TD Ameritrade Trust Company Collective Investment Funds for Employee Benefit Plans Managed Retirement Funds. Financial Reports May 31, 2015

Transcription

1 TD Ameritrade Trust Company Collective Investment s for Employee Benefit Plans s Financial Reports May 31, 2015

2 Contents Independent Auditor s Report 1-2 Financial Statements Statements of Financial Condition 3 Schedules of Investments 4-6 Statements of Operations 7 Statements of Changes in Participants Interest 8 Statements of Cash Flows 9 Financial Highlights 10 Notes to Financial Statements Other Financial Information (Unaudited) Summary Schedules of Monthly Values 18 Aggressive Summary Schedule of Investment Changes (Unaudited) 19 Balanced Summary Schedule of Investment Changes (Unaudited) 20 Conservative Summary Schedule of Investment Changes (Unaudited) 21 Growth Summary Schedule of Investment Changes (Unaudited) 22 Moderate Summary Schedule of Investment Changes (Unaudited) 23 Real Asset Summary Schedule of Investment Changes (Unaudited) 24

3 Independent Auditor s Report To the Trust Committee TD Ameritrade Trust Company Collective Investment s for Employee Benefit Plans s Denver, Colorado Report on the Financial Statements We have audited the accompanying financial statements of the Aggressive, Balanced, Conservative, Growth, Moderate, and Real Asset (six of the funds constituting the TD Ameritrade Trust Company Collective Investment s for Employee Benefit Plans), which comprise the statements of financial condition, including the schedules of investments, as of May 31, 2015, and the related statements of operations, changes in participants interest, cash flows and the financial highlights for the year then ended, and the related notes to the financial statements. Management s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements and financial highlights in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements and financial highlights that are free of material misstatement, whether due to fraud or error. Auditor s Responsibility Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. 1

4 Opinion In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Aggressive, Balanced, Conservative, Growth, Moderate, and Real Asset as of May 31, 2015, and the results of their operations, their cash flows and their financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America. Other Matter Our audits were conducted for the purpose of forming an opinion on the basic financial statements and financial highlights as a whole. The other financial information is presented for purposes of additional analysis and is not a required part of the financial statements. Such information has not been subjected to the auditing procedures applied in the audits of the financial statements, and accordingly, we do not express an opinion or provide any assurance on it. Denver, Colorado September 25,

5 s Statements of Financial Condition May 31, 2015 Aggressive Assets Investments at fair value (1) 13,253,074 Balanced Conservative Growth Moderate Real Asset $ $ 74,207,903 $ 38,377,613 $ 64,187,842 $ 26,482,379 $ 5,183,356 Cash 13,646 17,476 5,191 17,652 2,383 - Dividends receivable 9 31,203 24,232 11,071 15,187 1,276 Receivable for securities sold 81, , , ,784 24, Total assets $ 13,347,729 $ 75,209,062 $ 38,507,036 $ 64,916,349 $ 26,524,387 $ 5,185,562 Liabilities and Participants' Interest Liabilities TDATC Trustee fee payable - Share Class I $ 261 $ 1,194 $ 937 $ 1,059 $ 429 $ 58 TDATC Trustee fee payable - Share Class II 636 3,829 1,629 3,288 1, Qualified Custodian fee - Share Class II 1,988 11,965 5,091 10,274 4, Audit fees payable 307 1, , Payable for securities purchased 94,646 1,001, , ,475 41,991 1,640 Payable to affiliate Total liabilities 97,838 1,019, , ,694 48,770 3,606 Participants' Interest Participants' interest - Share Class I 3,837,756 17,616,299 13,764,834 15,616,202 6,287, ,070 Participants' interest - Share Class II 9,412,135 56,572,818 24,604,277 48,555,453 20,188,458 4,323,886 Total participants' interest 13,249,891 74,189,117 38,369,111 64,171,655 26,475,617 5,181,956 Total liabilities and participants' interest $ 13,347,729 $ 75,209,062 $ 38,507,036 $ 64,916,349 $ 26,524,387 $ 5,185,562 (1) Cost $ 11,859,875 $ 66,887,763 $ 36,063,708 $ 57,124,716 $ 24,535,312 $ 4,854,017 See Notes to Financial Statements. 3

6 s Schedules of Investments May 31, 2015 Fair Value as a % of Participants' Interest (1) Aggressive Number of Shares Cost Fair Value Fair Value as a % of Participants' Interest (1) Balanced Number of Shares Cost Fair Value Short term money market funds United States Federated Treasury Obligation 9.2% 1,218,957 $ 1,218,957 $ 1,218, % 5,480,996 $ 5,480,996 $ 5,480,996 TDBank USA Institutional Money Market Deposit Account (2) 0.0% % Total short term money market funds 9.2% 1,218,958 1,218, % 5,480,997 5,480,997 Collective investment funds United States Galliard Wells Fargo Stable Value D 4.8% 29, , , % 741,704 15,423,916 16,040,781 United States JPMCB Diversified Commercial Property 4.0% 18, , , % 179,348 3,698,442 5,019,963 Total collective investment funds 8.8% 1,031,057 1,161, % 19,122,358 21,060,744 Mutual funds United States stock DFA US Targeted Value Portfolio 10.0% 57,603 1,316,813 1,329, % 158,691 3,625,848 3,662,586 Vanguard Russell 1000 Growth Index 15.0% 9,988 1,498,861 1,985, % 40,839 5,791,923 8,117,129 Tortoise Select Opportunity Institutional 2.0% 24, , , % 70, , ,001 T. Rowe Price New Horizons 10.0% 28,250 1,176,496 1,329, % 78,181 3,054,440 3,679,983 Vanguard Russell 1000 Value Index 15.0% 11,059 1,587,119 1,987, % 45,273 6,409,936 8,136,448 Total United States stock 52.0% 5,829,289 6,891, % 19,601,586 24,343,147 International stock DFA Emerging Markets Core Equity Portfolio 3.9% 25, , , % 73,288 1,450,000 1,457,693 DFA International Small Cap Value I 2.0% 13, , , % 37, , ,413 Dodge & Cox International Stock 8.7% 25,593 1,086,079 1,152, % 64,539 2,734,698 2,906,817 Oppenheimer International Growth 9.0% 30,869 1,116,953 1,189, % 99,139 3,515,794 3,821,811 Oppenheimer International Small Company I 4.0% 14, , , % 47,508 1,596,875 1,715,511 Harding Loevner Frontier Emerging Market 0.9% 14, , , % 85, , ,743 Total International stock 28.5% 3,582,981 3,784, % 10,800,056 11,406,988 United States bonds DoubleLine Total Return Bond % 817,134 8,955,281 8,972,128 DoubleLine Low Duration Bond Total United States bonds % 8,955,281 8,972,128 International bonds Western Asset Macro Opportunities IS % 103,228 1,105,210 1,138,601 Dreyfus/Standish Global Fixed Income Y % 33, , ,878 Total international bonds % 1,835,128 1,860,479 Total mutual funds 80.5% 9,412,270 10,676, % 41,192,051 46,582,742 Exchange traded funds United States stock Materials Select Sector SPDR Trust PowerShares DB Agriculture Total United States stock Commodities United States SPDR Gold Shares 0.9% 1, , , % 6, , ,420 United States ETFS Physical Palladium ETF 0.6% 1,000 74,598 75, % 5, , ,000 Total commodities 1.5% 197, , % 1,092,357 1,083,420 Total exchange traded funds 1.5% 197, , % 1,092,357 1,083,420 Total investments 100.0% $ 11,859,875 $ 13,253, % $ 66,887,763 $ 74,207,903 (1) Percentage of participants interest may not recompute as fair value and participants interest are rounded. (2) The percentage of participants' interest is less than 0.05% and therefore rounds to 0.0%. See Notes to Financial Statements. 4

7 s Schedules of Investments - Continued May 31, 2015 Conservative Growth Fair Value as a % of Fair Value as a % of Participants' Interest (1) Number of Shares Cost Fair Value Participants' Interest (1) Number of Shares Cost Fair Value Short term money market funds United States Federated Treasury Obligation 8.5% 3,277,315 $ 3,277,315 $ 3,277, % 4,626,407 $ 4,626,407 $ 4,626,407 TDBank USA Institutional Money Market Deposit Account (2) 0.0% % Total short term money market funds 8.5% 3,277,316 3,277, % 4,626,408 4,626,408 Collective investment funds United States Galliard Wells Fargo Stable Value D 34.3% 609,247 13,079,832 13,176, % 431,043 9,023,125 9,322,141 United States JPMCB Diversified Commercial Property 7.8% 107,362 2,201,936 3,005, % 113,916 2,335,281 3,188,513 Total collective investment funds 42.1% 15,281,768 16,181, % 11,358,406 12,510,654 Mutual funds United States stock DFA US Targeted Value Portfolio 2.0% 32, , , % 219,654 5,025,168 5,069,608 Vanguard Russell 1000 Growth Index 5.9% 11,430 1,629,422 2,271, % 42,860 6,159,266 8,518,797 Tortoise Select Opportunity Institutional 0.9% 34, , , % 61, , ,188 T. Rowe Price New Horizons 1.9% 15, , , % 108,960 4,311,978 5,128,740 Vanguard Russell 1000 Value Index 5.8% 12,479 1,741,774 2,242, % 46,313 6,466,454 8,323,405 Total United States stock 16.5% 5,134,091 6,363, % 22,585,212 27,686,738 International stock DFA Emerging Markets Core Equity Portfolio 0.9% 17, , , % 94,430 1,843,740 1,878,219 DFA International Small Cap Value I 1.0% 17, , , % 31, , ,918 Dodge & Cox International Stock 1.9% 16, , , % 97,161 4,085,499 4,376,146 Oppenheimer International Growth 2.5% 24, , , % 117,991 4,200,863 4,548,537 Oppenheimer International Small Company I 2.0% 21, , , % 53,674 1,823,375 1,938,158 Harding Loevner Frontier Emerging Market % 71, , ,216 Total International stock 8.3% 3,020,014 3,193, % 13,221,220 14,011,194 United States bonds DoubleLine Total Return Bond 18.1% 633,286 6,940,724 6,953, % 293,742 3,214,419 3,225,286 DoubleLine Low Duration Bond Total United States bonds 18.1% 6,940,724 6,953, % 3,214,419 3,225,286 International bonds Western Asset Macro Opportunities IS 1.9% 66, , , % 62, , ,516 Dreyfus/Standish Global Fixed Income Y 2.9% 51,776 1,140,665 1,127, % 28, , ,796 Total international bonds 4.8% 1,862,157 1,865, % 1,298,497 1,313,312 Total mutual funds 47.7% 16,956,986 18,375, % 40,319,348 46,236,530 Exchange traded funds United States stock Materials Select Sector SPDR Trust PowerShares DB Agriculture Total United States stock Commodities United States SPDR Gold Shares 0.9% 3, , , % 4, , ,450 United States ETFS Physical Palladium ETF 0.5% 2, , , % 4, , ,800 Total commodities 1.4% 547, , % 820, ,250 Total exchange traded funds 1.4% 547, , % 820, ,250 Total investments 99.7% $ 36,063,708 $ 38,377, % $ 57,124,716 $ 64,187,842 (1) Percentage of participants interest may not recompute as fair value and participants interest are rounded. (2) The percentage of participants' interest is less than 0.05% and therefore rounds to 0.0%. See Notes to Financial Statements. 5

8 s Schedules of Investments - Continued May 31, 2015 Moderate Real Asset Fair Value as a % of Participants' Interest (1) Number of Shares Cost Fair Value Fair Value as a % of Participants' Interest (1) Number of Shares Cost Fair Value Short term money market funds United States Federated Treasury Obligation 7.1% $ 1,882,427 $ 1,882,427 $ 1,882, % 897,545 $ 897,545 $ 897,545 TDBank USA Institutional Money Market Deposit Account (2) 0.0% % Total short term money market funds 7.1% 1,882,428 1,882, % 897, ,546 Collective investment funds United States Galliard Wells Fargo Stable Value D 29.1% 356,415 7,436,625 7,708, % 90,449 1,881,832 1,956,131 United States JPMCB Diversified Commercial Property 7.1% 67,500 1,411,594 1,889, % 37, ,770 1,063,288 Total collective investment funds 36.2% 8,848,219 9,597, % 2,673,602 3,019,419 Mutual funds United States stock DFA US Targeted Value Portfolio 2.9% 33, , , Vanguard Russell 1000 Growth Index 8.1% 10,804 1,594,032 2,147, Tortoise Select Opportunity Institutional 1.0% 25, , , % 9, , ,831 T. Rowe Price New Horizons 3.0% 17, , , Vanguard Russell 1000 Value Index 8.1% 11,978 1,753,732 2,152, Total United States stock 23.1% 5,070,522 6,138, % 100, ,831 International stock DFA Emerging Markets Core Equity Portfolio 2.0% 26, , , DFA International Small Cap Value I 0.9% 11, , , Dodge & Cox International Stock 3.0% 17, , , Oppenheimer International Growth 3.1% 21, , , Oppenheimer International Small Company I 2.2% 16, , , Harding Loevner Frontier Emerging Market 1.0% 31, , , Total International stock 12.2% 3,129,952 3,254, United States bonds DoubleLine Total Return Bond 16.2% 391,167 4,293,213 4,295, DoubleLine Low Duration Bond % 53, , ,373 Total United States bonds 16.2% 4,293,213 4,295, % 551, ,373 International bonds Western Asset Macro Opportunities IS 1.5% 36, , , % 9, , ,743 Dreyfus/Standish Global Fixed Income Y 2.0% 24, , , % 5, , ,418 Total international bonds 3.5% 921, , % 216, ,161 Total mutual funds 55.0% 13,415,115 14,616, % 867, ,365 Exchange traded funds United States stock Materials Select Sector SPDR Trust % 1,008 49,211 51,010 PowerShares DB Agriculture % 1,800 50,922 39,294 Total United States stock % 100,133 90,304 Commodities United States SPDR Gold Shares 0.9% 2, , , % 1, , ,082 United States ETFS Physical Palladium ETF 0.5% 1, , , % 1, , ,640 Total commodities 1.4% 389, , % 315, ,722 Total exchange traded funds 1.4% 389, , % 415, ,026 Total investments 99.7% $ 24,535,312 $ 26,482, % $ 4,854,017 $ 5,183,356 (1) Percentage of participants interest may not recompute as fair value and participants interest are rounded. (2) The percentage of participants' interest is less than 0.05% and therefore rounds to 0.0%. See Notes to Financial Statements. 6

9 s Statements of Operations Year Ended May 31, 2015 Aggressive Balanced Conservative Growth Moderate Real Asset Investment income: Dividends $ 364,765 $ 1,688,579 $ 659,229 $ 1,580,463 $ 532,453 $ 49,160 Total investment income 364,765 1,688, ,229 1,580, ,453 49,160 Expenses: Qualified Custodian fees - Share Class II 22, ,236 55, ,959 49,909 11,040 Audit fees 1,828 10,928 5,180 9,495 3, Trustee fees - Share Class I 3,021 13,173 10,424 11,882 5, Trustee fees - Share Class II 7,097 45,836 17,760 38,707 15,971 3,533 Total expenses 34, ,173 88, ,043 74,831 16,104 Net investment income 330,640 1,475, ,365 1,399, ,622 33,056 Realized and unrealized gain on investments: Net realized gain on investments sold 433,131 2,290,175 1,404,147 2,525, ,034 5,810 Net change in unrealized appreciation on investments (112,072) 160,850 (394,998) (467,902) 162,595 91,822 Net gain on investments 321,059 2,451,025 1,009,149 2,057, ,629 97,632 Net increase in participants' interest resulting from operations $ 651,699 $ 3,926,431 $ 1,579,514 $ 3,456,702 $ 1,228,251 $ 130,688 See Notes to Financial Statements. 7

10 s Statements of Changes In Participants' Interest Year Ended May 31, 2015 Balanced Aggressive Conservative Units Amount Units Amount Units Amount Participants' interest at beginning of period 873,257 $ 11,984,033 4,700,070 $ 71,570,548 2,266,565 $ 33,947,415 Increase in participants' interest resulting from operations: Net investment income 330,640 1,475, ,365 Net realized gain on investments sold 433,131 2,290,175 1,404,147 Net change in unrealized appreciation on investments (112,072) 160,850 (394,998) Net increase in participants' interest resulting from operations 651,699 3,926,431 1,579,514 Increase (decrease) in participants' interest resulting from participating unit transactions: Issuance of units - Share Class I 136,428 1,845, ,770 8,639, ,358 3,770,864 Issuance of units - Share Class II 357,311 5,148,099 1,240,308 19,928,026 1,074,195 16,969,425 Redemption of units - Share Class I (139,251) (1,860,241) (512,722) (7,564,649) (212,474) (3,190,100) Redemption of units - Share Class II (313,653) (4,519,639) (1,386,619) (22,311,027) (931,751) (14,708,007) Net increase (decrease) in participants' interest resulting from participating unit transactions 40, ,159 (72,263) (1,307,862) 181,328 2,842,182 Participants' interest at end of period 914,092 $ 13,249,891 4,627,807 $ 74,189,117 2,447,893 $ 38,369,111 Growth Moderate Real Asset Units Amount Units Amount Units Amount Participants' interest at beginning of period 4,169,018 $ 62,182,465 1,723,514 $ 24,741, ,948 $ 5,312,456 Increase in participants' interest resulting from operations: Net investment income 1,399, ,622 33,056 Net realized gain on investments sold 2,525, ,034 5,810 Net change in unrealized appreciation on investments (467,902) 162,595 91,822 Net increase in participants' interest resulting from operations 3,456,702 1,228, ,688 Increase (decrease) in participants' interest resulting from participating unit transactions: Issuance of units - Share Class I 478,735 6,709, ,913 2,231,284 8,926 97,042 Issuance of units - Share Class II 1,254,148 19,990,221 1,026,559 15,120,963 34, ,444 Redemption of units - Share Class I (458,613) (6,409,166) (213,578) (3,163,026) (15,040) (164,147) Redemption of units - Share Class II (1,369,064) (21,757,571) (923,753) (13,683,547) (51,949) (563,527) Net increase (decrease) in participants' interest resulting from participating unit transactions (94,794) (1,467,512) 39, ,674 (23,966) (261,188) Participants' interest at end of period 4,074,224 $ 64,171,655 1,762,655 $ 26,475, ,982 $ 5,181,956 See Notes to Financial Statements. 8

11 s Statements of Cash Flows Year Ended May 31, 2015 Aggressive Balanced Conservative Growth Moderate Real Asset Cash Flows from Operating Activities Net increase in participants' interest resulting from operations $ 651,699 $ 3,926,431 $ 1,579,514 $ 3,456,702 $ 1,228,251 $ 130,688 Adjustments to reconcile net increase (decrease) in participants' interest resulting from operations to net cash provided by (used in) operating activities: of investments (21,580,693) (91,632,826) (75,550,121) (87,942,545) (40,980,137) (5,644,670) Proceeds from sales of investments 20,635,397 91,450,789 72,129,162 87,997,890 40,010,212 5,870,996 Net realized (gain) on investments sold (433,131) (2,290,175) (1,404,147) (2,525,184) (608,034) (5,810) Net change in unrealized appreciation on investments 112,072 (160,850) 394, ,902 (162,595) (91,822) Changes in assets and liabilities: Dividends receivable 4 4,535 2,213 7, ,602 Audit fee payable 145 1, , Trustee fee payable - Share Class I (38) (3) Trustee fee payable - Share Class II (7) Qualified Custodian fee payable - Share Class II (20) Payable for securities purchased 84, , , ,663 25,317 (199,990) Receivable for securities sold (81,000) (947,040) (100,000) (546,233) (24,438) 199,197 Payable to affiliate Net cash provided by (used in) operating activities (610,174) 1,313,865 (2,840,813) 1,466,473 (509,229) 260,859 Cash Flows from Financing Activities Issuance of units - Share Class I 1,845,940 8,639,788 3,770,864 6,709,004 2,231,284 97,042 Issuance of units - Share Class II 5,148,099 19,928,026 16,969,425 19,990,221 15,120, ,444 Redemptions of units - Share Class I (1,860,241) (7,564,649) (3,190,100) (6,409,166) (3,163,026) (164,147) Redemptions of units - Share Class II (4,519,639) (22,311,027) (14,708,007) (21,757,571) (13,683,547) (563,527) Net cash provided by (used in) financing activities 614,159 (1,307,862) 2,842,182 (1,467,512) 505,674 (261,188) Net increase (decrease) in cash and cash equivalents 3,985 6,003 1,369 (1,039) (3,555) (329) Cash and cash equivalents: Beginning of period 9,661 11,473 3,822 18,691 5, End of period $ 13,646 $ 17,476 $ 5,191 $ 17,652 $ 2,383 $ - See Notes to Financial Statements. 9

12 s Financial Highlights Year Ended May 31, 2015 Aggressive Balanced Conservative Growth Moderate Real Asset Share Class I Share Class I Share Class I Share Class I Share Class I Share Class I Selected per unit data Unit value beginning of period $ $ $ $ $ $ Income from investment operations (b) : Net investment income (a) Net gain on investments Total from investment operations Unit value end of period $ $ $ $ $ $ Total return (b) 5.70% 5.63% 4.75% 5.90% 4.90% 2.70% Ratios and supplemental data Net assets, end of year $ 3,837,756 $ 17,616,299 $ 13,764,834 $ 15,616,202 $ 6,287,159 $ 858,070 Ratio of net investment income to average net assets 2.81% 2.18% 1.78% 2.39% 1.89% 0.83% Ratio of expenses to average net assets 0.09% 0.09% 0.09% 0.10% 0.09% 0.10% Aggressive Balanced Conservative Growth Moderate Real Asset Share Class II Share Class II Share Class II Share Class II Share Class II Share Class II Selected per unit data Unit value beginning of period $ $ $ $ $ $ Income from investment operations (b) : Net investment income (a) Net gain on investments Total from investment operations Unit value end of period $ $ $ $ $ $ Total return (b) 5.43% 5.41% 4.46% 5.65% 4.69% 2.43% Ratios and supplemental data Net assets, end of year $ 9,412,135 $ 56,572,818 $ 24,604,277 $ 48,555,453 $ 20,188,458 $ 4,323,886 Ratio of net investment income to average net assets 2.53% 1.95% 1.52% 2.16% 1.68% 0.58% Ratio of expenses to average net assets 0.34% 0.34% 0.34% 0.34% 0.34% 0.35% (a) Net investment income per unit was calculated using the average shares method. (b) Due to timing of participant unit transactions, the per unit amounts and total return presented may not agree with the change in aggregate gains and losses as presented on the statements of operations. These financial highlights are calculated based on a unit holder's account that is outstanding for the entire period and may not be indicative of the future performance of the s. See Notes to Financial Statements. 10

13 s Notes to Financial Statements Note 1. Organization The s (the s) are collective investment funds established under the Declaration of Trust establishing the TD Ameritrade Trust Company Collective Investment s for Employee Benefit Plans (Declaration of Trust) to provide for the collective investment and reinvestment of assets of qualified employer sponsored retirement plans. TD Ameritrade Trust Company (TDATC, referred to herein as the Trustee) serves as the trustee, custodian, transfer agent, and record-keeper for the s. Axia Advisory Corporation (referred to herein as the Sub-Advisor) provides investment subadvisory services for the s. Each fund offers two share classes, Share Class I and Share Class II, which differ by their allocation of class specific expenses. The following describes the individual s, as set forth in the Declaration of Trust: Aggressive : The fund seeks long-term capital appreciation. The strategy is designed for investors who have a long-term focus, but can tolerate a relatively high level of volatility. The selection of underlying funds is structured to produce returns that are consistent with a diversified asset allocation mix of 40 percent United States mid/large cap stocks, 30 percent United States small cap stocks, and 30 percent international stocks. The Aggressive utilizes a core and satellite approach whereby the core of the portfolio will be invested in an index or enhanced index strategy and the balance (satellite) will be invested with active managers to enhance returns. The underlying funds will be evaluated on a consistent basis. Tactical changes may be made to take advantage of valuation opportunities from time to time. To ensure the strategy remains consistent, regardless of market conditions, any divergence from the strategic (long-term) allocation may be addressed by rebalancing. Balanced : The fund seeks a combination of capital growth and income. The strategy is designed for those investors who seek to limit potential losses but who desire an opportunity for moderate capital growth. The selection of underlying funds is structured to produce returns that are consistent with a diversified asset allocation mix of 10 percent stable investments, 30 percent bonds, 30 percent United States mid/large cap stocks, 15 percent United States small cap stocks, and 15 percent international stocks. The Balanced utilizes a core and satellite approach whereby the core of the fund will be invested in an index or enhanced index strategy and the balance (satellite) will be invested with active managers to enhance returns. The underlying funds are evaluated on a consistent basis. Tactical changes may be made to take advantage of valuation opportunities from time to time. To ensure the strategy remains consistent, regardless of market conditions, any divergence from the strategic (long-term) allocation may be addressed by rebalancing. Conservative : The fund seeks income and stability, with the opportunity for capital growth. The strategy is designed for those investors who desire higher long-term return with limited volatility. The selection of underlying funds is structured to produce returns that are consistent with a diversified asset allocation mix of 25 percent stable investments, 45 percent bonds, 18 percent United States mid/large cap stocks, 6 percent United States small cap stocks, and 6 percent international stocks. The fund utilizes a core and satellite approach whereby the core of the fund will be invested in an index or enhanced index strategy and the balance (satellite) will be invested with active managers to enhance returns. The underlying funds are evaluated on a consistent basis. Tactical changes may be made to take advantage of valuation opportunities from time to time. To ensure the strategy remains consistent, regardless of market conditions, any divergence from the strategic (longterm) allocation may be addressed by rebalancing. 11

14 s Notes to Financial Statements Note 1. Organization (Continued) Growth : The fund seeks long-term capital growth. The strategy is designed for those investors who seek long-term returns with reduced volatility. The selection of underlying funds is structured to produce returns that are consistent with a diversified asset allocation mix of 5 percent stable investments, 15 percent bonds, 36 percent United States mid/large cap stocks, 22 percent United States small cap stocks, and 22 percent international stocks. The Growth utilizes a core and satellite approach whereby the core of the fund is invested in an index or enhanced index strategy and the balance (satellite) is invested with active managers to enhance returns. The underlying funds are evaluated on a consistent basis. Tactical changes may be made to take advantage of valuation opportunities from time to time. To ensure the strategy remains consistent, regardless of market conditions, any divergence from the strategic (long-term) allocation may be addressed by rebalancing. Moderate : The fund seeks a combination of income and moderate capital growth. The strategy is designed for those investors who seek to limit potential losses but who desire an opportunity for moderate capital growth. The selection of underlying funds is structured to produce returns that are consistent with a diversified asset allocation mix of 20 percent stable investments, 40 percent bonds, 22 percent United States mid/large cap stocks, 8 percent United States small cap stocks, and 10 percent international stocks. The Moderate utilizes a core and satellite approach whereby the core of the fund will be invested in an index or enhanced index strategy and the balance (satellite) will be invested with active managers to enhance returns. The underlying funds are evaluated on a consistent basis. Tactical changes may be made to take advantage of valuation opportunities from time to time. To ensure the strategy remains consistent, regardless of market conditions, any divergence from the strategic (long-term) allocation may be addressed by rebalancing. Real Asset : Real Asset seeks to provide longterm positive returns over a market cycle (5 to 7 years) by investing in alternative physical or real assets with attractive historical returns that have low correlations to stocks and bonds. The strategy is designed for those investors who desire greater diversification and protection against rising interest rates and inflation. The fund will invest in a mixture of equities, exchange traded funds, mutual funds, or other pooled funds. The selection of underlying investment vehicles is structured to produce returns that are consistent with a diversified asset mix of 25 percent capital preservation strategies, 25 percent fixed income strategies, 25 percent real estate strategies, and 25 percent commodities and natural resources strategies. To ensure the fund s strategy remains consistent the allocation will be rebalanced when it deviates significantly from these targets. Note 2. Summary of Significant Accounting Policies The following is a summary of the significant accounting policies followed by the s in the preparation of the accompanying financial statements. Principles of accounting: The accompanying financial statements have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition, results of operations and cash flows. The s each meet the definition of an investment company and therefore follow the investment company guidance in FASB Accounting Standards Codification (ASC)

15 s Notes to Financial Statements Note 2. Summary of Significant Accounting Policies (Continued) Use of estimates: The preparation of financial statements in conformity with GAAP requires the s Trustee to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the reported results of operations and cash flows during the reporting period. Estimates include determination of fair value of investments. Actual results could differ from those estimates. Cash and cash equivalents: The s consider all highly liquid instruments with original maturities of three months or less at the acquisition date to be cash equivalents. Cash balances of the s and other affiliated entities are combined into a deposit account provided by an affiliate of the Trustee. The balance of the deposit account is in excess of federally insured limits; however, management of the s does not believe the s are exposed to any significant credit risk. Investment valuation: The s record investments at fair value. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The s utilize valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Assets and liabilities recorded at fair value are categorized within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs are broadly defined as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy are described below: Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the s have the ability to access at the measurement date. The s do not adjust the quoted price for these investments, even in situations where the s hold a large position and a sale could reasonably impact the quoted price. Level 2. Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly. A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement. Level 3. Inputs are unobservable for the asset or liability and include situations where there is little, if any, market activity for the asset or liability. The inputs into the determination of fair value are based upon the best information in the circumstances and may require significant management judgment or estimation. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and taxes into consideration factors specific to the investment. A description of the valuation techniques applied to the s major categories of assets measured at fair value on a recurring basis follows: Short term money market funds - Short-term investments are valued at cost, which approximates fair value. Mutual funds - Mutual funds are valued at their daily net asset value. Exchange traded funds - Exchange traded funds are valued daily based on quoted market prices. 13

16 s Notes to Financial Statements Note 2. Summary of Significant Accounting Policies (Continued) Short term money market funds, mutual funds, and exchange traded funds are measured at fair value on a recurring basis using Level 1 inputs based on quoted prices for identical assets in active markets as of the measurement date. The inputs or methodology used for valuing investments are not necessarily an indication of the risks associated with investing in those investments. The s assess the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the s accounting policies regarding the recognition of transfers between levels of the fair value hierarchy. For the year ended May 31, 2015, there were no transfers between levels. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. Collective investment funds - As a practical expedient, the valuation of investments in other funds is generally equal to the reported net asset value (NAV) of the investment fund, without adjustment, as the reported net asset value represents fair value based on observable data such as ongoing redemption or subscription activity. The Trustee may adjust the valuation obtained from the investment fund if it is aware of information indicating that a value reported does not accurately reflect the value of the investment fund. In determining fair value the Trustee may consider various factors, including the financial statements of the investment fund as well as any other relevant valuation information to determine if any adjustments should be made to the NAV reported by the investment fund. The fair value of the s investments in the investment funds generally represents the amount the s would expect to receive if they were to liquidate their investments in the funds. However, certain funds may provide the manager of the fund with the ability to suspend or postpone redemptions (a gate), or a (lock-in period) upon initial subscription, within which the s may not redeem in a timely manner. If there is an imposition of a gate, if a lock-in period in excess of 3 months is remaining at the fair value measurement date, or if the s may not redeem its holding in the fund within 3 months or less, the Trustee's ability to validate or verify the NAV through redeeming may be impaired. The s adopted ASU , Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent) - a Consensus of Emerging Issues Task Force, during the year ended May 31, 2015 and therefore the inputs used in the valuation of the collective investment funds are no longer required to be categorized within the fair value hierarchy. Investment transactions and dividends: Investment transactions are recorded on the trade date. Realized gains and losses on investment transactions are determined on the average lot cost method and are included as net realized gain (loss) on investments sold in the accompanying statements of operations. The difference between the cost and the fair value of open investments is reflected as unrealized appreciation (depreciation) on investments, and any change in that amount from the prior period is reflected in the accompanying statements of operations. Dividend income is recognized on the ex-dividend date. Allocation of income and expenses: Income, audit fee expenses, and the gains/losses of each fund are allocated on a pro-rata basis to each class of shares, except for trustee, sub-advisor, and if applicable, custodian fees, which are unique to each class of shares. Federal income taxes: Each of the s qualify as a "group trust" and the s as established under the trust are exempt from taxation. Accordingly, the financial results of the s contain no provision for income taxes. 14

17 s Notes to Financial Statements Note 2. Summary of Significant Accounting Policies (Continued) The FASB provides guidance for how uncertain tax positions should be recognized, measured, disclosed and presented in the financial statements. This requires the evaluation of tax positions taken or expected to be taken in the course of preparing the s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when challenged or when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year. As of May 31, 2015 and for the year then ended, management has determined that there are no material uncertain tax positions. The s file income tax returns in U.S. federal jurisdiction. The current and prior three tax years generally remain subject to examination by U.S. federal tax authorities. Participant transactions: The unit values of the s are determined at the close of each business day that the New York Stock Exchange is open for business. Units may be issued and redeemed on any business day at the daily unit value. All earnings, gains, and losses of the s are reflected in the computation of the daily unit value and are realized by the participants upon redemption from the s. Net investment income and net realized gains are reinvested, and thus, there are no distributions of net investment income or net realized gains to participants. Subsequent events: The Trustee, as manager of the s, has evaluated the period after the financial statement date through September 25, 2015, the date the financial statements were available to be issued, and has determined that there are no subsequent events that require recognition or disclosure. Recently adopted accounting pronouncements: In May 2015, the FASB issued ASU , Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) a Consensus of Emerging Issues Task Force (ASU ). ASU removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. ASU also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. ASU is effective for fiscal years beginning after December 15, Early adoption is permitted. The s have elected to early adopt this guidance. Note 3. Investments As of May 31, 2015, investments in collective investment funds valued using the practical expedient are as follows: % of TD Ameritrade Collective Participants' Investment Redemptions Investment Investment Fair Value Interest Objective Permitted Aggressive Galliard Wells Fargo Stable Value D 637, % Fixed Income Daily* Balanced Galliard Wells Fargo Stable Value D 16,040, % Fixed Income Daily* Conservative Galliard Wells Fargo Stable Value D 13,176, % Fixed Income Daily* Growth Galliard Wells Fargo Stable Value D 9,322, % Fixed Income Daily* Moderate Galliard Wells Fargo Stable Value D 7,708, % Fixed Income Daily* Real Asset Galliard Wells Fargo Stable Value D 1,956, % Fixed Income Daily* Aggressive JPMCB Diversified Commercial Property 524, % Real Estate Daily** Balanced JPMCB Diversified Commercial Property 5,019, % Real Estate Daily** Conservative JPMCB Diversified Commercial Property 3,005, % Real Estate Daily** Growth JPMCB Diversified Commercial Property 3,188, % Real Estate Daily** Moderate JPMCB Diversified Commercial Property 1,889, % Real Estate Daily** Real Asset JPMCB Diversified Commercial Property 1,063, % Real Estate Daily** 15

18 s Notes to Financial Statements Note 3. Investments (Continued) * The general partner or sponsor of the respective investment fund reserves the right to require a 12- month notice for withdrawal of assets from the investment fund by the Trustee. Requests for redemptions by the s participants are not subject to this restriction. ** The general partner or sponsor of the respective investment fund reserves the right to require a 45 day written notice, prior to the last day of the calendar quarter, for a withdrawal of assets from the investment fund by the Trustee which constitutes more than 5 percent of the aggregate value of the investment fund. Only one such withdrawal request may be made per quarter. Requests for redemptions by the s participants are not subject to this restriction. There are no current plans to sell the investments in the investment fund as of May 31, Information about each investment funds portfolio as of the date of these financial statements is not available to the s. Note 4. Related-Party Transactions For liquidity and administrative purposes, the s seek to maintain at least 3 percent of their assets in cash or cash equivalent. The cash component for the s could have been composed of a bank depository account provided by an affiliate of the Trustee or a short-term money market fund. The shortterm money market fund option provided is the Federated Treasury Obligation, which is not an affiliate of the Trustee. In the event the audit fee impacts the s unit values as determined on a daily basis, by an amount greater than $0.005 per unit, the Trustee will assume such excess audit fees. In addition, if the audit fees caused the s total expenses, including the expenses of the underlying assets, to exceed 2 percent of average participants interest annually, the Trustee will assume such excess audit fees. For the year ended May 31, 2015, the Trustee did not assume any fees. As of May 31, 2015, Real Asset had a payable to affiliate relating to over-night advances of cash of $561 from the Trustee which is included on the statements of financial condition. Note 5. Fees The Trustee charges the s a fee equal to 0.08 percent for Share Class I and 0.33 percent for Share Class II per annum of assets held by external participants applicable to each respective share class. This fee accrues on a daily basis and is payable monthly in arrears. For Share Class II, a portion of the Trustee Fee, 0.25 percent, is paid to the Sub-Advisor for sub-advisory services provided to the s or to a qualified custodian for unit holder servicing and administrative services, which is presented on the statements of operations as Custodian fees - Share Class II. The Trustee may serve as a qualified custodian, in which case the 0.25 percent will be paid directly to the participating trust account. 16

19 s Notes to Financial Statements Note 6. Risks and Indemnifications In the normal course of business, the s enter into contracts that contain a variety of representations and warranties that provide indemnifications under certain circumstances. The s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the s that have not yet occurred. The s expect the risk of future obligation under these indemnifications to be remote. The managers of underlying collective investment funds in which the s may invest, may utilize derivative instruments with off-balance-sheet risk. The s exposure to risk is limited to the amount of their investment in the underlying collective investment funds. 17

20 Other Financial Information (Unaudited)

21 s Summary Schedules of Monthly Values (Unaudited) Year Ended May 31, 2015 Aggressive Class I Units Unit Value Outstanding Balanced Class I Units Unit Value Outstanding Conservative Class I Units Unit Value Outstanding Growth Class I Units Unit Value Outstanding Moderate Class I Units Unit Value Outstanding Real Asset Class I Units Unit Value Outstanding May 31, ,762 $ ,099,472 $ ,599 $ ,068,056 $ ,302 $ ,905 $ June 30, , ,107, , ,071, , , July 31, , ,119, , ,060, , , August 31, , ,106, , ,069, , , September 30, , ,109, , ,077, , , October 31, , ,106, , ,082, , , November 30, , ,110, , ,077, , , December 31, , ,148, , ,056, , , January 31, , ,144, , ,051, , , February 28, , ,149, , ,066, , , March 31, , ,163, , ,049, , , April 30, , ,163, , ,076, , , May 31, , ,173, , ,088, , , Aggressive Balanced Conservative Class II Class II Class II Units Units Units Unit Value Unit Value Outstanding Outstanding Outstanding Unit Value Growth Class II Units Unit Value Outstanding Moderate Class II Units Unit Value Outstanding Real Asset Class II Units Unit Value Outstanding May 31, ,495 $ ,600,598 $ ,400,966 $ ,100,962 $ ,246,212 $ ,043 $ June 30, , ,617, ,394, ,113, ,250, , July 31, , ,695, ,437, ,138, ,281, , August 31, , ,674, ,412, ,174, ,301, , September 30, , ,674, ,399, ,149, ,302, , October 31, , ,663, ,379, ,100, ,361, , November 30, , ,634, ,378, ,119, ,388, , December 31, , ,667, ,416, ,054, ,410, , January 31, , ,641, ,440, ,054, ,526, , February 28, , ,657, ,444, ,057, ,535, , March 31, , ,465, ,466, ,939, ,359, , April 30, , ,428, ,478, ,949, ,365, , May 31, , ,454, ,543, ,986, ,349, ,