N-CSRS 1 quantified_ncsrs.htm N-CSRS

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 811-22756

 

Advisors Preferred Trust

(Exact name of registrant as specified in charter)

 

1445 Research Blvd, Suite 530, Rockville, MD 20850

(Address of principal executive offices) (Zip code)

 

The Corporation Trust Company

1209 Orange Street Wilmington, DE 19801

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2734

 

Date of fiscal year end: 6/30

 

Date of reporting period: 12/31/23

 

Item 1. Reports to Stockholders.

 

 

 

 

 

(QUANTIFIED FUND LOGO)

 

 

Semi-Annual Report

December 31, 2023

 

Quantified Managed Income Fund Quantified Market Leaders Fund
Investor Class Shares QBDSX Investor Class Shares QMLFX
Advisor Class Shares QBDAX Advisor Class Shares QMLAX
   
Quantified Alternative Investment Fund Quantified STF Fund
Investor Class Shares QALTX Investor Class Shares QSTFX
Advisor Class Shares QALAX Advisor Class Shares QSTAX
   
Quantified Pattern Recognition Fund Quantified Tactical Fixed Income Fund
Investor Class Share QSPMX Investor Class Shares QFITX
   
Quantified Evolution Plus Fund Quantified Common Ground Fund
Investor Class Shares QEVOX Investor Class Shares QCGDX
   
Quantified Tactical Sectors Fund Quantified Rising Dividend Tactical Fund
Investor Class Shares QTSSX Investor Class Shares QRDTX
   
Quantified Government Income Tactical Fund Quantified Global Fund
Investor Class Shares QGITX Investor Class Shares QGBLX

 

 

 

 

 

 

 

 

 

1-855-64-QUANT (1-855-647-8268)

www.advisorspreferred.com

 

 

 

 

Distributed by Ceros Financial Services, Inc.

 

 

February 14, 2024

 

Dear Shareholders:

 

This semi-annual report for the Quantified Funds reviews July 1 – December 31, 2023. The Quantified Funds are sub-advised by Flexible Plan Investments Ltd. and actively managed using dynamic asset allocation.

 

The Quantified Managed Income Fund returned 2.25% for the Investor class for the period and 1.85% for the Advisor class shares. The Bloomberg U.S. Aggregate Bond Index increased by 3.37% for the six months. The Fund’s rotational ETF sleeve was the best-performing component in the third quarter, with a gain of 1.72%. This sleeve used an above-average cash exposure to manage risk. The Fund’s high-yield-bond trading sleeve was down for the quarter but it outperformed the benchmark. The Fund’s dividend-paying stock sleeve was also down for the quarter. However, it remained primarily market-neutral to reduce volatility. The Fund’s high-yield bond trading sleeve was the best-performing component in the fourth quarter, with a gain of 7.95%. The rotational ETF sleeve of the Fund, using an above-average cash exposure to manage risk, was up for the final quarter, matching the benchmark’s performance. The Fund’s dividend-paying stock sleeve was positive over the quarter. However, that portion of the Fund remained primarily market-neutral to reduce volatility. The actively traded long-term government-bond futures overlay outperformed during the third quarter. However, it underperformed the Fund’s quarterly benchmark in the fourth quarter.

 

The Quantified Market Leaders Fund returned 3.19% for the Investor class shares for the period and 2.89% for the Advisor class shares. The Fund’s benchmark, the Morningstar Aggressive Target Risk Index, gained 7.52%. As the market declined in July and August, the Fund reduced market exposure, ending the third quarter with an exposure of just 25%. The Fund follows a rule set that includes several risk-management indicators. In the fourth quarter, these indicators moved from bearish to bullish in just five trading days - the fastest switch ever. Shifting to a fully invested position and adding leverage on November 6 resulted in the Fund gaining 13.77% for the final quarter. The Fund uses swaps to achieve leverage.

 

The Quantified Alternative Investment Fund returned 0.06% for the Investor class shares and -0.17% for the Advisor class shares for the year’s second half. The S&P 500 Total Return Index gained 8.04% for the same period. The Fund manages a ranked portfolio of alternative investments consisting of asset classes and alternative strategies that historically have not been correlated to the broad markets. Among the baskets in the universe for the rotational portion of the Fund, Old Energy had the highest return for the third quarter. Innovative Tech had the highest return for the fourth quarter. New Energy had the lowest return for both quarters. The Fund’s NASDAQ futures hedging exposure and actively traded long-term government-bond futures overlay negatively impacted performance for the third quarter. The Fund’s NASDAQ futures hedging exposure contributed positively to the Fund’s performance in the Fourth Quarter. In contrast, its actively traded long-term government-bond futures negatively impacted performance for the fourth quarter. The cash position was just above 12% at the end of the year.

 

The Quantified STF Fund returned 10.34% for the six months for the Investor class shares and 9.98% for the Advisor class shares. The NASDAQ 100 Total Return Index gained 11.32% in comparison. The Fund started the period with 2.0X exposure as equities were in a steady uptrend and experienced low volatility during the second quarter. Volatility increased, and the Fund moved to 1.0X long on August 16. As volatility decreased and markets began to trend upward, the Fund moved to 2.0X long on November 10, remaining there until year-end. The Fund uses futures contracts to achieve leverage.

1

 

The Quantified Pattern Recognition Fund declined by 6.92% for the six months ending December 31, 2023. The S&P 500 Total Return Index gained 8.04% for the same period. A blended benchmark of 50% of the S&P 500 Total Return Index and 50% of the Bloomberg U.S. Aggregate Bond Index rose 5.72%. The Fund seeks out daily patterns in the stock market that have been found to be determinative of probable future price direction. The Fund was active for the period, holding both long and short positions almost equally. However, due to shifting market patterns, the Fund lagged behind the market as the algorithms attempted to match market changes and did not adjust quickly enough to emerging upward trends. The Fund uses futures contracts to implement its strategies.

 

The Quantified Tactical Fixed Income Fund returned -5.36% for the period, while the Bloomberg U.S. Aggregate Bond Index gained 3.37%. The Fund combines numerous computerized strategies to create a multi-strategy, dynamically risk-managed methodology for trading government and high-yield bond market indexes in the ETF and futures markets. The Fund uses swaps and futures to achieve leveraged and inverse positions. Only one of the Fund’s sub-portfolios posted positive results for the period. However, 57% outperformed the Bloomberg U.S. Aggregate Bond Market Index. The Fund responded to market patterns during the third quarter by alternating between 60% long and 50% short exposures. However, the Fund’s significant weighting to the underperforming sub-strategy during the fourth quarter led to its underperformance. At the end of the year, the sub-advisor instituted a minor change to combine the signals from the sub-strategies more evenly.

 

The Quantified Evolution Plus Fund returned -2.51% for the period, while the S&P 500 Total Return Index gained 8.04% for the six months. The Fund began the period with a 32% allocation to European equities and a 47% allocation to emerging market equities. By the end of the third quarter, the Fund had a 66% allocation to the U.S. dollar, which it maintained until the end of the fourth quarter when it dropped its dollar exposure in favor of government bonds and equities. The Fund uses futures and swaps to implement its strategies.

 

The Quantified Common Ground Fund returned 8.78% for the second half, while the S&P Composite 1500 Total Return Index gained 8.02%. The Fund invests in securities of issuers that seek to comply with ESG (Environmental, Social, and Governance) and BRI (Biblically Responsible Investing) standards. The Fund actively sought the best opportunities in the market, favoring the Materials sector in September, the Industrial sector in September and October, and the Financial sector throughout the third quarter, focusing on the Financial and Materials sectors in December. The Energy sector was the sole detractor, reducing the Fund’s returns, while all other sector exposures, particularly the Financial, contributed to the Fund’s performance. The Fund functioned primarily as a growth fund during the period, although it possessed significant value characteristics in November. Its cash exposure was lower than in periods in 2022, indicating a move back into the stock market.

 

The Quantified Tactical Sectors Fund declined by 0.54% for the period, while the S&P 500 Total Return Index gained 8.04%. By late July, the Fund had reached a 2023 gain of more than 20%, but by September, it had given back much of that gain. This setback occurred even though the Fund had cut its market exposure dramatically, going from a peak of 156% down to just 25% by the end of the third quarter. The Fund follows a rule set that includes different risk-management indicators. These moved from bearish to bullish during the fourth quarter in just five trading days – the fastest switch ever. Advancing to a fully invested position and adding leverage on November 6 benefited the Fund. The Fund uses swaps to achieve leverage.

 

The Quantified Rising Dividend Tactical Fund returned 7.13 % for the second half, while the S&P 500 Total Return Index was up 8.04%. The Fund moved from 140% invested to 25% by mid-September. The Fund follows a rule set that includes several different risk-management indicators. These indicators moved from bearish to bullish during the quarter in just five trading days – the fastest switch ever. Transferring to a fully invested position and adding leverage through total return swaps on November 6 benefitted the Fund.

2

 

The Quantified Government Income Tactical Fund returned -9.02% for the period, while the Bloomberg U.S. Aggregate Bond Index gained 3.37%. The Fund’s sub-portfolios fell for the third quarter; however, 40% outperformed the Bloomberg U.S. Aggregate Bond Market Index. The Fund responded to market patterns during the third quarter by alternating between approximately 80% long and 50% short exposures. Only one of the Fund’s sub-strategies posted negative results for the fourth quarter, and 40% outperformed the Bloomberg U.S. Aggregate Bond Market Index. However, the Fund’s significant weighting to one underperforming sub-strategy during the last quarter led to its underperformance. At the end of the year, the sub-advisor instituted a minor change to combine the signals from the sub-strategies more evenly. The Fund utilizes futures to implement its investment strategy.

 

The Quantified Global Fund, the newest Fund in the Quantified Fund family, was launched on November 29. The Fund seeks to provide foreign exposure (at least 40% under normal circumstances) using a dynamic tactical strategy. It returned 2.40% from its inception date through year-end, while the Fund’s benchmark, the MSCI All Country World Index (USD), returned 5.16%. The Fund’s underperformance was primarily due to the Fund’s over-allocation to Emerging Market versus Developed Market.

 

Thank you for your confidence in the Quantified Funds. For further information about the Funds, please visit our website at https://www.flexibleplan.com/our-solutions/quantified-funds.

 

Very truly yours,

 

Jerry Wagner Catherine Ayers-Rigsby
Flexible Plan Investments, Ltd. Advisors Preferred, LLC
Sub-advisor Advisor

3

 

Quantified Managed Income Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmark:

 

      Annualized
  Six       Since Inception
  Months One Year Five Year Ten Year March 18, 2016
Quantified Managed Income Fund - Investor Class 2.25% 2.25% (0.46)% 0.38% N/A
Quantified Managed Income Fund - Advisor Class 1.85% 1.60% (1.10)% N/A (0.20)%
Bloomberg U.S. Aggregate Bond Index ** 3.37% 5.53% 1.10% 1.81% 1.19%
           
*The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023, was 1.59% for Investor Class and 2.19% for Advisor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The Bloomberg U.S. Aggregate Bond Index is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including government, government agency, corporate and mortgage-backed securities. Investors cannot invest directly in an index; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment ^:       % of Net Assets 
Common Stocks   9.8%
Exchange-Traded Funds:     
Fixed Income Funds   71.5%
Equity Funds   11.8%
Money Market Funds   4.7%
Collateral For Securities Loaned   31.7%
Liabilities in Excess of Other Assets   (29.5)%
    100.0%
      
^The Holdings by Type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

4

 

QUANTIFIED MANAGED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     COMMON STOCKS — 9.8%     
     AEROSPACE & DEFENSE - 0.7%     
 990   Lockheed Martin Corporation  $448,708 
 927   Northrop Grumman Corporation   433,966 
         882,674 
     BEVERAGES - 0.7%     
 7,534   Coca-Cola Company   443,979 
 2,644   PepsiCo, Inc.   449,057 
         893,036 
     BIOTECH & PHARMA - 0.7%     
 1,554   Amgen, Inc.   447,583 
 4,245   Merck & Company, Inc.   462,790 
         910,373 
     COMMERCIAL SUPPORT SERVICES - 0.3%     
 737   Cintas Corporation   444,160 
           
     ELECTRICAL EQUIPMENT - 0.3%     
 5,553   BWX Technologies, Inc.   426,082 
           
     FOOD - 1.0%     
 2,335   Hershey Company(c)   435,337 
 4,174   Lamb Weston Holdings, Inc.   451,168 
 5,030   Post Holdings, Inc.(a),(c)   442,942 
         1,329,447 
     HEALTH CARE FACILITIES & SERVICES - 0.3%     
 739   Chemed Corporation   432,130 
           
     HOUSEHOLD PRODUCTS - 1.0%     
 5,693   Colgate-Palmolive Company   453,789 
 3,639   Kimberly-Clark Corporation   442,175 
 3,020   Procter & Gamble Company   442,551 
         1,338,515 
     LEISURE FACILITIES & SERVICES - 0.3%     
 2,748   Darden Restaurants, Inc.   451,496 
           

See accompanying notes to financial statements.

5

 

QUANTIFIED MANAGED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     COMMON STOCKS — 9.8% (Continued)     
     MEDICAL EQUIPMENT & DEVICES - 0.3%     
 6,110   Hologic, Inc.(a)  $436,560 
           
     RETAIL - DISCRETIONARY - 0.7%     
 3,180   Ross Stores, Inc. (c)   440,080 
 4,742   TJX Cos., Inc.   444,847 
         884,927 
     SOFTWARE - 0.3%     
 827   Roper Technologies, Inc.   450,856 
           
     SPECIALTY REITS - 0.3%     
 6,328   Iron Mountain, Inc.   442,833 
           
     TECHNOLOGY HARDWARE - 0.3%     
 2,279   Apple, Inc.   438,776 
           
     TECHNOLOGY SERVICES - 1.7%     
 1,925   Automatic Data Processing, Inc.   448,467 
 1,026   Mastercard, Inc., Class A   437,599 
 1,128   Moody’s Corporation(c)   440,552 
 1,898   Verisk Analytics, Inc. (c)   453,356 
 1,732   Visa, Inc., Class A(c)   450,926 
         2,230,900 
     TRANSPORTATION & LOGISTICS - 0.6%     
 12,120   CSX Corporation   420,200 
 1,793   Union Pacific Corporation   440,397 
         860,597 
     WHOLESALE - CONSUMER STAPLES - 0.3%     
 5,960   Sysco Corporation   435,855 
           
     TOTAL COMMON STOCKS (Cost $12,393,185)   13,289,217 
           

See accompanying notes to financial statements.

6

 

QUANTIFIED MANAGED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 83.3%     
     EQUITY - 11.8%     
 280,802   Alerian MLP ETF(c)  $11,939,701 
 60,991   WisdomTree US LargeCap Dividend Fund   4,048,583 
         15,988,284 
     FIXED INCOME - 71.5%     
 223,562   Invesco Fundamental High Yield Corporate Bond ETF(c)   4,053,179 
 339,308   Invesco Preferred ETF(c)   3,891,863 
 800,672   Invesco Senior Loan ETF(c)   16,958,233 
 190,092   iShares 20+ Year Treasury Bond ETF   18,796,297 
 236,701   iShares Floating Rate Bond ETF   11,981,805 
 50,329   iShares iBoxx High Yield Corporate Bond ETF(c)   3,894,961 
 42,381   iShares MBS ETF   3,987,204 
 55,127   SPDR Bloomberg Convertible Securities ETF(c)   3,977,413 
 54,841   SPDR Bloomberg High Yield Bond ETF(c)   5,195,088 
 258,550   SPDR Nuveen Bloomberg Municipal Bond ETF(c)   12,151,850 
 150,575   Vanguard Long-Term Corporate Bond ETF(c)   12,068,586 
         96,956,479 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $111,760,741)   112,944,763 
           
     SHORT-TERM INVESTMENTS — 4.7%     
     MONEY MARKET FUNDS - 4.7%     
 3,075,033   Fidelity Money Market Government Portfolio Class I, 5.24%(b)   3,075,033 
 3,310,758   First American Government Obligations Fund, Class Z, 5.24%(b)   3,310,758 
     TOTAL MONEY MARKET FUNDS (Cost $6,385,791)   6,385,791 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $6,385,791)   6,385,791 
           
Units         
     COLLATERAL FOR SECURITIES LOANED — 31.7%     
 42,926,967   Mount Vernon Liquid Assets Portfolio, LLC, 5.61%(b),(d),(e),(f)   42,926,967 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $42,926,967)     
           

See accompanying notes to financial statements.

7

 

QUANTIFIED MANAGED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
       Fair Value 
     TOTAL INVESTMENTS — 129.5% (Cost $173,466,684)  $175,546,738 
     LIABILITIES IN EXCESS OF OTHER ASSETS — (29.5)%   (39,959,336)
     NET ASSETS - 100.0%  $135,587,402 
           
OPEN FUTURES CONTRACTS
Number of
Contracts		   Open Long Futures Contracts  Expiration  Notional
Amount		   Unrealized
Appreciation		 
 184   Ultra U.S. Treasury Bond Futures  03/19/2024  $24,581,250   $1,124,305 
     TOTAL FUTURES CONTRACTS             
                   
OPEN FUTURES CONTRACTS
Number of
Contracts		   Open Short Futures Contracts  Expiration  Notional
Amount		   Unrealized
(Depreciation)		 
 37   CME E-Mini Standard & Poor’s 500 Index Futures  03/15/2024  $8,917,000   $(43,300)
     TOTAL FUTURES CONTRACTS             
                   
ETF - Exchange-Traded Fund
   
REIT - Real Estate Investment Trust
   
SPDR - Standard & Poor’s Depositary Receipt
   
(a)Non-income producing security.

 

(b)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

(c)All or portion of the security is on loan. Total loaned securities had a value of $41,696,193 at December 31, 2023.

 

(d)Security purchased with cash proceeds of securities lending collateral.

 

(e)Investment is valued using net asset value per share as a practical expedient.

 

(f)See note 10.

 

See accompanying notes to financial statements.

8

 

Quantified Market Leaders Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmarks:

 

      Annualized
          Since Inception
  Six Months One Year Five Year Ten Year March 18, 2016
Quantified Market Leaders Fund - Investor Class 3.19% 15.02% 11.61% 7.11% N/A
Quantified Market Leaders Fund - Advisor Class 2.89% 14.46% 11.01% N/A 9.11%
Morningstar Aggressive Target Risk Index ** 7.52% 18.30% 10.72% 7.83% 9.70%
           
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023, was 1.50% for Investor Class and 2.11% for Advisor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The Morningstar Aggressive Target Risk Index is an index designed to meet the benchmarking needs of target risk investors by offering an objective yardstick for performance comparison. The index invests in 95% global equity exposure and 5% global bond exposure. Investors cannot invest directly in an index. Fund management has selected this index as the new primary index because it believes it aligns better with the Fund’s asset composition.

 

The Quantified Market Leaders Fund is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Quantified Market Leaders Fund or any member of the public regarding the advisability of investing in equities and bonds generally or in the the Quantified Market Leaders Fund in particular or the ability of The Morningstar Aggressive Target Risk Index to track general equities and bonds market performance.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment: ^  % of Net Assets 
Exchange-Traded Funds:     
Equity Funds   79.6%
Money Market Funds   13.7%
Collateral for Securities Loaned   14.8%
Liabilities in Excess of Other Assets   (8.1)%
    100.0%
      
^The Holdings by Type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

9

 

QUANTIFIED MARKET LEADERS FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 79.6%     
     EQUITY - 79.6%     
 1,162,671   Financial Select Sector SPDR Fund  $43,716,430 
 229,420   iShares Russell 2000 Value ETF(b)   35,635,809 
 153,846   iShares Russell Mid-Cap Value ETF   17,890,751 
 229,523   Technology Select Sector SPDR Fund(b)   44,178,587 
 486,150   Vanguard Financials ETF   44,852,198 
         186,273,775 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $179,281,540)   186,273,775 
           
     SHORT-TERM INVESTMENTS — 13.7%     
     MONEY MARKET FUNDS - 13.7%     
 16,011,461   Fidelity Money Market Government Portfolio Class I, 5.24%(a)   16,011,461 
 16,011,460   First American Government Obligations Fund, Class Z, 5.24%(a)   16,011,460 
     TOTAL MONEY MARKET FUNDS (Cost $32,022,921)   32,022,921 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $32,022,921)   32,022,921 
           
Units        
     COLLATERAL FOR SECURITIES LOANED — 14.8%     
 34,508,700   Mount Vernon Liquid Assets Portfolio, LLC, 5.61%(a),(d),(e)   34,508,700 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $34,508,700)     
           
     TOTAL INVESTMENTS — 108.1% (Cost $245,813,161)  $252,805,396 
     LIABILITIES IN EXCESS OF OTHER ASSETS — (8.1)%   (18,883,064)
     NET ASSETS - 100.0%  $233,922,332 
           
ETF - Exchange-Traded Fund
   
SPDR - Standard & Poor’s Depositary Receipt
   
(a)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

(b)All or portion of the security is on loan. Total loaned securities had a value of $33,440,881 at December 31, 2023.

 

(d)Security purchased with cash proceeds of securities lending collateral.

 

(e)Investment is valued using net asset value per share as a practical expedient.

 

See accompanying notes to financial statements.

10

 

QUANTIFIED MARKET LEADERS FUND
SCHEDULE OF INVESTMENTS (Unaudited)(Continued)
December 31, 2023
 

TOTAL RETURN SWAPS

 

Number of
Shares		   Reference Entity  Notional Amount at
December 31, 2023		   Interest Rate Payable (1)  Termination
Date		  Counterparty  Unrealized
Appreciation		 
Long Position:                  
 178,040   iShares Russell 1000 Growth ETF  $53,976,387   USD SOFR plus 35 bp  12/5/2024  BRC  $4,744,912 
 50,130   iShares Russell 1000 Growth ETF   15,197,912   USD SOFR plus 35 bp  1/9/2025  BRC   512,409 
 12,600   iShares Russell 1000 Growth ETF   3,819,942   USD SOFR plus 35 bp  1/16/2025  BRC   47,798 
 406,340   iShares Russell Mid-Cap Growth ETF   42,446,276   USD SOFR plus 35 bp  12/5/2024  BRC   5,475,481 
 103,680   iShares Russell Mid-Cap Growth ETF   10,830,413   USD SOFR plus 35 bp  1/9/2025  BRC   622,894 
 5,150   Technology Select Sector SPDR Fund   991,272   USD SOFR plus 35 bp  12/5/2024  BRC   97317 
 1,400   Technology Select Sector SPDR Fund   269,472   USD SOFR plus 35 bp  1/9/2025  BRC   10,091 
 71,340   Vanguard Information Technology ETF   34,528,560   USD SOFR plus 35 bp  12/5/2024  BRC   3,730,446 
 18,750   Vanguard Information Technology ETF   9,075,000   USD SOFR plus 35 bp  1/9/2025  BRC   375,972 
     Total:  $15,617,320 
                         
BRC - Barclays Capital
   
SOFR - Secured Overnight Financing Rate
   
(1)Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

See accompanying notes to financial statements.

11

 

Quantified Alternative Investment Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmark:

 

      Annualized
  Six       Since Inception
  Months One Year Five Year Ten Year March 18, 2016
Quantified Alternative Investment Fund - Investor Class 0.06% 2.40% 3.13% 1.59% N/A
Quantified Alternative Investment Fund - Advisor Class (0.17)% 1.86% 2.59% N/A 2.20%
S&P 500 Total Return Index ** 8.04% 26.29% 15.69% 12.03% 13.50%
           
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023, was 2.17% for Investor Class and 2.79% for Advisor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The S&P 500 Total Return Index is an unmanaged composite of 500 large capitalization companies and includes the reinvestment of dividends. This Index is widely used by professional investors as a performance benchmark for Large-Cap stocks. Investors may not invest in an index directly; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment: ^  % of Net Assets 
Exchange-Traded Funds:     
Alternative Fund   1.0%
Equity Funds   53.9%
Open-End Mutual Funds:     
Alternative Funds   25.8%
Equity Fund   2.8%
Mixed Allocation Fund   0.2%
Money Market Funds   20.1%
Collateral for Securities Loaned   3.6%
Liabilities in Excess of Other Assets   (7.4)%
    100.0%
      
^The Holdings by Type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

12

 

QUANTIFIED ALTERNATIVE INVESTMENT FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 54.9%     
     ALTERNATIVE - 1.0%     
 1,351   WisdomTree Managed Futures Strategy Fund  $47,380 
           
     EQUITY - 53.9%     
 664   ARK Autonomous Technology & Robotics ETF(a)   38,313 
 903   Direxion Work From Home ETF   49,243 
 2,165   Fidelity MSCI Consumer Discretionary Index ETF   170,905 
 405   Fidelity MSCI Financials Index ETF   21,688 
 1,814   Fidelity MSCI Industrials Index ETF   111,071 
 1,092   Financial Select Sector SPDR Fund   41,059 
 205   First Trust Cloud Computing ETF(a)   17,972 
 428   First Trust Industrials/Producer Durables AlphaDEX   27,760 
 128   First Trust MultiCap Growth AlphaDEX Fund   14,369 
 1,863   First Trust NASDAQ Cybersecurity ETF   100,304 
 5,762   Global X Artificial Intelligence & Technology ETF(c)   179,659 
 2,171   Invesco DWA Financial Momentum ETF   97,630 
 245   Invesco ETF Trust Invesco Dorsey Wright   29,015 
 1,669   Invesco KBW Property & Casualty ETF   151,061 
 1,668   Invesco Leisure & Entertainment ETF(b)   69,939 
 639   Invesco S&P 500 GARP ETF   62,648 
 1,991   Invesco S&P 500 Quality ETF   107,673 
 958   iShares Global Equity Factor ETF   36,280 
 740   iShares Global Industrials ETF(c)   94,298 
 1,858   iShares Global Tech ETF   126,678 
 89   iShares U.S. Broker-Dealers & Securities Exchanges ETF   9,659 
 993   iShares U.S. Industrials ETF   113,559 
 5,133   iShares U.S. Tech Independence Focused ETF   320,145 
 118   SPDR S&P Capital Markets ETF   12,034 
 684   Technology Select Sector SPDR Fund   131,656 
 8,335   VanEck BDC Income ETF   133,693 
 144   Vanguard Financials ETF   13,285 
 466   Vanguard Industrials ETF   102,720 
 6,266   WisdomTree International Hedged Quality Dividend Growth Fund   263,109 
         2,647,425 
           

See accompanying notes to financial statements.

13

 

QUANTIFIED ALTERNATIVE INVESTMENT FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 54.9% (Continued)     
     EQUITY – 53.9% (Continued)     
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $2,614,385)  $2,694,805 
           
     OPEN-END MUTUAL FUNDS — 28.8%     
     ALTERNATIVE - 25.8%     
 1,351   AlphaCentric Premium Opportunity Fund, Class I(a)   36,234 
 13,694   AQR Alternative Risk Premia Fund, Class I(a)   132,558 
 26,275   AQR Equity Market Neutral Fund, Class I   222,023 
 16,340   AQR Managed Futures Strategy Fund, Class I   133,172 
 18,190   Boston Partners Global Long/Short Fund, Investor Class   275,763 
 12,140   FS Multi-Strategy Alternatives Fund, Class I   132,447 
 24,340   GuideStone Strategic Alternatives Fund, Investor Class   222,708 
 11,645   Invesco Macro Allocation Strategy Fund, Class Y(a)   87,567 
 514   Meeder Spectrum Fund, Institutional Class   6,512 
 1,928   PIMCO TRENDS Managed Futures Strategy Fund, Institutional Class   20,726 
         1,269,710 
     EQUITY - 2.8%     
 8,063   Rational Tactical Return Fund, Institutional Class   136,340 
           
     MIXED ALLOCATION - 0.2%     
 647   Glenmede Secured Options Portfolio(a)   8,741 
           
           
     TOTAL OPEN-END MUTUAL FUNDS (Cost $1,490,714)   1,414,791 
           
     SHORT-TERM INVESTMENTS — 20.1%     
     MONEY MARKET FUNDS - 20.1%     
 492,788   Fidelity Money Market Government Portfolio Class I, 5.24%(b)   492,788 
 494,561   First American Government Obligations Fund, Class Z, 5.24%(b)   494,561 
     TOTAL MONEY MARKET FUNDS (Cost $987,349)   987,349 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $987,349)   987,349 
           

See accompanying notes to financial statements.

14

 

QUANTIFIED ALTERNATIVE INVESTMENT FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Units      Fair Value 
     COLLATERAL FOR SECURITIES LOANED — 3.6%     
 176,225   Mount Vernon Liquid Assets Portfolio, LLC, 5.61%(b),(d),(e)  $176,225 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $176,225)     
           
     TOTAL INVESTMENTS — 107.4% (Cost $5,268,673)  $5,273,170 
     LIABILITIES IN EXCESS OF OTHER ASSETS — (7.4)%   (364,134)
     NET ASSETS - 100.0%  $4,909,036 
           
OPEN FUTURES CONTRACTS
Number of
Contracts		   Open Long Futures Contracts  Expiration  Notional
Amount		   Unrealized
Appreciation		 
 1   CME E-Mini NASDAQ 100 Index Futures  03/15/2024  $340,470   $11,502 
 4   Ultra U.S. Treasury Bond Futures  03/19/2024   534,375    25,625 
     TOTAL FUTURES CONTRACTS          $37,127 
                   
ETF - Exchange-Traded Fund
   
MSCI - Morgan Stanley Capital International
   
SPDR - Standard & Poor’s Depositary Receipt
   
(a)Non-income producing security.

 

(b)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

(c)All or portion of the security is on loan. Total loaned securities had a value of $171,761 at December 31, 2023.

 

(d)Security purchased with cash proceeds of securities lending collateral.

 

(e)Investment is valued using net asset value per share as a practical expedient.

 

See accompanying notes to financial statements.

15

 

Quantified STF Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmark:

 

      Annualized
        Since Inception
  Six Months One Year Five Year November 13, 2015
Quantified STF Fund - Investor Class 10.34% 61.85% 18.35% 14.74%
Quantified STF Fund - Advisor Class 9.98% 60.81% 17.62% 14.09%
Nasdaq 100 Total Return Index ** 11.32% 55.13% 22.66% 18.76%
         
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023, was 1.66% for Investor Class and 2.26% for Advisor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The Nasdaq 100 Total Return Index includes 100 of the largest domestic and international non-financial companies listed on the NASDAQ Stock Market based on market capitalization. The index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology. Index composition is reviewed on an annual basis in December. Investors may not invest in an index directly; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment: ^  % of Net Assets 
Certificate of Deposit:   8.3%
Corporate Bonds   13.0%
Exchange-Traded Fund:     
Equity Fund   0.1%
U.S. Government & Agencies   2.3%
Money Market Funds   50.6%
Other Assets in Excess of Liabilities   25.7%
    100.0%
      
^The Holdings by Type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

16

 

QUANTIFIED STF FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUND — 0.1%     
     EQUITY - 0.1%     
 350   Invesco QQQ Trust Series 1  $143,332 
           
     TOTAL EXCHANGE-TRADED FUND (Cost $143,870)   143,332 
           
Principal      Coupon Rate       
Amount ($)      (%)  Maturity    
     CORPORATE BONDS — 13.0%           
     AUTOMOTIVE — 0.6%           
 1,000,000   Toyota Motor Credit Corporation  0.5000  06/18/24   977,137 
                 
     BANKING — 1.7%           
 1,000,000   Canadian Imperial Bank of Commerce  3.1000  04/02/24   993,722 
 1,000,000   Mitsubishi UFJ Financial Group, Inc.  3.4070  03/07/24   995,991 
 1,000,000   PNC Financial Services Group, Inc.  3.9000  04/29/24   994,409 
               2,984,122 
     DIVERSIFIED INDUSTRIALS — 0.5%           
 1,000,000   General Electric Company  3.4500  05/15/24   991,561 
                 
     ELECTRIC UTILITIES — 1.1%           
 1,000,000   Enel Generacion Chile S.A.  4.2500  04/15/24   995,182 
 1,000,000   WEC Energy Group, Inc.  0.8000  03/15/24   989,923 
               1,985,105 
     GAS & WATER UTILITIES — 0.5%           
 1,000,000   Thomson Reuters Corporation  3.8500  09/29/24   985,364 
                 
     INSTITUTIONAL FINANCIAL SERVICES — 1.3%           
 1,000,000   Bank of New York Mellon Corporation  0.5000  04/26/24   984,282 
 266,000   Brookfield Finance, Inc.  4.0000  04/01/24   264,809 
 1,000,000   Goldman Sachs Group, Inc.  0.8000  03/25/24   984,065 
               2,233,156 
     MACHINERY — 0.5%           
 1,000,000   Parker-Hannifin Corporation  2.7000  06/14/24   987,176 
                 

See accompanying notes to financial statements.

17

 

QUANTIFIED STF FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     CORPORATE BONDS — 13.0% (Continued)           
     MEDICAL EQUIPMENT & DEVICES — 0.6%           
 1,000,000   Becton Dickinson and Company  3.3630  06/06/24  $990,620 
                 
     OIL & GAS SERVICES & EQUIPMENT — 0.6%           
 1,000,000   Schlumberger Holdings Corporation(b)  3.7500  05/01/24   993,046 
                 
     REAL ESTATE INVESTMENT TRUSTS — 0.6%           
 1,000,000   Welltower OP, LLC  3.6250  03/15/24   993,414 
                 
     RETAIL - CONSUMER STAPLES — 0.6%           
 1,000,000   7-Eleven, Inc.(b)  0.8000  02/10/24   994,398 
                 
     SPECIALTY FINANCE — 1.1%           
 2,000,000   Federal National Mortgage Association  5.2500  02/17/26   2,002,157 
                 
     TECHNOLOGY HARDWARE — 1.1%           
 1,000,000   Apple, Inc.  3.0000  02/09/24   997,093 
 1,000,000   Hewlett Packard Enterprise Company  1.4500  04/01/24   989,194 
               1,986,287 
     TECHNOLOGY SERVICES — 0.6%           
 1,000,000   International Business Machines Corporation  3.0000  05/15/24   991,173 
                 
     TELECOMMUNICATIONS — 0.5%           
 1,000,000   Verizon Communications, Inc.  0.7500  03/22/24   989,343 
                 
     TRANSPORTATION & LOGISTICS — 1.1%           
 1,000,000   Ryder System, Inc.  3.6500  03/18/24   995,265 
 1,000,000   Union Pacific Corporation  3.6460  02/15/24   997,338 
               1,992,603 
     TOTAL CORPORATE BONDS (Cost $23,345,190)         23,076,662 
                 

See accompanying notes to financial statements.

18

 

QUANTIFIED STF FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     U.S. GOVERNMENT & AGENCIES — 2.3% (Continued)           
     GOVERNMENT OWNED, NO GUARANTEE — 1.2%           
 2,000,000   Federal Home Loan Mortgage Corporation  5.6250  03/13/26  $1,996,272 
                 
     GOVERNMENT SPONSORED — 1.1%           
 2,000,000   Federal Home Loan Banks  5.3000  08/15/25   1,993,697 
                 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $4,000,000)     3,989,969 
                 
     CERTIFICATE OF DEPOSIT — 8.3%           
     AUTOMOTIVE - 0.6%           
 1,000,000   BMW Bank of North America  0.5500  07/30/24   974,122 
                 
     BANKING - 7.7%           
 1,000,000   Bellco Credit Union  5.1500  02/24/25   1,000,700 
 1,000,000   Burke & Herbert Bank & Trust Company  4.6000  02/06/26   994,493 
 1,000,000   Charles Schwab Bank SSB  4.7500  02/02/24   999,448 
 1,000,000   Goldman Sachs Bank USA  0.5500  07/29/24   974,277 
 1,000,000   Greenstate Credit Union  0.5000  07/19/24   975,080 
 1,000,000   Local Government Federal Credit Union  4.9000  02/12/24   999,457 
 1,000,000   Sallie Mae Bank  0.5500  07/22/24   974,574 
 1,000,000   State Bank of India  0.6000  08/30/24   970,657 
 1,000,000   Synchrony Bank  0.6500  09/17/24   969,034 
 1,000,000   Texas Exchange Bank SSB  0.5000  07/09/24   976,256 
 1,000,000   Toyota Financial Savings Bank  0.5500  08/05/24   973,382 
 1,000,000   UBS Bank USA  0.5500  08/12/24   972,429 
 1,000,000   Valley Strong Credit Union  5.1000  02/10/25   999,973 
 1,000,000   Wells Fargo Bank NA  4.7500  02/06/24   999,382 
               13,779,142 
                 
     TOTAL CERTIFICATE OF DEPOSIT (Cost $14,999,368)   14,753,264 
                 

See accompanying notes to financial statements.

19

 

QUANTIFIED STF FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 50.6%     
     MONEY MARKET FUNDS – 50.6%     
 45,333,083   Fidelity Money Market Government Portfolio Class I, 5.24%(a)(c)  $45,333,083 
 44,183,908   First American Government Obligations Fund, Class Z, 5.24%(a)(c)   44,183,908 
     TOTAL MONEY MARKET FUNDS (Cost $89,516,991)   89,516,991 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $89,516,991)   89,516,991 
           
     TOTAL INVESTMENTS - 74.3% (Cost $132,005,419)  $131,480,218 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 25.7%   45,492,539 
     NET ASSETS - 100.0%  $176,972,757 
           
OPEN FUTURES CONTRACTS
Number of
Contracts		   Open Long Futures Contracts  Expiration  Notional
Amount		   Unrealized
Appreciation		 
 1,039   CME E-Mini NASDAQ 100 Index Futures  03/15/2024  $353,748,330   $11,122,202 
     TOTAL FUTURES CONTRACTS             
                   
LLC - Limited Liability Company
   
REIT - Real Estate Investment Trust
   
S/A - Société Anonyme
   
(a)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

(b)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of December 31, 2023, the total market value of 144A securities is $1,987,444 or 1.1% of net assets.

 

(c)See note 10.

 

See accompanying notes to financial statements.

20

 

Quantified Pattern Recognition Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the period ended December 31, 2023, as compared to its benchmark:

 

      Annualized
      Since Inception
  Six Months One Year August 30, 2019
Quantified Pattern Recognition Fund - Investor Class (6.92)% 13.85% 7.71%
S&P 500 Total Return Index ** 8.04% 26.29% 13.79%
50/50 S&P 500/Bloomberg Barclays U.S. Aggregate Bond *** 5.72% 15.58% 6.64%
       
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023, was 1.75% for Investor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The S&P 500 Total Return Index is an unmanaged composite of 500 large capitalization companies and includes the reinvestment of dividends. This Index is widely used by professional investors as a performance benchmark for Large-Cap stocks. Investors may not invest in an index directly; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

***The S&P 500 is a market capitalization-weighted index of 500 widely held common stocks. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged market index representative of the U.S. taxable fixed income securities. Investors cannot invest directly in an index.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment ^:  % of Net Assets 
Certificate of Deposit:   18.4%
Corporate Bond   3.7%
Exchange-Traded Funds:     
Equity Fund   0.3%
U.S. Government & Agencies   7.4%
Money Market Funds   56.3%
Other Assets In Excess of Liabilities   13.9%
    100.0%
      
^The Holdings by type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

21

 

QUANTIFIED PATTERN RECOGNITION FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUND — 0.3%     
     EQUITY - 0.3%     
 150   SPDR S&P 500 ETF Trust  $71,297 
           
     TOTAL EXCHANGE-TRADED FUND (Cost $71,576)   71,297 
           
Principal      Coupon Rate       
Amount ($)      (%)  Maturity    
     CORPORATE BOND — 3.7%           
     SPECIALTY FINANCE — 3.7%           
 1,000,000   Federal National Mortgage Association  5.2500  02/17/26   1,001,078 
                 
     TOTAL CORPORATE BOND (Cost $1,000,000)         1,001,078 
                 
     U.S. GOVERNMENT & AGENCIES — 7.4%           
     GOVERNMENT OWNED, NO GUARANTEE — 3.7%           
 1,000,000   Federal Home Loan Mortgage Corporation  5.3000  02/17/26   997,260 
                 
     GOVERNMENT SPONSORED — 3.7%           
 1,000,000   Federal Home Loan Banks  5.6250  03/09/26   998,873 
                 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,000,000)     1,996,133 
                 
     CERTIFICATE OF DEPOSIT — 18.4%           
     BANKING - 18.4%           
 1,000,000   Charles Schwab Bank SSB  4.7500  02/02/24   999,448 
 1,000,000   Connexus Credit Union  5.5000  06/28/24   1,001,593 
 1,000,000   Local Government Federal Credit Union  4.9000  02/12/24   999,457 
 1,000,000   Valley Strong Credit Union  5.1000  02/10/25   999,973 
 1,000,000   Wells Fargo Bank NA  4.7500  02/06/24   999,382 
     TOTAL CERTIFICATE OF DEPOSIT (Cost $5,000,000)         4,999,853 
                 

See accompanying notes to financial statements.

22

 

QUANTIFIED PATTERN RECOGNITION FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 56.3%     
     MONEY MARKET FUNDS – 56.3%     
 7,265,254   Fidelity Money Market Government Portfolio Class I, 5.24%(a)(b)  $7,265,254 
 7,978,329   First American Government Obligations Fund, Class Z, 5.24%(a)(b)   7,978,329 
     TOTAL MONEY MARKET FUNDS (Cost $15,243,583)   15,243,583 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $15,243,583)   15,243,583 
           
     TOTAL INVESTMENTS — 86.1% (Cost $23,315,159)  $23,311,944 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 13.9%   3,767,434 
     NET ASSETS - 100.0%  $27,079,378 
           
OPEN FUTURES CONTRACTS
Number of
Contracts		   Open Short Futures Contracts  Expiration  Notional
Amount		   Unrealized
Appreciation		 
 135   CME E-Mini Standard & Poor’s 500 Index Futures  03/15/2024  $32,535,000   $23,988 
     TOTAL FUTURES CONTRACTS             
                   
ETF - Exchange-Traded Fund
   
SPDR - Standard & Poor’s Depositary Receipt
   
(a)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

(b)See note 10.

 

See accompanying notes to financial statements.

23

 

Quantified Tactical Fixed Income Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmark:

 

      Annualized Since Inception
  Six Months One Year September 13, 2019
Quantified Tactical Fixed Income Fund - Investor Class (5.36)% (6.54)% (5.59)%
Bloomberg U.S. Aggregate Bond Index ** 3.37% 5.53% (0.33)%
       
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023, was 1.65% for Investor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The Bloomberg U.S. Aggregate Bond Index is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including government, government agency, corporate and mortgage-backed securities. Investors cannot invest directly in an index; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment: ^  % of Net Assets 
Certificate of Deposit   22.9%
Corporate Bonds   38.0%
Exchange-Traded Fund:     
Fixed Income   0.2%
U.S. Government & Agencies   6.6%
Money Market Funds   8.1%
Collateral For Securities Loaned   2.3%
Other Assets in Excess of Liabilities   21.9%
    100.0%
      
^The Holdings by Type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

24

 

QUANTIFIED TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUND — 0.2%     
     FIXED INCOME - 0.2%     
 1,300   iShares 20+ Year Treasury Bond ETF  $128,544 
           
     TOTAL EXCHANGE-TRADED FUND (Cost $128,811)   128,544 
           
Principal      Coupon Rate       
Amount ($)      (%)  Maturity    
     CORPORATE BONDS — 38.0%           
     AUTOMOTIVE — 1.6%           
 1,000,000   Toyota Motor Credit Corporation  0.5000  06/18/24   977,138 
                 
     BANKING — 3.3%           
 1,000,000   Mitsubishi UFJ Financial Group, Inc.  3.4070  03/07/24   995,991 
 1,000,000   PNC Financial Services Group, Inc.  3.9000  04/29/24   994,409 
               1,990,400 
     DIVERSIFIED INDUSTRIALS — 1.7%           
 1,000,000   General Electric Company  3.4500  05/15/24   991,561 
                 
     ELECTRIC UTILITIES — 3.3%           
 1,000,000   Enel Generacion Chile S.A.  4.2500  04/15/24   995,182 
 1,000,000   WEC Energy Group, Inc.  0.8000  03/15/24   989,923 
               1,985,105 
     ENTERTAINMENT CONTENT — 1.8%           
 1,000,000   Walt Disney Company  7.7500  01/20/24   1,000,722 
                 
     GAS & WATER UTILITIES — 1.6%           
 1,000,000   Thomson Reuters Corporation  3.8500  09/29/24   985,364 
                 
     INSTITUTIONAL FINANCIAL SERVICES — 1.6%           
 1,000,000   Bank of New York Mellon Corporation  0.5000  04/26/24   984,282 
                 
     MACHINERY — 1.6%           
 1,000,000   Parker-Hannifin Corporation  2.7000  06/14/24   987,176 
                 

See accompanying notes to financial statements.

25

 

QUANTIFIED TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     CORPORATE BONDS — 38.0% (Continued)           
     MEDICAL EQUIPMENT & DEVICES — 1.7%           
 1,000,000   Becton Dickinson and Company  3.3630  06/06/24  $990,620 
                 
     OIL & GAS SERVICES & EQUIPMENT — 1.7%           
 1,000,000   Schlumberger Holdings Corporation(b)  3.7500  05/01/24   993,046 
                 
     REAL ESTATE INVESTMENT TRUSTS — 3.3%           
 1,000,000   Ventas Realty, L.P. (c)  3.5000  04/15/24   992,537 
 1,000,000   Welltower OP, LLC  3.6250  03/15/24   993,414 
               1,985,951 
     RETAIL - CONSUMER STAPLES — 1.7%           
 1,000,000   7-Eleven, Inc.(b)  0.8000  02/10/24   994,398 
                 
     SPECIALTY FINANCE — 3.3%           
 2,000,000   Federal National Mortgage Association  5.2500  02/17/26   2,002,157 
                 
     TECHNOLOGY HARDWARE — 3.3%           
 1,000,000   Apple, Inc.  3.0000  02/09/24   997,093 
 1,000,000   Hewlett Packard Enterprise Company(c)  1.4500  04/01/24   989,194 
               1,986,287 
     TECHNOLOGY SERVICES — 1.6%           
 1,000,000   International Business Machines Corporation  3.0000  05/15/24   991,173 
                 
     TELECOMMUNICATIONS — 1.6%           
 1,000,000   Verizon Communications, Inc.  0.7500  03/22/24   989,343 
                 
     TRANSPORTATION & LOGISTICS — 3.3%           
 1,000,000   Ryder System, Inc.  3.6500  03/18/24   995,265 
 1,000,000   Union Pacific Corporation  3.6460  02/15/24   997,339 
               1,992,604 
                 
     TOTAL CORPORATE BONDS (Cost $23,082,281)         22,827,326 
                 

See accompanying notes to financial statements.

26

 

QUANTIFIED TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     U.S. GOVERNMENT & AGENCIES — 6.6%           
     GOVERNMENT OWNED, NO GUARANTEE — 3.3%           
 2,000,000   Federal Home Loan Mortgage Corporation  5.6250  03/13/26  $1,996,272 
                 
     GOVERNMENT SPONSORED — 3.3%           
 2,000,000   Federal Home Loan Banks  5.3000  08/15/25   1,993,697 
                 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $4,000,000)     3,989,969 
                 
     CERTIFICATE OF DEPOSIT — 22.9%           
     AUTOMOTIVE - 1.6%           
 1,000,000   BMW Bank of North America  0.5500  07/30/24   974,122 
                 
     BANKING - 21.3%           
 1,000,000   Bellco Credit Union  5.1500  02/24/25   1,000,701 
 1,000,000   Charles Schwab Bank SSB  4.7500  02/02/24   999,448 
 1,000,000   Goldman Sachs Bank USA  0.5500  07/29/24   974,278 
 1,000,000   Greenstate Credit Union  0.5000  07/19/24   975,080 
 1,000,000   Local Government Federal Credit Union  4.9000  02/12/24   999,457 
 1,000,000   Sallie Mae Bank  0.5500  07/22/24   974,574 
 1,000,000   State Bank of India  0.6000  08/30/24   970,657 
 1,000,000   Synchrony Bank  0.6500  09/17/24   969,034 
 1,000,000   Texas Exchange Bank SSB  0.5000  07/09/24   976,256 
 1,000,000   Toyota Financial Savings Bank  0.5500  08/05/24   973,382 
 1,000,000   UBS Bank USA  0.5500  08/12/24   972,429 
 1,000,000   Valley Strong Credit Union  5.1000  02/10/25   999,973 
 1,000,000   Wells Fargo Bank NA  4.7500  02/06/24   999,382 
               12,784,650 
                 
     TOTAL CERTIFICATE OF DEPOSIT (Cost $13,999,368)     13,758,772 
                 

See accompanying notes to financial statements.

27

 

QUANTIFIED TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 8.1%     
     MONEY MARKET FUNDS - 8.1%     
 2,822,642   Fidelity Money Market Government Portfolio Class I, 5.24%(a)  $2,822,642 
 2,002,142   First American Government Obligations Fund, Class Z, 5.24%(a)   2,002,142 
     TOTAL MONEY MARKET FUNDS (Cost $4,824,784)   4,824,784 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $4,824,784)   4,824,784 
           
Units        
     COLLATERAL FOR SECURITIES LOANED — 2.3%     
 1,399,440   Mount Vernon Liquid Assets Portfolio, LLC, 5.61%(a),(d),(e)   1,399,440 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $1,399,440)     
           
     TOTAL INVESTMENTS — 78.1% (Cost $47,434,684)  $46,928,835 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 21.9%   13,184,297 
     NET ASSETS - 100.0%  $60,113,132 
           
OPEN FUTURES CONTRACTS
Number of
Contracts		   Open Short Futures Contracts  Expiration  Notional
Amount		   Unrealized
(Depreciation)		 
 150   Ultra U.S. Treasury Bond Futures  03/19/2024  $20,039,063   $(76,568)
     TOTAL FUTURES CONTRACTS             
                   
ETF - Exchange-Traded Fund
   
LLC - Limited Liability Company
   
LP - Limited Partnership
   
REIT - Real Estate Investment Trust
   
S/A - Société Anonyme
   
(a)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

(b)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of December 31, 2023, the total market value of 144A securities is $1,987,444 or 3.3% of net assets.

 

(c)All or portion of the security is on loan. Total loaned securities had a value of $1,364,579 at December 31, 2023.

 

(d)Security purchased with cash proceeds of securities lending collateral.

 

(e)Investment is valued using net asset value per share as a practical expedient.

 

See accompanying notes to financial statements.

28

 

QUANTIFIED TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 

TOTAL RETURN SWAPS

 

Number of
Shares		   Reference Entity  Notional Amount at
December 31, 2023		   Interest Rate Payable (1)  Termination
Date		  Counterparty  Unrealized
Appreciation
(Depreciation)		 
Long Position:               
 57,700   iShares iBoxx $ High Yield Corporate Bond ETF  $4,465,403   USD SOFR plus 35 bp  1/9/2025  BRC  $104,728 
 1,500   iShares iBoxx $ High Yield Corporate Bond ETF   116,085   USD SOFR plus 35 bp  1/16/2025  BRC   135 
 100   iShares iBoxx $ High Yield Corporate Bond ETF   7,739   USD SOFR plus 35 bp  1/27/2025  BRC   (63)
 200   iShares iBoxx $ High Yield Corporate Bond ETF   15,478   USD SOFR plus 35 bp  1/30/2025  BRC   (15,505)
 47,900   PIMCO 0-5 Year High Yield Corporate Bond ETF   4,458,532   USD SOFR plus 35 bp  1/9/2025  BRC   106,442 
 1,100   PIMCO 0-5 Year High Yield Corporate Bond ETF   102,388   USD SOFR plus 35 bp  1/16/2025  BRC   66 
 100   PIMCO 0-5 Year High Yield Corporate Bond ETF   9,308   USD SOFR plus 35 bp  1/27/2025  BRC   (59)
 400   PIMCO 0-5 Year High Yield Corporate Bond ETF   37,232   USD SOFR plus 35 bp  1/30/2025  BRC   (89)
 47,500   SPDR Bloomberg High Yield Bond ETF   4,499,675   USD SOFR plus 35 bp  1/9/2025  BRC   83,343 
 900   SPDR Bloomberg High Yield Bond ETF   85,257   USD SOFR plus 35 bp  1/16/2025  BRC   184 
 100   SPDR Bloomberg High Yield Bond ETF   9,473   USD SOFR plus 35 bp  1/27/2025  BRC   (78)
 100   SPDR Bloomberg High Yield Bond ETF   9,473   USD SOFR plus 35 bp  1/30/2025  BRC   (9,489)
     Total:  $269,615 
                         
BRC - Barclays Capital
   
SOFR - Secured Overnight Financing Rate
   
(1)Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

See accompanying notes to financial statements.

29

 

Quantified Evolution Plus Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmark:

 

      Annualized Since Inception
  Six Months One Year September 30, 2019
Quantified Evolution Plus Fund - Investor Class (2.51)% 1.01% (3.86)%
S&P 500 Total Return Index ** 8.04% 26.29% 13.59%
       
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023, was 1.73% for Investor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The S&P 500 Total Return Index is an unmanaged composite of 500 large capitalization companies and includes the reinvestment of dividends. This index is widely used by professional investors as a performance benchmark for large-cap stocks. Investors may not invest in an index directly; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment: ^  % of Net Assets 
Certificate of Deposit   28.1%
Corporate Bond   7.0%
Exchange-Traded Funds:     
Equity   3.0%
Fixed Income   0.3%
U.S. Government & Agencies   14.0%
Money Market Funds   23.0%
Collateral For Securities Loaned   0.2%
Other Assets in Excess of Liabilities   24.4%
    100.0%
      
^The Holdings by Type of Investment detail does not include derivative exposure.

 

Please refer to the Consolidated Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

30

 

QUANTIFIED EVOLUTION PLUS FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 3.3%     
     EQUITY - 3.0%     
 800   Invesco QQQ Trust Series 1(c)  $327,616 
 200   SPDR S&P 500 ETF Trust   95,062 
         422,678 
     FIXED INCOME - 0.3%     
 450   iShares 20+ Year Treasury Bond ETF   44,496 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $467,967)   467,174 
           
Principal      Coupon Rate       
Amount ($)      (%)  Maturity    
     CORPORATE BOND — 7.0%           
     SPECIALTY FINANCE — 7.0%           
 1,000,000   Federal National Mortgage Association  5.2500  02/17/26   1,001,078 
                 
     TOTAL CORPORATE BOND (Cost $1,000,000)         1,001,078 
                 
     U.S. GOVERNMENT & AGENCIES — 14.0%           
     GOVERNMENT OWNED, NO GUARANTEE — 7.0%           
 1,000,000   Federal Home Loan Mortgage Corporation  5.3000  02/17/26   997,260 
                 
     GOVERNMENT SPONSORED — 7.0%           
 1,000,000   Federal Home Loan Banks  5.6250  03/09/26   998,873 
                 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,000,000)         1,996,133 
                 
     CERTIFICATE OF DEPOSIT — 28.1%           
     BANKING - 28.1%           
 1,000,000   Charles Schwab Bank SSB  4.7500  02/02/24   999,448 
 1,000,000   Local Government Federal Credit Union  4.9000  02/12/24   999,457 
 1,000,000   Valley Strong Credit Union  5.1000  02/10/25   999,974 
 1,000,000   Wells Fargo Bank NA  4.7500  02/06/24   999,382 
               3,998,261 
                 
     TOTAL CERTIFICATE OF DEPOSIT (Cost $4,000,000)         3,998,261 
                 

See accompanying notes to consolidated financial statements.

31

 

QUANTIFIED EVOLUTION PLUS FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 23.0%     
     MONEY MARKET FUNDS - 23.0%     
 1,412,987   Fidelity Money Market Government Portfolio Class I, 5.24%(a)  $1,412,987 
 452,868   First American Government Obligations Fund, Class X, 5.28%(a)(b)   452,868 
 1,412,987   First American Government Obligations Fund Class Z, 5.24%(a)   1,412,987 
     TOTAL MONEY MARKET FUNDS (Cost $3,278,842)   3,278,842 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $3,278,842)   3,278,842 
           
Units        
     COLLATERAL FOR SECURITIES LOANED — 0.2%     
 20,568   Mount Vernon Liquid Assets Portfolio, LLC, 5.61%(a),(d),(e)   20,568 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $20,568)     
           
     TOTAL INVESTMENTS - 75.6% (Cost $10,767,377)  $10,762,056 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 24.4%   3,468,113 
     NET ASSETS - 100.0%  $14,230,169 
           
OPEN FUTURES CONTRACTS
Number of
Contracts		   Open Long Futures Contracts  Expiration  Notional
Amount		   Unrealized
Appreciation		 
 4   CME E-Mini NASDAQ 100 Index Futures  03/15/2024  $1,361,880   $32,656 
 29   CME E-Mini Standard & Poor’s 500 Index Futures  03/15/2024   6,989,000    125,487 
 72   Ultra U.S. Treasury Bond Futures  03/19/2024   9,618,750    66,372 
     TOTAL FUTURES CONTRACTS          $224,515 
                   
ETF - Exchange-Traded Fund
   
SPDR - Standard & Poor’s Depositary Receipt
   
(a)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

(b)All or a portion of this investment is a holding of the QEPF Fund Limited.

 

(c)All or portion of the security is on loan. Total loaned securities had a value of $20,066 at December 31, 2023.

 

(d)Security purchased with cash proceeds of securities lending collateral.

 

(e)Investment is valued using net asset value per share as a practical expedient.

 

See accompanying notes to consolidated financial statements.

32

 

QUANTIFIED EVOLUTION PLUS FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 

TOTAL RETURN SWAPS

 

Number of Shares   Reference Entity  Notional Amount at
December 31, 2023		   Interest Rate Payable (1)  Termination
Date		  Counterparty  Unrealized
Appreciation
(Depreciation)		 
Long Position:        
 42,300   Vanguard FTSE Europe ETF  $2,727,504   USD SOFR plus 35 bp  12/26/2024  BRC  $142,144 
 700   Vanguard FTSE Europe ETF   45,136   USD SOFR plus 35 bp  12/30/2024  BRC   (24)
 6,300   Vanguard FTSE Europe ETF   406,224   USD SOFR plus 35 bp  1/2/2025  BRC   17,832 
 1,100   Vanguard FTSE Europe ETF   70,928   USD SOFR plus 35 bp  1/3/2025  BRC   3,128 
 71,100   Vanguard FTSE Europe ETF   4,584,528   USD SOFR plus 35 bp  1/16/2025  BRC   79,301 
 1,400   Vanguard FTSE Europe ETF   90,272   USD SOFR plus 35 bp  1/23/2025  BRC   396 
 1,100   Vanguard FTSE Europe ETF   70,928   USD SOFR plus 35 bp  1/27/2025  BRC   (422)
 700   Vanguard FTSE Europe ETF   45,136   USD SOFR plus 35 bp  1/30/2025  BRC   2,023 
 2,700   Vanguard FTSE Europe ETF   174,096   USD SOFR plus 35 bp  12/27/2025  BRC   8,748 
     Total:  $253,126 
                         
BRC - Barclays Capital
   
SOFR - Secured Overnight Financing Rate
   
(1)Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

See accompanying notes to consolidated financial statements.

33

 

Quantified Common Ground Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmark:

 

      Annualized Since Inception
  Six Months One Year December 27, 2019
Quantified Common Ground Fund - Investor Class 8.78% 14.74% 11.14%
S&P Composite 1500 Total Return Index ** 8.02% 25.47% 11.70%
       
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023, was 1.80% for Investor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The S&P Composite 1500® Total Return Index combines three leading indices, the S&P 500® Total Return Index, the S&P MidCap 400®, and the S&P SmallCap 600®, to cover approximately 90% of U.S. market capitalization. It is designed for investors seeking to replicate the performance of the U.S. equity market or benchmark against a representative universe of tradable stocks. Investors cannot invest directly in an index; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment ^:  % of Net Assets 
Common Stocks   94.6%
Money Market Funds   6.3%
Collateral For Securities Loaned   14.5%
Liabilities in Excess of Other Assets   (15.4)%
    100.0%
      
^The Holdings by type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

34

 

QUANTIFIED COMMON GROUND FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     COMMON STOCKS — 94.6%     
     APPAREL & TEXTILE PRODUCTS - 1.6%     
 3,370   Deckers Outdoor Corporation(a)  $2,252,609 
           
     ASSET MANAGEMENT - 1.6%     
 68,338   Federated Hermes, Inc.   2,313,925 
           
     AUTOMOTIVE - 3.5%     
 19,849   Lear Corporation   2,802,878 
 17,456   Visteon Corporation(a)   2,180,254 
         4,983,132 
     BANKING - 0.9%     
 23,271   Customers Bancorp, Inc.(a)   1,340,875 
           
     BIOTECH & PHARMA - 5.7%     
 139,395   Certara, Inc.(a),(c)   2,451,958 
 141,405   Exelixis, Inc.(a)   3,392,306 
 39,477   Prestige Consumer Healthcare, Inc.(a)   2,416,782 
         8,261,046 
     CHEMICALS - 1.4%     
 13,593   Albemarle Corporation(c)   1,963,917 
           
     COMMERCIAL SUPPORT SERVICES - 1.6%     
 14,193   Republic Services, Inc.   2,340,568 
           
     ELECTRIC UTILITIES - 4.3%     
 62,358   PNM Resources, Inc.   2,594,093 
 93,138   Vistra Corporation   3,587,676 
         6,181,769 
     ENGINEERING & CONSTRUCTION - 1.4%     
 5,227   TopBuild Corporation(a)   1,956,257 
           
     HEALTH CARE FACILITIES & SERVICES - 4.2%     
 9,522   Cencora, Inc.(c)   1,955,628 
 30,568   Centene Corporation(a)   2,268,451 
           

See accompanying notes to financial statements.

35

 

QUANTIFIED COMMON GROUND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     COMMON STOCKS — 94.6% (Continued)     
     HEALTH CARE FACILITIES & SERVICES - 4.2% (Continued)     
 81,599   Premier, Inc., Class A  $1,824,554 
         6,048,633 
     HOME CONSTRUCTION - 6.3%     
 41,309   KB Home   2,580,160 
 14,824   M/I Homes, Inc.(a)   2,041,858 
 22,354   PulteGroup, Inc.(c)   2,307,380 
 21,089   Toll Brothers, Inc.(c)   2,167,738 
         9,097,136 
     INDUSTRIAL INTERMEDIATE PRODUCTS - 1.9%     
 20,160   Chart Industries, Inc.(a),(c)   2,748,413 
           
     INSURANCE - 7.0%     
 28,132   Arch Capital Group Ltd.(a)   2,089,364 
 15,156   Assurant, Inc.   2,553,634 
 33,321   Jackson Financial, Inc., Class A   1,706,035 
 140,203   Lincoln National Corporation   3,781,275 
         10,130,308 
     LEISURE FACILITIES & SERVICES - 1.7%     
 67,945   Cheesecake Factory, Inc.(c)   2,378,754 
           
     MACHINERY - 2.0%     
 69,351   Flowserve Corporation   2,858,648 
           
     MEDICAL EQUIPMENT & DEVICES - 5.6%     
 39,292   Baxter International, Inc.(c)   1,519,029 
 25,756   Illumina, Inc.(a)   3,586,265 
 13,403   Insulet Corporation(a)   2,908,183 
         8,013,477 
     METALS & MINING - 1.3%     
 54,529   Alcoa Corporation   1,853,986 
           
     MORTGAGE FINANCE - 1.5%     
 140,333   PennyMac Mortgage Investment Trust(c)   2,097,978 
           

See accompanying notes to financial statements.

36

 

QUANTIFIED COMMON GROUND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     COMMON STOCKS — 94.6% (Continued)     
     OIL & GAS PRODUCERS - 1.6%     
 50,663   Devon Energy Corporation  $2,295,034 
           
     RENEWABLE ENERGY - 2.4%     
 20,308   First Solar, Inc.(a)   3,498,662 
           
     RETAIL - CONSUMER STAPLES - 1.3%     
 2,936   Costco Wholesale Corporation   1,937,995 
           
     RETAIL - DISCRETIONARY - 1.5%     
 14,250   AutoNation, Inc.(a),(c)   2,140,065 
           
     SEMICONDUCTORS - 4.1%     
 12,893   Advanced Micro Devices, Inc.(a)   1,900,557 
 7,979   NVIDIA Corporation   3,951,361 
         5,851,918 
     SOFTWARE - 9.0%     
 43,679   Donnelley Financial Solutions, Inc.(a)   2,724,260 
 6,031   Palo Alto Networks, Inc.(a),(c)   1,778,421 
 11,990   Paycom Software, Inc.   2,478,573 
 90,149   Privia Health Group, Inc.(a),(c)   2,076,131 
 21,940   PTC, Inc.(a),(c)   3,838,623 
         12,896,008 
     SPECIALTY FINANCE - 1.2%     
 51,985   Bread Financial Holdings, Inc.(c)   1,712,386 
           
     STEEL - 7.2%     
 60,810   Commercial Metals Company   3,042,932 
 18,980   Nucor Corporation(c)   3,303,279 
 14,500   Reliance Steel & Aluminum Company   4,055,360 
         10,401,571 
     TECHNOLOGY HARDWARE - 1.0%     
 6,339   Arista Networks, Inc.(a)   1,492,898 
           

See accompanying notes to financial statements.

37

 

QUANTIFIED COMMON GROUND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     COMMON STOCKS — 94.6% (Continued)     
     TECHNOLOGY SERVICES - 4.3%     
 65,824   DXC Technology Company(a),(c)  $1,505,395 
 4,375   FactSet Research Systems, Inc.   2,087,094 
 9,336   Morningstar, Inc.   2,672,336 
         6,264,825 
     TRANSPORTATION & LOGISTICS - 7.5%     
 10,139   ArcBest Corporation   1,218,809 
 79,935   CSX Corporation   2,771,346 
 37,454   Kirby Corporation(a)   2,939,390 
 17,352   Matson, Inc.   1,901,779 
 16,778   Ryder System, Inc.(c)   1,930,477 
         10,761,801 
           
     TOTAL COMMON STOCKS (Cost $126,806,217)   136,074,594 
           
     SHORT-TERM INVESTMENTS — 6.3%     
     MONEY MARKET FUNDS - 6.3%     
 4,538,250   Fidelity Money Market Government Portfolio Class I, 5.24%(b)   4,538,250 
 4,538,250   First American Government Obligations Fund, Class Z, 5.24%(b)   4,538,250 
     TOTAL MONEY MARKET FUNDS (Cost $9,076,500)   9,076,500 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $9,076,500)   9,076,500 
           
Units        
     COLLATERAL FOR SECURITIES LOANED — 14.5%     
 20,951,158   Mount Vernon Liquid Assets Portfolio, LLC, 5.61%(b),(d),(e)   20,951,158 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $20,951,158)     
           
     TOTAL INVESTMENTS — 115.4% (Cost $156,833,875)  $166,102,252 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (15.4)%   (22,188,405)
     NET ASSETS - 100.0%  $143,913,847 
           
LTD - Limited Company
   
(a)Non-income producing security.

 

(b)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

(c)All or a portion of the security is on loan. Total loaned securities had a value of $20,198,544 at December 31, 2023.

 

(d)Security purchased with cash proceeds of securities lending collateral.

 

(e)Investment is valued using net asset value per share as a practical expedient.

 

See accompanying notes to financial statements.

38

 

Quantified Tactical Sectors Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmark:

 

      Annualized Since Inception
  Six Months One Year March 4, 2021
Quantified Tactical Sectors Fund - Investor Class (0.54)% 13.74% (12.42)%
S&P 500 Total Return Index ** 8.04% 26.29% 10.41%
       
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023 was 1.71% for Investor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The S&P 500 Total Return Index is an unmanaged composite of 500 large capitalization companies and includes the reinvestment of dividends. This index is widely used by professional investors as a performance benchmark for large-cap stocks. Investors may not invest in an index directly; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment ^:  % of Net Assets 
Exchange-Traded Fund     
Equity   79.2%
Money Market Funds   15.9%
Collateral For Securities Loaned   1.7%
Other Assets in Excess of Liabilities   3.2%
    100.0%
      
^The Holdings by type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

39

 

QUANTIFIED TACTICAL SECTORS FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 79.2%     
     EQUITY - 79.2%     
 388,120   Financial Select Sector SPDR Fund  $14,593,312 
 75,448   Technology Select Sector SPDR Fund   14,522,231 
 158,719   Vanguard Financials ETF   14,643,415 
 30,226   Vanguard Information Technology ETF(b)   14,629,384 
         58,388,342 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $54,343,386)   58,388,342 
           
     SHORT-TERM INVESTMENTS — 15.9%     
     MONEY MARKET FUNDS - 15.9%     
 5,874,726   Fidelity Money Market Government Portfolio Class I, 5.24%(a)   5,874,726 
 5,874,727   First American Government Obligations Fund, Class Z, 5.24%(a)   5,874,727 
     TOTAL MONEY MARKET FUNDS (Cost $11,749,453)   11,749,453 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $11,749,453)   11,749,453 
           
Units        
     COLLATERAL FOR SECURITIES LOANED — 1.7%     
 1,241,875   Mount Vernon Liquid Assets Portfolio, LLC, 5.61%(a),(c),(d)   1,241,875 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $1,241,875)     
           
     TOTAL INVESTMENTS — 96.8% (Cost $67,334,714)  $71,379,670 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 3.2%   2,370,179 
     NET ASSETS - 100.0%  $73,749,849 
           
ETF - Exchange-Traded Fund
   
SPDR - Standard & Poor’s Depositary Receipt
   
(a)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

(b)All or a portion of the security is on loan. Total loaned securities had a value of $1,210,000 at December 31, 2023.

 

(c)Security purchased with cash proceeds of securities lending collateral.

 

(d)Investment is valued using net asset value per share as a practical expedient.

 

See accompanying notes to financial statements.

40

 

QUANTIFIED TACTICAL SECTORS FUND
SCHEDULE OF INVESTMENTS (Unaudited)(Continued)
December 31, 2023
 

TOTAL RETURN SWAPS

 

Number of
Shares		   Reference Entity  Notional Amount at
December 31, 2023		   Interest Rate Payable (1)  Termination
Date		  Counterparty  Unrealized
Appreciation		 
Long Position:              
 22,570   Financial Select Sector SPDR ETF  $848,632   USD SOFR plus 35 bp  12/24/2024  BRC  $38,454 
 333,530   Financial Select Sector SPDR ETF   12,540,728   USD SOFR plus 35 bp  1/2/2025  BRC   713,693 
 7,350   Technology Select Sector SPDR ETF   1,414,728   USD SOFR plus 35 bp  12/5/2024  BRC   109,877 
 61,880   Technology Select Sector SPDR ETF   11,910,662   USD SOFR plus 35 bp  1/2/2025  BRC   1,170,332 
 145,650   Vanguard Financials ETF   13,437,669   USD SOFR plus 35 bp  1/23/2025  BRC   120,789 
 2,850   Vanguard Information Technology ETF   1,379,400   USD SOFR plus 35 bp  12/5/2024  BRC   60,029 
 24,890   Vanguard Information Technology ETF   12,046,760   USD SOFR plus 35 bp  1/2/2025  BRC   1,301,204 
           
     Total:  $3,514,378 
                         
BRC - Barclays Capital
   
SOFR - Secured Overnight Financing Rate
   
(1)Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

See accompanying notes to financial statements.

41

 

Quantified Rising Dividend Tactical Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmark:

 

      Annualized
      Since Inception
  Six Months One Year April 14, 2021
Quantified Rising Dividend Tactical Fund - Investor Class 7.13% 13.12% (5.55)%
S&P 500 Total Return Index ** 8.04% 26.29% 7.17%
       
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023 was 1.82% for Investor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The S&P 500 Total Return Index is an unmanaged composite of 500 large capitalization companies and includes the reinvestment of dividends. This index is widely used by professional investors as a performance benchmark for large-cap stocks. Investors may not invest in an index directly; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment ^:  % of Net Assets 
Exchange-Traded Funds     
Equity   86.8%
Other Assets in Excess of Liabilities   13.2%
    100.0%
      
^The Holdings by type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

42

 

QUANTIFIED RISING DIVIDEND TACTICAL FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 86.8%     
     EQUITY - 86.8%     
 11,475   Invesco QQQ Trust Series 1  $4,699,242 
 39,706   Invesco S&P 500 Equal Weight ETF   6,265,607 
 100,212   Invesco S&P 500 Low Volatility ETF   6,279,284 
 46,032   Vanguard Dividend Appreciation ETF   7,843,853 
 79,018   Vanguard International Dividend Appreciation ETF   6,269,288 
         31,357,274 
     TOTAL EXCHANGE-TRADED FUNDS (Cost $29,650,083)   31,357,274 
           
     TOTAL INVESTMENTS - 86.8% (Cost $29,650,083)  $31,357,274 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 13.2%   4,784,748 
     NET ASSETS - 100.0%  $36,142,022 
           
ETF - Exchange-Traded Fund
   

See accompanying notes to financial statements.

43

 

QUANTIFIED RISING DIVIDEND TACTICAL FUND
SCHEDULE OF INVESTMENTS (Unaudited)(Continued)
December 31, 2023
 

TOTAL RETURN SWAPS

 

Number of
Shares		   Reference Entity  Notional Amount at
December 31, 2023		   Interest Rate Payable (1)  Termination
Date		  Counterparty  Unrealized
Appreciation		 
Long Position:           
 910   Invesco QQQ Trust Series 1  $372,663   USD SOFR plus 35 bp  12/5/2024  BRC  $52,616 
 100   Invesco QQQ Trust Series 1   40,952   USD SOFR plus 35 bp  12/18/2024  BRC   2,248 
 300   Invesco QQQ Trust Series 1   122,856   USD SOFR plus 35 bp  1/9/2025  BRC   5,586 
 450   Invesco QQQ Trust Series 1   184,284   USD SOFR plus 35 bp  1/16/2025  BRC   2,931 
 54,170   Invesco S&P 500 Equal Weight ETF   8,548,026   USD SOFR plus 35 bp  12/5/2024  BRC   1,317,901 
 7,120   Invesco S&P 500 Equal Weight ETF   1,123,536   USD SOFR plus 35 bp  12/18/2024  BRC   90,005 
 14,090   Invesco S&P 500 Equal Weight ETF   2,223,402   USD SOFR plus 35 bp  1/9/2025  BRC   109,823 
 22,340   Invesco S&P 500 Equal Weight ETF   3,525,252   USD SOFR plus 35 bp  1/16/2025  BRC   14,637 
 7,420   Invesco S&P 500 Low Volatility ETF   464,937   USD SOFR plus 35 bp  12/5/2024  BRC   28,679 
 1,350   Invesco S&P 500 Low Volatility ETF   84,591   USD SOFR plus 35 bp  12/18/2024  BRC   2,618 
 2,440   Invesco S&P 500 Low Volatility ETF   152,890   USD SOFR plus 35 bp  1/9/2025  BRC   2,227 
 4,220   Invesco S&P 500 Low Volatility ETF   264,425   USD SOFR plus 35 bp  1/16/2025  BRC   619 
 3,650   Vanguard Dividend Appreciation ETF   621,960   USD SOFR plus 35 bp  12/5/2024  BRC   67,182 
 520   Vanguard Dividend Appreciation ETF   88,608   USD SOFR plus 35 bp  12/18/2024  BRC   4,374 
 1,110   Vanguard Dividend Appreciation ETF   189,144   USD SOFR plus 35 bp  1/9/2025  BRC   6,255 
 1,790   Vanguard Dividend Appreciation ETF   305,016   USD SOFR plus 35 bp  1/16/2025  BRC   1,435 
 6,110   Vanguard International Dividend Appreciation ETF   484,767   USD SOFR plus 35 bp  12/5/2024  BRC   63,096 
 1,030   Vanguard International Dividend Appreciation ETF   81,720   USD SOFR plus 35 bp  12/18/2024  BRC   5,805 
 1,880   Vanguard International Dividend Appreciation ETF   149,159   USD SOFR plus 35 bp  1/9/2025  BRC   7,336 
 3,140   Vanguard International Dividend Appreciation ETF   249,128   USD SOFR plus 35 bp  1/16/2025  BRC   5,520 
     Total:  $1,790,893 
                         
BRC - Barclays Capital
   
SOFR - Secured Overnight Financing Rate
   
(1)Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

See accompanying notes to financial statements.

44

 

Quantified Government Income Tactical Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the periods ended December 31, 2023, as compared to its benchmark:

 

      Annualized
      Since Inception
  Six Months One Year April 15, 2021
Quantified Government Income Tactical Fund - Investor Class (9.02)% (11.32)% (10.31)%
Bloomberg U.S. Aggregate Bond Index ** 3.37% 5.53% (2.81)%
       
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund operating expense ratio, as provided in the Fund’s prospectus dated November 1, 2023 was 1.76% for Investor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The Bloomberg U.S. Aggregate Bond Index is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including government, government agency, corporate and mortgage-backed securities. Investors cannot invest directly in an index; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment ^:  % of Net Assets 
Certificate of Deposit   27.4%
Corporate Bond   6.9%
Exchange-Traded Fund     
Fixed Income   0.1%
U.S. Government & Agencies   13.7%
Money Market Funds   48.4%
Other Assets in Excess of Liabilities   3.5%
    100.0%
      
^The Holdings by type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

45

 

QUANTIFIED GOVERNMENT INCOME TACTICAL FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     EXCHANGE-TRADED FUND — 0.1%     
     FIXED INCOME - 0.1%     
 100   iShares 20+ Year Treasury Bond ETF  $9,888 
           
     TOTAL EXCHANGE-TRADED FUND (Cost $9,996)   9,888 
           
           
Principal      Coupon Rate       
Amount ($)      (%)  Maturity    
     CORPORATE BOND — 6.9%           
     SPECIALTY FINANCE — 6.9%           
 1,000,000   Federal National Mortgage Association  5.2500  02/17/26   1,001,078 
                 
     TOTAL CORPORATE BOND (Cost $1,000,000)         1,001,078 
                 
     U.S. GOVERNMENT & AGENCIES — 13.7%           
     GOVERNMENT OWNED, NO GUARANTEE — 6.8%           
 1,000,000   Federal Home Loan Mortgage Corporation  5.3000  02/17/26   997,260 
                 
     GOVERNMENT SPONSORED — 6.9%           
 1,000,000   Federal Home Loan Banks  5.6250  03/09/26   998,873 
                 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,000,000)     1,996,133 
                 
     CERTIFICATE OF DEPOSIT — 27.4%           
     BANKING - 27.4%           
 1,000,000   Charles Schwab Bank SSB  4.7500  02/02/24   999,448 
 1,000,000   Local Government Federal Credit Union  4.9000  02/12/24   999,457 
 1,000,000   Valley Strong Credit Union  5.1000  02/10/25   999,974 
 1,000,000   Wells Fargo Bank NA  4.7500  02/06/24   999,382 
               3,998,261 
                 
     TOTAL CERTIFICATE OF DEPOSIT (Cost $4,000,000)         3,998,261 
                 

See accompanying notes to financial statements.

46

 

QUANTIFIED GOVERNMENT INCOME TACTICAL FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     SHORT-TERM INVESTMENTS — 48.4%     
     MONEY MARKET FUNDS - 48.4%     
 3,496,900   Fidelity Money Market Government Portfolio Class I, 5.24%(a)  $3,496,900 
 3,553,925   First American Government Obligations Fund, Class Z, 5.24%(a)   3,553,925 
     TOTAL MONEY MARKET FUNDS (Cost $7,050,825)   7,050,825 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $7,050,825)   7,050,825 
           
     TOTAL INVESTMENTS - 96.5% (Cost $14,060,821)  $14,056,185 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 3.5%   503,015 
     NET ASSETS - 100.0%  $14,559,200 
           
OPEN FUTURES CONTRACTS
Number of
Contracts		   Open Short Futures Contracts  Expiration  Notional
Amount		   Unrealized
(Depreciation)		 
 47   Ultra U.S. Treasury Bond Futures  03/19/2024  $6,278,906   $(23,986)
     TOTAL FUTURES CONTRACTS             
                   
ETF - Exchange-Traded Fund
   
(a)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

See accompanying notes to financial statements.

47

 

Quantified Global Fund
Portfolio Review (Unaudited)
December 31, 2023
 

The Fund’s performance figures* for the period ended December 31, 2023, as compared to its benchmark:

 

  Since Inception
  November 29, 2023
Quantified Global Fund - Investor Class 2.40%
MSCI All Country World Index ** 5.16%
   
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual fund estimated operating expense ratio, as provided in the Fund’s prospectus dated October 18, 2023 was 1.65% for Investor Class shares. For performance information current to the most recent month-end, please call 1-855-647-8268. Investors should consider the investment objectives, risks, and charges and expenses of the Fund carefully before investing. The Fund’s prospectus and summary prospectus contain these as well as other information about the Fund and should be read carefully before investing. A prospectus or summary prospectus may be obtained by calling 1-855-647-8268.

 

**The MSCI All Country World Index is composed of large and mid-capitalization developed and emerging market equities.

 

Investors cannot invest directly in an index; unlike the Fund’s returns, the index does not reflect any fees or expenses.

 

Portfolio holdings by types of investments as of December 31, 2023 are as follows:

 

Holdings by Type of Investment ^:  % of Net Assets 
Depositary Receipts   67.0%
Exchange-Traded Funds:     
Equity   22.2%
Money Market Funds   10.4%
Other Assets in Excess of Liabilities   0.4%
    100.0%
      
^The Holdings by type of Investment detail does not include derivative exposure.

 

Please refer to the Schedule of Investments in this report for a detailed listing of the Fund’s holdings.

48

 

QUANTIFIED GLOBAL FUND
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2023
 
Shares      Fair Value 
     DEPOSITARY RECEIPTS — 67.0%     
     AEROSPACE & DEFENSE - 0.4%     
 1,578   Embraer S.A. - ADR(a)  $29,114 
           
     ASSET MANAGEMENT - 0.8%     
 1,026   Futu Holdings Ltd. - ADR(a)   56,050 
           
     AUTOMOTIVE - 7.0%     
 2,541   Toyota Motor Corporation - ADR   465,969 
           
     BANKING - 16.1%     
 26,161   Banco Bradesco S.A. - ADR   83,195 
 8,468   Banco de Chile - ADR   195,441 
 9,293   Banco Santander Chile - ADR   181,121 
 15,070   HSBC Holdings plc - ADR   610,938 
         1,070,695 
     BIOTECH & PHARMA - 23.4%     
 8,080   AstraZeneca plc - ADR   544,188 
 3,644   Dr Reddy’s Laboratories Ltd. - ADR   253,550 
 2,563   Genmab A/S - ADR(a)   81,606 
 5,848   GSK plc - ADR   216,727 
 2,679   Novartis A.G. - ADR   270,499 
 13,986   Takeda Pharmaceutical Company Ltd. - ADR   199,580 
         1,566,150 
     E-COMMERCE DISCRETIONARY - 9.7%     
 4,296   Alibaba Group Holding Ltd. - ADR(a)   332,983 
 2,180   PDD Holdings, Inc. - ADR(a)   318,956 
         651,939 
     ELECTRIC UTILITIES - 2.2%     
 45,664   Enel Chile S.A. - ADR   147,951 
           
     ENTERTAINMENT CONTENT - 1.4%     
 977   NetEase, Inc. - ADR   91,017 
           

See accompanying notes to financial statements.

49

 

QUANTIFIED GLOBAL FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
Shares      Fair Value 
     DEPOSITARY RECEIPTS — 67.0% (Continued)     
     LEISURE FACILITIES & SERVICES - 1.0%     
 3,934   Atour Lifestyle Holdings Ltd. - ADR(a)  $68,294 
           
     TELECOMMUNICATIONS - 3.9%     
 10,173   Telekomunikasi Indonesia Persero Tbk P.T. - ADR   262,056 
           
     TRANSPORTATION & LOGISTICS - 1.1%     
 1,295   Azul S.A. - ADR(a)   12,549 
 627   EHang Holdings Ltd. - ADR(a)   10,534 
 2,361   Full Truck Alliance Company Ltd. - ADR(a)   16,551 
 240   Ryanair Holdings plc - ADR(a)   32,005 
         71,639 
           
     TOTAL DEPOSITARY RECEIPTS (Cost $4,413,747)   4,480,874 
           
     EXCHANGE-TRADED FUNDS — 22.2%     
     EQUITY - 22.2%     
 657   Invesco QQQ Trust Series 1   269,054 
 2,551   SPDR S&P 500 ETF Trust   1,212,516 
         1,481,570 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $1,425,273)   1,481,570 
           
     SHORT-TERM INVESTMENTS — 10.4%     
     MONEY MARKET FUNDS - 10.4%     
 348,494   Fidelity Money Market Government Portfolio Class I, 5.24%(b)   348,494 
 348,494   First American Government Obligations Fund, Class Z, 5.24%(b)   348,494 
     TOTAL MONEY MARKET FUNDS (Cost $696,988)   696,988 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $696,988)   696,988 
           

See accompanying notes to financial statements.

50

 

QUANTIFIED GLOBAL FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
December 31, 2023
 
       Fair Value 
     TOTAL INVESTMENTS - 99.6% (Cost $6,536,008)  $6,659,432 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 0.4%   27,380 
     NET ASSETS - 100.0%  $6,686,812 
           
ADR - American Depositary Receipt
   
A/S - Anonim Sirketi
   
ETF - Exchange-Traded Fund
   
LTD - Limited Company
   
PLC - Public Limited Company
   
PT - Perseroan Terbatas
   
S/A - Société Anonyme
   
SPDR - Standard & Poor’s Depositary Receipt
   
(a)Non-income producing security.

 

(b)Rate disclosed is the seven-day effective yield as of December 31, 2023.

 

See accompanying notes to financial statements.

51

 

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
December 31, 2023

 

   Quantified   Quantified   Quantified   Quantified 
   Managed   Market Leaders   Alternative   STF 
   Income Fund   Fund   Investment Fund   Fund 
Assets:                    
Investment securities:                    
At cost  $173,466,684   $245,813,161   $5,268,673   $132,005,419 
At value (a)  $175,546,738   $252,805,396   $5,273,170   $131,480,218 
Cash   —    —    45    26,306,654 
Deposits with brokers for futures   575,458    —    7,052    8,018,007 
Receivable:                    
Securities sold   15,473,821    —    —    163,790 
Unrealized appreciation on futures   1,124,305    —    37,127    11,122,202 
Fund shares sold   899,136    29,706    6,136    113,518 
Dividends and Interest   131,397    354,389    —    719,302 
Unrealized appreciation on swaps   —    15,617,320    —    — 
Prepaid expenses and other assets   21,493    4,351    237    58,782 
Total Assets   193,772,348    268,811,162    5,323,767    177,982,473 
                     
Liabilities:                    
Payables:                    
Collateral on securities loaned   42,926,967    34,508,700    176,225    — 
Securities purchased   15,018,775    —    231,639    — 
Fund shares redeemed   43,336    137,631    430    691,202 
Unrealized depreciation on futures   43,300    —    —    — 
Investment advisory fees   82,515    139,435    3,333    148,342 
Payable to related parties   22,551    28,611    —    110,712 
Distribution (12b-1) fees   27,514    46,588    1,156    37,240 
Shareholder service fees - Investor Class   16,201    27,865    658    22,220 
Interest payable   3,787    —    1,290    — 
Total Liabilities   58,184,946    34,888,830    414,731    1,009,716 
                     
Net Assets  $135,587,402   $233,922,332   $4,909,036   $176,972,757 
                     
Net Assets Consist of:                    
Capital Stock  $157,818,860   $303,402,173   $8,001,281   $196,322,597 
Accumulated losses   (22,231,458)   (69,479,841)   (3,092,245)   (19,349,840)
Net Assets  $135,587,402   $233,922,332   $4,909,036   $176,972,757 
                     
Net Asset Value Per Share                    
Investor Class Shares:                    
Net Assets  $135,576,998   $233,739,547   $4,838,775   $176,697,327 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   16,689,340    22,842,765    546,061    12,229,817 
Net asset value, (Net Assets ÷ Shares Outstanding), offering and redemption price per share  $8.12   $10.23   $8.86   $14.45 
Advisor Class Shares:                    
Net Assets  $10,404   $182,785   $70,261   $275,430 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   1,255    18,213    8,006    20,072 
Net asset value, (Net Assets ÷ Shares Outstanding), offering and redemption price per share  $8.29   $10.04   $8.78   $13.72 

 

(a)Includes loaned securities with a value of $41,696,193, $33,440,881, $171,761 and $0, respectively.

 

 

See accompanying notes to financial statements.

52

 

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)(Continued)
December 31, 2023

 

   Quantified   Quantified   Quantified Evolution   Quantified 
   Pattern   Tactical Fixed   Plus Fund   Common 
   Recognition Fund   Income Fund   (Consolidated)   Ground Fund 
Assets:                    
                     
Investment securities:                    
At cost  $23,315,159   $47,434,684   $10,767,377   $156,833,875 
At value (a)  $23,311,944   $46,928,835   $10,762,056   $166,102,252 
Cash   2,111,993    12,730,416    2,518,733    — 
Deposits with brokers   1,498,396    1,043,726    608,228    — 
Receivable:                    
Dividends and Interest   229,427    444,945    184,319    173,928 
Securities sold   47,564    —    100,956    — 
Unrealized appreciation on futures   23,988    —    224,515    — 
Fund shares sold   21,187    477,728    2,085    58,156 
Unrealized appreciation on swaps   —    294,898    253,572    — 
Prepaid expenses and other assets   13,133    27,417    12,262    30,516 
Total Assets   27,257,632    61,947,965    14,666,726    166,364,852 
                     
Liabilities:                    
Payables:                    
Securities purchased   95,435    99,198    357,122    — 
Investment advisory fees   25,302    52,536    21,193    105,823 
Payable to related parties   24,531    44,360    21,853    20,614 
Fund shares redeemed   22,865    116,433    6,898    1,327,643 
Distribution (12b-1) fees   6,326    13,134    5,298    26,456 
Shareholder service fees - Investor Class   3,795    7,881    3,179    15,873 
Unrealized depreciation on futures   —    76,568    —    — 
Collateral on securities loaned   —    1,399,440    20,568    20,951,158 
Unrealized depreciation on swaps   —    25,283    446    — 
Interest payable   —    —    —    3,438 
Total Liabilities   178,254    1,834,833    436,557    22,451,005 
                     
Net Assets  $27,079,378   $60,113,132   $14,230,169   $143,913,847 
                     
Net Assets Consist of:                    
Capital Stock  $42,606,343   $109,675,695   $26,472,321   $156,996,015 
Accumulated losses   (15,526,965)   (49,562,563)   (12,242,152)   (13,082,168)
Net Assets  $27,079,378   $60,113,132   $14,230,169   $143,913,847 
                     
Net Asset Value Per Share                    
Investor Class Shares:                    
Net Assets  $27,079,378   $60,113,132   $14,230,169   $143,913,847 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   2,691,186    8,036,517    2,439,955    10,120,484 
Net asset value, (Net Assets ÷ Shares Outstanding), offering and redemption price per share  $10.06   $7.48   $5.83   $14.22 

 

(a)Includes loaned securities with a value of $0, $1,364,579, $20,066 and $20,198,544, respectively.

 

See accompanying notes to consolidated financial statements.

53

 

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)(Continued)
December 31, 2023

 

   Quantified   Quantified   Quantified   Quantified 
   Tactical   Rising Dividend   Government Income   Global 
   Sectors Fund   Tactical Fund   Tactical Fund   Fund 
Assets:                    
Investment securities:                    
At cost  $67,334,714   $29,650,083   $14,060,821   $6,536,008 
At value (a)  $71,379,670   $31,357,274   $14,056,185   $6,659,432 
Deposits with brokers   —    —    335,913    — 
Receivable:                    
Securities sold   —    7,815,308    108,759    — 
Unrealized appreciation on swaps   3,514,378    1,790,893    —    — 
Dividends and interest   157,967    28,154    184,908    11,579 
Fund shares sold   47,368    3    2,320    2,639 
Prepaid expenses and other assets   16,988    5,695    6,034    31,360 
Total Assets   75,116,371    40,997,327    14,694,119    6,705,010 
                     
Liabilities:                    
Due to custodian   —    2,814,873    —    — 
Due to broker   —    1,935,756    —    — 
Payables:                    
Collateral on securities loaned   1,241,875    —    —    — 
Investment advisory fees   59,849    38,126    13,500    4,447 
Fund shares redeemed   23,619    49,253    12,068    — 
Payable to related parties   17,222    2,047    —    1,634 
Distribution (12b-1) fees   14,965    9,531    3,375    1,112 
Shareholder service fees - Investor Class   8,992    5,719    2,024    667 
Securities purchased   —    —    79,966    10,338 
Unrealized depreciation on futures   —    —    23,986    — 
Total Liabilities   1,366,522    4,855,305    134,919    18,198 
                     
Net Assets  $73,749,849   $36,142,022   $14,559,200   $6,686,812 
                     
Net Assets Consist of:                    
Capital Stock  $122,730,934   $42,452,176   $29,556,326   $6,563,557 
Accumulated gain (losses)   (48,981,085)   (6,310,154)   (14,997,126)   123,255 
Net Assets  $73,749,849   $36,142,022   $14,559,200   $6,686,812 
                     
Net Asset Value Per Share                    
Investor Class Shares:                    
Net Assets  $73,749,849   $36,142,022   $14,559,200   $6,686,812 
Shares of beneficial interest outstanding (no par value; unlimited shares authorized)   11,773,881    4,378,900    2,095,238    653,002 
Net asset value, (Net Assets ÷ Shares Outstanding), offering and redemption price per share  $6.26   $8.25   $6.95   $10.24 

 

(a)Includes loaned securities with a value of $1,210,000, $0, $0, and $0 , respectively.

 

 

See accompanying notes to financial statements.

54

 

STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended December 31, 2023

 

   Quantified   Quantified   Quantified   Quantified 
   Managed   Market Leaders   Alternative   STF 
   Income Fund   Fund   Investment Fund   Fund 
                 
Investment Income                    
Dividends  $2,398,132   $1,521,032   $147,274   $438 
Interest   1,530,632    1,489,922    34,199    2,981,173 
Securities lending, net   274,522    35,756    9,711    539 
Total Investment Income   4,203,286    3,046,710    191,184    2,982,150 
                     
Expenses                    
Investment advisory fees   611,114    712,087    38,173    819,742 
Administration fees   149,746    172,630    13,027    150,397 
Distribution (12b-1) fees                    
Investor Class   203,677    237,166    12,632    204,621 
Advisor Class   110    784    369    1,259 
Shareholder services fees - Investor Class   122,206    142,300    7,579    144,606 
Miscellaneous expenses   4,500    4,500    4,500    4,500 
Interest expense on line of credit   7,874    —    4,000    — 
Total Operating Expenses   1,099,227    1,269,467    80,280    1,325,125 
Less: Expenses waived by the Advisor   —    —    (4,500)   — 
Net Expenses   1,099,227    1,269,467    75,780    1,325,125 
Net Operating Expenses   1,099,227    1,269,467    75,780    1,325,125 
                     
Net Investment Income   3,104,059    1,777,243    115,404    1,657,025 
                     
Realized and Unrealized Gain (Loss) on Investments, Futures and Swaps                    
Net realized gain (loss) from:                    
Investments   1,777,504    (362,547)   (313,135)   (4,383)
Futures   (5,614,296)   —    (187,553)   10,163,889 
Swaps   —    (3,319,771)   —    — 
Capital gain distributions from underlying investment companies   —    —    4,254    — 
    (3,836,792)   (3,682,318)   (496,434)   10,159,506 
Net change in unrealized appreciation (depreciation) on:                    
Investments   1,720,168    (1,354,165)   (121,508)   897,565 
Futures   1,220,652    —    22,262    2,182,814 
Swaps   —    10,776,323    —    — 
    2,940,820    9,422,158    (99,246)   3,080,379 
                     
Net Realized and Unrealized Gain (Loss) on Investments, Futures and Swaps   (895,972)   5,739,840    (595,680)   13,239,885 
                     
Net Increase (Decrease) in Net Assets Resulting From Operations  $2,208,087   $7,517,083   $(480,276)  $14,896,910 

 

See accompanying notes to financial statements.

55

 

STATEMENTS OF OPERATIONS (Unaudited)(Continued)
For the Six Months Ended December 31, 2023

 

   Quantified   Quantified   Quantified Evolution   Quantified 
   Pattern   Tactical Fixed   Plus Fund   Common 
   Recognition Fund   Income Fund   (Consolidated)   Ground Fund 
                 
Investment Income                    
Dividends  $270   $1,479   $2,809   $1,160,713 
Interest   931,708    1,321,652    833,069    172,655 
Securities lending, net   15    780    47    13,345 
Total Investment Income   931,993    1,323,911    835,925    1,346,713 
                     
Expenses                    
Investment advisory fees   188,874    426,899    181,977    627,460 
Distribution (12b-1) fees - Investor Class   47,219    106,725    45,494    156,865 
Administration fees   42,882    80,599    37,512    115,014 
Shareholder services fees - Investor Class   28,331    64,035    27,296    94,119 
Custody overdraft fees   —    —    —    42,934 
Interest expense on line of credit   —    —    —    49,638 
Miscellaneous expenses   —    4,500    4,500    4,500 
Total Operating Expenses   307,306    682,758    296,779    1,090,530 
Less: Expenses waived by the Advisor   (4,500)   —    —    — 
Net Expenses   302,806    682,758    296,779    1,090,530 
Net Operating Expenses   302,806    682,758    296,779    1,090,530 
                     
Net Investment Income   629,187    641,153    539,146    256,183 
                     
Realized and Unrealized Gain (Loss) on Investments, Futures and Swaps                    
Net realized gain (loss) from:                    
Investments   4,939    8,320    7,795    1,247,051 
Futures   (3,838,604)   (5,909,427)   (186,501)   — 
Swaps   —    (119,846)   (550,376)   — 
    (3,833,665)   (6,020,953)   (729,082)   1,247,051 
Net change in unrealized appreciation (depreciation) on:                    
Investments   36,866    858,394    32,846    4,717,933 
Futures   529,015    (141,849)   (25,798)   — 
Swaps   —    269,615    780,474    — 
    565,881    986,160    787,522    4,717,933 
                     
Net Realized and Unrealized Gain (Loss) on Investments, Futures and Swaps   (3,267,784)   (5,034,793)   58,440    5,964,984 
                     
Net Increase (Decrease) in Net Assets Resulting From Operations  $(2,638,597)  $(4,393,640)  $597,586   $6,221,167 

 

See accompanying notes to consolidated financial statements.

56

 

STATEMENTS OF OPERATIONS (Unaudited)(Continued)
For the Six Months Ended December 31, 2023

 

   Quantified   Quantified   Quantified   Quantified 
   Tactical   Rising Dividend   Government Income   Global 
   Sectors Fund   Tactical Fund   Tactical Fund   Fund* 
                 
Investment Income                    
Dividends (net of foreign withholding tax of $0, $0, $0 and $1,232)  $404,668   $285,535   $1,493   $10,309 
Interest   512,305    213,395    660,543    1,382 
Securities lending, net   23,393    —    —    — 
Total Investment Income   940,366    498,930    662,036    11,691 
                     
Expenses                    
Investment advisory fees   348,478    172,636    134,430    4,447 
Distribution (12b-1) fees - Investor Class   87,120    43,159    33,608    1,111 
Administration fees   65,524    34,421    28,429    1,635 
Shareholder services fees - Investor Class   52,272    25,895    20,165    667 
Custody overdraft fees   —    2,923    —    — 
Miscellaneous expenses   4,500    4,500    4,500    762 
Total Operating Expenses   557,894    283,534    221,132    8,622 
Less: Expenses waived by the Advisor   —    (4,500)   (4,500)   (762)
Net Expenses   557,894    279,034    216,632    7,860 
Net Operating Expenses   557,894    279,034    216,632    7,860 
                     
Net Investment Income   382,472    219,896    445,404    3,831 
                     
Realized and Unrealized Gain (Loss) on Investments, Futures and Swaps                    
Net realized gain (loss) from:                    
Investments   1,908,077    1,373,492    478    (4,000)
Futures   —    —    (2,651,559)   — 
Swaps   1,767,022    (129,853)   —    — 
    3,675,099    1,243,639    (2,651,081)   (4,000)
Net change in unrealized appreciation (depreciation) on:                    
Investments   (3,748,201)   557,516    36,708    123,424 
Futures   —    —    (47,349)   — 
Swaps   (1,573,748)   1,358,535    —    — 
    (5,321,949)   1,916,051    (10,641)   123,424 
                     
Net Realized and Unrealized Gain (Loss) on Investments, Futures and Swaps   (1,646,850)   3,159,690    (2,661,722)   119,424 
                     
Net Increase (Decrease) in Net Assets Resulting From Operations  $(1,264,378)  $3,379,586   $(2,216,318)  $123,255 

 

*Fund commenced operations on November 29, 2023.

 

See accompanying notes to financial statements.

57

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Quantified Managed Income Fund 
   Six Months Ended   Year Ended 
   December 31, 2023   June 30, 2023 
   (Unaudited)     
INCREASE (DECREASE) IN NET ASSETS FROM:          
Operations          
Net investment income  $3,104,059   $4,356,381 
Net realized loss from investments and futures   (3,836,792)   (11,735,286)
Net change in unrealized appreciation (depreciation) on investments and futures   2,940,820    927,950 
Net Increase (Decrease) in Net Assets Resulting From Operations   2,208,087    (6,450,955)
           
Distributions to Shareholders from:          
Investor Class   (5,579,407)   (951,437)
Advisor Class   (262)   — 
Total Distributions to Shareholders   (5,579,669)   (951,437)
           
Shares of Beneficial Interest:          
Proceeds from shares sold          
Investor Class   328,098,045    697,460,323 
Advisor Class   575    6,885 
Net asset value of shares issued in reinvestment of distributions          
Investor Class   5,572,709    950,867 
Advisor Class   262    — 
Payments for shares redeemed          
Investor Class   (328,144,507)   (765,786,001)
Advisor Class   (13,580)   (45)
Total Increase (Decrease) in Net Assets From Shares of Beneficial Interest   5,513,504    (67,367,971)
           
Total Increase (Decrease) in Net Assets   2,141,922    (74,770,363)
           
Net Assets:          
Beginning of Period   133,445,480    208,215,843 
End of Period  $135,587,402   $133,445,480 
           
Share Activity          
Investor Class:          
Shares Sold   39,329,882    82,938,445 
Shares issued in reinvestments of Distributions   687,141    114,150 
Shares Redeemed   (39,395,387)   (91,066,805)
Net Increase (Decrease) in Shares of Beneficial Interest Outstanding   621,636    (8,014,210)
           
Advisor Class:          
Shares Sold   68    807 
Shares issued in reinvestments of Distributions   32    — 
Shares Redeemed   (1,630)   (5)
Net Increase (Decrease) in Shares of Beneficial Interest Outstanding   (1,530)   802 

 

See accompanying notes to financial statements.

58

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Quantified Market Leaders Fund   Quantified Alternative Investment Fund 
   Six Months Ended   Year Ended   Six Months Ended   Year Ended 
   December 31, 2023   June 30, 2023   December 31, 2023   June 30, 2023 
   (Unaudited)       (Unaudited)     
INCREASE (DECREASE) IN NET ASSETS FROM:                    
Operations                    
Net investment income  $1,777,243   $1,874,578   $115,404   $278,583 
Net realized gain (loss) from investments, futures and Swaps   (3,682,318)   923,708    (496,434)   (1,387,118)
Net change in unrealized appreciation (depreciation) on investments, futures and swaps   9,422,158    16,378,943    (99,246)   369,893 
Net Increase (Decrease) in Net Assets Resulting From Operations   7,517,083    19,177,229    (480,276)   (738,642)
                     
Distributions to Shareholders from:                    
Total Distributions Paid                    
Investor Class   (4,601,537)   —    (147,554)   (230,177)
Advisor Class   (2,644)   —    (1,832)   (588)
Total Distributions to Shareholders   (4,604,181)   —    (149,386)   (230,765)
                     
Shares of Beneficial Interest:                    
Proceeds from shares sold                    
Investor Class   200,592,443    390,657,527    21,394,346    61,204,277 
Advisor Class   20,546    7,115    7,420    4,778 
Net asset value of shares issued in reinvestment of distributions                    
Investor Class   4,588,996    —    147,553    230,145 
Advisor Class   2,644    —    1,832    588 
Payments for shares redeemed                    
Investor Class   (154,319,473)   (464,048,828)   (22,622,190)   (64,378,963)
Advisor Class   (8,039)   (8,198)   (7,832)   (1,849)
Total Increase (Decrease) in Net Assets From                    
Shares of Beneficial Interest   50,877,117    (73,392,384)   (1,078,871)   (2,941,024)
                     
Total Increase (Decrease) in Net Assets   53,790,019    (54,215,155)   (1,708,533)   (3,910,431)
                     
Net Assets:                    
Beginning of Period   180,132,313    234,347,468    6,617,569    10,528,000 
End of Period  $233,922,332   $180,132,313   $4,909,036   $6,617,569 
                     
Share Activity                    
Investor Class:                    
Shares Sold   20,483,310    42,620,139    2,336,200    6,533,386 
Shares issued in reinvestments of Distributions   445,967    —    16,635    25,543 
Shares Redeemed   (15,887,178)   (50,490,563)   (2,520,603)   (6,947,036)
Net Increase (Decrease) in Shares of Beneficial Interest Outstanding   5,042,099    (7,870,424)   (167,768)   (388,107)
                     
Advisor Class:                    
Shares Sold   2,151    768    824    544 
Shares issued in reinvestments of Distributions   262    —    208    66 
Shares Redeemed   (860)   (911)   (896)   (205)
Net Increase (Decrease) in Shares of Beneficial Interest Outstanding   1,553    (143)   136    405 

 

See accompanying notes to financial statements.

59

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Quantified STF Fund   Quantified Pattern Recognition Fund 
   Six Months Ended   Year Ended   Six Months Ended   Year Ended 
   December 31, 2023   June 30, 2023   December 31, 2023   June 30, 2023 
   (Unaudited)       (Unaudited)     
INCREASE (DECREASE) IN NET ASSETS FROM:                    
Operations:                    
Net investment income  $1,657,025   $998,811   $629,187   $677,536 
Net realized gain (loss) from investments and futures   10,159,506    14,845,061    (3,833,665)   6,953,956 
Net change in unrealized appreciation (depreciation) on investments and futures   3,080,379    7,829,340    565,881    (213,608)
Net Increase (Decrease) in Net Assets Resulting From Operations   14,896,910    23,673,212    (2,638,597)   7,417,884 
Distributions to Shareholders from:                    
Investor Class   (1,889,603)   —    (1,090,186)   (33,274)
Advisor Class   (1,228)   —    —    — 
Total Distributions to Shareholders   (1,890,831)   —    (1,090,186)   (33,274)
                     
Shares of Beneficial Interest:                    
Proceeds from shares sold:                    
Investor Class   146,461,331    363,192,731    35,047,747    85,543,684 
Advisor Class   93,359    18,721    —    — 
Net asset value of shares issued in reinvestment of distributions:                    
Investor Class   1,831,593    —    1,088,810    33,184 
Advisor Class   1,003    —    —    — 
Payments for shares redeemed                    
Investor Class   (195,358,096)   (316,626,062)   (66,729,380)   (49,850,794)
Advisor Class   (69,124)   (112,867)   —    — 
Total Increase (Decrease) in Net Assets From Shares of Beneficial Interest   (47,039,934)   46,472,523    (30,592,823)   35,726,074 
                     
Total Increase (Decrease) in Net Assets   (34,033,855)   70,145,735    (34,321,606)   43,110,684 
                     
Net Assets:                    
Beginning of Period   211,006,612    140,860,877    61,400,984    18,290,300 
End of Period  $176,972,757   $211,006,612   $27,079,378   $61,400,984 
                     
Share Activity                    
Investor Class:                    
Shares Sold   11,300,077    35,371,821    3,195,508    7,856,690 
Shares issued in reinvestments of Distributions   125,969    —    108,555    3,635 
Shares Redeemed   (15,129,500)   (31,634,677)   (6,078,000)   (4,593,153)
Net Increase (Decrease) in Shares of Beneficial Interest Outstanding   (3,703,454)   3,737,144    (2,773,937)   3,267,172 
                     
Share Activity                    
Advisor Class:                    
Shares Sold   7,468    2,094    —    — 
Shares issued in reinvestments of Distributions   73    —    —    — 
Shares Redeemed   (5,754)   (11,280)   —    — 
Net Increase (Decrease) in Shares of Beneficial Interest Outstanding   1,787    (9,186)   —    — 

 

See accompanying notes to financial statements.

60

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Quantified Tactical Fixed Income Fund   Quantified Evolution Plus Fund (Consolidated) 
   Six Months Ended   Year Ended   Six Months Ended   Year Ended 
   December 31, 2023   June 30, 2023   December 31, 2023   June 30, 2023 
   (Unaudited)       (Unaudited)     
INCREASE (DECREASE) IN NET ASSETS FROM:                    
Operations:                    
Net investment income  $641,153   $839,623   $539,146   $1,170,824 
Net realized loss from investments, futures and swaps   (6,020,953)   (19,284,099)   (729,082)   (3,051,175)
Net change in unrealized appreciation (depreciation) on investments, futures and swaps   986,160    (47,311)   787,522    (853,536)
Net Decrease in Net Assets Resulting From Operations   (4,393,640)   (18,491,787)   597,586    (2,733,887)
                     
Distributions to Shareholders from:                    
Investor Class   (46,531)   —    (2,819,019)   (37,720)
Total Distributions to Shareholders   (46,531)   —    (2,819,019)   (37,720)
                     
Shares of Beneficial Interest:                    
Proceeds from shares sold:                    
Investor Class   73,464,049    258,294,218    80,569,380    310,516,288 
Net asset value of shares issued in reinvestment of distributions:                    
Investor Class   46,474    —    2,816,778    37,714 
Payments for shares redeemed                    
Investor Class   (122,272,689)   (279,349,778)   (116,228,413)   (400,431,534)
Total Decrease in Net Assets From Shares of Beneficial Interest   (48,762,166)   (21,055,560)   (32,842,255)   (89,877,532)
                     
Total Decrease in Net Assets   (53,202,337)   (39,547,347)   (35,063,688)   (92,649,139)
                     
Net Assets:                    
Beginning of Period   113,315,469    152,862,816    49,293,857    141,942,996 
End of Period  $60,113,132   $113,315,469   $14,230,169   $49,293,857 
                     
Share Activity                    
Investor Class:                    
Shares Sold   9,321,781    30,663,856    11,239,496    40,621,949 
Shares issued in reinvestments of Distributions   6,205    —    483,982    5,202 
Shares Redeemed   (15,622,545)   (33,078,446)   (15,897,751)   (51,821,391)
Net Decrease in Shares of Beneficial Interest Outstanding   (6,294,559)   (2,414,590)   (4,174,273)   (11,194,240)

 

See accompanying notes to consolidated financial statements.

61

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Quantified Common Ground Fund   Quantified Tactical Sectors Fund 
   Six Months Ended   Year Ended   Six Months Ended   Year Ended 
   December 31, 2023   June 30, 2023   December 31, 2023   June 30, 2023 
   (Unaudited)       (Unaudited)     
INCREASE (DECREASE) IN NET ASSETS FROM:                    
Operations:                    
Net investment income  $256,183   $321,882   $382,472   $561,443 
Net realized gain (loss) from investments, futures and swaps   1,247,051    (12,073,142)   3,675,099    (8,277,477)
Net change in unrealized appreciation (Depreciation) on investments, futures and swaps   4,717,933    7,111,681    (5,321,949)   13,572,317 
Net Increase (Decrease) in Net Assets Resulting From Operations   6,221,167    (4,639,579)   (1,264,378)   5,856,283 
                     
Distributions to Shareholders from:                    
Investor Class   (306,845)   —    (4,254,456)   (310,692)
Total Distributions to Shareholders   (306,845)   —    (4,254,456)   (310,692)
                     
Shares of Beneficial Interest:                    
Proceeds from shares sold:                    
Investor Class   325,806,192    708,861,991    56,716,580    200,338,347 
Net asset value of shares issued in reinvestment of distributions:                    
Investor Class   306,260    —    4,250,691    310,392 
Payments for shares redeemed                    
Investor Class   (289,104,667)   (646,750,226)   (51,650,202)   (211,473,006)
Total Increase (Decrease) in Net Assets From Shares of Beneficial Interest   37,007,785    62,111,765    9,317,069    (10,824,267)
                     
Total Increase (Decrease) in Net Assets   42,922,107    57,472,186    3,798,235    (5,278,676)
                     
Net Assets:                    
Beginning of Period   100,991,740    43,519,554    69,951,614    75,230,290 
End of Period  $143,913,847   $100,991,740   $73,749,849   $69,951,614 
                     
Share Activity                    
Investor Class:                    
Shares Sold   24,704,922    54,995,527    8,709,323    34,023,504 
Shares issued in reinvestments of Distributions   21,342    —    677,941    53,149 
Shares Redeemed   (22,313,202)   (50,657,633)   (8,075,845)   (36,468,200)
Net Increase (Decrease) in Shares of Beneficial Interest Outstanding   2,413,062    4,337,894    1,311,419    (2,391,547)

 

See accompanying notes to financial statements.

62

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Quantified Rising Dividend Tactical Fund   Quantified Government Income Tactical Fund 
   Six Months Ended   Year Ended   Six Months Ended   Year Ended 
   December 31, 2023   June 30, 2023   December 31, 2023   June 30, 2023 
   (Unaudited)       (Unaudited)     
INCREASE (DECREASE) IN NET ASSETS FROM:                    
Operations:                    
Net investment income  $219,896   $157,714   $445,404   $603,641 
Net realized gain (loss) from investments, futures and swaps   1,243,639    (4,826,110)   (2,651,081)   (7,253,359)
Net change in unrealized appreciation (depreciation) on investments, futures and swaps   1,916,051    2,503,392    (10,641)   (211,462)
Net Increase (Decrease) in Net Assets Resulting From Operations   3,379,586    (2,165,004)   (2,216,318)   (6,861,180)
                     
Distributions to Shareholders from:                    
Investor Class   (284,803)   (668,445)   (813,095)   — 
Total Distributions to Shareholders   (284,803)   (668,445)   (813,095)   — 
                     
Shares of Beneficial Interest:                    
Proceeds from shares sold:                    
Investor Class   38,371,463    76,377,941    37,590,120    224,902,030 
Net asset value of shares issued in reinvestment of distributions:                    
Investor Class   284,025    667,048    812,129    — 
Payments for shares redeemed                    
Investor Class   (36,054,612)   (71,182,686)   (64,009,072)   (241,033,264)
Total Increase (Decrease) in Net Assets From Shares of Beneficial Interest   2,600,876    5,862,303    (25,606,823)   (16,131,234)
                     
Total Increase (Decrease) in Net Assets   5,695,659    3,028,854    (28,636,236)   (22,992,414)
                     
Net Assets:                    
Beginning of Period   30,446,363    27,417,509    43,195,436    66,187,850 
End of Period  $36,142,022   $30,446,363   $14,559,200   $43,195,436 
                     
Share Activity                    
Investor Class:                    
Shares Sold   4,960,978    9,805,190    4,707,432    25,806,082 
Shares issued in reinvestments of Distributions   34,469    90,631    116,853    — 
Shares Redeemed   (4,545,210)   (9,161,470)   (8,074,725)   (27,458,754)
Net Increase (Decrease) in Shares of Beneficial Interest Outstanding   450,237    734,351    (3,250,440)   (1,652,672)

 

See accompanying notes to financial statements.

63

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Quantified Global Fund 
   Period Ended 
   December 31, 2023* 
   (Unaudited) 
INCREASE (DECREASE) IN NET ASSETS FROM:     
Operations     
Net investment income  $3,831 
Net realized loss from investments   (4,000)
Net change in unrealized appreciation on investments   123,424 
Net Increase in Net Assets Resulting From Operations   123,255 
      
Shares of Beneficial Interest:     
Proceeds from shares sold     
Investor Class   7,796,200 
Payments for shares redeemed     
Investor Class   (1,232,643)
Total Increase in Net Assets From Shares of Beneficial Interest   6,563,557 
      
Total Increase in Net Assets   6,686,812 
      
Net Assets:     
Beginning of Period   — 
End of Period  $6,686,812 
      
Share Activity     
Investor Class:     
Shares Sold   776,563 
Shares Redeemed   (123,561)
Net Increase in Shares of Beneficial Interest Outstanding   653,002 

 

*Fund commenced operations on November 29, 2023.

 

See accompanying notes to financial statements.

64

 

STATEMENT OF CASH FLOWS (Unaudited)
For the Six Months Ended December 31, 2023
   Quantified 
   Alternative 
   Investment Fund 
     
Cash Flows from Operating Activities     
Net decrease in net assets resulting from operations  $(480,276)
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by (used in) operating activities:     
Purchases of investments   (35,820,931)
Proceeds from sales of investments   37,157,665 
Net sales (purchases) of short term investments   (515,201)
Net realized loss on investments   496,434 
Net change in unrealized appreciation (depreciation) on investments   99,246 
(Increase)/Decrease in assets:     
Dividends and interest   2,673 
Prepaid expenses and other assets   7,872 
Increase/(Decrease) in liabilities:     
Payable for securities purchased   231,639 
Investment advisory fees   (717)
Payable to related parties   (13,963)
Distribution (12b-1) fees payable   (237)
Shareholder service fee - Investor class   (143)
Net cash provided by operating activities   1,164,061 
      
Cash Flows from Financing Activities     
Proceeds from shares issued   21,395,829 
Payments for shares redeemed   (22,629,737)
Proceeds from line of credit   21,463,000 
Repayment of borrowings   (21,463,000)
Distributions paid (net of reinvestments)   (1)
Net cash used in financing activities   (1,233,909)
      
Net decrease in cash   (69,848)
Cash and Restricted Cash at beginning of period   76,945 
Cash and Restricted Cash at end of period  $7,097 
      
Cash   45 
Restricted Cash     
Deposits with brokers for futures   7,052 
Total Cash and Restricted Cash  $7,097 
      
Supplemental Disclosure of Cash Flow Information     
Non-cash financing activities not included herein consists of reinvestment of dividends  $149,385 
Cash paid for interest on line of credit  $4,000 

 

See accompanying notes to financial statements.

65

 

FINANCIAL HIGHLIGHTS
Quantified Managed Income Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months                     
   Ended                     
   December 31,   Year Ended June 30, 
   2023   2023   2022   2021   2020   2019 
   (Unaudited)                     
Net asset value, beginning of year or period  $8.30   $8.65   $8.79   $9.04   $9.75   $9.31 
Activity from investment operations:                              
Net investment income (loss) (1)   0.16    0.23    0.08    0.06    0.15    0.35 
Net realized and unrealized gain (loss) on investments, futures and distributions from underlying investment companies   0.03    (0.54)   (0.16)   (0.23)   (0.64)   0.28 
Total from investment operations   0.19    (0.31)   (0.08)   (0.17)   (0.49)   0.63 
Distributions to Shareholders:                              
Net investment income   (0.37)   (0.04)   (0.06)   (0.08)   (0.16)   (0.19)
Net realized gains   —    —    —    —    (0.06)   — 
Total distributions   (0.37)   (0.04)   (0.06)   (0.08)   (0.22)   (0.19)
Net asset value, end of year or period  $8.12   $8.30   $8.65   $8.79   $9.04   $9.75 
                               
Total return (2)   2.25% (5)   (3.53)%   (0.90)%   (1.92)%   (5.19)%   6.89%
Net assets, end of year or period (in 000s)  $135,577   $133,422   $208,199   $124,443   $72,543   $59,435 
                               
Ratios/Supplemental Data:                              
Ratio of expenses to average net assets (3)   1.35% (6)   1.33%   1.31%   1.41%   1.43%   1.42%
Ratio of net investment income (loss) to average net assets (3,4)   3.81% (6)   2.68%   0.88%   0.70%   1.59%   3.72%
Portfolio turnover rate   292% (5)   802%   820%   619%   794%   640%
                               
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(2)Total return shown assumes the reinvestment of all distributions.

 

(3)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(4)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(5)Not Annualized.

 

(6)Annualized.

 

See accompanying notes to financial statements.

 

66

 

FINANCIAL HIGHLIGHTS
Quantified Managed Income Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Advisor Class 
   Six Months                     
   Ended                     
   December 31,   Year Ended June 30, 
   2023   2023   2022   2021   2020   2019 
   (Unaudited)                     
Net asset value, beginning of year or period  $8.35   $8.70   $8.83   $9.07   $9.70   $9.28 
Activity from investment operations:                              
Net investment income (loss) (1)   0.13    0.19    0.04    (0.02)   0.09    0.30 
Net realized and unrealized gain (loss) on investments, futures and distributions from underlying investment companies   0.02    (0.54)   (0.17)   (0.22)   (0.64)   0.26 
Total from investment operations   0.15    (0.35)   (0.13)   (0.24)   (0.55)   0.56 
Distributions to Shareholders:                              
Net investment income   (0.21)   —    —    —    (0.02)   (0.14)
Net realized gains   —    —    —    —    (0.06)   — 
Total distributions   (0.21)   —    —    —    (0.08)   (0.14)
Net asset value, end of year or period  $8.29   $8.35   $8.70   $8.83   $9.07   $9.70 
                               
Total return (2)   1.85% (5)   (4.02)%   (1.47)%   (2.65)%   (5.76)%   6.16%
Net assets, end of year or period (in 000s)  $10   $23   $17   $27   $523   $570 
                               
Ratios/Supplemental Data:                              
Ratio of expenses to average net assets (3)   1.95% (6)   1.93%   1.91%   2.02%   2.03%   2.02%
Ratio of net investment income (loss) to average net assets (3,4)   3.10% (6)   2.21%   0.44%   (0.25)%   0.96%   3.24%
Portfolio turnover rate   292% (5)   802%   820%   619%   794%   640%
                               
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(2)Total return shown assumes the reinvestment of all distributions.

 

(3)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(4)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(5)Not Annualized.

 

(6)Annualized.

 

See accompanying notes to financial statements.

 

67

 

FINANCIAL HIGHLIGHTS
Quantified Market Leaders Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months                     
   Ended                     
   December 31,   Year Ended June 30, 
   2023   2023   2022   2021   2020   2019 
   (Unaudited)                     
Net asset value, beginning of year or period  $10.11   $9.12   $16.20   $11.02   $9.38   $11.57 
Activity from investment operations:                              
Net investment income (loss) (1)   0.09    0.08    (0.01)   (0.01)   0.00 (2)   0.08 
Net realized and unrealized gain (loss) on investments, futures, swaps and underlying investment companies   0.23    0.91    (3.88)   6.46    1.64    (0.96)
Total from investment operations   0.32    0.99    (3.89)   6.45    1.64    (0.88)
Distributions to Shareholders:                              
Net investment income   (0.20)   —    (0.19)   (0.03)   —    (0.12)
Net realized gains   —    —    (3.00)   (1.24)   —    (1.19)
Total distributions   (0.20)   —    (3.19)   (1.27)   —    (1.31)
Net asset value, end of year or period  $10.23   $10.11   $9.12   $16.20   $11.02   $9.38 
                               
Total return (3)   3.19% (6)   10.86%   (28.64)%   60.94%   17.48%   (6.18)%
Net assets, end of year or period (in 000s)  $233,740   $179,967   $234,197   $360,780   $139,415   $157,573 
                               
Ratios/Supplemental Data:                              
Ratio of expenses to average net assets (4)   1.34% (7)   1.32%   1.30%   1.40%   1.42%   1.42%
Ratio of net investment income (loss) to average net assets (4,5)   1.87% (7)   0.83%   (0.08)%   (0.07)%   (0.05)%   0.81%
Portfolio turnover rate   670% (6)   1592%   1058%   568%   727%   797%
                               
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(2)Represents less than $0.01 per share.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(5)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(6)Not Annualized.

 

(7)Annualized.

 

See accompanying notes to financial statements.

 

68

 

FINANCIAL HIGHLIGHTS
Quantified Market Leaders Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Advisor Class 
   Six Months Ended                     
   December 31,   Year Ended June 30, 
   2023   2023   2022   2021   2020   2019 
   (Unaudited)                     
Net asset value, beginning of year or period  $9.90   $8.98   $15.92   $10.87   $9.30   $11.41 
Activity from investment operations:                              
Net investment income (loss) (1)   0.05    0.02    (0.08)   (0.19)   (0.06)   (0.01)
Net realized and unrealized gain (loss) on investments, futures, swaps and underlying investment companies   0.24    0.90    (3.83)   6.48    1.63    (0.91)
Total from investment operations   0.29    0.92    (3.91)   6.29    1.57    (0.92)
Distributions to Shareholders:                              
Net investment income   (0.15)   —    (0.03)   —    —    — 
Net realized gains   —    —    (3.00)   (1.24)   —    (1.19)
Total distributions   (0.15)   —    (3.03)   (1.24)   —    (1.19)
Net asset value, end of year or period  $10.04   $9.90   $8.98   $15.92   $10.87   $9.30 
                               
Total return (3)   2.89% (6)   10.25%   (29.09)%   60.23%   16.88%   (6.77)%
Net assets, end of year or period (in 000s)  $183   $165   $151   $189   $649   $455 
                               
Ratios/Supplemental Data:                              
Ratio of expenses to average net assets (4)   1.94% (7)   1.93%   1.90%   2.00%   2.03%   2.02%
Ratio of net investment income (loss) to average net assets (4,5)   1.11% (7)   0.23%   (0.67)%   (1.48)%   (0.65)%   (0.12)%
Portfolio turnover rate   670% (6)   1592%   1058%   568%   727%   797%
                               
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(2)Represents less than $0.01 per share.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(5)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(6)Not Annualized.

 

(7)Annualized.

 

See accompanying notes to financial statements.

 

69

 

FINANCIAL HIGHLIGHTS
Quantified Alternative Investment Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months                     
   Ended                     
   December 31,   Year Ended June 30, 
   2023   2023   2022   2021   2020   2019 
   (Unaudited)                     
Net asset value, beginning of year or period  $9.17   $9.49   $10.92   $8.62   $9.48   $9.46 
Activity from investment operations:                              
Net investment income (loss) (1)   0.10    0.22    0.18    (0.04)   0.07    0.07 
Net realized and unrealized gain (loss) on investments, futures and underlying investment companies   (0.09)   (0.39)   (0.34)   2.34    (0.79)   (0.04)
Total from investment operations   0.01    (0.17)   (0.16)   2.30    (0.72)   0.03 
Distributions to Shareholders:                              
Net investment income   (0.32)   (0.15)   (0.16)   —    (0.14)   (0.01)
Net realized gains   —    —    (1.11)   —    —    — 
Total distributions   (0.32)   (0.15)   (1.27)   —    (0.14)   (0.01)
Net asset value, end of year or period  $8.86   $9.17   $9.49   $10.92   $8.62   $9.48 
                               
Total return (2)   0.06%   (1.71)%   (1.99)%   26.68%   (7.76)%   0.28%
Net assets, end of year or period (in 000s)  $4,839 (5)  $6,546   $10,458   $8,627   $7,533   $8,682 
                               
Ratios/Supplemental Data:                              
Ratio of gross expenses to average net assets (3)   1.57% (6)   1.57%   1.33%   1.56%   1.46%   1.42%
Ratio of net expenses to average net assets (3)   1.48% (6)   1.49%   1.33%   1.56%   1.46%   1.42%
Ratio of net investment income (loss) to average net assets (3,4)   2.26% (6)   2.39%   1.77%   (0.43)%   0.74%   0.71%
Portfolio turnover rate   440% (5)   971%   1321%   1031%   570%   595%
                               
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(2)Total returns shown assumes the reinvestment of all distributions.

 

(3)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(4)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(5)Not Annualized.

 

(6)Annualized.

 

See accompanying notes to financial statements.

 

70

 

FINANCIAL HIGHLIGHTS
Quantified Alternative Investment Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Advisor Class 
   Six Months                     
   Ended                     
   December 31,   Year Ended June 30, 
   2023   2023   2022   2021   2020   2019 
   (Unaudited)                     
Net asset value, beginning of year or period  $9.03   $9.32   $10.72   $8.51   $9.35   $9.39 
Activity from investment operations:                              
Net investment income (loss) (1)   0.15    0.15    0.16    (0.05)   (0.05)   0.01 
Net realized and unrealized gain (loss) on investments, futures and underlying investment companies   (0.17)   (0.36)   (0.37)   2.26    (0.71)   (0.05)
Total from investment operations   (0.02)   (0.21)   (0.21)   2.21    (0.76)   (0.04)
Distributions to Shareholders:                              
Net investment income   (0.23)   (0.08)   (0.08)   —    (0.08)   — 
Net realized gains   —    —    (1.11)   —    —    — 
Total distributions   (0.23)   (0.08)   (1.19)   —    (0.08)   — 
Net asset value, end of year or period  $8.78   $9.03   $9.32   $10.72   $8.51   $9.35 
                               
Total return (2)   (0.17)% (5)   (2.24)%   (2.45)%   25.97%   (8.26)%   (0.43)%
Net assets, end of year or period (in 000s)  $70   $71   $70   $82   $62   $15 
                               
Ratios/Supplemental Data:                              
Ratio of gross expenses to average net assets (3)   2.25% (6)   2.19%   1.94%   2.24%   2.14%   2.02%
Ratio of net expenses to average net assets (3)   2.16% (6)   2.11%   1.94%   2.24%   2.14%   2.02%
Ratio of net investment income (loss) to average net assets (3,4)   3.39% (6)   1.68%   1.58%   (0.49)%   (0.57)%   0.09%
Portfolio turnover rate   440% (5)   971%   1321%   1031%   570%   595%
                               
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(2)Total returns shown assumes the reinvestment of all distributions.

 

(3)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(4)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(5)Not Annualized.

 

(6)Annualized.

 

See accompanying notes to financial statements.

71

 

FINANCIAL HIGHLIGHTS
Quantified STF Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months                     
   Ended                     
   December 31,   Year Ended June 30, 
   2023   2023   2022   2021   2020   2019 
   (Unaudited)                     
Net asset value, beginning of year or period  $13.23   $11.52   $17.12   $13.64   $9.51   $10.05 
Activity from investment operations:                              
Net investment income (loss) (1)   0.13    0.08    (0.19)   (0.19)   0.01    0.04 
Net realized and unrealized gain (loss) on investments, futures and underlying investment companies   1.24    1.63    (1.74)   6.95    4.18    (0.34)
Total from investment operations   1.37    1.71    (1.93)   6.76    4.19    (0.30)
Distributions to Shareholders:                              
Net investment income   (0.15)   —    —    0.00(2)   (0.06)   (0.02)
Net realized gains   —    —    (3.67)   (3.28)   —    (0.22)
Total distributions   (0.15)   —    (3.67)   (3.28)   (0.06)   (0.24)
                               
Net asset value, end of year or period  $14.45   $13.23   $11.52   $17.12   $13.64   $9.51 
                               
Total return (3)   10.34% (7)   14.84%   (18.23)% (6)   51.86%   44.17%   (3.12)%
Net assets, end of year or period (in 000s)  $176,697   $210,778   $140,559   $177,970   $70,861   $70,238 
                               
Ratios/Supplemental Data:                              
Ratio of expenses to average net assets (4)   1.62% (8)   1.58%   1.55%   1.66%   1.68%   1.67%
Ratio of net investment income (loss) to average net assets (4,5)   2.02% (8)   0.74%   (1.18)%   (1.16)%   0.05%   0.42%
Portfolio turnover rate   15% (7)   102%   168%   238%   91%   41%
                               
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(2)Represents less than $0.01 per share.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(5)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(6)Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

(7)Not Annualized.

 

(8)Annualized.

 

See accompanying notes to financial statements.

 

72

 

FINANCIAL HIGHLIGHTS
Quantified STF Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Advisor Class 
   Six Months                     
   Ended                     
   December 31,   Year Ended June 30, 
   2023   2023   2022   2021   2020   2019 
   (Unaudited)                     
Net asset value, beginning of year or period  $12.53   $10.98   $16.55   $13.34   $9.31   $9.88 
Activity from investment operations:                              
Net investment income (loss) (1)   0.09    0.01    (0.28)   (0.28)   (0.07)   (0.02)
Net realized and unrealized gain (loss) on investments, futures and underlying investment companies   1.16    1.54    (1.62)   6.77    4.10    (0.33)
Total from investment operations   1.25    1.55    (1.90)   6.49    4.03    (0.35)
Distributions to Shareholders:                              
Net investment income   (0.06)   —    —    —    —    — 
Net realized gains   —    —    (3.67)   (3.28)   —    (0.22)
Total distributions   (0.06)   —    (3.67)   (3.28)   —    (0.22)
                               
Net asset value, end of year or period  $13.72   $12.53   $10.98   $16.55   $13.34   $9.31 
                               
Total return (3)   9.98% (7)   14.12% (6)   (18.72)%   50.87%   43.29%   (3.65)%
Net assets, end of year or period (in 000s)  $275   $229   $302   $566   $456   $121 
                               
Ratios/Supplemental Data:                              
Ratio of expenses to average net assets (4)   2.22% (8)   2.18%   2.15%   2.27%   2.28%   2.27%
Ratio of net investment income (loss) to average net assets (4,5)   1.43% (8)   0.10%   (1.79)%   (1.74)%   (0.65)%   (0.20)%
Portfolio turnover rate   15% (7)   102%   168%   238%   91%   41%
                               
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(2)Represents less than $0.01 per share.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(5)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(6)Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

(7)Not Annualized.

 

(8)Annualized.

 

See accompanying notes to financial statements.

 

73

 

FINANCIAL HIGHLIGHTS
Quantified Pattern Recognition Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months Ended       Period Ended 
   December 31,   Year Ended June 30,   June 30, 
   2023   2023   2022   2021   2020 (1) 
   (Unaudited)                 
Net asset value, beginning of year or period  $11.24   $8.32   $13.42   $10.49   $10.00 
Activity from investment operations:                         
Net investment income (loss) (2)   0.18    0.21    (0.13)   (0.13)   (0.00) (6)
Net realized and unrealized gain (loss) on investments and futures   (0.96)   2.72    (1.94)   3.08    0.90 
Total from investment operations   (0.78)   2.93    (2.07)   2.95    0.90 
Distributions to Shareholders:                         
Net investment income   (0.40)   (0.01)   —    —    (0.02)
Net realized gains   —    —    (3.03)   (0.02)   (0.39)
Total distributions   (0.40)   (0.01)   (3.03)   (0.02)   (0.41)
                          
Net asset value, end of year or period  $10.06   $11.24   $8.32   $13.42   $10.49 
                          
Total return (3)   (6.92)% (7)   35.28%   (21.49)%   28.21%   8.90% (7)
Net assets, end of year or period (in 000s)  $27,079   $61,401   $18,290   $70,953   $20,138 
                          
Ratios/Supplemental Data:                         
Ratio of gross expenses to average net assets (4)   1.63% (8)   1.62%   1.55%   1.67%   1.69% (8)
Ratio of net expenses to average net assets (4)   1.60% (8)   1.59%   1.55%   1.67%   1.69% (8)
Ratio of net investment income (loss) to average net assets (4,5)   3.33% (8)   2.17%   (1.17)%   (1.12)%   (0.01)% (8)
Portfolio turnover rate   56% (7)   314%   495%   226%   244% (7)
                          
(1)The Fund commenced operations on August 30, 2019.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(5)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(6)Represents less than $0.01 per share.

 

(7)Not Annualized.

 

(8)Annualized.

 

See accompanying notes to financial statements.

 

74

 

FINANCIAL HIGHLIGHTS
Quantified Tactical Fixed Income Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months Ended               Period Ended 
   December 31,   Year Ended June 30,   June 30, 
   2023   2023   2022   2021   2020 (1) 
   (Unaudited)                 
Net asset value, beginning of year or period  $7.91   $9.13   $9.99   $10.95   $10.00 
Activity from investment operations:                         
Net investment income (loss) (2)   0.06    0.06    (0.12)   (0.14)   (0.02)
Net realized and unrealized gain (loss) on investments, futures and swaps   (0.48)   (1.28)   (0.74)   (0.59)   1.18 
Total from investment operations   (0.42)   (1.22)   (0.86)   (0.73)   1.16 
Distributions to Shareholders:                         
Net investment income   (0.01)   —    —    —    (0.03)
Net realized gains   —    —    —    (0.23)   (0.18)
Return of capital   —    —    —    (0.00) (8)   — 
Total distributions   (0.01)   —    —    (0.23)   (0.21)
                          
Net asset value, end of year or period  $7.48   $7.91   $9.13   $9.99   $10.95 
                          
Total return (3)   (5.36)% (4)   (13.36)%   (8.61)%   (6.83)%   11.84% (4)
Net assets, end of year or period (in 000s)  $60,113   $113,315   $152,863   $172,596   $86,168 
                          
Ratios/Supplemental Data:                         
Ratio of expenses to average net assets (6)   1.60% (5)   1.58%   1.56%   1.66%   1.67% (5)
Ratio of net investment income (loss) to average net assets (6,7)   1.50% (5)   0.72%   (1.20)%   (1.31)%   (0.23)% (5)
Portfolio turnover rate   5% (4)   85%   121%   121%   177% (4)
                          
(1)The Fund commenced operations on September 13, 2019.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)Not Annualized.

 

(5)Annualized.

 

(6)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund

 

(7)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(8)Represents less than $0.01 per share.

 

See accompanying notes to financial statements.

 

75

 

CONSOLIDATED FINANCIAL HIGHLIGHTS
Quantified Evolution Plus Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months                 
   Ended               Period Ended 
   December 31,   Year Ended June 30,   June 30, 
   2023   2023   2022   2021   2020 (1) 
   (Unaudited)                 
Net asset value, beginning of year or period  $7.45   $7.97   $9.87   $8.90   $10.00 
Activity from investment operations:                         
Net investment income (loss) (2)   0.11    0.12    (0.12)   (0.13)   (0.04)
Net realized and unrealized gain (loss) on investments, futures and swaps   (0.30)   (0.63)   (0.50)   1.32    (1.05)
Total from investment operations   (0.19)   (0.51)   (0.62)   1.19    (1.09)
Distributions to Shareholders:                         
Net investment income   (1.43)   (0.01)   —    (0.22)   (0.01)
Net realized gains   —    —    (1.28)   —    (0.00) (8)
Total distributions   (1.43)   (0.01)   (1.28)   (0.22)   (0.01)
                          
Net asset value, end of year or period  $5.83   $7.45   $7.97   $9.87   $8.90 
                          
Total return (3)   (2.51)% (4)   (6.46)%   (8.32)%   13.50%   (10.87)% (4)
Net assets, end of year or period (in 000s)  $14,230   $49,294   $141,943   $58,744   $25,442 
                          
Ratios/Supplemental Data:                         
Ratio of expenses to average net assets (6)   1.63% (5)   1.59%   1.56%   1.66%   1.68% (5)
Ratio of net investment income (loss) to average net assets (6,7)   2.96% (5)   1.56%   (1.26)%   (1.37)%   (0.53)% (5)
Portfolio turnover rate   144% (4)   635%   514%   594%   437% (4)
                          
(1)The Fund commenced operations on September 30, 2019.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)Not Annualized.

 

(5)Annualized.

 

(6)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(7)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(8)Represents less than $0.01 per share.

 

See accompanying notes to consolidated financial statements.

 

76

 

FINANCIAL HIGHLIGHTS
Quantified Common Ground Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months Ended               Period Ended 
   December 31,   Year Ended June 30,   June 30, 
   2023   2023   2022   2021   2020 (1) 
   (Unaudited)                 
Net asset value, beginning of year or period  $13.10   $12.92   $12.81   $9.37   $10.00 
Activity from investment operations:                         
Net investment income (loss) (2)   0.03    0.05    0.04    (0.10)   (0.01)
Net realized and unrealized gain (loss) on investments   1.12    0.13 (9)   0.84    3.73    (0.62)
Total from investment operations   1.15    0.18    0.88    3.63    (0.63)
Distributions to Shareholders:                         
Net investment income   (0.03)   —    —    —    — 
Net realized gains   —    —    (0.77)   (0.19)   — 
Total distributions   (0.03)   —    (0.77)   (0.19)   — 
                          
Net asset value, end of year or period  $14.22   $13.10   $12.92   $12.81   $9.37 
                          
Total return (3)   8.78% (4)   1.39%   6.35% (6)   38.99%   (6.30)% (4)
Net assets, end of year or period (in 000s)  $143,914   $100,992   $43,520   $51,981   $19,972 
                          
Ratios/Supplemental Data:                         
Ratio of expenses to average net assets (7)   1.74% (5)   1.77%   1.68%   1.78%   1.74% (5)
Ratio of net investment income (loss) to average net assets (7,8)   0.41% (5)   0.39%   0.31%   (0.86)%   (0.12)% (5)
Portfolio turnover rate   426% (4)   1063%   1382%   1001%   484% (4)
                          
(1)The Fund commenced operations on December 27, 2019.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)Not Annualized.

 

(5)Annualized.

 

(6)Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

(7)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(8)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(9)Net realized and unrealized gain on investments per share are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains (losses) in the Statements of Operations due to the share transactions for the period.

 

See accompanying notes to financial statements.

 

77

 

FINANCIAL HIGHLIGHTS
Quantified Tactical Sectors Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months             
   Ended           Period Ended 
   December 31,   Year Ended June 30,   June 30, 
   2023   2023   2022   2021 (1) 
   (Unaudited)             
Net asset value, beginning of year or period  $6.69   $5.85   $10.56   $10.00 
Activity from investment operations:                    
Net investment income (loss) (2)   0.03    0.03    (0.05)   (0.02)
Net realized and unrealized gain (loss) on investments   (0.07)   0.82    (4.41)   0.58 
Total from investment operations   (0.04)   0.85    (4.46)   0.56 
Distributions to Shareholders:                    
Net investment income   (0.39)   (0.01)   —    — 
Net realized gains   —    —    (0.25)   — 
Total distributions   (0.39)   (0.01)   (0.25)   — 
                     
Net asset value, end of year or period  $6.26   $6.69   $5.85   $10.56 
                     
Total return (3)   (0.54)% (4)   14.58%   (42.89)%   5.60% (4)
Net assets, end of year or period (in 000s)  $73,750   $69,952   $75,230   $54,251 
                     
Ratios/Supplemental Data:                    
Ratio of expenses to average net assets (6)   1.60% (5)   1.58%   1.56%   1.62% (5)
Ratio of net investment income (loss) to average net assets (6,7)   1.10% (5)   0.54%   (0.70)%   (0.66)% (5)
Portfolio turnover rate   624% (4)   1223%   1392%   205% (4)
                     
(1)The Fund commenced operations on March 4, 2021.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)Not Annualized.

 

(5)Annualized.

 

(6)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(7)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

See accompanying notes to financial statements.

 

78

 

FINANCIAL HIGHLIGHTS
Quantified Rising Dividend Tactical Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months Ended             
   December 31,   Year Ended June 30,   Period Ended June 30, 
   2023   2023   2022   2021 (1) 
   (Unaudited)             
Net asset value, beginning of year or period  $7.75   $8.58   $10.24   $10.00 
Activity from investment operations:                    
Net investment income (2)   0.05    0.04    0.01    0.00 (6)
Net realized and unrealized gain (loss) on investments, futures and underlying investment companies   0.50    (0.67)   (1.62)   0.24 
Total from investment operations   0.55    (0.63)   (1.61)   0.24 
Distributions to Shareholders:                    
Net investment income   (0.05)   —    (0.05)   — 
Net realized gains   —    (0.20)   —    — 
Total distributions   (0.05)   (0.20)   (0.05)   — 
                     
Net asset value, end of year or period  $8.25   $7.75   $8.58   $10.24 
                     
Total return (3)   7.13% (4)   (7.28)%   (15.80)%   2.40% (4)
Net assets, end of year or period (in 000s)  $36,142   $30,446   $27,418   $21,578 
                     
Ratios/Supplemental Data:                    
Ratio of gross expenses to average net assets (7)   1.65% (5)   1.65%   1.59%   1.58% (5)
Ratio of net expenses to average net assets (7)   1.62% (5)   1.62%   1.59%   1.58% (5)
Ratio of net investment income to average net assets (7,8)   1.27% (5)   0.51%   0.11%   0.11% (5)
Portfolio turnover rate   176% (4)   469%   288%   0% (4)
                     
(1)The Fund commenced operations on April 14, 2021.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)Not Annualized.

 

(5)Annualized.

 

(6)Represents less than $0.01 per share.

 

(7)The ratios of expenses to average net assets and net investment income to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(8)Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

See accompanying notes to financial statements.

 

79

 

FINANCIAL HIGHLIGHTS
Quantified Government Income Tactical Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the year or period.
 
   Investor Class 
   Six Months Ended             
   December 31,   Year Ended June 30,   Period Ended June 30, 
   2023   2023   2022   2021 (1) 
   (Unaudited)             
Net asset value, beginning of year or period  $8.08   $9.46   $10.09   $10.00 
Activity from investment operations:                    
Net investment income (loss)(2)   0.13    0.13    (0.12)   (0.03)
Net realized and unrealized gain (loss) on investments, futures and underlying investment companies   (0.86)   (1.51)   (0.37)   0.12 
Total from investment operations   (0.73)   (1.38)   (0.49)   0.09 
Distributions to Shareholders:                    
Net investment income   (0.40)   —    —    — 
Net realized gains   —    —    (0.14)   — 
Total distributions   (0.40)   —    (0.14)   — 
                     
Net asset value, end of year or period  $6.95   $8.08   $9.46   $10.09 
                     
Total return (3)   (9.02)% (4)   (14.59)%   (5.05)%   0.90% (4)
Net assets, end of year or period (in 000s)  $14,559   $43,195   $66,188   $6,947 
                     
Ratios/Supplemental Data:                    
Ratio of gross expenses to average net assets (6)   1.64% (5)   1.61%   1.56%   1.63% (5)
Ratio of net expenses to average net assets (6)   1.61% (5)   1.59%   1.56%   1.63% (5)
Ratio of net investment income (loss) to average net assets (6,7)   3.31% (5)   1.49%   (1.15)%   (1.28)% (5)
Portfolio turnover rate   39% (4)   593%   766%   98% (4)
                     
(1)The Fund commenced operations on April 15, 2021.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)Not Annualized.

 

(5)Annualized.

 

(6)The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(7)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

See accompanying notes to financial statements.

 

80

 

FINANCIAL HIGHLIGHTS
Quantified Global Fund
 
The table sets forth financial data for one share of beneficial interest outstanding throughout the period.
 
   Investor Class 
   Period Ended 
   December 31, 
   2023 (1) 
   (Unaudited) 
Net asset value, beginning of period  $10.00 
Activity from investment operations:     
Net investment income(2)   0.01 
Net realized and unrealized gain on investments   0.23 
Total from investment operations   0.24 
      
Net asset value, end of period  $10.24 
      
Total return (3)   2.40% (4)
Net assets, end of period (in 000s)  $6,687 
      
Ratios/Supplemental Data:     
Ratio of gross expenses to average net assets (6)   1.94% (5)
Ratio of net expenses to average net assets (6)   1.77% (5)
Ratio of net investment income to average net assets (6,7)   0.86% (5)
Portfolio turnover rate   21% (4)
      
(1)The Fund commenced operations on November 29, 2023.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(3)Total returns shown assumes the reinvestment of all distributions.

 

(4)Not Annualized.

 

(5)Annualized.

 

(6)The ratios of expenses to average net assets and net investment income to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

 

(7)Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

See accompanying notes to financial statements.

 

81

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)
December 31, 2023

 

1.ORGANIZATION

 

Quantified Managed Income Fund, Quantified Market Leaders Fund, Quantified Alternative Investment Fund, Quantified STF Fund, Quantified Pattern Recognition Fund, Quantified Tactical Fixed Income Fund, Quantified Evolution Plus Fund, Quantified Common Ground Fund, Quantified Tactical Sectors Fund, Quantified Rising Dividend Tactical Fund, Quantified Government Income Tactical Fund and Quantified Global Fund (each a “Fund” and collectively the “Funds”) are each a diversified series (except Quantified Common Ground Fund, Quantified Tactical Sectors Fund and Quantified Global Fund, which are non-diversified series), of Advisors Preferred Trust (the “Trust”), a statutory trust organized under the laws of the State of Delaware on August 15, 2012 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Quantified Managed Income Fund, Quantified Market Leaders Fund, Quantified Alternative Investment Fund and Quantified STF Fund currently offer two classes of shares, Investor and Advisor classes of shares each of which are offered at Net Asset Value per share (“NAV”). Quantified Pattern Recognition Fund, Quantified Tactical Fixed Income Fund, Quantified Evolution Plus Fund, Quantified Common Ground Fund, Quantified Tactical Sectors Fund, Quantified Rising Dividend Tactical Fund, Quantified Government Income Tactical Fund and Quantified Global Fund currently offer Investor Class shares, which are offered at NAV. The Quantified Managed Income Fund, Quantified Market Leaders Fund, Quantified Alternative Investment Fund, Quantified Tactical Sectors Fund, and Quantified Rising Dividend Tactical Fund are “fund of funds”, in that these Funds will generally invest in other investment companies.

 

The Funds’ commencement dates and their investment objectives are as follows:

 

Fund Investor Class Advisor Class Investment Objective
Quantified Managed Income Fund August 9, 2013 March 18, 2016 seeks high total return from fixed income investments on an annual basis consistent with a moderate tolerance for risk
Quantified Market Leaders Fund August 9, 2013 March 18, 2016 seeks high appreciation on an annual basis consistent with a high tolerance for risk
Quantified Alternative Investment Fund August 9, 2013 March 18, 2016 seeks high total return from alternative investment vehicles on an annual basis consistent with a high tolerance for risk
Quantified STF Fund November 13, 2015 November 13, 2015 seeks high appreciation on an annual basis consistent with a high tolerance for risk.
Quantified Pattern Recognition Fund August 30, 2019 N/A seeks capital appreciation
Quantified Tactical Fixed Income Fund September 13, 2019 N/A seeks total return
Quantified Evolution Plus Fund September 30, 2019 N/A seeks capital appreciation
Quantified Common Ground Fund December 27, 2019 N/A seeks total return
Quantified Tactical Sectors Fund March 4, 2021 N/A seeks high appreciation on an annual basis consistent with a high tolerance for risk
Quantified Rising Dividend Tactical Fund April 14, 2021 N/A seeks total return consistent with a moderate tolerance for risk
Quantified Government Income Tactical Fund April 15, 2021 N/A seeks high total return consistent with a moderate tolerance for risk
Quantified Global Fund November 29, 2023 N/A seeks total return

 

2.SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by each Fund in preparation of their financial statements. The policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at 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. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services – Investment Companies including FASB Accounting Standard Update (“ASU”) 2013-08. Each Fund’s income, expenses (other than class-specific distribution and service fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.

 

Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being

82

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price. In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Futures are valued at the final settled price or, in the absence of a settled price, at the last sale price on the day of valuation. Investments in open-end investment companies are valued at net asset value. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Short-term debt obligations with remaining maturities in excess of sixty days are valued at current market prices by an independent pricing service approved by the Trust’s Board of Trustees. The independent pricing service does not distinguish between smaller-sized bond positions known as “odd lots” and larger institutional-sized bond positions known as “round lots”. The Funds may fair value a particular bond if the advisor does not believe that the round lot value provided by the independent pricing service reflects fair value of the Funds’ holding. Total return swaps on exchange-listed securities shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. Exchange listed swaps shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short-term debt obligations having sixty days or less remaining until maturity, at time of purchase, may be valued at amortized cost which approximates fair value.

 

Each Fund may hold securities, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued at their fair value as determined using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to a fair value committee composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor and/or sub-advisor. The committee may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security specific fair value. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

 

Fair Valuation Process – As noted above, the fair value committee is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor and/or sub-advisor. The applicable investments are valued collectively via inputs from each of these groups. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source) and (ii) securities for which, in the judgment of the advisor, the prices or values available do not represent the fair value of the instrument. Factors which may cause the advisor and/or sub-advisor to make such a judgment include, but are not limited to, the following: only a bid price or an asked price is available; the spread between bid and asked prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to each Fund’s calculation of its net asset value. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private investments or non-traded securities are valued via inputs from the advisor based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the advisor and/or sub-advisor is unable to obtain a current bid from such independent dealers or other independent parties, the fair value committee shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Funds’ holdings; (iv) the discount

83

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

 

Valuation of Fund of Funds – Each Fund invests in portfolios of exchange traded funds and open-end funds or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based upon the methods established by the board of directors of the Underlying Funds.

 

Open-end mutual funds are valued at their respective net asset values as reported by such investment companies. The shares of many Underlying Funds frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any Underlying Funds purchased by the Funds will not change.

 

Units of Mount Vernon Liquid Assets Portfolio, LLC are not traded on or exchange and are valued at the investment company’s NAV per unit without further adjustment, as a practical expedient of fair value.

 

The Funds utilize various methods to measure the fair value of all of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have 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.

84

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of December 31, 2023 for each Fund’s assets and liabilities measured at fair value:

 

Quantified Managed Income Fund 
  
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Common Stocks *  $13,289,217   $—   $—   $13,289,217 
Exchange-Traded Funds   112,944,763    —    —    112,944,763 
Short-Term Investments   6,385,791    —    —    6,385,791 
Collateral For Securities Loaned   —    —    —    42,926,967 **
Total Investments  $132,619,771   $—   $—   $175,546,738 
Derivatives                    
Futures Contracts  $1,124,305   $—   $—   $1,124,305 
Total Assets  $133,744,076   $—   $—   $176,671,043 
Liabilities                    
Derivatives                    
Futures Contracts  $(43,300)  $—   $—   $(43,300)
Total Liabilities  $(43,300)  $—   $—   $(43,300)
                     
Quantified Market Leaders Fund 
                 
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Exchange-Traded Funds  $186,273,775   $—   $—   $186,273,775 
Short-Term Investments   32,022,921    —    —    32,022,921 
Collateral For Securities Loaned   —    —    —    34,508,700 **
Total Investments  $218,296,696   $—   $—   $252,805,396 
Derivatives                    
Total Return Swaps  $—   $15,617,320   $—   $15,617,320 
Total Assets  $218,296,696   $15,617,320   $—   $268,422,716 
                     
Quantified Alternative Investment Fund 
                 
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Exchange-Traded Funds  $2,694,805   $—   $—   $2,694,805 
Open-End Mutual Funds   1,414,791    —    —    1,414,791 
Short-Term Investments   987,349    —    —    987,349 
Collateral For Securities Loaned   —    —    —    176,225 **
Total Investments  $5,096,945   $—   $—   $5,273,170 
Derivatives                    
Futures Contracts  $37,127   $—   $—   $37,127 
Total Assets  $5,134,072   $—   $—   $5,310,297 
                     
Quantified STF Fund 
                 
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Exchange-Traded Fund  $143,332   $—   $—   $143,332 
Corporate Bonds *   —    23,076,662    —    23,076,662 
U.S. Governmet & Agencies   —    3,989,969    —    3,989,969 
Certificate of Deposit *   —    14,753,264    —    14,753,264 
Short-Term Investments   89,516,991    —    —    89,516,991 
Total Investments  $89,660,323   $41,819,895   $—   $131,480,218 
Derivatives                    
Futures Contracts  $11,122,202   $—   $—   $11,122,202 
Total Assets  $100,782,525   $41,819,895   $—   $142,602,420 

85

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Quantified Pattern Recognition Fund 
  
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Exchange-Traded Fund  $71,297   $—   $—   $71,297 
Corporate Bond *   —    1,001,078    —    1,001,078 
U.S. Government & Agencies   —    1,996,133    —    1,996,133 
Certificate of Deposit *   —    4,999,853    —    4,999,853 
Short-Term Investments   15,243,583    —    —    15,243,583 
Total Investments  $15,314,880   $7,997,064   $—   $23,311,944 
Derivatives                    
Futures Contracts  $23,988   $—   $—   $23,988 
Total Assets  $15,338,868   $7,997,064   $—   $23,335,932 
                     
Quantified Tactical Fixed Income Fund 
                 
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Exchange-Traded Fund  $128,544   $—   $—   $128,544 
Corporate Bonds*   —    22,827,326    —    22,827,326 
U.S. Government & Agencies   —    3,989,969    —    3,989,969 
Certificate of Deposit *   —    13,758,772    —    13,758,772 
Short-Term Investments   4,824,784    —    —    4,824,784 
Collateral For Securities Loaned   —    —    —    1,399,440 **
Total Investments  $4,953,328   $40,576,067   $—   $46,928,835 
Derivatives                    
Total Return Swaps  $—   $294,898   $—   $294,898 
Total Assets  $4,953,328   $40,870,965   $—   $47,223,733 
Liabilities                    
Derivatives                    
Futures Contracts  $(76,568)  $—   $—   $(76,568)
Total Return Swaps   —    (25,283)   —    (25,283)
Total Liabilities  $(76,568)  $(25,283)  $—   $(101,851)
                     
Quantified Evolution Plus Fund 
                 
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Exchange-Traded Funds  $467,174   $—   $—   $467,174 
Corporate Bond *   —    1,001,078    —    1,001,078 
U.S.Government & Agencies   —    1,996,133    —    1,996,133 
Certificate of Deposit *   —    3,998,261    —    3,998,261 
Short-Term Investments   3,278,842    —    —    3,278,842 
Collateral For Securities Loaned   —    —    —    20,568 **
Total Investments  $3,746,016   $6,995,472   $—   $10,762,056 
Derivatives                    
Futures Contracts  $224,515   $—   $—   $224,515 
Total Return Swaps   —    253,572    —    253,572 
Total Assets  $3,970,531   $7,249,044   $—   $11,240,143 
Liabilities                    
Derivatives                    
Total Return Swaps  $—   $(446)  $—   $(446)
Total Liabilities  $—   $(446)  $—   $(446)

86

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Quantified Common Ground Fund 
  
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Common Stocks *  $136,074,594   $—   $—   $136,074,594 
Short-Term Investments   9,076,500    —    —    9,076,500 
Collateral For Securities Loaned   —    —    —    20,951,158 **
Total Investments  $145,151,094   $—   $—   $166,102,252 
                     
Quantified Tactical Sectors Fund 
  
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Exchange-Traded Funds  $58,388,342   $—   $—   $58,388,342 
Short-Term Investments   11,749,453    —    —    11,749,453 
Collateral For Securities Loaned   —    —    —    1,241,875 **
Total Investments  $70,137,795   $—   $—   $71,379,670 
Derivatives                    
Total Return Swaps  $—   $3,514,378   $—   $3,514,378 
Total Assets  $70,137,795   $3,514,378   $—   $74,894,048 
                     
Quantified Rising Dividend Tactical Fund 
  
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Exchange-Traded Funds  $31,357,274   $—   $—   $31,357,274 
Total Investments  $31,357,274   $—   $—   $31,357,274 
Derivatives                    
Total Return Swaps  $—   $1,790,893   $—   $1,790,893 
Total Assets  $31,357,274   $1,790,893   $—   $33,148,167 
                     
Quantified Government Income Tactical Fund 
                 
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Exchange-Traded Fund   9,888   $—   $—   $9,888 
Corporate Bond *   —    1,001,078    —    1,001,078 
U.S. Government & Agencies   —    1,996,133    —    1,996,133 
Certificates of Deposit *   —    3,998,261    —    3,998,261 
Short-Term Investments   7,050,825    —    —    7,050,825 
Total Investments  $7,060,713   $6,995,472   $—   $14,056,185 
Liabilities                    
Derivatives                    
Futures Contracts  $(23,986)  $—   $—   $(23,986)
Total Liabilities  $(23,986)  $—   $—   $(23,986)
                     
Quantified Global Fund 
                 
Assets  Level 1   Level 2   Level 3   Total 
Investments                
Exchange-Traded Funds   1,481,570   $—   $—   $1,481,570 
Depository Receipts *   4,480,874    —    —    4,480,874 
Short-Term Investments   696,988    —    —    696,988 
Total Investments  $6,659,432   $—   $—   $6,659,432 

 

*Refer to each of the Schedule of Investments for industry classifications.

 

**Investment valued using the NAV per share practical expedient. In accordance with Topic 820, the investment is excluded from the fair value.

 

The Funds did not hold any Level 3 securities during the period ended December 31, 2023.

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The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Consolidation of Subsidiaries – The consolidated financial statements of the Quantified Evolution Plus Fund include the accounts of QEPF Fund Limited (“QEPF Ltd.”), a wholly-owned subsidiary. All inter-company accounts and transactions have been eliminated in consolidation. The Fund may invest up to 25% of its total assets in QEPF Ltd., which acts as an investment vehicle in order to affect certain investments consistent with the Fund’s investment objectives and policies. The subsidiary commenced operations on December 30, 2019 and is an exempted Cayman Islands company with limited liability.

 

A summary of the Fund’s investment in QEPF Ltd. is as follows:

 

  Inception Date QEPF Ltd. Net Assets at % Of Net Assets at
  of QEPF Ltd. December 31, 2023 December 31, 2023
QEPF Ltd. 12/30/19 $454,830 3.2%

 

Exchange Traded Funds (“ETFs”), Mutual Funds and Exchange Traded Notes (“ETNs”) Risk – ETFs, mutual funds and ETNs are subject to investment advisory or management and other expenses, which will be indirectly paid by the Funds. Each is subject to specific risks, depending on investment strategy. Also, each may be subject to leverage risk, which will magnify losses. ETNs are subject to default risks.

 

Each Fund invests in ETFs. ETFs are typically a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and typically represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. Each Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

 

Cash Accounts – At times, the Funds may invest cash in a short-term deposit sweep vehicle program. Such deposits are in amounts at any such depositary institution not in excess of the Federal Deposit Insurance Corporation (“FDIC”) or National Credit Union Share Insurance Fund standard maximum deposit insurance amount such that funds are insured across the various banks or credit unions at which such funds are deposited. StoneCastle Cash Management, LLC (“StoneCastle”) provides ministerial deposit placement assistance to the Funds with respect to the short-term deposit sweep vehicle program. These deposits are not custodied by StoneCastle. These amounts are included as Cash on the Statements of Assets and Liabilities to the extent they are held by the Funds as of December 31, 2023.

 

Foreign Currency Translations – All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities and income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. These amounts are included with Net realized and unrealized gain/(loss) on Investments in the Statements of Operations. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

 

Swap Contracts – Each Fund is subject to equity price risk, interest rate risk, credit risk and counterparty risk in the normal course of pursuing its investment objective. Each Fund may enter into various swap transactions for investment purposes or to manage interest rate, equity, or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.

88

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Standard equity swap contracts are between two parties that agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross amount to be exchanged is calculated with respect to a “notional amount” (i.e. the return on or increase in value of a particular dollar amount invested in a security or “basket” of securities representing a particular index or industry sector on underlying fund). Most equity swap agreements entered into by a Fund calculate the obligations of the parties on a “net basis”. Consequently, a Fund’s current obligations under a swap agreement generally will be equal to the net amount to be paid or received under the agreement based on the relative value of the positions held by each party. Each Fund’s obligations are accrued daily (offset by any amounts owed to the Fund).

 

Each Fund may enter into swap contracts that provide the opposite return of the particular benchmark or security (“short” the index or security). The operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and the dividends on the underlying securities reduce the return of the swap. However, in certain instances, market factors such as the interest rate environment and the demand to borrow the securities underlying the swap agreement can cause a scenario in which the Fund pays the counterparty interest. These amounts are netted with any unrealized appreciation or depreciation to determine the value of the swap. The Funds will typically enter into equity swap agreements in instances where the advisor believes that it may be more cost effective or practical than buying a security or the securities represented by a particular index.

 

Each Fund may enter into credit default swaps (“CDS”). CDS are typically two-party (bilateral) financial contracts that transfer credit exposure between the two parties. One party to a CDS (referred to as the credit protection “buyer”) receives credit protection or sheds credit risk, whereas the other party to a CDS (referred to as the credit protection “seller”) is selling credit protection or taking on credit risk. The seller typically receives pre-determined periodic payments from the other party. These payments are in consideration for agreeing to make compensating specific payments to the buyer should a negative credit event occur, such as (1) bankruptcy or (2) failure to pay interest or principal on a reference debt instrument, with respect to a specified issuer or one of the reference issuers in a CDS portfolio. In general, CDS may be used by a Fund to obtain credit risk exposure similar to that of a direct investment in high yield bonds.

 

The amounts to be exchanged or “swapped” between parties are calculated with respect to the notional amount. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The maximum pay-outs for these contracts are limited to the notional amount of each swap. CDS may involve greater risks than if a Fund had invested in the referenced obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk.

 

Each Fund may enter into Interest Rate Swaps. Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount. Each Fund may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate on a notional principal amount.

 

Each Fund may enter into Total Return Swaps (“TRS”). Total Return Swaps are typically two-party (bilateral) financial contracts which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income it generates and any capital gains. In total return swaps, the underlying asset, referred to as the reference asset, is usually an equity, equity index, loans, or bonds. This is owned by the party receiving the set rate payment. The TRS allows one party to derive the economic benefit of owning an asset without putting that asset on its balance sheet, and allows the other party, which does retain that asset on its balance sheet, to buy protection against loss in its value.

89

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Each Fund collateralizes swap agreements with cash and certain securities as indicated on the Schedule of Investments of the Fund and Statements of Assets and Liabilities, respectively. Such collateral is held for the benefit of the counterparty in a segregated account at the Custodian to protect the counterparty against non-payment by the Fund. Each Fund does not net collateral. In addition, the parties have mutually agreed to settle significant unrealized appreciation / depreciation on the swap contracts as they occur, resulting in an advance or prepayment on such swaps. Such amounts, if any, would be offset against the applicable contract upon final settlement. In the event of a default by the counterparty, a Fund will seek return of this collateral and may incur certain costs exercising its rights with respect to the collateral. Amounts expected to be owed to a Fund may be collateralized either directly with the Fund or in a segregated account at the custodian.

 

Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty to the extent that posted collateral is insufficient. Each Fund will enter into swap agreements only with large, well-capitalized and established financial institutions. The creditworthiness of each of the firms that is counterparty to a swap agreement is monitored by the Advisor. The financial statements of these counterparties may be available by accessing the SEC’s website, at www.sec.gov.

 

International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by the Funds and their counterparties. The 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 Agreements. Any election to early terminate could be material to the financial statements. For the year ended June 30, 2023, Quantified Market Leaders Fund, Quantified Tactical Fixed Income Fund, Quantified Evolution Plus Fund, Quantified Tactical Sectors Fund and Quantified Rising Dividend Tactical Fund entered into total return swaps and are subject to applicable master netting arrangements.

 

Futures Contracts – Each Fund may be subject to the change in value of equity and interest rate risk in the normal course of pursuing its investment objective. Each Fund may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities and interest rates. 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 (each Fund’s 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. When the contracts are closed, each Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and each Fund’s basis in the contract. If the Funds are unable to liquidate a futures contract and/or enter into an offsetting closing transaction, each Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Each Fund segregates cash having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recorded in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to each Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

During the normal course of business, each Fund purchases and sells various financial instruments, which may result in risks, the amount of which is not apparent from the financial statements.

 

Security Transactions and Related Income – Security transactions are accounted for on trade date. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities using the effective interest method. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities

90

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Foreign withholding tax is recorded as incurred or known, in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.

 

Dividends and Distributions to Shareholders – Dividends from net investment income, if any, are declared and paid annually. Distributable net realized capital gains, if any, are declared and distributed annually in December. Dividends from net investment income and distributions from net realized gains are recorded on ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification. These reclassifications have no effect on net assets, results from operations or net asset value per share of the Funds.

 

Federal Income Tax – It is each Fund’s policy to continue to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Therefore, no federal income tax provision is required.

 

The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed each Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for the open tax years (June 30, 2021 – June 30, 2023) or expected to be taken in the Funds’ June 30, 2024 tax returns. The Funds identify their major tax jurisdictions as U.S. Federal, and foreign jurisdictions where each Fund makes significant investments; however the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

 

For tax purposes, QEPF Ltd. is an exempted Cayman Islands investment company. QEPF has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits, and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, QEPF is a controlled foreign corporation (“CFC”) and as such is not subject to U.S. income tax. However, as a wholly-owned CFC, the net income and capital gain of the CFC, to the extent of its earnings and profits, will be included each year in Quantified Evolution Plus Fund’s investment company taxable income.

 

Expenses – Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses that are not readily identifiable to a specific fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds in the Trust.

 

Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, each Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.

91

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

3.INVESTMENT TRANSACTIONS

 

The cost of purchases and proceeds from sale of securities, other than short-term investments, swaps and futures contracts, for the six month/period ended December 31, 2023 for the Funds were as follows:

 

Fund  Purchases   Sales 
Quantified Managed Income Fund  $355,038,428   $300,060,693 
Quantified Market Leaders Fund   863,721,944    813,353,495 
Quantified Alternative Investment Fund   35,820,931    37,157,665 
Quantified STF Fund   6,440,659    7,056,504 
Quantified Pattern Recognition Fund   4,510,040    4,486,975 
Quantified Tactical Fixed Income Fund   2,269,543    2,180,037 
Quantified Evolution Plus Fund   10,490,022    15,226,320 
Quantified Common Ground Fund   543,775,685    506,488,636 
Quantified Tactical Sectors Fund   282,827,454    279,209,805 
Quantified Rising Dividend Tactical Fund   45,243,960    42,194,256 
Quantified Government Income Tactical Fund   2,743,953    2,858,133 
Quantified Global Fund   7,091,366    1,248,705 

 

4.IMPACT OF DERIVATIVES ON THE STATEMENTS OF ASSETS AND LIABILITIES AND STATEMENTS OF OPERATIONS

 

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of December 31, 2023:

 

Derivative Investment Type Location on the Statements of Assets and Liabilities
Futures Unrealized appreciation (depreciation) on futures
Swaps Unrealized appreciation (depreciation) on swaps

 

       Asset derivatives      
  Quantified Managed Income Fund    Futures - Interest Rate Contracts    $1,124,305 
  Quantified Market Leaders Fund    Swaps - Equity Contracts     15,617,320 
  Quantified Alternative Investment Fund    Futures - Equity Contracts     11,502 
       Futures - Interest Rate Contracts     25,625 
  Quantified STF Fund    Futures - Equity Contracts     11,122,202 
  Quantified Pattern Recognition Fund    Futures - Equity Contracts     23,988 
  Quantified Tactical Fixed Income Fund    Swaps - Interest Rate Contracts     294,898 
  Quantified Evolution Plus Fund    Futures - Equity Contracts     158,143 
       Futures - Interest Rate Contracts     66,372 
       Swaps - Equity Contracts     253,572 
  Quantified Tactical Sectors Fund    Swaps - Equity Contracts     3,514,378 
  Quantified Rising Dividend Tactical Fund    Swaps - Equity Contracts     1,790,893 
               
       Liability derivatives       
  Quantified Managed Income Fund    Futures - Equity Contracts    $(43,300)
  Quantified Tactical Fixed Income Fund    Futures - Interest Rate Contracts     (76,568)
       Swaps - Interest Rate Contracts     (25,283)
  Quantified Evolution Plus Fund    Swaps - Equity Contracts     (446)
  Quantified Government Income Tactical Fund    Futures - Interest Rate Contracts     (23,986)

92

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Transactions in derivative instruments during the six months or period ended December 31, 2023, were as follows:
       Statements of Operations location    Equity/Interest
 Rate/Credit/Commodity
Contracts		 
  Quantified Managed Income Fund    Net Realized gain (loss) from: (1)       
  Interest Rate Risk    Futures    $(4,905,640)
  Equity Risk    Futures     (708,656)
             (5,614,296)
       Net Change in unrealized appreciation (depreciation) on: (2)       
  Interest Rate Risk    Futures    $1,098,477 
  Equity Risk    Futures     122,175 
             1,220,652 
  Quantified Market Leaders Fund    Net Realized gain (loss) from: (1)       
  Equity Risk    Swaps    $(3,319,771)
       Net Change in unrealized appreciation (depreciation) on: (2)       
  Equity Risk    Swaps    $10,776,323 
               
  Quantified Alternative Investment Fund    Net Realized gain (loss) from: (1)       
  Equity Risk    Futures    $(40,365)
  Interest Rate Risk    Futures     (147,188)
             (187,553)
       Net Change in unrealized appreciation (depreciation) on: (2)       
  Equity Risk    Futures    $(2,582)
  Interest Rate Risk    Futures     24,844 
             22,262 
  Quantified STF Fund    Net Realized gain (loss) from: (1)       
  Equity Risk    Futures    $10,163,889 
       Net Change in unrealized appreciation (depreciation) on: (2)       
  Equity Risk    Futures    $2,182,814 
               
  Quantified Pattern Recognition Fund    Net Realized gain (loss) from: (1)       
  Equity Risk    Futures    $(3,838,604)
       Net Change in unrealized appreciation (depreciation) on: (2)       
  Equity Risk    Futures    $529,015 
               
  Quantified Tactical Fixed Income Fund    Net Realized gain (loss) from: (1)       
  Interest Rate Risk    Futures    $(5,909,427)
  Credit Risk    Swaps     (119,846)
       Net Change in unrealized appreciation (depreciation) on: (2)       
  Interest Rate Risk    Futures    $(141,849)
  Credit Risk    Swaps     269,615 
               
  Quantified Evolution Plus Fund (Consolidated)    Net Realized gain (loss) from: (1)       
  Commodity Risk    Futures    $(1,513,676)
  Equity Risk    Futures     1,350,900 
  Interest Rate Risk    Futures     (23,725)
             (186,501)
  Commodity Risk    Swaps     (550,376)
       Net Change in unrealized appreciation (depreciation) on: (2)       
  Equity Risk    Futures     (92,169)
  Interest Rate Risk    Futures     66,371 
             (25,798)
  Equity Risk    Swaps     780,474 
               
  Quantified Tactical Sectors Fund    Net Realized gain (loss) from: (1)       
  Equity Risk    Swaps    $1,767,022 
       Net Change in unrealized appreciation (depreciation) on: (2)       
  Equity Risk    Swaps    $(1,573,748)
               
  Quantified Rising Dividend Tactical Fund    Net Realized gain (loss) from: (1)       
  Equity Risk    Swaps    $(129,853)
       Net Change in unrealized appreciation (depreciation) on: (2)       
  Equity Risk    Swaps    $1,358,535 
               
  Quantified Government Income Tactical Fund    Net Realized gain (loss) from: (1)       
  Interest Rate Risk    Futures    $(2,651,559)
       Net Change in unrealized appreciation (depreciation) on: (2)       
  Interest Rate Risk    Futures    $(47,349)

 

(1)Statement of Operations location: Net realized gain (loss) from futures, Net realized gain (loss) from swaps.

 

(2)Statement of Operations location: Net change in unrealized appreciation (depreciation) on futures, Net change in unrealized appreciation (depreciation) on swaps.

93

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

The derivative instruments outstanding as of December 31, 2023 as disclosed in the Schedules of Investments and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed in the Statements of Operations serve as indicators of the volume of derivative activity for each Fund.

 

Associated Risk

 

Market Risk: Market risk is the risk that changes in interest rates, foreign exchange rates or equity prices will affect the positions held by each Fund. The Funds are exposed to market risk on financial instruments that are valued at market prices as disclosed in the Schedules of Investments. The prices of derivative instruments, including swaps and futures prices, can be highly volatile. Price movements of derivative contracts in which each Fund’s assets may be invested are influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments, and national and international political and economic events and policies. Each Fund may be exposed to market risk on derivative contracts in that each Fund may not be able to readily dispose of its holdings when it chooses and also that the price obtained on disposal is below that at which the investment is included in the Funds’ financial statements. All financial instruments are recognized at fair value, and all changes in market conditions directly affect net income. The Funds’ investments in derivative instruments are exposed to market risk and are disclosed in the schedules of investments.

 

Unexpected local, regional or global events, such as war; acts of terrorism; financial, political or social disruptions; natural, environmental or man-made disasters; the spread of infectious illnesses or other public health issues; and recessions and depressions could have a significant impact on the Funds and their investments and may impair market liquidity. Such events can cause investor fear, which can adversely affect the economies of nations, regions and the market in general, in ways that cannot necessarily be foreseen.

 

Counterparty Risk: Each Fund may invest in swap contracts (the “Product”) with Credit Suisse, Barclays or CIBC as the counterparty. If Credit Suisse, Barclays or CIBC becomes insolvent, Credit Suisse, Barclays or CIBC may not be able to make any payments under the Product and investors may lose their capital invested in the Product. A decline in Credit Suisse’s, Barclays’s or CIBC’s standing is likely to reduce the market value of the Product and therefore the price an investor may receive for the Product if they sell it in the market.

94

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Liquidity Risk: Liquidity risk is the risk that a Fund will encounter difficulty in raising funds to meet commitments. Liquidity risk may result in an inability to sell investments quickly at close to fair value. Each Fund’s financial instruments may include investments in securities which are not traded on organized public exchanges and which generally may be illiquid. As a result, a Fund may not be able to quickly liquidate its investments in these instruments at an amount close to its fair value in order to meet its liquidity requirements. The Funds’ do not anticipate any material losses as a result of liquidity risk.

 

5.OFFSETTING OF FINANCIAL ASSETS AND DERIVATIVE ASSETS

 

Each Fund’s policy is to recognize a gross asset or liability equal to the unrealized gain (loss) on futures contracts and swap contracts. The following table shows additional information regarding the offsetting of assets and liabilities as of December 31, 2023.

 

Quantified Managed Income Fund:
 
               Gross Amounts Not Offset in the     
Assets:              Statements of Assets & Liabilities     
   Gross Amounts   Gross Amounts   Net Amounts of             
   Presented in the   Offset in the   Assets Presented in   Financial         
   Statements of Assets   Statements of Assets   the Statements of   Instruments   Cash Collateral     
Description  & Liabilities   & Liabilities   Assets & Liabilities   Pledged (2)   Received   Net Amount 
Unrealized Appreciation on Futures  $1,124,305   $—   $1,124,305   $(43,300)  $—   $1,081,005 
Total  $1,124,305   $—   $1,124,305   $(43,300)  $—   $1,081,005 
                               
               Gross Amounts Not Offset in the     
Liabilities:              Statement of Assets & Liabilities     
       Gross Amounts   Net Amounts of             
   Gross Amounts of   Offset in the   Liabilities Presented   Financial         
   Recognized   Statement of Assets   in the Statement of   Instruments   Cash Collateral     
Description  Liabilities   & Liabilities   Assets & Liabilities   Pledged (2)   Pledged (1)   Net Amount 
Unrealized Depreciation on Futures  $(43,300)  $—   $(43,300)  $43,300   $—   $— 
Total  $(43,300)  $—   $(43,300)  $43,300   $—   $— 
                               
Quantified Market Leaders Fund:
  
               Gross Amounts Not Offset in the     
Assets:              Statements of Assets & Liabilities     
   Gross Amounts   Gross Amounts   Net Amounts of Assets             
   Presented in the   Offset in the   Presented in the   Financial         
   Statements of Assets   Statements of Assets   Statements of Assets &   Instruments   Cash Collateral     
Description  & Liabilities   & Liabilities   Liabilities   Pledged (2)   Received   Net Amount 
Swaps  $15,617,320   $—   $15,617,320   $—   $—   $15,617,320 
Total  $15,617,320   $—   $15,617,320   $—   $—   $15,617,320 
                               

95

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Quantified Alternative Investment Fund:
 
               Gross Amounts Not Offset in the Statements     
Assets:              of Assets & Liabilities     
   Gross Amounts   Gross Amounts   Net Amounts of             
   Presented in the   Offset in the   Assets Presented in   Financial         
   Statements of   Statement of Assets   the Statement of   Instruments   Cash Collateral     
Description  Assets & Liabilities   & Liabilities   Assets & Liabilities   Pledged (2)   Received   Net Amount 
Unrealized Appreciation on Futures  $37,127   $—   $37,127   $—   $—   $37,127 
Total  $37,127   $—   $37,127   $—   $—   $37,127 
                               
Quantified STF Fund:
 
               Gross Amounts Not Offset in the     
Assets:              Statements of Assets & Liabilities     
   Gross Amounts                     
   Presented in the   Gross Amounts   Net Amounts of             
   Statements of   Offset in the   Assets Presented   Financial         
   Assets &   Statement of Assets   in the Statement of   Instruments   Cash Collateral     
Description  Liabilities   & Liabilities   Assets & Liabilities   Pledged (2)   Received   Net Amount 
Unrealized Appreciation on Futures  $11,122,202   $—   $11,122,202   $—   $—   $11,122,202 
Total  $11,122,202   $—   $11,122,202   $—   $—   $11,122,202 
                               
Quantified Pattern Recognition Fund:
 
               Gross Amounts Not Offset in the     
Assets:              Statements of Assets & Liabilities     
   Gross Amounts                     
   Presented in the   Gross Amounts   Net Amounts             
   Statements of   Offset in the   Presented in the   Financial         
   Assets &   Statement of Assets   Statement of   Instruments   Cash Collateral     
Description  Liabilities   & Liabilities   Assets & Liabilities   Pledged (2)   Received   Net Amount 
Unrealized Appreciation on Futures  $23,988   $—   $23,988   $—   $—   $23,988 
Total  $23,988   $—   $23,988   $—   $—   $23,988 
                               
Quantified Tactical Fixed Income Fund:
                         
               Gross Amounts Not Offset in the Statements     
Assets:              of Assets & Liabilities     
   Gross Amounts   Gross Amounts   Net Amounts of             
   Presented in the   Offset in the   Assets Presented in   Financial         
   Statements of   Statement of   the Statement of   Instruments         
Description  Assets & Liabilities   Assets & Liabilities   Assets & Liabilities   Pledged (2)   Cash Collateral Received   Net Amount 
Swaps  $294,898   $—   $294,898   $(25,283)  $—   $269,615 
Total  $294,898   $—   $294,898   $(25,283)  $—   $269,615 
                               
               Gross Amounts Not Offset in the Statement of     
Liabilities:              Assets & Liabilities     
       Gross Amounts   Net Amounts of             
   Gross Amounts of   Offset in the   liabilities Presented in   Financial         
   Recognized   Statement of Assets   the Statement of   Instruments   Collateral     
Description  Liabilities   & Liabilities   Assets & Liabilities   Pledged (2)   Pledged/(Received)   Net Amount 
Unrealized Depreciation on Futures  $(76,568)  $—   $(76,568)  $—   $76,568   $— 
Swaps Contracts   (25,283)   —    (25,283)   25,283    —    — 
Total  $(101,851)  $—   $(101,851)  $25,283   $76,568   $— 

96

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Quantified Evolution Plus Fund: 
  
               Gross Amounts Not Offset in the     
Assets:              Statements of Assets & Liabilities     
   Gross Amounts   Gross Amounts   Net Amounts of Assets             
   Presented in the   Offset in the   Presented in the   Financial         
   Statements of Assets   Statements of Assets   Statements of Assets &   Instruments   Cash Collateral     
Description  & Liabilities   & Liabilities   Liabilities   Pledged(2)   Received   Net Amount 
Unrealized Appreciation on Futures  $224,515   $—   $224,515   $—   $—   $224,515 
Swaps   253,572    —    253,572    (446)   —    253,126 
Total  $478,087   $—   $478,087   $(446)  $—   $477,641 
                               
               Gross Amounts Not Offset in the     
Liabilities:              Statement of Assets & Liabilities     
       Gross Amounts   Net Amounts of             
       Offset in the   Liabilities Presented in   Financial         
   Gross Amounts of   Statement of Assets   the Statement of   Instruments   Cash Collateral     
Description  Recognized Liabilities   & Liabilities   Assets & Liabilities   Pledged(2)   Pledged (1)   Net Amount 
Swaps  $(446)   —   $(446)  $446   $—    — 
Total  $(446)  $—   $(446)  $446   $—   $— 
                               
Quantified Tactical Sectors Fund: 
  
               Gross Amounts Not Offset in the     
Assets:              Statements of Assets & Liabilities     
   Gross Amounts   Gross Amounts   Net Amounts of             
   Presented in the   Offset in the   Assets Presented   Financial         
   Statements of   Statement of   in the Statement of   Instruments   Cash Collateral     
Description  Assets & Liabilities   Assets & Liabilities   Assets & Liabilities   Pledged (2)   Received   Net Amount 
Swaps  $3,514,378   $—   $3,514,378   $—   $—   $3,514,378 
Total  $3,514,378   $—   $3,514,378   $—   $—   $3,514,378 
                               
Quantified Rising Dividend Tactical Fund: 
                         
               Gross Amounts Not Offset in the     
Assets:              Statements of Assets & Liabilities     
   Gross Amounts   Gross Amounts   Net Amounts of             
   Presented in the   Offset in the   Assets Presented in   Financial         
   Statements of   Statement of   the Statement of   Instruments   Cash Collateral     
Description  Assets & Liabilities   Assets & Liabilities   Assets & Liabilities   Pledged (2)   Received   Net Amount 
Swaps  $1,790,893   $—   $1,790,893   $—   $—   $1,790,893 
Total  $1,790,893   $—   $1,790,893   $—   $—   $1,790,893 
                               
Quantified Government Income Tactical Fund: 
                         
               Gross Amounts Not Offset in the     
Liabilities:              Statement of Assets & Liabilities     
   Gross Amounts   Gross Amounts   Net Amounts of             
   Presented in the   Offset in the   Liabilities Presented             
   Statements of Assets   Statement of Assets   in the Statement of   Financial   Cash Collateral     
Description  & Liabilities   & Liabilities   Assets & Liabilities   Instruments   Pledged (1)   Net Amount 
Unrealized Depreciation on Futures  $(23,986)  $—   $(23,986)  $—   $23,986   $— 
Total  $(23,986)  $—   $(23,986)  $—   $23,986   $— 

 

(1)The amount is limited to the derivative liability balance and accordingly does not include excess collateral pledged.

 

(2)The amount does not include excess collateral pledged by the counterparty. Detailed collateral amounts are presented in the Statements of Assets and Liabilities.

97

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

6.INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

The business activities of each Fund are overseen by the Board, which is responsible for the overall management of the Funds. Advisors Preferred LLC (“Advisor”), serves as investment advisor to the Funds. The Advisor has engaged Flexible Plan Investments, Ltd. (the “Sub-Advisor”) to serve as the sub-advisor to the Funds.

 

Pursuant to an advisory agreement with the Funds, the Advisor, under the oversight of the Board, directs the daily operations of each Fund and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, each Fund pays advisory fees accrued daily and paid monthly, based on each Fund’s average daily net assets at an annual rate of 1.00%, except for Quantified Alternative Investment Fund, Quantified Managed Income Fund and Quantified Market Leaders Fund which pay 0.75%. For the year six months/period ended December 31, 2023, each Fund accrued the following advisory fees: 

 

Quantified Managed Income Fund  $611,114 
Quantified Market Leaders Fund   712,087 
Quantified Alternative Investment Fund   38,173 
Quantified STF Fund   819,742 
Quantified Pattern Recognition Fund   188,874 
Quantified Tactical Fixed Income Fund   426,899 
Quantified Evolution Plus Fund   181,977 
Quantified Common Ground Fund   627,460 
Quantified Tactical Sectors Fund   348,478 
Quantified Rising Dividend Tactical Fund   172,636 
Quantified Government Income Tactical Fund   134,430 
Quantified Global Fund   4,447 

 

Pursuant to a liquidity program administrator agreement with the Funds, the Advisor, provides a liquidity program administrator who, directs the operations of the Funds’ liquidity risk management program. As compensation for its services and the related expenses borne by the Advisor, the Funds pay the Advisor out of pocket expenses and an annual fee of $9,000 per Fund. The liquidity program administrator agreement became effective June 1, 2021. Pursuant to the liquidity program administrator agreement, the Advisor earned (net of voluntary waivers) the following fees in the Statements of Operations (miscellaneous expenses) for the six months/period ended December 31, 2023:

 

Fund  Fees   Waived 
Quantified Managed Income Fund  $4,500   $— 
Quantified Market Leaders Fund   4,500    — 
Quantified Alternative Investment Fund   4,500    (4,500)
Quantified STF Fund   4,500    — 
Quantified Pattern Recognition Fund   4,500    (4,500)
Quantified Tactical Fixed Income Fund   4,500    — 
Quantified Evolution Plus Fund   4,500    — 
Quantified Common Ground Fund   4,500    — 
Quantified Tactical Sectors Fund   4,500    — 
Quantified Rising Dividend Tactical Fund   4,500    (4,500)
Quantified Government Income Tactical Fund   4,500    (4,500)
Quantified Global Fund   762    (762)

98

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Ultimus Fund Solutions, LLC (“UFS”), UFS, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to the servicing agreement with UFS, each Fund pays UFS customary fees for providing administration, fund accounting and transfer agency services to the Funds. Under the terms of the Funds’ agreement with UFS, UFS pays for certain operating expenses of the Funds. Certain officers of the Trust are also officers of UFS, and are not paid any fees directly by the Funds for serving in such capacities.

 

In addition, certain affiliates of UFS provide services to each Fund as follows:

 

Blu Giant, LLC (“Blu Giant”), an affiliate of UFS, provides EDGAR conversion and filing services as well as print management services for each Fund on an ad-hoc basis. These expenses are the responsibility of UFS.

 

The Trust has adopted Distribution Plans and Agreements pursuant to Rule 12b-1 under the 1940 Act for the Funds’ Investor Class and Advisor Class shares (each a “Plan” and together, the “Plans”) pursuant to which the Funds pay fees to the Ceros Financial Services, Inc. (“Ceros” or “Distributor”) for providing distribution and/or shareholder services to the Funds. Under the Plans, Investor Class shares of a Funds may pay an account maintenance fee for account maintenance services and/or distribution fee at an annual rate of up to 0.25% of the Funds’ average net assets attributable to Investor Class shares as compensation for the Distributor providing account maintenance and distribution services to shareholders; and up to 1.00% for Advisor Class shares of a Fund’s average daily net assets attributable to the Advisor Class shares. The 12b-1 Plan is a compensation plan, which means that compensation is provided regardless of 12b-1 expenses incurred.

 

For the six months/period ended December 31, 2023, pursuant to the Rule 12b-1 Plan, each Fund accrued:

 

   Investor Class   Advisor Class   Total 
Quantified Managed Income Fund  $203,677   $110   $203,787 
Quantified Market Leaders Fund   237,166    784    237,950 
Quantified Alternative Investment Fund   12,632    369    13,001 
Quantified STF Fund   204,621    1,259    205,880 
Quantified Pattern Recognition Fund   47,219    —    47,219 
Quantified Tactical Fixed Income Fund   106,725    —    106,725 
Quantified Evolution Plus Fund   45,494    —    45,494 
Quantified Common Ground Fund   156,865    —    156,865 
Quantified Tactical Sectors Fund   87,120    —    87,120 
Quantified Rising Dividend Tactical Fund   43,159    —    43,159 
Quantified Government Income Tactical Fund   33,608    —    33,608 
Quantified Global Fund   1,111    —    1,111 

 

The Board has adopted a Shareholder Servicing Plan (the “Servicing Plan”) with respect to the Investor Class of each Fund. The Servicing Plan provides that a monthly service fee is calculated by each Fund at an annual rate of up to 0.15% (currently set at 0.15%), of its average daily net assets of the Investor Class and is paid to Ceros to provide compensation for ongoing shareholder servicing activities or service and/or maintenance of accounts, not otherwise required to be provided by the Advisor. Ceros is an affiliate of the Advisor.

99

 

The Quantified Funds 

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued) 

December 31, 2023

 

For the six months/period ended December 31, 2023, pursuant to the Shareholder Services Agreement, each Fund paid:

 

   Investor Class 
Quantified Managed Income Fund  $122,206 
Quantified Market Leaders Fund   142,300 
Quantified Alternative Investment Fund   7,579 
Quantified STF Fund   144,606 
Quantified Pattern Recognition Fund   28,331 
Quantified Tactical Fixed Income Fund   64,035 
Quantified Evolution Plus Fund   27,296 
Quantified Common Ground Fund   94,119 
Quantified Tactical Sectors Fund   52,272 
Quantified Rising Dividend Tactical Fund   25,895 
Quantified Government Income Tactical Fund   20,165 
Quantified Global Fund   667 

 

During the six months/period ended December 31, 2023, Ceros, a registered broker/dealer, executed trades on behalf of Quantified Managed Income Fund, Quantified Market Leaders Fund, Quantified Alternative Investment Fund, Quantified STF Fund, Quantified Pattern Recognition Fund, Quantified Tactical Fixed Income Fund, Quantified Evolution Plus Fund, Quantified Common Ground Fund, Quantified Tactical Sectors Fund, Quantified Rising Dividend Tactical Fund, Quantified Government Income Tactical Fund and Quantified Global Fund and received $128,667, $96,602, $11,583, $254, $152, $359, $1,014, $183,334, $29,614, $6,111, $448 and $1,901 in trade commissions, respectively.

 

Each Trustee who is not an “interested person” of the Trust or Advisor is compensated at a rate of $72,000 per year plus $2,500 minimum per meeting for certain special meetings, which varies based on the matters submitted, as well as for reimbursement for any reasonable expenses incurred attending the meetings, paid quarterly. The “interested persons” who serve as Trustees of the Trust receive no compensation for their services as Trustees. None of the executive officers receive compensation from the Trust. Interested trustees of the Trust are also officers or employees of the Advisor and its affiliates.

 

7.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

The identified cost of investments in securities owned by each Fund for federal income tax purposes excluding futures and swaps, and its respective gross unrealized appreciation and depreciation at December 31, 2023, were as follows:

 

               Net 
       Gross Unrealized   Gross Unrealized   Appreciation/ 
   Tax Cost   Appreciation   (Depreciation)   (Depreciation) 
Quantified Managed Income Fund  $174,972,719   $2,177,089   $(1,603,070)  $574,019 
Quantified Market Leaders Fund   245,813,161    6,992,235    —    6,992,235 
Quantified Alternative Investment Fund   5,304,592    90,690    (122,112)   (31,422)
Quantified STF Fund   132,016,187    2,857    (538,826)   (535,969)
Quantified Pattern Recognition Fund   23,318,240    2,671    (8,967)   (6,296)
Quantified Tactical Fixed Income Fund   47,500,357    2,857    (574,379)   (571,522)
Quantified Evolution Plus Fund   10,768,790    1,078    (7,812)   (6,734)
Quantified Common Ground Fund   159,120,450    9,615,625    (2,633,823)   6,981,802 
Quantified Tactical Sectors Fund   67,334,716    4,044,956    (2)   4,044,954 
Quantified Rising Dividend Tactical Fund   31,024,856    1,707,191    (1,374,773)   332,418 
Quantified Government Income Tactical Fund   14,092,506    1,078    (37,399)   (36,321)
Quantified Global Fund   6,536,008    160,120    (36,696)   123,424 

100

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

8.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of distributions paid for the years ended June 30, 2023 and June 30, 2022 was as follows:

 

For the period ended June 30, 2023:
   Ordinary   Long-Term     
Portfolio  Income   Capital Gains   Total 
Quantified Managed Income Fund  $951,437   $—   $951,437 
Quantified Market Leaders Fund   —    —    — 
Quantified Alternative Investment Fund   230,765    —    230,765 
Quantified STF Fund   —    —    — 
Quantified Pattern Recognition Fund   33,274    —    33,274 
Quantified Tactical Fixed Income Fund   —    —    — 
Quantified Evolution Plus Fund   37,720    —    37,720 
Quantified Common Ground Fund   —    —    — 
Quantified Tactical Sectors Fund   310,692    —    310,692 
Quantified Rising Dividend Tactical Fund   668,445    —    668,445 
Quantified Government Income Tactical Fund   —    —    — 

 

For the period ended June 30, 2022:
   Ordinary   Long-Term     
Portfolio  Income   Capital Gains   Total 
Quantified Managed Income Fund  $983,577   $—   $983,577 
Quantified Market Leaders Fund   64,865,841    —    64,865,841 
Quantified Alternative Investment Fund   1,367,116    173,849    1,540,965 
Quantified STF Fund   21,941,283    20,260,824    42,202,107 
Quantified Pattern Recognition Fund   4,417,288    1,721,355    6,138,643 
Quantified Tactical Fixed Income Fund   —    —    — 
Quantified Evolution Plus Fund   2,958,074    4,437,576    7,395,650 
Quantified Common Ground Fund   7,158,565    —    7,158,565 
Quantified Tactical Sectors Fund   2,251,739    —    2,251,739 
Quantified Rising Dividend Tactical Fund   163,258    —    163,258 
Quantified Government Income Tactical Fund   226,553    502,193    728,746 

 

As of June 30, 2023, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

   Undistributed   Undistributed   Post October Loss   Capital Loss   Other   Unrealized   Total 
   Ordinary   Long-Term   and   Carry   Book/Tax   Appreciation/   Accumulated 
   Income     Capital Gains     Late Year Loss     Forwards     Differences     (Depreciation)     Earnings/(Deficits) 
Quantified Managed Income Fund  $2,958,938   $—   $(7,612,049)  $(13,060,616)  $—   $(1,146,149)  $(18,859,876)
Quantified Market Leaders Fund   4,603,212    —    —    (85,342,355)   —    8,346,400    (72,392,743)
Quantified Alternative Investment Fund   48,143    —    (798,197)   (1,802,615)   —    90,086    (2,462,583)
Quantified STF Fund   169,505    —    —    (31,091,890)   —    (1,433,534)   (32,355,919)
Quantified Pattern Recognition Fund   403,254    —    —    (12,158,274)   —    (43,162)   (11,798,182)
Quantified Tactical Fixed Income Fund   45,234    —    (8,560,955)   (35,176,755)   —    (1,429,916)   (45,122,392)
Quantified Evolution Plus Fund   2,198,119    —    (5,612,969)   (6,566,289)   —    (39,580)   (10,020,719)
Quantified Common Ground Fund   306,174    —    (8,421,766)   (13,144,767)   —    2,263,869    (18,996,490)
Quantified Tactical Sectors Fund   4,253,725    —    (5,870,542)   (49,638,589)   —    7,793,155    (43,462,251)
Quantified Rising Dividend Tactical Fund   283,836    —    (2,959,439)   (6,504,236)   —    (225,098)   (9,404,937)
Quantified Government Income Tactical Fund   352,685    —    (2,099,515)   (10,147,854)   —    (73,029)   (11,967,713)

 

The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gains (losses) from investments is primarily attributable to the tax deferral of losses on wash sales, the mark-to-market on open Section 1256, and tax adjustments related to the Quantified Evolution Plus Fund’s wholly owned subsidiary. 

101

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds did not incur any late year losses.

 

Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such capital losses as follows:

 

   Post October 
   Losses 
Quantified Managed Income Fund  $7,612,049 
Quantified Market Leaders Fund   — 
Quantified Alternative Investment Fund   798,197 
Quantified STF Fund   — 
Quantified Pattern Recognition Fund   — 
Quantified Tactical Fixed Income Fund   8,560,955 
Quantified Evolution Plus Fund   5,612,969 
Quantified Common Ground Fund   8,421,766 
Quantified Tactical Sectors Fund   5,870,542 
Quantified Rising Dividend Tactical Fund   2,959,439 
Quantified Government Income Tactical Fund   2,099,515 

 

At June 30, 2023, the Funds below had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

 

   Short-Term   Long-Term   Total 
Quantified Managed Income Fund  $11,359,288   $1,701,328   $13,060,616 
Quantified Market Leaders Fund   83,816,622    1,525,733    85,342,355 
Quantified Alternative Investment Fund   1,802,615    —    1,802,615 
Quantified STF Fund   12,473,847    18,618,043    31,091,890 
Quantified Pattern Recognition Fund   4,807,207    7,351,067    12,158,274 
Quantified Tactical Fixed Income Fund   15,658,716    19,518,039    35,176,755 
Quantified Evolution Plus Fund   5,065,215    1,501,074    6,566,289 
Quantified Common Ground Fund   13,002,697    142,070    13,144,767 
Quantified Tactical Sectors Fund   49,638,589    —    49,638,589 
Quantified Rising Dividend Tactical Fund   5,030,406    1,473,830    6,504,236 
Quantified Government Income Tactical Fund   4,174,623    5,973,231    10,147,854 

 

Permanent book and tax differences, primarily attributable to adjustments related to the Quantified Evolution Plus Fund’s wholly owned subsidiary, resulted in reclassification for the period ended June 30, 2023 as follows:

 

   Paid     
   In   Accumulated 
   Capital   Earnings (Losses) 
Quantified Evolution Plus Fund  $(174,180)  $174,180 

 

9.CONTROL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumption of control of the fund pursuant to Section 2(a)(9) of the 1940 Act. As of December 31, 2023, Axos Clearing LLC held 76.36% of the Quantified Managed Income Fund, 79.51% of the Quantified Market Leaders Fund, 66.64% of the Quantified Alternative Investment Fund, 70.63% of the 

102

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

Quantified STF Fund, 89.20% of the Quantified Pattern Recognition Fund, 87.21% of the Quantified Tactical Fixed Income Fund, 92.49% of the Quantified Evolution Plus Fund, 74.24% of the Quantified Common Ground Fund, 69.52% of the Quantified Tactical Sectors Fund, 92.47% of the Quantified Rising Dividend Tactical Fund, 78.14% of the Quantified Government Income Tactical Fund and 78.39% of the Quantified Global Fund.

 

10.UNDERLYING INVESTMENT IN OTHER INVESTMENT COMPANIES

 

The following Funds currently invest greater than 25% of their net assets in the corresponding investments. The Funds may redeem these investments at any time if the Advisor or Subadvisor determines that it is in the best interest of the Funds and their shareholders to do so. The performance of the Fund will be directly affected by the performance of the investments. Other than Mount Vernon Liquid Assets Portfolio, LLC, the financial statements of the investments, including their schedule of investments, can be found at the Securities and Exchange Commission’s website www.sec.gov and should be read in conjunction with the Funds’ financial statements.

 

    Percentage of Net
Fund Investment Assets
Quantified Managed Income Fund Mount Vernon Liquid Assets Portfolio, LLC 31.7%
Quantified STF Fund Fidelity Money Market Government Portfolio Class I 25.6%
  First American Government Obligations Fund Class Z 25.0%
Quantified Pattern Recognition Fund Fidelity Money Market Government Portfolio Class I 26.8%
  First American Government Obligations Fund Class Z 29.5%

 

11.SECURITIES LENDING

 

The Funds have entered into a securities lending arrangement (the “Agreement”) with U.S. Bank (the “Lending Agent”). Under the terms of the Agreement, the Funds are authorized to loan securities to the Lending Agent. In exchange, at the time of the loan, the Funds receive cash and “non-cash” or “securities” collateral in the amount of at least 105% of the value of any loaned securities that are foreign securities or 102% of the value of any other loaned securities marked-to-market daily. Loans shall be marked to market daily and the margin restored in the event collateralization is below 100% of the value of securities loaned. The value of securities loaned is disclosed in a footnote on the Statements of Assets and Liabilities and on the Schedules of Investments. Securities lending income is disclosed in the Funds’ Statements of Operations. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the Lending Agent fails to return the securities on loan. The Funds’ cash collateral received in securities lending transactions is invested in the Mount Vernon Liquid Assets Portfolio, LLC, a privately offered liquidity fund, as presented below. The investment objective is to seek to maximize current income to the extent consistent with the preservation of capital and liquidity and maintain a stable NAV of $1.00 per unit.

 

As of December 31, 2023, the following Funds loaned securities which were collateralized by cash. The value of securities on loan and the value of the related collateral were as follows:

 

       Overnight and Continuous 
Fund  Value of Securities Loaned   Value of Collateral* 
Quantified Managed Income Fund  $41,696,193   $42,926,967 
Quantified Market Leaders Fund   33,440,881    34,508,700 
Quantified Alternative Investment Fund   171,761    176,225 
Quantified Tactical Fixed Income Fund   1,364,579    1,399,440 
Quantified Evolution Plusd Fund   20,066    20,568 
Quantified Common Ground Fund   20,198,544    20,951,158 
Quantified Tactical Sectors Fund   1,210,000    1,241,875 

 

 

*The above Funds received cash collateral, which was subsequently invested in the Mount Vernon Liquid Assets Portfolio, LLC as reported in the Schedules of Investments. Limited to the value of securities loaned, excess collateral not shown. See excess amount of collateral on the Statement of Assets and Liabilities.

103

 

The Quantified Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2023

 

12.LINE OF CREDIT

 

The Quantified Alternative Investment Fund, Quantified Common Ground Fund, and the Quantified Managed Income Fund (“Borrowing Funds”) have each entered into a line of credit agreement with U.S. Bank N.A. for investment purposes subject to the limitations of the 1940 Act for borrowings. The maximum amount a Borrowing Fund is allowed to borrow under its agreement is lesser of $15,000,000, 20% of the gross market value of the Borrowing Fund or 33 1/3% of the gross market value (as determined solely by the Bank using consistently applied valuation methods disclosed to the Borrower) of the unencumbered assets of the Borrowing Fund. Borrowings under each agreement bear interest at the Prime Rate, per annum, on the principal balance outstanding. The maturity date of the line of credit is October 31, 2024. During the six months ended December 31, 2023, the Borrowing Funds accessed the line of credit as follows:

 

   Average Amount           Outstanding 
   Borrowings   Interest   Average   Borrowings 
   Outstanding   Expense   Interest Rate   12/31/2023 
Quantified Alternative Investment Fund  $1,129,632   $4,000    8.30%  $— 
Quantified Common Ground Fund   8,621,321    49,638    8.23%   — 
Quantified Managed Income Fund   11,116,000    7,874    8.50%   — 

 

13.RECENT REGULATORY UPDATES

 

On January 24, 2023, the SEC adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will not appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

 

14.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements. 

104

 

QUANTIFIED FUNDS
EXPENSE EXAMPLES (Unaudited)
December 31, 2023

 

Example

 

As a shareholder of a Fund you will pay ongoing expenses, such as advisory fees, distribution and service fees (12b-1), and other fund expenses. The following examples are intended to help you understand the ongoing cost (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions which may be assessed by mutual funds. This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

 

Actual Expenses

 

The columns under the heading entitled “Actual” help you estimate the actual expenses you paid over the period. The “Actual Ending Account Value” shown is derived from the Fund’s actual return, and the “Actual Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. To estimate the expenses you paid on your account during this period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Actual Expenses Paid During Period”.

 

Hypothetical Examples for Comparison Purposes

 

The columns under the heading entitled “Hypothetical” provide information about hypothetical account value and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the table on the next page are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the last column of the table (Hypothetical Expenses Paid During Period) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

           
          Hypothetical
      Actual (5% return before expenses)
             
  Fund’s       Ending  
  Annualized Beginning Ending Expenses Account Expenses
  Expense Account Value Account Value Paid During Value Paid During
  Ratio 7/1/23 12/31/23 Period* 12/31/23 Period*
Quantified Managed Income Fund            
Investor Class 1.35% $1,000.00 $1,022.50 $ 6.86 $1018.35 $ 6.85
Advisor Class 1.95% $1,000.00 $1,018.50 $ 9.89 $1,015.33 $ 9.88
Quantified Market Leaders Fund            
Investor Class 1.34% $1,000.00 $1,031.90 $ 6.84 $1,018.40 $ 6.80
Advisor Class 1.94% $1,000.00 $1,028.90 $ 9.89 $1,015.38 $ 9.83
Quantified Alternative Investment Fund            
Investor Class 1.48% $1,000.00 $1.000.60 $ 7.44 $1,017.70 $ 7.51
Advisor Class 2.16% $1,000.00 $998.30 $ 10.85 $1,014.28 $ 10.94
Quantified STF Fund            
Investor Class 1.62% $1,000.00 $1,103.40 $ 8.57 $1,016.99 $ 8.21
Advisor Class 2.22% $1,000.00 $1,099.80 $ 11.72 $1,013.98 $11.24
Quantified Pattern Recognition Fund            
Investor Class 1.60% $1,000.00 $930.80 $ 7.77 $1,017.09 $ 8.11
Quantified Tactical Fixed Income Fund            
Investor Class 1.60% $1,000.00 $946.40 $ 7.83 $1,017.09 $ 8.11
Quantified Evolution Plus Fund            
Investor Class 1.63% $1,000.00 $974.90 $ 8.09 $1,016.94 $ 8.26
Quantified Common Ground Fund            
Investor Class 1.74% $1,000.00 $1,087.80 $ 9.13 $1,016.39 $ 8.82
Quantified Tactical Sectors Fund            
Investor Class 1.60% $1,000.00 $994.60 $ 8.02 $1,017.09 $ 8.11
Quantified Rising Dividend Tactical Fund            
Investor Class 1.62% $1,000.00 $1,071.30 $ 8.43 $1,016.99 $ 8.21
Quantified Government Income Tactical Fund            
Investor Class 1.61% $1,000.00 $909.80 $ 7.73 $1,017.04 $ 8.16
Quantified Global Fund**            
Investor Class 1.77% $1,000.00 $1,024.00 $ 9.01 $1,002.74 $ 1.50**

 

*Expenses are equal to the average account value over the period, multiplied by each Fund’s annualized expense ratio, multiplied by the number of days in the period (184) divided by the number of days in the fiscal year (366).

 

**Expenses are equal to the average account value over the period, multiplied by each Fund’s annualized expense ratio, multiplied by the number of days in the period (31) divided by the number of days in the fiscal year (366).

105

 

The Quantified Funds
SUPPLEMENTAL INFORMATION (Unaudited)
December 31, 2023

 

Approval of the Amended Advisory Agreement and Amended Sub-Advisory Agreements for Quantified Global Fund

 

At an in-person Board meeting held on May 23, 2023 (the “Meeting”), the Board of Trustees (the “Board”) of Advisors Preferred Trust (the “Trust”), including a majority of Trustees who are not “interested persons” (the “Independent Trustees”), as such term is defined under Section 2(a)(19) of the 1940 Act, considered approval of the Amended Investment Advisory Agreement (the ” Advisory Agreement’) between Advisors Preferred, LLC (the “Adviser”) and the Trust, on behalf of Quantified Global Fund (“Global Fund”); and approval of the Amended Sub-Advisory Agreement (the ” Sub-Advisory Agreement”) between the Adviser and Flexible Plan Investments, Ltd. (the “Sub-Adviser” or “Flexible Plan”), on behalf of Global Fund. The Trustees’ deliberations are presented as collective deliberations.

 

In connection with the Board’s consideration, deliberation and approval of the Advisory Agreement and Sub-Advisory Agreement, (together the “Advisory Agreements”) the Adviser and Sub-Adviser provided the Board in advance of the Meeting with written materials, which included information regarding: (a) a description of the investment management personnel of the Adviser and Sub-Adviser; (b) the Adviser’s and Sub-Adviser’s operations and the Adviser’s financial condition; (c) the Adviser’s proposed brokerage practices (including any soft dollar arrangements); (d) the level of the advisory fees proposed to be charged compared with the fees charged to comparable mutual funds or accounts; (e) the anticipated level of profitability to the Adviser and Sub-Adviser from related operations; (f) the Adviser’s and Sub-Adviser’s compliance policies and procedures; and (g) information regarding the expected performance of Global Fund under Flexible Plan’s management. The Trustees reviewed the quality of work and abilities of the Adviser and its relationship with the Sub-Adviser, the performance of existing funds managed by Flexible Plan and the expected performance of Global Fund. The Trustees conducted some of their deliberations on a joint Adviser and Sub-Adviser basis given the close working relationship of the Adviser and Sub-Adviser. The Board’s review of the materials and deliberations are presented contemporaneously given the overlapping considerations, paralleled issues and conclusions drawn by the Board.

 

Nature, Extent and Quality of Services: With respect to the nature, extent and quality of services provided, the Board reviewed the Adviser’s Form ADV, and the Sub-Adviser’s Form ADV, a description of the manner in which investment decisions, including asset allocation, sector selection, trade execution and compliance, will be made for the Fund by the Sub-Adviser, a description of the services provided by the Adviser and those services provided by the Sub-Adviser and those executed by the Adviser. The Board reviewed the experience of professional personnel from both the Adviser and the Sub-Adviser performing services for the Global Fund, including the team of individuals that primarily monitor and execute the investment and administration process, and the respective portfolio managers. Further the Board reviewed a certification from each of the Adviser and the Sub-Adviser certifying that each has adopted a Code of Ethics containing provisions reasonably necessary to prevent Access Persons, as that term is defined in Rule 17j-1 under the 1940 Act, from engaging in conduct prohibited by Rule 17j-1(b) and noted that each of the Adviser and Sub-Adviser have adopted procedures reasonably necessary to prevent Access Persons from violating such Code of Ethics.

 

Advisors Preferred: The Board discussed the Adviser’s compliance program for the Trust. The Board considered that the CCO of the Trust also serves as CCO of the Adviser and are confident in her abilities with respect to both positions. The Trustees were comfortable that if a conflict of interest were to arise, counsel would be called upon for a solution. The Board considered that the cybersecurity risk 

106

 

The Quantified Funds
SUPPLEMENTAL INFORMATION (Unaudited) (Continued)
December 31, 2023

 

management of the Adviser is supported by Sikich LLP (a technology consultancy) and discussed the overall technology of the Adviser with the CCO. The Adviser’s CCO reported no data breaches. The Board noted that the Adviser will ensure Flexible Plan, with respect to Global Fund, adheres to Section 12(d)(1) and Rule 12d1-4 for agreements required for planned purchases of ETFs. The Board noted that the Adviser continues to have in place procedures which are currently working to prevent violations of applicable securities laws. The Board concluded that the Adviser has qualified professionals, resources, and compliance policies essential to performing its duties under the Advisory Agreement.

 

Flexible Plan: With respect to the Sub-Adviser, the Trustees considered that the Sub-Adviser will be primarily responsible for investment management with respect to Global Fund. The Board considered the Sub-Adviser’s skills and experience relating to the other funds and its portfolio management, research techniques and use of model strategies. The Trustees noted that the Adviser’s CCO has reviewed the Compliance Manual and Policies & Procedures of Flexible Plan (pertaining to Global Fund’s operations) and there are no compliance issues. The Board also noted that the Sub-Adviser’s compliance policies and procedures appear to be operating effectively, and that the level of communication between the Adviser and Sub-Adviser appeared to be effective. The Board considered that the cybersecurity risk of the Sub-Adviser is managed by the Chief Technology Investment Officer who had reported no data breaches. The Trustees also noted the financial resources of the Sub-Adviser appear adequate. The Board concluded that the Sub-Adviser had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Sub-Advisory Agreement and that the nature, overall quality and extent of the management services to be provided by Flexible PIan to Global Fund was satisfactory and dependable.

 

Performance. The Board considered that the Adviser generally delegates its day-to-day investment decisions to the Sub-Adviser and, therefore, would not directly control the performance of the Global Fund. The Trustees considered earlier discussions with Mr. Wagner and his role as a portfolio manager and investment plans for the Global Fund, as well as his review of sample expected performance for Global Fund. The Board noted that based on the experience of the portfolio managers and performance of the other funds, the Adviser and Sub-Adviser should be able to provide satisfactory performance for Global Fund and its shareholders.

 

Fees and Expenses: As to the costs of the services to be provided to Global Fund by the Adviser and Sub-Adviser the Board reviewed and discussed the proposed advisory fee and total operating expenses of Global Fund compared to its peer group and Morningstar Global Equity Large Cap and/or Global Equity Mid/Small Cap category as presented in the Meeting Materials. The Trustees noted that the proposed advisory fee of 1.00% was within the range of the reasonable management fees of the Morningstar Global Equity Large Cap and Morningstar Global Equity Small-Mid Cap categories and well below the maximum management fee of both Morningstar categories. The Board then reviewed the projected expense ratio of 1.70% for the Investor Class, and 2.30% for the Advisor Class. In both Classes, it was noted the ratios were within range of the Morningstar categories viewed. The Board determined that the management fee and total expenses for Global Fund were reasonable.

 

Profitability of Adviser. The Board reviewed the levels of projected profits to the Adviser from the Global Fund and found that, with expected assets of $50 million for the first year, the Adviser would realize a small 4% profit from the advisory services, and for year two, with expected assets at $100 million, the Adviser would achieve approximately a 9% profit from advisory services. The Board reviewed the split of advisory fees with the Sub-Adviser, including the reverse breakpoint fee splits, and

107

 

The Quantified Funds
SUPPLEMENTAL INFORMATION (Unaudited) (Continued)
December 31, 2023

 

acknowledged that after paying the sub-adviser, the net advisory fee will be reduced to 0.14%. When taking into account the totality of the Adviser’s relationship, after marketing, wholesalers and advertising, the Adviser expected 3% and 6% profitability for year one and year two, respectively. After review and discussion, the Board concluded that, based on the services to be provided by the Adviser, the anticipated level of profit from the Adviser’s relationship with Global Fund was not excessive.

 

Profitability of Sub-Adviser: With respect to the Sub-Adviser’s profitability, the Trustees reviewed the projected profitability of Flexible PIan from managing Global Fund. With expected assets of $50 million for the first year, the Board noted the Sub-Adviser expects to achieve approximately 7% from portfolio management of the Global Fund and 21% profitability when combined with service fees related to the Global Fund. For year two, with projected assets of $100 million, the Board noted the expected profits for the Sub-Adviser would be 5% from portfolio management, and 19% profitability in total from services to the Fund. After further discussion, the Board concluded that, based on the services to be provided by the Sub-Adviser, the anticipated level of profit from the Sub-Adviser’s relationship with Global Fund was not excessive.

 

Economies of Scale. As to the extent to which Global Fund will realize economies of scale, the Adviser reported $500 million to be the minimum asset level required to reach such economies of scale. The Board discussed the Adviser’s expectations for growth, $50 million for year one, and $100 million for year two and considered them reasonable, and concluded that any material economies of scale would not be achieved in the near term. The Trustees agreed to revisit economies of scale as assets of Global Fund grow.

 

Conclusion. Counsel assisted the Board throughout the Advisory Agreements review process. The Trustees relied upon the advice of independent counsel, and their own business judgment, in determining the material factors to be considered in evaluating each of the Advisory Agreements and the weight to be given to each such factor. In considering the approval of each of the Advisory Agreements, the Board did not identify any one factor as all important, but rather considered these factors collectively and determined that approval of each of the Advisory Agreements was in the best interests of Global Fund and its prospective shareholders. Moreover, the Board noted that each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to each Advisory Agreement.

 

Accordingly, having requested and received such information from the Adviser and Sub-Adviser as the Board believed to be reasonably necessary to evaluate the terms of each of the Advisory Agreement and the Sub-Advisory Agreement as appropriate; the Board, including a majority of the Independent Trustees, determined that, with respect to each of the Advisory Agreements separately that (a) the terms of the Advisory Agreement and Sub-Advisory Agreement are reasonable with respect to the Global Fund; (b) the advisory fee for Global Fund was not unreasonable; and (c) each of the Advisory Agreement and Sub-Advisory Agreement is in the best interests of Global Fund and its prospective shareholders.

108

 

PRIVACY NOTICE

 

Rev. May 2014

 

FACTS WHAT DOES ADVISORS PREFERRED TRUST DO WITH YOUR PERSONAL INFORMATION?
     
Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
     
What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:
  ■    Social Security number ■    Purchase History
  ■    Assets ■    Account Balances
  ■    Retirement Assets ■    Account Transactions
  ■    Transaction History ■    Wire Transfer Instructions
  ■    Checking Account Information  
  When you are no longer our customer, we continue to share your information as described in this notice.
     
How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Advisors Preferred Trust chooses to share; and whether you can limit this sharing.

 

  Does Advisors  
  Preferred Trust Can you limit this
Reasons we can share your personal information share? sharing?
For our everyday business purposes –
such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus		 Yes No
For our marketing purposes –
to offer our products and services to you		 No We don’t share
For joint marketing with other financial companies No We don’t share
For our affiliates’ everyday business purposes –
information about your transactions and experiences		 No We don’t share
For our affiliates’ everyday business purposes –
information about your creditworthiness		 No We don’t share
For nonaffiliates to market to you No We don’t share

 

Questions? Call 1-855-647-8268

109

 

Who we are  
Who is providing this notice? Advisors Preferred Trust
What we do  
How does Advisors
Preferred Trust
protect my personal
information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.

How does Advisors
Preferred Trust collect
my personal
information?

We collect your personal information, for example, when you

 

■    Open an account

 

■    Provide account information

 

■    Give us your contact information

 

■    Make deposits or withdrawals from your account

 

■    Make a wire transfer

 

■    Tell us where to send the money

 

■    Tells us who receives the money

 

■    Show your government-issued ID

 

■    Show your driver’s license

 

We also collect your personal information from other companies.

Why can’t I limit all
sharing?

Federal law gives you the right to limit only

 

■    Sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

■    Affiliates from using your information to market to you

 

■    Sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

Definitions  
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

■    Advisors Preferred Trust does not share with our affiliates.

Nonaffiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

■    Advisors Preferred Trust does not share with nonaffiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

■    Advisors Preferred Trust doesn’t jointly market.

110

 

PROXY VOTING POLICY

 

Information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Funds use to determine how to vote proxies is available without charge, upon request, by calling 1-855-647-8268 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO HOLDINGS

 

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, within sixty days after the end of the period. Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The information on Form N-PORT is available without charge, upon request, by calling 1-855-647-8268.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT ADVISOR 

Advisors Preferred LLC 

1445 Research Blvd., Suite 530 

Rockville, MD 20850

 

SUB-ADVISOR 

Flexible Plan Investments, Ltd. 

3883 Telegraph Road, Suite 100 

Bloomfield Hills, MI 48302

 

ADMINISTRATOR 

Ultimus Fund Solutions, LLC 

225 Pictoria Drive, Suite 450 

Cincinnati, OH 45246

 

QUANT-SAR24

 

 

(b) Not applicable.

 

Item 2. Code of Ethics. Not applicable.

 

Item 3. Audit Committee Financial Expert. Not applicable.

 

Item 4. Principal Accountant Fees and Services. Not applicable.

 

Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.

 

Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders. None

 

 

Item 11. Controls and Procedures.

 
 

 

(a)       Based on an evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.

 

(b)       There were no significant changes in the Registrant’s internal control over financial reporting 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.

 

Item 13. Exhibits.

 

(a)(1) Not applicable.

 

(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.

 

(a)(3) Not applicable for open-end investment companies.

 

(b)       Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.

 

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.

 

(Registrant) Advisors Preferred Trust

 

By (Signature and Title)

/s/ Catherine Ayers-Rigsby

Catherine Ayer-Rigsby, President/Principal Executive Officer

 

Date 3/4/24

 

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 (Signature and Title)

/s/Catherine Ayers-Rigsby

Catherine Ayers-Rigsby, President/Principal Executive Officer

 

 

Date ___3/4/24

 

By (Signature and Title)

/s/ Christine Casares

Christine Casares, Treasurer/Principal Financial Officer

 

Date 3/4/24