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 811-22480
Adviser Managed Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
Timothy D. Barto, Esq.
SEI Investments Co.
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-610-676-1000
Date of fiscal year end: July 31, 2020
Date of reporting period: July 31, 2020
| Item 1. | Reports to Stockholders. |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
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 the Funds electronically by contacting your financial intermediary.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. If you invest directly with the Funds, you can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-DIAL-SEI. Your election to receive reports in paper will apply to all funds held with the SEI Funds or your financial intermediary.
TABLE OF CONTENTS
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT. The Trust’s Forms N-PORT are available on the Commission’s website at http://www.sec.gov.
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended July 31, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.
LETTER TO SHAREHOLDERS (Unaudited)
JULY 31, 2020
To Our Shareholders:
The fiscal year ending July 31, 2020, began with strong returns in the equity markets over the final months of 2019. After hitting all-time highs in February, concerns about the international spread of a novel coronavirus (COVID-19) dominated investor concerns, and by the end of March most equity indexes had fallen into bear-market territory. Plans to reopen economic activity and developments in the race for COVID-19 treatments encouraged investors in April and May; global financial markets rallied sharply amid renewed “risk-on” sentiment but finished shy of their peaks from earlier in the year. Despite tension around a U.S.-China trade deal and ongoing Brexit concerns in late 2019, the lingering effects of COVID-19 demanded plenty of attention from investors.
The Federal Reserve (Fed) cut interest rates three times prior to March. The Fed’s accommodative turn in monetary policy midway through the reporting period included an early conclusion in August to its balance-sheet reduction program that came amid below-target inflation and uncertainty about trade developments. Two off-cycle moves in February brought the federal-funds rate to near zero and were designed to bolster the economy in response to the economic threat posed by the coronavirus outbreak; the emergency actions were the first since the global financial crisis. Additionally, the Fed committed to purchasing unlimited amounts of Treasurys and established or renewed multiple facilities designed to support the economy.
The European Central Bank (ECB) sought to provide fresh stimulus following its mid-September meeting by reducing its deposit rate from -0.40% to a record low of -0.50%—and adopting a new system to offset possible consequent bank-reserve losses. Christine Lagarde succeeded Mario Draghi as ECB President in November. The ECB restarted its asset-purchase program in November with a monthly pace of €20 billion and stated it intends to continue to fully reinvest the principal payments from maturing securities purchased under the program. In response to COVID-19, the ECB announced a new quantitative easing (QE) package in March—the Pandemic Emergency Purchase Programme—amounting to €750 billion, which should bring total QE-related asset purchases to more than €1.3 trillion in 2020.
The Japanese yen, typically viewed as a safe-haven asset in “risk-off” environments, finished the period 2.7% higher against the U.S. dollar, while the Bank of Japan held monetary policy stable and signaled it did not intend to raise rates before 2023. The Chinese yuan finished the fiscal year down 1.1% against the U.S. dollar as trade-related tensions initially drove the exchange rate to an 11-year low in September. The currency rebounded some after confidence grew that a limited U.S.-China trade agreement would be reached; it faltered again as COVID-19 worries grew early in 2020 before rebounding some toward the final two months.
West Texas Intermediate crude-oil prices stayed mostly range-bound over the first half of the reporting period. From January onward, the commodity became a victim of an oil-production impasse between Saudi Arabia and Russia and travel restrictions that sapped usage due to the coronavirus pandemic. Between the high toward the end of 2019 and the April lows, crude-oil prices fell over 80%. Record supply cuts and a pickup in global fuel demand toward the end of the reporting period helped drive a partial price recovery, and oil finished down about 30% for the 12-month period.
Geopolitical Events
Market volatility accelerated in the first quarter of 2020 following concerns about COVID-19 and its eventual economic effect: As the outbreak spread from China to other countries, governments issued stay-at-home orders and initiated widespread lockdowns. Beyond the threat to public health, the outbreak and resulting containment measures evoked concerns about the potential halt to global economic activity. July saw the official infection rate almost double from June to over 18 million cases worldwide, while in the U.S., the total recorded number of COVID-19-related deaths surpassed 150,000 by the end of July—out of about 700,000 total worldwide. Nevertheless, stocks advanced globally almost without exception over the last four months of the period as forward-looking investors attempted to spot sources of encouragement.
At least 68 countries and territories postponed elections between February 21 and July 26, also citing concerns about COVID-19 containment, according to the Wall Street Journal; at least 49 countries and territories committed to holding their elections as scheduled. The U.S. general election is almost certainly going to proceed in early November, as is set by federal law; any delay would require approval by both chambers of the Congress.
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LETTER TO SHAREHOLDERS (Unaudited) (Continued)
JULY 31, 2020
The United States-Mexico-Canada trade agreement was ratified by all three countries in December and officially replaced the North American Free Trade Agreement on July 1. President Trump and France’s President Emmanuel Macron successfully walked back threats of tariffs that originated with French plans for a digital tax that would have targeted US-based multi-national technology companies. The prospect of a digital tax re-surfaced in other countries—including the U.K., Italy, Austria and Turkey—which prompted more threats of retailiatory tariffs by Treasury Secretary Steven Mnuchin. Sajid Javid, the UK’s former Chancellor of the Exchequer, disappointed Secretary Mnuchin by explaining during a joint interview in late January at the World Economic Forum that the U.K. would prioritize trade negotiations with the EU over a deal with the U.S.
China and the U.S. formalized a “phase one” trade deal in mid-January that offered tariff relief to China (via the reduction of existing tariffs and the delay of additional scheduled tariffs). In exchange, China committed to purchasing $200 billion in U.S. products over a two-year period; addressing its long-standing practice of forcing the transfer of intellectual property and technology to Chinese counterparts in exchange for access to the Chinese market; and promising to continue opening its financial-services industry to foreign investors. The tense U.S.-China relationship was stressed in May by a U.S. push for more transparency in the ownership of U.S.-listed Chinese companies and the U.S. government’s barring of certain Chinese securities from its retirement plans.
President Trump’s impeachment trial ended with an acquittal by the U.S. Senate in February—even as the U.S. media surfaced corroborating first-hand accounts of President Trump directing underlying events central to the articles of impeachment. The Democratic presidential primary process neared completion with Joe Biden, considered to represent the more moderate wing of the Democratic Party, as the assumed nominee.
Boris Johnson succeeded Theresa May as prime minister in the U.K. early in the fiscal year but faced sharp resistance from the outset of his tenure; however, the UK’s Conservative Party consolidated its power in a mid-December election—winning a majority of seats in the House of Commons and gaining approval for Prime Minister Boris Johnson’s EU departure deal. The country officially left the EU at the end of January 2020, giving way to an 11-month transition period to negotiate terms of the future U.K.-EU relationship. Johnson emerged from his personal battle with COVID-19 in April, having been hospitalized in intensive care and temporarily deputizing Foreign Secretary Dominic Raab to fulfil his role while incapacitated.
Elsewhere, after months of demonstrations, protesters in Hong Kong saw some success when a proposed law that would have allowed for extradition to mainland China was withdrawn. Protests continued, however, amid a reported increase in China’s police presence and undercover activity, although coronavirus concerns put an end to most large-scale demonstrations. China passed a new national security law for Hong Kong in June, categorizing an array of subversive activities as criminal behavior and carrying sentences as steep as life imprisonment. The ruling also enables Beijing to supervise and intervene in the policing of these activities, as well as the final word on interpreting the law, marking a significant dilution of the “one country, two systems” governance ethos that has defined the relationship since the U.K.’s handoff of Hong Kong to China in 1997.
Economic Performance
The U.S. economy grew by a seasonally-adjusted annualized 2.1% in the third quarter of 2019 as the robust U.S. labor market helped to support the moderate pace of activity and allowed the 10-year economic expansion to continue despite decelerating global trends. Economic growth again registered 2.1% in the fourth quarter, driven by an increase in net trade but weakened by a sharp slowdown in consumer spending. Gross domestic product (GDP) saw a decline of 5.0% in the first quarter of 2020, the largest drop since the global financial crisis, but reflected just two weeks of lockdowns that began across the country in March. The advance estimate for the second quarter was released at the end of the reporting period and showed the economy had contracted by 32.9%. The abrupt halt to the 10-year economic expansion came amid mandated lockdowns throughout most of the country.
The U.S. unemployment rate touched a 50-year low of 3.5% during the fiscal year before jumping as high as 14.7% in April and settling at 10.2% in the final reading; the number of Americans filing for initial unemployment benefits hit record numbers as many non-essential businesses were forced to close in the wake of the pandemic. The labor-force participation rate ended at 61.4%, down from 63.0% a year earlier. Average hourly earnings gained 4.8% over the fiscal year, as the increase in unemployment tended to hit lower-wage workers hardest.
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Broad economic activity in the eurozone slowed to its weakest pace since records began in 1995 during the first quarter of 2020; the 13.6% annualized decline wiped away three years of growth in the area. The region officially fell into recession after a 40.3% contraction in the second quarter and far exceeded that in the U.S. as measures imposed to limit the spread of COVID-19 reflected the closing of everything from restaurants to factories. The magnitude and speed of the contraction solidified the case for continued accommodative policy by the ECB for some time.
The Bank of England’s Monetary Policy Committee cut the Bank Rate to 0.1%, the lowest in the 325-year history of its lending rate, during the fiscal year. It also announced a £200 billion asset-purchase program, mostly of government bonds, to be conducted at a monthly pace that will eclipse previous rounds of QE. Additionally, it launched a so-called funding-for-lending scheme to spur banks to lend to small- and medium-sized enterprises as well as a commercial paper facility with no cap limit, both to be financed by central-bank reserves. Following its mid-June meeting, the central bank announced that it would expand its stock of asset purchases to £745 billion. The U.K. economy shrank a record 21.7% seasonally-adjusted at annual rates through the second quarter of 2020.
Japanese GDP contracted 7.2% in seasonally-adjusted annualized terms in the fourth quarter of 2019 as the country’s sales tax hike weakened consumer and business spending; an additional 2.2% decline in the first quarter of 2020 confirmed that Japan had fallen into recession for the first time in over four years. The Bank of Japan expanded monetary stimulus as pandemic pain worsened late in the period. Meanwhile, GDP in China shrank by 6.8% year-on-year and seasonally-adjusted in the first quarter of 2020, its worst pace in several decades, as consumer spending, exports and fixed-asset investments all were affected by the lockdowns in January and early February; a 3.2% gain in the second quarter came as restrictions eased and the country rolled out stimulus measures intended to aid the economy.
Market Developments
The S&P 500 Index finished the fiscal year up 11.96%, despite falling over 30% from its peak on February 19, 2020, to the trough on March 23. Prior to the coronavirus onset, investors enjoyed the continuation of the modest U.S. economic expansion, reasonably strong corporate profitability and accommodative Fed monetary policy. Over the full reporting period, mega-cap stocks, a narrow group of companies with unusually large weights in the broad equity index, outperformed, and growth companies in the information technology sector generally led, while many value stocks underperformed. Commodity-sensitive stocks, particularly those within the energy sector, lagged the most.
U.S. large-cap stocks (Russell 1000 Index) finished the reporting period up 12.03%; small-cap stocks (Russell 2000 Index) were hit harder in the coronavirus-driven selloff, as investors tended to avoid smaller companies with lesser financial strength, and finished the period down 4.59%.
Despite continued accommodative monetary policy from the ECB, European equities lagged, as fears over trade wars and COVID-19 grew. The MSCI Europe Index (Net) fell 1.29% in U.S. dollar terms and was 7.69% lower in euros; the euro finished up 6.31% versus the U.S. dollar for the period. The MSCI ACWI Index (Net), a proxy for global equities in both developed and emerging markets, climbed 7.20% in U.S. dollar terms.
The FTSE UK Series All-Share Index was hit hard in the second half of the fiscal year; the index lost 11.84% in U.S. dollar terms over the full reporting period, while it fell 17.76% in sterling.
Emerging-market equities were higher. After gaining 17.84% in the final quarter of the fiscal year, the MSCI Emerging Markets Index (Net) finished the reporting period up 6.55% in U.S. dollar terms. U.S.-China trade news generally drove performance for the first six months; however, a mid-period rally after the U.S. and China agreed to a “phase-one” trade deal in January was wiped out until COVID-19 concerns in China began to decelerate.
Global government bonds outperformed global high-yield bonds as the escalation of COVID-19 hit the bond market’s most economically sensitive sectors the hardest. The global high-yield market, as measured by the ICE BofA Global High Yield Constrained Index, was 3.89% higher during the reporting period, while global government bonds, as measured by the Bloomberg Barclays Global Treasury Index, did better and climbed 7.71%.
A continuing theme for U.S. fixed-income markets was the inverted yield curve. The spread between 2-year and 5-year Treasurys yields inverted early in the reporting period, as did the spread between 3-year and 5-year Treasurys. Notably, the spread between 3-month and 10-year rates was inverted for only the second time in about 12
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LETTER TO SHAREHOLDERS (Unaudited) (Concluded)
JULY 31, 2020
years during the fiscal year, a signal of impending recession to some market watchers that occurred long before any knowledge of the pandemic. The differential reverted during the period and eventually stayed in positive territory from March onward.
Yields for 10-year U.S. government bonds ended the period down 147 basis points at 0.55%, after hitting an all-time low of 0.54% in March as investors rushed to “safe-haven” securities; 2-year yields declined during the fiscal year to finish down 178 basis points at 0.11%.
Inflation-sensitive assets, such as commodities and Treasury inflation-protected securities (TIPS), were mixed. The Bloomberg Commodity Total Return Index (which represents the broad commodity market) finished down 12.07% over the full one-year period, after an oil-production impasse between Saudi Arabia and Russia created a downdraft in the oil market around the same time that demand contracted due to the coronavirus pandemic; the Bloomberg Barclays 1-10 Year US TIPS Index (USD) moved 7.10% higher during the reporting period.
U.S. investment-grade corporate debt was higher; the Bloomberg Barclays US Corporate Investment Grade Index returned 12.44% as investors remained eager to buy higher-yielding securities. U.S. asset- and mortgage-backed securities also managed to rise during the fiscal year.
Coronavirus concerns and the steep drop in global oil prices led to a declining outlook for economic growth in emerging markets; the JP Morgan Global Bond Index-Emerging Markets (GBI-EM) Global Diversified Index, which tracks local-currency-denominated EM bonds, declined 0.81% in U.S. dollar terms. The JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index, which tracks EM debt denominated in external currencies (such as the U.S. dollar), managed a 2.97% gain for the fiscal year.
Our View
Despite mounting infections, hospitalizations and deaths from the pandemic—as well as the unprecedented stoppage of global economic activity—stock markets around the world have managed to mount a resounding comeback.
Our working assumption is that there will likely be another significant wave of infections going into the fall-to-winter flu season. The question is, how disruptive will it be to the global economy?
Even if a sustainable economic recovery gets under way, investors seem to be ignoring the possibility that it may be a long time before most companies achieve previous levels of profitability. The after-tax profit margins of U.S. domestic businesses were already on a declining trend before the onset of the virus and shelter-in-place orders.
Margins around the globe will likely remain well below their previous peaks as long as COVID-19 is a severe health threat. Most businesses, to one degree or another, are expected to endure lower sales, higher costs and a decline in productivity. There also will probably be a deadweight loss for industries needing extra inventory on hand in order to guard against future shortages and supply-chain disruptions caused by periodic flare-ups of the virus. “Just-in-time” inventory management will turn into “just-in-case” inventory management, tying up cash. Supply chains will likely be diversified over time, a process that was already under way as a result of the trade war between China and the U.S.
The extraordinary March-to-April lockdown in the U.S. necessitated fiscal measures unparalleled in both scope and speed of implementation. The result has been a tsunami of red ink. Many investors may wonder whether such a surge in government debt will provoke an economic crisis even after the pandemic runs its course. We don’t think that it will. The U.S. has a large, dynamic economy and deep capital markets.
The policies pursued by the Federal Reserve have also served to keep interest rates low. Its balance sheet has ballooned this year, far exceeding the increases logged by the ECB or the BOJ.
The U.S. certainly is not alone in engaging in a huge fiscal response that is then monetized by the central bank. In our opinion, governments are treating the fight against COVID-19 like they would a war. As many resources as possible are being thrown into the fight, supported by debt issuance that is absorbed primarily by the central banks.
Those who remember the 1970s are understandably worried by the inflationary potential of such extraordinary debt monetization. If it does lead to inflation, it probably won’t be any time soon, in our opinion. Given our view that the economy will remain below full utilization of labor or productive capacity for the next few years, we believe inflation is unlikely to break out of the 0%-to-3% range of much of the past decade.
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Investors do not seem too concerned about the speed of Europe’s economic recovery or the impact of the health crisis on countries’ fiscal positions. The bond yields of the most economically-fragile European countries remain close to those of German bund yields, although spreads have widened from pre-pandemic levels. The ECB has been quite successful in short-circuiting the liquidity crisis and flight-to-safety that threatened the euro area’s financial structure.
The COVID-19 crisis has pushed Brexit concerns off the front pages. As the December 31 transition deadline nears, it could become an economic factor nearly as important as a second wave of the virus. The U.K. and EU should probably reach a deal on their trading relationship by at least October 31 to allow time for countries to approve the treaty into law before the end of 2020. Any free-trade agreement would require the U.K. to agree to permanently align its rules and regulations to those of the EU on an array of matters. The U.K. would essentially bear much of the EU membership cost without having a voice at the table that sets the rules. It is becoming increasingly likely that there either will be a modest agreement that includes tariffs, or (in the worst-case scenario) a no-deal result that falls back on the World Trade Organization’s most-favored-nation rules.
While many factors determine equity performance, it has correlated in the emerging-market space with the extent of economic disruption caused by the virus. Asian and central European countries have pulled back the most on their mandates to restrict movement and social interaction. Latin America and India have eased some of those constraints, but not nearly as much as the other two regions. We continue to keep close tabs on China, as it was the first to lock down and first to unlock activity. We expect recovery patterns elsewhere in the world to follow that of China.
Central banks in the emerging world are also doing their part to help restore their economies. Interest rates have come down in almost every country in recent months, to record-low levels in many cases. In addition, a long list of emerging-country central banks—including those with shakier reputations, such as South Africa and Turkey—are either buying or planning to buy their government’s debt. We think this debt-monetization may lead to an inflation problem in the future.
It’s been said many times that bull markets climb a wall of worry. Maybe now they must learn to swim through waves of worry that include:
• The possibility of a second wave of COVID-19 infections (or, arguably, a continuation of the first wave in some countries) forcing another round of extensive lockdowns and shelter-in-place orders that could lead to a double-dip recession
• A possible breakdown of political consensus regarding the way forward as economies struggle to regain strength
• The likelihood that economic recovery will take at least a year, and likely longer—and that few economies are apt to rebound fully to pre-pandemic levels, even if most countries manage to avoid a disruptive second wave of the virus
• Expectations that companies will face higher costs and increased inefficiencies; taxes will almost certainly rise across many economies in the years ahead; and bankruptcies and defaults will climb as government aid programs end
We believe that an ebb and flow of assorted concerns in the coming months will continue to spark volatility across financial markets. Such periods of instability are expected in any long-term investing plan; as such, we are prepared as always at SEI to navigate the current wave of deep uncertainty.
Sincerely,
William T. Lawrence, CFA
Head & Chief Investment Officer of Traditional Asset Management, SEI
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE (Unaudited)
JULY 31, 2020
Tactical Offensive Equity Fund
I. Objective
The investment objective of the Tactical Offensive Equity Fund (the “Fund”) is capital appreciation.
II. Adviser Managed Strategy Component
Only persons who are clients of the Financial Adviser (as defined below) and who participate in the Adviser Managed Strategy should invest in the Fund. The Fund may not be purchased by any other investor. The Fund is designed to be a component of a broader strategy employed by a third party investment manager (Financial Adviser) for the benefit of its clients. The Financial Adviser seeks to take advantage of broad market changes by tactically shifting its clients’ assets among the Fund, the Tactical Offensive Fixed Income Fund and a money market fund affiliated with the Fund, depending on the Financial Adviser’s evaluation of current market conditions (Adviser Managed Strategy). The Financial Adviser is not the adviser to the Fund and is not affiliated with SEI Investments Management Corporation (SIMC), the adviser to the Fund.
When the Financial Adviser determines to reallocate its clients’ assets to one or more of the other funds that compose the Adviser Managed Strategy, the Financial Adviser may request the redemption of a substantial portion of or all of the shares for which the Financial Adviser exercises investment discretion. In such an instance, the Financial Adviser’s redemption request will cause the Fund to liquidate a substantial portion of or substantially all of its assets in order to fulfill the redemption request. If the Financial Adviser redeems all of the shares for which it exercises investment discretion, the Fund will no longer be an active component of the Adviser Managed Strategy. When the Fund is not an active component of the Adviser Managed Strategy, the Fund may invest up to 100% of its remaining assets in exchange traded funds (“ETF“s) that are designed to track the performance of the broad equity market. The Fund could be invested in these types of investments for extended periods of time. At such times, SIMC will manage the assets of the Fund. SIMC, the Financial Adviser or one or more of their affiliates will be the only investors in the Fund when the Fund is not an active component of the Adviser Managed Strategy.
III. Investment Approach
When the Fund is an active component of the Adviser Managed Strategy, the Fund employs a passive strategy designed to track, before fees and expenses, the performance of one or more indexes that represent broad exposure to the U.S. equity market and issuers
located in developed and emerging-market countries outside the U.S. (each an Index, and collectively, the Indexes). The passive strategy is implemented by SSGA Funds Management, Inc., as sub-advisor under the general supervision of SIMC. SIMC may adjust the Fund’s allocation of assets among the Indexes over time on the basis of its long-term capital market assumptions.
IV. Return vs. Benchmark
For the full year ended July 31, 2020, the Fund returned 11.82%. The Fund’s benchmark—the S&P 500 Index— returned 11.96%. For the period under review, the Fund was an active part of the Adviser Managed Strategy from August 1, 2019, to March 9, 2020, and from June 4, 2020 to July 31, 2020. In the earlier period, the Fund returned -5.77%, while the benchmark returned -2.09%. In the later period, the Fund returned 4.48%, while the benchmark returned 5.01%.
V. Performance Discussion
During the period of August 1, 2019, to March 10, 2020, the Fund returned -5.77%, while the benchmark returned -2.09%. While the benchmark of the Fund generally tracks large-cap U.S. equities, the Fund also seeks passive exposure to U.S. small caps, as well as stocks in developed and emerging-market countries. During this period, the Fund’s allocation to international equities and U.S. small caps caused it to underperform the benchmark, as U.S. large-cap equities were the best performers in global markets during the period. Large-cap stocks, as measured by the Russell 1000® Index, declined 2.75% during the same time. U.S. mega-cap growth stocks had significant momentum at the start and were able to keep much of that momentum relative to other equities as the COVID-19 pandemic began to spread and markets fell. Additionally, during this early phase of the crisis, some market participants expected that the U.S. would be affected less than Asian or European countries. The Fund’s passive exposure to small-cap stocks during this time detracted. As noted in the shareholder letter, U.S. small caps, as measured by the Russell 2000® Index, lagged and were down 13.48% during the period. This was partially due to the preference for large-cap stocks over small caps within the U.S. as small caps were seen as less likely to survive the economic shutdowns. The Fund’s passive exposure to developed-market stocks outside the U.S. also detracted, as the MSCI EAFE Index (Net), fell 9.42% during the period. During the first five months of the fiscal year, developed markets were affected by the Hong Kong protests, Brexit negotiations, and EU trade talks with the U.S., all of which drove market volatility.
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However, the eventual cooling of trade tensions, a conservative sweep in the fall 2019 U.K. election, and positive economic data helped buoy the MSCI EAFE Index through the end of the year. The onset of the COVID-19 pandemic sent developed-market equities lower during the first months of 2020, led by U.K. stocks due to their energy exposure, and Pacific ex-Japan stocks due to their economic exposure to China. The Fund’s passive exposure to emerging-market equities also posed a headwind as the MSCI Emerging Markets Index (Net) returned -5.61% during the first period. Emerging-market stocks had a positive return through the end of 2019, led by semiconductor stocks and the “phase one” trade deal between China and the U.S. However, emerging-market equities also sold off due to the emergence of COVID-19 in 2020, led by Asian equities after the emerging-Asia economies were the first to witness outbreaks.
On March 10, 2020, the Fund ceased to be a part of the Adviser Managed Strategy, as the Financial Advisor provided notice of its intention to redeem all of its clients’ assets from the Fund. Accordingly, the Fund no longer sought passive exposure to the asset classes described above and it immediately began to liquidate all of its assets to raise cash in anticipation of the redemption request. The Financial Advisor submitted the redemption request with respect to all of its clients’ assets on March 13, 2020. The Fund was then invested solely in the SPDR S&P 500 ETF which returned 8.87% through June 4, 2020. The Fund performed in line with the S&P 500 Index its benchmark during this period.
The Fund again became a part of the Adviser Managed Strategy on June 4, 2020 when the Financial Adviser reallocated client assets to the Fund. The Fund remained a part of the Adviser Managed Strategy, with additional material purchases into the Fund, through the remainder of the reporting period ending July 31, 2020. During this second period, the Fund returned 4.48%, while the benchmark returned 5.01%. During this time, the Fund underperformed its benchmark and was challenged by its allocation to developed-market equities. The Russell 1000® Index was up slightly during this period, as U.S. large caps, led by mega-cap growth stocks, reported better-than-expected earnings. The effect of this positive news was mitigated by a continued increase in COVID-19 cases in the U.S. and concerns around the current valuation levels of growth stocks within the universe. The Fund’s passive exposure to small caps was beneficial during this time; the Russell 2000® Index outperformed U.S. large caps as the gradual reopening of the economy supported the “risk-on” rally. The Fund’s passive
exposure to developed-market equities detracted, as the MSCI EAFE Index was slightly lower during the period; developed-market equities struggled to perform well during this time, despite global stimulus measures, due to the uncertain timeline around a medical solution to the pandemic and a new rise in U.S.-China trade tensions. The Fund also experienced tracking error against the above mentioned indexes to which it seeks passive exposures. This was due to the implementation costs associated with reinvesting into the market over the course of the period.
AVERAGE ANNUAL TOTAL RETURN 1
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| | | One Year Return | | | Annualized 3-Year Return | | | Annualized 5-Year Return | | | Annualized Inception to Date | |
Tactical Offensive Equity Fund, Class A | | | 11.82%5 | | | | 9.50%4,5 | | | | 8.85%3,4,5 | | | | 10.01%2,3,4,5 | |
S&P 500 Index | | | 11.96% | | | | 12.01% | | | | 11.49% | | | | 12.40% | |
Comparison of Change in the Value of a $10,000 Investment in the Tactical Offensive Equity Fund, Class A, versus the S&P 500 Index.
| 1 | For the year ended July 31, 2020. Past performance is no indication of future performance. Prior to October 1, 2014, the Fund’s investment approach was an “active” investment strategy where an investment manager would buy and sell securities based on its own economic, financial, and market analysis. On October 1, 2014, SIMC implemented a “passive” investment strategy which seeks to track an index return. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Shares of the Fund were offered beginning February 25, 2011. |
| 2 | The Fund was not an active component of the Adviser Managed Strategy for the period of August 6, 2011 through January 25, 2012. |
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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE (Unaudited)
JULY 31, 2020
Tactical Offensive Equity Fund (Concluded)
| 3 | The Fund was not an active component of the Adviser Managed Strategy for the period of August 28, 2015 through April 14, 2016. |
| 4 | The Fund was not an active component of the Adviser Managed Strategy for the period of December 18, 2018 through March 24, 2019. |
| 5 | The Fund was not an active component of the Adviser Managed Strategy for the period of March 10, 2020 through June 3, 2020. |
| | |
| 8 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE (Unaudited)
JULY 31, 2020
Tactical Offensive Fixed Income Fund
I. Objective
The investment objective of the Tactical Offensive Fixed Income Fund (the “Fund”) is total return.
II. Adviser Managed Strategy Component
Only persons who are clients of the Financial Adviser (as defined below) and who participate in the Adviser Managed Strategy should invest in the Fund. The Fund may not be purchased by any other investor. The Fund is designed to be a component of a broader strategy employed by a third party investment manager (Financial Adviser) for the benefit of its clients. The Financial Adviser seeks to take advantage of broad market changes by tactically shifting its clients’ assets among the Fund, the Tactical Offensive Equity Fund and a money market fund affiliated with the Fund, depending on the Financial Adviser’s evaluation of current market conditions (Adviser Managed Strategy). The Financial Adviser is not the adviser to the Fund and is not affiliated with SEI Investments Management Corporation (SIMC), the adviser to the Fund.
When the Financial Adviser determines to reallocate its clients’ assets to one or more of the other funds that compose the Adviser Managed Strategy, the Financial Adviser may request the redemption of a substantial portion of or all of the shares for which the Financial Adviser exercises investment discretion. In such an instance, the Financial Adviser’s redemption request will cause the Fund to liquidate a substantial portion of or substantially all of its assets in order to fulfill the redemption request. If the Financial Adviser redeems all of the shares for which it exercises investment discretion, the Fund will no longer be an active component of the Adviser Managed Strategy. When the Fund is not an active component of the Adviser Managed Strategy, the Fund may invest up to 100% of its remaining assets in cash, money market instruments, repurchase agreements and other short-term obligations that would not ordinarily be consistent with the Fund’s investment goal. The Fund could be invested in these types of investments for extended periods of time. At such times, SIMC will manage the assets of the Fund. SIMC, the Financial Adviser or one or more of their affiliates will be the only investors in the Fund when the Fund is not an active component of the Adviser Managed Strategy.
III. Investment Approach
When the Fund is an active component of the Adviser Managed Strategy, the Fund employs a passive strategy designed to track, before fees and expenses, the performance of one or more U.S. Investment Grade
Indexes (each an Index, and collectively, the Indexes) implemented by SSGA Funds Management, Inc., as sub-advisor under the general supervision of SEI Investments Management Corporation (SIMC). In addition, SIMC directly manages a portion of the Fund’s assets to invest in a portfolio of securities designed to track, before fees and expenses, the performance of one or more Foreign Sovereign Debt Indexes. Prior to a change in the Fund’s allocation and investment strategy during the reporting period, SSGA also implemented a strategy designed to track, before fees and expenses, the performance of High Yield and Emerging Market Fixed Income Indexes. SIMC may adjust the Fund’s allocation of assets among the Indexes over time on the basis of its long-term capital market assumptions.
IV. Return vs. Benchmark
For the full year ended July 31, 2020, the Fund returned -1.79%. The Fund’s benchmark—the Bloomberg Barclays US Aggregate Bond Index—returned 10.12%. For the period under review, the Fund was an active part of the Adviser Managed Strategy from August 1, 2019, to March 18, 2020, and from June 17, 2020 to July 31, 2020. In the earlier period, the Fund returned -2.23%, while the benchmark returned 1.60%. In the later period, the Fund returned 1.53%, while the benchmark returned 1.89%.
V. Performance Discussion
During the period of August 1, 2019, to March 19, 2020, the Fund returned -2.23%, while the benchmark returned 1.60%. The Fund sought passive exposure to U.S. investment-grade fixed income—primarily a diversified mix of U.S. dollar-denominated fixed-income securities, which included U.S. government, corporate and securitized assets—which was in line with the Fund’s benchmark. The Fund’s passive exposure to G7 ex-U.S. debt, however, detracted from relative performance as initial fears of a worldwide recession spread. From August through January, spread sectors outperformed as global interest rates and inflation both remained low, an environment that supported spread sectors. The COVID-19 virus spread at an accelerating rate through the first quarter of 2020; in order to combat the health implications, the U.S. induced widespread shutdowns in March. As noted in the shareholder letter, the halt to economic activity drove significant bouts of illiquidity in financial markets, as well as mass unemployment for consumers and challenging fundamentals for businesses. Credit spreads across the globe widened significantly, especially in March, leading to sizeable underperformance relative to comparable Treasurys. The Federal Reserve (Fed) reacted in an unprecedented
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 9 |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE (Unaudited)
JULY 31, 2020
Tactical Offensive Fixed Income Fund (Concluded)
manner by moving rates to zero; the Fed also initiated its asset purchase program of Treasury and agency mortgage securities in an unlimited amount in order to restore proper market functioning and created numerous lending facilities designed to support market liquidity. Although the Fund subsequently changed its allocation and investment strategy, it sought passive exposure to high-yield and emerging-market debt during this period. These exposures detracted from performance relative to the Fund benchmark, especially during March, as investors flocked to perceived safe-haven assets in response to the pandemic. During this period, the Financial Adviser redeemed a substantial amount of its client’s assets from the Fund. This contributed to tracking error against the above-mentioned indexes to which the Fund seeks passive exposure as the Fund liquidated holdings to meet the redemption request.
On March 19, 2020, the Fund ceased to be a part of the Adviser Managed Strategy, as the Financial Advisor provided notice of its intention to redeem all of its clients’ assets from the Fund. Accordingly, the Fund no longer sought passive exposure to the asset classes described above and it immediately began to liquidate all of its assets to raise cash in anticipation of the redemption request. The Financial Advisor submitted the redemption request with respect to all of its clients’ assets on April 13, 2020. The Fund was then invested solely in cash through June 16, 2020.
The Fund again became a part of the Adviser Managed Strategy on June 17, 2020 when the Financial Adviser reallocated client assets to the Fund. The Fund remained a part of the Adviser Managed Strategy, with additional material purchases into the Fund, through the remainder of the reporting period ending July 31, 2020.
During this second period, the Fund returned 1.53%, while the benchmark returned 1.89%. The Fund did not allocate to high-yield securities or emerging-market debt. Its allocation to international investment-grade bonds detracted as U.S. investment-grade bonds slightly outperformed. For the period, interest rates continued to fall globally, especially as central banks attempted to counter the adverse effects of economic lockdowns in response to COVID-19. The Fund also experienced tracking error against the above mentioned indexes to which it seeks passive exposures. This was due to the implementation costs associated with reinvesting into the market over the course of the period.
The Fund used foreign-exchange currency forwards to hedge currency exposure to sovereign bonds. The
associated derivatives did not have a material impact on overall Fund performance.
| | | | | | | | | | | | | | | | |
| AVERAGE ANNUAL TOTAL RETURN 1 | |
| | | One Year Return | | | Annualized 3-Year Return | | | Annualized 5-Year Return | | | Annualized Inception
to Date | |
| Tactical Offensive Fixed Income Fund, Class A‡ | | | (1.79)%2 | | | | 1.75%2 | | | | 2.34%2 | | | | 2.86%2 | |
| Bloomberq Barclays U.S. Aqqreqate Bond Index | | | 10.12% | | | | 5.69% | | | | 4.47% | | | | 4.07% | |
Comparison of Change in the Value of a $10,000 Investment in the Tactical Offensive Fixed Income Fund, Class A, versus the Bloomberg Barclays U.S. Aggregate Bond Index.
| 1 | For the year ended July 31, 2020. Past performance is no indication of future performance. Prior to October 1, 2014, the Fund’s investment approach was an “active” investment strategy where an investment manager would buy and sell securities based on its own economic, financial, and market analysis. On October 1, 2014, SIMC implemented a “passive” investment strategy which seeks to track an index return. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Shares of the Fund were offered beginning February 25, 2011. |
| 2 | The Fund was not an active component of the Adviser Managed Strategy for the period of March 19, 2020 through June 16, 2020. |
| ‡ | Prior to March 20, 2020, the Fund also materially invested in non-investment grade fixed income securities and fixed income securities of issuers located in emerging markets as part of its principal investment strategies. |
| | |
| 10 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SUMMARY SCHEDULE OF INVESTMENTS
July 31, 2020
Tactical Offensive Equity Fund
†Percentages are based on total investments.
| | | | | | | | | | | | |
| | | | |
| Description | | Percentage of Net Assets (%) | | | Shares | | | Market Value ($ Thousands) | |
|
COMMON STOCK — 93.9% | |
| |
Australia — 0.7% | | | | | |
Other Securities ‡ | | | 0.7% | | | | | | | $ | 3,952 | |
| | | | | | | | | | | | |
| | |
Austria — 0.0% | | | | | | | | | |
Other Securities | | | 0.0 | | | | | | | | 94 | |
| | | | | | | | | | | | |
| |
Belgium — 0.1% | | | | | |
Other Securities | | | 0.1 | | | | | | | | 518 | |
| | | | | | | | | | | | |
| | | |
China — 0.0% | | | | | | | | | | | | |
Other Securities (A) | | | 0.0 | | | | | | | | 42 | |
| | | | | | | | | | | | |
| | |
Denmark — 0.2% | | | | | | | | | |
Other Securities | | | 0.2 | | | | | | | | 1,436 | |
| | | | | | | | | | | | |
| | |
Finland — 0.1% | | | | | | | | | |
Other Securities | | | 0.1 | | | | | | | | 589 | |
| | | | | | | | | | | | |
| | |
France — 1.0% | | | | | | | | | |
Other Securities ‡ | | | 1.0 | | | | | | | | 6,016 | |
| | | | | | | | | | | | |
| | |
Germany — 0.9% | | | | | | | | | |
Other Securities | | | 0.9 | | | | | | | | 5,135 | |
| | | | | | | | | | | | |
| | | |
Greece — 0.0% | | | | | | | | | | | | |
Other
Securities (A) | | | 0.0 | | | | | | | | — | |
| | | | | | | | | | | | |
| |
Hong Kong — 0.3% | | | | | |
Other Securities ‡(A) | | | 0.3 | | | | | | | | 1,784 | |
| | | | | | | | | | | | |
| | | |
Ireland — 0.6% | | | | | | | | | | | | |
Accenture PLC, Cl A | | | 0.4 | | | | 10,747 | | | | 2,416 | |
Other Securities | | | 0.2 | | | | | | | | 1,497 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,913 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | | |
| Description | | Percentage of Net Assets (%) | | Shares | | | Market Value ($ Thousands) |
| |
COMMON STOCK (continued) | | | | | |
|
Israel — 0.1% | |
Other Securities | | 0.1% | | | | | | $ | 351 | |
| | | | | | | | | | |
| | | |
Italy — 0.2% | | | | | | | | | | |
Other Securities | | 0.2 | | | | | | | 1,300 | |
| | | | | | | | | | |
| | | |
Japan — 2.3% | | | | | | | | | | |
Other Securities ‡ | | 2.3 | | | | | | | 14,053 | |
| | | | | | | | | | |
|
Luxembourg — 0.0% | |
Other Securities | | 0.0 | | | | | | | 23 | |
| | | | | | | | | | |
| | |
Netherlands — 0.5% | | | | | | | | |
Other Securities‡ | | 0.5 | | | | | | | 3,265 | |
| | | | | | | | | | |
| | |
New Zealand — 0.0% | | | | | | | | |
Other Securities | | 0.0 | | | | | | | 193 | |
| | | | | | | | | | |
| | |
Norway — 0.1% | | | | | | | | |
Other Securities | | 0.1 | | | | | | | 319 | |
| | | | | | | | | | |
|
Panama — 0.0% | |
Other Securities | | 0.0 | | | | | | | 21 | |
| | | | | | | | | | |
|
Portugal — 0.0% | |
Other Securities | | 0.0 | | | | | | | 96 | |
| | | | | | | | | | |
|
Singapore — 0.1% | |
Other Securities ‡ | | 0.1 | | | | | | | 705 | |
| | | | | | | | | | |
|
South Korea — 0.0% | |
Other Securities | | 0.0 | | | | | | | 1 | |
| | | | | | | | | | |
| | | |
Spain — 0.2% | | | | | | | | | | |
Other Securities | | 0.2 | | | | | | | 1,308 | |
| | | | | | | | | | |
|
Sweden — 0.3% | |
Other Securities | | 0.3 | | | | | | | 1,880 | |
| | | | | | | | | | |
| | |
Switzerland — 1.0% | | | | | | | | |
Other Securities | | 1.0 | | | | | | | 6,015 | |
| | | | | | | | | | |
|
United Kingdom — 1.2% | |
Other Securities ‡ | | 1.2 | | | | | | | 7,410 | |
| | | | | | | | | | |
|
United States — 84.0% | |
Abbott Laboratories | | 0.5 | | | 29,300 | | | | 2,949 | |
AbbVie Inc | | 0.5 | | | 29,800 | | | | 2,828 | |
Adobe Inc * | | 0.6 | | | 8,107 | | | | 3,602 | |
Alphabet Inc, CI A * | | 1.3 | | | 5,088 | | | | 7,571 | |
Alphabet Inc, CI C * | | 1.2 | | | 5,059 | | | | 7,502 | |
Amazon.com Inc * | | 3.8 | | | 7,191 | | | | 22,757 | |
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 11 |
SUMMARY SCHEDULE OF INVESTMENTS
July 31, 2020
Tactical Offensive Equity Fund (Concluded)
| | | | | | | | | | |
| | | | |
| Description | | Percentage of Net Assets (%) | | Shares | | | Market Value ($ Thousands) | |
| |
COMMON STOCK (continued) | | | | | |
Amgen Inc | | 0.4% | | | 9,991 | | | $ | 2,445 | |
Apple | | 4.9 | | | 69,216 | | | | 29,420 | |
AT&T Inc | | 0.6 | | | 120,766 | | | | 3,572 | |
Bank of America Corp | | 0.6 | | | 131,000 | | | | 3,259 | |
Berkshire Hathaway Inc, Cl B * | | 1.1 | | | 33,009 | | | | 6,462 | |
Bristol-Myers Squibb Co | | 0.4 | | | 38,300 | | | | 2,247 | |
Broadcom Inc | | 0.3 | | | 6,656 | | | | 2,108 | |
Chevron Corp | | 0.5 | | | 31,700 | | | | 2,661 | |
Cisco Systems Inc | | 0.6 | | | 71,947 | | | | 3,389 | |
Coca-Cola | | 0.5 | | | 65,426 | | | | 3,091 | |
Comcast Corp, Cl A | | 0.6 | | | 76,700 | | | | 3,283 | |
Costco Wholesale Corp | | 0.4 | | | 7,517 | | | | 2,447 | |
Danaher Corp | | 0.4 | | | 10,564 | | | | 2,153 | |
Eli Lilly | | 0.4 | | | 14,300 | | | | 2,149 | |
Exxon Mobil Corp | | 0.5 | | | 71,672 | | | | 3,016 | |
Facebook Inc, CI A * | | 1.7 | | | 40,706 | | | | 10,326 | |
Home Depot | | 0.8 | | | 18,230 | | | | 4,840 | |
Intel Corp | | 0.6 | | | 71,725 | | | | 3,423 | |
Johnson & Johnson | | 1.1 | | | 44,623 | | | | 6,504 | |
JPMorgan Chase & Co | | 0.8 | | | 51,270 | | | | 4,955 | |
Linde | | 0.4 | | | 8,929 | | | | 2,189 | |
Mastercard Inc, Cl A | | 0.8 | | | 14,930 | | | | 4,606 | |
McDonald’s | | 0.4 | | | 12,647 | | | | 2,457 | |
Medtronic PLC | | 0.4 | | | 22,700 | | | | 2,190 | |
Merck & Co Inc | | 0.6 | | | 42,800 | | | | 3,434 | |
Microsoft Corp | | 4.3 | | | 126,792 | | | | 25,994 | |
Netflix Inc * | | 0.6 | | | 7,200 | | | | 3,520 | |
NextEra Energy | | 0.4 | | | 8,268 | | | | 2,321 | |
NVIDIA Corp | | 0.7 | | | 10,000 | | | | 4,246 | |
PayPal Holdings * | | 0.6 | | | 19,851 | | | | 3,892 | |
PepsiCo Inc | | 0.5 | | | 23,514 | | | | 3,237 | |
Pfizer Inc | | 0.6 | | | 94,167 | | | | 3,624 | |
Philip Morris International | | 0.3 | | | 26,300 | | | | 2,020 | |
Procter & Gamble Co/The | | 0.9 | | | 41,224 | | | | 5,405 | |
QUALCOMM Inc | | 0.3 | | | 19,104 | | | | 2,018 | |
salesforce.com Inc * | | 0.5 | | | 14,700 | | | | 2,864 | |
Tesla Inc * | | 0.6 | | | 2,478 | | | | 3,545 | |
Thermo Fisher Scientific | | 0.5 | | | 6,679 | | | | 2,765 | |
UnitedHealth Group Inc | | 0.8 | | | 15,961 | | | | 4,833 | |
Verizon Communications Inc | | 0.7 | | | 70,180 | | | | 4,034 | |
Visa Inc, CIA | | 0.9 | | | 28,620 | | | | 5,449 | |
Walmart Inc | | 0.5 | | | 23,631 | | | | 3,058 | |
Walt Disney Co/The | | 0.6 | | | 30,600 | | | | 3,578 | |
Other Securities ‡(B) | | 42.0 | | | | | | | 260,657 | |
| | | | | | | | | | |
| | | | | | | | | 510,895 | |
| | | | | | | | | | |
Total Common Stock
(Cost $548,588) ($ Thousands) | | | | 571,314 | |
| | | | | | | | | | |
| |
PREFERRED STOCK — 0.1% | | | | | |
| |
Germany — 0.1% | | | |
Other Securities | | 0.1 | | | | | | | 315 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | |
| Description | | Percentage of Net Assets (%) | | Shares | | | Market Value ($ Thousands) | |
| |
PREFERRED STOCK (continued) | | | | | |
Total Preferred Stock
(Cost $316) ($ Thousands) | | | $ | 315 | |
| | | | | | | | | | |
| |
Exchange Traded Fund — 0.0% | | | | | |
| |
United States — 0.0% | | | | | |
Other Securities | | 0.0% | | | | | | | 245 | |
| | | | | | | | | | |
| | |
Total Exchange Traded Fund
(Cost $100) ($ Thousands) | | | | | | | 245 | |
| | | | | | | | | | |
| | |
RIGHTS — 0.0% | | | | | | | | |
| | |
Portugal — 0.0% | | | | | | | | |
Other Securities | | 0.0 | | | | | | | 1 | |
| | | | | | | | | | |
| | | |
Spain — 0.0% | | | | | | | | | | |
Other Securities | | 0.0 | | | | | | | 5 | |
| | | | | | | | | | |
| |
United States — 0.0% | | | | | |
Other Securities | | 0.0 | | | | | | | — | |
| | | | | | | | | | |
| | |
Total Rights
(Cost $-) ($ Thousands) | | | | | | | 6 | |
| | | | | | | | | | |
| |
CORPORATE OBLIGATION — 0.0% | | | | | |
| | |
United States — 0.0% | | | | | | | | |
Other Securities | | 0.0 | | | | | | | — | |
| | | | | | | | | | |
| |
Total Corporate Obligation
(Cost $-) ($ Thousands) | | | | — | |
| | | | | | | | | | |
| | |
WARRANTS — 0.0% | | | | | | | | |
| |
United States — 0.0% | | | | | |
Other Securities (A) | | 0.0 | | | | | | | — | |
| | | | | | | | | | |
| |
Total Warrants
(Cost $-) ($ Thousands) | | | | — | |
| | | | | | | | | | |
Total Investments — 94.0%
(Cost $549,004)($ Thousands) | | | $ | 571,880 | |
| | | | | | | | | | |
| | |
| 12 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
A list of the open futures contracts held by the Fund at July 31, 2020, is as follows:
| | | | | | | | | | | | | | | | | | | | |
| |
Type of Contract | | Number of Contracts Long | | | Expiration Date | | | Notional Amount (Thousands) | | | Value (Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
| |
MSCI EAFE Index | | | 16 | | | | Sep-2020 | | | $ | 1,462 | | | $ | 1,451 | | | $ | (11) | |
Russell 2000 Index E-MINI | | | 291 | | | | Sep-2020 | | | | 20,550 | | | | 21,502 | | | | 952 | |
S&P 500 Index E-MINI | | | 75 | | | | Sep-2020 | | | | 11,750 | | | | 12,238 | | | | 488 | |
S&P Mid Cap 400 lndex E-MINI | | | 6 | | | | Sep-2020 | | | | 1,058 | | | | 1,116 | | | | 58 | |
| | | | | | | | | | | | |
| | | | | | | | | | $ | 34,820 | | | $ | 36,307 | | | $ | 1,487 | |
| | | | | | | | | | | | |
For the year ended July 31, 2020, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
| | Percentages are based on a Net Assets of $608,256 ($ Thousands). |
| * | Non-income producing security. |
| ‡ | Real Estate Investment Trust. |
| (A) | Level 3 security in accordance with the fair value hierarchy.. |
| (B) | Security is a Master Limited Partnership. At July 31, 2020, such securities amounted to $50 ($ Thousands), or 0.0% of Net Assets (See Note 2). |
Cl — Class
EAFE — Europe, Australasia and Far East
MSCI — Morgan Stanley Capital International
PLC — Public Limited Company
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of July 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
| | | | | | | | | | | | | | | | |
| | | | | |
| Investments in Securities | | Level 1 ($) | | Level 2
($) | | Level 3 ($)(1) | | Total ($) |
Common Stock | | | 571,309 | | | | 5 | | | | –(2) | | | | 571,314 | |
Preferred Stock | | | 315 | | | | – | | | | – | | | | 315 | |
Exchange-Traded Fund | | | 245 | | | | – | | | | – | | | | 245 | |
Rights | | | 6 | | | | – | | | | –(2) | | | | 6 | |
Corporate Obligation | | | – | | | | – | | | | –(2) | | | | – | |
Warrants | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 571,875 | | | | 5 | | | | – | | | | 571,880 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments | | Level 1 ($) | | Level 2 ($) | | Level 3 ($) | | Total ($) |
Futures Contracts * | | | | | | | | | | | | | | | | |
Unrealized Appreciation | | | 1,498 | | | | – | | | | – | | | | 1,498 | |
Unrealized Depreciation | | | (11) | | | | – | | | | – | | | | (11) | |
| | | | | | | | | | | | | | | | |
Total Other Financial Instruments | | | 1,487 | | | | – | | | | – | | | | 1,487 | |
| | | | | | | | | | | | | | | | |
| * | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
(2) This category includes securities with a value of $0.
For the year ended July 31, 2020, there were no transfers in or out of Level 3.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the transactions the Fund had with affiliates for the year ended July 31, 2020 ($ Thousands):
| | | | | | | | | | | | | | | | | | |
| Security Description | | Value 7/31/2019 | | Purchases at Cost | | Proceeds from Sales | | Realized Gain (Loss) | | Change in Unrealized Appreciation (Depreciation) | | Value
7/31/2020 | | Shares | | Dividend Income | | Capital Gains |
SEI Daily Income Trust, Government Fund, CI F | | $ — | | $ 2,072,588 | | $ (2,072,588) | | $ — | | $ — | | $ — | | — | | $ 218 | | $ — |
| | | | | | | | | | | | | | | | | | |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 13 |
SCHEDULE OF INVESTMENTS
July 31, 2020
Tactical Offensive Fixed Income Fund
†Percentages based on total investments.
| | | | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | Market Value ($ Thousands) |
| |
U.S. TREASURY OBLIGATIONS — 34.8% | | | | | | |
U.S. Treasury Bonds | | | | | | | | | | |
4.250%, 05/15/2039 | | | $ | 1,000 | | | | $ | 1,584 | |
3.625%, 02/15/2044 | | | | 8,000 | | | | | 12,167 | |
3.375%, 11/15/2048 | | | | 8,000 | | | | | 12,264 | |
3.125%, 05/15/2048 | | | | 2,500 | | | | | 3,658 | |
3.000%, 02/15/2047 | | | | 2,500 | | | | | 3,550 | |
3.000%, 02/15/2048 | | | | 8,000 | | | | | 11,442 | |
3.000%, 02/15/2049 | | | | 2,500 | | | | | 3,607 | |
2.875%, 05/15/2043 | | | | 2,500 | | | | | 3,396 | |
2.750%, 08/15/2042 | | | | 5,000 | | | | | 6,659 | |
2.750%, 11/15/2042 | | | | 2,000 | | | | | 2,662 | |
2.500%, 02/15/2045 | | | | 2,500 | | | | | 3,217 | |
2.500%, 02/15/2046 | | | | 8,000 | | | | | 10,349 | |
2.375%,11/15/2049 | | | | 9,000 | | | | | 11,647 | |
2.000%, 02/15/2050 | | | | 1,800 | | | | | 2,163 | |
1.125%, 05/15/2040 | | | | 15,000 | | | | | 15,397 | |
U.S. Treasury Notes | | | | | | | | | | |
3.125%, 11/15/2028 | | | | 10,000 | | | | | 12,164 | |
2.875%, 10/15/2021 | | | | 5,000 | | | | | 5,165 | |
2.875%, 09/30/2023 | | | | 20,000 | | | | | 21,731 | |
2.750%, 11/15/2023 | | | | 5,000 | | | | | 5,428 | |
2.625%, 01/31/2026 | | | | 5,000 | | | | | 5,641 | |
2.625%, 02/15/2029 | | | | 2,000 | | | | | 2,359 | |
2.500%, 08/15/2023 | | | | 5,000 | | | | | 5,359 | |
2.500%, 01/31/2024 | | | | 20,000 | | | | | 21,638 | |
2.500%, 05/15/2024 | | | | 20,000 | | | | | 21,767 | |
2.375%, 08/15/2024 | | | | 5,000 | | | | | 5,442 | |
2.375%, 05/15/2027 | | | | 3,000 | | | | | 3,402 | |
2.250%, 04/15/2022 | | | | 2,000 | | | | | 2,072 | |
2.250%, 11/15/2024 | | | | 5,000 | | | | | 5,440 | |
2.250%, 11/15/2025 | | | | 15,000 | | | | | 16,568 | |
2.250%, 08/15/2027 | | | | 2,000 | | | | | 2,258 | |
2.125%, 03/31/2024 | | | | 5,000 | | | | | 5,360 | |
2.125%, 05/15/2025 | | | | 5,000 | | | | | 5,455 | |
2.000%, 02/15/2022 | | | | 5,000 | | | | | 5,143 | |
2.000%,10/31/2022 | | | | 5,000 | | | | | 5,211 | |
2.000%,11/30/2022 | | | | 10,000 | | | | | 10,437 | |
2.000%, 02/15/2025 | | | | 5,000 | | | | | 5,407 | |
2.000%, 08/15/2025 | | | | 10,000 | | | | | 10,882 | |
2.000%,11/15/2026 | | | | 10,000 | | | | | 11,030 | |
1.750%, 05/15/2023 | | | | 20,000 | | | | | 20,909 | |
1.625%, 12/31/2021 | | | | 3,500 | | | | | 3,574 | |
1.625%, 05/15/2026 | | | | 10,000 | | | | | 10,760 | |
| | | | | | | | | | |
| | | |
| Description | | Face Amount
(Thousands) | | Market Value ($ Thousands) |
|
U.S. TREASURY OBLIGATIONS (continued) | |
1.625%, 11/30/2026 | | | $ | 2,500 | | | | $ | 2,700 | |
1.625%, 08/15/2029 | | | | 10,000 | | | | | 10,998 | |
1.500%, 08/31/2021 | | | | 5,000 | | | | | 5,074 | |
1.500%, 09/30/2021 | | | | 5,000 | | | | | 5,079 | |
1.500%,10/31/2021 | | | | 20,000 | | | | | 20,336 | |
1.500%, 08/15/2022 | | | | 5,000 | | | | | 5,141 | |
1.500%, 08/15/2026 | | | | 3,000 | | | | | 3,211 | |
1.500%, 01/31/2027 | | | | 10,000 | | | | | 10,733 | |
1.500%, 02/15/2030 | | | | 2,400 | | | | | 2,619 | |
1.375%, 02/15/2023 | | | | 20,000 | | | | | 20,636 | |
1.125%, 02/28/2025 | | | | 15,000 | | | | | 15,638 | |
0.625%, 05/15/2030 | | | | 8,000 | | | | | 8,066 | |
0.500%, 03/15/2023 | | | | 8,000 | | | | | 8,080 | |
0.250%, 06/15/2023 | | | | 3,000 | | | | | 3,011 | |
0.250%, 05/31/2025 | | | | 20,000 | | | | | 20,045 | |
0.125%, 05/31/2022 | | | | 20,000 | | | | | 20,002 | |
0.125%, 06/30/2022 | | | | 20,000 | | | | | 20,001 | |
| | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $509,937) ($ Thousands) | | | | | 515,734 | |
| | | | | | | | | | |
| |
CORPORATE OBLIGATIONS — 28.7% | | | | | | |
| |
Communication Services — 2.6% | | | | | | |
America Movil | | | | | | | | | | |
4.375%, 04/22/2049 | | | | 500 | | | | | 662 | |
2.875%, 05/07/2030 | | | | 500 | | | | | 544 | |
AT&T | | | | | | | | | | |
4.850%, 03/01/2039 | | | | 3,000 | | | | | 3,747 | |
3.650%, 06/01/2051 | | | | 800 | | | | | 877 | |
3.500%, 06/01/2041 | | | | 600 | | | | | 651 | |
3.500%, 02/01/2061 | | | | 135 | | | | | 140 | |
3.300%, 02/01/2052 | | | | 120 | | | | | 124 | |
3.100%, 02/01/2043 | | | | 200 | | | | | 206 | |
2.750%, 06/01/2031 | | | | 500 | | | | | 535 | |
2.300%, 06/01/2027 | | | | 300 | | | | | 318 | |
2.250%, 02/01/2032 | | | | 165 | | | | | 169 | |
1.650%, 02/01/2028 | | | | 35 | | | | | 36 | |
Charter Communications Operating LLC | | | | | | |
4.908%, 07/23/2025 | | | | 300 | | | | | 348 | |
3.700%, 04/01/2051 | | | | 1,000 | | | | | 1,049 | |
2.800%, 04/01/2031 | | | | 1,000 | | | | | 1,049 | |
Comcast | | | | | | | | | | |
3.950%, 10/15/2025 | | | | 1,000 | | | | | 1,159 | |
3.750%, 04/01/2040 | | | | 500 | | | | | 623 | |
3.250%, 11/01/2039 | | | | 500 | | | | | 589 | |
3.100%, 04/01/2025 | | | | 1,000 | | | | | 1,109 | |
2.800%, 01/15/2051 | | | | 300 | | | | | 325 | |
1.950%, 01/15/2031 | | | | 800 | | | | | 836 | |
Discovery communications | |
4.650%, 05/15/2050 | | | | 800 | | | | | 960 | |
3.625%, 05/15/2030 | | | | 300 | | | | | 333 | |
| | |
| 14 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
| | | | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | Market Value ($ Thousands) |
| |
CORPORATE OBLIGATIONS (continued) | | | | | | |
Fox | | | | | | | | | | |
5.576%, 01/25/2049 | | | $ | 300 | | | | $ | 438 | |
5.476%, 01/25/2039 | | | | 1,000 | | | | | 1,382 | |
4.709%, 01/25/2029 | | | | 300 | | | | | 366 | |
Rogers Communications | | | | | | | | | | |
4.350%, 05/01/2049 | | | | 1,000 | | | | | 1,314 | |
3.700%, 11/15/2049 | | | | 500 | | | | | 593 | |
Telefonica Emisiones | | | | | | | | | | |
5.520%, 03/01/2049 | | | | 1,000 | | | | | 1,351 | |
T-Mobile USA | | | | | | | | | | |
4.500%, 04/15/2050 (A) | | | | 1,000 | | | | | 1,248 | |
4.375%, 04/15/2040 (A) | | | | 1,000 | | | | | 1,221 | |
3.500%, 04/15/2025 (A) | | | | 800 | | | | | 882 | |
2.550%, 02/15/2031 (A) | | | | 1,030 | | | | | 1,070 | |
2.050%, 02/15/2028 (A) | | | | 35 | | | | | 36 | |
1.500%, 02/15/2026 (A) | | | | 550 | | | | | 558 | |
Verizon Communications | | | | | | |
4.812%, 03/15/2039 | | | | 2,000 | | | | | 2,738 | |
4.672%, 03/15/2055 | | | | 500 | | | | | 734 | |
4.000%, 03/22/2050 | | | | 800 | | | | | 1,065 | |
3.000%, 03/22/2027 | | | | 300 | | | | | 338 | |
ViacomCBS | | | | | | | | | | |
4.950%, 01/15/2031 | | | | 300 | | | | | 361 | |
4.950%, 05/19/2050 | | | | 300 | | | | | 362 | |
4.750%, 05/15/2025 | | | | 300 | | | | | 345 | |
4.200%, 05/19/2032 | | | | 800 | | | | | 922 | |
Walt Disney | | | | | | | | | | |
6.650%, 11/15/2037 | | | | 500 | | | | | 773 | |
4.700%, 03/23/2050 | | | | 1,000 | | | | | 1,380 | |
4.625%, 03/23/2040 | | | | 200 | | | | | 262 | |
3.500%, 05/13/2040 | | | | 1,000 | | | | | 1,149 | |
3.350%, 03/24/2025 | | | | 800 | | | | | 894 | |
2.650%, 01/13/2031 | | | | 500 | | | | | 544 | |
1.750%, 01/13/2026 | | | | 500 | | | | | 523 | |
| | | | | | | | | | |
| | | | | | | | | 39,238 | |
| | | | | | | | | | |
| |
Consumer Discretionary — 2.0% | | | | | | |
Amazon.com | | | | | | | | | | |
1.500%, 06/03/2030 | | | | 1,000 | | | | | 1,035 | |
0.800%, 06/03/2025 | | | | 500 | | | | | 507 | |
0.400%, 06/03/2023 | | | | 1,000 | | | | | 1,005 | |
American Honda Finance MTN | | | | | | |
1.200%, 07/08/2025 | | | | 700 | | | | | 710 | |
0.875%, 07/07/2023 | | | | 1,135 | | | | | 1,145 | |
AutoZone | | | | | | | | | | |
3.625%, 04/15/2025 | | | | 500 | | | | | 563 | |
BAT Capital | | | | | | | | | | |
4.700%, 04/02/2027 | | | | 300 | | | | | 350 | |
Booking Holdings | | | | | | | | | | |
4.100%, 04/13/2025 | | | | 300 | | | | | 341 | |
Choice Hotels International | | | | | | |
3.700%, 01/15/2031 | | | | 605 | | | | | 627 | |
| | | | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | Market Value ($ Thousands) |
| |
CORPORATE OBLIGATIONS (continued) | | | | | | |
Diageo Capital | | | | | | | | | | |
2.000%, 04/29/2030 | | | $ | 500 | | | | $ | 533 | |
1.375%, 09/29/2025 | | | | 300 | | | | | 310 | |
Dollar General | | | | | | | | | | |
4.125%, 04/03/2050 | | | | 300 | | | | | 379 | |
DR Horton | | | | | | | | | | |
2.600%, 10/15/2025 | | | | 500 | | | | | 534 | |
eBay | | | | | | | | | | |
2.700%, 03/11/2030 | | | | 500 | | | | | 540 | |
Expedia Group | | | | | | | | | | |
4.625%, 08/01/2027 (A) | | | | 615 | | | | | 632 | |
3.600%, 12/15/2023 (A) | | | | 565 | | | | | 572 | |
General Motors | | | | | | | | | | |
6.800%, 10/01/2027 | | | | 500 | | | | | 609 | |
6.125%, 10/01/2025 | | | | 1,000 | | | | | 1,169 | |
5.400%, 10/02/2023 | | | | 1,000 | | | | | 1,102 | |
General Motors Financial | | | | | | | | | | |
5.200%, 03/20/2023 | | | | 1,000 | | | | | 1,088 | |
3.600%, 06/21/2030 | | | | 50 | | | | | 51 | |
2.750%, 06/20/2025 | | | | 550 | | | | | 568 | |
Home Depot | | | | | | | | | | |
3.300%, 04/15/2040 | | | | 300 | | | | | 359 | |
2.700%, 04/15/2030 | | | | 800 | | | | | 906 | |
Lowe’s | | | | | | | | | | |
5.125%, 04/15/2050 | | | | 500 | | | | | 727 | |
5.000%, 04/15/2040 | | | | 500 | | | | | 683 | |
4.550%, 04/05/2049 | | | | 500 | | | | | 671 | |
Marriott International | | | | | | | | | | |
4.625%, 06/15/2030 | | | | 300 | | | | | 322 | |
McDonald’s MTN | | | | | | | | | | |
4.200%, 04/01/2050 | | | | 500 | | | | | 639 | |
3.625%, 09/01/2049 | | | | 500 | | | | | 593 | |
3.600%, 07/01/2030 | | | | 500 | | | | | 586 | |
2.125%, 03/01/2030 | | | | 500 | | | | | 525 | |
NIKE | | | | | | | | | | |
2.850%, 03/27/2030 | | | | 500 | | | | | 568 | |
RELX Capital | | | | | | | | | | |
3.000%, 05/22/2030 | | | | 700 | | | | | 777 | |
Ross Stores | | | | | | | | | | |
5.450%, 04/15/2050 | | | | 300 | | | | | 406 | |
Sands China | | | | | | | | | | |
3.800%, 01/08/2026 (A) | | | | 500 | | | | | 520 | |
Starbucks | | | | | | | | | | |
4.450%, 08/15/2049 | | | | 500 | | | | | 655 | |
3.500%, 11/15/2050 | | | | 300 | | | | | 341 | |
2.550%, 11/15/2030 | | | | 500 | | | | | 536 | |
2.250%, 03/12/2030 | | | | 500 | | | | | 521 | |
Target | | | | | | | | | | |
2.650%, 09/15/2030 | | | | 300 | | | | | 338 | |
2.250%, 04/15/2025 | | | | 500 | | | | | 538 | |
Toyota Motor Credit MTN | | | | | | | | | | |
3.375%, 04/01/2030 | | | | 500 | | | | | 593 | |
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 15 |
SCHEDULE OF INVESTMENTS
July 31, 2020
Tactical Offensive Fixed Income Fund (Continued)
| | | | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | Market Value ($ Thousands) |
| |
CORPORATE OBLIGATIONS (continued) | | | | | | |
3.000%, 04/01/2025 | | | $ | 300 | | | | $ | 331 | |
1.800%, 02/13/2025 | | | | 500 | | | | | 523 | |
1.350%, 08/25/2023 | | | | 300 | | | | | 308 | |
1.150%, 05/26/2022 | | | | 300 | | | | | 304 | |
Trustees of the University of Pennsylvania | |
2.396%, 10/01/2050 | | | | 180 | | | | | 191 | |
VF | | | | | | | | | | |
2.950%, 04/23/2030 | | | | 500 | | | | | 551 | |
2.800%, 04/23/2027 | | | | 500 | | | | | 539 | |
2.400%, 04/23/2025 | | | | 500 | | | | | 532 | |
| | | | | | | | | | |
| | | | | | | | | 29,453 | |
| | | | | | | | | | |
| |
Consumer Staples — 1.6% | | | | | | |
Altria Group | | | | | | | | | | |
5.800%, 02/14/2039 | | | | 1,000 | | | | | 1,310 | |
4.450%, 05/06/2050 | | | | 300 | | | | | 356 | |
Anheuser-Busch InBev Worldwide | | | | | | |
5.800%, 01/23/2059 | | | | 500 | | | | | 748 | |
5.450%, 01/23/2039 | | | | 1,000 | | | | | 1,314 | |
4.500%, 06/01/2050 | | | | 1,000 | | | | | 1,264 | |
4.350%, 06/01/2040 | | | | 800 | | | | | 965 | |
Campbell Soup | | | | | | | | | | |
2.375%, 04/24/2030 | | | | 500 | | | | | 530 | |
Clorox | | | | | | | | | | |
1.800%, 05/15/2030 | | | | 500 | | | | | 521 | |
Coca-Cola | | | | | | | | | | |
4.200%, 03/25/2050 | | | | 1,000 | | | | | 1,404 | |
2.950%, 03/25/2025 | | | | 300 | | | | | 334 | |
1.650%, 06/01/2030 | | | | 1,000 | | | | | 1,047 | |
1.450%, 06/01/2027 | | | | 500 | | | | | 519 | |
Conagra Brands | | | | | | | | | | |
4.600%, 11/01/2025 | | | | 500 | | | | | 584 | |
Constellation Brands | | | | | | | | | | |
2.875%, 05/01/2030 | | | | 500 | | | | | 545 | |
Costco Wholesale | | | | | | | | | | |
1.750%, 04/20/2032 | | | | 1,000 | | | | | 1,047 | |
1.600%, 04/20/2030 | | | | 500 | | | | | 518 | |
Estee Lauder | | | | | | | | | | |
2.600%, 04/15/2030 | | | | 500 | | | | | 556 | |
General Mills | | | | | | | | | | |
2.875%, 04/15/2030 | | | | 500 | | | | | 560 | |
Hershey | | | | | | | | | | |
2.650%, 06/01/2050 | | | | 500 | | | | | 553 | |
Hormel Foods | | | | | | | | | | |
1.800%, 06/11/2030 | | | | 500 | | | | | 525 | |
Ingredion | | | | | | | | | | |
3.900%, 06/01/2050 | | | | 200 | | | | | 243 | |
Kroger | | | | | | | | | | |
3.950%, 01/15/2050 | | | | 500 | | | | | 619 | |
McCormick | | | | | | | | | | |
2.500%, 04/15/2030 | | | | 500 | | | | | 545 | |
| | | | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | Market Value ($ Thousands) |
| |
CORPORATE OBLIGATIONS (continued) | | | | | | |
Mondelez International | | | | | | | | | | |
2.750%, 04/13/2030 | | | $ | 500 | | | | $ | 555 | |
0.625%, 07/01/2022 | | | | 1,070 | | | | | 1,075 | |
PepsiCo | | | | | | | | | | |
2.750%, 03/19/2030 | | | | 500 | | | | | 571 | |
2.250%, 03/19/2025 | | | | 1,000 | | | | | 1,077 | |
1.625%, 05/01/2030 | | | | 500 | | | | | 523 | |
0.750%, 05/01/2023 | | | | 800 | | | | | 811 | |
Philip Morris International | | | | | | | | | | |
1.125%, 05/01/2023 | | | | 500 | | | | | 509 | |
Procter & Gamble | | | | | | | | | | |
3.000%, 03/25/2030 | | | | 500 | | | | | 590 | |
2.450%, 03/25/2025 | | | | 800 | | | | | 871 | |
Sysco | | | | | | | | | | |
5.650%, 04/01/2025 | | | | 300 | | | | | 355 | |
Walgreens Boots Alliance | | | | | | | | | | |
4.100%, 04/15/2050 | | | | 500 | | | | | 520 | |
Walmart | | | | | | | | | | |
3.400%, 06/26/2023 | | | | 300 | | | | | 326 | |
| | | | | | | | | | |
| | | | | | | | | 24,390 | |
| | | | | | | | | | |
| | |
Energy — 2.3% | | | | | | | | | | |
BP Capital Markets America | |
3.796%, 09/21/2025 | | | | 500 | | | | | 569 | |
3.633%, 04/06/2030 | | | | 300 | | | | | 347 | |
3.543%, 04/06/2027 | | | | 500 | | | | | 568 | |
3.194%, 04/06/2025 | | | | 500 | | | | | 548 | |
Canadian Natural Resources | | | | | | |
2.950%, 07/15/2030 | | | | 500 | | | | | 511 | |
2.050%, 07/15/2025 | | | | 1,000 | | | | | 1,017 | |
Chevron | | | | | | | | | | |
2.978%, 05/11/2040 | | | | 500 | | | | | 569 | |
2.236%, 05/11/2030 | | | | 500 | | | | | 540 | |
1.995%, 05/11/2027 | | | | 500 | | | | | 535 | |
1.554%, 05/11/2025 | | | | 800 | | | | | 834 | |
1.141%, 05/11/2023 | | | | 1,000 | | | | | 1,022 | |
Diamondback Energy | | | | | | | | | | |
4.750%, 05/31/2025 | | | | 500 | | | | | 544 | |
Ecopetrol | | | | | | | | | | |
6.875%, 04/29/2030 | | | | 500 | | | | | 603 | |
5.875%, 05/28/2045 | | | | 1,000 | | | | | 1,144 | |
Energy Transfer Operating LP | | | | | | |
6.250%, 04/15/2049 | | | | 1,000 | | | | | 1,074 | |
4.750%, 01/15/2026 | | | | 500 | | | | | 543 | |
2.900%, 05/15/2025 | | | | 1,000 | | | | | 1,013 | |
Enterprise Products Operating LLC | |
3.700%, 01/31/2051 | | | | 1,000 | | | | | 1,078 | |
2.800%, 01/31/2030 | | | | 1,000 | | | | | 1,074 | |
Equinor | | | | | | | | | | |
3.700%, 04/06/2050 | | | | 2,000 | | | | | 2,466 | |
3.625%, 04/06/2040 | | | | 200 | | | | | 241 | |
| | |
| 16 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
| |
CORPORATE OBLIGATIONS (continued) | | | | | |
Exxon Mobil | | | | | | | | |
4.327%, 03/19/2050 | | $ | 1,300 | | | $ | 1,745 | |
4.227%, 03/19/2040 | | | 500 | | | | 641 | |
3.482%, 03/19/2030 | | | 300 | | | | 352 | |
2.992%, 03/19/2025 | | | 1,000 | | | | 1,100 | |
2.610%, 10/15/2030 | | | 800 | | | | 884 | |
1.571%, 04/15/2023 | | | 500 | | | | 515 | |
Kinder Morgan | | | | | | | | |
5.550%, 06/01/2045 | | | 1,000 | | | | 1,295 | |
3.250%, 08/01/2050 | | | 145 | | | | 143 | |
2.000%, 02/15/2031 | | | 140 | | | | 139 | |
Magellan Midstream Partners | |
3.250%, 06/01/2030 | | | 500 | | | | 545 | |
Marathon Petroleum | | | | | | | | |
4.700%, 05/01/2025 | | | 500 | | | | 568 | |
MPLX | | | | | | | | |
5.200%,12/01/2047 | | | 300 | | | | 329 | |
4.250%, 12/01/2027 | | | 500 | | | | 543 | |
ONEOK | | | | | | | | |
7.150%, 01/15/2051 | | | 500 | | | | 619 | |
6.350%, 01/15/2031 | | | 500 | | | | 583 | |
5.850%, 01/15/2026 | | | 800 | | | | 911 | |
4.500%, 03/15/2050 | | | 500 | | | | 456 | |
2.200%, 09/15/2025 | | | 300 | | | | 294 | |
Phillips 66 | | | | | | | | |
3.850%, 04/09/2025 | | | 500 | | | | 561 | |
2.150%, 12/15/2030 | | | 500 | | | | 496 | |
Sabine Pass Liquefaction | | | | | | | | |
4.500%, 05/15/2030 (A) | | | 500 | | | | 577 | |
Shell International Finance BV | |
3.250%, 04/06/2050 | | | 300 | | | | 339 | |
2.750%, 04/06/2030 | | | 300 | | | | 334 | |
2.375%, 04/06/2025 | | | 500 | | | | 537 | |
Suncor Energy | | | | | | | | |
3.100%, 05/15/2025 | | | 500 | | | | 543 | |
Total Capital International | | | | | |
3.127%, 05/29/2050 | | | 300 | | | | 338 | |
TransCanada PipeLines | | | | | | | | |
4.100%, 04/15/2030 | | | 300 | | | | 354 | |
Valero Energy | | | | | | | | |
2.700%, 04/15/2023 | | | 500 | | | | 521 | |
Williams | | | | | | | | |
3.500%,11/15/2030 | | | 800 | | | | 884 | |
| | | | | | | | |
| | | | | | | 33,986 | |
| | | | | | | | |
| | |
Financials — 9.5% | | | | | | | | |
African Development Bank | |
0.750%, 04/03/2023 | | | 500 | | | | 507 | |
0.500%, 04/22/2022 | | | 1,000 | | | | 1,005 | |
American Express | | | | | | | | |
3.700%, 08/03/2023 | | | 1,000 | | | | 1,090 | |
3.400%, 02/22/2024 | | | 1,000 | | | | 1,093 | |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
| |
CORPORATE OBLIGATIONS (continued) | | | | | |
2.500%, 07/30/2024 | | $ | 500 | | | $ | 536 | |
American Financial Group | | | | | | | | |
5.250%, 04/02/2030 | | | 300 | | | | 364 | |
American International Group | | | | | |
4.375%, 06/30/2050 | | | 200 | | | | 245 | |
3.400%, 06/30/2030 | | | 500 | | | | 560 | |
2.500%, 06/30/2025 | | | 300 | | | | 321 | |
Aon | | | | | | | | |
2.800%, 05/15/2030 | | | 800 | | | | 877 | |
2.200%, 11/15/2022 | | | 300 | | | | 312 | |
Arch Capital Group | | | | | | | | |
3.635%, 06/30/2050 | | | 35 | | | | 40 | |
Asian Development Bank | | | | | | | | |
1.625%, 01/24/2023 | | | 1,000 | | | | 1,034 | |
0.625%, 04/29/2025 | | | 1,000 | | | | 1,012 | |
Asian Development Bank MTN | |
1.875%, 07/19/2022 | | | 1,000 | | | | 1,032 | |
1.875%, 01/24/2030 | | | 500 | | | | 552 | |
0.250%, 07/14/2023 | | | 45 | | | | 45 | |
Athene Holding | | | | | | | | |
6.150%, 04/03/2030 | | | 300 | | | | 358 | |
Banco Santander | | | | | | | | |
3.490%, 05/28/2030 | | | 500 | | | | 553 | |
2.746%, 05/28/2025 | | | 200 | | | | 211 | |
Bancolombia | | | | | | | | |
3.000%, 01/29/2025 | | | 300 | | | | 298 | |
Bank of America | | | | | | | | |
2.592%, VAR United States Secured Overnight Financing Rate+2.150%, 04/29/2031 | | | 1,300 | | | | 1,394 | |
Bank of America MTN | | | | | | | | |
4.100%, 07/24/2023 | | | 1,000 | | | | 1,105 | |
4.083%, 03/20/2051 (B) | | | 1,200 | | | | 1,559 | |
4.078%, VAR ICE LIBOR USD 3 Month+1.320%, 04/23/2040 | | | 700 | | | | 879 | |
2.884%, VAR ICE LIBOR USD 3 Month+1.190%, 10/22/2030 | | | 1,000 | | | | 1,100 | |
2.676%, VAR United States Secured Overnight Financing Rate+1.930%, 06/19/2041 | | | 500 | | | | 532 | |
2.015%,VAR ICE LIBOR USD 3 Month+0.640%, 02/13/2026 | | | 500 | | | | 522 | |
1.898%, VAR United States Secured Overnight Financing Rate+1.530%, 07/23/2031 | | | 200 | | | | 203 | |
1.486%, VAR United States Secured Overnight Financing Rate+1.460%, 05/19/2024 | | | 800 | | | | 819 | |
1.319%, VAR United States Secured Overnight Financing Rate+1.150%, 06/19/2026 | | | 500 | | | | 506 | |
Bank of Montreal MTN | | | | | | | | |
3.300%, 02/05/2024 | | | 1,000 | | | | 1,092 | |
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 17 |
SCHEDULE OF INVESTMENTS
July 31, 2020
Tactical Offensive Fixed Income Fund (Continued)
| | | | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | Market Value ($ Thousands) |
| |
CORPORATE OBLIGATIONS (continued) | | | | | | |
1.850%, 05/01/2025 | | | $ | 300 | | | | $ | 316 | |
Bank of New York Mellon MTN | | | | | | |
2.100%, 10/24/2024 | | | | 1,000 | | | | | 1,063 | |
1.600%, 04/24/2025 | | | | 300 | | | | | 314 | |
Bank of Nova Scotia | | | | | | | | | | |
3.400%, 02/11/2024 | | | | 1,000 | | | | | 1,093 | |
2.200%, 02/03/2025 | | | | 300 | | | | | 319 | |
1.950%, 02/01/2023 | | | | 300 | | | | | 310 | |
1.625%, 05/01/2023 | | | | 300 | | | | | 309 | |
Barclays | | | | | | | | | | |
2.852%, VAR ICE LIBOR USD 3 Month+2.452%, 05/07/2026 | | | | 300 | | | | | 318 | |
2.645%, VAR US Trees Yield Curve Rate T Note Cost Mat1Yr+1.900%, 06/24/2031 | | | | 800 | | | | | 821 | |
1.700%, 05/12/2022 | | | | 1,000 | | | | | 1,020 | |
BlackRock | | | | | | | | | | |
1.900%, 01/28/2031 | | | | 800 | | | | | 849 | |
Brighthouse Financial | | | | | | | | | | |
5.625%, 05/15/2030 | | | | 300 | | | | | 345 | |
4.700%, 06/22/2047 | | | | 1,000 | | | | | 983 | |
3.700%, 06/22/2027 | | | | 1,000 | | | | | 1,042 | |
Brookfield Finance | | | | | | | | | | |
4.850%, 03/29/2029 | | | | 200 | | | | | 240 | |
Canadian Imperial Bank of Commerce | | | | | | |
3.500%, 09/13/2023 | | | | 1,000 | | | | | 1,093 | |
0.950%, 06/23/2023 | | | | 1,000 | | | | | 1,010 | |
Capital One Financial | | | | | | | | | | |
3.800%, 01/31/2028 | | | | 1,000 | | | | | 1,127 | |
2.600%, 05/11/2023 | | | | 300 | | | | | 315 | |
Charles Schwab | | | | | | | | | | |
4.200%, 03/24/2025 | | | | 500 | | | | | 578 | |
Citigroup | | | | | | | | | | |
8.125%, 07/15/2039 | | | | 200 | | | | | 362 | |
5.316%, VAR United States Secured Overnight Financing Rate+4.548%, 03/26/2041 | | | | 1,200 | | | | | 1,731 | |
4.412%, VAR United States Secured Overnight Financing Rate+3.914%, 03/31/2031 | | | | 800 | | | | | 975 | |
3.106%, VAR United States Secured Overnight Financing Rate+2.750%, 04/08/2026 | | | | 800 | | | | | 870 | |
2.976%, VAR United States Secured Overnight Financing Rate+1.422%, 11/05/2030 | | | | 1,000 | | | | | 1,095 | |
2.572%, VAR United States Secured Overnight Financing Rate+2.107%, 06/03/2031 | | | | 800 | | | | | 851 | |
1.678%, VAR United States Secured Overnight Financing Rate+1.667%, 05/15/2024 | | | | 800 | | | | | 823 | |
| | | | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | Market Value ($ Thousands) |
| |
CORPORATE OBLIGATIONS (continued) | | | | | | |
Citizens Bank | | | | | | | | | | |
2.250%, 04/28/2025 | | | $ | 500 | | | | $ | 531 | |
Citizens Financial Group | | | | | | | | | | |
3.250%, 04/30/2030 | | | | 500 | | | | | 567 | |
Cooperatieve Rabobank | | | | | | | | | | |
4.625%, 12/01/2023 | | | | 1,000 | | | | | 1,108 | |
Council of Europe Development Bank | |
1.375%, 02/27/2025 | | | | 500 | | | | | 523 | |
Credit Suisse NY | | | | | | | | | | |
2.950%, 04/09/2025 | | | | 800 | | | | | 878 | |
2.800%, 04/08/2022 | | | | 500 | | | | | 520 | |
1.000%, 05/05/2023 | | | | 500 | | | | | 506 | |
Deutsche Bank NY | | | | | | | | | | |
3.961%, VAR United States Secured Overnight Financing Rate+2.581%, 11/26/2025 | | | | 1,000 | | | | | 1,067 | |
Equitable Holdings | | | | | | | | | | |
5.000%, 04/20/2048 | | | | 500 | | | | | 630 | |
4.350%, 04/20/2028 | | | | 500 | | | | | 578 | |
European Bank for Reconstruction & Development MTN | |
0.250%, 07/10/2023 | | | | 1,200 | | | | | 1,202 | |
European Investment Bank | |
2.250%, 03/15/2022 | | | | 2,000 | | | | | 2,065 | |
1.375%, 05/15/2023 | | | | 1,000 | | | | | 1,033 | |
0.875%, 05/17/2030 | | | | 500 | | | | | 507 | |
0.625%, 07/25/2025 | | | | 1,000 | | | | | 1,014 | |
Fairfax Financial Holdings | | | | | | | | | | |
4.625%, 04/29/2030 (A) | | | | 300 | | | | | 335 | |
Goldman Sachs Group | | | | | | | | | | |
5.150%, 05/22/2045 | | | | 1,000 | | | | | 1,386 | |
3.625%, 02/20/2024 | | | | 1,500 | | | | | 1,642 | |
3.500%, 04/01/2025 | | | | 1,500 | | | | | 1,662 | |
2.350%, 11/15/2021 | | | | 500 | | | | | 503 | |
HSBC Holdings | | | | | | | | | | |
4.950%, 03/31/2030 | | | | 500 | | | | | 612 | |
3.803%, VAR ICE LIB0R USD 3 Month+1.211%, 03/11/2025 | | | | 1,500 | | | | | 1,621 | |
2.848%, VAR United States Secured Overnight Financing Rate+2.387%, 06/04/2031 | | | | 1,000 | | | | | 1,051 | |
2.099%, VAR United States Secured Overnight Financing Rate+1.929%, 06/04/2026 | | | | 300 | | | | | 307 | |
ING Groep | | | | | | | | | | |
3.550%, 04/09/2024 | | | | 500 | | | | | 548 | |
Inter-American Development Bank | | | | | | |
0.625%, 07/15/2025 | | | | 1,000 | | | | | 1,009 | |
0.500%, 05/24/2023 | | | | 400 | | | | | 403 | |
Intercontinental Exchange | |
3.000%, 06/15/2050 | | | | 200 | | | | | 230 | |
| | |
| 18 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
International Bank for Reconstruction & Development | | | | | | | | |
2.500%, 07/29/2025 | | $ | 2,000 | | | $ | 2,212 | |
1.625%, 02/10/2022 | | | 2,500 | | | | 2,553 | |
0.875%, 05/14/2030 | | | 500 | | | | 507 | |
0.625%, 04/22/2025 | | | 1,000 | | | | 1,013 | |
International Finance MTN | | | | | | | | |
0.375%, 07/16/2025 | | | 145 | | | | 145 | |
Jefferies Group | | | | | | | | |
5.125%, 01/20/2023 | | | 1,000 | | | | 1,091 | |
JPMorgan Chase | | | | | | | | |
4.493%, VAR United States Secured Overnight Financing Rate+3.790%, 03/24/2031 | | | 500 | | | | 619 | |
3.109%, 04/22/2051 (B) | | | 1,300 | | | | 1,474 | |
3.109%, VAR United States Secured Overnight Financing Rate+2.460%, 04/22/2041 | | | 1,200 | | | | 1,361 | |
2.956%, VAR United States Secured Overnight Financing Rate+2.515%, 05/13/2031 | | | 300 | | | | 327 | |
2.522%, VAR United States Secured Overnight Financing Rate+2.040%, 04/22/2031 | | | 1,300 | | | | 1,402 | |
2.182%, VAR United States Secured Overnight Financing Rate+1.890%, 06/01/2028 | | | 300 | | | | 315 | |
2.005%, VAR United States Secured Overnight Financing Rate+1.585%, 03/13/2026 | | | 2,000 | | | | 2,087 | |
1.514%, VAR United States Secured Overnight Financing Rate+1.455%, 06/01/2024 | | | 800 | | | | 819 | |
KeyBank | | | | | | | | |
1.250%, 03/10/2023 | | | 300 | | | | 306 | |
Korea Development Bank | | | | | | | | |
3.375%, 03/12/2023 | | | 760 | | | | 810 | |
Kreditanstalt fuer Wiederaufbau | | | | | | | | |
2.625%, 02/28/2024 | | | 1,500 | | | | 1,627 | |
2.375%, 12/29/2022 | | | 1,000 | | | | 1,052 | |
1.625%, 02/15/2023 | | | 1,500 | | | | 1,554 | |
Kreditanstalt fuer Wiederaufbau MTN | | | | | | | | |
3.125%,12/15/2021 | | | 1,000 | | | | 1,040 | |
Landwirtschaftliche Rentenbank | | | | | | | | |
0.500%, 05/27/2025 | | | 1,500 | | | | 1,509 | |
Lloyds Banking Group | | | | | | | | |
4.050%, 08/16/2023 | | | 500 | | | | 547 | |
3.900%, 03/12/2024 | | | 1,000 | | | | 1,104 | |
Manulife Financial | | | | | | | | |
2.484%, 05/19/2027 | | | 300 | | | | 317 | |
Marsh & McLennan | | | | | | | | |
3.875%, 03/15/2024 | | | 1,000 | | | | 1,112 | |
2.250%, 11/15/2030 | | | 500 | | | | 536 | |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
MetLife | | | | | | | | |
4.550%, 03/23/2030 | | $ | 200 | | | $ | 257 | |
Mitsubishi UFJ Financial Group | | | | | | | | |
3.751%, 07/18/2039 | | | 500 | | | | 598 | |
3.407%, 03/07/2024 | | | 1,000 | | | | 1,088 | |
2.801%, 07/18/2024 | | | 500 | | | | 536 | |
2.193%, 02/25/2025 | | | 500 | | | | 526 | |
Mizuho Financial Group | | | | | | | | |
2.226%, VAR ICE LIBOR USD 3 Month+0.830%, 05/25/2026 | | | 300 | | | | 312 | |
1.241%, VAR ICE LIBOR USD 3 Month+0.990%, 07/10/2024 | | | 1,000 | | | | 1,011 | |
Morgan Stanley MTN | | | | | | | | |
5.597%, 03/24/2051 (B) | | | 700 | | | | 1,117 | |
3.622%, VAR United States Secured Overnight Financing Rate+3.120%, 04/01/2031 | | | 800 | | | | 936 | |
2.720%, VAR United States Secured Overnight Financing Rate+1.152%, 07/22/2025 | | | 500 | | | | 535 | |
2.188%, VAR United States Secured Overnight Financing Rate+1.990%, 04/28/2026 | | | 1,800 | | | | 1,895 | |
MUFG Union Bank | | | | | | | | |
2.100%, 12/09/2022 | | | 300 | | | | 311 | |
National Australia Bank | | | | | | | | |
1.875%, 12/13/2022 | | | 300 | | | | 310 | |
National Bank of Canada MTN | | | | | | | | |
2.100%, 02/01/2023 | | | 300 | | | | 312 | |
Natwest Group | | | | | | | | |
4.269%, VAR ICE LIBOR USD 3 Month+1.762%, 03/22/2025 | | | 1,000 | | | | 1,101 | |
3.875%, 09/12/2023 | | | 1,000 | | | | 1,086 | |
3.073%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.550%, 05/22/2028 | | | 300 | | | | 322 | |
Nomura Holdings | | | | | | | | |
3.103%, 01/16/2030 | | | 500 | | | | 540 | |
2.648%, 01/16/2025 | | | 300 | | | | 315 | |
1.851%, 07/16/2025 | | | 1,000 | | | | 1,015 | |
Northern Trust | | | | | | | | |
1.950%, 05/01/2030 | | | 300 | | | | 318 | |
Oesterreichische Kontrollbank | | | | | | | | |
2.625%, 01/31/2022 | | | 500 | | | | 518 | |
1.500%, 02/12/2025 | | | 500 | | | | 524 | |
Oesterreichische Kontrollbank MTN | | | | | | | | |
2.875%, 03/13/2023 | | | 500 | | | | 534 | |
Owl Rock Capital | | | | | | | | |
4.250%, 01/15/2026 | | | 100 | | | | 100 | |
PNC Bank | | | | | | | | |
2.028%, VAR ICE LIBOR USD 3 Month+0.420%, 12/09/2022 | | | 300 | | | | 306 | |
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 19 |
SCHEDULE OF INVESTMENTS
July 31, 2020
Tactical Offensive Fixed Income Fund (Continued)
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
PNC Financial Services Group | | | | | | | | |
3.500%, 01/23/2024 | | $ | 1,000 | | | $ | 1,098 | |
Progressive | | | | | | | | |
3.950%, 03/26/2050 | | | 200 | | | | 273 | |
Prudential | | | | | | | | |
3.125%, 04/14/2030 | | | 300 | | | | 333 | |
Prudential MTN | | | | | | | | |
3.000%, 03/10/2040 | | | 1,000 | | | | 1,120 | |
1.500%, 03/10/2026 | | | 300 | | | | 310 | |
Regions Financial | | | | | | | | |
3.800%, 08/14/2023 | | | 1,000 | | | | 1,092 | |
Royal Bank of Canada MTN | | | | | | | | |
1.950%, 01/17/2023 | | | 300 | | | | 311 | |
1.600%, 04/17/2023 | | | 300 | | | | 309 | |
1.150%, 06/10/2025 | | | 1,000 | | | | 1,020 | |
Santander Holdings USA | | | | | | | | |
3.450%, 06/02/2025 | | | 500 | | | | 536 | |
Santander UK | | | | | | | | |
2.100%, 01/13/2023 | | | 800 | | | | 829 | |
Sumitomo Mitsui Financial Group | | | | | | | | |
2.696%, 07/16/2024 | | | 500 | | | | 534 | |
2.348%, 01/15/2025 | | | 300 | | | | 318 | |
2.130%, 07/08/2030 | | | 700 | | | | 726 | |
1.474%, 07/08/2025 | | | 1,000 | | | | 1,025 | |
Svensk Exportkredit MTN | | | | | | | | |
2.375%, 03/09/2022 | | | 1,000 | | | | 1,033 | |
0.750%, 04/06/2023 | | | 500 | | | | 506 | |
0.625%, 05/14/2025 | | | 500 | | | | 504 | |
Toronto-Dominion Bank MTN | | | | | | | | |
3.250%, 03/11/2024 | | | 1,000 | | | | 1,096 | |
1.150%, 06/12/2025 | | | 1,000 | | | | 1,023 | |
Truist Bank | | | | | | | | |
3.200%, 04/01/2024 | | | 1,000 | | | | 1,097 | |
1.500%, 03/10/2025 | | | 800 | | | | 830 | |
1.250%, 03/09/2023 | | | 300 | | | | 306 | |
Truist Financial MTN | | | | | | | | |
3.750%, 12/06/2023 | | | 500 | | | | 550 | |
2.500%, 08/01/2024 | | | 500 | | | | 536 | |
Unum Group | | | | | | | | |
4.500%, 03/15/2025 | | | 500 | | | | 552 | |
US Bancorp | | | | | | | | |
2.400%, 07/30/2024 | | | 1,000 | | | | 1,070 | |
1.450%, 05/12/2025 | | | 300 | | | | 311 | |
US Bancorp MTN | | | | | | | | |
1.375%, 07/22/2030 | | | 50 | | | | 51 | |
US Bank | | | | | | | | |
2.050%, 01/21/2025 | | | 300 | | | | 320 | |
1.950%, 01/09/2023 | | | 300 | | | | 311 | |
Wells Fargo | | | | | | | | |
3.068%, VAR United States Secured Overnight Financing Rate+2.530%, 04/30/2041 | | | 1,300 | | | | 1,420 | |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
2.188%, VAR United States Secured Overnight Financing Rate+2.000%, 04/30/2026 | | $ | 300 | | | $ | 314 | |
Wells Fargo MTN | | | | | | | | |
5.013%, 04/04/2051 (B) | | | 1,300 | | | | 1,858 | |
4.478%, VAR ICE LIBOR USD 3 Month+3.770%, 04/04/2031 | | | 300 | | | | 368 | |
3.750%, 01/24/2024 | | | 1,000 | | | | 1,096 | |
2.879%, VAR ICE LIBOR USD 3 Month+1.170%, 10/30/2030 | | | 1,000 | | | | 1,086 | |
2.393%, VAR United States Secured Overnight Financing Rate+2.100%, 06/02/2028 | | | 1,300 | | | | 1,362 | |
1.654%, VAR United States Secured Overnight Financing Rate+1.600%, 06/02/2024 | | | 1,000 | | | | 1,019 | |
Westpac Banking | | | | | | | | |
4.421%, 07/24/2039 | | | 200 | | | | 253 | |
3.300%, 02/26/2024 | | | 1,000 | | | | 1,091 | |
2.650%, 01/16/2030 | | | 500 | | | | 562 | |
| | | | | | | | |
| | | | | | | 140,187 | |
| | | | | | | | |
| | |
Health Care — 3.0% | | | | | | | | |
Abbott Laboratories | | | | | | | | |
1.400%, 06/30/2030 | | | 540 | | | | 555 | |
1.150%, 01/30/2028 | | | 45 | | | | 46 | |
AbbVie | | | | | | | | |
4.850%, 06/15/2044 (A) | | | 500 | | | | 665 | |
4.550%, 03/15/2035 (A) | | | 1,000 | | | | 1,275 | |
4.250%, 11/21/2049 (A) | | | 1,000 | | | | 1,272 | |
4.050%, 11/21/2039 (A) | | | 1,000 | | | | 1,230 | |
3.450%, 03/15/2022 (A) | | | 1,000 | | | | 1,040 | |
Agilent Technologies | | | | | | | | |
2.100%, 06/04/2030 | | | 300 | | | | 313 | |
Amgen | | | | | | | | |
3.150%, 02/21/2040 | | | 500 | | | | 565 | |
2.300%, 02/25/2031 | | | 700 | | | | 747 | |
1.900%, 02/21/2025 | | | 500 | | | | 527 | |
Banner Health | | | | | | | | |
2.338%, 01/01/2030 | | | 500 | | | | 520 | |
Baxter International | | | | | | | | |
3.750%,10/01/2025 (A) | | | 300 | | | | 344 | |
Becton Dickinson | | | | | | | | |
3.794%, 05/20/2050 | | | 300 | | | | 365 | |
2.823%, 05/20/2030 | | | 700 | | | | 769 | |
Biogen | | | | | | | | |
2.250%, 05/01/2030 | | | 500 | | | | 522 | |
Boston Scientific | | | | | | | | |
2.650%, 06/01/2030 | | | 500 | | | | 543 | |
1.900%, 06/01/2025 | | | 300 | | | | 314 | |
Bristol-Myers Squibb | | | | | | | | |
4.550%, 02/20/2048 | | | 500 | | | | 731 | |
| | |
| 20 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
4.125%, 06/15/2039 | | $ | 1,300 | | | $ | 1,739 | |
2.900%, 07/26/2024 | | | 300 | | | | 327 | |
Cigna | | | | | | | | |
4.800%, 08/15/2038 | | | 1,000 | | | | 1,323 | |
4.500%, 02/25/2026 | | | 300 | | | | 356 | |
3.400%, 03/15/2050 | | | 1,000 | | | | 1,150 | |
3.200%, 03/15/2040 | | | 1,000 | | | | 1,119 | |
2.400%, 03/15/2030 | | | 500 | | | | 533 | |
CVS Health | | | | | | | | |
4.125%, 04/01/2040 | | | 2,000 | | | | 2,437 | |
3.625%, 04/01/2027 | | | 2,000 | | | | 2,289 | |
DENTSPLY SIRONA | | | | | | | | |
3.250%, 06/01/2030 | | | 500 | | | | 547 | |
Eli Lilly | | | | | | | | |
3.950%, 03/15/2049 | | | 500 | | | | 686 | |
2.250%, 05/15/2050 | | | 1,000 | | | | 1,022 | |
HCA | | | | | | | | |
5.125%, 06/15/2039 | | | 1,000 | | | | 1,271 | |
Humana | | | | | | | | |
4.500%, 04/01/2025 | | | 300 | | | | 347 | |
Merck | | | | | | | | |
3.900%, 03/07/2039 | | | 500 | | | | 655 | |
2.350%, 06/24/2040 | | | 1,000 | | | | 1,072 | |
1.450%, 06/24/2030 | | | 1,300 | | | | 1,336 | |
0.750%, 02/24/2026 | | | 800 | | | | 812 | |
Novartis Capital | | | | | | | | |
1.750%, 02/14/2025 | | | 500 | | | | 527 | |
Perrigo Finance Unlimited | | | | | | | | |
3.150%, 06/15/2030 | | | 500 | | | | 532 | |
Pfizer | | | | | | | | |
4.000%, 03/15/2049 | | | 500 | | | | 680 | |
2.700%, 05/28/2050 | | | 300 | | | | 335 | |
2.625%, 04/01/2030 | | | 500 | | | | 565 | |
2.550%, 05/28/2040 | | | 300 | | | | 330 | |
1.700%, 05/28/2030 | | | 700 | | | | 735 | |
0.800%, 05/28/2025 | | | 500 | | | | 508 | |
Quest Diagnostics | | | | | | | | |
2.800%, 06/30/2031 | | | 200 | | | | 219 | |
Stryker | | | | | | | | |
1.950%, 06/15/2030 | | | 700 | | | | 728 | |
1.150%, 06/15/2025 | | | 500 | | | | 509 | |
Takeda Pharmaceutical | | | | | | | | |
3.375%, 07/09/2060 | | | 1,000 | | | | 1,105 | |
3.025%, 07/09/2040 | | | 500 | | | | 543 | |
2.050%, 03/31/2030 | | | 500 | | | | 514 | |
Thermo Fisher Scientific | | | | | | | | |
4.133%, 03/25/2025 | | | 300 | | | | 346 | |
UnitedHealth Group | | | | | | | | |
3.500%, 08/15/2039 | | | 500 | | | | 613 | |
3.125%, 05/15/2060 | | | 300 | | | | 352 | |
2.750%, 05/15/2040 | | | 1,300 | | | | 1,458 | |
1.250%, 01/15/2026 | | | 500 | | | | 516 | |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
Upjohn | | | | | | | | |
4.000%, 06/22/2050 (A) | | $ | 500 | | | $ | 569 | |
3.850%, 06/22/2040 (A) | | | 500 | | | | 569 | |
2.700%, 06/22/2030 (A) | | | 500 | | | | 532 | |
1.650%, 06/22/2025 (A) | | | 500 | | | | 515 | |
Zoetis | | | | | | | | |
2.000%, 05/15/2030 | | | 200 | | | | 212 | |
| | | | | | | | |
| | | | | | | 44,876 | |
| | | | | | | | |
|
Industrials – 2.1% | |
3M | | | | | | | | |
3.050%, 04/15/2030 | | | 500 | | | | 581 | |
2.650%, 04/15/2025 | | | 300 | | | | 328 | |
AerCap Ireland Capital DAC | | | | | | | | |
4.875%, 01/16/2024 | | | 500 | | | | 508 | |
4.500%, 09/15/2023 | | | 650 | | | | 661 | |
Air Lease | | | | | | | | |
3.375%, 07/01/2025 | | | 25 | | | | 25 | |
Air Lease MTN | | | | | | | | |
2.300%, 02/01/2025 | | | 500 | | | | 481 | |
Boeing | | | | | | | | |
5.805%, 05/01/2050 | | | 1,000 | | | | 1,175 | |
5.705%, 05/01/2040 | | | 800 | | | | 908 | |
5.040%, 05/01/2027 | | | 500 | | | | 541 | |
4.875%, 05/01/2025 | | | 500 | | | | 541 | |
4.508%, 05/01/2023 | | | 1,000 | | | | 1,046 | |
3.950%, 08/01/2059 | | | 500 | | | | 468 | |
Canadian Pacific Railway | | | | | | | | |
2.050%, 03/05/2030 | | | 500 | | | | 527 | |
Carrier Global | | | | | | | | |
3.577%, 04/05/2050 (A) | | | 500 | | | | 552 | |
3.377%, 04/05/2040 (A) | | | 500 | | | | 540 | |
2.242%, 02/15/2025 (A) | | | 500 | | | | 522 | |
Caterpillar | | | | | | | | |
2.600%, 04/09/2030 | | | 500 | | | | 559 | |
Caterpillar Financial Services | | | | | | | | |
0.650%, 07/07/2023 | | | 1,100 | | | | 1,107 | |
Caterpillar Financial Services MTN | | | | | | | | |
1.450%, 05/15/2025 | | | 500 | | | | 517 | |
0.950%, 05/13/2022 | | | 300 | | | | 303 | |
CNH Industrial Capital | | | | | | | | |
1.950%, 07/02/2023 | | | 515 | | | | 520 | |
CSX | | | | | | | | |
3.800%, 04/15/2050 | | | 500 | | | | 636 | |
Deere | | | | | | | | |
2.750%, 04/15/2025 | | | 300 | | | | 329 | |
Equifax | | | | | | | | |
3.100%, 05/15/2030 | | | 500 | | | | 555 | |
FedEx | | | | | | | | |
5.250%, 05/15/2050 | | | 300 | | | | 402 | |
3.800%, 05/15/2025 | | | 800 | | | | 904 | |
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 21 |
SCHEDULE OF INVESTMENTS
July 31, 2020
Tactical Offensive Fixed Income Fund (Continued)
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
GE Capital Funding | | | | | | | | |
4.400%, 05/15/2030 (A) | | $ | 500 | | | $ | 527 | |
3.450%, 05/15/2025 (A) | | | 500 | | | | 528 | |
General Dynamics | | | | | | | | |
4.250%, 04/01/2040 | | | 500 | | | | 662 | |
3.250%, 04/01/2025 | | | 300 | | | | 335 | |
General Electric | | | | | | | | |
4.350%, 05/01/2050 | | | 500 | | | | 519 | |
4.250%, 05/01/2040 | | | 1,000 | | | | 1,024 | |
Honeywell International | | | | | | | | |
1.950%, 06/01/2030 | | | 300 | | | | 322 | |
1.350%, 06/01/2025 | | | 800 | | | | 828 | |
Howmet Aerospace | | | | | | | | |
6.875%, 05/01/2025 | | | 300 | | | | 341 | |
L3Harris Technologies | | | | | | | | |
3.850%,12/15/2026 | | | 500 | | | | 578 | |
Lockheed Martin | | | | | | | | |
1.850%, 06/15/2030 | | | 500 | | | | 529 | |
Norfolk Southern | | | | | | | | |
3.050%, 05/15/2050 | | | 800 | | | | 902 | |
Northrop Grumman | | | | | | | | |
5.150%, 05/01/2040 | | | 500 | | | | 714 | |
PACCAR Financial MTN | | | | | | | | |
0.800%, 06/08/2023 | | | 500 | | | | 504 | |
Raytheon Technologies | | | | | | | | |
3.125%, 07/01/2050 | | | 300 | | | | 347 | |
2.250%, 07/01/2030 | | | 300 | | | | 321 | |
Roper Technologies | | | | | | | | |
2.000%, 06/30/2030 | | | 500 | | | | 521 | |
Southwest Airlines | | | | | | | | |
5.250%, 05/04/2025 | | | 300 | | | | 320 | |
5.125%, 06/15/2027 | | | 500 | | | | 526 | |
4.750%, 05/04/2023 | | | 800 | | | | 840 | |
Union Pacific | | | | | | | | |
4.300%, 03/01/2049 | | | 500 | | | | 685 | |
3.839%, 03/20/2060 | | | 1,000 | | | | 1,275 | |
2.150%, 02/05/2027 | | | 800 | | | | 859 | |
United Parcel Service | | | | | | | | |
5.300%, 04/01/2050 | | | 500 | | | | 762 | |
5.200%, 04/01/2040 | | | 300 | | | | 437 | |
Xylem | | | | | | | | |
2.250%, 01/30/2031 | | | 175 | | | | 185 | |
| | | | | | | | |
| | |
| | | | | | | 30,627 | |
| | | | | | | | |
|
Information Technology – 2.6% | |
Amdocs | | | | | | | | |
2.538%, 06/15/2030 | | | 550 | | | | 573 | |
Apple | | | | | | | | |
3.850%, 05/04/2043 | | | 2,000 | | | | 2,606 | |
2.650%, 05/11/2050 | | | 300 | | | | 331 | |
1.650%, 05/11/2030 | | | 500 | | | | 525 | |
1.125%, 05/11/2025 | | | 1,500 | | | | 1,542 | |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
0.750%, 05/11/2023 | | $ | 1,000 | | | $ | 1,011 | |
Automatic Data Processing | | | | | | | | |
3.375%, 09/15/2025 | | | 500 | | | | 567 | |
Broadcom | | | | | | | | |
4.700%, 04/15/2025 (A) | | | 300 | | | | 343 | |
4.150%, 11/15/2030 (A) | | | 500 | | | | 562 | |
4.110%, 09/15/2028 (A) | | | 300 | | | | 339 | |
3.459%, 09/15/2026 (A) | | | 500 | | | | 548 | |
2.250%, 11/15/2023 (A) | | | 500 | | | | 521 | |
Dell International | | | | | | | | |
5.850%, 07/15/2025 (A) | | | 500 | | | | 585 | |
Fiserv | | | | | | | | |
4.400%, 07/01/2049 | | | 500 | | | | 671 | |
2.650%, 06/01/2030 | | | 800 | | | | 872 | |
Global Payments | | | | | | | | |
4.150%, 08/15/2049 | | | 500 | | | | 624 | |
2.900%, 05/15/2030 | | | 800 | | | | 878 | |
Hewlett Packard Enterprise | | | | | | | | |
4.650%, 10/01/2024 | | | 300 | | | | 337 | |
4.450%, 10/02/2023 | | | 300 | | | | 329 | |
1.750%, 04/01/2026 | | | 50 | | | | 50 | |
1.450%, 04/01/2024 | | | 550 | | | | 552 | |
HP | | | | | | | | |
2.200%, 06/17/2025 | | | 500 | | | | 525 | |
Intel | | | | | | | | |
4.600%, 03/25/2040 | | | 300 | | | | 416 | |
3.400%, 03/25/2025 | | | 800 | | | | 900 | |
3.100%, 02/15/2060 | | | 500 | | | | 580 | |
International Business Machines | | | | | |
4.250%, 05/15/2049 | | | 1,000 | | | | 1,319 | |
4.150%, 05/15/2039 | | | 500 | | | | 634 | |
1.950%, 05/15/2030 | | | 200 | | | | 209 | |
1.700%, 05/15/2027 | | | 500 | | | | 520 | |
Intuit | | | | | | | | |
0.950%, 07/15/2025 | | | 500 | | | | 506 | |
Lam Research | | | | | | | | |
2.875%, 06/15/2050 | | | 300 | | | | 343 | |
1.900%, 06/15/2030 | | | 500 | | | | 530 | |
Leidos | | | | | | | | |
4.375%, 05/15/2030 (A) | | | 300 | | | | 351 | |
Mastercard | | | | | | | | |
3.650%, 06/01/2049 | | | 500 | | | | 637 | |
Micron Technology | | | | | | | | |
2.497%, 04/24/2023 | | | 500 | | | | 522 | |
Microsoft | | | | | | | | |
4.450%, 11/03/2045 | | | 2,000 | | | | 2,907 | |
4.100%, 02/06/2037 | | | 500 | | | | 670 | |
2.875%, 02/06/2024 | | | 500 | | | | 542 | |
2.675%, 06/01/2060 | | | 1,000 | | | | 1,104 | |
NetApp | | | | | | | | |
2.700%, 06/22/2030 | | | 500 | | | | 530 | |
1.875%, 06/22/2025 | | | 500 | | | | 518 | |
| | |
| 22 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
NVIDIA | | | | | | | | |
3.500%, 04/01/2040 | | $ | 300 | | | $ | 360 | |
2.850%, 04/01/2030 | | | 500 | | | | 560 | |
NXP BV | | | | | | | | |
3.150%, 05/01/2027 (A) | | | 300 | | | | 327 | |
2.700%, 05/01/2025 (A) | | | 300 | | | | 322 | |
Oracle | | | | | | | | |
3.600%, 04/01/2040 | | | 1,000 | | | | 1,184 | |
3.600%, 04/01/2050 | | | 1,300 | | | | 1,556 | |
2.950%, 04/01/2030 | | | 500 | | | | 569 | |
2.500%, 04/01/2025 | | | 500 | | | | 541 | |
PayPal Holdings | | | | | | | | |
3.250%, 06/01/2050 | | | 300 | | | | 361 | |
2.300%, 06/01/2030 | | | 500 | | | | 542 | |
1.650%, 06/01/2025 | | | 800 | | | | 835 | |
1.350%, 06/01/2023 | | | 500 | | | | 512 | |
QUALCOMM | | | | | | | | |
2.150%, 05/20/2030 | | | 500 | | | | 536 | |
Texas Instruments | | | | | | | | |
1.375%, 03/12/2025 | | | 500 | | | | 520 | |
Visa | | | | | | | | |
2.050%, 04/15/2030 | | | 500 | | | | 541 | |
| | | | | | | | |
| | |
| | | | | | | 37,895 | |
| | | | | | | | |
| | |
Materials – 0.5% | | | | | | | | |
Air Products and Chemicals | | | | | | | | |
2.700%, 05/15/2040 | | | 300 | | | | 338 | |
DuPont de Nemours | | | | | | | | |
2.169%, 05/01/2023 | | | 800 | | | | 816 | |
El du Pontde Nemours | | | | | | | | |
1.700%, 07/15/2025 | | | 700 | | | | 732 | |
LYB International Finance III | | | | | | | | |
4.200%,10/15/2049 | | | 500 | | | | 576 | |
4.200%, 05/01/2050 | | | 200 | | | | 229 | |
2.875%, 05/01/2025 | | | 200 | | | | 216 | |
Newmont | | | | | | | | |
2.250%, 10/01/2030 | | | 700 | | | | 740 | |
Nucor | | | | | | | | |
2.700%, 06/01/2030 | | | 700 | | | | 759 | |
2.000%, 06/01/2025 | | | 200 | | | | 211 | |
Nutrien | | | | | | | | |
3.950%, 05/13/2050 | | | 200 | | | | 239 | |
1.900%, 05/13/2023 | | | 300 | | | | 310 | |
PPG Industries | | | | | | | | |
2.550%, 06/15/2030 | | | 200 | | | | 216 | |
Reliance Steel & Aluminum | | | | | | | | |
1.300%, 08/15/2025 | | | 85 | | | | 85 | |
Sherwin-Williams | | | | | | | | |
3.300%, 05/15/2050 | | | 200 | | | | 226 | |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
Vale Overseas | | | | | | | | |
3.750%, 07/08/2030 | | $ | 1,025 | | | $ | 1,100 | |
| | | | | | | | |
| | |
| | | | | | | 6,793 | |
| | | | | | | | |
| | |
Real Estate – 0.4% | | | | | | | | |
Alexandria Real Estate Equities | | | | | | | | |
4.900%, 12/15/2030 | | | 300 | | | | 384 | |
1.875%, 02/01/2033 | | | 70 | | | | 70 | |
American Tower | | | | | | | | |
1.300%, 09/15/2025 | | | 500 | | | | 509 | |
Boston Properties | | | | | | | | |
3.250%, 01/30/2031 | | | 400 | | | | 443 | |
2.900%, 03/15/2030 | | | 500 | | | | 536 | |
Crown Castle International | | | | | | | | |
3.300%, 07/01/2030 | | | 500 | | | | 568 | |
2.250%, 01/15/2031 | | | 500 | | | | 519 | |
1.350%, 07/15/2025 | | | 500 | | | | 510 | |
Equinix | | | | | | | | |
1.250%, 07/15/2025 | | | 500 | | | | 504 | |
GLP Capital | | | | | | | | |
4.000%, 01/15/2031 | | | 50 | | | | 52 | |
Healthpeak Properties | | | | | | | | |
4.200%, 03/01/2024 | | | 500 | | | | 550 | |
Highwoods Realty | | | | | | | | |
2.600%, 02/01/2031 | | | 65 | | | | 65 | |
Kimco Realty | | | | | | | | |
2.700%, 10/01/2030 | | | 200 | | | | 207 | |
Prologis | | | | | | | | |
2.250%, 04/15/2030 | | | 300 | | | | 325 | |
2.125%, 04/15/2027 | | | 300 | | | | 322 | |
Realty Income | | | | | | | | |
3.875%, 04/15/2025 | | | 500 | | | | 566 | |
3.250%, 01/15/2031 | | | 140 | | | | 157 | |
Simon Property Group | | | | | | | | |
2.650%, 07/15/2030 | | | 250 | | | | 256 | |
VEREIT Operating Partnership | | | | | | | | |
3.400%, 01/15/2028 | | | 25 | | | | 26 | |
| | | | | | | | |
| | |
| | | | | | | 6,569 | |
| | | | | | | | |
| | |
Utilities-2.1% | | | | | | | | |
AEP Texas | | | | | | | | |
2.100%, 07/01/2030 | | | 300 | | | | 311 | |
American Water Capital | | | | | | | | |
2.800%, 05/01/2030 | | | 300 | | | | 338 | |
Arizona Public Service | | | | | | | | |
3.350%, 05/15/2050 | | | 300 | | | | 351 | |
Avangrid | | | | | | | | |
3.200%, 04/15/2025 | | | 500 | | | | 554 | |
Baltimore Gas and Electric | | | | | | | | |
2.900%, 06/15/2050 | | | 700 | | | | 777 | |
Berkshire Hathaway Energy | | | | | | | | |
4.050%, 04/15/2025 (A) | | | 1,000 | | | | 1,150 | |
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 23 |
SCHEDULE OF INVESTMENTS
July 31, 2020
Tactical Offensive Fixed Income Fund (Continued)
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
CORPORATE OBLIGATIONS (continued) | |
3.700%, 07/15/2030 (A) | | $ | 1,000 | | | $ | 1,214 | |
CenterPoint Energy Houston Electric LLC | | | | | | | | |
2.900%, 07/01/2050 | | | 700 | | | | 808 | |
CMS Energy | | | | | | | | |
4.750%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.116%, 06/01/2050 | | | 300 | | | | 320 | |
Commonwealth Edison | | | | | | | | |
3.000%, 03/01/2050 | | | 500 | | | | 581 | |
Consumers Energy Co | | | | | | | | |
3.500%, 08/01/2051 | | | 500 | | | | 639 | |
Dominion Energy | | | | | | | | |
3.375%, 04/01/2030 | | | 1,000 | | | | 1,156 | |
Dominion Energy Gas Holdings | | | | | | | | |
2.500%,11/15/2024 | | | 300 | | | | 322 | |
DTE Electric | | | | | | | | |
2.250%, 03/01/2030 | | | 300 | | | | 326 | |
Duke Energy Florida | | | | | | | | |
1.750%, 06/15/2030 | | | 200 | | | | 209 | |
Essential Utilities | | | | | | | | |
3.351%, 04/15/2050 | | | 300 | | | | 351 | |
Evergy | | | | | | | | |
2.450%, 09/15/2024 | | | 1,000 | | | | 1,069 | |
Exelon Generation | | | | | | | | |
3.250%, 06/01/2025 | | | 300 | | | | 332 | |
FirstEnergy | | | | | | | | |
3.400%, 03/01/2050 | | | 300 | | | | 308 | |
2.250%, 09/01/2030 | | | 200 | | | | 198 | |
Florida Power & Light | | | | | | | | |
2.850%, 04/01/2025 | | | 1,000 | | | | 1,101 | |
Georgia Power | | | | | | | | |
2.100%, 07/30/2023 | | | 300 | | | | 313 | |
Kentucky Utilities | | | | | | | | |
3.300%, 06/01/2050 | | | 300 | | | | 354 | |
National Fuel Gas | | | | | | | | |
5.500%, 01/15/2026 | | | 500 | | | | 541 | |
NextEra Energy Capital Holdings | | | | | | | | |
2.750%, 05/01/2025 | | | 500 | | | | 547 | |
2.750%, 11/01/2029 | | | 500 | | | | 558 | |
2.250%, 06/01/2030 | | | 1,300 | | | | 1,402 | |
NiSource | | | | | | | | |
3.600%, 05/01/2030 | | | 300 | | | | 353 | |
Northern States Power Co | | | | | | | | |
2.600%, 06/01/2051 | | | 500 | | | | 550 | |
Oncor Electric Delivery Co LLC | | | | | | | | |
3.100%, 09/15/2049 | | | 500 | | | | 596 | |
Pacific Gas and Electric | | | | | | | | |
4.950%, 07/01/2050 | | | 1,000 | | | | 1,225 | |
4.550%, 07/01/2030 | | | 500 | | | | 573 | |
4.500%, 07/01/2040 | | | 2,500 | | | | 2,862 | |
3.450%, 07/01/2025 | | | 1,500 | | | | 1,607 | |
3.300%, 08/01/2040 | | | 1,000 | | | | 1,013 | |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) | |
3.150%, 01/01/2026 | | $ | 1,000 | | | $ | 1,051 | |
2.500%, 02/01/2031 | | | 1,000 | | | | 1,003 | |
2.100%, 08/01/2027 | | | 1,000 | | | | 998 | |
PacifiCorp | | | | | | | | |
3.300%, 03/15/2051 | | | 500 | | | | 615 | |
2.700%, 09/15/2030 | | | 300 | | | | 340 | |
Piedmont Natural Gas | | | | | | | | |
3.350%, 06/01/2050 | | | 300 | | | | 359 | |
Pinnacle West Capital | | | | | | | | |
1.300%, 06/15/2025 | | | 500 | | | | 512 | |
Southern | | | | | | | | |
3.700%, 04/30/2030 | | | 1,000 | | | | 1,164 | |
Southern California Edison | | | | | | | | |
4.875%, 03/01/2049 | | | 500 | | | | 661 | |
Southwestern Public Service | | | | | | | | |
3.150%, 05/01/2050 | | | 300 | | | | 351 | |
| | | | | | | | |
| | | | | | | 31,963 | |
| | | | | | | | |
| | |
Total Corporate Obligations
(Cost $417,794) ($ Thousands) | | | | | | | 425,977 | |
| | | | | | | | |
|
MORTGAGE-BACKED SECURITIES — 25.7% | |
|
Agency Mortgage-Backed Obligations — 24.7% | |
FHLMC | | | | | | | | |
4.500%, 05/01/2048 to 10/01/2048 | | | 13,106 | | | | 14,088 | |
4.000%, 05/01/2050 | | | 10,435 | | | | 11,090 | |
3.500%, 11/01/2045 | | | 1,530 | | | | 1,638 | |
3.000%, 07/01/2033 to 08/01/2047 | | | 13,354 | | | | 14,086 | |
FHLMC Multifamily Structured Pass Through Certificates, Ser K043, Cl A2 | | | | | | | | |
3.062%, 12/25/2024 | | | 5,000 | | | | 5,500 | |
FHLMC Multifamily Structured Pass Through Certificates, Ser K073, Cl A2 | | | | | | | | |
3.350%, 01/25/2028 | | | 1,000 | | | | 1,164 | |
FHLMC Multifamily Structured Pass Through Certificates, Ser K074, Cl A2 | | | | | | | | |
3.600%, 01/25/2028 | | | 815 | | | | 961 | |
FHLMC Multifamily Structured Pass Through Certificates, Ser K091, CI A2 | | | | | | | | |
3.505%, 03/25/2029 | | | 5,000 | | | | 5,963 | |
FHLMC Multifamily Structured Pass Through Certificates, Ser K092, Cl A2 | | | | | | | | |
3.298%, 04/25/2029 | | | 315 | | | | 371 | |
FHLMC Multifamily Structured Pass Through Certificates, Ser K722, CI A2 | | | | | | | | |
2.406%, 03/25/2023 | | | 1,500 | | | | 1,559 | |
FNMA | | | | | | | | |
4.500%, 05/01/2046 | | | 4,839 | | | | 5,374 | |
4.000%, 01/01/2048 to 01/01/2049 | | | 29,071 | | | | 30,997 | |
3.500%, 08/01/2030 to 06/01/2050 | | | 57,606 | | | | 61,083 | |
3.000%, 02/01/2034 to 07/01/2050 | | | 60,896 | | | | 64,597 | |
| | |
| 24 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
| | | | | | | | |
| | | |
| Description | | Face Amount
(Thousands) | | | Market Value ($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) | |
2.500%, 08/01/2031 to 08/01/2050 | | $ | 38,670 | | | $ | 40,622 | |
FNMA TBA | | | | | | | | |
5.000%, 08/13/2040 | | | 5,000 | | | | 5,470 | |
3.500%, 08/01/2026 | | | 800 | | | | 840 | |
FNMA, Ser 2019-M7, CI A2 | | | | | | | | |
3.143%, 04/25/2029 | | | 1,250 | | | | 1,440 | |
GNMA | | | | | | | | |
4.500%, 09/20/2046 to 01/20/2049 | | | 9,592 | | | | 10,339 | |
4.000%, 09/20/2047 to 05/20/2049 | | | 16,036 | | | | 17,136 | |
3.500%, 11/20/2041 to 03/20/2049 | | | 24,064 | | | | 25,576 | |
3.000%, 09/20/2046 to 07/20/2050 | | | 29,097 | | | | 30,829 | |
GNMA TBA | | | | | | | | |
4.500%, 08/01/2023 to 08/15/2039 | | | 4,000 | | | | 4,272 | |
3.500%, 08/20/2038 to 08/15/2041 | | | 5,500 | | | | 5,785 | |
2.500%, 08/01/2043 | | | 5,000 | | | | 5,283 | |
| | | | | | | | |
| | |
| | | | | | | 366,063 | |
| | | | | | | | |
|
Non-Agency Mortgage-Backed Obligations — 1.0% | |
BANK, Ser 2019-BN21, CI A5 | | | | | | | | |
2.851%, 10/17/2052 | | | 5,000 | | | | 5,539 | |
BANK, Ser 2019-BN24, CI A2 | | | | | | | | |
2.707%, 11/15/2062 | | | 500 | | | | 550 | |
BBCMS Mortgage Trust, Ser 2017-C1, Cl A4 | | | | | | | | |
3.674%, 02/15/2050 | | | 190 | | | | 216 | |
Benchmark Mortgage Trust, Ser 2020-B18, CI A5 | | | | | | | | |
1.925%, 07/15/2053 | | | 396 | | | | 410 | |
GS Mortgage Securities II, Ser 2013-GC10, CI A5 | | | | | | | | |
2.943%, 02/10/2046 | | | 560 | | | | 582 | |
Wells Fargo Commercial Mortgage Trust, Ser 2014-LC16, CI A5 | | | | | | | | |
3.817%, 08/15/2050 | | | 5,000 | | | | 5,421 | |
Wells Fargo Commercial Mortgage Trust, Ser 2018-C44, CI A5 | | | | | | | | |
4.212%, 05/15/2051 | | | 1,500 | | | | 1,771 | |
| | | | | | | | |
| | |
| | | | | | | 14,489 | |
| | | | | | | | |
Total Mortgage-Backed Securities
(Cost $380,084) ($ Thousands) | | | | 380,552 | |
| | | | | | | | |
|
SOVEREIGN DEBT — 7.8% | |
| | |
Bundesobligation | | | | | | | | |
0.000%,10/18/2024 (C) | | EUR | 800 | | | | 976 | |
Bundesrepublik Deutschland Bundesanleihe | | | | | | | | |
5.625%, 01/04/2028 | | | 600 | | | | 1,050 | |
2.500%, 08/15/2046 | | | 500 | | | | 1,013 | |
1.750%, 02/15/2024 | | | 800 | | | | 1,032 | |
1.500%, 05/15/2024 | | | 800 | | | | 1,028 | |
0.000%, 08/15/2029 (C) | | | 800 | | | | 998 | |
0.000%, 02/15/2030 (C) | | | 800 | | | | 998 | |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
|
SOVEREIGN DEBT (continued) | |
0.000%, 08/15/2026(C) | | EUR | 800 | | | $ | 989 | |
Canada Government International Bond | | | | | | | | |
5.000%, 06/01/2037 | | CAD | 800 | | | | 1,002 | |
2.625%, 01/25/2022 | | $ | 1,000 | | | | 1,035 | |
2.000%, 11/15/2022 | | | 200 | | | | 208 | |
1.625%, 01/22/2025 | | | 1,000 | | | | 1,058 | |
0.500%, 03/01/2022 | | CAD | 300 | | | | 225 | |
Chile Government International Bond | | | | | | | | |
2.450%, 01/31/2031 | | $ | 500 | | | | 537 | |
Colombia Government International Bond | | | | | | | | |
6.125%, 01/18/2041 | | | 500 | | | | 671 | |
3.000%, 01/30/2030 | | | 500 | | | | 515 | |
Export-Import Bank of Korea | | | | | | | | |
3.250%, 11/10/2025 | | | 500 | | | | 560 | |
1.875%, 02/12/2025 | | | 500 | | | | 523 | |
French Republic Government Bond OAT | | | | | | | | |
5.750%, 10/25/2032 | | EUR | 500 | | | | 1,022 | |
4.500%, 04/25/2041 | | | 500 | | | | 1,103 | |
2.500%, 05/25/2030 | | | 700 | | | | 1,054 | |
1.750%, 05/25/2023 | | | 1,600 | | | | 2,020 | |
1.750%, 06/25/2039 (A) | | | 700 | | | | 1,071 | |
1.500%, 05/25/2050 (A) | | | 800 | | | | 1,223 | |
1.000%, 05/25/2027 | | | 800 | | | | 1,041 | |
0.500%, 05/25/2026 | | | 800 | | | | 1,003 | |
0.000%, 03/25/2023 (C) | | | 530 | | | | 637 | |
Indonesia Government International Bond | | | | | | | | |
4.200%, 10/15/2050 | | $ | 300 | | | | 359 | |
2.850%, 02/14/2030 | | | 500 | | | | 527 | |
Israel Government International Bond | | | | | | | | |
3.875%, 07/03/2050 | | | 800 | | | | 996 | |
Italy Buoni Poliennali Del Tesoro | | | | | | | | |
5.000%, 08/01/2034 (A) | | EUR | 600 | | | | 1,035 | |
4.750%, 08/01/2023 (A) | | | 700 | | | | 942 | |
3.850%, 09/01/2049 (A) | | | 575 | | | | 966 | |
3.350%, 03/01/2035 (A) | | | 200 | | | | 297 | |
2.800%, 12/01/2028 | | | 700 | | | | 956 | |
2.450%, 09/01/2033 (A) | | | 700 | | | | 942 | |
1.850%, 07/01/2025 (A) | | | 800 | | | | 1,007 | |
1.650%, 03/01/2032 (A) | | | 800 | | | | 997 | |
1.000%, 07/15/2022 | | | 400 | | | | 482 | |
0.950%, 08/01/2030 | | | 800 | | | | 941 | |
0.350%, 11/01/2021 | | | 1,400 | | | | 1,666 | |
0.300%, 08/15/2023 (A) | | | 800 | | | | 950 | |
Italy Government International Bond | | | | | | | | |
4.000%, 10/17/2049 | | $ | 1,000 | | | | 1,044 | |
2.375%, 10/17/2024 | | | 500 | | | | 510 | |
Japan Bank for International Cooperation | | | | | | | | |
2.375%, 11/16/2022 | | | 1,000 | | | | 1,045 | |
0.625%, 05/22/2023 | | | 500 | | | | 503 | |
0.625%, 07/15/2025 | | | 200 | | | | 201 | |
Japan Government Five Year Bond | | | | | | | | |
0.100%, 03/20/2025 | | JPY | 249,000 | | | | 2,380 | |
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 25 |
SCHEDULE OF INVESTMENTS
July 31, 2020
Tactical Offensive Fixed Income Fund (Continued)
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) |
|
SOVEREIGN DEBT (continued) | |
Japan Government Forty Year Bond | | | | | | | | |
2.200%, 03/20/2050 | | JPY | 145,000 | | | $ | 2,001 | |
Japan Government Ten Year Bond | | | | | | | | |
0.600%, 03/20/2024 | | | 330,000 | | | | 3,206 | |
0.100%, 09/20/2026 | | | 135,000 | | | | 1,294 | |
0.100%, 12/20/2028 | | | 135,000 | | | | 1,295 | |
0.100%, 03/20/2030 | | | 289,000 | | | | 2,760 | |
0.100%, 06/20/2030 | | | 170,000 | | | | 1,622 | |
Japan Government Thirty Year Bond | | | | | | | | |
2.400%, 02/20/2030 | | | 215,000 | | | | 2,500 | |
2.400%, 11/20/2031 | | | 210,000 | | | | 2,503 | |
2.300%, 03/20/2040 | | | 190,000 | | | | 2,453 | |
0.400%, 03/20/2050 | | | 180,000 | | | | 1,644 | |
0.300%, 06/20/2046 | | | 185,000 | | | | 1,670 | |
Japan Government Twenty Year Bond | | | | | | | | |
2.200%, 03/20/2028 | | | 200,000 | | | | 2,227 | |
2.100%, 03/20/2027 | | | 200,000 | | | | 2,172 | |
2.000%, 06/20/2025 | | | 315,000 | | | | 3,289 | |
2.000%, 03/20/2027 | | | 195,000 | | | | 2,105 | |
0.400%, 03/20/2040 | | | 210,000 | | | | 1,996 | |
0.300%, 09/20/2039 | | | 200,000 | | | | 1,869 | |
Japan Government Two Year Bond | | | | | | | | |
0.100%, 06/01/2022 | | | 664,000 | | | | 6,309 | |
Mexico Government International Bond | | | | | | | | |
6.050%, 01/11/2040 | | $ | 500 | | | | 648 | |
5.000%, 04/27/2051 | | | 800 | | | | 936 | |
3.900%, 04/27/2025 | | | 500 | | | | 541 | |
3.250%, 04/16/2030 | | | 500 | | | | 512 | |
Panama Government International Bond | | | | | | | | |
4.500%, 04/01/2056 | | | 500 | | | | 675 | |
3.160%, 01/23/2030 | | | 500 | | | | 560 | |
Peruvian Government International Bond | | | | | | | | |
2.392%, 01/23/2026 | | | 500 | | | | 531 | |
Philippine Government International Bond | | | | | | | | |
3.950%, 01/20/2040 | | | 1,000 | | | | 1,236 | |
2.950%, 05/05/2045 | | | 300 | | | | 336 | |
2.457%, 05/05/2030 | | | 500 | | | | 548 | |
Province of Alberta Canada | | | | | | | | |
1.875%, 11/13/2024 | | | 1,500 | | | | 1,580 | |
1.000%, 05/20/2025 | | | 1,000 | | | | 1,014 | |
Province of Ontario Canada | | | | | | | | |
3.050%, 01/29/2024 | | | 1,500 | | | | 1,636 | |
2.000%, 10/02/2029 | | | 500 | | | | 542 | |
1.750%, 01/24/2023 | | | 1,000 | | | | 1,034 | |
1.050%, 05/21/2027 | | | 1,000 | | | | 1,011 | |
Province of Quebec Canada | | | | | | | | |
1.500%, 02/11/2025 | | | 1,500 | | | | 1,564 | |
1.350%, 05/28/2030 | | | 1,000 | | | | 1,031 | |
0.600%, 07/23/2025 | | | 150 | | | | 150 | |
State of Israel | | | | | | | | |
2.500%, 01/15/2030 | | | 650 | | | | 705 | |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) |
|
SOVEREIGN DEBT (continued) | |
United Kingdom Gilt | | | | | | | | |
8.000%, 06/07/2021 | | GBP | 700 | | | $ | 980 | |
5.000%, 03/07/2025 | | | 700 | | | | 1,136 | |
4.750%, 12/07/2030 | | | 490 | | | | 951 | |
4.250%, 06/07/2032 | | | 500 | | | | 966 | |
4.250%, 12/07/2040 | | | 500 | | | | 1,123 | |
4.250%, 12/07/2046 | | | 500 | | | | 1,235 | |
3.500%, 07/22/2068 | | | 325 | | | | 960 | |
3.250%, 01/22/2044 | | | 600 | | | | 1,241 | |
1.750%, 01/22/2049 | | | 50 | | | | 85 | |
1.750%, 07/22/2057 | | | 600 | | | | 1,095 | |
1.500%, 07/22/2026 | | | 700 | | | | 1,007 | |
1.250%, 07/22/2027 | | | 700 | | | | 1,002 | |
Uruguay Government International Bond | | | | | | | | |
4.500%, 08/14/2024 | | $ | 1,000 | | | | 1,105 | |
4.375%, 10/27/2027 | | | 300 | | | | 354 | |
| | | | | | | | |
| |
Total Sovereign Debt
(Cost $112,773) ($ Thousands) | | | | 116,283 | |
| | | | | | | | |
|
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4% | |
FFCB | | | | | | | | |
0.590%, 03/25/2024 | | | 500 | | | | 500 | |
0.200%, 07/13/2022 | | | 1,000 | | | | 1,000 | |
FHLB | | | | | | | | |
0.500%, 04/14/2025 | | | 2,000 | | | | 2,010 | |
FHLMC | | | | | | | | |
0.550%, 06/30/2023 | | | 500 | | | | 500 | |
0.550%, 01/08/2024 | | | 1,000 | | | | 1,000 | |
0.375%, 04/20/2023 | | | 1,000 | | | | 1,004 | |
0.375%, 05/05/2023 | | | 2,000 | | | | 2,008 | |
0.250%, 06/26/2023 | | | 2,000 | | | | 2,000 | |
FNMA | | | | | | | | |
0.625%, 04/22/2025 | | | 2,000 | | | | 2,021 | |
0.500%, 06/17/2025 | | | 3,000 | | | | 3,015 | |
0.250%, 05/22/2023 | | | 2,000 | | | | 2,001 | |
0.250%, 07/10/2023 | | | 1,365 | | | | 1,365 | |
Tennessee Valley Authority | | | | | | | | |
0.750%, 05/15/2025 | | | 2,000 | | | | 2,027 | |
| | | | | | | | |
| |
Total U.S. Government Agency Obligations
(Cost $20,405) ($ Thousands) | | | | 20,451 | |
| | | | | | | | |
|
MUNICIPAL BONDS — 0.3% | |
|
California — 0.1% | |
California State, GO | | | | | | | | |
2.500%, 10/01/2029 | | | 500 | | | | 550 | |
| | |
| 26 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
| |
MUNICIPAL BONDS (continued) | | | | | |
Regents of the University of California Medical Center Pooled Revenue, Ser N, RB | | | | | | | | |
Callable 11/15/2049 @ 100 3.006%, 05/15/2050 | | $ | 500 | | | $ | 534 | |
| | | | | | | | |
| | |
| | | | | | | 1,084 | |
| | | | | | | | |
| | |
Maryland — 0.0% | | | | | | | | |
Maryland State, Health & Higher Educational Facilities Authority, RB | | | | | | | | |
3.197%, 07/01/2050 | | | 35 | | | | 36 | |
Maryland State, Health & Higher Educational Facilities Authority, RB | | | | | | | | |
Callable 01/01/2040 @ 100 3.052%, 07/01/2040 | | | 35 | | | | 36 | |
| | | | | | | | |
| | |
| | | | | | | 72 | |
| | | | | | | | |
| | |
Michigan — 0.1% | | | | | | | | |
Great Lakes, Water Authority, Sewage Disposal System Revenue, Ser A, RB | | | | | | | | |
3.056%, 07/01/2039 | | | 500 | | | | 553 | |
| | | | | | | | |
| | |
New York — 0.0% | | | | | | | | |
New York & New Jersey, Port Authority, Ser AAA, RB | | | | | | | | |
1.086%, 07/01/2023 | | | 65 | | | | 66 | |
| | | | | | | | |
| | |
Texas — 0.1% | | | | | | | | |
Grand Parkway Transportation Corp, RB Callable 04/01/2030 @ 100 | | | | | | | | |
3.236%, 10/01/2052 | | | 500 | | | | 532 | |
Texas Transportation Commission, GO Callable 10/01/2030 @ 100 | | | | | | | | |
2.472%, 10/01/2044 | | | 1,200 | | | | 1,230 | |
| | | | | | | | |
| | |
| | | | | | | 1,762 | |
| | | | | | | | |
| | |
Virginia — 0.0% | | | | | | | | |
University of Virginia, RB Callable 03/01/2050 @ 100 | | | | | | | | |
2.256%, 09/01/2050 | | | 120 | | | | 125 | |
| | | | | | | | |
| |
Total Municipal Bonds
(Cost $3,600) ($ Thousands) | | | | 3,662 | |
| | | | | | | | |
| |
ASSET-BACKED SECURITIES — 0.0% | | | | | |
American Express Credit Account Master Trust, Ser 2019-3, CIA | | | | | | | | |
2.000%, 04/15/2025 | | | 175 | | | | 181 | |
Ford Credit Auto Lease Trust, Ser 2020-B, CI A3 | | | | | | | | |
0.620%, 08/15/2023 | | | 203 | | | | 203 | |
| | | | | | | | |
| | | |
| Description | | Face Amount (Thousands) | | | Market Value ($ Thousands) | |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Toyota Auto Receivables Owner Trust, Ser 2020-C, CI A3 | | | | | | | | |
0.440%, 10/15/2024 | | $ | 269 | | | $ | 270 | |
| | | | | | | | |
| |
Total Asset-Backed Securities
(Cost $653) ($ Thousands) | | | | 654 | |
| | | | | | | | |
| |
Total Investments in Securities — 98.7%
(Cost $1,445,246) ($ Thousands) | | | $ | 1,463,313 | |
| | | | | | | | |
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 27 |
SCHEDULE OF INVESTMENTS
July 31, 2020
Tactical Offensive Fixed Income Fund (Concluded)
A list of open forward foreign currency contracts held by the Fund at July 31, 2020, is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Settlement Date | | | Currency to Deliver (Thousands) | | | Currency to Receive (Thousands) | | | Unrealized Appreciation (Depreciation) (Thousands) | |
| | | | | | |
Brown Brothers Harriman | | | 08/04/20 - 10/02/20 | | | | CAD | | | | 3,260 | | | | USD | | | | 2,415 | | | $ | (19 | ) |
| | | | | | |
Brown Brothers Harriman | | | 10/02/20 | | | | GBP | | | | 8,997 | | | | USD | | | | 11,844 | | | | 34 | |
| | | | | | |
Brown Brothers Harriman | | | 08/04/20 | | | | GBP | | | | 9,028 | | | | USD | | | | 11,313 | | | | (536 | ) |
| | | | | | |
Brown Brothers Harriman | | | 10/02/20 | | | | EUR | | | | 25,067 | | | | USD | | | | 29,707 | | | | 28 | |
| | | | | | |
Brown Brothers Harriman | | | 08/04/20 | | | | EUR | | | | 26,568 | | | | USD | | | | 29,981 | | | | (1,438 | ) |
| | | | | | |
Brown Brothers Harriman | | | 08/04/20 - 10/02/20 | | | | JPY | | | | 9,593,467 | | | | USD | | | | 90,060 | | | | (726 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (2,657 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended July 31, 2020, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
| | Percentages are based on Net Assets of $1,482,305 ($ Thousands). |
| (A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On July 31, 2020, the value of these securities amounted to $34,023 ($ Thousands), representing 2.3% of the Net Assets of the Fund. |
| (B) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
| (C) | Rate shown is the effective yield at the time of purchase. |
CAD — Canadian Dollar
Cl — Class
DAC — Designated Activity Company
EUR — Euro
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GNMA — Government National Mortgage Association
GO — General Obligation
ICE — Intercontinental Exchange
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
LP — Limited Partnership
MTN — Medium Term Note
OAT — French Treasury Obligations (Obligations assimilables du Tresor)
RB — Revenue Bond
Ser — Series
TBA — To Be Announced
USD — United States Dollar
VAR — Variable Rate
The following is a list of inputs used as of July 31, 2020 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
| | | | | | | | | | | | | | | | |
| | | | | |
| Investments in Securities | | Level 1 ($) | | | Level 2 ($) | | | Level 3 ($) | | | Total ($) |
U.S. Treasury Obligations | | | — | | | | 515,734 | | | | — | | | | 515,734 | |
Corporate Obligations | | | — | | | | 425,977 | | | | — | | | | 425,977 | |
Mortgage-Backed Securities | | | — | | | | 380,552 | | | | — | | | | 380,552 | |
Sovereign Debt | | | — | | | | 116,283 | | | | — | | | | 116,283 | |
U.S. Government Agency Obligations | | | — | | | | 20,451 | | | | — | | | | 20,451 | |
Municipal Bonds | | | — | | | | 3,662 | | | | — | | | | 3,662 | |
Asset-Backed Securities | | | — | | | | 654 | | | | — | | | | 654 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | — | | | | 1,463,313 | | | | — | | | | 1,463,313 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments | | Level 1 ($) | | | Level 2 ($) | | | Level 3 ($) | | | Total ($) |
Forwards Contracts * | | | | | | | | | | | | | | | | |
Unrealized Appreciation | | $ | — | | | $ | 62 | | | $ | — | | | $ | 62 | |
Unrealized Depreciation | | | — | | | | (2,719 | ) | | | — | | | | (2,719 | ) |
| | | | | | | | | | | | | | | | |
Total Other Financial Instruments | | $ | — | | | $ | (2,657 | ) | | $ | — | | | $ | (2,657 | ) |
| | | | | | | | | | | | | | | | |
| * | Forwards contracts are valued at the unrealized appreciation (depreciation) on the instruments. |
For the year ended July 31, 2020, there were no transfers in or out of Level 3.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the transactions the Fund had with affiliates for the year ended July 31, 2020 ($ Thousands):
| | | | | | | | | | | | | | | | | | |
Security Description | | Value 7/31/2019 | | Purchases at Cost | | Proceeds from Sales | | Realized Gain (Loss) | | Change in Unrealized Appreciation (Depreciation) | | Value 7/31/2020 | | Shares | | Dividend Income | | Capital Gains |
SEI Daily Income Trust, Government Fund, Cl F | | $— | | $1,410,000 | | $(1,410,000) | | $— | | $— | | $— | | — | | $237 | | $— |
| | | | | | | | | | | | | | | | | | |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| | |
| 28 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
July 31, 2020
| | | | | | | | |
| | | Tactical Offensive Equity Fund | | | Tactical Offensive Fixed Income Fund | |
Assets: | | | | | | | | |
Investments, at value† | | $ | 571,880 | | | $ | 1,463,313 | |
Cash | | | 33,560 | | | | 270,956 | |
Foreign currency, at value ††† | | | 24 | | | | 43 | |
Cash pledged as collateral for futures contracts | | | 2,819 | | | | — | |
Dividends and interest receivable | | | 497 | | | | 6,236 | |
Receivable for fund shares sold | | | 276 | | | | 503 | |
Receivable for variation margin | | | 55 | | | | — | |
Foreign tax reclaim receivable | | | 6 | | | | — | |
Receivable for investment securities sold | | | 2 | | | | 484,659 | |
Unrealized gain on forward foreign currency contracts | | | — | | | | 62 | |
Unrealized gain on foreign spot currency contracts | | | — | | | | 2 | |
Prepaid expenses | | | 12 | | | | 7 | |
Total Assets | | | 609,131 | | | | 2,225,781 | |
Liabilities: | | | | | | | | |
Payable for fund shares redeemed | | | 393 | | | | 676 | |
Payable for variation margin | | | 226 | | | | — | |
Shareholder servicing fees payable | | | 107 | | | | 251 | |
Investment advisory fees payable | | | 18 | | | | 55 | |
Trustees fees payable | | | 2 | | | | 2 | |
Chief Compliance Officer fees payable | | | 1 | | | | 1 | |
Payable for investment securities purchased | | | — | | | | 739,583 | |
Unrealized loss on forward foreign currency contracts | | | — | | | | 2,719 | |
Unrealized loss on foreign spot currency contracts | | | — | | | | 61 | |
Accrued expense payable | | | 128 | | | | 128 | |
Total Liabilities | | | 875 | | | | 743,476 | |
Net Assets | | $ | 608,256 | | | $ | 1,482,305 | |
† Cost of investments | | $ | 549,004 | | | $ | 1,445,246 | |
††† Cost of foreign currency | | | 24 | | | | 41 | |
Net Assets: | | | | | | | | |
Paid-in capital — (unlimited authorization — no par value) | | $ | 606,741 | | | $ | 1,475,773 | |
Total distributable earnings | | | 1,515 | | | | 6,532 | |
Net Assets | | $ | 608,256 | | | $ | 1,482,305 | |
Net Asset Value, Offering and Redemption Price Per Share | | $ | 17.24 | | | $ | 9.93 | |
| | | ($608,256,426 ÷ | | | | ($1,482,305,100 ÷ | |
| | | 35,282,630 shares) | | | | 149,236,981 shares) | |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 29 |
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended July 31, 2020
| | | | | | | | |
| | | Tactical Offensive Equity Fund† | | | Tactical Offensive Fixed Income Fund‡ | |
Investment income: | | | | | | | | |
Dividends | | $ | 31,377 | | | $ | — | |
Dividends from affiliated investments(1) | | | 218 | | | | 237 | |
Interest income | | | 328 | | | | 32,681 | |
Less: foreign taxes withheld | | | (888) | | | | — | |
Total investment income | | | 31,035 | | | | 32,918 | |
Expenses: | | | | | | | | |
Shareholder servicing fees | | | 4,190 | | | | 3,044 | |
Investment advisory fees | | | 3,352 | | | | 1,827 | |
Administration fees | | | 3,331 | | | | 2,424 | |
Trustee fees | | | 26 | | | | 16 | |
Chief Compliance Officer fees | | | 9 | | | | 6 | |
Custodian/wire agent fees | | | 460 | | | | 79 | |
Registration fees | | | 181 | | | | 118 | |
Professional fees | | | 110 | | | | 76 | |
Printing fees | | | 81 | | | | 48 | |
Other expenses | | | 192 | | | | 407 | |
Total expenses | | | 11,932 | | | | 8,045 | |
Less: | | | | | | | | |
Waiver of investment advisory fees | | | (2,617) | | | | (1,135 | ) |
Waiver of administration fees | | | (867) | | | | (2,414 | ) |
Net expenses | | | 8,448 | | | | 4,496 | |
Net investment income | | | 22,587 | | | | 28,422 | |
Net realized gain/(loss) on: | | | | | | | | |
Investments | | | (132,584) | | | | (34,334 | ) |
Futures contracts | | | 169 | | | | — | |
Forward foreign currency contracts | | | — | | | | 2,126 | |
Foreign currency transactions | | | (1,834) | | | | 674 | |
Net change in unrealized appreciation/(depreciation) on: | | | | | | | | |
Investments | | | (31,403) | | | | (26,973 | ) |
Futures contracts | | | 407 | | | | — | |
Accrued foreign capital gains tax on appreciated securities | | | 76 | | | | — | |
Forward foreign currency contracts | | | — | | | | (3,211 | ) |
Foreign currency and translation of other assets and liabilities denominated in foreign currency | | | — | | | | (47 | ) |
Net decrease in net assets resulting from operations | | $ | (142,582) | | | $ | (33,343 | ) |
| † | For the period March 10, 2020 through June 3, 2020, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
| ‡ | For the period March 19, 2020 through June 16, 2020, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
(1) See Note 5 in the Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| | |
| 30 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended July 31,
| | | | | | | | | | | | | | | | |
| | | Tactical Offensive Equity Fund | | | Tactical Offensive Fixed Income Fund | |
| | | 2020† | | | 2019‡ | | | 2020^ | | | 2019 | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 22,587 | | | $ | 24,859 | | | $ | 28,422 | | | $ | 33,403 | |
Net realized gain/(loss) from investments and futures contracts | | | (132,415 | ) | | | 275,548 | | | | (34,334 | ) | | | (150 | ) |
Net realized gain/(loss) on forward foreign currency contracts and foreign currency transactions | | | (1,834 | ) | | | (110 | ) | | | 2,800 | | | | 1,701 | |
Net change in unrealized appreciation/(depreciation) on investments and futures contracts | | | (30,996 | ) | | | (522,297 | ) | | | (26,973 | ) | | | 64,812 | |
Net change on accrued foreign capital gains tax on appreciated securities | | | 76 | | | | (41 | ) | | | — | | | | — | |
Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts, foreign currency and translation of other assets and liabilities denominated in foreign currency | | | — | | | | 5 | | | | (3,258 | ) | | | 318 | |
Net increase/(decrease) in net assets resulting from operations | | | (142,582 | ) | | | (222,036 | ) | | | (33,343 | ) | | | 100,084 | |
Distributions: | | | (37,495 | ) | | | (325,113 | ) | | | (34,147 | ) | | | (43,706 | ) |
Total distributions | | | (37,495 | ) | | | (325,113 | ) | | | (34,147 | ) | | | (43,706 | ) |
Capital share transactions:(1) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 753,829 | | | | 2,752,180 | | | | 1,595,207 | | | | 908,943 | |
Reinvestment of dividends & distributions | | | 34,275 | | | | 25,028 | | | | 24,837 | | | | 43,578 | |
Cost of shares redeemed | | | (2,559,406 | ) | | | (2,282,883 | ) | | | (1,627,808 | ) | | | (260,476 | ) |
Net increase/(decrease) in net assets derived from capital share transactions | | | (1,771,302 | ) | | | 494,325 | | | | (7,764 | ) | | | 692,045 | |
Net increase/(decrease) in net assets | | | (1,951,379 | ) | | | (52,824 | ) | | | (75,254 | ) | | | 748,423 | |
Net assets: | | | | | | | | | | | | | | | | |
Beginning of year | | | 2,559,635 | | | | 2,612,459 | | | | 1,557,559 | | | | 809,136 | |
End of year | | $ | 608,256 | | | $ | 2,559,635 | | | $ | 1,482,305 | | | $ | 1,557,559 | |
| † | For the period March 10, 2020 through June 3, 2020, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
| ‡ | For the period December 19, 2018 through March 24, 2019, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
| ^ | For the period March 19, 2020 through June 16, 2020, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
(1) See Note 6 in the Notes to Financial Statements for additional information.
Amount designated as “—” is $0 or has been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 31 |
FINANCIAL HIGHLIGHTS
For the years ended July 31,
For a share outstanding throughout the years
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset value, beginning of year | | | Net investment income(1) | | | Net realized and unrealized gains/(losses} on securities(1) | | | Total from operations | | | Dividends from net investment income | | | Distributions from realized gains | | | Total dividends and distributions | | | Net asset value, end of year | | | Total Return† | | | Net assets, end of year ($ Thousands) | | | Ratio of net expenses to average net assets | | | Ratio of expenses to average net assets (excluding fees paid indirectly and including waivers) | | | Ratio of expenses to average net assets (excluding fees paid indirectly and waivers) | | | Ratio of net investment income to average net assets | | | Portfolio turnover | |
Tactical Offensive Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2020(2) | | $ | 15.64 | | | $ | 0.22 | | | $ | 1.61^ | | | $ | 1.83 | | | $ | (0.22) | | | $ | (0.01) | | | $ | (0.23) | | | $ | 17.24 | | | | 11.82% | | | $ | 608,256 | | | | 0.50% | | | | 0.50% | | | | 0.71% | | | | 1.35% | | | | 37% | |
2019(3) | | | 17.35 | | | | 0.26 | | | | 0.11^ | | | | 0.37 | | | | (0.25) | | | | (1.83) | | | | (2.08) | | | | 15.64 | | | | 4.12 | | | | 2,559,635 | | | | 0.50 | | | | 0.50 | | | | 0.69 | | | | 1.58 | | | | 148 | |
2018 | | | 15.74 | | | | 0.27 | | | | 1.72 | | | | 1.99 | | | | (0.26) | | | | (0.12) | | | | (0.38) | | | | 17.35 | | | | 12.77 | | | | 2,612,459 | | | | 0.50 | | | | 0.50 | | | | 0.68 | | | | 1.64 | | | | 7 | |
2017 | | | 13.59 | | | | 0.24 | | | | 2.04 | | | | 2.28 | | | | (0.13) | | | | – | | | | (0.13) | | | | 15.74 | | | | 16.87 | | | | 2,268,322 | | | | 0.50 | | | | 0.50 | | | | 0.69 | | | | 1.68 | | | | 8 | |
2016 | | | 13.93 | | | | 0.20 | | | | (0.28) | | | | (0.08) | | | | (0.15) | | | | (0.11) | | | | (0.26) | | | | 13.59 | | | | (0.42) | | | | 1,848,988 | | | | 0.50 | | | | 0.50 | | | | 0.71 | | | | 1.53 | | | | 319 | |
Tactical Offensive Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2020(4) | | $ | 10.34 | | | $ | 0.24 | | | $ | (0.42) | | | $ | (0.18) | | | $ | (0.23) | | | $ | – | | | $ | (0.23) | | | $ | 9.93 | | | | (1.79)% | | | $ | 1,482,305 | | | | 0.38% | | | | 0.38% | | | | 0.66% | | | | 2.34% | | | | 222% | |
2019 | | | 9.99 | | | | 0.30 | | | | 0.48 | | | | 0.78 | | | | (0.43) | | | | – | | | | (0.43) | | | | 10.34 | | | | 8.03 | | | | 1,557,559 | | | | 0.38 | | | | 0.38 | | | | 0.66 | | | | 2.95 | | | | 61 | |
2018 | | | 10.35 | | | | 0.27 | | | | (0.34) | | | | (0.07) | | | | (0.29) | | | | – | | | | (0.29) | | | | 9.99 | | | | (0.71) | | | | 809,136 | | | | 0.38 | | | | 0.38 | | | | 0.65 | | | | 2.63 | | | | 47 | |
2017 | | | 10.59 | | | | 0.26 | | | | (0.21) | | | | 0.05 | | | | (0.29) | | | | – | | | | (0.29) | | | | 10.35 | | | | 0.51 | | | | 1,323,854 | | | | 0.38 | | | | 0.38 | | | | 0.66 | | | | 2.52 �� | | | | 48 | |
2016 | | | 10.19 | | | | 0.25 | | | | 0.36 | | | | 0.61 | | | | (0.21) | | | | – | | | | (0.21) | | | | 10.59 | | | | 6.05 | | | | 1,143,375 | | | | 0.38 | | | | 0.38 | | | | 0.66 | | | | 2.45 | | | | 101 | |
| (1) | Per share net investment income and net realized and unrealized gains/(losses) on securities calculated using average shares. |
| (2) | For the period March 10, 2020 through June 3, 2020, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
| (3) | For the period December 18, 2018 through March 24, 2019, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
| (4) | For the period March 19, 2020 through June 16, 2020, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
|
† Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. Effective October 1, 2014, the Funds’ investment strategy was changed from “active” to “passive”. The Funds’ past performance is not necessarily indicative of how the Funds will perform in the future. |
|
^ The amount shown for a share outstanding throughout the period does not accord with the aggregate net realized and unrealized losses for that period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| | |
| 32 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
NOTES TO FINANCIAL STATEMENTS
July 31, 2020
1. ORGANIZATION
Adviser Managed Trust (the “Trust”) was established as a Delaware statutory trust under an Agreement and Declaration of Trust dated September 22, 2010. The Trust commenced operations on February 25, 2011.
The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment management company with two registered funds: Tactical Offensive Equity and Tactical Offensive Fixed Income (each a “Fund,” collectively, the “Funds”) each of which are diversified Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Trust’s prospectus provides a description of each Fund’s investment objective and strategies.
Only persons who are clients of the Financial Adviser (as defined below) and who participate in the Adviser Managed Strategy should invest in the Funds. The Funds may not be purchased by any other investor. The Funds are designed to be a component of a broader strategy employed by a third party investment manager (“Financial Adviser”) for the benefit of its clients. The Financial Adviser seeks to take advantage of broad market changes by tactically shifting its clients’ assets among the Tactical Offensive Equity Fund, the Tactical Offensive Fixed Income Fund and a money market fund affiliated with the Funds, depending on the Financial Adviser’s evaluation of current market conditions (“Adviser Managed Strategy”). The Financial Adviser is not the adviser to the Funds, and is not affiliated with SEI Investments Management Corporation (“SIMC”), the adviser to the Funds.
When the Financial Adviser determines to reallocate its clients’ assets to one or more of the Funds that compose the Adviser Managed Strategy, the Financial Adviser may request the redemption of a substantial portion or all of the shares for which the Financial Adviser exercises investment discretion. In such an instance, the Financial Adviser’s redemption request will cause a Fund to liquidate a substantial portion or substantially all of its assets in order to fulfill the redemption request. If the Financial Adviser redeems all of the shares for which it exercises investment discretion, the Fund will no longer be an active component of the Adviser Managed Strategy.
When the Tactical Offensive Equity Fund is not an active component of the Adviser Managed Strategy, the Fund may invest up to 100% of its remaining assets in exchange traded funds (“ETF”s) that are designed to track the performance of the broad equity market. When the Tactical Offensive Fixed Income Fund is not an active component of the Adviser Managed Strategy, the Fund
may invest up to 100% of its remaining assets in cash, money market instruments, repurchase agreements and other short-term obligations that would not ordinarily be consistent with the Fund’s investment goal.
The Funds could be invested in these types of investments for extended periods of time. At such times, SIMC will manage the assets of the Funds. SIMC, the Financial Adviser or one or more of their affiliates will be the only investors in a Fund when the Fund is not an active component of the Adviser Managed Strategy.
During the periods March 10, 2020 through June 3, 2020, and December 18, 2018 through March 24, 2019, the Tactical Offensive Equity Fund was not an active component of the Adviser Managed Strategy.
During the period March 19, 2020 through June 16, 2020, the Tactical Offensive Fixed Income Fund was not an active component of the Adviser Managed Strategy.
2. SIGNIFICANT ACCOUNTING POLICIES
The following are significant accounting policies, which are consistently followed in the preparation of its financial statements by the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).
Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (other than securities traded on National Association of Securities Dealers Automated Quotations (NASDAQ) or as otherwise noted below) at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. The Funds value securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or collateralized debt obligations (including collateralized loan obligations), such as those held by the Funds, are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 33 |
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2020
traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker supplied valuations or other methodologies designed to identify the market value for such securities. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable net asset value, with the exception of ETFs, which are priced as equity securities. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above, the Funds will value the securities using a bid price from at least one independent broker. If such prices are not readily available or cannot be valued using the methodologies described above, the Funds will value the security using the Funds’ Fair Value Pricing Policies and Procedures (“Fair Value Procedures”), as described below.
On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Funds’ Fair Value Procedures until a price from an independent source can be secured. Securities held by a Fund with remaining maturities of 60 days or less may be valued by the amortized cost method, which involves valuing a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price a Fund would receive if it sold the instrument. Further, the value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used.
Options and warrants are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price.
Futures and swaps cleared through a central clearing house (“centrally cleared swaps”) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement
prices for financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time a Fund calculates its NAV, the settlement price may not be available at the time at which the Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a Fund’s futures or centrally cleared swaps position.
Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety and one-hundred eighty day forward rates provided by an independent source.
Prices for most securities held by a Fund are provided daily by third-party independent pricing agents. SIMC or a Sub-Adviser (“Sub Adviser”), as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, will continuously monitor the reliability of prices obtained from any pricing service and shall promptly notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, will notify the Fair Value Pricing Committee (the “Committee”) if it receives such notification from SIMC or a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices.
The Funds’ Fair Value Procedures provide that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board of Trustees (“Board”) or its designated sub-committee. However, when the change would not materially affect valuation of a Fund’s net assets or involve a material departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, approval may be obtained at the next regularly scheduled meeting of the Board.
Securities for which market prices are not readily available, for which market prices are determined to be unreliable, or which cannot be valued using the methodologies described above are valued in accordance with the Fair Value Procedures established by the Board. The Funds’ Fair Value Procedures are implemented through the Committee designated by the Board. The Committee is currently composed of two members of the Board, as well as representatives from SIMC and its affiliates. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: (i) the security’s trading has been halted or suspended, (ii) the security
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| 34 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
has been delisted from a national exchange, (iii) the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open, or (iv) the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. Examples of factors the Committee may consider include: (i) the facts giving rise to the need to fair value, (ii) the last trade price, (iii) the performance of the market or the issuer’s industry, (iv) the liquidity of the security, (v) the size of the holding in a Fund, or (vi) any other appropriate information.
The determination of a security’s fair value price often involves the consideration of a number of subjective factors, and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its Net Asset Value (“NAV”). The closing prices of such securities may no longer reflect their market value at the time a Fund calculates NAV if an event that could materially affect the value of those securities (a “Significant Event”), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates NAV. A Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares.
A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or a Sub-Adviser becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Funds calculate NAV, it may request that a Committee meeting be called. In addition, the Funds use several processes, with respect to certain securities to monitor the pricing data supplied by various sources, including price comparisons and price movements. Any identified discrepancies are researched and subject to the procedures described above.
In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — quoted prices in active markets for identical investments
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the New York Stock Exchange. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that
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| Adviser Managed Trust / Annual Report / July 31, 2020 | | 35 |
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2020
would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the year ended July 31, 2020, maximized the use of observable inputs and minimized the use of unobservable inputs.
For the year ended July 31, 2020, there have been no significant changes to the Trust’s fair valuation methodologies.
For details of the investment classification, reference the Schedules of Investments.
Security Transactions and Investment Income — Security transactions are recorded on the trade date. Cost used in determining realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense recognized on the ex-dividend date, and interest income or expense recognized using the accrual basis of accounting.
Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.
Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.
Repurchase Agreements — Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding,
realization of the collateral by the Funds may be delayed or limited. There were no outstanding repurchase agreements as of July 31, 2020.
Reverse Repurchase Agreements — To the extent consistent with its investment objective and strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in a segregated account with the custodian. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Funds’ use of the proceeds under the reverse repurchase agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no outstanding reverse repurchase agreements as of July 31, 2020.
Expenses — Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.
Foreign Currency Translation — The books and records of the Funds’ investments in international securities are maintained in U.S. dollars on the following basis:
(i) market value of investment securities, assets and liabilities at the current rate of exchange; and
(ii) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.
The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.
The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.
Forward Foreign Currency Contracts — To the extent consistent with its investment objective and strategies, a Fund may enter into forward foreign currency contracts for hedging or speculative purposes with respect to either specific transactions, fund positions or anticipated fund positions. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded
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| 36 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
currently. The Fund realizes gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. A Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments for details regarding open forward foreign currency contracts as of July 31, 2020, if applicable.
Futures Contracts — To the extent consistent with its investment objective and strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments for details regarding open futures contracts as of July 31, 2020, if applicable.
Options/Swaptions Writing/Purchasing — To the extent consistent with its investment objective and strategies, a Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing portfolio securities, or securities that a Fund intends to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. A Fund may also invest in financial option/swaption contracts to enhance its returns. When the Fund writes or purchases an option/swaption, an amount equal to
the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option/swaption written or purchased. Premiums received or paid from writing or purchasing options/swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss.
The risk in writing a call option/swaption is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is a Fund may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is a Fund may pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities. The Funds did not hold any option/swaption contracts as of July 31, 2020.
Swap Agreements — To the extent consistent with its investment objective and strategies, a Fund may invest in swap contracts for speculative or hedging purposes. Swaps may be used to synthetically obtain exposure to securities or baskets of securities. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade,
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| Adviser Managed Trust / Annual Report / July 31, 2020 | | 37 |
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2020
the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian.
Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.
These risks may be mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3
for further details. The Funds did not hold any swap contracts as of July 31, 2020.
Delayed Delivery Transactions — To the extent consistent with its investment objective and strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by those Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, that Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. Those Funds may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When those Funds have sold a security on a delayed delivery basis, that Fund does not participate in future gains and losses with respect to the security.
Loan Participations and Brady Bonds — To the extent consistent with its investment objective and strategies, a Fund may invest in U.S. dollar-denominated fixed - and floating-rate loans (“Loans”) arranged through private negotiations between a foreign sovereign entity and one or more financial institutions (“Lenders”). The Fund invests in such Loans in the form of participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties. Participations typically result in this Fund having a contractual relationship only with the Lenders, not with the sovereign borrowers. This Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation.
Certain debt obligations, customarily referred to as “Brady Bonds,” are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being
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| 38 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies. As of July 31, 2020, the Funds did not hold any loans.
Collateralized Debt Obligations — To the extent consistent with its investment objective and strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed security. A CLO is a trust, typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the cash flows from the Trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by a Fund as illiquid securities; however, an active dealer market may exist for CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline CDOs that are subordinate structure of the investment and investment results. The Funds did not hold any CDOs or CLOs as of July 31, 2020.
Dividends and Distributions to Shareholders —
Dividends from net investment income are declared and
paid to shareholders annually for the Tactical Offensive Equity Fund and declared and paid quarterly for the Tactical Offensive Fixed Income Fund. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. The Funds did not hold any illiquid securities as of July 31, 2020.
Investments in Real Estate Investment Trusts (“REITs”) — Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
3. CREDIT DERIVATIVES
When a Fund seeks to take an active long or short position with respect to the likelihood of an event of default of a security or basket of securities, the Fund may use credit default swaps. The Fund may buy credit default swaps in an attempt to manage credit risk where the Fund has credit exposure to an issuer and the Fund may sell credit default swaps to more efficiently gain credit exposure to such security or basket of securities. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset-backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
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| Adviser Managed Trust / Annual Report / July 31, 2020 | | 39 |
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2020
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
The Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the-counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
There were no outstanding credit default swaps as of July 31, 2020.
4. DERIVATIVE TRANSACTIONS
A Fund is subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple
agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a specific counterparty entity in the event of a default with respect to all the transactions governed under a single agreement with a specific counterparty entity.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Securities and U.S. dollar cash are generally the preferred forms of collateral. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of investments at value (securities) or deposits due from counterparties (cash). Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as deposits due to counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Customer account agreements and related addendums govern exchange traded derivatives transactions such as futures, options on futures, and centrally cleared swaps. Exchange traded derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodities Futures Trading Commission (“CFTC”), or the applicable regulator. In the US, counterparty risk is significantly reduced as creditors of the futures broker do not have claim to Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared Over the Counter (“OTC”) derivatives.
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| 40 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
The following is a summary of the variation margin of exchange-traded or centrally cleared financial derivative instruments as of July 31, 2020 ($ Thousands):
| | | | | | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | | | Financial Derivative Liabilities | |
| | | Variation Margin Asset | | | | | Variation Margin Liability | |
| | | Futures | | | Total | | | | | Futures | | | Total | |
| | | | | | | |
Tactical Offensive Equity Fund | | | $55 | | | | $55 | | | | | | $226 | | | | $226 | |
| | | | | | | | | | |
Total Exchange-Traded or Centrally Cleared | | | $55 | | | | $55 | | | | | | $226 | | | | $226 | |
| | | | | | | | | | |
The Tactical Offensive Equity Fund had cash with an aggregate market value of $2,819 ($ Thousands) pledged as collateral for exchange-traded and centrally cleared derivative instruments as of July 31, 2020.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or
termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add additional counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third party custodian.
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of July 31, 2020 ($ Thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Tactical Offensive Fixed Income Fund | | Financial Derivative Assets | | | | | Financial Derivative Liabilities | | | Net Market Value of OTC Derivatives | | | Collateral
(Received)/ Pledged | | | Net Exposures(1) | |
| | Forward Foreign Currency Contracts | | | Total Over the Counter | | | | | Forward Foreign Currency Contracts | | | Total Over the Counter | |
Brown Brothers Harriman | | | $62 | | | | $62 | | | | | | $2,719 | | | | $2,719 | | | | $(2,657) | | | | $— | | | | $(2,657) | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Over the Counter | | | $62 | | | | $62 | | | | | | $2,719 | | | | $2,719 | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
(1) Net Exposures represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure to OTC financial derivative instruments can only be netted across transactions governed under the same master netting agreement with the same legal entity.
Securities with an aggregate market value of $0 have been pledged and $0 have been received as collateral for financial derivative instruments as governed by ISDA Master Agreements as of July 31, 2020.
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| Adviser Managed Trust / Annual Report / July 31, 2020 | | 41 |
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2020
5. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT SUB-ADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory, Administration & Distribution Agreements — SIMC serves as investment adviser (the “Adviser”) to each Fund. In connection with serving as Adviser, SIMC is entitled to a fee that is calculated daily and paid monthly, based on the average daily net assets of each Fund.
The Trust and SEI Investments Global Funds Services (the “Administrator”) are parties to an Administration and Transfer Agency Agreement under which the Administrator provides administrative and transfer agency services for annual fees, based on the average daily net assets of each Fund.
SEI Investments Distribution Co. (the “Distributor”), serves as each Fund’s Distributor pursuant to a distribution agreement with the Trust. The Funds have adopted a shareholder services plan (the “Service Plan”) with respect to the Shares that allows such Shares to pay service providers a fee in connection with the ongoing servicing of shareholder accounts owning such Shares at an annual rate of average daily net assets of the Shares. The Funds’ Service Plan provides that shareholder servicing fees on the Shares will be paid to the Distributor, which may be used by the Distributor to compensate financial intermediaries for providing shareholder services with respect to the Shares.
The Funds’ administrator and/or its affiliates have contractually agreed to waive fees or reimburse expenses for each Fund until November 30, 2020, in
order to keep total fund operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes and other extraordinary expenses not incurred in the ordinary course of the Fund’s business) from exceeding the levels specified in the table below. These contractual waivers and reimbursements will only apply if a Fund’s total operating costs exceed the applicable thresholds and will not affect the Fund’s total operating costs if they are less than the applicable thresholds. In other words, shareholders will pay the lower of a Fund’s actual total fund operating expenses or total fund operating expenses after contractual waivers and expense reimbursements. The contractual waiver and expense reimbursement are limited to the Fund’s direct operating expenses and, therefore, do not apply to indirect expenses incurred by the Fund, such as acquired fund fees and expenses (“AFFE”). The agreement may be amended or terminated only with the consent of the Board of Trustees.
The Funds’ adviser, the Funds’ administrator and/ or the Funds’ distributor have voluntarily agreed to waive a portion of their fees in order to keep total direct operating expenses (exclusive of interest from borrowings, brokerage commissions, trustee fees, taxes and extraordinary expenses not incurred in the ordinary course of the Funds’ business) at the levels specified in the table below. The voluntary waivers of the Funds’ adviser, Funds’ administrator and Funds’ distributor are limited to the Funds’ direct operating expenses and therefore do not apply to indirect expenses incurred by the Funds, such as AFFE, if any. The Funds’ adviser, the Funds’ administrator and/or the Funds’ distributor may discontinue all or part of these waivers at any time.
The following is a summary of annual fees payable to the Adviser and Distributor and the expense limitations for each Fund:
| | | | | | | | | | | | | | | | |
| | | Advisory Fee | | | Shareholder Servicing Fee | | | Contractual Expense Limitation | | | Voluntary Expense Limitation | |
Tactical Offensive Equity Fund | | | 0.20% | | | | 0.25% | | | | 0.75% | | | | 0.50% | |
Tactical Offensive Fixed Income Fund | | | 0.15 | | | | 0.25 | | | | 0.70 | | | | 0.38 | |
The following is a summary of annual fees payable to the Administrator:
| | | | | | | | | | | | | | | | | | |
| | | Contractual Fees |
| | | First $2.5 Billion | | | Next $500 Million | | | Over $3 Billion | | | | | | |
Tactical Offensive Equity Fund | | | 0.200 | % | | | 0.1650 | % | | | 0.120 | % | | | | | | |
| | | | | |
| | | First $1.5 Billion | | | Next $500 Million | | | Next $500 Million | | | Next $500 Million | | | Over $3 Billion |
Tactical Offensive Fixed Income Fund | | | 0.200 | % | | | 0.1775 | % | | | 0.1550 | % | | | 0.1325 | % | | 0.110% |
| | |
| 42 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
As of July 31, 2020, SIMC has entered into an investment sub-advisory agreement with the following party and pays the sub-adviser out of the fee that it receives from the Funds:
Investment Sub-Adviser
Tactical Offensive Equity Fund
SSgA Funds Management, Inc.
Tactical Offensive Fixed Income Fund
SSgA Funds Management, Inc.
Other — The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on Fund transactions effected for the Trust in accordance with Securities and Exchange Commission (“SEC”) rules. Accordingly, it is expected that Fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions.
There were no such commissions for the period ended July 31, 2020.
Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers or directors of the Distributor or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings.
Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator.
A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred.
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of each
Fund’s expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statements of Operations and the effect on each Fund’s expense ratio, as a percentage of each Fund’s average daily net assets for the year ended July 31, 2020, can be found on the Financial Highlights, if applicable.
Investment in Affiliated Security — The Funds may invest in the SEI Daily Income Trust Government Fund, an affiliated money market fund to manage excess cash or to serve as margin or collateral for derivative positions. The Funds may also purchase securities of certain companies with which it is affiliated to the extent these companies are represented in an index that the adviser or sub-adviser is passively seeking to replicate in accordance with the Fund’s investment strategy.
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“the Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula reviewed annually by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
As of, and during the year ended July 31, 2020, the Trust had not participated in the Program.
6. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
| | | | | | | | | | | | | | | | |
| | | Tactical Offensive Equity Fund | | | Tactical Offensive Fixed Income Fund | |
| | | 2020† | | | 2019‡ | | | 2020^ | | | 2019 | |
Shares Issued | | | 45,819 | | | | 179,498 | | | | 161,611 | | | | 91,060 | |
Shares Issued in Lieu of Dividends and Distributions | | | 2,053 | | | | 1,609 | | | | 2,381 | | | | 4,365 | |
Shares Redeemed | | | (176,261 | ) | | | (168,023 | ) | | | (165,327 | ) | | | (25,829 | ) |
lncrease/(Decrease) in capital share transactions | | | (128,389 | ) | | | 13,084 | | | | (1,335 | ) | | | 69,596 | |
| † | For the period March 10, 2020 through June 3, 2020, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
| ‡ | For the period December 18, 2018 through March 24, 2019, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
| ^ | For the period March 19, 2020 through June 16, 2020, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 43 |
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2020
7. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale and maturities of securities other than temporary cash investments during the year ended July 31, 2020, were as follows:
| | | | | | | | | | | | |
| | | U.S. Gov’t ($ Thousands) | | Other ($ Thousands) | | Total ($ Thousands) |
Tactical Offensive Equity Fund | | | | | |
Purchases | | $ | — | | | $ | 595,461 | | | $ | 595,461 | |
Sales | | | — | | | | 2,355,395 | | | | 2,355,395 | |
Tactical Offensive Fixed Income Fund | | | | | |
Purchases | | | 1,996,870 | | | | 645,891 | | | | 2,642,761 | |
Sales | | | 1,900,144 | | | | 748,716 | | | | 2,648,860 | |
8. FEDERAL TAX INFORMATION
It is each Fund’s intention to continue to qualify as a regulated investment company, under Sub chapter M of the Internal Revenue Code, and to distribute all of its taxable income and net capital gains. Accordingly, no provision for Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under U.S. GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital and distributable earnings (loss), as appropriate, in the period that the differences arise.
The permanent differences primarily consist of foreign currency translation, reclassification of long term capital gain distribution on REITs, investments in publicly traded partnerships, write off of capital losses, investments in PFICs, paydown gain/loss on mortgage and asset-backed securities, and distribution reclassification. The permanent differences that are credited or charged to paid-in capital and distributable earnings (accumulated loss) as of July 31, 2020 are primarily related to distribution in excess of net investment income.
| | | | | | | | |
| | | Distributable Earnings (Accumulated Loss)
($ Thousands) | | Paid-in- Capital ($ Thousands) |
Tactical Offensive Equity Fund | | | $ 114,539 | | | | $(114,539 | ) |
Tactical Offensive Fixed Income Fund | | | 59,860 | | | | (59,860 | ) |
These reclassifications have no impact on net assets or net asset value per share.
The tax character of dividends and distributions paid during the last two fiscal years were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Ordinary Income ($ Thousands) | | | Long-Term Capital Gain ($ Thousands) | | | Distributions ($ Thousands) | | | Total ($ Thousands) | |
Tactical Offensive Equity Fund | | | | | | | | | | | | | | | | | | | | |
| | | 2020 | | | $ | 36,673 | | | $ | 822 | | | $ | — | | | $ | 37,495 | |
| | | 2019 | | | | 42,874 | | | | 282,239 | | | | — | | | | 325,113 | |
Tactical Offensive Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| | | 2020 | | | | 34,147 | | | | — | | | | — | | | | 34,147 | |
| | | 2019 | | | | 43,706 | | | | — | | | | — | | | | 43,706 | |
As of July 31, 2020, the components of Distributable Earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Capital Loss Carryforwards ($ Thousands) | | | Late Year Ordinary Losses ($ Thousands) | | | Unrealized Appreciation ($ Thousands) | | | Other Temporary Differences ($ Thousands) | | | Total Distributable Earnings ($ Thousands) | |
Tactical Offensive Equity Fund | | $
| (20,758
| )
| | $
| —
|
| | $ | 22,531 | | | $ | (258 | ) | | $ | 1,515 | |
Tactical Offensive Fixed Income Fund | | | (8,205 | ) | | | (540 | ) | | | 17,979 | | | | (2,702 | ) | | | 6,532 | |
During the year ended July 31, 2020, the Tactical Offensive Fixed Income Fund utilized capital loss carryforwards to offset capital gains of $23,543 ($ Thousands).
For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
| | | | | | | | | | | | |
| | | Short-Term
Loss ($ Thousands) | | | Long-Term
Loss ($ Thousands) | | | Total ($ Thousands) | |
Tactical Offensive Equity Fund | | $ | 20,758 | | | $ | — | | | $ | 20,758 | |
Tactical Offensive Fixed Income Fund | | | — | | | | 8,205 | | | | 8,205 | |
For Federal income tax purposes, the cost of securities owned at July 31, 2020, and the net realized gains or losses on securities sold for the period were not
| | |
| 44 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
materially different from amounts reported for financial reporting purposes. These differences are primarily due to investments in passive foreign investment companies, partnership basis adjustments, mark-to-market of futures and forwards contracts, corporate actions, and wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years.
The aggregate gross unrealized appreciation and depreciation on total investments (including foreign currency and derivatives, if applicable) held by the Funds at July 31, 2020, were as follows:
| | | | | | | | | | | | | | | | |
| | | Federal Tax Cost ($ Thousands) | | | Appreciated Securities ($ Thousands) | | | Depreciated Securities ($ Thousands) | | | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |
Tactical Offensive Equity Fund | | $ | 549,339 | | | $ | 31,825 | | | $ | (9,294 | ) | | $ | 22,531 | |
Tactical Offensive Fixed Income Fund | | | 1,445,287 | | | | 18,432 | | | | (453 | ) | | | 17,979 | |
Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of July 31, 2020, no provision for income tax would be required in the Funds’ financial statements. The Funds’ Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
9. CONCENTRATION/RISKS
In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, management believes that, based on experience, the risk of loss from such claims is considered remote.
The following is not intended to be a complete discussion of the risks associated with investing in a Fund. Please review each Fund’s prospectus for additional disclosures regarding the principal risks associated with investing in a Fund.
Adviser Managed Strategy Risk — The Funds are a component of a broader investment strategy employed by the Financial Adviser known as the Adviser Managed Strategy. Pursuant to the Adviser Managed Strategy, the Financial Adviser tactically shifts its clients’ assets among the Funds and a money market fund affiliated with the Funds. These asset shifts among the Funds in the
Adviser Managed Strategy (i.e., an exchange of shares of one fund for shares of another fund) will be a taxable event to an investor unless the investor is investing in a Fund through a tax-deferred arrangement. As part of the Adviser Managed Strategy, substantial portions or substantially all of the Funds’ shares may be periodically sold and repurchased at the direction of the Financial Adviser. These large redemptions and repurchases will have significant effects on the management of the Funds and are expected to result in increased portfolio turnover (and related transaction costs), disruption of portfolio management strategies and the realization of significant taxable gains. Accordingly, if notified of an upcoming redemption request, the Funds may begin to liquidate substantial portions or substantially all of its assets prior to the submission of the redemption request in an effort to raise the necessary cash, and the Funds will not be invested pursuant to its investment strategy during such time. When the Funds are required to rapidly liquidate a substantial portion of their portfolio to satisfy a large redemption order placed as part of the Adviser Managed Strategy, the Funds may be forced to sell securities at below current market values or the Funds’ selling activity may drive down the market value of securities being sold. The Funds may also be required to sell portfolio holdings at a time when the portfolio managers would otherwise not recommend doing so. For example, if a Fund were to experience a large redemption at a time of high market volatility or during a substantial market decline, the Fund would be forced to liquidate securities even though the portfolio managers may not otherwise choose to do so. When the Funds receive a large purchase order as a result of the Adviser Managed Strategy, the Funds may be required to rapidly purchase portfolio securities. This may cause the Funds to incur higher than normal transaction costs or may require the Funds to purchase portfolio securities at above current market values. Further, the Funds’ purchasing activity may drive up the market value of securities being purchased or the Funds may be required to purchase portfolio securities at a time when the portfolio managers would not otherwise recommend doing so. When the Funds are not an active component of the Adviser Managed Strategy, the Funds may miss investment opportunities because the assets necessary to take advantage of such opportunities are tied up in other investments or have been allocated to another fund within the Adviser Managed Strategy.
Asset Allocation Risk — The risk that SIMC’s decisions regarding allocation of the Funds’ assets among Indexes will not anticipate market trends successfully.
Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 45 |
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2020
backing the securities. Securitization trusts generally do not have any assets or sources of funds other than the receivables and related property they own, and asset-backed securities are generally not insured or guaranteed by the related sponsor or any other entity. Asset-backed securities may be more illiquid than more conventional types of fixed income securities that the Fund may acquire.
Below Investment Grade Securities (Junk Bonds) Risk — The Tactical Offensive Fixed Income Fund may invest in fixed income securities rated below investment grade (also known as high yield securities or junk bonds) that involve greater risks of default or downgrade and are generally more volatile than investment grade securities because the prospect for repayment of principal and interest of many of these securities is speculative.
Corporate Fixed Income Securities Risk — The Tactical Offensive Fixed Income Fund may invest in corporate fixed income securities which respond to economic developments, especially changes in interest rates, as well as to perceptions of the creditworthiness and business prospects of individual issuers.
Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.
Currency Risk — As a result of the Funds’ investments in securities denominated in and/or receiving revenues in foreign currencies, the Funds will be subject to currency risk. This is the risk that those currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency hedged. In either event, the dollar value of an investment in the Funds would be adversely affected.
Derivatives Risk — The Funds’ use of futures contracts, forward contracts and swaps is subject to market risk, leverage risk, correlation risk and liquidity risk. Leverage risk and liquidity risk are described below. Many over-the-counter (OTC) derivative instruments will not have liquidity beyond the counterparty to the instrument. Market risk is the risk that the market value of an investment may move up and down, sometimes rapidly and unpredictably. Correlation risk is the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. The Funds’ use of forward contracts and swap agreements is also subject to credit risk and valuation risk. Valuation risk is the risk that the derivative may be difficult to value and/or valued incorrectly. Credit risk is described above. Each of these risks could cause the Funds to lose more than the principal amount invested in a derivative instrument. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds’
initial investment. The other parties to certain derivative contracts present the same types of credit risk as issuers of fixed income securities. The Funds’ use of derivatives may also increase the amount of taxes payable by shareholders. Both U.S. and non-U.S. regulators are in the process of adopting and implementing regulations governing derivatives markets, the ultimate impact of which remains unclear.
Economic Risks of Global Health Events — Global health events and pandemics, such as COVID-19, have the ability to affect—quickly, drastically and substantially the economies of many nations, states, individual companies and the markets in general and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the world in 2020 resulted in a substantial number of nations implementing social distancing measures, quarantines, and the shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in U.S. and international markets. The impact of the outbreak may be short term or may last for an extended period of time.
Exchange Traded Funds (ETFs) Risk — The risks of owning shares of an ETF generally reflect the risks of owning the underlying securities the ETF is designed to track, although lack of liquidity in an ETF could result in its value being more volatile than the underlying portfolio securities.
Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory and tax environments. These additional risks may be heightened with respect to emerging market countries because political turmoil and rapid changes in economic conditions are more likely to occur in these countries.
Foreign Sovereign Debt Securities Risk — The Tactical Offensive Fixed Income Fund may be subject to the risk that: (i) the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or interest when it becomes due because of factors such as debt service burden, political constraints, cash flow problems and other national economic factors; (ii) governments may default on their debt securities, which may require holders of such securities to participate in debt rescheduling or additional lending to defaulting governments; and (iii) there is no bankruptcy proceeding by which defaulted sovereign debt may be collected in whole or in part.
Interest Rate Risk — The Tactical Offensive Fixed Income Fund may be subject to the risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which
| | |
| 46 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
the Fund invests. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly.
Investment Style Risk — The risk that the Tactical Offensive Equity Fund’s investment approach may underperform other segments of the equity markets or the equity markets as a whole and the risk that the Tactical Offensive Fixed Income Fund’s investment approach may underperform other segments of the fixed income markets or the fixed income markets as a whole.
Leverage Risk — The use of leverage can amplify the effects of market volatility on the Funds’ share price and may also cause the Funds to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations.
Liquidity Risk — The risk that certain securities may be difficult or impossible to sell at the time and the price that the Funds would like. The Funds may have to lower the price, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Funds’ management or performance.
Market Risk — The risk that the market value of a security may move up and down, sometimes rapidly and unpredictably. Market risk may affect a single issuer, an industry, a sector or the equity or bond market as a whole. The prices of fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, fixed income securities will decrease in value if interest rates rise and vice versa. In a low interest rate environment, risks associates with rising rates are heightened. In the case of foreign securities, price fluctuations will reflect international economic and political events as well as changes in currency valuations relative to the U.S. dollar.
Mortgage-Backed Securities Risk — Mortgage-backed securities are affected significantly by the rate of prepayments and modifications of the mortgage loans backing those securities, as well as by other factors such as borrower defaults, delinquencies, realized or liquidation losses and other shortfalls. Mortgage-backed securities are particularly sensitive to prepayment risk, which is described below, given that the term to maturity for mortgage loans is generally substantially longer than the expected lives of those securities; however, the timing and amount of prepayments cannot be accurately predicted. The timing of changes in the rate of prepayments of the mortgage loans may
significantly affect the Tactical Offensive Fixed Income Fund’s actual yield to maturity on any mortgage-backed securities, even if the average rate of principal payments is consistent with the Fund’s expectation. Along with prepayment risk, mortgage-backed securities are significantly affected by interest rate risk, which is described above. In a low interest rate environment, mortgage loan prepayments would generally be expected to increase due to factors such as re-financings and loan modifications at lower interest rates. In contrast, if prevailing interest rates rise, prepayments of mortgage loans would generally be expected to decline and therefore extend the weighted average lives of mortgage-backed securities held or acquired by the Fund.
Mortgage Dollar Rolls Risk — Mortgage dollar rolls are transactions in which the Tactical Offensive Fixed Income Fund sells securities (usually mortgage-backed securities) and simultaneously contracts to repurchase substantially similar, but not identical, securities on a specified future date. If the broker-dealer to whom a Fund sells the security becomes insolvent, the Fund’s right to repurchase the security may be restricted. Other risks involved in entering into mortgage dollar rolls include the risk that the value of the security may change adversely over the term of the mortgage dollar roll and that the security the Fund is required to repurchase may be worth less than the security that the Fund originally held.
Portfolio Turnover Risk — Due to their investment strategy, the Funds may buy and sell securities frequently. This may result in higher transaction costs and additional capital gains tax liabilities.
Prepayment Risk — The risk that, in a declining interest rate environment, fixed income securities with stated interest rates may have the principal paid earlier than expected, requiring the Tactical Offensive Fixed Income Fund to invest the proceeds at generally lower interest rates.
Real Estate Investment Trust (REITs) Risk — REITs are trusts that invest primarily in commercial real estate or real estate-related loans. The Tactical Offensive Equity Fund’s investments in REITs will be subject to the risks associated with the direct ownership of real estate. Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions. Some REITs may have limited diversification and may be subject to risks inherent in financing a limited number of properties.
Small and Medium Capitalization Risk — The risk that small and medium capitalization companies in which the
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 47 |
NOTES TO FINANCIAL STATEMENTS (Concluded)
July 31, 2020
Tactical Offensive Equity Fund may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, small and medium capitalization companies may have limited product lines, markets and financial resources and may depend upon a relatively small management group. Therefore, small capitalization and medium capitalization stocks may be more volatile than those of larger companies. Small capitalization and medium capitalization stocks may be traded over-the-counter or listed on an exchange.
Tracking Error Risk — The risk that the Funds’ performance may vary substantially from the performance of the indexes they track as a result of cash flows, fund expenses, imperfect correlation between the Funds’ investments and the indexes’ components and other factors.
U.S. Government Securities Risk — The Tactical Offensive Fixed Income Fund may invest in U.S. Government securities, which are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. Government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the agency’s own resources.
10. CONCENTRATION OF SHAREHOLDERS
SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company (“SEI”). As of July 31, 2020, SPTC held of record the following percentage of outstanding shares of each Fund:
| | |
Tactical Offensive Equity Fund | | 92.75% |
Tactical Offensive Fixed Income Fund | | 92.70% |
SPTC is not a direct service provider to the Funds. However, SPTC performs a key role in the comprehensive investment solution that SEI provides to investors. SPTC holds the vast majority of shares in the Funds as custodian for shareholders that are clients of the Financial Adviser. SPTC maintains omnibus accounts at the Funds’ transfer agent.
11. REGULATORY MATTERS
In July 2017, the Financial Conduct Authority, the United Kingdom’s financial regulatory body, announced that after 2021 it will cease its active encouragement of banks to provide the quotations needed to sustain LIBOR. That announcement suggests that LIBOR very likely will cease to be published after that time. Various financial industry groups have begun planning for that transition, whether through marketwide protocols, fallback contractual provisions, bespoke negotiations or amendments or otherwise, but there are obstacles
to converting certain securities and transactions to a new benchmark. Transition planning is at an early stage, and neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets for instruments whose terms currently include LIBOR. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate setting methodology and/or increased costs for certain LIBOR-related instruments or financing transactions, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies, resulting in prolonged adverse market conditions for the Fund. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021. There also remains uncertainty and risk regarding the willingness and ability of issuers to include enhanced provisions in new and existing contracts or instruments. All of the aforementioned may adversely affect the Fund’s performance or NAV.
12. NEW ACCOUNTING PRONOUNCEMENT
In August 2018, the FASB issued Accounting Standards Update (“ASU”) 2018-13, Fair Value Measurement (Topic 820). The new guidance includes additions and modifications to disclosures requirements for fair value measurements. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Management elected to early adopt the removal and modifications of certain disclosures and delay the adoption of additional disclosures until the effective date.
13. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements as of July 31, 2020. However, the following are details relating to subsequent events that have occurred since July 31, 2020.
Effective as of September 25, 2020, the Tactical Offensive Fixed Income Fund changed its name to the Tactical Offensive Core Fixed Income Fund, consistent with the changes to the Fund’s investment strategy.
The Funds’ adviser, the Funds’ administrator and/or the Funds’ distributor have determined to implement certain
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| 48 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
changes to the voluntarily fee waiver arrangements with respect to the Tactical Offensive Core Fixed Income Fund. Effective September 25, 2020, the Funds’ adviser, administrator and/ or distributor have voluntarily agreed to waive a portion of their fees in order to keep the Fund’s direct operating expenses (exclusive of interest from borrowings, brokerage commissions, trustee fees, taxes and extraordinary expenses not incurred in the ordinary course of the Funds’ business) at an annualized rate of 0.33%. The voluntary waivers of the Funds’ adviser, administrator and distributor are limited to the Funds’ direct operating expenses and therefore do not apply to indirect expenses incurred by the Funds, such as AFFE, if any. The Funds’ adviser, administrator and/or distributor may discontinue all or part of these waivers at any time.
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 49 |
REPORT OF INDEPENDENT REGISTERED ACCOUNTING FIRM
To the Shareholders of the Funds and Board of Trustees
Adviser Managed Trust:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the summary schedule of investments, of the Tactical Offensive Equity Fund and the statement of assets and liabilities, including the schedule of investments, of the Tactical Offensive Fixed Income Fund (collectively, the Funds) comprising the Adviser Managed Trust, as of July 31, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2020, by correspondence with custodians and brokers or by other appropriate auditing procedures when replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more SEI Funds investment companies since 2005.
Philadelphia, Pennsylvania
September 29, 2020
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| 50 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of July 31, 2020:
Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of positions in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
| | | | | | | | | | |
Name, Address, and Age | | Position(s) Held with Trusts | | Term of
Office and
Length of
Time Served1 | | Principal Occupation(s) During Past Five Years | | Number of
Portfolios in Fund
Complex Overseen
by Trustee2 | | Other Directorships Held by Trustee |
INTERESTED TRUSTEES | | | | | | |
| | | | | |
Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 73 yrs. old | | Chairman of the Board of Trustees* | | since 1995 | | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | | 98 | | President and Director of SEI Structured Credit Fund, LP. Director of SEI Global Master Fund Plc, SEI Global Assets Fund Plc, SEI Global Investments Fund Plc, SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe) Ltd., SEI Multi-Strategy Funds PLC, SEI Global Nominee Ltd and SEI Investments—Unit Trust Management (UK) Limited. President, Director and Chief Executive Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1989 to 2016. Vice Chairman of O’Connor EQUUS (closed-end investment company) from 2014 to 2016. Vice Chairman of Winton Series Trust from 2014 to 2017. Vice Chairman of The Advisors’ Inner Circle Fund III and Winton Diversified Opportunities Fund (closed-end investment company) from 2014 to 2018. Vice Chairman of Gallery Trust, Schroder Series Trust and Schroder Global Series Trust from 2015 to 2018. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, and the KP Funds. President, Chief Executive Officer and Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The New Covenant Funds and SEI Catholic Values Trust. |
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William M. Doran One Freedom Valley Drive, Oaks, PA 19456 80 yrs. old | | Trustee* | | since 1995 | | Self-employed consultant since 2003. Partner,, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. | | 98 | | Director of SEI since 1974; Secretary of SEI since 1978. Director of SEI Investments Distribution Co. since 2003. Director of SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia) Limited, SEI Global Nominee Ltd. and SEI Investments—Unit Trust Management (UK) Limited. Trustee of SEI Liquid Asset Trust from 1982 to 2016. Trustee of O’Connor EQUUS from 2014 to 2016. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, The Advisors’ Inner Circle Fund III, Winton Series Trust, Winton Diversified Opportunities Fund, Gallery Trust, Bishop Street Funds, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, New Covenant Funds, The KP Funds and SEI Catholic Values Trust. |
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TRUSTEES George J. Sullivan Jr. One Freedom Valley Drive, Oaks, PA 19456 77 yrs. old | | Trustee | | since 1996 | | Retired since January 2012. Self-Employed Consultant, Newfound Consultants Inc. April 1997-December 2011. | | 98 | | Member of the independent review committee for SEI’s Canadian-registered mutual funds. Director of SEI Opportunity Fund, L.P. to 2010. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1996 to 2016. Trustee/Director of State Street Navigator Securities Lending Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, New Covenant Funds, The KP Funds and SEI Catholic Values Trust. |
| * | Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor. |
| 1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
| 2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds and SEI Catholic Values Trust. |
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| Adviser Managed Trust / Annual Report / July 31, 2020 | | 51 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
| | | | | | | | | | |
Name, Address, and Age | | Position(s) Held with Trusts | | Term of
Office and
Length of
Time Served’ | | Principal Occupation(s) During Past Five Years | | Number of
Portfolios in Fund Complex Overseen
by Trustee2 | | Other Directorships Held by Trustee |
TRUSTEES (continued) | | | | | | |
| | | | | |
Nina Lesavoy One Freedom Valley Drive, Oaks, PA 19456 63 yrs. old | | Trustee | | since 2003 | | Founder and Managing Director, Avec Capital (strategic fundraising firm) since 2008. Managing Director, Cue Capital (strategic fundraising firm) from March 2002-March 2008. | | 98 | | Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2003 to 2016. Trustee/Director of SEI Structured Credit Fund, L.P., SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust. |
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James M. Williams One Freedom Valley Drive, Oaks, PA 19456 72 yrs. old | | Trustee | | since 2004 | | Vice President and Chief investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Director of SEI Alpha Strategy Portfolios, L.P. from 2007 to 2013. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. | | 98 | | Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013, Trustee of SEI Liquid Asset Trust from 2004 to 2016. Trustee/Director of Ariel Mutual Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, New Covenant Funds, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust. |
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Mitchell A. Johnson One Freedom Valley Drive, Oaks, PA 19456 78 yrs. old | | Trustee | | since 2007 | | Retired Private Investor since 1994. | | 98 | | Director, Federal Agricultural Mortgage Corporation (Farmer Mac) since 1997. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2007 to 2016. Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The KP Funds and SEI Catholic Values Trust. |
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Hubert L. Harris, Jr. One Freedom Valley Drive, Oaks, PA 19456 77 yrs. old | | Trustee | | since 2008 | | Retired since December 2005. Owner of Harris Plantation, Inc. since 1995. Chief Executive Officer of Harris CAPM, a consulting asset and property management entity. Chief Executive Officer, INVESCO North America, August 2003-December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., January 1998- August 2003. | | 98 | | Director of AMVESCAP PLC from 1993-2004. Served as a director of a bank holding company, 2003-2009. Director, Aaron’s Inc., 2012-present. President and CEO of Oasis Ornamentals LLC since 2011. Member of the Board of Councilors of the Carter Center (nonprofit corporation) and served on the board of other non-profit organizations. Director of SEI Alpha Strategy Portfolios, LP from 2008 to 2013. Trustee of Liquid Asset Trust from 2008 to 2016. Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust. |
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Susan C. Cote One Freedom Valley Drive, Oaks, PA 19456 65 yrs. old | | Trustee | | since 2016 | | Retired since July 2015. Americas Director of Asset Management, Ernst & Young LLP from 2006-2013. Global Asset Management Assurance Leader, Ernest & Young LLP from 2006-2015. Partner Ernest & Young LLP from 1997-2015. Prudential, 1983-1997. Member of the Ernst & Young LLP Retirement Investment Committee, Treasurer and Chair of Finance, Investment and Audit Committee of the New York Women’s Foundation. | | 98 | | Trustee of SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust. |
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James B. Taylor One Freedom Valley Drive, Oaks, PA 19456 69 yrs. old | | Trustee | | since 2018 | | Retired since December 2017. Chief Investment Officer at Georgia Teach Foundation from 2008 to 2017. Chief investment Officer at Delta Air Lines from 1983 to 2007. Member of the Investment Committee at the Institute of Electrical and Electronic Engineers from 1999 to 2004. President, Vice President and Treasurer at Southern Benefits Conference from 1998 to 2000. | | 98 | | Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust. |
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Christine Reynolds One Freedom Valley Drive, Oaks, PA 19456 61 yrs. old | | Trustee | | since 2019 | | Retired since December 2016. Executive Vice President, Fidelity Investments from 2014-2016. President, Fidelity Pricing and Cash Management Services and Chief Financial Officer of Fidelity Funds from 2008-2014. Chief Operating Officer, Fidelity Pricing and Cash Management Services from 2007-2018. President and Treasurer, Fidelity Funds from 2004-2007. Anti-Money Laundering Officer, Fidelity Funds in 2004. Executive Vice President, Fidelity Funds from 2002-2004. Audit Partner, PricewaterhouseCoopers from 1992-2002. | | 98 | | Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust. |
| 1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
| 2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds and SEI Catholic Values Trust. |
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| 52 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
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Name, Address, and Age | | Position(s) Held with Trusts | | Term of
Office and
Length of
Time Served1 | | Principal Occupation(s) During Past Five Years | | Number of
Portfolios in Fund Complex Overseen
by Trustee2 | | Other Directorships Held by Trustee |
OFFICERS | | | | | | | | | | |
| | | | | |
Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 73 yrs. old | | President and CEO | | since 2005 | | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | | N/A | | N/A |
| | | | | |
Peter A. Rodriguez One Freedom Valley Drive, Oaks, PA 19456 58 yrs. old | | Controller and Chief Financial Officer | | since 2020 | | Director, Fund Accounting, SEI Investments Global Funds Services since April 2020 and previously from March 2011 to March 2015; Director, Financial Reporting from June 2017 to March 2020. Director, Centralized Operations from March 2015 to June 2017. | | N/A | | N/A |
| | | | | |
Glenn R. Kurdziel One Freedom Valley Drive, Oaks, PA 19456 46 yrs. old | | Assistant Controller | | since 2017 | | Assistant Controller, Funds Accounting, SEI Investments Global Funds Services (March 2017); Senior Manager, Funds Accounting, SEI Investments Global Funds Services since 2005. | | N/A | | N/A |
| | | | | |
Russell Emery One Freedom Valley Drive, Oaks, PA 19456 57 yrs. old | | Chief Compliance Officer | | since 2006 | | Chief Compliance Officer of SEI Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Tax Exempt Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II and Bishops Street Funds since March 2006. Chief Compliance Officer of SEI Liquid Asset Trust from 2006 to 2016. Chief Compliance Officer of SEI Structured Credit Fund, LP June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Chief Compliance Officer of New Covenant Funds since February 2012. Chief Compliance Officer of SEI Insurance Products Trust and The KP Funds since 2013. Chief Compliance Officer of New Covenant Funds since February 2012. Chief Compliance Officer of O’Connor EQUUS from 2014 to 2016. Chief Compliance Officer of The Advisors’ Inner Circle Fund III, Winton Series Trust and Winton Diversified Opportunities Fund since 2014. Chief Compliance Officer of SEI Catholic Values Trust and Gallery Trust since 2015. | | N/A | | N/A |
| | | | | |
Timothy D Barto One Freedom Valley Drive, Oaks, PA 19456 52 yrs. old | | Vice President and Secretary | | since 2002 | | Vice President and Secretary of SEI Institutional Transfer Agent, Inc. since 2009. General Counsel and Secretary of SIMC and the Administrator since 2004. Vice President of SIMC and the Administrator since 1999. Vice President and Assistant Secretary of SEI since 2001. | | N/A | | N/A |
| | | | | |
Aaron Buser One Freedom Valley Drive, Oaks, PA 19456 49 yrs. old | | Vice President and Assistant Secretary | | since 2008 | | Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secretary of SIMC since 2007. Attorney Stark & Stark (law firm), March 2004-July 2007. | | N/A | | N/A |
| | | | | |
David F. McCann One Freedom Valley Drive, Oaks, PA 19456 44 yrs. old | | Vice President and Assistant Secretary | | since 2009 | | Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secetary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005 - October 2008. | | N/A | | N/A |
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Stephen G. MacRae One Freedom Valley Drive, Oaks, PA 19456 52 yrs. old | | Vice President | | since 2012 | | Director of Global Investment Product Management from January 2004 - to present. | | N/A | | N/A |
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Bridget E. Sudall One Freedom Valley Drive, Oaks, PA 19456 39 yrs. old | | Anti-Money Laundering Compliance Officer and Privacy Officer | | since 2015 | | Anti-Money Laundering Compliance Officer and Privacy Officer (since 2015), Senior Associate and AML Officer, Morgan Stanley Alternative Investment Partners, April 2011-March 2015, Investor Services Team Lead, Morgan Stanley Alternative Investment Partners, July 2007-April 2011. | | N/A | | N/A |
| 1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
| 2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds and SEI Catholic Values Trust. |
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| Adviser Managed Trust / Annual Report / July 31, 2020 | | 53 |
DISCLOSURE OF FUND EXPENSES (Unaudited)
July 31, 2020
All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.
Operating expenses such as these are deducted from the fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund’s average net assets; this percentage is known as the fund’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (February 1, 2020 through July 31, 2020).
The table on this page illustrates your fund’s costs in two ways:
Actual fund return: This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
Hypothetical 5% return: This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning Account Value 2/1/20 | | | Ending Account Value 7/31/20 | | | Annualized Expense Ratios | | | Expenses Paid During Period * | | | | | | | | Beginning Account Value 2/1/20 | | | Ending Account Value 7/31/20 | | | Annualized Expense Ratios | | | Expenses Paid During Period * | |
Tactical Offensive Equity Fund | | | | | | | Tactical Offensive Fixed Income Fund | |
Actual Fund Return | | | | | | | Actual Fund Return | |
| | | | | | | | | | |
Class A | | | $1,000.00 | | | | $1,044.50 | | | | 0.50 | % | | | $2.54 | | | | | | | Class A | | | $1,000.00 | | | | $1,055.10 | | | | 0.38 | % | | | $1.94 | |
| | |
Hypothetical 5% Return | | | | | | | Hypothetical 5% Return | |
| | | | | | | | | | |
Class A | | | $1,000.00 | | | | $1,022.33 | | | | 0.50 | % | | | $2.51 | | | | | | | Class A | | | $1,000.00 | | | | $1,022.91 | | | | 0.38 | % | | | $1.91 | |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown).
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| 54 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)
July 31, 2020
Pursuant to Rule 22e-4 under the 1940 Act, the Trust, on behalf of the Funds, has adopted a liquidity risk management program (the “Program”) to govern the Trust’s approach to managing liquidity risk. The Program is overseen by the SIMC Liquidity Risk Oversight Committee, and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund.
At a meeting of the Board held on March 24, 2020, the Trustees received a report from the SIMC Liquidity Risk Oversight Committee addressing the operations of the Program and assessing its adequacy and effectiveness of implementation. The SIMC Liquidity Risk Oversight Committee determined, and reported to the Board, that the Program is reasonably designed to assess and manage each Fund’s liquidity risk and has operated adequately and effectively to manage each Fund’s liquidity risk since the Program was implemented on December 1, 2018. The SIMC Liquidity Risk Oversight Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The SIMC Liquidity Risk Oversight Committee further noted that no material changes have been made to the Program since its implementation.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
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| Adviser Managed Trust / Annual Report / July 31, 2020 | | 55 |
BOARD OF TRUSTEES’ CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited)
Adviser Managed Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”), pursuant to which SIMC provides investment advisory services to the series of the Trust (the “Funds”). Pursuant to a separate sub-advisory agreement with SIMC (the “Sub-Advisory Agreement” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the sub-adviser (the “Sub-Adviser”) provides security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. The Sub-Adviser is also responsible for managing its employees who provide services to the Funds. Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the initial approval of a Fund’s Investment Advisory Agreements be specifically approved by the vote of a majority of the outstanding shareholders of the Funds and the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”) cast in person at a meeting called for such purpose. In addition, the 1940 Act requires that the continuation or renewal of any Investment Advisory Agreement be approved at least annually (after an initial period of up to two years), which also requires the vote of a majority of the Board, including a majority of the Independent Trustees. In connection with their consideration of such renewals, the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Adviser are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement.
Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existing Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Adviser with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Adviser, including information about SIMC’s and the Sub-Adviser’s affiliates, personnel and operations and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from counsel regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Adviser.
Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Adviser regarding: (i) the quality of SIMC’s and the Sub-Adviser’s investment management and other services; (ii) SIMC’s and the Sub-Adviser’s investment management personnel; (iii) SIMC’s and the Sub-Adviser’s operations and financial condition; (iv) SIMC’s and the Sub-Adviser’s brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Adviser, compared with fees each charge to comparable accounts; (vi) the advisory fees charged by SIMC and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data; (vii) the level of SIMC’s and the Sub-Adviser’s profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Adviser’s compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and the Sub-Adviser’s policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and the Sub-Adviser’s expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indexes.
At the March 23-25, 2020 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, the Sub-Advisory Agreement was renewed at a meeting of the Board held during the course of the Trust’s fiscal year on March 23-25, 2020. In each case, the Board’s renewal was based on its consideration and evaluation of the factors described above, as discussed at the meeting and
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| 56 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Investment Advisory Agreements.
Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Adviser to the Funds and the resources of SIMC and the Sub-Adviser and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and the Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Adviser to the Funds and the resources of SIMC and the Sub-Adviser and their affiliates dedicated to the Funds were sufficient to support the renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and other non-investment advisory services provided to the Funds by SIMC and/or its affiliates.
Performance. In determining whether to renew SIMC’s Advisory Agreement, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered a report compiled by Broadridge, an independent third-party that was engaged to prepare an assessment of the Funds in connection with the renewal of the Advisory Agreement (the “Broadridge Report”). The Broadridge Report included metrics on net total return for the Funds and a universe of comparable funds. Based on the materials considered and discussed at the meeting, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the renewal of the Sub-Advisory Agreement, the Board considered the performance of the Sub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMC’s Advisory Agreement, and the performance of the Sub-Adviser was sufficient to support renewal of the Sub-Advisory Agreement.
Fees. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of the Funds’ respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Broadridge Report, which included various metrics related to fund expenses, including, but not limited to, contractual management fees at various asset levels, actual management fees (including transfer agent expenses), and actual total expenses for the Funds and a universe of comparable funds. Based on the materials considered and discussion at the meeting, the Trustees further determined that fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. The Trustees also considered the effects of SIMC’s and its affiliates’ contractual and voluntary waiver of management and other fees to prevent total Fund operating expenses from exceeding any applicable cap, and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its distribution channels. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid to the Sub-Adviser, the Board took into account the fact that the Sub-Adviser is compensated by SIMC and not by the Funds directly, and that such compensation with respect to an unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. The Board also considered whether the Sub-Adviser and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.
Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Adviser, the Board took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 57 |
BOARD OF TRUSTEES’ CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited) (Concluded)
between the Sub-Adviser and SIMC. In connection with the renewal of the Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Adviser is reasonable and supported renewal of the Investment Advisory Agreements.
Economies of Scale. With respect to the Advisory Agreement, the Trustees considered whether any economies of scale were being realized by SIMC and its affiliates and, if so, whether the benefits of such economies of scale were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the renewal of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
| | |
| 58 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
NOTICE TO SHAREHOLDERS (Unaudited)
For shareholders that do not have a July 31, 2020 taxable year end, this notice is for informational purposes only. For shareholders with a July 31, 2020 year end, please consult your tax advisor as to the pertinence of this notice.
For the fiscal year ended July 31, 2020, the funds of the Adviser Managed Trust are designating the following items with regard to distributions paid during the year:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (A) Long-Term Capital Gains Distributions | | (B) Ordinary Income Distributions (Tax Basis) | | Total Distributions | | (C)
Dividends
Qualifying
for Corporate
Dividends
Received
Deduction (1) |
Tactical Offensive Equity Fund | | | | 2.19% | | | | | 97.81 | % | | | | 100.00 | % | | | | 78.94 | % |
Tactical Offensive Fixed Income Fund | | | | 0.00% | | | | | 100.00 | % | | | | 100.00 | % | | | | 0.00 | % |
| | | | | |
| | | (D) Qualifying Dividend Income
(15% Tax Rate
for QDI) (2) | | Qualifying
Business
Income (3) | | (F) U.S. Government
Interest (4) | | Interest Related
Dividends (5) | | Short-Term Capital Gain Dividends (6) |
Tactical Offensive Equity Fund | | | | 100.00 | % | | | | 0.00 | % | | | | 0.00 | % | | | | 1.21 | % | | | | 0.00 | % |
Tactical Offensive Fixed Income Fund | | | | 0.00 | % | | | | 0.00 | % | | | | 16.70 | % | | | | 79.42 | % | | | | 0.00 | % |
| (1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction. |
| (2) | The percentage in this column represents the amount of “Qualifying Dividend Income” is reflected as a percentage of “Ordinary Income Distributions.” It is the intention of each of the aforementioned funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2020. Complete information will be computed and reported in conjunction with your 2020 Form 1099-DIV. |
| (3) | The percentage of this column represents the amount of ordinary dividend income that qualified for 20% Business Income Deduction. |
| (4) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
| (5) | The percentage in this column represents the amount of “Interest Related Dividend” and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors. |
| (6) | The percentage in this column represents the amount of “Short-Term Capital Gain” and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. |
Items (A) and (B) are based on the percentage of the Funds total distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions of each fund. Item (E) is based on the percentage of gross income of each fund.
Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.
| | |
| Adviser Managed Trust / Annual Report / July 31, 2020 | | 59 |
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ADVISER MANAGED TRUST ANNUAL REPORT JULY 31, 2020
Robert A. Nesher, Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Susan C. Cote
James B. Taylor
Christine Reynolds
Officers
Robert A. Nesher
President and Chief Executive Officer
Peter A. Rodriguez
Controller and Chief Financial Officer
Glenn R. Kurdziel
Assistant Controller
Russell Emery
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
Aaron Buser
Vice President, Assistant Secretary
David F. McCann
Vice President, Assistant Secretary
Stephen G. MacRae
Vice President
Bridget E. Sudall
Anti-Money Laundering Compliance Officer
Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1 800 DIAL SEI
(1 800 342 5734)
| | |
 | | New ways. New answers.® |
1 Freedom Valley Drive, P.O. Box 1100, Oaks, PA 19456
AMT (7/20)
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or any persons performing similar functions.
| Item 3. | Audit Committee Financial Expert. |
(a)(1) The Registrant’s Board of Trustees has determined that the Registrant has three audit committee financial experts serving on its audit committee.
(a) (2) The audit committee financial experts are Susan C. Cote, George J. Sullivan, Jr. and Hubert L. Harris Jr. Ms. Cote and Messrs. Sullivan and Harris are independent as defined in Form N-CSR Item 3 (a) (2).
| Item 4. | Principal Accountant Fees and Services. |
Fees billed by KPMG LLP (“KPMG”) related to the Registrant.
KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2020 and 2019 as follows:
| | | | | | | | | | | | | | |
| | | Fiscal Year 2020 | | Fiscal Year 2019 |
| | | | | All fees and services to the Registrant that were pre- approved | | All fees and services to service affiliates that were pre- approved | | All other fees and services to service affiliates that did not require pre- approval | | All fees and services to the Registrant that were pre- approved | | All fees and services to service affiliates that were pre- approved | | All other fees and services to service affiliates that did not require pre- approval |
(a) | | Audit Fees(1) | | $87,705 | | $0 | | N/A | | $80,790 | | $0 | | N/A |
(b) | | Audit-Related Fees | | $0 | | $0 | | $0 | | $0 | | $0 | | $0 |
(c) | | Tax Fees | | $0 | | $0 | | $0 | | $0 | | $0 | | $0 |
(d) | | All Other Fees(2) | | $0 | | $417,252 | | $0 | | $0 | | $273,762 | | $0 |
Notes:
| | (1) | Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. |
| | (2) | See Item 4 (g) for a description of the services comprising the fees disclosed under this category. |
(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC rules on auditor independence and whether the provision of such services would compromise the auditor’s independence.
The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise.
Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. The Audit Committee will annually review and pre-approve the services that may be provided by the independent auditor during the following twelve months without obtaining specific pre-approval from the Audit Committee.
The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor.
All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees (or the manner of their determination) to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
| | | | |
| | Fiscal Year 2020 | | Fiscal Year 2019 |
Audit-Related Fees | | 0% | | 0% |
Tax Fees | | 0% | | 0% |
All Other Fees | | 0% | | 0% |
(f) Not Applicable.
(g) The aggregate non-audit fees billed by KPMG for the fiscal years 2020 and 2019 were $417,252 and $273,762, respectively. Non-audit fees consist of a review of fund accounting and administration operations and an attestation report in accordance with Rule 17Ad-13.
(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
(a) The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Tactical Offensive Equity Fund is listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Tactical Offensive Fixed Income Fund is included as part of the report to shareholders filed under Item 1 of this form.
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 93.9% | | | | | | | | |
| | |
Australia — 0.7% | | | | | | | | |
Afterpay* | | | 916 | | | $ | 45 | |
AGL Energy | | | 2,743 | | | | 33 | |
AMP Ltd | | | 14,727 | | | | 15 | |
Ampol | | | 1,070 | | | | 20 | |
APA Group | | | 5,060 | | | | 40 | |
Aristocrat Leisure Ltd | | | 2,465 | | | | 46 | |
ASX Ltd | | | 830 | | | | 49 | |
Aurizon Holdings Ltd | | | 8,374 | | | | 27 | |
AusNet Services | | | 8,002 | | | | 10 | |
Australia & New Zealand Banking Group Ltd | | | 12,160 | | | | 157 | |
BHP Group | | | 12,630 | | | | 333 | |
BlueScope Steel Ltd | | | 2,165 | | | | 17 | |
Brambles Ltd | | | 6,616 | | | | 51 | |
CIMIC Group Ltd | | | 415 | | | | 6 | |
Coca-Cola Amatil Ltd | | | 2,172 | | | | 13 | |
Cochlear Ltd | | | 275 | | | | 38 | |
Coles Group Ltd | | | 5,721 | | | | 75 | |
Commonwealth Bank of Australia | | | 7,590 | | | | 388 | |
Computershare Ltd | | | 2,085 | | | | 20 | |
Crown Resorts Ltd | | | 1,600 | | | | 10 | |
CSL | | | 1,946 | | | | 377 | |
Dexus‡ | | | 4,700 | | | | 29 | |
Evolution Mining | | | 6,940 | | | | 29 | |
Fortescue Metals Group Ltd | | | 7,258 | | | | 91 | |
Goodman Group‡ | | | 7,055 | | | | 86 | |
GPT Group‡ | | | 8,348 | | | | 23 | |
Insurance Australia Group | | | 9,914 | | | | 36 | |
James Hardie Industries PLC | | | 1,897 | | | | 39 | |
Lendlease | | | 2,830 | | | | 23 | |
Macquarie Group Ltd | | | 1,443 | | | | 128 | |
Magellan Financial Group | | | 547 | | | | 24 | |
Medibank Pvt Ltd | | | 11,812 | | | | 24 | |
Mirvac Group‡ | | | 16,857 | | | | 25 | |
National Australia Bank Ltd | | | 13,704 | | | | 174 | |
Newcrest Mining Ltd | | | 3,464 | | | | 87 | |
Northern Star Resources | | | 3,172 | | | | 35 | |
Oil Search Ltd | | | 8,459 | | | | 18 | |
Orica | | | 1,733 | | | | 22 | |
Origin Energy Ltd | | | 7,547 | | | | 29 | |
Qantas Airways | | | 3,909 | | | | 9 | |
QBE Insurance Group Ltd | | | 6,223 | | | | 44 | |
Ramsay Health Care | | | 767 | | | | 34 | |
REA Group | | | 226 | | | | 18 | |
Rio Tinto Ltd | | | 1,591 | | | | 116 | |
Santos Ltd | | | 7,589 | | | | 29 | |
Scentre Group‡ | | | 22,456 | | | | 33 | |
SEEK Ltd | | | 1,432 | | | | 22 | |
Sonic Healthcare | | | 1,935 | | | | 45 | |
South32 | | | 20,994 | | | | 31 | |
Stockland‡ | | | 10,217 | | | | 23 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Suncorp Group Ltd | | | 5,409 | | | $ | 33 | |
Sydney Airport | | | 4,746 | | | | 18 | |
Tabcorp Holdings | | | 8,695 | | | | 22 | |
Telstra Corp Ltd | | | 17,866 | | | | 43 | |
TPG Telecom* | | | 1,590 | | | | 9 | |
Transurban Group | | | 11,727 | | | | 116 | |
Treasury Wine Estates Ltd | | | 3,088 | | | | 24 | |
Tuas* | | | 331 | | | | — | |
Vicinity Centres‡ | | | 16,638 | | | | 16 | |
Washington H Soul Pattinson & Co Ltd | | | 461 | | | | 6 | |
Wesfarmers Ltd | | | 4,863 | | | | 162 | |
Westpac Banking | | | 15,486 | | | | 190 | |
WiseTech Global | | | 614 | | | | 9 | |
Woodside Petroleum Ltd | | | 4,040 | | | | 58 | |
Woolworths Group Ltd | | | 5,409 | | | | 150 | |
| | | | | | | | |
| | | | | | | 3,952 | |
| | | | | | | | |
| | |
Austria — 0.0% | | | | | | | | |
ANDRITZ AG | | | 310 | | | | 10 | |
Erste Group Bank AG* | | | 1,197 | | | | 27 | |
OMV | | | 631 | | | | 20 | |
Raiffeisen Bank International AG* | | | 633 | | | | 11 | |
Verbund AG | | | 292 | | | | 15 | |
voestalpine AG | | | 496 | | | | 11 | |
| | | | | | | | |
| | | | | | | 94 | |
| | | | | | | | |
| | |
Belgium — 0.1% | | | | | | | | |
Ageas* | | | 765 | | | | 29 | |
Anheuser-Busch InBev SA/NV | | | 3,267 | | | | 178 | |
Colruyt SA | | | 237 | | | | 14 | |
Elia Group | | | 132 | | | | 14 | |
Groupe Bruxelles Lambert SA | | | 548 | | | | 48 | |
KBC Group NV | | | 1,071 | | | | 61 | |
Proximus SADP | | | 653 | | | | 13 | |
Sofina | | | 66 | | | | 18 | |
Solvay SA | | | 318 | | | | 25 | |
Telenet Group Holding | | | 196 | | | | 8 | |
UCB SA | | | 542 | | | | 70 | |
Umicore SA | | | 845 | | | | 40 | |
| | | | | | | | |
| | | | | | | 518 | |
| | | | | | | | |
| | |
China — 0.0% | | | | | | | | |
BeiGene Ltd ADR* | | | 200 | | | | 42 | |
China Lumena New Materials Corp* (A) | | | 30,699 | | | | — | |
| | | | | | | | |
| | | | | | | 42 | |
| | | | | | | | |
| | |
Denmark — 0.2% | | | | | | | | |
Ambu, Cl B | | | 700 | | | | 24 | |
AP Moller - Maersk A/S, Cl A | | | 13 | | | | 15 | |
AP Moller - Maersk A/S, Cl B | | | 29 | | | | 37 | |
Carlsberg A/S, Cl B | | | 459 | | | | 68 | |
Chr Hansen Holding A/S | | | 452 | | | | 51 | |
Coloplast A/S, Cl B | | | 509 | | | | 87 | |
Danske Bank A/S | | | 2,954 | | | | 48 | |
| | |
| 1 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Demant A/S* | | | 472 | | | $ | 15 | |
DSV PANALPINA | | | 907 | | | | 125 | |
Genmab A/S* | | | 279 | | | | 96 | |
GN Store Nord | | | 549 | | | | 34 | |
H Lundbeck A/S | | | 298 | | | | 11 | |
Novo Nordisk A/S, Cl B | | | 7,586 | | | | 502 | |
Novozymes A/S, Cl B | | | 915 | | | | 55 | |
Orsted A/S | | | 811 | | | | 116 | |
Pandora A/S | | | 428 | | | | 27 | |
Tryg A/S | | | 518 | | | | 15 | |
Vestas Wind Systems A/S | | | 852 | | | | 110 | |
| | | | | | | | |
| | | | | | | 1,436 | |
| | | | | | | | |
| | |
Finland — 0.1% | | | | | | | | |
Elisa OYJ | | | 604 | | | | 36 | |
Fortum OYJ | | | 1,890 | | | | 39 | |
Kone, Cl B | | | 1,450 | | | | 115 | |
Neste Oyj | | | 1,810 | | | | 83 | |
Nokia OYJ | | | 24,198 | | | | 116 | |
Orion Oyj, Cl B | | | 446 | | | | 19 | |
Sampo Oyj, Cl A | | | 2,011 | | | | 73 | |
Stora Enso OYJ, Cl R | | | 2,463 | | | | 31 | |
UPM-Kymmene OYJ | | | 2,271 | | | | 61 | |
Wartsila OYJ Abp | | | 1,873 | | | | 16 | |
| | | | | | | | |
| | | | | | | 589 | |
| | | | | | | | |
| | |
France — 1.0% | | | | | | | | |
Accor SA | | | 813 | | | | 20 | |
Aeroports de Paris | | | 127 | | | | 12 | |
Air Liquide | | | 2,029 | | | | 335 | |
Alstom SA | | | 823 | | | | 46 | |
Amundi SA | | | 260 | | | | 20 | |
Arkema SA | | | 295 | | | | 31 | |
Atos SE | | | 421 | | | | 36 | |
AXA SA | | | 8,295 | | | | 165 | |
BioMerieux | | | 178 | | | | 29 | |
BNP Paribas SA | | | 4,822 | | | | 195 | |
Bollore SA | | | 3,787 | | | | 13 | |
Bouygues SA | | | 976 | | | | 35 | |
Bureau Veritas | | | 1,260 | | | | 28 | |
Capgemini SE | | | 690 | | | | 89 | |
Carrefour SA | | | 2,597 | | | | 41 | |
Casino Guichard Perrachon SA | | | 186 | | | | 5 | |
Cie de Saint-Gobain | | | 2,218 | | | | 82 | |
Cie Generale des Etablissements Michelin SCA | | | 728 | | | | 76 | |
CNP Assurances | | | 735 | | | | 9 | |
Covivio‡ | | | 206 | | | | 15 | |
Credit Agricole SA | | | 4,944 | | | | 48 | |
Danone SA | | | 2,648 | | | | 177 | |
Dassault Aviation SA | | | 11 | | | | 9 | |
Dassault Systemes SE | | | 564 | | | | 103 | |
Edenred | | | 1,044 | | | | 52 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Eiffage SA | | | 357 | | | $ | 31 | |
Electricite de France SA | | | 2,663 | | | | 27 | |
Engie SA | | | 7,836 | | | | 105 | |
EssilorLuxottica SA | | | 1,219 | | | | 162 | |
Eurazeo SE | | | 168 | | | | 9 | |
Eurofins Scientific | | | 57 | | | | 37 | |
Faurecia SA | | | 325 | | | | 13 | |
Gecina SA‡ | | | 196 | | | | 25 | |
Getlink SE | | | 1,886 | | | | 28 | |
Hermes International | | | 136 | | | | 110 | |
ICADE‡ | | | 128 | | | | 8 | |
Iliad SA | | | 63 | | | | 12 | |
Ingenico Group SA | | | 259 | | | | 42 | |
Ipsen | | | 162 | | | | 16 | |
JCDecaux SA | | | 365 | | | | 6 | |
Kering | | | 325 | | | | 185 | |
Klepierre SA‡ | | | 843 | | | | 15 | |
La Francaise des Jeux SAEM | | | 369 | | | | 13 | |
Legrand | | | 1,144 | | | | 89 | |
L’Oreal SA | | | 1,077 | | | | 360 | |
LVMH Moet Hennessy Louis Vuitton | | | 1,191 | | | | 516 | |
Natixis SA | | | 4,053 | | | | 10 | |
Orange SA | | | 8,561 | | | | 100 | |
Orpea | | | 222 | | | | 28 | |
Pernod Ricard SA | | | 911 | | | | 157 | |
Peugeot SA | | | 2,521 | | | | 41 | |
Publicis Groupe | | | 928 | | | | 30 | |
Remy Cointreau SA | | | 97 | | | | 16 | |
Renault SA | | | 824 | | | | 20 | |
Safran SA | | | 1,374 | | | | 145 | |
Sanofi | | | 4,838 | | | | 507 | |
Sartorius Stedim Biotech | | | 119 | | | | 37 | |
Schneider Electric SE | | | 2,370 | | | | 275 | |
SCOR SE | | | 680 | | | | 18 | |
SEB SA | | | 97 | | | | 16 | |
Societe Generale SA | | | 3,474 | | | | 53 | |
Sodexo SA | | | 380 | | | | 26 | |
STMicroelectronics | | | 2,734 | | | | 77 | |
Suez | | | 1,484 | | | | 20 | |
Teleperformance | | | 252 | | | | 74 | |
Thales SA | | | 457 | | | | 33 | |
TOTAL SA | | | 10,700 | | | | 396 | |
Ubisoft Entertainment SA* | | | 388 | | | | 32 | |
Valeo | | | 981 | | | | 25 | |
Veolia Environnement SA | | | 2,312 | | | | 53 | |
Vinci SA | | | 2,223 | | | | 191 | |
Vivendi SA | | | 3,557 | | | | 94 | |
Wendel SA | | | 115 | | | | 11 | |
Worldline* | | | 588 | | | | 51 | |
| | | | | | | | |
| | | | | | | 6,016 | |
| | | | | | | | |
| | |
Germany — 0.9% | | | | | | | | |
adidas AG | | | 816 | | | | 226 | |
| | |
| 2 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Allianz | | | 1,789 | | | $ | 373 | |
Aroundtown SA | | | 4,931 | | | | 30 | |
BASF | | | 3,939 | | | | 218 | |
Bayer | | | 4,212 | | | | 280 | |
Bayerische Motoren Werke | | | 1,419 | | | | 92 | |
Beiersdorf AG | | | 432 | | | | 52 | |
Brenntag AG | | | 662 | | | | 41 | |
Carl Zeiss Meditec | | | 173 | | | | 18 | |
Commerzbank AG | | | 4,294 | | | | 22 | |
Continental AG | | | 472 | | | | 46 | |
Covestro | | | 745 | | | | 29 | |
Daimler AG | | | 3,669 | | | | 162 | |
Delivery Hero* | | | 549 | | | | 63 | |
Deutsche Bank AG | | | 8,418 | | | | 76 | |
Deutsche Boerse AG | | | 815 | | | | 149 | |
Deutsche Lufthansa AG | | | 1,025 | | | | 9 | |
Deutsche Post | | | 4,242 | | | | 172 | |
Deutsche Telekom AG | | | 14,298 | | | | 240 | |
Deutsche Wohnen SE | | | 1,463 | | | | 71 | |
E.ON SE | | | 9,633 | | | | 113 | |
Evonik Industries AG | | | 899 | | | | 24 | |
Fraport AG Frankfurt Airport Services Worldwide | | | 179 | | | | 7 | |
Fresenius Medical Care AG & Co KGaA | | | 914 | | | | 81 | |
Fresenius SE & Co KGaA | | | 1,793 | | | | 90 | |
GEA Group AG* | | | 656 | | | | 24 | |
Hannover Rueck SE | | | 259 | | | | 44 | |
HeidelbergCement AG | | | 637 | | | | 36 | |
Henkel AG & Co KGaA | | | 445 | | | | 39 | |
HOCHTIEF AG | | | 106 | | | | 9 | |
Infineon Technologies | | | 5,363 | | | | 134 | |
KION Group | | | 278 | | | | 21 | |
Knorr-Bremse | | | 207 | | | | 24 | |
LANXESS AG | | | 356 | | | | 18 | |
LEG Immobilien* | | | 295 | | | | 41 | |
Merck KGaA | | | 554 | | | | 71 | |
METRO AG | | | 773 | | | | 7 | |
MTU Aero Engines AG | | | 228 | | | | 40 | |
Muenchener Rueckversicherungs-Gesellschaft in Muenchen | | | 619 | | | | 165 | |
Nemetschek | | | 248 | | | | 18 | |
Puma SE | | | 356 | | | | 28 | |
QIAGEN* | | | 990 | | | | 49 | |
RWE AG | | | 2,506 | | | | 95 | |
SAP SE | | | 4,478 | | | | 708 | |
Scout24 | | | 461 | | | | 40 | |
Siemens | | | 3,280 | | | | 420 | |
Siemens Healthineers AG | | | 643 | | | | 33 | |
Symrise, Cl A | | | 552 | | | | 69 | |
TeamViewer* | | | 557 | | | | 30 | |
Telefonica Deutschland Holding AG | | | 4,474 | | | | 12 | |
thyssenkrupp AG | | | 1,734 | | | | 13 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Uniper SE | | | 864 | | | $ | 30 | |
United Internet AG | | | 440 | | | | 20 | |
Volkswagen AG | | | 139 | | | | 22 | |
Vonovia SE | | | 2,207 | | | | 144 | |
Zalando* | | | 650 | | | | 47 | |
| | | | | | | | |
| | | | | | | 5,135 | |
| | | | | | | | |
| | |
Greece — 0.0% | | | | | | | | |
FF Group* (A) | | | 1,785 | | | | — | |
| | | | | | | | |
| | |
Hong Kong — 0.3% | | | | | | | | |
AIA Group Ltd | | | 51,800 | | | | 468 | |
ASM Pacific Technology Ltd | | | 1,300 | | | | 15 | |
Bank of East Asia | | | 5,600 | | | | 13 | |
BOC Hong Kong Holdings Ltd | | | 16,000 | | | | 45 | |
Budweiser Brewing APAC | | | 7,400 | | | | 27 | |
China Huishan Dairy Holdings Co Ltd* (A) | | | 228,000 | | | | — | |
CK Asset Holdings Ltd | | | 11,000 | | | | 61 | |
CK Hutchison Holdings Ltd | | | 11,500 | | | | 75 | |
CK Infrastructure Holdings Ltd | | | 3,000 | | | | 16 | |
CLP Holdings | | | 7,000 | | | | 66 | |
Galaxy Entertainment Group Ltd | | | 9,000 | | | | 61 | |
Hanergy Thin Film Power Group Ltd* | | | 444,000 | | | | — | |
Hang Lung Properties Ltd | | | 9,000 | | | | 22 | |
Hang Seng Bank Ltd | | | 3,300 | | | | 52 | |
Henderson Land Development Co Ltd | | | 6,000 | | | | 22 | |
HK Electric Investments & HK Electric Investments Ltd | | | 11,500 | | | | 12 | |
HKT Trust & HKT Ltd | | | 16,000 | | | | 24 | |
Hong Kong & China Gas | | | 45,900 | | | | 66 | |
Hong Kong Exchanges & Clearing Ltd | | | 5,100 | | | | 244 | |
Kerry Properties Ltd | | | 2,500 | | | | 6 | |
Link‡ | | | 8,800 | | | | 68 | |
Melco Resorts & Entertainment ADR | | | 900 | | | | 15 | |
MTR Corp Ltd | | | 6,500 | | | | 32 | |
New World Development | | | 6,500 | | | | 32 | |
NWS Holdings Ltd | | | 7,000 | | | | 5 | |
PCCW Ltd | | | 18,000 | | | | 10 | |
Power Assets Holdings | | | 6,000 | | | | 33 | |
Sands China Ltd | | | 10,400 | | | | 40 | |
Sino Land Co Ltd | | | 14,000 | | | | 17 | |
SJM Holdings Ltd | | | 8,000 | | | | 9 | |
Sun Hung Kai Properties Ltd | | | 5,500 | | | | 67 | |
Swire Pacific Ltd, Cl A | | | 2,000 | | | | 10 | |
Swire Properties Ltd | | | 5,000 | | | | 12 | |
Techtronic Industries Co Ltd | | | 6,000 | | | | 63 | |
WH Group Ltd | | | 41,000 | | | | 36 | |
Wharf Real Estate Investment Co Ltd | | | 8,000 | | | | 28 | |
Wynn Macau Ltd | | | 6,800 | | | | 12 | |
| | | | | | | | |
| | | | | | | 1,784 | |
| | | | | | | | |
| | |
Ireland — 0.6% | | | | | | | | |
Accenture PLC, Cl A | | | 10,747 | | | | 2,416 | |
Alkermes PLC* | | | 2,700 | | | | 49 | |
| | |
| 3 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
CRH PLC | | | 3,365 | | | $ | 122 | |
Eaton Corp PLC | | | 6,728 | | | | 627 | |
Experian PLC | | | 3,894 | | | | 137 | |
Jazz Pharmaceuticals PLC* | | | 900 | | | | 97 | |
Kerry Group PLC, Cl A | | | 681 | | | | 90 | |
Paddy Power Betfair PLC | | | 662 | | | | 101 | |
Pentair PLC | | | 2,800 | | | | 120 | |
Perrigo | | | 2,300 | | | | 122 | |
Smurfit Kappa Group | | | 967 | | | | 32 | |
| | | | | | | | |
| | | | | | | 3,913 | |
| | | | | | | | |
| | |
Israel — 0.1% | | | | | | | | |
Azrieli Group | | | 181 | | | | 9 | |
Bank Hapoalim BM | | | 4,866 | | | | 29 | |
Bank Leumi Le-Israel | | | 6,288 | | | | 31 | |
Check Point Software Technologies* | | | 500 | | | | 63 | |
Elbit Systems Ltd | | | 114 | | | | 16 | |
ICL Group | | | 3,017 | | | | 10 | |
Israel Discount Bank, Cl A | | | 4,988 | | | | 15 | |
Mizrahi Tefahot Bank Ltd | | | 604 | | | | 12 | |
Nice Ltd* | | | 266 | | | | 54 | |
Teva Pharmaceutical Industries ADR* | | | 4,700 | | | | 54 | |
Wix.com Ltd* | | | 200 | | | | 58 | |
| | | | | | | | |
| | | | | | | 351 | |
| | | | | | | | |
| | |
Italy — 0.2% | | | | | | | | |
Assicurazioni Generali SpA* | | | 4,717 | | | | 71 | |
Atlantia SpA | | | 2,125 | | | | 34 | |
CNH Industrial NV | | | 4,381 | | | | 30 | |
Davide Campari-Milano | | | 1,037 | | | | 10 | |
DiaSorin | | | 108 | | | | 21 | |
Enel SpA | | | 34,879 | | | | 319 | |
Eni SpA | | | 10,911 | | | | 97 | |
EXOR NV | | | 465 | | | | 26 | |
Ferrari | | | 540 | | | | 97 | |
Fiat Chrysler Automobiles | | | 4,703 | | | | 48 | |
FinecoBank Banca Fineco | | | 2,612 | | | | 38 | |
Infrastrutture Wireless Italiane | | | 1,030 | | | | 10 | |
Intesa Sanpaolo SpA | | | 63,812 | | | | 129 | |
Leonardo SpA | | | 1,733 | | | | 11 | |
Mediobanca Banca di Credito Finanziario | | | 2,660 | | | | 21 | |
Moncler SpA | | | 830 | | | | 32 | |
Nexi* | | | 1,614 | | | | 29 | |
Pirelli & C | | | 1,714 | | | | 7 | |
Poste Italiane | | | 2,240 | | | | 21 | |
Prysmian SpA | | | 1,034 | | | | 26 | |
Recordati SpA | | | 448 | | | | 24 | |
Snam SpA | | | 8,741 | | | | 47 | |
Telecom Italia | | | 35,894 | | | | 14 | |
Telecom Italia SpA/Milano | | | 25,842 | | | | 10 | |
Terna Rete Elettrica Nazionale | | | 6,039 | | | | 45 | |
UniCredit SpA | | | 9,096 | | | | 83 | |
| | | | | | | | |
| | | | | | | 1,300 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Japan — 2.3% | | | | | | | | |
ABC-Mart Inc | | | 100 | | | $ | 5 | |
Acom | | | 1,700 | | | | 6 | |
Advantest | | | 900 | | | | 49 | |
Aeon Co Ltd | | | 2,800 | | | | 66 | |
Aeon Mall Co Ltd | | | 400 | | | | 5 | |
AGC Inc/Japan | | | 800 | | | | 22 | |
Air Water Inc | | | 800 | | | | 10 | |
Aisin Seiki Co Ltd | | | 700 | | | | 20 | |
Ajinomoto Co Inc | | | 2,000 | | | | 36 | |
Alfresa Holdings Corp | | | 800 | | | | 16 | |
Amada | | | 1,400 | | | | 9 | |
ANA Holdings Inc | | | 500 | | | | 10 | |
Aozora Bank | | | 500 | | | | 8 | |
Asahi Group Holdings | | | 1,700 | | | | 55 | |
Asahi Intecc Co Ltd | | | 800 | | | | 22 | |
Asahi Kasei | | | 5,400 | | | | 38 | |
Astellas Pharma Inc | | | 8,000 | | | | 125 | |
Bandai Namco Holdings Inc | | | 900 | | | | 50 | |
Bank of Kyoto Ltd/The | | | 200 | | | | 7 | |
Benesse Holdings | | | 300 | | | | 8 | |
Bridgestone Corp | | | 2,300 | | | | 67 | |
Brother Industries Ltd | | | 1,000 | | | | 15 | |
Calbee | | | 400 | | | | 13 | |
Canon Inc | | | 4,300 | | | | 68 | |
Casio Computer Co Ltd | | | 800 | | | | 13 | |
Central Japan Railway Co | | | 600 | | | | 72 | |
Chiba Bank Ltd/The | | | 2,300 | | | | 10 | |
Chubu Electric Power Co Inc | | | 2,800 | | | | 33 | |
Chugai Pharmaceutical Co Ltd | | | 2,900 | | | | 130 | |
Chugoku Electric Power Co Inc/The | | | 1,300 | | | | 16 | |
Coca-Cola Bottlers Japan Holdings Inc | | | 500 | | | | 7 | |
Concordia Financial Group Ltd | | | 4,500 | | | | 13 | |
Cosmos Pharmaceutical | | | 100 | | | | 18 | |
CyberAgent | | | 400 | | | | 23 | |
Dai Nippon Printing | | | 1,000 | | | | 22 | |
Daicel Corp | | | 1,100 | | | | 7 | |
Daifuku Co Ltd | | | 400 | | | | 36 | |
Dai-ichi Life Holdings Inc | | | 4,600 | | | | 54 | |
Daiichi Sankyo Co Ltd | | | 2,400 | | | | 210 | |
Daikin Industries Ltd | | | 1,100 | | | | 192 | |
Daito Trust Construction Co Ltd | | | 300 | | | | 24 | |
Daiwa House Industry | | | 2,400 | | | | 53 | |
Daiwa House Investment Corp, Cl A‡ | | | 9 | | | | 23 | |
Daiwa Securities Group | | | 6,200 | | | | 27 | |
Denso Corp | | | 1,900 | | | | 70 | |
Dentsu Group | | | 900 | | | | 20 | |
Disco Corp | | | 100 | | | | 24 | |
East Japan Railway Co | | | 1,300 | | | | 75 | |
Eisai Co Ltd | | | 1,100 | | | | 88 | |
Electric Power Development Co Ltd | | | 600 | | | | 8 | |
ENEOS Holdings | | | 13,200 | | | | 46 | |
| | |
| 4 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
FamilyMart | | | 1,100 | | | $ | 25 | |
FANUC | | | 800 | | | | 134 | |
Fast Retailing | | | 300 | | | | 159 | |
Fuji Electric Co Ltd | | | 500 | | | | 14 | |
FUJIFILM Holdings Corp | | | 1,500 | | | | 67 | |
Fujitsu Ltd | | | 800 | | | | 107 | |
Fukuoka Financial Group Inc | | | 700 | | | | 10 | |
GLP J-Reit‡ | | | 16 | | | | 27 | |
GMO Payment Gateway | | | 200 | | | | 21 | |
Hakuhodo DY Holdings Inc | | | 1,000 | | | | 11 | |
Hamamatsu Photonics KK | | | 600 | | | | 26 | |
Hankyu Hanshin Holdings Inc | | | 1,000 | | | | 29 | |
Hikari Tsushin Inc | | | 100 | | | | 22 | |
Hino Motors Ltd | | | 1,200 | | | | 7 | |
Hirose Electric | | | 100 | | | | 10 | |
Hisamitsu Pharmaceutical Co Inc | | | 200 | | | | 9 | |
Hitachi Construction Machinery Co Ltd | | | 500 | | | | 14 | |
Hitachi Ltd | | | 4,200 | | | | 124 | |
Hitachi Metals Ltd | | | 900 | | | | 12 | |
Honda Motor Co Ltd | | | 7,000 | | | | 167 | |
Hoshizaki | | | 200 | | | | 15 | |
Hoya | | | 1,600 | | | | 158 | |
Hulic Co Ltd | | | 1,300 | | | | 11 | |
Idemitsu Kosan | | | 800 | | | | 17 | |
Iida Group Holdings Co Ltd | | | 600 | | | | 9 | |
Inpex | | | 4,400 | | | | 25 | |
Isetan Mitsukoshi Holdings Ltd | | | 1,500 | | | | 7 | |
Isuzu Motors Ltd | | | 2,400 | | | | 20 | |
Ito En | | | 200 | | | | 12 | |
ITOCHU Corp | | | 5,800 | | | | 126 | |
Itochu Techno-Solutions | | | 400 | | | | 16 | |
Japan Airlines | | | 500 | | | | 8 | |
Japan Airport Terminal Co Ltd | | | 200 | | | | 7 | |
Japan Exchange Group Inc | | | 2,200 | | | | 52 | |
Japan Post Bank Co Ltd | | | 1,700 | | | | 13 | |
Japan Post Holdings Co Ltd | | | 6,800 | | | | 46 | |
Japan Post Insurance | | | 1,000 | | | | 13 | |
Japan Prime Realty Investment Corp‡ | | | 3 | | | | 8 | |
Japan Real Estate Investment‡ | | | 6 | | | | 31 | |
Japan Retail Fund Investment Corp‡ | | | 11 | | | | 13 | |
Japan Tobacco Inc | | | 5,200 | | | | 89 | |
JFE Holdings Inc | | | 2,100 | | | | 14 | |
JGC Holdings | | | 900 | | | | 9 | |
JSR | | | 900 | | | | 19 | |
JTEKT Corp | | | 900 | | | | 6 | |
Kajima Corp | | | 1,900 | | | | 21 | |
Kakaku.com | | | 600 | | | | 14 | |
Kamigumi Co Ltd | | | 400 | | | | 7 | |
Kansai Electric Power Co Inc/The | | | 3,000 | | | | 28 | |
Kansai Paint Co Ltd | | | 800 | | | | 15 | |
Kao | | | 2,100 | | | | 152 | |
Kawasaki Heavy Industries Ltd | | | 600 | | | | 8 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
KDDI Corp | | | 7,100 | | | $ | 219 | |
Keihan Holdings Co Ltd | | | 400 | | | | 16 | |
Keikyu Corp | | | 1,000 | | | | 13 | |
Keio Corp | | | 400 | | | | 20 | |
Keisei Electric Railway Co Ltd | | | 600 | | | | 15 | |
Keyence Corp | | | 800 | | | | 335 | |
Kikkoman Corp | | | 600 | | | | 28 | |
Kintetsu Group Holdings Co Ltd | | | 700 | | | | 27 | |
Kirin Holdings Co Ltd | | | 3,500 | | | | 67 | |
Kobayashi Pharmaceutical Co Ltd | | | 200 | | | | 18 | |
Kobe Bussan | | | 300 | | | | 19 | |
Koito Manufacturing Co Ltd | | | 500 | | | | 20 | |
Komatsu Ltd | | | 3,800 | | | | 74 | |
Konami Holdings Corp | | | 400 | | | | 12 | |
Kose Corp | | | 100 | | | | 10 | |
Kubota | | | 4,400 | | | | 63 | |
Kuraray Co Ltd | | | 1,400 | | | | 14 | |
Kurita Water Industries Ltd | | | 400 | | | | 11 | |
Kyocera Corp | | | 1,400 | | | | 77 | |
Kyowa Hakko Kirin Co Ltd | | | 1,200 | | | | 30 | |
Kyushu Electric Power Co Inc | | | 1,600 | | | | 13 | |
Kyushu Railway Co | | | 600 | | | | 12 | |
Lasertec | | | 300 | | | | 26 | |
Lawson Inc | | | 200 | | | | 10 | |
LINE Corp* | | | 300 | | | | 16 | |
Lion Corp | | | 1,000 | | | | 26 | |
LIXIL Group Corp | | | 1,100 | | | | 15 | |
M3 Inc | | | 1,900 | | | | 97 | |
Makita Corp | | | 1,000 | | | | 38 | |
Marubeni Corp | | | 7,100 | | | | 33 | |
Marui Group | | | 800 | | | | 12 | |
Maruichi Steel Tube Ltd | | | 200 | | | | 5 | |
Mazda Motor | | | 2,400 | | | | 13 | |
McDonald’s Holdings Co Japan Ltd | | | 300 | | | | 14 | |
Mebuki Financial Group Inc | | | 4,000 | | | | 9 | |
Medipal Holdings Corp | | | 800 | | | | 15 | |
MEIJI Holdings Co Ltd | | | 500 | | | | 39 | |
Mercari* | | | 400 | | | | 17 | |
MINEBEA MITSUMI Inc | | | 1,600 | | | | 26 | |
MISUMI Group | | | 1,200 | | | | 28 | |
Mitsubishi Chemical Holdings Corp | | | 5,500 | | | | 29 | |
Mitsubishi Corp | | | 5,800 | | | | 116 | |
Mitsubishi Electric Corp | | | 7,800 | | | | 101 | |
Mitsubishi Estate Co Ltd | | | 5,100 | | | | 73 | |
Mitsubishi Gas Chemical | | | 700 | | | | 11 | |
Mitsubishi Heavy Industries Ltd | | | 1,400 | | | | 32 | |
Mitsubishi Materials Corp | | | 500 | | | | 10 | |
Mitsubishi Motors Corp | | | 2,900 | | | | 6 | |
Mitsubishi UFJ Financial Group Inc | | | 52,400 | | | | 195 | |
Mitsubishi UFJ Lease & Finance Co Ltd | | | 1,700 | | | | 7 | |
Mitsui & Co Ltd | | | 7,100 | | | | 106 | |
Mitsui Chemicals Inc | | | 800 | | | | 15 | |
| | |
| 5 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Mitsui Fudosan Co Ltd | | | 4,000 | | | $ | 62 | |
Miura | | | 400 | | | | 15 | |
Mizuho Financial Group Inc | | | 103,500 | | | | 125 | |
MonotaRO Co Ltd | | | 500 | | | | 21 | |
MS&AD Insurance Group Holdings Inc | | | 1,900 | | | | 47 | |
Murata Manufacturing Co Ltd | | | 2,500 | | | | 156 | |
Nabtesco Corp | | | 500 | | | | 15 | |
Nagoya Railroad Co Ltd | | | 800 | | | | 20 | |
NEC Corp | | | 1,100 | | | | 61 | |
Nexon Co Ltd | | | 2,100 | | | | 54 | |
NGK Insulators Ltd | | | 1,100 | | | | 14 | |
NGK Spark Plug Co Ltd | | | 700 | | | | 9 | |
NH Foods Ltd | | | 400 | | | | 18 | |
Nidec | | | 1,900 | | | | 151 | |
Nihon M&A Center | | | 600 | | | | 29 | |
Nikon Corp | | | 1,300 | | | | 9 | |
Nintendo Co Ltd | | | 500 | | | | 220 | |
Nippon Building Fund‡ | | | 5 | | | | 28 | |
Nippon Express Co Ltd | | | 300 | | | | 14 | |
Nippon Paint Holdings Co Ltd | | | 600 | | | | 41 | |
Nippon Prologis Inc‡ | | | 9 | | | | 31 | |
Nippon Shinyaku | | | 200 | | | | 15 | |
Nippon Steel Corp | | | 3,500 | | | | 28 | |
Nippon Telegraph & Telephone Corp | | | 5,500 | | | | 127 | |
Nippon Yusen | | | 700 | | | | 9 | |
Nissan Chemical | | | 500 | | | | 26 | |
Nissan Motor Co Ltd | | | 10,000 | | | | 34 | |
Nisshin Seifun Group Inc | | | 900 | | | | 14 | |
Nissin Foods Holdings Co Ltd | | | 300 | | | | 27 | |
Nitori Holdings Co Ltd | | | 300 | | | | 66 | |
Nitto Denko Corp | | | 700 | | | | 39 | |
Nomura Holdings Inc | | | 13,500 | | | | 63 | |
Nomura Real Estate Holdings Inc | | | 500 | | | | 8 | |
Nomura Real Estate Master Fund‡ | | | 18 | | | | 22 | |
Nomura Research Institute Ltd | | | 1,400 | | | | 37 | |
NSK Ltd | | | 1,500 | | | | 10 | |
NTT Data | | | 2,700 | | | | 30 | |
NTT DOCOMO Inc | | | 5,000 | | | | 137 | |
Obayashi Corp | | | 2,800 | | | | 25 | |
Obic Co Ltd | | | 300 | | | | 54 | |
Odakyu Electric Railway Co Ltd | | | 1,300 | | | | 27 | |
Oji Holdings Corp | | | 3,700 | | | | 15 | |
Olympus Corp | | | 5,000 | | | | 89 | |
Omron Corp | | | 800 | | | | 57 | |
Ono Pharmaceutical Co Ltd | | | 1,600 | | | | 45 | |
Oracle Corp Japan | | | 200 | | | | 24 | |
Oriental Land Co Ltd/Japan | | | 900 | | | | 108 | |
ORIX | | | 5,700 | | | | 61 | |
Orix JREIT‡ | | | 11 | | | | 14 | |
Osaka Gas Co Ltd | | | 1,600 | | | | 29 | |
Otsuka Corp | | | 500 | | | | 26 | |
Otsuka Holdings | | | 1,700 | | | | 70 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Pan Pacific International Holdings Corp | | | 1,800 | | | $ | 41 | |
Panasonic Corp | | | 9,500 | | | | 81 | |
Park24 Co Ltd | | | 500 | | | | 7 | |
PeptiDream* | | | 400 | | | | 16 | |
Persol Holdings Co Ltd | | | 800 | | | | 10 | |
Pigeon | | | 500 | | | | 19 | |
Pola Orbis Holdings Inc | | | 400 | | | | 7 | |
Rakuten Inc | | | 3,700 | | | | 34 | |
Recruit Holdings Co Ltd | | | 5,500 | | | | 170 | |
Renesas Electronics Corp* | | | 3,300 | | | | 18 | |
Resona Holdings Inc | | | 9,000 | | | | 29 | |
Ricoh Co Ltd | | | 2,900 | | | | 19 | |
Rinnai Corp | | | 200 | | | | 16 | |
Rohm Co Ltd | | | 400 | | | | 25 | |
Ryohin Keikaku | | | 1,000 | | | | 12 | |
Santen Pharmaceutical Co Ltd | | | 1,500 | | | | 25 | |
SBI Holdings Inc/Japan | | | 1,000 | | | | 21 | |
SCSK | | | 200 | | | | 10 | |
Secom | | | 900 | | | | 77 | |
Sega Sammy Holdings | | | 700 | | | | 8 | |
Seibu Holdings Inc | | | 900 | | | | 8 | |
Seiko Epson Corp | | | 1,200 | | | | 13 | |
Sekisui Chemical Co Ltd | | | 1,600 | | | | 22 | |
Sekisui House | | | 2,700 | | | | 49 | |
Seven & i Holdings Co Ltd | | | 3,200 | | | | 97 | |
Seven Bank Ltd | | | 2,500 | | | | 6 | |
SG Holdings Co Ltd | | | 700 | | | | 26 | |
Sharp Corp/Japan | | | 900 | | | | 9 | |
Shimadzu Corp | | | 1,000 | | | | 25 | |
Shimamura Co Ltd | | | 100 | | | | 7 | |
Shimano Inc | | | 300 | | | | 65 | |
Shimizu Corp | | | 2,400 | | | | 17 | |
Shin-Etsu Chemical | | | 1,500 | | | | 174 | |
Shinsei Bank Ltd | | | 700 | | | | 8 | |
Shionogi & Co Ltd | | | 1,200 | | | | 71 | |
Shiseido Co Ltd | | | 1,700 | | | | 94 | |
Shizuoka Bank Ltd/The | | | 1,800 | | | | 12 | |
Showa Denko KK | | | 600 | | | | 12 | |
SMC Corp/Japan | | | 200 | | | | 104 | |
Softbank Corp | | | 8,200 | | | | 110 | |
SoftBank Group Corp | | | 6,700 | | | | 418 | |
Sohgo Security Services Co Ltd | | | 300 | | | | 14 | |
Sompo Holdings Inc | | | 1,400 | | | | 46 | |
Sony Corp | | | 5,500 | | | | 420 | |
Square Enix Holdings | | | 400 | | | | 21 | |
Stanley Electric Co Ltd | �� | | 600 | | | | 14 | |
Subaru Corp | | | 2,600 | | | | 49 | |
SUMCO Corp | | | 1,100 | | | | 17 | |
Sumitomo Chemical Co Ltd | | | 6,400 | | | | 18 | |
Sumitomo Corp | | | 5,100 | | | | 56 | |
Sumitomo Dainippon Pharma | | | 800 | | | | 10 | |
Sumitomo Electric Industries | | | 3,200 | | | | 35 | |
| | |
| 6 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Sumitomo Heavy Industries Ltd | | | 500 | | | $ | 10 | |
Sumitomo Metal Mining Co Ltd | | | 1,000 | | | | 30 | |
Sumitomo Mitsui Financial Group Inc | | | 5,600 | | | | 148 | |
Sumitomo Mitsui Trust Holdings Inc | | | 1,500 | | | | 38 | |
Sumitomo Realty & Development | | | 1,300 | | | | 33 | |
Sumitomo Rubber Industries Ltd | | | 700 | | | | 6 | |
Sundrug Co Ltd | | | 300 | | | | 10 | |
Suntory Beverage & Food Ltd | | | 600 | | | | 23 | |
Suzuken | | | 300 | | | | 11 | |
Suzuki Motor Corp | | | 1,600 | | | | 53 | |
Sysmex Corp | | | 700 | | | | 54 | |
T&D Holdings | | | 2,300 | | | | 19 | |
Taiheiyo Cement Corp | | | 500 | | | | 11 | |
Taisei | | | 800 | | | | 27 | |
Taisho Pharmaceutical Holdings | | | 100 | | | | 6 | |
Taiyo Nippon Sanso | | | 700 | | | | 11 | |
Takeda Pharmaceutical Co Ltd | | | 6,800 | | | | 242 | |
TDK Corp | | | 600 | | | | 66 | |
Teijin Ltd | | | 800 | | | | 12 | |
Terumo Corp | | | 2,800 | | | | 105 | |
THK Co Ltd | | | 500 | | | | 12 | |
TIS | | | 1,000 | | | | 22 | |
Tobu Railway Co Ltd | | | 800 | | | | 22 | |
Toho Co Ltd/Tokyo | | | 500 | | | | 15 | |
Toho Gas Co Ltd | | | 300 | | | | 13 | |
Tohoku Electric Power Co Inc | | | 1,800 | | | | 17 | |
Tokio Marine Holdings Inc | | | 2,700 | | | | 113 | |
Tokyo Century Corp | | | 200 | | | | 11 | |
Tokyo Electric Power Holdings* | | | 6,200 | | | | 16 | |
Tokyo Electron Ltd | | | 600 | | | | 163 | |
Tokyo Gas | | | 1,600 | | | | 34 | |
Tokyu Corp | | | 2,200 | | | | 24 | |
Tokyu Fudosan Holdings | | | 2,600 | | | | 10 | |
Toppan Printing Co Ltd | | | 1,100 | | | | 16 | |
Toray Industries Inc | | | 6,000 | | | | 26 | |
Toshiba | | | 1,700 | | | | 51 | |
Tosoh Corp | | | 1,100 | | | | 15 | |
TOTO Ltd | | | 600 | | | | 22 | |
Toyo Suisan Kaisha Ltd | | | 400 | | | | 24 | |
Toyoda Gosei Co Ltd | | | 300 | | | | 6 | |
Toyota Industries Corp | | | 600 | | | | 30 | |
Toyota Motor Corp | | | 9,100 | | | | 535 | |
Toyota Tsusho Corp | | | 900 | | | | 23 | |
Trend Micro Inc/Japan | | | 600 | | | | 35 | |
Tsuruha Holdings Inc | | | 200 | | | | 28 | |
Unicharm Corp | | | 1,700 | | | | 77 | |
United Urban Investment Corp‡ | | | 13 | | | | 13 | |
USS Co Ltd | | | 900 | | | | 13 | |
Welcia Holdings | | | 200 | | | | 18 | |
West Japan Railway Co | | | 700 | | | | 30 | |
Yakult Honsha Co Ltd | | | 500 | | | | 28 | |
Yamada Denki Co Ltd | | | 3,100 | | | | 13 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Yamaha | | | 600 | | | $ | 28 | |
Yamaha Motor Co Ltd | | | 1,200 | | | | 17 | |
Yamato Holdings Co Ltd | | | 1,300 | | | | 33 | |
Yamazaki Baking Co Ltd | | | 500 | | | | 8 | |
Yaskawa Electric Corp | | | 1,000 | | | | 33 | |
Yokogawa Electric Corp | | | 1,000 | | | | 15 | |
Yokohama Rubber Co Ltd/The | | | 500 | | | | 6 | |
Z Holdings | | | 11,400 | | | | 60 | |
ZOZO Inc | | | 500 | | | | 14 | |
| | | | | | | | |
| | | | | | | 14,053 | |
| | | | | | | | |
| | |
Luxembourg — 0.0% | | | | | | | | |
SES, Cl A | | | 1,645 | | | | 11 | |
Tenaris SA | | | 2,019 | | | | 12 | |
| | | | | | | | |
| | | | | | | 23 | |
| | | | | | | | |
| | |
Netherlands — 0.5% | | | | | | | | |
ABN AMRO Group NV | | | 1,812 | | | | 15 | |
Adyen NV* | | | 77 | | | | 129 | |
Aegon NV | | | 7,671 | | | | 23 | |
AerCap Holdings NV* | | | 600 | | | | 16 | |
Airbus SE | | | 2,518 | | | | 185 | |
Akzo Nobel NV | | | 856 | | | | 81 | |
Altice Europe, Cl A* | | | 2,668 | | | | 13 | |
ArcelorMittal | | | 3,072 | | | | 34 | |
ASML Holding NV | | | 1,825 | | | | 647 | |
Galapagos* | | | 180 | | | | 33 | |
Heineken | | | 1,112 | | | | 108 | |
Heineken Holding NV | | | 494 | | | | 43 | |
ING Groep NV | | | 16,706 | | | | 116 | |
Just Eat Takeaway.com* | | | 520 | | | | 56 | |
Koninklijke Ahold Delhaize | | | 4,721 | | | | 137 | |
Koninklijke DSM NV | | | 739 | | | | 113 | |
Koninklijke KPN NV | | | 15,327 | | | | 40 | |
Koninklijke Philips NV | | | 3,955 | | | | 205 | |
Koninklijke Vopak NV | | | 301 | | | | 16 | |
NN Group NV | | | 1,252 | | | | 46 | |
Prosus* | | | 2,090 | | | | 203 | |
Randstad NV | | | 511 | | | | 25 | |
Royal Dutch Shell, Cl A | | | 17,468 | | | | 257 | |
Royal Dutch Shell PLC, Cl B | | | 16,160 | | | | 229 | |
Unibail-Rodamco-Westfield‡ | | | 593 | | | | 31 | |
Unilever | | | 6,263 | | | | 371 | |
Wolters Kluwer NV | | | 1,171 | | | | 93 | |
| | | | | | | | |
| | | | | | | 3,265 | |
| | | | | | | | |
| | |
New Zealand — 0.0% | | | | | | | | |
a2 Milk Co Ltd * | | | 3,155 | | | | 44 | |
Auckland International Airport Ltd | | | 5,207 | | | | 22 | |
Fisher & Paykel Healthcare Corp Ltd | | | 2,462 | | | | 59 | |
Mercury NZ | | | 2,919 | | | | 9 | |
Meridian Energy Ltd | | | 5,492 | | | | 18 | |
Ryman Healthcare Ltd | | | 1,713 | | | | 15 | |
| | |
| 7 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Spark New Zealand Ltd | | | 7,868 | | | $ | 26 | |
| | | | | | | | |
| | | | | | | 193 | |
| | | | | | | | |
| | |
Norway — 0.1% | | | | | | | | |
DNB ASA* | | | 4,062 | | | | 62 | |
Equinor | | | 4,293 | | | | 63 | |
Gjensidige Forsikring ASA | | | 857 | | | | 18 | |
Mowi ASA | | | 1,885 | | | | 34 | |
Norsk Hydro ASA | | | 5,755 | | | | 16 | |
Orkla ASA | | | 3,219 | | | | 32 | |
Schibsted ASA, Cl B | | | 420 | | | | 14 | |
Telenor ASA | | | 3,094 | | | | 48 | |
Yara International ASA | | | 759 | | | | 32 | |
| | | | | | | | |
| | | | | | | 319 | |
| | | | | | | | |
| | |
Panama — 0.0% | | | | | | | | |
Copa Holdings SA, Cl A | | | 500 | | | | 21 | |
| | | | | | | | |
| | |
Portugal — 0.0% | | | | | | | | |
EDP - Energias de Portugal SA | | | 10,960 | | | | 55 | |
Galp Energia SGPS | | | 2,144 | | | | 23 | |
Jeronimo Martins SGPS SA | | | 1,077 | | | | 18 | |
| | | | | | | | |
| | | | | | | 96 | |
| | | | | | | | |
| | |
Singapore — 0.1% | | | | | | | | |
Ascendas Real Estate Investment Trust‡ | | | 13,200 | | | | 34 | |
CapitaLand Commercial Trust‡ | | | 11,600 | | | | 14 | |
CapitaLand Ltd | | | 10,900 | | | | 22 | |
CapitaLand Mall Trust‡ | | | 11,100 | | | | 15 | |
City Developments Ltd | | | 1,900 | | | | 11 | |
Dairy Farm International Holdings Ltd | | | 1,400 | | | | 6 | |
DBS Group Holdings Ltd | | | 7,700 | | | | 111 | |
Genting Singapore Ltd | | | 26,000 | | | | 14 | |
Hongkong Land Holdings Ltd | | | 4,900 | | | | 19 | |
Jardine Cycle & Carriage Ltd | | | 400 | | | | 6 | |
Jardine Matheson Holdings Ltd | | | 900 | | | | 37 | |
Jardine Strategic Holdings Ltd | | | 900 | | | | 18 | |
Keppel Corp Ltd | | | 6,200 | | | | 24 | |
Mapletree Commercial Trust‡ | | | 9,200 | | | | 12 | |
Mapletree Logistics Trust‡ | | | 11,400 | | | | 18 | |
Oversea-Chinese Banking Corp Ltd | | | 14,200 | | | | 89 | |
Singapore Airlines Ltd | | | 5,800 | | | | 14 | |
Singapore Exchange Ltd | | | 3,500 | | | | 21 | |
Singapore Technologies Engineering | | | 6,700 | | | | 16 | |
Singapore Telecommunications Ltd | | | 35,100 | | | | 63 | |
Suntec Real Estate Investment Trust‡ | | | 8,400 | | | | 8 | |
United Overseas Bank Ltd | | | 5,100 | | | | 72 | |
UOL Group Ltd | | | 2,000 | | | | 10 | |
Venture Corp Ltd | | | 1,200 | | | | 16 | |
Wilmar International Ltd | | | 8,200 | | | | 28 | |
Yangzijiang Shipbuilding Holdings Ltd | | | 11,000 | | | | 7 | |
| | | | | | | | |
| | | | | | | 705 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
South Korea — 0.0% | | | | | | | | |
Medytox | | | 5 | | | $ | 1 | |
| | | | | | | | |
| | |
Spain — 0.2% | | | | | | | | |
ACS Actividades de Construccion y | | | | | | | | |
Servicios SA | | | 484 | | | | 11 | |
Aena SME SA | | | 289 | | | | 38 | |
Amadeus IT Group SA, Cl A | | | 1,849 | | | | 93 | |
Banco Bilbao Vizcaya Argentaria SA | | | 28,581 | | | | 89 | |
Banco Santander SA | | | 71,243 | | | | 152 | |
Bankinter SA | | | 2,886 | | | | 15 | |
CaixaBank SA | | | 15,373 | | | | 33 | |
Cellnex Telecom | | | 1,074 | | | | 68 | |
Enagas SA | | | 1,067 | | | | 27 | |
Endesa SA | | | 1,363 | | | | 39 | |
Ferrovial SA | | | 2,075 | | | | 51 | |
Grifols | | | 1,278 | | | | 37 | |
Iberdrola | | | 25,473 | | | | 329 | |
Industria de Diseno Textil SA | | | 4,677 | | | | 124 | |
Mapfre SA | | | 4,617 | | | | 8 | |
Naturgy Energy Group | | | 1,268 | | | | 24 | |
Red Electrica Corp SA | | | 1,857 | | | | 36 | |
Repsol SA | | | 2,655 | | | | 21 | |
Siemens Gamesa Renewable Energy SA | | | 1,021 | | | | 24 | |
Telefonica SA | | | 21,203 | | | | 89 | |
| | | | | | | | |
| | | | | | | 1,308 | |
| | | | | | | | |
| | |
Sweden — 0.3% | | | | | | | | |
Alfa Laval | | | 1,346 | | | | 32 | |
Assa Abloy AB, Cl B | | | 4,297 | | | | 94 | |
Atlas Copco AB, Cl A | | | 3,026 | | | | 134 | |
Atlas Copco AB, Cl B | | | 1,502 | | | | 58 | |
Boliden | | | 1,172 | | | | 32 | |
Electrolux AB | | | 967 | | | | 18 | |
Epiroc, Cl A | | | 1,882 | | | | 26 | |
Epiroc AB, Cl B | | | 2,606 | | | | 36 | |
Equities* | | | 1,021 | | | | 24 | |
Essity AB, Cl B | | | 2,602 | | | | 86 | |
Evolution Gaming Group | | | 545 | | | | 37 | |
Hennes & Mauritz AB, Cl B | | | 3,445 | | | | 54 | |
Hexagon, Cl B | | | 1,207 | | | | 79 | |
Husqvarna, Cl B | | | 1,791 | | | | 17 | |
ICA Gruppen AB* | | | 432 | | | | 21 | |
Industrivarden AB, Cl C | | | 681 | | | | 17 | |
Investment Latour, Cl B | | | 635 | | | | 13 | |
Investor AB, Cl B | | | 1,954 | | | | 115 | |
Kinnevik | | | 1,036 | | | | 36 | |
L E Lundbergforetagen AB, Cl B | | | 326 | | | | 15 | |
Lundin Energy | | | 797 | | | | 19 | |
Nibe Industrier, Cl B | | | 1,335 | | | | 32 | |
Nordea Bank Abp* | | | 13,889 | | | | 108 | |
Sandvik AB | | | 4,836 | | | | 90 | |
Securitas AB, Cl B | | | 1,343 | | | | 20 | |
| | |
| 10 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Skandinaviska Enskilda Banken AB, Cl A | | | 6,978 | | | $ | 68 | |
Skanska AB, Cl B | | | 1,457 | | | | 29 | |
SKF AB, Cl B | | | 1,628 | | | | 30 | |
Svenska Cellulosa, Cl B | | | 2,601 | | | | 32 | |
Svenska Handelsbanken AB, Cl A | | | 6,668 | | | | 63 | |
Swedbank AB, Cl A | | | 3,883 | | | | 63 | |
Swedish Match AB | | | 728 | | | | 56 | |
Tele2 AB, Cl B | | | 2,143 | | | | 30 | |
Telefonaktiebolaget LM Ericsson, Cl B | | | 12,520 | | | | 144 | |
Telia Co AB | | | 10,854 | | | | 42 | |
Volvo AB, Cl B | | | 6,370 | | | | 110 | |
| | | | | | | | |
| | | | | | | 1,880 | |
| | | | | | | | |
| | |
Switzerland — 1.0% | | | | | | | | |
ABB Ltd | | | 7,899 | | | | 198 | |
Adecco Group AG | | | 665 | | | | 32 | |
Alcon Inc | | | 2,108 | | | | 127 | |
Baloise Holding AG | | | 199 | | | | 30 | |
Banque Cantonale Vaudoise | | | 129 | | | | 14 | |
Barry Callebaut | | | 13 | | | | 27 | |
Chocoladefabriken Lindt & Spruengli AG | | | 5 | | | | 39 | |
Cie Financiere Richemont SA | | | 2,238 | | | | 139 | |
Clariant AG | | | 1,001 | | | | 19 | |
Coca-Cola HBC AG | | | 857 | | | | 23 | |
Credit Suisse Group AG* | | | 10,410 | | | | 111 | |
EMS-Chemie Holding AG | | | 35 | | | | 30 | |
Geberit | | | 159 | | | | 88 | |
Givaudan | | | 40 | | | | 165 | |
Julius Baer Group Ltd | | | 959 | | | | 42 | |
Kuehne + Nagel International AG | | | 232 | | | | 40 | |
LafargeHolcim Ltd | | | 2,243 | | | | 106 | |
Logitech International | | | 705 | | | | 51 | |
Lonza Group AG | | | 319 | | | | 199 | |
Nestle SA | | | 12,761 | | | | 1,517 | |
Novartis AG | | | 9,211 | | | | 764 | |
Partners Group Holding AG | | | 80 | | | | 78 | |
Roche Holding AG | | | 3,012 | | | | 1,047 | |
Schindler Holding | | | 175 | | | | 44 | |
Schindler Holding AG | | | 86 | | | | 21 | |
SGS SA | | | 26 | | | | 68 | |
Sika AG | | | 608 | | | | 134 | |
Sonova Holding AG | | | 235 | | | | 53 | |
Straumann Holding AG | | | 44 | | | | 43 | |
Swatch Group | | | 122 | | | | 26 | |
Swatch Group AG/The | | | 236 | | | | 9 | |
Swiss Life Holding AG | | | 137 | | | | 50 | |
Swiss Prime Site AG | | | 324 | | | | 30 | |
Swiss Re AG | | | 1,264 | | | | 100 | |
Swisscom AG | | | 111 | | | | 59 | |
Temenos AG | | | 281 | | | | 42 | |
UBS Group* | | | 15,718 | | | | 185 | |
Vifor Pharma AG | | | 195 | | | | 28 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Zurich Insurance Group AG | | | 642 | | | $ | 237 | |
| | | | | | | | |
| | | | | | | 6,015 | |
| | | | | | | | |
| | |
United Kingdom — 1.2% | | | | | | | | |
3i Group PLC | | | 4,172 | | | | 49 | |
Admiral Group PLC | | | 819 | | | | 26 | |
Anglo American PLC | | | 5,265 | | | | 129 | |
Antofagasta PLC | | | 1,689 | | | | 23 | |
Ashtead Group PLC | | | 1,932 | | | | 62 | |
Associated British Foods PLC | | | 1,528 | | | | 35 | |
AstraZeneca | | | 5,626 | | | | 630 | |
Auto Trader Group PLC | | | 4,138 | | | | 29 | |
AVEVA Group | | | 277 | | | | 15 | |
Aviva PLC | | | 16,821 | | | | 58 | |
BAE Systems PLC | | | 13,744 | | | | 88 | |
Barclays | | | 74,266 | | | | 98 | |
Barratt Developments | | | 4,363 | | | | 29 | |
Berkeley Group Holdings PLC | | | 539 | | | | 31 | |
BHP Group PLC | | | 9,056 | | | | 197 | |
BP PLC | | | 86,842 | | | | 314 | |
British American Tobacco PLC | | | 9,835 | | | | 326 | |
British Land‡ | | | 3,772 | | | | 18 | |
BT Group, Cl A | | | 38,148 | | | | 49 | |
Bunzl PLC | | | 1,443 | | | | 42 | |
Burberry Group | | | 1,735 | | | | 29 | |
Compass Group | | | 7,650 | | | | 105 | |
Croda International PLC | | | 552 | | | | 41 | |
DCC PLC | | | 422 | | | | 38 | |
Diageo PLC | | | 10,022 | | | | 368 | |
Direct Line Insurance Group | | | 5,897 | | | | 23 | |
Evraz | | | 2,176 | | | | 8 | |
Ferguson | | | 966 | | | | 86 | |
GlaxoSmithKline PLC | | | 21,509 | | | | 432 | |
Glencore PLC | | | 42,840 | | | | 98 | |
GVC Holdings PLC | | | 2,498 | | | | 22 | |
Halma | | | 1,628 | | | | 47 | |
Hargreaves Lansdown PLC | | | 1,424 | | | | 33 | |
Hikma Pharmaceuticals | | | 741 | | | | 21 | |
HSBC Holdings | | | 87,101 | | | | 391 | |
Imperial Brands PLC | | | 4,058 | | | | 68 | |
Informa | | | 6,442 | | | | 31 | |
InterContinental Hotels Group PLC | | | 742 | | | | 34 | |
Intertek Group PLC | | | 692 | | | | 49 | |
ITV | | | 15,529 | | | | 12 | |
J Sainsbury PLC | | | 7,595 | | | | 19 | |
JD Sports Fashion | | | 1,877 | | | | 15 | |
Johnson Matthey PLC | | | 829 | | | | 24 | |
Kingfisher PLC | | | 9,043 | | | | 29 | |
Kingspan Group PLC | | | 659 | | | | 47 | |
Land Securities Group PLC‡ | | | 3,018 | | | | 23 | |
Legal & General Group | | | 25,575 | | | | 72 | |
Lloyds Banking Group PLC | | | 301,334 | | | | 104 | |
London Stock Exchange Group PLC | | | 1,350 | | | | 150 | |
| | |
| 11 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
M&G | | | 11,144 | | | $ | 23 | |
Melrose Industries PLC | | | 20,823 | | | | 23 | |
Mondi | | | 2,086 | | | | 37 | |
National Grid PLC | | | 15,047 | | | | 178 | |
Natwest Group | | | 20,734 | | | | 29 | |
Next PLC | | | 570 | | | | 41 | |
NMC Health PLC* | | | 3,417 | | | | — | |
Ocado Group* | | | 1,981 | | | | 53 | |
Pearson PLC | | | 3,293 | | | | 23 | |
Persimmon PLC | | | 1,366 | | | | 43 | |
Prudential PLC | | | 11,154 | | | | 162 | |
Reckitt Benckiser Group PLC | | | 3,043 | | | | 308 | |
RELX PLC | | | 8,291 | | | | 176 | |
Rentokil Initial | | | 7,926 | | | | 56 | |
Rio Tinto PLC | | | 4,809 | | | | 291 | |
Rolls-Royce Holdings PLC | | | 8,279 | | | | 25 | |
RSA Insurance Group PLC | | | 4,425 | | | | 25 | |
Sage Group PLC/The | | | 4,681 | | | | 45 | |
Schroders PLC | | | 533 | | | | 21 | |
Segro PLC‡ | | | 5,056 | | | | 64 | |
Severn Trent PLC | | | 1,022 | | | | 33 | |
Smith & Nephew PLC | | | 3,750 | | | | 75 | |
Smiths Group PLC | | | 1,698 | | | | 30 | |
Spirax-Sarco Engineering | | | 315 | | | | 43 | |
SSE PLC | | | 4,417 | | | | 75 | |
St. James’s Place | | | 2,294 | | | | 28 | |
Standard Chartered PLC | | | 11,648 | | | | 59 | |
Standard Life Aberdeen PLC | | | 9,980 | | | | 33 | |
Taylor Wimpey | | | 15,612 | | | | 24 | |
Tesco PLC | | | 42,002 | | | | 120 | |
Unilever PLC | | | 5,010 | | | | 301 | |
United Utilities Group PLC | | | 2,927 | | | | 35 | |
Vodafone Group PLC | | | 114,789 | | | | 174 | |
Whitbread PLC | | | 865 | | | | 25 | |
Wm Morrison Supermarkets PLC | | | 10,319 | | | | 25 | |
WPP PLC | | | 5,307 | | | | 40 | |
| | | | | | | | |
| | | | | | | 7,410 | |
| | | | | | | | |
| | |
United States — 84.0% | | | | | | | | |
| | |
Communication Services — 8.8% | | | | | | | | |
Activision Blizzard Inc | | | 12,900 | | | | 1,066 | |
Alphabet Inc, Cl C* | | | 5,059 | | | | 7,502 | |
Alphabet Inc, Cl A* | | | 5,088 | | | | 7,571 | |
Altice USA, Cl A* | | | 5,427 | | | | 147 | |
AT&T Inc | | | 120,766 | | | | 3,572 | |
Cable One Inc | | | 37 | | | | 67 | |
CenturyLink | | | 18,500 | | | | 179 | |
Charter Communications Inc, Cl A* | | | 2,490 | | | | 1,444 | |
Comcast Corp, Cl A | | | 76,700 | | | | 3,283 | |
Discovery Inc, Cl A* | | | 2,600 | | | | 55 | |
Discovery Inc, Cl C* | | | 5,500 | | | | 104 | |
DISH Network Corp, Cl A* | | | 4,200 | | | | 135 | |
Electronic Arts Inc* | | | 4,800 | | | | 680 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value
($ Thousands) | |
Facebook Inc, Cl A* | | | 40,706 | | | $ | 10,326 | |
Fox Corp | | | 8,405 | | | | 216 | |
GCI Liberty Inc* | | | 1,700 | | | | 133 | |
IAC* | | | 1,249 | | | | 165 | |
Interpublic Group of Cos Inc/The | | | 6,545 | | | | 118 | |
John Wiley & Sons Inc, Cl A | | | 700 | | | | 24 | |
Liberty Broadband Corp, Cl C* | | | 1,800 | | | | 247 | |
Liberty Broadband Corp, Cl A* | | | 400 | | | | 54 | |
Liberty Media Corp-Liberty Formula One, Cl A* | | | 400 | | | | 13 | |
Liberty Media Corp-Liberty Formula One, Cl C* | | | 3,300 | | | | 117 | |
Liberty Media Corp-Liberty SiriusXM, Cl A* | | | 1,400 | | | | 49 | |
Liberty Media -Liberty SiriusXM, Cl C* | | | 2,900 | | | | 102 | |
Lions Gate Entertainment, Cl A* | | | 1,000 | | | | 8 | |
Lions Gate Entertainment Corp, Cl B* | | | 1,900 | | | | 14 | |
Live Nation Entertainment Inc* | | | 2,352 | | | | 110 | |
Madison Square Garden Entertainment* | | | 339 | | | | 24 | |
Madison Square Garden Sports* | | | 339 | | | | 52 | |
Match Group* | | | 3,698 | | | | 380 | |
Netflix Inc* | | | 7,200 | | | | 3,520 | |
New York Times, Cl A | | | 2,800 | | | | 129 | |
News Corp | | | 2,000 | | | | 26 | |
News Corp, Cl A | | | 6,600 | | | | 84 | |
Nexstar Media Group Inc, Cl A | | | 730 | | | | 64 | |
Omnicom Group Inc | | | 3,600 | | | | 193 | |
Pinterest, Cl A* | | | 6,800 | | | | 233 | |
Roku Inc, Cl A* | | | 1,730 | | | | 268 | |
Sirius XM Holdings | | | 19,901 | | | | 117 | |
Spotify Technology* | | | 2,251 | | | | 580 | |
Take-Two Interactive Software Inc* | | | 1,900 | | | | 312 | |
Telephone & Data Systems Inc | | | 1,700 | | | | 33 | |
T-Mobile US Inc* | | | 8,935 | | | | 959 | |
TripAdvisor Inc | | | 1,700 | | | | 34 | |
Twitter Inc* | | | 13,000 | | | | 473 | |
United States Cellular Corp* | | | 200 | | | | 6 | |
Verizon Communications Inc | | | 70,180 | | | | 4,034 | |
ViacomCBS, Cl B | | | 9,200 | | | | 240 | |
ViacomCBS | | | 200 | | | | 6 | |
Walt Disney Co/The | | | 30,600 | | | | 3,578 | |
World Wrestling Entertainment Inc, Cl A | | | 800 | | | | 37 | |
Zillow Group Inc, Cl A* | | | 1,000 | | | | 68 | |
Zillow Group Inc, Cl C* | | | 2,300 | | | | 157 | |
Zynga, Cl A* | | | 15,027 | | | | 148 | |
| | | | | | | | |
| | | | | | | 53,256 | |
| | | | | | | | |
| | |
Consumer Discretionary — 9.9% | | | | | | | | |
Advance Auto Parts Inc | | | 1,100 | | | | 165 | |
Amazon.com Inc* | | | 7,191 | | | | 22,757 | |
Aramark | | | 3,900 | | | | 82 | |
AutoNation Inc* | | | 1,000 | | | | 51 | |
AutoZone Inc* | | | 370 | | | | 447 | |
Best Buy Co Inc | | | 3,900 | | | | 388 | |
| | |
| 12 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Booking Holdings Inc* | | | 698 | | | $ | 1,160 | |
BorgWarner Inc | | | 3,500 | | | | 128 | |
Bright Horizons Family Solutions Inc* | | | 1,024 | | | | 110 | |
Brunswick Corp/DE | | | 1,300 | | | | 87 | |
Burlington Stores Inc* | | | 1,073 | | | | 202 | |
Capri Holdings Ltd* | | | 2,400 | | | | 36 | |
CarMax Inc* | | | 2,700 | | | | 262 | |
Carnival Corp | | | 7,989 | | | | 111 | |
Carter’s Inc | | | 700 | | | | 55 | |
Carvana Co, Cl A* | | | 900 | | | | 139 | |
Chegg* | | | 2,000 | | | | 162 | |
Chipotle Mexican Grill, Cl A* | | | 503 | | | | 581 | |
Choice Hotels International Inc | | | 600 | | | | 50 | |
Columbia Sportswear Co | | | 500 | | | | 38 | |
Darden Restaurants Inc | | | 2,200 | | | | 167 | |
Delphi Automotive PLC | | | 4,500 | | | | 350 | |
Dick’s Sporting Goods Inc | | | 1,000 | | | | 46 | |
Dollar General Corp | | | 4,300 | | | | 819 | |
Dollar Tree Inc* | | | 4,000 | | | | 373 | |
Domino’s Pizza Inc | | | 683 | | | | 264 | |
DR Horton Inc | | | 5,606 | | | | 371 | |
Dunkin’ Brands Group Inc | | | 1,400 | | | | 96 | |
eBay Inc | | | 11,300 | | | | 625 | |
Etsy Inc* | | | 2,000 | | | | 237 | |
Expedia Group Inc | | | 2,300 | | | | 186 | |
Extended Stay America | | | 3,000 | | | | 34 | |
Five Below Inc* | | | 900 | | | | 98 | |
Floor & Decor Holdings Inc, Cl A* | | | 1,400 | | | | 92 | |
Foot Locker Inc | | | 1,700 | | | | 50 | |
Ford Motor Co | | | 65,900 | | | | 436 | |
frontdoor Inc* | | | 1,400 | | | | 59 | |
Gap Inc/The | | | 3,100 | | | | 41 | |
Garmin Ltd | | | 2,500 | | | | 246 | |
General Motors Co | | | 21,100 | | | | 525 | |
Gentex Corp | | | 4,100 | | | | 111 | |
Genuine Parts Co | | | 2,400 | | | | 216 | |
Graham Holdings, Cl B | | | 31 | | | | 12 | |
Grand Canyon Education* | | | 739 | | | | 66 | |
Grubhub* | | | 1,600 | | | | 116 | |
H&R Block Inc | | | 3,300 | | | | 48 | |
Hanesbrands Inc | | | 5,900 | | | | 83 | |
Harley-Davidson Inc | | | 2,600 | | | | 68 | |
Hasbro Inc | | | 2,131 | | | | 155 | |
Hilton Worldwide Holdings Inc | | | 4,600 | | | | 345 | |
Home Depot | | | 18,230 | | | | 4,840 | |
Hyatt Hotels Corp, Cl A | | | 600 | | | | 29 | |
Kohl’s Corp | | | 2,600 | | | | 50 | |
L Brands Inc | | | 3,900 | | | | 95 | |
Las Vegas Sands Corp | | | 5,600 | | | | 244 | |
Lear Corp | | | 1,039 | | | | 115 | |
Leggett & Platt | | | 2,267 | | | | 91 | |
Lennar Corp, Cl A | | | 4,600 | | | | 333 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Lennar Corp, Cl B | | | 300 | | | $ | 16 | |
LKQ Corp* | | | 5,100 | | | | 144 | |
Lowe’s | | | 12,800 | | | | 1,906 | |
Lululemon Athletica Inc* | | | 1,927 | | | | 627 | |
Marriott International Inc/MD, Cl A | | | 4,500 | | | | 377 | |
Mattel Inc* | | | 5,800 | | | | 64 | |
McDonald’s | | | 12,647 | | | | 2,457 | |
MGM Resorts International | | | 8,000 | | | | 129 | |
Mohawk Industries Inc* | | | 935 | | | | 75 | |
Newell Brands | | | 6,500 | | | | 107 | |
NIKE Inc, Cl B | | | 20,505 | | | | 2,002 | |
Nordstrom Inc | | | 1,800 | | | | 25 | |
Norwegian Cruise Line Holdings Ltd* | | | 4,332 | | | | 59 | |
NVR Inc* | | | 54 | | | | 212 | |
Ollie’s Bargain Outlet Holdings Inc* | | | 900 | | | | 95 | |
O’Reilly Automotive Inc* | | | 1,233 | | | | 589 | |
Peloton Interactive, Cl A* | | | 1,700 | | | | 116 | |
Penske Automotive Group Inc | | | 500 | | | | 22 | |
Planet Fitness, Cl A* | | | 1,400 | | | | 73 | |
Polaris | | | 1,024 | | | | 106 | |
Pool Corp | | | 682 | | | | 216 | |
PulteGroup Inc | | | 4,500 | | | | 196 | |
PVH Corp | | | 1,200 | | | | 58 | |
Qurate Retail Inc, Cl A* | | | 6,400 | | | | 70 | |
Ralph Lauren Corp, Cl A | | | 800 | | | | 57 | |
Ross Stores | | | 5,943 | | | | 533 | |
Royal Caribbean Cruises Ltd | | | 2,900 | | | | 141 | |
Service Corp International/US | | | 2,900 | | | | 126 | |
ServiceMaster Global Holdings Inc* | | | 2,200 | | | | 90 | |
Six Flags Entertainment Corp | | | 1,300 | | | | 23 | |
Skechers USA, Cl A* | | | 2,270 | | | | 67 | |
Starbucks | | | 19,800 | | | | 1,515 | |
Tapestry Inc | | | 4,700 | | | | 63 | |
Target Corp | | | 8,500 | | | | 1,070 | |
Tempur Sealy International Inc* | | | 835 | | | | 68 | |
Tesla Inc* | | | 2,478 | | | | 3,545 | |
Thor Industries | | | 900 | | | | 103 | |
Tiffany & Co | | | 2,000 | | | | 251 | |
TJX Cos Inc/The | | | 20,300 | | | | 1,055 | |
Toll Brothers Inc | | | 2,000 | | | | 76 | |
Tractor Supply | | | 2,000 | | | | 286 | |
Ulta Beauty Inc* | | | 900 | | | | 174 | |
Under Armour Inc, Cl A* | | | 3,200 | | | | 34 | |
Under Armour Inc, Cl C* | | | 3,200 | | | | 30 | |
Vail Resorts Inc | | | 700 | | | | 134 | |
VF | | | 5,500 | | | | 332 | |
Wayfair Inc, Cl A* | | | 1,158 | | | | 308 | |
Wendy’s Co/The | | | 3,000 | | | | 70 | |
Whirlpool Corp | | | 1,047 | | | | 171 | |
Williams-Sonoma Inc | | | 1,300 | | | | 113 | |
Wyndham Destinations Inc | | | 1,400 | | | | 37 | |
Wyndham Hotels & Resorts Inc | | | 1,500 | | | | 66 | |
| | |
| 11 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Wynn Resorts Ltd | | | 1,700 | | | $ | 123 | |
Yum China Holdings Inc | | | 6,100 | | | | 313 | |
Yum! Brands Inc | | | 5,100 | | | | 464 | |
| | | | | | | | |
| | | | | | | 60,322 | |
| | | | | | | | |
| | |
Consumer Staples — 5.5% | | | | | | | | |
Altria Group Inc | | | 31,500 | | | | 1,296 | |
Archer-Daniels-Midland Co | | | 9,400 | | | | 402 | |
Beyond Meat* | | | 842 | | | | 106 | |
Boston Beer Co Inc/The, Cl A* | | | 163 | | | | 132 | |
Brown-Forman Corp, Cl B | | | 3,100 | | | | 215 | |
Brown-Forman Corp, Cl A | | | 800 | | | | 51 | |
Bunge | | | 2,300 | | | | 100 | |
Campbell Soup Co | | | 3,000 | | | | 149 | |
Casey’s General Stores | | | 668 | | | | 106 | |
Church & Dwight Co Inc | | | 4,200 | | | | 405 | |
Clorox Co/The | | | 2,100 | | | | 497 | |
Coca-Cola | | | 65,426 | | | | 3,091 | |
Coca-Cola European Partners | | | 900 | | | | 37 | |
Colgate-Palmolive Co | | | 14,300 | | | | 1,104 | |
Conagra Brands Inc | | | 8,200 | | | | 307 | |
Constellation Brands Inc, Cl A | | | 2,661 | | | | 474 | |
Costco Wholesale Corp | | | 7,517 | | | | 2,447 | |
Coty Inc, Cl A | | | 4,900 | | | | 18 | |
Energizer Holdings Inc | | | 1,063 | | | | 53 | |
Estee Lauder Cos Inc/The, Cl A | | | 3,700 | | | | 731 | |
Flowers Foods Inc | | | 3,300 | | | | 75 | |
General Mills Inc | | | 10,220 | | | | 647 | |
Grocery Outlet Holding* | | | 1,200 | | | | 53 | |
Hain Celestial Group Inc/The* | | | 1,400 | | | | 47 | |
Herbalife Nutrition* | | | 1,700 | | | | 87 | |
Hershey Co/The | | | 2,455 | | | | 357 | |
Hormel Foods Corp | | | 4,700 | | | | 239 | |
Ingredion Inc | | | 1,100 | | | | 95 | |
J M Smucker | | | 1,900 | | | | 208 | |
Kellogg Co | | | 4,200 | | | | 290 | |
Keurig Dr Pepper Inc | | | 5,785 | | | | 177 | |
Kimberly-Clark | | | 5,700 | | | | 867 | |
Kraft Heinz Co/The | | | 10,900 | | | | 375 | |
Kroger | | | 13,100 | | | | 456 | |
Lamb Weston Holdings Inc | | | 2,500 | | | | 150 | |
McCormick & Co Inc/MD | | | 2,100 | | | | 409 | |
Molson Coors Beverage, Cl B | | | 2,985 | | | | 112 | |
Mondelez International Inc, Cl A | | | 23,900 | | | | 1,326 | |
Monster Beverage Corp* | | | 6,200 | | | | 487 | |
Nu Skin Enterprises Inc, Cl A | | | 900 | | | | 40 | |
PepsiCo Inc | | | 23,514 | | | | 3,237 | |
Philip Morris International | | | 26,300 | | | | 2,020 | |
Pilgrim’s Pride Corp* | | | 900 | | | | 14 | |
Post Holdings Inc* | | | 1,100 | | | | 98 | |
Procter & Gamble Co/The | | | 41,224 | | | | 5,405 | |
Reynolds Consumer Products | | | 800 | | | | 27 | |
Seaboard Corp | | | 4 | | | | 11 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Spectrum Brands Holdings Inc | | | 700 | | | $ | 38 | |
Sprouts Farmers Market Inc* | | | 2,000 | | | | 53 | |
Sysco Corp | | | 8,200 | | | | 433 | |
TreeHouse Foods Inc* | | | 900 | | | | 39 | |
Tyson Foods, Cl A | | | 4,900 | | | | 301 | |
US Foods Holding Corp* | | | 3,710 | | | | 75 | |
Walgreens Boots Alliance Inc | | | 12,400 | | | | 505 | |
Walmart Inc | | | 23,631 | | | | 3,058 | |
| | | | | | | | |
| | | | | | | 33,532 | |
| | | | | | | | |
| | |
Energy — 2.0% | | | | | | | | |
Antero Midstream | | | 4,800 | | | | 27 | |
Apache Corp | | | 6,374 | | | | 98 | |
Baker Hughes a GE Co, Cl A | | | 11,100 | | | | 172 | |
Cabot Oil & Gas Corp | | | 6,665 | | | | 125 | |
Cheniere Energy* | | | 3,900 | | | | 193 | |
Chevron Corp | | | 31,700 | | | | 2,661 | |
Cimarex Energy Co | | | 1,700 | | | | 42 | |
Concho Resources Inc | | | 3,300 | | | | 173 | |
ConocoPhillips | | | 18,200 | | | | 681 | |
Continental Resources Inc/OK | | | 1,300 | | | | 22 | |
Devon Energy Corp | | | 6,500 | | | | 68 | |
Diamondback Energy Inc | | | 2,700 | | | | 108 | |
EOG Resources | | | 9,900 | | | | 464 | |
EQT Corp | | | 4,300 | | | | 62 | |
Equitrans Midstream Corp | | | 6,900 | | | | 67 | |
Exxon Mobil Corp | | | 71,672 | | | | 3,016 | |
Halliburton Co | | | 14,800 | | | | 212 | |
Helmerich & Payne Inc | | | 1,800 | | | | 32 | |
Hess Corp | | | 4,600 | | | | 226 | |
HollyFrontier | | | 2,500 | | | | 69 | |
Kinder Morgan Inc/DE | | | 32,866 | | | | 463 | |
Marathon Oil Corp | | | 13,322 | | | | 73 | |
Marathon Petroleum Corp | | | 10,900 | | | | 416 | |
Murphy Oil Corp | | | 2,500 | | | | 33 | |
National Oilwell Varco Inc | | | 6,600 | | | | 76 | |
Noble Energy Inc | | | 8,000 | | | | 80 | |
Occidental Petroleum Corp | | | 13,698 | | | | 216 | |
ONEOK Inc | | | 7,400 | | | | 207 | |
Parsley Energy Inc, Cl A | | | 5,100 | | | | 56 | |
Phillips 66 | | | 7,400 | | | | 459 | |
Pioneer Natural Resources Co | | | 2,800 | | | | 271 | |
Schlumberger Ltd | | | 23,500 | | | | 426 | |
Targa Resources Corp | | | 3,900 | | | | 71 | |
Valero Energy Corp | | | 6,900 | | | | 388 | |
Williams | | | 20,600 | | | | 394 | |
WPX Energy Inc* | | | 6,800 | | | | 41 | |
| | | | | | | | |
| | | | | | | 12,188 | |
| | | | | | | | |
| | |
Financials — 8.4% | | | | | | | | |
Affiliated Managers Group | | | 800 | | | | 55 | |
Aflac Inc | | | 12,000 | | | | 427 | |
AGNC Investment Corp‡ | | | 9,592 | | | | 130 | |
| | |
| 12 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Alleghany Corp | | | 200 | | | $ | 104 | |
Allstate Corp/The | | | 5,283 | | | | 499 | |
Ally Financial Inc | | | 6,266 | | | | 126 | |
American Express Co | | | 11,100 | | | | 1,036 | |
American Financial Group Inc/OH | | | 1,243 | | | | 75 | |
American International Group Inc | | | 14,600 | | | | 469 | |
American National Group | | | 100 | | | | 7 | |
Ameriprise Financial Inc | | | 2,100 | | | | 323 | |
Annaly Capital Management Inc‡ | | | 24,149 | | | | 179 | |
Aon, Cl A | | | 3,871 | | | | 794 | |
Apollo Global Management, Cl A | | | 2,900 | | | | 142 | |
Arch Capital Group Ltd* | | | 6,600 | | | | 203 | |
Ares Management, Cl A | | | 1,700 | | | | 68 | |
Arthur J Gallagher & Co | | | 3,200 | | | | 344 | |
Associated Banc-Corp | | | 2,600 | | | | 33 | |
Assurant Inc | | | 1,035 | | | | 111 | |
Assured Guaranty Ltd | | | 1,400 | | | | 31 | |
Athene Holding Ltd, Cl A* | | | 1,940 | | | | 63 | |
Axis Capital Holdings Ltd | | | 1,400 | | | | 56 | |
Bank of America Corp | | | 131,000 | | | | 3,259 | |
Bank of Hawaii Corp | | | 700 | | | | 40 | |
Bank of New York Mellon Corp/The | | | 13,500 | | | | 484 | |
Bank OZK | | | 2,100 | | | | 50 | |
Berkshire Hathaway Inc, Cl B* | | | 33,009 | | | | 6,462 | |
BlackRock Inc, Cl A | | | 2,473 | | | | 1,422 | |
BOK Financial Corp | | | 500 | | | | 28 | |
Brighthouse Financial Inc* | | | 1,683 | | | | 48 | |
Brown & Brown Inc | | | 4,000 | | | | 182 | |
Capital One Financial Corp | | | 7,700 | | | | 491 | |
Carlyle Group | | | 2,000 | | | | 57 | |
Cboe Global Markets Inc | | | 1,800 | | | | 158 | |
Charles Schwab Corp/The | | | 19,600 | | | | 650 | |
Chubb | | | 7,600 | | | | 967 | |
Cincinnati Financial Corp | | | 2,500 | | | | 195 | |
Citigroup | | | 35,300 | | | | 1,765 | |
Citizens Financial Group Inc | | | 7,200 | | | | 179 | |
CME Group Inc, Cl A | | | 6,000 | | | | 997 | |
CNA Financial Corp | | | 500 | | | | 17 | |
Comerica | | | 2,400 | | | | 92 | |
Commerce Bancshares Inc/MO | | | 1,749 | | | | 100 | |
Credit Acceptance Corp* | | | 172 | | | | 80 | |
Cullen/Frost Bankers Inc | | | 900 | | | | 65 | |
Discover Financial Services | | | 5,200 | | | | 257 | |
E*TRADE Financial Corp | | | 3,700 | | | | 188 | |
East West Bancorp | | | 2,371 | | | | 82 | |
Eaton Vance Corp | | | 1,885 | | | | 68 | |
Equitable Holdings | | | 6,859 | | | | 140 | |
Erie Indemnity Co, Cl A | | | 400 | | | | 84 | |
Evercore Inc, Cl A | | | 700 | | | | 39 | |
Everest Re Group Ltd | | | 700 | | | | 153 | |
FactSet Research Systems Inc | | | 672 | | | | 233 | |
Fidelity National Financial Inc | | | 4,600 | | | | 149 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Fifth Third Bancorp | | | 12,000 | | | $ | 238 | |
First American Financial | | | 1,800 | | | | 92 | |
First Citizens BancShares, Cl A | | | 149 | | | | 63 | |
First Hawaiian Inc | | | 2,200 | | | | 38 | |
First Horizon National Corp | | | 9,200 | | | | 85 | |
First Republic Bank/CA | | | 2,841 | | | | 320 | |
FNB Corp/PA | | | 5,400 | | | | 40 | |
Franklin Resources Inc | | | 4,539 | | | | 96 | |
Globe Life | | | 1,800 | | | | 143 | |
Goldman Sachs Group Inc/The | | | 5,614 | | | | 1,111 | |
Hanover Insurance Group Inc/The | | | 600 | | | | 61 | |
Hartford Financial Services Group Inc/The | | | 6,000 | | | | 254 | |
Huntington Bancshares Inc/OH | | | 17,100 | | | | 159 | |
Interactive Brokers Group, Cl A | | | 1,200 | | | | 60 | |
Intercontinental Exchange Inc | | | 9,135 | | | | 884 | |
Invesco Ltd | | | 6,400 | | | | 64 | |
Jefferies Financial Group | | | 3,800 | | �� | | 62 | |
JPMorgan Chase & Co | | | 51,270 | | | | 4,955 | |
Kemper Corp | | | 1,000 | | | | 79 | |
KeyCorp | | | 16,400 | | | | 197 | |
KKR | | | 9,000 | | | | 318 | |
Lazard Ltd, Cl A (B) | | | 1,700 | | | | 50 | |
Legg Mason | | | 1,400 | | | | 70 | |
LendingTree Inc* | | | 153 | | | | 53 | |
Lincoln National | | | 3,273 | | | | 122 | |
Loews | | | 4,043 | | | | 147 | |
LPL Financial Holdings Inc | | | 1,300 | | | | 103 | |
M&T Bank Corp | | | 2,200 | | | | 233 | |
Markel* | | | 230 | | | | 240 | |
MarketAxess Holdings Inc | | | 659 | | | | 340 | |
Marsh & McLennan Cos Inc | | | 8,524 | | | | 994 | |
Mercury General | | | 500 | | | | 21 | |
MetLife | | | 13,000 | | | | 492 | |
MGIC Investment Corp | | | 5,700 | | | | 47 | |
Moody’s Corp | | | 2,700 | | | | 759 | |
Morgan Stanley | | | 18,700 | | | | 914 | |
Morningstar Inc | | | 337 | | | | 57 | |
MSCI Inc, Cl A | | | 1,400 | | | | 526 | |
Nasdaq Inc | | | 1,934 | | | | 254 | |
New Residential Investment Corp‡ | | | 7,000 | | | | 56 | |
New York Community Bancorp Inc | | | 7,600 | | | | 80 | |
Northern Trust Corp | | | 3,200 | | | | 251 | |
Old Republic International Corp | | | 4,800 | | | | 77 | |
OneMain Holdings, Cl A | | | 1,100 | | | | 32 | |
PacWest Bancorp | | | 2,000 | | | | 37 | |
People’s United Financial Inc | | | 7,100 | | | | 77 | |
Pinnacle Financial Partners Inc | | | 1,253 | | | | 50 | |
PNC Financial Services Group Inc/The | | | 7,200 | | | | 768 | |
Popular Inc | | | 1,500 | | | | 56 | |
Primerica Inc | | | 700 | | | | 84 | |
Principal Financial Group Inc | | | 4,600 | | | | 195 | |
Progressive Corp/The | | | 9,900 | | | | 894 | |
| | |
| 13 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Prosperity Bancshares Inc | | | 1,500 | | | $ | 83 | |
Prudential Financial Inc | | | 6,700 | | | | 425 | |
Raymond James Financial Inc | | | 2,100 | | | | 146 | |
Regions Financial Corp | | | 16,200 | | | | 176 | |
Reinsurance Group of America Inc, Cl A | | | 1,100 | | | | 94 | |
RenaissanceRe Holdings Ltd | | | 862 | | | | 155 | |
S&P Global Inc | | | 4,055 | | | | 1,420 | |
Santander Consumer USA Holdings Inc | | | 1,300 | | | | 24 | |
Signature Bank/New York NY | | | 900 | | | | 92 | |
SLM Corp | | | 6,300 | | | | 43 | |
Starwood Property Trust Inc‡ | | | 4,600 | | | | 69 | |
State Street Corp | | | 6,000 | | | | 383 | |
Sterling Bancorp/DE | | | 3,300 | | | | 37 | |
SVB Financial Group* | | | 874 | | | | 196 | |
Synchrony Financial | | | 9,900 | | | | 219 | |
Synovus Financial Corp | | | 2,500 | | | | 50 | |
T Rowe Price Group | | | 3,800 | | | | 525 | |
TCF Financial | | | 2,500 | | | | 69 | |
TD Ameritrade Holding Corp | | | 4,400 | | | | 158 | |
TFS Financial Corp | | | 800 | | | | 12 | |
Tradeweb Markets, Cl A | | | 1,400 | | | | 76 | |
Travelers Cos Inc/The | | | 4,300 | | | | 492 | |
Truist Financial | | | 22,800 | | | | 854 | |
Umpqua Holdings | | | 3,700 | | | | 40 | |
Unum Group | | | 3,400 | | | | 59 | |
US Bancorp | | | 23,000 | | | | 847 | |
Virtu Financial Inc, Cl A | | | 1,100 | | | | 27 | |
Voya Financial Inc | | | 2,100 | | | | 104 | |
Webster Financial Corp | | | 1,474 | | | | 40 | |
Wells Fargo & Co | | | 63,600 | | | | 1,543 | |
Western Alliance Bancorp | | | 1,700 | | | | 61 | |
White Mountains Insurance Group Ltd | | | 22 | | | | 19 | |
Willis Towers Watson PLC | | | 2,144 | | | | 450 | |
Wintrust Financial Corp | | | 1,000 | | | | 43 | |
WR Berkley Corp | | | 2,361 | | | | 146 | |
Zions Bancorp NA | | | 2,701 | | | | 88 | |
| | | | | | | | |
| | | | | | | 51,119 | |
| | | | | | | | |
| | |
Health Care — 12.2% | | | | | | | | |
10X Genomics, Cl A* | | | 900 | | | | 88 | |
Abbott Laboratories | | | 29,300 | | | | 2,949 | |
AbbVie Inc | | | 29,800 | | | | 2,828 | |
ABIOMED Inc* | | | 727 | | | | 218 | |
Acadia Healthcare Co Inc* | | | 1,500 | | | | 45 | |
ACADIA Pharmaceuticals Inc* | | | 1,800 | | | | 75 | |
Acceleron Pharma Inc* | | | 800 | | | | 79 | |
Adaptive Biotechnologies* | | | 1,200 | | | | 45 | |
Agilent Technologies Inc | | | 5,200 | | | | 501 | |
Agios Pharmaceuticals* | | | 1,000 | | | | 45 | |
Alexion Pharmaceuticals Inc* | | | 3,600 | | | | 369 | |
Align Technology Inc* | | | 1,270 | | | | 373 | |
Alnylam Pharmaceuticals Inc* | | | 1,900 | | | | 277 | |
Amedisys Inc* | | | 500 | | | | 117 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
AmerisourceBergen Corp, Cl A | | | 2,500 | | | $ | 251 | |
Amgen Inc | | | 9,991 | | | | 2,445 | |
Anthem Inc | | | 4,239 | | | | 1,161 | |
Avantor* | | | 6,997 | | | | 154 | |
Baxter International Inc | | | 8,610 | | | | 744 | |
Becton Dickinson and Co | | | 4,567 | | | | 1,285 | |
Biogen Inc* | | | 2,776 | | | | 763 | |
BioMarin Pharmaceutical Inc* | | | 3,100 | | | | 371 | |
Bio-Rad Laboratories Inc, Cl A* | | | 357 | | | | 187 | |
Bio-Techne Corp | | | 675 | | | | 186 | |
Bluebird Bio Inc* | | | 1,100 | | | | 67 | |
Boston Scientific Corp* | | | 23,700 | | | | 914 | |
Bristol-Myers Squibb Co | | | 38,300 | | | | 2,247 | |
Bruker Corp | | | 1,700 | | | | 76 | |
Cardinal Health | | | 4,900 | | | | 268 | |
Catalent Inc* | | | 2,600 | | | | 227 | |
Centene Corp* | | | 9,700 | | | | 633 | |
Cerner Corp | | | 5,100 | | | | 354 | |
Change Healthcare* | | | 4,100 | | | | 48 | |
Charles River Laboratories International Inc* | | | 848 | | | | 169 | |
Chemed Corp | | | 215 | | | | 106 | |
Cigna Corp | | | 6,138 | | | | 1,060 | |
Cooper Cos Inc/The | | | 854 | | | | 242 | |
CVS Health | | | 22,100 | | | | 1,391 | |
Danaher Corp | | | 10,564 | | | | 2,153 | |
DaVita Inc* | | | 1,443 | | | | 126 | |
DENTSPLY SIRONA Inc | | | 3,700 | | | | 165 | |
DexCom Inc* | | | 1,563 | | | | 681 | |
Edwards Lifesciences Corp* | | | 10,400 | | | | 815 | |
Elanco Animal Health Inc* | | | 6,726 | | | | 159 | |
Eli Lilly | | | 14,300 | | | | 2,149 | |
Encompass Health Corp | | | 1,600 | | | | 109 | |
Envista Holdings* | | | 2,700 | | | | 59 | |
Exact Sciences* | | | 2,482 | | | | 235 | |
Exelixis Inc* | | | 5,100 | | | | 118 | |
Gilead Sciences Inc | | | 21,300 | | | | 1,481 | |
Global Blood Therapeutics Inc* | | | 1,000 | | | | 67 | |
Globus Medical Inc, Cl A* | | | 1,300 | | | | 63 | |
Guardant Health* | | | 1,243 | | | | 106 | |
Haemonetics Corp* | | | 800 | | | | 70 | |
HCA Healthcare Inc | | | 4,542 | | | | 575 | |
Henry Schein Inc* | | | 2,400 | | | | 165 | |
Hill-Rom Holdings Inc | | | 1,100 | | | | 107 | |
Hologic Inc* | | | 4,300 | | | | 300 | |
Horizon Therapeutics* | | | 3,072 | | | | 188 | |
Humana | | | 2,272 | | | | 892 | |
ICU Medical Inc* | | | 342 | | | | 63 | |
IDEXX Laboratories* | | | 1,400 | | | | 557 | |
Illumina Inc* | | | 2,478 | | | | 947 | |
Immunomedics Inc* | | | 3,500 | | | | 148 | |
Incyte* | | | 3,100 | | | | 306 | |
| | |
| 14 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Insulet Corp* | | | 1,038 | | | $ | 211 | |
Integra LifeSciences Holdings Corp* | | | 1,200 | | | | 57 | |
Intuitive Surgical Inc* | | | 1,947 | | | | 1,335 | |
Ionis Pharmaceuticals Inc* | | | 2,244 | | | | 129 | |
Iovance Biotherapeutics Inc* | | | 2,300 | | | | 67 | |
IQVIA Holdings Inc* | | | 3,200 | | | | 507 | |
Johnson & Johnson | | | 44,623 | | | | 6,504 | |
Laboratory Corp of America Holdings* | | | 1,600 | | | | 309 | |
Livongo Health* | | | 900 | | | | 114 | |
Masimo* | | | 842 | | | | 185 | |
McKesson Corp | | | 2,700 | | | | 405 | |
Medtronic PLC | | | 22,700 | | | | 2,190 | |
Merck & Co Inc | | | 42,800 | | | | 3,434 | |
Mettler-Toledo International Inc* | | | 367 | | | | 343 | |
Moderna Inc* | | | 4,500 | | | | 333 | |
Molina Healthcare Inc* | | | 1,039 | | | | 192 | |
Mylan NV* | | | 8,697 | | | | 140 | |
Nektar Therapeutics, Cl A* | | | 2,900 | | | | 64 | |
Neurocrine Biosciences Inc* | | | 1,600 | | | | 193 | |
Novocure Ltd* | | | 1,700 | | | | 129 | |
Penumbra Inc* | | | 532 | | | | 118 | |
PerkinElmer Inc | | | 1,900 | | | | 226 | |
Pfizer Inc | | | 94,167 | | | | 3,624 | |
PPD* | | | 1,000 | | | | 29 | |
PRA Health Sciences* | | | 1,100 | | | | 117 | |
Premier Inc, Cl A* | | | 1,000 | | | | 35 | |
QIAGEN NV* | | | 3,800 | | | | 188 | |
Quest Diagnostics Inc | | | 2,300 | | | | 292 | |
Quidel Corp* | | | 670 | | | | 189 | |
Reata Pharmaceuticals Inc, Cl A* | | | 372 | | | | 55 | |
Regeneron Pharmaceuticals Inc* | | | 1,605 | | | | 1,014 | |
Repligen Corp* | | | 900 | | | | 136 | |
ResMed | | | 2,438 | | | | 494 | |
Sage Therapeutics* | | | 900 | | | | 41 | |
Sarepta Therapeutics* | | | 1,221 | | | | 187 | |
Seattle Genetics Inc* | | | 2,050 | | | | 341 | |
STERIS PLC | | | 1,400 | | | | 223 | |
Stryker Corp | | | 5,900 | | | | 1,140 | |
Syneos Health Inc, Cl A* | | | 1,100 | | | | 69 | |
Tandem Diabetes Care Inc* | | | 1,000 | | | | 104 | |
Teladoc Health Inc* | | | 1,237 | | | | 294 | |
Teleflex Inc | | | 741 | | | | 276 | |
Thermo Fisher Scientific | | | 6,679 | | | | 2,765 | |
United Therapeutics Corp* | | | 700 | | | | 78 | |
UnitedHealth Group Inc | | | 15,961 | | | | 4,833 | |
Universal Health Services Inc, Cl B | | | 1,200 | | | | 132 | |
Varian Medical Systems Inc* | | | 1,560 | | | | 223 | |
Veeva Systems Inc, Cl A* | | | 2,259 | | | | 598 | |
Vertex Pharmaceuticals Inc* | | | 4,400 | | | | 1,197 | |
Waters Corp* | | | 1,064 | | | | 227 | |
West Pharmaceutical Services Inc | | | 1,234 | | | | 332 | |
Zimmer Biomet Holdings Inc | | | 3,500 | | | | 472 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Zoetis Inc, Cl A | | | 8,064 | | | $ | 1,223 | |
| | | | | | | | |
| | | | | | | 74,275 | |
| | | | | | | | |
| | |
Industrials — 6.9% | | | | | | | | |
3M | | | 9,500 | | | | 1,429 | |
A O Smith | | | 2,200 | | | | 106 | |
Acuity Brands Inc | | | 700 | | | | 69 | |
ADT Inc | | | 1,900 | | | | 16 | |
AECOM* | | | 2,600 | | | | 94 | |
AGCO | | | 1,061 | | | | 70 | |
Air Lease Corp, Cl A | | | 1,779 | | | | 47 | |
Alaska Air Group Inc | | | 2,000 | | | | 69 | |
Allegion PLC | | | 1,600 | | | | 159 | |
Allison Transmission Holdings Inc | | | 1,900 | | | | 71 | |
AMERCO | | | 162 | | | | 51 | |
American Airlines Group Inc | | | 8,394 | | | | 93 | |
AMETEK Inc | | | 3,900 | | | | 364 | |
Armstrong World Industries Inc | | | 800 | | | | 57 | |
Axon Enterprise Inc* | | | 1,000 | | | | 83 | |
Boeing | | | 9,000 | | | | 1,422 | |
BWX Technologies Inc, Cl W | | | 1,600 | | | | 87 | |
Carlisle Cos Inc | | | 900 | | | | 107 | |
Carrier Global | | | 14,721 | | | | 401 | |
Caterpillar Inc | | | 9,141 | | | | 1,215 | |
CH Robinson Worldwide Inc | | | 2,200 | | | | 206 | |
Cintas Corp | | | 1,542 | | | | 465 | |
Clean Harbors Inc* | | | 900 | | | | 54 | |
Colfax* | | | 1,700 | | | | 49 | |
Copart* | | | 3,400 | | | | 317 | |
CoreLogic Inc/United States | | | 1,300 | | | | 89 | |
CoStar Group Inc* | | | 682 | | | | 580 | |
Crane Co | | | 800 | | | | 45 | |
CSX Corp | | | 12,900 | | | | 920 | |
Cummins Inc | | | 2,500 | | | | 483 | |
Curtiss-Wright Corp | | | 700 | | | | 62 | |
Deere | | | 4,755 | | | | 838 | |
Delta Air Lines Inc | | | 10,800 | | | | 270 | |
Donaldson Co Inc | | | 2,100 | | | | 102 | |
Dover Corp | | | 2,446 | | | | 252 | |
Emerson Electric | | | 10,100 | | | | 626 | |
Equifax Inc | | | 2,000 | | | | 325 | |
Expeditors International of Washington Inc | | | 2,800 | | | | 237 | |
Fastenal Co | | | 9,700 | | | | 456 | |
FedEx Corp | | | 4,060 | | | | 684 | |
Flowserve Corp | | | 2,200 | | | | 61 | |
Fortive Corp | | | 5,000 | | | | 351 | |
Fortune Brands Home & Security Inc | | | 2,300 | | | | 176 | |
FTI Consulting Inc* | | | 600 | | | | 72 | |
Gates Industrial Corp PLC* | | | 800 | | | | 8 | |
Generac Holdings* | | | 1,000 | | | | 158 | |
General Dynamics Corp | | | 4,248 | | | | 623 | |
General Electric Co | | | 147,139 | | | | 893 | |
Graco Inc | | | 2,800 | | | | 149 | |
| | |
| 15 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
GrafTech International Ltd | | | 1,100 | | | $ | 7 | |
HD Supply Holdings Inc* | | | 2,695 | | | | 95 | |
HEICO Corp, Cl A | | | 1,300 | | | | 100 | |
HEICO Corp | | | 800 | | | | 77 | |
Hexcel Corp | | | 1,400 | | | | 52 | |
Honeywell International Inc | | | 11,900 | | | | 1,777 | |
Howmet Aerospace | | | 6,700 | | | | 99 | |
Hubbell Inc, Cl B | | | 900 | | | | 121 | |
Huntington Ingalls Industries Inc | | | 700 | | | | 122 | |
IAA* | | | 2,279 | | | | 99 | |
IDEX | | | 1,249 | | | | 206 | |
IHS Markit Ltd | | | 6,700 | | | | 541 | |
Illinois Tool Works Inc | | | 5,294 | | | | 979 | |
Ingersoll Rand* | | | 5,900 | | | | 186 | |
ITT Inc | | | 1,447 | | | | 84 | |
Jacobs Engineering Group | | | 2,100 | | | | 179 | |
JB Hunt Transport Services Inc | | | 1,428 | | | | 185 | |
JetBlue Airways Corp* | | | 4,600 | | | | 48 | |
Johnson Controls International plc | | | 12,600 | | | | 485 | |
Kansas City Southern | | | 1,600 | | | | 275 | |
Kirby Corp* | | | 1,000 | | | | 46 | |
Knight-Swift Transportation Holdings Inc, Cl A | | | 2,100 | | | | 91 | |
L3Harris Technologies | | | 3,669 | | | | 618 | |
Landstar System Inc | | | 600 | | | | 73 | |
Lennox International Inc | | | 553 | | | | 148 | |
Lincoln Electric Holdings Inc | | | 933 | | | | 84 | |
Lockheed Martin Corp | | | 4,204 | | | | 1,593 | |
Lyft, Cl A* | | | 4,000 | | | | 117 | |
Macquarie Infrastructure Corp | | | 1,200 | | | | 36 | |
ManpowerGroup Inc | | | 933 | | | | 64 | |
Masco Corp | | | 4,400 | | | | 252 | |
Mercury Systems Inc* | | | 900 | | | | 70 | |
Middleby Corp/The* | | | 900 | | | | 75 | |
MSA Safety Inc | | | 600 | | | | 71 | |
MSC Industrial Direct Co Inc, Cl A | | | 800 | | | | 53 | |
Nielsen Holdings PLC | | | 6,000 | | | | 87 | |
Nordson Corp | | | 1,000 | | | | 194 | |
Norfolk Southern | | | 4,365 | | | | 839 | |
Northrop Grumman Corp | | | 2,638 | | | | 857 | |
nVent Electric PLC | | | 2,600 | | | | 47 | |
Old Dominion Freight Line Inc | | | 1,600 | | | | 293 | |
Oshkosh Corp | | | 1,100 | | | | 87 | |
Otis Worldwide | | | 6,900 | | | | 433 | |
Owens Corning | | | 1,800 | | | | 109 | |
PACCAR Inc | | | 5,700 | | | | 485 | |
Parker-Hannifin Corp | | | 2,136 | | | | 382 | |
Quanta Services Inc | | | 2,300 | | | | 92 | |
Raytheon Technologies | | | 24,100 | | | | 1,366 | |
Regal Beloit Corp | | | 700 | | | | 64 | |
Republic Services Inc, Cl A | | | 3,528 | | | | 308 | |
Robert Half International Inc | | | 1,900 | | | | 97 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Rockwell Automation Inc | | | 1,942 | | | $ | 424 | |
Rollins Inc | | | 2,500 | | | | 131 | |
Roper Technologies | | | 1,757 | | | | 760 | |
Ryder System Inc | | | 900 | | | | 33 | |
Schneider National Inc, Cl B | | | 1,000 | | | | 25 | |
Sensata Technologies Holding PLC* | | | 2,600 | | | | 99 | |
Snap-on | | | 900 | | | | 132 | |
Southwest Airlines Co | | | 10,000 | | | | 309 | |
Spirit AeroSystems Holdings Inc, Cl A | | | 1,800 | | | | 35 | |
Stanley Black & Decker Inc | | | 2,600 | | | | 399 | |
Stericycle Inc* | | | 1,558 | | | | 94 | |
Teledyne Technologies* | | | 651 | | | | 200 | |
Textron Inc | | | 3,800 | | | | 133 | |
Timken Co/The | | | 1,100 | | | | 50 | |
Toro | | | 1,800 | | | | 128 | |
Trane Technologies | | | 4,039 | | | | 452 | |
TransDigm Group | | | 879 | | | | 379 | |
TransUnion | | | 3,200 | | | | 287 | |
Trex Co Inc* | | | 1,000 | | | | 139 | |
Trinity Industries | | | 1,500 | | | | 29 | |
Uber Technologies, Swap* | | | 23,100 | | | | 699 | |
Union Pacific Corp | | | 11,449 | | | | 1,985 | |
United Continental Holdings Inc* | | | 4,911 | | | | 154 | |
United Parcel Service Inc, Cl B | | | 11,935 | | | | 1,704 | |
United Rentals Inc* | | | 1,239 | | | | 192 | |
Univar Solutions* | | | 2,800 | | | | 49 | |
Valmont Industries Inc | | | 347 | | | | 42 | |
Verisk Analytics, Cl A | | | 2,654 | | | | 501 | |
Vertiv Holdings* | | | 3,400 | | | | 49 | |
Virgin Galactic Holdings* | | | 1,038 | | | | 23 | |
Waste Management Inc | | | 7,100 | | | | 778 | |
Watsco Inc | | | 539 | | | | 127 | |
Westinghouse Air Brake Technologies | | | 3,100 | | | | 193 | |
Woodward | | | 900 | | | | 67 | |
WW Grainger Inc | | | 724 | | | | 247 | |
XPO Logistics Inc* | | | 1,500 | | | | 113 | |
Xylem Inc/NY | | | 3,000 | | | | 219 | |
| | | | | | | | |
| | | | | | | 41,789 | |
| | | | | | | | |
| | |
Information Technology — 22.8% | | | | | | | | |
2U Inc* | | | 1,000 | | | | 47 | |
Adobe Inc* | | | 8,107 | | | | 3,602 | |
Advanced Micro Devices Inc* | | | 19,700 | | | | 1,525 | |
Akamai Technologies Inc* | | | 2,700 | | | | 304 | |
Alliance Data Systems Corp | | | 800 | | | | 35 | |
Alteryx Inc, Cl A* | | | 883 | | | | 155 | |
Amdocs Ltd | | | 2,200 | | | | 137 | |
Amphenol Corp, Cl A | | | 4,836 | | | | 511 | |
Analog Devices Inc | | | 6,200 | | | | 712 | |
Anaplan Inc* | | | 2,200 | | | | 100 | |
ANSYS Inc* | | | 1,424 | | | | 442 | |
Apple | | | 69,216 | | | | 29,420 | |
Applied Materials Inc | | | 15,500 | | | | 997 | |
| | |
| 16 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Arista Networks Inc* | | | 1,038 | | | $ | 270 | |
Arrow Electronics Inc* | | | 1,300 | | | | 93 | |
Aspen Technology Inc* | | | 1,100 | | | | 107 | |
Atlassian Corp PLC, Cl A* | | | 2,100 | | | | 371 | |
Autodesk Inc* | | | 3,700 | | | | 875 | |
Automatic Data Processing Inc | | | 7,300 | | | | 970 | |
Avalara* | | | 1,335 | | | | 179 | |
Avnet Inc | | | 1,700 | | | | 45 | |
Bill.com Holdings* | | | 300 | | | | 28 | |
Black Knight Inc* | | | 2,400 | | | | 180 | |
Booz Allen Hamilton Holding, Cl A | | | 2,300 | | | | 188 | |
Broadcom Inc | | | 6,656 | | | | 2,108 | |
Broadridge Financial Solutions Inc | | | 1,900 | | | | 255 | |
CACI International Inc, Cl A* | | | 400 | | | | 83 | |
Cadence Design Systems Inc* | | | 4,635 | | | | 506 | |
CDK Global Inc | | | 2,100 | | | | 95 | |
CDW Corp/DE | | | 2,440 | | | | 284 | |
Ceridian HCM Holding Inc* | | | 1,800 | | | | 141 | |
Ciena Corp* | | | 2,600 | | | | 155 | |
Cirrus Logic Inc* | | | 1,000 | | | | 68 | |
Cisco Systems Inc | | | 71,947 | | | | 3,389 | |
Citrix Systems | | | 2,097 | | | | 299 | |
Cloudflare, Cl A* | | | 1,800 | | | | 75 | |
Cognex Corp | | | 2,800 | | | | 187 | |
Cognizant Technology Solutions Corp, Cl A | | | 9,100 | | | | 622 | |
Coherent Inc* | | | 400 | | | | 56 | |
CommScope Holding Co Inc* | | | 3,300 | | | | 31 | |
Corning | | | 12,700 | | | | 394 | |
Coupa Software Inc* | | | 1,163 | | | | 356 | |
Cree* | | | 1,800 | | | | 124 | |
Crowdstrike Holdings, Cl A* | | | 1,900 | | | | 215 | |
CyberArk Software* | | | 200 | | | | 24 | |
Datadog, Cl A* | | | 2,600 | | | | 244 | |
Dell Technologies Inc, Cl C* | | | 2,600 | | | | 156 | |
DocuSign, Cl A* | | | 2,956 | | | | 641 | |
Dolby Laboratories Inc, Cl A | | | 1,100 | | | | 77 | |
Dropbox, Cl A* | | | 4,185 | | | | 95 | |
DXC Technology Co | | | 4,300 | | | | 77 | |
Dynatrace* | | | 2,521 | | | | 105 | |
EchoStar Corp, Cl A* | | | 800 | | | | 22 | |
Elastic* | | | 900 | | | | 87 | |
Enphase Energy Inc* | | | 1,800 | | | | 109 | |
Entegris Inc | | | 2,300 | | | | 165 | |
EPAM Systems Inc* | | | 900 | | | | 261 | |
Euronet Worldwide Inc* | | | 800 | | | | 77 | |
Everbridge Inc* | | | 549 | | | | 78 | |
F5 Networks Inc* | | | 1,040 | | | | 141 | |
Fair Isaac Corp* | | | 500 | | | | 220 | |
Fastly, Cl A* | | | 1,200 | | | | 116 | |
Fidelity National Information Services Inc | | | 10,500 | | | | 1,536 | |
FireEye Inc* | | | 3,700 | | | | 56 | |
First Solar* | | | 1,400 | | | | 83 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Fiserv Inc* | | | 9,400 | | | $ | 938 | |
Five9* | | | 1,000 | | | | 121 | |
FleetCor Technologies Inc* | | | 1,400 | | | | 362 | |
FLIR Systems Inc | | | 2,200 | | | | 92 | |
Fortinet Inc* | | | 2,246 | | | | 311 | |
Gartner Inc* | | | 1,434 | | | | 179 | |
Genpact Ltd | | | 3,179 | | | | 127 | |
Global Payments | | | 5,069 | | | | 902 | |
Globant* | | | 563 | | | | 97 | |
GoDaddy Inc, Cl A* | | | 2,800 | | | | 197 | |
Guidewire Software Inc* | | | 1,400 | | | | 165 | |
Hewlett Packard Enterprise Co | | | 21,800 | | | | 215 | |
HP Inc | | | 24,200 | | | | 425 | |
HubSpot Inc* | | | 700 | | | | 164 | |
Inphi Corp* | | | 800 | | | | 104 | |
Intel Corp | | | 71,725 | | | | 3,423 | |
International Business Machines Corp | | | 15,027 | | | | 1,847 | |
Intuit Inc | | | 4,240 | | | | 1,299 | |
IPG Photonics Corp* | | | 554 | | | | 99 | |
Jabil Inc | | | 2,499 | | | | 87 | |
Jack Henry & Associates | | | 1,259 | | | | 224 | |
Juniper Networks Inc | | | 5,551 | | | | 141 | |
Keysight Technologies* | | | 3,200 | | | | 320 | |
KLA | | | 2,649 | | | | 529 | |
Lam Research Corp | | | 2,459 | | | | 927 | |
Leidos Holdings Inc | | | 2,300 | | | | 219 | |
Littelfuse Inc | | | 371 | | | | 66 | |
LogMeIn Inc | | | 800 | | | | 69 | |
Lumentum Holdings* | | | 1,300 | | | | 121 | |
Manhattan Associates Inc* | | | 1,100 | | | | 105 | |
Marvell Technology Group Ltd | | | 11,100 | | | | 405 | |
Mastercard Inc, Cl A | | | 14,930 | | | | 4,606 | |
Maxim Integrated Products Inc | | | 4,500 | | | | 306 | |
Medallia* | | | 1,400 | | | | 43 | |
Microchip Technology Inc | | | 4,000 | | | | 407 | |
Micron Technology Inc* | | | 18,805 | | | | 941 | |
Microsoft Corp | | | 126,792 | | | | 25,994 | |
MKS Instruments Inc | | | 900 | | | | 115 | |
MongoDB, Cl A* | | | 713 | | | | 163 | |
Monolithic Power Systems Inc | | | 712 | | | | 189 | |
Motorola Solutions Inc | | | 2,852 | | | | 399 | |
National Instruments Corp | | | 2,159 | | | | 77 | |
NCR Corp* | | | 2,100 | | | | 39 | |
NetApp Inc | | | 3,700 | | | | 164 | |
New Relic Inc* | | | 900 | | | | 64 | |
NortonLifeLock | | | 9,400 | | | | 202 | |
Nuance Communications Inc* | | | 4,709 | | | | 129 | |
Nutanix Inc, Cl A* | | | 3,000 | | | | 67 | |
NVIDIA Corp | | | 10,000 | | | | 4,246 | |
Okta, Cl A* | | | 1,937 | | | | 428 | |
ON Semiconductor Corp* | | | 6,900 | | | | 142 | |
Oracle Corp | | | 33,467 | | | | 1,856 | |
| | |
| 17 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
PagerDuty* | | | 1,200 | | | $ | 37 | |
Palo Alto Networks Inc* | | | 1,700 | | | | 435 | |
Paychex Inc | | | 5,436 | | | | 391 | |
Paycom Software Inc* | | | 859 | | | | 244 | |
Paylocity Holding Corp* | | | 545 | | | | 73 | |
PayPal Holdings* | | | 19,851 | | | | 3,892 | |
Pegasystems Inc | | | 700 | | | | 82 | |
Pluralsight Inc, Cl A* | | | 1,600 | | | | 34 | |
Proofpoint Inc* | | | 1,000 | | | | 116 | |
PTC Inc* | | | 1,800 | | | | 154 | |
Pure Storage Inc, Cl A* | | | 4,100 | | | | 73 | |
Qorvo Inc* | | | 1,944 | | | | 249 | |
QUALCOMM Inc | | | 19,104 | | | | 2,018 | |
RealPage Inc* | | | 1,500 | | | | 94 | |
RingCentral, Cl A* | | | 1,249 | | | | 363 | |
Sabre Corp | | | 4,700 | | | | 36 | |
salesforce.com Inc* | | | 14,700 | | | | 2,864 | |
Science Applications International | | | 1,000 | | | | 80 | |
ServiceNow Inc* | | | 3,170 | | | | 1,392 | |
Skyworks Solutions Inc | | | 2,843 | | | | 414 | |
Slack Technologies, Cl A* | | | 6,300 | | | | 186 | |
Smartsheet, Cl A* | | | 1,904 | | | | 91 | |
SolarEdge Technologies* | | | 855 | | | | 150 | |
SolarWinds Corp* | | | 800 | | | | 15 | |
Splunk* | | | 2,641 | | | | 554 | |
Square Inc, Cl A* | | | 6,100 | | | | 792 | |
SS&C Technologies Holdings | | | 3,800 | | | | 218 | |
StoneCo, Cl A* | | | 2,600 | | | | 124 | |
Switch, Cl A | | | 1,500 | | | | 27 | |
SYNNEX Corp | | | 700 | | | | 87 | |
Synopsys Inc* | | | 2,500 | | | | 498 | |
Teradata Corp* | | | 1,900 | | | | 40 | |
Teradyne Inc | | | 2,800 | | | | 249 | |
Texas Instruments Inc | | | 15,500 | | | | 1,977 | |
Trade Desk Inc/The, Cl A* | | | 700 | | | | 316 | |
Trimble Inc* | | | 4,256 | | | | 189 | |
Twilio, Cl A* | | | 2,135 | | | | 592 | |
Tyler Technologies Inc* | | | 679 | | | | 243 | |
Ubiquiti | | | 157 | | | | 29 | |
Universal Display Corp | | | 715 | | | | 125 | |
VeriSign Inc* | | | 1,757 | | | | 372 | |
ViaSat Inc* | | | 1,000 | | | | 38 | |
Visa Inc, Cl A | | | 28,620 | | | | 5,449 | |
VMware, Cl A* | | | 1,358 | | | | 190 | |
Western Digital Corp | | | 5,100 | | | | 220 | |
Western Union Co/The | | | 6,900 | | | | 167 | |
WEX Inc* | | | 717 | | | | 114 | |
Workday Inc, Cl A* | | | 2,949 | | | | 534 | |
Xerox Holdings | | | 3,100 | | | | 52 | |
Xilinx | | | 4,122 | | | | 442 | |
Zebra Technologies Corp, Cl A* | | | 900 | | | | 253 | |
Zendesk Inc* | | | 1,900 | | | | 173 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Zoom Video Communications, Cl A* | | | 2,800 | | | $ | 711 | |
Zscaler Inc* | | | 1,200 | | | | 156 | |
| | | | | | | | |
| | | | | | | 138,377 | |
| | | | | | | | |
| | |
Materials — 2.2% | | | | | | | | |
Air Products & Chemicals Inc | | | 3,700 | | | | 1,061 | |
Albemarle Corp | | | 1,800 | | | | 148 | |
Amcor | | | 27,100 | | | | 279 | |
AptarGroup Inc | | | 1,100 | | | | 127 | |
Ardagh Group SA, Cl A | | | 300 | | | | 4 | |
Ashland Global Holdings Inc | | | 900 | | | | 68 | |
Avery Dennison | | | 1,400 | | | | 159 | |
Axalta Coating Systems Ltd* | | | 3,600 | | | | 80 | |
Ball | | | 5,422 | | | | 399 | |
Berry Global Group Inc* | | | 2,273 | | | | 114 | |
Cabot Corp | | | 900 | | | | 33 | |
Celanese Corp, Cl A | | | 2,000 | | | | 194 | |
CF Industries Holdings Inc | | | 3,609 | | | | 113 | |
Chemours Co/The | | | 2,800 | | | | 52 | |
Corteva | | | 12,700 | | | | 363 | |
Crown Holdings Inc* | | | 2,200 | | | | 157 | |
Dow Inc | | | 12,600 | | | | 517 | |
DuPont de Nemours | | | 12,400 | | | | 663 | |
Eagle Materials Inc | | | 700 | | | | 56 | |
Eastman Chemical Co | | | 2,300 | | | | 172 | |
Ecolab Inc | | | 4,200 | | | | 786 | |
Element Solutions Inc* | | | 3,700 | | | | 40 | |
FMC Corp | | | 2,142 | | | | 227 | |
Freeport-McMoRan | | | 24,500 | | | | 317 | |
Graphic Packaging Holding Co | | | 4,700 | | | | 65 | |
Huntsman Corp | | | 3,400 | | | | 63 | |
International Flavors & Fragrances Inc | | | 1,800 | | | | 227 | |
International Paper Co | | | 6,600 | | | | 230 | |
Linde | | | 8,929 | | | | 2,189 | |
LyondellBasell Industries NV, Cl A | | | 4,300 | | | | 269 | |
Martin Marietta Materials | | | 1,054 | | | | 218 | |
Mosaic Co/The | | | 5,800 | | | | 78 | |
NewMarket Corp | | | 148 | | | | 55 | |
Newmont | | | 13,600 | | | | 941 | |
Nucor Corp | | | 5,100 | | | | 214 | |
Olin Corp | | | 2,400 | | | | 27 | |
Packaging Corp of America | | | 1,600 | | | | 154 | |
PPG Industries Inc | | | 4,026 | | | | 433 | |
Reliance Steel & Aluminum Co | | | 1,100 | | | | 108 | |
Royal Gold Inc | | | 1,100 | | | | 154 | |
RPM International Inc | | | 2,142 | | | | 175 | |
Scotts Miracle-Gro Co/The, Cl A | | | 700 | | | | 111 | |
Sealed Air Corp | | | 2,600 | | | | 93 | |
Sherwin-Williams Co/The | | | 1,400 | | | | 907 | |
Silgan Holdings | | | 1,373 | | | | 52 | |
Sonoco Products Co | | | 1,700 | | | | 88 | |
Southern Copper Corp | | | 1,400 | | | | 61 | |
Steel Dynamics | | | 3,419 | | | | 94 | |
| | |
| 18 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Valvoline Inc | | | 3,100 | | | $ | 64 | |
Vulcan Materials | | | 2,200 | | | | 258 | |
W R Grace | | | 900 | | | | 41 | |
Westlake Chemical | | | 560 | | | | 30 | |
Westrock | | | 4,378 | | | | 118 | |
| | | | | | | | |
| | | | | | | 13,646 | |
| | | | | | | | |
| | |
Real Estate — 2.8% | | | | | | | | |
Alexandria Real Estate Equities Inc‡ | | | 2,100 | | | | 373 | |
American Campus Communities Inc‡ | | | 2,300 | | | | 82 | |
American Homes 4 Rent, Cl A‡ | | | 4,396 | | | | 127 | |
American Tower, Cl A‡ | | | 7,515 | | | | 1,964 | |
Americold Realty Trust‡ | | | 3,400 | | | | 137 | |
Apartment Investment & Management, Cl A‡ | | | 2,490 | | | | 97 | |
Apple Hospitality Inc‡ | | | 3,500 | | | | 31 | |
AvalonBay Communities Inc‡ | | | 2,400 | | | | 367 | |
Boston Properties Inc‡ | | | 2,627 | | | | 234 | |
Brandywine Realty Trust‡ | | | 2,800 | | | | 30 | |
Brixmor Property Group Inc‡ | | | 5,000 | | | | 58 | |
Brookfield Property Inc, Cl A‡ | | | 1,000 | | | | 12 | |
Camden Property Trust‡ | | | 1,600 | | | | 145 | |
CBRE Group Inc, Cl A* | | | 5,600 | | | | 245 | |
CoreSite Realty Corp‡ | | | 700 | | | | 90 | |
Corporate Office Properties Trust‡ | | | 1,900 | | | | 50 | |
Cousins Properties‡ | | | 2,474 | | | | 76 | |
Crown Castle International Corp‡ | | | 7,048 | | | | 1,175 | |
CubeSmart‡ | | | 3,300 | | | | 98 | |
CyrusOne Inc‡ | | | 1,900 | | | | 158 | |
Digital Realty Trust Inc‡ | | | 4,546 | | | | 730 | |
Douglas Emmett Inc‡ | | | 2,800 | | | | 82 | |
Duke Realty Corp‡ | | | 6,200 | | | | 249 | |
Empire State Realty Trust Inc, Cl A‡ | | | 2,500 | | | | 17 | |
EPR Properties‡ | | | 1,274 | | | | 36 | |
Equinix Inc‡ | | | 1,445 | | | | 1,135 | |
Equity Commonwealth‡ | | | 1,988 | | | | 63 | |
Equity LifeStyle Properties Inc‡ | | | 2,900 | | | | 198 | |
Equity Residential‡ | | | 6,200 | | | | 333 | |
Essex Property Trust Inc‡ | | | 1,075 | | | | 237 | |
Extra Space Storage Inc‡ | | | 2,100 | | | | 217 | |
Federal Realty Investment Trust‡ | | | 1,300 | | | | 99 | |
First Industrial Realty Trust Inc‡ | | | 2,100 | | | | 92 | |
Gaming and Leisure Properties Inc‡ | | | 3,393 | | | | 123 | |
Healthcare Trust of America Inc, Cl A‡ | | | 3,700 | | | | 102 | |
Healthpeak Properties‡ | | | 9,124 | | | | 249 | |
Highwoods Properties Inc‡ | | | 1,700 | | | | 65 | |
Host Hotels & Resorts Inc‡ | | | 11,847 | | | | 128 | |
Howard Hughes Corp/The* | | | 700 | | | | 37 | |
Hudson Pacific Properties Inc‡ | | | 2,500 | | | | 59 | |
Invitation Homes Inc‡ | | | 9,200 | | | | 274 | |
Iron Mountain‡ | | | 4,803 | | | | 135 | |
JBG SMITH Properties‡ | | | 2,100 | | | | 61 | |
Jones Lang LaSalle Inc | | | 900 | | | | 89 | |
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Kilroy Realty Corp‡ | | | 1,900 | | | $ | 111 | |
Kimco Realty‡ | | | 7,000 | | | | 78 | |
Lamar Advertising Co, Cl A‡ | | | 1,500 | | | | 99 | |
Life Storage Inc‡ | | | 830 | | | | 81 | |
Medical Properties Trust Inc‡ | | | 8,787 | | | | 177 | |
Mid-America Apartment Communities‡ | | | 1,900 | | | | 226 | |
National Retail Properties‡ | | | 2,900 | | | | 103 | |
Omega Healthcare Investors Inc‡ | | | 3,800 | | | | 123 | |
Outfront Media Inc‡ | | | 2,400 | | | | 35 | |
Paramount Group Inc‡ | | | 3,200 | | | | 23 | |
Park Hotels & Resorts‡ | | | 4,000 | | | | 33 | |
Prologis Inc‡ | | | 12,500 | | | | 1,318 | |
Public Storage‡ | | | 2,500 | | | | 500 | |
Rayonier Inc‡ | | | 2,300 | | | | 64 | |
Realty Income Corp‡ | | | 5,800 | | | | 348 | |
Regency Centers Corp‡ | | | 2,800 | | | | 115 | |
Rexford Industrial Realty‡ | | | 2,000 | | | | 94 | |
SBA Communications Corp, Cl A‡ | | | 1,900 | | | | 592 | |
Simon Property Group Inc‡ | | | 5,100 | | | | 318 | |
SL Green Realty Corp‡ | | | 1,300 | | | | 60 | |
Spirit Realty Capital Inc‡ | | | 1,700 | | | | 59 | |
STORE Capital Corp‡ | | | 3,800 | | | | 90 | |
Sun Communities Inc‡ | | | 1,600 | | | | 240 | |
Taubman Centers Inc‡ | | | 1,000 | | | | 39 | |
UDR Inc‡ | | | 5,000 | | | | 181 | |
Ventas Inc‡ | | | 6,300 | | | | 242 | |
VEREIT Inc‡ | | | 18,284 | | | | 119 | |
VICI Properties Inc‡ | | | 7,900 | | | | 172 | |
Vornado Realty Trust‡ | | | 2,975 | | | | 103 | |
Weingarten Realty Investors‡ | | | 2,000 | | | | 34 | |
Welltower‡ | | | 7,100 | | | | 380 | |
Weyerhaeuser Co‡ | | | 12,600 | | | | 350 | |
WP Carey Inc‡ | | | 2,900 | | | | 207 | |
| | | | | | | | |
| | | | | | | 17,073 | |
| | | | | | | | |
| | |
Utilities — 2.5% | | | | | | | | |
AES Corp/VA | | | 11,197 | | | | 171 | |
Alliant Energy Corp | | | 4,200 | | | | 226 | |
Ameren Corp | | | 4,200 | | | | 337 | |
American Electric Power Co Inc | | | 8,427 | | | | 732 | |
American Water Works | | | 3,100 | | | | 457 | |
Atmos Energy Corp | | | 2,000 | | | | 212 | |
Avangrid Inc | | | 1,000 | | | | 50 | |
CenterPoint Energy | | | 8,508 | | | | 162 | |
CMS Energy Corp | | | 4,800 | | | | 308 | |
Consolidated Edison Inc | | | 5,700 | | | | 438 | |
Dominion Energy Inc | | | 14,200 | | | | 1,151 | |
DTE Energy | | | 3,200 | | | | 370 | |
Duke Energy | | | 12,400 | | | | 1,051 | |
Edison International | | | 6,000 | | | | 334 | |
Entergy Corp | | | 3,400 | | | | 357 | |
Essential Utilities | | | 3,800 | | | | 172 | |
Evergy Inc | | | 3,800 | | | | 246 | |
| | |
| 19 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (Continued)
July 31, 2020
| | | | | | | | |
| | | |
| Description | | Shares | | | Market Value ($ Thousands) | |
Eversource Energy | | | 5,700 | | | $ | 513 | |
Exelon Corp | | | 16,500 | | | | 637 | |
FirstEnergy Corp | | | 9,200 | | | | 267 | |
Hawaiian Electric Industries | | | 1,800 | | | | 65 | |
IDACORP Inc | | | 900 | | | | 84 | |
MDU Resources Group | | | 3,400 | | | | 71 | |
National Fuel Gas | | | 1,400 | | | | 57 | |
NextEra Energy | | | 8,268 | | | | 2,321 | |
NiSource Inc | | | 6,452 | | | | 158 | |
NRG Energy Inc | | | 4,100 | | | | 139 | |
OGE Energy | | | 3,374 | | | | 111 | |
PG&E* | | | 16,112 | | | | 151 | |
Pinnacle West Capital Corp | | | 1,900 | | | | 158 | |
PPL Corp | | | 13,000 | | | | 346 | |
Public Service Enterprise Group | | | 8,500 | | | | 475 | |
Sempra Energy | | | 5,000 | | | | 622 | |
Southern Co/The | | | 17,900 | | | | 977 | |
UGI Corp | | | 3,500 | | | | 117 | |
Vistra | | | 8,250 | | | | 154 | |
WEC Energy Group | | | 5,300 | | | | 505 | |
Xcel Energy Inc | | | 8,926 | | | | 616 | |
| | | | | | | | |
| | | | | | | 15,318 | |
| | | | | | | | |
| | | | | | | 510,895 | |
| | | | | | | | |
Total Common Stock
(Cost $548,588) ($ Thousands) | | | | | | | 571,314 | |
| | | | | | | | |
| | |
PREFERRED STOCK — 0.1% | | | | | | | | |
| | |
Germany — 0.1% | | | | | | | | |
Bayerische Motoren Werke AG (C) | | | 244 | | | | 13 | |
FUCHS PETROLUB SE (C) | | | 298 | | | | 13 | |
Henkel AG & Co KGaA (C) | | | 765 | | | | 75 | |
Porsche Automobil Holding SE (C) | | | 656 | | | | 37 | |
Sartorius AG (C) | | | 153 | | | | 59 | |
Volkswagen AG (C) | | | 796 | | | | 118 | |
| | | | | | | | |
Total Preferred Stock
(Cost $316) ($ Thousands) | | | | | | | 315 | |
| | | | | | | | |
| | |
EXCHANGE TRADED FUND — 0.0% | | | | | | | | |
| | |
United States — 0.0% | | | | | | | | |
SPDR S&P 500 Trust | | | 752 | | | | 245 | |
| | | | | | | | |
Total Exchange Traded Fund
(Cost $100) ($ Thousands) | | | | | | | 245 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| Description | | Number of Rights | | | Market Value ($ Thousands) | |
RIGHTS — 0.0% | | | | | | | | |
| | |
Portugal — 0.0% | | | | | | | | |
EDP - Energias de Portugal, Expires 08/10/2020* | | | 11 | | | $ | 1 | |
| | | | | | | | |
| | |
Spain — 0.0% | | | | | | | | |
Cellnex Telecom, Expires 08/11/2020* | | | 1 | | | | 5 | |
| | | | | | | | |
| | |
United States — 0.0% | | | | | | | | |
Newstar Financial*^ (D) | | | 4 | | | | — | |
Tobira Therapeutics,
Expires 12/31/2028* (D) | | | 1 | | | | — | |
| | | | | | | | |
| | | | | | | — | |
| | | | | | | | |
Total Rights
(Cost $—) ($ Thousands) | | | | | | | 6 | |
| | | | | | | | |
| | |
| | | Number of
Warrants | | | | |
WARRANTS — 0.0% | | | | | | | | |
| | |
United States — 0.0% | | | | | | | | |
Occidental Petroleum, Expires 07/06/2027* (A) | | | 1 | | | | — | |
| | | | | | | | |
Total Warrants
(Cost $—) ($ Thousands) | | | | | | | — | |
| | | | | | | | |
| | |
| | | Face Amount
($ Thousands) | | | | |
CORPORATE OBLIGATION — 0.0% | | | | | | | | |
| | |
United States — 0.0% | | | | | | | | |
Calamos Asset Management (Escrow) 0.000, 03/01/2023 (D) | | | 2 | | | | — | |
| | | | | | | | |
Total Corporate Obligation
(Cost $—) ($ Thousands) | | | | | | | — | |
| | | | | | | | |
Total Investments — 94.0%
(Cost $549,004) ($ Thousands) | | | | | | $ | 571,880 | |
| | | | | | | | |
| | |
| 20 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
SCHEDULE OF INVESTMENTS
Tactical Offensive Equity Fund (concluded)
July 31, 2020
A list of the open futures contracts held by the Fund at July 31, 2020, is as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Type of Contract | | Number of Contracts Long | | | Expiration Date | | | Notional Amount (Thousands) | | | Value (Thousands) | | | Unrealized
Appreciation (Depreciation)
(Thousands) | |
MSCI EAFE Index | | | 16 | | | | Sep-2020 | | | $ | 1,462 | | | $ | 1,451 | | | $ | (11 | ) |
Russell 2000 Index E-MINI | | | 291 | | | | Sep-2020 | | | | 20,550 | | | | 21,502 | | | | 952 | |
S&P 500 Index E-MINI | | | 75 | | | | Sep-2020 | | | | 11,750 | | | | 12,238 | | | | 488 | |
S&P Mid Cap 400 Index E-MINI | | | 6 | | | | Sep-2020 | | | | 1,058 | | | | 1,116 | | | | 58 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 34,820 | | | $ | 36,307 | | | $ | 1,487 | |
| | | | | | | | | | | | | | | | | | | | |
For the year ended July 31, 2020, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $608,256 ($ Thousands).
| * | | Non-income producing security. |
| ‡ | | Real Estate Investment Trust. |
| ^ | | Expiration date unavailable. |
| (A) | | Level 3 security in accordance with fair value hierarchy. |
| (B) | | Security is a Master Limited Partnership. At July 31, 2020, such securities amounted to $50 ($ Thousands), or 0.0% of Net Assets. |
| (C) | | There is currently no rate available. |
| (D) | | Level 3 security in accordance with fair value hierarchy. |
ADR — American Depositary Receipt
Cl — Class
EAFE — Europe, Australasia and Far East
MSCI — Morgan Stanley Capital International
PLC — Public Limited Company
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of July 31, 2020, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
| | | | | | | | | | | | | | | | |
| | | | | |
| Investments in Securities | | Level 1 ($) | | | Level 2 ($) | | | Level 3 ($ )(1) | | | Total ($) | |
Common Stock | | | 571,309 | | | | 5 | | | | — | (2) | | | 571,314 | |
Preferred Stock | | | 315 | | | | — | | | | — | | | | 315 | |
Exchange Traded Fund | | | 245 | | | | — | | | | — | | | | 245 | |
Rights | | | 6 | | | | — | | | | — | (2) | | | 6 | |
Corporate Obligation | | | — | | | | — | | | | — | (2) | | | — | |
Warrants | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 571,875 | | | | 5 | | | | — | | | | 571,880 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | |
| Other Financial Instruments | | Level 1 ($) | | | Level 2 ($) | | | Level 3 ($) | | | Total ($) | |
Futures Contracts* | | | | | | | | | | | | | | | | |
Unrealized Appreciation | | | 1,498 | | | | — | | | | — | | | | 1,498 | |
Unrealized Depreciation | | | (11 | ) | | | — | | | | — | | | | (11 | ) |
| | | | | | | | | | | | | | | | |
Total Other Financial Instruments | | | 1,487 | | | | — | | | | — | | | | 1,487 | |
| | | | | | | | | | | | | | | | |
| * | | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
| (1) | | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets. |
| (2) | | This category includes securities with a value of $0. |
For the year ended July 31, 2020, there were no transfers in our out of Level 3.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the transactions the Fund had with affiliates for the year ended July 31, 2020 ($ Thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| Security Description | | Value
7/31/2019 | | Purchases at Cost | | Proceeds from Sales | | Realized Gain (Loss) | | Change in Unrealized Appreciation (Depreciation) | | Value 7/31/2020 | | Shares | | Dividend Income | | Capital Gains |
SEI Daily Income Trust, Government Fund, Cl F | | | $ | — | | | | $ | 2,072,588 | | | | $ | (2,072,588 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | | — | | | | $ | 218 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| | |
| 21 | | Adviser Managed Trust / Annual Report / July 31, 2020 |
| | |
 | | KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Report of Independent Registered Public Accounting Firm
To the Shareholders of the Funds and Board of Trustees
Adviser Managed Trust:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the summary schedule of investments and the schedule of investments, of the Tactical Offensive Equity Fund and the statement of assets and liabilities, including the schedule of investments, of the Tactical Offensive Fixed Income Fund (collectively, the Funds) comprising the Adviser Managed Trust, as of July 31, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. The financial statements and financial highlights are included in Item 1 of this Form N-CSR, except for the schedule of investments of the Tactical Offensive Equity Fund as of July 31, 2020, which is included in Item 6 of this Form N-CSR. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2020, by correspondence with custodians and brokers or by other appropriate auditing procedures when replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more SEI Funds investment companies since 2005.
Philadelphia, Pennsylvania
September 29, 2020
KPMG LLP is a Delaware limited liability partnership and the U.S. member
firm of the KPMG network of independent member firms affiliated with
KPMG International Cooperative (“KPMG International”), a Swiss entity.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees (the ‘Board”). The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Board. Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.
| Item 11. | 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 (the “1940 Act”)) are effective, based on the evaluation of these 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 of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
| Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant, as required by Rule 30a-2(a) under the Investment Company Act of 1940, are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, also accompany this filing as an exhibit.
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.
| | | | | | |
| | | | | | Adviser Managed Trust |
| | | |
| By | | | | | | /s/ Robert A. Nesher |
| | | | | | Robert A. Nesher |
| | | | | | President & CEO |
Date: October 8, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| | | | | | |
| By | | | | | | /s/ Robert A. Nesher |
| | | | | | Robert A. Nesher |
| | | | | | President & CEO |
|
| Date: October 8, 2020 |
| | | |
| By | | | | | | /s/ Peter A. Rodriguez |
| | | | | | Peter A. Rodriguez |
| | | | | | Controller & CFO |
|
| Date: October 8, 2020 |
