
|
|
|
54,696
|
269
|
|
CME Group, Inc.
|
|
|
|
|
|
55,347
|
595
|
|
Intercontinental Exchange, Inc.
|
|
|
|
|
|
56,120
|
554
|
|
Nasdaq, Inc.
|
|
|
|
|
|
55,273
|
|
|
|
|
|
|
|
|
221,436
|
Arrow DWA Balanced Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
Shares
|
|
|
|
|
|
|
|
Value
|
|
|
INSURANCE - 0.8%
|
|
570
|
|
Aon PLC
|
|
|
|
|
|
$ 110,101
|
1,215
|
|
Arthur J Gallagher & Co.
|
|
|
|
|
|
110,832
|
1,071
|
|
Marsh & McLennan Cos, Inc.
|
|
|
|
|
|
110,977
|
597
|
|
Willis Towers Watson PLC
|
|
|
|
|
|
111,579
|
|
|
|
|
|
|
|
|
443,489
|
|
|
MEDIA - 0.4%
|
|
54
|
|
Booking Holdings, Inc. *
|
|
|
|
|
|
110,634
|
813
|
|
Expedia, Inc.
|
|
|
|
|
|
111,105
|
|
|
|
|
|
|
|
|
221,739
|
|
|
MEDICAL EQUIPMENT & DEVICES - 1.4%
|
|
335
|
|
Abbott Laboratories
|
|
|
|
|
|
28,009
|
164
|
|
Abiomed, Inc. *
|
|
|
|
|
|
34,043
|
862
|
|
Agilent Technologies, Inc.
|
|
|
|
|
|
65,297
|
335
|
|
Baxter International, Inc.
|
|
|
|
|
|
25,695
|
108
|
|
Becton Dickinson and Co.
|
|
|
|
|
|
27,648
|
687
|
|
Boston Scientific Corp. *
|
|
|
|
|
|
28,648
|
201
|
|
Danaher Corp.
|
|
|
|
|
|
27,702
|
116
|
|
Edwards Lifesciences Corp. *
|
|
|
|
|
|
27,652
|
569
|
|
Hologic, Inc. *
|
|
|
|
|
|
27,488
|
103
|
|
IDEXX Laboratories, Inc. *
|
|
|
|
|
|
29,356
|
223
|
|
Illumina, Inc. *
|
|
|
|
|
|
65,901
|
50
|
|
Intuitive Surgical, Inc. *
|
|
|
|
|
|
27,647
|
286
|
|
Medtronic PLC
|
|
|
|
|
|
31,145
|
94
|
|
Mettler-Toledo International, Inc. *
|
|
|
|
|
|
66,264
|
775
|
|
PerkinElmer, Inc.
|
|
|
|
|
|
66,619
|
188
|
|
ResMed, Inc.
|
|
|
|
|
|
27,809
|
135
|
|
Stryker Corp.
|
|
|
|
|
|
29,196
|
99
|
|
Teleflex, Inc.
|
|
|
|
|
|
34,394
|
210
|
|
Thermo Fisher Scientific, Inc.
|
|
|
|
|
|
63,416
|
249
|
|
Varian Medical Systems, Inc. *
|
|
|
|
|
|
30,082
|
317
|
|
Waters Corp. *
|
|
|
|
|
|
67,084
|
216
|
|
Zimmer Biomet Holdings, Inc.
|
|
|
|
|
|
29,858
|
|
|
|
|
|
|
|
|
860,953
|
|
|
REAL ESTATE - 0.7%
|
|
6,250
|
|
Duke Realty Corp.
|
|
|
|
|
|
219,625
|
2,530
|
|
Prologis, Inc.
|
|
|
|
|
|
222,033
|
|
|
|
|
|
|
|
|
441,658
|
|
|
RETAIL - CONSUMER STAPLES - 1.5%
|
|
740
|
|
Costco Wholesale Corp.
|
|
|
|
|
|
219,861
|
915
|
|
Dollar General Corp.
|
|
|
|
|
|
146,711
|
1,344
|
|
Dollar Tree, Inc. *
|
|
|
|
|
|
148,378
|
1,370
|
|
Target Corp.
|
|
|
|
|
|
146,467
|
1,878
|
|
Walmart, Inc.
|
|
|
|
|
|
220,214
|
|
|
|
|
|
|
|
|
881,631
|
|
|
RETAIL - DISCRETIONARY - 1.9%
|
|
676
|
|
Advance Auto Parts, Inc.
|
|
|
|
|
|
109,836
|
62
|
|
Amazon.com, Inc. *
|
|
|
|
|
|
110,153
|
97
|
|
AutoZone, Inc. *
|
|
|
|
|
|
111,005
|
1,170
|
|
CarMax, Inc. *
|
|
|
|
|
|
109,009
|
Arrow DWA Balanced Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
Shares
|
|
|
|
|
|
|
|
Value
|
|
|
RETAIL - DISCRETIONARY (continued) - 1.9%
|
|
3,003
|
|
eBay, Inc.
|
|
|
|
|
|
$ 105,856
|
939
|
|
Home Depot, Inc.
|
|
|
|
|
|
220,271
|
1,993
|
|
Lowe's Cos, Inc.
|
|
|
|
|
|
222,439
|
254
|
|
O'Reilly Automotive, Inc. *
|
|
|
|
|
|
110,620
|
|
|
|
|
|
|
|
|
1,099,189
|
|
|
SEMICONDUCTORS - 0.7%
|
|
2,678
|
|
Applied Materials, Inc.
|
|
|
|
|
|
145,308
|
855
|
|
KLA-Tencor Corp.
|
|
|
|
|
|
144,529
|
533
|
|
Lam Research Corp.
|
|
|
|
|
|
144,464
|
|
|
|
|
|
|
|
|
434,301
|
|
|
SOFTWARE - 1.5%
|
|
195
|
|
Adobe, Inc. *
|
|
|
|
|
|
54,196
|
246
|
|
ANSYS, Inc. *
|
|
|
|
|
|
54,157
|
389
|
|
Autodesk, Inc. *
|
|
|
|
|
|
57,323
|
884
|
|
Cadence Design Systems, Inc. *
|
|
|
|
|
|
57,769
|
510
|
|
Citrix Systems, Inc.
|
|
|
|
|
|
55,519
|
1,342
|
|
Fortinet, Inc. *
|
|
|
|
|
|
109,454
|
210
|
|
Intuit, Inc.
|
|
|
|
|
|
54,075
|
903
|
|
Micro Focus International PLC
|
|
|
|
|
|
12,389
|
767
|
|
Microsoft Corp.
|
|
|
|
|
|
109,965
|
2,022
|
|
Oracle Corp.
|
|
|
|
|
|
110,179
|
350
|
|
salesforce.com, Inc. *
|
|
|
|
|
|
54,771
|
4,904
|
|
Symantec Corp.
|
|
|
|
|
|
112,204
|
439
|
|
Synopsys, Inc. *
|
|
|
|
|
|
59,594
|
|
|
|
|
|
|
|
|
901,595
|
|
|
SPECIALTY FINANCE - 0.6%
|
|
332
|
|
Alliance Data Systems Corp.
|
|
|
|
|
|
33,200
|
250
|
|
Fidelity National Information Services, Inc.
|
|
|
|
|
|
32,940
|
316
|
|
Fiserv, Inc. *
|
|
|
|
|
|
33,540
|
117
|
|
FleetCor Technologies, Inc. *
|
|
|
|
|
|
34,424
|
226
|
|
Global Payments, Inc.
|
|
|
|
|
|
38,235
|
239
|
|
Jack Henry & Associates, Inc.
|
|
|
|
|
|
33,833
|
122
|
|
MasterCard, Inc. - Class A
|
|
|
|
|
|
33,771
|
324
|
|
PayPal Holdings, Inc. *
|
|
|
|
|
|
33,728
|
187
|
|
Visa, Inc. - Class A
|
|
|
|
|
|
33,447
|
1,354
|
|
The Western Union Co.
|
|
|
|
|
|
33,931
|
|
|
|
|
|
|
|
|
341,049
|
|
|
TECHNOLOGY SERVICES - 0.6%
|
|
224
|
|
Automatic Data Processing, Inc.
|
|
|
|
|
|
36,339
|
290
|
|
Broadridge Financial Solutions, Inc.
|
|
|
|
|
|
36,314
|
2,412
|
|
Conduent, Inc. *
|
|
|
|
|
|
14,906
|
154
|
|
MarketAxess Holdings, Inc.
|
|
|
|
|
|
56,763
|
272
|
|
Moody's Corp.
|
|
|
|
|
|
60,028
|
257
|
|
MSCI, Inc.
|
|
|
|
|
|
60,282
|
419
|
|
Paychex, Inc.
|
|
|
|
|
|
35,045
|
218
|
|
S&P Global, Inc.
|
|
|
|
|
|
56,242
|
|
|
|
|
|
|
|
|
355,919
|
|
|
TRANSPORTATION & LOGISTICS - 0.7%
|
|
1,561
|
|
CSX Corp.
|
|
|
|
|
|
109,691
|
Arrow DWA Balanced Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
Shares
|
|
|
|
|
|
|
|
Value
|
|
|
TRANSPORTATION & LOGISTICS (continued) - 0.7%
|
|
778
|
|
Kansas City Southern
|
|
|
|
|
|
$ 109,527
|
600
|
|
Norfolk Southern Corp.
|
|
|
|
|
|
109,200
|
660
|
|
Union Pacific Corp.
|
|
|
|
|
|
109,204
|
|
|
|
|
|
|
|
|
437,622
|
|
|
UTILITIES - 1.5%
|
|
12,889
|
|
AES Corp.
|
|
|
|
|
|
219,757
|
3,667
|
|
American Water Works Co., Inc.
|
|
|
|
|
|
452,031
|
5,443
|
|
NRG Energy, Inc.
|
|
|
|
|
|
218,373
|
|
|
|
|
|
|
|
|
890,161
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS (Cost $9,405,813)
|
11,493,567
|
|
|
|
|
|
|
|
|
|
|
|
EXCHANGE TRADED FUNDS - 66.2%
|
|
|
|
CONSERVATIVE ALLOCATION - 5.0%
|
|
29,542
|
|
Arrow Reserve Capital Management ETF # ##
|
|
|
|
|
|
2,961,438
|
|
|
|
|
|
|
|
|
|
|
|
CORPORATE - 7.5%
|
|
17,516
|
|
iShares iBoxx $ Investment Grade Corporate Bond ETF
|
|
|
|
2,236,968
|
25,238
|
|
iShares iBoxx High Yield Corporate Bond ETF
|
|
|
|
|
|
2,190,911
|
|
|
|
|
|
|
|
|
4,427,879
|
|
|
FIXED INCOME EMERGING MARKET - 3.7%
|
|
19,193
|
|
iShares JP Morgan USD Emerging Markets Bond ETF
|
|
|
|
|
2,180,325
|
|
|
|
|
|
|
|
|
|
|
|
GLOBAL - 20.3%
|
|
54,497
|
|
Arrow Dogs of the World ETF # ##
|
|
|
|
|
|
2,409,694
|
358,617
|
|
Arrow DWA Country Rotation ETF # ##
|
|
|
|
|
|
9,618,108
|
|
|
|
|
|
|
|
|
12,027,802
|
|
|
GOVERNMENT- 10.5%
|
|
43,964
|
|
iShares 20+ Year Treasury Bond ETF
|
|
|
|
|
|
6,209,475
|
|
|
|
|
|
|
|
|
|
|
|
INDEX RELATED - 3.7%
|
|
40,893
|
|
SPDR Bloomberg Barclays Convertible Securities ETF
|
|
|
|
2,177,552
|
|
|
|
|
|
|
|
|
|
|
|
LARGE-CAP - 5.3%
|
|
18,371
|
|
Vanguard Growth ETF
|
|
|
|
|
|
3,133,909
|
|
|
|
|
|
|
|
|
|
|
|
MID-CAP - 5.1%
|
|
20,008
|
|
Vanguard Mid-Cap Growth ETF
|
|
|
|
|
|
3,018,007
|
|
|
|
|
|
|
|
|
|
|
|
REAL ESTATE - 5.1%
|
|
25,487
|
|
iShares Cohen & Steers REIT ETF
|
|
|
|
|
|
3,052,323
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL EXCHANGE TRADED FUNDS (Cost $37,625,640)
|
39,188,710
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Arrow DWA Balanced Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
|
|
SHORT-TERM INVESTMENT - 2.8%
|
|
|
|
MONEY MARKET FUND - 2.8%
|
|
1,711,532
|
|
Fidelity Investments Money Market Fund - Government Portfolio - Class I
|
1,711,532
|
|
|
to yield 2.25% ^ + (a) (Cost $1,711,532)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 89.0% (Cost $50,086,172)
|
$ 52,747,146
|
|
|
WRITTEN CALL OPTIONS - (1.7)% (Premiums Received - $533,825)
|
(994,640)
|
|
|
OTHER ASSETS LESS LIABILITIES - 12.7%
|
7,502,761
|
|
|
NET ASSETS - 100.0%
|
$ 59,255,267
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Non-Income producing security.
|
|
|
|
|
|
|
^ Money market fund; interest rate reflects seven-day effective yield on October 31, 2019.
|
|
|
|
|
# Affiliated Exchange Traded Fund
|
|
|
|
|
|
|
## Affiliated company - The Arrow DWA Balanced Fund holds in excess of 5% of the outstanding voting securities of this exchange traded fund.
|
+ All or a portion of this investment is a holding of the ADWAB Fund Limited.
|
(a) All or a portion of this security is pledged as collateral for swap agreements.
|
PLC - Public Limited Company
|
ADR - American Depositary Receipt
|
Arrow DWA Balanced Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
|
|
|
|
|
|
|
FUTURES CONTRACTS
|
|
|
|
|
|
|
|
Long
|
|
|
|
|
|
|
|
Underlying Face
|
|
Unrealized
|
|
Contracts
|
|
Counterparty
|
|
Open Long Futures Contracts ^
|
|
Expiration
|
|
Amount at Value
|
|
Gain
|
|
20
|
|
Goldman Sachs & Co. LLC
|
|
Gold 100 Oz Future ++
|
|
Feb-20
|
|
$ 2,721,072
|
|
$ 322,527
|
|
|
|
|
|
Total Unrealized Gain from Open Long Future Contracts
|
$ 322,527
|
|
|
|
|
|
|
|
|
|
|
|
|
++ All of these contracts are holdings of the ADWAB Fund Limited.
|
|
|
|
|
|
|
^ All collateral for open futures contracts consists of cash included as Deposits with brokers on the Consolidated Statement of Assets and Liabilities.
|
|
|
Arrow DWA Balanced Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
Additional Information — Financial Index Swap Contract
|
|
|
|
The
following table represents the individual positions and related values within the financial index swap as of October 31, 2019.
Arrow DWA Balanced Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
++ All or a portion of these contracts are holdings of the ADWAB Fund Limited.
|
Additional Information — Commodity Index Swap Contract
|
The
following table represents the individual positions and related values within the commodity index swap as of October 31, 2019.
|
|
The following is a summary of the unrealized gain/(loss) of the derivative instruments utilized by the Fund as of October 31, 2019 categorized by risk exposure:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk Exposure Category
|
|
|
|
Unrealized Gain/(Loss) at October 31, 2019
|
|
|
|
|
|
Financial Risk
|
|
$ (43,521)
|
|
|
|
|
|
Commodity Risk
|
|
|
|
(75,406)
|
|
|
|
|
|
Future Commodity Contracts
|
|
|
|
322,527
|
|
|
|
|
|
Total
|
|
|
|
203,600
|
|
|
|
|
|
|
|
The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). 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” including FASB Accounting Standard Update "ASU" 2013-08.
|
|
|
|
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 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 last bid price on the day of valuation. Options and futures contracts listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the last reported bid price on the valuation date. Index options and options not listed on a security exchange or board of trade shall be valued at the last reported bid price on the valuation date. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Investments in open-end investment companies are valued at net asset value.
|
|
Swap Agreements – The Fund is subject to interest price risk in the normal course of pursuing its investment objective. The Fund may hold equities subject to interest price risk. The Fund may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency) or credit risk. These would be 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 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 trading 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. The Fund 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. 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. The Fund segregates liquid securities having a value at least equal to the amount of its current obligation under any swap transaction.
|
|
|
|
Futures Contracts – The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing their investment objectives. The Fund may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates or foreign currencies or commodities. 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 Fund’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 Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If a Fund is unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund 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 Fund segregates liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to a Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
|
|
|
|
The notional value of the derivative instruments outstanding as of October 31, 2019 as disclosed in the Portfolio of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statement of Operations serve as indicators of the volume of derivative activity for the Fund.
|
|
|
|
Exchange Traded Funds – The Fund may invest in exchange traded funds (“ETFs”). ETFs are a type of fund 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. A Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities in which it invests, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
|
|
|
|
The Fund 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 Fund has the ability to access.
|
|
|
|
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument 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 Fund’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 table summarizes the inputs used as October 31, 2019 for the Fund’s assets and liabilities measured at fair value:
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Common Stocks
|
$11,493,567
|
$-
|
$-
|
$11,493,567
|
Exchange Traded Funds
|
39,188,710
|
-
|
-
|
39,188,710
|
Purchased Put Options
|
353,337
|
-
|
-
|
353,337
|
Money Market Funds
|
1,711,532
|
-
|
-
|
1,711,532
|
Variation Margin-Open Long Futures Contracts*
|
322,527
|
-
|
-
|
322,527
|
Total
|
$53,069,673
|
$-
|
$-
|
$53,069,673
|
Liabilities
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
|
|
|
|
Written Call Options
|
$994,640
|
$-
|
$-
|
$994,640
|
Open Swap Contracts*
|
-
|
118,927
|
-
|
118,927
|
Total
|
$994,640
|
$118,927
|
$-
|
$1,113,567
|
The Fund did not hold any Level 3 securities during the period.
|
* Derivative instruments include cumulative net unrealized gain or loss on futures contracts and swaps open as of October 31, 2019.
|
|
See Consolidated Portfolio of Investments for investments and derivatives segregated by industry, type and underlying exposure.
|
|
Consolidation of Subsidiaries – Arrow DWA Balanced Fund ("ADBF") with ADWAB Fund Limited CFC ("ADB-CFC") – The Consolidated Portfolio of Investments includes the accounts of ADB-CFC, a wholly-owned and controlled subsidiary. All inter-company accounts and transactions have been eliminated in consolidation.
|
|
ADBF may invest up to 25% of its total assets in a controlled foreign corporation (“CFC”) which acts as an investment vehicle in order to effect certain investments consistent with ADBF's investment objectives and policies.
|
|
ADB-CFC utilizes commodity based derivative products to facilitate ADBF's pursuit of its investment objective. In accordance with its investment objective and through its exposure to the aforementioned commodity based derivative products, ADBF may have increased or decreased exposure to one or more of the risk factors defined in the Principal Investment Risks section of the ADBF Prospectus.
|
|
A summary of the ADBF's investments in the CFC is as follows:
|
|
|
|
|
|
|
|
Inception Date of CFC
|
|
CFC Net Assets at October 31, 2019
|
|
% of Fund Net Assets at October 31, 2019
|
|
|
ADB-CFC
|
12/5/12
|
|
$2,448,189
|
|
4.13%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aggregate Unrealized Appreciation and Depreciation - Tax Basis
|
Arrow DWA Tactical Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
|
October 31, 2019
|
Shares
|
|
|
|
Value
|
|
|
EXCHANGE TRADED FUNDS - 82.7%
|
|
|
|
CONSERVATIVE ALLOCATION - 0.1%
|
|
1,400
|
|
Arrow Reserve Capital Management ETF +
|
|
$140,343
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY - 10.3%
|
|
99,543
|
|
Consumer Discretionary Select Sector SPDR Fund
|
|
12,029,772
|
|
|
|
|
|
|
|
LARGE-CAP - 29.6%
|
|
203,301
|
|
Invesco S&P 500 Low Volatility ETF
|
|
11,704,039
|
94,985
|
|
iShares Edge MSCI USA Momentum Factor ETF
|
|
11,400,100
|
63,099
|
|
iShares S&P 500 Growth ETF
|
|
11,554,689
|
|
|
|
|
34,658,828
|
|
|
REAL ESTATE INVESTMENT TRUST (REIT) - 21.1%
|
|
107,262
|
|
iShares Cohen & Steers REIT ETF
|
|
12,845,697
|
125,559
|
|
iShares U.S. Real Estate ETF
|
|
11,835,191
|
|
|
|
|
24,680,888
|
|
|
TECHNOLOGY - 10.6%
|
|
148,974
|
|
Technology Select Sector SPDR Fund
|
|
12,464,654
|
|
|
|
|
|
|
|
UTILITIES - 11.0%
|
|
201,434
|
|
Utilities Select Sector SPDR Fund
|
|
12,942,134
|
|
|
|
|
|
|
|
TOTAL EXCHANGE TRADED FUNDS (Cost $87,372,798)
|
96,916,619
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENT - 15.7%
|
|
|
|
MONEY MARKET FUND - 15.7%
|
|
18,462,280
|
|
Fidelity Investments Money Market Fund - Government Portfolio - Class I
|
18,462,280
|
|
|
to yield 2.25% * ++ (Cost $18,462,280)
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 98.4% (Cost $105,835,078)
|
$115,378,899
|
|
|
OTHER ASSETS LESS LIABILITIES - 1.6%
|
|
1,834,830
|
|
|
NET ASSETS - 100.0%
|
|
$117,213,729
|
|
|
|
|
|
|
|
|
|
|
* Money market fund; interest rate reflects seven-day effective yield on October 31, 2019.
|
|
+ Affiliated Exchange Traded Fund
|
|
|
++ All or a portion of this investment is a holding of the ADWAT Fund Limited.
|
Arrow DWA Tactical Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
|
|
|
The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). 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” including FASB Accounting Standard Update "ASU" 2013-08.
|
|
|
|
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 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 last bid price on the day of valuation. Options and futures contracts listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the last reported bid price on the valuation date. Index options and options not listed on a security exchange or board of trade shall be valued at the last reported bid price on the valuation date. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Investments in open-end investment companies are valued at net asset value.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange Traded Funds – The Fund may invest in exchange traded funds (“ETFs”). ETFs are a type of fund 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. A Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities in which it invests, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund 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 Fund has the ability to access.
|
|
|
|
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument 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 Fund’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 table summarizes the inputs used as October 31, 2019 for the Fund’s assets and liabilities measured at fair value:
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Exchange Traded Funds
|
$96,916,619
|
$-
|
$-
|
$96,916,619
|
Money Market Fund
|
18,462,280
|
-
|
-
|
18,462,280
|
Total
|
$115,378,899
|
$-
|
$-
|
$115,378,899
|
Liabilities
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Variation Margin-Open Long Futures Contracts*
|
$97,394
|
$-
|
$-
|
$97,394
|
Total
|
$97,394
|
$-
|
$-
|
$97,394
|
The Fund did not hold any Level 3 securities during the period.
|
See Consolidated Portfolio of Investments for investments and derivatives segregated by industry, type and underlying exposure.
|
Consolidation of Subsidiaries – Arrow DWA Tactical Fund ("ADTF") with ADWAT Fund Limited CFC ("ADT-CFC") – The Consolidated Portfolio of Investments includes the accounts of ADT-CFC, a wholly-owned and controlled subsidiary. All inter-company accounts and transactions have been eliminated in consolidation.
|
ADTF may invest up to 25% of its total assets in a controlled foreign corporation (“CFC”) which acts as an investment vehicle in order to effect certain investments consistent with ADTF's investment objectives and policies.
|
ADT-CFC utilizes commodity based derivative products to facilitate ADTF's pursuit of its investment objective. In accordance with its investment objective and through its exposure to the aforementioned commodity based derivative products, ADTF may have increased or decreased exposure to one or more of the risk factors defined in the Principal Investment Risks section of the ADTF Prospectus.
|
A summary of the ADTF's investments in the CFC is as follows:
|
|
|
|
|
|
|
|
Inception Date of CFC
|
|
CFC Net Assets at October 31, 2019
|
|
% of Fund Net Assets at October 31, 2019
|
|
|
ADT-CFC
|
|
|
12/12/11
|
|
$2,919,472
|
|
2.49%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aggregate Unrealized Appreciation and Depreciation - Tax Basis
|
Arrow Dynamic Income Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited)
|
October 31, 2019
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
|
|
|
Value
|
|
|
EXCHANGE TRADED FUNDS - 40.8%
|
|
|
|
CONSERVATIVE ALLOCATION - 19.3%
|
|
14,667
|
|
Arrow Reserve Capital Management ETF +
|
|
|
|
|
|
$1,470,271
|
|
|
|
|
|
|
|
|
|
|
|
CORPORATE - 21.5%
|
|
12,074
|
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
|
|
|
|
|
1,048,144
|
19,981
|
|
VanEck Vectors Fallen Angel High Yield Bond ETF
|
|
|
|
|
|
584,844
|
|
|
|
|
|
|
|
|
1,632,988
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL EXCHANGE TRADED FUNDS - (Cost $3,101,744)
|
3,103,259
|
|
|
|
|
|
|
|
|
|
|
|
MUTUAL FUND - 30.7%
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES - 30.7%
|
|
178,987
|
|
AlphaCentric Income Opportunities Fund - Class I (Cost $2,234,033)
|
|
|
|
|
2,330,409
|
|
|
|
|
|
|
|
|
|
|
|
SHORT TERM INVESTMENT - 15.8%
|
|
|
|
|
|
|
|
|
MONEY MARKET FUND - 15.8%
|
|
|
|
|
|
|
1,201,529
|
|
Fidelity Investments Money Market Funds Government Portfolio - Class I,
|
|
|
|
1,201,529
|
|
|
to yield 2.12% ^ (Cost - $1,201,529)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 87.3% (Cost $6,537,306)
|
|
|
|
|
$6,635,197
|
|
|
OTHER ASSETS LESS LIABILITIES - 12.7%
|
|
|
|
|
967,169
|
|
|
NET ASSETS - 100.0%
|
|
|
|
|
|
$7,602,366
|
|
|
|
|
|
|
|
|
|
^ Money market fund; interest rate reflects seven-day effective yield on October 31, 2019.
|
|
|
|
|
|
|
+ Affiliated Exchange Traded Fund
|
|
|
|
|
|
|
Arrow Dynamic Income Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
|
|
|
|
|
|
|
FUTURES CONTRACT
|
|
|
|
|
|
|
|
Short
|
|
|
|
|
|
|
|
Underlying Face
|
|
Unrealized
|
|
Contracts
|
|
Counterparty
|
|
Open Short Futures Contracts ^
|
|
Expiration
|
|
Amount at Value
|
|
Gain / (Loss)
|
|
8
|
|
Goldman Sachs & Co. LLC
|
|
US Ultra Bond CBT
|
|
Dec-19
|
|
$ 1,493,000
|
|
$ (25,000)
|
|
|
|
|
|
|
|
|
|
Unrealized Loss from Short Futures Contracts
|
|
$ (25,000)
|
|
^ All collateral for open future/swap contracts consists of cash included as Deposits with brokers on the Statement of Assets and Liabilities.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Consists of premium received of $151,521 and current liability value of $161,955. The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced indices' credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
The following is a summary of the unrealized gain/(loss) of the derivative instruments utilized by the Fund as of October 31, 2019 categorized by risk exposure:
|
|
|
|
Risk Exposure Category
|
|
|
|
Unrealized Loss at October 31, 2019
|
|
|
|
|
Credit Default Swap
|
|
$(10,434)
|
|
|
|
|
Futures - Interest Contract
|
|
|
|
(25,000)
|
|
|
|
|
Total
|
|
|
|
|
|
$(35,434)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). 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” including FASB Accounting Standard Update "ASU" 2013-08.
|
|
|
|
|
|
|
|
|
|
|
|
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 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 last bid price on the day of valuation. Options and futures contracts listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the last reported bid price on the valuation date. Index options and options not listed on a security exchange or board of trade shall be valued at the last reported bid price on the valuation date. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Investments in open-end investment companies are valued at net asset value.
|
Swap Agreements – The Fund is subject to interest price risk in the normal course of pursuing its investment objective. The Fund may hold equities subject to interest price risk. The Fund may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency) or credit risk. These would be 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 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 trading 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. The Fund 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. 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. The Fund segregates liquid securities having a value at least equal to the amount of its current obligation under any swap transaction.
|
|
|
|
|
|
|
|
|
|
|
|
Exchange Traded Funds – The Fund may invest in exchange traded funds (“ETFs”). ETFs are a type of fund 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. A Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities in which it invests, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
|
The notional value of the derivative instruments outstanding as of October 31, 2019 as disclosed in the Portfolio of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statement of Operations serve as indicators of the volume of derivative activity for the Fund.
|
The Fund 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 Fund has the ability to access.
|
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument 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 Fund’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 table summarizes the inputs used as October 31, 2019 for the Fund’s assets and liabilities measured at fair value:
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Exchange Traded Funds
|
$3,103,259
|
$-
|
$-
|
$3,103,259
|
Mutual Fund
|
2,330,409
|
-
|
-
|
2,330,409
|
Money Market Fund
|
1,201,529
|
-
|
-
|
1,201,529
|
Total
|
$6,635,197
|
$-
|
$-
|
$6,635,197
|
Liabilities
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Variation Margin- Open Short Future Contract *
|
$-
|
$25,000
|
$-
|
$25,000
|
Open Swap Contracts *
|
-
|
10,434
|
-
|
10,434
|
Total
|
$-
|
$35,434
|
$-
|
$35,434
|
The Fund did not hold any Level 3 securities during the period.
|
See Portfolio of Investments for investments and derivatives segregated by industry, type and underlying exposure.
|
* Derivative instruments include cumulative net unrealized gain or loss on futures contracts and swaps open as of October 31, 2019.
|
|
|
|
|
|
|
|
|
|
|
|
Aggregate Unrealized Appreciation and Depreciation - Tax Basis
|
Arrow Managed Futures Strategy Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
|
October 31, 2019
|
Shares
|
|
|
|
|
|
|
|
Value
|
|
|
EXCHANGE TRADED FUND - 41.2%
|
|
|
|
CONSERVATIVE ALLOCATION - 41.2%
|
|
476,410
|
|
Arrow Reserve Capital Management ETF + ## (Cost $47,729,810)
|
|
|
|
|
$47,757,743
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS - 23.9%
|
|
|
|
|
|
|
|
|
MONEY MARKET FUND - 1.5%
|
|
|
|
|
|
|
1,707,794
|
|
Fidelity Investments Money Market Fund - Government Portfolio - Class I (a)
|
1,707,794
|
|
|
to yield 2.12% ** ++
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount ($)
|
|
|
|
Coupon Rate (%)
|
|
Maturity
|
|
|
|
|
U.S. TREASURY BILL - 22.4% ^
|
|
|
|
|
|
|
26,000,000
|
|
United States Treasury Bill
|
|
0.000
|
*
|
1/23/2020
|
|
25,909,024
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS (Cost $27,595,678)
|
|
|
|
|
27,616,818
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 65.1% (Cost $75,325,488)
|
|
|
|
|
$75,374,561
|
|
|
OTHER ASSETS LESS LIABILITIES - 34.9%
|
|
|
|
|
40,412,836
|
|
|
NET ASSETS - 100.0%
|
|
|
|
|
|
$115,787,397
|
|
|
|
|
|
|
|
|
|
^ Zero Coupon Bonds
|
|
|
|
|
|
|
|
|
* Interest rate represents discount rate at time of purchase.
|
|
|
|
|
|
|
** Money market fund; interest rate reflects seven-day effective yield on October 31, 2019.
|
|
|
|
|
|
|
+ Affiliated Exchange Traded Fund
|
|
|
|
|
|
|
++ All or a portion of this investment is a holding of the Arrow MFT Fund Limited (the "MFT Fund").
|
(a) Pledged as collateral for swap agreements.
|
|
|
|
|
|
|
## Affiliated company - The Arrow Managed Futures Strategy Fund holds in excess of 5% of the outstanding voting securities of this exchange traded fund.
|
|
|
Arrow Managed Futures Strategy Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
The following table represents the individual positions and related values within the financial index swap as of October 31, 2019.
|
Arrow Managed Futures Strategy Fund
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
|
October 31, 2019
|
++ All or a portion of these contracts are holdings of the Arrow MFT Fund Limited.
|
The following table represents the individual positions and related values within the commodity index swap as of October 31, 2019.
|
The following is a summary of the unrealized gain/(loss) of the derivative instruments utilized by the Fund as of October 31, 2019 categorized by risk exposure:
|
Risk Exposure Category
|
|
Unrealized Loss at October 31, 2019
|
|
|
|
|
Financial Index
|
|
$ (1,354,411)
|
|
|
|
|
Commodity Risk
|
|
(789,635)
|
|
|
|
|
Total
|
|
|
|
$ (2,144,046)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). 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” including FASB Accounting Standard Update "ASU" 2013-08.
|
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 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 last bid price on the day of valuation. Options and futures contracts listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the last reported bid price on the valuation date. Index options and options not listed on a security exchange or board of trade shall be valued at the last reported bid price on the valuation date. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Investments in open-end investment companies are valued at net asset value.
|
|
|
|
|
|
|
|
|
|
Swap Agreements – The Fund is subject to interest price risk in the normal course of pursuing its investment objective. The Fund may hold equities subject to interest price risk. The Fund may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency) or credit risk. These would be 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 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 trading 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. The Fund 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. 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. The Fund segregates liquid securities having a value at least equal to the amount of its current obligation under any swap transaction.
|
The notional value of the derivative instruments outstanding as of October 31, 2019 as disclosed in the Portfolio of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statement of Operations serve as indicators of the volume of derivative activity for the Fund.
|
The Fund 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 Fund has the ability to access.
|
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument 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 Fund’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 table summarizes the inputs used as October 31, 2019 for the Fund’s assets and liabilities measured at fair value:
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Exchange Trade Fund
|
$47,757,743
|
$-
|
$-
|
$47,757,743
|
Money Market Fund
|
1,707,794
|
-
|
-
|
1,707,794
|
U.S. Treasury Bill
|
-
|
25,909,024
|
-
|
25,909,024
|
Total
|
$49,465,537
|
$25,909,024
|
$-
|
$75,374,561
|
Liabilities
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Open Swap Contracts *
|
$-
|
$2,144,046
|
$-
|
$2,144,046
|
Total
|
$-
|
$2,144,046
|
$-
|
$2,144,046
|
The Fund did not hold any Level 3 securities during the period.
|
|
See Consolidated Portfolio of Investments for investments and derivatives segregated by industry, type and underlying exposure.
|
|
* Derivative instruments include cumulative net unrealized gain or loss on swaps open as of October 31, 2019.
|
|
Consolidation of Subsidiaries – Arrow Managed Futures Strategy Fund ("AMFSF") with Arrow MFT Fund Limited ("AMFS-CFC") – The Consolidated Portfolio of Investments includes the accounts of AMFS-CFC, a wholly-owned and controlled subsidiary. All inter-company accounts and transactions have been eliminated in consolidation.
|
|
AMFSF may invest up to 25% of its total assets in a controlled foreign corporation (“CFC”) which acts as an investment vehicle in order to effect certain investments consistent with AMFSF's investment objectives and policies.
|
|
AMFSF-CFC utilizes commodity based derivative products to facilitate AMFSF's pursuit of its investment objective. In accordance with its investment objective and through its exposure to the aforementioned commodity based derivative products, AMFSF may have increased or decreased exposure to one or more of the risk factors defined in the Principal Investment Risks section of the AMFSF Prospectus.
|
|
A summary of the AMFSF's investments in the CFC is as follows:
|
|
|
|
|
|
|
Inception Date of CFC
|
|
CFC Net Assets at October 31, 2019.
|
|
% of Fund Net Assets at October 31, 2019.
|
|
|
|
AMFSF-CFC
|
11/6/09
|
|
$22,672,526
|
|
19.58%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aggregate Unrealized Appreciation and Depreciation - Tax Basis
|
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) Arrow Investments Trust
By (Signature and Title)
*/s/ Joseph Barrato
Joseph Barrato, Principal Executive Officer/President
Date 12/27/2019
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant
and in the capacities and on the dates indicated.
By (Signature and Title)
*/s/ Joseph Barrato
Joseph Barrato, Principal Executive Officer/President
Date 12/27/2019
By (Signature and Title)
*/s/ Sam Singh
Sam Singh, Principal Financial Officer/Treasurer
Date 12/27/2019
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