|
|
|
|
|
|
|
|
GL Macro Performance Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited)
|
December 31, 2013
|
Shares
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCK - 0.99 %
|
|
|
|
|
|
|
|
REITS - 0.99 %
|
|
|
|
|
|
4,000
|
|
Annaly Capital Management, Inc. ^
|
|
|
|
|
$ 39,880
|
1000
|
|
MFS Financial, Inc.
|
|
|
|
|
7,060
|
|
|
TOTAL COMMON STOCK
|
|
|
|
|
46,940
|
|
|
(Cost - $54,818)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXCHANGE TRADED FUNDS - 2.06 %
|
|
|
|
|
|
|
EQUITY FUND - 2.06 %
|
|
|
|
|
|
1,000
|
|
Alpine Total Dynamic Dividend Fund
|
|
|
|
4,190
|
1,550
|
|
iShares MSCI Philippines ETF
|
|
|
|
|
48,980
|
2,100
|
|
Market Vectors Gold Miners ETF ^
|
|
|
|
|
44,352
|
|
|
TOTAL EXCHANGE TRADED FUNDS
|
|
|
|
97,522
|
|
|
(Cost - $96,548)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLOSED-END FUNDS - 55.29 %
|
|
|
|
|
36,000
|
|
Aberdeen Asia- Pacific Income Fund, Inc.
|
|
|
|
207,360
|
19,000
|
|
Aberdeen Global Income Fund, Inc.
|
|
|
|
|
197,030
|
3,000
|
|
Alliance Bernstein Income Fund, Inc.
|
|
|
|
|
21,390
|
500
|
|
AllianzGI Equity & Convertible Income Fund
|
|
|
|
9,760
|
18,300
|
|
American Select Portfolio
|
|
|
|
|
169,458
|
9,355
|
|
American Strategic Income Portfolio, Inc.
|
|
|
|
84,008
|
100
|
|
Central Fund of Canada Ltd.
|
|
|
|
|
1,325
|
500
|
|
Clough Global Allocation Fund
|
|
|
|
|
7,690
|
2,300
|
|
Cohen & Steers Limited Duration Preferred and Income Fund, Inc.
|
|
52,026
|
2,000
|
|
Cushing Royalty & Income Fund
|
|
|
|
|
33,940
|
3,700
|
|
DoubleLine Income Solutions Fund
|
|
|
|
|
78,033
|
3,000
|
|
Dreyfus Municipal Bond Infrastructure Fund, Inc.
|
|
|
|
31,050
|
10,000
|
|
Duff & Phelps Utility and Corporate Bond Trust, Inc.
|
|
|
|
100,300
|
1,500
|
|
Federated Enhanced Treasury Income Fund
|
|
|
|
19,170
|
17,500
|
|
First Trust Aberdeen Global Opportunity Income Fund
|
|
|
|
245,875
|
4,900
|
|
First Trust Intermediate Duration Preferred & Income Fund
|
|
104,125
|
6,800
|
|
First Trust Strategic High Income Fund II
|
|
|
|
109,140
|
2,000
|
|
Franklin Templeton Limited Duration Income Trust
|
|
|
|
25,980
|
5,500
|
|
GDL Fund
|
|
|
|
|
60,610
|
4,500
|
|
Ivy High Income Opportunities Fund
|
|
|
|
|
80,910
|
7,500
|
|
Legg mason BW Global Income Opportunities Fund, Inc.
|
|
|
126,525
|
20,000
|
|
Managed High Yield Plus Fund, Inc.
|
|
|
|
|
40,600
|
7,000
|
|
MFS Government Markets Income Trust
|
|
|
|
40,110
|
12,000
|
|
MFS Intermediate High Income Fund
|
|
|
|
|
34,680
|
26,000
|
|
MFS Intermediate Income Trust
|
|
|
|
|
134,680
|
22,000
|
|
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
|
|
286,440
|
3,000
|
|
Nuveen AMT- Free Municipal Income Fund
|
|
|
|
36,120
|
300
|
|
Nuveen Global Income Opportunities Fund
|
|
|
|
3,417
|
13,500
|
|
Nuveen Intermediate Duration Municipal Term Fund *
|
|
|
|
155,385
|
200
|
|
Nuveen Long/Short Commodity Total Return Fund
|
|
|
|
3,444
|
700
|
|
Nuveen Mortgage Opportunity Term Fund
|
|
|
|
16,198
|
1,600
|
|
Nuveen Preferred & Income Term Fund
|
|
|
|
35,312
|
1,500
|
|
Principal Real Estate Income Fund
|
|
|
|
|
25,575
|
|
|
|
|
|
|
|
|
GL Macro Performance Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
|
December 31, 2013
|
Shares
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
CLOSED-END FUNDS - 55.29 % (Continued)
|
|
|
|
|
2,000
|
|
Stone Harbor Emerging Markets Total Income Fund
|
|
|
|
$ 38,020
|
|
|
TOTAL CLOSED-END FUNDS
|
|
|
|
|
2,615,686
|
|
|
(Cost - $2,630,638)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCK - 1.40 %
|
|
Dividend Rate (%)
|
|
|
|
|
REITS - 1.40 %
|
|
|
|
|
|
3,000
|
|
Annaly Capital Management, Inc.
|
|
|
7.5000
|
|
66,000
|
|
|
TOTAL PREFERRED STOCK
|
|
|
|
|
|
|
|
(Cost - $64,765)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
Coupon Rate (%)
|
Maturity
|
|
|
|
PRIVATE PLACEMENT - 10.31 %
|
|
|
|
|
275,000
|
|
LAOH Capital LLC Promissory Note +
|
|
30.0000
|
6/4/2014
|
275,000
|
212,845
|
|
LAOH Capital LLC Promissory Note +
|
|
76.2270
|
3/14/2014
|
212,845
|
|
|
TOTAL PRIVATE PLACEMENT
|
|
|
|
487,845
|
|
|
(Cost - $487,845)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts **
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF CALL OPTIONS PURCHASED - 3.49 %
|
|
|
50
|
|
Annaly Capital Management, Inc
|
|
|
|
|
100
|
|
|
Expiration January 2014, Exercise Price $12.00
|
|
|
|
|
75
|
|
Buffalo Wild Wings, Inc.
|
|
|
|
|
13,875
|
|
|
Expiration March 2014, Exercise Price $175.00
|
|
|
|
|
12
|
|
CBOE SPX Volatility Index
|
|
|
|
|
3,660
|
|
|
Expiration May 2014, Exercise Price $15.00
|
|
|
|
|
20
|
|
CBOE SPX Volatility Index
|
|
|
|
|
1,600
|
|
|
Expiration April 2014, Exercise Price $18.00
|
|
|
|
|
20
|
|
CBOE SPX Volatility Index
|
|
|
|
|
3,800
|
|
|
Expiration May 2014, Exercise Price $185.00
|
|
|
|
|
25
|
|
CBOE SPX Volatility Index
|
|
|
|
|
6,500
|
|
|
Expiration May 2014, Exercise Price $16.00
|
|
|
|
|
40
|
|
CBOE SPX Volatility Index
|
|
|
|
|
6,100
|
|
|
Expiration April 2014, Exercise Price $18.00
|
|
|
|
|
50
|
|
CBOE SPX Volatility Index
|
|
|
|
|
12,625
|
|
|
Expiration April 2014, Exercise Price $15.00
|
|
|
|
|
50
|
|
CBOE SPX Volatility Index
|
|
|
|
|
17,750
|
|
|
Expiration May 2014, Exercise Price $14.00
|
|
|
|
|
70
|
|
CBOE SPX Volatility Index
|
|
|
|
|
10,850
|
|
|
Expiration May 2014, Exercise Price $14.00
|
|
|
|
|
75
|
|
CBOE SPX Volatility Index
|
|
|
|
|
22,500
|
|
|
Expiration March 2014, Exercise Price $13.00
|
|
|
|
|
75
|
|
CBOE SPX Volatility Index
|
|
|
|
|
16,875
|
|
|
Expiration May 2014, Exercise Price $17.00
|
|
|
|
|
100
|
|
CBOE SPX Volatility Index
|
|
|
|
|
7,500
|
|
|
Expiration February 2014, Exercise Price $18.00
|
|
|
|
|
100
|
|
CBOE SPX Volatility Index
|
|
|
|
|
6,250
|
|
|
Expiration April 2014, Exercise Price $49.00
|
|
|
|
|
60
|
|
iShares MSCI Emerging Markets ETF
|
|
|
|
|
210
|
|
|
Expiration March 2014, Exercise Price $49.00
|
|
|
|
|
GL Macro Performance Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
|
December 31, 2013
|
Contracts **
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF CALL OPTIONS PURCHASED - 3.49 % (Continued)
|
|
9
|
|
Netflix, Inc.
|
|
|
|
|
$ 33,750
|
|
|
Expiration March 2014, Exercise Price $335.00
|
|
|
|
|
20
|
|
Netflix, Inc.
|
|
|
|
|
300
|
|
|
Expiration February 2014, Exercise Price $560.00
|
|
|
|
|
200
|
|
Rite Aid Corp.
|
|
|
|
|
500
|
|
|
Expiration April 2014, Exercise Price $9.00
|
|
|
|
|
25
|
|
VistaPrint Ltd.
|
|
|
|
|
188
|
|
|
Expiration January 2014, Exercise Price $75.00
|
|
|
|
|
10
|
|
Western Union Co.
|
|
|
|
|
75
|
|
|
Expiration January 2014, Exercise Price $18.00
|
|
|
|
|
|
|
TOTAL CALL OPTIONS PURCHASED
|
|
|
|
165,008
|
|
|
(Cost - $215,413)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF PUT OPTIONS PURCHASED - 0.66 %
|
|
|
200
|
|
CBOE SPX Volatility Index
|
|
|
|
|
6,000
|
|
|
Expiration February 2014, Exercise Price $13.00
|
|
|
|
|
550
|
|
CBOE SPX Volatility Index
|
|
|
|
|
1,375
|
|
|
Expiration April 2014, Exercise Price $11.00
|
|
|
|
|
3,725
|
|
CBOE SPX Volatility Index
|
|
|
|
|
9,312
|
|
|
Expiration May 2014, Exercise Price $11.00
|
|
|
|
|
10
|
|
iShares MSCI France ETF
|
|
|
|
|
200
|
|
|
Expiration March 2014, Exercise Price $26.00
|
|
|
|
|
20
|
|
Market Vectors Gold Miners ETF
|
|
|
|
|
500
|
|
|
Expiration June 2014, Exercise Price $14.50
|
|
|
|
|
150
|
|
Netflix, Inc.
|
|
|
|
|
75
|
|
|
Expiration January 2014, Exercise Price $150.00
|
|
|
|
|
20
|
|
PowerShares Emerging Markets Sovereign Debt Portfolio
|
|
|
1,300
|
|
|
Expiration March 2014, Exercise Price $27.00
|
|
|
|
|
150
|
|
SPDR Barclays High Yield Bond ETF
|
|
|
|
|
12,375
|
|
|
Expiration June 2014, Exercise Price $39.00
|
|
|
|
|
|
|
TOTAL PUT OPTIONS PURCHASED
|
|
|
|
31,137
|
|
|
(Cost - $50,807)
|
|
|
|
|
|
GL Macro Performance Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
|
December 31, 2013
|
Contracts **
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF CALL FUTURE OPTIONS PURCHASED - 0.41 %
|
|
30
|
|
US 10 Year Future
|
|
|
|
|
$ 18,750
|
|
|
Expiration February 2014, Exercise Price $123.00
|
|
|
|
|
50
|
|
US 2 Year Future
|
|
|
|
|
781
|
|
|
Expiration February 2014, Exercise Price $110.375
|
|
|
|
|
|
|
TOTAL CALL FUTURE OPTIONS PURCHASED
|
|
|
|
19,531
|
|
|
(Cost - $22,992)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF PUT FUTURE OPTIONS PURCHASED - 0.23 %
|
|
|
50
|
|
US 2YR Treasury Note
|
|
|
|
|
7,812
|
|
|
Expiration March 2014, Exercise Price $109.875
|
|
|
|
|
30
|
|
US 10 Year Future
|
|
|
|
|
469
|
|
|
Expiration February 2014, Exercise Price $119.00
|
|
|
|
|
10
|
|
S&P 500 Emini
|
|
|
|
|
2,475
|
|
|
Expiration January 2014, Exercise Price $119.00
|
|
|
|
|
|
|
TOTAL PUT FUTURE OPTIONS PURCHASED
|
|
|
|
10,756
|
|
|
(Cost - $28,841)
|
|
|
|
|
|
Shares
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENT - 41.65 %
|
|
|
|
|
|
|
MONEY MARKET FUND - 41.65 %
|
|
|
|
|
1,970,220
|
|
Fidelity Institutional Money Market Fund, 0.00% +
|
|
|
|
1,970,220
|
|
|
TOTAL SHORT-TERM INVESTMENT
|
|
|
|
|
|
|
(Cost - $1,970,220)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 116.49 %
|
|
|
|
$ 5,510,645
|
|
|
(Cost - $2,718,969) (a)
|
|
|
|
|
|
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS - (16.49) %
|
|
(779,920)
|
|
|
NET ASSETS - 100.00 %
|
|
|
|
|
$ 4,730,725
|
|
|
|
|
|
|
|
|
|
|
SECURITIES SOLD SHORT - (22.60)%
|
|
|
|
|
|
|
COMMON STOCK SOLD SHORT - (12.04) %
|
|
|
|
|
350
|
|
Envestnet, Inc. *
|
|
|
|
|
14,105
|
1,000
|
|
Financial Engines, Inc.
|
|
|
|
|
69,480
|
2,000
|
|
Green Mountain Coffee Roasters
|
|
|
|
|
151,160
|
6,000
|
|
H&R Block, Inc.
|
|
|
|
|
174,240
|
50
|
|
Morningstar, Inc
|
|
|
|
|
3,905
|
1,000
|
|
Outerwall, Inc. *
|
|
|
|
|
67,270
|
1,000
|
|
Spirit Airlines, Inc. *
|
|
|
|
|
45,410
|
250
|
|
Splunk, Inc. *
|
|
|
|
|
17,168
|
475
|
|
VistaPrint Ltd *
|
|
|
|
|
27,004
|
|
|
TOTAL COMMON STOCK SOLD SHORT
|
|
|
|
569,742
|
|
|
(Proceeds - $541,938)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXCHANGE TRADED FUNDS SOLD SHORT - (10.56) %
|
|
|
3,000
|
|
Global X FTSE Greece 20 ETF
|
|
|
|
|
67,590
|
1,000
|
|
iShares MSCI Emerging Markets ETF
|
|
|
|
|
41,770
|
50
|
|
iShares MSCI France ETF
|
|
|
|
|
1,423
|
175
|
|
iShares Russell 2000 Growth ETF
|
|
|
|
|
23,714
|
8,000
|
|
SPDR Barclays High Yield Bond ETF
|
|
|
|
|
324,480
|
1,000
|
|
SPDR S&P Regional Banking ETF
|
|
|
|
|
40,610
|
|
|
TOTAL EXCHANGE TRADED FUNDS SOLD SHORT
|
|
499,587
|
|
|
(Proceeds - $485,242)
|
|
|
|
|
|
GL Macro Performance Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
|
December 31, 2013
|
Contracts **
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF CALL OPTIONS WRITTEN - (4.35) %
|
|
|
100
|
|
Block H&R, Inc.
|
|
|
|
|
$ 6,500
|
|
|
Expiration January 2014, Exercise Price $29.00
|
|
|
|
|
75
|
|
Buffalo Wild Wings, Inc.
|
|
|
|
|
25,125
|
|
|
Expiration March 2014, Exercise Price $165.00
|
|
|
|
|
285
|
|
CBOE SPX Volatility Index
|
|
|
|
|
50,588
|
|
|
Expiration April 2014, Exercise Price $20.00
|
|
|
|
|
150
|
|
CBOE SPX Volatility Index
|
|
|
|
|
5,250
|
|
|
Expiration Janurary 2014, Exercise Price $17.00
|
|
|
|
|
75
|
|
CBOE SPX Volatility Index
|
|
|
|
|
8,063
|
|
|
Expiration March 2014, Exercise Price $19.00
|
|
|
|
|
50
|
|
CBOE SPX Volatility Index
|
|
|
|
|
4,750
|
|
|
Expiration April 2014, Exercise Price $22.00
|
|
|
|
|
50
|
|
CBOE SPX Volatility Index
|
|
|
|
|
8,750
|
|
|
Expiration May 2014, Exercise Price $19.00
|
|
|
|
|
60
|
|
iShares MSCI Emerging Markets ETF
|
|
|
|
|
5,520
|
|
|
Expiration March 2014, Exercise Price $43.00
|
|
|
|
|
10
|
|
Market Vectors Gold Miners ETF
|
|
|
|
|
2,260
|
|
|
Expiration June 2014, Exercise Price $21.00
|
|
|
|
|
10
|
|
Market Vectors Gold Miners ETF
|
|
|
|
|
1,820
|
|
|
Expiration June 2014, Exercise Price $22.00
|
|
|
|
|
15
|
|
Netflix, Inc.
|
|
|
|
|
54,585
|
|
|
Expiration February 2014, Exercise Price $350.00
|
|
|
|
|
15
|
|
Netflix, Inc.
|
|
|
|
|
21,885
|
|
|
Expiration February 2014, Exercise Price $400.00
|
|
|
|
|
20
|
|
PowerShares Emerging Markets Sovereign Debt Portfolio
|
|
|
1,900
|
|
|
Expiration March 2014, Exercise Price $26.00
|
|
|
|
|
200
|
|
Rite Aid Corp.
|
|
|
|
|
8,800
|
|
|
Expiration April 2014, Exercise Price $5.50
|
|
|
|
|
|
|
TOTAL CALL OPTIONS WRITTEN
|
|
|
|
205,796
|
|
|
(Proceeds - $193,496)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF PUT OPTIONS WRITTEN - (7.78) %
|
|
|
60
|
|
Block H&R, Inc.
|
|
|
|
|
1,200
|
|
|
Expiration January 2014, Exercise Price $28.00
|
|
|
|
|
1,200
|
|
CBOE SPX Volatility Index
|
|
|
|
|
45,000
|
|
|
Expiration May 2014, Exercise Price $13.00
|
|
|
|
|
900
|
|
CBOE SPX Volatility Index
|
|
|
|
|
63,000
|
|
|
Expiration June 2014, Exercise Price $14.00
|
|
|
|
|
|
|
|
|
|
|
|
|
GL Macro Performance Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
|
December 31, 2013
|
Contracts **
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF PUT OPTIONS WRITTEN (Continued) - (7.78) %
|
|
500
|
|
CBOE SPX Volatility Index
|
|
|
|
|
$ 38,750
|
|
|
Expiration May 2014, Exercise Price $14.00
|
|
|
|
|
350
|
|
CBOE SPX Volatility Index
|
|
|
|
|
28,000
|
|
|
Expiration April 2014, Exercise Price $14.00
|
|
|
|
|
325
|
|
CBOE SPX Volatility Index
|
|
|
|
|
26,812
|
|
|
Expiration February 2014, Exercise Price $14.00
|
|
|
|
|
300
|
|
CBOE SPX Volatility Index
|
|
|
|
|
36,750
|
|
|
Expiration May 2014, Exercise Price $15.00
|
|
|
|
|
250
|
|
CBOE SPX Volatility Index
|
|
|
|
|
31,875
|
|
|
Expiration April 2014, Exercise Price $15.00
|
|
|
|
|
225
|
|
CBOE SPX Volatility Index
|
|
|
|
|
7,875
|
|
|
Expiration April 2014, Exercise Price $13.00
|
|
|
|
|
170
|
|
CBOE SPX Volatility Index
|
|
|
|
|
14,025
|
|
|
Expiration March 2014, Exercise Price $14.00
|
|
|
|
|
150
|
|
CBOE SPX Volatility Index
|
|
|
|
|
13,125
|
|
|
Expiration January 2014, Exercise Price $14.00
|
|
|
|
|
100
|
|
CBOE SPX Volatility Index
|
|
|
|
|
3,500
|
|
|
Expiration March 2014, Exercise Price $13.00
|
|
|
|
|
75
|
|
CBOE SPX Volatility Index
|
|
|
|
|
22,875
|
|
|
Expiration June 2014, Exercise Price $18.00
|
|
|
|
|
50
|
|
CBOE SPX Volatility Index
|
|
|
|
|
5,900
|
|
|
Expiration June 2014, Exercise Price $15.00
|
|
|
|
|
45
|
|
CBOE SPX Volatility Index
|
|
|
|
|
8,437
|
|
|
Expiration May 2014, Exercise Price $16.00
|
|
|
|
|
25
|
|
CBOE SPX Volatility Index
|
|
|
|
|
4,000
|
|
|
Expiration January 2014, Exercise Price $15.00
|
|
|
|
|
10
|
|
iShares MSCI Emerging Markets ETF
|
|
|
|
|
680
|
|
|
Expiration March 2014, Exercise Price $39.00
|
|
|
|
|
100
|
|
Market Vectors Gold Miners ETF
|
|
|
|
|
7,500
|
|
|
Expiration June 2014, Exercise Price $17.50
|
|
|
|
|
210
|
|
SPDR Barclays High Yield Bond ETF
|
|
|
|
|
7,875
|
|
|
Expiration June 2014, Exercise Price $37.00
|
|
|
|
|
10
|
|
Spirit Airlines, Inc.
|
|
|
|
|
1,100
|
|
|
Expiration March 2014, Exercise Price $40.00
|
|
|
|
|
|
|
TOTAL PUT OPTIONS WRITTEN
|
368,279
|
|
|
(Proceeds - $311,254)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF CALL FUTURE OPTIONS WRITTEN - (0.23) %
|
|
|
50
|
|
US 2YR NOTE (CBT)
|
|
|
|
|
10,938
|
|
|
Expiration March 2014, Exercise Price $109.875
|
|
|
|
|
|
|
TOTAL CALL FUTURE OPTIONS WRITTEN
|
|
|
|
10,938
|
|
|
(Proceeds - $9,615)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF PUT FUTURE OPTIONS WRITTEN - (0.15) %
|
|
|
30
|
|
US 10 Year Future
|
|
|
|
|
7,031
|
|
|
Expiration February 2014, Exercise Price $122.00
|
|
|
|
|
|
|
TOTAL CALL FUTURE OPTIONS WRITTEN
|
|
|
|
7,031
|
|
|
(Proceeds - $8,113)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GL Macro Performance Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
|
December 31, 2013
|
Contracts **
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
|
|
|
|
Appreciation/
|
|
|
FUTURES CONTRACTS PURCHASED - (0.01) %
|
|
|
(Depreciation)
|
4
|
|
CBOE VIX Future April 2014
|
|
|
|
|
$ (5,800)
|
|
|
(Underlying Face Amount at Value $65,000)
|
|
|
|
|
1
|
|
Norwegian Krone March 2014
|
|
|
|
|
5,540
|
|
|
(Underlying Face Amount at Value $328,940)
|
|
|
|
|
|
|
TOTAL FUTURES CONTRACTS PURCHASED
|
|
|
|
(260)
|
|
|
|
|
|
|
|
|
|
|
FUTURES CONTRACTS SOLD - (0.20) %
|
|
|
|
|
3
|
|
Euro Fx Future March 2014
|
|
|
|
|
(3,688)
|
|
|
(Underlying Face Amount at Value $517,050)
|
|
|
|
|
3
|
|
Short Term Euro-BTP Futures March 2014
|
|
|
|
(496)
|
|
|
(Underlying Face Amount at Value $327,180)
|
|
|
|
|
6
|
|
Spanish 10 year March 2014
|
|
|
|
|
(5,125)
|
|
|
(Underlying Face Amount at Value $682,800)
|
|
|
|
|
|
|
TOTAL FUTURES CONTRACTS SOLD
|
|
|
|
(9,309)
|
|
|
|
|
|
|
|
|
|
|
TOTAL NET UNREALIZED DEPRECIATION FROM OPEN FUTURE CONTRACTS
|
|
|
|
$ (9,569)
|
GL Macro Performance Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
|
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REITS - Real Estate Investment Trusts
|
|
|
|
|
|
* Non-Income producing security.
|
|
|
+ Variable rate security - interest rate is as of December 31, 2013.
|
|
|
^ Each security is subject to written call/put options.
|
|
|
|
|
** Each call/put option contract allows the holder of the option to purchase/sell 100 shares of the underlying stock.
|
(a) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes, including securities sold short and options and future options written is $4,080,345 and differs from market value by net unrealized appreciation (depreciation) of securities as follows:
|
|
|
|
|
|
|
|
|
|
|
Unrealized appreciation
|
|
|
|
$ 23,620
|
|
|
Unrealized depreciation
|
|
|
|
(254,694)
|
|
|
Net unrealized depreciation
|
|
|
|
$ (231,074)
|
|
|
|
|
|
|
|
|
Security 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 mean of the closing bid and asked prices on the day of valuation. Short-term investments that mature in 60 days or less are valued at amortized cost, provided such valuations represent fair value. Exchange traded options, futures and options on futures are valued at the settlement price determined by the exchange.
|
Securities for which current market quotations are not readily available or for which quotations are not deemed to be representative of market values are valued at fair value as determined in good faith by or under the direction of the Trusts Board of Trustees (the Board) in accordance with the Trusts Portfolio Securities Valuation Procedures (the Procedures). The Procedures consider, among others, the following factors to determine a securitys fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security.
|
Valuation of Fund of Funds
- The Funds may invest in portfolios of open-end or closed-end investment companies (the Underlying Funds). 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 to the methods established by the board of directors of the Underlying Funds.
|
A Fund 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. The Board has delegated execution of these procedures to a fair value team composed of one or more officers from each of the (i) Trust, (ii) administrator, and (iii) adviser and/or sub-adviser. The team may also enlist third party consultants such as an audit firm 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.
|
|
|
|
|
|
|
|
|
GL Macro Performance Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
|
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Team and Valuation Process.
This team is composed of one or more officers 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 insufficient or not readily available on a particular business day (including 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 judgment 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: only a bid price or an asked price is available; the spread between bid and asked prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, 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) since the closing prices were established on the principal exchange on which they are traded, but prior to a Funds calculation of its net asset value. 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 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 such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Fund'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; (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; and (xi) the market value of any securities into which the security is convertible or exchangeable.
|
The Fund utilizes various methods to measure the fair value of most 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 on an inactive market, price 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 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.
|
|
|
|
|
|
|
|
|
GL Macro Performance Fund
|
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
|
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 December 31, 2013 for the Fund's assets and liabilities measured at fair value:
|