TD Ameritrade Trust Company Collective Investment Funds for Employee Benefit Plans Inceptus 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 Financial Highlights 9 Notes to Financial Statements Other Financial Information (Unaudited) Summary Schedules of Monthly Values 15 Aggressive Summary Schedule of Investment Changes 16 Conservative Summary Schedule of Investment Changes 17 Moderately Aggressive Summary Schedule of Investment Changes 18 Moderately Conservative Summary Schedule of Investment Changes 19 Moderate Summary Schedule of Investment Changes 20

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, Conservative, Moderately Aggressive, Moderately Conservative, and Moderate (five 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 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, Conservative, Moderately Aggressive, Moderately Conservative, and Moderate as of May 31, 2015, and the results of their operations, 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 Conservative Moderately Aggressive Moderately Conservative Moderate Assets Investments at fair value (1) $ 12,675,799 $ 3,348,821 $ 29,935,803 $ 7,988,273 $ 19,614,949 Cash and cash equivalents 1 2,150 10,305 3,259 14,344 Dividends receivable 2,628 3,458 12,350 6,056 12,603 Receivable for securities sold 67, Total assets $ 12,746,323 $ 3,354,429 $ 29,958,458 $ 7,997,588 $ 19,641,896 Liabilities and Participants' Interest Liabilities Trustee fees payable 1, ,842 1,019 2,508 Audit fee , Payable for securities purchased - 2,151 10,305 3,259 14,345 Payable to affiliate 67, Total liabilities 70,030 2,749 15,418 4,526 17,708 Participants' Interest 12,676,293 3,351,680 29,943,040 7,993,062 19,624,188 Total liabilities and participants' interest $ 12,746,323 $ 3,354,429 $ 29,958,458 $ 7,997,588 $ 19,641,896 (1) Cost $ 12,570,847 $ 3,380,690 $ 29,551,207 $ 7,963,769 $ 19,457,697 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) Conservative Number of Shares Cost Fair Value Short term money market funds United States Federated Treasury Obligation 0.6% 70,596 $ 70,596 $ 70, % 23,016 $ 23,016 $ 23,016 TDBank USA Institutional Money Market Deposit Account (2) 0.0% % Total short term money market funds 0.6% 70,597 70, % 23,017 23,017 Collective investment funds United States SSgA Russell Small Cap Index Non Lending 10.0% 54,661 1,267,895 1,263, Total United States stock 10.0% 1,267,895 1,263, Total Collective investment funds 10.0% 1,267,895 1,263, Mutual funds United States Stock Vanguard 500 Index Admiral 27.1% 17,634 3,356,364 3,438, % 1, , ,885 Total United States stock 27.1% 3,356,364 3,438, % 267, ,885 International Stock DFA Emerging Markets Portfolio 5.2% 25, , , Total International stock 5.2% 619, , United States bond Vanguard Inflation Protected Securities Admiral % 3, , ,761 TIAA-CREF High-Yield Institutional Class 4.9% 62, , , % 43, , ,911 Total United States bond 4.9% 622, , % 536, ,672 International bond PIMCO Emerging Markets Bond United States % 23, , ,762 PIMCO Foreign Bond United States Dollar-Hedge % 48, , ,212 Total international bond % 792, ,974 Commodities United States PIMCO Commodity Real Return Strategy 5.0% 145, , , % 39, , ,743 Total commodities 5.0% 769, , % 205, ,743 United States master limited partnerships SteelPath Master Limited Partnerships Select % 106,533 1,289,961 1,292, % 17, , ,329 Total United States master limited partnerships 10.2% 1,289,961 1,292, % 212, ,329 United States real estate Vanguard REIT Index 3.8% 18, , , Total United States real estate 3.8% 497, , Total mutual funds 56.2% 7,155,604 7,125, % 2,014,935 1,953,603 Exchange traded funds International stock ishares MSCI Europe, Australia, and Far East Index 20.5% 38,983 2,483,856 2,597, % 3, , ,491 Total international stock 20.5% 2,483,856 2,597, % 205, ,491 United States bond ishares Core Total United States Bond Market ETF 8.8% 10,099 1,099,552 1,112, % 10,554 1,136,914 1,162,710 Total United States bond 8.8% 1,099,552 1,112, % 1,136,914 1,162,710 International real estate SPDR Dow Jones International Real Estate ETF 4.0% 11, , , Total international real estate 4.0% 493, , Total exchange traded funds 33.3% 4,076,751 4,216, % 1,342,738 1,372,201 Total investments 100.1% $ 12,570,847 $ 12,675, % $ 3,380,690 $ 3,348,821 (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 Fair Value as a % of Participants' Interest (1) Moderately Aggressive Number of Shares Cost Fair Value Fair Value as a % of Participants' Interest (1) Moderately Conservative Number of Shares Cost Fair Value Short term money market funds United States Federated Treasury Obligation 0.6% 189,744 $ 189,744 $ 189, % 53,174 $ 53,174 $ 53,174 TDBank USA Institutional Money Market Deposit Account (2) 0.0% % Total short term money market funds 0.6% 189, , % 53,175 53,175 Collective investment s United States SSgA Russell Small Cap Index Non Lending 8.0% 104,124 2,415,203 2,405, % 17, , ,345 Total United States stock 8.0% 2,415,203 2,405, % 404, ,345 Total collective investment funds 8.0% 2,415,203 2,405, % 404, ,345 Mutual funds United States Stock Vanguard 500 Index Admiral 21.3% 32,656 6,214,046 6,367, % 6,256 1,190,419 1,219,910 Total United States stock 21.3% 6,214,046 6,367, % 1,190,419 1,219,910 International Stock DFA Emerging Markets Portfolio Total international stock United States bond Vanguard Inflation Protected Securities Admiral % 6, , ,667 TIAA-CREF High-Yield Institutional Class 7.0% 209,320 2,074,617 2,089, % 80, , ,584 Total United States bond 7.0% 2,074,617 2,089, % 956, ,251 International bond PIMCO Emerging Markets Bond United States % 39, , ,729 PIMCO Foreign Bond United States Dollar-Hedge 7.7% 214,550 2,357,576 2,299, % 79, , ,755 Total international bond 7.7% 2,357,576 2,299, % 1,309,317 1,260,484 Commodities United States PIMCO Commodity Real Return Strategy Total commodities United States master limited partnerships SteelPath Master Limited Partnerships Select % 202,970 2,439,055 2,462, % 40, , ,231 Total United States master limited partnerships 8.2% 2,439,055 2,462, % 499, ,231 United States real estate Vanguard REIT Index 3.8% 43,274 1,183,763 1,137, % 14, , ,644 Total United States real estate 3.8% 1,183,763 1,137, % 397, ,644 Total mutual funds 48.0% 14,269,057 14,356, % 4,352,797 4,317,520 Exchange traded funds International stock ishares MSCI Europe, Australia, and Far East Index 20.7% 92,826 5,978,226 6,185, % 17,419 1,135,844 1,160,835 Total international stock 20.7% 5,978,226 6,185, % 1,135,844 1,160,835 United States bond ishares Core Total United States Bond Market ETF 18.7% 50,760 5,528,537 5,592, % 18,638 2,017,059 2,053,398 Total United States bond 18.7% 5,528,537 5,592, % 2,017,059 2,053,398 International real estate SPDR Dow Jones International Real Estate ETF 4.0% 27,721 1,170,439 1,205, Total international real estate 4.0% 1,170,439 1,205, Total exchange traded funds 43.4% 12,677,202 12,983, % 3,152,903 3,214,233 Total investments 100.0% $ 29,551,207 $ 29,935, % $ 7,963,769 $ 7,988,273 (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 Fair Value as a % of Participants' Interest (1) Moderate Number of Shares Cost Fair Value Short term money market funds United States Federated Treasury Obligation 0.7% 129,335 $ 129,335 $ 129,335 TDBank USA Institutional Money Market Deposit Account (2) 0.0% Total short term money market funds 0.7% 129, ,336 Collective investment s United States SSgA Russell Small Cap Index Non Lending 7.0% 59,738 1,385,655 1,380,376 Total United States stock 7.0% 1,385,655 1,380,376 Total collective investment funds 7.0% 1,385,655 1,380,376 Mutual funds United States Stock Vanguard 500 Index Admiral 18.2% 18,352 3,492,444 3,578,564 Total United States stock 18.2% 3,492,444 3,578,564 International Stock DFA Emerging Markets Portfolio Total International stock United States bond Vanguard Inflation Protected Securities Admiral TIAA-CREF High-Yield Institutional Class 8.0% 156,871 1,554,831 1,565,573 Total United States bond 8.0% 1,554,831 1,565,573 International bond PIMCO Emerging Markets Bond United States 5.1% 96,502 1,076,908 1,006,521 PIMCO Foreign Bond United States Dollar-Hedge 8.6% 158,328 1,739,758 1,697,278 Total international bond 13.7% 2,816,666 2,703,799 Commodities United States PIMCO Commodity Real Return Strategy Total commodities United States master limited partnerships SteelPath Master Limited Partnerships Select % 116,436 1,400,724 1,412,370 Total United States master limited partnerships 7.2% 1,400,724 1,412,370 United States real estate Vanguard REIT Index 2.9% 21, , ,615 Total United States real estate 2.9% 582, ,615 Total mutual funds 50.0% 9,846,963 9,819,921 Exchange traded funds International stock ishares MSCI Europe, Australia, and Far East Index 17.6% 51,711 3,342,283 3,446,045 Total international stock 17.6% 3,342,283 3,446,045 United States bond ishares Core Total United States Bond Market ETF 21.6% 38,548 4,184,677 4,246,789 Total United States bond 21.6% 4,184,677 4,246,789 International real estate SPDR Dow Jones International Real Estate ETF 3.0% 13, , ,482 Total international real estate 3.0% 568, ,482 Total exchange traded funds 42.2% 8,095,743 8,285,316 Total investments 99.9% $ 19,457,697 $ 19,614,949 (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 Conservative Moderately Aggressive Moderately Conservative Moderate Investment income: Dividends $ 352,158 $ 116,910 $ 823,802 $ 211,292 $ 560,778 Total investment income 352, , , , ,778 Expenses: Audit fee 3,043 1,030 7,742 1,488 5,197 Trustee fees Class I 19,110 5,762 44,838 11,160 28,756 Total expenses 22,153 6,792 52,580 12,648 33,953 Net investment income 330, , , , ,825 Realized and unrealized gain (loss) on investments: Net realized gain (loss) on investments sold 773,797 (13,303) 1,634, , ,737 Net change in unrealized appreciation on investments (718,996) (171,513) (1,376,922) (281,368) (924,961) Net gain (loss) on investments 54,801 (184,816) 257,863 (48,973) 776 Net increase (decrease) in participants' interest resulting from operations $ 384,806 $ (74,698) $ 1,029,085 $ 149,671 $ 527,601 See Notes to Financial Statements. 7

10 s Statements of Changes in Participants' Interest Year Ended May 31, 2015 Aggressive Conservative Moderately Aggressive Units Amount Units Amount Units Amount Participants' interest at beginning of period 1,003,762 $ 12,771, ,064 $ 4,330,867 2,685,097 $ 32,503,156 Increase (decrease) in participants' interest resulting from operations: Net investment income 330, , ,222 Net realized gain (loss) on investments sold 773,797 (13,303) 1,634,785 Net change in unrealized appreciation on investments (718,996) (171,513) (1,376,922) Net increase (decrease) in participants' interest resulting from operations 384,806 (74,698) 1,029,085 Decrease in participants' interest resulting from participating unit transactions: Issuance of units 127,035 1,633,334 46, , ,644 4,158,505 Redemption of units (165,660) (2,113,230) (129,734) (1,405,979) (629,419) (7,747,706) Net decrease in participants' interest resulting from participating unit transactions (38,625) (479,896) (83,608) (904,489) (289,775) (3,589,201) Participants' interest at end of period 965,137 $ 12,676, ,456 $ 3,351,680 2,395,322 $ 29,943,040 Moderately Conservative Moderate Units Amount Units Amount Participants' interest at beginning of period 541,908 $ 6,244,893 1,849,114 $ 21,813,931 Increase in participants' interest resulting from operations: Net investment income 198, ,825 Net realized gain on investments sold 232, ,737 Net change in unrealized appreciation on investments (281,368) (924,961) Net increase (decrease) in participants' interest resulting from operations 149, ,601 Increase (decrease) in participants' interest resulting from participating unit transactions: Issuance of units 211,932 2,469, ,707 2,601,279 Redemption of units (74,991) (870,746) (445,477) (5,318,623) Net increase (decrease) in participants' interest resulting from participating unit transactions 136,941 1,598,498 (226,770) (2,717,344) Participants' interest at end of period 678,849 $ 7,993,062 1,622,344 $ 19,624,188 See Notes to Financial Statements. 8

11 s Financial Highlights Year Ended May 31, 2015 Aggressive Conservative Moderately Aggressive Moderately Conservative Moderate Selected per unit data Unit value beginning of period $ $ $ $ $ Income (loss) from investment operations (b) : Net investment income (a) Net gain (loss) on investments 0.08 (0.51) 0.07 (0.06) (0.03) Total from investment operations 0.41 (0.20) Unit value end of period $ $ $ $ $ Total return (b) 3.22% -1.82% 3.22% 2.17% 2.54% Ratios and supplemental data Participants' interest, end of period: $ 12,676,293 $ 3,351,680 $ 29,943,040 $ 7,993,062 $ 19,624,188 Ratio of net investment income to average participants' interest 2.59% 2.87% 2.58% 2.67% 2.75% Ratio of expenses to average participants' interest 0.17% 0.18% 0.18% 0.17% 0.18% (a) (b) Net investment income per unit was calculated using the average shares method. Due to timing of participant unit transaction, the per unit amounts and total return presented may not agree with the 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. 9

12 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. Enterprise Financial Services, Inc. (referred to herein as the Sub-Advisor) provides investment subadvisory services for the s. The following describes the individual s, as set forth in the Declaration of Trust: Aggressive : The Aggressive follows an asset allocation strategy designed to target a higher return. The fund will invest in actively managed mutual funds, exchange traded funds, and other pooled funds. The fund is predominately comprised of equity assets with reduced exposure to fixed income. The fund will seek to achieve an asset allocation of 20 percent fixedincome mutual funds and 80 percent held in domestic or international equity or alternative mutual funds. Conservative : The Conservative follows an asset allocation strategy designed to preserve principal and reduce volatility. The fund will invest in actively managed mutual funds, exchange traded funds, and other pooled funds. The fund is predominantly comprised of fixed income assets with reduced exposure to the equity market. The fund will seek to achieve an asset allocation of 70 percent fixed-income mutual funds and 30 percent held in domestic or international equity or alternative mutual funds. Moderately Aggressive : The Moderately Aggressive follows an asset allocation strategy designed to provide capital appreciation through equity investments and reduce market value fluctuation. The fund will invest in actively managed mutual funds, exchange traded funds, and other pooled funds. The fund will seek to achieve an asset allocation of 30 percent fixed-income mutual funds and 70 percent held in domestic or international equity or alternative mutual funds. Moderately Conservative : The Moderately Conservative follows an asset allocation strategy designed to reduce volatility and increase the opportunity for growth. The fund will invest in actively managed mutual funds, exchange traded funds, and other pooled funds. The fund will seek to achieve an asset allocation of 50 percent fixed income mutual funds and 50 percent held in domestic or international equity or alternative mutual funds. Moderate : The Moderate follows an asset allocation strategy designed to provide a balance of income and capital appreciation. The fund will invest in actively managed mutual funds, exchange traded funds, and other pooled funds. The fund will seek to achieve an asset allocation of 45 percent fixed-income mutual funds and 55 percent held in domestic or international equity or alternative mutual funds. 10

13 s Notes to Financial Statements 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 and results of operations. The s each meet the definition of an investment company and therefore follow the investment company guidance in FASB Accounting Standards Codification (ASC) 946. 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 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 takes into consideration factors specific to the investment. 11

14 s Notes to Financial Statements Note 2. Summary of Significant Accounting Policies (Continued) 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. Short term money market funds, mutual funds, and exchange 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 risks 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. 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 or 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. 12

15 s Notes to Financial Statements Note 2. Summary of Significant Accounting Policies (Continued) 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. 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. Statement of cash flows: The s have elected not to provide a statement of cash flows as permitted by GAAP accounting standards as all of the following conditions have been met: a. During the period, substantially all of the entity's investments were carried at fair value and classified as Level 1 or Level 2 measurements, or were measured using the practical expedient and are redeemable in the near term; b. The s had little or no debt during the period; c. The s financial statements include a statement of changes in participants interest. 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. 13

16 s Notes to Financial Statements Note 3. Investments Investments in collective investment funds valued using the practical expedient fair value are as follows: % of TD Ameritrade Collective Participants' Investment Redemptions Investment Investment Fair Value Interest Objective Permitted Aggressive SSgA Russell Small Cap Indx Non Lending 1,263, % U.S Stock Daily Moderately Aggressive SSgA Russell Small Cap Indx Non Lending 2,405, % U.S Stock Daily Moderately Conservative SSgA Russell Small Cap Indx Non Lending 403, % U.S Stock Daily Moderate SSgA Russell Small Cap Indx Non Lending 1,380, % U.S Stock Daily There are no current plans to make significant redemptions from the investments in the investment funds as of May 31, Information about each investment fund s 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 approximately 2 percent of their assets in cash or cash equivalents. 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 short-term 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, Aggressive had a payable to affiliate relating to over-night advances of cash of $67,895 from the Trustee which is included on the statements of financial condition. Note 5. Fees The Trustee charges the s a fee in accordance with a tiered fee schedule based on total assets. The fee for the year ended May 31, 2015 was 0.15 percent per annum, for fund assets up to $200 million. This fee accrues on a daily basis and is payable monthly in arrears. Note 6. 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. 14

17 Other Financial Information (Unaudited)

18 s Summary Schedules of Monthly Values (Unaudited) Year Ended May 31, 2015 Aggressive Conservative Moderately Aggressive Units Outstanding Unit Value Units Outstanding Unit Value Units Outstanding Unit Value May 31, ,003,762 $ ,064 $ ,685,097 $ June 30, ,008, , ,705, July 31, ,010, , ,406, August 31, ,007, , ,388, September 30, , , ,378, October 31, , , ,384, November 30, , , ,445, December 31, ,011, , ,385, January 31, , , ,419, February 28, , , ,414, March 31, , , ,422, April 30, , , ,404, May 31, , , ,395, Moderately Conservative Moderate Units Outstanding Unit Value Units Outstanding Unit Value May 31, ,908 $ ,849,114 $ June 30, , ,776, July 31, , ,570, August 31, , ,571, September 30, , ,582, October 31, , ,591, November 30, , ,593, December 31, , ,570, January 31, , ,594, February 28, , ,612, March 31, , ,621, April 30, , ,617, May 31, , ,622,

19 Aggressive Summary Schedule of Investment Changes (Unaudited) Year Ended May 31, 2015 Purchases Cost of (in shares) Investments Purchases DFA Emerging Markets Portfolio 26,301 $ 647,322 Federated Treasury Obligation 35,495 35,495 ishares S&P SmallCap 600 Index ,517 PIMCO Commodity Real Return Strategy 56, ,394 Vanguard Inflation Protected Securities Admiral 192 5,100 Vanguard REIT Index 19, ,789 ishares Core Total United States Bond Market ETF 8, ,544 ishares MSCI Emerging Markets Index 4, ,184 ishares MSCI Europe, Australia, and Far East Index 13, ,994 Wells Fargo Advantage International Bond 782 8,909 ishares Trust Cohen & Steers Realty 1, ,326 ishares S&P 500 Index 7,322 1,456,846 SPDR Barclays Capital High Yield Bond ETF 4, ,929 SteelPath Master Limited Partnership Select 40 38, ,099 Pimco Emerging Local Bond 520 5,036 SPDR Dow Jones International Real Estate ETF 3, ,632 SSgA Russell Small Cap Index Non Lending 55,113 1,278,364 Vanguard 500 Index Admiral 18,458 3,513,147 TIAA-CREF High-Yield Institutional Classitutional 65, ,723 Vanguard Small-Cap ETF 12,477 1,442,391 Redemptions Realized (in shares) Gain (Loss) Redemptions DFA Emerging Markets Portfolio 1,128 $ 1,803 Federated Treasury Obligation 181,700 - ishares S&P SmallCap 600 Index 7,517 92,360 PIMCO Commodity Real Return Strategy 133,637 (8,676) Vanguard Inflation Protected Securities Admiral 8,976 1,615 Vanguard REIT Index ishares Core Total United States Bond Market ETF 1,939 3,433 ishares MSCI Europe, Australia, and Far East Index 6,591 (249) ishares MSCI Emerging Markets Index 35,388 (1,819) ishares S&P 500 Index 19, ,317 ishares Trust Cohen & Steers Realty 9, ,992 Pimco Emerging Local Bond 24,306 (4,089) SPDR Barclays Capital High Yield Bond ETF 22,571 (22,267) SPDR Dow Jones Intl Real Estate ETF 6,204 9,408 SteelPath Master Limited Partnership Select 40 13,922 3,736 Wells Fargo Advantage International Bond 54,754 14,371 SSgA Russell Small Cap Index Non Lending 451 (38) Vanguard 500 Index Admiral 824 2,660 TIAA-CREF High-Yield Institutional Classitutional 2, Vanguard Small-Cap ETF 12,477 $ 84, ,797 16

20 Conservative Summary Schedule of Investment Changes (Unaudited) Year Ended May 31, 2015 Purchases Cost of (in shares) Investments Purchases Federated Treasury Obligation 9,818 $ 9,818 ishares S&P SmallCap 600 Index PIMCO Commodity Real Return Strategy 23, ,045 PIMCO Emerging Markets Bond United States 30, ,026 PIMCO Foreign Bond United States Dollar-Hedge 50, ,085 Vanguard Inflation Protected Securities Admiral ,648 ishares Core Total United States Bond Market ETF 1, ,796 ishares MSCI Emerging Markets Index 24 1,028 ishares MSCI Europe, Australia, and Far East Index 2, ,089 Wells Fargo Advantage International Bond 28, ,942 ishares Trust Cohen & Steers Realty ishares S&P 500 Index ,647 SPDR Barclays Capital High Yield Bond ETF 9, ,744 SteelPath Master Limited Partnership Select 40 8, ,929 Pimco Emerging Local Bond 222 2,148 SPDR Dow Jones International Real Estate ETF 24 1,067 Vanguard 500 Index Admiral 1, ,475 TIAA-CREF High-Yield Institutional Classitutional 45, ,928 Redemptions Realized (in shares) Gain (Loss) Redemptions Federated Treasury Obligation 183,512 $ - ishares S&P SmallCap 600 Index 437 4,828 PIMCO Commodity Real Return Strategy 13,743 (11,539) PIMCO Emerging Markets Bond United States 7,565 (6,478) Vanguard Inflation Protected Securities Admiral 1,629 (111) PIMCO Foreign Bond United States Dollar-Hedge 2, ishares Core Total United States Bond Market ETF 11,829 24,635 ishares MSCI Europe, Australia, and Far East Index 1,117 (345) ishares MSCI Emerging Markets Index 2,114 7,661 ishares S&P 500 Index 1,895 39,600 ishares Trust Cohen & Steers Realty 821 7,594 Pimco Emerging Local Bond 17,563 1,766 SPDR Barclays Capital High Yield Bond ETF 15,104 (23,587) SPDR Dow Jones International Real Estate ETF 1,593 4,794 SteelPath Master Limited Partnership Select 40 6,115 1,965 Wells Fargo Advantage International Bond 66,881 (64,531) Vanguard 500 Index Admiral TIAA-CREF High-Yield Institutional Classitutional 2,022 $ 180 (13,303) 17

21 Moderately Aggressive Summary Schedule of Investment Changes (Unaudited) Year Ended May 31, 2015 Purchases Cost of (in shares) Investments Purchases Federated Treasury Obligation 100,079 $ 100,079 ishares S&P SmallCap 600 Index ,122 PIMCO Commodity Real Return Strategy 4,973 29,867 PIMCO Foreign Bond United States Dollar-Hedge 219,903 2,416,399 Vanguard Inflation Protected Securities Admiral ,485 Vanguard REIT Index 44,342 1,212,989 ishares Core Total United States Bond Market ETF 38,930 4,251,882 ishares MSCI Emerging Markets Index ,633 ishares MSCI Europe, Australia, and Far East Index 59,648 3,958,318 Wells Fargo Advantage International Bond 23, ,032 ishares Trust Cohen & Steers Realty 5, ,173 ishares S&P 500 Index 13,196 2,625,606 SPDR Barclays Capital High Yield Bond ETF 7, ,458 SteelPath Master Limited Partnership Select 40 68, ,462 Pimco Emerging Local Bond 2,873 27,756 SPDR Dow Jones International Real Estate ETF 4, ,166 SSgA Russell Small Cap Index Non Lending 105,205 2,440,286 Vanguard 500 Index Admiral 33,445 6,364,168 TIAA-CREF High-Yield Institutional Classitutional 214,424 2,125,195 Vanguard Small-Cap ETF 23,567 2,722,757 Redemption Realized (in shares) Gain (Loss) Redemptions Federated Treasury Obligation 771,318 $ - ishares S&P SmallCap 600 Index 13, ,093 PIMCO Commodity Real Return Strategy 519,613 12,358 Vanguard Inflation Protected Securities Admiral 45,812 (3,302) Vanguard REIT Index 1,068 (98) PIMCO Foreign Bond United States Dollar-Hedge 5,353 (566) ishares Core Total United States Bond Market ETF 10,658 10,892 ishares MSCI Europe, Australia, and Far East Index 16,484 35,441 ishares MSCI Emerging Markets Index 52, ,469 ishares S&P 500 Index 37, ,684 ishares Trust Cohen & Steers Realty 20, ,758 Pimco Emerging Local Bond 155,125 (42,366) SPDR Barclays Capital High Yield Bond ETF 77,100 (62,176) SPDR Dow Jones International Real Estate ETF 5,962 10,643 SteelPath Master Limited Partnership Select 40 77, ,341 Wells Fargo Advantage International Bond 329,034 (213,387) SSgA Russell Small Cap Index Non Lending 1,081 (203) Vanguard 500 Index Admiral 789 2,801 TIAA-CREF High-Yield Institutional Classitutional 5, Vanguard Small-Cap ETF 23,567 $ 164,007 1,634,785 18

22 Moderately Conservative Summary Schedule of Investment Changes (Unaudited) Year Ended May 31, 2015 Purchases Cost of (in shares) Investments Purchases Federated Treasury Obligation 36,204 $ 36,204 ishares S&P SmallCap 600 Index 13 1,462 PIMCO Commodity Real Return Strategy 338 2,026 PIMCO Emerging Markets Bond United States 41, ,298 PIMCO Foreign Bond United States Dollar-Hedge 79, ,023 Vanguard Inflation Protected Securities Admiral 2,001 52,965 Vanguard REIT Index 14, ,232 ishares Core Total United States Bond Market ETF 9,193 1,005,832 ishares MSCI Emerging Markets Index 72 3,129 ishares MSCI Europe, Australia, and Far East Index 13, ,869 Wells Fargo Advantage International Bond 22, ,721 ishares Trust Cohen & Steers Realty 3, ,184 ishares S&P 500 Index 3, ,824 SPDR Barclays Capital High Yield Bond ETF 7, ,898 SteelPath Master Limited Partnership Select 40 20, ,603 Pimco Emerging Local Bond 493 4,766 SPDR Dow Jones International Real Estate ETF 72 3,193 SSgA Russell Small Cap Index Non Lending 17, ,292 Vanguard 500 Index Admiral 6,306 1,199,937 TIAA-CREF High-Yield Institutional Classitutional 80, ,399 Vanguard Small-Cap ETF 3, ,086 Redemptions Realized (in shares) Gain (Loss) Redemptions Federated Treasury Obligation 203,390 $ - ishares S&P SmallCap 600 Index 1,905 25,717 PIMCO Commodity Real Return Strategy 71,403 11,468 PIMCO Emerging Markets Bond United States 2,213 (1,247) Vanguard Inflation Protected Securities Admiral 6,880 2,592 Vanguard REIT Index PIMCO Foreign Bond United States Dollar-Hedge 637 (2) ishares Core Total United States Bond Market ETF 2,047 4,226 ishares MSCI Europe, Australia, and Far East Index 1, ishares MSCI Emerging Markets Index 5,966 24,263 ishares S&P 500 Index 6, ,562 ishares Trust Cohen & Steers Realty 5,752 71,464 Pimco Emerging Local Bond 36, SPDR Barclays Capital High Yield Bond ETF 21,286 (25,009) SPDR Dow Jones International Real Estate ETF 4,466 14,345 SteelPath Master Limited Partnership Select 40 14,797 19,208 Wells Fargo Advantage International Bond 104,371 (71,311) SSgA Russell Small Cap Index Non Lending 17 (1) Vanguard 500 Index Admiral TIAA-CREF High-Yield Institutional Classitutional Vanguard Small-Cap ETF 3,666 $ 27, ,395 19

23 Moderate Summary Schedule of Investment Changes (Unaudited) Year Ended May 31, 2015 Purchases Cost of (in shares) Investments Purchases Federated Treasury Obligation 58,111 $ 58,111 ishares S&P SmallCap 600 Index 58 6,511 PIMCO Commodity Real Return Strategy 2,258 13,605 PIMCO Emerging Markets Bond United States 101,974 1,138,713 PIMCO Foreign Bond United States Dollar-Hedge 160,759 1,766,475 Vanguard Inflation Protected Securities Admiral ,108 Vanguard REIT Index 21, ,151 ishares Core Total United States Bond Market ETF 20,017 2,188,387 ishares MSCI Emerging Markets Index ,797 ishares MSCI Europe, Australia, and Far East Index 32,170 2,136,466 Wells Fargo Advantage International Bond 16, ,848 ishares Trust Cohen & Steers Realty 1, ,388 ishares S&P 500 Index 8,018 1,593,201 SPDR Barclays Capital High Yield Bond ETF 5, ,074 SteelPath Master Limited Partnership Select 40 40, ,114 Pimco Emerging Local Bond 1,685 16,306 SPDR Dow Jones International Real Estate ETF 2,083 90,011 SSgA Russell Small Cap Index Non Lending 60,111 1,394,306 Vanguard 500 Index Admiral 18,626 3,544,677 TIAA-CREF High-Yield Institutional Classitutional 159,234 1,578,252 Vanguard Small-Cap ETF 12,508 1,444,961 Redemptions Realized (in shares) Gain (Loss) Redemptions Federated Treasury Obligation 510,448 $ - ishares S&P SmallCap 600 Index 6,503 90,323 PIMCO Commodity Real Return Strategy 320,377 36,697 PIMCO Emerging Markets Bond United States 5,472 (4,303) Vanguard Inflation Protected Securities Admiral 38,963 6,031 Vanguard REIT Index 324 (12) PIMCO Foreign Bond United States Dollar-Hedge 2,431 (195) ishares Core Total United States Bond Market ETF 8,113 10,755 ishares MSCI Europe, Australia, and Far East Index 7,135 26,710 ishares MSCI Emerging Markets Index 25,554 82,448 ishares S&P 500 Index 20, ,978 ishares Trust Cohen & Steers Realty 10, ,263 Pimco Emerging Local Bond 106,503 (12,941) SPDR Barclays Capital High Yield Bond ETF 57,727 (33,467) SPDR Dow Jones International Real Estate ETF 6,103 16,041 SteelPath Master Limited Partnership Select 40 65,801 91,809 Wells Fargo Advantage International Bond 261,544 (135,917) SSgA Russell Small Cap Index Non Lending 373 (9) Vanguard 500 Index Admiral TIAA-CREF High-Yield Institutional Classitutional 2, Vanguard Small-Cap ETF 12,508 $ 94, ,737 20