Stadion Investment Trust N-CSRCertified annual shareholder report (management investment company)

UNITED STATES 

SECURITIES AND EXCHANGE COMMISSION 

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED 

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21317

Stadion Investment Trust 

(Exact name of registrant as specified in charter)

1061 Cliff Dawson Road, Watkinsville, Georgia 30677

(Address of principal executive offices)(Zip code)

Michael Isaac

1061 Cliff Dawson Road, Watkinsville, Georgia 30677

(Name and address of agent for service)

Registrant's telephone number, including area code: (706) 583-5230

Date of fiscal year end: May 31

Date of reporting period: June 1, 2019 through May 31, 2020

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

ANNUAL REPORT

May 31, 2020

STADION TACTICAL GROWTH FUND

STADION TACTICAL DEFENSIVE FUND

STADION TRILOGY ALTERNATIVE RETURN FUND

TABLE OF CONTENTS

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Stadion Funds’ website at www.stadionfunds.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

Beginning on January 1, 2019, you may, notwithstanding the availability of shareholder reports online, elect to receive all future shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with a Fund, you can call 1-866-383-7636 to let the Fund know you wish to continue receiving paper copies of your shareholder reports.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by enrolling at www.stadionfunds.com.

May 31, 2020 (Unaudited)

Dear Stadion Shareholder,

We are pleased to present Stadion Funds’ Annual Report through May 31, 2020, including an overview and discussion of market conditions intended to add context to the purpose and results of our investment approach.

12 Month Equity Market Overview

Over the last year, the U.S. stock market has been on a wild rollercoaster ride. From May 2019 to January 2020, markets ascended to all-time highs. Market headlines were dominated by the U.S. – China trade war, the uncertainty of which often kept stocks trading in a tight range during this period. Markets rallied toward the end of 2019, though, as trade talk optimism increased. U.S. economic data was stellar as U.S. consumer confidence and U.S. housing starts were near record highs, U.S. unemployment was near record lows, and the U.S. Gross Domestic Product (GDP) remained steady. Finally, the Federal Reserve gradually lowered the Federal Funds rate to provide support for economic expansion. The U.S. stock market and economy were on a euphoric ride before it all came to a screeching halt.

During February, COVID-19 took over the world. As fear of a global pandemic set in, the stock market experienced an historic sell-off as economies began to lockdown to prevent further contagion. The 11-year bull market rapidly sank into the quickest developing bear market in U.S. stock market history. Concurrent with this market drop, and attributable nearly directly to the economic lockdown, the U.S. unemployment rate soared to levels not seen since the Great Depression. The U.S. government and Federal Reserve took swift action with the former passing a bill to provide qualifying citizens with a stimulus check and the latter lowering the Federal Funds rate to 1.25%. Fortunately, these moves were able to provide a backstop to the historic sell-off and just as quickly as the bear market occurred, another bull market began. It was the fastest V-shape recovery in U.S. stock market history. Although economic data was dreadful, the stock market is a forward-looking machine that rallied from the fiscal and monetary support that was provided.

After all of that, for the year ending May 31,2020, all three major U.S. indices were green for the year. The NASDAQ Composite Index was the leader with its climb of 28.77%, followed by the S&P 500 Index at 12.84%, and the Dow Jones Industrial Average with 4.83%.

Global stocks have struggled to bounce back from the COVID-19 pandemic. Global governments and banks provided stimulus packages to combat the economic damage of COVID-19 but they haven’t had nearly as much success as the United States. Over the same reporting period that saw a huge recovery for the U.S., the MSCI EAFE Net Total Return Index lost -2.81% and the MSCI Emerging Net Total Return Index fell -4.39%.

12 Month Bond Market Overview

As global markets were sent into a frenzy over fear of COVID-19, money rotated out of risk assets into safe-haven assets. Bond funds performed well over this time period as interest rates plummeted to levels never seen before. The 10-year U.S. treasury yield closed 5/31/20 at 0.6526%, while other countries have installed negative interest rates in hopes of promoting economic growth by forcing people to spend rather than save.

Unfortunately, the world has not yet seen a positive impact from the negative interest rate environment. There was speculation that the U.S. could potentially see negative interest rates, but Fed Chairman Jerome Powell has struck down that notion, saying the U.S. Federal Reserve “[is] not out of ammunition by a long shot.”¹ Even with the advent of negative rates, worldwide interest rates continued to fall.

Overall, it was a positive environment for bonds for the year as the Bloomberg Barclays U.S. Aggregate Bond Index gained 9.42% from May 31, 2019 to May 31, 2020.

Stadion’s Two Tactical Equity Portfolios

The twin hallmarks of Stadion’s tactical equity line-up are their varying degrees of risk management and their ability to diversify across markets. Stadion’s Tactical Growth Fund (“Growth Fund”) offers growth orientation while maintaining a defensive bias. For additional risk mitigation, Stadion’s Tactical Defensive Fund (“Defensive Fund”) provides persistent market exposure but seeks to manage risk with significant and timely reductions in equity exposure.

Stadion’s Alternative Portfolio

Stadion’s Trilogy Alternative Return Fund (“Trilogy Fund”) is an absolute return strategy designed to be market-direction agnostic over the course of a year.

May 31, 2020 (Unaudited)

Stadion Tactical Growth Fund

The Tactical Growth Fund follows a rules-based, disciplined, proprietary model that quantitatively ranks—according to risk-adjusted return—all actively traded Exchange Traded Funds (“ETFs”) that pass our initial fundamental review. The holdings of the Tactical Growth Fund are adjusted so that ETFs showing strength in the model are purchased and held, while those showing weakness are sold or simply not considered for purchase. The goal of the Tactical Growth Fund’s investment process is to produce long-term market-like returns but carry below-market risk exposure.

The risk-management of the Tactical Growth Fund that is differentiated from that of Stadion’s trend-following strategies is the model’s intention, during turbulent times, to allocate a portion of the portfolio to defensive and non-correlated assets instead of reducing market exposure by exiting to cash.

For the year ending May 31, 2020, the Tactical Growth Fund – Class I returned 6.88%. The Fund’s benchmark, the Morningstar Moderately Aggressive Target Risk Index returned 4.47%. The widely watched S&P 500 index gained 12.84%. The Fund followed its process and de-risked heavily in early 2020. The equity to fixed income allocation moved from a high of 81%/19% on January 1, 2020 to 35%/65% by the end of February 2020. Although the equity exposure moved back up before the end of May 2020, it was far below its long-term average of 79%/21%. International equity exposure, a component of the above-mentioned total equity exposure, was lowered from 35% in 2019 to 0% in May 2020. Tactical Growth Fund’s individual ETF holdings remained very diversified over the year, also helping to reduce the risk of the overall portfolio.

Stadion Tactical Defensive Fund

The Defensive Fund seeks to focus on both longer-term cyclical trends and shorter-term intermediate trends to balance safety and return. One half of the portfolio (core) is governed by the longer-term Cyclical Trend (CT) measure and the other (satellite) by the shorter (more safety conscious) intermediate term, Dynamic Trend (DT) measure.

During the year ended May 31^st, 2020 the Stadion Tactical Defensive Fund’s Class I-share lost -7.61%. This is compared to the Morningstar Moderate Target Risk Index at 6.07% and the S&P 500 index at 12.84%.

The Tactical Defensive Fund experienced a tough year ended 5/31/2020 largely in part to the detrimental impact of the first quarter sell-off in 2020. Up to that point, markets were in a choppy trading range from May to October where the Fund was in and out of equities as the Fund’s underlying indicators flipped on and off. Once markets broke out of their trading range, the Fund was able to participate in the market rally from October to February.

Unfortunately, given how strong the rally was and how quickly the sell-off occurred in February, the Fund was fully invested during the initial market plunge. Although the Dynamic Trend measure did well during this time period given its ability to quickly change, the Cyclical Trend measure took longer to react to the price movement as it is a weekly indicator. The Fund wasn’t fully defensive until the end of March and by then the damage had been done. Markets suddenly turned upward, and it was the quickest Bear to Bull market-and sharpest V-shape recovery-- in U.S. stock market history. After this dramatic move in markets, the Fund’s underlying indicators had been so weakened that the Fund never got back to fully invested after the market low.

Although it was a rough year, the Fund will continue to follow its process it has had in place since its inception. After the sell-off in February, the market’s 11-year bull market trend was broken, and it has yet to start a new trend as the market has not fully recovered from the its previous high

Stadion Trilogy Alternative Return Fund

The Stadion Trilogy Fund’s multi-strategy portfolio intends to generate total returns regardless of market conditions by emphasizing lower risk and volatility than U.S. equities markets. The Fund is comprised of three complementary “buckets”: Collared Equity, Option Income, and Market Movement. The Fund’s goal is to have two of the three buckets providing positive outcomes over a full year.

For the year ended May 31^st, 2020, the Stadion Trilogy Fund Class I-share returned 5.39% compared to the Hedge Fund Research (HFRX) Absolute Return Index that returned 0.71%. The largest contributor to the Fund’s performance for the year came from the Market Movement bucket. The options in this bucket provided the Fund with protection from the historic sell-off markets experienced in February and March, and they were also able to partake in the market rally prior to the sell-off. The Fund had gains with its Equity and Fixed Income holdings as the S&P 500 and the Bloomberg Barclays U.S. Aggregate Bond Index both finished the year positive. The Fund experienced a slight drag from the Option Income bucket as for much of the year (October ‘19 to February ‘20) markets moved one direction in a low volatility market environment, which is not ideal for the option strategy in this bucket.

Trilogy performed very well over the year as it outperformed its benchmark and provided protection during the market sell-off. The sell-off beginning in February was an ideal environment for Trilogy as the Fund’s various option strategies were able to take advantage of the market uncertainties.

May 31, 2020 (Unaudited)

Stadion Observations and Market Outlook

There is a still a heavy-weight bout going on between investor euphoria supported by economic stimulus packages and the combination of historically massive U.S. jobless claims, China-Hong Kong-India tensions, and now renewed U.S. – China turmoil. So far, the bullish euphoria is winning.

In May 2020, we witnessed some nice follow through for stocks following April’s record setting gains when stocks had their best month in 30 years. All the major U.S. equity indices were positive for the month of May, and developed world international stocks also kept pace. Emerging Market stocks were up slightly although the clear laggards for the month.

The question that continues to be asked, though, is whether there is disconnect between the stock market and the economy. Many argue that there is indeed a dislocation between market price action and the economic outlook especially considering that we’re witnessing economic data that is, in many cases, the worst we’ve seen In1Q20 , the U.S. economy shrank faster than estimated with GDP falling at a 5% annual rate, the biggest quarterly contraction since 2008. U.S. consumer spending, which accounts for about two-thirds of the world’s largest economy, plunged in April by the most on record. During 2Q20, it was reported that, over 40 million people had filed for unemployment since the COVID crisis began.² Continuing U.S. jobless claims remain at their highest point in the history of the economic indicator. However, major U.S. stock indices were each reaching 35 to 40% higher during 2Q20 than they were on March 23^rd.

For some perspective let’s look at where stocks were recently trading in relation to where they were prior to the lockdown and prior to the COVID crisis in general. The tech heavy NASDAQ Composite index closed May 2020 at the same index level it was at on February 21st, weeks before the U.S. lockdown was in effect. That is also where this index was trading at on February 1st well before the market peak on the 19^th of that month when unemployment was at or near an all-time low. At that time we were seeing consistent GDP expansion, and the outlook for corporate earnings was very optimistic. Likewise, the S&P 500 index closed May at its highest level since March 5^th which was prior to the U.S. lockdown. That this index recently sat at the same level it was in late October of 2019, when the economic picture was very rosy, poses a question: Are we in as good of shape now as we were then? The market is telling us yes, but the economic data is showing a different picture. Clearly the U.S. debt level has increased substantially due to the increased crisis stimulus, so what does that mean for the future? Quite simply, we must wait and see how this plays out. This bout could indeed go the full 15 rounds before we have a clear winner, but the improvement in jobs data as we closed out May is a positive that will help as we enter this next twelve-month reporting period.

Thank you for entrusting your “serious money” to Stadion. Please feel free to contact us with any questions you may have.

Sincerely,

Stadion Money Management Portfolio Management Team

Brad Thompson, CFA^®
Chief Investment Officer

Paul Frank
Portfolio Manager

Clayton Wilkin, CFA^®
Portfolio Manager

Class I shares are not available for all investors. AS such, the performance of the other share classes may vary.

Past performance is no guarantee of future results. Investments are subject to risk, and any of Stadion’s investment strategies may lose money. The investment strategies presented are not appropriate for every investor and financial advisors should review the terms and conditions and risks involved. Stadion’s actively managed portfolios may underperform during bull markets. Some information contained herein was prepared by or obtained from sources that Stadion believes to be reliable. There is no assurance that any of the target prices or other forward-looking statements mentioned will be attained. Any market prices are only indications of market values and are subject to change. The views in this report were those of the Funds’ investment advisor as of the date of this Report and may not reflect their views on the date this report is first published or anytime thereafter. These views are intended to assist shareholders in understanding their investment in the Funds and do not constitute investment advice. The Reports’ commentary, analysis, opinions, advice, and recommendations represent the personal and subjective views of the author and are subject to change at any time without notice.

One cannot invest directly in an index. Derivative instruments can be volatile and the potential loss to the Funds may exceed the Funds’ initial investment. Derivative instruments may be difficult to value and may be subject to wide swings in valuations caused by changes in the value of the underlying instrument. The use of these instruments requires special skills and knowledge of investment techniques that are different than those normally required for purchasing and selling securities. The Funds could also experience losses if they are unable to close out a position because the market for an instrument or position is or becomes illiquid.

May 31, 2020 (Unaudited)

The Funds’ foreign investments generally carry more risks than funds that invest strictly in U.S. assets, including currency risk, geographic risk, and emerging market risk. Risks can also result from varying stages of economic and political development; differing regulatory environments, trading days, and accounting standards; and higher transaction costs of non-U.S. markets. More information about these risks and other risks can be found in the Funds’ prospectus.

Not all investors are eligible for each share class, including I shares. Performance and expense may vary between share classes.

The S&P 500 Index is the Standard & Poor’s Composite Index of 500 stocks and is a widely recognized, unmanaged index of common stock prices.

The NASDAQ Composite Index is a broad-based capitalization-weighted index of all NASDAQ National Market and Small Cap Stocks.

The Dow Jones Industrial Average is a price-weighted average of 30 significant stocks traded on the New York Stock Exchange.

An exchange traded fund (ETF) is a type of security that involves a collection of securities—such as stocks—that often tracks an underlying index, although they can invest in any number of industry sectors or use various strategies.

Gross Domestic Product (GDP) is the total value of goods produced and services provided in a country during one year.

The Federal funds rate is the target interest rate set by the Federal Open Market Committee (FOMC) at which commercial banks borrow and lend their excess reserves to each other overnight.

The MSCI EAFE Net Total Return Index is a market-weighted index composed of companies representative of the market structure of 21 developed market countries in Europe, Australasia and the Far East.

The MSCI Emerging Markets Net Total Return Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets.

The Bloomberg Barclays U.S. Aggregate Bond Index is a market capitalization-weighted index, meaning the securities in the index are weighted according to the market size of each bond type. Most U.S. traded investment grade bonds are represented.

The Morningstar Target Risk Index family is designed to meet the needs of investors who would like to maintain a target level of equity exposure through a portfolio diversified across equities, bonds and inflation-hedged instruments. The Morningstar Moderately Aggressive Target Risk Index seeks approximately 80% global equity exposure.

The Morningstar Moderate Target Risk Index seeks approximately 60% global equity exposure.

The Hedge Fund Research (HFRX) Absolute Return Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. As a component of the optimization process, the index selects constituents which characteristically exhibit lower volatilities and lower correlations to standard directional benchmarks of equity market and hedge fund industry performance.

An option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the corresponding obligation to fulfill the transaction. The price of an option derives from the difference between the reference price and the value of the underlying asset (commonly a stock, a bond, a currency or a futures contract) plus a premium based on the time remaining until the expiration of the option.

A V-shaped recovery is a type of economic recession and recovery that resembles a “V” shape in charting. A V-shaped recovery involves a sharp rise back to a previous peak after a sharp decline.

A collar is an option strategy that limits the range of possible positive or negative returns on an underlying security to a specific range.

A Treasury note is a debt obligation issued by the United States government with a maturity dependent upon date of initial issuance. FOR EXAMPLE: A 10-year Treasury note pays interest at a fixed rate once every six months and pays the face value to the holder at maturity.

An investor should consider the investment objectives, risks, and charges and expenses of the Stadion Funds carefully before investing. The prospectus contains this and other information about the Funds. A copy of the prospectus is available by calling Stadion Funds directly at (866) 383-7636 or Stadion Money Management, LLC., the investment advisor, at (800) 222-7636. The prospectus should be read carefully before investing.

The Stadion Funds are distributed by ALPS Distributors, Inc. An investment in the Funds involves risk, including loss of principal.

May 31, 2020 (Unaudited)

Comparison of the Change in Value of a $10,000 Investment in Stadion Tactical Growth Fund^(a) and the Morningstar Moderately Aggressive Target Risk Index

Average Annual Total Returns^(b)(c) (for periods ended May 31, 2020)

The performance information quoted above represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance data, current to the most recent month end, may be obtained by calling 1-800-222-7636. An investor should consider a Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other important information. For information on the Fund’s expense ratios, please see the Financial Highlights tables found within this Report.

May 31, 2020 (Unaudited)

The Total Annual Fund Operating Expenses for Class A, Class C and Class I, based on the current Fund prospectus dated September 30, 2019, are 1.73%, 2.48% and 1.49%, respectively. The Fund’s investment advisor, Stadion Money Management, LLC (the “Advisor”) has entered into an Expense Limitation Agreement with the Fund under which it has contractually agreed to waive Investment Advisory Fees and to assume other expenses of the Fund, if necessary, in an amount that limits annual operating expenses (exclusive of interest expense on any borrowings, taxes, brokerage commissions, extraordinary expenses, Acquired Fund Fees and Expenses and payments, if any, under a Rule 12b-1 Distribution Plan) of Class A, Class C and Class I shares to not more than 1.30% of the average daily net assets allocable to each Class of the Fund. The Expense Limitation Agreement is currently in effect until October 1, 2020.

POP, the “Public Offering Price” (which reflects sales loads), and NAV, the “Net Asset Value” price (which does not reflect sales loads), are terms used to describe what share price was applied to Class A and/or Class C shares at the time of purchase. A CDSC (“Contingent Deferred Sales Charge”) is a redemption fee that can be applied if purchased shares are redeemed prior to a specified holding period. For additional information please consult the Fund’s Prospectus.

The Morningstar Target Risk Index family is designed to meet the needs of investors who would like to maintain a target level of equity exposure through a portfolio diversified across equities, bonds and inflation-hedged instruments. The Morningstar Moderately Aggressive Target Risk Index seeks approximately 80% global equity exposure.

An investor may not invest directly in an index.

Diversification does not eliminate the risk of experiencing investment losses.

Information included or referred to on, or otherwise accessible through, our website is not intended to form part of or be incorporated into this report or the Fund’s prospectus.

Portfolio Composition (as a % of net assets)

May 31, 2020 (Unaudited)

Comparison of the Change in Value of a $10,000 Investment in Stadion Tactical Defensive Fund^(a) and the Morningstar Moderate Target Risk Index

Average Annual Total Returns^(b)(c) (for periods ended May 31, 2020)

The performance information quoted above represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance data, current to the most recent month end, may be obtained by calling 1-800-222-7636. An investor should consider a Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other important information. For information on the Fund’s expense ratios, please see the Financial Highlights tables found within this Report.

May 31, 2020 (Unaudited)

The Total Annual Fund Operating Expenses for Class A, Class C and Class I, based on the current Fund prospectus dated September 30, 2019, are 1.93%, 2.69%, and 1.74%, respectively. The Fund’s investment advisor, Stadion Money Management, LLC (the “Advisor”) has entered into an Expense Limitation Agreement with the Fund under which it has contractually agreed to waive Investment Advisory Fees and to assume other expenses of the Fund, if necessary, in an amount that limits annual operating expenses (exclusive of interest expense on any borrowings, taxes, brokerage commissions, extraordinary expenses, Acquired Fund Fees and Expenses and payments, if any, under a Rule 12b-1 Distribution Plan) of Class A, Class C and Class I shares to not more than 1.70% of the average daily net assets allocable to each Class of the Fund. The Expense Limitation Agreement is currently in effect until October 1, 2020.

POP, the “Public Offering Price” (which reflects sales loads), and NAV, the “Net Asset Value” price (which does not reflect sales loads), are terms used to describe what share price was applied to Class A and/or Class C shares at the time of purchase. A CDSC (“Contingent Deferred Sales Charge”) is a redemption fee that can be applied if purchased shares are redeemed prior to a specified holding period. For additional information please consult the Fund’s Prospectus.

The S&P 500^® Total Return Index is an unmanaged index of 500 common stocks chosen for market size, liquidity and industry group representation. It is a market-value weighted index. The index is not actively managed and does not reflect any deduction for fees, expenses or taxes.

The Morningstar Target Risk Index family is designed to meet the needs of investors who would like to maintain a target level of equity exposure through a portfolio diversified across equities, bonds and inflation-hedged instruments. The Morningstar Moderate Target Risk Index seeks approximately 60% global equity exposure.

An investor may not invest directly in an index.

Diversification does not eliminate the risk of experiencing investment losses.

Information included or referred to on, or otherwise accessible through, our website is not intended to form part of or be incorporated into this report or the Fund’s prospectus.

Portfolio Composition (as a % of net assets)

May 31, 2020 (Unaudited)

Comparison of the Change in Value of a $10,000 Investment in Stadion Trilogy Alternative Return Fund^(a), the HFRX Absolute Return Index and the Bloomberg Barclays U.S. Aggregate Bond Index

The performance information quoted above represents past performance and past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance data, current to the most recent month end, may be obtained by calling 1-800-222-7636. An investor should consider a Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other important information. For information on the Fund’s expense ratios, please see the Financial Highlights tables found within this Report.

May 31, 2020 (Unaudited)

The Total Annual Fund Operating Expenses for Class A, Class C and Class I, based on the current Fund prospectus dated September 30, 2019, are 2.00%, 2.69%, and 1.71%, respectively. The Fund’s investment advisor, Stadion Money Management, LLC (the “Advisor”) has entered into an Expense Limitation Agreement with the Fund under which it has contractually agreed to waive Investment Advisory Fees and to assume other expenses of the Fund, if necessary, in an amount that limits annual operating expenses (exclusive of interest expense on any borrowings, taxes, brokerage commissions, extraordinary expenses, Acquired Fund Fees and Expenses and payments, if any, under a Rule 12b-1 Distribution Plan) of Class A, Class C and Class I shares to not more than 1.38% of the average daily net assets allocable to each Class of the Fund. The Expense Limitation Agreement is currently in effect until October 1, 2020.

POP, the “Public Offering Price” (which reflects sales loads), and NAV, the “Net Asset Value” price (which does not reflect sales loads), are terms used to describe what share price was applied to Class A and/or Class C shares at the time of purchase. A CDSC (“Contingent Deferred Sales Charge”) is a redemption fee that can be applied if purchased shares are redeemed prior to a specified holding period. For additional information please consult the Fund’s Prospectus.

The HFRX Absolute Return Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. As a component of the optimization process, the index selects constituents which characteristically exhibit lower volatilities and lower correlations to standard directional benchmarks of equity market and hedge fund industry performance.

Bloomberg Barclays US Aggregate Bond Index is an unmanaged index of prices of U.S. dollar-denominated investment-grade fixed income securities with remaining maturities of one year and longer.

An investor may not invest directly in an index.

Diversification does not eliminate the risk of experiencing investment losses.

Information included or referred to on, or otherwise accessible through, our website is not intended to form part of or be incorporated into this report or the Fund’s prospectus.

Portfolio Composition (as a % of net assets)

We believe it is important for you to understand the impact of costs on your investment. As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, possibly including front-end and contingent deferred sales loads; and (2) ongoing costs, including management fees, distribution (12b-1) fees and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

A mutual funds’ ongoing costs are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The expenses in the tables that follow are based on an investment of $1,000 made at the beginning of the most recent annual period (December 1, 2019) and held until the end of the period (May 31, 2020).

The tables that follow illustrate the Funds’ costs in two ways:

Actual fund return – This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Funds’ actual returns, and the third column shows the dollar amount of operating expenses that would have been paid by an investor who started with $1,000 in the Funds. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period.”

Hypothetical 5% return – This section is intended to help you compare the Funds’ ongoing costs with those of other mutual funds. It assumes that each Fund had an annual return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the returns used are not the Funds’ actual returns, the results do not apply to your investment. The example is useful in making comparisons because the Securities Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Funds’ ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transaction costs, such as sales charges (loads). The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

More information about the Funds’ expenses, including historical annual expense ratios, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Funds’ prospectus.

For a Share Outstanding Throughout each of the Years Presented