|
Number
of Shares
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
EXCHANGE-TRADED FUNDS – 26.8%
|
|
|
|
|
|
104,797
|
|
iShares 0-5 Year TIPS Bond ETF
1
|
|
$
|
10,611,744
|
|
|
|
200,633
|
|
iShares 1-3 Year Credit Bond ETF
|
|
|
21,180,826
|
|
|
|
656,540
|
|
iShares 1-3 Year Treasury Bond ETF
|
|
|
55,510,457
|
|
|
|
109,781
|
|
iShares MBS ETF
|
|
|
11,694,970
|
|
|
|
92,000
|
|
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
|
|
|
4,885,200
|
|
|
|
461,220
|
|
PIMCO Enhanced Short Maturity Exchange-Traded Fund
|
|
|
46,726,198
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL EXCHANGE-TRADED FUNDS
(Cost $150,920,991)
|
|
|
150,609,395
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS – 73.0%
|
|
|
|
|
|
|
409,973,760
|
|
Fidelity Institutional Money Market Fund, 0.03%
2
|
|
|
409,973,760
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $409,973,760)
|
|
|
409,973,760
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS – 99.8%
(Cost $560,894,751)
|
|
|
560,583,155
|
|
|
|
|
|
Other Assets in Excess of Liabilities – 0.2%
|
|
|
884,448
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL NET ASSETS – 100.0%
|
|
$
|
561,467,603
|
|
ETF – Exchange-Traded Fund
MBS – Mortgage Backed Securities
TIPS – Treasury Inflation-Protected Securities
|
1
|
All or a portion of this security is segregated as collateral for securities sold short.
|
|
2
|
The rate is the annualized seven-day yield at period end.
|
See accompanying Notes to Schedule of Investments.
361 Funds
NOTES TO SCHEDULE OF INVESTMENTS
January 31, 2014 (Unaudited)
Note 1 – Organization
361 Long/Short Equity Fund (“Long/Short Equity” or “Long/Short Equity Fund”) and 361 Managed Futures Strategy Fund (“Managed Futures Strategy” or “Managed Futures Strategy Fund”) (each a “Fund” and collectively the ‘‘Funds’’) are organized as a non-diversified 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 Long/Short Equity Fund’s primary
investment objective is
to outperform the S&P 500 Index but with lower volatility and a low correlation to that Index. As a secondary objective, the Long/Short Equity Fund also seeks to outperform the HFRX Equity Hedge Index. The Fund commenced investment operations on December 20, 2011, with two classes of shares, Class A and Class I.
The Managed Futures Strategy Fund’s primary investment objective is to seek positive absolute returns that have a low correlation to the returns of broad stock and bond markets. The Fund commenced investment operations on December 20, 2011, with two classes of shares, Class A and Class I.
The shares of each class represent an interest in the same portfolio of investments of the Fund and have equal rights as to voting, redemptions, dividends, liquidation, income and expenses, except class specific expenses, subject to the approval of the Trustees. Shareholders of a class that bears distribution and service expenses under the terms of a distribution plan have exclusive voting rights to that distribution plan.
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”). Futures contracts 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 are provided by an independent source. Options are valued at the last quoted sales price, if no sale was reported on that date, the last quoted bid price is used.
Open-end mutual fund investments (including money market funds) are valued at net asset value.
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.
A Fund’s assets are valued at their fair 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 Funds’ 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.
361 Funds
NOTES TO SCHEDULE OF INVESTMENTS - Continued
January 31, 2014 (Unaudited)
(b) Options
The Funds may write or purchase options contracts primarily to enhance the Funds’ returns or reduce volatility. In addition, the Funds may utilize options in an attempt to generate gains from option premiums or to reduce overall portfolio risk. When the Fund writes or purchases an option, 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 written or purchased. Premiums received or paid from writing or purchasing options 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 affecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option 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 on investment transactions. The Fund, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. The Fund, as a purchaser of an option, bears the risk that the counterparties to the option may not have the ability to meet the terms of the option contracts.
(c) Stock Index Futures
The Funds may invest in stock index futures as a substitute for a comparable market position in the underlying securities. A stock index future obligates the seller to deliver (and the purchaser to accept), effectively, an amount of cash equal to a specific dollar amount times the difference between the value of a specific stock index at the close of the last trading day of the contract and the price at which the agreement is made. No physical delivery of the underlying stocks in the index is made.
Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Funds’ agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract.
Risks of entering into futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. The purchase of a futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate the futures transaction. There is minimal counterparty credit risk involved in entering into futures contracts since they are exchange-traded instruments and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
(d) Short Sales
The Funds may engage in short sales that are “uncovered”. Uncovered short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the security is replaced, the Fund is required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan which is recorded as an expense on the Statement of Operations. To borrow the security, the Fund also may be required to pay a premium or interest fee, which is recorded as interest expense. The proceeds of the short sale will be retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which the Fund sells the security short, or a loss, potentially unlimited in size, will be recognized upon the closing of a short sale.
361 Funds
NOTES TO SCHEDULE OF INVESTMENTS - Continued
January 31, 2014 (Unaudited)
(e) Money Market Investments
The Managed Futures Strategy Fund invests a significant amount (73.0% as of January 31, 2014) in the Fidelity Institutional Money Market Fund (“FMPXX”). FMPXX invests in U.S. dollar-denominated money market securities of domestic and foreign issuers rated in the highest category by at least two nationally recognized rating services or by one if only one rating service has rated a security, or, if unrated, determined to be of equivalent quality by Fidelity Management & Research Company, U.S. Government securities and repurchase agreements. FMPXX may invest more than 25% of its total assets in the financial services sector.
(f) Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Withholding taxes on foreign dividends have been provided for in accordance with the company’s understanding of the applicable country’s tax rules and rates. Discounts or premiums on debt securities are accreted or amortized to interest income over the lives of the respective securities using the effective interest method. Income and expenses of the Fund are allocated on a pro rata basis to each class of shares, except for distribution and service fees, which are unique to each class of shares. Expenses incurred by the Trust with respect to more than one fund are allocated in proportion to the net assets of each fund except where allocation of direct expenses to each fund or an alternative allocation method can be more appropriately made.
Note 3 – Federal Income Taxes
At January 31, 2014, the cost of investments on a tax basis and gross unrealized appreciation (depreciation) on investments for federal income tax purposes were as follows:
|
|
|
Long/Short Equity
|
|
|
Managed Futures Strategy
|
|
|
Cost of investments
|
|
$
|
4,317,798
|
|
|
$
|
560,894,751
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
6,949
|
|
|
$
|
216,041
|
|
|
Gross unrealized depreciation
|
|
|
(133,746
|
)
|
|
|
(572,637
|
)
|
|
Net unrealized depreciation on investments
|
|
$
|
(126,797
|
)
|
|
$
|
(356,596
|
)
|
The difference between cost amounts for financial statement and federal income tax purposes is due primarily to wash sale loss deferrals.
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 the Funds’ investments. These inputs are summarized into three broad Levels as described below:
361 Funds
NOTES TO SCHEDULE OF INVESTMENTS - Continued
January 31, 2014 (Unaudited)
|
|
·
|
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 to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest Level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of January 31, 2014, in valuing the Funds’ assets carried at fair value:
|
Long/Short Equity
|
|
Level 1
|
|
|
Level 2
*
|
|
|
Level 3
*
|
|
|
Total
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
1
|
|
$
|
3,603,435
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
3,603,435
|
|
|
Short-Term Investments
|
|
|
587,566
|
|
|
|
-
|
|
|
|
-
|
|
|
|
587,566
|
|
|
Total Investments
|
|
$
|
4,191,001
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
4,191,001
|
|
|
Other Financial Instruments
2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
1,205
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
1,205
|
|
|
Total Assets
|
|
$
|
4,192,206
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
4,192,206
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Funds
|
|
$
|
2,005,031
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
2,005,031
|
|
|
Other Financial Instruments
2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
2,125
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
2,125
|
|
|
Total Liabilities
|
|
$
|
2,007,156
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
2,007,156
|
|
361 Funds
NOTES TO SCHEDULE OF INVESTMENTS - Continued
January 31, 2014 (Unaudited)
|
Managed Futures Strategy
|
|
Level 1
|
|
|
Level 2
*
|
|
|
Level 3
*
|
|
|
Total
|
|
|
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Funds
|
|
$
|
150,609,395
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
150,609,395
|
|
|
Short-Term Investments
|
|
|
409,973,760
|
|
|
|
-
|
|
|
|
-
|
|
|
|
409,973,760
|
|
|
Total Investments
|
|
$
|
560,583,155
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
560,583,155
|
|
|
1
|
All common stocks held in the Fund are Level 1 securities. For a detailed break-out of common stocks by major industry classification, please refer to the Schedule of Investments.
|
|
2
|
Other financial instruments are derivative instruments such as futures contracts, forward contracts and swap contracts. Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
|
|
*
|
The Funds 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 at period end.