Note 1 – Organization
Advisory Research All Cap Value Fund (the “All Cap Value Fund”), Advisory Research International All Cap Value Fund (the “International All Cap Value Fund”), Advisory Research International Small Cap Value Fund (the “International Small Cap Value Fund”), Advisory Research Global Value Fund (the “Global Value Fund”) and Advisory Research Strategic Income Fund (the “Strategic Income Fund”) (each a “Fund” and collectively the ‘‘Funds’’) are organized as a series of Investment Managers Series Trust, a Delaware statutory trust (the “Trust”) which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The All Cap Value Fund and Strategic Income Fund are diversified funds. The International All Cap Value Fund, International Small Cap Value Fund, and Global Value Fund are non-diversified funds. The All Cap Value Fund, International All Cap Value Fund, International Small Cap Value Fund, and Global Value Fund’s primary investment objective is to provide long-term capital appreciation. The Strategic Income Fund’s primary investment objective is to seek high current income. The All Cap Value Fund commenced investment operations on November 16, 2009, the International All Cap Value Fund commenced investment operations on May 2, 2011, the International Small Cap Value Fund commenced investment operations on March 31, 2010, the Global Value Fund commenced investment operations on July 30, 2010 and the Strategic Income Fund commenced investment operations on December 31, 2012.
Note 2 – Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
(a) Valuation of Investments
The Funds value equity securities at the last reported sale price on the principal exchange or in the principal over the counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if there are no sales, at the mean between the last available bid and asked prices on that day. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”). Debt securities are valued at the mean between the last available bid and asked prices for such securities, or if such prices are not available, at prices for securities of comparable maturity, quality and type. All other types of securities, including restricted securities and securities for which market quotations are not readily available, are valued at fair value as determined in accordance with procedures established in good faith by the Board of Trustees. Short-term securities with remaining maturities of sixty days or less are valued at amortized cost, which approximates market value.
Fair value pricing may be applied to foreign securities held by the Fund upon the occurrence of an event after the close of trading on non-U.S. markets but before the close of trading on the NYSE when the Fund’s NAV is determined. If the event may result in a material adjustment to the price of the Fund’s foreign securities once non-U.S. markets open on the following business day (such as, for example, a significant surge or decline in the U.S. market), the Fund may value such foreign securities at fair value, taking into account the effect of such event, in order to calculate the Fund’s NAV.
A Fund’s assets generally are valued at their market value. If a market quotation is not readily available for a portfolio security, the security will be valued at fair value (the amount which the Fund might reasonably expect to receive for the security upon its current sale) as determined in good faith by the Fund’s advisor, subject to review and approval by the Valuation Committee, pursuant to procedures adopted by the Board of Trustees. The actions of the Valuation Committee are subsequently reviewed by the Board at its next regularly scheduled board meeting. The Valuation Committee meets as needed. The Valuation Committee is comprised of all the Trustees but action may be taken by any one of the Trustees.
Advisory Research Funds
NOTES TO SCHEDULE OF INVESTMENTS – Continued
January 31, 2013 (Unaudited)
Foreign securities traded in countries outside the U.S. are fair valued by utilizing the quotations of an independent pricing service. The pricing service uses statistical analyses and quantitative models to adjust local prices using factors such as subsequent movement and changes in the prices of indexes, securities and exchange rates in other markets in determining fair value as of the time the Funds calculate the NAVs. The Board reviews the independent third party fair valuation analysis report quarterly.
(b) Foreign Currency Translation
The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted at the close of the London Stock Exchange prior to when the Funds’ NAV is next determined. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of its net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments and foreign currency.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
Note 3 – Federal Income Taxes
At January 31, 2013, gross unrealized appreciation and depreciation on investments and foreign currency owned by the Funds, based on cost for federal income tax purposes were as follows:
|
|
|
All Cap Value Fund
|
|
|
International All Cap Value Fund
|
|
|
International Small Cap Value Fund
|
|
|
Global Value Fund
|
|
|
Strategic Income Fund
|
|
|
Cost of Investments
|
|
$
|
32,483,400
|
|
|
$
|
1,622,043
|
|
|
$
|
62,420,044
|
|
|
$
|
11,696,159
|
|
|
$
|
113,863,508
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Unrealized Appreciation
|
|
|
6,914,592
|
|
|
|
188,792
|
|
|
|
8,639,866
|
|
|
|
1,703,847
|
|
|
|
7,220,440
|
|
|
Gross Unrealized Depreciation
|
|
|
(365,612
|
)
|
|
|
(83,179
|
)
|
|
|
(2,259,990
|
)
|
|
|
(404,029
|
)
|
|
|
(629,491
|
)
|
|
Net Unrealized Appreciation/(Depreciation)
|
|
$
|
6,548,980
|
|
|
$
|
105,613
|
|
|
$
|
6,379,876
|
|
|
$
|
1,299,818
|
|
|
$
|
6,590,949
|
|
The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.
Advisory Research Funds
NOTES TO SCHEDULE OF INVESTMENTS – Continued
January 31, 2013 (Unaudited)
Note 4 – Fair Value Measurements and Disclosure
Fair Value Measurements and Disclosures
defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement.
Under
Fair Value Measurements and Disclosures
, various inputs are used in determining the value of each Fund’s investments. These inputs are summarized into three broad levels as described below:
|
|
·
|
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
|
|
|
·
|
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
|
|
|
·
|
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
|
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
In addition, the Funds have adopted Accounting Standards Update No. 2011-04
Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs
which amends
Fair Value Measurements and Disclosures
to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. GAAP and International Financial Reporting Standards. Enhanced disclosure is required to detail any transfers in to and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers.
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of January 31, 2013, in valuing the Funds’ assets carried at fair value:
Advisory Research Funds
NOTES TO SCHEDULE OF INVESTMENTS – Continued
January 31, 2013 (Unaudited)
|
All Cap Value Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
|
|
|
Level 2*
|
|
|
Level 3*
|
|
|
Total
|
|
|
|
|
(Quoted Price)
|
|
|
(Other Significant Observable Inputs)
|
|
|
(Significant Unobservable Inputs)
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
1
|
|
$
|
38,342,737
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
38,342,737
|
|
|
Short-Term Investments
|
|
|
689,643
|
|
|
|
-
|
|
|
|
-
|
|
|
|
689,643
|
|
|
Total Investments
|
|
$
|
39,032,380
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
39,032,380
|
|
|
1
|
All common stocks held in the All Cap Value Fund are Level 1 securities. For a detailed break-out of common stocks by major industry classification, please refer to the Schedule of Investments.
|
|
*
|
The Fund did not hold any Level 2 or Level 3 securities at period end.
|
Transfers are recognized at the end of the reporting period. There were no transfers between Levels at period end.
|
International All Cap Value Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
|
|
|
Level 2*
|
|
|
Level 3**
|
|
|
Total
|
|
|
|
|
(Quoted Price)
|
|
|
(Other Significant Observable Inputs)
|
|
|
(Significant Unobservable Inputs)
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
22,573
|
|
|
$
|
188,876
|
|
|
$
|
-
|
|
|
$
|
211,449
|
|
|
Consumer Staples
|
|
|
39,998
|
|
|
|
140,648
|
|
|
|
-
|
|
|
|
180,646
|
|
|
Energy
|
|
|
-
|
|
|
|
74,843
|
|
|
|
-
|
|
|
|
74,843
|
|
|
Financials
|
|
|
87,834
|
|
|
|
374,558
|
|
|
|
-
|
|
|
|
462,392
|
|
|
Health Care
|
|
|
37,784
|
|
|
|
123,346
|
|
|
|
-
|
|
|
|
161,130
|
|
|
Industrials
|
|
|
17,270
|
|
|
|
221,786
|
|
|
|
4,346
|
|
|
|
243,402
|
|
|
Information Technology
|
|
|
-
|
|
|
|
111,700
|
|
|
|
-
|
|
|
|
111,700
|
|
|
Materials
|
|
|
-
|
|
|
|
199,465
|
|
|
|
-
|
|
|
|
201,157
|
|
|
Telecommunication Services
|
|
|
-
|
|
|
|
28,683
|
|
|
|
-
|
|
|
|
28,683
|
|
|
Utilities
|
|
|
-
|
|
|
|
30,113
|
|
|
|
-
|
|
|
|
30,113
|
|
|
Total Common Stocks
|
|
|
205,459
|
|
|
|
1,494,018
|
|
|
|
4,346
|
|
|
|
1,703,823
|
|
|
Short-Term Investments
|
|
|
23,799
|
|
|
|
-
|
|
|
|
-
|
|
|
|
23,799
|
|
|
Total Investments, at Value
|
|
$
|
229,258
|
|
|
$
|
1,494,018
|
|
|
$
|
4,346
|
|
|
$
|
1,727,622
|
|
Advisory Research Funds
NOTES TO SCHEDULE OF INVESTMENTS – Continued
January 31, 2013 (Unaudited)
|
International Small Cap Value Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
|
|
|
Level 2*
|
|
|
Level 3**
|
|
|
Total
|
|
|
|
|
(Quoted Price)
|
|
|
(Other Significant Observable Inputs)
|
|
|
(Significant Unobservable Inputs)
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
873,046
|
|
|
$
|
7,473,985
|
|
|
$
|
-
|
|
|
$
|
8,347,031
|
|
|
Consumer Staples
|
|
|
345,456
|
|
|
|
5,418,886
|
|
|
|
-
|
|
|
|
5,764,342
|
|
|
Energy
|
|
|
-
|
|
|
|
843,799
|
|
|
|
-
|
|
|
|
843,799
|
|
|
Financials
|
|
|
4,510,340
|
|
|
|
14,995,423
|
|
|
|
-
|
|
|
|
19,505,763
|
|
|
Health Care
|
|
|
1,548,414
|
|
|
|
2,347,561
|
|
|
|
-
|
|
|
|
3,895,975
|
|
|
Industrials
|
|
|
844,689
|
|
|
|
10,185,062
|
|
|
|
90,622
|
|
|
|
11,120,373
|
|
|
Information Technology
|
|
|
-
|
|
|
|
6,261,936
|
|
|
|
-
|
|
|
|
6,261,936
|
|
|
Materials
|
|
|
737,092
|
|
|
|
8,567,819
|
|
|
|
-
|
|
|
|
9,304,911
|
|
|
Telecommunication Services
|
|
|
695,221
|
|
|
|
-
|
|
|
|
-
|
|
|
|
695,221
|
|
|
Utilities
|
|
|
637,246
|
|
|
|
-
|
|
|
|
-
|
|
|
|
637,246
|
|
|
Total Common Stocks
|
|
|
10,191,504
|
|
|
|
56,094,471
|
|
|
|
90,622
|
|
|
|
66,376,597
|
|
|
Short-Term Investments
|
|
|
2,423,527
|
|
|
|
-
|
|
|
|
-
|
|
|
|
2,423,527
|
|
|
Total Investments
|
|
$
|
12,615,031
|
|
|
$
|
56,094,471
|
|
|
$
|
90,622
|
|
|
$
|
68,800,124
|
|
|
*
|
In accordance with procedures established by, and under the general supervision of, the Funds’ Board of Trustees, the values of certain equity securities listed or traded on foreign security exchanges may be adjusted due to changes in the value of U.S.-traded securities, as measured by the S&P 500 Index. In this circumstance, $
1,494,018 a
nd $56,094,471
of investment securities from International All Cap Value and International Small Cap Value Fund, respectively, were classified as Level 2 instead of Level 1.
|
|
**
|
The International All Cap Value and International Small Cap Value Funds each held one Level 3 security as of January 31, 2013, the value of such security was $4,346 and $90,622 for the International All Cap Value and International Small Cap Value Fund, respectively. The security classified as Level 3 was halted and the Advisor has applied an increasing percentage discount to the last available price for the security as a fair value price for the security.
|
Transfers are recognized at the end of the reporting period. The following is a reconciliation of transfers between Levels from October 31, 2012 to January 31, 2013, represented by recognizing the January 31, 2013 market value of securities:
|
|
|
International Small Cap Value Fund
|
|
|
Transfers into Level 1
|
|
$
|
737,092
|
|
|
Transfers out of Level 1
|
|
|
-
|
|
|
Net transfers in (out) of Level 1
|
|
$
|
737,092
|
|
|
|
|
|
|
|
|
Transfers into Level 2
|
|
$
|
-
|
|
|
Transfers out of Level 2
|
|
|
(737,092
|
)
|
|
Net transfers in (out) of Level 2
|
|
$
|
(737,092
|
)
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining value:
|
|
|
International All Cap Value Fund
|
|
|
International Small Cap Value Fund
|
|
|
Beginning balance October 31, 2012
|
|
$
|
4,349
|
|
|
$
|
90,685
|
|
|
Transfers into Level 3 during the period
|
|
|
-
|
|
|
|
-
|
|
|
Transfers out of Level 3 during the period
|
|
|
-
|
|
|
|
-
|
|
|
Total realized gain/(loss)
|
|
|
-
|
|
|
|
-
|
|
|
Total unrealized appreciation/(depreciation)
|
|
|
(3
|
)
|
|
|
(63
|
)
|
|
Purchases
|
|
|
-
|
|
|
|
-
|
|
|
Sales
|
|
|
-
|
|
|
|
-
|
|
|
Ending balance January 31, 2013
|
|
$
|
4,346
|
|
|
$
|
90,622
|
|
Advisory Research Funds
NOTES TO SCHEDULE OF INVESTMENTS – Continued
January 31, 2013 (Unaudited)
|
Global Value Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
|
|
|
Level 2*
|
|
|
Level 3**
|
|
|
Total
|
|
|
|
|
(Quoted Price)
|
|
|
(Other Significant Observable Inputs)
|
|
|
(Significant Unobservable Inputs)
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
666,854
|
|
|
$
|
881,090
|
|
|
$
|
-
|
|
|
$
|
1,547,944
|
|
|
Consumer Staples
|
|
|
612,497
|
|
|
|
641,578
|
|
|
|
-
|
|
|
|
1,254,075
|
|
|
Energy
|
|
|
1,061,773
|
|
|
|
260,241
|
|
|
|
-
|
|
|
|
1,322,014
|
|
|
Financials
|
|
|
2,015,280
|
|
|
|
1,373,239
|
|
|
|
-
|
|
|
|
3,388,519
|
|
|
Health Care
|
|
|
451,108
|
|
|
|
402,730
|
|
|
|
-
|
|
|
|
853,838
|
|
|
Industrials
|
|
|
947,900
|
|
|
|
679,611
|
|
|
|
-
|
|
|
|
1,627,511
|
|
|
Information Technology
|
|
|
577,943
|
|
|
|
372,798
|
|
|
|
-
|
|
|
|
950,741
|
|
|
Materials
|
|
|
542,811
|
|
|
|
709,589
|
|
|
|
-
|
|
|
|
1,252,400
|
|
|
Telecommunication Services
|
|
|
-
|
|
|
|
144,102
|
|
|
|
-
|
|
|
|
144,102
|
|
|
Utilities
|
|
|
-
|
|
|
|
186,958
|
|
|
|
-
|
|
|
|
186,958
|
|
|
Total Common Stocks
|
|
|
6,876,166
|
|
|
|
5,651,936
|
|
|
|
-
|
|
|
|
12,528,102
|
|
|
Short-Term Investments
|
|
|
467,865
|
|
|
|
-
|
|
|
|
-
|
|
|
|
467,865
|
|
|
Total Investments
|
|
$
|
7,344,031
|
|
|
$
|
5,651,936
|
|
|
$
|
-
|
|
|
$
|
12,995,967
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3**
|
|
|
Total
|
|
|
|
|
(Quoted Price)
|
|
|
(Other Significant Observable Inputs)
|
|
|
(Significant Unobservable Inputs)
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications
|
|
$
|
3,710,312
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
3,710,312
|
|
|
Consumer, Non-cyclical
|
|
|
6,029,636
|
|
|
|
-
|
|
|
|
-
|
|
|
|
6,029,636
|
|
|
Energy
|
|
|
2,466,498
|
|
|
|
-
|
|
|
|
-
|
|
|
|
2,466,498
|
|
|
Financial
|
|
|
1,350,597
|
|
|
|
-
|
|
|
|
-
|
|
|
|
1,350,597
|
|
|
Utilities
|
|
|
5,192,309
|
|
|
|
-
|
|
|
|
-
|
|
|
|
5,192,309
|
|
Advisory Research Funds
NOTES TO SCHEDULE OF INVESTMENTS – Continued
January 31, 2013 (Unaudited)
|
Corporate Bonds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic Materials
|
|
|
-
|
|
|
|
1,202,518
|
|
|
|
-
|
|
|
|
1,202,518
|
|
|
Consumer, Cyclical
|
|
|
-
|
|
|
|
2,635,114
|
|
|
|
-
|
|
|
|
2,635,114
|
|
|
Consumer, Non-cyclical
|
|
|
-
|
|
|
|
510,000
|
|
|
|
-
|
|
|
|
510,000
|
|
|
Diversified
|
|
|
-
|
|
|
|
1,017,000
|
|
|
|
-
|
|
|
|
1,017,000
|
|
|
Energy
|
|
|
-
|
|
|
|
5,424,582
|
|
|
|
-
|
|
|
|
5,424,582
|
|
|
Financial
|
|
|
-
|
|
|
|
5,037,283
|
|
|
|
-
|
|
|
|
5,037,283
|
|
|
Mutual Funds
|
|
|
5,757,580
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
Preferred Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications
|
|
|
2,973,309
|
|
|
|
-
|
|
|
|
-
|
|
|
|
2,973,309
|
|
|
Consumer, Non-cyclical
|
|
|
686,138
|
|
|
|
-
|
|
|
|
-
|
|
|
|
686,138
|
|
|
Financial
|
|
|
65,134,792
|
|
|
|
-
|
|
|
|
-
|
|
|
|
65,134,792
|
|
|
Industrial
|
|
|
2,228,260
|
|
|
|
-
|
|
|
|
-
|
|
|
|
2,228,260
|
|
|
Utilities
|
|
|
6,832,970
|
|
|
|
-
|
|
|
|
-
|
|
|
|
6,832,970
|
|
|
Total
|
|
|
102,362,401
|
|
|
|
15,826,497
|
|
|
|
-
|
|
|
|
118,188,898
|
|
|
Short-Term Investments
|
|
|
2,265,559
|
|
|
|
-
|
|
|
|
-
|
|
|
|
2,265,559
|
|
|
Total Investments
|
|
$
|
104,627,960
|
|
|
$
|
15,826,497
|
|
|
$
|
-
|
|
|
$
|
120,454,457
|
|
|
*
|
In accordance with procedures established by, and under the general supervision of, the Funds’ Board of Trustees, the values of certain equity securities listed or traded on foreign security exchanges may be adjusted due to changes in the value of U.S.-traded securities, as measured by the S&P 500 Index. In this circumstance, $5,651,936
of investment securities from the Global Value Fund was classified as Level 2 instead of Level 1.
|
|
**
|
The Fund did not hold any Level 3 securities at period end.
|
Transfers are recognized at the end of the reporting period. There were no transfers between Levels at period end.