# EDGAR Filing Document

**Accession Number:** 0001020425
**File Stem:** 0001193125-23-063831
**Filing Date:** 2023-3
**Character Count:** 1045502
**Document Hash:** 3db6b74ecace989778f34c668e4b63d7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-23-063831.hdr.sgml**: 20230308

**ACCESSION NUMBER**: 0001193125-23-063831

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 25

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230308

**DATE AS OF CHANGE**: 20230308

**EFFECTIVENESS DATE**: 20230308

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LITMAN GREGORY FUNDS TRUST
- **CENTRAL INDEX KEY:** 0001020425
- **IRS NUMBER:** 931215604
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07763
- **FILM NUMBER:** 23714887

**BUSINESS ADDRESS:**
- **STREET 1:** 1676 N. CALIFORNIA BLVD.
- **STREET 2:** SUITE 500
- **CITY:** WALNUT CREEK
- **STATE:** CA
- **ZIP:** 94596
- **BUSINESS PHONE:** (925) 254-8999

**MAIL ADDRESS:**
- **STREET 1:** 1676 N. CALIFORNIA BLVD.
- **STREET 2:** SUITE 500
- **CITY:** WALNUT CREEK
- **STATE:** CA
- **ZIP:** 94596

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASTERS SELECT FUNDS TRUST
- **DATE OF NAME CHANGE:** 19980807

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASTERS SELECT INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 19961226

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASTERS SELECT EQUITY FUND
- **DATE OF NAME CHANGE:** 19961213

## Series and Classes Contracts Data

### iMGP Global Select Fund (Series ID: S000005593)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000015260 | Institutional Class | MSEFX           |

### iMGP International Fund (Series ID: S000005594)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000015261 | Institutional Class | MSILX           |

### iMGP Alternative Strategies Fund (Series ID: S000033728)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000103965 | Institutional Class | MASFX           |
| C000103966 | Investor Class      | MASNX           |

### iMGP High Income Alternatives Fund (Series ID: S000057610)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000183970 | Institutional Class | MAHIX           |

### iMGP SBH Focused Small Value Fund (Series ID: S000068190)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000218348 | Institutional Class | PFSVX           |

### iMGP Oldfield International Value Fund (Series ID: S000069933)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000222757 | Institutional Class | POIVX           |

### iMGP Dolan McEniry Corporate Bond Fund (Series ID: S000072812)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000229356 | Institutional Class | IDMIX           |

### iMGP DBi Managed Futures Strategy ETF (Series ID: S000072813)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000229357 | iMGP DBi Managed Futures Strategy ETF | DBMF            |

### iMGP DBi Hedge Strategy ETF (Series ID: S000072814)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000229358 | iMGP DBi Hedge Strategy ETF | DBEH            |

### iMGP RBA Responsible Global Allocation ETF (Series ID: S000075084)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000233888 | iMGP RBA Responsible Global Allocation ETF | IRBA            |

##### [**Table of Contents**](#toc)

------

**UNITED STATES** 

**SECURITIES AND EXCHANGE COMMISSION** 

**Washington, D.C. 20549** 

------

**FORM N-CSR** 

------

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED** 

**MANAGEMENT INVESTMENT COMPANIES** 

**Investment Company Act file number: 811-07763** 

------

## LITMAN GREGORY FUNDS TRUST
**(Exact name of registrant as specified in charter)** 

------

**1676 N. California Blvd., Suite 500** 

**Walnut Creek, CA 94596** 

**(Address of principal executive offices)(Zip code)** 

------

**(Name and Address of Agent for Service)** 

------

**Jeremy L. DeGroot** 

**1676 N. California Blvd., Suite 500** 

**Walnut Creek, CA 94596** 

------

**Registrant's telephone number, including area code: (925) 254-8999** 

**Date of fiscal year end: December 31** 

**Date of reporting period: December 31, 2022** 

------

##### [**Table of Contents**](#toc)
**Item 1. Report to Shareholders.** 

(a) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the "Act"):

------

##### [**Table of Contents**](#toc)
![LOGO](g468187imgpfundslogo.jpg)

![LOGO](g468187g74m89.jpg)

![LOGO](g468187g07u32.jpg)

**Annual Report** 

***iMGP Global Select Fund (FKA iMGP Equity Fund)***

***iMGP International Fund***

***iMGP Oldfield International Value Fund***

***iMGP SBH Focused Small Value Fund***

***iMGP Alternative Strategies Fund***

***iMGP High Income Alternatives Fund***

***iMGP Dolan McEniry Corporate Bond Fund***

***iMGP DBi Managed Futures Strategy ETF***

***iMGP DBi Hedge Strategy ETF***

***iMGP RBA Responsible Global Allocation ETF***

**December 31, 2022** 

------

##### [**Table of Contents**](#toc)
**ii** Litman Gregory Funds Trust

------

##### [**Table of Contents**](#toc)
![LOGO](g468187building.jpg)

**Contents** 

------

---

| | |
|:---|:---|
|  [Our Commitment to Shareholders](#toc468187_1) | 2 |
|  [Funds' Performance](#toc468187_2) | 3 |
|  [Letter to Shareholders](#toc468187_3) | 6 |
|  iMGP Global Select Fund |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Equity Fund Review](#toc468187_5) | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Equity Fund Managers](#toc468187_6) | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Equity Fund Schedule of Investments](#toc468187_7) | 12 |
|  iMGP International Fund |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [International Fund Review](#toc468187_9) | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp; [International Fund Managers](#toc468187_10) | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp; [International Fund Schedule of Investments](#toc468187_11) | 18 |
|  iMGP Oldfield International Value Fund |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Oldfield International Value Fund Review](#toc468187_13) | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Oldfield International Value Fund Schedule of Investments](#toc468187_14) | 24 |
|  iMGP SBH Focused Small Value Fund |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [SBH Focused Small Value Fund Review](#toc468187_16) | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp; [SBH Focused Small Value Fund Schedule of Investments](#toc468187_17) | 28 |
|  iMGP Alternative Strategies Fund |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Alternative Strategies Fund Review](#toc468187_19) | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Alternative Strategies Fund Managers](#toc468187_20) | 39 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Alternative Strategies Fund Consolidated Schedule of Investments](#toc468187_21) | 40 |
|  iMGP High Income Alternatives Fund |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [High Income Alternatives Fund Review](#toc468187_23) | 81 |
| &nbsp;&nbsp;&nbsp;&nbsp; [High Income Alternatives Fund Managers](#toc468187_24) | 86 |
| &nbsp;&nbsp;&nbsp;&nbsp; [High Income Alternatives Fund Schedule of Investments](#toc468187_25) | 87 |
|  iMGP Dolan McEniry Corporate Bond Fund |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Dolan McEniry Corporate Bond Fund Review](#toc468187_27) | 103 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Dolan McEniry Corporate Bond Fund Schedule of Investments](#toc468187_28) | 106 |
|  iMGP DBi Managed Futures Strategy ETF |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [DBi Managed Futures Strategy ETF Review](#toc468187_30) | 108 |
| &nbsp;&nbsp;&nbsp;&nbsp; [DBi Managed Futures Strategy ETF Consolidated Schedule of Investments](#toc468187_31) | 110 |
|  iMGP DBi Hedge Strategy ETF |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [DBi Hedge Strategy ETF Review](#toc468187_33) | 112 |
| &nbsp;&nbsp;&nbsp;&nbsp; [DBi Hedge Strategy ETF Schedule of Investments](#toc468187_34) | 114 |
|  iMGP RBA Responsible Global Allocation ETF |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [RBA Responsible Global Allocation ETF Review](#toc468187_36) | 116 |
| &nbsp;&nbsp;&nbsp;&nbsp; [RBA Responsible Global Allocation ETF Schedule of Investments](#toc468187_37) | 119 |
|  [Expense Examples](#toc468187_38) | 120 |
|  [Statements of Assets and Liabilities](#toc468187_39) | 122 |
|  [Statements of Operations](#toc468187_40) | 126 |
|  [Statements of Changes in Net Assets](#toc468187_41) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Global Select Fund](#toc468187_42) | 129 |
| &nbsp;&nbsp;&nbsp;&nbsp; [International Fund](#toc468187_43) | 129 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Oldfied International Value Fund](#toc468187_44) | 130 |
| &nbsp;&nbsp;&nbsp;&nbsp; [SBH Focused Small Value Fund](#toc468187_45) | 130 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Alternative Strategies Fund](#toc468187_46) (Consolidated) | 131 |
| &nbsp;&nbsp;&nbsp;&nbsp; [High Income Alternatives Fund](#toc468187_47) | 131 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Dolan McEniry Corporate Bond Fund](#toc468187_48) | 132 |
| &nbsp;&nbsp;&nbsp;&nbsp; [DBi Managed Futures Strategy ETF (Consolidated)](#toc468187_49) | 133 |
| &nbsp;&nbsp;&nbsp;&nbsp; [DBi Hedge Strategy ETF](#toc468187_50) | 133 |
| &nbsp;&nbsp;&nbsp;&nbsp; [RBA Responsible Global Allocation ETF](#toc468187_51) | 134 |
|  Financial Highlights |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Global Select Fund](#toc468187_53) | 135 |
| &nbsp;&nbsp;&nbsp;&nbsp; [International Fund](#toc468187_54) | 136 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Oldfied International Value Fund](#toc468187_55) | 137 |
| &nbsp;&nbsp;&nbsp;&nbsp; [SBH Focused Small Value Fund](#toc468187_56) | 138 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Alternative Strategies Fund](#toc468187_57) (Consolidated) | 139 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Alternative Strategies Fund Investor Class](#toc468187_58) (Consolidated) | 140 |
| &nbsp;&nbsp;&nbsp;&nbsp; [High Income Alternatives Fund](#toc468187_59) | 141 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Dolan McEniry Corporate Bond Fund](#toc468187_60) | 142 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Dolan McEniry Corporate Bond Fund Investor Class](#toc468187_61) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [DBi Managed Futures Strategy ETF (Consolidated)](#toc468187_62) | 143 |
| &nbsp;&nbsp;&nbsp;&nbsp; [DBi Hedge Strategy ETF](#toc468187_63) | 144 |
| &nbsp;&nbsp;&nbsp;&nbsp; [RBA Responsible Global Allocation ETF](#toc468187_64) | 145 |
|  [Notes to Financial Statements](#toc468187_65) | 146 |
|  [Report of Independent Registered Public Accounting Firm](#toc468187_66) | 180 |
|  [Other Information](#toc468187_67) | 181 |
|  [Index Definitions](#toc468187_68) | 187 |
|  [Industry Terms and Definitions](#toc468187_69) | 190 |
|  [Tax Information (Unaudited)](#toc468187_70) | 195 |
|  [Trustee and Officer Information](#toc468187_71) | 197 |
|  [Privacy Notice](#toc468187_72) | 199 |

---

This report is intended for shareholders of the funds and may not be used as sales literature unless preceded or accompanied by a current prospectus for the iMGP Funds. Statements and other information in this report are dated and are subject to change.

iM Global Partner Fund Management, LLC has ultimate responsibility for the funds' performance due to its responsibility to oversee its investment managers and recommend their hiring, termination and replacement.

**Table of Contents**<sub>1</sub>

------

##### [**Table of Contents**](#toc)
**iM Global Partner Fund Management** 

**Commitment to Shareholders** 

------

We are deeply committed to making each iMGP Fund a highly satisfying long-term investment for shareholders. In following through on this commitment we are guided by our core values, which influence four specific areas of service:

**First**, we are committed to the IMGP concept.

• We will only hire managers who we strongly believe will deliver exceptional long-term returns relative to their benchmarks.
We base this belief on extremely thorough due diligence research. This not only requires us to assess their stock-picking skills, but also to evaluate their ability to add incremental performance by investing in a concentrated portfolio of their
highest conviction ideas.

• We will monitor each of the managers so that we can maintain our confidence in their ability to deliver the long-term
performance we expect. In addition, our monitoring will seek to assess whether they are staying true to their IMGP Funds mandate. Consistent with this mandate, we focus on long-term performance evaluation so that the IMGP managers will not be
distracted by short-term performance pressure.

**Second**, we will do all we can to ensure that the framework within which our stock pickers do their work further increases the odds of success.

• Investments from new shareholders in each fund are expected to be limited so that each fund's asset base remains small
enough to retain flexibility to add value.

• The framework also includes either a single-manager or a multi-manager structure; the former allowing each fund an
individual, highly disciplined investment process, and the latter making it possible for each manager to invest, when appropriate, in an opportunistic manner knowing that the potential volatility within his or her portfolio will be diluted at the
fund level by the performance of the other managers. In this way, the multi-manager structure seeks to provide fund-level diversification.

• We will work hard to discourage short-term speculators so that cash flows into the funds are not volatile. Lower volatility
helps prevent our managers from being forced to sell stocks at inopportune times or to hold excessive cash for non-investment purposes.

**Third**, is our commitment to do all we can from an operational standpoint to maximize shareholder returns.

• We will remain attentive to fund overhead, and whenever we achieve savings we will pass them through to shareholders. For
example, we have had several manager changes that resulted in lower sub-advisory fees to our funds. In every case we have passed through the full savings to shareholders in the form of fee waivers.

• We will provide investors with a low minimum, no-load, no 12b-1 Institutional share class for all iMGP Funds, and a low minimum, no-load Investor share class for the Alternative Strategies and Dolan McEniry Corporate Bond Fund.

• We also will work closely with our managers to make sure they are aware of tax-loss selling opportunities (only to be taken if there are equally attractive stocks to swap into). We account for partial sales on a specific tax lot basis so that shareholders will benefit from the most favorable tax treatment. The goal is not to favor
taxable shareholders over tax-exempt shareholders but to make sure that the managers are taking advantage of tax savings opportunities when doing so is not expected to reduce pre-tax returns.

**Fourth**, is our commitment to communicate honestly about all relevant developments and expectations.

• We will continue to do this by providing thorough and educational shareholder reports.

• We will continue to provide what we believe are realistic assessments of the investment environment.

Our commitment to iMGP Funds is also evidenced by our own investment. Our retired founders and current employees have, collectively, substantial investments in the funds, as does our company retirement plan. In addition, we use the funds extensively in the client accounts of our investment advisor practice (through our affiliate Litman Gregory Wealth Management, LLC). We have no financial incentive to do so because the fees we receive from iMGPFunds held in client accounts are fully offset against the advisory fees paid by our clients. In fact, we have a disincentive to use the funds in our client accounts because each iMGP Fund is capacity constrained (they may be closed as mentioned above), and by using them in client accounts we are using up capacity for which we may not be paid. But we believe these funds offer value that we can't get elsewhere and this is why we enthusiastically invest in them ourselves and on behalf of clients.

While we believe highly in the ability of the Funds' sub-advisors, our commitments are not intended as guarantees of future results.

While the funds are no-load, there are management fees and operating expenses that do apply, as well as a 12b-1 fee that applies to Investor class shares. Please refer to the prospectus for further details.

**Diversification does not assure a profit or protect against loss in a declining market.** 

**Must be preceded or accompanied by a prospectus.** 

---

| | |
|:---|:---|
| **2** | Litman Gregory Funds Trust |

---

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##### [**Table of Contents**](#toc)
**iM Global Funds Performance** 

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** |
| <br>&nbsp;&nbsp;&nbsp;**iMGP Funds Performance as of December 31, 2022** | **One-Year** | **Three-Year** | **Five-Year** | **Ten-Year** | **Since<br>Inception** |
| &nbsp;&nbsp;&nbsp; **iMGP Global Select Fund** | **-25.52%** | **1.58%** | **3.79%** | **9.18%** | **7.52%** |
| &nbsp;&nbsp;&nbsp; MSCI World NR USD | -18.14% | 4.94% | 6.14% | 8.85% | 6.40% |
| &nbsp;&nbsp;&nbsp; MSCI ACWI NR USD | -18.36% | 4.00% | 5.23% | 7.98% | 6.27% |
| &nbsp;&nbsp;&nbsp; Morningstar US Fund Global Large-Stock Blend Category | -17.42% | 3.22% | 4.40% | 7.50% | 7.02% |
| &nbsp;&nbsp;&nbsp; **Gross Expenses 1.29%, Net Expenses 0.98%\*** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **iMGP International Fund (Inception 12/1/1997)** | **-21.58%** | **-2.73%** | **-1.00%** | **2.27%** | **5.85%** |
| &nbsp;&nbsp;&nbsp; MSCI EAFE Index NET | -14.45% | 0.87% | 1.54% | 4.67% | 4.52% |
| &nbsp;&nbsp;&nbsp; Morningstar Foreign Large Blend Category | -15.77% | 0.29% | 0.91% | 3.94% | 3.73% |
| &nbsp;&nbsp;&nbsp; **Gross Expenses 1.38%, Net Expenses 1.15%\*** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **iMGP Alternative Strategies Fund Instl (Inception 9/30/2011)** | **-9.49%** | **-0.04%** | **1.20%** | **2.62%** | **3.46%** |
| &nbsp;&nbsp;&nbsp; **iMGP Alternative Strategies Fund Inv** | **-9.65%** | **-0.26%** | **0.96%** | **2.38%** | **3.21%** |
| &nbsp;&nbsp;&nbsp; ICE BofA US 3-Month Treasury Bill | 1.46% | 0.72% | 1.26% | 0.76% | 0.69% |
| &nbsp;&nbsp;&nbsp; Bloomberg US Aggregate Bond Index | -13.01% | -2.71% | 0.02% | 1.06% | 1.41% |
| &nbsp;&nbsp;&nbsp; Morningstar Multistrategy Category | -2.97% | 1.65% | 1.57% | 2.42% | 2.70% |
| &nbsp;&nbsp;&nbsp; **Inst Class Gross Expenses 1.72%, Net Expenses 1.44%, Adjusted Expeneses 1.30%\*** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **iMGP High Income Alternatives Fund (inception 9/28/2018)** | **-6.85%** | **1.54%** | **—** | **—** | **2.26%** |
| &nbsp;&nbsp;&nbsp; Bloomberg US Aggregate Bond Index | -13.01% | -2.71% |  |  | 0.41% |
| &nbsp;&nbsp;&nbsp; ICE BofAML U.S. High Yield TR USD Index | -11.22% | -0.23% |  |  | 1.90% |
| &nbsp;&nbsp;&nbsp; Morningstar US Fund Nontraditional Bond Category | -6.44% | -0.73% |  |  | 0.61% |
| &nbsp;&nbsp;&nbsp; **Gross Expenses 1.44%, Net Expenses 0.98%\*** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **iMGP SBH Focused Small Value Fund (Inception 7/31/2020)** | **-13.39%** | **—** | **—** | **—** | **12.05%** |
| &nbsp;&nbsp;&nbsp; Russell 2000 Value | -14.48% |  |  |  | 17.27% |
| &nbsp;&nbsp;&nbsp; Morningstar Small Value Category | -10.42% |  |  |  | 19.87% |
| &nbsp;&nbsp;&nbsp; **Gross Expenses 1.48%, Net Expenses 1.15%\*** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **iMGP Oldfield International Value Fund (Inception 11/30/2020)** | **-14.89%** | **—** | **—** | **—** | **1.02%** |
| &nbsp;&nbsp;&nbsp; MSCI EAFE Value NR USD | -5.58% |  |  |  | 4.38% |
| &nbsp;&nbsp;&nbsp; Morningstar Fund Foreign Large Value | -9.15% |  |  |  | 3.23% |
| &nbsp;&nbsp;&nbsp; **Gross Expenses 1.52%, Net Expenses 0.94%\*** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **iMGP DBi Managed Futures Strategy ETF (NAV) (Inception 5/7/2019)** | **23.07%** | **11.23%** | **—** | **—** | **12.23%** |
| &nbsp;&nbsp;&nbsp; **iMGP DBi Managed Futures Strategy ETF (Price)** | **21.53%** | **11.28%** | **—** | **—** | **12.28%** |
| &nbsp;&nbsp;&nbsp; SG CTA | 20.13% | 9.58% |  |  | 8.60% |
| &nbsp;&nbsp;&nbsp; Morningstar US Fund Systematic Trend | 14.23% | 7.09% |  |  | 6.24% |
| &nbsp;&nbsp;&nbsp; **Gross Expenses 0.85%\*** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **iMGP DBi Hedge Strategy ETF (NAV) (inception 12/17/2019)** | **-6.51%** | **6.67%** | **—** | **—** | **6.59%** |
| &nbsp;&nbsp;&nbsp; **iMGP DBi Hedge Strategy ETF (Price)** | **-6.04%** | **6.76%** | **—** | **—** | **6.71%** |
| &nbsp;&nbsp;&nbsp; Morningstar US Fund Long-Short Equity Category | -8.28% | 2.84% |  |  | 2.92% |
| &nbsp;&nbsp;&nbsp; **Gross Expenses 0.85%\*** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **iMGP Dolan McEniry Corporate Bond Instl (inception 9/28/2018)** | **-8.08%** | **-1.30%** | **—** | **—** | **1.41%** |
| &nbsp;&nbsp;&nbsp; Bloomberg US Intermediate Credit Index | -9.10% | -1.23% | 1.08% | 1.75% | 1.45% |
| &nbsp;&nbsp;&nbsp; Bloomberg US Aggregate Bond TR USD | -13.01% | -2.71% | 0.02% | 1.06% | 0.41% |
| &nbsp;&nbsp;&nbsp; US Fund Corporate Bond Category | -15.18% | -2.73% | 0.31% | 1.78% | 0.82% |
| &nbsp;&nbsp;&nbsp; **Inst Class Gross Expenses 096%, Net Expenses 0.70%\*** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **iMGP RBA Responsible Global Allocation ETF (NAV) Inception 2.1.2022)** |  |  |  |  | **-10.88%** |
| &nbsp;&nbsp;&nbsp; **iMGP RBA Responsible Global Allocation ETF (Price)** |  |  |  |  | **-11.13%** |
| &nbsp;&nbsp;&nbsp; 65/35 Blend of MSCI ACWI Index & Bloomberg US Aggregate Bond Index |  |  |  |  | -12.86% |
| &nbsp;&nbsp;&nbsp; Morningstar US Fund World Allocation Category |  |  |  |  | -10.46% |
| &nbsp;&nbsp;&nbsp; **Gross Expenses 0.75%, Net Expenses 0.69%\*** |  |  |  |  |  |

---

\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.

Fund Summary<sub>3</sub>

------

##### [**Table of Contents**](#toc)
***Past performance does not guarantee future results. Index performance is not illustrative of fund performance. An investment cannot be made directly in an index.*** *The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. To obtain the performance of the funds as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>*. Investment performance reflects fee waivers in effect. In the absence of such waivers, total return would be reduced.

The International and Alternative Strategies Funds each have contractual fee waivers in effect through April 30, 2024. The Advisor has agreed to limit the expenses of the Global Select, High Income Alternatives, SBH Focused Small Value, Oldfield International Value and Dolan McEniry Corporate Bond Funds through April 30, 2024. See the Prospectus for more information.

Performance does not reflect taxes a shareholder might incur on the sale of shares. Performance does not reflect fees or commissions a shareholder may pay on the purchase or sale of shares.

A commission may apply when buying or selling shares of an ETF.

MSCI index returns source: MSCI. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates, or any third party involved in or related to compiling, computing, or creating the data have any liability for any direct, indirect, special, punitive, consequential, or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI's express written consent. Source note: Returns prior to 1999 are the MSCI ACWI ex-US GR index. Returns from 1999 onwards are MSCI ACWI ex-US NR index.

**Must be preceded or accompanied by a prospectus.** 

Effective September 30, 2022 the name of the IMGP Equity Fund was changed to iMGP Global Select Fund.

**Each of the funds may invest in foreign securities. Investing in foreign securities exposes investors to economic, political, and market risks and fluctuations in foreign currencies. Each of the funds may invest in the securities of small companies. Small-company investing subjects investors to additional risks, including security price volatility and less liquidity than investing in larger companies. Debt obligations of distressed companies typically are unrated, lower rated, in default or close to default and may become worthless. The International Fund will invest in emerging markets. Investments in emerging market countries involve additional risks such as government dependence on a few industries or resources, government-imposed taxes on foreign investment or limits on the removal of capital from a country, unstable government, and volatile markets. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in mortgage-backed securities include additional risks that investor should be aware of including credit risk, prepayment risk, possible illiquidity, and default, as well as increased susceptibility to adverse economic developments. Investments in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher-rated securities. The funds may invest in master limited partnership units. Investing in MLP units may expose investors to additional liability and tax risks. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management, and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. The funds may make short sales of securities, which involves the risk that losses may exceed the original amount invested.** 

A commission may apply when buying or selling an ETF.© 2021 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

**Merger arbitrage investments risk loss if a proposed reorganization in which the fund invests is renegotiated or terminated.** 

**Investments in absolute return strategies are not untended to outperform stocks and bonds during strong market rallies.** 

**Multi-investment management styles may lead to higher transaction expenses compared to single investment management styles. Outcomes depend on the skill of the sub-advisors and advisor and the allocation of assets amongst them.** 

**Past performance does not guarantee future results.** 

**Mutual fund investing involves risk; loss of principal is possible.** 

Performance discussion for the Alternative Strategies is specifically related to the Institutional share class.

Some of the comments are based on current management expectation and are considered "forward-looking statements". Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statement by words such as "estimate", "may", "expect", "should",

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|:---|:---|
| **4** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
"could", "believe", "plan", and similar terms. We cannot promise future returns and our opinions are a reflection of our best judgment at the time this report is compiled.

Opinions expressed are subject to change, are not guaranteed and should not be considered recommendations to buy or sell any security.

See pages 8, 14, 20, and 25 for each equity fund's top contributors. See pages 10, 16, 22, and 26 for each equity fund's portfolio composition. See pages 38 for the Alternative Strategies Fund's individual strategy portfolio allocations. See pages 85 for the High Income Alternative Fund's individual strategy portfolio allocations. Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

**Diversification does not assure a profit or protect against a loss in a declining market.** 

**Leverage may cause the effect of an increase or decrease in the value of the portfolio securities to be magnified and the fund to be more volatile than if leverage was not used.** 

References to other mutual funds should not be interpreted as an offer of these securities.

iM Global Partner Fund Management LLC has ultimate responsibility for the performance of the iMGP Funds due to its responsibility to oversee the investment managers and recommend their hiring, termination and replacement.

Any tax or legal information provided is merely a summary of our understanding and interpretation of some of the current income tax regulations and it is not exhaustive. Investors must consult their tax advisor or legal counsel for advice and information concerning their particular situation. Neither the Funds nor any of their representatives may give legal or tax advice.

Please see page 187 for index definitions. You cannot invest directly in an index.

Please see page 190 for industry definitions.

Fund Summary<sub>5</sub>

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##### [**Table of Contents**](#toc)
**iMGP Funds, 2022 Annual Shareholder Letter** 

**Dear Fellow Shareholder,** 

<u>2022 Market Recap</u> 

A difficult year ended with a thud for U.S. stocks. After a 14% rally in October and November, the S&P 500 Index dropped 5.8% in December to close out the year with an 18.1% loss, its largest annual decline since 2008. Foreign stock markets held up much better in the fourth quarter — developed international stocks (MSCI EAFE Index) gained 17.3% (one of their best quarters ever) and Emerging Market (EM)stocks (MSCI EM Index) were up 9.7% — but still saw significant losses for the year. For the full year, developed international stocks were down 14.5% in dollar terms (almost four percentage points better than the S&P 500), while EM stocks were down a bit more than the S&P 500 with a 20.1% drop. These annual returns were despite the U.S. dollar (DXY Index) appreciating 8.3% for the year, which reduces dollar-based foreign equity returns one-for-one. In the fourth quarter, however, the dollar dropped 7.7%, providing a tailwind to EM and international equity returns for U.S. investors.

Turning to the fixed-income markets, core investment-grade bonds (Bloomberg U.S. Aggregate Bond Index, "Agg")) had a solid fourth quarter, gaining 1.9%. But this was still the worst year for core bonds in at least 95 years, with the Agg Bond Index dropping 13.0%. The key driver, of course, was the sharp rise in bond yields; the 10-year Treasury yield ended the year at 3.9%, up from just 1.5% a year prior. High-yield bonds (ICE BofA Merrill Lynch U.S. High Yield Index) had a strong fourth quarter, up 4.0%, but were down 11.2% for the year. Floating rate loans (Morningstar LSTA Leveraged Loan index) were the best segment within the bond markets, down less than 1% for the year. Municipal bonds were down 8% (Morningstar National Muni Bond Category).

Alternative strategies and nontraditional asset classes generally outperformed traditional stock and bond indexes. The standout was trend-following managed futures strategies, which gained roughly 27% (SG Trend Index) for the year, despite fourth quarter losses. Flexible/nontraditional bond funds (Morningstar Nontraditional Bond category) were down roughly half as much as core bonds.

<u>Investment Outlook</u> 

Inflation and monetary policy remain the financial markets' key macro focus. U.S. inflation data have improved, suggesting we've seen the peak in inflation for this cycle. But core inflation remains far above the Federal Reserve's 2% target, and the Fed's message is that it intends to maintain restrictive (tight) monetary policy throughout 2023. On the economic growth front, key leading indicators deteriorated further in the fourth quarter, which along with tight monetary policy point to a likely recession in the year ahead. On the positive side, it should be milder than the 2007-08 and 2000-01 recessions.

Analysis of past data on recessions, earnings declines and stock valuations suggest a real possibility of further double-digit declines in the S&P 500 from current levels. Foreign stock markets are also at risk from a U.S. and global recession, but given their cheaper starting valuations, the medium term expected returns are attractive.

Given the sharp rise in yields, bonds haven't been this attractive in more than a decade. When estimating returns for core investment-grade bonds over longer periods of time, the starting yield is a good approximation of subsequent returns. At year-end, the Agg Bond Index was yielding 4.7% and our 5-year expected potential return for core bonds is now in a range of 5% to 5.6%. Moreover, we believe core bonds have the potential to deliver a positive return if a recession plays out, providing valuable downside protection while riskier assets such as stocks get hit. Beyond core bonds, there are other segments within the bond markets, including high-yield and asset-backed securities, that offer attractive risk/return potential in the hands of experienced and skilled investors.

Given this macro and market backdrop, the iMGP Funds family offers several strong options that we believe can improve the risk-adjusted performance of a traditional stock/bond balanced portfolio: namely, our DBi Managed Futures Strategy ETF, DBi Hedge Strategy ETF, Alternative Strategies Fund, High Income Alternatives Fund, RBA Responsible Global Allocation ETF and Dolan McEniry Corporate Bond Fund.

For more risk-tolerant investors, our high-conviction, concentrated iMGP equity funds seek to generate long-term capital growth exceeding passive indexes. They can serve as core equity holdings or as satellite positions around core equity-market index allocations.

We believe the iMGP Funds can fill a valuable role within diversified investment portfolios. Each Fund is sub-advised by highly disciplined, deeply experienced, and skilled investors who we believe can outperform their respective benchmarks and peer groups over full market cycles.

**We strongly encourage shareholders to read the enclosed individual fund and ETF semi-annual reports for portfolio manager commentary and performance details.** 

<u>Closing Thoughts</u> 

As 2022 has reminded investors, we should "expect the unexpected, and expect to be surprised." We believe 2023 will likely present our sub-advisors with some excellent long-term investment opportunities.

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| **6** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
Unfortunately, we also expect an earnings recession in the next year that will help create those opportunities. While challenging, it is critical for long-term investors to stay the course through these rough periods. The shorter-term discomfort on the downside is the price one pays to earn the long-term "equity risk premium" – the additional return from owning riskier assets such as stocks that most investors need to build long-term wealth and achieve their financial objectives.

As always, we thank you for your continued trust and confidence.

Sincerely,

**Jeremy DeGroot, President and Portfolio Manager**![LOGO](g468187g12j53.jpg)

**Jack Chee, Portfolio Manager**![LOGO](g468187g27s88.jpg)

**Jason Steuerwalt, Portfolio Manager**![LOGO](g468187g73s84.jpg)

**Kiko Vallarta, Portfolio Manager**![LOGO](g468187g00t04.jpg)

Fund Summary<sub>7</sub>

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##### [**Table of Contents**](#toc)
**iMGP Global Select Fund 2022 Annual Report** 

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During the year, the fund (formerly named iMGP Equity Fund) was successfully restructured to a broader global equity mandate. The changes were made at the end of July 2022—making full year results versus a single benchmark inapplicable. The fund fell 25.52% in calendar year 2022.

Since the start of August through year-end 2022, the fund fell 5.2%–modestly trailing the 4.6% loss for its primary benchmark, MSCI World Index. A broader global index that includes emerging-markets stocks, MSCI All Country World Index (ACWI), fell 4.4% over the same five-month period. The Morningstar Global Large-Stock Blend category lost 3.58%. For the fourth quarter, the fund's 12.73% return outperformed the MSCI World Index return of 9.77%, the MSCI ACWI return of 9.76%, and the Morningstar Global Large-Stock Blend category return of 10.43%.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** |
|  | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** |
|  | **One-Year** | **Three-Year** | **Five-Year** | **Ten-Year** | **Since<br>Inception<br>(12/31/96)** |
| &nbsp;&nbsp;&nbsp; **iMGP Global Select Fund** | **-25.52%** | **1.58%** | **3.79%** | **9.18%** | **7.52%** |
| &nbsp;&nbsp;&nbsp; MSCI World NR USD | -18.14% | 4.94% | 6.14% | 8.85% | 6.40% |
| &nbsp;&nbsp;&nbsp; MSCI ACWI NR USD | -18.36% | 4.00% | 5.23% | 7.98% | 6.27% |
| &nbsp;&nbsp;&nbsp; Russell 3000 Index | -19.21% | 7.06% | 8.79% | 12.13% | 8.52% |
| &nbsp;&nbsp;&nbsp; Morningstar Global Large-Stock Blend Category | -17.42% | 3.22% | 4.40% | 7.50% | 7.02% |
| &nbsp;&nbsp;&nbsp; **Gross Expense Ratio 1.24% Net Expense Ratio 0.98%\*** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit*** <u>www.imgpfunds.com</u>***. The advisor has agreed to waive fees and limit the expenses of the fund through at least April 30, 2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>Effective July 29, 2022, the fund removed all but one existing subadvisor and added three subadvisors with expanded flexibility to invest globally. The fund retained Nuance Investments to manage a global mid-cap value sleeve. Two teams from Polen Capital were added to run concentrated sleeves with different market-cap orientations (global large-cap growth and global SMID growth). Scharf Investments is the fourth subadvisor and has a global larger-cap value mandate. The fund's new mandate expands the subadvisors' ability to invest in highest-conviction ideas globally, as well as provides dedicated exposure to small-, mid- and large-cap companies. As part of the restructuring the fund's primary benchmark was changed to the MSCI World Index, an index that includes domestic and foreign stocks and more appropriately matches the global equity mandate of the fund and the managers. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit*** <u>www.imgpfunds.com</u>***. The advisor has agreed to waive fees and limit the expenses of the fund through at least April 30, 2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>Effective July 29, 2022, the fund removed all but one existing subadvisor and added three subadvisors with expanded flexibility to invest globally. The fund retained Nuance Investments to manage a global mid-cap value sleeve. Two teams from Polen Capital were added to run concentrated sleeves with different market-cap orientations (global large-cap growth and global SMID growth). Scharf Investments is the fourth subadvisor and has a global larger-cap value mandate. The fund's new mandate expands the subadvisors' ability to invest in highest-conviction ideas globally, as well as provides dedicated exposure to small-, mid- and large-cap companies. As part of the restructuring the fund's primary benchmark was changed to the MSCI World Index, an index that includes domestic and foreign stocks and more appropriately matches the global equity mandate of the fund and the managers. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit*** <u>www.imgpfunds.com</u>***. The advisor has agreed to waive fees and limit the expenses of the fund through at least April 30, 2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>Effective July 29, 2022, the fund removed all but one existing subadvisor and added three subadvisors with expanded flexibility to invest globally. The fund retained Nuance Investments to manage a global mid-cap value sleeve. Two teams from Polen Capital were added to run concentrated sleeves with different market-cap orientations (global large-cap growth and global SMID growth). Scharf Investments is the fourth subadvisor and has a global larger-cap value mandate. The fund's new mandate expands the subadvisors' ability to invest in highest-conviction ideas globally, as well as provides dedicated exposure to small-, mid- and large-cap companies. As part of the restructuring the fund's primary benchmark was changed to the MSCI World Index, an index that includes domestic and foreign stocks and more appropriately matches the global equity mandate of the fund and the managers. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit*** <u>www.imgpfunds.com</u>***. The advisor has agreed to waive fees and limit the expenses of the fund through at least April 30, 2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>Effective July 29, 2022, the fund removed all but one existing subadvisor and added three subadvisors with expanded flexibility to invest globally. The fund retained Nuance Investments to manage a global mid-cap value sleeve. Two teams from Polen Capital were added to run concentrated sleeves with different market-cap orientations (global large-cap growth and global SMID growth). Scharf Investments is the fourth subadvisor and has a global larger-cap value mandate. The fund's new mandate expands the subadvisors' ability to invest in highest-conviction ideas globally, as well as provides dedicated exposure to small-, mid- and large-cap companies. As part of the restructuring the fund's primary benchmark was changed to the MSCI World Index, an index that includes domestic and foreign stocks and more appropriately matches the global equity mandate of the fund and the managers. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit*** <u>www.imgpfunds.com</u>***. The advisor has agreed to waive fees and limit the expenses of the fund through at least April 30, 2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>Effective July 29, 2022, the fund removed all but one existing subadvisor and added three subadvisors with expanded flexibility to invest globally. The fund retained Nuance Investments to manage a global mid-cap value sleeve. Two teams from Polen Capital were added to run concentrated sleeves with different market-cap orientations (global large-cap growth and global SMID growth). Scharf Investments is the fourth subadvisor and has a global larger-cap value mandate. The fund's new mandate expands the subadvisors' ability to invest in highest-conviction ideas globally, as well as provides dedicated exposure to small-, mid- and large-cap companies. As part of the restructuring the fund's primary benchmark was changed to the MSCI World Index, an index that includes domestic and foreign stocks and more appropriately matches the global equity mandate of the fund and the managers. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit*** <u>www.imgpfunds.com</u>***. The advisor has agreed to waive fees and limit the expenses of the fund through at least April 30, 2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>Effective July 29, 2022, the fund removed all but one existing subadvisor and added three subadvisors with expanded flexibility to invest globally. The fund retained Nuance Investments to manage a global mid-cap value sleeve. Two teams from Polen Capital were added to run concentrated sleeves with different market-cap orientations (global large-cap growth and global SMID growth). Scharf Investments is the fourth subadvisor and has a global larger-cap value mandate. The fund's new mandate expands the subadvisors' ability to invest in highest-conviction ideas globally, as well as provides dedicated exposure to small-, mid- and large-cap companies. As part of the restructuring the fund's primary benchmark was changed to the MSCI World Index, an index that includes domestic and foreign stocks and more appropriately matches the global equity mandate of the fund and the managers. |

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<u>Key Performance Drivers</u> 

Performance comments are limited to the post-restructuring period.

From August 2022 to December 2022, small-cap position, Five Below gained 39.2%. The stock was the highest absolute gainer over that period. The company is owned by the Polen Global SMID team (led by Rob Forker). Five Below is a leading, high-growth, value retailer in the United States. The stock rose on the back of strong quarterly results with earnings coming in ahead of expectations. This contrasted with many of its retail rivals, who have struggled. In a backdrop of slowing retail demand, Five Below is seen to have an attractive value proposition with products that deliver on value as the customer wallet shrinks. Forker believes the company can compound its value over the next five years at 20% per annum driven by a combination of mid-teens new store expansion, comparable store growth, and modest margin expansion off its fixed-cost leverage. The company has over 1,300 stores in the United States today and is guiding to 3,500 over time. Polen has done independent analysis and believe that the 3,500 figure is achievable. Given the fundamentals and the long runway for growth, Polen views valuation as remaining very attractive even after the recent performance. The company remains one of the top positions in the portfolio.

Universal Health Services contributed to returns thanks to a 25.7% gain over the five-month period ending December 2022. The position is owned by Scott Moore and Chad Baumler of Nuance Investments. Universal Health Services is a leading hospital operator in the United States with business segments split close to equally in terms of earnings between acute care hospitals and behavioral/psychiatric care hospitals. In acute care, they have a significant presence primarily in Texas, Nevada, California, and Florida, and leading market share positions in nearly all of their acute care metropolitan areas. In behavioral care, they are a top-two player with a national footprint and are a leading provider in the United Kingdom as well. Behavioral care is highly fragmented and the services they provide treat substance abuse, PTSD, Autism, Schizophrenia and other psychiatric conditions. Nuance considers their balance sheet to be the strongest among hospital operators, with approximately 2.5x leverage versus some competitors in the 5x-7x range. In 2021 and early 2022, Nuance believed the company was under-earning due to unusually high labor costs, primarily related to nursing. The nursing labor market was tight before

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| **8** | Litman Gregory Funds Trust |

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COVID-19, and since then the problem has been further exacerbated due to rolling waves of employees testing positive and missing work, and higher rates of burnout/ early retirement. According to Nuance, this led to above normal use of premium nursing (traveling/ temporary) at rates significantly higher than normal nursing wages and resulted in widespread employee turnover throughout the industry as nurses chose to take temporary jobs. The company was spending approximately 3.5% of revenue on premium labor which is more than double pre-COVID-19 levels, according to Nuance's research. They also capped their behavioral hospital capacity in many markets due to staff shortages as behavioral nurses took acute care temporary jobs. Ultimately, Moore and Baumler believed that higher base wages and less need for premium labor to treat COVID-19 would bring the labor market into balance. The company was also able to take advantage of what is viewed as a highly accretive repurchase plan. Universal Health Services was expected to earn around $10 per share in 2022 per Wall Street consensus estimates, which compared favorably to Nuance's view of normal earnings of closer to $14 per share. At the end of third quarter, 2022, with the stock price at approximately $90, the stock was trading at less than 8x Nuance's estimate of normal earnings versus history, and their view of its normal P/E, closer to 14x.

Amazon.com fell nearly 38% over the five-month period and detracted from returns. The position is owned by the Polen Global Growth team. Amazon's most recent earnings results (Q3-22) were mixed. On the positive side, revenue growth accelerated in the company's ad business despite much slower revenue growth from other ad competitors. On the negative side, Q3 operating margins were lower than expected and management provided weaker than expected revenue and margin guidance for the Q4 holiday quarter. One of the primary culprits here is the international segment which is being negatively impacted by slower growth and higher costs in many regions, but particularly Europe. AWS also decelerated to 28% growth and looks to decelerate further into Q4, but this trend is not all that different from what Polen saw across competitors, and the AWS backlog looks healthy. It's taking some time to pull costs out of the business, but management has announced some major expense reductions. Polen believes the business should also return to a more "normal" revenue growth rate as tough comparisons ease. All this should lead to much better earnings growth in 2023. There is no change to Polen's long-term thesis on Amazon, namely, that the company's higher-margin business segments (cloud, subscriptions, advertising, third-party) should grow faster than its core ecommerce business, and this mix effect should lift the company's operating margins over the next several years.

MillerKnoll's share price fell 28.75% from the start of August 2022 through the end of the year. This position, owned by Scharf Investments, detracted from fund returns. The company was formed by the merger of Herman Miller and Knoll, Inc. in 2021, creating the largest office furnishing company worldwide. Part of Scharf's investment thesis is that they believe MillerKnoll, as the leader in office furnishings, will be a major beneficiary as in-office work recovers from its pandemic lows. Several large multinational employers have begun requiring increased time in-office and, anecdotally, managers have been responding to economic uncertainty with requesting more in-person days. If the labor market continues to weaken, Scharf believes that managers will have more leverage to require time in-office. In addition, in a new hybrid work environment, they believe offices may have to be reconfigured to encourage greater workplace collaboration. MillerKnoll could potentially benefit from the reconfiguration given its broad product portfolio and long-standing dealer relationships. Finally, Scharf believes growing small footprint stores targeted at the retail market have the potential to tap into the home office market.

Coming into the year, MillerKnoll margins were depressed due to pandemic-related supply chain issues and demand slowdowns. The combination of recession fears, higher interest rates, and the prospect of a slower than expected return to office has weighed on the company's share price as near-term earnings expectations have been reduced. As a result, the company is now trading at a depressed valuation on depressed earnings. Scharf believes investors' myopic focus on near-term recession risks has created a compelling long-term opportunity for patient investors.

While the ultimate recovery may be delayed due to an economic downturn, Scharf believes that MillerKnoll has a multitude of opportunities to drive an eventual recapture in both margins and revenues from current pandemic depressed levels. They believe both the Knoll acquisition and management's retail expansion strategy have the potential to generate revenue growth and margin expansion opportunities over time. In addition, an improving supply chain environment coupled with the company's strong price increases will likely further expand both revenues and margins. Scharf believes these factors will eventually result in a strong earnings recovery, as well as improving free cash flow generation. While it may take time for fundamentals to fully improve, MillerKnoll's recent quarterly results showed margin growth in key segments, as well as better than expected synergies. Scharf is hopeful that their patience will ultimately be rewarded with a strong earnings recovery.

<u>Portfolio Mix</u> 

The Global Select Fund is built stock by stock from the bottom-up and can at times look very different from its benchmark. We believe this is key to generating excess long-term returns.

The fund starts its first full calendar year with its broader global mandate with the following portfolio mix:

• The fund is overweight to the health care sector

• The fund is 4.1% overweight to both the technology and communication services sectors.

• The largest underweight is to industrial stocks.

• Exposure to European equities is 30.8% in the fund.

Fund Summary<sub>9</sub>

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##### [**Table of Contents**](#toc)
• Underweight to US equities—55.2% for the fund.

• Overweight 5.4% to Asia ex-Japan equities (all coming from Scharf Investments and
their positions in three Chinese equities and Samsung Electronics).

**By Sector** 

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| | |
|:---|:---|
|  | Fund |
|  Financials | 13.5% |
|  Consumer Discretionary | 8.1% |
|  Information Technology | 24.3% |
|  Communication Services | 10.6% |
|  Health Care | 24.0% |
|  Industrials | 4.9% |
|  Consumer Staples | 6.8% |
|  Real Estate | 1.6% |
|  Utilities | 1.6% |
|  Materials | 4.8% |
|  Cash | -0.2% |

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**By Region** 

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| | |
|:---|:---|
|  | Fund |
|  Europe | 30.8% |
|  North America | 59.1% |
|  Asia ex-Japan | 6.8% |
|  Japan | 3.4% |
|  Latin America | 0.0% |
|  Africa | 0.0% |
|  Australia/New Zealand | 0.0% |
|  Middle East | 0.0% |
|  Other Countries | 0.0% |
|  \* Cash is excluded from calculation. |  |

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**By Region** 

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| | |
|:---|:---|
|  US Equities | 55.2% |
|  Developed International Equities | 41.8% |
|  Emerging Market Equities | 3.0% |

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| **10** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**iMGP Global Select Fund 2022 Annual Report** 

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|:---|:---|:---|:---|
| **INVESTMENT MANAGER** | **FIRM** | **TARGET<br>MANAGER<br>ALLOCATION** | **MARKET**<br> **CAPITALIZATION**<br> **OF COMPANIES**<br> **IN PORTFOLIO** |
| Scott Moore |  |  |  |
| Chad Baumler | Nuance Investments | 30% | All sizes |
| Brian Krawez |  |  |  |
| Gabe Houston | Scharf Investments | 30% | All sizes |
| Damon Ficklin |  |  |  |
| Jeff Mueller | Polen Capital Management | 20% | Large |
| Rob Forker | Polen Capital Management | 20% | Small-Mid |

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**iMGP Global Select Fund Value of Hypothetical $10,000** 

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*The value of a hypothetical $10,000 investment in the iMGP Global Select Fund from December 31, 1996 to December 31, 2022 compared with the Russell 3000 Index, Morningstar Global Large-Stock Blend Category and MSCI World Index.*![LOGO](g468187g00m16.jpg)

*The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.* 

Performance quoted does not include a deduction for taxes that a shareholder would pay on the redemption of fund shares.

Fund Summary<sub>11</sub>

------

##### [**Table of Contents**](#toc)
**iMGP Global Select Fund (formerly iMGP Equity Fund)** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022** 

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **COMMON STOCKS: 97.7%**  | **COMMON STOCKS: 97.7%**  | **COMMON STOCKS: 97.7%**  |
| **Communication Services: 10.6%** | **Communication Services: 10.6%** | **Communication Services: 10.6%** |
| 28243 | Alphabet, Inc. - Class A\* | $2491880 |
| 25635 | Baidu, Inc. - ADR\* | 2932131 |
| 83250 | Comcast Corp. - Class A | 2911253 |
| 15490 | CTS Eventim AG & Co. KGaA\* | 987782 |
| 107400 | Kakaku.com, Inc. | 1720877 |
| 22000 | Tencent Holdings Ltd. | 941870 |
| 15350 | Tencent Holdings Ltd. - ADR | 650226 |
|  |  | 12636019 |
| **Consumer Discretionary: 8.1%** | **Consumer Discretionary: 8.1%** | **Consumer Discretionary: 8.1%** |
| 15065 | Advance Auto Parts, Inc. | 2215007 |
| 13199 | Amazon.com, Inc.\* | 1108716 |
| 9658 | Five Below, Inc.\* | 1708210 |
| 12800 | Floor & Decor Holdings, Inc. - Class A\* | 891264 |
| 1710 | LVMH Moet Hennessy Louis Vuitton SE | 1243955 |
| 49150 | Revolve Group, Inc.\* | 1094079 |
| 18600 | Sony Group Corp. | 1416061 |
|  |  | 9677292 |
| **Consumer Staples: 6.8%** | **Consumer Staples: 6.8%** | **Consumer Staples: 6.8%** |
| 60435 | Beiersdorf AG - ADR | 1381544 |
| 7717 | Clorox Co. (The) | 1082927 |
| 3469 | Diageo Plc - ADR | 618141 |
| 138500 | Henkel AG & Co. KGaA - ADR | 2234005 |
| 9082 | Kimberly-Clark Corp. | 1232882 |
| 2410 | L'Oreal S.A. | 860214 |
| 13798 | Unilever Plc - ADR | 694729 |
|  |  | 8104442 |
| **Financials: 13.5%** | **Financials: 13.5%** | **Financials: 13.5%** |
| 319900 | AIA Group Ltd. | 3559228 |
| 5080 | Aon Plc - Class A | 1524711 |
| 3 | Berkshire Hathaway, Inc. - Class A\* | 1406133 |
| 6375 | Berkshire Hathaway, Inc. - Class B\* | 1969238 |
| 929 | Charles Schwab Corp. (The) | 77349 |
| 2454 | Chubb Ltd. | 541352 |
| 18740 | Euronext N.V.<sup>(a)</sup> | 1386718 |
| 945 | Everest Re Group Ltd. | 313050 |
| 41970 | Goosehead Insurance, Inc. - Class A\* | 1441250 |
| 1035 | Hartford Financial Services Group, Inc. (The) | 78484 |
| 14817 | Northern Trust Corp. | 1311156 |
| 3807 | Reinsurance Group of America, Inc. | 540937 |
| 8320 | TMX Group Ltd. | 833137 |
| 6583 | Travelers Cos., Inc. (The) | 1234247 |
|  |  | 16216990 |
| **Health Care: 24.0%** | **Health Care: 24.0%** | **Health Care: 24.0%** |
| 19310 | Abbott Laboratories | 2120045 |
| 3500 | Align Technology, Inc.\* | 738150 |
| 25340 | Azenta, Inc.\* | 1475295 |
| 24304 | Baxter International, Inc. | 1238775 |
| 17165 | Centene Corp\* | 1407702 |
| 29885 | CVS Health Corp. | 2784983 |
| 44107 | Dechra Pharmaceuticals Plc | 1394557 |
| 68279 | Dentsply Sirona, Inc. | 2174003 |
| 16170 | Eurofins Scientific SE | 1160211 |
| 10460 | ICON Plc\* | 2031855 |
| 12964 | Medtronic Plc | 1007562 |
| 35950 | Novartis AG - ADR | 3261384 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Value** | **Value** |
| **Health Care (continued)** | **Health Care (continued)** | **Health Care (continued)** | **Health Care (continued)** |
| 36440 | Siemens Healthineers AG<sup>(a)</sup> | $| 1821955 |
| 83120 | Smith & Nephew Plc - ADR |  | 2235097 |
| 3910 | Tecan Group AG |  | 1744735 |
| 9367 | Universal Health Services, Inc. - Class B |  | 1319717 |
| 6067 | Zimmer Biomet Holdings, Inc. |  | 773542 |
|  |  |  | 28689568 |
| **Industrials: 4.9%** | **Industrials: 4.9%** | **Industrials: 4.9%** | **Industrials: 4.9%** |
| 11634 | 3M Co. |  | 1395149 |
| 13081 | Atlas Copco AB - Class A, ADR |  | 154356 |
| 107989 | Knorr-Bremse AG - ADR |  | 1464331 |
| 72321 | Legrand S.A. - ADR |  | 1154966 |
| 72275 | MillerKnoll, Inc. |  | 1518498 |
| 8339 | Schneider Electric SE - ADR |  | 233158 |
|  |  |  | 5920458 |
| **Information Technology: 21.8%** | **Information Technology: 21.8%** | **Information Technology: 21.8%** | **Information Technology: 21.8%** |
| 3820 | Accenture Plc - Class A |  | 1019329 |
| 5670 | Adobe, Inc.\* |  | 1908125 |
| 8229 | Amphenol Corp. - Class A |  | 626556 |
| 44930 | Dynatrace, Inc.\* |  | 1720819 |
| 19019 | Endava Plc - ADR\* |  | 1454954 |
| 1780 | Fair Isaac Corp.\* |  | 1065472 |
| 8920 | Globant S.A.\* |  | 1499987 |
| 68511 | Keywords Studios Plc |  | 2253858 |
| 11020 | Microsoft Corp. |  | 2642816 |
| 74865 | Murata Manufacturing Co. Ltd. - ADR |  | 920840 |
| 38690 | Oracle Corp. |  | 3162521 |
| 4610 | Paycom Software, Inc.\* |  | 1430529 |
| 16780 | SAP SE |  | 1730563 |
| 22647 | Visa, Inc. - Class A |  | 4705141 |
|  |  |  | 26141510 |
| **Materials: 4.8%** | **Materials: 4.8%** | **Materials: 4.8%** | **Materials: 4.8%** |
| 7008 | Akzo Nobel N.V. - ADR |  | 156348 |
| 148225 | Barrick Gold Corp. |  | 2546506 |
| 94000 | Valvoline, Inc. |  | 3069100 |
|  |  |  | 5771954 |
| **Real Estate: 1.6%** | **Real Estate: 1.6%** | **Real Estate: 1.6%** | **Real Estate: 1.6%** |
| 33700 | Altus Group Ltd. |  | 1345660 |
| 32123 | Healthcare Realty Trust, Inc. - REIT |  | 619010 |
|  |  |  | 1964670 |
| **Utilities: 1.6%** | **Utilities: 1.6%** | **Utilities: 1.6%** | **Utilities: 1.6%** |
| 14008 | Severn Trent Plc - ADR |  | 441952 |
| 60916 | United Utilities Group Plc - ADR |  | 1437618 |
|  |  |  | 1879570 |
| **TOTAL COMMON STOCKS**<br>(Cost $112,584,709) | **TOTAL COMMON STOCKS**<br>(Cost $112,584,709) |  | 117002473 |
| **PREFERRED STOCK: 2.5%**  | **PREFERRED STOCK: 2.5%**  | **PREFERRED STOCK: 2.5%**  | **PREFERRED STOCK: 2.5%**  |
| **Information Technology: 2.5%** | **Information Technology: 2.5%** | **Information Technology: 2.5%** | **Information Technology: 2.5%** |
| 74115 | Samsung Electronics Co. Ltd. - (Preference Shares) |  | 2959911 |
| **TOTAL PREFERRED STOCK**<br>(Cost $3,120,145) | **TOTAL PREFERRED STOCK**<br>(Cost $3,120,145) |  | 2959911 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **12** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Global Select Fund (formerly iMGP Equity Fund)** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | | **Value** |
| **SHORT-TERM INVESTMENTS: 3.3%**  | **SHORT-TERM INVESTMENTS: 3.3%**  | **SHORT-TERM INVESTMENTS: 3.3%**  |
| **REPURCHASE AGREEMENTS: 3.3%**  | **REPURCHASE AGREEMENTS: 3.3%**  | **REPURCHASE AGREEMENTS: 3.3%**  |
| $3942000 | Fixed Income Clearing Corp. 1.280%, 12/30/2022, due 01/03/2023 [collateral: par value $4,231,000, U.S. Treasury Note, 2.875%, due 05/15/2028 value $4,022,473] (proceeds $3,942,561) | $3942000 |
| **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost $3,942,000) | **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost $3,942,000) | 3942000 |
| **TOTAL INVESTMENTS**<br>(Cost: $119,646,854): 103.5% | **TOTAL INVESTMENTS**<br>(Cost: $119,646,854): 103.5% | 123904384 |
| Liabilities in Excess of Other Assets: (3.5)% | Liabilities in Excess of Other Assets: (3.5)% | (4181689) |
| **NET ASSETS: 100.0%** | **NET ASSETS: 100.0%** | $**119722695** |

---

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

REIT Real Estate Investment Trust

\* Non-Income Producing Security.

(a) Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from
registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933.

The accompanying notes are an integral part of these financial statements.

Schedule of Investments<sub>13</sub>

------

##### [**Table of Contents**](#toc)
**iMGP International Fund 2022 Annual Report** 

------

The iMGP International Fund declined 21.58% in 2022, underperforming the 14.45% loss for the MSCI EAFE Index. It also trailed the losses of 16.00% and 15.77% of MSCI ACWI ex. US Index and Morningstar Foreign Large Blend category, respectively. Since the fund's 1997 inception, the fund has an annualized return of 5.85%—comparing favorably to the 4.52% return for MSCI EAFE and 3.73% gain for the category. The fund changed its primary benchmark at the end of Q3 2021 the MSCI EAFE Index to reflect the mandate of the managers to primarily focus on developed markets.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | | | | | | |
|  | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** |  |
|  | **One-<br>Year** | **Three-<br>Year** | **Five-<br>Year** | **Ten-<br>Year** | **Since**<br> **Inception<br>(12/1/97)** |  |
| &nbsp;&nbsp;&nbsp; **iMGP International Fund** | **-21.58%** | **-2.73%** | **-1.00%** | **2.27%** | **5.85%** |  |
| &nbsp;&nbsp;&nbsp; MSCI ACWI ex US Index NET | -16.00% | 0.07% | 0.88% | 3.80% | 4.73% |  |
| &nbsp;&nbsp;&nbsp; MSCI EAFE Index NET | -14.45% | 0.87% | 1.54% | 4.67% | 4.52% |  |
| &nbsp;&nbsp;&nbsp; Morningstar Foreign Large Blend Category | -15.77% | 0.29% | 0.91% | 3.94% | 3.73% |  |
| &nbsp;&nbsp;&nbsp; **Gross Expense Ratio 1.38%, Net Expense Ratio 1.15%\*** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgptfunds.com</u>. \*There are contractual fee waivers in effect through 4/30/2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgptfunds.com</u>. \*There are contractual fee waivers in effect through 4/30/2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgptfunds.com</u>. \*There are contractual fee waivers in effect through 4/30/2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgptfunds.com</u>. \*There are contractual fee waivers in effect through 4/30/2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgptfunds.com</u>. \*There are contractual fee waivers in effect through 4/30/2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgptfunds.com</u>. \*There are contractual fee waivers in effect through 4/30/2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | ****<br>|

---

MSCI index returns source: MSCI. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates, or any third party involved in or related to compiling, computing, or creating the data have any liability for any direct, indirect, special, punitive, consequential, or any other damages (including lost profits) even if notified of the possibility of such damages. **No further distribution or dissemination of the MSCI data is permitted without MSCI's express written consent.** Source note: Returns prior to 1999 are the MSCI ACWI ex-US GR index. Returns from 1999 onwards are MSCI ACWI ex-US NR index.

**Key Performance Drivers** 

------

Both sector allocation and security selection detracted from returns in 2022. The fund's overweight to technology stocks and underweight to the energy sector were the main detractors from sector allocation standpoint. The financials and health care sectors were the to top two detractors within security selection. The fund benefited from security selection in the technology and materials sectors.

Within the health care sector, the main detractor was ICON. This position was held by the Polen Team throughout the entire year but a position in the company was added by Mark Little of Lazard Asset Management during the fourth quarter. ICON shares underperformed during 2022 as the pace of drug development spending slowed and the business lapped robust growth from the prior year. ICON remains a global leader in contract research organization services to biopharma companies and is well positioned to continue gaining market share in the years ahead. Following a sizable acquisition in 2021, ICON now holds the #1 or #2 position in most markets in which they compete. Their scale and global presence, depth of therapeutic and scientific expertise, site and patient access, and decentralized clinical trial solutions, an area that Polen think's the world is headed post-COVID, should allow them to continue growing ahead of the overall market. ICON's long-term target is for 7- 9% organic revenue growth and mid-teens earnings per share growth. Trading at 18x forward consensus earnings, and with a long runway to continue growing steadily, ICON is attractively valued.

The largest detractor in 2022 was a position in Credit Suisse (owned by David Herro of Harris Associates). Credit Suisse Group faced several challenges in 2022 and its share price fell over the 12-month period. The company has suffered from a succession of negative internal and external events, which produced consistent quarterly net income losses during the year. Most recently, third-quarter results were impeded by a CHF 3.7 billion impairment of deferred tax assets (DTA). The DTA is attributed to the company's securitized products segment, and the expected spin-off of this segment prompted the charge. Although the DTA impairment is a non-cash charge, it necessitated a larger than expected capital raise of CHF 4 billion to enable reaching its target ranges. However, Credit Suisse has instituted some restructuring initiatives to reinstate profitability. These efforts include de-risking operations, which drove management to conduct a strategic review on its investment bank to identify opportunities to transform it into a capital-light, advisory led banking business with a reduced absolute cost base in the medium term. Another area of focus is digitizing the company's processes that management anticipates will generate cost savings of CHF 650 million. While management acknowledged that these programs may elevate operating expenditures in the near term,

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| | |
|:---|:---|
| **14** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
these endeavors are aimed to save costs and boost efficiency moving forward. In addition, Credit Suisse saw the departure of some key executive team members in 2022 including CEO Thomas Gottstein, CFO David Mathers and General Counsel Romeo Cerutti. In Herro's view, Credit Suisse's new leadership team is a material upgrade and positions the company to better realize benefits from its restructuring plan that appears to be quite methodical and well contemplated. Ultimately, however, Herro decided to exit the Credit Suisse position in the Fund due to the concentrated nature of the portfolio and instead to add to positions that, in his view, offer a more attractive investment on a risk-adjusted basis.

On the positive side, the fund's position in Aon contributed to returns in the financials sector. Aon, owned by the Polen team, is an outsourced services provider helping businesses of all sizes locate cost effective insurance and risk management solutions via scaled global distribution networks. Aon is one of the world's leading insurance brokerage houses, distributing insurance policies to businesses on a recurring basis. Throughout 2022 Aon reported robust broad-based growth across business units and geographies. This growth was driven by solid new business wins, strong retention and renewals, and a "modest" boost from pricing due to inflation on asset values. In the wake of Hurricane Ian, the reinsurance unit continues to show their ability to flex their analytics muscle and create innovative solutions for insurance carrier clients looking to diversify and offload risk. Aon is a durable, highly cash flow generative business that is performing well in a difficult macro backdrop as we would expect, and at just over 20x forward earnings per share Aon's total returns growth at a low to mid-teens rate offers fair risk reward.

The fund's top contributor in 2022 was Glencore. The position, held by Herro, was volatile early in the year and rose mainly in the third and fourth quarters. In August, the company delivered a solid set of first-half earnings results, as marketing segment earnings increased over 100% year-over-year and profit of $3.7 billion handily surpassed the company's long-term range of $2.2-$3.2 billion for the year. Furthermore, adjusted earnings in the coal segment reached $8.9 billion for the first half, which outpaced our full-year expectations of $15.4 billion. Management later participated in some corporate actions with the goal of enhancing the company's value. The Australian Foreign Investment Review Board approved Metals Acquisition Corp's purchase of CSA Copper Mine from Glencore. In addition, Glencore management announced plans to purchase all of Newmont's stake in the MARA Project, an Argentina-based copper and gold mine, for $124.9 million along with other considerations. At its investor update event in December, Glencore issued its nine-month production report and lowered full-year output targets across most commodities as the company faced negative weather, labor, and supply chain issues in certain geographies. Even so, management still expects fiscal second-half marketing segment earnings will exceed $1.6 billion, which would fall at the high end of the previously established long-term guidance range. The company also announced plans to close 12 coal mines by 2035 as it endeavors to achieve its climate priorities.

The fund benefited from a position in Informa (owned by Little). Informa shares performed well in 2022. The business has struggled through the pandemic as restrictions on travel and events hampered the exhibition business. Activity recovered modestly in 2021 and picked up steam in 2022. The valuation of the shares remained depressed throughout most of 2021, which ultimately prompted management to divest part of the portfolio (Informa Intelligence) at a very attractive multiple. This crystallization of value within the group combined with a faster pace of recovery in exhibitions supported the shares throughout the year. The balance sheet has now been repaired and the topline should continue to improve as sales have yet to recover to 2019 levels.

**Portfolio Mix** 

The International Fund is built stock by stock from the bottom-up and can at times look very different from its benchmark. We believe this is key to generating excess long-term returns.

Over the last 12 months, the overall portfolio mix changed modestly.

• The fund's overweight to the technology sector decreased over the course of the year. At the end of 2021, the fund had
17.9% in the sector. At year-end, the fund held a 13.6% weight in the technology sector.

• Exposure to the industrials sector increased over the course of 2022—going from 8.9% at the start of the year to 13% at
the end of 2022.

• The fund's weighting to consumer staples stocks increased by roughly two and a half percentage points, bringing the
fund closer to the index weighting.

• The fund's weighting to European companies remains significant at over 87%. This is a four-percentage point increase
from the year prior.

• The fund continues to have zero weighting to Japan.

---

| | |
|:---|:---|
| Fund Summary | **15** |

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##### [**Table of Contents**](#toc)
**By Sector** 

---

| | |
|:---|:---|
|  | Fund |
|  Finance | 19.4% |
|  Consumer Discretionary | 14.2% |
|  Information Technology | 13.6% |
|  Communication Services | 8.8% |
|  Health Care & Pharmaceuticals | 12.8% |
|  Industrials | 13.0% |
|  Consumer Staples | 6.9% |
|  Real Estate | 0.0% |
|  Utilities | 2.6% |
|  Energy | 0.0% |
|  Materials | 0.9% |
|  Cash | 7.8% |

---

**By Region** 

---

| | |
|:---|:---|
|  | Fund |
|  Europe | 87.4% |
|  North America | 6.6% |
|  Asia ex-Japan | 2.3% |
|  Japan | 0.0% |
|  Latin America | 0.0% |
|  Africa | 0.0% |
|  Australia/New Zealand | 0.0% |
|  Middle East | 3.7% |
|  Other Countries | 0.0% |
|  \* Cash is excluded from calculation. |  |

---

**By Region** 

---

| | |
|:---|:---|
|  US Equities | 3.5% |
|  Developed International Equities | 94.3% |
|  Emerging Market Equities | 2.3% |

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| | |
|:---|:---|
| **16** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**iMGP International Fund Managers** 

------

---

| | | | |
|:---|:---|:---|:---|
| **INVESTMENT MANAGER** | **FIRM** | **TARGET<br>MANAGER<br>ALLOCATION** | **MARKET**<br> **CAPITALIZATION**<br> **OF COMPANIES**<br> **IN PORTFOLIO** |
| David Herro | Harris Associates L.P. | 33.33% | All sizes, but mostly large- and mid-sized companies |
| Mark Little | Lazard Asset Management, LLC | 33.33% | All sizes |
| Todd Morris, |  |  |  |
| Daniel Fields | Polen Capital Management LLC | 33.33% | All sizes |

---

**iMGP International Fund Value of Hypothetical $10,000** 

------

*The value of a hypothetical $10,000 investment in the iMGP International Fund from November 30, 1997 to December 31, 2022 compared with the MSCI EAFE Index, Morningstar Foreign Large Blend Category and MSCI ACWI Ex USA Index.*![LOGO](g468187g00m22.jpg)

*The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.* 

Performance quoted does not include a deduction for taxes that a shareholder would pay on the redemption of fund shares.

---

| | |
|:---|:---|
| Fund Summary | **17** |

---

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##### [**Table of Contents**](#toc)
**iMGP International Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022** 

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **COMMON STOCKS: 92.3%**  | **COMMON STOCKS: 92.3%**  | **COMMON STOCKS: 92.3%**  |
| **Argentina: 0.9%** | **Argentina: 0.9%** | **Argentina: 0.9%** |
| 2202 | MercadoLibre, Inc.\* | $1863421 |
| **Australia: 0.9%** | **Australia: 0.9%** | **Australia: 0.9%** |
| 271200 | Glencore Plc | 1809266 |
| **Canada: 2.9%** | **Canada: 2.9%** | **Canada: 2.9%** |
| 240477 | CAE, Inc.\* | 4653706 |
| 38240 | Shopify, Inc. - Class A\* | 1327310 |
|  |  | 5981016 |
| **China: 1.7%** | **China: 1.7%** | **China: 1.7%** |
| 50764 | Prosus N.V. | 3500598 |
| **Denmark: 3.8%** | **Denmark: 3.8%** | **Denmark: 3.8%** |
| 33954 | Carlsberg A/S - Class B | 4510361 |
| 114685 | Vestas Wind Systems A/S | 3335013 |
|  |  | 7845374 |
| **Finland: 3.4%** | **Finland: 3.4%** | **Finland: 3.4%** |
| 132455 | Sampo Oyj - Class A | 6918782 |
| **France: 7.5%** | **France: 7.5%** | **France: 7.5%** |
| 79200 | BNP Paribas S.A. | 4512408 |
| 5345 | Kering S.A. | 2719329 |
| 5470 | LVMH Moet Hennessy Louis Vuitton SE | 3979201 |
| 109800 | Worldline S.A.\*<sup>(a)</sup> | 4291564 |
|  |  | 15502502 |
| **Germany: 23.4%** | **Germany: 23.4%** | **Germany: 23.4%** |
| 22275 | Adidas AG | 3037772 |
| 16190 | Allianz SE | 3480089 |
| 75500 | Bayer AG | 3903753 |
| 69749 | Continental AG | 4177673 |
| 80442 | CTS Eventim AG & Co. KGaA\* | 5129708 |
| 102218 | Daimler Truck Holding AG\* | 3165662 |
| 162965 | Fresenius SE & Co. KGaA | 4577066 |
| 174118 | Hensoldt AG | 4117176 |
| 74015 | Mercedes-Benz Group AG | 4862411 |
| 67005 | SAP SE | 6910393 |
| 96540 | Siemens Healthineers AG<sup>(a)</sup> | 4826881 |
|  |  | 48188584 |
| **Ireland: 8.6%** | **Ireland: 8.6%** | **Ireland: 8.6%** |
| 49136 | ICON Plc\* | 9544668 |
| 109819 | Ryanair Holdings Plc - ADR\* | 8210068 |
|  |  | 17754736 |
| **Israel: 3.4%** | **Israel: 3.4%** | **Israel: 3.4%** |
| 1344819 | Israel Discount Bank Ltd. - Class A | 7062808 |
| **Netherlands: 5.4%** | **Netherlands: 5.4%** | **Netherlands: 5.4%** |
| 6310 | ASML Holding N.V. | 3401348 |
| 39513 | EXOR N.V.\* | 2887515 |
| 195760 | Universal Music Group N.V. | 4714797 |
|  |  | 11003660 |
| **Portugal: 2.6%** | **Portugal: 2.6%** | **Portugal: 2.6%** |
| 1064220 | EDP - Energias de Portugal S.A. | 5301612 |
| **South Korea: 2.1%** | **South Korea: 2.1%** | **South Korea: 2.1%** |
| 30770 | NAVER Corp. | 4319237 |
| **Spain: 2.5%** | **Spain: 2.5%** | **Spain: 2.5%** |
| 100010 | Amadeus IT Group S.A.\* | 5195127 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **Sweden: 2.5%** | **Sweden: 2.5%** | **Sweden: 2.5%** |
| 52146 | Evolution AB<sup>(a)</sup> | $5083288 |
| **Switzerland: 1.5%** | **Switzerland: 1.5%** | **Switzerland: 1.5%** |
| 50900 | Julius Baer Group Ltd. | 2966321 |
| **United Kingdom: 12.8%** | **United Kingdom: 12.8%** | **United Kingdom: 12.8%** |
| 201943 | CNH Industrial N.V. | 3233472 |
| 122124 | Coca-Cola European Partners Plc | 6722796 |
| 532399 | Informa Plc | 3983894 |
| 8605250 | Lloyds Banking Group Plc | 4719263 |
| 509850 | Sage Group Plc (The) | 4591002 |
| 60505 | Unilever Plc | 3055867 |
|  |  | 26306294 |
| **United States: 6.4%** | **United States: 6.4%** | **United States: 6.4%** |
| 8433 | Accenture Plc - Class A | 2250262 |
| 24706 | Aon Plc - Class A | 7415259 |
| 43784 | Medtronic Plc | 3402892 |
|  |  | 13068413 |
| **TOTAL COMMON STOCKS**<br>(Cost $193,032,467) | **TOTAL COMMON STOCKS**<br>(Cost $193,032,467) | 189671039 |
| **Principal<br>Amount** |  |  |
| **SHORT-TERM INVESTMENTS: 6.8%**  | **SHORT-TERM INVESTMENTS: 6.8%**  | **SHORT-TERM INVESTMENTS: 6.8%**  |
| **REPURCHASE AGREEMENTS: 6.8%** | **REPURCHASE AGREEMENTS: 6.8%** | **REPURCHASE AGREEMENTS: 6.8%** |
| $13958000 | Fixed Income Clearing Corp. 1.280%, 12/30/2022, due 01/03/2023 [collateral: par value $14,981,500, U.S. Treasury Note, 2.875%, due 05/15/2028 value $14,242,118] (proceeds $13,959,985) | 13958000 |
| **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost $13,958,000) | **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost $13,958,000) | 13958000 |
| **TOTAL INVESTMENTS**<br>(Cost: $206,990,467): 99.1%  | **TOTAL INVESTMENTS**<br>(Cost: $206,990,467): 99.1%  | 203629039 |
| Other Assets in Excess of Liabilities: 0.9% | Other Assets in Excess of Liabilities: 0.9% | 1941038 |
| **NET ASSETS: 100.0%** | **NET ASSETS: 100.0%** | $**205570077** |

---

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

\* Non-Income Producing Security.

(a) Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from
registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933.

The accompanying notes are an integral part of these financial statements.

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| | |
|:---|:---|
| **18** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**iMGP Oldfield International Value Fund 2022 Annual Report** 

------

The iMGP Oldfield International Value Fund declined 14.89% in 2022, underperforming the 5.58% loss for the MSCI EAFE Value Index. It matched the 14.45% loss of the MSCI EAFE Index. The fund trailed the Morningstar Foreign Large Blend category's loss of 9.15%. Since the fund's inception, the fund has an annualized return of 1.02%—trailing the 4.38% of the MSCI EAFE Value Index but ahead of the 0.19% loss for MSCI EAFE Index.

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | | | |
|  | **Average Annual Total Returns** | **Average Annual Total Returns** |  |
|  | **One-<br>Year** | **Since<br>Inception<br>(11/30/20)** |  |
| &nbsp;&nbsp;&nbsp; **iMGP Oldfield Internatl Val Ins** | **-14.89%** | **1.02%** |  |
| &nbsp;&nbsp;&nbsp; MSCI EAFE Value NR USD | -5.58% | 4.38% |  |
| &nbsp;&nbsp;&nbsp; MSCI EAFE NR USD | -14.45% | -0.19% |  |
| &nbsp;&nbsp;&nbsp; US Fund Foreign Large Value Category | -9.15% | 3.23% |  |
| &nbsp;&nbsp;&nbsp; **Gross Expense Ratio:1.52% Net Expense Ratio 0.94%\*** |  |  |  |
| &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgptfunds.com</u>. \*There are contractual fee waivers in effect through 4/30/2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgptfunds.com</u>. \*There are contractual fee waivers in effect through 4/30/2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgptfunds.com</u>. \*There are contractual fee waivers in effect through 4/30/2024.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | ****<br>|

---

MSCI index returns source: MSCI. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates, or any third party involved in or related to compiling, computing, or creating the data have any liability for any direct, indirect, special, punitive, consequential, or any other damages (including lost profits) even if notified of the possibility of such damages. **No further distribution or dissemination of the MSCI data is permitted without MSCI's express written consent.** Source note: Returns prior to 1999 are the MSCI ACWI ex-US GR index. Returns from 1999 onwards are MSCI ACWI ex-US NR index.

**Manager Commentary** 

------

At the core of our investment approach is classic, contrarian, bottom-up, Value investing. For more than a decade through the end of 2021, the value style of investing has lagged in a world of Quantitative Easing (QE) and ultra-low interest rates where the cost of capital was distorted, and investors chased growth irrespective of valuation and often common sense. 2022 will go down as the year of 'regime change' where the received wisdom, built up in a world of QE, started to crumble.

We think that this change in market regime is fundamental, and we look forward to many more years of the resurgence in value. If value and growth areas of the market are to resume their historical relationship, there remains significant return potential for value from our style of investing and from our international equity strategy.

Since Putin's invasion of Ukraine on February 24, 2022, the fund's relative performance has suffered. For the 12-month period ending January 2022, the Fund was up 17%, comparing favorably to MSCI EAFE Value's gain of 12.93% and MSCI EAFE's return of 7.0%. We are obviously very disappointed that the Fund has suffered so significantly in the seven-month period between the invasion of Ukraine and the end of September but cheered that the Fund kept pace with the strong recovery in international markets in the final quarter of the year. We believe that the fund will recover from this set back and note that the weighted average upside of the stocks in the fund is exceptionally attractive at over 50%.

With the invasion of Ukraine, Europe was seen as the epicenter of geopolitical risk and global investors fled the region, which negatively impacted our performance in the second and third quarters. The UK investments suffered additionally by a self-induced crisis with Prime Minister Liz Truss's mini budget in the Autumn which negatively impacted on Sterling, UK bonds and domestically exposed equities. This hit the share prices of both domestic (BT, Tesco, Lloyds) and dollar cost (easyJet) companies. Our exposure to the UK accounted for some 70% of the underperformance versus MSCI EAFE Value for the year. With the departure of Liz Truss and arrival of Rishi Sunak as Prime Minister, we have seen a marked stabilization in the UK bond market and the currency, but we think that the domestically exposed areas of the UK equity market remain substantially undervalued with their falls significantly overdoing any impact on their operating fundamentals.

**Key Performance Drivers** 

------

The worst performer in the fund for the year was easyJet, the UK and European low-cost airline. 2022 was a poor year for airlines but especially for easyJet. The recovery in air travel is coming through following the curtailments seen during the pandemic. However, easyJet

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| | |
|:---|:---|
| Fund Summary | **19** |

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##### [**Table of Contents**](#toc)
suffered because its airports failed to restore operations fast enough to meet demand, leading to travel chaos and cancelled flights. At the same time, we witnessed a rising cost of jet fuel and increasing concerns around consumer discretionary spend in 2023. One of the attractions of easyJet was that it operates from these capacity constrained, primary airports. With limited spare capacity at these airports, easyJet is largely competing against the legacy flag carrier airlines. The competitive cost advantage easyJet has against these has only increased over time and is enhanced during industry downturns, as in the pandemic. Many of easyJet's competitors are now in financial distress and facing significant cost inflation having had to succumb to aircrew wage demands after taking state aid. The operating issues at airports have been largely resolved and even in a weakening consumer environment easyJet should demonstrate significant profit recovery from here. In a sector that is meaningful to the transition to net zero, easyJet appears to be a leader in the detail and commitment of their strategy. It has a strong balance sheet and good fleet optionality over the coming years—as it takes on new, more fuel-efficient planes further increasing its competitive advantage. This has not been reflected in the share price which is down 42% over the year (in local currency) and remains below the pandemic low in March 2020. The market value of easyJet is currently around £2.5bn which is roughly half that pre-pandemic. However, forecast EBITDA for 2023 (just taking the market consensus) is the same as that achieved in 2019 and significantly higher in the subsequent years. The upside to our target valuation is currently the highest in the portfolio and stands at a multiple of the current share price.

BT, the incumbent telecom operator in the UK, was the second largest faller for the year but the largest detractor to fund performance in the year given its larger weighting in the Fund. The shares fell 30% in local currency, but 38% in US dollars. The UK's seemingly self-induced 'Gilt scare' led to a liquidity crisis for many mature UK pension funds and BT's £47bn pension fund was no exception. The scheme warned that it may need 'support' from the company, which spooked investors. However, liquidity has returned to the Gilt market, investors calmed and at this stage we see no material changes to our outlook for BT's cash flows. We also note the potential positive impact on deficit funding from the higher discount rates. The operating fundamentals for the business remain intact. In November we met with BT's CEO, Philip Jansen. He, like us, is bullish on the medium-term prospects for the company. BT's build rate for fiber to the home is impressive and Jansen explained that their operating efficiency and higher-than-expected take-up of the new fiber offerings suggested that returns on fiber investment will exceed his prior expectation. BT's fixed line network division, Openreach, is actively consulting with its customers (such as Sky, TalkTalk and Vodafone) on a new wholesale pricing scheme that would effectively share these excess returns from the fiber build out with them and lock them in. The regulatory asset value for the Openreach business is £17 billion and yet the market capitalization for the whole of BT is less than £12 billion. We see fair value at around 275p a share, about 140% above the year end price. While we await the fair value, the shares offer a well-covered (over 2.5x) dividend yield of c.6.8% and trade on a forward price to earnings of less than 6x.

The Continental European companies we hold in the portfolio have solid fundamentals and have, in the most part, increased their long-term earnings power through the year. For us this means the long-term value remains intact and falls in their share prices have represented a buying opportunity. It is something we took advantage of in several cases during the year with timely additions to Siemens, Sanofi and Bayer.

The fund also suffered from its exposure to China and the country's commitment to its zero-COVID policy that hurt the economy and our holdings in Alibaba and LG H&H. We believed that this policy was unsustainable and therefore would not be maintained. With the almost complete abandonment of COVID-related restrictions in China in November, we saw recoveries in the share prices of these companies of more than 50% each in the last two months of the year. From year-end levels, we see upside of around 50% for LG H&H and 170% for Alibaba.

A notable bright spot in 2022 was the exposure to Japan. The best performer and largest positive contributor to the Fund during the year was Mitsubishi Heavy Industries (MHI), a Japanese industrial conglomerate. MHI had been a deeply unfashionable investment in recent years. It suffered from the fall in demand for its gas turbine business and was hit hard in the pandemic given that it is a tier one supplier to Boeing and had to abandon its development of a regional jet. But in 2022 it benefitted from a reappraisal of its fortunes, as it remains the largest defense contractor in Japan and it is seen as a potential beneficiary of the World's move to net zero carbon emissions. The shares rose 102%, in local currency terms in 2022. It had been the largest negative contributor to overall performance in 2021, with the share price down 13% and we had started 2022 buying more. Since the rapid advance in the shares during the year it has now reached our view of fair value and we have been using this share price strength to reduce our holding.

Another positive contributor in Japan was Mitsubishi UFJ Group (MUFG), our third best performer of the year. We often say that in Japan 'out of necessity comes virtue' and this has been the case with MUFG, the largest bank in Japan. In a world of negative interest rates their net interest income has been crushed, roughly halving over the last ten years. This has forced them to grow their international footprint in Southeast Asia (primarily Thailand and Indonesia), cut costs and return capital to shareholders via the dividend and share buy backs. But given the collapse in net interest income it has been an uphill battle. It could not prevent the decline in returns and a de-rating from over 1.0x price to book value in 2009 to less than 0.5x. We saw ample opportunity to improve shareholder returns, given they held a stake in Morgan Stanley that at times equated to over 40% of their entire market value. They also had capital gains on cross shareholdings which they have been actively reducing.

In late 2021, they announced the disposal of their US retail operations to US Bancorp for $8bn, which was completed at the end of 2022. This deal frees up capital that MUFG can return to shareholders. Our investment thesis for MUFG has never relied on an improvement in the macroeconomic backdrop although any increase in net interest margins would create further upside. The surprise move at the end of the year by the Bank of Japan governor Haruhiko Kuroda to lift its target band on the ten year Government bond from 0.25% to 0.50% seems

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|:---|:---|
| **20** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
small but it is very significant in terms of macroeconomic backdrop and direction of travel. It signals the start of the end to MUFG's long suffering battle against negative interest rates. The shares have re-rated positively but still trade on an attractive 0.65x price to book value.

In December we initiated a new position in CK Hutchison Holdings (CKH). This is a Hong Kong listed conglomerate controlled by the Li family, with a current market value of about $24 billion. We have followed this company for many years. We have watched from the side-lines, as the share price has fallen from a peak of over HK$120 in 2015 (with the merger of Hutchison Whampoa and Cheung Kong) to a low of $40 in November of 2022.

There is much on the face of it to deter global investors from CKH given its complexity, the uncertainty around Hong Kong's future and the role of the controlling interests. But we believe that CKH is a collection of highly attractive assets (mostly European) on which the current discount has never been greater. CKH owns both majority and minority stakes in listed and unlisted businesses across five main industries: Retail, Ports, Infrastructure, Telecoms and Energy. It owns 75% of Watson, the world's largest health and beauty retailer. It is one of the largest operators of ports globally. It is in telecoms, principally through the 3 Group in Europe but also in Asia. It has an infrastructure business in power generation, water and waste management and in Energy via its 16% stake in the Canadian-listed oil & gas company, Cenovus. The market valuation for the group equated to just the listed assets which account for some 40% of our gross asset value. This means that the value being attributed to its unlisted assets has turned negative for the first time (this includes some of its largest businesses in Retail, Ports and the 3 Group).

The historically high discount to our sum of the parts is attractive but what makes this a compelling investment is recent moves to create shareholder value. CKH has shown that it is not wedded to retaining ownership of these assets if it can create value for shareholders and it is engaging in significant portfolio restructuring. They are addressing the weakest part of their portfolio in the European telecoms space with the proposed merger of their UK assets with Vodafone's for a minority stake in the combined UK business. We are receiving a 6% dividend yield and they are also buying back shares. CKH trades on a forward price to earnings ratio of just 5x, 5x EV/EBITDA and 0.3x price to. This is too cheap for a diversified group of relatively high quality and defensive businesses. One our conservative forecasts we see over 50% upside and a highly attractive total return of about 19% per annum.

In the month we also bought Henkel, the German based households products and chemicals company. It has three major divisions: Laundry and Home Care (35% of sales; with key brands Persil, Purex, Dixan and Sun), Beauty (20%; with key brands Schwarzkopf, Dial and Fa) and Adhesives (45%; key brands Loctite, Teroson and Pattex). Its biggest markets are Western Europe (30% of sales) and North America (27%). Henkel generates 40% of its sales from emerging markets.

Henkel is the global leader in industrial adhesives and this business has very attractive fundamentals. Adhesives represent a tiny part of the finished product but are often 'mission critical', together giving it strong pricing power. There is also a secular trend of growth here for industrial uses. One such area of growth is in autos, where demand from this industry accounts for around 20% of Henkel's adhesive business. In the move to battery electric vehicles, it is estimated that Henkel's content per car will nearly triple. We became very interested in Henkel at the start of the year, as the share price had fallen by 44% from its peak in 2017 after a series of profit warnings given underinvestment in some of its consumer brands (which flattered the sustainable operating margin) and concerns around raw material price increases in the consumer business. This effect on the share price was compounded in the year with the general malaise towards the German equity market. Market forecasts have now become more realistic and the quality of the Adhesives business can be seen with organic growth in the first nine months of the year coming in at c.14% (driven largely by price). The company has a strong balance sheet and therefore low financial risk. The company has been de-rated from 16x EV/EBITDA at the peak to around 8x today, with its historic median over the last 10 years being 12x. We have been conservative in our outlook but still see our investment in Henkel delivering a low-risk of about 15% return per annum from here which we think is attractive in the current market.

To fund these purchases, we used some of the cash we had in the portfolio and decided to sell the two smallest holdings in the portfolio in Nomura and Porsche. Whilst both had upside to our target valuations, our conviction in these holdings has diminished in recent months. Nomura has demonstrated poor fundamental performance for too long and the much hoped for transition to a more valuable advisory business has failed to materialise. We have been patient here, holding the shares for over 5 years and conducting deep due diligence with senior and operational management throughout. However, for a business that should have been geared to rising stock markets through until the end of 2021, the fundamental and stock price performance has been poor. Porsche SE has many attractions and was a much more recent purchase. The IPO of Porsche AG was a success in difficult markets and achieved a valuation of around 20x price to earnings for the luxury car business. However, we are increasingly concerned about the outlook for a business that relies heavily on sales to China. The VW Group (part owned by Porsche SE) is delivering historically high operating margins which we believe are not sustainable given the growing headwinds and longer-term industry outlook.

It is hard to stand apart from the crowd, particularly when performance is disappointing. It is this which ultimately underpins the long-term outperformance of Value over many previous decades. The duration of the relative drawdown in Value has been unprecedented and this created all manner of pressures on investors. Our culture and philosophical commitment to Value investing remains consistent. At the end of the year the portfolio had a weighted average upside of over 50% which remains high and attractive by historic standards. Our companies remain lowly valued with the overall portfolio on a forward price to earnings ratio of less than 9x on a weighted average basis, with strong fundamentals which gives us confidence that we will generate attractive long-term returns over the coming years.

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|:---|:---|
| Fund Summary | **21** |

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##### [**Table of Contents**](#toc)
**Portfolio Mix** 

The fund is built stock by stock from the bottom-up and can at times look very different from its benchmark. We believe this is key to generating excess long-term returns.

Over the last 12 months, the overall portfolio mix changed modestly.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• The fund's exposure to the consumer discretionary sector decreased over the course of 2022 due to eliminated positions
in two automobile companies, Porsche Automobil Preferred and Toyota Motors.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Consumer staples exposure increased over the year. The fund entered new position in two names within this sector: LG
Household + Health Care and Henkel AG & Co. KGaA.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• The fund's regional allocation did not change materially. The sale of Toyota Motors decreased exposure to Japanese
equities, while purchasing LG Household + Health Care increased exposure to Asia ex. Japan.

**By Sector** 

---

| | |
|:---|:---|
|  | Fund |
|  Finance | 22.3% |
|  Consumer Discretionary | 3.1% |
|  Information Technology | 3.6% |
|  Communication Services | 4.6% |
|  Health Care & Pharmaceuticals | 14.8% |
|  Industrials | 22.5% |
|  Consumer Staples | 16.8% |
|  Real Estate | 0.0% |
|  Utilities | 3.8% |
|  Energy | 4.8% |
|  Materials | 0.0% |
|  Cash | 3.7% |

---

**By Region** 

---

| | |
|:---|:---|
|  | Fund |
|  Europe | 63.5% |
|  North America | 0.0% |
|  Asia ex-Japan | 18.2% |
|  Japan | 14.3% |
|  Latin America | 3.9% |
|  Africa | 0.0% |
|  Australia/New Zealand | 0.0% |
|  Middle East | 0.0% |
|  Other Countries | 0.0% |
|  \* Cash is excluded from calculation. |  |

---

**By Region** 

---

| | |
|:---|:---|
|  US Equities | 0.0% |
|  Developed International Equities | 82.7% |
|  Emerging Market Equities | 17.3% |

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|:---|:---|
| **22** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**iMGP Oldfield International Value Fund Value of Hypothetical $10,000** 

------

*The value of a hypothetical $10,000 investment in the iMGP Oldfield International Value Fund from November 30, 2020 to December 31, 2022 compared with the MSCI EAFE Value Index, Morningstar Foreign Large Value Category and MSCI EAFE Index.*![LOGO](g468187g00n15.jpg)

*The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.* 

Performance quoted does not include a deduction for taxes that a shareholder would pay on the redemption of fund shares.

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| | |
|:---|:---|
| Fund Summary | **23** |

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##### [**Table of Contents**](#toc)
**iMGP Oldfield International Value Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022** 

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **COMMON STOCKS: 92.3%**  | **COMMON STOCKS: 92.3%**  | **COMMON STOCKS: 92.3%**  |
| **Brazil: 3.8%** | **Brazil: 3.8%** | **Brazil: 3.8%** |
| 113700 | Embraer S.A. - ADR\* | $1242741 |
| **China: 4.7%** | **China: 4.7%** | **China: 4.7%** |
| 93400 | Alibaba Group Holding Ltd.\* | 1032590 |
| 87670 | CK Hutchison Holdings Ltd. | 526481 |
|  |  | 1559071 |
| **France: 4.9%** | **France: 4.9%** | **France: 4.9%** |
| 16708 | Sanofi | 1606045 |
| **Germany: 20.7%** | **Germany: 20.7%** | **Germany: 20.7%** |
| 35081 | Bayer AG | 1813875 |
| 125811 | E.ON SE | 1256464 |
| 51891 | Fresenius SE & Co. KGaA | 1457420 |
| 16789 | Siemens AG | 2328774 |
|  |  | 6856533 |
| **Italy: 4.8%** | **Italy: 4.8%** | **Italy: 4.8%** |
| 111960 | Eni SpA | 1591551 |
| **Japan: 13.8%** | **Japan: 13.8%** | **Japan: 13.8%** |
| 16800 | East Japan Railway Co. | 958471 |
| 29800 | Mitsubishi Heavy Industries Ltd. | 1183318 |
| 291000 | Mitsubishi UFJ Financial Group, Inc. | 1962666 |
| 121075 | Nomura Holdings, Inc. | 448807 |
|  |  | 4553262 |
| **Netherlands: 4.7%** | **Netherlands: 4.7%** | **Netherlands: 4.7%** |
| 21192 | EXOR N.V.\* | 1548660 |
| **South Korea: 12.8%** | **South Korea: 12.8%** | **South Korea: 12.8%** |
| 19326 | KT&G Corp.\* | 1398441 |
| 2930 | LG H&H Co. Ltd.\* | 1672962 |
| 26918 | Samsung Electronics Co. Ltd. | 1177197 |
|  |  | 4248600 |
| **Sweden: 4.2%** | **Sweden: 4.2%** | **Sweden: 4.2%** |
| 136565 | Svenska Handelsbanken AB - Class A | 1377935 |
| **United Kingdom: 17.9%** | **United Kingdom: 17.9%** | **United Kingdom: 17.9%** |
| 1127016 | BT Group Plc | 1525110 |
| 305243 | easyJet Plc\* | 1196612 |
| 3712685 | Lloyds Banking Group Plc | 2036099 |
| 427370 | Tesco Plc | 1157174 |
|  |  | 5914995 |
| **TOTAL COMMON STOCKS**<br>(Cost $29,608,000) | **TOTAL COMMON STOCKS**<br>(Cost $29,608,000) | 30499393 |
| **PREFERRED STOCK: 4.0%**  | **PREFERRED STOCK: 4.0%**  | **PREFERRED STOCK: 4.0%**  |
| **Germany: 4.0%** | **Germany: 4.0%** | **Germany: 4.0%** |
| 19099 | Henkel AG & Co. KGaA - (Preference Shares) | 1328682 |
| **TOTAL PREFERRED STOCK**<br>(Cost $1,335,055) | **TOTAL PREFERRED STOCK**<br>(Cost $1,335,055) | 1328682 |
| **TOTAL INVESTMENTS**<br>(Cost: $30,943,055): 96.3%  | **TOTAL INVESTMENTS**<br>(Cost: $30,943,055): 96.3%  | 31828075 |
| Other Assets in Excess of Liabilities: 3.7% | Other Assets in Excess of Liabilities: 3.7% | 1214463 |
| **NET ASSETS: 100.0%** | **NET ASSETS: 100.0%** | $**33042538** |

---

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

\* Non-Income Producing Security.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **24** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP SBH Focused Small Value Fund 2022 Annual Report** 

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The iMGP SBH Focused Small Value Fund declined 13.39% 2022, outperforming the 14.48% loss for the Russell 2000 Value benchmark but lagged the 10.42% loss for the Morningstar Small Value category. Since the fund's July 2020 inception, the fund has an annualized return of 12.05%. Despite the attractive absolute gain, the fund is lagging the 17.27% return for the Russell 2000 Value benchmark and 19.87% for the peer category.

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | | | |
|  | **Average Annual Total Returns** | **Average Annual Total Returns** |  |
|  | **One-**<br> **Year** | **Since<br>Inception<br>(7/31/2020)** |  |
| &nbsp;&nbsp;&nbsp; **iMGP SBH Focused Small Value Fund** | **-13.39%** | **12.05%** |  |
| &nbsp;&nbsp;&nbsp; Russell 2000 Value | -14.48% | 17.27% |  |
| &nbsp;&nbsp;&nbsp; Russell 2000 | -20.44% | 8.77% |  |
| &nbsp;&nbsp;&nbsp; Morningstar Small Value Category | -10.42% | 19.87% |  |
| &nbsp;&nbsp;&nbsp; **Gross Expenses : 1.48%, Net Expenses: 1.15%\*** |  |  |  |
| &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund's future performance and should not be the sole basis for investing in the fund. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>. Returns less than one year are not annualized. The Advisor has contractually agreed to limit the expenses of the fund through April 30, 2024. Without this limit the fund's net expenses would be higher the return would be lower.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund's future performance and should not be the sole basis for investing in the fund. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>. Returns less than one year are not annualized. The Advisor has contractually agreed to limit the expenses of the fund through April 30, 2024. Without this limit the fund's net expenses would be higher the return would be lower.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund's future performance and should not be the sole basis for investing in the fund. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>. Returns less than one year are not annualized. The Advisor has contractually agreed to limit the expenses of the fund through April 30, 2024. Without this limit the fund's net expenses would be higher the return would be lower.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | ****<br>|

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**Key Performance Drivers** 

------

For calendar-year 2022, stock selection contributed to relative performance, but this was more than offset by sector allocation relative to the fund's Russell 2000 Value benchmark. The fund modestly trailed the benchmark in each of the first three quarters of the year, but strongly outperformed in the fourth quarter. In the final three months of the year, the fund gained 14.20%, compared to 8.42% for the Russell 2000 Value benchmark.

The market was relatively strong in the fourth quarter even as the overall economy faced a more aggressive Federal Reserve (Fed) interest-rate policy. The loosening of supply chains in many areas and cooling inflation across almost all categories (except wages) have been a benefit to many of the portfolio's holdings particularly those in Industrials and Consumer Discretionary. China remains a wildcard heading into 2023; however, the portfolio's holdings with exposure to China handled the shutdowns from COVID outbreaks fairly well. Nevertheless, we are watching developments here closely. The European energy crisis has abated for the time being and we have lowered the portfolio's exposure to this region given how unpredictable the cost structures of companies with larger operations in the European Union have become.

As we move into 2023, we believe the portfolio is invested in companies with the greatest opportunity to drive improvement in Return on Invested Capital (ROIC), even when factoring in a recession, the severity of which is hard to predict. We have positioned the portfolio in areas we believe will see continued demand regardless of a recession, such as infrastructure spending, reshoring investment, and Broadband spending programs. We have remained underweight regional banks and Financials given the uncertain credit backdrop that may emerge this year and we have added to the Real Estate sector with exposure solely focused on reshoring benefactors. Energy is an area we are watching closely in terms of adding more exposure; however, we are currently underweight. Industrials remain the largest sector overweight with much of the exposure in areas that are not as tied to economic cycles or that have secular drivers and strong management teams. Health Care is an underweight in the portfolio and will remain in that position due to Biotechnology now representing over half of the sector weight in the Russell 2000 Value benchmark.

Looking at attribution for the year, it is important to remember that this is a relatively concentrated portfolio that is built stock by stock and that sector weightings are driven by bottom-up fundamental stock-picking process. That said, we think it's helpful to report on the shorter-term relative performance of both sector weights and stock selection to help shareholders understand the drivers of recent performance. It is also important to remember that the performance of a stock over a relatively short period tells us nothing about whether it will be a successful position; that is only known at the point when the stock is sold.

At the sector level, industrials had the largest contribution due to stock selection. Within the sector Sterling Infrastructure was a top performer with a 24.71% gain for the year. The thesis for owning Sterling was driven by the company management's positioning the business to take advantage of emerging secular trends. Reshoring back to the United States for greater supply chain certainty has driven increased spending by customers, allowing the company to further build out its infrastructure. Sterling also has exposure to traditional infrastructure spending including roads, bridges, and airports, which should see solid demand for the next several years. As a result of its strong performance, the position was trimmed.

---

| | |
|:---|:---|
| Fund Summary | **25** |

---

------

##### [**Table of Contents**](#toc)
Consumer discretionary was another contributing sector, due to stock selection. Modine Manufacturing nearly doubled in the calendar year (up 96.83%), and was the single largest contributor in the 12-month period. The decision to own the stock was driven by the company's new CEO rapidly turning over management across the organization as it executes upon an 80/20 simplification strategy. When this strategy is successfully adopted by an organization, it leads to less complexity, stronger customer relationships, and a greater focus on pricing and improvements. Although Modine is still early in this process, there are positive signs due to this focus on profitability. Modine still remains the portfolio's largest holding; however, the position has been trimmed given the outperformance.

Energy was the sector that detracted most from performance, due mainly to allocation. The fund, on average, had half the benchmark weight (3.25% vs. 7.20%) in what was by far the best-performing sector. Energy exposure in the benchmark was up 62.23%, compared to a 13.59% loss for the index. One energy holding, PDC Energy gained 34% in the period. The thesis for owning PDC Energy was driven by the company's ability to successfully measure the returns of its drilling programs, which ultimately allowed them to generate significant cash flows and retire most of their debt. Higher oil prices post the Russia and Ukraine war lifted the entire energy complex resulting in PDC being a top portfolio performer in the 12-month period.

In terms of detractors, the materials sector had a negative impact. Within the sector, Glafelter Corp was the single largest detractor in the 12-month period. Glafelter continued to be under substantial pressure due to its manufacturing footprint having sizeable exposure to the European Union region, including many facilities in Germany. Given the natural gas and energy crisis that has unfolded in the company's core manufacturing markets and higher-than-desired leverage, the position was sold from the portfolio in the fourth quarter.

Hain Celestial was amongst the largest detractors during the year. The company was suffering from rapidly rising energy prices in its large U.K. market, while also dealing with continued supply chain challenges stemming from the Russia and Ukraine war. Though some of these headwinds are easing, the recovery could take longer than we originally expected, the position was trimmed.

Faro Technology was a name that was sold from the portfolio. The rationale for exiting Faro centered on the company undergoing a near full refreshment of its product portfolio; however, supply chain issues and exposure to China raised concerns about the company's ability to realize any sustainable ROIC improvement.

**By Sector** 

---

| | |
|:---|:---|
|  | Fund |
|  Financials | 16.8% |
|  Consumer Discretionary | 13.2% |
|  Information Technology | 6.9% |
|  Health Care | 4.2% |
|  Industrials | 32.9% |
|  Consumer Staples | 3.6% |
|  Real Estate | 8.1% |
|  Energy | 5.7% |
|  Materials | 6.4% |
|  Cash | 2.2% |

---

**By Market Cap** 

---

| | |
|:---|:---|
|  Small Cap | 87.8% |
|  Mid Cap | 12.2% |
|  Large Cap | 0.0% |

---

**Summary Statistics** 

---

| | |
|:---|:---|
|  Market Cap Median (bn) | 3.0 |
|  Weighted Average Market Cap (bn) | 3.2 |
|  # of Holdings | 41 |

---

---

| | |
|:---|:---|
| **26** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP SBH Focused Small Value Fund Value of Hypothetical $10,000** 

------

*The value of a hypothetical $10,000 investment in the iMGP SBH Focused Small Value Fund from July 31, 2020 to December 31, 2022 compared with the Russell 2000 Value Index, Morningstar Small Value Fund Category and Russell 2000 Index.*![LOGO](g468187g00m10.jpg)

*The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.* 

Performance quoted does not include a deduction for taxes that a shareholder would pay on the redemption of fund shares.

---

| | |
|:---|:---|
| Fund Summary | **27** |

---

------

##### [**Table of Contents**](#toc)
**iMGP SBH Focused Small Value Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022** 

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **COMMON STOCKS: 97.8%**  | **COMMON STOCKS: 97.8%**  | **COMMON STOCKS: 97.8%**  |
| **Consumer Discretionary: 13.2%** | **Consumer Discretionary: 13.2%** | **Consumer Discretionary: 13.2%** |
| 53544 | American Eagle Outfitters, Inc. | $747474 |
| 9655 | Carter's, Inc. | 720360 |
| 28472 | Gildan Activewear, Inc. | 780133 |
| 103144 | Modine Manufacturing Co.\* | 2048440 |
| 17813 | Ollie's Bargain Outlet Holdings, Inc.\* | 834361 |
| 10622 | PVH Corp. | 749807 |
| 16548 | Steven Madden Ltd. | 528874 |
|  |  | 6409449 |
| **Consumer Staples: 3.6%** | **Consumer Staples: 3.6%** | **Consumer Staples: 3.6%** |
| 134306 | Coty, Inc. - Class A\* | 1149660 |
| 37679 | Hain Celestial Group, Inc. (The)\* | 609646 |
|  |  | 1759306 |
| **Energy: 5.7%** | **Energy: 5.7%** | **Energy: 5.7%** |
| 16576 | Helmerich & Payne, Inc. | 821672 |
| 15849 | Murphy Oil Corp. | 681665 |
| 20045 | PDC Energy, Inc. | 1272457 |
|  |  | 2775794 |
| **Financials: 16.8%** | **Financials: 16.8%** | **Financials: 16.8%** |
| 27332 | Glacier Bancorp, Inc. | 1350747 |
| 19185 | Hancock Whitney Corp. | 928362 |
| 29813 | National Bank Holdings Corp. - Class A | 1254233 |
| 27094 | Pacific Premier Bancorp, Inc. | 855087 |
| 46048 | Seacoast Banking Corp. of Florida | 1436237 |
| 14441 | SouthState Corp. | 1102715 |
| 36434 | United Community Banks, Inc. | 1231469 |
|  |  | 8158850 |
| **Health Care: 4.2%** | **Health Care: 4.2%** | **Health Care: 4.2%** |
| 8185 | ICU Medical, Inc.\* | 1288974 |
| 38178 | Orthofix Medical, Inc.\* | 783794 |
|  |  | 2072768 |
| **Industrials: 32.9%** | **Industrials: 32.9%** | **Industrials: 32.9%** |
| 34921 | Apogee Enterprises, Inc. | 1552588 |
| 30475 | AZZ, Inc. | 1225095 |
| 53066 | CIRCOR International, Inc.\* | 1271461 |
| 14931 | EnerSys | 1102505 |
| 34622 | KBR, Inc. | 1828042 |
| 17725 | Mercury Systems, Inc.\* | 793017 |
| 35402 | Quanex Building Products Corp. | 838319 |
| 11233 | Regal Rexnord Corp. | 1347735 |
| 87713 | REV Group, Inc. | 1106938 |
| 55246 | SP Plus Corp.\* | 1918141 |
| 19433 | SPX Technologies, Inc.\* | 1275776 |
| 53762 | Sterling Infrastructure, Inc.\* | 1763394 |
|  |  | 16023011 |
| **Information Technology: 6.9%** | **Information Technology: 6.9%** | **Information Technology: 6.9%** |
| 24939 | Belden, Inc. | 1793114 |
| 31144 | Progress Software Corp. | 1571215 |
|  |  | 3364329 |
| **Materials: 6.4%** | **Materials: 6.4%** | **Materials: 6.4%** |
| 29501 | Compass Minerals International, Inc. | 1209541 |
| 69667 | Element Solutions, Inc. | 1267243 |
| 8980 | Sensient Technologies Corp. | 654821 |
|  |  | 3131605 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **Real Estate: 8.1%** | **Real Estate: 8.1%** | **Real Estate: 8.1%** |
| 56192 | Equity Commonwealth - REIT | $1403114 |
| 39614 | STAG Industrial, Inc. - REIT | 1279929 |
| 21930 | Terreno Realty Corp. - REIT | 1247159 |
|  |  | 3930202 |
| **TOTAL COMMON STOCKS**<br>(Cost $42,818,752) | **TOTAL COMMON STOCKS**<br>(Cost $42,818,752) | 47625314 |
| **TOTAL INVESTMENTS**<br>(Cost: $42,818,752): 97.8%  | **TOTAL INVESTMENTS**<br>(Cost: $42,818,752): 97.8%  | 47625314 |
| Other Assets in Excess of Liabilities: 2.2% | Other Assets in Excess of Liabilities: 2.2% | 1046657 |
| **NET ASSETS: 100.0%** | **NET ASSETS: 100.0%** | $**48671971** |

---

Percentages are stated as a percent of net assets.

REIT Real Estate Investment Trust

\* Non-Income Producing Security.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **28** | Litman Gregory Funds Trust |

---

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##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund 2022 Annual Report** 

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The iMGP Alternative Strategies Fund (Institutional Share Class) was down 9.49%, compared to a loss of 13.01% for the Bloomberg US Aggregate Bond Index (the Agg), a loss of 2.97% for the Morningstar Multistrategy Category, and a 1.46% gain for the ICE BofA 3-Month Treasury Bill Index**.** Note: Given the phase-out of LIBOR indexes, the fund's official benchmark has changed to the ICE BofA 3-Month Treasury Bill Index.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | | | | | | |
|  | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** |  |
|  | **One-**<br> **Year** | **Three-<br>Year** | **Five-<br>Year** | **Ten-**<br> **Year** | **Since<br>Inception<br>(9/30/11)** |  |
| &nbsp;&nbsp;&nbsp; **iMGP Alternative Strategies Fund Instl** | **-9.49%** | **-0.04%** | **1.20%** | **2.62%** | **3.46%** |  |
| &nbsp;&nbsp;&nbsp; **iMGP Alternative Strategies Fund Inv** | **-9.65%** | **-0.26%** | **0.96%** | **2.38%** | **3.21%** |  |
| &nbsp;&nbsp;&nbsp; ICE BofA US 3-Month Treasury Bill | 1.46% | 0.72% | 1.26% | 0.76% | 0.69% |  |
| &nbsp;&nbsp;&nbsp; ICE 3 Month Libor | 2.46% | 1.09% | 1.60% | 1.09% | 1.02% |  |
| &nbsp;&nbsp;&nbsp; Bloomberg Aggregate Bond Index | -13.01% | -2.71% | 0.02% | 1.06% | 1.41% |  |
| &nbsp;&nbsp;&nbsp; Morningstar Multistrategy Category | -2.97% | 1.65% | 1.57% | 2.42% | 2.70% |  |
| &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Other share classes may impose other fees. The total returns shown above do not include the impact of financial statement rounding of the net asset value (NAV) per share and/or financial statement adjustments. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>. The Advisor has contractually agreed to waive a portion of its management fee through April 30, 2024.*** | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Other share classes may impose other fees. The total returns shown above do not include the impact of financial statement rounding of the net asset value (NAV) per share and/or financial statement adjustments. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>. The Advisor has contractually agreed to waive a portion of its management fee through April 30, 2024.*** | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Other share classes may impose other fees. The total returns shown above do not include the impact of financial statement rounding of the net asset value (NAV) per share and/or financial statement adjustments. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>. The Advisor has contractually agreed to waive a portion of its management fee through April 30, 2024.*** | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Other share classes may impose other fees. The total returns shown above do not include the impact of financial statement rounding of the net asset value (NAV) per share and/or financial statement adjustments. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>. The Advisor has contractually agreed to waive a portion of its management fee through April 30, 2024.*** | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Other share classes may impose other fees. The total returns shown above do not include the impact of financial statement rounding of the net asset value (NAV) per share and/or financial statement adjustments. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>. The Advisor has contractually agreed to waive a portion of its management fee through April 30, 2024.*** | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Other share classes may impose other fees. The total returns shown above do not include the impact of financial statement rounding of the net asset value (NAV) per share and/or financial statement adjustments. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>. The Advisor has contractually agreed to waive a portion of its management fee through April 30, 2024.*** | **** |
| &nbsp;&nbsp;&nbsp; **Gross Expense Ratio:1.72% Net Expenses 1.44%, Adjusted Expenses 1.30%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; **Gross Expense Ratio:1.72% Net Expenses 1.44%, Adjusted Expenses 1.30%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; **Gross Expense Ratio:1.72% Net Expenses 1.44%, Adjusted Expenses 1.30%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; **Gross Expense Ratio:1.72% Net Expenses 1.44%, Adjusted Expenses 1.30%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; **Gross Expense Ratio:1.72% Net Expenses 1.44%, Adjusted Expenses 1.30%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; **Gross Expense Ratio:1.72% Net Expenses 1.44%, Adjusted Expenses 1.30%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. |  |

---

Since its inception on September 30, 2011, the fund's annualized return is 3.5% with a volatility (standard deviation) of 4.9%, and a beta to the U.S. stock market of 0.23. The fund's return – outperforming the 3-month Treasury Bill Index by about 280 basis points annualized — is below what we think is a reasonable expected-return range for the fund over the longer term, and the current measurement is at or near what we think will be a low point. The fund's volatility has been toward the low end of our expected range of 4% to 8%, while its equity beta has been in line with our expectations. We believe the fund's correlation to the Agg (currently about 0.4) will likely trend somewhat lower over time, back toward the range of zero it had showed as recently as 2021, especially given the addition of the Enhanced Trend strategy this year.

The "Risk/Return Statistics" table below provides these and other key performance metrics we track for the fund and its benchmarks.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **iMGP Alternative Strategies Fund Risk/Return Statistics, 12/31/2022** | &nbsp;&nbsp;&nbsp; **iMGP Alternative Strategies Fund Risk/Return Statistics, 12/31/2022** | | | | |
|  | **MASFX** | **Bloomberg<br>Barclays Agg** | **Morningstar<br>Multistrategy<br>Category** | **HFRX Global<br>Hedge Fund** | **Russell 1000** |
| &nbsp;&nbsp;&nbsp; Annualized Return | 3.46 | 1.41 | 2.70 | 1.84 | 13.56 |
| &nbsp;&nbsp;&nbsp; Total Cumulative Return | 46.57 | 17.06 | 34.96 | 22.71 | 318.10 |
| &nbsp;&nbsp;&nbsp; Annualized Std. Deviation | 4.78 | 3.94 | 4.26 | 4.16 | 14.81 |
| &nbsp;&nbsp;&nbsp; Sharpe Ratio (Annualized) | 0.58 | 0.19 | 0.47 | 0.28 | 0.89 |
| &nbsp;&nbsp;&nbsp; Beta (to Russell 1000) | 0.27 | 0.07 | 0.26 | 0.23 | 1.00 |
| &nbsp;&nbsp;&nbsp; Correlation of MASFX to | 1.00 | 0.32 | 0.90 | 0.85 | 0.83 |
| &nbsp;&nbsp;&nbsp; Worst 12-Month Return | -10.04 | -15.68 | -5.71 | -8.19 | -19.13 |
| &nbsp;&nbsp;&nbsp; % Positive 12-Month Periods | 0.79 | 0.67 | 0.74 | 0.68 | 0.88 |
| &nbsp;&nbsp;&nbsp; Upside Capture (vs. Russell 1000) | 26.36 | 7.71 | 24.85 | 20.75 | 100.00 |
| &nbsp;&nbsp;&nbsp; Downside Capture (vs. Russell 1000) | 27.01 | 5.03 | 29.38 | 27.48 | 100.00 |
| &nbsp;&nbsp;&nbsp; Upside Capture (vs. AGG) | 78.89 | 100.00 | 66.07 | 43.08 | 238.62 |
| &nbsp;&nbsp;&nbsp; Downside Capture (vs. AGG) | 24.50 | 100.00 | 25.00 | 14.35 | 13.91 |
| &nbsp;&nbsp;&nbsp; Performance quoted represents past performance and does not guarantee future results. | &nbsp;&nbsp;&nbsp; Performance quoted represents past performance and does not guarantee future results. | &nbsp;&nbsp;&nbsp; Performance quoted represents past performance and does not guarantee future results. | &nbsp;&nbsp;&nbsp; Performance quoted represents past performance and does not guarantee future results. | &nbsp;&nbsp;&nbsp; Performance quoted represents past performance and does not guarantee future results. | &nbsp;&nbsp;&nbsp; Performance quoted represents past performance and does not guarantee future results. |
| &nbsp;&nbsp;&nbsp; Since Inception (9/30/2011) | &nbsp;&nbsp;&nbsp; Since Inception (9/30/2011) | &nbsp;&nbsp;&nbsp; Since Inception (9/30/2011) | &nbsp;&nbsp;&nbsp; Since Inception (9/30/2011) | &nbsp;&nbsp;&nbsp; Since Inception (9/30/2011) | &nbsp;&nbsp;&nbsp; Since Inception (9/30/2011) |

---

***Portfolio Commentary***

------

The Alternative Strategies Fund returned -1.07% in the second half of the year, and 0.93% in the fourth quarter, bringing losses for the calendar year back to the single digits (-9.49%). The fund held up better than traditional assets on the year, beating the S&P 500's 18.1% loss, high yield bonds' 11.2% drop, and the Agg's stunning 13.0% decline. There are no parties being thrown in the office for this result, but in a year as challenging as 2022, sometimes you have to appreciate the (very) small victories. The bright spots for the year were Blackstone

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Credit Systematic Group's (fka DCI) more than 4% return on their long-short credit portfolio, and Water Island's merger and event-driven sleeve's nearly 1% gain. FPA was down slightly more than 10%, not surprising given the significant losses for equities globally. Our addition of DBi's Enhanced Trend strategy (trend following complemented by an equity hedge component) proved unfortunately timed, as November produced the worst performance of the year for trend following strategies, with the result that DBi's portfolio was down over 5% in its inaugural quarter. Of course we wish we had finished our work earlier in the year so we could have enjoyed the benefits the strategy would have provided for most of the year, but we view the allocation as a long-term strategic position and expect that it will add considerable value over time, despite the early losses. Crucially, we expect it to add the most value in market regime changes like we experienced in 2022, when other strategies – even ones that traditionally perform reasonably well in "normal" bear markets – may struggle. The relative disappointments of course were the low- to mid-teens losses suffered by the long-biased fixed income managers, Loomis Sayles and DoubleLine.

On the flip side of that coin, however, losses in fixed income markets that impacted those managers have produced the excellent opportunity set they currently see. We mentioned some of the underlying subadvisor portfolio metrics last quarter, and we would again highlight how compelling the opportunistic fixed income portfolios are. In fact, as we recently announced, as of early January we implemented a tactical overweight to DoubleLine to take advantage of the opportunity in securitized credit, specifically. As investors familiar with the fund know, we maintain a very high bar to deviate from our strategic allocations, but we find this to be a situation that easily clears that bar. You can find more detail about the move at <u>https://imgpfunds.com/alternative-strategies-fund-allocation-change</u>

On a blended basis, using portfolio metrics as of December 31, 2022, but with the updated subadvisor allocations, the combination of DoubleLine and Loomis Sayles (42% of the fund collectively) has a yield of over 10% and a duration under four years. This seems to us to be a very strong tailwind for performance going forward. Much of what we wrote last quarter about the strong opportunity sets for other subadvisors remains true, if slightly diminished, as reflected by the positive performance for those managers in Q4. Those relative changes in the opportunities available to the subadvisors also factored into our decision to overweight DoubleLine.

As fellow shareholders, we are well aware that 2022 was a painful year, but we believe the slight gain in the fourth quarter is just the first step on a longer road to significantly higher returns to come in future quarters. We obviously can't forecast the timing or level of gains (or losses), and the path is never a straight line, but we are as excited about the fund's potential going forward as we have been in quite some time. We hope you share our enthusiasm. We look forward to reporting back to you after the first quarter, hopefully with continued positive momentum, and we wish everyone a happy, healthy, and prosperous new year.

***Performance of Managers***

Two of the five managers who were part of the fund for the full year produced positive returns, with Blackstone Credit Systematic Group gaining 4.98% and Water Island up 0.52% for the year. On the negative side, full year performance for FPA was down 10.21%, Loomis Sayles lost 12.10%, and DoubleLine declined 16.62%. The DBi Enhanced Trend strategy fell 5.65% in its first quarter as part of the fund. (All returns are net of the management fee charged to the fund.)

***Strategy Allocations***

At year end, the fund's capital was allocated according to its new strategic targets: 20% each to DBi and DoubleLine, 18% Water Island, 15% each to Blackstone Credit Systematic Group and Loomis Sayles, and 12% to FPA. However, as discussed earlier, as of January 10th, we implemented a tactical overweight to DoubleLine's sleeve. The current allocations are 27% to DoubleLine, 17% each to DBi and Water Island, 15% to Loomis Sayles, 13% to Blackstone Credit Systematic Group, and 11% to FPA. We use the fund's daily cash flows to bring the manager allocations toward their targets when differences in shorter-term relative performance cause divergences.

***Manager Commentaries***

**Blackstone Credit (DCI)** 

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The Blackstone Long-Short Systematic Credit Managed Account (the "Account") returned almost 5% for 2022 against a backdrop of negative market moves. The S&P 500 returned -19% and the Bloomberg US Aggregate Bond Index returned -13% for the year. Credit returns followed suit to drop notably on the year, with corporate indices sunk by an unprecedented double whammy of losses from dramatically higher Treasury yields and concomitantly wider credit spreads.

The huge index and market moves, as well as their sharp gyrations throughout the year, underscored the value in the strategy's systematic market neutral portfolio construction, which effectively limited the portfolio's volatility and insulated it from beta moves. The portfolio's rate hedging was offsetting and left the net return for the year about flat, after making a negative contribution in H1. The credit beta hedging was close to flat on net for the year.

As always, portfolio performance is driven by our proprietary model-driven security selection. Both the bond and CDS (Credit Default Swap) sleeves contributed positively. Alpha performance was strong for the year, especially in Q4, driven by the short side of the portfolio amidst a backdrop of idiosyncratic credit deterioration. Short positioning in retail and home building and tech provided the largest boost, while longs in industrials, healthcare, and energy were negative contributors. The portfolio was notably well hedged over the period and portfolio gains were broad-based.

With credit deterioration a market theme, the portfolio's underweight to high-default-probability names and tilt into stronger credit-quality has been particularly valuable. We expect this to continue as we see the market environment as supportive of future convergence in our

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credit selection, with dispersion in fundamentals and default probabilities both elevated and varied, and we anticipate that the positive alpha loadings in the portfolio should pan out as the market transitions to economic retrenchment in the first half of the year.

**DBi** 

The Enhanced Trend portfolio declined approximately 5.7% during the fourth quarter (its first quarter as part of the Fund). Better than expected inflation data reversed multiple trends across asset classes. The trade weighted US dollar gave back all gains from the previous quarter, the Euro was the primary detractor as it surged 8%, and the long dollar position was reduced by quarter end. Equities initially rallied during the first half of the quarter but faded as Federal Reserve guidance remained hawkish. The whiplash caught other positions off guard as well, gold rose 10% in the quarter, but that commodity had been in a downtrend since March so the portfolio entered the quarter short and took time to change direction. Net long positions in small and midcap stocks did help to dampen losses as did a short crude oil position, which fell over 11% during the last two months of the quarter. A rise in short term yields also helped to partially offset detractions coming from volatile moves in longer dated treasuries.

In 2022, the regime shift in inflation kicked into gear. The "inflation trade" began in early 2021 as a highly contrarian macro call by hedge fund legend Stan Druckenmiller: that a convergence of monetary easing ("Fed will let the economy run hot"), fiscal profligacy (Democrats win Georgia) and pent-up demand post-Covid would trigger the return of inflation. His radical prediction, as DBi wrote about at the time, was that inflation could hit 4-5%.

Initially, few traditional market strategists agreed. After all, a decade of extreme money printing and government spending had failed to light the inflation fire – an awkward outcome for an economics community whose models predicted otherwise. Contrarians who had stuck their necks out years earlier were, at best, labeled Cassandras and, at worst, unemployed. Most traditional portfolios were replete with "low rates forever" bets: whether to support FAANG (Facebook, Amazon, Apple, Netflix, Google) P/E ratios in the S&P 500, near zero (and sometimes negative) fixed income yields or low single digit cap rates in real estate. And those portfolios – built on ten- and twenty-year capital markets assumptions – were designed to move very slowly, run by allocators who are supposed to be calm, steady hands through flighty shifts in market sentiment.

That disconnect defines a regime shift: a sudden macro pivot in an investment world built to move slowly. It also explains why hedge funds – many, but clearly not all – prospered. Some macro funds posted triple digit returns. Managed futures funds detected the signs early, rode the trade for eighteen months, gained 20% last year and delivered half a decade of alpha. More flexible fundamental investors – obviously not tech-focused hedge funds, who were and are structurally neck deep in the low rates trade – de-risked early or pivoted into markets, whether value or non-US, that were historically cheap after a decade of underperformance. Short positions in government bonds and certain currencies – outside the reach of long only allocators – became the "new" inflation hedges after the old playbook (gold, inflation-linked bonds and real estate) failed.

The consensus view today is that inflation has peaked, the global economy will slow and central banks will start cutting rates in a few quarters. That may turn out to be accurate; yet the consensus view often is wrong and flips suddenly based on new data and events. Our gut tells us that this plays out over years: central banks have years of unwinding in front of them; governments will remain addicted to spending even with more punishing borrowing costs; deglobalization will ripple through labor markets, supply chains and corporate profits; the geopolitical backdrop is somewhat frightening with polarization and a land war in eastern Europe; and social and political unrest is likely to spread as inflation bites. DBi's hope is that hedge funds continue to find ways to protect capital – and better yet, profit – as opportunities present themselves – and that investors in the strategy can hitch along for the ride.

**DoubleLine** 

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The investment environment during 2022 was one of the most challenging periods on record. In response to soaring inflation readings, the Federal Reserve raised its policy rate by 425 basis points, sending US Treasury yields, fixed income credit spreads, and equity risk premia substantially higher. In addition, the Russian invasion of Ukraine and the COVID zero policy in China added geopolitical uncertainty to an already cautious global market. Liquidity conditions were generally poor and consumer credit trends began to deteriorate towards the latter portion of the year. In total, the S&P 500 Index fell 18.11%, the Bloomberg US Investment-Grade Corporate Bond Index fell 15.76%, and the Bloomberg US Aggregate Bond Index fell 13.01%. The Opportunistic Income Portfolio underperformed its benchmark, the Bloomberg US Aggregate Bond Index.

The primary driver of the Portfolio's relative underperformance was asset allocation. Specifically, the Portfolio consistently held more credit assets than the Index, consistent with its opportunistic mandate, which hindered relative performance as credit spreads widened sharply throughout the year. The Index perennially maintains a roughly 40% allocation to US Treasury securities, which only experienced duration-related price declines and outperformed fixed income credit exposures of comparable maturity.

The top-performing sectors in the Portfolio were CLOs(Collateralized Loan Obligations), Bank Loans, and non-Agency CMBS (Commercial Mortgage Backed Securities). The CLO and Bank Loan allocations naturally benefitted from their floating rate coupons which periodically reset higher with rising front-end rates throughout the year. The Non-Agency CMBS allocation maintained some floating rate structures, but also benefitted from underlying loan-level resolutions in CMBS trusts which are a credit-positive event. The worst-performing sectors in the Portfolio were long duration US Treasury and Agency MBS (Mortgage Backed Securities) exposures. These assets experienced duration-related price declines and the Agency MBS also experienced some spread widening throughout the year.

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Looking ahead to 2023, the fixed income asset class looks more attractive than it has in at least 10 years. Interest rates are high and credit spreads are wide, offering substantial cushion from interest income to help offset any adverse duration impacts. In addition, inflation gauges appear to be moderating and the Federal Reserve has remained steadfast in its commitment to get price pressures under control. The investment team spent most of 2022 systematically upgrading the quality of its credit holdings in anticipation of a more challenged risk asset market in 2023. With almost 20% of Fund assets consisting of government-backed securities and the remainder consisting of a diversified mix of secured and low leverage credit exposures, the Fund is appropriately positioned to withstand a prolonged period of high financing costs.

**FPA** 

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**Performance Overview** 

The strategy's trailing twelve-month performance was down over 10%. However, the strategy captured just 59.3% of the average of the S&P 500 and MSCI ACWI NR's ("MSCI ACWI") decline in the trailing twelve months, outperforming its 73.5% average net risk exposure.<sup>1</sup>

**Portfolio discussion** 

***Exhibit B:* Trailing Twelve-Month Contributors and Detractors as of December 31, 2022<sup>2</sup>** 

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| **Contributors** | **Perf.<br>Cont.** | **Avg. %<br>of Port.** | **Detractors** | **Perf.**<br>**Cont.** | **Avg. %<br>of Port.** |
|  Glencore | 0.64% | 2.0% | Alphabet | -2.39% | 5.0% |
|  US Farming Realty Trust | 0.49% | 0.8% | Meta Platforms | -1.83% | 1.7% |
|  Sound Holding (shipping investment) | 0.36% | 0.9% | Charter Communications | -1.19% | 1.9% |
|  LPL Financial | 0.34% | 1.1% | Comcast | -1.06% | 2.9% |
|  American International Group | 0.31% | 2.6% | Amazon | -0.87% | 1.5% |
|  | 2.15% | 7.5% |  | -7.34% | 13.0% |

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In the last twelve months, the portfolio's top five performers contributed 2.15% to its return, while its bottom five detracted 7.34%.

**American International Group (AIG)** This year, AIG successfully IPO'd a portion of its life business, an important step on the way to becoming a pure property & casualty company. The company's general insurance operations demonstrated another year of improved underwriting and profitability.<sup>3</sup>

**Amazon** declined in price during the year as it became apparent that, having doubled the footprint of the company's retail infrastructure coming out of Covid<sup>4</sup>, the company had expanded too aggressively. The investment community is similarly concerned that the company's cloud business, AWS, is likely to be negatively impacted by general economic malaise, which would result in a growth rate lower than that of the recent past. Taking a long-term view, we envision both AWS and retail growing over the coming years, complemented by a high margin advertising business. Looking forward, we expect the company to benefit from positive operating leverage under the keen eye of CEO Andy Jassy, who has proven himself as a results-oriented leader in his former position as head of AWS. Though the valuation looks rather rich to us at the moment on near-term results, if we are correct in our thesis, the valuation at present prices will look to have been a bargain in hindsight.

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<sup>1</sup> Risk assets are any assets that are not risk free and generally refers to any financial security or instrument, such as equities, commodities, high-yield bonds, and other financial products that are likely to fluctuate in price. Risk exposure refers to the Fund's exposure to risk assets as a percent of total assets.The Fund's net risk exposure as of December 31, 2022 was 73.2%. 

<sup>2</sup> Reflects the top five contributors and detractors to the Fund's performance based on contribution to return for the trailing twelve months ("TTM"). Contribution is presented gross of investment management fees, transactions costs, and Fund operating expenses, which if included, would reduce the returns presented. The information provided does not reflect all positions purchased, sold or recommended by the portfolio management team during the quarter. It should not be assumed that recommendations made in the future will be profitable or will equal the performance of the securities listed. Past performance is no guarantee, nor is it indicative, of future results. 

<sup>3</sup> https://www.reuters.com/markets/us/aig-unit-corebridge-raises-17-bln-years-largest-ipo-2022-09-14/

<sup>4</sup> https://www.businessinsider.com/amazon-warehouse-expansion-slowed-still-towers-over-competitors-2022-12

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***Exhibit C:* Portfolio Composition<sup>5</sup>** 

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|:---|:---|:---|:---|
| **Risk Asset** | **Q4 2022** | **Q3 2022** | **Q4 2021** |
|  Common Stock, Long | 65.9% | 64.1% | 73.4% |
|  Common Stock, Short | 0.0% | 0.0% | -1.4% |
|  Credit, Long | 4.8% | 5.3% | 1.2% |
|  Credit, Short | 0.0% | 0.0% | -0.2% |
|  Other | 2.5% | 2.1% | 0.8% |
|  Exposure, Net | 73.2% | 71.5% | 73.7% |

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We came into 2022 conservatively postured with net risk assets at 73.7%. We added four new positions to the Fund and exited three in the quarter. Despite that, the Fund ended 2022 with net risk exposure of 73.2%.

<u>Markets & Economy</u> 

In an effort to tame 2022's high inflation (6.5% in the US and 8.9% globally)<sup>6</sup>, Central Banks forcefully reacted by increasing interest rates, with the US Fed Funds rate increasing during the year from 0.25% to 4.33%. 1-year US Treasury Bills followed suit, increasing from 0.38% to 4.49%. An increase of more than 4 percentage points was the largest increase since 1980.<sup>7</sup> While interest rates were bound to eventually increase, we just as well could have argued that might have occurred years earlier. Interest rates are the price of money – effectively the price paid for its use for a prescribed period of time. The higher the rate/price, the lower the asset value –all else being equal. This largely explains 2022's declines in both stocks and bonds. While stocks had their worst year since 2008, bonds failed to offer the protection to which investors have become accustomed for these past four decades with the Bloomberg US Aggregate Bond Index declining -13.0% last year.<sup>8</sup> This has led to the return of some market rationality. Even negative yielding bonds disappeared for the first time since 2010.<sup>9</sup>

While interest rates will always be a driver of returns, along with the inextricably linked economic growth and pace of inflation, your portfolio managers have greater clarity of how the companies in which we invest on behalf of the Fund might perform over time than we do of macroeconomic considerations. We believe very few managers have exhibited consistent and long-term success in trading the market predicated on such global variables.

US stock valuations are trading about in line with their 25-year average as can be seen in the table below.

***Exhibit D:* S&P 500 Valuations<sup>10</sup>** 

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|  | **Year-end 2022** | **25-year Avg.** |
|  Forward P/E | 16.7x | 16.8x |
|  Shiller's P/E (CAPE) | 28.0x | 27.9x |
|  Dividend Yield | 1.8% | 2.0% |
|  Price to book | 3.4x | 3.1x |
|  Price to cash flow | 12.4x | 11.2x \* |

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<sup>5</sup> Risk Assets include all investments excluding cash and cash equivalents. Net Risk Exposure is the percentage of portfolio exposed to Risk Assets. The "Common stock, long" equity exposure and the Fund's "Exposure, Net" include a 4.5% allocation to a SPAC basket consisting of 72 SPAC investments as of December 31, 2022. The SPAC basket is counted as one holding in the 'No. of Long Equity Positions.' Portfolio composition will change due to ongoing management of the Fund. Please see Important Disclosures for a description of the potential risks of investing in SPACs. 

<sup>6</sup> Source: Bureau of Labor Statistics. As of December 31, 2022.

<sup>7</sup> Source: FRED. As of December 31, 2022.

<sup>8</sup> Source: Bloomberg. As of December 31, 2022.

<sup>9</sup> Source: Financial Times, Bloomberg. As of December 31, 2022. There were no negative yielding bonds (> 1 year maturity) per Bloomberg at year-end 2022. **https://www.ft.com/content/35779b15-ca04-441a-bc3f-507b030ed45f Past performance is no guarantee, nor is it indicative, of future results.** 

<sup>10</sup> As of December 31, 2022. Source: Factset, Federal Reserve Bank, Robert Shiller, Standard & Poor's, J.P. Morgan Asset Management Guide to the Markets. Forward Price to Earnings is a version of the ratio of price-to-earnings (P/E) that uses forecasted earnings for the P/E calculation. \* Note: Price to cash flow is a 20-year average due to cash flow data availability. 

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Stock valuations outside the US continue to trade less expensively as noted in the table below.

***Exhibit E:* Global Forward P/E Ratios<sup>11</sup>** 

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|  | **Year-end 2021** | **Year-end 2022** | **25-year Avg.** |
|  US | 21.2x | 16.7x | 16.8x |
|  Japan | 14.7x | 12.2x | 19.7x |
|  Europe | 14.6x | 11.9x | 14.9x |
|  Emerging Markets | 11.8x | 11.7x | 11.8x |
|  China | 11.7x | 10.8x | 12.5x |

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While we cannot predict the future, we would not be surprised if additional economic weakness and (finally) a credit event might occur prior to a sustained market rebound. Higher borrowing costs due to a higher cost of capital (elevated interest rates and a larger risk premium) combined with a potentially weaker economy has historically translated into more borrowers defaulting on their debt obligations. Credit spreads (the "risk premium" mentioned above) are still tighter than historical levels. High-yield spreads ended 2021 at 2.8%, peaked at 5.8% in early July, but ended 2022 tighter at 5.1%. Past credit cycles have seen much wider spreads; e.g., 10% in 2002, 16% in 2008, 8% in 2011, 9% in 2020. Should defaults increase from the current 1.6% to anywhere close to its long-run average of 3.6%, then we would expect that credit spreads would widen, resulting in higher yields.<sup>12</sup>

***Exhibit F*: High Yield Bonds Credit Spread & Default Rate<sup>13</sup>**![LOGO](g468187g13n37.jpg)

In the past, a credit event would have allowed us the opportunity to take advantage of higher yielding bonds and distressed debt. While we hope to increase the Fund's historically low credit exposure, we will do so cautiously given that borrowers have taken advantage of the terms from lenders that allow a greater flexibility to avoid bankruptcy than we have seen heretofore. Historically weak debt covenants have been the result.

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<sup>11</sup> As of December 31, 2022. Source: Factset, MSCI, Standard & Poor's, J.P. Morgan Asset Management Guide to the Markets. Forward Price to Earnings is a version of the ratio of price-to-earnings (P/E) that uses forecasted earnings for the P/E calculation. The Fund does not include outperformance of any index or benchmark in its investment objectives. Please refer to the Important Disclosures for the representative indices used for each geographic market shown in the table 

<sup>12</sup> Source: FRED and J.P. Morgan Asset Management Guide to the Markets. *Long-run average* is based on monthly historical data beginning in January 1990.

**Past performance is no guarantee, nor is it indicative, of future results.** <br>

<sup>13</sup> As of December 31, 2022. Source: J.P. Morgan Asset Management Guide to the Markets. *Long-run average* is based on monthly historical data beginning in January 1990. *Default rates* are defined as the par value percentage of the total market trading at or below 50% of par value and includes any chapter 11 filings, prepackaged filing or missed interest payments. The default rate is the last twelve-month figure and tracks the percent of defaults over that period. *Spread-to-worst* is the difference between the yield-to-worst of a bond and the yield-to-worst of a US Treasury security with a similar duration. *Recovery Rate* is the extent to which principal and accrued interest on defaulted debt can be recovered, expressed as a percentage of face value. *High-yield* is represented by the J.P. Morgan Domestic High-yield Index. 

Past performance is no guarantee, nor is it indicative, of future results.

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***Exhibit G*: Weak Covenants<sup>14</sup>**![LOGO](g468187g13n38.jpg)

Covenant-light agreements have already led to companies stripping collateral out of the company that would normally have been collateral to protect the lender (i.e., a "carve-out"). For example, J. Crew carved out the valuable Madewell brand to the benefit of the company's private equity investors. It has also fomented lender-on-lender violence, which allows a borrower to give preference to one subset of creditors at the expense of another. Serta Simmons, for example, advantaged one cohort of lenders in the same class by having them lend the company additional money that was senior to the existing debt and allowing these lenders to exchange their prior debt into this new senior paper. In both the J. Crew and Serta Simmons cases, there were some very unhappy lenders.<sup>15</sup>

**Closing** 

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We think lower valuations and higher bond yields help position us to take advantage of any continued market weakness. We hope to "lean in" to price declines in the same way that we have in prior cycles with the goal of driving equity-like rates of return while avoiding permanent impairment of capital. Thank you for your support. We don't take it cavalierly that you have entrusted a portion of your capital to us to steward. It is up to us to repeatedly earn that trust. Uncovering, researching, and selecting the asset classes and securities across geographies that might best serve the Fund forms the foundation of our quotidian existence.

**Loomis Sayles** 

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**MARKET CONDITIONS** 

The global bond market suffered pronounced weakness in 2022. Coming into the year, investors were already on edge as the investment community slowly began to understand that inflation would not be as "transitory" as initially expected. The outlook grew even more challenging after Russia's invasion of Ukraine caused a jump in commodity prices and additional disruptions in global supply chains. Consumer price inflation (CPI) further increased as a result, with year-over-year gains of more than 8% in each monthly report of the second quarter. Inflation stayed elevated for the rest of the year before showing signs of cooling in the fourth quarter. Still, CPI remained above 7% in both the October and November reports, well above the Fed's 2% target.

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<sup>14</sup> Chart as of August 31, 2022. Source: The 2023-2024 Credit Cycle Public & Private Credit Markets Outlook & Opportunities Q4 White Paper page 6. Marathon Asset Management.

<sup>15</sup> Sources: Serta, June 11, 2020: https://nypost.com/2020/06/11/leon-black-suing-mattress-giant-serta-simmons-over-unlawful-scheme/; J. Crew, May 4, 2020; https://www.prnewswire.com/news-releases/jcrew-group-inc-announces-comprehensive-agreement-to-deleverage-balance-sheet-and-position-jcrew-and-madewell-for-long-term-profitable-growth-301051688.html 

**Past performance is no guarantee, nor is it indicative, of future results.** <br>

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These developments prompted the US Federal Reserve (Fed) and other major central banks to tighten monetary policy aggressively. The Fed, in addition to ending its stimulative quantitative easing policy, raised interest rates at seven consecutive meetings from March onward. The benchmark fed funds rate, which stood in a range of 0% to 0.25% at the start of 2022, finished the year at 4.25%—4.50%. This represented the most aggressive increase in short-term rates since the early 1980s.

**PORTFOLIO REVIEW** 

The portfolio significantly underperformed its benchmark, the three-month Libor Index, which returned 1.36%. The Fund's negative performance was diversified across several sectors, with the majority generated from high yield corporate bonds, investment grade corporate bonds, and securitized assets. Emerging market debt, dividend equities, and convertible issues also weighed on performance to lesser extents. These losses were partially offset by gains within our global rates allocation.

Our high yield corporate exposure detracted from performance during the period. Risk sentiment was generally negative for the year and bond spreads widened during the period. The category was broadly helped by lower interest rate sensitivity and larger benefit from income relative to investment grade corporates. Within the portfolio, communications and consumer energy names particularly weighed on performance.

US investment grade corporate bond spreads meaningfully widened over the year, in addition to suffering from the uptrend in prevailing yields. Rising spreads were the result of investors' declining appetite for risk and concerns about the impact of slowing economic growth. Within the portfolio, investment grade corporates negatively impacted performance, with financial and communications names being primarily responsible.

Securitized credit markets generally moved in sympathy with other risk assets for the year. However, the category's lower duration worked in its favor relative to the broader bond market. Within the portfolio, our allocation to securitized assets weighed on performance. The allocation to ABS issues was primarily responsible for the sector's negative impact on annual performance, with NARMBS and CMBS also detracting.

**OUTLOOK** 

Our view is that the credit cycle is in the late stage, with the resilience of inflation moving into focus. While we may have moved past "peak inflation," the pace with which inflation recedes from here remains a major question. The yield curve has maintained steep inversion across certain maturities for some time. Historically, this phenomenon has been thought to indicate recession. The timing of a potential downturn, however, remains highly uncertain. As such, we expect the economy to show more signs of recession as 2023 progresses.

Growth expectations have moved lower due to weaker manufacturing and housing metrics. The labor market also remains tight; characterized by higher wages, cost-of-living adjustments, and favorable dynamics for workers. Despite any challenges, consumers are maintaining strong levels of excess savings and healthy spending. We believe that a healthy consumer combined with strong corporate fundamentals and a strong banking system should help provide a floor to economic activity and contain defaults to some degree.

**Water Island** 

In the past year, several factors – including geopolitical conflict, soaring inflation, recession fears, lingering after-effects of the COVID-19 pandemic, and the sharpest rise in interest rates since the 1980s – slashed confidence and escalated uncertainty amongst boardrooms and investors, helping deliver the worst-performing year for the bond market and fourth-worst performing year for the stock market in more than 80 years.

Such a tumultuous year was certainly not easy for mergers and acquisitions (M&A), as there were many headwinds to dealmaking. While 2022 began with near-record levels of announced M&A for the first six months of the year, extending the record-setting pace of 2021, deal flow slowed meaningfully in the second half as confidence waned. Yet despite the slowdown, the total level of deal flow for the year remained consistent with historical averages. Furthermore, as we approached year-end and the rate of inflation began to ebb, confidence grew that the Federal Reserve would pull back on future interest rate hikes and the pace of consolidation began to accelerate.

In this environment, our strategy succeeded in generating a differentiated return stream and preserving investor capital. Over the course of the year, our sleeve of the portfolio invested in 134 new deals while 150 events exited the portfolio, participating in a total of 191 distinct events (inclusive of positions already in the portfolio at the start of the year), of which 70% contributed positively to returns during the period. While hard catalyst merger arbitrage investments contributed to returns, the fund incurred losses overall in our soft catalyst special situations positions. At year-end, 98% of the portfolio was allocated to merger arbitrage with 2% allocated to special situations. Within the merger arbitrage allocation, the vast majority of M&A deals were struck as all-cash deals (93% of merger arbitrage positions), with approximately 1% of the merger arbitrage positions in all-stock deals and 6% in cash-and-stock deals.

The top performing position in our sleeve of the fund for 2022 was our merger arbitrage investment in Change Healthcare Inc by UnitedHealth Group Inc. In January 2021, Change Healthcare, a US-based medical software and technology provider, agreed to be acquired by OptumInsight, a subsidiary of UnitedHealth Group (which also owns the country's largest health insurer) providing medical information technology services, for $8.8 billion in cash. After a lengthy regulatory review, the US Department of Justice (DOJ) sued to stop the

---

| | |
|:---|:---|
| **36** | Litman Gregory Funds Trust |

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------

##### [**Table of Contents**](#toc)
transaction in February 2022, alleging the combination would harm competition in multiple markets. In September, however, a federal judge ruled against the DOJ's attempt to intervene in the deal, allowing the merger to proceed. The deal subsequently closed early in Q4, leading to gains for the fund.

Other top contributors included the acquisition of Xilinx Inc by Advanced Micro Devices Inc and Elon Musk's acquisition of Twitter Inc. The Xilinx deal experienced volatility in its spread throughout its timeline, largely due to delays in receiving regulatory approval from the State Administration for Market Regulation (SAMR) in China – a jurisdiction where antitrust reviews are a notoriously opaque process, yet where regulatory approval was a required condition to complete the deal. The companies ultimately received approval from China in February 2022 and the merger subsequently closed successfully, leading to gains for the fund. Musk, in a clear case of buyer's remorse, attempted to back out of the Twitter deal and was set to plead his case before the Delaware Court of Chancery, only to capitulate and agree to close the transaction at its original contractual terms. Our analysis of the strength of the merger agreement (and thus Musk's likelihood of losing in court) gave us the confidence to maintain exposure to this deal and spread volatility throughout its timeline allowed us to trade around the position and add exposure at attractive rates of return. The fund was rewarded when the deal was completed in Q4 2022.

Conversely, the largest detractor in our sleeve of the fund during the year was our position in the failed merger of Momentive Global Inc and Zendesk Inc. In October 2021, Zendesk – a US-based developer of software for customer support and customer communications – agreed to acquire Momentive Global – a US-based developer of software for conducting web-based surveys – for $4.1 billion in stock, after an activist investor in Momentive pushed for a sale process. In January 2022, however, yet another activist investor – this time at Zendesk – began to push Zendesk's board of directors and management to reject the acquisition, believing the company should instead be put up for sale itself. The very next month, Zendesk management rejected an offer from a private equity consortium that would have valued the company at $17 billion – yet Zendesk shareholders appear to have agreed with the activist, as they overwhelmingly rejected the Momentive deal mere days later. We maintained our Momentive exposure based on the reemergence of the initial activist and the proxy background of the Zendesk merger, which indicated there were at least two other interested parties who put forth bids for the company before Zendesk won the sale process. Since the Zendesk termination, more activists have accumulated shares in Momentive with the aim of pushing the company to sell, and while the company has active suitors, ongoing volatility in the broader market and in Momentive's share price has made it difficult to reach an agreement on valuation (i.e., price multiple) and deal structure (i.e., cash vs. stock), which has caused mark-to-market losses for the fund.

Other top detractors included two additional broken deals: the failed acquisition of Rogers Corp by DuPont de Nemours Inc and the failed acquisition of Magnachip Semiconductor Corp by Wise Road Capital. After a lengthy regulatory review in China, DuPont opted to walk away from its acquisition of Rogers rather than extend the timeline when the deal's termination date was reached without having received approval from SAMR. In a similar situation, Magnachip and Wise Road mutually agreed to part ways after they failed to receive approval from the Committee on Foreign Investment in the United States (CFIUS) in a timely manner. In both scenarios we have opted to maintain exposure as we believe there is potential for additional suitors to emerge and/or for the companies to trade at more normalized multiples, though we are following our deal break protocols and would take advantage of any strength to pare exposure or trade around our positions.

While cash has been the most prevalent form of payment in M&A for several years, we believe sellers may increasingly seek to receive a stock component in deal consideration, hoping to recoup some of last year's losses should the market recover after their deals settle. Conversely, buyers may look to strike more deals with less common forms of consideration, such as a long-term contingent value right component, which can boost a deal's value several years after close based on the performance of a certain asset. Such uniquely structured transactions can always be topped by the certainty of cash, however, leaving them vulnerable to topping bids. More frequent competitive bidding scenarios may emerge if boardroom confidence improves more broadly and buyers in a position of strength have differing views on valuations (as is often the case following a significant market dislocation).

We believe the pickup in M&A activity near year-end bodes well for deal flow in the year ahead. When the path to organic growth is uncertain, companies often look to grow through M&A. With valuations still depressed, companies may seek to opportunistically make acquisitions at historically low multiples. The most active sectors for consolidation in the months ahead are likely to be those that experienced the worst drawdowns in 2022, such as technology and healthcare. Pharmaceutical and biotechnology companies in particular are under pressure from shareholders to engage in more M&A, and the industries' biggest players have been sitting on piles of cash. We expect private equity acquirers to remain active as well, given their historic dry powder levels, but such deals may require increased equity and direct-lender participation at this stage of the cycle.

Going into 2023, all eyes are on Microsoft's $69 billion acquisition of videogame developer Activision Blizzard, which the Federal Trade Commission (FTC) has sought to block. Other competition regulators, including those in the UK and European Union, have also raised antitrust concerns. While Activision shares are trading around 20% below the offer price, the company is still generating analyst buzz even in a scenario where it remains a standalone company, which could potentially mitigate downside in the event of a deal failure. That risk-reward profile makes it a compelling bet for arbitrage investors. We anticipate regulatory scrutiny of M&A transactions to continue to rise in 2023, with sellers demanding stronger regulatory contract provisions and anticipating longer deal timelines. That said, antitrust regulators have suffered recent losses in court – with Change Healthcare's victory reinforcing historical precedent, even as regulators attempt to take a novel view of antitrust. We believe this could provide corporations the confidence to push back against overzealous regulators rather than balk and walk away.

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| | |
|:---|:---|
| Fund Summary | **37** |

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##### [**Table of Contents**](#toc)
We anticipate the market environment will remain characterized by uncertainty and volatility in the near term. As such, we intend to continue to heavily tilt the portfolio toward investments predicated on hard catalyst events, particularly M&A, given their more definitive nature. Post-2008, after more than a decade with a risk-free rate near zero – and this may feel unusual to say – we are finally in a more normalized interest rate environment with the Federal Funds rate above 4%. Whether topping bids materialize or not, we believe these levels will help bolster attractive rates of return for merger arbitrage positions in newly announced deals going forward. Currently, deals with the least perceived risk are trading at levels competitive with two-year Treasury securities, with deal-specific spreads increasing commensurate with deal risk. Ample deal flow and the ongoing presence of market volatility could further aid the fund in alpha generation, though as always, we are cognizant of heightened risk in our space, and we intend to adhere to our stringent risk management protocols as we seek to deliver non-correlated returns.

**Sub-Advisor Portfolio Composition as of December 31, 2022** 

------

**Blackstone Credit Systematic Group (DCI) Long-Short Credit Strategy** 

**Bond Portfolio Top Five Sector Exposures** 

---

| | |
|:---|:---|
|  Energy | 16.3% |
|  High Tech | 13.5% |
|  Consumer Discretionary | 13.4% |
|  Investment Vehicles/REITs | 11.0% |
|  Consumer Non-Discretionary | 7.7% |

---

**CDS Portfolio Statistics** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Long | Long | Short | Short |
|  Number of Issuers |  | 76 |  | 73 |
|  Average Credit Duration |  | 4.3 |  | 4.4 |
|  Spread |  | 201 bps |  | 188 bps |

---

**DBi Enhanced Trend Strategy** 

**Asset Class Exposures (Notional)** 

---

| | |
|:---|:---|
|  Rates | -100.7% |
|  Currencies | -29.2% |
|  Commodities | -3.5% |
|  Equities | 4.2% |

---

**DoubleLine Opportunistic Income Strategy** 

**Sector Exposures** 

---

| | |
|:---|:---|
|  Cash | 4.2% |
|  Government | 1.0% |
|  Agency Inverse Interest-Only | 8.6% |
|  Agency CMO | 0.5% |
|  Agency PO | 0.4% |
|  Non-Agency Residential MBS | 34.2% |
|  Commercial MBS | 15.9% |
|  Collateralized Loan Obligations | 13.9% |
|  ABS | 6.1% |
|  Bank Loan | 5.7% |
|  Emerging Markets | 5.5% |
|  HY/Other | 4.0% |
|  **TOTAL** | **100.0%** |

---

**FPA Contrarian Opportunity Strategy** 

**Asset Class Exposures** 

---

| | |
|:---|:---|
|  U.S. Stocks | 44.2% |
|  Foreign Stocks | 21.6% |
|  Bonds | 4.8% |
|  Limited Partnerships | 2.5% |
|  Cash | 26.8% |
|  **TOTAL** | **100.0%** |

---

**Loomis Sayles Absolute Return Strategy** 

**Strategy Exposures** 

---

| | | | |
|:---|:---|:---|:---|
|  | Long Total | Short Total | Net Exposure |
|  Securitized | 29.5% | 0.0% | 29.5% |
|  High-Yield Corporate | 24.4% | -8.8% | 15.6% |
|  Investment-Grade Corp. | 18.4% | -2.6% | 15.8% |
|  Emerging Market | 7.6% | -2.3% | 5.3% |
|  Convertibles | 6.5% | 0.0% | 6.5% |
|  Dividend Equity | 3.1% | -0.2% | 2.9% |
|  Bank Loans | 0.6% | -0.3% | 0.3% |
|  Global Credit | 0.4% | -0.5% | -0.1% |
|  Global Rates | 0.3% | 0.0% | 0.3% |
|  **Subtotal** | **90.9%** | **-14.7%** | **76.2%** |
|  Cash & Equivalents | 9.2% | 0.0% | 9.2% |

---

**Water Island Arbitrage and Event-Driven Strategy** 

**Sub-Strategy Exposures** 

---

| | | | |
|:---|:---|:---|:---|
|  | Long | Short | Net |
|  Merger Arbitrage – *Equity* | 92.3% | -2.9% | 89.4% |
|  Merger Arbitrage – *Credit* | 0.0% | 0.0% | 0.0% |
|  Total Merger-Related | 92.3% | -2.9% | 89.4% |
|  Special Situations – *Equity* | 0.7% | 0.0% | 0.7% |
|  Special Situations – *Credit* | 1.6% | 0.0% | 1.6% |
|  Total Special Situations | 2.3% | 0.0% | 2.3% |
|  **Total** | **94.6%** | **-2.9%** | **91.7%** |

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| | |
|:---|:---|
| **38** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**IMGP Alternative Strategies Fund Managers** 

------

---

| | | | |
|:---|:---|:---|:---|
| **INVESTMENT MANAGER** | **FIRM** | **TARGET<br>MANAGER<br>ALLOCATION** | **Strategy** |
| Stephen Kealhofer<br> Paul Harrison<br> Adam Dwinells | Blackstone Credit/DCI, LLC | 15% | Long-Short Credit |
| Jeffrey Gundlach<br> Jeffrey Sherman | DoubleLine Capital LP | 20% | Opportunistic Income |
| Steven Romick<br> Brian Selmo<br> Mark Landecker | First Pacific Advisors, LLC | 12% | Contrarian Opportunity |
| Matt Eagan<br> Brian Kennedy<br> Elaine Stokes<br> Todd Vandam | Loomis Sayles & Company, LP | 15% | Absolute-Return |
| John Orrico<br> Todd Munn<br> Roger Foltynowicz<br> Gregg Loprete | Water Island Capital, LLP | 18% | Arbitrage |
| Andrew Beer<br> Mathias Mamou-Mani | Dynamic Beta Investments | 20% | Managed Futures |

---

**iMGP Alternative Strategies Fund Value of Hypothetical $100,000** 

------

*The value of a hypothetical $100,000 investment in the iMGP Alternative Strategies Fund from November 30, 2011 to December 31, 2022 compared with the ICE BofA US 3-Month Treasury Bill, Morningstar Multistrategy Category and Bloomberg US Agg Bond Index.*![LOGO](g468187g15m15.jpg)

*The hypothetical $100,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.* 

Performance quoted does not include a deduction for taxes that a shareholder would pay on the redemption of fund shares.

---

| | |
|:---|:---|
| Fund Summary | **39** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022** 

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **COMMON STOCKS: 21.6%** | **COMMON STOCKS: 21.6%** | **COMMON STOCKS: 21.6%** |
| **Communication Services: 3.5%** | **Communication Services: 3.5%** | **Communication Services: 3.5%** |
| 123800 | Activision Blizzard, Inc.<sup>(a)</sup> | $9476890 |
| 34767 | Alphabet, Inc. - Class A\* | 3067492 |
| 24760 | Alphabet, Inc. - Class C\* | 2196955 |
| 56640 | Altice USA, Inc. - Class A\* | 260544 |
| 120875 | Bollore SE | 675104 |
| 5353 | Charter Communications, Inc. - Class A\* | 1815202 |
| 48890 | Cineplex, Inc.\* | 290808 |
| 98562 | Comcast Corp. - Class A | 3446713 |
| 114390 | Escrow Altegrity, Inc.\*<sup>(b)</sup> | 423243 |
| 24160 | iHeartMedia, Inc. - Class A\* | 148101 |
| 7971 | Intelsat Emergence S.A.\* | 191304 |
| 13986 | Meta Platforms, Inc. - Class A\* | 1683075 |
| 3248 | Netflix, Inc.\* | 957770 |
| 26863 | Nexon Co. Ltd. | 603658 |
| 16529 | Nintendo Co. Ltd. | 693714 |
| 81344 | Shaw Communications, Inc. - Class B | 2344722 |
| 365376 | TEGNA, Inc.<sup>(a)</sup> | 7742318 |
|  |  | 36017613 |
| **Consumer Discretionary: 1.3%** | **Consumer Discretionary: 1.3%** | **Consumer Discretionary: 1.3%** |
| 39726 | Alibaba Group Holding Ltd.\* | 439193 |
| 20184 | Amazon.com, Inc.\* | 1695456 |
| 20700 | CarMax, Inc.\* | 1260423 |
| 9160 | Cie Financiere Richemont S.A. - Class A | 1188362 |
| 7510 | Delivery Hero SE\*<sup>(c)</sup> | 359822 |
| 20870 | Entain Plc | 333080 |
| 168 | Home Depot, Inc. (The) | 53064 |
| 45871 | iRobot Corp.\* | 2207771 |
| 29241 | Just Eat Takeaway.com N.V.\*<sup>(c)</sup> | 617907 |
| 6840 | Marriott International, Inc. - Class A | 1018408 |
| 7729 | Naspers Ltd. - Class N | 1283795 |
| 815 | Starbucks Corp. | 80848 |
| 191716 | Vivint Smart Home, Inc.\* | 2281420 |
|  |  | 12819549 |
| **Consumer Staples: 0.2%** | **Consumer Staples: 0.2%** | **Consumer Staples: 0.2%** |
| 1239 | Coca-Cola Co. (The) | 78813 |
| 67 | Costco Wholesale Corp. | 30585 |
| 11370 | Herbalife Nutrition Ltd.\* | 169186 |
| 55000 | JDE Peet's N.V. | 1590053 |
| 691 | Procter & Gamble Co. (The) | 104728 |
| 455 | Walmart, Inc. | 64514 |
|  |  | 2037879 |
| **Energy: 0.3%** | **Energy: 0.3%** | **Energy: 0.3%** |
| 18829 | Battalion Oil Corp.\* | 182830 |
| 17596 | California Resources Corp. | 765602 |
| 184 | Devon Energy Corp. | 11318 |
| 4030 | Gulfport Energy Corp.\* | 296769 |
| 71620 | Kinder Morgan, Inc. | 1294890 |
| 272 | Pioneer Natural Resources Co. | 62122 |
| 1506 | Williams Cos., Inc. (The) | 49547 |
|  |  | 2663078 |
| **Financials: 2.4%** | **Financials: 2.4%** | **Financials: 2.4%** |
| 560 | Alpha Partners Technology Merger Corp.\* | 5656 |
| 57830 | American International Group, Inc. | 3657169 |
| 7963 | Aon Plc - Class A | 2390015 |
| 2792 | Apollo Strategic Growth Capital II\* | 28674 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Value** | **Value** |
| **Financials (continued)** | **Financials (continued)** | **Financials (continued)** | **Financials (continued)** |
| 5085 | Atlantic Coastal Acquisition Corp. II\* | $| 51765 |
| 56 | BlackRock, Inc. |  | 39683 |
| 14913 | BurTech Acquisition Corp. - Class A\* |  | 151516 |
| 3884 | C5 Acquisition Corp.\* |  | 39733 |
| 48610 | Citigroup, Inc. |  | 2198630 |
| 67864 | Contra Zogenix, Inc.\*<sup>(d)</sup> |  | 49887 |
| 60800 | Fast Sponsor Capital\*<sup>(b)</sup> |  | 121600 |
| 271119 | First Horizon Corp. |  | 6642416 |
| 26850 | Groupe Bruxelles Lambert N.V. |  | 2142546 |
| 7 | GSR II Meteora Acquisition Corp. - Class A\* |  | 71 |
| 11317 | Hartford Financial Services Group, Inc. (The) |  | 858168 |
| 38530 | Home Capital Group, Inc. |  | 1212257 |
| 32810 | Jefferies Financial Group, Inc. |  | 1124727 |
| 3075 | LPL Financial Holdings, Inc. |  | 664723 |
| 14054 | Macondray Capital Acquisition Corp. I\* |  | 145599 |
| 7468 | Metals Acquisition Corp. - Class A\* |  | 74717 |
| 320179 | Moneylion, Inc.\* |  | 198511 |
| 590 | Morgan Stanley |  | 50162 |
| 776 | PowerUp Acquisition Corp.\* |  | 8016 |
| 500 | Signature Bank |  | 57610 |
| 1763 | Silver Spike Acquisition Corp. II - Class A\* |  | 17789 |
| 53910 | Wells Fargo & Co. |  | 2225944 |
|  |  |  | 24157584 |
| **Health Care: 2.5%** | **Health Care: 2.5%** | **Health Care: 2.5%** | **Health Care: 2.5%** |
| 252248 | 1Life Healthcare, Inc.\* |  | 4215064 |
| 556 | Abbott Laboratories |  | 61043 |
| 720 | AbbVie, Inc. |  | 116359 |
| 67297 | AVEO Pharmaceuticals, Inc.\* |  | 1006090 |
| 622 | Bristol-Myers Squibb Co. |  | 44753 |
| 26357 | Cano Health, Inc.\* |  | 36109 |
| 125 | Elevance Health, Inc. |  | 64121 |
| 42440 | Horizon Therapeutics Plc\* |  | 4829672 |
| 3180 | ICON Plc\* |  | 617715 |
| 16982 | Imago Biosciences, Inc.\* |  | 610503 |
| 580 | Johnson & Johnson |  | 102457 |
| 26937 | LHC Group, Inc.\* |  | 4355444 |
| 312323 | Mediclinic International Plc |  | 1878419 |
| 571 | Merck & Co., Inc. |  | 63353 |
| 94307 | Myovant Sciences Ltd.\* |  | 2542517 |
| 121736 | Signify Health, Inc. - Class A\* |  | 3488954 |
| 65964 | Swedish Orphan Biovitrum AB\* |  | 1365978 |
| 87 | Thermo Fisher Scientific, Inc. |  | 47910 |
| 119 | UnitedHealth Group, Inc. |  | 63091 |
|  |  |  | 25509552 |
| **Industrials: 3.3%** | **Industrials: 3.3%** | **Industrials: 3.3%** | **Industrials: 3.3%** |
| 87958 | Aerojet Rocketdyne Holdings, Inc.\* |  | 4919491 |
| 42227 | Altra Industrial Motion Corp. |  | 2523063 |
| 49871 | Atlas Air Worldwide Holdings, Inc.\* |  | 5026997 |
| 162775 | Atlas Corp.<sup>(a)</sup> |  | 2496969 |
| 310409 | Biffa Plc<sup>(c)</sup> |  | 1527265 |
| 122617 | Caverion Oyj |  | 909175 |
| 142 | Cummins, Inc. |  | 34405 |
| 3695 | CWT Travel Group, Inc. |  | 24941 |
| 160 | Deere & Co. |  | 68602 |
| 372 | Emerson Electric Co. |  | 35734 |
| 9510 | Ferguson Plc |  | 1207485 |
| 82967 | HomeServe Plc\* |  | 1199385 |
| 1 | Hornbeck Offshore Services, Inc. |  | 30 |
| 32790 | Howmet Aerospace, Inc. |  | 1292254 |
| 21880 | LG Corp.\*<sup>(d)</sup> |  | 1351386 |

---

The accompanying notes are an integral part of these financial statements.

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| | |
|:---|:---|
| **40** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Value** | **Value** |
| **COMMON STOCKS (CONTINUED)** | **COMMON STOCKS (CONTINUED)** | **COMMON STOCKS (CONTINUED)** | **COMMON STOCKS (CONTINUED)** |
| **Industrials (continued)** | **Industrials (continued)** | **Industrials (continued)** | **Industrials (continued)** |
| 183 | Lockheed Martin Corp. | $| 89028 |
| 44241 | Maxar Technologies, Inc. |  | 2289029 |
| 538442 | McDermott International Ltd.\* |  | 172302 |
| 590897 | McDermott International Ltd.\* |  | 189087 |
| 29273 | Rush Enterprises, Inc. - Class A |  | 1530393 |
| 12780 | Safran S.A. |  | 1598760 |
| 10290 | Samsung C&T Corp.\*<sup>(d)</sup> |  | 923618 |
| 6585 | Somfy S.A. |  | 1007524 |
| 17500 | Sound Holding FP Luxemburg\*<sup>(b)</sup> |  | 1021015 |
| 23770 | Uber Technologies, Inc.\* |  | 587832 |
| 242 | Union Pacific Corp. |  | 50111 |
| 423 | United Parcel Service, Inc. - Class B |  | 73534 |
| 23770 | Univar Solutions, Inc.\* |  | 755886 |
| 12120 | Westinghouse Air Brake Technologies Corp. |  | 1209697 |
|  |  |  | 34114998 |
| **Information Technology: 4.4%** | **Information Technology: 4.4%** | **Information Technology: 4.4%** | **Information Technology: 4.4%** |
| 173 | Accenture Plc - Class A |  | 46163 |
| 21450 | Analog Devices, Inc. |  | 3518443 |
| 1682 | Apple, Inc. |  | 218542 |
| 54196 | AVEVA Group Plc |  | 2102990 |
| 12184 | Black Knight, Inc.\*<sup>(a)</sup> |  | 752362 |
| 3844 | Broadcom, Inc. |  | 2149296 |
| 726 | Cisco Systems, Inc. |  | 34587 |
| 22138 | Contra Abiomed, Inc.\*<sup>(d)</sup> |  | 44276 |
| 28268 | Coupa Software, Inc.\* |  | 2237978 |
| 79688 | Evo Payments, Inc. - Class A\* |  | 2696642 |
| 55078 | ForgeRock, Inc. - Class A\* |  | 1254126 |
| 104117 | KnowBe4, Inc. - Class A\*<sup>(a)</sup> |  | 2580019 |
| 78290 | Magnachip Semiconductor Corp.\* |  | 735143 |
| 228748 | Micro Focus International Plc |  | 1462515 |
| 902 | Microchip Technology, Inc. |  | 63366 |
| 321 | Microsoft Corp. |  | 76982 |
| 286704 | Momentive Global, Inc.\* |  | 2006928 |
| 7100 | NXP Semiconductors N.V. |  | 1122013 |
| 1500 | Qualcomm, Inc. |  | 164910 |
| 22208 | Rogers Corp.\* |  | 2650303 |
| 200182 | Sierra Wireless, Inc.\* |  | 5803276 |
| 36646 | Silicon Motion Technology Corp. - ADR |  | 2381624 |
| 25520 | TE Connectivity Ltd. |  | 2929696 |
| 326180 | USerTesting, Inc.\* |  | 2449612 |
| 46312 | VMware, Inc. - Class A\*<sup>(a)</sup> |  | 5685261 |
|  |  |  | 45167053 |
| **Materials: 1.3%** | **Materials: 1.3%** | **Materials: 1.3%** | **Materials: 1.3%** |
| 151885 | Cemex SAB de C.V. - ADR\* |  | 615134 |
| 340340 | Glencore Plc |  | 2270523 |
| 13780 | HeidelbergCement AG |  | 785556 |
| 78250 | Holcim AG\* |  | 4053895 |
| 24620 | International Flavors & Fragrances, Inc. |  | 2581161 |
| 960 | Newmont Corp. |  | 45312 |
| 246 | Packaging Corp. of America |  | 31466 |
| 124401 | Resolute Forest Products, Inc.\* |  | 2685817 |
|  |  |  | 13068864 |
| **Real Estate: 0.7%** | **Real Estate: 0.7%** | **Real Estate: 0.7%** | **Real Estate: 0.7%** |
| 270 | American Tower Corp. - REIT |  | 57202 |
| 196175 | STORE Capital Corp. - REIT |  | 6289371 |
| 36019 | Summit Industrial Income REIT |  | 603887 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Value** | **Value** |
| **Real Estate (continued)** | **Real Estate (continued)** | **Real Estate (continued)** | **Real Estate (continued)** |
| 54155 | Swire Pacific Ltd. - Class A | $| 476889 |
| 6130 | Vornado Realty Trust - REIT |  | 127565 |
|  |  |  | 7554914 |
| **Special Purpose Acquisition Companies: 0.3%** | **Special Purpose Acquisition Companies: 0.3%** | **Special Purpose Acquisition Companies: 0.3%** | **Special Purpose Acquisition Companies: 0.3%** |
| 2368 | African Gold Acquisition Corp.\* |  | 24390 |
| 13096 | Agile Growth Corp.\* |  | 133972 |
| 6668 | Ares Acquisition Corp. - Class A\* |  | 67147 |
| 16681 | Atlantic Coastal Acquisition Corp. - Class A\* |  | 167144 |
| 3818 | Bright Bidco B.V. |  | 71110 |
| 8316 | Churchill Capital Corp. VII\* |  | 82828 |
| 13902 | Colonnade Acquisition Corp. II - Class A\* |  | 139993 |
| 7012 | DHC Acquisition Corp. - Class A\* |  | 70681 |
| 972 | Digital Transformation Opportunities Corp.\* |  | 9759 |
| 13902 | Disruptive Acquisition Corp. I\* |  | 146875 |
| 2 | ESM Acquisition Corp.\* |  | 21 |
| 13902 | Flame Acquisition Corp. - Class A\* |  | 139715 |
| 16730 | Forest Road Acquisition Corp. II - Class A\* |  | 167886 |
| 1678 | FTAC Hera Acquisition Corp.\* |  | 16939 |
| 2338 | Fusion Acquisition Corp. II\* |  | 23450 |
| 5221 | Global Partner Acquisition Corp. II\* |  | 52680 |
| 13902 | Golden Arrow Merger Corp. - Class A\* |  | 139229 |
| 8746 | GX Acquisition Corp. II - Class A\* |  | 87547 |
| 13902 | Kismet Acquisition Three Corp.\* |  | 139020 |
| 506 | Lazard Growth Acquisition Corp. I\* |  | 5100 |
| 1510 | Lead Edge Growth Opportunities Ltd.\* |  | 15553 |
| 10143 | Mason Industrial Technology, Inc.\* |  | 101126 |
| 7430 | Northern Star Investment Corp. III - Class A\* |  | 74672 |
| 5739 | Northern Star Investment Corp. IV\* |  | 57677 |
| 7873 | Peridot Acquisition Corp. II\* |  | 79517 |
| 6266 | Pershing Square Tontine Holdings Ltd.\* |  | 0 |
| 13031 | Pine Technology Acquisition Corp. - Class A\* |  | 131613 |
| 13079 | Plum Acquisition Corp. I\* |  | 131967 |
| 3118 | Ross Acquisition Corp. II\* |  | 31710 |
| 9637 | Slam Corp.\* |  | 97334 |
| 9063 | Stratim Cloud Acquisition Corp.\* |  | 95207 |
| 3992 | Tio Tech A - Class A\* |  | 40219 |
| 16730 | TLG Acquisition One Corp. - Class A\* |  | 170311 |
| 13335 | Twelve Seas Investment Co. II\* |  | 134017 |
|  |  |  | 2846409 |
| **Utilities: 1.4%** | **Utilities: 1.4%** | **Utilities: 1.4%** | **Utilities: 1.4%** |
| 480 | Duke Energy Corp. |  | 49435 |
| 30500 | FirstEnergy Corp. |  | 1279170 |
| 851 | NextEra Energy, Inc. |  | 71144 |
| 18080 | PG&E Corp.\* |  | 293981 |
| 140776 | PNM Resources, Inc.<sup>(a)</sup> |  | 6868461 |
| 158769 | South Jersey Industries, Inc. |  | 5641062 |
|  |  |  | 14203253 |
| **TOTAL COMMON STOCKS**<br>(Cost $211,624,780) | **TOTAL COMMON STOCKS**<br>(Cost $211,624,780) |  | 220160746 |
| **RIGHTS/WARRANTS: 0.0%** | **RIGHTS/WARRANTS: 0.0%** | **RIGHTS/WARRANTS: 0.0%** | **RIGHTS/WARRANTS: 0.0%** |
| 1333 | Ares Acquisition Corp.<br> (Expiration date 12/31/27)\* |  | 622 |
| 5560 | Atlantic Coastal Acquisition Corp.<br> (Expiration date 12/31/27)\* |  | 278 |
| 3595 | BigBear.ai Holdings, Inc.<br> (Expiration date 12/31/28)\* |  | 110 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **41** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **RIGHTS/WARRANTS (CONTINUED)** | **RIGHTS/WARRANTS (CONTINUED)** | **RIGHTS/WARRANTS (CONTINUED)** |
| 24 | Biote Corp.<br> (Expiration date 03/05/28)\* | $7 |
| 14913 | BurTech Acquisition Corp.<br> (Expiration date 08/19/23)\*<sup>(d)</sup> | 91 |
| 41180 | Cie Financiere Richemont S.A.<br> (Expiration date 11/22/23)\* | 34309 |
| 2780 | Colonnade Acquisition Corp. II<br> (Expiration date 12/31/27)\* | 170 |
| 2337 | DHC Acquisition Corp.<br> (Expiration date 12/31/27)\* | 35 |
| 2253 | ECARX Holdings, Inc.<br> (Expiration date 12/21/27)\*<sup>(d)</sup> | 221 |
| 6951 | Flame Acquisition Corp.<br> (Expiration date 12/31/28)\*<sup>(d)</sup> | 5074 |
| 3346 | Forest Road Acquisition Corp. II<br> (Expiration date 01/15/26)\* | 1118 |
| 4634 | Golden Arrow Merger Corp.<br> (Expiration date 07/31/26)\* | 39 |
| 7% | GSR II Meteora Acquisition Corp.<br> (Expiration date 07/22/23)\* | 0 |
| 2915 | GX Acquisition Corp. II<br> (Expiration date 12/31/28)\* | 2419 |
| 1333 | Heliogen, Inc.<br> (Expiration date 12/30/26)\* | 100 |
| 389 | Hornbeck Offshore SRVC, Inc.<br> (Expiration date 04/09/30)\* | 97 |
| 11 | Hornbeck Offshore SRVC, Inc.<br> (Expiration date 04/09/30)\* | 330 |
| 834 | Intelsat Jackson Holdings S. A.<br> (Expiration date 12/05/25)\* | 5630 |
| 834 | Intelsat Jackson Holdings S. A.<br> (Expiration date 12/05/25)\* | 6255 |
| 2323 | InterPrivate IV InfraTech Partners, Inc.<br> (Expiration date 12/31/27)\* | 158 |
| 4176 | Landcadia Holdings IV, Inc.<br> (Expiration date 03/29/28)\* | 418 |
| 4247 | MariaDB Plc<br> (Expiration date 12/16/27)\*<sup>(d)</sup> | 1380 |
| 2489 | Metals Acquisition Corp.<br> (Expiration date 07/12/23)\* | 1221 |
| 1238 | Northern Star Investment Corp. III<br> (Expiration date 02/25/28)\* | 378 |
| 4343 | Pine Technology Acquisition Corp.<br> (Expiration date 03/31/28)\* | 7 |
| 145 | Prenetics Global Ltd.<br> (Expiration date 12/31/26)\* | 23 |
| 440 | Silver Spike Acquisition Corp. II<br> (Expiration date 02/26/26)\* | 13 |
| 367 | Swvl Holdings Corp.<br> (Expiration date 03/31/27)\* | 7 |
| 400 | TCW Special Purpose Acquisition Corp.<br> (Expiration date 12/31/28)\* | 0 |
| 5576 | TLG Acquisition One Corp.<br> (Expiration date 01/25/28)\* | 229 |
| 1275 | Virgin Orbit Holdings, Inc.<br> (Expiration date 12/29/26)\* | 230 |
| **TOTAL RIGHTS/WARRANTS**<br> (Cost $199,907) | **TOTAL RIGHTS/WARRANTS**<br> (Cost $199,907) | 60969 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **PREFERRED STOCKS: 0.1%** | **PREFERRED STOCKS: 0.1%** | **PREFERRED STOCKS: 0.1%** |
| **Energy: 0.0%** | **Energy: 0.0%** | **Energy: 0.0%** |
|  | El Paso Energy Capital Trust I | El Paso Energy Capital Trust I |
| 528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 03/31/2028 | $23781 |
|  | Gulfport Energy Operating Corp. | Gulfport Energy Operating Corp. |
| 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.000%, 01/30/2023\*<sup>(b)(d)(e)(f)</sup> | 9000 |
|  |  | 32781 |
| **Financials: 0.1%** | **Financials: 0.1%** | **Financials: 0.1%** |
|  | 2020 Cash Mandatory Exchangeable Trust | 2020 Cash Mandatory Exchangeable Trust |
| 804 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 06/01/2023\*<sup>(c)</sup> | 921802 |
| **Industrials: 0.0%** | **Industrials: 0.0%** | **Industrials: 0.0%** |
|  | Clarivate Plc - Series A | Clarivate Plc - Series A |
| 5548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 06/01/2024 | 210158 |
|  | Element Communication Aviation | Element Communication Aviation |
| 170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%<sup>(b)</sup> | 11602 |
|  | McDermott International, Inc. -<br>(Preference Shares) | McDermott International, Inc. -<br>(Preference Shares) |
| 328 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%\*<sup>(b)(d)</sup> | 196916 |
|  |  | 418676 |
| **Information Technology: 0.0%** | **Information Technology: 0.0%** | **Information Technology: 0.0%** |
|  | Riverbed Holdings Inc. | Riverbed Holdings Inc. |
| 4852 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%\*<sup>(d)</sup> | 3663 |
| **TOTAL PREFERRED STOCKS**<br>(Cost $3,279,004) | **TOTAL PREFERRED STOCKS**<br>(Cost $3,279,004) | 1376922 |
| **Principal<br>Amount^** |  |  |
| **ASSET-BACKED SECURITIES: 8.9%** | **ASSET-BACKED SECURITIES: 8.9%** | **ASSET-BACKED SECURITIES: 8.9%** |
|  | 510 Asset-Backed Trust |  |
| $333675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1-A1 <br>2.240%, 06/25/2061<sup>(c)(g)</sup> | 306715 |
|  | Aaset Trust |  |
| 341058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-A <br>2.950%, 11/16/2041<sup>(c)</sup> | 273461 |
|  | Accelerated Assets LLC |  |
| 103524 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1-B <br>4.510%, 12/02/2033<sup>(c)</sup> | 98815 |
|  | Adams Outdoor Advertising L.P. |  |
| 811798 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1-A <br>4.810%, 11/15/2048<sup>(c)</sup> | 771332 |
|  | AGL CLO 3 Ltd. |  |
| 320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A-C <br>6.229%, 01/15/2033<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 2.150% | 303290 |
| 470000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A-D <br>7.379%, 01/15/2033<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 3.300% | 442861 |
|  | AIM Aviation Finance Ltd. |  |
| 637452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A-B1 <br>7.072%, 02/15/2040<sup>(c)(g)</sup> | 224418 |
|  | Aimco CLO 14 Ltd. |  |
| 1010000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-14A-D <br>7.143%, 04/20/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 2.900% | 936363 |
|  | American Homes 4 Rent Trust |  |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR3-E <br>6.418%, 12/17/2036<sup>(c)</sup> | 592971 |
| 845000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SFR1-E <br>5.639%, 04/17/2052<sup>(c)</sup> | 822873 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **42** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** |
|  | AMSR Trust |  |
| $1800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR5-G <br>4.112%, 11/17/2037<sup>(c)</sup> | $1607266 |
| 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1-G <br>4.612%, 06/17/2038<sup>(c)(i)</sup> | 4008228 |
|  | Apidos CLO XX |  |
| 265000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-20A-BRR <br>6.029%, 07/16/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 1.950% | 253186 |
|  | Apidos CLO XXIV |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-24A-DR <br>10.043%, 10/20/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.800% | 846462 |
|  | ARES LX CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-60A-D <br>7.144%, 07/18/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 2.950% | 464906 |
|  | Atrium CLO XIII |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 13A-E <br>10.375%, 11/21/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.050% | 445262 |
|  | Atrium CLO XIV LLC |  |
| 750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 14A-E <br>9.729%, 08/23/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.650% | 671757 |
|  | Avid Automobile Receivables Trust |  |
| 157211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1-C <br>3.140%, 07/15/2026<sup>(c)</sup> | 156426 |
|  | Avis Budget Rental Car Funding AESOP LLC |  |
| 355000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A-C <br>4.250%, 02/20/2027<sup>(c)</sup> | 317869 |
|  | Bain Capital Credit CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A-D <br>7.229%, 07/16/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 3.150% | 464126 |
|  | Barings CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4A-E <br>9.899%, 10/15/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.820% | 427114 |
|  | BHG Securitization Trust |  |
| 545000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A-B <br>2.700%, 02/20/2035<sup>(c)</sup> | 475239 |
|  | Blackbird Capital Aircraft Lease Securitization Ltd. |  |
| 224960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A-A <br>4.213%, 12/16/2041<sup>(c)(g)</sup> | 184509 |
|  | Bristol Park CLO Ltd. |  |
| 260000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A-CR <br>6.029%, 04/15/2029<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 1.950% | 247586 |
|  | Buttermilk Park CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A-E <br>9.829%, 10/15/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.750% | 634552 |
|  | Canyon Capital CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A-ER <br>9.829%, 07/15/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.750% | 770802 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| $500000 | Series 2018-1A-E <br>9.829%, 07/15/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.750% | $396345 |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A-E <br>10.379%, 10/15/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.300% | 892211 |
|  | Carlyle Global Market Strategies CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2RA-D <br>9.956%, 05/15/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.350% | 404278 |
|  | Carlyle US CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-D <br>10.079%, 04/15/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.000% | 441530 |
|  | Carvana Auto Receivables Trust |  |
| 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N1-R <br>0.010%, 01/10/2028\*<sup>(c)(d)</sup> | 625904 |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4-D <br>2.300%, 09/11/2028 | 136342 |
|  | Castlelake Aircraft Securitization Trust |  |
| 4300859 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1-C <br>6.625%, 06/15/2043<sup>(c)</sup> | 2151512 |
|  | Castlelake Aircraft Structured Trust |  |
| 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-E <br>0.010%, 04/15/2039\*<sup>(c)(d)</sup> | 210000 |
| 894513 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-A <br>3.474%, 01/15/2046<sup>(c)</sup> | 753032 |
|  | Catskill Park CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A-D <br>10.243%, 04/20/2029<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.000% | 832213 |
|  | Chenango Park CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A-D <br>9.879%, 04/15/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.800% | 403318 |
|  | CIFC Funding CLO Ltd. |  |
| 205000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A-A3LR <br>6.144%, 10/18/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 1.950% | 193544 |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4A-D <br>10.425%, 10/24/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.100% | 433887 |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A-DR <br>10.879%, 10/16/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.800% | 461084 |
|  | Cologix Data Centers US Issuer LLC |  |
| 1500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-C <br>5.990%, 12/26/2051<sup>(c)</sup> | 1269094 |
|  | Cook Park CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A-E <br>9.479%, 04/17/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.400% | 794306 |
|  | Corevest American Finance Trust |  |
| 305000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4-C <br>2.250%, 12/15/2052<sup>(c)</sup> | 240402 |
|  | Credit Acceptance Auto Loan Trust |  |
| 275000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A-C <br>2.280%, 02/15/2030<sup>(c)</sup> | 259302 |
|  | CSAB Mortgage-Backed Trust |  |
| 1857684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2-A6B <br>6.200%, 09/25/2036<sup>(g)</sup> | 166180 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **43** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** |
|  | Diamond Resorts Owner Trust |  |
| $85553 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-B <br>3.530%, 02/20/2032<sup>(c)</sup> | $83482 |
|  | Dryden 40 Senior Loan Fund CLO |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-40A-ER <br>10.356%, 08/15/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.750% | 804749 |
|  | Dryden 45 Senior Loan Fund CLO |  |
| 275000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-45A-ER <br>9.929%, 10/15/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.850% | 224913 |
|  | Dryden 55 CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-55A-F <br>11.279%, 04/15/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 7.200% | 372180 |
|  | DT Auto Owner Trust |  |
| 270000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A-D <br>1.840%, 06/15/2026<sup>(c)(i)</sup> | 252402 |
| 545000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A D <br>5.460%, 03/15/2028<sup>(c)</sup> | 514174 |
|  | Education Funding Trust |  |
| 293782 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A-A <br>2.790%, 07/25/2041<sup>(c)(i)</sup> | 271485 |
|  | Elevation CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-14A-C <br>6.543%, 10/20/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 2.300% | 459415 |
|  | Fillmore Park CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A-E <br>9.479%, 07/15/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.400% | 447513 |
|  | First Investors Auto Owner Trust |  |
| 365000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A-E <br>3.880%, 01/15/2026<sup>(c)(i)</sup> | 353346 |
|  | FirstKey Homes Trust |  |
| 1010000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2-F1 <br>3.017%, 10/19/2037<sup>(c)</sup> | 879281 |
|  | Flagship Credit Auto Trust |  |
| 755000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1-D <br>3.640%, 03/15/2028<sup>(c)</sup> | 674489 |
|  | FMC GMSR Issuer Trust |  |
| 1900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT1-B <br>4.360%, 07/25/2026<sup>(c)(i)</sup> | 1446043 |
| 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT2-B <br>4.440%, 10/25/2026<sup>(c)(i)</sup> | 1859161 |
|  | Galaxy XIX CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-19A-D1R <br>10.855%, 07/24/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.530% | 831526 |
|  | Gilbert Park CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A-E <br>10.479%, 10/15/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.400% | 419664 |
|  | GLS Auto Receivables Issuer Trust |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A-E <br>4.430%, 10/16/2028<sup>(c)(i)</sup> | 834409 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
|  | Greystone Commercial Real Estate Notes Ltd. |  |
| $355000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HC2-A <br>6.250%, 12/15/2039<sup>(c)(h)(i)</sup> <br>TSFR1M + 1.914% | $345190 |
|  | GSAA Home Equity Trust |  |
| 545360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-10-AF5 <br>6.948%, 06/25/2036<sup>(g)</sup> | 145522 |
|  | Hayfin US CLO XII Ltd. |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-12A-D <br>8.403%, 01/20/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 4.160% | 290833 |
|  | Hertz Vehicle Financing III LLC |  |
| 357000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A D <br>4.850%, 06/25/2026<sup>(c)</sup> | 316082 |
| 366000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A D <br>6.310%, 03/25/2025<sup>(c)</sup> | 351856 |
|  | Hertz Vehicle Financing LLC |  |
| 270000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4A-D <br>6.560%, 09/25/2026<sup>(c)</sup> | 249497 |
|  | Highbridge Loan Management CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A-DR <br>10.843%, 10/20/2029<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.600% | 406502 |
|  | Hilton Grand Vacations Trust |  |
| 58652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-AA-C <br>4.000%, 02/25/2032<sup>(c)</sup> | 55938 |
|  | Horizon Aircraft Finance I Ltd. |  |
| 3100538 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1-C <br>6.657%, 12/15/2038<sup>(c)</sup> | 1285210 |
|  | Kestrel Aircraft Funding Ltd. |  |
| 473439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A-A <br>4.250%, 12/15/2038<sup>(c)</sup> | 375010 |
|  | LCM CLO 26 Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 26A-E <br>9.543%, 01/20/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.300% | 382742 |
|  | LCM CLO XVII L.P. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 17A-ER <br>10.079%, 10/15/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.000% | 743537 |
|  | LCM CLO XX L.P. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 20A-ER <br>9.693%, 10/20/2027<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.450% | 453044 |
|  | LCM Loan Income Fund I Income Note Issuer CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 27A-E <br>9.679%, 07/16/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.600% | 381267 |
|  | Lehman XS Trust |  |
| 1893333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6-3A3A <br>6.260%, 11/25/2035<sup>(g)</sup> | 955552 |
|  | Madison Park Funding CLO XLV Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-45A ER <br>10.429%, 07/15/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.350% | 459870 |
|  | Madison Park Funding CLO XXVI Ltd. |  |
| 445000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4A-DR <br>7.415%, 07/29/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 3.000% | 415533 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **44** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** |
|  | Madison Park Funding CLO XXXVIII Ltd. |  |
| $500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-38A-E <br>10.079%, 07/17/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.000% | $444668 |
|  | MAPS Ltd. |  |
| 406840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A-A <br>4.212%, 05/15/2043<sup>(c)</sup> | 363707 |
| 167343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-A <br>4.458%, 03/15/2044<sup>(c)</sup> | 147099 |
|  | Marlette Funding Trust |  |
| 1065000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A-D <br>3.390%, 04/15/2032<sup>(c)(i)</sup> | 939790 |
|  | Milos CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A-ER <br>10.393%, 10/20/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.150% | 437891 |
|  | Mosaic Solar Loans LLC |  |
| 916294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A-B <br>4.770%, 06/22/2043<sup>(c)(i)</sup> | 854493 |
|  | MVW LLC |  |
| 38641 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-C <br>4.210%, 10/20/2037<sup>(c)</sup> | 36224 |
|  | MVW Owner Trust |  |
| 40827 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-C <br>3.330%, 11/20/2036<sup>(c)</sup> | 37800 |
| 298180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1WA-D <br>3.170%, 01/22/2041<sup>(c)</sup> | 271444 |
|  | Myers Park CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A-E <br>9.743%, 10/20/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.500% | 868415 |
|  | Navient Private Education Refi Loan Trust |  |
| 260000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-A-B <br>3.680%, 02/18/2042<sup>(c)</sup> | 247025 |
| 855000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-FA-B <br>3.120%, 08/15/2068<sup>(c)</sup> | 696448 |
| 180000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-GA-B <br>3.080%, 10/15/2068<sup>(c)</sup> | 144129 |
| 320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-FA-B <br>2.690%, 07/15/2069<sup>(c)</sup> | 260816 |
|  | Neuberger Berman CLO XVI-S Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-16SA-ER <br>10.329%, 04/15/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.250% | 438032 |
|  | Neuberger Berman Loan Advisers CLO 24 Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-24A-E <br>10.247%, 04/19/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.020% | 883248 |
|  | Neuberger Berman Loan Advisers CLO 26 Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-26A-INC <br>0.000%, 10/18/2030<sup>(c)(i)</sup> | 503845 |
|  | Neuberger Berman Loan Advisers CLO 37 Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-37A-ER <br>9.993%, 07/20/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.750% | 469092 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
|  | Ocean Trails CLO V |  |
| $700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-5A-DRR <br>7.391%, 10/13/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 3.450% | $589283 |
|  | Octagon Investment Partners CLO 26 Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A-FR <br>12.169%, 07/15/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 8.090% | 732231 |
|  | Octagon Investment Partners CLO 29 Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A-DR <br>7.425%, 01/24/2033<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 3.100% | 454525 |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A-ER <br>11.575%, 01/24/2033<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 7.250% | 882832 |
|  | Octagon Investment Partners CLO 39 Ltd. |  |
| 275000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A-E <br>9.993%, 10/20/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.750% | 242007 |
|  | Octagon Investment Partners CLO 40 Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-ER <br>11.243%, 01/20/2035<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 7.000% | 449543 |
|  | Octagon Investment Partners CLO XVI Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A-ER <br>9.829%, 07/17/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.750% | 813879 |
| 1500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A-SUB <br>0.000%, 07/17/2030<sup>(c)(i)</sup> | 274355 |
|  | Octagon Investment Partners CLO XXI Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1A-DRR <br>11.650%, 02/14/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 7.000% | 431479 |
|  | OHA Credit Funding CLO 5 Ltd. |  |
| 475000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5A-C <br>6.194%, 04/18/2033<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 2.000% | 453250 |
|  | OneMain Financial Issuance Trust |  |
| 290000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-B <br>4.830%, 05/14/2032<sup>(c)</sup> | 285703 |
| 265000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A-C <br>2.760%, 09/14/2035<sup>(c)</sup> | 221966 |
|  | Pagaya AI Debt Selection Trust |  |
| 800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5-CERT <br>0.000%, 08/15/2029\*<sup>(c)(d)</sup> | 676416 |
|  | Planet Fitness Master Issuer LLC |  |
| 756600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-A2 <br>3.858%, 12/05/2049<sup>(c)</sup> | 630069 |
|  | Prestige Auto Receivables Trust |  |
| 330000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-E <br>3.900%, 05/15/2026<sup>(c)</sup> | 324018 |
| 210000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-E <br>3.670%, 02/15/2028<sup>(c)</sup> | 205842 |
|  | Progress Residential Trust |  |
| 255000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3-F <br>2.796%, 10/17/2027<sup>(c)</sup> | 223718 |
| 140000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1-F <br>2.757%, 04/17/2038<sup>(c)</sup> | 118196 |
| 3499187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10-F <br>4.608%, 12/17/2040<sup>(c)</sup> | 2880817 |
| 170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2-E2 <br>2.647%, 04/19/2038<sup>(c)</sup> | 144222 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **45** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** |
| $7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2-G <br>4.254%, 04/19/2038<sup>(c)</sup> | $5978549 |
| 355000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3-F <br>3.436%, 05/17/2026<sup>(c)</sup> | 303591 |
| 735000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR4-F <br>3.407%, 05/17/2038<sup>(c)</sup> | 627278 |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR5-F <br>3.158%, 07/17/2038<sup>(c)</sup> | 207087 |
| 125000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6-E2 <br>2.525%, 07/17/2038<sup>(c)</sup> | 102799 |
| 835000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR7-F <br>3.834%, 08/17/2040<sup>(c)</sup> | 671160 |
|  | Rockford Tower CLO Ltd. |  |
| 700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A-CR <br>5.979%, 10/15/2029<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 1.900% | 667071 |
|  | RR CLO 2 Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A-DR <br>9.879%, 04/15/2036<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.800% | 440333 |
|  | RR CLO 6 Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-6A-DR <br>9.929%, 04/15/2036<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.850% | 431261 |
|  | S-Jets Ltd. |  |
| 875710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1-A <br>3.967%, 08/15/2042<sup>(c)</sup> | 680745 |
|  | Santander Drive Auto Receivables Trust |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2-D <br>2.220%, 09/15/2026 | 292255 |
|  | SCF Equipment Leasing LLC |  |
| 295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-E <br>3.560%, 08/20/2032<sup>(c)</sup> | 262238 |
|  | Sierra Timeshare Receivables Funding LLC |  |
| 171268 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A-C <br>3.510%, 07/20/2037<sup>(c)</sup> | 161702 |
|  | Slam Ltd. |  |
| 231081 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-B <br>3.422%, 06/15/2046<sup>(c)</sup> | 189558 |
|  | SLM Private Credit Student Loan Trust |  |
| 134000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A-A3 <br>7.884%, 06/15/2032<sup>(h)(i)</sup> | 130873 |
| 420000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-B-A3 <br>7.770%, 03/15/2033<sup>(h)(i)</sup> | 410153 |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-B-A4 <br>7.826%, 03/15/2033<sup>(h)(i)</sup> | 48828 |
|  | SoFi Professional Loan Program LLC |  |
| 133000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-F-R1 <br>0.010%, 01/25/2041\*<sup>(c)(d)(j)</sup> | 1806234 |
|  | SoFi Professional Loan Program Trust |  |
| 360000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A-BFX <br>3.120%, 05/15/2046<sup>(c)</sup> | 303699 |
| 45000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A-R1 <br>0.010%, 05/15/2046\*<sup>(c)(d)(j)</sup> | 1393122 |
|  | Sound Point CLO XXXII Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A-E <br>11.058%, 10/25/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.700% | 398138 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
|  | SpringCastle America Funding LLC |  |
| $446026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA-A <br>1.970%, 09/25/2037<sup>(c)</sup> | $402945 |
|  | Stewart Park CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A-ER <br>9.359%, 01/15/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.280% | 393103 |
|  | Textainer Marine Containers VII Ltd. |  |
| 85622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-A <br>2.730%, 08/21/2045<sup>(c)</sup> | 77711 |
| 191641 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-B <br>2.520%, 02/20/2046<sup>(c)</sup> | 159865 |
|  | THL Credit Wind River CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2A-INC <br>0.010%, 01/15/2031\*<sup>(c)(d)(i)</sup> | 75918 |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A-ER <br>11.129%, 04/15/2035<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 7.050% | 452634 |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A-E <br>9.829%, 07/15/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.750% | 413976 |
|  | TICP CLO VII Ltd. |  |
| 280000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A-CR <br>6.229%, 04/15/2033<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 2.150% | 267921 |
|  | TICP CLO XV Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-15A-C <br>6.393%, 04/20/2033<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 2.150% | 231193 |
|  | Towd Point Mortgage Trust |  |
| 310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5-M1 <br>3.250%, 07/25/2058<sup>(c)(i)</sup> | 249697 |
| 385000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2-M1 <br>3.750%, 12/25/2058<sup>(c)(i)</sup> | 310064 |
|  | Trestles CLO II Ltd. |  |
| 335000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A-D <br>10.108%, 07/25/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.750% | 275568 |
|  | Tricon American Homes Trust |  |
| 290000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2-E1 <br>2.730%, 11/17/2039<sup>(c)</sup> | 238392 |
|  | Unity-Peace Park CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A-E <br>11.138%, 04/20/2035<sup>(c)(h)(i)</sup> <br>TSFR3M + 7.175% | 452083 |
|  | Upstart Pass-Through Trust |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ST8-CERT <br>0.010%, 10/20/2029\*<sup>(c)(d)(j)</sup> | 328305 |
| 929000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ST9-CERT <br>0.010%, 11/20/2029<sup>(c)</sup>\*<sup>(d)</sup> | 309571 |
|  | Upstart Securitization Trust |  |
| 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2-CERT <br>0.010%, 06/20/2031\*<sup>(d)</sup> | 223309 |
|  | VCAT LLC |  |
| 233496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL5-A1 <br>1.868%, 08/25/2051<sup>(c)(g)</sup> | 205959 |
|  | VOLT XCIII LLC |  |
| 645701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL2-A1 <br>1.893%, 02/27/2051<sup>(c)(g)(i)</sup> | 585677 |
|  | VOLT XCIV LLC |  |
| 675000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL3-A2 <br>4.949%, 02/27/2051<sup>(c)(g)(i)</sup> | 585030 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **46** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** |
|  | Voya CLO Ltd. |  |  |
| $500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A-E <br>9.329%, 07/15/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.250% | $| 385550 |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-ER <br>10.199%, 04/15/2031<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.120% |  | 409318 |
|  | WAVE Trust |  |  |
| 393900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A-A <br>3.844%, 11/15/2042<sup>(c)</sup> |  | 299368 |
|  | Webster Park CLO Ltd. |  |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A-DR <br>9.743%, 07/20/2030<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 5.500% |  | 811966 |
|  | Wendy's Funding LLC |  |  |
| 172900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-A2II <br>4.080%, 06/15/2049<sup>(c)(i)</sup> |  | 154118 |
|  | Willis Engine Structured Trust |  |  |
| 211065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A-A <br>3.228%, 03/15/2045<sup>(c)</sup> |  | 163095 |
| 1601947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A-C <br>7.385%, 05/15/2046<sup>(c)</sup> |  | 1314232 |
|  | Wind River CLO Ltd. |  |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A-E <br>10.673%, 07/20/2034<sup>(c)(h)(i)</sup> <br>3 mo. USD LIBOR + 6.430% |  | 441310 |
| **TOTAL ASSET-BACKED SECURITIES**<br>(Cost $125,040,170) | **TOTAL ASSET-BACKED SECURITIES**<br>(Cost $125,040,170) |  | 90957359 |
| **BANK LOANS: 1.5%** | **BANK LOANS: 1.5%** | **BANK LOANS: 1.5%** | **BANK LOANS: 1.5%** |
|  | Air Methods Corp. |  |  |
| 562680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.230%, 04/22/2024<sup>(h)</sup> <br>3 mo. LIBOR + 3.500% |  | 318688 |
|  | Applied Systems, Inc. |  |  |
| 450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.330%, 09/17/2027<sup>(h)</sup> <br>3 mo. LIBOR + 5.500% |  | 447469 |
|  | Astra Acquisition Corp. |  |  |
| 266783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.634%, 10/25/2028<sup>(h)</sup> <br>1 mo. LIBOR + 5.250% |  | 236770 |
| 1069743 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13.259%, 10/25/2029<sup>(h)</sup> <br>1 mo. LIBOR + 8.875% |  | 962768 |
|  | Asurion LLC |  |  |
| 160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.634%, 01/31/2028<sup>(h)</sup> <br>1 mo. LIBOR + 5.250% |  | 125733 |
|  | Atlas Purchaser, Inc. |  |  |
| 620772 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.807%, 05/08/2028<sup>(h)</sup> <br>3 mo. LIBOR + 5.250% |  | 439584 |
|  | Aveanna Healthcare LLC |  |  |
| 705000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.389%, 12/10/2029<sup>(h)</sup> <br>1 mo. LIBOR + 7.000% |  | 423000 |
|  | Blackhawk Network Holdings, Inc. |  |  |
| 125000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.938%, 06/15/2026<sup>(h)</sup> <br>3 mo. LIBOR + 7.000% |  | 107719 |
|  | Bright Bidco B.V. |  |  |
| 125427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12.094%, 10/31/2027<sup>(h)</sup> <br>3 mo. SOFR + 8.000% |  | 110166 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
|  | BYJU's Alpha, Inc. |  |
| $321750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.699%, 11/24/2026<sup>(h)</sup> <br>1 mo. LIBOR + 6.000% | $259467 |
|  | Cengage Learning, Inc. |  |
| 399938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.814%, 07/14/2026<sup>(h)</sup> <br>6 mo. LIBOR + 4.750% | 360632 |
|  | Constant Contact, Inc. |  |
| 875000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.409%, 02/12/2029<sup>(h)</sup> <br>3 mo. LIBOR + 7.500% | 675207 |
|  | Cornerstone OnDemand, Inc. |  |
| 23940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 10/16/2028<sup>(k)</sup> | 21486 |
|  | Cyxtera DC Holdings, Inc. |  |
| 461300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.360%, 05/01/2024<sup>(h)</sup> <br>3 mo. LIBOR + 3.000% | 395421 |
|  | DCert Buyer, Inc. |  |
| 485000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.696%, 02/19/2029<sup>(h)</sup> <br>6 mo. LIBOR + 7.000% | 444745 |
|  | DG Investment Intermediate Holdings 2, Inc. |  |
| 420000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.073%, 03/30/2029<sup>(h)</sup> <br>1 mo. LIBOR + 6.750% | 373099 |
|  | Edgewater Generation LLC |  |
| 234888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.134%, 12/13/2025<sup>(h)</sup> <br>1 mo. LIBOR + 3.750% | 223614 |
|  | Envision Healthcare Corp. |  |
| 1022394 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.330%, 03/31/2027<sup>(h)</sup> <br>3 mo. SOFR + 3.750% | 272637 |
| 417569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.830%, 03/31/2027<sup>(h)</sup> <br>3 mo. SOFR + 4.250% | 146149 |
|  | Farfetch US Holdings, Inc. |  |
| 211000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.179%, 10/20/2027<sup>(h)</sup> <br>3 mo. SOFR + 6.250% | 192010 |
|  | Finastra USA, Inc. |  |
| 452668 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.871%, 06/13/2024<sup>(h)</sup> <br>3 mo. LIBOR + 3.500% | 401553 |
| 405000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.621%, 06/13/2025<sup>(h)</sup> <br>3 mo. LIBOR + 7.250% | 304039 |
|  | Gulf Finance LLC |  |
| 411592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.970%, 08/25/2026<sup>(h)</sup> <br>1 mo. LIBOR + 6.750% | 389639 |
|  | Intelsat Jackson Holdings S.A. |  |
| 369151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.445%, 02/01/2029<sup>(h)</sup> <br>SOFR + 4.500% | 357154 |
|  | Kenan Advantage Group, Inc. |  |
| 220000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.634%, 09/01/2027<sup>(h)</sup> <br>1 mo. LIBOR + 7.250% | 204234 |
|  | Lealand Finance Company B.V. |  |
| 273000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 06/28/2024<sup>(k)</sup> | 156975 |
| 51237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.384%, 06/28/2024<sup>(h)</sup> <br>1 mo. LIBOR + 3.000% | 33304 |
| 956546 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 06/30/2024<sup>(k)</sup> | 550014 |
| 581126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.743%, 06/30/2024 | 334147 |
| 571532 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 06/30/2025<sup>(k)</sup> | 306790 |
| 788972 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.384%, 06/30/2025<sup>(h)(f)</sup> <br>1 mo. LIBOR + 1.000% Cash, 3.000% PIK | 423508 |
|  | LSF9 Atlantis Holdings LLC |  |
| 241938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.830%, 03/31/2029<sup>(h)</sup> <br>3 mo. SOFR + 7.250% | 235708 |
|  | McDermott Technology Americas, Inc. |  |
| 39898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 05/09/2025<sup>(k)</sup> | 21417 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **47** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **BANK LOANS (CONTINUED)** | **BANK LOANS (CONTINUED)** | **BANK LOANS (CONTINUED)** | **BANK LOANS (CONTINUED)** |
|  | Mediaco Holding, Inc. |  |  |
| $8987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.160%, 11/21/2024<sup>(b)(f)(h)</sup> <br>1 mo. LIBOR + 6.400% Cash, 1.000% PIK | $| 8358 |
|  | Minotaur Acquisition, Inc. |  |  |
| 451846 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.173%, 03/27/2026<sup>(h)</sup> <br>1 mo. SOFR + 4.750% |  | 433208 |
|  | Playtika Holding Corp. |  |  |
| 474214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.134%, 03/13/2028 <br>1 mo. LIBOR + 2.750% |  | 453764 |
|  | Riverbed Technology, Inc. |  |  |
| 559492 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12.540%, 12/07/2026<sup>(f)(h)</sup> <br>3 mo. LIBOR + 6.000% Cash, 2.000% PIK |  | 241841 |
|  | Sweetwater Borrower LLC |  |  |
| 179572 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.688%, 08/07/2028<sup>(h)</sup> <br>1 mo. LIBOR + 4.250% |  | 167002 |
|  | Team Health Holdings, Inc. |  |  |
| 493548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.134%, 02/06/2024<sup>(h)</sup> <br>1 mo. LIBOR + 2.750% |  | 424451 |
|  | Travel Leaders Group LLC |  |  |
| 575136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.384%, 01/25/2024<sup>(h)</sup> <br>1 mo. LIBOR + 4.000% |  | 528766 |
|  | Travelport Finance (Luxembourg) S.A.R.L. |  |  |
| 874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.730%, 03/31/2023<sup>(h)(f)</sup> <br>3 mo. LIBOR + 6.750% |  | 596 |
|  | Ultimate Software Group, Inc. (The) |  |  |
| 765000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.998%, 05/03/2027<sup>(h)</sup> <br>1 mo. LIBOR + 5.250% |  | 705904 |
|  | Vantage Specialty Chemicals, Inc. |  |  |
| 469704 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.915%, 10/28/2024<sup>(h)</sup> <br>3 mo. LIBOR + 3.500% |  | 459781 |
|  | Viad Corp. |  |  |
| 375250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.384%, 07/30/2028<sup>(h)</sup> <br>1 mo. LIBOR + 5.000% |  | 355902 |
|  | Waterbridge Midstream Operating LLC |  |  |
| 473784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.127%, 06/22/2026<sup>(h)</sup> <br>3 mo. LIBOR + 5.750% |  | 456683 |
|  | Ziggo B.V. |  |  |
| 490,000 (EUR) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.764%, 01/31/2029 <br>6 mo. EURIBOR + 3.000% |  | 485482 |
| **TOTAL BANK LOANS**<br>(Cost $19,199,253) | **TOTAL BANK LOANS**<br>(Cost $19,199,253) |  | 14976584 |
| **CONVERTIBLE BONDS: 1.4%** | **CONVERTIBLE BONDS: 1.4%** | **CONVERTIBLE BONDS: 1.4%** | **CONVERTIBLE BONDS: 1.4%** |
| **Communications: 0.6%** | **Communications: 0.6%** | **Communications: 0.6%** | **Communications: 0.6%** |
|  | Cable One, Inc. |  |  |
| 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 03/15/2026<sup>(d)</sup> |  | 3953 |
|  | Delivery Hero SE |  |  |
| 1,400,000 (EUR) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 01/23/2027 |  | 1191679 |
| 100,000 (EUR) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 04/30/2026 |  | 80496 |
|  | DISH Network Corp. |  |  |
| 700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 12/15/2025<sup>(d)</sup> |  | 447958 |
| 3050000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 08/15/2026 |  | 1918450 |
|  | SNAP, Inc. |  |  |
| 370000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.010%, 05/01/2027<sup>(d)</sup> |  | 260295 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **Communications (continued)** | **Communications (continued)** | **Communications (continued)** | **Communications (continued)** |
|  | Spotify USA, Inc. |  |  |
| $335000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.010%, 03/15/2026<sup>(d)</sup> | $| 271350 |
|  | Uber Technologies, Inc. |  |  |
| 520000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 12/15/2025<sup>(d)</sup> |  | 440573 |
|  | Wayfair, Inc. |  |  |
| 1362000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.625%, 10/01/2025 |  | 894153 |
| 42000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 08/15/2026 |  | 23995 |
|  | Zillow Group, Inc. |  |  |
| 27000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 05/15/2025 |  | 25812 |
| 269000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 09/01/2026 |  | 273707 |
|  |  |  | 5832421 |
| **Consumer, Cyclical: 0.2%** | **Consumer, Cyclical: 0.2%** | **Consumer, Cyclical: 0.2%** | **Consumer, Cyclical: 0.2%** |
|  | Cineplex, Inc. |  |  |
| 1,041,000 (CAD) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 09/30/2025<sup>(c)</sup> |  | 736896 |
|  | JetBlue Airways Corp. |  |  |
| 195000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.500%, 04/01/2026 |  | 143145 |
|  | Lightning eMotors, Inc. |  |  |
| 182000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 05/15/2024<sup>(c)</sup> |  | 37310 |
|  | NCL Corp. Ltd. |  |  |
| 440000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 02/15/2027 |  | 300872 |
|  | Peloton Interactive, Inc. |  |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 02/15/2026<sup>(d)</sup> |  | 35522 |
|  | Penn Entertainment, Inc. |  |  |
| 130000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 05/15/2026 |  | 192270 |
|  | Southwest Airlines Co. |  |  |
| 735000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.250%, 05/01/2025 |  | 885491 |
|  |  |  | 2331506 |
| **Consumer, Non-cyclical: 0.4%** | **Consumer, Non-cyclical: 0.4%** | **Consumer, Non-cyclical: 0.4%** | **Consumer, Non-cyclical: 0.4%** |
|  | BioMarin Pharmaceutical, Inc. |  |  |
| 1230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.250%, 05/15/2027 |  | 1327860 |
|  | Guardant Health, Inc. |  |  |
| 215000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 11/15/2027<sup>(d)</sup> |  | 134784 |
|  | Ionis Pharmaceuticals, Inc. |  |  |
| 145000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 04/01/2026<sup>(d)</sup> |  | 134578 |
|  | Livongo Health, Inc. |  |  |
| 570000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 06/01/2025 |  | 499485 |
|  | Teladoc Health, Inc. |  |  |
| 865000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.250%, 06/01/2027<sup>(i)</sup> |  | 668813 |
|  | UpHealth, Inc. |  |  |
| 937000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13.300%, 12/15/2025<sup>(c)(h)(i)</sup> <br>SOFR + 9.000% |  | 888276 |
| 533000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 06/15/2026<sup>(c)</sup> |  | 156902 |
|  |  |  | 3810698 |
| **Technology: 0.2%** | **Technology: 0.2%** | **Technology: 0.2%** | **Technology: 0.2%** |
|  | Bentley Systems, Inc. |  |  |
| 20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 07/01/2027 |  | 16380 |
|  | Bilibili, Inc. |  |  |
| 315000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.500%, 12/01/2026<sup>(c)</sup> |  | 233100 |
|  | Kaleyra, Inc. |  |  |
| 1191000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 06/01/2026<sup>(c)</sup> |  | 932063 |
|  | Nutanix, Inc. |  |  |
| 325000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.250%, 10/01/2027 |  | 273487 |
|  | RingCentral, Inc. |  |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.010%, 03/15/2026<sup>(d)</sup> |  | 237000 |
|  | Splunk, Inc. |  |  |
| 545000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 06/15/2027 |  | 462596 |
|  | Unity Software, Inc. |  |  |
| 345000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 11/15/2026<sup>\*(d)</sup> |  | 259958 |
|  | Wolfspeed, Inc. |  |  |
| 60000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.250%, 02/15/2028<sup>(c)</sup> |  | 52020 |
| 75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 12/01/2029<sup>(c)</sup> |  | 67913 |
|  |  |  | 2534517 |
| **TOTAL CONVERTIBLE BONDS**<br>(Cost $18,072,403) | **TOTAL CONVERTIBLE BONDS**<br>(Cost $18,072,403) |  | 14509142 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **48** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **CORPORATE BONDS: 21.3%** | **CORPORATE BONDS: 21.3%** | **CORPORATE BONDS: 21.3%** |
| **Basic Materials: 1.8%** | **Basic Materials: 1.8%** | **Basic Materials: 1.8%** |
|  | Aris Mining Corp. |  |
| $200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 08/09/2026 | $157102 |
|  | Ashland LLC |  |
| 3455000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 09/01/2031<sup>(c)</sup> | 2765412 |
|  | ASP Unifrax Holdings, Inc. |  |
| 260000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 09/30/2029<sup>(c)</sup> | 165360 |
|  | ATI, Inc. |  |
| 1070000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 10/01/2029 | 946955 |
| 1041000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 10/01/2031 | 921753 |
|  | Braskem Idesa SAPI |  |
| 450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.990%, 02/20/2032<sup>(c)</sup> | 319647 |
|  | Braskem Netherlands Finance B.V. |  |
| 560000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 01/31/2030<sup>(c)</sup> | 478010 |
|  | CAP S.A. |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.900%, 04/27/2031 | 234624 |
|  | Cia de Minas Buenaventura S.A.A. |  |
| 360000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 07/23/2026<sup>(c)</sup> | 312840 |
|  | Commercial Metals Co. |  |
| 90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 03/15/2032 | 78424 |
|  | Eldorado Gold Corp. |  |
| 1660000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 09/01/2029<sup>(c)</sup> | 1454379 |
|  | First Quantum Minerals Ltd. |  |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 04/01/2025<sup>(c)(i)</sup> | 585240 |
| 1035000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 03/01/2026<sup>(c)(i)</sup> | 981704 |
| 740000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 10/15/2027<sup>(c)(i)</sup> | 695810 |
|  | FMG Resources August 2006 Pty Ltd. |  |
| 350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 09/15/2027<sup>(c)</sup> | 323477 |
| 1120000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 04/15/2032<sup>(c)</sup> | 1046130 |
|  | Freeport-McMoRan, Inc. |  |
| 310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 03/01/2030<sup>(i)</sup> | 281885 |
| 340000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 08/01/2030<sup>(i)</sup> | 317325 |
|  | Glencore Funding LLC |  |
| 730000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.850%, 04/27/2031<sup>(c)</sup> | 601315 |
|  | Illuminate Buyer LLC / Illuminate Holdings IV, Inc. |  |
| 410000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.000%, 07/01/2028<sup>(c)</sup> | 343929 |
|  | Mineral Resources Ltd. |  |
| 2355000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 05/01/2030<sup>(c)</sup> | 2390313 |
|  | Nufarm Australia Ltd. / Nufarm Americas, Inc. |  |
| 644000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 01/27/2030<sup>(c)</sup> | 558889 |
|  | OCP S.A. |  |
| 650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 06/23/2051 | 495875 |
|  | RPM International, Inc. |  |
| 1150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.950%, 01/15/2032 | 912211 |
|  | UPL Corp. Ltd. |  |
| 460000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 02/27/2025<sup>(e)(i)</sup> <br>5 year CMT + 3.865% | 322000 |
|  | Vedanta Resources Finance II Plc |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.250%, 04/23/2026<sup>(c)</sup> | 162331 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.250%, 04/23/2026 | 129865 |
|  | Vedanta Resources Ltd. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 08/09/2024 | 126506 |
|  | Vibrantz Technologies, Inc. |  |
| 285000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.000%, 02/15/2030<sup>(c)</sup> | 215070 |
|  | Yamana Gold, Inc. |  |
| 330000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.630%, 08/15/2031 | 248005 |
|  |  | 18572386 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **Communications: 2.7%** | **Communications: 2.7%** | **Communications: 2.7%** |
|  | Alibaba Group Holding Ltd. |  |
| $200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 02/09/2061 | $121507 |
|  | CCO Holdings LLC / CCO Holdings Capital Corp. |  |
| 125000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 05/01/2026<sup>(c)</sup> | 121194 |
| 3475000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 05/01/2027<sup>(c)</sup> | 3231854 |
|  | Cengage Learning, Inc. |  |
| 460000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.500%, 06/15/2024<sup>(c)</sup> | 439408 |
|  | Charter Communications Operating LLC / Charter Communications Operating Capital |  |
| 145000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.800%, 04/01/2031 | 113551 |
| 55000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.300%, 02/01/2032 | 40764 |
| 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 04/01/2033 | 60309 |
| 1275000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 12/01/2061 | 825262 |
|  | CommScope Technologies LLC |  |
| 640000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 03/15/2027<sup>(c)</sup> | 435700 |
|  | CommScope, Inc. |  |
| 860000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 07/01/2028<sup>(c)</sup> | 616185 |
|  | CSC Holdings LLC |  |
| 4105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 12/01/2030<sup>(c)</sup> | 2277292 |
|  | DIRECTV Financing LLC / DIRECTIVE Financing Co-Obligor, Inc. |  |
| 205000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 08/15/2027<sup>(c)</sup> | 183795 |
|  | DISH DBS Corp. |  |
| 1755000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 12/01/2026<sup>(c)</sup> | 1481589 |
| 1595000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 06/01/2029 | 1032085 |
|  | Embarq Corp. |  |
| 925000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.995%, 06/01/2036 | 432165 |
|  | Endurance International Group Holdings, Inc. |  |
| 590000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 02/15/2029<sup>(c)</sup> | 406333 |
|  | Expedia Group, Inc. |  |
| 95000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 02/15/2030 | 80998 |
| 115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.950%, 03/15/2031 | 93116 |
|  | FactSet Research Systems, Inc. |  |
| 692000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.450%, 03/01/2032 | 585858 |
|  | iHeartCommunications, Inc. |  |
| 170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.375%, 05/01/2027 | 144872 |
| 350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 08/15/2027<sup>(c)</sup> | 297032 |
| 575000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 01/15/2028<sup>(c)</sup> | 469154 |
|  | Intelsat Jackson Holdings S.A. |  |
| 825000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 10/15/2024<sup>(c)</sup> | 0 |
|  | Juniper Networks, Inc. |  |
| 495000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.000%, 12/10/2030 | 379825 |
|  | Kenbourne Invest S.A. |  |
| 513000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 11/26/2024<sup>(c)</sup> | 489199 |
|  | McGraw-Hill Education, Inc. |  |
| 335000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 08/01/2028<sup>(c)</sup> | 282015 |
|  | Motorola Solutions, Inc. |  |
| 850000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 05/24/2031<sup>(i)</sup> | 683917 |
| 2105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.600%, 06/01/2032<sup>(i)</sup> | 2065798 |
|  | Netflix, Inc. |  |
| 275000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 04/15/2028 | 266155 |
| 290000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 11/15/2028 | 294649 |
| 235000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 05/15/2029 | 242277 |
| 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 11/15/2029<sup>(c)</sup> | 68024 |
| 445000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 06/15/2030<sup>(c)</sup> | 415754 |
|  | Oi S.A. |  |
| 550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.000%, 07/27/2025 <br>PIK Rate 12.000% | 94683 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **49** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** |
| **Communications (continued)** | **Communications (continued)** | **Communications (continued)** | **Communications (continued)** |
|  | Sirius XM Radio, Inc. |  |  |
| $2234000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 09/01/2031<sup>(c)</sup> | $| 1747198 |
|  | SoftBank Group Corp. |  |  |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 07/06/2028 |  | 498627 |
| 205000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 07/06/2031 |  | 165537 |
|  | Telesat Canada / Telesat LLC |  |  |
| 310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 12/06/2026<sup>(c)(i)</sup> |  | 142995 |
|  | Tencent Holdings Ltd. |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.240%, 06/03/2050<sup>(i)</sup> |  | 127796 |
|  | Uber Technologies, Inc. |  |  |
| 75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 11/01/2026<sup>(c)</sup> |  | 75410 |
| 245000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 09/15/2027<sup>(c)</sup> |  | 245421 |
| 15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 01/15/2028<sup>(c)</sup> |  | 14423 |
| 3505000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 08/15/2029<sup>(c)</sup> |  | 3060321 |
|  | VeriSign, Inc. |  |  |
| 852000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.700%, 06/15/2031<sup>(i)</sup> |  | 698902 |
|  | Viasat, Inc. |  |  |
| 1228000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 07/15/2028<sup>(c)</sup> |  | 923269 |
|  | Viavi Solutions, Inc. |  |  |
| 1336000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 10/01/2029<sup>(c)</sup> |  | 1125045 |
|  | VTR Finance N.V. |  |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 07/15/2028 |  | 196233 |
|  | Ziff Davis, Inc. |  |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 10/15/2030<sup>(c)</sup> |  | 254386 |
|  |  |  | 28047882 |
| **Consumer, Cyclical: 3.2%** | **Consumer, Cyclical: 3.2%** | **Consumer, Cyclical: 3.2%** | **Consumer, Cyclical: 3.2%** |
|  | Allison Transmission, Inc. |  |  |
| 2652000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 01/30/2031<sup>(c)</sup> |  | 2184585 |
|  | Asbury Automotive Group, Inc. |  |  |
| 195000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 11/15/2029<sup>(c)</sup> |  | 164545 |
|  | Carnival Corp. |  |  |
| 170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.625%, 03/01/2026<sup>(c)</sup> |  | 135042 |
| 620000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 03/01/2027<sup>(c)</sup> |  | 443777 |
| 75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 05/01/2029<sup>(c)</sup> |  | 50119 |
|  | CDI Escrow Issuer, Inc. |  |  |
| 863000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 04/01/2030<sup>(c)</sup> |  | 775133 |
|  | Churchill Downs, Inc. |  |  |
| 2323000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 01/15/2028<sup>(c)</sup> |  | 2082686 |
|  | Dealer Tire LLC / DT Issuer LLC |  |  |
| 565000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 02/01/2028<sup>(c)</sup> |  | 498021 |
|  | Dick's Sporting Goods, Inc. |  |  |
| 921000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.150%, 01/15/2032 |  | 723791 |
|  | FirstCash, Inc. |  |  |
| 850000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 01/01/2030<sup>(c)</sup> |  | 757660 |
|  | Gajah Tunggal Tbk PT |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.950%, 06/23/2026 |  | 154000 |
|  | General Motors Co. |  |  |
| 645000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.400%, 04/01/2048<sup>(i)</sup> |  | 531566 |
| 510000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.950%, 04/01/2049<sup>(i)</sup> |  | 449411 |
|  | General Motors Financial Co., Inc. |  |  |
| 310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A <br>5.750%, 09/30/2027<sup>(e)(i)</sup> <br>3 mo. USD LIBOR + 3.598% |  | 261763 |
| 255000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B <br>6.500%, 09/30/2028<sup>(e)(i)</sup> <br>3 mo. USD LIBOR + 3.436% |  | 221416 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **Consumer, Cyclical (continued)** | **Consumer, Cyclical (continued)** | **Consumer, Cyclical (continued)** |
| $100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series C <br>5.700%, 09/30/2030<sup>(e)(i)</sup> <br>5 year CMT + 4.997% | $85013 |
|  | Genm Capital Labuan Ltd. |  |
| 440000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.882%, 04/19/2031<sup>(c)(i)</sup> | 330029 |
|  | Genuine Parts Co. |  |
| 1010000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 02/01/2032<sup>(i)</sup> | 816143 |
|  | Hilton Domestic Operating Co., Inc. |  |
| 2106000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 02/15/2032<sup>(c)</sup> | 1690233 |
|  | Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 06/01/2029<sup>(c)</sup> | 258383 |
| 160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 07/01/2031<sup>(c)</sup> | 130793 |
|  | Hyatt Hotels Corp. |  |
| 1330000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 09/15/2028 | 1222770 |
|  | Las Vegas Sands Corp. |  |
| 1090000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.900%, 08/08/2029 | 927248 |
|  | LGI Homes, Inc. |  |
| 540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 07/15/2029<sup>(c)(i)</sup> | 417919 |
|  | Life Time, Inc. |  |
| 290000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 04/15/2026<sup>(c)</sup> | 261363 |
|  | M/I Homes, Inc. |  |
| 540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 02/15/2030<sup>(i)</sup> | 436705 |
|  | Marriott Ownership Resorts, Inc. |  |
| 230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 06/15/2029<sup>(c)(i)</sup> | 191113 |
|  | Murphy Oil USA, Inc. |  |
| 3053000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 02/15/2031<sup>(c)</sup> | 2524370 |
|  | NCL Corp. Ltd. |  |
| 430000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 03/15/2026<sup>(c)</sup> | 339390 |
| 225000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 02/15/2027<sup>(c)</sup> | 195177 |
|  | NCL Finance Ltd. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 03/15/2028<sup>(c)</sup> | 147894 |
|  | NVR, Inc. |  |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 05/15/2030 | 506516 |
|  | Papa John's International, Inc. |  |
| 178000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 09/15/2029<sup>(c)</sup> | 148857 |
|  | Park River Holdings, Inc. |  |
| 120000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 02/01/2029<sup>(c)</sup> | 80065 |
|  | PetSmart, Inc. / PetSmart Finance Corp. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.750%, 02/15/2029<sup>(c)</sup> | 470534 |
|  | Premier Entertainment Sub LLC / Premier Entertainment Finance Corp. |  |
| 240000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 09/01/2029<sup>(c)</sup> | 177288 |
| 190000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 09/01/2031<sup>(c)</sup> | 134653 |
|  | Royal Caribbean Cruises Ltd. |  |
| 145000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 07/01/2026<sup>(c)</sup> | 117392 |
| 750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 04/01/2028<sup>(c)</sup> | 599865 |
|  | Scientific Games International, Inc. |  |
| 635000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 05/15/2028<sup>(c)</sup> | 606873 |
|  | Superior Plus L.P. / Superior General Partner, Inc. |  |
| 2046000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 03/15/2029<sup>(c)</sup> | 1752286 |
|  | SWF Escrow Issuer Corp. |  |
| 450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 10/01/2029<sup>(c)(i)</sup> | 261338 |
|  | Tempur Sealy International, Inc. |  |
| 860000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 10/15/2031<sup>(c)(i)</sup> | 673857 |
|  | TKC Holdings, Inc. |  |
| 320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.500%, 05/15/2029<sup>(c)(i)</sup> | 179741 |
|  | Travel & Leisure Co. |  |
| 390000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 07/31/2026<sup>(c)</sup> | 382193 |
| 35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 04/01/2027 | 33278 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **50** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** |
| **Consumer, Cyclical (continued)** | **Consumer, Cyclical (continued)** | **Consumer, Cyclical (continued)** | **Consumer, Cyclical (continued)** |
| $435000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 12/01/2029<sup>(c)</sup> | $| 355091 |
| 125000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 03/01/2030<sup>(c)</sup> |  | 103884 |
|  | United Airlines Pass Through Trust |  |  |
| 1255152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2-B <br>3.500%, 11/01/2029 |  | 1083622 |
| 121920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1-B <br>4.875%, 07/15/2027 |  | 116186 |
|  | Vista Outdoor, Inc. |  |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 03/15/2029<sup>(c)</sup> |  | 220662 |
|  | Wabash National Corp. |  |  |
| 1364000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 10/15/2028<sup>(c)</sup> |  | 1162785 |
|  | Warnermedia Holdings, Inc. |  |  |
| 195000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.054%, 03/15/2029<sup>(c)(i)</sup> |  | 169506 |
| 540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.279%, 03/15/2032<sup>(c)(i)</sup> |  | 447109 |
|  | Wheel Pros, Inc. |  |  |
| 230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 05/15/2029<sup>(c)</sup> |  | 81650 |
|  | Yum! Brands, Inc. |  |  |
| 1716000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 01/15/2030<sup>(c)</sup> |  | 1577313 |
| 1816000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 01/31/2032 |  | 1608707 |
|  |  |  | 32459309 |
| **Consumer, Non-cyclical: 2.4%** | **Consumer, Non-cyclical: 2.4%** | **Consumer, Non-cyclical: 2.4%** | **Consumer, Non-cyclical: 2.4%** |
|  | Acadia Healthcare Co., Inc. |  |  |
| 358000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 07/01/2028<sup>(c)</sup> |  | 340136 |
| 691000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 04/15/2029<sup>(c)</sup> |  | 636622 |
|  | Air Methods Corp. |  |  |
| 460000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 05/15/2025<sup>(c)</sup> |  | 25086 |
|  | Altria Group, Inc. |  |  |
| 750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.450%, 02/04/2032 |  | 569641 |
|  | BAT Capital Corp. |  |  |
| 263000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.726%, 03/25/2031 |  | 206493 |
| 650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.742%, 03/16/2032 |  | 580392 |
|  | Bausch Health Cos., Inc. |  |  |
| 230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 01/15/2028<sup>(c)</sup> |  | 111533 |
| 260000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 01/30/2028<sup>(c)</sup> |  | 125209 |
| 1285000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 06/01/2028<sup>(c)</sup> |  | 819717 |
|  | Block Financial LLC |  |  |
| 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 07/15/2028 |  | 59737 |
|  | CHS / Community Health Systems, Inc. |  |  |
| 305000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 04/15/2029<sup>(c)</sup> |  | 157329 |
|  | Coruripe Netherlands B.V. |  |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.000%, 02/10/2027 |  | 321000 |
|  | Coty, Inc. |  |  |
| 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 04/15/2026<sup>(c)</sup> |  | 67309 |
|  | Darling Ingredients, Inc. |  |  |
| 40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 06/15/2030<sup>(c)</sup> |  | 39154 |
|  | Encompass Health Corp. |  |  |
| 1049000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/01/2030 |  | 922855 |
| 1100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 04/01/2031 |  | 947234 |
|  | Endo Luxembourg Finance Co. I S.A.R.L / Endo US, Inc. |  |  |
| 335000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 04/01/2029<sup>(c)(l)</sup> |  | 254759 |
|  | Gartner, Inc. |  |  |
| 1420000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 06/15/2029<sup>(c)(i)</sup> |  | 1249493 |
| 1988000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 10/01/2030<sup>(c)(i)</sup> |  | 1716583 |
|  | Global Payments, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.900%, 11/15/2031 |  | 79492 |
| 55000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.400%, 08/15/2032 |  | 52738 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** |
|  | Herbalife Nutrition Ltd. / HLF Financing, Inc. |  |  |
| $137000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.875%, 09/01/2025<sup>(c)</sup> | $| 122008 |
|  | Hologic, Inc. |  |  |
| 74000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 02/15/2029<sup>(c)</sup> |  | 63664 |
|  | Ingles Markets, Inc. |  |  |
| 672000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 06/15/2031<sup>(c)</sup> |  | 566036 |
|  | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. |  |  |
| 240000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 02/02/2029<sup>(c)</sup> |  | 199015 |
|  | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. |  |  |
| 430000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 12/31/2027<sup>(c)</sup> |  | 354213 |
|  | Lamb Weston Holdings, Inc. |  |  |
| 3400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 01/31/2032<sup>(c)</sup> |  | 2975493 |
|  | MARB BondCo Plc |  |  |
| 630000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 01/29/2031<sup>(c)(i)</sup> |  | 487648 |
|  | Molina Healthcare, Inc. |  |  |
| 240000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 06/15/2028<sup>(c)</sup> |  | 219446 |
|  | Natura Cosmeticos S.A. |  |  |
| 330000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 05/03/2028<sup>(c)</sup> |  | 269681 |
|  | PECF USS Intermediate Holding III Corp. |  |  |
| 220000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 11/15/2029<sup>(c)</sup> |  | 143218 |
|  | Philip Morris International, Inc. |  |  |
| 166000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 11/01/2030 |  | 130729 |
|  | Post Holdings, Inc. |  |  |
| 2257000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 09/15/2031<sup>(c)</sup> |  | 1901535 |
|  | Pyxus Holdings, Inc. |  |  |
| 245100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.000%, 08/24/2024 |  | 194242 |
|  | Quanta Services, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.900%, 10/01/2030 |  | 82704 |
|  | Radiology Partners, Inc. |  |  |
| 590000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.250%, 02/01/2028<sup>(c)</sup> |  | 332131 |
|  | Royalty Pharma Plc |  |  |
| 218000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.200%, 09/02/2030 |  | 171451 |
|  | Service Corp. International |  |  |
| 2928000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 05/15/2031 |  | 2471620 |
|  | Teva Pharmaceutical Finance Netherlands II B.V. |  |  |
| 1,455,000 (EUR) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 01/31/2025 |  | 1537937 |
|  | Teva Pharmaceutical Finance Netherlands III B.V. |  |  |
| 395000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 01/31/2025 |  | 393428 |
| 1145000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.150%, 10/01/2026 |  | 1003627 |
| 2505000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.100%, 10/01/2046 |  | 1537069 |
|  | Triton Water Holdings, Inc. |  |  |
| 270000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 04/01/2029<sup>(c)</sup> |  | 216929 |
|  |  |  | 24656336 |
| **Energy: 2.1%** | **Energy: 2.1%** | **Energy: 2.1%** | **Energy: 2.1%** |
|  | AI Candelaria Spain S.A. |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 06/15/2033<sup>(c)</sup> |  | 190520 |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 06/15/2033 |  | 190520 |
|  | Aker BP ASA |  |  |
| 435000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 01/15/2030<sup>(c)</sup> |  | 384656 |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 01/15/2031<sup>(c)</sup> |  | 264833 |
|  | Continental Resources, Inc. |  |  |
| 1115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 01/15/2031<sup>(c)</sup> |  | 1040453 |
| 235000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 04/01/2032<sup>(c)</sup> |  | 174532 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **51** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** |
| **Energy (continued)** | **Energy (continued)** | **Energy (continued)** |
|  | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp. |  |
| $560000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 02/01/2029<sup>(c)</sup> | $514615 |
|  | CVR Energy, Inc. |  |
| 1009000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 02/15/2028<sup>(c)</sup> | 879929 |
|  | Delek Logistics Partners L.P. / Delek Logistics Finance Corp. |  |
| 1368000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 06/01/2028<sup>(c)</sup> | 1235742 |
|  | Ecopetrol S.A. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 05/28/2045 | 349417 |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 11/02/2051 | 168518 |
|  | Energean Israel Finance Ltd. |  |
| 325000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 03/30/2028<sup>(c)</sup> | 292500 |
|  | EQT Corp. |  |
| 120000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 01/15/2029 | 113423 |
| 440000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 05/15/2031<sup>(c)</sup> | 374202 |
|  | Global Partners L.P. / GLP Finance Corp. |  |
| 882000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 01/15/2029 | 809120 |
|  | Gulfport Energy Corp. |  |
| 9327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 05/17/2026 | 9106 |
|  | Gulfport Energy Operating Corp. |  |
| 145000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 05/01/2023<sup>(l)</sup> | 0 |
| 287000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 10/15/2024<sup>(l)</sup> | 0 |
| 137000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 05/15/2025<sup>(l)</sup> | 0 |
| 144000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 01/15/2026<sup>(l)</sup> | 0 |
|  | Hess Midstream Operations L.P. |  |
| 970000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 02/15/2030<sup>(c)</sup> | 830615 |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 10/15/2030<sup>(c)</sup> | 366500 |
|  | HF Sinclair Corp. |  |
| 815000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 10/01/2030 | 719419 |
|  | Leviathan Bond Ltd. |  |
| 160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 06/30/2027<sup>(c)</sup> | 155760 |
|  | NGD Holdings B.V. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 12/31/2026 | 47100 |
|  | NGL Energy Operating LLC / NGL Energy Finance Corp. |  |
| 635000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 02/01/2026<sup>(c)</sup> | 565661 |
|  | NuStar Logistics L.P. |  |
| 650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 10/01/2030 | 602186 |
|  | Occidental Petroleum Corp. |  |
| 830000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.550%, 03/15/2026 | 828240 |
| 40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.875%, 07/15/2030 | 45227 |
| 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 01/01/2031 | 25278 |
| 45000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.875%, 09/15/2031 | 49625 |
|  | Ovintiv, Inc. |  |
| 75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.125%, 09/15/2030 | 82734 |
| 20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.200%, 11/01/2031 | 21121 |
| 15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.375%, 11/01/2031 | 16065 |
| 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 08/15/2034 | 70960 |
| 145000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 08/15/2037 | 147023 |
| 30000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 02/01/2038 | 29990 |
|  | Parkland Corp. |  |
| 77000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 05/01/2030<sup>(c)</sup> | 63829 |
|  | Patterson-UTI Energy, Inc. |  |
| 330000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.150%, 11/15/2029<sup>(i)</sup> | 297099 |
|  | Pertamina Persero PT |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.150%, 02/25/2060 | 216780 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **Energy (continued)** | **Energy (continued)** | **Energy (continued)** | **Energy (continued)** |
|  | Petroleos del Peru S.A. |  |  |
| $600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 06/19/2047 | $| 393495 |
|  | Petroleos Mexicanos |  |  |
| 1425000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.950%, 01/28/2031 |  | 1081651 |
| 1240000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 06/15/2035 |  | 903062 |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 01/23/2045 |  | 248801 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 09/21/2047 |  | 128002 |
|  | Precision Drilling Corp. |  |  |
| 1279000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 01/15/2029<sup>(c)</sup> |  | 1192420 |
|  | SCC Power Plc |  |  |
| 92322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 12/31/2028<sup>(c)(f)</sup> <br>Cash 4.000% + PIK Rate 4.000% |  | 32867 |
| 50007 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 05/17/2032<sup>(c)(f)</sup> <br>PIK Rate 4.000% |  | 1992 |
|  | SierraCol Energy Andina LLC |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 06/15/2028<sup>(c)</sup> |  | 154159 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 06/15/2028 |  | 154159 |
|  | Southwestern Energy Co. |  |  |
| 80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/01/2032 |  | 68521 |
|  | Sunoco L.P. / Sunoco Finance Corp. |  |  |
| 1450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 05/15/2029 |  | 1270410 |
| 1300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 04/30/2030 |  | 1130220 |
|  | Transocean, Inc. |  |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.500%, 01/30/2027<sup>(c)</sup> |  | 501993 |
|  | UEP Penonome II S.A. |  |  |
| 369311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 10/01/2038<sup>(c)</sup> |  | 273752 |
|  | Var Energi ASA |  |  |
| 205000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 01/15/2028<sup>(c)</sup> |  | 209216 |
|  | Western Midstream Operating L.P. |  |  |
| 560000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.350%, 02/01/2025 |  | 531087 |
|  | YPF S.A. |  |  |
| 325000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.950%, 07/21/2027<sup>(c)</sup> |  | 230750 |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 06/27/2029 |  | 37660 |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 12/15/2047 |  | 360800 |
|  |  |  | 21078315 |
| **Financial: 5.2%** | **Financial: 5.2%** | **Financial: 5.2%** | **Financial: 5.2%** |
|  | Agile Group Holdings Ltd. |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 04/21/2025 |  | 107392 |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.050%, 10/13/2025 |  | 185570 |
|  | Agree L.P. |  |  |
| 769000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.800%, 10/01/2032 |  | 716234 |
|  | Aircastle Ltd. |  |  |
| 740000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 06/15/2026 |  | 696805 |
| 175000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A <br>5.250%, 06/15/2026<sup>(c)(e)(i)</sup> <br>5 year CMT + 4.410% |  | 135625 |
|  | Ally Financial, Inc. |  |  |
| 725000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series C <br>4.700%, 05/15/2028<sup>(e)(i)</sup> <br>7 year CMT + 3.481% |  | 455844 |
|  | Alpha Holding S.A. de CV |  |  |
| 566079 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.000%, 02/10/2025 |  | 0 |
|  | Antares Holdings L.P. |  |  |
| 255000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 07/15/2026<sup>(c)</sup> |  | 221119 |
| 450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 01/15/2027<sup>(c)</sup> |  | 361538 |
| 680000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 07/15/2027<sup>(c)</sup> |  | 551473 |
|  | Ares Capital Corp. |  |  |
| 2029000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 06/15/2028 |  | 1632881 |
| 660000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.200%, 11/15/2031 |  | 487433 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **52** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** |
| **Financial (continued)** | **Financial (continued)** | **Financial (continued)** |
|  | Athene Global Funding |  |
| $1280000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.716%, 01/07/2025<sup>(c)</sup> | $1182672 |
|  | Aviation Capital Group LLC |  |
| 145000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.950%, 01/30/2026<sup>(c)</sup> | 126582 |
|  | Banco Davivienda S.A. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.650%, 04/22/2031<sup>(c)(e)(i)</sup> <br>10 year CMT + 5.097% | 154500 |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.650%, 04/22/2031<sup>(e)(i)</sup> <br>10 year CMT + 5.097% | 231750 |
|  | Banco GNB Sudameris S.A. |  |
| 350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 04/16/2031<sup>(c)(i)</sup> <br>5 year CMT + 6.660% | 254103 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 04/16/2031<sup>(i)</sup> <br>5 year CMT + 6.660% | 145202 |
|  | Banco Mercantil del Norte S.A. |  |
| 350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 01/24/2032<sup>(c)(e)(i)</sup> <br>10 year CMT + 5.034% | 290072 |
|  | Bank of America Corp. |  |
| 1530000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.843%, 02/04/2025<sup>(i)</sup> <br>SOFR + 0.670% | 1466708 |
|  | Barclays Plc |  |
| 660000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 03/15/2028<sup>(e)(i)</sup> <br>5 year CMT + 3.410% | 504900 |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.088%, 06/20/2030<sup>(i)</sup> <br>3 mo. USD LIBOR + 3.054% | 370153 |
| 740000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.564%, 09/23/2035<sup>(i)</sup> <br>5 year CMT + 2.900% | 567253 |
|  | Barings BDC, Inc. |  |
| 405000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.300%, 11/23/2026 | 344281 |
|  | Blackstone Secured Lending Fund |  |
| 1295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.125%, 02/15/2027 | 1074279 |
|  | Central China Real Estate Ltd. |  |
| 230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.650%, 08/27/2023 | 84946 |
| 205000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.750%, 05/24/2024 | 64700 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.250%, 07/16/2024 | 58166 |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.250%, 08/13/2024 | 114160 |
| 205000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 07/14/2025 | 58395 |
|  | CFLD Cayman Investment Ltd. |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.000%, 07/31/2021<sup>(l)</sup> | 47216 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 04/08/2022 | 23500 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.750%, 09/28/2022 | 25779 |
|  | China Aoyuan Group Ltd. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.200%, 03/24/2026 | 16354 |
|  | China Evergrande Group |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.500%, 04/11/2022<sup>(l)</sup> | 14750 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.750%, 06/28/2025 | 15148 |
|  | CIFI Holdings Group Co. Ltd. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.450%, 08/17/2026 | 52862 |
|  | Credit Suisse Group AG |  |
| 750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.193%, 06/05/2026<sup>(c)(i)</sup> <br>SOFR + 2.044% | 641673 |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.373%, 07/15/2026<sup>(c)(i)</sup> <br>SOFR + 3.340% | 235117 |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.442%, 08/11/2028<sup>(c)(i)</sup> <br>SOFR + 3.700% | 228369 |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.016%, 11/15/2033<sup>(c)(i)</sup> <br>SOFR + 5.020% | 257422 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **Financial (continued)** | **Financial (continued)** | **Financial (continued)** |
|  | Credivalores-Crediservicios SAS |  |
| $300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.875%, 02/07/2025<sup>(c)</sup> | $66600 |
|  | Deutsche Bank AG |  |
| 885000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.729%, 01/14/2032<sup>(i)</sup> <br>SOFR + 2.757% | 652808 |
|  | Easy Tactic Ltd. |  |
| 412141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 07/11/2027<sup>(f)</sup> <br>PIK Rate 7.500% | 87774 |
|  | Enstar Group Ltd. |  |
| 2194000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.100%, 09/01/2031 | 1612683 |
|  | Fantasia Holdings Group Co. Ltd. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.875%, 06/01/2023 | 16000 |
|  | FS KKR Capital Corp. |  |
| 658000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.400%, 01/15/2026 | 584831 |
| 455000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 10/12/2028 | 368282 |
|  | Global Atlantic Fin Co. |  |
| 570000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 10/15/2029<sup>(c)</sup> | 479490 |
|  | GLP Capital L.P. / GLP Financing II, Inc. |  |
| 2835000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 01/15/2032 | 2270352 |
|  | Goldman Sachs Group, Inc. (The) |  |
| 1530000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.757%, 01/24/2025<sup>(i)</sup> <br>SOFR + 0.730% | 1465150 |
|  | Host Hotels & Resorts L.P. |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series J <br>2.900%, 12/15/2031 | 308001 |
|  | Howard Hughes Corp. (The) |  |
| 137000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 02/01/2031<sup>(c)</sup> | 111040 |
|  | HSBC Holdings Plc |  |
| 1540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.162%, 11/22/2024<sup>(i)</sup> <br>SOFR + 0.580% | 1467663 |
|  | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. |  |
| 165000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 12/15/2025 | 160350 |
| 810000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 05/15/2026 | 780185 |
| 2233000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 05/15/2027 | 2049447 |
| 1795000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 02/01/2029 | 1520535 |
|  | Iron Mountain Information Management Services, Inc. |  |
| 1750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 07/15/2032<sup>(c)</sup> | 1456255 |
|  | Iron Mountain, Inc. |  |
| 1408000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 02/15/2031<sup>(c)</sup> | 1160467 |
|  | Kaisa Group Holdings Ltd. |  |
| 1005000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.375%, 06/30/2024<sup>(l)</sup> | 141182 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.500%, 01/15/2025 | 28152 |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.250%, 04/16/2025 | 140762 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.950%, 07/23/2025 | 28152 |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.700%, 11/11/2025<sup>(l)</sup> | 84457 |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.650%, 06/01/2026 | 56305 |
|  | Kawasan Industri Jababeka Tbk PT |  |
| 280000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 12/15/2027<sup>(c)(g)</sup> | 172200 |
|  | KWG Group Holdings Ltd. |  |
| 210000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.300%, 02/13/2026 | 83475 |
|  | Logan Group Co. Ltd. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 07/12/2025 | 45000 |
|  | Main Street Capital Corp. |  |
| 284000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 07/14/2026 | 245556 |
|  | Mexarrend SAPI de C.V. |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.250%, 07/24/2024<sup>(c)</sup> | 70599 |
|  | National Health Investors, Inc. |  |
| 395000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 02/01/2031 | 286544 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **53** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** | **CORPORATE BONDS(CONTINUED)** |
| **Financial (continued)** | **Financial (continued)** | **Financial (continued)** |
|  | Nationstar Mortgage Holdings, Inc. |  |
| $1155000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 11/15/2031<sup>(c)</sup> | $899514 |
|  | Navient Corp. |  |
| 350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 03/15/2029 | 286115 |
|  | Oaktree Specialty Lending Corp. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.700%, 01/15/2027 | 127753 |
|  | Omega Healthcare Investors, Inc. |  |
| 2523000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 04/15/2033 | 1837175 |
|  | OneMain Finance Corp. |  |
| 435000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 01/15/2027 | 360711 |
|  | Operadora de Servicios Mega S.A. de C.V. Sofom ER |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.250%, 02/11/2025<sup>(c)</sup> | 201208 |
|  | Owl Rock Capital Corp. |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 06/11/2028 | 393229 |
|  | Owl Rock Technology Finance Corp. |  |
| 105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 01/15/2027 | 85866 |
|  | PennyMac Financial Services, Inc. |  |
| 240000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 09/15/2031<sup>(c)(i)</sup> | 190676 |
|  | PRA Group, Inc. |  |
| 450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 10/01/2029<sup>(c)</sup> | 371911 |
|  | Prospect Capital Corp. |  |
| 722000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.437%, 10/15/2028 | 555015 |
|  | Rithm Capital Corp. |  |
| 1410000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 10/15/2025<sup>(c)</sup> | 1267420 |
|  | RKPF Overseas Ltd. |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.750%, 11/18/2024<sup>(e)(i)</sup> <br>5 year CMT + 6.003% | 141388 |
|  | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. |  |
| 1765000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 10/15/2026<sup>(c)</sup> | 1523160 |
| 1170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 03/01/2029<sup>(c)</sup> | 929095 |
| 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 03/01/2031<sup>(c)</sup> | 19141 |
| 1215000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/15/2033<sup>(c)</sup> | 909191 |
|  | Ronshine China Holdings Ltd. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.350%, 12/15/2023<sup>(l)</sup> | 14150 |
| 350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 08/05/2024 | 29593 |
|  | Sabra Health Care L.P. |  |
| 918000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.200%, 12/01/2031 | 687443 |
|  | SBA Communications Corp. |  |
| 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 02/15/2027 | 63356 |
|  | Shimao Group Holdings Ltd. |  |
| 340000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 07/03/2022<sup>(l)</sup> | 63828 |
|  | Shimao Group Holdings Ltd. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.200%, 01/16/2027 | 38000 |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.450%, 01/11/2031 | 74805 |
|  | Societe Generale S.A. |  |
| 895000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.653%, 07/08/2035<sup>(c)(i)</sup> <br>5 year CMT + 3.000% | 706877 |
|  | Standard Chartered Plc |  |
| 830000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.265%, 02/18/2036<sup>(c)(i)</sup> <br>5 year CMT + 2.300% | 617453 |
|  | Starwood Property Trust, Inc. |  |
| 452000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 07/15/2026<sup>(c)</sup> | 396063 |
| 950000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 01/15/2027<sup>(c)</sup> | 832671 |
|  | STORE Capital Corp. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.700%, 12/01/2031 | 739152 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **Financial (continued)** | **Financial (continued)** | **Financial (continued)** | **Financial (continued)** |
|  | Sunac China Holdings Ltd. |  |  |
| $200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 01/10/2025 | $| 43834 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 07/09/2025 |  | 43718 |
| 1010000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 01/26/2026 |  | 209716 |
|  | Tanger Properties L.P. |  |  |
| 905000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 09/01/2031 |  | 659501 |
|  | Theta Capital Pte Ltd. |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 10/31/2026 |  | 130040 |
|  | Times China Holdings Ltd. |  |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.200%, 03/22/2026 |  | 67252 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 01/14/2027 |  | 34274 |
|  | Unifin Financiera SAB de C.V. |  |  |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.875%, 01/29/2025<sup>(e)(l)</sup> <br>5 year CMT + 6.308% |  | 4680 |
|  | VICI Properties L.P. |  |  |
| 2179000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 05/15/2032 |  | 2021840 |
|  | VICI Properties L.P. / VICI Note Co., Inc. |  |  |
| 270000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 05/01/2024<sup>(c)</sup> |  | 268550 |
| 325000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 06/15/2025<sup>(c)</sup> |  | 312016 |
| 370000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 09/01/2026<sup>(c)</sup> |  | 349026 |
| 450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 12/01/2026<sup>(c)</sup> |  | 420086 |
|  | WP Carey, Inc. |  |  |
| 922000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.450%, 02/01/2032 |  | 725396 |
| 800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.250%, 04/01/2033 |  | 597170 |
|  | Yuzhou Group Holdings Co. Ltd. |  |  |
| 540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.700%, 02/20/2025<sup>(l)</sup> |  | 51808 |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.300%, 05/27/2025<sup>(l)</sup> |  | 47845 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.375%, 01/13/2026<sup>(l)</sup> |  | 19482 |
| 710000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.850%, 08/12/2026<sup>(l)</sup> |  | 69679 |
| 1940000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.350%, 01/13/2027<sup>(l)</sup> |  | 182981 |
|  | Zhenro Properties Group Ltd. |  |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.630%, 01/07/2026 |  | 21316 |
|  |  |  | 52845392 |
| **Industrial: 1.4%** | **Industrial: 1.4%** | **Industrial: 1.4%** | **Industrial: 1.4%** |
|  | Artera Services LLC |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.033%, 12/04/2025<sup>(c)</sup> |  | 125201 |
|  | Boeing Co. (The) |  |  |
| 235000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 06/15/2046 |  | 153772 |
| 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 03/01/2048 |  | 16588 |
| 295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.900%, 05/01/2049 |  | 209966 |
| 390000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 02/01/2050 |  | 271471 |
| 80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.825%, 03/01/2059 |  | 51759 |
|  | Bombardier, Inc. |  |  |
| 2782000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 02/15/2028<sup>(c)</sup> |  | 2575193 |
|  | Cemex SAB de C.V. |  |  |
| 355000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 06/08/2026<sup>(c)(e)(i)</sup> <br>5 year CMT + 4.534% |  | 328476 |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.450%, 11/19/2029<sup>(c)</sup> |  | 385150 |
| 620000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.200%, 09/17/2030<sup>(c)</sup> |  | 577623 |
| 515000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 07/11/2031<sup>(c)</sup> |  | 437500 |
|  | Embraer Netherlands Finance B.V. |  |  |
| 310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.050%, 06/15/2025 |  | 301391 |
|  | GMR Hyderabad International Airport Ltd. |  |  |
| 735000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 04/10/2024 |  | 725949 |
| 580000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/02/2026<sup>(c)</sup> |  | 542465 |
|  | Howmet Aerospace, Inc. |  |  |
| 81000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 01/15/2029 |  | 68967 |
|  | HTA Group Ltd. |  |  |
| 875000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 12/18/2025<sup>(c)</sup> |  | 813750 |
|  | IDEX Corp. |  |  |
| 72000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.625%, 06/15/2031 |  | 60217 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **54** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** |
| **Industrial (continued)** | **Industrial (continued)** | **Industrial (continued)** | **Industrial (continued)** |
|  | IHS Holding Ltd. |  |  |
| $365000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 11/29/2026<sup>(c)</sup> | $| 304410 |
| 330000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 11/29/2028<sup>(c)</sup> |  | 269161 |
|  | Keysight Technologies, Inc. |  |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 10/30/2029 |  | 261771 |
|  | Mexico City Airport Trust |  |  |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 07/31/2047 |  | 463407 |
|  | OI European Group B.V. |  |  |
| 780000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/15/2030<sup>(c)</sup> |  | 684173 |
|  | Teledyne Technologies, Inc. |  |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 04/01/2031<sup>(i)</sup> |  | 329043 |
|  | TransDigm, Inc. |  |  |
| 245000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 12/15/2025<sup>(c)</sup> |  | 249068 |
| 1795000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 05/01/2029 |  | 1567977 |
|  | TriMas Corp. |  |  |
| 370000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 04/15/2029<sup>(c)</sup> |  | 323606 |
|  | Triumph Group, Inc. |  |  |
| 345000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.250%, 09/15/2024<sup>(c)</sup> |  | 326565 |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.750%, 08/15/2025 |  | 126275 |
|  | TTM Technologies, Inc. |  |  |
| 1350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 03/01/2029<sup>(c)</sup> |  | 1159637 |
|  | Waste Connections, Inc. |  |  |
| 425000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.200%, 01/15/2032 |  | 340492 |
|  |  |  | 14051023 |
| **Technology: 1.7%** | **Technology: 1.7%** | **Technology: 1.7%** | **Technology: 1.7%** |
|  | Amdocs Ltd. |  |  |
| 430000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.538%, 06/15/2030 |  | 350934 |
|  | Booz Allen Hamilton, Inc. |  |  |
| 915000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 07/01/2029<sup>(c)</sup> |  | 806654 |
|  | Broadcom, Inc. |  |  |
| 685000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.150%, 11/15/2030 |  | 616331 |
| 1190000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.469%, 04/15/2034<sup>(c)</sup> |  | 957111 |
| 955000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.137%, 11/15/2035<sup>(c)</sup> |  | 708345 |
|  | Castle US Holding Corp. |  |  |
| 765000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.500%, 02/15/2028<sup>(c)</sup> |  | 304566 |
|  | CDW LLC / CDW Finance Corp. |  |  |
| 115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 04/01/2028 |  | 106041 |
|  | CDW LLC / CDW Finance Corp. |  |  |
| 1138000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.670%, 12/01/2026 |  | 1012471 |
| 2310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 02/15/2029 |  | 1971504 |
| 860000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.569%, 12/01/2031 |  | 708850 |
|  | CWT Travel Group, Inc. |  |  |
| 124674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 11/19/2026<sup>(c)</sup> |  | 105985 |
|  | Fair Isaac Corp. |  |  |
| 3296000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 06/15/2028<sup>(c)</sup> |  | 2996974 |
|  | KBR, Inc. |  |  |
| 892000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 09/30/2028<sup>(c)</sup> |  | 793392 |
|  | Micron Technology, Inc. |  |  |
| 630000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 11/01/2029<sup>(i)</sup> |  | 643560 |
|  | MSCI, Inc. |  |  |
| 480000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 09/01/2030<sup>(c)</sup> |  | 399852 |
|  | Open Text Corp. |  |  |
| 135000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.900%, 12/01/2027<sup>(c)</sup> |  | 135175 |
|  | Oracle Corp. |  |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 03/25/2051 |  | 360701 |
|  | Pitney Bowes, Inc. |  |  |
| 499000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.250%, 03/15/2029<sup>(c)</sup> |  | 390957 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **Technology (continued)** | **Technology (continued)** | **Technology (continued)** | **Technology (continued)** |
|  | Science Applications International Corp. |  |  |
| $1329000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 04/01/2028<sup>(c)(i)</sup> | $| 1231430 |
|  | Virtusa Corp. |  |  |
| 435000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 12/15/2028<sup>(c)</sup> |  | 332133 |
|  | VMware, Inc. |  |  |
| 1200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.200%, 08/15/2031 |  | 916457 |
|  | Western Digital Corp. |  |  |
| 420000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/15/2026 |  | 396438 |
| 190000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.850%, 02/01/2029 |  | 147272 |
|  | Xerox Holdings Corp. |  |  |
| 580000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 08/15/2028<sup>(c)</sup> |  | 465204 |
|  |  |  | 16858337 |
| **Utilities: 0.8%** | **Utilities: 0.8%** | **Utilities: 0.8%** | **Utilities: 0.8%** |
|  | AmeriGas Partners L.P. / AmeriGas Finance Corp. |  |  |
| 1300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 08/20/2026 |  | 1236637 |
|  | AmeriGas Partners L.P./AmeriGas Finance Corp. |  |  |
| 1900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 05/20/2027 |  | 1768742 |
|  | Edison International |  |  |
| 315000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A <br>5.375%, 03/15/2026<sup>(e)(i)</sup> <br>5 year CMT + 4.698% |  | 266950 |
|  | Emera US Finance L.P. |  |  |
| 2604000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.639%, 06/15/2031 |  | 2052055 |
|  | Empresas Publicas de Medellin ESP |  |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 02/15/2031 |  | 311508 |
|  | EnfraGen Energia Sur S.A. / EnfraGen Spain S.A. / Prime Energia S.p.A. |  |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 12/30/2030 |  | 280590 |
|  | FEL Energy VI Sarl |  |  |
| 369580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 12/01/2040 |  | 322459 |
|  | Guacolda Energia S.A. |  |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.560%, 04/30/2025 |  | 88500 |
|  | Instituto Costarricense |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 05/15/2043 |  | 159045 |
|  | Mong Duong Finance Holdings B.V. |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 05/07/2029 |  | 208457 |
|  | National Fuel Gas Co. |  |  |
| 1100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.950%, 03/01/2031 |  | 867270 |
|  | Pacific Gas and Electric Co. |  |  |
| 165000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.450%, 06/15/2027 |  | 163209 |
| 260000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.300%, 03/15/2045 |  | 186425 |
|  |  |  | 7911847 |
| **TOTAL CORPORATE BONDS**<br>(Cost $253,400,634) | **TOTAL CORPORATE BONDS**<br>(Cost $253,400,634) |  | 216480827 |
| **GOVERNMENT SECURITIES & AGENCY ISSUE: 1.5%**  | **GOVERNMENT SECURITIES & AGENCY ISSUE: 1.5%**  | **GOVERNMENT SECURITIES & AGENCY ISSUE: 1.5%**  | **GOVERNMENT SECURITIES & AGENCY ISSUE: 1.5%**  |
|  | Brazilian Government International Bond |  |  |
| 700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 01/14/2050 |  | 492860 |
|  | Colombia Government International Bond |  |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 06/15/2045 |  | 341675 |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.200%, 05/15/2049 |  | 205331 |
|  | Dominican Republic International Bonds |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 01/30/2060 |  | 184316 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **55** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **GOVERNMENT SECURITIES & AGENCY ISSUE (CONTINUED)**  | **GOVERNMENT SECURITIES & AGENCY ISSUE (CONTINUED)**  | **GOVERNMENT SECURITIES & AGENCY ISSUE (CONTINUED)**  | **GOVERNMENT SECURITIES & AGENCY ISSUE (CONTINUED)**  |
|  | Financiera de Desarrollo Territorial S.A. |  |  |
| $3,329,000,000<br>(COP) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.875%, 08/12/2024<sup>(c)(i)</sup> | $| 624736 |
|  | Mexico Government International Bond |  |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 02/12/2052 |  | 221102 |
|  | Provincia de Buenos Aires Government Bonds |  |  |
| 15,545,000<br>(ARS) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72.913%, 04/12/2025<sup>(c)</sup> <br>BADLARPP + 3.750% |  | 40759 |
|  | Republic of South Africa Government International Bond |  |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.650%, 09/27/2047 |  | 369234 |
|  | Ukraine Government International Bond |  |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.253%, 03/15/2035 |  | 75697 |
|  | United States Treasury Note |  |  |
| 3260000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.250%, 07/31/2023 |  | 3195909 |
| 645000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 08/31/2023<sup>(a)</sup> |  | 630589 |
| 2595000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 08/31/2024 |  | 2542289 |
| 3820000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 09/30/2024 |  | 3802392 |
| 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 11/15/2032 |  | 2048750 |
| **TOTAL GOVERNMENT SECURITIES & AGENCY ISSUE**<br>(Cost $17,546,079) | **TOTAL GOVERNMENT SECURITIES & AGENCY ISSUE**<br>(Cost $17,546,079) |  | 14775639 |
| **LIMITED PARTNERSHIPS: 0.2%** | **LIMITED PARTNERSHIPS: 0.2%** | **LIMITED PARTNERSHIPS: 0.2%** | **LIMITED PARTNERSHIPS: 0.2%** |
| 35594 | GACP II L.P.<sup>(b)</sup> |  | 394903 |
| 1300000 | U.S. Farming Realty Trust II L.P.<sup>(b)</sup> |  | 1356862 |
| **TOTAL LIMITED PARTNERSHIPS**<br>(Cost $1,037,369) | **TOTAL LIMITED PARTNERSHIPS**<br>(Cost $1,037,369) |  | 1751765 |
| **MORTGAGE-BACKED SECURITIES: 12.2%** | **MORTGAGE-BACKED SECURITIES: 12.2%** | **MORTGAGE-BACKED SECURITIES: 12.2%** | **MORTGAGE-BACKED SECURITIES: 12.2%** |
|  | Adjustable Rate Mortgage Trust |  |  |
| 247237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1-2A1 <br>4.234%, 03/25/2036<sup>(i)</sup> |  | 148845 |
|  | Alternative Loan Trust |  |  |
| 74860 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-22CB-1A1 <br>5.750%, 12/25/2033 |  | 72886 |
| 280879 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13CB-A4 <br>0.010%, 07/25/2034<sup>(d)(m)</sup> |  | 201953 |
| 42136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-16CB-1A1 <br>5.500%, 07/25/2034 |  | 40269 |
| 41983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-16CB-3A1 <br>5.500%, 08/25/2034 |  | 40405 |
| 89346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-J10-2CB1 <br>6.000%, 09/25/2034 |  | 85410 |
| 17895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-J1-2A1 <br>5.500%, 02/25/2025 |  | 17306 |
| 2034940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-13T1-A13 <br>6.000%, 05/25/2036 |  | 1039260 |
| 316129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-31CB-A7 <br>6.000%, 11/25/2036 |  | 194725 |
| 419128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-J1-2A1 <br>7.000%, 02/25/2036 |  | 57059 |
| 172598 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16CB-2A1 <br>4.839%, 08/25/2037<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.450% |  | 54643 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| $49980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16CB-2A2 <br>18.011%, 08/25/2037<sup>(h)(i)</sup> <br>-8.333\*1 mo. USD LIBOR + 54.583% | $71964 |
| 2470418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16CB-4A1 <br>4.789%, 08/25/2037<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.400% | 1752797 |
| 395308 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16CB-4A2 <br>13.268%, 08/25/2037<sup>(h)(i)</sup> <br>-6\*1 mo. USD LIBOR + 39.600% | 480054 |
| 323569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-19-1A34 <br>6.000%, 08/25/2037 | 169006 |
| 909642 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-20-A12 <br>6.250%, 08/25/2047 | 518318 |
|  | Alternative Loan Trust Resecuritization |  |
| 415274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2R-2A1 <br>4.205%, 08/25/2037<sup>(i)</sup> | 217656 |
| 2881346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2R-4A1 <br>6.250%, 08/25/2037<sup>(i)</sup> | 1573818 |
|  | American Home Mortgage Investment Trust |  |
| 191779 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1-11A1 <br>4.669%, 03/25/2046<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.280% | 149702 |
|  | AREIT Trust CLO |  |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-CRE3-D <br>7.090%, 09/14/2036<sup>(c)(h)(i)</sup> <br>TSFR1M + 2.764% | 937508 |
|  | Banc of America Alternative Loan Trust |  |
| 33057 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-8-1CB1 <br>5.500%, 10/25/2033 | 31448 |
| 508203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7-A4 <br>6.498%, 10/25/2036<sup>(g)</sup> | 149472 |
|  | Banc of America Funding Trust |  |
| 23711 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7-3A1 <br>5.750%, 11/25/2035 | 23277 |
| 225584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-B-7A1 <br>2.606%, 03/20/2036<sup>(i)</sup> | 186040 |
| 22290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4-5A1 <br>5.500%, 11/25/2034 | 19757 |
|  | Banc of America Mortgage Trust |  |
| 8685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A-2A1 <br>2.543%, 02/25/2035<sup>(i)</sup> | 8007 |
|  | BBCMS Trust |  |
| 750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-CBM-E <br>7.868%, 07/15/2037<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 3.550% | 698648 |
|  | BCAP LLC Trust |  |
| 125409 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-RR6-6A2 <br>9.300%, 07/26/2037<sup>(c)(i)</sup> | 64354 |
| 1848597 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-R11-2A4 <br>5.500%, 12/26/2035<sup>(c)</sup> | 1204331 |
|  | Bear Stearns Adjustable Rate Mortgage Trust |  |
| 1564310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-12-25A1 <br>2.941%, 02/25/2036<sup>(i)</sup> | 1182841 |
|  | Bear Stearns Asset-Backed Securities I Trust |  |
| 372826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AC1-1A1 <br>6.250%, 02/25/2036<sup>(g)</sup> | 196786 |
|  | Benchmark Mortgage Trust |  |
| 547000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B18-AGNF <br>4.139%, 07/15/2053<sup>(c)</sup> | 443343 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **56** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** |
| $1637000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B31-E <br>2.250%, 12/15/2054<sup>(c)</sup> | $817315 |
|  | BF Mortgage Trust |  |
| 666000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-NYT-F <br>7.318%, 12/15/2035<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 3.000% | 544599 |
|  | BINOM Securitization Trust |  |
| 530000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1-M1 <br>3.000%, 02/25/2061<sup>(c)(i)</sup> | 384849 |
|  | BPR Trust |  |
| 465000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NRD-F <br>11.196%, 12/15/2038<sup>(c)(h)(i)</sup> <br>TSFR1M + 6.870% | 412299 |
|  | BX Commercial Mortgage Trust |  |
| 1274000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-IMC-G <br>7.918%, 04/15/2034<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 3.600% | 1183601 |
|  | Carbon Capital VI Commercial Mortgage Trust |  |
| 343565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-FL2-B <br>7.168%, 10/15/2035<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 2.850% | 325069 |
|  | CFCRE Commercial Mortgage Trust |  |
| 16323000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C7-XE <br>0.930%, 12/10/2054<sup>(c)(i)(j)</sup> | 517313 |
| 7346000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C7-XF <br>0.930%, 12/10/2054<sup>(c)(i)(j)</sup> | 227142 |
|  | CG-CCRE Commercial Mortgage Trust |  |
| 101034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-FL2-COL1 <br>7.818%, 11/15/2031<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 3.500% | 87192 |
| 197257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-FL2-COL2 <br>8.818%, 11/15/2031<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 4.500% | 144813 |
|  | Chase Mortgage Finance Trust |  |
| 1299659 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-S3-1A15 <br>6.000%, 05/25/2037 | 679699 |
|  | CIM Trust |  |
| 393893 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NR2-A1 <br>2.568%, 07/25/2059<sup>(c)(g)</sup> | 364655 |
|  | Citicorp Mortgage Securities Trust |  |
| 1592047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7-1A1 <br>6.000%, 12/25/2036 | 1327206 |
|  | Citigroup Commercial Mortgage Trust |  |
| 870000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC21-D <br>4.941%, 05/10/2047<sup>(c)(i)</sup> | 635973 |
|  | Citigroup Mortgage Loan Trust, Inc. |  |
| 154486 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5-2A2 <br>5.750%, 08/25/2035 | 106201 |
| 1891497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5-3A2A <br>3.424%, 10/25/2035<sup>(i)</sup> | 1165718 |
| 1763596 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-12-1A2 <br>3.330%, 04/25/2036<sup>(c)(i)</sup> | 1058177 |
|  | CitiMortgage Alternative Loan Trust |  |
| 151899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A5-1A13 <br>4.839%, 10/25/2036<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.450% | 126797 |
| 149391 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A5-1A2 <br>2.161%, 10/25/2036<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.550% | 9432 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| $1343191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A6-1A5 <br>6.000%, 06/25/2037 | $1149842 |
|  | COMM Mortgage Trust |  |
| 460000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-CR3-B <br>3.922%, 10/15/2045<sup>(c)</sup> | 402402 |
| 40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-LC4-C <br>5.298%, 12/10/2044<sup>(i)</sup> | 39609 |
| 1868035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-UBS4-F <br>3.750%, 08/10/2047<sup>(c)</sup> | 396523 |
| 3204626 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-UBS4-G <br>3.750%, 08/10/2047<sup>(c)</sup> | 218295 |
| 7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-UBS4-V <br>0.000%, 08/10/2047<sup>(c)(i)</sup> | 1 |
| 1989000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-HCLV-D <br>6.595%, 09/15/2033<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 2.177% | 1738376 |
|  | Connecticut Avenue Securities Trust |  |
| 100156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R01-1M2 <br>6.439%, 01/25/2040<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 2.050% | 99529 |
| 170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01-1B1 <br>7.028%, 10/25/2041<sup>(c)(h)(i)</sup> <br>SOFR 30-day + 3.100% | 160252 |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R03-1B2 <br>13.778%, 03/25/2042<sup>(c)(h)(i)</sup> <br>SOFR 30-day + 9.850% | 992239 |
|  | Countrywide Home Loan Mortgage Pass-Through Trust |  |
| 4899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB4-2A1 <br>3.894%, 09/20/2034<sup>(i)</sup> | 4415 |
| 443572 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-23-A1 <br>5.500%, 11/25/2035 | 255571 |
| 1975585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-9-A1 <br>6.000%, 05/25/2036 | 998742 |
| 115995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-10-A5 <br>6.000%, 07/25/2037 | 57227 |
| 469694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-13-A5 <br>6.000%, 08/25/2037 | 251952 |
|  | Credit Suisse First Boston Mortgage Securities Corp. |  |
| 972112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-11-7A1 <br>6.000%, 12/25/2035 | 550895 |
|  | Credit Suisse First Boston Mortgage- Backed Pass-Through Certificates |  |
| 30664 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-27-4A4 <br>5.750%, 11/25/2033 | 29760 |
| 2271704 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-10-10A3 <br>6.000%, 11/25/2035 | 680479 |
|  | Credit Suisse Mortgage-Backed Trust |  |
| 631220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-6-1A10 <br>6.000%, 07/25/2036 | 338652 |
| 650041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1-4A1 <br>6.500%, 02/25/2022 | 84992 |
| 30967 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2-2A5 <br>5.000%, 03/25/2037 | 24038 |
| 635000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA-D <br>4.373%, 09/15/2037<sup>(c)</sup> | 470902 |
| 1475000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA-E <br>4.373%, 09/15/2037<sup>(c)</sup> | 826609 |
| 302215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-RPL3-A1 <br>2.691%, 03/25/2060<sup>(c)(i)</sup> | 284253 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **57** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** |
| $1100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM1-B2 <br>3.831%, 05/25/2065<sup>(c)(i)</sup> | $691464 |
| 490000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RPL1-A2 <br>3.937%, 09/27/2060<sup>(c)</sup> | 463397 |
|  | DBUBS Mortgage Trust |  |
| 310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-BRBK-D <br>3.530%, 10/10/2034<sup>(c)(i)</sup> | 277572 |
|  | Deutsche Mortgage & Asset Receiving Corp. |  |
| 1856868 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-RS1-1A2 <br>6.500%, 07/27/2037<sup>(c)(i)</sup> | 1481412 |
|  | Deutsche Mortgage Securities, Inc. Mortgage Loan Trust |  |
| 76243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-PR1-3A1 <br>6.079%, 04/15/2036<sup>(c)(h)(i)</sup> <br>-1.4\*1 mo. USD LIBOR + 12.124% | 69244 |
|  | DOLP Trust |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NYC-F <br>3.704%, 05/10/2041<sup>(c)(i)</sup> | 310526 |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NYC-G <br>3.704%, 05/10/2041<sup>(c)(i)</sup> | 298145 |
|  | DSLA Mortgage Loan Trust |  |
| 90153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AR5-2A1A <br>4.999%, 09/19/2045<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.660% | 56879 |
|  | Federal Home Loan Mortgage Corp. REMICS |  |
| 343231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3118-SD <br>2.382%, 02/15/2036<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.700% | 24518 |
| 115206 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3301-MS <br>1.782%, 04/15/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.100% | 8527 |
| 147239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3303-SE <br>1.762%, 04/15/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.080% | 11073 |
| 95706 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3303-SG <br>1.782%, 04/15/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.100% | 7760 |
| 22233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3382-SB <br>1.682%, 11/15/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.000% | 1351 |
| 140273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3382-SW <br>1.982%, 11/15/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.300% | 10516 |
| 33220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3384-S <br>2.072%, 11/15/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.390% | 1875 |
| 92607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3384-SG <br>1.992%, 08/15/2036<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.310% | 7736 |
| 1204329 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3404-SA <br>1.682%, 01/15/2038<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.000% | 92751 |
| 19870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3417-SX <br>1.862%, 02/15/2038<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.180% | 1329 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| $30776 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3423-GS <br>1.332%, 03/15/2038<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.650% | $1620 |
| 232993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3423-TG <br>0.350%, 03/15/2038<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.000% | 1077 |
| 1431365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3435-S <br>1.662%, 04/15/2038<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.980% | 115958 |
| 39474 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3445-ES <br>1.682%, 05/15/2038<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.000% | 2062 |
| 215045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3523-SM <br>1.682%, 04/15/2039<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.000% | 13644 |
| 111260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3560-KS <br>2.082%, 11/15/2036<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.400% | 4598 |
| 47780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3598-SA <br>2.032%, 11/15/2039<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.350% | 3059 |
| 65061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3641-TB <br>4.500%, 03/15/2040 | 63794 |
| 181762 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3728-SV <br>0.132%, 09/15/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 4.450% | 5185 |
| 114404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3758-S <br>1.712%, 11/15/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.030% | 8971 |
| 227165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3770-SP <br>2.182%, 11/15/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.500% | 3759 |
| 166331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3815-ST <br>1.532%, 02/15/2041<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.850% | 13174 |
| 348972 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3859-SI <br>2.282%, 05/15/2041<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.600% | 30056 |
| 92434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3872-SL <br>1.632%, 06/15/2041<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.950% | 6487 |
| 79948 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3900-SB <br>1.652%, 07/15/2041<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.970% | 4024 |
| 14996 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3946-SM <br>1.746%, 10/15/2041<sup>(h)(i)</sup> <br>-3\*1 mo. USD LIBOR + 14.700% | 11416 |
| 231099 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3972-AZ <br>3.500%, 12/15/2041 | 207221 |
| 1335077 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3984-DS <br>1.632%, 01/15/2042<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.950% | 98132 |
| 2664907 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4080-DS <br>2.382%, 03/15/2041<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.700% | 157581 |
| 1358240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4239-OU <br>0.010%, 07/15/2043<sup>(d)(m)</sup> | 806110 |
| 1446302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4291-MS <br>1.582%, 01/15/2054<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.900% | 115071 |
| 480835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4314-MS <br>1.782%, 07/15/2043<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.100% | 15163 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **58** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** |
| $7154536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5057-TI <br>3.000%, 11/25/2050<sup>(j)</sup> | $1156383 |
| 6166474 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5070-MI <br>3.500%, 02/25/2051<sup>(j)</sup> | 972189 |
|  | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes REMIC |  |
| 241326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA4 M1A <br>6.128%, 05/25/2042<sup>(c)(h)(i)</sup> <br>SOFR 30-day + 2.200% | 240694 |
|  | Federal National Mortgage Association |  |
| 22860238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M25-X <br>0.129%, 11/25/2029<sup>(i)(j)</sup> | 184626 |
| 25785814 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M5-X <br>0.495%, 02/25/2029<sup>(i)(j)</sup> | 507137 |
| 24484551 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M23-X1 <br>0.603%, 11/01/2031<sup>(i)(j)</sup> | 545680 |
|  | Federal National Mortgage Association REMICS |  |
| 155031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-84-PZ <br>5.000%, 09/25/2033 | 154425 |
| 193346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-42-SA <br>2.411%, 05/25/2035<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.800% | 3976 |
| 1174331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-92-LI <br>2.191%, 10/25/2036<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.580% | 90723 |
| 322416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-39-AI <br>1.731%, 05/25/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.120% | 22615 |
| 92901 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-57-SX <br>2.231%, 10/25/2036<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.620% | 7843 |
| 18226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-68-SA <br>2.261%, 07/25/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.650% | 1331 |
| 22300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1-CI <br>1.911%, 02/25/2038<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.300% | 1778 |
| 944827 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-33-SA <br>1.611%, 04/25/2038<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.000% | 68181 |
| 11026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-56-SB <br>1.671%, 07/25/2038<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.060% | 438 |
| 1791326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-110-SD <br>1.861%, 01/25/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.250% | 119389 |
| 17508 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-111-SE <br>1.861%, 01/25/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.250% | 1602 |
| 144785 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86-CI <br>1.411%, 09/25/2036<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.800% | 6135 |
| 63436 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-87-SA <br>1.611%, 11/25/2049<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.000% | 6577 |
| 30869 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-90-IB <br>1.331%, 04/25/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.720% | 1306 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| $28809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-11-SC <br>0.411%, 02/25/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 4.800% | $1120 |
| 22431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-115-SD <br>2.211%, 11/25/2039<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.600% | 1953 |
| 1836235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-123-SK <br>1.661%, 11/25/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.050% | 165751 |
| 143150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-134-SE <br>2.261%, 12/25/2025<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.650% | 1768 |
| 120488 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-15-SL <br>0.561%, 03/25/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 4.950% | 5694 |
| 30676 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-9-GS <br>0.361%, 02/25/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 4.750% | 830 |
| 6420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-110-LS <br>1.860%, 11/25/2041<sup>(h)(i)</sup> <br>-2\*1 mo. USD LIBOR + 10.100% | 4685 |
| 63151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-111-VZ <br>4.000%, 11/25/2041 | 59454 |
| 302353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-141-PZ <br>4.000%, 01/25/2042 | 288858 |
| 8458 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-5-PS <br>2.011%, 11/25/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.400% | 37 |
| 1234597 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-93-ES <br>2.111%, 09/25/2041<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.500% | 93919 |
| 766729 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-106-SA <br>1.771%, 10/25/2042<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.160% | 63001 |
| 1803987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-50-WS <br>1.811%, 08/25/2044<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.200% | 114996 |
| 6928646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-31-S <br>1.661%, 07/25/2049<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.050% | 652771 |
| 18128424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M12-X <br>0.571%, 06/25/2029<sup>(i)(j)</sup> | 465496 |
| 8005315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M24-2XA <br>1.141%, 03/25/2031<sup>(i)(j)</sup> | 337270 |
| 21426426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M7-X <br>0.330%, 04/25/2029<sup>(i)(j)</sup> | 353465 |
| 27068948 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M10-X4 <br>0.885%, 07/25/2032<sup>(i)(j)</sup> | 1629854 |
| 17474035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M10-X9 <br>0.798%, 12/25/2027<sup>(i)(j)</sup> | 460198 |
| 7337211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M13-X2 <br>1.231%, 09/25/2030<sup>(i)(j)</sup> | 261559 |
| 12639234 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M6-X <br>1.271%, 10/25/2024<sup>(i)(j)</sup> | 150813 |
| 67855000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M4-X2 <br>0.184%, 05/25/2030<sup>(i)(j)</sup> | 829419 |
|  | First Horizon Alternative Mortgage Securities Trust |  |
| 607143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FA6-1A4 <br>6.250%, 11/25/2036<sup>(i)</sup> | 300167 |
| 215036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FA4-1A7 <br>6.000%, 08/25/2037<sup>(i)</sup> | 90052 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **59** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** |
|  | First Horizon Mortgage Pass-Through Trust |  |
| $107169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1-1A10 <br>6.000%, 05/25/2036<sup>(i)</sup> | $53116 |
|  | Fontainebleau Miami Beach Trust |  |
| 574000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-FBLU H <br>3.963%, 12/10/2036<sup>(c)(i)</sup> | 508469 |
|  | GCAT Trust |  |
| 46013 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-RPL1-A1 <br>2.650%, 10/25/2068<sup>(c)(i)</sup> | 43386 |
|  | Government National Mortgage Association |  |
| 360571 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-21-S <br>1.874%, 04/16/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.200% | 17342 |
| 121164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-69-SB <br>3.277%, 08/20/2038<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 7.630% | 8972 |
| 138491 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-104-SD <br>2.024%, 11/16/2039<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.350% | 10285 |
| 15177 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-98-IA <br>5.526%, 03/20/2039<sup>(i)(j)</sup> | 978 |
| 199822 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-45-GZ <br>4.500%, 03/20/2041 | 192034 |
| 65010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-69-OC <br>0.010%, 05/20/2041<sup>(d)(m)</sup> | 53778 |
| 1319469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-69-SC <br>1.027%, 05/20/2041<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.380% | 85420 |
| 238704 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-89-SA <br>1.097%, 06/20/2041<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.450% | 16427 |
| 818800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-102-BS <br>1.797%, 03/20/2043<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.150% | 44497 |
| 12398946 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-155-IB <br>0.162%, 09/16/2053<sup>(i)(j)</sup> | 57463 |
| 1739839 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-145-CS <br>1.274%, 05/16/2044<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.600% | 113175 |
| 1112931 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-156-PS <br>1.897%, 10/20/2044<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.250% | 102519 |
| 2715661 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-4-SA <br>1.774%, 01/16/2044<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.100% | 243584 |
| 4726859 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-41-SA <br>1.747%, 03/20/2044<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.100% | 432842 |
| 1915400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-5-SA <br>1.197%, 01/20/2044<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.550% | 147068 |
| 2492476 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-58-SG <br>1.274%, 04/16/2044<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.600% | 147082 |
| 1914718 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-76-SA <br>1.247%, 01/20/2040<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.600% | 147080 |

---

---

| | |
|:---|:---|
| **Principal<br>Amount^** | **Value** |
| $2734195 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-95-CS <br>1.924%, 06/16/2044<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.250% | $199273 |
| 8177123 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-162-IO <br>0.677%, 09/16/2058<sup>(i)(j)</sup> | 261721 |
| 1930439 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-105-SH <br>1.897%, 08/20/2048<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.250% | 167906 |
| 20290608 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-111-SA <br>0.197%, 08/20/2048<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 4.550% | 465369 |
| 8414750 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-134-CS <br>1.847%, 10/20/2048<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.200% | 657999 |
| 6570909 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-22-SA <br>1.247%, 02/20/2045<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.600% | 669950 |
| 5929013 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H10-BI <br>0.005%, 06/20/2069<sup>(i)(j)</sup> | 193684 |
| 6741057 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-112-BS <br>1.897%, 08/20/2050<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.250% | 666353 |
| 11440793 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-115-SC <br>0.261%, 08/20/2050<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 4.200% | 445611 |
| 6007003 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-142-SD <br>1.947%, 09/20/2050<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.300% | 782439 |
| 6764744 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-146-SH <br>1.947%, 10/20/2050<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.300% | 721690 |
| 9752623 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-168-IA <br>0.969%, 12/16/2062<sup>(i)(j)</sup> | 669995 |
| 5500339 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-188-LS <br>1.947%, 11/20/2050<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.300% | 728353 |
| 5222652 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-47-SL <br>1.017%, 07/20/2044<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 5.370% | 330293 |
| 10161280 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H11-HI <br>0.168%, 06/20/2070<sup>(i)(j)</sup> | 441071 |
| 10344860 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H18-AI <br>0.390%, 09/20/2070<sup>(i)(j)</sup> | 499521 |
| 7023125 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H19-BI <br>0.643%, 11/20/2070<sup>(i)(j)</sup> | 400100 |
| 5963160 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1-QS <br>1.947%, 01/20/2051<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.300% | 642792 |
| 8347595 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-107-SA <br>0.261%, 06/20/2051<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 3.750% | 325300 |
| 17931131 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-213-SN <br>0.280%, 12/20/2051<sup>(h)(i)(j)</sup> <br>-1\*SOFR 30-day + 3.200% | 378236 |
| 9472465 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-52-IO <br>0.718%, 04/16/2063<sup>(i)(j)</sup> | 524377 |
| 4890767 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-59-S <br>0.316%, 04/20/2051<sup>(h)(i)(j)</sup> <br>-1\*SOFR 30-day + 2.600% | 74371 |
| 9917039 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-77-IH <br>2.500%, 05/20/2051<sup>(j)</sup> | 1129923 |
| 12071448 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-89-SA <br>0.261%, 05/20/2051<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 3.750% | 421639 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **60** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** |
| $22299475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-97-SA <br>0.316%, 06/20/2051<sup>(h)(i)(j)</sup> <br>-1\*SOFR 30-day + 2.600% | $212407 |
| 8722412 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-97-SB <br>0.261%, 06/20/2051<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 3.750% | 228190 |
| 39939089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H08-QI <br>1.062%, 05/20/2071<sup>(i)(j)</sup> | 834915 |
| 14596417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H19-AI <br>1.891%, 11/20/2071<sup>(i)(j)</sup> | 845368 |
| 15177735 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-48 IO <br>0.711%, 01/16/2064<sup>(i)(j)</sup> | 932418 |
|  | GS Mortgage Securities Corp. II |  |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ARDN-H <br>10.251%, 11/15/2026<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 5.933% | 530014 |
|  | GS Mortgage Securities Corp. Trust |  |
| 1125000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-PEMB-C <br>3.550%, 03/05/2033<sup>(c)(i)</sup> | 931356 |
| 1503000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TWR-G <br>8.493%, 07/15/2031<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 4.175% | 1205887 |
|  | GS Mortgage Securities Trust |  |
| 130000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-GC5-C <br>5.154%, 08/10/2044<sup>(c)(i)</sup> | 102919 |
| 1010000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-GC5-D <br>5.154%, 08/10/2044<sup>(c)(i)</sup> | 433394 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC18-B <br>4.885%, 01/10/2047<sup>(i)</sup> | 91748 |
| 1344000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC26-D <br>4.521%, 11/10/2047<sup>(c)(i)</sup> | 908993 |
| 5673000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GSA3-XF <br>1.412%, 12/15/2054<sup>(c)(i)(j)</sup> | 478727 |
|  | GSCG Trust |  |
| 710000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-600C-H <br>3.985%, 09/06/2034<sup>(c)(i)</sup> | 564016 |
|  | GSR Mortgage Loan Trust |  |
| 33195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4F-6A1 <br>6.500%, 02/25/2035 | 31100 |
| 505344 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9F-2A1 <br>6.000%, 01/25/2036 | 255658 |
| 70017 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AR6-4A5 <br>4.143%, 09/25/2035<sup>(i)</sup> | 64224 |
| 220822 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7F-3A4 <br>6.250%, 08/25/2036<sup>(i)</sup> | 81110 |
|  | HarborView Mortgage Loan Trust |  |
| 184684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-11-2A2A <br>4.979%, 01/19/2035<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.640% | 153246 |
|  | Hospitality Mortgage Trust |  |
| 993090 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-HIT-G <br>8.218%, 11/15/2036<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 3.900% | 923352 |
|  | Imperial Fund Mortgage Trust |  |
| 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM3-B2 <br>4.162%, 11/25/2056<sup>(c)(i)</sup> | 1028332 |
|  | IndyMac INDX Mortgage Loan Trust |  |
| 116816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR7-A5 <br>5.609%, 09/25/2034<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 1.220% | 101011 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| $202173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AR11-A3 <br>3.229%, 08/25/2035<sup>(i)</sup> | $162053 |
| 474796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR2-2A1 <br>4.809%, 02/25/2046<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.420% | 335510 |
| 2534550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-R1-A3 <br>3.354%, 12/25/2035<sup>(i)</sup> | 2071700 |
| 963035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR5-2A1 <br>3.025%, 05/25/2037<sup>(i)</sup> | 769780 |
|  | JP Morgan Chase Commercial Mortgage Securities Trust |  |
| 1285000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-C3-E <br>5.525%, 02/15/2046<sup>(c)(i)</sup> | 576004 |
| 310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-LC9-C <br>4.064%, 12/15/2047<sup>(c)(i)</sup> | 294110 |
| 1531000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-MFP-F <br>7.318%, 07/15/2036<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 3.000% | 1399947 |
| 683000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-MFP-G <br>8.368%, 07/15/2036<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 4.050% | 620888 |
| 683000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-MFP-XG <br>0.500%, 07/15/2036<sup>(c)(i)(j)</sup> | 2283 |
| 219000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-UES-C <br>4.343%, 05/05/2032<sup>(c)(i)</sup> | 204021 |
| 224000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-UES-D <br>4.452%, 05/05/2032<sup>(c)(i)</sup> | 206285 |
| 261000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-UES-E <br>4.452%, 05/05/2032<sup>(c)(i)</sup> | 238779 |
| 274000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-UES-F <br>4.452%, 05/05/2032<sup>(c)(i)</sup> | 250354 |
| 299000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-UES-G <br>4.452%, 05/05/2032<sup>(c)(i)</sup> | 268427 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JP Morgan Mortgage Trust |  |
| 182561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S1-2A1 <br>6.000%, 09/25/2034 | 175221 |
| 1454028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-ALT1-3A1 <br>3.548%, 10/25/2035<sup>(i)</sup> | 1141393 |
| 16631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1-4A2 <br>3.939%, 07/25/2035<sup>(b)(i)</sup> | 15724 |
| 553199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-S3-1A97 <br>6.000%, 08/25/2037 | 307605 |
|  | JPMBB Commercial Mortgage Securities Trust |  |
| 78000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C27-D <br>3.806%, 02/15/2048<sup>(c)(i)</sup> | 63608 |
| 4749500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C27-XFG <br>1.306%, 02/15/2048<sup>(c)(i)(j)</sup> | 110322 |
|  | Legacy Mortgage Asset Trust |  |
| 758376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GS1-A1 <br>2.882%, 10/25/2059<sup>(c)(g)</sup> | 754483 |
| 3300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GS3-A2 <br>4.000%, 05/25/2060<sup>(c)(g)</sup> | 2955506 |
| 149547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GS5-A1 <br>3.250%, 06/25/2060<sup>(c)(g)</sup> | 147530 |
|  | Lehman Mortgage Trust |  |
| 582678 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2-2A3 <br>5.750%, 04/25/2036 | 582966 |
| 894987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1 1A2 <br>5.750%, 02/25/2037 | 855874 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **61** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** |
|  | Lehman XS Trust |  |
| $77370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2N-1A1 <br>4.909%, 02/25/2046<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.520% | $67106 |
|  | LHOME Mortgage Trust |  |
| 3700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RTL1-M <br>4.458%, 02/25/2026<sup>(c)(i)</sup> | 3241138 |
|  | Master Alternative Loan Trust |  |
| 17197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9-4A1 <br>5.250%, 11/25/2033<sup>(i)</sup> | 16341 |
| 13215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5-1A1 <br>5.500%, 06/25/2034<sup>(i)</sup> | 12721 |
| 17654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5-2A1 <br>6.000%, 06/25/2034<sup>(i)</sup> | 17191 |
| 73806 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8-2A1 <br>6.000%, 09/25/2034<sup>(i)</sup> | 70132 |
|  | Med Trust |  |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MDLN-G <br>9.568%, 11/15/2038<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 5.250% | 545014 |
|  | Merrill Lynch Mortgage Investors Trust |  |
| 2938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2-2A <br>3.674%, 05/25/2036<sup>(i)</sup> | 2845 |
|  | Mill City Mortgage Loan Trust |  |
| 305000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NMR1-M3 <br>2.500%, 11/25/2060<sup>(c)(i)</sup> | 240934 |
|  | Morgan Stanley Bank of America Merrill Lynch Trust |  |
| 858000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C21-C <br>4.129%, 03/15/2048<sup>(i)</sup> | 718194 |
|  | Morgan Stanley Bank of America Merrill Lynch Trust |  |
| 560000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-C11-B <br>4.398%, 08/15/2046<sup>(i)</sup> | 463034 |
| 1155000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C31-D <br>3.000%, 11/15/2049<sup>(c)(i)</sup> | 762057 |
|  | Morgan Stanley Capital I Trust |  |
| 182512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-C2-D <br>5.211%, 06/15/2044<sup>(c)(i)</sup> | 171473 |
| 540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-C2-E <br>5.211%, 06/15/2044<sup>(c)(i)</sup> | 411398 |
| 613000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H4-D <br>3.000%, 12/15/2051<sup>(c)</sup> | 391834 |
| 1508000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PLND-F <br>7.118%, 05/15/2036<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 2.800% | 1018608 |
|  | Morgan Stanley Mortgage Loan Trust |  |
| 1330924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9AR-2A <br>3.817%, 12/25/2035<sup>(i)</sup> | 1209216 |
| 2236041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-11-2A2 <br>6.000%, 08/25/2036<sup>(i)</sup> | 1054708 |
| 269097 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7-3A <br>5.137%, 06/25/2036<sup>(i)</sup> | 179108 |
| 224685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-13-6A1 <br>6.000%, 10/25/2037<sup>(i)</sup> | 132598 |
|  | NewRez Warehouse Securitization Trust |  |
| 2200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1-F <br>9.639%, 05/25/2055<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 5.250% | 2102504 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
|  | Preston Ridge Partners Mortgage LLC |  |
| $400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2-A2 <br>3.770%, 03/25/2026<sup>(c)(i)</sup> | $345323 |
| 341404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9-A1 <br>2.363%, 10/25/2026<sup>(c)(g)</sup> | 309377 |
|  | Prime Mortgage Trust |  |
| 846175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-DR1-2A1 <br>5.500%, 05/25/2035<sup>(c)</sup> | 728606 |
|  | Residential Accredit Loans, Inc. |  |
| 246101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QS17-A5 <br>6.000%, 12/25/2036 | 194935 |
| 302047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QS7-A3 <br>6.000%, 06/25/2036 | 240033 |
| 354646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QS1-2A10 <br>6.000%, 01/25/2037 | 265643 |
| 305911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QS8-A8 <br>6.000%, 06/25/2037 | 235110 |
|  | Residential Asset Securitization Trust |  |
| 196150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A8-1A1 <br>6.000%, 08/25/2036 | 129395 |
| 226561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1-A8 <br>6.000%, 03/25/2037 | 78389 |
| 15386514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A9-A1 <br>4.939%, 09/25/2037<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.550% | 4386454 |
| 15386514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A9-A2 <br>2.061%, 09/25/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.450% | 2490073 |
|  | Residential Funding Mortgage Securities I Trust |  |
| 290153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-S4-A5 <br>6.000%, 04/25/2036 | 237656 |
|  | SMR Mortgage Trust |  |
| 1205738 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-IND-G <br>11.836%, 02/15/2039<sup>(c)(h)(i)</sup> <br>TSFR1M + 7.500% | 1119082 |
|  | SREIT Trust |  |
| 650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP2-J <br>8.234%, 11/15/2036<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 3.916% | 601585 |
|  | Starwood Retail Property Trust |  |
| 235000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-STAR-C <br>7.068%, 11/15/2027<sup>(b)(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 2.750% | 113397 |
| 980000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-STAR-D <br>7.818%, 11/15/2027<sup>(b)(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 3.500% | 263566 |
| 950000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-STAR-E <br>8.718%, 11/15/2027<sup>(b)(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 4.400% | 90287 |
|  | Structured Adjustable Rate Mortgage Loan Trust |  |
| 483573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-14-A1 <br>4.699%, 07/25/2035<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.310% | 310719 |
| 227960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-15-1A1 <br>3.652%, 07/25/2035<sup>(i)</sup> | 141058 |
| 194745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22-3A1 <br>4.392%, 12/25/2035<sup>(i)</sup> | 143659 |
| 482382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1-A2 <br>3.547%, 10/25/2037<sup>(i)</sup> | 385332 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **62** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** |
|  | Structured Asset Securities Corp. |  |
| $5833590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4-1A3 <br>1.861%, 03/28/2045<sup>(c)(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.250% | $360911 |
|  | Toorak Mortgage Corp. Ltd. |  |
| 630000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1-A1 <br>2.240%, 06/25/2024<sup>(c)(g)</sup> | 598475 |
|  | TTAN |  |
| 592098 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC-G <br>8.518%, 03/15/2038<sup>(c)(h)(i)</sup> <br>1 mo. USD LIBOR + 4.200% | 554268 |
|  | UBS-Barclays Commercial Mortgage Trust |  |
| 305000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-C2-E <br>4.702%, 05/10/2063<sup>(c)(i)</sup> | 5604 |
| 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-C5-C <br>4.065%, 03/10/2046<sup>(c)(i)</sup> | 914646 |
|  | Verus Securitization Trust |  |
| 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-7-B2 <br>4.192%, 10/25/2066<sup>(c)(i)</sup> | 1204176 |
|  | Washington Mutual Mortgage Pass-Through Certificates Trust |  |
| 374290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-5-1A5 <br>6.000%, 07/25/2036 | 273676 |
| 384885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8-A6 <br>4.174%, 10/25/2036<sup>(g)</sup> | 142371 |
| 2147323 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-5-A3 <br>7.000%, 06/25/2037 | 1264907 |
|  | Wells Fargo Alternative Loan Trust |  |
| 95306 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-PA2-3A1 <br>4.739%, 06/25/2037<sup>(h)(i)</sup> <br>1 mo. USD LIBOR + 0.350% | 67666 |
| 140401 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-PA2-3A2 <br>2.261%, 06/25/2037<sup>(h)(i)(j)</sup> <br>-1\*1 mo. USD LIBOR + 6.650% | 8261 |
|  | Wells Fargo Commercial Mortgage Trust |  |
| 640000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-LC12-B <br>4.296%, 07/15/2046<sup>(i)</sup> | 607567 |
| 19971000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C28-XE <br>1.083%, 05/15/2048<sup>(c)(i)(j)</sup> | 454965 |
| 600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C34-C <br>5.060%, 06/15/2049<sup>(i)</sup> | 497181 |
| 135000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C36-B <br>3.671%, 11/15/2059<sup>(i)</sup> | 112836 |
| 130000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C36-C <br>4.134%, 11/15/2059<sup>(i)</sup> | 99712 |
| 6406000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C42-XE <br>1.300%, 12/15/2050<sup>(c)(i)(j)</sup> | 316733 |
| 1225000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-JWDR-C <br>3.038%, 09/15/2031<sup>(c)(i)</sup> | 1062382 |
|  | Wells Fargo Mortgage-Backed Securities Trust |  |
| 48356 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR19-A1 <br>4.564%, 12/25/2036<sup>(i)</sup> | 46056 |
|  | WFRBS Commercial Mortgage Trust |  |
| 653255 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-C3-D <br>5.378%, 03/15/2044<sup>(c)(i)</sup> | 273453 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| $395000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-C4-E <br>4.844%, 06/15/2044<sup>(c)(i)</sup> | $319368 |
| 1020000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-C10-C <br>4.357%, 12/15/2045<sup>(i)</sup> | 917996 |
| 152988 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-C7-C <br>4.651%, 06/15/2045<sup>(i)</sup> | 110838 |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-C7-D <br>4.651%, 06/15/2045<sup>(c)(i)</sup> | 162000 |
| 279887 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-C7-E <br>4.651%, 06/15/2045<sup>(c)(i)</sup> | 6612 |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C20-B <br>4.378%, 05/15/2047<sup>(i)</sup> | 259071 |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C24-B <br>4.204%, 11/15/2047<sup>(i)</sup> | 227557 |
| **TOTAL MORTGAGE-BACKED SECURITIES**<br>(Cost $162,796,963) | **TOTAL MORTGAGE-BACKED SECURITIES**<br>(Cost $162,796,963) | 124315250 |
| **SHORT-TERM INVESTMENTS: 26.9%** | **SHORT-TERM INVESTMENTS: 26.9%** | **SHORT-TERM INVESTMENTS: 26.9%** |
| **REPURCHASE AGREEMENTS: 24.3%** | **REPURCHASE AGREEMENTS: 24.3%** | **REPURCHASE AGREEMENTS: 24.3%** |
| 247795000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed Income Clearing Corp. 1.280%, 12/30/2022, due 01/03/2023 [collateral: par value $245,657,200, U.S. Treasury Notes, 3.00%, due 06/30/2024, and $12,695,000 Federal Home Loan Bank, 4.875%, due 09/13/2024, value $252,838,636] (proceeds $247,830,242) | 247795000 |
| **TOTAL REPURCHASE AGREEMENTS<br>(**Cost $247,795,000) | **TOTAL REPURCHASE AGREEMENTS<br>(**Cost $247,795,000) | 247795000 |
| **TREASURY BILLS: 2.6%** | **TREASURY BILLS: 2.6%** | **TREASURY BILLS: 2.6%** |
|  | United States Treasury Bill |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.159%, 02/23/2023<sup>(a)(d)(n)</sup> | 496995 |
| 6000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.446%, 04/20/2023<sup>(a)(d)(n)</sup> | 5921863 |
| 3890000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.574%, 06/15/2023<sup>(a)(d)(n)</sup> | 3811670 |
| 6000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.624%, 07/13/2023<sup>(a)(d)(n)</sup> | 5857562 |
| 6500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.593%, 08/10/2023<sup>(a)(d)(n)</sup> | 6324877 |
| 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.547%, 09/07/2023<sup>(a)(d)(n)</sup> | 2909999 |
| 1460000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.718%, 11/02/2023<sup>(a)(d)(n)</sup> | 1404653 |
| **TOTAL TREASURY BILLS**<br>(Cost $26,903,836) | **TOTAL TREASURY BILLS**<br>(Cost $26,903,836) | 26727619 |
| **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost $274,698,836) | **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost $274,698,836) | 274522619 |
| **TOTAL PURCHASED OPTIONS**<br>(Cost $156,657): 0.0% | **TOTAL PURCHASED OPTIONS**<br>(Cost $156,657): 0.0% | 109908 |
| **TOTAL INVESTMENTS**<br>(Cost: $1,087,052,055): 95.6%  | **TOTAL INVESTMENTS**<br>(Cost: $1,087,052,055): 95.6%  | 973997730 |
| Other Assets in Excess of Liabilities: 4.4% | Other Assets in Excess of Liabilities: 4.4% | 44623084 |
| **NET ASSETS: 100.0%** | **NET ASSETS: 100.0%** | $**1018620814** |

---

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

BADLARPP Argentina Badlar Floating Rate Notes

CLO Collateralized Loan Obligation

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **63** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

CMT Constant Maturity Treasury Index

CVR Contingent Value Rights

EURIBOR Euro Interbank Offered Rate

FEDL01 Federal Funds Rate

LIBOR London Interbank Offered Rate

LP Limited Partnership

PIK Payment-in-kind

REIT Real Estate Investment Trust

REMICS Real Estate Mortgage Investment Conduit

SABOR South African Benchmark Overnight Rate

SOFR Secured Overnight Financing Rate

TSFR CME term SOFR

\* Non-Income Producing Security.

---

| | |
|:---|:---|
| ^ | The principal amount is stated in U.S. Dollars unless otherwise indicated.  |

---

(a) Securities with an aggregate fair value of $52,074,877 have been pledged as collateral for options, total return swaps,
credit default swaps, securities sold short and futures positions.

(b) Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board
of Trustees.

(c) Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from
registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933.

(d) Issued with a zero coupon. Income is recognized through the accretion of discount.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

(e) Perpetual Call.

(f) Pay-in-kind security.

(g) Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at December 31,
2022. (h) Floating Interest Rate at December 31, 2022.

(i) Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at December 31, 2022.

(j) Interest Only security. Security with a notional or nominal principal amount.

(k) This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not
known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.

(l) Security is currently in default and/or non-income producing.

(m) Principal Only security.

(n) The rate shown represents yield-to-maturity.

**CURRENCY ABBREVIATIONS:** 

ARS Argentine Peso

CAD Canadian Dollar

CHF Swiss Franc

COP Colombian Peso

---

| | |
|:---|:---|
| EUR | Euro  |

---

GBP British Pound

SEK Swedish Krona

ZAR South African Rand

**UNFUNDED LOAN COMMITMENTS**—At December 31, 2022, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:

---

| | | | |
|:---|:---|:---|:---|
| **Borrower** | **Principal<br>Amount** | **Current<br>Value** | **Unrealized<br>Gain (Loss)** |
|  Lealand Finance Company B.V., 0.500%, 06/28/2024 | $248000 | $202120 | $(45880) |

---

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN PURCHASED OPTIONS at December 31, 2022** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Fair<br>Value** | **Premiums<br>Paid** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
|  **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** |
|  **Call** | **Call** | **Call** | **Call** | **Call** | **Call** | **Call** | **Call** | **Call** |
|  Forgerock, Inc. | Morgan Stanley & Co. | $25.00 | 1/20/2023 | 701 | $1596177 | $17525 | $28153 | $(10628) |
|  Meridian Bioscience, Inc. | Morgan Stanley & Co. | 35.00 | 4/21/2023 | 155 | 514755 | 1550 | 1980 | (430) |
|  USertesting, Inc. | Morgan Stanley & Co. | 7.50 | 1/20/2023 | 82 | 61582 | 410 | 957 | (547) |
|  USertesting, Inc. | Morgan Stanley & Co. | 7.50 | 2/17/2023 | 82 | 61582 | 410 | 957 | (547) |
|  USertesting, Inc. | Morgan Stanley & Co. | 7.50 | 5/19/2023 | 42 | 31542 | 420 | 490 | (70) |
|  **Put** | **Put** | **Put** | **Put** | **Put** | **Put** | **Put** | **Put** | **Put** |
|  Horizon Therapeutics Plc | Morgan Stanley & Co. | 85.00 | 5/19/2023 | 51 | 580380 | 1913 | 3520 | (1607) |
|  Momentive Global, Inc. | Morgan Stanley & Co. | 6.00 | 4/21/2023 | 2192 | 1534400 | 87680 | 120600 | (32920) |
|  Total Purchased Options | Total Purchased Options | Total Purchased Options |  |  |  | $109908 | $156657 | $(46749) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **64** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES SOLD SHORT at December 31, 2022** 

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **COMMON STOCKS: (0.4)%**  | **COMMON STOCKS: (0.4)%**  | **COMMON STOCKS: (0.4)%**  |
| (5834) | Broadcom, Inc. | $(3261965) |
| (8572) | Cineplex, Inc.\* | (50988) |
| (1729) | Intercontinental Exchange, Inc. | (177378) |
| (14219) | MaxLinear, Inc.\* | (482735) |
| (15178) | Meridian Bioscience, Inc.\* | (504061) |
| **TOTAL COMMON STOCKS**<br>(Proceeds $4,520,194) | **TOTAL COMMON STOCKS**<br>(Proceeds $4,520,194) | $(4477127) |
| **TOTAL SECURITIES SOLD SHORT**<br>(Proceeds $4,520,194) | **TOTAL SECURITIES SOLD SHORT**<br>(Proceeds $4,520,194) | $(4477127) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **65** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at December 31, 2022** 

At December 31, 2022, the Fund had the following forward foreign currency exchange contracts:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | | **Asset<br>Derivatives** | **Liability<br>Derivatives** |
| <br>**Counterparty** |<br>**Settlement Date** | <br>**Fund<br>Receiving** |<br>**U.S. $ Value at<br>December 31, 2022** | <br>**Fund<br>Delivering** |<br>**U.S. $ Value at<br>December 31, 2022** | **Unrealized<br>Appreciation** | **Unrealized<br>Depreciation** |
|  Bank of America N.A. | 1/30/2023 | USD | $1625061 | EUR | $1748107 | $— | $(123046) |
|  Barclays Bank Plc | 1/30/2023 | USD | 492021 | EUR | 530541 |  | (38520) |
|  JPMorgan Chase Bank N.A. | 1/10/2023 | EUR | 604624 | USD | 561910 | 42714 |  |
|  | 1/10/2023 | EUR | 1014211 | USD | 994292 | 19919 |  |
|  | 1/10/2023 | EUR | 603859 | USD | 604147 |  | (288) |
|  | 1/10/2023 | USD | 605 | EUR | 622 |  | (17) |
|  | 1/10/2023 | USD | 652 | EUR | 689 |  | (37) |
|  | 1/10/2023 | USD | 20065 | EUR | 20627 |  | (562) |
|  | 1/10/2023 | USD | 44494 | EUR | 46147 |  | (1653) |
|  | 1/10/2023 | USD | 65755 | EUR | 69799 |  | (4044) |
|  | 1/10/2023 | USD | 59460 | EUR | 64250 |  | (4790) |
|  | 1/10/2023 | USD | 523396 | EUR | 530665 |  | (7269) |
|  | 1/10/2023 | USD | 468227 | EUR | 481995 |  | (13768) |
|  | 1/10/2023 | USD | 174860 | EUR | 188760 |  | (13900) |
|  | 1/10/2023 | USD | 602360 | EUR | 618665 |  | (16305) |
|  | 1/10/2023 | USD | 327467 | EUR | 352749 |  | (25282) |
|  | 1/10/2023 | USD | 304308 | EUR | 331311 |  | (27003) |
|  | 1/10/2023 | USD | 464659 | EUR | 493920 |  | (29261) |
|  | 1/10/2023 | USD | 406242 | EUR | 445327 |  | (39085) |
|  | 1/10/2023 | USD | 520228 | EUR | 568604 |  | (48376) |
|  Morgan Stanley & Co. | 1/11/2023 | USD | 776230 | COP | 729729 | 46501 |  |
|  | 3/15/2023 | CAD | 56707 | USD | 56226 | 481 |  |
|  | 3/15/2023 | CAD | 49609 | USD | 49278 | 331 |  |
|  | 3/15/2023 | CAD | 48574 | USD | 48388 | 186 |  |
|  | 3/15/2023 | EUR | 2258509 | USD | 2245292 | 13217 |  |
|  | 3/15/2023 | SEK | 33060 | USD | 32976 | 84 |  |
|  | 3/15/2023 | USD | 4166246 | CAD | 4208936 |  | (42690) |
|  | 3/15/2023 | USD | 48073 | EUR | 48271 |  | (198) |
|  | 3/15/2023 | USD | 65325 | EUR | 65687 |  | (362) |
|  | 3/15/2023 | USD | 44570 | EUR | 44938 |  | (368) |
|  | 3/15/2023 | USD | 4318832 | EUR | 4371453 |  | (52621) |
|  | 3/15/2023 | USD | 8337427 | GBP | 8195418 | 142009 |  |
|  | 3/15/2023 | USD | 1376965 | SEK | 1361252 | 15713 |  |
|  | 3/15/2023 | USD | 27924 | SEK | 27335 | 589 |  |
|  | 3/15/2023 | USD | 18410 | SEK | 18439 |  | (29) |
|  |  |  | $29949015 |  | $30156745 | $281744 | $(489474) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **66** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at December 31, 2022** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Number of<br>Contracts** | **Notional<br>Amount** | **Notional Value** | **Expiration<br>Date** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
|  **<u>Futures Contracts – Long</u>** |  |  |  |  |  |
|  Nasdaq 100 E-mini Futures  | 16 | $3763635 | $3527120 | 3/17/2023 | $(236515) |
|  Russell 2000 E-mini Futures  | 58 | 5310660 | 5135610 | 3/17/2023 | (175050) |
|  S&P Mid Cap 400 E-mini Futures  | 23 | 5777475 | 5617980 | 3/17/2023 | (159495) |
|  MSCI Emerging Market Index  | 63 | 3091906 | 3022110 | 3/17/2023 | (69796) |
|  U.S. Dollar Index Futures  | 57 | 5894809 | 5886333 | 3/13/2023 | (8476) |
|  Japanese Yen Currency Futures  | 141 | 13213304 | 13583587 | 3/13/2023 | 370283 |
|  WTI Crude Futures<sup>(a)</sup> | 19 | 1513698 | 1528550 | 3/21/2023 | 14852 |
|  MSCI EAFE Index Futures  | 147 | 14555056 | 14328090 | 3/17/2023 | (226966) |
|  U.S. Treasury Long Bond Futures  | 1 | 127500 | 125344 | 3/22/2023 | (2156) |
|  U.S. Treasury Ultra-Long Bond Futures  | 5 | 677559 | 671563 | 3/22/2023 | (5996) |
|  U.S. Treasury 2-Year Note Futures  | 589 | 120755383 | 120791016 | 3/31/2023 | 35633 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Long |  |  |  |  | $(463682) |
|  **<u>Futures Contracts – Short</u>** |  |  |  |  |  |
|  Japanese Yen Currency Futures  | (15) | $(1405416) | $(1445063) | 3/13/2023 | $(39647) |
|  Euro FX Currency Futures  | (517) | (69303212) | (69497725) | 3/13/2023 | (194513) |
|  S&P 500 E-Mini Index Futures  | (39) | (7505030) | (7528950) | 3/17/2023 | (23920) |
|  MSCI Emerging Market Index | (306) | (15032281) | (14678820) | 3/17/2023 | 353461 |
|  British Pound Currency Futures  | (16) | (1243400) | (1208400) | 3/13/2023 | 35000 |
|  Canadian Dollar Currency Futures  | (12) | (885480) | (887040) | 3/14/2023 | (1560) |
|  90-day Euro-Dollar Futures  | (24) | (5739821) | (5736000) | 3/18/2024 | 3821 |
|  Gold 100 Oz Futures<sup>(a)</sup> | (51) | (9183653) | (9313620) | 2/24/2023 | (129967) |
|  U.S. Treasury Long Bond Futures  | (140) | (17812158) | (17548125) | 3/22/2023 | 264033 |
|  U.S. Treasury 10-Year Note Futures | (505) | (57132216) | (56709922) | 3/22/2023 | 422294 |
|  U.S. Treasury 10-Year Note Futures | (188) | (21350407) | (21111813) | 3/22/2023 | 238594 |
|  U.S. Treasury 10-Year Ultra Note Futures | (223) | (26702654) | (26376718) | 3/22/2023 | 325936 |
|  U.S. Treasury 10-Year Ultra Note Futures | (120) | (14289655) | (14193750) | 3/22/2023 | 95905 |
|  U.S. Treasury 5-Year Note Futures  | (406) | (44016296) | (43819453) | 3/31/2023 | 196843 |
|  U.S. Treasury 2-Year Note Futures  | (704) | (144260457) | (144375001) | 3/31/2023 | (114544) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Short |  |  |  |  | $1431736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts |  |  |  |  | $968054 |

---

<sup>(a)</sup> Contract held by the iMGP Alternative Strategies Subsidiary.

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** |
|  ADT Security Corp. (The) <br>4.125%, 06/15/2023 | 12/20/2027 | (5.000%) | 2.150% | $(7350000) | Quarterly | $(874131) | $(711529) | $(162602) |
|  Aegon N.V. <br>6.125%, 12/15/2031 | 12/20/2027 | (1.000%) | 0.800% | (1150000) | Quarterly | (11128) | (11382) | 254 |
|  AES Corp. (The) <br>1.375%, 01/15/2026 | 12/20/2027 | (5.000%) | 1.342% | $(2900000) | Quarterly | (456985) | (437086) | (19899) |
|  Airbus SE <br>2.375%, 04/02/2024 | 12/20/2027 | (1.000%) | 1.054% | (1100000) | Quarterly | 2845 | 195 | 2650 |
|  Ally Financial, Inc. <br>5.800%, 05/01/2025 | 12/20/2027 | (5.000%) | 3.390% | $(7350000) | Quarterly | (470481) | (679838) | 209357 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **67** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** |
|  Alstom S.A. <br>0.250%, 10/14/2026 | 12/20/2027 | (1.000%) | 1.807% | (1000000) | Quarterly | $37413 | $36801 | $612 |
|  American Axle & Manufacturing, Inc. <br>6.250%, 03/15/2026 | 12/20/2027 | (5.000%) | 6.231% | $(4850000) | Quarterly | 212991 | (468) | 213459 |
|  American Express Co. <br>2.650%, 12/02/2022 | 12/20/2027 | (1.000%) | 0.660% | (7900000) | Quarterly | (118889) | (150278) | 31389 |
|  Apache Corp. <br>4.375%, 10/15/2028 | 12/20/2027 | (1.000%) | 1.957% | (2900000) | Quarterly | 116591 | 79625 | 36966 |
|  ArcelorMittal S.A. <br>1.000%, 05/19/2023 | 12/20/2027 | (5.000%) | 2.320% | (500000) | Quarterly | (60978) | (64708) | 3730 |
|  Arrow Electronics, Inc. <br>7.500%, 01/15/2027 | 12/20/2027 | (1.000%) | 1.053% | $(8250000) | Quarterly | 19066 | 87124 | (68058) |
|  Assicurazioni Generali SpA <br>5.125%, 09/16/2024 | 12/20/2027 | (1.000%) | 1.018% | (1250000) | Quarterly | 1077 | (1272) | 2349 |
|  AT&T, Inc. <br>3.800%, 02/15/2027 | 12/20/2027 | (1.000%) | 1.108% | $(500000) | Quarterly | 2341 | 2208 | 133 |
|  Avis Budget Car Rental LLC / Avis Budget Finance, Inc. <br>4.750%, 04/01/2028 | 12/20/2027 | (5.000%) | 4.645% | (2400000) | Quarterly | (32406) | (94585) | 62179 |
|  Avnet, Inc. <br>3.000%, 05/15/2031 | 12/20/2027 | (1.000%) | 1.267% | (8300000) | Quarterly | 95624 | 122809 | (27185) |
|  AXA S.A. <br>2.875%, 06/15/2024 | 12/20/2027 | (1.000%) | 0.684% | (1100000) | Quarterly | (16876) | (18753) | 1877 |
|  Barclays Plc <br>1.375%, 01/24/2026 | 12/20/2027 | (1.000%) | 1.055% | (8100000) | Quarterly | 21315 | 139276 | (117961) |
|  BAT International Finance Plc <br>2.750%, 03/25/2025 | 12/20/2027 | (1.000%) | 1.136% | (2400000) | Quarterly | 15510 | 22413 | (6903) |
|  Bath & Body Works, Inc. <br>5.250%, 02/01/2028 | 12/20/2027 | (1.000%) | 3.658% | $(6800000) | Quarterly | 710994 | 785625 | (74631) |
|  Baxter International, Inc. <br>2.600%, 08/15/2026 | 12/20/2027 | (1.000%) | 0.651% | (8100000) | Quarterly | (125267) | (93680) | (31587) |
|  Beazer Homes USA, Inc. <br>6.750%, 03/15/2025 | 12/20/2027 | (5.000%) | 6.251% | (4850000) | Quarterly | 216164 | 645125 | (428961) |
|  Best Buy Co., Inc. <br>4.450%, 10/01/2028 | 12/20/2027 | (5.000%) | 1.083% | (6900000) | Quarterly | (1176572) | (1174422) | (2150) |
|  BNP Paribas S.A. <br>2.875%, 09/26/2023 | 12/20/2027 | (1.000%) | 0.934% | (1100000) | Quarterly | (19783) | (3568) | (16215) |
|  Boeing Co. (The) <br>2.600%, 10/30/2025 | 12/20/2027 | (1.000%) | 1.408% | $(8400000) | Quarterly | 147134 | 287905 | (140771) |
|  BorgWarner, Inc. <br>3.375%, 03/15/2025 | 12/20/2027 | (1.000%) | 0.876% | (1750000) | Quarterly | (9524) | (3674) | (5850) |
|  Bouygues S.A. <br>3.625%, 01/16/2023 | 12/20/2027 | (1.000%) | 0.674% | (7750000) | Quarterly | (122709) | (104025) | (18684) |
|  BP Capital Markets Plc <br>1.876%, 04/07/2024 | 12/20/2027 | (1.000%) | 0.966% | (1450000) | Quarterly | (2387) | (3816) | 1429 |
|  British Telecommunications Plc <br>5.750%, 12/07/2028 | 12/20/2027 | (1.000%) | 1.534% | (6950000) | Quarterly | 173860 | 148419 | 25441 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **68** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** |
|  Cardinal Health, Inc. <br>3.410%, 06/15/2027 | 12/20/2027 | (1.000%) | 0.518% | $(8100000) | Quarterly | $(173883) | $(137057) | $(36826) |
|  Carlsberg Breweries AS <br>2.625%, 11/15/2022 | 12/20/2027 | (1.000%) | 0.482% | (7800000) | Quarterly | (197839) | (156132) | (41707) |
|  CCO Holdings LLC / CCO Holdings Capital Corp. <br>5.000%, 02/01/2028 | 12/20/2027 | (5.000%) | 3.627% | $(8000000) | Quarterly | (432867) | (444249) | 11382 |
|  CDX North America High Yield Index Series 39 <br>5.000%, 12/20/2027 | 12/20/2027 | (5.000%) | 4.841% | (16580000) | Quarterly | (102101) | 276591 | (378692) |
|  Cellnex Telecom S.A. <br>2.375%, 01/16/2024 | 12/20/2027 | (5.000%) | 2.226% | (2900000) | Quarterly | (367399) | (170852) | (196547) |
|  Centrica Plc <br>4.000%, 10/16/2023 | 12/20/2027 | (1.000%) | 1.223% | (8250000) | Quarterly | 87040 | 243228 | (156188) |
|  Citigroup, Inc. <br>3.400%, 05/01/2026 | 12/20/2027 | (1.000%) | 0.965% | $(4800000) | Quarterly | (7401) | 2474 | (9875) |
|  Cleveland-Cliffs, Inc. <br>5.875%, 06/01/2027 | 12/20/2027 | (5.000%) | 4.043% | (7500000) | Quarterly | (278534) | (418982) | 140448 |
|  Comcast Corp. <br>3.700%, 04/15/2024 | 12/20/2027 | (1.000%) | 0.663% | (7850000) | Quarterly | (117043) | (46826) | (70217) |
|  Commerzbank AG <br>1.000%, 03/04/2026 | 12/20/2027 | (1.000%) | 1.320% | (1300000) | Quarterly | (10064) | 23886 | (33950) |
|  Conagra Brands, Inc. <br>7.000%, 10/01/2028 | 12/20/2027 | (1.000%) | 0.745% | $(750000) | Quarterly | (8452) | (6270) | (2182) |
|  Continental AG <br>0.375%, 06/27/2025 | 12/20/2027 | (1.000%) | 1.584% | (9050000) | Quarterly | 247279 | 549036 | (301757) |
|  CSC Holdings LLC <br>5.375%, 02/01/2028 | 12/20/2027 | (5.000%) | 13.980% | $(4350000) | Quarterly | 1064899 | 357019 | 707880 |
|  Dell, Inc. <br>7.100%, 04/15/2028 | 12/20/2027 | (1.000%) | 1.460% | (8350000) | Quarterly | 164576 | 488860 | (324284) |
|  Delta Air Lines, Inc. <br>7.375%, 01/15/2026 | 12/20/2027 | (5.000%) | 3.747% | (750000) | Quarterly | (36872) | (49970) | 13098 |
|  Deutsche Bank AG <br>1.125%, 08/30/2023 | 12/20/2027 | (1.000%) | 1.696% | (2050000) | Quarterly | 21103 | 72798 | (51695) |
|  Devon Energy Corp. <br>7.950%, 04/15/2032 | 12/20/2027 | (1.000%) | 1.332% | $(500000) | Quarterly | 7144 | 8082 | (938) |
|  E.ON SE <br>0.875%, 05/22/2024 | 12/20/2027 | (1.000%) | 0.920% | (2850000) | Quarterly | (11081) | 3941 | (15022) |
|  EDP Finance B.V. <br>1.875%, 09/29/2023 | 12/20/2027 | (1.000%) | 1.133% | (850000) | Quarterly | 5362 | 4857 | 505 |
|  Enbridge, Inc. <br>3.500%, 06/10/2024 | 12/20/2027 | (1.000%) | 1.048% | $(1600000) | Quarterly | 3297 | 3084 | 213 |
|  Enel SpA <br>5.250%, 05/20/2024 | 12/20/2027 | (1.000%) | 1.302% | (8250000) | Quarterly | 117818 | 238907 | (121089) |
|  Exelon Corp. <br>3.400%, 04/15/2026 | 12/20/2027 | (1.000%) | 0.412% | $(4100000) | Quarterly | (107890) | (102410) | (5480) |
|  Expedia Group, Inc. <br>6.250%, 05/01/2025 | 12/20/2027 | (1.000%) | 1.533% | (8350000) | Quarterly | 190051 | 250378 | (60327) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **69** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** |
|  FedEx Corp. <br>3.250%, 04/01/2026 | 12/20/2027 | (1.000%) | 0.869% | $(8000000) | Quarterly | $(46009) | $(56418) | $10409 |
|  FirstEnergy Corp. <br>7.375%, 11/15/2031 | 12/20/2027 | (1.000%) | 0.944% | (8350000) | Quarterly | (20374) | (19774) | (600) |
|  Ford Motor Co. <br>4.346%, 12/08/2026 | 12/20/2027 | (5.000%) | 3.647% | (750000) | Quarterly | (39968) | (53207) | 13239 |
|  General Electric Co. <br>6.750%, 03/15/2032 | 12/20/2027 | (1.000%) | 1.023% | (750000) | Quarterly | 739 | (782) | 1521 |
|  Genworth Holdings, Inc. <br>6.500%, 06/15/2034 | 12/20/2027 | (5.000%) | 2.992% | (750000) | Quarterly | (60804) | (61408) | 604 |
|  Glencore Finance Europe Ltd. <br>1.875%, 09/13/2023 | 12/20/2027 | (5.000%) | 1.745% | (850000) | Quarterly | (128757) | (134040) | 5283 |
|  Goldman Sachs Group, Inc. (The) <br>6.124%, 10/28/2027 | 12/20/2027 | (1.000%) | 1.011% | $(1000000) | Quarterly | 480 | (1117) | 1597 |
|  Hapag-Lloyd AG <br>2.500%, 04/15/2028 | 12/20/2027 | (5.000%) | 3.785% | (2900000) | Quarterly | (151494) | (23410) | (128084) |
|  Hess Corp. <br>3.500%, 07/15/2024 | 12/20/2027 | (1.000%) | 1.329% | $(450000) | Quarterly | 6374 | 7274 | (900) |
|  Holcim AG <br>1.000%, 12/11/2024 | 12/20/2027 | (1.000%) | 1.403% | (1100000) | Quarterly | 20885 | 16485 | 4400 |
|  Host Hotels & Resorts L.P. <br>3.875%, 04/01/2024 | 12/20/2027 | (1.000%) | 1.382% | $(550000) | Quarterly | 9029 | 10307 | (1278) |
|  HP, Inc. <br>3.000%, 06/17/2027 | 12/20/2027 | (1.000%) | 1.456% | (4100000) | Quarterly | 80057 | 32532 | 47525 |
|  Imperial Brands Finance Plc <br>1.375%, 01/27/2025 | 12/20/2027 | (1.000%) | 1.095% | (1100000) | Quarterly | 4964 | 5830 | (866) |
|  ING Groep N.V. <br>2.897%, 09/20/2023 | 12/20/2027 | (1.000%) | 0.774% | (7850000) | Quarterly | (85826) | (10203) | (75623) |
|  International Paper Co. <br>5.000%, 09/15/2035 | 12/20/2027 | (1.000%) | 0.773% | $(8400000) | Quarterly | (84159) | 53006 | (137165) |
|  Intesa Sanpaolo SpA <br>2.125%, 05/26/2025 | 12/20/2027 | (1.000%) | 1.104% | (8200000) | Quarterly | 40554 | 161577 | (121023) |
|  Koninklijke KPN N.V. <br>5.625%, 09/30/2024 | 12/20/2027 | (1.000%) | 0.837% | (1100000) | Quarterly | (8650) | (9312) | 662 |
|  Koninklijke Philips N.V. <br>2.000%, 03/30/2030 | 12/20/2027 | (1.000%) | 1.296% | (7950000) | Quarterly | 111356 | (1156) | 112512 |
|  Kroger Co. (The) <br>4.500%, 01/15/2029 | 12/20/2027 | (1.000%) | 0.854% | $(8000000) | Quarterly | (51425) | (140862) | 89437 |
|  Lamb Weston Holdings, Inc. <br>4.875%, 05/15/2028 | 12/20/2027 | (1.000%) | 1.228% | (750000) | Quarterly | 7398 | 7905 | (507) |
|  Lennar Corp. <br>4.875%, 12/15/2023 | 12/20/2027 | (5.000%) | 1.345% | (500000) | Quarterly | (78721) | (75312) | (3409) |
|  Lincoln National Corp. <br>3.350%, 03/09/2025 | 12/20/2027 | (1.000%) | 1.886% | (1450000) | Quarterly | 54151 | 38255 | 15896 |
|  Lumen Technologies, Inc. <br>7.500%, 04/01/2024 | 12/20/2027 | (1.000%) | 9.395% | (2900000) | Quarterly | 775329 | 652500 | 122829 |
|  Marks & Spencer Plc <br>4.250%, 12/08/2023 | 12/20/2027 | (1.000%) | 3.872% | (4550000) | Quarterly | 559049 | 692428 | (133379) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **70** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** |
|  McKesson Corp. <br>7.650%, 03/01/2027 | 12/20/2027 | (1.000%) | 0.437% | $(8000000) | Quarterly | $(201081) | $(145875) | $(55206) |
|  MetLife, Inc. <br>3.600%, 11/13/2025 | 12/20/2027 | (1.000%) | 0.854% | (750000) | Quarterly | (4824) | (5031) | 207 |
|  MGIC Investment Corp. <br>5.250%, 08/15/2028 | 12/20/2027 | (5.000%) | 1.859% | (3400000) | Quarterly | (450711) | (412589) | (38122) |
|  MGM Resorts International <br>5.750%, 06/15/2025 | 12/20/2027 | (5.000%) | 3.445% | (7600000) | Quarterly | (469031) | (356140) | (112891) |
|  Motorola Solutions, Inc. <br>7.500%, 05/15/2025 | 12/20/2027 | (1.000%) | 0.603% | (750000) | Quarterly | (13202) | (12636) | (566) |
|  Murphy Oil Corp. <br>7.050%, 05/01/2029 | 12/20/2027 | (1.000%) | 3.039% | (500000) | Quarterly | 41081 | 38750 | 2331 |
|  Nabors Industries, Inc. <br>5.750%, 02/01/2025 | 12/20/2027 | (1.000%) | 5.494% | (9450000) | Quarterly | 1558200 | 1803500 | (245300) |
|  Naturgy Capital Markets S.A. <br>1.125%, 04/11/2024 | 12/20/2027 | (1.000%) | 1.001% | (1350000) | Quarterly | 28 | (6161) | 6189 |
|  Navient Corp. <br>5.500%, 03/15/2029 | 12/20/2027 | (5.000%) | 4.592% | $(3850000) | Quarterly | (59784) | 50793 | (110577) |
|  Netflix, Inc. <br>4.875%, 06/15/2030 | 12/20/2027 | (5.000%) | 1.330% | (7000000) | Quarterly | (1107112) | (1100372) | (6740) |
|  Newell Brands, Inc. <br>4.100%, 04/01/2023 | 12/20/2027 | (1.000%) | 3.151% | (8550000) | Quarterly | 737674 | 785644 | (47970) |
|  Next Group Plc <br>3.625%, 05/18/2028 | 12/20/2027 | (1.000%) | 2.082% | (2900000) | Quarterly | 144003 | 170312 | (26309) |
|  Nokia Oyj <br>2.000%, 03/15/2024 | 12/20/2027 | (5.000%) | 1.358% | (6900000) | Quarterly | (1187732) | (1074595) | (113137) |
|  Nordstrom, Inc. <br>6.950%, 03/15/2028 | 12/20/2027 | (1.000%) | 6.524% | $(2400000) | Quarterly | 468159 | 411000 | 57159 |
|  Omnicom Group, Inc. / Omnicom Capital, Inc. <br>3.650%, 11/01/2024 | 12/20/2027 | (1.000%) | 0.485% | (8000000) | Quarterly | (183738) | (113943) | (69795) |
|  Oracle Corp. <br>3.250%, 11/15/2027 | 12/20/2027 | (1.000%) | 0.989% | (1400000) | Quarterly | (684) | 209 | (893) |
|  Ovintiv, Inc. <br>8.125%, 09/15/2030 | 12/20/2027 | (1.000%) | 1.481% | (8400000) | Quarterly | 172961 | 248353 | (75392) |
|  Pfizer, Inc. <br>0.800%, 05/28/2025 | 12/20/2027 | (1.000%) | 0.431% | (7900000) | Quarterly | (200745) | (208753) | 8008 |
|  PostNL N.V. <br>1.000%, 11/21/2024 | 12/20/2027 | (1.000%) | 1.588% | (8000000) | Quarterly | 220099 | 53632 | 166467 |
|  Premier Foods Finance Plc <br>3.500%, 10/15/2026 | 12/20/2027 | (5.000%) | 3.120% | (1950000) | Quarterly | (161698) | (161663) | (35) |
|  Prudential Financial, Inc. <br>3.878%, 03/27/2028 | 12/20/2027 | (1.000%) | 0.860% | $(750000) | Quarterly | (4609) | (5031) | 422 |
|  Prudential Plc <br>5.875%, 05/11/2029 | 12/20/2027 | (1.000%) | 0.798% | (8150000) | Quarterly | (79609) | 34495 | (114104) |
|  PulteGroup, Inc. <br>7.875%, 06/15/2032 | 12/20/2027 | (5.000%) | 1.360% | $(500000) | Quarterly | (78348) | (76055) | (2293) |
|  Radian Group, Inc. <br>4.500%, 10/01/2024 | 12/20/2027 | (5.000%) | 2.912% | (1050000) | Quarterly | (88809) | (94632) | 5823 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **71** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** |
|  Repsol International Finance B.V. <br>2.250%, 12/10/2026 | 12/20/2027 | (1.000%) | 0.828% | (8000000) | Quarterly | $(66420) | $11613 | $(78033) |
|  Rexel S.A. <br>2.125%, 12/15/2028 | 12/20/2027 | (5.000%) | 2.395% | (3800000) | Quarterly | (449005) | (254899) | (194106) |
|  Rolls-Royce Plc <br>0.875%, 05/09/2024 | 12/20/2027 | (1.000%) | 3.593% | (2900000) | Quarterly | 325266 | 421505 | (96239) |
|  SES S.A. <br>0.875%, 11/04/2027 | 12/20/2027 | (1.000%) | 1.658% | (3250000) | Quarterly | 99782 | 157815 | (58033) |
|  Sherwin-Williams Co. (The) <br>7.375%, 02/01/2027 | 12/20/2027 | (1.000%) | 0.959% | $(500000) | Quarterly | (895) | 2867 | (3762) |
|  Standard Chartered Plc <br>4.050%, 04/12/2026 | 12/20/2027 | (1.000%) | 1.033% | (7700000) | Quarterly | 12211 | 57765 | (45554) |
|  Stellantis N.V. <br>2.000%, 03/20/2025 | 12/20/2027 | (5.000%) | 1.784% | (1150000) | Quarterly | (171854) | (180675) | 8821 |
|  Stora Enso Oyj <br>2.125%, 06/16/2023 | 12/20/2027 | (5.000%) | 0.947% | (7000000) | Quarterly | (1363275) | (1228043) | (135232) |
|  T-Mobile USA, Inc. <br>4.750%, 02/01/2028 | 12/20/2027 | (5.000%) | 1.135% | $(400000) | Quarterly | (67158) | (68494) | 1336 |
|  Teck Resources Ltd. <br>6.125%, 10/01/2035 | 12/20/2027 | (5.000%) | 1.441% | (400000) | Quarterly | (61088) | (58082) | (3006) |
|  Telecom Italia SpA <br>3.625%, 01/19/2024 | 12/20/2027 | (1.000%) | 4.510% | (9450000) | Quarterly | 1385245 | 1631598 | (246353) |
|  Telefonica Emisiones S.A. <br>1.528%, 01/17/2025 | 12/20/2027 | (1.000%) | 1.187% | (1100000) | Quarterly | 9736 | 7650 | 2086 |
|  Telenor ASA <br>2.625%, 12/06/2024 | 12/20/2027 | (1.000%) | 0.518% | (3850000) | Quarterly | (90747) | (88855) | (1892) |
|  Tenet Healthcare Corp. <br>6.875%, 11/15/2031 | 12/20/2027 | (5.000%) | 4.941% | $(7800000) | Quarterly | (17506) | (108784) | 91278 |
|  Tesco Plc <br>6.150%, 11/15/2037 | 12/20/2027 | (1.000%) | 1.356% | (8550000) | Quarterly | 143568 | 270384 | (126816) |
|  Tesla, Inc. <br>2.000%, 05/15/2024 | 12/20/2027 | (1.000%) | 2.340% | $(500000) | Quarterly | 27749 | 23335 | 4414 |
|  Toll Brothers Finance Corp. <br>4.350%, 02/15/2028 | 12/20/2027 | (1.000%) | 2.107% | (800000) | Quarterly | 36989 | 45795 | (8806) |
|  UniCredit SpA <br>2.125%, 10/24/2026 | 12/20/2027 | (1.000%) | 1.192% | (8350000) | Quarterly | 76158 | 264151 | (187993) |
|  United Rentals North America, Inc.<br>3.875%, 02/15/2031 | 12/20/2027 | (5.000%) | 1.854% | $(2650000) | Quarterly | (351938) | (335679) | (16259) |
|  United Rentals North America, Inc.<br>4.875%, 01/15/2028 | 12/20/2027 | (5.000%) | 1.854% | (4350000) | Quarterly | (577709) | (516180) | (61529) |
|  United States Steel Corp. <br>6.650%, 06/01/2037 | 12/20/2027 | (5.000%) | 5.268% | (750000) | Quarterly | 7417 | 4237 | 3180 |
|  Uniti Fiber Holdings, Inc. <br>4.000%, 06/15/2024 | 12/20/2027 | (5.000%) | 9.584% | (8200000) | Quarterly | 1188935 | 354199 | 834736 |
|  Universal Health Services, Inc. <br>2.650%, 10/15/2030 | 12/20/2027 | (1.000%) | 1.671% | (8700000) | Quarterly | 248124 | 455446 | (207322) |
|  Valeo <br>3.250%, 01/22/2024 | 12/20/2027 | (1.000%) | 2.885% | (8400000) | Quarterly | 704054 | 910538 | (206484) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **72** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** | **Buy Protection (Continued)** |
|  Valero Energy Corp. <br>8.750%, 06/15/2030 | 12/20/2027 | (1.000%) | 0.990% | $(8200000) | Quarterly | $(3817) | $15309 | $(19126) |
|  Veolia Environnement S.A. <br>0.892%, 01/14/2024 | 12/20/2027 | (1.000%) | 0.701% | (8500000) | Quarterly | (123389) | (98077) | (25312) |
|  Vivendi SE <br>1.875%, 05/26/2026 | 12/20/2027 | (1.000%) | 1.065% | (8550000) | Quarterly | 26315 | 184808 | (158493) |
|  Vodafone Group Plc <br>1.750%, 08/25/2023 | 12/20/2027 | (1.000%) | 0.955% | (8700000) | Quarterly | (18923) | (20209) | 1286 |
|  Volkswagen International Finance N.V. <br>0.875%, 01/16/2023 | 12/20/2027 | (1.000%) | 1.443% | (1600000) | Quarterly | 33351 | 28646 | 4705 |
|  WPP Finance S.A. <br>2.250%, 09/22/2026 | 12/20/2027 | (1.000%) | 1.074% | (8100000) | Quarterly | 28347 | 200326 | (171979) |
|  Total Buy Protection | Total Buy Protection | Total Buy Protection |  |  |  | $(713859) | $2799154 | $(3513013) |
|  **Sell Protection** | **Sell Protection** | **Sell Protection** | **Sell Protection** | **Sell Protection** | **Sell Protection** | **Sell Protection** | **Sell Protection** | **Sell Protection** |
|  ADT Security Corp. (The) <br>4.125%, 06/15/2023 | 12/20/2027 | 5.000% | 2.150% | $750000 | Quarterly | $89197 | $92278 | $(3081) |
|  Aegon N.V. <br>6.125%, 12/15/2031 | 12/20/2027 | 1.000% | 0.800% | 8100000 | Quarterly | 78379 | (38076) | 116455 |
|  AES Corp. (The) <br>1.375%, 01/15/2026 | 12/20/2027 | 5.000% | 1.342% | $7050000 | Quarterly | 1110945 | 1096499 | 14446 |
|  Airbus SE <br>2.375%, 04/02/2024 | 12/20/2027 | 1.000% | 1.054% | 8150000 | Quarterly | (21075) | (111167) | 90092 |
|  Ally Financial, Inc. <br>5.800%, 05/01/2025 | 12/20/2027 | 5.000% | 3.390% | $450000 | Quarterly | 28805 | 38040 | (9235) |
|  Alstom S.A. <br>0.250%, 10/14/2026 | 12/20/2027 | 1.000% | 1.807% | 8400000 | Quarterly | (314270) | (588857) | 274587 |
|  American Airlines Group, Inc. <br>3.750%, 03/01/2025 | 12/20/2027 | 5.000% | 13.172% | $2400000 | Quarterly | (549073) | (525000) | (24073) |
|  American Express Co. <br>4.050%, 05/03/2029 | 12/20/2027 | 1.000% | 0.660% | 450000 | Quarterly | 6772 | 7496 | (724) |
|  ArcelorMittal S.A. <br>1.000%, 05/19/2023 | 12/20/2027 | 5.000% | 2.320% | 6900000 | Quarterly | 841501 | 734923 | 106578 |
|  Arrow Electronics, Inc. <br>7.500%, 01/15/2027 | 12/20/2027 | 1.000% | 1.053% | $800000 | Quarterly | (1848) | (133) | (1715) |
|  Assicurazioni Generali SpA <br>5.125%, 09/16/2024 | 12/20/2027 | 1.000% | 1.018% | 8300000 | Quarterly | (7153) | (142714) | 135561 |
|  AT&T, Inc. <br>3.800%, 02/15/2027 | 12/20/2027 | 1.000% | 1.108% | $8200000 | Quarterly | (38394) | (83495) | 45101 |
|  Avnet, Inc. <br>3.000%, 05/15/2031 | 12/20/2027 | 1.000% | 1.267% | 400000 | Quarterly | (4608) | (3519) | (1089) |
|  AXA S.A. <br>2.875%, 06/15/2024 | 12/20/2027 | 1.000% | 0.684% | 7950000 | Quarterly | 121965 | 24462 | 97503 |
|  Banco Santander S.A. <br>1.375%, 12/14/2022 | 12/20/2027 | 1.000% | 1.079% | 3200000 | Quarterly | 50725 | (52651) | 103376 |
|  Barclays Plc <br>1.375%, 01/24/2026 | 12/20/2027 | 1.000% | 1.055% | 1350000 | Quarterly | (3552) | (10269) | 6717 |
|  BAT International Finance Plc <br>2.375%, 01/19/2023 | 12/20/2027 | 1.000% | 1.136% | 8000000 | Quarterly | (51702) | (93587) | 41885 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **73** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** |
|  BAT International Finance Plc <br>2.750%, 03/25/2025 | 12/20/2027 | 1.000% | 1.136% | 1450000 | Quarterly | $(9370) | $(13591) | $4221 |
|  Bath & Body Works, Inc. <br>5.250%, 02/01/2028 | 12/20/2027 | 1.000% | 3.658% | $9400000 | Quarterly | (982845) | (1339500) | 356655 |
|  Baxter International, Inc. <br>2.600%, 08/15/2026 | 12/20/2027 | 1.000% | 0.651% | 1100000 | Quarterly | 17012 | 14470 | 2542 |
|  Beazer Homes USA, Inc. <br>6.750%, 03/15/2025 | 12/20/2027 | 5.000% | 6.251% | 10850000 | Quarterly | (483583) | (831994) | 348411 |
|  Best Buy Co., Inc. <br>4.450%, 10/01/2028 | 12/20/2027 | 5.000% | 1.083% | 450000 | Quarterly | 76733 | 77516 | (783) |
|  Block Financial LLC <br>2.500%, 07/15/2028 | 12/20/2027 | 5.000% | 0.799% | 4400000 | Quarterly | 813685 | 855463 | (41778) |
|  BNP Paribas S.A. <br>2.875%, 09/26/2023 | 12/20/2027 | 1.000% | 0.934% | 8050000 | Quarterly | 144770 | (50070) | 194840 |
|  Boeing Co. (The) <br>2.600%, 10/30/2025 | 12/20/2027 | 1.000% | 1.408% | $800000 | Quarterly | (14013) | (12508) | (1505) |
|  Bombardier, Inc. <br>7.450%, 05/01/2034 | 12/20/2027 | 5.000% | 4.413% | 7150000 | Quarterly | 160513 | (379250) | 539763 |
|  BorgWarner, Inc. <br>3.375%, 03/15/2025 | 12/20/2027 | 1.000% | 0.876% | 8200000 | Quarterly | 44633 | (129066) | 173699 |
|  Bouygues S.A. <br>1.375%, 06/07/2027 | 12/20/2027 | 1.000% | 0.674% | 650000 | Quarterly | 10292 | 11480 | (1188) |
|  BP Capital Markets Plc <br>1.876%, 04/07/2024 | 12/20/2027 | 1.000% | 0.966% | 8750000 | Quarterly | 14403 | (95200) | 109603 |
|  Cardinal Health, Inc. <br>3.410%, 06/15/2027 | 12/20/2027 | 1.000% | 0.518% | $750000 | Quarterly | 16100 | 16980 | (880) |
|  Carlsberg Breweries AS <br>2.500%, 05/28/2024 | 12/20/2027 | 1.000% | 0.482% | 900000 | Quarterly | 22827 | 25842 | (3015) |
|  CCO Holdings LLC / CCO Holdings Capital Corp. <br>5.000%, 02/01/2028 | 12/20/2027 | 5.000% | 3.627% | $1000000 | Quarterly | 54108 | 75766 | (21658) |
|  Centrica Plc <br>4.000%, 10/16/2023 | 12/20/2027 | 1.000% | 1.223% | 1250000 | Quarterly | (13187) | (11810) | (1377) |
|  Comcast Corp. <br>3.700%, 04/15/2024 | 12/20/2027 | 1.000% | 0.663% | $500000 | Quarterly | 7455 | 8329 | (874) |
|  Commerzbank AG <br>1.000%, 03/04/2026 | 12/20/2027 | 1.000% | 1.320% | 8500000 | Quarterly | 65806 | (413471) | 479277 |
|  Conagra Brands, Inc. <br>7.000%, 10/01/2028 | 12/20/2027 | 1.000% | 0.745% | $8050000 | Quarterly | 90722 | 30072 | 60650 |
|  Continental AG <br>0.375%, 06/27/2025 | 12/20/2027 | 1.000% | 1.584% | 1750000 | Quarterly | (47816) | (44557) | (3259) |
|  CSC Holdings LLC <br>5.375%, 02/01/2028 | 12/20/2027 | 5.000% | 13.980% | $1950000 | Quarterly | (477368) | (365625) | (111743) |
|  Dell, Inc. <br>7.100%, 04/15/2028 | 12/20/2027 | 1.000% | 1.460% | 400000 | Quarterly | (7884) | (4409) | (3475) |
|  Delta Air Lines, Inc. <br>7.375%, 01/15/2026 | 12/20/2027 | 5.000% | 3.747% | 7850000 | Quarterly | 385922 | 88080 | 297842 |
|  Deutsche Bank AG <br>1.125%, 08/30/2023 | 12/20/2027 | 1.000% | 1.696% | 9350000 | Quarterly | (273505) | (503085) | 229580 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **74** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** |
|  Deutsche Lufthansa AG <br>0.250%, 09/06/2024 | 12/20/2027 | 1.000% | 3.027% | 7700000 | Quarterly | $(690132) | $(917424) | $227292 |
|  Devon Energy Corp. <br>7.950%, 04/15/2032 | 12/20/2027 | 1.000% | 1.332% | $8300000 | Quarterly | (118601) | (119783) | 1182 |
|  DR Horton, Inc. <br>4.750%, 02/15/2023 | 12/20/2027 | 1.000% | 0.949% | 3600000 | Quarterly | 8084 | (75922) | 84006 |
|  EDP Finance B.V. <br>1.875%, 09/29/2023 | 12/20/2027 | 1.000% | 1.133% | 4850000 | Quarterly | (30597) | (78132) | 47535 |
|  Enbridge, Inc. <br>3.500%, 06/10/2024 | 12/20/2027 | 1.000% | 1.048% | $9100000 | Quarterly | (18755) | (836) | (17919) |
|  Enel SpA <br>5.250%, 05/20/2024 | 12/20/2027 | 1.000% | 1.302% | 1250000 | Quarterly | (17850) | (11234) | (6616) |
|  Expedia Group, Inc. <br>6.250%, 05/01/2025 | 12/20/2027 | 1.000% | 1.533% | $500000 | Quarterly | (11381) | (5730) | (5651) |
|  FedEx Corp. <br>3.250%, 04/01/2026 | 12/20/2027 | 1.000% | 0.869% | 400000 | Quarterly | 2300 | 2318 | (18) |
|  FirstEnergy Corp. <br>7.375%, 11/15/2031 | 12/20/2027 | 1.000% | 0.944% | 1000000 | Quarterly | 2440 | 5141 | (2701) |
|  Ford Motor Co. <br>4.346%, 12/08/2026 | 12/20/2027 | 5.000% | 3.647% | 7700000 | Quarterly | 410333 | 549379 | (139046) |
|  Gap, Inc. (The) <br>3.625%, 10/01/2029 | 12/20/2027 | 1.000% | 6.396% | 2900000 | Quarterly | (555221) | (532875) | (22346) |
|  General Electric Co. <br>2.700%, 10/09/2022 | 12/20/2027 | 1.000% | 1.023% | 8250000 | Quarterly | (8128) | (106643) | 98515 |
|  Genworth Holdings, Inc. <br>4.800%, 02/15/2024 | 12/20/2027 | 5.000% | 2.992% | 4360000 | Quarterly | 353477 | 320772 | 32705 |
|  Glencore Finance Europe Ltd. <br>1.875%, 09/13/2023 | 12/20/2027 | 5.000% | 1.745% | 7000000 | Quarterly | 1060350 | 972226 | 88124 |
|  Goldman Sachs Group, Inc. (The) <br>6.124%, 10/28/2027 | 12/20/2027 | 1.000% | 1.011% | $8500000 | Quarterly | (4071) | (110155) | 106084 |
|  HeidelbergCement AG <br>2.250%, 06/03/2024 | 12/20/2027 | 5.000% | 1.656% | 2700000 | Quarterly | 421671 | 420053 | 1618 |
|  Hess Corp. <br>3.500%, 07/15/2024 | 12/20/2027 | 1.000% | 1.329% | $8300000 | Quarterly | (117560) | (122503) | 4943 |
|  Holcim AG <br>3.000%, 11/22/2022 | 12/20/2027 | 1.000% | 1.403% | 8200000 | Quarterly | (155693) | (245517) | 89824 |
|  Host Hotels & Resorts L.P. <br>3.875%, 04/01/2024 | 12/20/2027 | 1.000% | 1.382% | $8300000 | Quarterly | (136267) | (234188) | 97921 |
|  Howmet Aerospace, Inc. <br>5.125%, 10/01/2024 | 12/20/2027 | 1.000% | 1.452% | 7650000 | Quarterly | (148187) | (224020) | 75833 |
|  Imperial Brands Finance Plc <br>1.375%, 01/27/2025 | 12/20/2027 | 1.000% | 1.095% | 8150000 | Quarterly | (36772) | (107313) | 70541 |
|  ING Groep N.V. <br>2.897%, 09/20/2023 | 12/20/2027 | 1.000% | 0.774% | 1000000 | Quarterly | 10933 | 13197 | (2264) |
|  International Paper Co. <br>5.000%, 09/15/2035 | 12/20/2027 | 1.000% | 0.773% | $750000 | Quarterly | 7513 | 7160 | 353 |
|  Intesa Sanpaolo SpA <br>2.125%, 05/26/2025 | 12/20/2027 | 1.000% | 1.104% | 1350000 | Quarterly | (6676) | (8416) | 1740 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **75** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** |
|  Intrum AB <br>3.125%, 07/15/2024 | 12/20/2027 | 5.000% | 7.448% | 4150000 | Quarterly | $(380230) | $(178659) | $(201571) |
|  KB Home <br>6.875%, 06/15/2027 | 12/20/2027 | 5.000% | 3.211% | $5800000 | Quarterly | 415626 | 234403 | 181223 |
|  Koninklijke KPN N.V. <br>5.625%, 09/30/2024 | 12/20/2027 | 1.000% | 0.837% | 8050000 | Quarterly | 63301 | 54368 | 8933 |
|  Koninklijke Philips N.V. <br>0.500%, 05/22/2026 | 12/20/2027 | 1.000% | 1.296% | 800000 | Quarterly | (11205) | (9190) | (2015) |
|  Kroger Co. (The) <br>4.500%, 01/15/2029 | 12/20/2027 | 1.000% | 0.854% | $500000 | Quarterly | 3214 | 4471 | (1257) |
|  Lamb Weston Holdings, Inc. <br>4.875%, 05/15/2028 | 12/20/2027 | 1.000% | 1.228% | 8500000 | Quarterly | (83851) | (254224) | 170373 |
|  Lennar Corp. <br>4.875%, 12/15/2023 | 12/20/2027 | 5.000% | 1.345% | 7200000 | Quarterly | 1133591 | 929087 | 204504 |
|  McKesson Corp. <br>7.650%, 03/01/2027 | 12/20/2027 | 1.000% | 0.437% | 450000 | Quarterly | 11311 | 11852 | (541) |
|  MetLife, Inc. <br>3.600%, 11/13/2025 | 12/20/2027 | 1.000% | 0.854% | 8100000 | Quarterly | 52100 | 45676 | 6424 |
|  MGIC Investment Corp. <br>5.250%, 08/15/2028 | 12/20/2027 | 5.000% | 1.859% | 10000000 | Quarterly | 1325620 | 1342382 | (16762) |
|  MGM Resorts International <br>5.750%, 06/15/2025 | 12/20/2027 | 5.000% | 3.445% | 500000 | Quarterly | 30857 | 38900 | (8043) |
|  Motorola Solutions, Inc. <br>7.500%, 05/15/2025 | 12/20/2027 | 1.000% | 0.603% | 8100000 | Quarterly | 142589 | 72720 | 69869 |
|  Murphy Oil Corp. <br>7.050%, 05/01/2029 | 12/20/2027 | 1.000% | 3.039% | 4250000 | Quarterly | (349186) | (442000) | 92814 |
|  Nabors Industries, Inc. <br>5.750%, 02/01/2025 | 12/20/2027 | 1.000% | 5.494% | 1450000 | Quarterly | (239089) | (195750) | (43339) |
|  Navient Corp. <br>5.500%, 01/25/2023 | 12/20/2027 | 5.000% | 4.592% | 8150000 | Quarterly | 126557 | (252099) | 378656 |
|  Netflix, Inc. <br>4.875%, 06/15/2030 | 12/20/2027 | 5.000% | 1.330% | 500000 | Quarterly | 79079 | 85107 | (6028) |
|  Next Group Plc <br>3.625%, 05/18/2028 | 12/20/2027 | 1.000% | 2.082% | 10450000 | Quarterly | (518907) | (640014) | 121107 |
|  Nokia Oyj <br>2.000%, 03/15/2024 | 12/20/2027 | 5.000% | 1.358% | 750000 | Quarterly | 129101 | 132704 | (3603) |
|  Omnicom Group, Inc. / Omnicom Capital, Inc. <br>3.650%, 11/01/2024 | 12/20/2027 | 1.000% | 0.485% | $400000 | Quarterly | 9187 | 9607 | (420) |
|  Oracle Corp. <br>3.250%, 11/15/2027 | 12/20/2027 | 1.000% | 0.989% | 8800000 | Quarterly | 4300 | (93830) | 98130 |
|  Ovintiv, Inc. <br>8.125%, 09/15/2030 | 12/20/2027 | 1.000% | 1.481% | 500000 | Quarterly | (10295) | (8333) | (1962) |
|  Pfizer, Inc. <br>0.800%, 05/28/2025 | 12/20/2027 | 1.000% | 0.431% | 3000000 | Quarterly | 76232 | 76225 | 7 |
|  Pitney Bowes, Inc. <br>4.625%, 03/15/2024 | 12/20/2027 | 1.000% | 8.584% | 2400000 | Quarterly | (596675) | (627313) | 30638 |
|  PostNL N.V. <br>1.000%, 11/21/2024 | 12/20/2027 | 1.000% | 1.588% | 800000 | Quarterly | (22010) | (12194) | (9816) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **76** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** |
|  Premier Foods Finance Plc <br>3.500%, 10/15/2026 | 12/20/2027 | 5.000% | 3.120% | 7050000 | Quarterly | $584601 | $376712 | $207889 |
|  Prudential Financial, Inc. <br>3.878%, 03/27/2028 | 12/20/2027 | 1.000% | 0.860% | $8100000 | Quarterly | 49783 | 38001 | 11782 |
|  Prudential Plc <br>5.875%, 05/11/2029 | 12/20/2027 | 1.000% | 0.798% | 1300000 | Quarterly | 12698 | 11281 | 1417 |
|  PulteGroup, Inc. <br>7.875%, 06/15/2032 | 12/20/2027 | 5.000% | 1.360% | $7100000 | Quarterly | 1112551 | 972973 | 139578 |
|  Radian Group, Inc. <br>4.500%, 10/01/2024 | 12/20/2027 | 5.000% | 2.912% | 7750000 | Quarterly | 655490 | 774183 | (118693) |
|  Realogy Group LLC / Realogy Co-Issuer Corp. <br>4.875%, 06/01/2023 | 12/20/2027 | 5.000% | 10.362% | 1450000 | Quarterly | (239366) | (181250) | (58116) |
|  Repsol International Finance B.V. <br>2.250%, 12/10/2026 | 12/20/2027 | 1.000% | 0.828% | 950000 | Quarterly | 7888 | 9712 | (1824) |
|  Royal Caribbean Cruises Ltd. <br>3.700%, 03/15/2028 | 12/20/2027 | 5.000% | 7.651% | $2900000 | Quarterly | (260647) | (290000) | 29353 |
|  Ryder System, Inc. <br>3.875%, 12/01/2023 | 12/20/2027 | 1.000% | 1.508% | 6100000 | Quarterly | (132610) | (196342) | 63732 |
|  SES S.A. <br>0.875%, 11/04/2027 | 12/20/2027 | 1.000% | 1.658% | 8950000 | Quarterly | (274786) | (350923) | 76137 |
|  Sherwin-Williams Co. (The) <br>7.375%, 02/01/2027 | 12/20/2027 | 1.000% | 0.959% | $8100000 | Quarterly | 14498 | (67595) | 82093 |
|  Standard Chartered Plc <br>4.050%, 04/12/2026 | 12/20/2027 | 1.000% | 1.033% | 500000 | Quarterly | (793) | (242) | (551) |
|  Stellantis N.V. <br>5.250%, 04/15/2023 | 12/20/2027 | 5.000% | 1.784% | 7200000 | Quarterly | 1075957 | 915900 | 160057 |
|  Stora Enso Oyj <br>2.125%, 06/16/2023 | 12/20/2027 | 5.000% | 0.947% | 900000 | Quarterly | 175278 | 179838 | (4560) |
|  Sudzucker International Finance B.V. <br>1.250%, 11/29/2023 | 12/20/2027 | 1.000% | 1.130% | 7250000 | Quarterly | (44545) | (176916) | 132371 |
|  Swiss Reinsurance Co. Ltd. <br>0.750%, 01/21/2027 | 12/20/2027 | 1.000% | 0.651% | 3250000 | Quarterly | 55211 | (1502) | 56713 |
|  T-Mobile USA, Inc. <br>4.750%, 02/01/2028 | 12/20/2027 | 5.000% | 1.135% | $6900000 | Quarterly | 1158482 | 1182768 | (24286) |
|  Teck Resources Ltd. <br>6.125%, 10/01/2035 | 12/20/2027 | 5.000% | 1.441% | 7100000 | Quarterly | 1084322 | 954380 | 129942 |
|  Telecom Italia SpA <br>3.625%, 01/19/2024 | 12/20/2027 | 1.000% | 4.510% | 950000 | Quarterly | (139258) | (140707) | 1449 |
|  Telefonica Emisiones S.A. <br>1.528%, 01/17/2025 | 12/20/2027 | 1.000% | 1.187% | 8100000 | Quarterly | (71692) | (41992) | (29700) |
|  Tesco Plc <br>6.150%, 11/15/2037 | 12/20/2027 | 1.000% | 1.356% | 1450000 | Quarterly | (24347) | (16152) | (8195) |
|  Tesla, Inc. <br>2.000%, 05/15/2024 | 12/20/2027 | 1.000% | 2.340% | $8600000 | Quarterly | (477280) | (406908) | (70372) |
|  Toll Brothers Finance Corp. <br>4.375%, 04/15/2023 | 12/20/2027 | 1.000% | 2.107% | 8700000 | Quarterly | (402244) | (646959) | 244715 |
|  Transocean, Inc. <br>8.000%, 02/01/2027 | 12/20/2027 | 1.000% | 14.318% | 2400000 | Quarterly | (861789) | (810750) | (51039) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **77** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** | **Sell Protection (Continued)** |
|  UniCredit SpA <br>2.000%, 03/04/2023 | 12/20/2027 | 1.000% | 1.192% | 1400000 | Quarterly | $(12769) | $(20866) | $8097 |
|  United Airlines Holdings, Inc. <br>5.000%, 02/01/2024 | 12/20/2027 | 5.000% | 7.355% | $2900000 | Quarterly | (233947) | (123250) | (110697) |
|  United Rentals North America, Inc. <br>3.875%, 02/15/2031 | 12/20/2027 | 5.000% | 1.854% | 500000 | Quarterly | 66404 | 71135 | (4731) |
|  United States Steel Corp. <br>6.650%, 06/01/2037 | 12/20/2027 | 5.000% | 5.268% | 8200000 | Quarterly | (81098) | (191743) | 110645 |
|  Universal Health Services, Inc. <br>2.650%, 10/15/2030 | 12/20/2027 | 1.000% | 1.671% | 1950000 | Quarterly | (55614) | (55534) | (80) |
|  Valeo <br>3.250%, 01/22/2024 | 12/20/2027 | 1.000% | 2.885% | 500000 | Quarterly | (41908) | (40582) | (1326) |
|  Valero Energy Corp. <br>8.750%, 06/15/2030 | 12/20/2027 | 1.000% | 0.990% | $600000 | Quarterly | 279 | 5095 | (4816) |
|  Veolia Environnement S.A. <br>0.892%, 01/14/2024 | 12/20/2027 | 1.000% | 0.701% | 1800000 | Quarterly | 26130 | 35445 | (9315) |
|  Vivendi SE <br>1.875%, 05/26/2026 | 12/20/2027 | 1.000% | 1.065% | 1450000 | Quarterly | (4463) | (1043) | (3420) |
|  Vodafone Group Plc <br>1.750%, 08/25/2023 | 12/20/2027 | 1.000% | 0.955% | 1950000 | Quarterly | 4241 | 16020 | (11779) |
|  Volkswagen International Finance N.V. <br>0.875%, 01/16/2023 | 12/20/2027 | 1.000% | 1.443% | 8400000 | Quarterly | (175091) | (318253) | 143162 |
|  Wendel SE <br>1.375%, 04/26/2026 | 12/20/2027 | 5.000% | 1.222% | 3500000 | Quarterly | 628309 | 535792 | 92517 |
|  WPP Finance S.A. <br>2.250%, 09/22/2026 | 12/20/2027 | 1.000% | 1.074% | 1300000 | Quarterly | (4549) | (5578) | 1029 |
|  Xerox Corp. <br>3.800%, 05/15/2024 | 12/20/2027 | 1.000% | 4.209% | $5750000 | Quarterly | (710597) | (764739) | 54142 |
|  Zurich Insurance Co. Ltd. <br>0.500%, 12/18/2024 | 12/20/2027 | 1.000% | 0.644% | 3300000 | Quarterly | 57172 | 19087 | 38085 |
|  Total Sell Protection | Total Sell Protection | Total Sell Protection |  |  |  | $5084352 | $(1683961) | $6768313 |
|  Total |  |  |  |  |  | $4370493 | $1115193 | $3255300 |

---

<sup>(1)</sup> For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. 

<sup>(2)</sup> For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. 

<sup>(3)</sup> For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America High Yield Index Series 39. 

<sup>(4)</sup> Notional amounts are denominated in currency where indicated and the lines below until currency changes. 

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **78** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022 (Continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS** | **OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS** | **OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS** | **OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS** | **OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS** | **OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS** | **OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS** | **OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS** | **OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS** | **OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS** |
| **Description** | **Maturity<br>Date** | **Counterparty** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount** | **Periodic<br>Payment<br>Frequency** | **Fair<br>Value** | **Upfront<br>Premiums<br>Paid /<br>(Received)** | **Unrealized<br>Appreciation /<br>(Depreciation)** |
|  **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** |
|  Mexico Government International Bond <br>4.150%, 03/28/2027 | 6/20/2026 | Barclays Bank<br>Plc | (1.000%) | 0.961% | $(3710000) | Quarterly | $(4616) | $14943 | $(19559) |
|  Total Buy Protection |  |  |  |  |  |  | $(4616) | $14943 | $(19559) |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS** | **OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS** | **OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS** | **OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS** | **OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS** | **OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS** | **OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS** | **OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS** | **OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS** | **OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS** |
| **Referenced Obligation** | **Maturity<br>Date** | **Counterparty** | **Fund<br>Pays/<br>Receives<br>Floating<br>Rate** | **Floating<br>Rate<br>Index and<br>Spread** | **Notional<br>Amount<sup>(1)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Premiums<br>Paid<br>(Received)** | **Unrealized<br>Appreciation** |
|  Distell Group Holdings Ltd. <br>ZAR | 11/15/2023 | Goldman Sachs &<br>Co. | Pays | 1 Month<br>SABOR<br>+<br>0.950% | ZAR (11972483) | Monthly | $11435 | $— | $11435 |
|  iBoxx USD Liquid High Yield Index <br>USD | 3/20/2023 | JPMorgan Chase<br>Bank N.A. | Receives | 3 Month<br>USD<br>LIBOR +<br>0.000% | $85000000 | Quarterly | 1009475 |  | 1009475 |
|  Total | Total | Total | Total | Total |  |  | $1020910 | $— | $1020910 |

---

<sup>(1)</sup> Notional amounts are denominated in foreign currency where indicated and the lines below until currency changes. 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN WRITTEN OPTIONS at December 31, 2022** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Fair<br>Value** | **Premiums<br>Received** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
|  **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** | **COMMON STOCKS** |
|  **Call** | **Call** | **Call** | **Call** | **Call** | **Call** | **Call** | **Call** | **Call** |
|  Abbott Laboratories | Morgan Stanley & Co. | $115.00 | 2/17/2023 | (4) | $(43916) | $(672) | $(507) | $(165) |
|  Abbvie, Inc. | Morgan Stanley & Co. | 170.00 | 2/17/2023 | (5) | (80805) | (1130) | (1309) | 179 |
|  American Tower Corp. | Morgan Stanley & Co. | 230.00 | 2/17/2023 | (1) | (21186) | (285) | (377) | 92 |
|  Bristol-myers Squibb Co. | Morgan Stanley & Co. | 77.50 | 2/17/2023 | (4) | (28780) | (160) | (367) | 207 |
|  Broadcom, Inc. | Morgan Stanley & Co.  | 610.00 | 2/17/2023 | (1) | (55913) | (720) | (757) | 37 |
|  Coca-Cola Co. (The) | Morgan Stanley & Co. | 65.00 | 2/17/2023 | (9) | (57249) | (1143) | (951) | (192) |
|  Cummins, Inc. | Morgan Stanley & Co.  | 260.00 | 2/17/2023 | (1) | (24229) | (331) | (349) | 18 |
|  Deere & Co. | Morgan Stanley & Co. | 470.00 | 2/17/2023 | (1) | (42876) | (514) | (747) | 233 |
|  Devon Energy Corp. | Morgan Stanley & Co. | 75.00 | 2/17/2023 | (1) | (6151) | (55) | (62) | 7 |
|  Duke Energy Corp. | Morgan Stanley & Co. | 105.00 | 2/17/2023 | (3) | (30897) | (645) | (498) | (147) |
|  Emerson Electric Co. | Morgan Stanley & Co.  | 100.00 | 2/17/2023 | (1) | (9606) | (180) | (195) | 15 |
|  Johnson & Johnson | Morgan Stanley & Co. | 185.00 | 2/17/2023 | (4) | (70660) | (652) | (583) | (69) |
|  Lockheed Martin Corp. | Morgan Stanley & Co. | 505.00 | 2/17/2023 | (1) | (48649) | (968) | (957) | (11) |
|  Merck & Co., Inc. | Morgan Stanley & Co. | 115.00 | 2/17/2023 | (3) | (33285) | (654) | (590) | (64) |
|  Microchip Technology, Inc. | Morgan Stanley & Co.  | 80.00 | 2/17/2023 | (5) | (35125) | (500) | (739) | 239 |
|  Morgan Stanley | Morgan Stanley & Co. | 95.00 | 2/17/2023 | (4) | (34008) | (256) | (399) | 143 |
|  Nextera Energy, Inc. | Morgan Stanley & Co. | 90.00 | 2/17/2023 | (6) | (50160) | (660) | (886) | 226 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **79** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Alternative Strategies Fund** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN WRITTEN OPTIONS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Fair<br>Value** | **Premiums<br>Received** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
|  Pioneer Natural Resources Co. | Morgan Stanley & Co. | $245.00 | 2/17/2023 | (1) | $(22839) | $(596) | $(457) | $(139) |
|  Procter & Gamble Co. (The) | Morgan Stanley & Co. | 155.00 | 2/17/2023 | (3) | (45468) | (840) | (794) | (46) |
|  Starbucks Corp. | Morgan Stanley & Co.  | 110.00 | 2/17/2023 | (6) | (59520) | (630) | (657) | 27 |
|  United Parcel Service, Inc. | Morgan Stanley & Co.  | 200.00 | 2/17/2023 | (2) | (34768) | (200) | (417) | 217 |
|  Walmart, Inc. | Morgan Stanley & Co. | 150.00 | 2/17/2023 | (3) | (42537) | (390) | (548) | 158 |
|  Williams Cos. Inc. (The) | Morgan Stanley & Co.  | 35.00 | 2/17/2023 | (10) | (32900) | (490) | (507) | 17 |
|  Total Written Options | Total Written Options |  |  |  |  | $(12671) | $(13653) | $982 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **80** | Litman Gregory Funds Trust |

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**iMGP High Income Alternatives Fund 2022 Annual Report** 

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The iMGP High Income Alternatives Fund fell 6.85% in calendar year 2022. During the same 12-month period, the Bloomberg US Aggregate Bond Index (Agg) fell 13.01% and high-yield bonds (ICE BofA Merrill Lynch US High Yield TR Index) declined 11.22%. The fund slightly underperformed its Morningstar Nontraditional Bond peer category, which lost 6.44% during the year. Since the fund's inception (9/28/18), its annualized return is 2.26%, compared to 0.41% for the Agg and 1.90% for high-yield bonds. The fund has also outperformed its peer category's 0.61% gain over the four-plus year timeframe.

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** |
|  | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** |
|  | **One-**<br> **Year** | **Three-<br>Year** | **Since<br>Inception<br>(9/28/18)** |
| &nbsp;&nbsp;&nbsp; **iMGP High Income Alternative Fund** | **-6.85%** | **1.54%** | **2.26%** |
| &nbsp;&nbsp;&nbsp; Bloomberg Aggregate Bond Index | -13.01% | -2.71% | 0.41% |
| &nbsp;&nbsp;&nbsp; ICE BofAML U.S. High Yield TR USD Index | -11.22% | -0.23% | 1.90% |
| &nbsp;&nbsp;&nbsp; Morningstar Nontraditional Bond Category | -6.44% | -0.73% | 0.61% |

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&nbsp;&nbsp;&nbsp; ***Past performance does not guarantee future results. Index performance is not illustrative of fund performance. An investment cannot be made directly in an index. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. To obtain the performance of the funds as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>****.* Investment performance reflects fee waivers and contractual expense limitations in effect. In the absence of such waivers, total return would be reduced.<br> **Gross Expenses : 1.44% Net Expenses 0.99% Adjusted Expenses 0.98%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>

**Annual Review** 

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After several years of low yields, followed by some of the worst annual return since 1975, it looks as though bonds are finally set up to generate attractive returns again. While returns are likely to be more attractive, volatility is likely to persist as there are several factors in play including inflation, central bank interest-rate policies, and questions around global economic growth in the U.S. and abroad. While there are question marks, we think 2023 could be a good year for bonds as they provide attractive return potential with lower interest-rate risk relative to that return potential than we've seen in years.

Looking ahead, we expect the Federal Reserve to end its rate hikes sometime in the first half of 2023, against the possibility of a recession and lower inflation. With short-term rates likely to be pegged at current or modestly higher levels, the yield curve will likely remain inverted.

Our positive near-term view on bonds rests on three main factors: Higher starting yields, inflation trending lower, and the Fed being close to ceasing its rate hikes. As for the Fed rate hikes, they have been signaling that they will continuing hiking in early 2023, moving to smaller increments from the recording setting pace of rate hikes we saw last year. As we write this the market is pricing in a 95% probability that the Fed will hike 25bps at their next meeting in early February. Many expect small hikes through most of the year, with potential rate cuts happening later in the year.

The fund's active credit managers are excited about the current yields for their respective sleeves but are heading into the year somewhat cautious in the face of a potential recession. It is likely that volatility will remain elevated as the markets continue to adjust to today's higher rates and economic risk. But overall, our message is that there are many reasons to be optimistic about fixed income, particularly with flexible managers with wide opportunity sets that can better navigate the credit and macroeconomic cycles.

As a reminder, this fund is intended to be a complement to traditional fixed-income allocations, seeking long-term returns that are significantly higher than core fixed-income with a low correlation to core bonds and less interest-rate sensitivity. These higher expected returns will very likely come with higher volatility than core bonds. However, over the long term, we believe returns will be comparable to high-yield bonds, but with lower volatility and downside risk. This is due to the fund's diversified sources of income and flexible managers utilizing a wide opportunity set.

The market trauma of 2022 resulted in attractive opportunities for our managers to add attractive and durable, higher-yielding securities in both more mainstream segments of the fixed-income universe, as well as the niche, off-benchmark segments of the credit where they typically find better opportunities. The results can be seen at the sub-advisor level, with the sleeve managed by Brown Brothers Harriman (BBH) yielding nearly 10% with a duration of 2.2 and slightly over half the portfolio investment-grade-rated and/or cash equivalents, while Guggenheim's sleeve yielded nearly 9% with a duration just over three, and nearly half the portfolio investment-grade-rated or cash equivalents.

Meanwhile, Neuberger Berman's option strategy has continued to perform well, playing effective defense by losing less than 4% for the full year amid double-digit losses for most equity and bond markets, while also participating in the upside of positive environments, gaining over 6% in the fourth quarter. While an increase in equity market implied volatility didn't match that of the bond markets on a relative basis

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| Fund Summary | **81** |

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##### [**Table of Contents**](#toc)
(the VIX never touched 40 during 2022), it was pretty consistently between 20 and 30, high enough for the strategy to generate attractive option premiums. The options that the strategy writes are staggered, and typically have around a month to expiration, so the level of income they generate can fluctuate quite a bit throughout the year, but a consistently "good" implied volatility environment is generally better than one with mostly low implied volatility punctuated by a small number of big spikes. Equity market declines and losses on the collateral portfolio (despite its short duration) resulted in the modestly negative performance, but a continuation of the implied volatility environment experienced last year would be a good backdrop for the strategy in 2023. A 3% out-of-the-money put option on the S&P 500, a reasonable proxy for the strategy's short-term opportunity, yielded in the mid-teens as the calendar turned to the new year. While this is well below the peak levels of 2022, it is still a decent starting level (and will adjust rapidly to changes in the market). Additionally, the portfolio's collateral yield benefitted from the dramatic increase in short-term interest rates over the course of 2022, with a duration of just under a year and a weighted average YTM of 4.6% at the end of 2022.

The High Income Alternatives fund will reach its five-year anniversary at the end of the third quarter 2023. Over the life of the fund, it has demonstrated an ability to generate attractive risk-adjusted returns and income, while diversifying core bond exposure. Over the trailing one-, two-, three-, and since-inception periods, the fund remains comfortably ahead of both the high-yield and Agg bond benchmarks, as well as the Morningstar Nontraditional Bond category. As we start the year, the fund's yield is above 8% (*not including* the option premiums from Neuberger Berman's strategy) with a duration of approximately 2.3. This compares to a 4.7% yield and 6.1 duration for the Agg, and a 9.0% yield and 4.0 duration for the high-yield bond index.

Thank you for your continued confidence in the fund. We wish everyone a healthy, happy, and prosperous new year.

**Portfolio Commentary** 

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***Performance of Managers***

Not surprisingly given the market environment, all three subadvisors had negative performance for calendar year 2022. The fund's two flexible credit managers, Brown Brothers Harriman and Guggenheim produced losses of 4.84% and 8.50%, respectively. Neuberger Berman's option income strategy was also down, but held up relatively well, with a loss of 3.80% for the year. (These returns are net of the management fees that each sub-advisor charges the fund.)

**Manager Commentaries** 

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**<u>Brown Brothers Harriman</u>**

2022 was the worst-performing calendar year on record for fixed income markets, but the portfolio's performance exceeded most broad market indexes. Interest rates rose significantly from historical lows. Fund outflows were large and persistent, in some cases necessitating forced selling of credit instruments by fund managers. Credit spreads widened across sectors and qualities. The conflict in Eastern Europe resulted in impairments to debt instruments tied to both Russia and Ukraine. Even traditionally staid segments of the market, such as short-maturity debt indexes, faced declines. If you held bonds of any maturity or quality, there were few places to hide from negative returns during 2022.

We are proud to report that the sleeve's performance was not impacted by any defaults or impairments tied to the conflict in Ukraine (or any other event), and the sleeve performed well as credit spreads widened from historically low levels at the start of the year. The sleeve's duration profile had the largest impact on returns during 2022. The duration was managed near 2.0 years throughout the year, and it impacted the total returns negatively, but relative returns versus market benchmarks positively. The sleeve's sector and ratings allocation hindered results, as credit positions were initiated, and spreads widened throughout the year. Selection results were slightly negative, as the nontraditional asset-backed securities (ABS) held in the portfolio underperformed their traditional ABS counterparts, while the sleeve experienced positive selection results from its holdings of commercial mortgage-backed securities (CMBS).

With fixed income instruments, what is often bad for past performance is good for future performance, and vice-versa. At the end of 2022, yields on several Treasury maturities were at 15-year highs while there was an abundance of credit opportunities outside of traditional benchmarks. However, we believe that a cautious approach remains warranted. Corporate bond spreads rose from historically low levels in 2022 and remained near their longer-term medians by year-end. Our valuation framework identified 36% of the investment grade corporate bond index and 46% of the high yield corporate bond index that meet our criteria for a new purchase as of 12/31/2022. These levels are down from their 2022 peaks when they were 65% for investment grade and 62% for high yield corporate bond indexes at the end of the third quarter. They remain higher than their levels at year-end 2021, when only 2% of investment grade and 25% of high yield corporate bond indexes met those criteria. Outside of mainstream benchmarks, we are finding an abundance of attractively valued credits. Valuations of nontraditional ABS, single-asset-single-borrower (SASB) CMBS, and bank loans remain broadly attractive, as their spreads widened during the fourth quarter and remain at levels typically seen during recessions. Valuations of corporate bonds that do not meet index inclusion criteria due to their issuance size, structure, or the number of credit ratings assigned continue to offer outsized yields relative to their underlying quality.

Concerns over a recession are prevalent as we start 2023. We believe investors are right to question how credit investments might be impacted during a recession. There are a few observations that give us comfort on how credit can still outperform through an economic slowdown. First, credit tends to perform well through recessions. Various credit indexes performed much better than equity counterparts

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| **82** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
during the past three recessions as defined by the National Bureau of Economic Research. Performance challenges in credit tend to occur before recession hits, similar to what markets observed in 2022. Second, credit spreads increased during 2022, and one cause was surely concern about a looming recession. Credit market valuations suggest there is less complacency in the market, and therefore market participants may already be pricing in the prospect of an economic downturn. Third, we stress test the credits we buy and hold to make sure they can survive the most severe conditions their industries have faced. It is difficult to forecast exactly how a recession might impact individual industries, but our process of stressing to an extreme environment gives us reasonable expectation that credits owned can navigate a difficult economic environment.

As credit valuations became more attractive during the year, we found numerous credit opportunities at attractive valuations that were added to the sleeve. We added corporate bonds issued by property and casualty insurers, business development companies, real estate investment trusts (REITs), and banks, to name a few. We also initiated investments in senior floating rate loans to two technology companies, a midstream energy company, an aircraft engines and parts manufacturer, and three healthcare-related companies. Each credit met our valuation and durability criteria, and we stress-tested each credit to severe conditions before purchase.

We also purchased a variety of attractive credits in structured credit sectors. In the ABS market, we participated in issuances of collateralized loan obligations (CLOs), a collateralized fund obligation, an aircraft equipment ABS, a personal consumer loan ABS, and a recurring revenue ABS. Each investment was selected carefully, and we found they offered compelling valuations, strong fundamentals, and credit enhancements, demonstrated performance through adverse industry scenarios, established track records of performance, and experienced management teams originating and servicing the assets. In the CMBS market, we initiated positions in three floating-rate SASB securitizations that were purchased at compelling valuations relative to their credit quality, have strong fundamentals and credit support, and withstand our severe macroeconomic stress test scenarios.

At the end of the year, the portfolio carried an average duration of 2.2 years that we believe remains conservative and consistent with capital preservation amid a still uncertain path of shorter-term interest rates. The portfolio's weight to corporate debt instruments stood at 72% at year-end, while the portfolio's weights to ABS and CMBS were 18% and 6%, respectively. Holdings of reserves were minimal at 3%. The weight to high yield and non-rated credits decreased to 48% from 57% at the start of the year and was comprised primarily of credits in the double- and single-B ratings categories. The portfolio's yield rose to 9.8% from 4.9% at the start of the year due to higher rates, higher credit spreads, and opportune purchase activity. The portfolio's average option-adjusted spread (OAS) was +529 basis points over Treasuries that compared favorably versus +130 basis points over Treasuries the Bloomberg U.S. Corporate Index (investment grade) and +469 basis points over Treasuries for the Bloomberg U.S. Corporate High Yield Index.

While rising interest rates and credit spreads have crushed returns this year, they also bring the prospect of appealing returns going forward. The rise in credit spreads reflects, in part, increasing concerns for credit losses. The market implies the Fed's hawkish actions will push the economy towards a recession that will result in the Fed cutting rates by the end of 2023. It's difficult to say how much wider credit spreads available are attributable to fundamental concerns, such as recession risk or weakening financial conditions, versus market technical dynamics, such as the pace of bond fund outflows. Our research process sidesteps this dilemma by stressing the durability of the individual credits we buy to survive more challenging economic conditions than even the worst that may be store in coming quarters. We believe in the importance of applying this effort on a bottom-up, bond-by-bond basis to protect our investors while capturing the increasingly attractive valuations offered in the credit markets.

**Guggenheim** 

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Helped by lower energy prices, real economic growth looks to have reaccelerated in the fourth quarter. However, our outlook for the U.S. economy remains negative. We expect 2023 will see negative real GDP growth (Q4/Q4), with a high probability of a recession starting by Q3 2023. The Fed is explicitly targeting a weaker labor market, and several leading indicators point to rising unemployment by the middle of the year. Consumption also faces headwinds from dwindling excess savings buffers and a sharply negative wealth shock as financial asset and home prices fall. Business investment is also weakening due to the sharp tightening in financial conditions and more challenging outlook for economic growth. The housing sector is likely to subtract further from GDP as the spike in mortgage rates has cratered demand. Because private sector balance sheets are generally healthy in aggregate and the economy lacks major imbalances, we do not expect a particularly deep recession. But the likelihood of a limited monetary and fiscal policy response means the economic recovery will likely be weak. Moderation in goods prices as supply chains normalize should bring inflation lower over the next several months, and shelter inflation should roll over by mid-2023. Services inflation outside of shelter is the main concern for the Fed, but a softening labor market and cooling wage growth should keep this category contained. Core inflation could fall below 3% by the end of the year.

The end of the Fed hiking cycle is in sight, but there is no rush to cuts rates. Given concerns about the lags of monetary policy, The Fed is eager to downshift the pace of rate hikes. We see the hiking cycle winding down by Q2 2023. The Fed is wary of letting financial conditions ease too far and too fast, which would undo the economic impact of their aggressive rate hikes. Even as they slow the pace of rate hikes and then pause, they will maintain a hawkish rhetoric and try to keep rate hikes on the table. The 1970s experience of premature easing of monetary policy causing inflation to reaccelerate is at the top of the Fed's mind. They will need overwhelming evidence that inflation has come down and will stay down, which means not only will they need to see several months of cooler inflation readings, they will also need to a see a weaker labor market to ensure wage growth moderates and takes pressure off underlying inflation. Fed communication has

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| Fund Summary | **83** |

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made it clear they are aware of elevated recession risk, but they see the risks of letting inflation expectations become unanchored as far more dangerous. Fed policy is unlikely to pivot to rate cuts as quickly as in the past, even amid rising unemployment. Despite recession risk, major fiscal stimulus is unlikely given inflation concerns. Divided government virtually ensures policy gridlock for the next two years.

What this means for the portfolio, we are turning more defensive, but remaining opportunistic, as the credit cycle reaches an inflection point. The Fed's continued rate hike campaign should cause the yield curve to invert further in the near term. As the economic cycle rolls over this year, Treasury yields should see a significant decline. Cooling inflation could drive a near-term relief rally in risk assets. Weakening corporate earnings growth and an emerging recession present downside risk to equity returns later this year. Corporate fundamentals remain solid, but investors should remain selective as downgrades and defaults increase in the next 6-12 months. We are finding attractive value in high-quality corporate and structured credit, and are reducing exposure to bank loans. Attractive yields provide an income cushion that could reduce the impact if spreads should widen from here.

**<u>Neuberger Berman</u>**

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Despite another 125bps of tightening from the US Federal Reserve Board of Governors over the fourth quarter, financial markets tried to salvage 2022 with broad gains. However, despite the holiday rebounds, the S&P 500 Index ended 2022 squarely in negative double-digits with a return of -18.1%. To paint the year with a single statistic, 2022 had more +/-8% monthly returns than any year since 1939 (source: Neuberger Berman, Bloomberg). Equity index put-write indices performed as designed and finished the year well ahead of their underlying equity index exposures. Specifically, the Cboe S&P 500 2% OTM PutWrite Index ("PUTY") declined a modest -1.5% and the Cboe Russell 2000 PutWrite ("PUTR") fell -6.0%. Fixed income markets suffered a similar fate as equity markets for the year with the Bloomberg US Aggregate Index and the Bloomberg US High Yield Index realizing losses of -13.0% and -11.2%, respectively. Short-term US Treasury index returns weathered the inflation storm with the ICE 3-Month US T-Bill index posting an attractive 1.5% return for the year with 91bps accruing in the fourth quarter. The slightly longer duration ICE 1-3Y US Treasury Index rose 74bps in the quarter but remained in negative territory for the year at -3.7%. This 2022 performance differential was the most notable headwind for our portfolio's relative performance as passive option strategy indexes generally hold 1- to 3-month US T-Bills as collateral.

On the year, the sleeve's -3.8% lagged the PutWrite Benchmark (consisting of 40% Cboe S&P 500 PutWrite Index (PUT) and 60% ICE 0-3M US Treasury Bill Index) return of -2.1% but proved to be more resilient than the Bloomberg US High Yield Index's return of -11.2%. During this period, the S&P 500 PutWrite Strategy fell -4.0% compared to the PUTY return of -1.5%. Meanwhile, the Russell 2000 PutWrite Strategy declined -3.8%, avoiding a significant portion of the -6.0% loss posted by the PUTR.

In general, the sleeve performed in line with expectations for 2022. Yet, unprecedented interest rate increases in 2022 proved to create a modest relative performance challenge versus option strategy indexes. We reduced the duration of the sleeve's collateral portfolio to approximately one year by the end of 2021, but any duration exposure was a detractor in 2022. For the year, the ICE 1-3 Year US Treasury Index ("ICE 1-3Y UST") returned -3.7%, marking only the second negative calendar year since 1978; 2021 was the first with a modest -0.6% loss. In sharp contrast, the ICE 0-3 Month US T-Bill Index's ("ICE 3M USB") positive 1.5% return resulted in a material relative underperformance for ICE 1-3Y UST Index. Importantly, the 2022 performance dispersion between short-dated US Treasury securities accounts for basically all the sleeve's underperformance versus option strategy indexes which hold U.S. T-Bills as collateral. The good news is that collateral portfolio losses suffered in 2022 are largely mark-to-market in nature and discounted position prices could accrue back towards par at maturity.

With the annual cycle of financial and economic prognostication upon us, we believe the next decade looks far more challenging than the last as investors face a combination of risks not seen in our careers, if ever. Specifically, in our view, investors face a 'dirty dozen': higher interest rates, aging demographics, polarized politics, uncertain inflation, pandemic policies, ESG regulation (social taxation), energy/commodity insecurity, decentralized finance (DeFi), climate disasters, social media (conspiracies), decreasing financial liquidity, and armed conflicts (war has many modern names). Each of these factors will potentially impact global economic outcomes in the coming decade but it's impossible to handicap what combinations will emerge as the key economic drivers/influences. Regardless, we believe their confluence will lead to an unprecedented equity market volatility landscape characterized by less cyclical implied volatility levels that remain 'higher for longer'. The Cboe S&P 500 Volatility Index ("VIX") continues to price higher equity market risk levels and resist returning to below long-term average levels. With increased levels of implied volatility over the course of the year, implied volatility premiums were positive in three out of four quarters and averaged 1.42 for the full period. Lastly, VIX futures markets seem to agree with our expectations that 2023 will experience persistent elevated levels of equity implied volatility.

**Strategy Allocations** 

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The fund's target allocations across the three managers are as follows: 40% each to Brown Brothers Harriman and Guggenheim Investments, and 20% to Neuberger Berman. We use the fund's daily cash flows to bring each manager's allocation toward their targeted allocation should differences in shorter-term relative performance cause divergences. We believe the fund remains well-diversified with the ability to be opportunistic across non-traditional credit sectors, particularly within the broad mandates of the fund's flexible credit managers, BBH and Guggenheim.

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| **84** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**Sub-Advisor Portfolio Composition as of December 31, 2022** 

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**Brown Brothers Harriman Credit Value Strategy** 

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|  ABS | 18% |
|  Bank Loans | 34% |
|  Corporate Bonds | 39% |
|  CMBS | 6% |
|  Reserves | 3% |

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**Guggenheim Multi-Credit Strategy** 

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|:---|:---|
|  ABS | 24% |
|  Bank Loans | 18% |
|  Corporate Bonds | 36% |
|  Non-Agency RMBS | 5% |
|  Preferred Stock | 3% |
|  CMBS | 2% |
|  Other | 6% |
|  Cash | 6% |

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**Neuberger Berman Option Income Strategy** 

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|  Equity Index Put Writing | 100% |

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| Fund Summary | **85** |

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##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund Managers** 

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| **INVESTMENT MANAGER** | **FIRM** | **TARGET<br>MANAGER<br>ALLOCATION** | **Strategy** |
| Andrew P. Hofer<br> Neil Hohmann<br> Paul Kunz | Brown Brothers Harriman & Co. | 40% | Credit Value |
| Anne Walsh<br> Steven Brown<br> Adam Bloch | Guggenheim Partners Investment Management, LLC | 40% | Multi-Credit |
| Derek Devens<br> Rory Ewing | Neuberger Berman Investment Advisers LLC | 20% | Option Income |

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**iMGP High Income Alternatives Fund Value of Hypothetical $10,000** 

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*The value of a hypothetical $10,000 investment in the iMGP High Income Alternatives Fund from August 31, 2018 to December 31, 2022 compared with the ICE BofA US High Yield Index, Morningstar Nontraditional Bond Category and Bloomberg US Agg Bond Index.*![LOGO](g468187g55q64.jpg)

*The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.* 

Performance quoted does not include a deduction for taxes that a shareholder would pay on the redemption of fund shares.

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| **86** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022** 

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| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **COMMON STOCKS: 0.0%**  | **COMMON STOCKS: 0.0%**  | **COMMON STOCKS: 0.0%**  |
| **Consumer Staples: 0.0%** | **Consumer Staples: 0.0%** | **Consumer Staples: 0.0%** |
| 648 | Moran Foods LLC\* | $365 |
| **TOTAL COMMON STOCKS**<br> (Cost $0) | **TOTAL COMMON STOCKS**<br> (Cost $0) | 365 |
| **PREFERRED STOCKS: 3.1%** | **PREFERRED STOCKS: 3.1%** | **PREFERRED STOCKS: 3.1%** |
| **Financials: 3.1%** | **Financials: 3.1%** | **Financials: 3.1%** |
|  | American Financial Group, Inc. | American Financial Group, Inc. |
| 1789 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 09/15/2060 | 33258 |
|  | Assurant, Inc. | Assurant, Inc. |
| 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 01/15/2061 | 40380 |
|  | Bank of America Corp. | Bank of America Corp. |
| 1575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 11/03/2025<sup>(a)</sup> | 27641 |
|  | Bank of America Corp. | Bank of America Corp. |
| 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 02/02/2026<sup>(a)</sup> | 25050 |
|  | CNO Financial Group, Inc. | CNO Financial Group, Inc. |
| 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 11/25/2060 | 33820 |
|  | Eagle Point Credit Co., Inc. | Eagle Point Credit Co., Inc. |
| 32000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 01/31/2029 | 682880 |
|  | Equitable Holdings, Inc. | Equitable Holdings, Inc. |
| 2800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.300%, 03/15/2026<sup>(a)</sup> | 49532 |
|  | Federal Agricultural Mortgage Corp. | Federal Agricultural Mortgage Corp. |
| 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 07/17/2025<sup>(a)</sup> | 43130 |
|  | First Eagle Alternative Capital BDC, Inc. | First Eagle Alternative Capital BDC, Inc. |
| 26600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 05/25/2026 | 613396 |
|  | First Republic Bank - Series L | First Republic Bank - Series L |
| 2125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 10/30/2025<sup>(a)</sup> | 34000 |
|  | First Republic Bank - Series K | First Republic Bank - Series K |
| 7825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 03/30/2026<sup>(a)</sup> | 128565 |
|  | First Republic Bank - Series N | First Republic Bank - Series N |
| 775 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 12/31/2026<sup>(a)</sup> | 13376 |
|  | Oxford Lane Capital Corp. | Oxford Lane Capital Corp. |
| 23400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 01/31/2027 | 518310 |
|  | PartnerRe Ltd. | PartnerRe Ltd. |
| 1158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 03/15/2026<sup>(a)</sup> | 21794 |
|  | Prudential Financial, Inc. | Prudential Financial, Inc. |
| 1300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 09/01/2060 | 23595 |
|  | Reinsurance Group of America, Inc. | Reinsurance Group of America, Inc. |
| 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 10/15/2052<sup>(b)</sup> | 103620 |
|  | Selective Insurance Group, Inc. | Selective Insurance Group, Inc. |
| 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.600%, 12/15/2025<sup>(a)</sup> | 33500 |
|  | Trinity Capital, Inc. | Trinity Capital, Inc. |
| 17000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 01/16/2025 | 426912 |
|  | W R Berkley Corp. | W R Berkley Corp. |
| 755 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 09/30/2060 | 13983 |
|  | W R Berkley Corp. | W R Berkley Corp. |
| 5619 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 03/30/2061 | 99625 |
|  | Wells Fargo & Co. | Wells Fargo & Co. |
| 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.700%, 12/15/2025<sup>(a)</sup> | 110340 |
| **TOTAL PREFERRED STOCKS**<br> (Cost $3,616,431) | **TOTAL PREFERRED STOCKS**<br> (Cost $3,616,431) | 3076707 |
| **CLOSED-END FUNDS: 0.4%** | **CLOSED-END FUNDS: 0.4%** | **CLOSED-END FUNDS: 0.4%** |
| 3065 | Ares Dynamic Credit Allocation Fund, Inc. | 35523 |
| 10740 | BlackRock Corporate High Yield Fund, Inc. | 93868 |
| 7504 | BlackRock Credit Allocation Income Trust | 75790 |
| 2922 | BlackRock Debt Strategies Fund, Inc. | 26882 |

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| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Value** | **Value** |
| 7753 | Blackstone Strategic Credit Fund | $| 82027 |
| 4076 | Eaton Vance Ltd. Duration Income Fund |  | 38274 |
| 6537 | Western Asset High Income Opportunity Fund, Inc. |  | 25821 |
| **TOTAL CLOSED-END FUNDS**<br> (Cost $390,300) | **TOTAL CLOSED-END FUNDS**<br> (Cost $390,300) |  | 378185 |
| **Principal<br>Amount^** |  |  |  |
| **ASSET-BACKED SECURITIES: 16.4%** | **ASSET-BACKED SECURITIES: 16.4%** | **ASSET-BACKED SECURITIES: 16.4%** | **ASSET-BACKED SECURITIES: 16.4%** |
|  | AASET Trust |  |  |
| $220258 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2-B <br>4.458%, 10/16/2039<sup>(c)</sup> |  | 75720 |
| 138939 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-B <br>4.335%, 01/16/2040<sup>(c)</sup> |  | 61259 |
|  | AASET US Ltd. |  |  |
| 147189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A-A <br>4.454%, 11/18/2038<sup>(c)</sup> |  | 116998 |
|  | ABPCI Direct Lending Fund ABS I Ltd. |  |  |
| 120000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-B <br>4.935%, 12/20/2030<sup>(c)</sup> |  | 109714 |
|  | ABPCI Direct Lending Fund CLO I LLC |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A-DR <br>8.743%, 04/20/2032<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 4.500% |  | 224673 |
|  | ABPCI Direct Lending Fund IX LLC |  |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-9A-BR <br>6.858%, 11/18/2031<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 2.500% |  | 446261 |
|  | Adams Outdoor Advertising L.P. |  |  |
| 347293 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1-A <br>4.810%, 11/15/2048<sup>(c)</sup> |  | 329982 |
|  | Anchorage Credit Funding 4 Ltd. |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A-CR <br>3.523%, 04/27/2039<sup>(c)</sup> |  | 203139 |
|  | Applebee's Funding LLC / IHOP Funding LLC |  |  |
| 247500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-A2I <br>4.194%, 06/05/2049<sup>(c)</sup> |  | 243968 |
| 99000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-A2II <br>4.723%, 06/05/2049<sup>(c)</sup> |  | 90500 |
|  | Ares Finance Co. II LLC |  |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 10/15/2036<sup>(b)</sup> |  | 477000 |
|  | Atlas Senior Loan Fund Ltd. |  |  |
| 350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-9A-C <br>6.043%, 04/20/2028<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 1.800% |  | 335470 |
|  | Business Jet Securities LLC |  |  |
| 68374 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-B <br>3.967%, 11/15/2035<sup>(c)</sup> |  | 60914 |
| 329167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A-B <br>5.192%, 06/15/2037<sup>(c)</sup> |  | 298164 |
|  | CARS-DB4 L.P. |  |  |
| 220000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-B1 <br>4.170%, 02/15/2050<sup>(c)</sup> |  | 201114 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-B3 <br>4.950%, 02/15/2050<sup>(c)</sup> |  | 80738 |
|  | Castlelake Aircraft Securitization Trust |  |  |
| 87194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1-A <br>4.125%, 06/15/2043<sup>(c)</sup> |  | 76553 |
|  | Castlelake Aircraft Structured Trust |  |  |
| 181323 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-B <br>6.656%, 01/15/2046<sup>(c)</sup> |  | 141439 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **87** |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** |
|  | CHCP Ltd. |  |
| $100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FL1-D <br>7.440%, 02/15/2038<sup>(c)(d)</sup> <br>TSFR1M + 3.114% | $93474 |
|  | CIFC Funding II Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A-DR <br>7.343%, 04/20/2030<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 3.100% | 229379 |
|  | Digital Brige Issuer LLC |  |
| 350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-A2 <br>3.933%, 09/25/2051<sup>(c)</sup> | 298781 |
|  | Dryden Senior Loan Fund |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-87A-SUB <br>0.000%, 05/20/2034<sup>(b)(c)</sup> | 214870 |
|  | Elm Trust |  |
| 110000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4A-B <br>3.866%, 10/20/2029<sup>(c)</sup> | 99129 |
|  | Falcon Aerospace Ltd. |  |
| 245854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1-B <br>6.300%, 02/15/2042<sup>(c)</sup> | 213447 |
|  | First Franklin Mortgage Loan Trust |  |
| 447362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF16-2A4 <br>4.809%, 12/25/2036<sup>(d)</sup> <br>1 mo. USD LIBOR + 0.420% | 195765 |
|  | FirstKey Homes Trust |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2-G1 <br>4.000%, 10/19/2037<sup>(c)</sup> | 131664 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2-G2 <br>4.500%, 10/19/2037<sup>(c)</sup> | 88747 |
|  | Firstkey Revolving Trust |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 11/30/2058<sup>(b)</sup> | 143982 |
|  | Five Guys Funding LLC |  |
| 148125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A-A2 <br>4.600%, 07/25/2047<sup>(c)</sup> | 139108 |
|  | Fortress Credit Opportunities IX CLO Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-9A-A2TR <br>5.879%, 10/15/2033<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 1.800% | 236027 |
|  | FS Rialto Issuer LLC |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL5-C <br>8.246%, 06/19/2037<sup>(c)(d)</sup> <br>TSFR1M + 3.921% | 94584 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL6-C <br>8.555%, 08/17/2037<sup>(c)(d)</sup> <br>TSFR1M + 4.230% | 99663 |
|  | GAIA Aviation Ltd. |  |
| 145851 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1-A <br>3.967%, 12/15/2044<sup>(c)(e)</sup> | 121019 |
|  | GoldentTree Loan Management US CLO 1 Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9A-D <br>7.143%, 01/20/2033<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 2.900% | 227256 |
|  | Golub Capital Partners ABS Funding Ltd. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-B <br>4.496%, 01/22/2029<sup>(c)</sup> | 134277 |
|  | Hotwire Funding LLC |  |
| 750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1-C <br>4.459%, 11/20/2051<sup>(c)</sup> | 614188 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
|  | IP Lending II Ltd. |  |
| $100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A-SNR <br>3.650%, 07/15/2025<sup>(c)</sup> | $95500 |
|  | Jersey Mike's Funding |  |
| 99500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-A2I <br>2.891%, 02/15/2052<sup>(c)</sup> | 84119 |
|  | JOL Air Ltd. |  |
| 185703 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1-A <br>3.967%, 04/15/2044<sup>(c)</sup> | 152097 |
|  | KDAC Aviation Finance Ltd. |  |
| 154229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A-A <br>4.212%, 12/15/2042<sup>(c)</sup> | 118759 |
|  | LCCM Trust |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FL3-C <br>6.918%, 11/15/2038<sup>(c)(d)</sup> <br>1 mo. USD LIBOR + 2.600% | 140043 |
|  | LCM 35 Ltd. |  |
| 520000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 35A-SUB <br>0.000%, 10/15/2034<sup>(b)(c)</sup> | 409001 |
|  | LCM 37 Ltd. |  |
| 300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 37A-SUB <br>0.000%, 04/15/2034<sup>(b)(c)</sup> | 200630 |
|  | LCM 39 Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 39A-E <br>12.755%, 10/15/2034<sup>(c)(d)</sup> <br>TSFR3M + 8.830% | 240810 |
|  | LoanCore Issuer Ltd. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CRE7-D <br>6.908%, 01/17/2037<sup>(c)(d)</sup> <br>SOFR 30-day + 3.100% | 186688 |
|  | LoanCore Issuer Ltd. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CRE5-D <br>7.318%, 07/15/2036<sup>(c)(d)</sup> <br>1 mo. USD LIBOR + 3.000% | 88494 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CRE6-D <br>7.168%, 11/15/2038<sup>(c)(d)</sup> <br>1 mo. USD LIBOR + 2.850% | 92517 |
|  | Madison Park Funding XLVIII Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-48A-D <br>7.227%, 04/19/2033<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 3.000% | 235205 |
|  | Marathon CLO V Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-5A-BR <br>6.525%, 11/21/2027<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 1.850% | 243121 |
|  | MCA Fund Holding LLC |  |
| 185417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1-B <br>4.247%, 11/15/2035<sup>(c)</sup> | 176108 |
|  | MF1 LLC |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL10-C <br>8.804%, 09/17/2037<sup>(c)(d)</sup> <br>TSFR1M + 4.483% | 244418 |
|  | MidOcean Credit CLO VII |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A-CR <br>6.279%, 07/15/2029<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 2.200% | 466986 |
|  | Monroe Capital ABS Funding Ltd. |  |
| 180000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-A2 <br>2.815%, 04/22/2031<sup>(c)</sup> | 162972 |
|  | Monroe Capital Income Plus ABS Funding LLC |  |
| 140000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A-B <br>5.150%, 04/30/2032<sup>(c)</sup> | 123151 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **88** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** | **ASSET-BACKED SECURITIES (CONTINUED)** |
|  | Morgan Stanley ABS Capital I, Inc. Trust |  |
| $274261 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE8-A2D <br>4.609%, 10/25/2036<sup>(d)</sup> <br>1 mo. USD LIBOR + 0.220% | $131726 |
| 354114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE4-A2C <br>4.619%, 02/25/2037<sup>(d)</sup> <br>1 mo. USD LIBOR + 0.230% | 119962 |
|  | Morgan Stanley IXIS Real Estate Capital Trust |  |
| 352316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2-A4 <br>4.609%, 11/25/2036<sup>(d)</sup> <br>1 mo. USD LIBOR + 0.220% | 123179 |
|  | Nassau CFO LLC |  |
| 150593 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1-A <br>3.980%, 08/15/2034<sup>(c)</sup> | 144001 |
|  | Neuberger Berman Loan Advisers CLO 44 Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-44A-SUB <br>0.000%, 10/16/2034<sup>(b)(c)</sup> | 215238 |
|  | Newtek Small Business Loan Trust |  |
| 76274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1-A <br>6.950%, 02/25/2044<sup>(c)(d)</sup> <br>1 mo. PRIME - 0.550% | 75051 |
| 34670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1-B <br>8.250%, 02/25/2044<sup>(c)(d)</sup> <br>1 mo. PRIME + 0.750% | 34262 |
|  | Northwoods Capital 20 Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-20A-DR <br>8.628%, 01/25/2032<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 4.270% | 215454 |
|  | Northwoods Capital 22 Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-22A ER <br>12.594%, 09/01/2031<sup>(c)(d)</sup> <br>TSFR3M + 8.190% | 216279 |
|  | Oportun Issuance Trust |  |
| 350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A-B <br>5.250%, 06/09/2031<sup>(c)</sup> | 319674 |
|  | Oxford Finance Funding LLC |  |
| 204611 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-B <br>4.037%, 02/15/2028<sup>(c)</sup> | 200218 |
|  | Palmer Square Loan Funding Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-C <br>7.143%, 04/20/2029<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 2.900% | 242532 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A-SUB <br>0.000%, 05/20/2029<sup>(b)(c)</sup> | 114959 |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A-C <br>6.743%, 07/20/2029<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 2.500% | 232581 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A-SUB <br>0.000%, 07/20/2029<sup>(b)(c)</sup> | 131727 |
|  | PennantPark CLO II Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A-D <br>10.579%, 01/15/2032<sup>(c)(d)</sup> <br>3 mo. USD LIBOR + 6.500% | 228455 |
|  | Raspro Trust |  |
| 492471 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1-A <br>0.000%, 03/23/2024<sup>(c)</sup> | 486733 |
|  | ReadyCap Lending Small Business Loan Trust |  |
| 82322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2-A <br>7.000%, 12/27/2044<sup>(c)(d)</sup> <br>1 mo. PRIME - 0.500% | 78192 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
|  | Republic Finance Issuance Trust |  |
| $240000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A-B <br>3.540%, 11/20/2030<sup>(c)</sup> | $219948 |
|  | Saganaw Insurance Receivables LLC |  |
| 2698 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-A <br>5.125%, 12/01/2023<sup>(c)</sup> | 2698 |
|  | Sapphire Aviation Finance I Ltd. |  |
| 121936 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A-A <br>4.250%, 03/15/2040<sup>(c)</sup> | 94751 |
|  | Sapphire Aviation Finance II Ltd. |  |
| 233783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-B <br>4.335%, 03/15/2040<sup>(c)</sup> | 142729 |
|  | Secured Tenant Site Contract Revenue Notes |  |
| 113772 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A-C <br>3.970%, 06/15/2048<sup>(c)</sup> | 112604 |
|  | SERVPRO Master Issuer LLC |  |
| 97000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A-A2 <br>3.882%, 10/25/2049<sup>(c)</sup> | 86299 |
|  | Sonic Capital LLC |  |
| 48833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-A2II <br>4.336%, 01/20/2050<sup>(c)</sup> | 41549 |
|  | Sprite Ltd. |  |
| 225380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1-A <br>3.750%, 11/15/2046<sup>(c)</sup> | 195703 |
|  | Start Ltd. |  |
| 134264 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1-A <br>4.089%, 05/15/2043<sup>(c)</sup> | 107556 |
|  | STWD Ltd. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL3-D <br>6.557%, 11/15/2038<sup>(c)(d)</sup> <br>SOFR 30-day + 2.750% | 93490 |
|  | Sunbird Engine Finance LLC |  |
| 185505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A-B <br>4.703%, 02/15/2045<sup>(c)</sup> | 140016 |
|  | Symphony CLO XXXI Ltd. |  |
| 650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-31A-SUB <br>0.000%, 04/22/2035<sup>(b)(c)</sup> | 485054 |
|  | Thrust Engine Leasing DAC |  |
| 416834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-B <br>6.121%, 07/15/2040<sup>(c)</sup> | 295648 |
|  | Vault DI Issuer LLC |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-A2 <br>2.804%, 07/15/2046<sup>(c)</sup> | 212682 |
|  | VB-S1 Issuer LLC |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A-F <br>5.268%, 02/15/2052<sup>(c)</sup> | 209107 |
|  | VCP RRL ABS I Ltd. |  |
| 70924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A-C <br>5.425%, 10/20/2031<sup>(c)</sup> | 65734 |
|  | Venture XIII CLO Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-13A-SUB <br>0.000%, 09/10/2029<sup>(b)(c)</sup> | 30000 |
|  | Wingstop Funding LLC |  |
| 99750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A-A2 <br>3.734%, 03/05/2052<sup>(c)</sup> | 86078 |
| **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $18,593,163) | **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $18,593,163) | 16341454 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **89** |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **BANK LOANS: 23.8%** | **BANK LOANS: 23.8%** | **BANK LOANS: 23.8%** |
|  | Accuride Corp. |  |
| $43992 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.980%, 11/17/2023<sup>(d)</sup> <br>3 mo. LIBOR + 5.250% | $37489 |
|  | AHP Health Partners, Inc. |  |
| 560880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.884%, 08/24/2028<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 552293 |
|  | Air Canada |  |
| 731325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.130%, 08/11/2028<sup>(d)</sup> <br>3 mo. LIBOR + 3.500% | 725039 |
|  | AL NGPL Holdings LLC |  |
| 309428 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.534%, 04/14/2028<sup>(d)</sup> <br>3 mo. LIBOR + 3.750% | 306256 |
|  | Allen Media LLC |  |
| 515341 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.230%, 02/10/2027<sup>(d)</sup> <br>3 mo. LIBOR + 5.500% | 424353 |
|  | AllSpring Buyer LLC |  |
| 660333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.750%, 11/01/2028<sup>(d)</sup> <br>3 mo. LIBOR + 3.000% | 652574 |
| 154613 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.330%, 11/01/2028<sup>(d)</sup> <br>3 mo. SOFR + 3.750% | 153163 |
|  | American Airlines, Inc. |  |
| 700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.993%, 04/20/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.750% | 698141 |
|  | American Rock Salt Co. LLC |  |
| 98500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.380%, 06/09/2028<sup>(d)</sup> <br>1 mo. LIBOR + 4.000% | 92959 |
|  | API Technologies Corp. |  |
| 96500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.980%, 05/09/2026<sup>(d)</sup> <br>3 mo. LIBOR + 4.250% | 76959 |
|  | Apttus Corp. |  |
| 35572 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.665%, 05/08/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.250% | 33438 |
|  | Arcline FM Holdings LLC |  |
| 98750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.480%, 06/23/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.750% | 94141 |
|  | Arctic Glacier U.S.A., Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.230%, 03/20/2024<sup>(d)</sup> <br>3 mo. LIBOR + 3.500% | 88920 |
|  | Aston FinCo S.A.R.L. |  |
| 97250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.634%, 10/09/2026<sup>(d)</sup> <br>1 mo. LIBOR + 4.250% | 83149 |
|  | AthenaHealth, Inc. |  |
| 61593 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 02/15/2029<sup>(f)</sup> | 55764 |
| 15399 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.821%, 02/15/2029<sup>(d)</sup> <br>3 mo. SOFR + 3.500% | 13941 |
| 361589 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.821%, 02/15/2029<sup>(d)</sup> <br>1 mo. SOFR + 3.500% | 327368 |
|  | Atlas CC Acquisition Corp. |  |
| 16030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.985%, 05/25/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.250% | 13574 |
| 3261 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.985%, 05/25/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.250% | 2761 |
|  | Avalara, Inc. |  |
| 136364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.830%, 10/19/2028<sup>(d)</sup> <br>3 mo. SOFR + 7.250% | 132955 |
|  | Bausch Health Cos., Inc. |  |
| 102375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.667%, 02/01/2027<sup>(d)</sup> <br>1 mo. SOFR + 5.250% | 78232 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
|  | BCP Renaissance Parent LLC |  |
| $599577 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.884%, 10/31/2024<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | $595332 |
| 605788 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 10/31/2026<sup>(f)</sup> | 601135 |
|  | BCPE Empire Holdings, Inc. |  |
| 99000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.384%, 06/11/2026<sup>(d)</sup> <br>1 mo. LIBOR + 4.000% | 96711 |
|  | Blue Ribbon LLC |  |
| 237981 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.120%, 05/08/2028<sup>(d)</sup> <br>1 mo. LIBOR + 6.000% | 179378 |
|  | Camin Cargo Control, Inc. |  |
| 95110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.884%, 06/04/2026<sup>(d)</sup> <br>1 mo. LIBOR + 6.500% | 91781 |
|  | Capstone Acquisition Holdings, Inc. |  |
| 98246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.134%, 11/12/2027<sup>(d)</sup> <br>1 mo. LIBOR + 4.750% | 94561 |
|  | CCRR Parent, Inc. |  |
| 98250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.140%, 03/06/2028<sup>(d)</sup> <br>1 mo. LIBOR + 3.750% | 93747 |
|  | CDK Global, Inc. |  |
| 620000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.080%, 07/06/2029<sup>(d)</sup> <br>3 mo. SOFR + 4.500% | 615455 |
|  | Cengage Learning, Inc. |  |
| 46281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.814%, 07/14/2026<sup>(d)</sup> <br>6 mo. LIBOR + 4.750% | 41733 |
|  | Chef's Warehouse Leasing Co. LLC (The) |  |
| 99750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.173%, 08/23/2029<sup>(d)</sup> <br>1 mo. SOFR + 4.750% | 99127 |
|  | Clarios Global L.P. |  |
| 1243764 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.634%, 04/30/2026<sup>(d)</sup> <br>1 mo. LIBOR + 3.250% | 1223037 |
|  | Claros Mortgage Trust, Inc. |  |
| 99000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.917%, 08/09/2026<sup>(d)</sup> <br>1 mo. SOFR + 4.500% | 98134 |
|  | Comet Acquisition, Inc. |  |
| 96000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.980%, 10/24/2025<sup>(d)</sup> <br>3 mo. LIBOR + 3.250% | 93300 |
|  | Congruex Group LLC |  |
| 68598 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.311%, 05/03/2029<sup>(d)</sup> <br>3 mo. SOFR + 5.750% | 66883 |
|  | Connect Finco S.A.R.L. |  |
| 510808 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.890%, 12/11/2026<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 505966 |
|  | CP Atlas Buyer, Inc. |  |
| 66105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.884%, 11/23/2027<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 58147 |
|  | CPM Holdings, Inc. |  |
| 95999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.620%, 11/17/2025<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 94559 |
|  | Cross Financial Corp. |  |
| 70426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.438%, 09/15/2027<sup>(d)</sup> <br>1 mo. LIBOR + 4.000% | 69487 |
|  | Deerfield Dakota Holding LLC |  |
| 32758 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.073%, 04/09/2027<sup>(d)</sup> <br>1 mo. SOFR + 3.750% | 30675 |
|  | Del Monte Foods, Inc. |  |
| 53128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.671%, 05/16/2029<sup>(d)</sup> <br>1 mo. SOFR + 4.250% | 51683 |
|  | Denali Water Solutions |  |
| 61001 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.980%, 03/27/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.250% | 51851 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **90** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **BANK LOANS (CONTINUED)** | **BANK LOANS (CONTINUED)** | **BANK LOANS (CONTINUED)** |
|  | DG Investment Intermediate Holdings 2, Inc. |  |
| $23576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.073%, 03/31/2028<sup>(d)</sup> <br>1 mo. LIBOR + 3.750% | $22604 |
|  | Dhanani Group, Inc. |  |
| 99091 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.436%, 07/20/2025<sup>(d)</sup> <br>1 mo. SOFR + 6.000% | 96614 |
|  | DXP Enterprises, Inc. |  |
| 96897 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.955%, 12/16/2027<sup>(d)</sup> <br>6 mo. LIBOR + 5.250% | 92900 |
|  | Eastern Power LLC |  |
| 363049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.480%, 10/02/2025<sup>(d)</sup> <br>3 mo. LIBOR + 3.750% | 324903 |
|  | Eisner Advisory Group LLC |  |
| 29464 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.688%, 07/28/2028<sup>(d)</sup> <br>1 mo. SOFR + 5.250% | 27991 |
|  | EyeCare Partners LLC |  |
| 97404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.480%, 02/18/2027<sup>(d)</sup> <br>3 mo. LIBOR + 3.750% | 79222 |
|  | Fertitta Entertainment LLC |  |
| 21914 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.323%, 01/27/2029<sup>(d)</sup> <br>1 mo. SOFR + 4.000% | 20878 |
|  | First Brands Group LLC |  |
| 247114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.368%, 03/30/2027<sup>(d)</sup> <br>3 mo. SOFR + 5.000% | 235129 |
|  | Firstdigital Communications LLC |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.688%, 12/17/2026<sup>(d)</sup> <br>1 mo. LIBOR + 4.250% | 48814 |
|  | Florida Food Products LLC |  |
| 99250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.384%, 10/18/2028<sup>(d)</sup> <br>1 mo. LIBOR + 5.000% | 91310 |
|  | FR Refuel LLC |  |
| 89444 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.195%, 11/08/2028<sup>(d)</sup> <br>3 mo. SOFR + 4.500% | 86090 |
|  | GEON Performance Solutions LLC |  |
| 355500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.230%, 08/18/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.500% | 346612 |
|  | Gibson Brands, Inc. |  |
| 99000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.125%, 08/11/2028<sup>(d)</sup> <br>3 mo. LIBOR + 5.000% | 73260 |
|  | GIP II Blue Holding, L.P |  |
| 299864 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.230%, 09/29/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.500% | 297771 |
|  | Global Medical Response, Inc. |  |
| 256656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.634%, 03/14/2025<sup>(d)</sup> <br>1 mo. LIBOR + 4.250% | 183402 |
|  | Gloves Buyer, Inc. |  |
| 197000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.384%, 12/29/2027<sup>(d)</sup> <br>1 mo. LIBOR + 4.000% | 181240 |
|  | GT Polaris, Inc. |  |
| 98004 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.165%, 09/24/2027<sup>(d)</sup> <br>3 mo. LIBOR + 3.750% | 89551 |
|  | Hamilton Projects Acquiror LLC |  |
| 43988 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.230%, 06/17/2027<sup>(d)</sup> <br>3 mo. LIBOR + 4.500% | 43356 |
|  | Help At Home, Inc. |  |
| 4971 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.430%, 10/29/2027<sup>(d)</sup> <br>1 mo. SOFR + 5.000% | 4754 |
| 148875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.430%, 10/29/2027<sup>(d)</sup> <br>1 mo. SOFR + 5.000% | 142362 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| $49924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.430%, 10/29/2027<sup>(d)</sup> <br>1 mo. SOFR + 5.000% | $47740 |
|  | Higginbotham Insurance Agency, Inc. |  |
| 19919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.634%, 11/25/2026<sup>(d)</sup> <br>1 mo. LIBOR + 5.250% | 19340 |
| 98569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.634%, 11/25/2026<sup>(d)</sup> <br>1 mo. LIBOR + 5.250% | 95701 |
|  | HighTower Holdings LLC |  |
| 98750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.278%, 04/21/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.000% | 90932 |
|  | Holding Socotec SAS |  |
| 99000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.730%, 06/30/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.000% | 93596 |
|  | Illuminate Buyer LLC |  |
| 12690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.884%, 06/30/2027<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 12182 |
|  | Ilpea Parent, Inc. |  |
| 776945 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.890%, 06/22/2028<sup>(d)</sup> <br>1 mo. LIBOR + 4.500% | 739069 |
|  | Imagefirst Holdings LLC |  |
| 75141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.230%, 04/27/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.500% | 71196 |
|  | Imprivata, Inc. |  |
| 248750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.573%, 12/01/2027<sup>(d)</sup> <br>1 mo. SOFR + 4.250% | 240589 |
|  | Jazz Financing Lux S.A.R.L. |  |
| 448554 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.884%, 05/05/2028<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 445295 |
|  | Jones DesLauriers Insurance Management, Inc. |  |
| 98,995 (CAD) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.813%, 03/26/2028<sup>(d)</sup> <br>3 mo. CDOR + 4.250% | 68759 |
|  | Kronos Acquisition Holdings, Inc. |  |
| 16496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.485%, 12/22/2026<sup>(d)</sup> <br>3 mo. LIBOR + 3.750% | 15737 |
|  | Laseraway Intermediate Holdings II LLC |  |
| 92606 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.761%, 10/14/2027<sup>(d)</sup> <br>3 mo. LIBOR + 5.750% | 90986 |
|  | LendingTree, Inc. |  |
| 557200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.140%, 09/15/2028<sup>(d)</sup> <br>1 mo. LIBOR + 3.750% | 499390 |
|  | LTI Holdings, Inc. |  |
| 194973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.884%, 09/06/2025<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 187112 |
|  | Mavis Tire Express Services Corp. |  |
| 56692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 05/04/2028<sup>(d)</sup> <br>1 mo. SOFR + 4.000% | 54232 |
|  | MB2 Dental Solutions LLC |  |
| 108708 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.423%, 01/29/2027<sup>(d)</sup> <br>1 mo. SOFR + 6.000% | 106758 |
| 79308 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.423%, 01/29/2027<sup>(d)</sup> <br>1 mo. LIBOR + 6.000%,<br>1 mo. SOFR + 6.150% | 78516 |
|  | Medline Borrower, L.P. |  |
| 406925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.634%, 10/23/2028<sup>(d)</sup> <br>1 mo. LIBOR + 3.250% | 387435 |
|  | Midcap Financial Holdings Trust |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.686%, 11/22/2028<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 250135 |
|  | Midwest Veterinary Partners LLC |  |
| 98750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.384%, 04/27/2028<sup>(d)</sup> <br>1 mo. LIBOR + 4.000% | 89369 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **91** |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **BANK LOANS (CONTINUED)** | **BANK LOANS (CONTINUED)** | **BANK LOANS (CONTINUED)** |
|  | Mileage Plus Holdings LLC |  |
| $90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.996%, 06/21/2027<sup>(d)</sup> <br>3 mo. LIBOR + 5.250% | $92734 |
|  | MIP V Waste Holdings LLC |  |
| 397000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.634%, 12/08/2028<sup>(d)</sup> <br>1 mo. LIBOR + 3.250% | 392699 |
|  | Moran Foods LLC |  |
| 11705 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.730%, 04/01/2024<sup>(d)</sup> <br>3 mo. LIBOR + 7.000% | 9671 |
| 15385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15.480%, 10/01/2024<sup>(d)</sup> <br>3 mo. LIBOR + 10.750% | 9385 |
|  | MPH Acquisition Holdings LLC |  |
| 1100500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.985%, 09/01/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.250% | 945054 |
|  | National Mentor Holdings, Inc. |  |
| 93901 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.140%-8.480%, 03/02/2028<sup>(d)</sup> <br>1 mo. LIBOR + 3.750%,<br>3 mo. LIBOR + 3.750% | 66148 |
|  | NFM & J, L.P. |  |
| 41141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.108%-10.519%, 11/30/2027<sup>(d)</sup> <br>1 mo. LIBOR + 5.750%,<br>3 mo. LIBOR + 5.750% | 40189 |
| 49216 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.134%, 11/30/2027<sup>(d)</sup> <br>1 mo. LIBOR + 5.750% | 48077 |
|  | NorthRiver Midstream Finance L.P. |  |
| 574740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.924%, 10/01/2025<sup>(d)</sup> <br>3 mo. LIBOR + 3.250% | 571507 |
|  | Organon & Co. |  |
| 507304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.750%, 06/02/2028<sup>(d)</sup> <br>3 mo. LIBOR + 3.000% | 503636 |
|  | Pacific Bells LLC |  |
| 93248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.342%, 11/10/2028<sup>(d)</sup> <br>1 mo. LIBOR + 4.500% | 87886 |
|  | Packers Holdings LLC |  |
| 98274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.542%, 03/09/2028<sup>(d)</sup> <br>3 mo. LIBOR + 3.250% | 86482 |
|  | PAI Holdco, Inc. |  |
| 41730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.165%, 10/28/2027<sup>(d)</sup> <br>3 mo. LIBOR + 3.750% | 37009 |
|  | Pelican Products, Inc. |  |
| 92982 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.420%-8.980%, 12/29/2028<sup>(d)</sup> <br>6 mo. LIBOR + 4.250% | 84149 |
|  | Peraton Corp. |  |
| 43493 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.134%, 02/01/2028<sup>(d)</sup> <br>1 mo. LIBOR + 3.750% | 42551 |
|  | PetVet Care Centers LLC |  |
| 195949 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.884%, 02/14/2025<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 184761 |
|  | Planview Parent, Inc. |  |
| 91020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.730%, 12/17/2027<sup>(d)</sup> <br>3 mo. LIBOR + 4.000% | 85006 |
|  | Playpower, Inc. |  |
| 89356 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12.000%, 05/08/2026<sup>(d)</sup> <br>3 mo. LIBOR + 4.500% | 68581 |
|  | PRA Health Sciences, Inc. |  |
| 16022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 07/03/2028<sup>(d)</sup> <br>3 mo. LIBOR + 2.250% | 15994 |
|  | Propulsion (BC) Finco S.A.R.L. |  |
| 480000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.580%, 09/14/2029<sup>(d)</sup> <br>3 mo. SOFR + 4.000% | 468000 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
|  | Quirch Foods Holdings LLC |  |
| $296481 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.989%, 10/27/2027<sup>(d)</sup> <br>1 mo. SOFR + 4.500% | $271280 |
|  | Resonetics LLC |  |
| 20144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.415%, 04/28/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.000% | 19238 |
|  | Restaurant Technologies, Inc. |  |
| 198543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.830%, 04/02/2029<sup>(d)</sup> <br>3 mo. SOFR + 4.250% | 195416 |
|  | ScribeAmerica Intermediate Holdco LLC |  |
| 46595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.884%, 04/03/2025<sup>(d)</sup> <br>1 mo. LIBOR + 4.500% | 32980 |
|  | Service Logic Acquisition, Inc. |  |
| 1299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 10/29/2027<sup>(f)</sup> | 1234 |
| 985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%-7.754%, 10/29/2027<sup>(d)</sup> <br>1 mo. LIBOR + 4.000%,<br>2 mo. LIBOR + 4.000% | 936 |
| 33557 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.806%-8.415%, 10/29/2027<sup>(d)</sup> <br>3 mo. LIBOR + 4.000% | 31879 |
|  | Sitecore Holding III A/S |  |
| 110851 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.752%, 09/01/2028<sup>(d)</sup> <br>3 mo. LIBOR + 7.000% | 109790 |
|  | Solis IV BV |  |
| 99500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.859%, 02/26/2029<sup>(d)</sup> <br>3 mo. SOFR + 3.500% | 88049 |
|  | Southern Veterinary Partners LLC |  |
| 82464 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.384%, 10/05/2027<sup>(d)</sup> <br>1 mo. LIBOR + 4.000% | 79200 |
|  | SP PF Buyer LLC |  |
| 146947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.884%, 12/22/2025<sup>(d)</sup> <br>1 mo. LIBOR + 4.500% | 98362 |
|  | Sweetwater Borrower LLC |  |
| 96040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.688%, 08/07/2028<sup>(d)</sup> <br>1 mo. LIBOR + 4.250% | 89317 |
|  | Syndigo LLC |  |
| 135641 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.839%, 12/15/2027<sup>(d)</sup> <br>1 mo. LIBOR + 4.500% | 123094 |
|  | System One Holdings LLC |  |
| 1508600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.730%, 03/02/2028<sup>(d)</sup> <br>3 mo. SOFR + 4.000% | 1455807 |
|  | Teneo Holdings LLC |  |
| 39419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.550%, 07/11/2025<sup>(d)</sup> <br>1 mo. SOFR + 5.250% | 38039 |
|  | Trans Union LLC |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 12/03/2029<sup>(f)</sup> | 50031 |
|  | TVC Albany, Inc. |  |
| 95750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.880%, 07/23/2025<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 88823 |
|  | UGI Energy Services LLC |  |
| 231600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.884%, 08/13/2026<sup>(d)</sup> <br>1 mo. LIBOR + 3.500% | 231145 |
|  | United Airlines, Inc. |  |
| 643538 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.108%, 04/21/2028<sup>(d)</sup> <br>3 mo. LIBOR + 3.750% | 637237 |
|  | Venture Global Calcasieu Pass LLC |  |
| 42090 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.009%, 08/19/2026<sup>(d)</sup> <br>1 mo. LIBOR + 2.625% | 42195 |
|  | Verscend Holding Corp. |  |
| 193913 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.384%, 08/27/2025<sup>(d)</sup> <br>1 mo. LIBOR + 4.000% | 193064 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **92** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **BANK LOANS (CONTINUED)** | **BANK LOANS (CONTINUED)** | **BANK LOANS (CONTINUED)** | **BANK LOANS (CONTINUED)** |
|  | Weber-Stephen Products LLC |  |  |
| $99250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.673%, 10/30/2027<sup>(d)</sup> <br>1 mo. SOFR + 4.250% | $| 85355 |
|  | Women's Care Enterprises LLC |  |  |
| 193804 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.871%, 01/15/2028<sup>(d)</sup> <br>3 mo. LIBOR + 4.500% |  | 182177 |
|  | Xplornet Communications, Inc. |  |  |
| 98750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.384%, 10/02/2028<sup>(d)</sup> <br>1 mo. LIBOR + 4.000% |  | 77642 |
|  | Yak Access LLC |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16.500%, 07/10/2026<sup>(d)</sup> <br>3 mo. PRIME + 9.000% |  | 12834 |
|  | Zep, Inc. |  |  |
| 21573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.580%, 08/12/2024<sup>(d)</sup> <br>3 mo. LIBOR + 4.000% |  | 18812 |
| **TOTAL BANK LOANS**<br>(Cost $25,048,737) | **TOTAL BANK LOANS**<br>(Cost $25,048,737) |  | 23762438 |
| **CONVERTIBLE BONDS: 0.1%** | **CONVERTIBLE BONDS: 0.1%** | **CONVERTIBLE BONDS: 0.1%** | **CONVERTIBLE BONDS: 0.1%** |
| **Communications: 0.0%** | **Communications: 0.0%** | **Communications: 0.0%** | **Communications: 0.0%** |
|  | Cable One, Inc. |  |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 03/15/2026<sup>(g)</sup> |  | 39525 |
| **Consumer, Non-cyclical: 0.1%** | **Consumer, Non-cyclical: 0.1%** | **Consumer, Non-cyclical: 0.1%** | **Consumer, Non-cyclical: 0.1%** |
|  | Block, Inc. |  |  |
| 90000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 05/01/2026<sup>(g)</sup> |  | 73305 |
| **TOTAL CONVERTIBLE BONDS**<br>(Cost $119,368) | **TOTAL CONVERTIBLE BONDS**<br>(Cost $119,368) |  | 112830 |
| **CORPORATE BONDS: 32.5%** | **CORPORATE BONDS: 32.5%** | **CORPORATE BONDS: 32.5%** | **CORPORATE BONDS: 32.5%** |
| **Basic Materials: 1.3%** | **Basic Materials: 1.3%** | **Basic Materials: 1.3%** | **Basic Materials: 1.3%** |
|  | Alcoa Nederland Holding B.V. |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 12/15/2027<sup>(c)</sup> |  | 192833 |
|  | Carpenter Technology Corp. |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.625%, 03/15/2030 |  | 150574 |
|  | Clearwater Paper Corp. |  |  |
| 37000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 08/15/2028<sup>(c)</sup> |  | 32726 |
|  | Compass Minerals International, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 12/01/2027<sup>(c)</sup> |  | 96155 |
|  | Illuminate Buyer LLC / Illuminate Holdings IV, Inc. |  |  |
| 80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.000%, 07/01/2028<sup>(c)</sup> |  | 67108 |
|  | INEOS Quattro Finance 2 Plc |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 01/15/2026<sup>(c)</sup> |  | 183999 |
|  | Ingevity Corp. |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 11/01/2028<sup>(c)</sup> |  | 128916 |
|  | Kaiser Aluminum Corp. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 06/01/2031<sup>(c)</sup> |  | 80505 |
|  | Minerals Technologies, Inc. |  |  |
| 65000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 07/01/2028<sup>(c)</sup> |  | 58004 |
|  | SK Invictus Intermediate II S.A.R.L. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 10/30/2029<sup>(c)</sup> |  | 82130 |
|  | Valvoline, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 06/15/2031<sup>(c)</sup> |  | 82183 |
|  | WR Grace Holdings LLC |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 06/15/2027<sup>(c)</sup> |  | 88738 |
|  |  |  | 1243871 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **Communications: 2.2%** | **Communications: 2.2%** | **Communications: 2.2%** |
|  | Altice France S.A. |  |
| $200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 10/15/2029<sup>(c)</sup> | $152863 |
|  | AMC Networks, Inc. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 02/15/2029 | 93685 |
|  | British Telecommunications Plc |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 11/23/2081<sup>(b)(c)</sup> <br>5 year CMT + 3.493% | 157621 |
|  | CCO Holdings LLC / CCO Holdings Capital Corp. |  |
| 85000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 02/01/2031<sup>(c)</sup> | 68374 |
| 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 06/01/2033<sup>(c)</sup> | 53847 |
|  | Cogent Communications Group, Inc. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 06/15/2027<sup>(c)</sup> | 147177 |
|  | LCPR Senior Secured Financing DAC |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 10/15/2027<sup>(c)</sup> | 46866 |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 07/15/2029<sup>(c)</sup> | 165976 |
|  | Level 3 Financing, Inc. |  |
| 246000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 07/01/2028<sup>(c)</sup> | 194335 |
|  | Match Group Holdings II LLC |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 06/01/2028<sup>(c)</sup> | 44662 |
|  | McGraw-Hill Education, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 08/01/2028<sup>(c)</sup> | 84184 |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.000%, 08/01/2029<sup>(c)</sup> | 124240 |
|  | Paramount Global |  |
| 60000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 05/19/2050 | 44165 |
|  | Radiate Holdco LLC / Radiate Finance, Inc. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 09/15/2026<sup>(c)</sup> | 110442 |
|  | Rogers Communications, Inc. |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.550%, 03/15/2052<sup>(c)</sup> | 39021 |
|  | UPC Broadband Finco B.V. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 07/15/2031<sup>(c)</sup> | 168403 |
|  | Virgin Media Finance Plc |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 07/15/2030<sup>(c)</sup> | 80281 |
|  | Virgin Media Vendor Financing Notes IV DAC |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 07/15/2028<sup>(c)</sup> | 175234 |
|  | Vodafone Group Plc |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 06/04/2081<sup>(b)</sup> <br>5 year CMT + 3.073% | 72979 |
|  | VZ Secured Financing B.V. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 01/15/2032<sup>(c)</sup> | 162886 |
|  |  | 2187241 |
| **Consumer, Cyclical: 2.5%** | **Consumer, Cyclical: 2.5%** | **Consumer, Cyclical: 2.5%** |
|  | 1011778 BC ULC / New Red Finance, Inc. |  |
| 79000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 10/15/2030<sup>(c)</sup> | 64088 |
|  | Air Canada |  |
| 100,000 (CAD) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 08/15/2029<sup>(c)</sup> | 64762 |
|  | Air Canada Pass Through Trust |  |
| 18715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2-A <br>5.250%, 10/01/2030<sup>(c)</sup> | 17730 |
|  | Asbury Automotive Group, Inc. |  |
| 44000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 11/15/2029<sup>(c)</sup> | 37128 |
|  | Beacon Roofing Supply, Inc. |  |
| 19000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 05/15/2029<sup>(c)</sup> | 15813 |
|  | Boyne USA, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 05/15/2029<sup>(c)</sup> | 88632 |
|  | CD&R Smokey Buyer, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 07/15/2025<sup>(c)</sup> | 86312 |
|  | Deuce Finco Plc |  |
| 100,000 (GBP) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 06/15/2027<sup>(c)</sup> | 96948 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **93** |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** |
| **Consumer, Cyclical (continued)** | **Consumer, Cyclical (continued)** | **Consumer, Cyclical (continued)** | **Consumer, Cyclical (continued)** |
|  | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. |  |  |
| $100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 01/15/2029<sup>(c)</sup> | $| 84753 |
|  | Hilton Domestic Operating Co., Inc. |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 05/01/2031<sup>(c)</sup> |  | 125803 |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 02/15/2032<sup>(c)</sup> |  | 40129 |
|  | Hyatt Hotels Corp. |  |  |
| 95000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 04/23/2030 |  | 93391 |
|  | JB Poindexter & Co., Inc. |  |  |
| 75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 04/15/2026<sup>(c)</sup> |  | 72494 |
|  | Lightning eMotors, Inc. |  |  |
| 73373 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1-A <br>5.500%, 03/01/2037 |  | 71538 |
| 36686 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1-B <br>7.500%, 03/01/2037 |  | 35219 |
|  | Michaels Cos., Inc. (The) |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 05/01/2028<sup>(c)</sup> |  | 80574 |
|  | Murphy Oil USA, Inc. |  |  |
| 125000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 02/15/2031<sup>(c)</sup> |  | 103356 |
|  | Nordstrom, Inc. |  |  |
| 160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 04/01/2030 |  | 120573 |
|  | Papa John's International, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 09/15/2029<sup>(c)</sup> |  | 83628 |
|  | Penn Entertainment, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 07/01/2029<sup>(c)</sup> |  | 79130 |
|  | PetSmart, Inc. / PetSmart Finance Corp. |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/15/2028<sup>(c)</sup> |  | 226663 |
|  | Scientific Games Holdings L.P. / Scientific Games US FinCo, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 03/01/2030<sup>(c)</sup> |  | 84600 |
|  | Scotts Miracle-Gro Co. (The) |  |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 04/01/2031 |  | 38271 |
|  | Six Flags Theme Parks, Inc. |  |  |
| 18000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 07/01/2025<sup>(c)</sup> |  | 18166 |
|  | Station Casinos LLC |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 12/01/2031<sup>(c)</sup> |  | 120517 |
|  | Suburban Propane Partners L.P. / Suburban Energy Finance Corp. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 03/01/2027 |  | 95671 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 06/01/2031<sup>(c)</sup> |  | 85126 |
|  | Superior Plus L.P. / Superior General Partner, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 03/15/2029<sup>(c)</sup> |  | 85644 |
|  | Thunderbird Entertainment Group, Inc. |  |  |
| 75046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1-A <br>5.500%, 03/01/2037 |  | 73170 |
| 37523 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1-B <br>7.500%, 03/01/2037 |  | 36022 |
|  | Wabash National Corp. |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 10/15/2028<sup>(c)</sup> |  | 127872 |
|  | WMG Acquisition Corp. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 12/01/2029<sup>(c)</sup> |  | 86130 |
|  |  |  | 2539853 |
| **Consumer, Non-cyclical: 3.1%** | **Consumer, Non-cyclical: 3.1%** | **Consumer, Non-cyclical: 3.1%** | **Consumer, Non-cyclical: 3.1%** |
|  | ADT Security Corp. (The) |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 07/15/2032<sup>(c)</sup> |  | 85160 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** |
|  | Altria Group, Inc. |  |
| $10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.450%, 05/06/2050 | $7169 |
|  | APi Group DE, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 10/15/2029<sup>(c)</sup> | 87198 |
|  | Bausch Health Cos., Inc. |  |
| 725000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 06/01/2028<sup>(c)</sup> | 462486 |
|  | BCP V Modular Services Finance II Plc |  |
| 100,000 (EUR) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 11/30/2028<sup>(c)</sup> | 90063 |
|  | Block, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 06/01/2026 | 89462 |
|  | Carriage Services, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 05/15/2029<sup>(c)</sup> | 79497 |
|  | Catalent Pharma Solutions, Inc. |  |
| 72000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 02/15/2029<sup>(c)</sup> | 57420 |
|  | Central Garden & Pet Co. |  |
| 85000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 10/15/2030 | 69796 |
|  | Charles River Laboratories International, Inc. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 03/15/2031<sup>(c)</sup> | 173289 |
|  | Cheplapharm Arzneimittel GmbH |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 01/15/2028<sup>(c)</sup> | 209445 |
|  | CPI CG, Inc. |  |
| 93000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.625%, 03/15/2026<sup>(c)</sup> | 91827 |
|  | DaVita, Inc. |  |
| 49000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 06/01/2030<sup>(c)</sup> | 39436 |
|  | Endo Luxembourg Finance Co. I S.A.R.L / Endo US, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 04/01/2029<sup>(c)(h)</sup> | 76047 |
|  | FAGE International S.A. / FAGE USA Dairy Industry, Inc. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 08/15/2026<sup>(c)</sup> | 185844 |
|  | Fontainebleau Las Vegas |  |
| 50128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.000%, 01/31/2026 | 50128 |
|  | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 12/01/2031<sup>(c)</sup> | 41100 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 02/02/2052<sup>(c)</sup> | 70629 |
|  | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. |  |
| 12000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 12/31/2027<sup>(c)</sup> | 9885 |
|  | Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 02/01/2026<sup>(c)</sup> | 178250 |
|  | Medline Borrower L.P. |  |
| 76000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 04/01/2029<sup>(c)</sup> | 61307 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 10/01/2029<sup>(c)</sup> | 79606 |
|  | Option Care Health, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 10/31/2029<sup>(c)</sup> | 87598 |
|  | Prime Security Services Borrower LLC / Prime Finance, Inc. |  |
| 75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 08/31/2027<sup>(c)</sup> | 64923 |
|  | Rent-A-Center, Inc. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 02/15/2029<sup>(c)</sup> | 121537 |
|  | Sabre GLBL, Inc. |  |
| 125000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.375%, 09/01/2025<sup>(c)</sup> | 119655 |
|  | Sotheby's/Bidfair Holdings, Inc. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 06/01/2029<sup>(c)</sup> | 168200 |
|  | Spectrum Brands, Inc. |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 07/15/2030<sup>(c)</sup> | 44208 |
|  | Tenet Healthcare Corp. |  |
| 15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 06/15/2028<sup>(c)</sup> | 13445 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **94** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** |
| **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** |
|  | US Foods, Inc. |  |  |
| $50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/15/2029<sup>(c)</sup> | $| 44455 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 06/01/2030<sup>(c)</sup> |  | 88189 |
|  | WW International, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 04/15/2029<sup>(c)</sup> |  | 50089 |
|  |  |  | 3097343 |
| **Energy: 2.5%** | **Energy: 2.5%** | **Energy: 2.5%** | **Energy: 2.5%** |
|  | BP Capital Markets Plc |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 03/22/2030<sup>(a)(b)</sup> <br>5 year CMT + 4.398% |  | 219531 |
|  | DT Midstream, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 06/15/2029<sup>(c)</sup> |  | 86104 |
|  | Energy Transfer L.P. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 02/15/2033 |  | 98028 |
| 775000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A <br>6.250%, 02/15/2023<sup>(a)(b)</sup> <br>3 mo. USD LIBOR + 4.028% |  | 659719 |
|  | EnLink Midstream LLC |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 09/01/2030<sup>(c)</sup> |  | 99105 |
|  | Global Partners L.P. / GLP Finance Corp. |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 08/01/2027 |  | 190241 |
| 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 01/15/2029 |  | 22934 |
|  | Holly Energy Partners L.P. / Holly Energy Finance Corp. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 04/15/2027<sup>(c)</sup> |  | 98379 |
|  | ITT Holdings LLC |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 08/01/2029<sup>(c)</sup> |  | 211004 |
|  | Kinetik Holdings L.P. |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 06/15/2030<sup>(c)</sup> |  | 234783 |
|  | Midwest Connector Capital Co. LLC |  |  |
| 99000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 04/01/2029<sup>(c)</sup> |  | 89864 |
|  | NuStar Logistics L.P. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 10/01/2030 |  | 92644 |
|  | Occidental Petroleum Corp. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.875%, 09/15/2031 |  | 110277 |
|  | Parkland Corp. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 05/01/2030<sup>(c)</sup> |  | 82895 |
|  | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp. |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 03/01/2030 |  | 141361 |
|  | TransMontaigne Partners L.P. / TLP Finance Corp. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 02/15/2026 |  | 86721 |
|  |  |  | 2523590 |
| **Financial: 16.8%** | **Financial: 16.8%** | **Financial: 16.8%** | **Financial: 16.8%** |
|  | Aegon N.V. |  |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 04/11/2048<sup>(b)</sup> <br>6 mo. USD LIBOR + 3.540% |  | 450340 |
|  | American Equity Investment Life Holding Co. |  |  |
| 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 06/15/2027 |  | 23748 |
|  | AmWINS Group, Inc. |  |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 06/30/2029<sup>(c)</sup> |  | 42472 |
|  | Apollo Management Holdings L.P. |  |  |
| 700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 01/14/2050<sup>(b)(c)</sup> <br>5 year CMT + 3.266% |  | 594576 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **Financial (continued)** | **Financial (continued)** | **Financial (continued)** |
|  | Arbor Realty SR, Inc. |  |
| $685000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 10/15/2027<sup>(c)</sup> | $679454 |
|  | Avolon Holdings Funding Ltd. |  |
| 205000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 01/15/2026<sup>(c)</sup> | 195317 |
|  | AXIS Specialty Finance LLC |  |
| 400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.900%, 01/15/2040<sup>(b)</sup> <br>5 year CMT + 3.186% | 328882 |
|  | Bank of America Corp. |  |
| 945000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series RR <br>4.375%, 01/27/2027<sup>(a)(b)</sup> <br>5 year CMT + 2.760% | 802712 |
|  | Brazilian Merchant Voucher Receivables Ltd. |  |
| 172707 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.180%, 04/07/2028<sup>(b)(i)</sup> | 165951 |
|  | Bread Financial Holdings, Inc. |  |
| 375000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 12/15/2024<sup>(c)</sup> | 333119 |
|  | Ceamer Fin 2 Sr Sec Nts |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.920%, 05/15/2038 | 238977 |
|  | Charles Schwab Corp. (The) |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series H <br>4.000%, 12/01/2030<sup>(a)(b)</sup> <br>10 year CMT + 3.079% | 79870 |
|  | CION Investment Corp. |  |
| 230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 02/11/2026 | 205031 |
|  | Citigroup, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series W <br>4.000%, 12/10/2025<sup>(a)(b)</sup> <br>5 year CMT + 3.597% | 87362 |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series X <br>3.875%, 02/18/2026<sup>(a)(b)</sup> <br>5 year CMT + 3.417% | 128250 |
|  | Corebridge Financial, Inc. |  |
| 570000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 12/15/2052<sup>(b)(c)</sup> <br>5 year CMT + 3.846% | 532584 |
|  | Cushman & Wakefield US Borrower LLC |  |
| 71000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.750%, 05/15/2028<sup>(c)</sup> | 67885 |
|  | Doctors Co. An Interinsurance Exchange (The) |  |
| 515000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 01/18/2032<sup>(c)</sup> | 416377 |
|  | Drawbridge Special Opportunities Fund L.P. / Drawbridge Special Opportunities Fin |  |
| 460000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 02/15/2026<sup>(c)</sup> | 415547 |
|  | EF Holdco / EF Cayman Hold / Ellington Fin REIT Cayman/TRS / EF Cayman Non-MTM |  |
| 830000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 04/01/2027<sup>(c)</sup> | 768719 |
|  | Enstar Finance LLC |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 09/01/2040<sup>(b)</sup> <br>5 year CMT + 5.468% | 182360 |
| 770000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 01/15/2042<sup>(b)</sup> <br>5 year CMT + 4.006% | 616500 |
|  | Equitable Holdings, Inc. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B <br>4.950%, 09/15/2025<sup>(a)(b)</sup> <br>5 year CMT + 4.736% | 141780 |
|  | Fairfax India Holdings Corp. |  |
| 320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 02/26/2028<sup>(c)</sup> | 286320 |
|  | Fidelis Insurance Holdings Ltd. |  |
| 630000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 04/01/2041<sup>(b)(c)</sup> <br>5 year CMT + 6.323% | 584558 |
|  | FS KKR Capital Corp. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 07/15/2027 | 84387 |
|  | Gladstone Capital Corp. |  |
| 545000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 01/31/2026 | 510256 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **95** |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** |
| **Financial (continued)** | **Financial (continued)** | **Financial (continued)** |
|  | Global Atlantic Fin Co. |  |
| $250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.700%, 10/15/2051<sup>(b)(c)</sup> <br>5 year CMT + 3.796% | $190821 |
|  | GLP Capital L.P. / GLP Financing II, Inc. |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.300%, 01/15/2029 | 47398 |
| 140000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 01/15/2031 | 120341 |
|  | Goldman Sachs Group, Inc. (The) |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series U <br>3.650%, 08/10/2026<sup>(a)(b)</sup> <br>5 year CMT + 2.915% | 81000 |
|  | Home Point Capital, Inc. |  |
| 80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 02/01/2026<sup>(c)</sup> | 55419 |
|  | Host Hotels & Resorts L.P. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series I <br>3.500%, 09/15/2030 | 124494 |
|  | HUB International Ltd. |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 12/01/2029<sup>(c)</sup> | 43734 |
|  | Hunt Cos., Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 04/15/2029<sup>(c)</sup> | 84181 |
|  | Iron Mountain, Inc. |  |
| 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 02/15/2031<sup>(c)</sup> | 20605 |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 07/15/2032<sup>(c)</sup> | 130259 |
|  | Jane Street Group / JSG Finance, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 11/15/2029<sup>(c)</sup> | 86145 |
|  | Jefferies Finance LLC / JFIN Co-Issuer Corp. |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 08/15/2028<sup>(c)</sup> | 163440 |
|  | Jones Deslauriers Insurance Management, Inc. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.500%, 12/15/2030<sup>(c)</sup> | 147923 |
|  | JPMorgan Chase & Co. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.717%, 09/14/2033<sup>(b)</sup> <br>SOFR + 2.580% | 147954 |
|  | Kennedy-Wilson, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 03/01/2029 | 79385 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/01/2030 | 76380 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 03/01/2031 | 75407 |
|  | KKR Core Holding Co. LLC |  |
| 98219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 08/12/2031 | 83397 |
|  | Kuvare US Holdings, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A <br>7.000%, 02/17/2051<sup>(b)(c)</sup> <br>5 year CMT + 6.541% | 101500 |
|  | Liberty Mutual Group, Inc. |  |
| 220000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.300%, 02/01/2061<sup>(c)</sup> | 134499 |
|  | LPL Holdings, Inc. |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 03/15/2029<sup>(c)</sup> | 130718 |
|  | Markel Corp. |  |
| 210000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 06/01/2025<sup>(a)(b)</sup> <br>5 year CMT + 5.662% | 203438 |
|  | MetLife, Inc. |  |
| 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G <br>3.850%, 09/15/2025<sup>(a)(b)</sup> <br>5 year CMT + 3.576% | 65188 |
|  | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen |  |
| 540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 05/23/2042<sup>(b)(c)</sup> <br>5 year CMT + 3.982% | 540626 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **Financial (continued)** | **Financial (continued)** | **Financial (continued)** | **Financial (continued)** |
|  | Nationwide Mutual Insurance Co. |  |  |
| $130000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.350%, 04/30/2050<sup>(c)</sup> | $| 98427 |
|  | NFP Corp. |  |  |
| 170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 08/15/2028<sup>(c)</sup> |  | 140501 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 10/01/2030<sup>(c)</sup> |  | 94657 |
|  | OFS Capital Corp. |  |  |
| 620000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/10/2026 |  | 535901 |
|  | OneAmerica Financial Partners, Inc. |  |  |
| 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 10/15/2050<sup>(c)</sup> |  | 50478 |
|  | OneMain Finance Corp. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 09/15/2030 |  | 74744 |
|  | PartnerRe Finance B LLC |  |  |
| 505000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 10/01/2050<sup>(b)</sup> <br>5 year CMT + 3.815% |  | 437663 |
|  | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 03/01/2031<sup>(c)</sup> |  | 114847 |
|  | Ryan Specialty Group LLC |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 02/01/2030<sup>(c)</sup> |  | 86715 |
|  | Scentre Group Trust |  |  |
| 410000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 09/24/2080<sup>(b)(c)</sup> <br>5 year CMT + 4.685% |  | 344092 |
|  | Sculptor Alternative Solutions LLC |  |  |
| 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 05/15/2037<sup>(c)</sup> |  | 402750 |
|  | Sirius International Group Ltd. |  |  |
| 700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.600%, 11/01/2026<sup>(c)</sup> |  | 603967 |
|  | Starwood Property Trust, Inc. |  |  |
| 310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 01/15/2027<sup>(c)</sup> |  | 271714 |
|  | Strategic Credit Opportunities Partners LLC |  |  |
| 345000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A <br>4.250%, 04/01/2026 |  | 304163 |
|  | Toronto-Dominion Bank |  |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.125%, 10/31/2082<sup>(b)</sup> <br>5 year CMT + 4.075% |  | 52125 |
|  | Trinity Capital, Inc. |  |  |
| 320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 08/24/2026 |  | 272084 |
|  | United Insurance Holdings Corp. |  |  |
| 530000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.250%, 12/15/2027 |  | 207363 |
|  | United Wholesale Mortgage LLC |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 11/15/2025<sup>(c)</sup> |  | 90208 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 04/15/2029<sup>(c)</sup> |  | 79949 |
|  | Universal Insurance Holdings, Inc. |  |  |
| 345000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 11/30/2026 |  | 303726 |
|  | Wells Fargo & Co. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series BB <br>3.900%, 03/15/2026<sup>(a)(b)</sup> <br>5 year CMT + 3.453% |  | 87589 |
|  | Wilton RE Ltd. |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 10/22/2030<sup>(a)(b)(c)</sup> <br>5 year CMT + 5.266% |  | 216467 |
|  |  |  | 16767716 |
| **Industrial: 1.6%** | **Industrial: 1.6%** | **Industrial: 1.6%** | **Industrial: 1.6%** |
|  | Arcosa, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 04/15/2029<sup>(c)</sup> |  | 86845 |
|  | Artera Services LLC |  |  |
| 110000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.033%, 12/04/2025<sup>(c)</sup> |  | 91814 |
|  | Atkore, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 06/01/2031<sup>(c)</sup> |  | 85894 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **96** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** |
| **Industrial (continued)** | **Industrial (continued)** | **Industrial (continued)** | **Industrial (continued)** |
|  | Boeing Co. (The) |  |  |
| $100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.705%, 05/01/2040 | $| 95789 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.805%, 05/01/2050 |  | 93616 |
|  | Brundage-Bone Concrete Pumping Holdings, Inc. |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.000%, 02/01/2026<sup>(c)</sup> |  | 136934 |
|  | Builders FirstSource, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 06/15/2032<sup>(c)</sup> |  | 94060 |
|  | Flowserve Corp. |  |  |
| 60000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 10/01/2030 |  | 50202 |
|  | GrafTech Finance, Inc. |  |  |
| 105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 12/15/2028<sup>(c)</sup> |  | 86383 |
|  | Great Lakes Dredge & Dock Corp. |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 06/01/2029<sup>(c)</sup> |  | 155740 |
|  | Harsco Corp. |  |  |
| 175000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.750%, 07/31/2027<sup>(c)</sup> |  | 138451 |
|  | Mauser Packaging Solutions Holding Co. |  |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.500%, 04/15/2024<sup>(c)</sup> |  | 49248 |
|  | New Enterprise Stone & Lime Co., Inc. |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.750%, 07/15/2028<sup>(c)</sup> |  | 139082 |
|  | PGT Innovations, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 10/01/2029<sup>(c)</sup> |  | 83852 |
|  | Standard Industries, Inc. |  |  |
| 175000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 07/15/2030<sup>(c)</sup> |  | 142977 |
| 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 01/15/2031<sup>(c)</sup> |  | 18897 |
|  | TopBuild Corp. |  |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 03/15/2029<sup>(c)</sup> |  | 41060 |
|  |  |  | 1590844 |
| **Technology: 1.8%** | **Technology: 1.8%** | **Technology: 1.8%** | **Technology: 1.8%** |
|  | ams-OSRAM AG |  |  |
| 265000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.000%, 07/31/2025<sup>(c)</sup> |  | 249790 |
|  | AthenaHealth Group, Inc. |  |  |
| 150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.500%, 02/15/2030<sup>(c)</sup> |  | 110821 |
|  | Boxer Parent Co., Inc. |  |  |
| 200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 10/02/2025<sup>(c)</sup> |  | 194818 |
|  | CDW LLC / CDW Finance Corp. |  |  |
| 60000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.569%, 12/01/2031 |  | 49455 |
|  | Central Parent, Inc. / CDK Global, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.250%, 06/15/2029<sup>(c)</sup> |  | 98006 |
|  | NCR Corp. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 04/15/2029<sup>(c)</sup> |  | 83834 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 09/01/2029<sup>(c)</sup> |  | 93666 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.250%, 10/01/2030<sup>(c)</sup> |  | 82663 |
|  | Playtika Holding Corp. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 03/15/2029<sup>(c)</sup> |  | 78625 |
|  | TeamSystem SpA |  |  |
| 100,000 (EUR) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 02/15/2028 |  | 89851 |
|  | Twilio, Inc. |  |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 03/15/2031 |  | 79480 |
|  | VC3, Inc. |  |  |
| 664973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 10/15/2041 |  | 605192 |
|  |  |  | 1816201 |
| **Utilities: 0.7%** | **Utilities: 0.7%** | **Utilities: 0.7%** | **Utilities: 0.7%** |
|  | Clearway Energy Operating LLC |  |  |
| 96000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 02/15/2031<sup>(c)</sup> |  | 79850 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **Utilities (continued)** | **Utilities (continued)** | **Utilities (continued)** | **Utilities (continued)** |
|  | Edison International |  |  |
| $445000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A <br>5.375%, 03/15/2026<sup>(a)(b)</sup> <br>5 year CMT + 4.698% | $| 377121 |
|  | Terraform Global Operating L.P. |  |  |
| 225000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.125%, 03/01/2026<sup>(c)</sup> |  | 211724 |
|  |  |  | 668695 |
| **TOTAL CORPORATE BONDS**<br>(Cost $37,519,115) | **TOTAL CORPORATE BONDS**<br>(Cost $37,519,115) |  | 32435354 |
| **GOVERNMENT SECURITIES & AGENCY ISSUE: 18.3%**  | **GOVERNMENT SECURITIES & AGENCY ISSUE: 18.3%**  | **GOVERNMENT SECURITIES & AGENCY ISSUE: 18.3%**  | **GOVERNMENT SECURITIES & AGENCY ISSUE: 18.3%**  |
|  | United States Treasury Note |  |  |
| 3500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 12/15/2023 |  | 3352909 |
|  | United States Treasury Note |  |  |
| 1900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.500%, 03/15/2023 |  | 1885544 |
| 3400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.250%, 06/15/2023 |  | 3334198 |
| 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 09/15/2023 |  | 2421664 |
| 2800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.250%, 03/15/2024<sup>(j)</sup> |  | 2656008 |
| 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.250%, 06/15/2024<sup>(j)</sup> |  | 2347461 |
| 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 09/15/2024 |  | 1865391 |
|  | United States Treasury Strip Principal |  |  |
| 1070000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.000%, 08/15/2051<sup>(g)</sup> |  | 352402 |
| **TOTAL GOVERNMENT SECURITIES & AGENCY ISSUE**<br> (Cost $18,714,330) | **TOTAL GOVERNMENT SECURITIES & AGENCY ISSUE**<br> (Cost $18,714,330) |  | 18215577 |
| **MORTGAGE-BACKED SECURITIES: 5.5%** | **MORTGAGE-BACKED SECURITIES: 5.5%** | **MORTGAGE-BACKED SECURITIES: 5.5%** | **MORTGAGE-BACKED SECURITIES: 5.5%** |
|  | ACRE Commercial Mortgage Ltd. |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FL4-D <br>6.939%, 12/18/2037<sup>(c)(d)</sup> <br>1 mo. USD LIBOR + 2.600% |  | 237699 |
|  | Alternative Loan Trust |  |  |
| 120689 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA4-A1 <br>4.729%, 05/25/2047<sup>(d)</sup> <br>1 mo. USD LIBOR + 0.340% |  | 101814 |
| 118529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA7-A1A <br>4.749%, 05/25/2047<sup>(d)</sup> <br>1 mo. USD LIBOR + 0.360% |  | 99797 |
|  | BPR Trust |  |  |
| 230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-OANA-C <br>7.033%, 04/15/2037<sup>(c)(d)</sup> <br>TSFR1M + 2.697% |  | 215958 |
|  | BX Commercial Mortgage Trust |  |  |
| 212500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-XL-F <br>6.450%, 10/15/2036<sup>(c)(d)</sup> <br>TSFR1M + 2.114% |  | 204820 |
| 212500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-XL-G <br>6.750%, 10/15/2036<sup>(c)(d)</sup> <br>TSFR1M + 2.414% |  | 203794 |
|  | BX Trust |  |  |
| 900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-RP-D <br>6.913%, 06/15/2034<sup>(c)(d)</sup> <br>1 mo. USD LIBOR + 2.595% |  | 852921 |
|  | BXMT Ltd. |  |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-FL2-D <br>6.390%, 02/15/2038<sup>(c)(d)</sup> <br>TSFR1M + 2.064% |  | 236693 |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-FL3-D <br>6.722%, 11/15/2037<sup>(c)(d)</sup> <br>SOFR 30-day + 2.914% |  | 93360 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **97** |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** | **MORTGAGE-BACKED SECURITIES (CONTINUED)** |
|  | CD Mortgage Trust |  |
| $821921 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-CD4-XA <br>1.226%, 05/10/2050<sup>(b)(k)</sup> | $32619 |
|  | CFMT LLC |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HB9 M1 <br>3.250%, 09/25/2037<sup>(b)(c)</sup> | 85022 |
|  | Citigroup Mortgage Loan Trust |  |
| 97076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A-A1 <br>6.170%, 09/25/2062<sup>(c)(e)</sup> | 96341 |
|  | Credit Suisse Mortgage-Backed Trust |  |
| 570000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-SITE-E <br>4.782%, 04/15/2036<sup>(b)(c)</sup> | 513130 |
|  | Credit Suisse Mortgage-Backed Trust |  |
| 480000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-SITE-C <br>4.782%, 04/15/2036<sup>(b)(c)</sup> | 450819 |
| 64826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-RPL5-A1 <br>3.023%, 08/25/2060<sup>(b)(c)</sup> | 62261 |
|  | Finance of America HECM Buyout |  |
| 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HB2-M2 <br>6.000%, 04/25/2026<sup>(b)(c)</sup> | 97040 |
|  | Freddie Mac Military Housing Bonds Resecuritization Trust Certificates |  |
| 2749093 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-R1-XA1 <br>0.700%, 11/25/2055<sup>(b)(c)(k)</sup> | 176655 |
| 4338406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-R1-XA3 <br>0.700%, 11/25/2052<sup>(b)(c)(k)</sup> | 234039 |
|  | GCAT Trust |  |
| 99283 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM5-A3 <br>5.710%, 08/25/2067<sup>(c)(e)</sup> | 95518 |
|  | GS Mortgage Securities Corp. Trust |  |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DUNE-E <br>6.818%, 12/15/2036<sup>(c)(d)</sup> <br>1 mo. USD LIBOR + 2.500% | 234349 |
| 250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-UPTN-E <br>3.246%, 02/10/2037<sup>(b)(c)</sup> | 214271 |
|  | HarborView Mortgage Loan Trust |  |
| 204702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12-2A2A <br>4.719%, 01/19/2038<sup>(d)</sup> <br>1 mo. USD LIBOR + 0.190% | 179912 |
|  | JP Morgan Chase Commercial Mortgage Securities Trust |  |
| 1675659 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-JP2-XA <br>1.767%, 08/15/2049<sup>(b)(k)</sup> | 80107 |
|  | JPMDB Commercial Mortgage Securities Trust |  |
| 187707 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C5-XA <br>0.888%, 03/15/2050<sup>(b)(k)</sup> | 5062 |
|  | NYMT Loan Trust |  |
| 96423 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SP1-A1 <br>5.250%, 07/25/2062<sup>(c)(e)</sup> | 92643 |
|  | OBX Trust |  |
| 97849 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM8-A3 <br>6.100%, 09/25/2062<sup>(c)(e)</sup> | 95066 |
| 99520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM9-A3 <br>6.450%, 09/25/2062<sup>(c)(e)</sup> | 97165 |
|  | Preston Ridge Partners Mortgage LLC |  |
| 82036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5-A1 <br>1.793%, 06/25/2026<sup>(c)(e)</sup> | 74610 |
|  | Residential Accredit Loans, Inc. Trust |  |
| 371361 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QO6-A1 <br>4.749%, 06/25/2046<sup>(d)</sup> <br>1 mo. USD LIBOR + 0.360% | 86482 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
|  | Taubman Centers Commercial Mortgage Trust |  |
| $230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DPM-C <br>8.113%, 05/15/2037<sup>(c)(d)</sup> <br>TSFR1M + 3.777% | $217604 |
|  | Wells Fargo Commercial Mortgage Trust |  |
| 911551 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-BNK1-XA <br>1.716%, 08/15/2049<sup>(b)(k)</sup> | 42808 |
| **TOTAL MORTGAGE-BACKED SECURITIES**<br>(Cost $5,903,549) | **TOTAL MORTGAGE-BACKED SECURITIES**<br>(Cost $5,903,549) | 5510379 |
| **MUNICIPAL BOND: 0.0%** | **MUNICIPAL BOND: 0.0%** | **MUNICIPAL BOND: 0.0%** |
| **Indiana: 0.0%** | **Indiana: 0.0%** | **Indiana: 0.0%** |
|  | Knox County Industry Economic Development Revenue |  |
| 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B <br>5.900%, 04/01/2034 | 4677 |
| **TOTAL MUNICIPAL BOND**<br>(Cost $4,718) | **TOTAL MUNICIPAL BOND**<br>(Cost $4,718) | 4677 |
| **SHORT-TERM INVESTMENTS: 2.0%**  | **SHORT-TERM INVESTMENTS: 2.0%**  | **SHORT-TERM INVESTMENTS: 2.0%**  |
| **Shares** |  |  |
| **MONEY MARKET FUNDS: 0.3%**  | **MONEY MARKET FUNDS: 0.3%**  | **MONEY MARKET FUNDS: 0.3%**  |
| 326334 | State Street Institutional Treasury Money Market Fund - Premier Class, 3.790%<sup>(l)</sup> | 326334 |
| **TOTAL MONEY MARKET FUNDS**<br>(Cost $326,334) | **TOTAL MONEY MARKET FUNDS**<br>(Cost $326,334) | 326334 |
| **Principal<br>Amount^** |  |  |
| **REPURCHASE AGREEMENTS: 1.6%**  | **REPURCHASE AGREEMENTS: 1.6%**  | **REPURCHASE AGREEMENTS: 1.6%**  |
| $1554000 | Fixed Income Clearing Corp. 1.280%, 12/30/2022, due 01/03/2023 [collateral: par value $428,300, U.S. Treasury Note, 3.000%, due 6/30/2024, and $1,155,000 Federal Home Loan Bank, 4.875%, due 9/13/2024, value $1,586,535] (proceeds $1,554,221) | 1554000 |
| **TOTAL REPURCHASE AGREEMENTS**<br> (Cost $1,554,000) | **TOTAL REPURCHASE AGREEMENTS**<br> (Cost $1,554,000) | 1554000 |
| **TREASURY BILLS: 0.1%** | **TREASURY BILLS: 0.1%** | **TREASURY BILLS: 0.1%** |
|  | United States Treasury Bill |  |
| 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.943%, 02/16/2023<sup>(g)(j)(m)</sup> | 49752 |
| 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.630%, 06/08/2023<sup>(g)(j)(m)</sup> | 24512 |
| **TOTAL TREASURY BILLS**<br> (Cost $74,306) | **TOTAL TREASURY BILLS**<br> (Cost $74,306) | 74264 |
| **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost $1,954,640) | **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost $1,954,640) | 1954598 |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $36,768): 0.0% | **TOTAL PURCHASED OPTIONS**<br> (Cost $36,768): 0.0% | 34554 |
| **TOTAL INVESTMENTS**<br> (Cost: $111,901,119): 102.1%  | **TOTAL INVESTMENTS**<br> (Cost: $111,901,119): 102.1%  | 101827118 |
| Liabilities in Excess of Other Assets: (2.1)% | Liabilities in Excess of Other Assets: (2.1)% | (2066161) |
| **NET ASSETS: 100.0%** | **NET ASSETS: 100.0%** | $**99760957** |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **98** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

Percentages are stated as a percent of net assets.

CDOR Canadian Dollar Offered Rate

CLO Collateralized Loan Obligation

CMT Constant Maturity Treasury Index

LIBOR London Interbank Offered Rate

LP Limited Partnership

REIT Real Estate Investment Trust

SOFR Secured Overnight Financing Rate

TSFR CME term SOFR

\* Non-Income Producing Security.

---

| | |
|:---|:---|
| ^ | The principal amount is stated in U.S. Dollars unless otherwise indicated.  |

---

(a) Perpetual Call.

(b) Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at December 31, 2022.

(c) Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from
registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933.

(d) Floating Interest Rate at December 31, 2022.

(e) Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at December 31,
2022. (f) This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not
known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

(g) Issued with a zero coupon. Income is recognized through the accretion of discount.

(h) Security is currently in default and/or non-income producing.

(i) Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board
of Trustees.

(j) Securities with an aggregate fair value of $4,326,545 have been pledged as collateral for options, credit default swaps,
interest rate swaps, and futures positions.

(k) Interest Only security. Security with a notional or nominal principal amount.

(l) The rate disclosed is the 7 day net yield as of December 31, 2022.

(m) The rate shown represents yield-to-maturity.

**CURRENCY ABBREVIATIONS:** 

CAD Canadian dollar

---

| | |
|:---|:---|
| EUR | Euro  |

---

GBP British pound

**UNFUNDED LOAN COMMITMENTS**—At December 31, 2022, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:

---

| | | | |
|:---|:---|:---|:---|
| **Borrower** | **Principal<br>Amount** | **Current<br>Value** | **Unrealized<br>Gain (Loss)** |
|  Higginbotham Insurance Agency, Inc., 1.000%, 11/25/2026 | $26952 | $26168 | $(784) |
|  NFM & J, L.P., 1.000%, 11/30/2027 | 8822 | 8618 | (204) |
|  Avalara, Inc, 0.500%, 10/19/2028 | 13636 | 13295 | (341) |
|  Athenahealth, Inc., 3.500%, 02/15/2029 | 46196 | 41824 | (4372) |
|  TOTAL |  | $89905 | $(5701) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **99** |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN PURCHASED OPTIONS at December 31, 2022** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Fair<br>Value** | **Premiums<br>Paid** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
|  **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
|  **Call** | **Call** | **Call** | **Call** | **Call** | **Call** | **Call** | **Call** | **Call** |
|  Ten Year Two Year SOFR Constant Maturity Swaption | Bank of America N.A. | $0.20 | 12/19/2023 | 600000 | $600000 | $2543 | $2468 | $75 |
|  Ten Year Two Year SOFR Constant Maturity Swaption | Bank of America N.A. | 0.10 | 6/20/2024 | 600000 | 600000 | 2543 | 2820 | (277) |
|  Ten Year Two Year SOFR Constant Maturity Swaption | Barclays Bank Plc | 0.20 | 12/19/2023 | 1200000 | 1200000 | 4471 | 4920 | (449) |
|  Ten Year Two Year SOFR Constant Maturity Swaption | Barclays Bank Plc | 0.10 | 6/20/2024 | 1200000 | 1200000 | 5086 | 5388 | (302) |
|  Ten Year Two Year SOFR Constant Maturity Swaption | Goldman Sachs & Co. | 0.20 | 12/19/2023 | 1300000 | 1300000 | 4844 | 5281 | (437) |
|  Ten Year Two Year SOFR Constant Maturity Swaption | Goldman Sachs & Co. | 0.10 | 6/20/2024 | 1300000 | 1300000 | 5509 | 5931 | (422) |
|  Ten Year Two Year SOFR Constant Maturity Swaption | Morgan Stanley & Co. | 0.20 | 12/19/2023 | 1200000 | 1200000 | 4472 | 4650 | (178) |
|  Ten Year Two Year SOFR Constant Maturity Swaption | Morgan Stanley & Co. | 0.10 | 6/20/2024 | 1200000 | 1200000 | 5086 | 5310 | (224) |
|  Total Purchased Options |  |  |  |  |  | $34554 | $36768 | $(2214) |

---

**SCHEDULE OF INVESTMENTS IN FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at December 31, 2022** 

At December 31, 2022, the Fund had the following forward foreign currency exchange contracts:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | | **Asset<br>Derivatives** | **Liability<br>Derivatives** |
| <br>**Counterparty** |<br>**Settlement Date** | <br>**Fund<br>Receiving** |<br>**U.S. $ Value at<br>December 31, 2022** | <br>**Fund<br>Delivering** |<br>**U.S. $ Value at<br>December 31, 2022** | **Unrealized<br>Appreciation** | **Unrealized<br>Depreciation** |
|  Bank of America N.A. | 1/17/2023 | USD | $136493 | CAD | $136707 | $— | $(214) |
|  Barclays Bank Plc | 1/17/2023 | USD | 176847 | EUR | 177769 |  | (922) |
|  | 1/17/2023 | USD | 104098 | GBP | 101482 | 2616 |  |
|  |  |  | $417438 |  | $415958 | $2616 | $(1136) |

---

**SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at December 31, 2022** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Number of<br>Contracts** | **Notional Amount** | **Notional Value** | **Expiration<br>Date** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
|  **<u>Futures Contracts – Long</u>** | **<u>Futures Contracts – Long</u>** | **<u>Futures Contracts – Long</u>** | **<u>Futures Contracts – Long</u>** | **<u>Futures Contracts – Long</u>** | **<u>Futures Contracts – Long</u>** |
|  90-Day SOFR  | 11 | $2631636 | $2625425 | 12/19/2023 | $(6211) |
|  5YR U.S. Treasury Notes  | 25 | 2737171 | 2698242 | 3/31/2023 | (38929) |
|  10YR U.S. Treasury Notes  | 10 | 1129010 | 1122969 | 3/22/2023 | (6041) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Long |  |  |  |  | $(51181) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts |  |  |  |  | $(51181) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **100** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN SWAPS at December 31, 2022** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS** |
|  | | **Rates Exchanged** | **Rates Exchanged** | | | | |
| **Notional <br>Amount** | **Maturity<br>Date** | **Payment<br>Received** | **Payment<br>Made** | **Periodic<br>Payment<br>Frequency** | **Fair Value** | **Upfront<br>Payment<br>Made<br>(Received)** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
| $4800000 | 7/18/2027 | 1 Day SOFR + 0.000% | 2.781% | Annually | $(201314) | $322 | $(201636) |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** | **CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)** |
| **Description** | **Maturity<br>Date** | **Fixed Deal<br>(Pay) Rate** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<sup>(4)</sup>** | **Notional<br>Amount<sup>(4)</sup>** | **Periodic<br>Payment<br>Frequency** | **Fair<br>Value** | **Upfront<br>Premiums<br>Received** | **Unrealized<br>Depreciation** |
|  **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** | **Buy Protection** |
|  ITRAXX.EUR.38.V1<br>1.000%, 12/20/2027 | 12/20/2027 | (1.000%) | 3.814% | EUR | (1000000) | Quarterly | $(4746) | $(2276) | $(2470) |
|  Total Buy Protection | Total Buy Protection | Total Buy Protection |  |  |  |  | $(4746) | $(2276) | $(2470) |

---

<sup>(1)</sup> For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. 

<sup>(2)</sup> For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. 

<sup>(3)</sup> For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the ITRAXX Series 38. 

<sup>(4)</sup> Notional amounts are denominated in currency where indicated and the lines below until currency changes. 

**SCHEDULE OF INVESTMENTS IN WRITTEN OPTIONS at December 31, 2022** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Fair<br>Value** | **Premiums<br>Received** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
|  **INDEX OPTIONS** | **INDEX OPTIONS** | **INDEX OPTIONS** | **INDEX OPTIONS** | **INDEX OPTIONS** | **INDEX OPTIONS** | **INDEX OPTIONS** | **INDEX OPTIONS** | **INDEX OPTIONS** |
|  **Put** | **Put** | **Put** | **Put** | **Put** | **Put** | **Put** | **Put** | **Put** |
|  Russell 2000 Index | UBS Securities LLC | $1695.00 | 1/6/2023 | (1) | $(176125) | $(365) | $(1809) | $1444 |
|  Russell 2000 Index | UBS Securities LLC | 1710.00 | 1/6/2023 | (1) | (176125) | (640) | (2229) | 1589 |
|  Russell 2000 Index | UBS Securities LLC | 1760.00 | 1/6/2023 | (2) | (352250) | (4100) | (6358) | 2258 |
|  Russell 2000 Index | UBS Securities LLC | 1710.00 | 1/13/2023 | (1) | (176125) | (1481) | (3019) | 1538 |
|  Russell 2000 Index | UBS Securities LLC | 1730.00 | 1/13/2023 | (3) | (528375) | (6288) | (9537) | 3249 |
|  Russell 2000 Index | UBS Securities LLC | 1710.00 | 1/20/2023 | (4) | (704500) | (9292) | (13436) | 4144 |
|  Russell 2000 Index | UBS Securities LLC | 1695.00 | 1/27/2023 | (2) | (352250) | (4892) | (7058) | 2166 |
|  Russell 2000 Index | UBS Securities LLC | 1715.00 | 1/27/2023 | (1) | (176125) | (2920) | (2919) | (1) |
|  Russell 2000 Index | UBS Securities LLC | 1725.00 | 1/27/2023 | (1) | (176125) | (2820) | (2909) | 89 |
|  Russell 2000 Index | UBS Securities LLC | 1715.00 | 2/3/2023 | (1) | (176125) | (3660) | (3659) | (1) |
|  S&P 500 Index | UBS Securities LLC | 3680.00 | 1/6/2023 | (4) | (1535800) | (1208) | (12836) | 11628 |
|  S&P 500 Index | UBS Securities LLC | 3720.00 | 1/6/2023 | (1) | (383950) | (629) | (3149) | 2520 |
|  S&P 500 Index | UBS Securities LLC | 3735.00 | 1/6/2023 | (1) | (383950) | (859) | (2709) | 1850 |
|  S&P 500 Index | UBS Securities LLC | 3745.00 | 1/6/2023 | (2) | (767900) | (2080) | (7138) | 5058 |
|  S&P 500 Index | UBS Securities LLC | 3865.00 | 1/6/2023 | (3) | (1151850) | (15420) | (16437) | 1017 |
|  S&P 500 Index | UBS Securities LLC | 3720.00 | 1/13/2023 | (1) | (383950) | (2460) | (4779) | 2319 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **101** |

---

------

##### [**Table of Contents**](#toc)
**iMGP High Income Alternatives Fund** 

**SCHEDULE OF INVESTMENTS IN WRITTEN OPTIONS at December 31, 2022 (Continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Fair<br>Value** | **Premiums<br>Received** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
|  S&P 500 Index | UBS Securities LLC | $3745.00 | 1/13/2023 | (10) | $(3839500) | $(40050) | $(51689) | $11639 |
|  S&P 500 Index | UBS Securities LLC | 3785.00 | 1/13/2023 | (1) | (383950) | (4138) | (5429) | 1291 |
|  S&P 500 Index | UBS Securities LLC | 3680.00 | 1/20/2023 | (1) | (383950) | (2345) | (5719) | 3374 |
|  S&P 500 Index | UBS Securities LLC | 3720.00 | 1/20/2023 | (6) | (2303700) | (19206) | (32585) | 13379 |
|  S&P 500 Index | UBS Securities LLC | 3735.00 | 1/20/2023 | (3) | (1151850) | (10425) | (14697) | 4272 |
|  S&P 500 Index | UBS Securities LLC | 3745.00 | 1/20/2023 | (2) | (767900) | (9600) | (11638) | 2038 |
|  S&P 500 Index | UBS Securities LLC | 3680.00 | 1/27/2023 | (4) | (1535800) | (12888) | (26716) | 13828 |
|  S&P 500 Index | UBS Securities LLC | 3725.00 | 1/27/2023 | (2) | (767900) | (8610) | (10158) | 1548 |
|  S&P 500 Index | UBS Securities LLC | 3735.00 | 1/27/2023 | (1) | (383950) | (4340) | (5619) | 1279 |
|  S&P 500 Index | UBS Securities LLC | 3755.00 | 1/27/2023 | (1) | (383950) | (6439) | (4919) | (1520) |
|  Total Written Options | Total Written Options | Total Written Options |  |  |  | $(177155) | $(269150) | $91995 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **102** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Dolan McEniry Corporate Bond Fund 2022 Annual Report** 

------

During the calendar-year 2022, the iMGP Dolan McEniry Corporate Bond Fund Institutional shares posted a loss of 8.08% versus the Bloomberg U.S. Intermediate Credit benchmark, which fell 9.10%. The Bloomberg US Aggregate Bond Index fell 13.01%. Yield curve positioning and duration had a minimal effect on relative performance versus the benchmark. Instead, the fund's calendar-year outperformance was driven by the fund's overexposure to and outperformance in both the corporate investment-grade and high-yield sectors. Since the fund's inception in September 2018, the fund has gained 1.41%, compared to 1.45% for the Bloomberg Credit benchmark and 0.41% for the Aggregate Index.

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** |
|  | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** |
|  | **One-Year** | **Three-<br>Year** | **Since<br>Inception<br>(9/28/18)** |
| &nbsp;&nbsp;&nbsp; **iMGP Dolan McEniry Corporate Bond** | **-8.08%** | **-1.30%** | **1.41%** |
| &nbsp;&nbsp;&nbsp; Bloomberg US Interm Credit TR USD | -9.10% | -1.23% | 1.45% |
| &nbsp;&nbsp;&nbsp; Bloomberg US Agg Bond TR USD | -13.01% | -2.71% | 0.41% |
| &nbsp;&nbsp;&nbsp; Morninstar US Fund Corporate Bond Category | -15.18% | -2.73% | 0.82% |
| &nbsp;&nbsp;&nbsp;***Past performance does not guarantee future results. Index performance is not illustrative of fund performance. An investment cannot be made directly in an index. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. To obtain the performance of the funds as of the most recently completed calendar month, please visit*** **<u>www.imgpfunds.com</u>***.* ***The Advisor has contractually agreed to limit the expenses of the fund through April 30, 2024***. | &nbsp;&nbsp;&nbsp;***Past performance does not guarantee future results. Index performance is not illustrative of fund performance. An investment cannot be made directly in an index. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. To obtain the performance of the funds as of the most recently completed calendar month, please visit*** **<u>www.imgpfunds.com</u>***.* ***The Advisor has contractually agreed to limit the expenses of the fund through April 30, 2024***. | &nbsp;&nbsp;&nbsp;***Past performance does not guarantee future results. Index performance is not illustrative of fund performance. An investment cannot be made directly in an index. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. To obtain the performance of the funds as of the most recently completed calendar month, please visit*** **<u>www.imgpfunds.com</u>***.* ***The Advisor has contractually agreed to limit the expenses of the fund through April 30, 2024***. | &nbsp;&nbsp;&nbsp;***Past performance does not guarantee future results. Index performance is not illustrative of fund performance. An investment cannot be made directly in an index. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. To obtain the performance of the funds as of the most recently completed calendar month, please visit*** **<u>www.imgpfunds.com</u>***.* ***The Advisor has contractually agreed to limit the expenses of the fund through April 30, 2024***. |
| &nbsp;&nbsp;&nbsp; **Gross Expenses: 0.96% Net Expenses 0.70%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; **Gross Expenses: 0.96% Net Expenses 0.70%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; **Gross Expenses: 0.96% Net Expenses 0.70%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. | &nbsp;&nbsp;&nbsp; **Gross Expenses: 0.96% Net Expenses 0.70%\***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights. |

---

**Market Review** 

------

During 2022, negative returns were seen in many equity and fixed-income indexes as markets grappled with historically high inflation, supply chain issues, and geopolitical concerns.

To combat this dramatic rise in inflation, the Federal Reserve took historic action by raising the Federal Funds rate on seven different occasions. The Federal Reserve increased the Federal Funds rate range from 0-.25% at the beginning of the year to 4.25%-4.50% at the end of the year. As a result, Treasury yields were substantially higher for the year and are among the highest levels they have been in over a decade.

As Treasury rates increased, the yield curve remained inverted as the 10-year U.S. Treasury yield increased from 1.51% to 3.88%, the 5-year yield increased from 1.26% to 4.01% and the 2-year yield decreased from 0.74% to 4.43%.

Per Bloomberg data, spreads of corporate investment grade bonds widened 38 basis points during the year to an average option adjusted spread ("OAS") of +130 basis points. The OAS of the Bloomberg Corporate High Yield Index widened 186 basis points to +469 basis points at year end.

**Outlook and Strategy** 

------

Dolan McEniry believes that client portfolios are positioned to provide reasonable absolute and relative returns going forward. Dolan McEniry's core competence is credit analysis, and we focus on a company's ability to generate generous amounts of free cash flow over time in relation to its indebtedness. Investment safety and risk mitigation are of primary importance as we continue to search for undervalued fixed income securities. As of December 31, the iMGP Dolan McEniry Corporate Bond Fund had a 62 basis point yield premium and similar duration versus the Bloomberg U.S Intermediate Credit. We believe these stats will allow the portfolio to perform well versus the benchmarks over time.

**Portfolio *Statistics and Contributors to Performance*** 

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**12/31/22 Stats** | **iMGP Dolan McEniry<br>Corporate Bond<br>Fund** | **Bloomberg**<br> **Intermediate<br>Credit** |
| &nbsp;&nbsp;&nbsp; Yield to Worst<br> Yield to Maturity | 5.84%<br> 5.84% | 5.22%<br> 5.22% |
| &nbsp;&nbsp;&nbsp; Effective Duration | 3.52 years | 4.01 years |
| &nbsp;&nbsp;&nbsp; Average Coupon | 4.09% | 3.19% |

---

---

| | |
|:---|:---|
| Fund Summary | **103** |

---

------

##### [**Table of Contents**](#toc)
**Security Selection** 

------

---

| | |
|:---|:---|
|  **<u>Top Performers</u>** | **<u>Bottom Performers</u>** |
|  DaVita Inc. | Qurate Retail Inc. |
|  TransDigm Group Inc. | AMC Networks Inc. |
|  United Rentals Inc. | Warner Bros Discovery Inc. |

---

![LOGO](g468187g53a53.jpg)

---

| | |
|:---|:---|
| **104** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Dolan McEniry Corporate Bond Fund Value of Hypothetical $10,000** 

------

*The value of a hypothetical $10,000 investment in the iMGP Dolan McEniry Corporate Bond Fund from September 30, 2018 to December 31, 2022 compared with the Bloomberg US Interm Credit Index, Morningstar Corporate Bond Category and Bloomberg US Agg Bond Index.*![LOGO](g468187g00m06.jpg)

*The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.* 

Performance quoted does not include a deduction for taxes that a shareholder would pay on the redemption of fund shares.

---

| | |
|:---|:---|
| Fund Summary | **105** |

---

------

##### [**Table of Contents**](#toc)
**iMGP Dolan McEniry Corporate Bond Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **CORPORATE BONDS: 94.1%** | **CORPORATE BONDS: 94.1%** | **CORPORATE BONDS: 94.1%** |
| **Basic Materials: 2.1%** | **Basic Materials: 2.1%** | **Basic Materials: 2.1%** |
|  | Steel Dynamics, Inc. |  |
| $918000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.400%, 06/15/2025 | $862349 |
| 679000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.000%, 12/15/2026 | 679872 |
| 552000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.650%, 10/15/2027 | 464239 |
|  |  | 2006460 |
| **Communications: 14.0%** | **Communications: 14.0%** | **Communications: 14.0%** |
|  | AMC Networks, Inc. |  |
| 317000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 08/01/2025 | 241475 |
|  | AT&T, Inc. |  |
| 143000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.800%, 02/15/2027 | 136874 |
| 1516000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 03/01/2027 | 1478909 |
| 403000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.100%, 02/15/2028 | 385471 |
|  | Discovery Communications LLC |  |
| 2102000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.950%, 03/20/2028 | 1874039 |
| 462000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 05/15/2030 | 383323 |
|  | Expedia Group, Inc. |  |
| 2283000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.800%, 02/15/2028 | 2103629 |
|  | Motorola Solutions, Inc. |  |
| 2011000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.600%, 02/23/2028 | 1955656 |
| 368000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.600%, 05/23/2029 | 351879 |
|  | TEGNA, Inc. |  |
| 2337000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 03/15/2028 | 2220080 |
|  | Verizon Communications, Inc. |  |
| 2222000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 03/16/2027 | 2170645 |
|  |  | 13301980 |
| **Consumer, Cyclical: 10.9%** | **Consumer, Cyclical: 10.9%** | **Consumer, Cyclical: 10.9%** |
|  | Bath & Body Works, Inc. |  |
| 1145000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.500%, 06/15/2029 | 1132405 |
|  | Bloomin' Brands, Inc. / OSI Restaurant Partners LLC |  |
| 2252000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 04/15/2029<sup>(a)</sup> | 1897085 |
|  | Boyd Gaming Corp. |  |
| 602000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 12/01/2027 | 561570 |
|  | Dollar Tree, Inc. |  |
| 1123000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.200%, 05/15/2028 | 1078269 |
|  | Newell Brands, Inc. |  |
| 2057000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 09/15/2029 | 2034064 |
|  | QVC, Inc. |  |
| 198000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.850%, 04/01/2024 | 183497 |
| 281000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.450%, 02/15/2025 | 229858 |
| 1844000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/15/2027 | 1306400 |
|  | Tempur Sealy International, Inc. |  |
| 2364000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 04/15/2029<sup>(a)</sup> | 1989554 |
|  |  | 10412702 |
| **Consumer, Non-cyclical: 27.3%** | **Consumer, Non-cyclical: 27.3%** | **Consumer, Non-cyclical: 27.3%** |
|  | Altria Group, Inc. |  |
| 1823000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 02/14/2026 | 1788393 |
| 224000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.800%, 02/14/2029 | 215545 |
|  | BAT Capital Corp. |  |
| 177000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.259%, 03/25/2028 | 147653 |
|  | Block Financial LLC |  |
| 2672000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.500%, 07/15/2028 | 2280246 |
|  | Conagra Brands, Inc. |  |
| 1333000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.300%, 05/01/2024 | 1315810 |
| 654000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.600%, 11/01/2025 | 645706 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** | **Value** |
| **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** | **Consumer, Non-cyclical (continued)** |
| $275000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.850%, 11/01/2028 | $| 268443 |
|  | DaVita, Inc. |  |  |
| 2360000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 06/01/2030<sup>(a)</sup> |  | 1899370 |
|  | Encompass Health Corp. |  |  |
| 388000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 02/01/2028 |  | 353061 |
|  | Global Payments, Inc. |  |  |
| 970000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.650%, 02/15/2025 |  | 914030 |
| 1283000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.800%, 04/01/2026 |  | 1252305 |
|  | HCA, Inc. |  |  |
| 775000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 09/01/2026 |  | 768123 |
| 1462000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 09/01/2028 |  | 1458500 |
|  | Kraft Heinz Foods Co. |  |  |
| 939000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 06/01/2026 |  | 881077 |
| 1312000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 05/15/2027 |  | 1258150 |
|  | Molson Coors Beverage Co. |  |  |
| 2077000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 07/15/2026 |  | 1932572 |
|  | Reynolds American, Inc. |  |  |
| 2042000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.450%, 06/12/2025 |  | 2000666 |
|  | Service Corp. International |  |  |
| 1499000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 12/15/2027 |  | 1399703 |
| 531000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 06/01/2029 |  | 498781 |
|  | United Rentals North America, Inc. |  |  |
| 962000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 05/15/2027 |  | 951254 |
| 981000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 01/15/2028 |  | 931808 |
|  | Verisk Analytics, Inc. |  |  |
| 792000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 06/15/2025 |  | 771148 |
|  | Zimmer Biomet Holdings, Inc. |  |  |
| 1447000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.550%, 04/01/2025 |  | 1399339 |
| 730000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.050%, 01/15/2026 |  | 689998 |
|  |  |  | 26021681 |
| **Financial: 6.6%** | **Financial: 6.6%** | **Financial: 6.6%** | **Financial: 6.6%** |
|  | American Tower Corp. |  |  |
| 799000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 06/01/2025 |  | 779937 |
| 1390000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 10/15/2026 |  | 1303114 |
|  | SBA Communications Corp. |  |  |
| 605000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 02/15/2027 |  | 547578 |
| 1594000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 02/01/2029 |  | 1328192 |
|  | Trinity Acquisition Plc |  |  |
| 715000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 03/15/2026 |  | 695207 |
|  | Willis North America, Inc. |  |  |
| 230000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.600%, 05/15/2024 |  | 223932 |
| 215000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.650%, 06/15/2027 |  | 208256 |
| 1217000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.500%, 09/15/2028 |  | 1151354 |
|  |  |  | 6237570 |
| **Industrial: 17.7%** | **Industrial: 17.7%** | **Industrial: 17.7%** | **Industrial: 17.7%** |
|  | Allegion US Holding Co., Inc. |  |  |
| 957000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.200%, 10/01/2024 |  | 921349 |
| 1515000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.550%, 10/01/2027 |  | 1372007 |
|  | Berry Global, Inc. |  |  |
| 1600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 07/15/2026<sup>(a)</sup> |  | 1541860 |
|  | Carlisle Cos., Inc. |  |  |
| 336000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.500%, 12/01/2024 |  | 325103 |
| 1839000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.750%, 12/01/2027 |  | 1718893 |
| 344000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.750%, 03/01/2030 |  | 288035 |
|  | Carrier Global Corp. |  |  |
| 303000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.242%, 02/15/2025 |  | 285896 |
| 2225000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.493%, 02/15/2027 |  | 2011714 |
|  | Fortune Brands Home & Security, Inc. |  |  |
| 758000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 09/21/2023 |  | 752755 |
| 1499000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 06/15/2025 |  | 1461199 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **106** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP Dolan McEniry Corporate Bond Fund** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022 (Continued)** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount^** | | **Value** |
| **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** | **CORPORATE BONDS (CONTINUED)** |
| **Industrial (continued)** | **Industrial (continued)** | **Industrial (continued)** |
|  | TransDigm, Inc. |  |
| $1976000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.500%, 11/15/2027 | $1858369 |
|  | Trimble, Inc. |  |
| 2407000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.900%, 06/15/2028 | 2316465 |
|  | Westinghouse Air Brake Technologies Corp. |  |
| 974000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.400%, 03/15/2024 | 958920 |
| 1105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.950%, 09/15/2028 | 1065506 |
|  |  | 16878071 |
| **Technology: 15.5%** | **Technology: 15.5%** | **Technology: 15.5%** |
|  | Broadcom Corp. / Broadcom Cayman Finance Ltd. |  |
| 1832000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 01/15/2027 | 1735940 |
|  | Broadcom, Inc. |  |
| 363000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.459%, 09/15/2026 | 342907 |
|  | CA, Inc. |  |
| 231000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.700%, 03/15/2027 | 216303 |
|  | CDW LLC / CDW Finance Corp. |  |
| 564000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 05/01/2025 | 548659 |
| 1322000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 04/01/2028 | 1219016 |
| 228000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.250%, 02/15/2029 | 194590 |
|  | HP, Inc. |  |
| 1847000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.000%, 06/17/2027 | 1691242 |
| 502000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.000%, 04/15/2029 | 460265 |
|  | Microchip Technology, Inc. |  |
| 1977000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.250%, 09/01/2025 | 1922719 |
|  | Oracle Corp. |  |
| 2447000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.300%, 03/25/2028 | 2127509 |
|  | Qorvo, Inc. |  |
| 2281000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 10/15/2029 | 2021023 |
|  | Western Digital Corp. |  |
| 2365000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.750%, 02/15/2026 | 2232324 |
|  |  | 14712497 |
| **TOTAL CORPORATE BONDS**<br>(Cost $98,145,213) | **TOTAL CORPORATE BONDS**<br>(Cost $98,145,213) | 89570961 |
| **GOVERNMENT SECURITIES & AGENCY ISSUE: 3.8%**  | **GOVERNMENT SECURITIES & AGENCY ISSUE: 3.8%**  | **GOVERNMENT SECURITIES & AGENCY ISSUE: 3.8%**  |
|  | United States Treasury Note |  |
| 3568000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.750%, 01/31/2023 | 3561582 |
| **TOTAL GOVERNMENT SECURITIES & AGENCY ISSUE**<br>(Cost $3,561,503) | **TOTAL GOVERNMENT SECURITIES & AGENCY ISSUE**<br>(Cost $3,561,503) | 3561582 |
| **TOTAL INVESTMENTS**<br>(Cost: $101,706,716): 97.9%  | **TOTAL INVESTMENTS**<br>(Cost: $101,706,716): 97.9%  | 93132543 |
| Other Assets in Excess of Liabilities: 2.1% | Other Assets in Excess of Liabilities: 2.1% | 2045358 |
| **NET ASSETS: 100.0%** | **NET ASSETS: 100.0%** | $**95177901** |

---

Percentages are stated as a percent of net assets.

---

| | |
|:---|:---|
| ^ | The principal amount is stated in U.S. Dollars unless otherwise indicated.  |

---

(a) Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from
registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **107** |

---

------

##### [**Table of Contents**](#toc)
**iMGP DBi Managed Futures Strategy ETF 2022 Annual Report** 

------

The iMGP DBi Managed Futures Strategy ETF gained 23.07% at NAV and 21.53% at Market versus the benchmark SG CTA Index's 20.13% return. The ETF outperformed the benchmark during the year again, and since inception in May 2019, the ETF has gained 12.23% at NAV and 12.28% at Market annualized, outperforming the benchmark's 8.60% gain.

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | | | | |
|  | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** |  |
|  | **One-**<br> **Year** | **Three-<br>Year** | **Since<br>Inception<br>(5/7/2019)** |  |
| &nbsp;&nbsp;&nbsp; **iMGP DBi Managed Futures Strategy ETF (NAV)** | **23.07%** | **11.23%** | **12.23%** |  |
| &nbsp;&nbsp;&nbsp; **iMGP DBi Managed Futures Strategy ETF (Price)** | **21.53%** | **11.28%** | **12.28%** |  |
| &nbsp;&nbsp;&nbsp; SG CTA | 20.13% | 9.58% | 8.60% |  |
| &nbsp;&nbsp;&nbsp; SG Trend | 27.35% | 13.87% | 12.33% |  |
| &nbsp;&nbsp;&nbsp; Morningstar US Fund Systematic Trend Category | 14.23% | 7.09% | 6.24% |  |
| &nbsp;&nbsp;&nbsp; **Total Expense Ratio 0.85%\*** | &nbsp;&nbsp;&nbsp; **Total Expense Ratio 0.85%\*** | &nbsp;&nbsp;&nbsp; **Total Expense Ratio 0.85%\*** | &nbsp;&nbsp;&nbsp; **Total Expense Ratio 0.85%\*** |  |
| &nbsp;&nbsp;&nbsp; ***Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund's future performance and should not be the sole basis for investing in the fund. Performance data current to the most recent month end may be obtained by visiting <u>www.imgpfunds.com</u>.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>*Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.* | &nbsp;&nbsp;&nbsp; ***Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund's future performance and should not be the sole basis for investing in the fund. Performance data current to the most recent month end may be obtained by visiting <u>www.imgpfunds.com</u>.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>*Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.* | &nbsp;&nbsp;&nbsp; ***Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund's future performance and should not be the sole basis for investing in the fund. Performance data current to the most recent month end may be obtained by visiting <u>www.imgpfunds.com</u>.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>*Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.* | &nbsp;&nbsp;&nbsp; ***Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund's future performance and should not be the sole basis for investing in the fund. Performance data current to the most recent month end may be obtained by visiting <u>www.imgpfunds.com</u>.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>*Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.* | ****<br>|

---

**2022 Review** 

------

In 2022, the regime shift in inflation kicked into gear. The "inflation trade" began in early 2021 as a highly contrarian macro call by hedge fund legend Stan Druckenmiller: that a convergence of monetary easing ("Fed will let the economy run hot"), fiscal profligacy (Democrats win Georgia) and pent-up demand post-covid would trigger the return of inflation. His radical prediction, as we wrote about at the time, was that inflation could hit 4-5%.

Initially, few traditional market strategists agreed. After all, a decade of extreme money printing and government spending had failed to light the inflation fire – an awkward outcome for an economics community whose models predicted otherwise. Contrarians who had stuck their necks out years earlier were, at best, labeled Cassandras and, at worst, unemployed. Most traditional portfolios were replete with "low rates forever" bets: whether to support FAANG (Facebook, Amazon, Apple, Netfilx, Google) PE ratios in the S&P 500, near zero (and sometimes negative) fixed income yields or low single digit cap rates in real estate. And those portfolios – built on ten- and twenty-year capital markets assumptions – were designed to move very slowly, run by allocators who are supposed to be calm, steady hands through flighty shifts in market sentiment.

That disconnect defines a regime shift: a sudden macro pivot in an investment world built to move slowly. It also explains why hedge funds – many, but clearly not all – prospered. Some macro funds have posted triple digit returns. Managed futures funds detected the signs early, rode the trade for eighteen months, gained 20% last year and delivered half a decade of alpha. More flexible fundamental investors – obviously not tech-focused hedge funds, who were and are structurally neck deep in the low rates trade – de-risked early or pivoted into markets, whether value or non-US, that were historically cheap after a decade of underperformance. Short positions in government bonds and certain currencies – outside the reach of long only allocators – became the "new" inflation hedges after the old playbook (gold, inflation-linked bonds and real estate) failed.

The consensus view today is that inflation has peaked, the global economy will slow and central banks will start cutting rates in a few quarters. That may turn out to be accurate; yet, as we have written about repeatedly in these letters, the consensus view often is wrong and flips suddenly based on new data, events. Our gut tells us that this plays out over years: central banks have years of unwinding in front of them; governments will remain addicted to spending even with more punishing borrowing costs; deglobalization will ripple through labor markets, supply chains and corporate profits; the geopolitical backdrop is somewhat frightening with polarization and a land war in eastern Europe; and social and political unrest is likely to spread as inflation bites. Our hope is that hedge funds continue to find ways to protect capital – and better yet, profit – as opportunities present themselves – and that we and investors in the Fund can hitch along for the ride.

**Performance and Positioning** 

------

With the sharp reversal of some legs of the inflation trade in November, the Managed Futures portfolio declined during the fourth quarter. Gains during 2022 were driven by currencies (the short Japanese yen trade as the single most profitable position) and rates (short positions across the Treasury curve). Tactial positioning around crude oil, long during the half of the year and then neutral, was accretive to the

---

| | |
|:---|:---|
| **108** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
portfolio. We lost money in equities, where the portfolio tended to get whipsawed as investors flipped back and forth between value and growth, US and non-US, developed and emerging markets. 2022 was a case study the flexibility of managed futures: currencies – dead money for the first six years of the fund – added over 20%; long Treasuries protected capital during the covid drawdown but short positions generated substantial gains last year. The portfolio remains modestly net short equities, Gold and Treasuries, short the Euro but has pivoted to a small long position in the yen, and is neutral on crude oil.

**Portfolio Characteristics** 

---

| | |
|:---|:---|
|  **<u>Net Asset Class Exposure (%)</u>** |  |
|  US Equities | -10%% |
|  International Developed Equities | 6% |
|  Emerging Market Equities | -7% |
|  Currencies | -11% |
|  Commodities | -5% |
|  Fixed Income | -122% |

---

---

| | |
|:---|:---|
|  **<u>Top 5 Holdings</u>** | **<u>Top 5 Holdings</u>** |
|  SOFR | -35% |
|  2 Yr Treasury | -34% |
|  EUR/USD | -19% |
|  Fed Funds | -15% |
|  10 Yr Treasury | -14% |

---

**iMGP DBi Managed Futures Strategy ETF Value of Hypothetical $10,000** 

------

*The value of a hypothetical $10,000 investment in the iMGP DBi Managed Futures Strategy ETF from April 30, 2019 to December 31, 2022 compared with the SG CTA Index, Morningstar Systematic Trend Category and SG Trend Index.*![LOGO](g468187g00m18.jpg)

*The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.* 

Performance quoted does not include a deduction for taxes that a shareholder would pay on the redemption of fund shares.

---

| | |
|:---|:---|
| Fund Summary | **109** |

---

------

##### [**Table of Contents**](#toc)
**iMGP DBi Managed Futures Strategy ETF** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022** 

---

| | |
|:---|:---|
|  **TOTAL INVESTMENTS**<br>(Cost: $0): 0.0%  | $0 |
| Other Assets in Excess of Liabilities: 100.0% | 951319050 |
|  **NET ASSETS: 100.0%** | $**951319050** |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **110** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**iMGP DBi Managed Futures Strategy ETF** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at December 31, 2022<sup>(a)</sup>** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Number of<br>Contracts** | **Notional Amount** | **Notional Value** | **Expiration<br>Date** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
|  **<u>Futures Contracts – Long</u>** | **<u>Futures Contracts – Long</u>** | **<u>Futures Contracts – Long</u>** | **<u>Futures Contracts – Long</u>** | **<u>Futures Contracts – Long</u>** | **<u>Futures Contracts – Long</u>** |
|  Japanese Yen Currency Futures  | 723 | $67823322 | $69652012 | 3/13/2023 | $1828690 |
|  MSCI EAFE Index Futures  | 615 | 60915860 | 59944050 | 3/17/2023 | (971810) |
|  WTI Crude Futures <sup>(b)</sup> | 206 | 16411673 | 16572700 | 3/21/2023 | 161027 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Long |  |  |  |  | $1017907 |
|  **<u>Futures Contracts – Short</u>** | **<u>Futures Contracts – Short</u>** | **<u>Futures Contracts – Short</u>** | **<u>Futures Contracts – Short</u>** | **<u>Futures Contracts – Short</u>** | **<u>Futures Contracts – Short</u>** |
|  3 Months SOFR Futures  | (1339) | $(323030255) | $(322129925) | 6/17/2024 | $900330 |
|  30 Day Federal Funds Futures  | (342) | (135563977) | (135585346) | 4/28/2023 | (21369) |
|  Euro FX Currency Futures  | (1284) | (172202966) | (172601700) | 3/13/2023 | (398734) |
|  Gold 100 Oz Futures <sup>(b)</sup> | (354) | (62948677) | (64647480) | 2/24/2023 | (1698803) |
|  MSCI Emerging Market Index  | (1265) | (62094775) | (60682050) | 3/17/2023 | 1412725 |
|  S&P 500 E-Mini Index Futures  | (491) | (94945518) | (94787550) | 3/17/2023 | 157968 |
|  U.S. Treasury 10-Year Note Futures | (1150) | (130171606) | (129141406) | 3/22/2023 | 1030200 |
|  U.S. Treasury 10-Year Ultra Note Futures  | (1083) | (129454116) | (128098594) | 3/22/2023 | 1355522 |
|  U.S. Treasury 2-Year Note Futures  | (1563) | (320419966) | (320537111) | 3/31/2023 | (117145) |
|  U.S. Treasury Long Bond Futures  | (398) | (50754610) | (49886812) | 3/22/2023 | 867798 |
|  U.S. Treasury Ultra-Long Bond Futures  | (362) | (49917006) | (48621125) | 3/22/2023 | 1295881 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Short |  |  |  |  | $4784373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts |  |  |  |  | $5802280 |

---

<sup>(a)</sup> Societe Generale is the counterparty for all Open Futures Contracts held by the Fund and the iMGP DBi Cayman Managed Futures Subsidiary at December 31, 2022.

<sup>(b)</sup> Contract held by the iMGP DBi Cayman Managed Futures Subsidiary.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **111** |

---

------

##### [**Table of Contents**](#toc)
**iMGP DBi Hedge Strategy ETF 2022 Annual Report** 

------

The iMGP DBi Hedge Strategy ETF declined 6.51% at NAV and 6.04% at Market in 2022 versus the Morningstar Long-Short Equity Category benchmark's 8.28% loss. Since inception in December 2019, the ETF has gained 6.59% at NAV and 6.71% at Market annualized, outperforming the benchmark's 2.92% gain. Note that we changed the benchmark to the Morningstar Long Short Category to provide a comparison with a more broad range of funds and ETFs that employ long-short equity strategies. We are not able to publish the prior benchmark returns due to a dispute with the provider of those returns.

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | | | | |
|  | **Average Annual Total Returns** | **Average Annual Total Returns** | **Average Annual Total Returns** |  |
|  | **One-**<br> **Year** | **Three-<br>Year** | **Since<br>Inception<br>(12/17/19)** |  |
| &nbsp;&nbsp;&nbsp; **iMGP DBi Hedge Strategy ETF (NAV)** | **-6.51%** | **6.67%** | **6.59%** |  |
| &nbsp;&nbsp;&nbsp; **iMGP DBi Hedge Strategy ETF (Price)** | **-6.04%** | **6.76%** | **6.71%** |  |
| &nbsp;&nbsp;&nbsp; Morningstar US Fund Long-Short Equity Category | -8.28% | 2.84% | 2.92% |  |
| &nbsp;&nbsp;&nbsp; **Expense Ratio 0.85%\*** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>*Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.* | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>*Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.* | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>*Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.* | &nbsp;&nbsp;&nbsp; ***Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit <u>www.imgpfunds.com</u>.***<br>\* The expense ratios disclosed in the performance table are based on the most recent prospectus and may not tie to what are disclosed in the financial highlights.<br>*Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.* | <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>|

---

**2022 Review** 

------

In 2022, the regime shift in inflation kicked into gear. The "inflation trade" began in early 2021 as a highly contrarian macro call by hedge fund legend Stan Druckenmiller: that a convergence of monetary easing ("Fed will let the economy run hot"), fiscal profligacy (Democrats win Georgia) and pent-up demand post-covid would trigger the return of inflation. His radical prediction, as we wrote about at the time, was that inflation could hit 4-5%.

Initially, few traditional market strategists agreed. After all, a decade of extreme money printing and government spending had failed to light the inflation fire – an awkward outcome for an economics community whose models predicted otherwise. Contrarians who had stuck their necks out years earlier were, at best, labeled Cassandras and, at worst, unemployed. Most traditional portfolios were replete with "low rates forever" bets: whether to support FAANG (Facebook, Amazon, Apple, Netflix, Google) PE ratios in the S&P 500, near zero (and sometimes negative) fixed income yields or low single digit cap rates in real estate. And those portfolios – built on ten- and twenty-year capital markets assumptions – were designed to move very slowly, run by allocators who are supposed to be calm, steady hands through flighty shifts in market sentiment.

That disconnect defines a regime shift: a sudden macro pivot in an investment world built to move slowly. It also explains why hedge funds – many, but clearly not all – prospered. Some macro funds have posted triple digit returns. Managed futures funds detected the signs early, rode the trade for eighteen months, gained 20% last year and delivered half a decade of alpha. More flexible fundamental investors – obviously not tech-focused hedge funds, who were and are structurally neck deep in the low rates trade – de-risked early or pivoted into markets, whether value or non-US, that were historically cheap after a decade of underperformance. Short positions in government bonds and certain currencies – outside the reach of long only allocators – became the "new" inflation hedges after the old playbook (gold, inflation-linked bonds and real estate) failed.

The consensus view today is that inflation has peaked, the global economy will slow and central banks will start cutting rates in a few quarters. That may turn out to be accurate; yet, as we have written about repeatedly in these letters, the consensus view often is wrong and flips suddenly based on new data, events. Our gut tells us that this plays out over years: central banks have years of unwinding in front of them; governments will remain addicted to spending even with more punishing borrowing costs; deglobalization will ripple through labor markets, supply chains and corporate profits; the geopolitical backdrop is somewhat frightening with polarization and a land war in eastern Europe; and social and political unrest is likely to spread as inflation bites. Our hope is that hedge funds continue to find ways to protect capital – and better yet, profit – as opportunities present themselves – and that we and investors in the Fund can hitch along for the ride.

**Performance and Positioning** 

------

The Fund finished the year down, but ahead of broader equity markets. The target hedge funds de-risked during the first half of the year and side-stepped some of the market drawdowns in August and September. Until recently, the Fund also benefited from inflation hedges in the US dollar and, at times, short Treasuries, both of which generated material gains during 2022.

---

| | |
|:---|:---|
| **112** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
The Fund has dialed up risk within equities, but with a skew towards value-centric markets: international developed and small/midcap stocks along with inflation hedges in currencies and short end of the rates curve.

**12/31/2022 Portfolio Characteristics** 

---

| | |
|:---|:---|
|  **<u>Net Asset Class Exposure (%)</u>** |  |
|  US Equities | 26% |
|  International Developed Equities | 10% |
|  Emerging Market Equities | 6% |
|  US Dollar | 28% |
|  Fixed Income | -23% |

---

---

| | |
|:---|:---|
|  **<u>Top 5 Holdings</u>** | **<u>Top 5 Holdings</u>** |
|  Eurodollar | -11% |
|  2 Yr Treasury | -11% |
|  EUR/USD | -11% |
|  Dollar Index | 11% |
|  S&P 400 MidCap | 10% |

---

**iMGP DBi Hedge Strategy ETF Value of Hypothetical $10,000** 

------

*The value of a hypothetical $10,000 investment in the iMGP DBi Hedge Strategy ETF from November 30, 2019 to December 31, 2022 compared with the Morningstar Long-Short Equity Category.*![LOGO](g468187g10m19.jpg)

*The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.* 

Performance quoted does not include a deduction for taxes that a shareholder would pay on the redemption of fund shares.

---

| | |
|:---|:---|
| Fund Summary | **113** |

---

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##### [**Table of Contents**](#toc)
**iMGP DBi Hedge Strategy ETF** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022** 

---

| | |
|:---|:---|
|  **TOTAL INVESTMENTS**<br> (Cost: $0): 0.0%  | $0 |
| Other Assets in Excess of Liabilities: 100.0% | 14618298 |
|  **NET ASSETS: 100.0%** | $**14618298** |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **114** | Litman Gregory Funds Trust |

---

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##### [**Table of Contents**](#toc)
**iMGP DBi Hedge Strategy ETF** 

**SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at December 31, 2022 (Continued)<sup>(a)</sup>** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Number of<br>Contracts** | **Notional Amount** | **Notional Value** | **Expiration<br>Date** | **Unrealized<br>Appreciation/<br>(Depreciation)** |
|  **<u>Futures Contracts – Long</u>** |  |  |  |  |  |
|  MSCI EAFE Index Futures  | 15 | $1487034 | $1462050 | 3/17/2023 | $(24984) |
|  Nasdaq 100 E-mini Futures  | 4 | 940182 | 881780 | 3/17/2023 | (58402) |
|  Russell 2000 E-mini Futures  | 16 | 1465129 | 1416720 | 3/17/2023 | (48409) |
|  S&P Mid Cap 400 E-mini Futures  | 6 | 1507184 | 1465560 | 3/17/2023 | (41624) |
|  MSCI Emerging Market Index  | 17 | 834166 | 815490 | 3/17/2023 | (18676) |
|  U.S. Dollar Index Futures  | 15 | 1551307 | 1549035 | 3/13/2023 | (2272) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Long |  |  |  |  | $(194367) |
|  **<u>Futures Contracts – Short</u>** |  |  |  |  |  |
|  Japanese Yen Currency Futures  | (4) | $(374767) | $(385350) | 3/13/2023 | $(10583) |
|  Euro FX Currency Futures  | (12) | (1608867) | (1613100) | 3/13/2023 | (4233) |
|  British Pound Currency Futures  | (4) | (310839) | (302100) | 3/13/2023 | 8739 |
|  Canadian Dollar Currency Futures  | (3) | (221362) | (221760) | 3/14/2023 | (398) |
|  90-day Euro-Dollar Futures  | (7) | (1676804) | (1673000) | 3/18/2024 | 3804 |
|  U.S. Treasury 2-Year Note Futures  | (8) | (1639277) | (1640625) | 3/31/2023 | (1348) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Short |  |  |  |  | $(4019) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts |  |  |  |  | $(198386) |

---

<sup>(a)</sup> Mizuho Securities USA LLC is the counterparty for all Open Futures Contracts held by the Fund at December 31, 2022.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **115** |

---

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##### [**Table of Contents**](#toc)
**iMGP RBA Responsible Global Allocation ETF 2022 Annual Report** 

------

The iMGP RBA Responsible Global Allocation ETF outperformed its benchmark in 2022 (since its inception on 2/1/2022), posting a return of -10.88% at NAV and -11.13% at Market Price compared to a -12.86% return for its global balanced benchmark index (65% MSCI ACWI, 35% Bloomberg US Aggregate Bond Index).

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; **Performance as of 12/31/2022** | | |
|  | **Total<br>Return<br>Since<br>Inception<br>(2/1/22)** |  |
| &nbsp;&nbsp;&nbsp; **iMGP RBA Responsible Global Allocation ETF (NAV)** | **-10.88%** |  |
| &nbsp;&nbsp;&nbsp; **iMGP RBA Responsible Global Allocation ETF (Price)** | **-11.13%** |  |
| &nbsp;&nbsp;&nbsp; 65/35 Blend of MSCI ACWI & Bloomberg Agg Bond Index | -12.86% |  |
| &nbsp;&nbsp;&nbsp; 65/35 Blend of MSCI ACWI ESG Leaders & Bloomberg MSCI US Aggregate ESG Focus Index | -13.70% |  |
| &nbsp;&nbsp;&nbsp; Morningstar US Fund World Allocation Category | -10.46% |  |
| &nbsp;&nbsp;&nbsp; ***Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund's future performance and should not be the sole basis for investing in the fund. Performance data current to the most recent month end may be obtained by visiting <u>www.imgpfunds.com</u>.***<br>*Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.* | &nbsp;&nbsp;&nbsp; ***Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund's future performance and should not be the sole basis for investing in the fund. Performance data current to the most recent month end may be obtained by visiting <u>www.imgpfunds.com</u>.***<br>*Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.* | <br>|

---

**Equity Positioning** 

------

The Strategy was slightly underweight equity over the period, holding an average weight of 64.0% (1ppt underweight) in 2022. The equity sleeve outperformed by 4.4% vs. the MSCI ACWI Index. This outperformance was driven by the underweights to long duration growth names in the tech, consumer discretionary, and communication services sectors as well as an overweight to health care. An overweight to consumer staples also helped. Overweighting Japan and Europe relative to ACWI was also accretive to the portfolio. An underweight to the US was also helpful.

**Fixed Income Positioning** 

------

The Strategy was underweight fixed income throughout the period, holding an average weight of 34.2% (0.8ppt overweight) in 2022. The fixed income sleeve outperformed by about 1%. This was mainly driven by an overweight to investment grade corporates, specifically shorter-term corporate exposure. An allocation to high-yield corporates was also accretive. Underweights to Treasuries and mortgages hurt performance on a relative basis throughout the year. A slight cash exposure of around 2% helped to dampen beta in volatile markets and assisted in performance versus the benchmark.

**Manager Outlook and Portfolio Positioning** 

------

RBA's investment process remains focused on the three pillars of corporate profits, liquidity and investor sentiment/valuation, all of which suggest that we remain in a weakening fundamental backdrop.

2023 may be another difficult year for investors who hope to relive the speculative markets of 2020 and 2021. Consensus seems poised for a signal from the Fed that they will lower interest rates and reignite investors' interest in more speculative investments. But with inflation the highest in 40 years and the entire credibility of central banking being challenged, the odds seem to favor too much tightening of monetary policy rather than too little.

We focus on three themes going into 2023:

(1) <u>Play defense and worry later about playing offense</u>

The US, and many other countries, are in the early stages of profits recessions, yet both equity and fixed-income markets have been very slow to anticipate the potential falloff in corporate profits. We believe a defensive posture in the portfolio is prudent to combat this.

(2) <u>Diversify geographically</u>

Investors should consider increasing geographic diversification. Today, consensus among investors favors US equities, but profit fundamentals for the US are among the worst of the major regions. We continue to have lower-than-normal exposure to US equities within our portfolios because of the combination of US sector weights in the most speculative sectors (Technology, Communications Services, and Consumer Discretionary) and the deterioration in US profits fundamentals.

---

| | |
|:---|:---|
| **116** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
(3) <u>Accept that the world is changing</u>

Growth investors should not become mired in the old growth themes and should be on the lookout for new ones. Consensus is still focused on the leadership of the last 5-10 years. However, the global economy is changing and leadership within the financial markets is likely to reflect that changing economy.

Investors should probably never invest purely for short-term or long-term opportunities. Every secular theme can be influenced by the cycle, and every cyclical theme can be influenced by secular forces. Our portfolios at RBA attempt to balance the cyclical AND the secular economic influences.

**IRBA Portfolio Allocations as of December 31, 2022** 

------

---

| | |
|:---|:---|
| **Asset Class Exposures** |  |
|  U.S. Equities | 35.9% |
|  Non-U.S. Equities | 29.4% |
|  U.S. Fixed Income | 30.1% |
|  Non-U.S. Fixed Income | 4.6% |
|  Cash | 0.0% |
|  **Total** | **100%** |

---

---

| | | | |
|:---|:---|:---|:---|
| IRBA vs Global Blended 65/35<br>Benchmark | IRBA<br>Weight | Benchmark<br>Weight | Relative<br>Weight |
|  **Total** | **100%** | **100%** | **0.0%** |
|  Equity (MSCI ACWI) | 65.3% | 65.0% | 0.3% |
|  Fixed Income (Bloomberg US Aggregate Bond Index) | 34.7% | 35.0% | -0.3% |
|  Cash | 0.0% | 0.0% | 0.0% |

---

---

| | | | |
|:---|:---|:---|:---|
| IRBA Equity Region vs MSCI<br>ACWI Net Index | IRBA<br>Weight | Benchmark<br>Weight | Relative<br>Weight |
|  **Total** | **100.0%** | **100.0%** | **0.0%** |
|  US | 55.0% | 61.6% | -6.6% |
|  Canada | 1.6% | 3.0% | -1.4% |
|  Europe | 17.8% | 11.6% | 6.2% |
|  United Kingdom | 4.2% | 3.3% | 1.0% |
|  Japan | 9.7% | 5.6% | 4.1% |
|  Asia ex-JPY | 4.8% | 3.3% | 1.5% |
|  Emerging Markets | 6.9% | 11.7% | -4.8% |

---

---

| | | | |
|:---|:---|:---|:---|
| IRBA Equity Sector vs MSCI<br>ACWI Net Index | IRBA<br>Weight | Benchmark<br>Weight | Relative<br>Weight |
|  **Total** | **100.0%** | **100.0%** | **0.0%** |
|  Communication Services | 4.1% | 6.8% | -2.7% |
|  Consumer Discretionary | 7.0% | 10.4% | -3.4% |
|  Consumer Staples | 12.2% | 7.7% | 4.5% |
|  Energy | 2.1% | 5.6% | -3.5% |
|  Financials | 11.5% | 15.2% | -3.7% |
|  Health Care | 18.0% | 13.4% | 4.6% |
|  Industrials | 12.6% | 10.2% | 2.4% |
|  Information Technology | 13.9% | 20.0% | -6.1% |
|  Materials | 7.4% | 5.0% | 2.4% |
|  Real Estate | 7.7% | 2.6% | 5.1% |
|  Utilities | 3.6% | 3.2% | 0.4% |

---

---

| | |
|:---|:---|
|  **IRBA Fixed Income Characteristics** |  |
|  Duration | 6.1 years |
|  Yield to Maturity | 4.77% |
|  Average Credit Quality | AA- |

---

---

| | |
|:---|:---|
| Fund Summary | **117** |

---

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##### [**Table of Contents**](#toc)
**iMGP RBA Responsible Global Allocation ETF Value of Hypothetical $10,000** 

------

*The value of a hypothetical $10,000 investment in the iMGP RBA Responsible Global Allocation ETF from January 31, 2022 to December 31, 2022 compared with the 65/35 Blend of MSCI ACWI & Bloomberg US Aggregate Bond Index, Morningstar World Allocation Category and 65/35 Blend of MSCI ACWI ESG Leaders & Bloomberg MSCI US Aggregate ESG Focus Index.*![LOGO](g468187g00m09.jpg)

*The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.* 

Performance quoted does not include a deduction for taxes that a shareholder would pay on the redemption of fund shares.

---

| | |
|:---|:---|
| **118** | Litman Gregory Funds Trust |

---

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##### [**Table of Contents**](#toc)
**iMGP RBA Responsible Global Allocation ETF** 

**SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2022** 

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **EXCHANGE-TRADED FUNDS: 100.1%**  | **EXCHANGE-TRADED FUNDS: 100.1%**  | **EXCHANGE-TRADED FUNDS: 100.1%**  |
| 7334 | iShares ESG Advanced MSCI EAFE ETF | $398016 |
| 55645 | iShares ESG Aware US Aggregate Bond ETF | 2600847 |
| 8656 | iShares ESG Aware USD Corporate Bond ETF | 193007 |
| 19380 | iShares MSCI Global Sustainable Development Goals | 1529276 |
| 10944 | iShares Trust iShares ESG Aware MSCI EAFE ETF | 719459 |
| 41800 | Nuveen ESG Large-Cap Value ETF | 1431232 |
| 5854 | PIMCO Enhanced Short Maturity Active ESG ETF | 567251 |
| 6262 | Vanguard ESG International Stock ETF | 308028 |
| 17214 | WisdomTree US ESG Fund | 706963 |
| **TOTAL EXCHANGE-TRADED FUNDS**<br>(Cost $8,998,864) | **TOTAL EXCHANGE-TRADED FUNDS**<br>(Cost $8,998,864) | 8454079 |
| **TOTAL INVESTMENTS**<br>(Cost: $8,998,864): 100.1% | **TOTAL INVESTMENTS**<br>(Cost: $8,998,864): 100.1% | 8454079 |
| Liabilities in Excess of Other Assets: (0.1)% | Liabilities in Excess of Other Assets: (0.1)% | (4704) |
| **NET ASSETS: 100.0%** | **NET ASSETS: 100.0%** | $**8449375** |

---

Percentages are stated as a percent of net assets.

ETF Exchange-Traded Fund

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Schedule of Investments | **119** |

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##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

EXPENSE EXAMPLES – (Unaudited)

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including advisory fees, and other fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the period shown and held for the entire period from July 1, 2022 to December 31, 2022.

**Actual Expenses** 

For each Fund, the first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

**Hypothetical Example for Comparison Purposes** 

For each Fund, the second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

*Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line for each Fund of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.* 

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| | | | | |
|:---|:---|:---|:---|:---|
| | Beginning<br>Account Value<br>(7/1/22) | Ending<br>Account Value<br>(12/31/22) | Expenses Paid<br>During Period\*<br>(7/1/22 to<br>12/31/22) | Expenses Ratio<br>During Period\*<br>(7/1/22 to<br>12/31/22) |
|  iMGP Global Select Fund – Institutional Actual | $1000.00 | $1022.00 | $5.40 | 1.06% |
|  iMGP Global Select Fund – Institutional Hypothetical - (5% return before expenses) | $1000.00 | $1019.86 | $5.40 | 1.06% |
|  iMGP International Fund – Institutional Actual | $1000.00 | $1011.40 | $7.10 | 1.40% |
|  iMGP International Fund – Institutional Hypothetical - (5% return before expenses) | $1000.00 | $1018.14 | $7.12 | 1.40% |
|  iMGP Oldfield International Value Fund – Institutional Actual | $1000.00 | $1022.00 | $4.79 | 0.94% |
|  iMGP Oldfield International Value Fund – Institutional Hypothetical - (5% return before expenses) | $1000.00 | $1020.46 | $4.79 | 0.94% |
|  iMGP SBH Focused Small Value Fund – Institutional Actual | $1000.00 | $1079.70 | $6.03 | 1.15% |
|  iMGP SBH Focused Small Value Fund – Institutional Hypothetical - (5% return before expenses) | $1000.00 | $1019.40 | $5.85 | 1.15% |
|  iMGP Alternative Strategies Fund – Institutional Actual | $1000.00 | $989.30 | $7.17 | 1.43% |
|  iMGP Alternative Strategies Fund – Investor Actual | $1000.00 | $988.80 | $8.47 | 1.69% |
|  iMGP Alternative Strategies Fund – Institutional Hypothetical - (5% return before expenses) | $1000.00 | $1017.99 | $7.27 | 1.43% |
|  iMGP Alternative Strategies Fund – Investor Hypothetical - (5% return before expenses) | $1000.00 | $1016.68 | $8.59 | 1.69% |
|  iMGP High Income Alternatives Fund – Institutional Actual | $1000.00 | $1010.90 | $5.07 | 1.00% |
|  iMGP High Income Alternatives Fund – Institutional Hypothetical - (5% return before expenses) | $1000.00 | $1020.16 | $5.09 | 1.00% |
|  iMGP Dolan McEniry Corporate Bond Fund – Institutional Actual | $1000.00 | $1010.80 | $3.55 | 0.70% |
|  iMGP Dolan McEniry Corporate Bond Fund – Institutional Hypothetical - (5% return before expenses) | $1000.00 | $1021.67 | $3.57 | 0.70% |
|  iMGP DBi Managed Futures Strategy ETF – Actual | $1000.00 | $974.90 | $4.23 | 0.85% |
|  iMGP DBi Managed Futures Strategy ETF – Hypothetical - (5% return before expenses) | $1000.00 | $1020.92 | $4.33 | 0.85% |
|  iMGP DBi Hedge Strategy ETF – Actual | $1000.00 | $994.70 | $4.27 | 0.85% |
|  iMGP DBi Hedge Strategy ETF – Hypothetical - (5% return before expenses) | $1000.00 | $1020.92 | $4.33 | 0.85% |

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| | |
|:---|:---|
| **120** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)

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| | | | | |
|:---|:---|:---|:---|:---|
| | Beginning<br>Account Value<br>(7/1/22) | Ending<br>Account Value<br>(12/31/22) | Expenses Paid<br>During Period\*<br>(7/1/22 to<br>12/31/22) | Expenses Ratio<br>During Period\*<br>(7/1/22 to<br>12/31/22) |
|  iMGP RBA Responsible Global Allocation ETF – Actual | $1000.00 | $1008.20 | $2.78 | 0.55% |
|  iMGP RBA Responsible Global Allocation ETF – Hypothetical - (5% return before expenses) | $1000.00 | $1022.43 | $2.80 | 0.55% |

---

*\* Expenses are equal to the Funds' annualized expense ratio as indicated, multiplied by the average account value over the period, multiplied by the number of days in most recent fiscal half-year period (184), then divided by the number of days in the fiscal year (365) (to reflect the one-half-year period).* 

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| | |
|:---|:---|
| Expense Examples | **121** |

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##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF ASSETS AND LIABILITIES at December 31, 2022

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Global Select<br>Fund** | **International<br>Fund** | **Oldfield<br>International<br>Value Fund** | **SBH<br>Focused<br>Small<br>Value Fund** |
|  **ASSETS:** | **ASSETS:** | **ASSETS:** | **ASSETS:** | **ASSETS:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities at cost | $115704854 | $193032467 | $30943055 | $42818752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Repurchase agreements at cost | 3942000 | 13958000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investments at cost | $119646854 | $206990467 | $30943055 | $42818752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities at value | $119962384 | $189671039 | $31828075 | $47625314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Repurchase agreements at value | 3942000 | 13958000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investments at value | $123904384 | $203629039 | $31828075 | $47625314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash | 984893 | 13004 | 773485 | 1119117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash, denominated in foreign currency (cost of $382,539, $394, $119,324 and $0, respectively) | 358906 | 391 | 120411 |  |
|  **Receivables:** | **Receivables:** | **Receivables:** | **Receivables:** | **Receivables:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign tax reclaims | 27296 | 2423805 | 70762 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities sold | 1444030 | 139065 | 389015 | 43442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest | 110842 | 30766 | 31441 | 35326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Advisory reimbursement | 125691 |  | 223978 | 93735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund shares sold | 850 | 1050 | 4336 | 3145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Line of credit interest |  | 7783 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prepaid expenses | 9375 | 7025 | 13475 | 8932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Assets | 126966267 | 206251928 | 33454978 | 48929011 |
|  **LIABILITIES:** | **LIABILITIES:** | **LIABILITIES:** | **LIABILITIES:** | **LIABILITIES:** |
|  **Payables:** | **Payables:** | **Payables:** | **Payables:** | **Payables:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Advisory fees | 118726 | 162099 | 136976 | 74703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities purchased | 137887 |  | 110413 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund shares redeemed | 167600 | 119824 | 11675 | 27943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | 589 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustees fees | 2475 | 2475 | 2475 | 2475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 27246 | 33312 | 25474 | 15258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Line of credit | 6500000 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Line of credit interest | 27182 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Compliance Officer fees | 8054 | 8054 | 8054 | 8054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Accrued other expenses | 253813 | 356087 | 117373 | 128607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities | 7243572 | 681851 | 412440 | 257040 |
|  **NET ASSETS** | $119722695 | $205570077 | $33042538 | $48671971 |
|  **Institutional Class:** | **Institutional Class:** | **Institutional Class:** | **Institutional Class:** | **Institutional Class:** |
|  Net Assets | $119722695 | $205570077 | $33042538 | $48671971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of shares issued and outstanding (unlimited number of shares authorized, $0.01 par value) | 11199331 | 13558507 | 3380987 | 3782390 |
|  **Net asset value, offering price and redemption price per share** | $10.69 | $15.16 | $9.77 | $12.87 |
|  **COMPONENTS OF NET ASSETS** | **COMPONENTS OF NET ASSETS** | **COMPONENTS OF NET ASSETS** | **COMPONENTS OF NET ASSETS** | **COMPONENTS OF NET ASSETS** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $117080875 | $256873027 | $33436334 | $45582255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Accumulated distributable earnings (deficit) | 2641820 | (51302950) | (393796) | 3089716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $119722695 | $205570077 | $33042538 | $48671971 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **122** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF ASSETS AND LIABILITIES at December 31, 2022 – (Continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Alternative<br>Strategies<br>Fund<br>(Consolidated)** | **High<br>Income<br>Alternatives<br>Fund** | **Dolan<br>McEniry<br>Corporate<br>Bond Fund** |
|  **ASSETS:** | **ASSETS:** | **ASSETS:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities at cost | $839257055 | $110347119 | $101706716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Repurchase agreements at cost | 247795000 | 1554000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investments at cost | $1087052055 | $111901119 | $101706716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities at value | $726202730 | $100273118 | $93132543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Repurchase agreements at value | 247795000 | 1554000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investments at value | $973997730 | $101827118 | $93132543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash |  | 395312 | 1458436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash, denominated in foreign currency (cost of $288,494, $2,207 and $0, respectively) | 276939 | 1626 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deposits at brokers for securities sold short | 1086626 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deposits at brokers for futures | 8084592 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deposits at brokers for written options | 1521273 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deposits at brokers for swaps | 3005146 | 157931 |  |
|  **Receivables:** | **Receivables:** | **Receivables:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities sold | 32538951 | 1504505 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest | 6374721 | 996675 | 1028264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund shares sold | 6004321 | 180493 | 293549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Variation margin - Centrally Cleared Swaps | 400347 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign tax reclaims | 309798 | 2742 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Receivables | 101143 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividend and interest for swap resets | 78213 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Variation margin - Futures | 311616 | 2788 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net swap premiums paid | 14943 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized gain on forward foreign currency exchange contracts | 281744 | 2616 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized gain on swaps | 1020910 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prepaid expenses | 9385 | 10198 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Assets | 1035418398 | 105082004 | 95912792 |
|  **LIABILITIES:** | **LIABILITIES:** | **LIABILITIES:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written options (premium received, $13,653, $269,150 and $0, respectively) | 12671 | 177155 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities sold short (proceeds, $4,520,194, $0 and $0, respectively) | 4477127 |  |  |
|  **Payables:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Advisory fees | 1016577 | 25741 | 80536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities purchased | 4158320 | 2716782 | 284782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund shares redeemed | 4138513 | 1129001 | 178334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | 1338 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustees fees | 2475 | 2475 | 2475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 152206 | 38742 | 25018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian for overdraft | 935152 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Line of credit |  | 1000000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributions payable |  |  | 56326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Line of credit interest | 36067 | 7339 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividend and interest for swap resets |  | 3912 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Variation margin - Centrally Cleared Swaps |  | 5116 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short dividend | 3186 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Compliance Officer fees | 8054 | 8054 | 8054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized loss on unfunded loan commitment | 45880 | 5701 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized loss on forward foreign currency exchange contracts | 489474 | 1136 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized loss on swaps | 19559 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distribution fees payable for investor class (see Note 4) | 20626 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Accrued other expenses | 1280359 | 199893 | 99366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities | 16797584 | 5321047 | 734891 |
|  **Commitments and Contingencies (See Note 8)** |  |  |  |
|  **NET ASSETS** | $1018620814 | $99760957 | $95177901 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Statements of Assets and Liabilities | **123** |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF ASSETS AND LIABILITIES at December 31, 2022 – (Continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Alternative<br>Strategies<br>Fund<br>(Consolidated)** | **High<br>Income<br>Alternatives<br>Fund** | **Dolan<br>McEniry<br>Corporate<br>Bond Fund** |
|  **Institutional Class:** | **Institutional Class:** | **Institutional Class:** |  |
|  Net Assets | $973218151 | $99760957 | $95177901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of shares issued and outstanding (unlimited number of shares authorized, $0.01 par value) | 94964294 | 10882473 | 9975049 |
|  **Net asset value, offering price and redemption price per share** | $10.25 | $9.16 | $9.54 |
|  **Investor Class:** | **Investor Class:** | **Investor Class:** |  |
|  Net Assets | $45402663 | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of shares issued and outstanding (unlimited number of shares authorized, $0.01 par value) | 4418000 |  |  |
|  **Net asset value, offering price and redemption price per share** | $10.28 | $— | $— |
|  **COMPONENTS OF NET ASSETS** | **COMPONENTS OF NET ASSETS** | **COMPONENTS OF NET ASSETS** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $1176827221 | $111861561 | $105134390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Accumulated distributable earnings (deficit) | (158206407) | (12100604) | (9956489) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $1018620814 | $99760957 | $95177901 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **124** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF ASSETS AND LIABILITIES at December 31, 2022 – (Continued)

---

| | | | |
|:---|:---|:---|:---|
| | **DBi Managed<br>Futures Strategy<br>ETF<br>(Consolidated)** | **DBi Hedge<br>Strategy<br>ETF** | **RBA<br>Responsible<br>Global<br>Allocation<br>ETF** |
|  **ASSETS:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities at cost | $— | $— | $8998864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities at value | $— | $— | $8454079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash | 862192783 | 13689161 | 72553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deposits at brokers for futures | 65582299 | 986689 |  |
|  **Receivables:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund shares sold | 21783825 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest |  |  | 6272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Advisory reimbursement | 27977 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Variation margin - Futures | 2440541 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Assets | 952027425 | 14675850 | 8532904 |
|  **LIABILITIES:** |  |  |  |
|  **Payables:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Advisory fees | 708375 | 5865 | 3634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributions payable |  |  | 79895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Variation margin - Futures |  | 51687 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities | 708375 | 57552 | 83529 |
|  **NET ASSETS** | $951319050 | $14618298 | $8449375 |
|  Net Assets | $951319050 | $14618298 | $8449375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of shares issued and outstanding (unlimited number of shares authorized, $0.01 par value) | 32750000 | 575000 | 950000 |
|  **Net asset value, offering price and redemption price per share** | $29.05 | $25.42 | $8.89 |
|  **COMPONENTS OF NET ASSETS** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $1035172366 | $16072503 | $9190133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Accumulated distributable earnings (deficit) | (83853316) | (1454205) | (740758) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets | $951319050 | $14618298 | $8449375 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Statements of Assets and Liabilities | **125** |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF OPERATIONS For the Year Ended December 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Global Select<br>Fund** | **International<br>Fund** | **Oldfield<br>International<br>Value Fund** | **SBH<br>Focused<br>Small Value<br>Fund** |
|  **INVESTMENT INCOME:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends (net of foreign taxes withheld of $57,859, $622,704, $81,898 and $3,716, respectively) | $2018883 | $4912974 | $658428 | $683231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest | 17988 | 42007 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income | 2036871 | 4954981 | 658428 | 683231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Advisory fees | 2004671 | 2828242 | 178666 | 544007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees | 126660 | 127494 | 41381 | 59950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund accounting fees | 84754 | 74094 | 61201 | 80486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 97077 | 124642 | 34099 | 26748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 55201 | 70844 | 36685 | 19892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustee fees | 89291 | 101331 | 67595 | 71870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custody fees | 52742 | 224235 | 29830 | 14074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reports to shareholders | 75610 | 80419 | 48254 | 42679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Registration expense | 64278 | 65953 | 25241 | 34433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 16659 | 28826 | 6952 | 8372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Insurance expense | 3475 | 4398 |  | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividend & interest expense | 56088 | 29990 | 275 | 655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Compliance Officer fees | 8054 | 8054 | 8054 | 8054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 2734560 | 3768522 | 538233 | 911286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less: fees waived (see Note 3) | (592033) | (571021) | (298310) | (285678) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 2142527 | 3197501 | 239923 | 625608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net investment income (loss)** | (105656) | 1757480 | 418505 | 57623 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments | 33809807 | (32405462) | (1271962) | (1203861) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  | 103704 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | (35166) | (144981) | (47814) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 33774641 | (32446739) | (1319776) | (1203861) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments | (100215954) | (44890615) | (536538) | (7333175) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  | 17619 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | (20135) | (139149) | (2540) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation | (100236089) | (45012145) | (539078) | (7333175) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net realized and unrealized gain (loss) on investments, forward foreign currency exchange contracts, and foreign currency transactions** | (66461448) | (77458884) | (1858854) | (8537036) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net decrease in net assets resulting from operations** | $(66567104) | $(75701404) | $(1440349) | $(8479413) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **126** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF OPERATIONS For the Year Ended December 31, 2022 – (Continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Alternative<br>Strategies<br>Fund<br>(Consolidated)** | **High<br>Income<br>Alternatives<br>Fund** | **Dolan<br>McEniry<br>Corporate<br>Bond Fund** |
|  **INVESTMENT INCOME:** | **INVESTMENT INCOME:** | **INVESTMENT INCOME:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends (net of foreign taxes withheld of $140,631, $0 and $0, respectively) | $5831489 | $261674 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest (net of interest taxes withheld of $0, $958 and $0, respectively) | 53304461 | 5474846 | 2294682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income | 59135950 | 5736520 | 2294682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Advisory fees | 19341511 | 1108172 | 423817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees | 935883 | 82067 | 192080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund accounting fees | 292793 | 104905 | 16346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Administration fees | 515914 | 52198 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 367224 | 57314 | 35555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustee fees | 261127 | 80152 | 73484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custody fees | 466720 | 79786 | 8657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reports to shareholders | 137906 | 6398 | 35750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Registration expense | 208007 | 33149 | 59604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 45701 | 9525 | 12936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Insurance expense | 20011 | 1186 | 2957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividend & interest expense | 465034 | 16276 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Compliance Officer fees | 8054 | 8054 | 8054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distribution fees for investor class (see Note 4) | 153365 |  | 3362<sup>1</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Service fees for investor class (see Note 5) |  |  | 1345<sup>1</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 23219250 | 1639182 | 873947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Less: fees waived (see Note 3) | (3839876) | (483643) | (275958) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 19379374 | 1155539 | 597989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net investment income** | 39756576 | 4580981 | 1696693 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments, excluding purchased options | (51328600) | (1088231) | (1083207) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Purchased options | (979208) | 192837 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short sales | (6985892) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written options | (27556) | (797642) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 2699775 | 50952 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | 82874 | 430 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | 626499 | 33697 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts | 23831467 | 3252 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized (loss) | (32080641) | (1604705) | (1083207) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments, excluding purchased options | (179880170) | (10925962) | (8311480) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Purchased options | (20412) | 7063 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded loan commitment | (45880) | (4060) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short sales | 15761089 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written options | 27504 | (55133) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (40871) | (9346) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | 7340 | 393 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | 1638373 | (42792) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts | 6982856 | (204106) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation | (155570171) | (11233943) | (8311480) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net realized and unrealized gain (loss) on investments, purchased options, unfunded loan commitment, short sales, written options, forward foreign currency exchange contracts, foreign currency transactions, futures and swap contracts** | (187650812) | (12838648) | (9394687) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net decrease in net assets resulting from operations** | $(147894236) | $(8257667) | $(7697994) |

---

<sup>1</sup> Investor Class shares were converted into Institutional Class shares at the close of business on September 30, 2022.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Statements of Operations | **127** |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF OPERATIONS For the Year or Period Ended December 31, 2022 – (Continued)

---

| | | | |
|:---|:---|:---|:---|
| | **DBi Managed<br>Futures<br>Strategy ETF<br>(Consolidated)** | **DBi Hedge<br>Strategy<br>ETF** | **RBA<br>Responsible<br>Global<br>Allocation<br>ETF\*** |
|  **INVESTMENT INCOME:** | **INVESTMENT INCOME:** | **INVESTMENT INCOME:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Income |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends | $— | $— | $156813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest | 559622 | 11215 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income | 559622 | 11215 | 156813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expenses |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Advisory fees | 3889866 | 143237 | 31131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 3889866 | 143237 | 31131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 3889866 | 143237 | 31131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net investment income (loss)** | (3330244) | (132022) | 125682 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  | (202649) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | (27605144) | (717912) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized (loss) | (27605144) | (717912) | (202649) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments | 100 | 28 | (544785) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures | 5214968 | (350044) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation | 5215068 | (350016) | (544785) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net realized and unrealized gain (loss) on investments and futures** | (22390076) | (1067928) | (747434) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net decrease in net assets resulting from operations** | $(25720320) | $(1199950) | $(621752) |

---

\* Commenced operations on January 31, 2022.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **128** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF CHANGES IN NET ASSETS

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Global Select Fund** | **Global Select Fund** | **International Fund** | **International Fund** |
| | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** |
|  **INCREASE (DECREASE) IN NET ASSETS FROM:** |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $(105656) | $(360216) | $1757480 | $12411112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments, forward foreign currency exchange contracts, and foreign currency transactions | 33774641 | 41103031 | (32446739) | 61155939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on investments, forward foreign currency exchange contracts, and foreign currency transactions | (100236089) | 3441796 | (45012145) | (36470753) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations** | (66567104) | 44184611 | (75701404) | 37096298 |
|  **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | (30421651) | (38624889) | (1809650) | (12424454) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (30421651) | (38624889) | (1809650) | (12424454) |
|  **CAPITAL SHARE TRANSACTIONS:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from shares sold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | 730751 | 2539284 | 20977847 | 13412225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | 29224050 | 37117107 | 1035618 | 6892434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | (73982459) | (39403874) | (78648821) | (32002752) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from capital share transactions | (44027658) | 252517 | (56635356) | (11698093) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total increase (decrease) in net assets** | (141016413) | 5812239 | (134146410) | 12973751 |
|  **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Beginning of year | 260739108 | 254926869 | 339716487 | 326742736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **End of year** | $119722695 | $260739108 | $205570077 | $339716487 |
|  **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** |
|  **Institutional Class:** | **Institutional Class:** | **Institutional Class:** | **Institutional Class:** | **Institutional Class:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sold | 49592 | 122929 | 1273140 | 682884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | 2726124 | 2016138 | 67732 | 366814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Redeemed | (5442891) | (1962054) | (5208092) | (1651180) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) from capital share transactions | (2667175) | 177013 | (3867220) | (601482) |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Statements of Changes in Net Assets | **129** |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF CHANGES IN NET ASSETS – (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Oldfield International Value Fund** | **Oldfield International Value Fund** | **SBH Focused Small Value Fund** | **SBH Focused Small Value Fund** |
| | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** |
|  **INCREASE (DECREASE) IN NET ASSETS FROM:** |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $418505 | $478112 | $57623 | $(23126) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments and foreign currency transactions | (1319776) | 280610 | (1203861) | 4226491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on investments and foreign currency transactions | (539078) | 876672 | (7333175) | 5036195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations** | (1440349) | 1635394 | (8479413) | 9239560 |
|  **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings | (430948) | (725262) |  | (1466176) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (83911) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (514859) | (725262) |  | (1466176) |
|  **CAPITAL SHARE TRANSACTIONS:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from shares sold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | 16007366 | 15396369 | 9799979 | 29293557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | 514859 | 725262 |  | 1445114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | (7432977) | (2328101) | (18289002) | (9682753) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from capital share transactions | 9089248 | 13793530 | (8489023) | 21055918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total increase (decrease) in net assets** | 7134040 | 14703662 | (16968436) | 28829302 |
|  **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Beginning of year | 25908498 | 11204836 | 65640407 | 36811105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **End of year** | $33042538 | $25908498 | $48671971 | $65640407 |
|  **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** |
|  **Institutional Class:** | **Institutional Class:** | **Institutional Class:** | **Institutional Class:** | **Institutional Class:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sold | 1853443 | 1295726 | 733141 | 2084723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | 52698 | 63675 |  | 100495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Redeemed | (746819) | (195134) | (1367816) | (664822) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) from capital share transactions | 1159322 | 1164267 | (634675) | 1520396 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **130** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF CHANGES IN NET ASSETS – (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Alternative Strategies Fund** | **Alternative Strategies Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** |
| | **(Consolidated)**<br> **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** |
|  **INCREASE (DECREASE) IN NET ASSETS FROM:** | **INCREASE (DECREASE) IN NET ASSETS FROM:** | **INCREASE (DECREASE) IN NET ASSETS FROM:** | **INCREASE (DECREASE) IN NET ASSETS FROM:** | **INCREASE (DECREASE) IN NET ASSETS FROM:** |
|  **OPERATIONS** | **OPERATIONS** | **OPERATIONS** | **OPERATIONS** | **OPERATIONS** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $39756576 | $36011798 | $4580981 | $2925802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments, short sales, purchased options, written options, forward foreign currency exchange contracts, foreign currency transactions, futures and swap contracts | (32080641) | 54835739 | (1604705) | 4790136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on investments, short sales, unfunded loan commitment, purchased options, written options, forward foreign currency exchange contracts, foreign currency transactions, futures and swap contracts | (155570171) | (35584332) | (11233943) | (1990030) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations** | (147894236) | 55263205 | (8257667) | 5725908 |
|  **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | (45968107) | (88707336) | (5028188) | (5437135) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor Class | (1980781) | (4371661) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (47948888) | (93078997) | (5028188) | (5437135) |
|  **CAPITAL SHARE TRANSACTIONS:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from shares sold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | 327898875 | 427574664 | 41554612 | 33262004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor Class | 12765362 | 21516780 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | 44116559 | 84597628 | 5027687 | 5434225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor Class | 1962992 | 4342782 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | (724216028) | (380769810) | (40194547) | (20193368) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor Class | (36133310) | (22663967) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from capital share transactions | (373605550) | 134598077 | 6387752 | 18502861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total increase (decrease) in net assets** | (569448674) | 96782285 | (6898103) | 18791634 |
|  **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Beginning of year | 1588069488 | 1491287203 | 106659060 | 87867426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **End of year** | $1018620814 | $1588069488 | $99760957 | $106659060 |
|  **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** |
|  **Institutional Class:** | **Institutional Class:** | **Institutional Class:** | **Institutional Class:** | **Institutional Class:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sold | 29691572 | 34873258 | 4232959 | 3200912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | 4179790 | 7125239 | 532822 | 525047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Redeemed | (67531532) | (31138890) | (4270585) | (1943439) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) from capital share transactions | (33660170) | 10859607 | 495196 | 1782520 |
|  **Investor Class:** | **Investor Class:** | **Investor Class:** | **Investor Class:** | **Investor Class:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sold | 1161776 | 1749767 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | 185496 | 364946 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Redeemed | (3344822) | (1851930) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) from capital share transactions | (1997550) | 262783 |  |  |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Statements of Changes in Net Assets | **131** |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF CHANGES IN NET ASSETS – (Continued)

---

| | | |
|:---|:---|:---|
|  | **Dolan McEniry Corporate Bond Fund** | **Dolan McEniry Corporate Bond Fund** |
| | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** |
|  **INCREASE (DECREASE) IN NET ASSETS FROM:** |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $1696693 | $1124445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments | (1083207) | 481350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on investments | (8311480) | (2336313) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net decrease in net assets resulting from operations** | (7697994) | (730518) |
|  **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | (1920973) | (1668015) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor Class | (21557) | (86334) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1942530) | (1754349) |
|  **CAPITAL SHARE TRANSACTIONS:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from shares sold |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | 53791946 | 63003335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class - converted from Investor Class<sup>1</sup> | 1066833 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor Class | 38978<sup>1</sup> | 886894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | 1323481 | 1182792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor Class | 19652<sup>1</sup> | 86334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | (42446089) | (28693722) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor Class | (3958310)<sup>1</sup> | (1269027) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investor Class - converted to Institutional Class<sup>1</sup> | (1066833) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase in net assets from capital share transactions | 8769658 | 35196606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total increase (decrease) in net assets** | (870866) | 32711739 |
|  **NET ASSETS:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Beginning of year | 96048767 | 63337028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **End of year** | $95177901 | $96048767 |
|  **CAPITAL TRANSACTIONS IN SHARES** |  |  |
|  **Institutional Class:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sold | 5513810 | 5825709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sold - shares converted from Investor Class<sup>1</sup> | 114110 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | 135848 | 110295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Redeemed | (4337828) | (2667818) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase from capital share transactions | 1425940 | 3268186 |
|  **Investor Class:<sup>1</sup>** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sold | 3812 | 82305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reinvested distributions | 1967 | 8064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Redeemed | (383748) | (118222) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Redeemed - shares converted to Institutional Class<sup>1</sup> | (114175) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net decrease from capital share transactions | (492144) | (27853) |

---

<sup>1</sup> Investor Class shares were converted into Institutional Class shares at the close of business on September 30, 2022.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **132** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF CHANGES IN NET ASSETS – (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **DBi Managed Futures Strategy<br>ETF (Consolidated)** | **DBi Managed Futures Strategy<br>ETF (Consolidated)** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** |
| | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** | **Year Ended<br>December 31,<br>2022** | **Year Ended<br>December 31,<br>2021** |
|  **INCREASE (DECREASE) IN NET ASSETS FROM:** | **INCREASE (DECREASE) IN NET ASSETS FROM:** | **INCREASE (DECREASE) IN NET ASSETS FROM:** |  |  |
|  **OPERATIONS** | **OPERATIONS** | **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment loss | $(3330244) | $(456166) | $(132022) | $(167562) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on futures | (27605144) | 3609593 | (717912) | 1329824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on investments and futures | 5215068 | (142027) | (350016) | (170928) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations** | (25720320) | 3011400 | (1199950) | 991334 |
|  **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings | (71549725) | (3636131) | (226550) | (3008500) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (367075) | (2722219) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (71916800) | (6358350) | (226550) | (3008500) |
|  **CAPITAL SHARE TRANSACTIONS:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from shares sold | 1148550633 | 39419318 | 10784800 | 8060273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment for shares redeemed | (159973878) | (12146710) | (12000710) | (7302015) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from capital share transactions | 988576755 | 27272608 | (1215910) | 758258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total increase (decrease) in net assets** | 890939635 | 23925658 | (2642410) | (1258908) |
|  **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** | **NET ASSETS:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Beginning of year | 60379415 | 36453757 | 17260708 | 18519616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **End of year** | $951319050 | $60379415 | $14618298 | $17260708 |
|  **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sold | 35400000 | 1400000 | 400000 | 250000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Redeemed | (5025000) | (450000) | (450000) | (225000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) from capital share transactions | 30375000 | 950000 | (50000) | 25000 |

---

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Statements of Changes in Net Assets | **133** |

---

------

##### [**Table of Contents**](#toc)
Litman Gregory Funds Trust

STATEMENTS OF CHANGES IN NET ASSETS – (Continued)

---

| | |
|:---|:---|
|  | **RBA Responsible Global<br>Allocation ETF** |
| | **Period Ended<br>December 31,**<br> **2022\*** |
|  **INCREASE (DECREASE) IN NET ASSETS FROM:** | **INCREASE (DECREASE) IN NET ASSETS FROM:** |
|  **OPERATIONS** | **OPERATIONS** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $125682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized loss on investments | (202649) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on investments | (544785) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net decrease in net assets resulting from operations** | (621752) |
|  **DISTRIBUTIONS TO SHAREHOLDERS** | **DISTRIBUTIONS TO SHAREHOLDERS** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings | (119006) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (119006) |
|  **CAPITAL SHARE TRANSACTIONS:** | **CAPITAL SHARE TRANSACTIONS:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from shares sold | 9190133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase in net assets from capital share transactions | 9190133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total increase in net assets** | 8449375 |
|  **NET ASSETS:** | **NET ASSETS:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Beginning of period |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **End of period** | $8449375 |
|  **CAPITAL TRANSACTIONS IN SHARES** | **CAPITAL TRANSACTIONS IN SHARES** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sold | 950000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Redeemed |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase from capital share transactions | 950000 |

---

\* Commenced operations on January 31, 2022.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **134** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
iMGP Global Select Fund (formerly iMGP Equity Fund) – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
| | **2022** | **2021** | **2020** | **2019** | **2018** |
|  Net asset value, beginning of year | $18.80 | $18.62 | $17.54 | $15.02 | $19.10 |
|  **Income from investment operations:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>1</sup> | (0.01) | (0.03) | (0.05) | 0.08<sup>2</sup> | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments and foreign currency | (4.78) | 3.27 | 3.45 | 4.03 | (1.90) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income (loss) from investment operations | (4.79) | 3.24 | 3.40 | 4.11 | (1.91) |
|  **Less distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income |  |  |  | (0.08) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (3.32) | (3.06) | (2.32) | (1.51) | (2.17) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3.32) | (3.06) | (2.32) | (1.59) | (2.17) |
|  **Net asset value, end of year** | $10.69 | $18.80 | $18.62 | $17.54 | $15.02 |
|  Total return | (25.52)% | 17.75% | 19.52% | 27.55% | (9.91)% |
|  **Ratios/supplemental data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of year (millions) | $119.7 | $260.7 | $254.9 | $286.3 | $259.8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived | 1.50%<sup>4</sup> | 1.29%<sup>5</sup> | 1.35%<sup>5</sup> | 1.35%<sup>4</sup> | 1.29%<sup>3</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived | 1.18%<sup>4,6</sup> | 1.16%<sup>5,6</sup> | 1.23%<sup>5,6</sup> | 1.24%<sup>4,6</sup> | 1.17%<sup>3,6</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income (loss) to average net assets | (0.06)%<sup>4</sup> | (0.13)%<sup>5</sup> | (0.29)%<sup>5</sup> | 0.44%<sup>2,4</sup> | (0.08)%<sup>3</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 108.86% | 27.74% | 56.91% | 25.02%<sup>7</sup> | 41.68%<sup>7</sup> |

---

<sup>1</sup> Calculated based on the average shares outstanding methodology.

<sup>2</sup> Include non-cash distributions amounting to $0.06 per share and 0.33% of average daily net assets. 

<sup>3</sup> Includes Interest & Dividend expense of 0.00% of average net assets. 

<sup>4</sup> Includes Interest & Dividend expense of 0.03% of average net assets. 

<sup>5</sup> Includes Interest & Dividend expense of 0.01% of average net assets. 

<sup>6</sup> Includes the impact of the voluntary waiver of less than 0.01% of average net assets. 

<sup>7</sup> Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Financial Highlights | **135** |

---

------

##### [**Table of Contents**](#toc)
iMGP International Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
| | **2022** | **2021** | **2020** | **2019** | **2018** |
|  Net asset value, beginning of year | $19.50 | $18.12 | $17.65 | $13.94 | $17.73 |
|  **Income from investment operations:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>1</sup> | 0.11 | 0.71<sup>4</sup> | 0.07 | 0.27<sup>3</sup> | 0.30<sup>2</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments and foreign currency | (4.32) | 1.39 | 0.80 | 3.97 | (3.99) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income (loss) from investment operations | (4.21) | 2.10 | 0.87 | 4.24 | (3.69) |
|  **Less distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.13) | (0.72) | (0.40) | (0.53) | (0.10) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.13) | (0.72) | (0.40) | (0.53) | (0.10) |
|  **Net asset value, end of year** | $15.16 | $19.50 | $18.12 | $17.65 | $13.94 |
|  Total return | (21.58)% | 11.75% | 5.02% | 30.45% | (20.80)% |
|  **Ratios/supplemental data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of year (millions) | $205.6 | $339.7 | $326.7 | $401.5 | $368.6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived | 1.47%<sup>5</sup> | 1.28%<sup>6</sup> | 1.39%<sup>5</sup> | 1.36%<sup>5</sup> | 1.33%<sup>5</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived | 1.24%<sup>5,7</sup> | 1.05%<sup>6,7</sup> | 1.15%<sup>5,7</sup> | 1.12%<sup>5,7</sup> | 1.09%<sup>5,7</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income to average net assets | 0.68%<sup>5</sup> | 3.63%<sup>4,6</sup> | 0.49%<sup>5</sup> | 1.65%<sup>3,5</sup> | 1.74%<sup>2,5</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 42.74% | 99.91% | 59.61% | 45.48%<sup>8</sup> | 35.15%<sup>8</sup> |

---

<sup>1</sup> Calculated based on the average shares outstanding methodology.

<sup>2</sup> Include non-cash distributions amounting to $0.05 per share and 0.29% of average daily net assets. 

<sup>3</sup> Include non-cash distributions amounting to $0.10 per share and 0.60% of average daily net assets. 

<sup>4</sup> Include non-cash distributions amounting to $0.68 per share and 3.46% of average daily net assets. 

<sup>5</sup> Includes Interest & Dividend expense of 0.01% of average net assets. 

<sup>6</sup> Includes Interest & Dividend expense of 0.00% of average net assets. 

<sup>7</sup> Includes the impact of the voluntary waiver of less than 0.01% of average net assets. 

<sup>8</sup> Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **136** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
iMGP Oldfield International Value Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each period

---

| | | | |
|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Period Ended<br>December 31,<br>2020\*\*** |
| | **2022** | **2021** | **Period Ended<br>December 31,<br>2020\*\*** |
|  Net asset value, beginning of period | $11.66 | $10.60 | $10.00 |
|  **Income from investment operations:** | **Income from investment operations:** | **Income from investment operations:** | **Income from investment operations:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>1</sup> | 0.17 | 0.26<sup>2</sup> | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments and foreign currency | (1.90) | 1.13 | 0.61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income (loss) from investment operations | (1.73) | 1.39 | 0.60 |
|  **Less distributions:** | **Less distributions:** | **Less distributions:** | **Less distributions:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.11) | (0.22) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.02) | (0.11) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.03) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.16) | (0.33) |  |
|  **Net asset value, end of period** | $9.77 | $11.66 | $10.60 |
|  Total return | (14.89)% | 13.21% | 6.00 |
|  **Ratios/supplemental data:** | **Ratios/supplemental data:** | **Ratios/supplemental data:** | **Ratios/supplemental data:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (millions) | $33.0 | $25.9 | $11.2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived | 2.11%<sup>3</sup> | 1.52%<sup>3</sup> | 5.38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived | 0.94%<sup>3</sup> | 0.94%<sup>3,4</sup> | 0.94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income (loss) to average net assets | 1.64%<sup>3</sup> | 2.15%<sup>2,3</sup> | (0.94) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 34.50% | 16.31% | 2.51 |

---

+ Not annualized.

\* Annualized.

\*\* Commenced operations on November 30, 2020.

<sup>1</sup> Calculated based on the average shares outstanding methodology.

<sup>2</sup> Include non-cash distributions amounting to $0.02 per share and 0.20% of average daily net assets. 

<sup>3</sup> Includes Interest & Dividend expense of 0.00% of average net assets. 

<sup>4</sup> Includes the impact of the voluntary waiver of less than 0.01% of average net assets. 

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Financial Highlights | **137** |

---

------

##### [**Table of Contents**](#toc)
iMGP SBH Focused Small Value Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each period

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Period Ended<br>December 31,<br>2020\*\*** | |
| | **2022** | **2021** | **Period Ended<br>December 31,<br>2020\*\*** | |
|  Net asset value, beginning of period | $14.86 | $12.71 | $10.00 |  |
|  **Income from investment operations:** | **Income from investment operations:** | **Income from investment operations:** | **Income from investment operations:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>1</sup> | 0.01 | (0.01) | 0.01 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments | (2.00) | 2.50 | 2.70 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income (loss) from investment operations | (1.99) | 2.49 | 2.71 |  |
|  **Less distributions:** | **Less distributions:** | **Less distributions:** | **Less distributions:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  | (0.34) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions |  | (0.34) |  |  |
|  **Net asset value, end of period** | $12.87 | $14.86 | $12.71 |  |
|  Total return | (13.39)% | 19.66% | 27.10 | %<sup>+</sup> |
|  **Ratios/supplemental data:** | **Ratios/supplemental data:** | **Ratios/supplemental data:** | **Ratios/supplemental data:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (millions) | $48.7 | $65.6 | $36.8 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived | 1.68%<sup>2</sup> | 1.48%<sup>2</sup> | 2.11 | %\* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived | 1.15%<sup>2</sup> | 1.15%<sup>2,3</sup> | 1.15 | %\* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income (loss) to average net assets | 0.11%<sup>2</sup> | (0.04)%<sup>2</sup> | 0.23 | %\* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 35.50% | 45.15% | 27.18 | %<sup>+</sup> |

---

+ Not annualized.

\* Annualized.

\*\* Commenced operations on July 31, 2020.

<sup>1</sup> Calculated based on the average shares outstanding methodology.

<sup>2</sup> Includes Interest & Dividend expense of 0.00% of average net assets. 

<sup>3</sup> Includes the impact of the voluntary waiver of less than 0.01% of average net assets. 

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **138** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
iMGP Alternative Strategies Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
| | **(Consolidated)**<br> **2022** | **2021** | **2020** | **2019** | **2018** |
|  Net asset value, beginning of year | $11.76 | $12.03 | $11.70 | $11.08 | $11.69 |
|  **Income from investment operations:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>1</sup> | 0.32 | 0.29<sup>3</sup> | 0.30 | 0.31<sup>2</sup> | 0.26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments, foreign currency, short sales, options, futures and swap contracts | (1.42) | 0.16 | 0.41 | 0.64 | (0.51) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income (loss) from investment operations | (1.10) | 0.45 | 0.71 | 0.95 | (0.25) |
|  **Less distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.41) | (0.38) | (0.38) | (0.33) | (0.36) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  | (0.34) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.41) | (0.72) | (0.38) | (0.33) | (0.36) |
|  **Net asset value, end of year** | $10.25 | $11.76 | $12.03 | $11.70 | $11.08 |
|  Total return | (9.49)%<sup>4</sup> | 3.82% | 6.30% | 8.52% | (2.08)% |
|  **Ratios/supplemental data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of year (millions) | $973.2 | $1512.5 | $1417.1 | $1724.2 | $1663.7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived | 1.67%<sup>8</sup> | 1.72%<sup>7</sup> | 1.75%<sup>7</sup> | 1.63%<sup>6</sup> | 1.63%<sup>5</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived | 1.39%<sup>8,9</sup> | 1.44%<sup>7,9</sup> | 1.47%<sup>7,9</sup> | 1.51%<sup>6,9</sup> | 1.53%<sup>5,9</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income to average net assets | 2.89%<sup>8</sup> | 2.36%<sup>3,7</sup> | 2.60%<sup>7</sup> | 2.70%<sup>2,6</sup> | 2.26%<sup>5</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>10</sup> | 89.62% | 137.56% | 193.98% | 190.21% | 197.04% |

---

<sup>1</sup> Calculated based on the average shares outstanding methodology.

<sup>2</sup> Include non-cash distributions amounting to $0.02 per share and 0.20% of average daily net assets. 

<sup>3</sup> Include non-cash distributions amounting to $0.00 per share and 0.00% of average daily net assets. 

<sup>4</sup> The total return does not include the impact of financial statement rounding of the net asset value (NAV) per share and/or financial statement adjustments. 

<sup>5</sup> Includes Interest & Dividend expense of 0.07% of average net assets. 

<sup>6</sup> Includes Interest & Dividend expense of 0.05% of average net assets. 

<sup>7</sup> Includes Interest & Dividend expense of 0.14% of average net assets. 

<sup>8</sup> Includes Interest & Dividend expense of 0.03% of average net assets. 

<sup>9</sup> Includes the impact of the voluntary waiver of less than 0.01% of average net assets. 

<sup>10</sup> Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Consolidated Financial Highlights | **139** |

---

------

##### [**Table of Contents**](#toc)
iMGP Alternative Strategies Fund – Investor Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
| | **(Consolidated)**<br> **2022** | **2021** | **2020** | **2019** | **2018** |
|  Net asset value, beginning of year | $11.79 | $12.06 | $11.71 | $11.10 | $11.70 |
|  **Income from investment operations:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>1</sup> | 0.29 | 0.26<sup>3</sup> | 0.27 | 0.28<sup>2</sup> | 0.23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments, foreign currency, short sales, options, futures and swap contracts | (1.42) | 0.16 | 0.42 | 0.63 | (0.50) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income (loss) from investment operations | (1.13) | 0.42 | 0.69 | 0.91 | (0.27) |
|  **Less distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.38) | (0.35) | (0.34) | (0.30) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  | (0.34) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.38) | (0.69) | (0.34) | (0.30) | (0.33) |
|  **Net asset value, end of year** | $10.28 | $11.79 | $12.06 | $11.71 | $11.10 |
|  Total return | (9.65)% | 3.54% | 6.06% | 8.22% | (2.32)% |
|  **Ratios/supplemental data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of year (millions) | $45.4 | $75.6 | $74.2 | $144.1 | $175.3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived | 1.92%<sup>7</sup> | 1.97%<sup>6</sup> | 1.99%<sup>6</sup> | 1.88%<sup>5</sup> | 1.88%<sup>4</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived | 1.64%<sup>7,8</sup> | 1.69%<sup>6,8</sup> | 1.71%<sup>6,8</sup> | 1.76%<sup>5,8</sup> | 1.78%<sup>4,8</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income to average net assets | 2.64%<sup>7</sup> | 2.11%<sup>3,6</sup> | 2.36%<sup>6</sup> | 2.44%<sup>2,5</sup> | 2.01%<sup>4</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>9</sup> | 89.62% | 137.56% | 193.98% | 190.21% | 197.04% |

---

<sup>1</sup> Calculated based on the average shares outstanding methodology.

<sup>2</sup> Include non-cash distributions amounting to $0.02 per share and 0.20% of average daily net assets. 

<sup>3</sup> Include non-cash distributions amounting to $0.00 per share and 0.00% of average daily net assets. 

<sup>4</sup> Includes Interest & Dividend expense of 0.07% of average net assets. 

<sup>5</sup> Includes Interest & Dividend expense of 0.05% of average net assets. 

<sup>6</sup> Includes Interest & Dividend expense of 0.14% of average net assets. 

<sup>7</sup> Includes Interest & Dividend expense of 0.03% of average net assets. 

<sup>8</sup> Includes the impact of the voluntary waiver of less than 0.01% of average net assets. 

<sup>9</sup> Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **140** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
iMGP High Income Alternatives Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Period Ended<br>December 31,<br>2018\*\*** |
| | **2022** | **2021** | **2020** | **2019** | **Period Ended<br>December 31,<br>2018\*\*** |
|  Net asset value, beginning of year | $10.27 | $10.21 | $10.06 | $9.63 | $10.00 |
|  **Income from investment operations:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>1</sup> | 0.38 | 0.32<sup>2</sup> | 0.37 | 0.36 | 0.07 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized <br>appreciation/depreciation on investments, foreign currency, options, futures and swap contracts | (1.08) | 0.33 | 0.16 | 0.44 | (0.38) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income (loss) from investment operations | (0.70) | 0.65 | 0.53 | 0.80 | (0.31) |
|  **Less distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.38) | (0.34) | (0.37) | (0.33) | (0.06) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.03) | (0.25) | (0.01) | (0.04) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.41) | (0.59) | (0.38) | (0.37) | (0.06) |
|  **Net asset value, end of year** | $9.16 | $10.27 | $10.21 | $10.06 | $9.63 |
|  Total return | (6.85)% | 6.42% | 5.62% | 8.37% | (3.08) |
|  **Ratios/supplemental data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of year (millions) | $99.8 | $106.7 | $87.9 | $93.8 | $77.2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived | 1.41%<sup>5</sup> | 1.44%<sup>5</sup> | 1.72%<sup>4</sup> | 1.39%<sup>3</sup> | 1.34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived | 0.99%<sup>5,6</sup> | 0.98%<sup>5,6</sup> | 1.00%<sup>4,6</sup> | 0.98%<sup>3,6</sup> | 0.98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income to average net assets | 3.93%<sup>5</sup> | 3.11%<sup>2,5</sup> | 3.83%<sup>4</sup> | 3.56%<sup>3</sup> | 2.89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 49.41% | 72.02% | 87.63% | 90.51%<sup>7</sup> | 125.92 |

---

+ Not annualized.

\* Annualized.

\*\* Commenced operations on September 28, 2018.

<sup>1</sup> Calculated based on the average shares outstanding methodology.

<sup>2</sup> Include non-cash distributions amounting to $0.00 per share and 0.01% of average daily net assets. 

<sup>3</sup> Includes Interest & Dividend expense of 0.00% of average net assets. 

<sup>4</sup> Includes Interest & Dividend expense of 0.02% of average net assets. 

<sup>5</sup> Includes Interest & Dividend expense of 0.01% of average net assets. 

<sup>6</sup> Includes the impact of the voluntary waiver of less than 0.01% of average net assets. 

<sup>7</sup> Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Financial Highlights | **141** |

---

------

##### [**Table of Contents**](#toc)
iMGP Dolan McEniry Corporate Bond Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **September 28,<br>2018\*\*<br>through<br>December 31,<br>2018** |
| | **2022** | **2021** | **2020** | **2019** | **September 28,<br>2018\*\*<br>through<br>December 31,<br>2018** |
|  Net asset value, beginning of year | $10.62 | $10.92 | $10.61 | $9.83 | $10.00 |
|  **Income from investment operations:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>1</sup> | 0.20 | 0.14 | 0.22 | 0.30 | 0.09 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments | (1.05) | (0.23) | 0.36 | 0.79 | (0.17) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income (loss) from investment operations | (0.85) | (0.09) | 0.58 | 1.09 | (0.08) |
|  **Less distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.22) | (0.15) | (0.24) | (0.30) | (0.09) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.01) | (0.06) | (0.03) | (0.01) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.23) | (0.21) | (0.27) | (0.31) | (0.09) |
|  **Net asset value, end of year** | $9.54 | $10.62 | $10.92 | $10.61 | $9.83 |
|  Total return | (8.08)% | (0.86)% | 5.50% | 11.25% | (0.77) |
|  **Ratios/supplemental data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of year (thousands) | $95178 | $90827 | $57666 | $13066 | $2099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived | 1.02% | 0.96%<sup>2</sup> | 1.34% | 4.36% | 13.94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived | 0.70% | 0.70%<sup>2</sup> | 0.70% | 0.70% | 0.70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income to average net assets | 2.01% | 1.28%<sup>2</sup> | 2.07% | 2.83% | 3.70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>3</sup> | 26.08% | 32.65% | 40.00% | 16.00% | 0.00 |

---

+ Not annualized.

\* Annualized.

\*\* Commencement of operations for Institutional Shares was September 28, 2018.

<sup>1</sup> Calculated based on the average shares outstanding methodology.

<sup>2</sup> Includes Interest & Dividend expense of 0.02% of average net assets. 

<sup>3</sup> Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **142** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
iMGP DBi Managed Futures Strategy ETF

CONSOLIDATED FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each period

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **May 7,<br>2019\*\*<br>through<br>December 31,<br>2019** |
| | **2022** | **2021** | **2020** | **May 7,<br>2019\*\*<br>through<br>December 31,<br>2019** |
|  Net asset value, beginning of period | $25.42 | $25.58 | $25.34 | $25.00 |
|  **Income from investment operations:** | **Income from investment operations:** | **Income from investment operations:** | **Income from investment operations:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>1</sup> | (0.23) | (0.26) | (0.14) | 0.15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments and futures contracts | 6.11<sup>3</sup> | 2.78 | 0.60 | 2.55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income from investment operations | 5.88 | 2.52 | 0.46 | 2.70 |
|  **Less distributions:** | **Less distributions:** | **Less distributions:** | **Less distributions:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.06) | (0.35) | (0.02) | (0.11) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (1.18) | (1.18) | (0.20) | (2.25) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.01) | (1.15) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (2.25) | (2.68) | (0.22) | (2.36) |
|  **Net asset value, end of period** | $29.05 | $25.42 | $25.58 | $25.34 |
|  **Market price, end of period** | $29.11 | $25.80 | $25.56 | $25.33 |
|  Net asset value total return | 23.07% | 9.80% | 1.84% | 10.76 |
|  Market price total return | 21.53% | 11.38% | 1.79% |  |
|  **Ratios/supplemental data:** | **Ratios/supplemental data:** | **Ratios/supplemental data:** | **Ratios/supplemental data:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (thousands) | $951319 | $60379 | $36454 | $18369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived | 0.85% | 0.95%<sup>2</sup> | 0.85% | 0.85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived | 0.85% | 0.95%<sup>2</sup> | 0.85% | 0.85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income (loss) to average net assets | (0.73)% | (0.93)%<sup>2</sup> | (0.55)% | 0.84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 0.00% | 0.00% | 0.00% | 0.00 |

---

+ Not annualized.

\* Annualized.

\*\* Commencement of operations was May 7, 2019.

<sup>1</sup> Calculated based on the average shares outstanding methodology.

<sup>2</sup> Includes broker interest expense of 0.10% of average net assets. 

<sup>3</sup> The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund. 

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| Consolidated Financial Highlights | **143** |

---

------

##### [**Table of Contents**](#toc)
iMGP DBi Hedge Strategy ETF

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each period

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **December 17,<br>2019\*\*<br>through<br>December 31,<br>2019** |
| | **2022** | **2021** | **2020** | **December 17,<br>2019\*\*<br>through<br>December 31,<br>2019** |
|  Net asset value, beginning of period | $27.62 | $30.87 | $25.00 | $25.00 |
|  **Income from investment operations:** | **Income from investment operations:** | **Income from investment operations:** | **Income from investment operations:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>1</sup> | (0.21) | (0.27) | (0.12) | 0.00 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments and futures contracts | (1.60) | 1.83 | 6.01 | 0.00 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total income (loss) from investment operations | (1.81) | 1.56 | 5.89 | 0.00 |
|  **Less distributions:** | **Less distributions:** | **Less distributions:** | **Less distributions:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.39) |  | (0.02) | (0.00) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  | (4.81) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.39) | (4.81) | (0.02) | (0.00) |
|  **Net asset value, end of period** | $25.42 | $27.62 | $30.87 | $25.00 |
|  **Market price, end of period** | $25.55 | $27.61 | $30.86 | $25.03 |
|  Net asset value total return | (6.51)% | 5.05% | 23.58% | 0.01 |
|  Market price total return | (6.04)% | 4.92% | 23.42% |  |
|  **Ratios/supplemental data:** | **Ratios/supplemental data:** | **Ratios/supplemental data:** | **Ratios/supplemental data:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (thousands) | $14618 | $17261 | $18520 | $16250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived | 0.85% | 0.85% | 0.85% | 0.85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived | 0.85% | 0.85% | 0.85% | 0.85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income (loss) to average net assets | (0.78)% | (0.83)% | (0.47)% | 0.48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 0.00% | 0.00% | 0.00% | 0.00 |

---

+ Not annualized.

\* Annualized.

\*\* Commencement of operations was December 17, 2019.

---

| | |
|:---|:---|
| ^ | Amount represents less than $0.01 per share.  |

---

<sup>1</sup> Calculated based on the average shares outstanding methodology.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **144** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
iMGP RBA Responsible Global Allocation ETF

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout the period

---

| | |
|:---|:---|
| | **Period Ended<br>December 31,<br>2022\*\*** |
|  Net asset value, beginning of period | $10.12 |
|  **Income from investment operations:** | **Income from investment operations:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>1</sup> | 0.18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) and net change in unrealized <br>appreciation/depreciation on investments | (1.28) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total loss from investment operations | (1.10) |
|  **Less distributions:** | **Less distributions:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.13) |
|  **Net asset value, end of period** | $8.89 |
|  **Market price, end of period** | $8.87 |
|  Net asset value total return | (10.88) |
|  Market price total return | (11.13) |
|  **Ratios/supplemental data:** | **Ratios/supplemental data:** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (thousands) | $8449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratios of total expenses to average net assets: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Before fees waived<sup>2</sup> | 0.55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; After fees waived<sup>2</sup> | 0.55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ratio of net investment income to average net assets | 2.21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 58.28 |

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+ Not annualized.

\* Annualized.

\*\* Commenced operations on January 31, 2022.

<sup>1</sup> Calculated based on the average shares outstanding methodology.

<sup>2</sup> The Fund invests in other funds and indirectly bears its proportionate shares of fees and expenses incurred by the underlying funds in which the Fund is invested. This ratio does not include these indirect fees and expenses.

The accompanying notes are an integral part of these financial statements.

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**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS** 

**Note 1 – Organization** 

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Litman Gregory Funds Trust (the "Trust") was organized as a Delaware business trust on August 1, 1996, and is registered under the Investment Company Act of 1940 (the "1940 Act") as an open-end management investment company. Effective August 1, 2011, The Masters' Select Funds Trust changed its name to the Litman Gregory Funds Trust. The Trust consists of ten separate series: iMGP Global Select Fund (formerly iMGP Equity Fund), iMGP International Fund, iMGP Oldfield International Value Fund, iMGP SBH Focused Small Value Fund, iMGP Alternative Strategies Fund, iMGP High Income Alternatives Fund, iMGP Dolan McEniry Corporate Bond Fund, iMGP DBi Managed Futures Strategy ETF, iMGP DBi Hedge Strategy ETF, and iMGP RBA Responsible Global Allocation ETF (commenced operations on January 31, 2022). Each Fund, except for iMGP DBi Managed Futures Strategy ETF and iMGP DBi Hedge Strategy ETF, is diversified.

iMGP Global Select Fund ("Global Select Fund") seeks to increase the value of an investment in the Fund over the long-term by using the combined talents and favorite stock-picking ideas of three highly regarded portfolio managers (each "Managers" or "Sub-Advisors"). The Global Select Fund offers one class of shares: Institutional Class.

iMGP International Fund ("International Fund") seeks to increase the value of an investment in the Fund over the long-term by using the combined talents and favorite stock-picking ideas of three highly regarded international portfolio managers. The International Fund offers one class of shares: Institutional Class.

iMGP Oldfield International Value Fund ("Oldfield International Value Fund") seeks long-term growth of capital; that is, the increase in the value of an investment in the Fund over the long-term by using the talents and favorite stock-picking ideas of an experienced, high quality portfolio manager. The Oldfield International Value Fund offers one class of shares: Institutional Class.

iMGP SBH Focused Small Value Fund ("SBH Focused Small Value Fund") seeks long-term growth of capital; that is, the increase in the value of an investment in the Fund over the long-term by engaging an experienced, high quality portfolio manager with favorite stock-picking ideas that can deliver a portfolio that is prudently diversified in terms of stocks and industries. The SBH Focused Small Value Fund offers one class of shares: Institutional Class.

iMGP Alternative Strategies Fund ("Alternative Strategies Fund") seeks to achieve long-term returns with lower risk and lower volatility than the stock market, and with relatively low correlation to stock and bond market indexes by using the combined talents and favorite stock and bond market indexes-picking ideas of six highly regarded portfolio managers. A portion of the Alternative Strategies Fund's assets may be allocated in a wholly-owned subsidiary of the Alternative Strategies Fund, which is organized under the laws of the Cayman Islands, is advised by that Manager, and will comply with the Alternative Strategies Fund's investment objective and investment policies._The Alternative Strategies Fund offers two classes of shares: Institutional Class and Investor Class shares. The Investor Class shares charge a 0.25% 12b-1 distribution fee to the shareholders of this class (see Note 4).

iMGP High Income Alternatives Fund ("High Income Alternatives Fund") seeks to generate a high level of current income from diverse sources, consistent with capital preservation over time, with capital appreciation a secondary objective, by using the combined talents and favorite stock and bond market indexes-picking ideas of three highly regarded portfolio managers. The High Income Alternatives Fund offers one class of shares: Institutional Class.

iMGP Dolan McEniry Corporate Bond Fund ("Dolan McEniry Corporate Bond Fund") seeks to provide investors with total return, with a secondary investment objective of preserving capital by investing in a diversified portfolio of corporate investment grade bonds, corporate high yield bonds, and U.S. Government and Treasury securities maturing within 10 years or less. The Dolan McEniry Corporate Bond Fund offers one class of shares: Institutional Class. Investor Class shares were converted into Institutional Class shares at the close of business on September 30, 2022.

iMGP DBi Managed Futures Strategy ETF ("DBi Managed Futures Strategy ETF") seeks long term capital appreciation. The DBi Managed Futures Strategy ETF is a non-diversified, actively-managed exchange-traded fund ("ETF") that seeks to achieve its objective by: (i) investing its assets pursuant to a managed futures strategy; (ii) allocating up to 20% of its total assets in its wholly-owned subsidiary, which is organized under the laws of the Cayman Islands, is advised by the sub-advisor, and will comply with the DBi Managed Futures Strategy ETF's investment objective and investment policies; and (iii) investing directly in select debt instruments for cash management and other purposes. Shares of the Fund are listed and traded on the New York Stock Exchange Arca.

iMGP DBi Hedge Strategy ETF ("DBi Hedge Strategy ETF") seeks long-term capital appreciation. The DBi Hedge Strategy ETF is a non-diversified, actively-managed ETF that seeks to achieve its objective by: (i) investing its assets pursuant to an equity hedge strategy and (ii) allocating the remainder of its assets directly in a portfolio of investment grade debt securities to collateralize its derivatives investments, for liquidity purposes, or to enhance yield. Shares of the Fund are listed and traded on the New York Stock Exchange Arca.

iMGP RBA Responsible Global Allocation ETF ("RBA Responsible Global Allocation ETF") seeks long-term capital appreciation. The RBA Responsible Global Allocation ETF is an active-managed ETF that seeks to achieve its objective by investing its assets in a portfolio of exchange-traded vehicles that provide exposure to asset classes in various regions, countries, and sectors around the globe.

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**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

**Note 2 – Significant Accounting Policies** 

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The following is a summary of the significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America ("GAAP").

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| A | *Reference Rate Reform.* In March 2020, the FASB issued ASU 2020-04, *Reference Rate Reform*, which provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions which are affected by reference rate reform if certain criteria are met. Such provisions are elective and apply to all entities as of March 12, 2020 through December 31, 2022, subject to meeting certain criteria, that have transactions that reference the London Interbank Offered Rate ("LIBOR") or another reference rate that are discontinued because of reference rate reform. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. Management expects that the adoption of the guidance will not have a material impact on the Funds' financial statements. In July 2017, the Financial Conduct Authority, the United Kingdom's financial regulatory body, announced that after 2021 it will cease its active encouragement of banks to provide quotations needed to sustain the LIBOR rate, which means that the LIBOR rate may no longer be published after 2021. The elimination of LIBOR, among other "inter-bank offered" reference rates, may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. The U.K. Financial Conduct Authority and the ICE Benchmark Administration have announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. It's possible that a subset of LIBOR settings will be published after these dates on a "synthetic" basis, but any such publications would be considered non-representative of the underlying market. Markets are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Funds. These risks are likely to persist until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted, and market practices become settled. Alternatives to LIBOR have been established or are in development in most major currencies, including the Secured Overnight Financing Rate ("SOFR") that is intended to replace U.S. dollar LIBOR. Management expects that the LIBOR transition will not have a material impact on the Funds' financial statements.  |

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| B | *Accounting Estimates*. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions. These estimates and assumptions affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.  |

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The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services – Investment Companies*.

C *Security Valuation.* The Funds record their investments at fair value. Fair value is defined as 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 valuation techniques used to determine fair value are further described below. Investments in securities and derivatives traded on a national securities exchange are valued at the last reported sales price at the close of regular trading on each day that the exchanges are open for trading. Securities listed on the NASDAQ Global Market, the NASDAQ Global Select Market and the NASDAQ Capital Market are valued using the NASDAQ Official Closing Price. Securities traded on an exchange for which there have been no sales are valued at the mean between the closing bid and asked prices. Debt securities maturing within 60 days or less are valued at amortized cost unless the Valuation Committee determines that amortized cost does not represent fair value. Securities for which market prices are not readily available or if a security's value has materially changed after the close of the security's primary market but before the close of trading on the New York Stock Exchange ("NYSE"), the securities are valued at fair value as determined in good faith by the Managers that selected the security for the Funds' portfolio and the Trust's Valuation Committee in accordance with procedures approved by the Board of Trustees (the "Board"). In determining fair value, the Funds take into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its net asset value may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining the fair value of a security. As a result, different mutual funds could reasonably arrive at a different value for the same security. For securities that do not trade during NYSE hours, fair value determinations are based on analyses of market movements after the close of those securities' primary markets, and include reviews of developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. Pricing services are used to obtain closing market prices and to compute certain fair value adjustments utilizing computerized pricing models. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine. 

Investments in other funds are valued at their respective net asset values as determined by those funds in accordance with the 1940 Act.

Effective September 8, 2022, the Funds are required to comply with new SEC regulations that govern valuation practices and the role of a fund's board with respect to the fair value of the investments of a registered investment company. Rule 2a-5 under the 1940 Act,

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| Notes to Financial Statements | **147** |

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**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

among other things, establishes an updated regulatory framework for registered investment company fair valuation practices. The Funds' Board has designated the Adviser as each Fund's valuation designee to perform fair value functions in accordance with valuation policies and procedures adopted by the Adviser, subject to the Board's oversight. Management expects that the implementation of this rule will not have a material impact on the Funds' financial statements.

Debt securities generally trade in the over-the-counter market rather than on a securities exchange. The Funds' pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at the close of the NYSE on the date that the values of the foreign debt securities are determined. Repurchase agreements are valued at cost, which approximates fair value.

Certain derivatives trade in the over-the-counter market. The Funds' pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds' net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.

The Funds have procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.

D *Consolidation of Subsidiary.* The DBi Managed Futures Strategy ETF may invest up to 20% of its total assets in the iMGP DBi Cayman Managed Futures Subsidiary (the "Subsidiary"). The Subsidiary, which is organized under the laws of the Cayman Islands, is wholly- owned and controlled by the DBi Managed Futures Strategy ETF. The financial statements of the DBi Managed Futures Strategy ETF include the operations of the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The Subsidiary acts as an investment vehicle in order to invest in commodity-linked derivative instruments consistent with the Fund's investment objectives and policies. The DBi Managed Futures Strategy ETF had 17.3% of its total net assets invested in the Subsidiary as of December 31, 2022. 

The Subsidiary is an exempted Cayman Islands investment company and as such is not subject to Cayman Islands taxes at the present time. For U.S. income tax purposes, the Subsidiary is a Controlled Foreign Corporation ("CFC") not subject to U.S. income taxes. As a wholly-owned CFC, however, the Subsidiary's net income and capital gains, if any, will be included each year in the Fund's investment company taxable income.

*Consolidation of Subsidiary.* The Alternative Strategies Fund may invest a portion of its assets from the enhanced trend strategy in the Alternative Strategy Subsidiary (the "Alternative Subsidiary"), which is organized under the laws of the Cayman Islands, is wholly-owned and controlled by the Alternative Strategies Fund and is advised by the Manager that manages the enhanced trend strategy. The financial statements of the Alternatives Strategies Fund include the operations of the Alternative Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The Alternative Subsidiary acts as an investment vehicle in order to invest in commodity-linked derivative instruments consistent with the Fund's investment objectives and policies. The Alternatives Strategies Fund had 0.8% of its total net assets invested in the Alternative Subsidiary as of December 31, 2022.

The Alternative Subsidiary is an exempted Cayman Islands investment company and as such is not subject to Cayman Islands taxes at the present time. For U.S. income tax purposes, the Alternative Subsidiary is a Controlled Foreign Corporation ("CFC") not subject to U.S. income taxes. As a wholly-owned CFC, however, the Alternative Subsidiary's net income and capital gains, if any, will be included each year in the Fund's investment company taxable income.

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| E | *Senior Term Loans.* The Alternative Strategies Fund and the High Income Alternatives Fund may invest in bank debt, which includes interests in loans to companies or their affiliates undertaken to finance a capital restructuring or in connection with recapitalizations, acquisitions, leveraged buyouts, refinancings or other financially leveraged transactions and may include loans which are designed to provide temporary or bridge financing to a borrower pending the sale of identified assets, the arrangement of longer-term loans or the issuance and sale of debt obligations. These loans, which may bear fixed or floating rates, have generally been arranged through private negotiations between a corporate borrower and one or more financial institutions ("Lenders"), including banks. The Alternative  |

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Strategies Fund's and the High Income Alternatives Fund's investments may be in the form of participations in loans ("Participations") or of assignments of all or a portion of loans from third parties ("Assignments").

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| F | *Unfunded Loan Commitments.* The Alternative Strategies Fund and the High Income Alternatives Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower's discretion. These commitments, if any, are disclosed in the Schedules of Investments in Securities.  |

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| G | *Short Sales.* Each Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When each Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. In addition, cash and certain investments in securities may be used to collateralize the securities sold short. Each day the securities sold short transaction is open, the liability to replace the borrowed security is marked to market and an unrealized gain or loss is recorded. While the transaction remains open, the Fund may also incur expenses for any dividends or interest which will be paid to the lender of the securities as well as a fee to borrow the delivered security. During the term of the short sale, the value of the securities pledged as collateral on short sales is required to exceed the value of the securities sold short. A gain, limited to the price at which each Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. Each Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.  |

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| H | *Repurchase Agreements.* Each Fund may enter into repurchase agreements through which the Fund acquires a security (the "underlying security") from a seller, a well-established securities dealer or a bank that is a member of the Federal Reserve System. The bank or securities dealer agrees to repurchase the underlying security at the same price, plus a specified amount of interest, at a later date, generally for a period of less than one week. It is the Trust's policy that its Custodian takes possession of securities as collateral under repurchase agreements and to determine on a daily basis that the value of such securities, including recorded interest, is sufficient to cover the value of the repurchase agreements. The Trust's policy states that the value of the collateral is at least 102% of the value of the repurchase agreement. If the counterparty defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the counterparty of the security, realization of the collateral by a Fund may be delayed or limited. At December 31, 2022, the Funds' ongoing exposure to the economic return on repurchase agreements is shown on the Schedules of Investments in Securities.  |

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I *Reverse repurchase agreements.* The High Income Alternatives Fund may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund's portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are shown on the Schedules of Investments in Securities. Cash received in exchange for securities transferred, if any, under reverse repurchase agreements are reflected as reverse repurchase agreements on the Statements of Assets and Liabilities. 

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| J | *Foreign Currency Translation.* The Funds' records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted at the close of the London Stock Exchange prior to when each Fund's net asset value is next determined. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.  |

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The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments.

Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds' books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency transactions gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.

K *Forward Foreign Currency Exchange Contracts.* The Funds may utilize forward foreign currency exchange contracts
("forward contracts") under which they are obligated to exchange currencies on specified future dates at specified rates, and are subject to foreign exchange rates fluctuations. All contracts are "marked-to-market" daily and any resulting unrealized gains or losses are recorded as unrealized appreciation or depreciation on forward foreign currency exchange contracts. The Funds record
realized gains or losses at the time the forward contract is settled. These gains and losses are reflected on the Statements of Operations as realized gain (loss) on forward foreign currency exchange contracts. Counterparties to these forward
contracts are major U.S. financial institutions (see Note 9).

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| Notes to Financial Statements | **149** |

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**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

L *Commodity Futures Trading Commission ("CFTC") Regulation.* Because of the nature of their investments, the Alternative Strategies Fund, the DBi Managed Futures Strategy ETF and the DBi Hedge Strategy ETF are subject to regulation under the Commodities Exchange Act, as amended (the "CEA"), as a commodity pool and each of the Advisor and Sub-Adviser is subject to regulation under the CEA as a commodity pool operator ("CPO"), as those terms are defined under the CEA. The Advisor and Sub-Adviser are regulated by the CFTC, the National Futures Association and the U.S. Securities and Exchange Commission ("SEC") and are subject to each regulator's disclosure requirements. The CFTC has adopted rules that are intended to harmonize certain CEA disclosure requirements with SEC disclosure requirements. 

M *Futures Contracts.* The Alternative Strategies Fund, the High Income Alternatives Fund, and the DBi Hedge Strategy ETF invest in financial futures contracts primarily for the purpose of hedging their existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. The futures contracts in the DBi Managed Futures Strategy ETF are not designated as hedging instruments. The DBi Managed Futures Strategy ETF employs long and short positions in derivatives, primarily futures contracts, across the broad asset classes of equities, fixed income, currencies and, through the Subsidiary, commodities. Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as variation margin, are made or received by a Fund each day, depending on the daily fluctuations in the fair value of the underlying security. Each Fund recognizes a gain or loss equal to the daily variation margin. If market conditions move unexpectedly, a Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets (see Note 9). 

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| N | *Interest Rate Swaps.* During the year ended December 31, 2022, the Alternative Strategies Fund and the High Income Alternatives Fund invested in interest rate swaps. An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the Over the counter ("OTC") market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member ("DCM"), acting in an agency capacity, and submitted to a central counterparty ("CCP") ("centrally cleared swaps"), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin on the Statements of Assets and Liabilities (see Note 9).  |

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O *Credit Default Swaps.* During the year ended December 31, 2022, the Alternative Strategies Fund and the High
Income Alternatives Fund entered into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate issuers or indexes or to create exposure to corporate issuers
or indexes to which they are not otherwise exposed. In a credit default swap, the protection buyer makes a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to
receive a specified return upon the occurrence of a defined credit event on the reference obligation which may be either a single security or a basket of securities issued by corporate or sovereign issuers. Although contract-specific, credit events
are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation
and the swap's notional amount is recorded as realized gain (for protection written) or loss (for protection sold) in the Statements of Operations. In the case of credit default swaps where a Fund is selling protection, the notional amount
approximates the maximum loss. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin on the Statements of Assets and Liabilities (see Note 9).

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| P | *Total Return Swaps.* During the year ended December 31, 2022, the Alternative Strategies Fund invested in total return swaps. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the "total return" of a defined underlying asset, usually in return for receiving a stream of London Interbank Offered Rate ("LIBOR") based cash flows. A total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. Total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the Statement of Assets and Liabilities. The other leg of the swap, usually LIBOR, is a spread to reflect the non-Statement of Assets and Liabilities nature of the product. No notional amounts are exchanged with total return swaps. The total return receiver assumes the entire economic exposure – that is, both market and credit exposure—to the reference asset. The total return payer – often the owner of the reference obligation – gives up economic exposure to the performance of the reference asset and  |

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in return takes on counterparty credit exposure to the total return receiver in the event of a default or fall in value of the reference asset (see Note 9).

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| Q | *Purchasing Put and Call Options.* Each Fund may purchase covered "put" and "call" options with respect to securities which are otherwise eligible for purchase by a Fund and with respect to various stock indices subject to certain restrictions. Each Fund will engage in trading of such derivative securities primarily for hedging purposes.  |

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If a Fund purchases a put option, a Fund acquires the right to sell the underlying security at a specified price at any time during the term of the option (for "American-style" options) or on the option expiration date (for "European-style" options). Purchasing put options may be used as a portfolio investment strategy when a portfolio manager perceives significant short-term risk but substantial long-term appreciation for the underlying security. The put option acts as an insurance policy, as it protects against significant downward price movement while it allows full participation in any upward movement. If a Fund is holding a stock which it feels has strong fundamentals, but for some reason may be weak in the near term, a Fund may purchase a put option on such security, thereby giving itself the right to sell such security at a certain strike price throughout the term of the option. Consequently, a Fund will exercise the put only if the price of such security falls below the strike price of the put. The difference between the put's strike price and the market price of the underlying security on the date a Fund exercises the put, less transaction costs, will be the amount by which a Fund will be able to hedge against a decline in the underlying security. If during the period of the option the market price for the underlying security remains at or above the put's strike price, the put will expire worthless, representing a loss of the price a Fund paid for the put, plus transaction costs. If the price of the underlying security increases, the profit a Fund realizes on the sale of the security will be reduced by the premium paid for the put option less any amount for which the put may be sold.

If a Fund purchases a call option, it acquires the right to purchase the underlying security at a specified price at any time during the term of the option. The purchase of a call option is a type of insurance policy to hedge against losses that could occur if a Fund has a short position in the underlying security and the security thereafter increases in price. Each Fund will exercise a call option only if the price of the underlying security is above the strike price at the time of exercise. If during the option period the market price for the underlying security remains at or below the strike price of the call option, the option will expire worthless, representing a loss of the price paid for the option, plus transaction costs. If the call option has been purchased to hedge a short position of a Fund in the underlying security and the price of the underlying security thereafter falls, the profit a Fund realizes on the cover of the short position in the security will be reduced by the premium paid for the call option less any amount for which such option may be sold.

Prior to exercise or expiration, an option may be sold when it has remaining value by a purchaser through a "closing sale transaction," which is accomplished by selling an option of the same series as the option previously purchased. Each Fund generally will purchase only those options for which a Manager believes there is an active secondary market to facilitate closing transactions (see Note 9).

*Writing Call Options*. Each Fund may write covered call options. A call option is "covered" if a Fund owns the security underlying the call or has an absolute right to acquire the security without additional cash consideration (or, if additional cash consideration is required, cash or cash equivalents in such amount as are held in a segregated account by the Custodian). The writer of a call option receives a premium and gives the purchaser the right to buy the security underlying the option at the exercise price. The writer has the obligation upon exercise of the option to deliver the underlying security against payment of the exercise price during the option period. If the writer of an exchange-traded option wishes to terminate his obligation, he may effect a "closing purchase transaction." This is accomplished by buying an option of the same series as the option previously written. A writer may not effect a closing purchase transaction after it has been notified of the exercise of an option.

Effecting a closing transaction in the case of a written call option will permit a Fund to write another call option on the underlying security with either a different exercise price, expiration date or both. Also, effecting a closing transaction will permit the cash or proceeds from the concurrent sale of any securities subject to the option to be used for other investments of a Fund. If a Fund desires to sell a particular security from its portfolio on which it has written a call option, it will effect a closing transaction prior to or concurrent with the sale of the security.

Each Fund will realize a gain from a closing transaction if the cost of the closing transaction is less than the premium received from writing the option or if the proceeds from the closing transaction are more than the premium paid to purchase the option. Each Fund will realize a loss from a closing transaction if the cost of the closing transaction is more than the premium received from writing the option or if the proceeds from the closing transaction are less than the premium paid to purchase the option. However, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss to a Fund resulting from the repurchase of a call option is likely to be offset in whole or in part by appreciation of the underlying security owned by a Fund (see Note 9).

*Writing Put Options.* Each Fund may write put options. By writing put options, the Fund takes on the risk of declines in the value of the underlying instrument, including the possibility of a loss up to the entire strike price of each option it sells, but without the corresponding opportunity to benefit from potential increases in the value of the underlying instrument. When the Fund writes a put option, it assumes the risk that it must purchase the underlying instrument at a strike price that may be higher than the market price of

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| Notes to Financial Statements | **151** |

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**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

the instrument. If there is a broad market decline and the Fund is able to close out its written put options, it may result in substantial losses to the Fund (see Note 9).

*Risks of Investing in Options.* There are several risks associated with transactions in options on securities. Options may be more volatile than the underlying instruments and, therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. There are also significant differences between the securities and options markets that could result in an imperfect correlation between these markets, causing a given transaction not to achieve its objective. In addition, a liquid secondary market for particular options may be absent for reasons which include the following: there may be insufficient trading interest in certain options; restrictions may be imposed by an exchange on opening transactions or closing transactions or both; trading halts, suspensions or other restrictions may be imposed with respect to particular classes or series of option of underlying securities; unusual or unforeseen circumstances may interrupt normal operations on an exchange; the facilities of an exchange or clearing corporation may not at all times be adequate to handle current trading volume; or one or more exchanges could, for economic or other reasons, decide or be compelled at some future date to discontinue the trading of options (or a particular class or series of options), in which event the secondary market on that exchange (or in that class or series of options) would cease to exist, although outstanding options that had been issued by a clearing corporation as a result of trades on that exchange would continue to be exercisable in accordance with their terms.

A decision as to whether, when and how to use options involves the exercise of skill and judgment, and even a well-conceived transaction may be unsuccessful to some degree because of market behavior or unexpected events. The extent to which a Fund may enter into options transactions may be limited by the requirements of the Internal Revenue Code of 1986, as amended (the "Code"), with respect to qualification of a Fund as a regulated investment company.

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|:---|:---|
| R | *Distributions to Shareholders.* Distributions paid to shareholders are recorded on the ex-dividend date. Net realized gains from securities transactions (if any) are generally distributed annually to shareholders. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles. To the extent these "book/tax" differences are permanent in nature (i.e., that they result from other than timing of recognition – "temporary differences"), such amounts are reclassified within the capital accounts based on their federal tax-basis.  |

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|:---|:---|
| S | *Income Taxes.* The Funds intend to comply with the requirements of Subchapter M of the Code applicable to regulated investment companies and to distribute all of their taxable income to their shareholders. Accordingly, no provisions for federal income taxes are required. The Funds have reviewed the tax positions, taken on federal income tax returns, for each of the three open tax years (as applicable) and as of December 31, 2022, and have determined that no provision for income tax is required in the Funds' financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expenses in the Statements of Operations. During the year ended December 31, 2022, the Funds did not incur any interest or penalties. Foreign securities held by the Funds may be subject to foreign taxation on dividend and interest income received. Foreign taxes, if any, net of any reclaims, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Funds' invest.  |

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Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the year ended December 31, 2022, if any, are reflected as part of net realized gain (loss) in the Statements of Operations.

Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

The Funds may have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund's net asset value and are reflected as foreign tax reclaims receivable in the Statements of Assets and Liabilities. In certain circumstances, a Fund's receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

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| T | *Security Transactions, Dividend and Interest Income and Expenses.* Security transactions are accounted for on the trade date. Realized gains and losses on securities transactions are reported on an identified cost basis. Dividend income and, where applicable, related foreign tax withholding expenses are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Purchase discounts and premiums on fixed-income securities are accreted and amortized to maturity using the effective interest method and  |

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reflected within interest income on the Statements of Operations. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Many expenses of the Trust can be directly attributed to a specific Fund. Each Fund is charged for expenses directly attributed to it. Expenses that cannot be directly attributed to a specific Fund are allocated among the Funds in the Trust in proportion to their respective net assets or other appropriate method. Realized and unrealized gains and losses and net investment income, not including class specific expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class. Differences in per share distributions by class are generally due to differences in class specific expenses. Class specific expenses, such as 12b-1 expenses, are directly attributed to that specific class.

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|:---|:---|
| U | *Restricted Cash.* At December 31, 2022, the Alternative Strategies Fund, the High Income Alternatives Fund, the DBi Managed Futures Strategy ETF, and the DBi Hedge Strategy ETF held restricted cash in connection with investments in certain derivative securities. Restricted cash is held in a segregated account with the Funds' Custodian as well as with brokers and is reflected in the Statements of Assets and Liabilities as deposits at brokers for securities sold short, futures, options, and swaps. Restrictions may include legally restricted deposits held as compensating balances against short-term borrowing arrangements or contracts entered into with others.  |

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The Funds consider their investment in an Federal Deposits Insurance Corporation ("FDIC") insured interest bearing savings account to be cash. The Funds maintain cash balances, which, at times, may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution.

V *Restricted Securities.* A restricted security cannot be resold to the general public without prior registration under the Securities Act of 1933. If the security is subsequently registered and resold, the issuers would typically bear the expense of all registrations at no cost to the Fund. Restricted securities are valued according to the guidelines and procedures adopted by the Funds' Board of Trustees. As of December 31, 2022, there were no restricted securities held in the Funds. 

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|:---|:---|
| W | *Illiquid Securities.* Each Fund may not invest more than 15% of the value of its net assets in illiquid securities, including restricted securities that are not deemed to be liquid by the Sub-Advisors. The Advisor and the Sub-Advisors will monitor the amount of illiquid securities in a Fund's portfolio, under the supervision of the Board, to ensure compliance with a Fund's investment restrictions. In accordance with procedures approved by the Board, these securities may be valued using techniques other than market quotations, and the values established for these securities may be different than what would be produced through the use of another methodology or if they had been priced using market quotations. Illiquid securities and other portfolio securities that are valued using techniques other than market quotations, including "fair valued" securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time, and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.  |

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X *Indemnification Obligations.* Under the Trust's organizational documents, its current and former officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred or that would be covered by other parties. 

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| Notes to Financial Statements | **153** |

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**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

**Note 3 – Investment Advisory and Other Agreements** 

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The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement (the "Agreement") with Litman Gregory Fund Advisors, LLC. Effective October 1, 2021, Litman Gregory Fund Advisors, LLC has changed its name to iM Global Partner Fund Management, LLC (the "Advisor") and also subsequently referred to as "iM Global". Under the terms of the Agreement, each Fund pays a monthly investment advisory fee to the Advisor at the annual rate below of the respective Fund's average daily net assets before any fee waivers:

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| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Contractual Management Rate** | **Contractual Management Rate** | **Contractual Management Rate** | **Contractual Management Rate** | **Contractual Management Rate** | **Contractual Management Rate** | **Contractual Management Rate** | **Contractual Management Rate** | **Contractual Management Rate** | **Contractual Management Rate** | **Contractual Management Rate** |
| <br>**Fund** | **First<br>$450<br>million** | **Excess<br>of<br>$450<br>million** | **First<br>$750<br>million** | **Excess<br>of<br>$750<br>million** | **First<br>$1<br>billion** | **Excess<br>of<br>$1<br>billion** | **Between<br>$1 and<br>$2<br>billion** | **First<br>$2<br>billion** | **Between<br>$2 and<br>$3<br>billion** | **Between<br>$3 and<br>$4<br>billion** | **Excess<br>of<br>$4<br>billion** |
|  Global Select |  |  | 1.10% | 1.00% |  |  |  |  |  |  |  |
|  International |  |  |  |  | 1.10% | 1.00% |  |  |  |  |  |
|  Oldfield International Value |  |  |  |  | 0.70% | 0.70% |  |  |  |  |  |
|  SBH Focused Small Value | 1.00% | 1.00% |  |  |  |  |  |  |  |  |  |
|  Alternative Strategies |  |  |  |  |  |  |  | 1.40% | 1.30% | 1.25% | 1.20% |
|  High Income Alternatives |  |  |  |  | 0.95% |  | 0.925% |  | 0.90% | 0.875% | 0.85% |
|  Dolan McEniry Corporate Bond | 0.50% | 0.50% |  |  |  |  |  |  |  |  |  |
|  DBi Managed Futures Strategy ETF | 0.85% | 0.85% |  |  |  |  |  |  |  |  |  |
|  DBi Hedge Strategy ETF | 0.85% | 0.85% |  |  |  |  |  |  |  |  |  |
|  RBA Responsible Global Allocation ETF | 0.55% | 0.55% |  |  |  |  |  |  |  |  |  |

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The Advisor engages sub-advisors to manage the Funds and pays the sub-advisors from its advisory fees.

Through April 30, 2024, the Advisor has contractually agreed to waive a portion of its advisory fees effectively reducing total advisory fees to approximately 0.92% of the average daily net assets of the Global Select Fund, 0.88% of the average daily net assets of the International Fund, 1.12% of the average daily net assets of the Alternative Strategies Fund, and 0.79% of the average daily net assets of the High Income Alternatives Fund. Additionally, the Advisor has voluntarily agreed to waive its management fee on the daily cash values of the Funds not allocated to Managers. For the year ended December 31, 2022, the amount waived, contractual and voluntary, was $323,053, $571,021, $3,839,876, and $185,599 for Global Select Fund, International Fund, Alternative Strategies Fund, and High Income Alternatives Fund, respectively. The Advisor has agreed not to seek recoupment of such waived fees. Through April 30, 2024, the Advisor has contractually agreed to waive a portion of its advisory fees and/or reimburse a portion of the Global Select Fund (effective August 1, 2022), and the High Income Alternatives Fund's operating expenses (excluding any taxes, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, borrowing costs, (including commitment fees), dividend expenses, acquired fund fees and expenses and extraordinary expenses such as but not limited to litigation costs) to ensure that the total annual fund operating expenses after fee waiver and/or expense reimbursement for the Institutional Class will not exceed 0.98%, and 0.98% of the average daily net assets, respectively. In addition, through April 30, 2024, the Advisor has contractually agreed to waive a portion of its advisory fees and/or reimburse a portion of the Oldfield International Value Fund, the SBH Focused Small Value Fund and the Dolan McEniry Corporate Bond Fund's operating expenses (excluding any taxes, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, borrowing costs, (including commitment fees), dividend expenses, acquired fund fees and expenses and extraordinary expenses such as but not limited to litigation costs) to ensure that the total annual fund operating expenses after fee waiver and/or expense reimbursement for the Institutional Class will not exceed 0.94%, 1.15%, and 0.70% of the average daily net assets, respectively, and 1.05% of the average daily net assets for the Investor Class of the Dolan McEniry Corporate Bond Fund. During the year ended December 31, 2022, the amount waived contractually pursuant to an Expense Limitation Agreement was $268,980, $298,044, $298,310, $285,678, and $275,958 for the Global Select Fund, High Income Alternatives Fund, Oldfield International Value Fund, SBH Focused Small Value Fund, and Dolan McEniry Corporate Bond Fund, respectively. The Advisor may be reimbursed by each Fund no later than the end of the third fiscal year following the year of the waiver provided that such reimbursement does not cause each Fund's expenses to exceed the expense limitation. The Advisor is waiving its right to recoup these fees and any fees waived in prior years.

State Street Bank and Trust Company ("State Street") serves as the Administrator, Custodian and Fund Accountant to the Funds.

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State Street also serves as the Transfer Agent for DBi Managed Futures Strategy ETF, DBi Hedge Strategy ETF, and RBA Responsible Global Allocation ETF. DST Asset Manager Solutions, Inc. ("DST") serves as Transfer Agent for the other Funds. The Funds' principal underwriter is ALPS Distributors, Inc.

An employee of the Advisor serves as the Funds' Chief Compliance Officer ("CCO"). The CCO receives no compensation from the Funds for his services, however, the Funds reimbursed the Advisor $80,540 for the year ended December 31, 2022 for the services of the CCO.

Loomis Sayles & Company, L.P. used their respective affiliated entity for purchases and sales of the Alternative Strategies Fund's portfolio securities for the year ended December 31, 2022. There was no commissions paid for these transactions.

During the year ended December 31, 2022, each independent Trustee, within the meaning of the 1940 Act, was compensated by the Trust in the amount of $135,923.

Certain officers and Trustees of the Trust are also officers of the Advisor.

**Note 4 – Distribution Plan** 

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Certain Funds have adopted a Plan of Distribution (the "Plan") dated February 25, 2009, as amended, pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Investor Classes of the Alternative Strategies Fund and the Dolan McEniry Corporate Bond Fund will compensate broker dealers or qualified institutions with whom each Fund has entered into a contract to distribute Fund shares ("Dealers"). Under the Plan, the amount of such compensation paid in any one year shall not exceed 0.25% annually of the average daily net assets of the Investor Classes, which may be payable as a service fee for providing recordkeeping, subaccounting, subtransfer agency and/or shareholder liaison services. Investor Class shares of Dolan McEniry Corporate Bond Fund were converted into Institutional Class shares of Dolan McEniry Corporate Bond Fund at the close of business on September 30, 2022.

For the year ended December 31, 2022, the Alternative Strategies Fund's Investor Class and the Dolan McEniry Corporate Bond Fund's Investor Class incurred $153,365, and $3,362, respectively pursuant to the Plan.

The Plan will remain in effect from year to year provided such continuance is approved at least annually by a vote either of a majority of the Trustees, including a majority of the non-interested Trustees, or a majority of each Fund's outstanding shares.

The DBi Hedge Strategy ETF, DBi Managed Futures Strategy ETF, and RBA Responsible Global Allocation ETF issue and redeem Shares at Net Asset Value ("NAV") only in Creation Units. Only Authorized Participants ("APs") may acquire Shares directly from the Funds, and only APs may tender their Shares for redemption directly to the Funds, at NAV. APs must be a member or participant of a clearing agency registered with the SEC and must execute a Participant Agreement that has been agreed to by the Distributor, and that has been accepted by the Transfer Agent, with respect to purchases and redemptions of Creation Units. Once created, Shares trade in the secondary market in quantities less than a Creation Unit.

Individual Shares may be purchased and sold only on a national securities exchange through brokers. Shares will be listed for trading on NYSE Arca and because the Shares will trade at market prices rather than NAV, Shares may trade at prices greater than NAV (at a premium), at NAV, or less than NAV (at a discount).

**Note 5 – Shareholder Servicing Fee** 

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The Dolan McEniry Corporate Bond Fund has adopted a shareholder servicing plan (the "Plan") on behalf of the Investor Class. Under the Plan, the Investor Class is authorized to pay an annual shareholder servicing fee of up to 0.10% of the class's average daily net assets. This fee is used to finance certain activities related to servicing and maintaining shareholder accounts. Payments made under the Plan may not be used to pay for any services in connection with the distribution and sale of Investor Shares. Investor Class shares were converted into Institutional Class shares at the close of business on September 30, 2022.

Payments to the Advisor under the Plan may reimburse the Advisor for payments it makes to selected brokers, dealers and administrators which have entered into service agreements with the Advisor for services provided to Investor Class shareholders of the Fund. The services provided by such intermediaries are primarily designed to assist Investor Class shareholders of the Fund and include the furnishing of office space and equipment, telephone facilities, personnel, and assistance to the Fund in servicing such shareholders. Services provided by such intermediaries also include the provision of support services to the Fund and include establishing and maintaining shareholders' accounts and record processing, purchase and redemption transactions, answering routine client inquiries regarding the Fund, and providing such other personal services to shareholders as the Fund may reasonably request. For the year ended December 31, 2022, the Fund incurred, under the Plan, shareholder servicing fees on its Investor Shares of $1,345.

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| Notes to Financial Statements | **155** |

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**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

**Note 6 – Investment Transactions** 

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The cost of securities purchased and the proceeds from securities sold for the year ended December 31, 2022, excluding short-term investments were as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **U.S. Gov't<br>Securities<br>Purchases** | **Other<br>Purchases** | **U.S. Gov't<br>Securities<br>Sales** | **Other Sales** |
|  Global Select Fund | $— | $189239121 | $— | $270754579 |
|  International Fund |  | 105038724 |  | 169413463 |
|  Oldfield International Value Fund |  | 16575013 |  | 8529601 |
|  SBH Focused Small Value Fund |  | 18508602 |  | 25515409 |
|  Alternative Strategies Fund | 34438234 | 997754214 | 35583579 | 1496883260 |
|  High Income Alternatives Fund | 34126199 | 31102748 | 33803687 | 21445833 |
|  Dolan McEniry Corporate Bond Fund |  | 28118449 | 1526545 | 20017984 |
|  DBi Managed Futures Strategy ETF |  |  |  |  |
|  DBi Hedge Strategy ETF |  |  |  |  |
|  RBA Responsible Global Allocation ETF |  | 12599296 |  | 3397192 |

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During the year ended December 31, 2022, there were several purchases transactions made in accordance with the established procedures pursuant to Rule 17a-7 (the exemption of certain purchase or sale transactions between an investment company and certain affiliated persons thereof), arranged by Guggenheim Partners Investment Management, LLC, on behalf of the High Income Alternatives Fund. The total of such purchase transactions were $1,870,424.

**Note 7 – Fair Value of Financial Investments** 

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The Funds follow a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Funds' own market assumptions (unobservable inputs). These inputs are used in determining the value of each Fund's investments and are summarized in the following fair value hierarchy:

Level 1 – Quoted prices in active markets for identical securities.

Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, foreign exchange rates, and fair value estimates for foreign securities indices).

Level 3 – Significant unobservable inputs (including the Funds' own assumptions in determining fair value of investments).

Effective September 8, 2022, the Funds are required to comply with new SEC regulations that govern valuation practices and the role of a fund's board with respect to the fair value of the investments of a registered investment company. Rule 2a-5 under the 1940 Act, among other things, establishes an updated regulatory framework for registered investment company fair valuation practices. The Funds' Board has designated the Adviser as each Fund's valuation designee to perform fair value functions in accordance with valuation policies and procedures adopted by the Adviser, subject to the Board's oversight. Management expects that the implementation of this rule will not have a material impact on the Funds' financial statements.

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, U.S. Treasury inflation protected securities, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services or sources. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The service providers' internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis are typically marked to market daily until settlement at the forward settlement date.

Mortgage and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, estimated cash flows and market-based yield spreads for each tranche, current market data and incorporates deal collateral performance, as available.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or "IO" and/or high coupon rate with relatively low principal amount, or "IOette"), and the other that receives substantially all principal payments (principal-only, or "PO") from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO;

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as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.

Mortgage and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Repurchase agreements and reverse repurchase agreements are short-term investments, they are fair valued approximately at their principal amounts. Repurchase agreements and reverse repurchase agreements are categorized as Level 2 of the fair value hierarchy.

Financial derivative instruments, such as forward foreign currency contracts, options contracts, futures, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers at the settlement price determined by the relevant exchange. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 1 or Level 2 of the fair value hierarchy.

The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for each Fund as of December 31, 2022. These assets and liabilities are measured on a recurring basis.

**Global Select Fund** 

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| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1 -<br>Quoted prices in<br>active markets for<br>identical assets** | **Level 2 -<br>Significant other<br>observable<br>inputs** | **Level 3 -<br>Significant<br>unobservable<br>inputs** | **Total** |
|  Equity<sup>(a)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $117002473 | $— | $— | $117002473 |
| &nbsp;&nbsp;&nbsp;&nbsp; Preferred Stock | 2959911 |  |  | 2959911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Equity | 119962384 |  |  | 119962384 |
|  Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Repurchase Agreements |  | 3942000 |  | 3942000 |
|  Total Investments in Securities | $119962384 | $3942000 | $— | $123904384 |

---

<sup>(a)</sup> See Fund's Schedule of Investments in Securities for sector classifications.

---

| | |
|:---|:---|
| Notes to Financial Statements | **157** |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

**International Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1 -<br>Quoted prices in<br>active markets for<br>identical assets** | **Level 2 -<br>Significant other<br>observable<br>inputs** | **Level 3 -<br>Significant<br>unobservable<br>inputs** | **Total** |
|  Equity |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentina | $1863421 | $— | $— | $1863421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australia | 1809266 |  |  | 1809266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canada | 5981016 |  |  | 5981016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; China | 3500598 |  |  | 3500598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Denmark | 7845374 |  |  | 7845374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Finland | 6918782 |  |  | 6918782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; France | 15502502 |  |  | 15502502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Germany | 48188584 |  |  | 48188584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ireland | 17754736 |  |  | 17754736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Israel | 7062808 |  |  | 7062808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 11003660 |  |  | 11003660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Portugal | 5301612 |  |  | 5301612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; South Korea | 4319237 |  |  | 4319237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spain | 5195127 |  |  | 5195127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sweden | 5083288 |  |  | 5083288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 2966321 |  |  | 2966321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 26306294 |  |  | 26306294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United States | 13068413 |  |  | 13068413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Equity | 189671039 |  |  | 189671039 |
|  Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Repurchase Agreements |  | 13958000 |  | 13958000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Short-Term Investments |  | 13958000 |  | 13958000 |
|  Total Investments in Securities | $189671039 | $13958000 | $— | $203629039 |

---

**Oldfield International Value Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1 -<br>Quoted prices in<br>active markets for<br>identical assets** | **Level 2 -<br>Significant other<br>observable<br>inputs** | **Level 3 -<br>Significant<br>unobservable<br>inputs** | **Total** |
|  Equity |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Brazil | $1242741 | $— | $— | $1242741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; China | 1559071 |  |  | 1559071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; France | 1606045 |  |  | 1606045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Germany | 6856533 |  |  | 6856533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Italy | 1591551 |  |  | 1591551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japan | 4553262 |  |  | 4553262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 1548660 |  |  | 1548660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; South Korea | 4248600 |  |  | 4248600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sweden | 1377935 |  |  | 1377935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 5914995 |  |  | 5914995 |
| &nbsp;&nbsp;&nbsp;&nbsp; Preferred Stock |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Germany | 1328682 |  |  | 1328682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Equity | 31828075 |  |  | 31828075 |
|  Total Investments in Securities | $31828075 | $— | $— | $31828075 |

---

---

| | |
|:---|:---|
| **158** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

**SBH Focused Small Value Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1 -<br>Quoted prices in<br>active markets for<br>identical assets** | **Level 2 -<br>Significant other<br>observable<br>inputs** | **Level 3 -<br>Significant<br>unobservable<br>inputs** | **Total** |
|  Equity<sup>(a)</sup>  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $47625314 | $— | $— | $47625314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Equity | 47625314 |  |  | 47625314 |
|  Total Investments in Securities | $47625314 | $— | $— | $47625314 |

---

<sup>(a)</sup> See Fund's Schedule of Investments in Securities for sector classifications.

**Alternative Strategies Fund (Consolidated)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Level 1 -<br>Quoted prices in<br>active markets for<br>identical assets** | **Level 2 -<br>Significant other<br>observable<br>inputs** | **Level 3 -<br>Significant<br>unobservable<br>inputs** | | **Total** |
|  Equity<sup>(a)</sup>  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $218213340 | $381548 | $1565858 | \*\* | $220160746 |
| &nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks | 233939 | 925465 | 217518 | \*\* | 1376922 |
| &nbsp;&nbsp;&nbsp;&nbsp; Limited Partnerships |  |  | 1751765 | \*\* | 1751765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Equity | 218447279 | 1307013 | 3535141 | \*\* | 223289433 |
|  Rights/Warrants | 48657 | 12312 |  |  | 60969 |
|  Fixed Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 90957359 |  |  | 90957359 |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans |  | 14968226 | 8358 | \*\* | 14976584 |
| &nbsp;&nbsp;&nbsp;&nbsp; Convertible Bonds |  | 14509142 |  |  | 14509142 |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 216480827 |  |  | 216480827 |
| &nbsp;&nbsp;&nbsp;&nbsp; Government Securities & Agency Issue |  | 14775639 |  |  | 14775639 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mortgage-Backed Securities |  | 123832276 | 482974 | <sup>(1)</sup> | 124315250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Fixed Income |  | 475523469 | 491332 | \*\* | 476014801 |
|  Short-Term Investments |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Repurchase Agreements |  | 247795000 |  |  | 247795000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Treasury Bills |  | 26727619 |  |  | 26727619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Short-Term Investments |  | 274522619 |  |  | 274522619 |
|  Purchased Options | 109908 |  |  |  | 109908 |
|  Total Investments in Securities in Assets | $218605844 | $751365413 | $4026473 | \*\* | $973997730 |
|  Short Sales |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | (4477127) |  |  |  | (4477127) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Short Sales | (4477127) |  |  |  | (4477127) |
|  Total Investments in Securities in Liabilities | $(4477127) | $— | $— |  | $(4477127) |
|  Unfunded Loan Commitments | $— | $(45880) | $— |  | $(45880) |
|  Other Financial Instruments\* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Exchange Contracts | $(207730) | $— | $— |  | $(207730) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures | 968054 |  |  |  | 968054 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps - Credit Default |  | 3235741 |  |  | 3235741 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps - Total Return |  | 1020910 |  |  | 1020910 |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options | (12671) |  |  |  | (12671) |

---

<sup>(a)</sup> See Fund's Schedule of Investments in Securities for sector classifications.

---

| | |
|:---|:---|
| Notes to Financial Statements | **159** |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

\* Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. 

\*\* Significant unobservable inputs were used in determining the value of portfolio securities for the Alternative Strategies Fund .

<sup>(1)</sup> These securities were priced by a pricing service; however, the Advisor/Sub-Advisor used their fair value procedures based on other available inputs which more accurately reflected the current fair value of these securities.

**High Income Alternatives Fund** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Level 1 -<br>Quoted prices in<br>active markets for<br>identical assets** | **Level 2 -<br>Significant other<br>observable<br>inputs** | **Level 3 -<br>Significant<br>unobservable<br>inputs** | | **Total** |
|  Equity<sup>(a)</sup>  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $— | $365 | $— |  | $365 |
| &nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks | 2649795 | 426912 |  |  | 3076707 |
| &nbsp;&nbsp;&nbsp;&nbsp; Closed-End Funds | 378185 |  |  |  | 378185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Equity | 3027980 | 427277 |  |  | 3455257 |
|  Fixed Income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 16341454 |  |  | 16341454 |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans |  | 23762438 |  |  | 23762438 |
| &nbsp;&nbsp;&nbsp;&nbsp; Convertible Bonds |  | 112830 |  |  | 112830 |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 32269403 | 165951 | \*\* | 32435354 |
| &nbsp;&nbsp;&nbsp;&nbsp; Government Securities & Agency Issue |  | 18215577 |  |  | 18215577 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mortgage-Backed Securities |  | 5510379 |  |  | 5510379 |
| &nbsp;&nbsp;&nbsp;&nbsp; Municipal Bond |  | 4677 |  |  | 4677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Fixed Income |  | 96216758 | 165951 | \*\* | 96382709 |
|  Short-Term Investments |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 326334 |  |  |  | 326334 |
| &nbsp;&nbsp;&nbsp;&nbsp; Repurchase Agreements |  | 1554000 |  |  | 1554000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Treasury Bills |  | 74264 |  |  | 74264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Short-Term Investments | 326334 | 1628264 |  |  | 1954598 |
|  Purchased Options |  | 34554 |  |  | 34554 |
|  Total Investments in Securities in Assets | $3354314 | $98306853 | $165951 | \*\* | $101827118 |
|  Unfunded Loan Commitments | $— | $(5701) | $— |  | $(5701) |
|  Other Financial Instruments\* |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Exchange Contracts | $1480 | $— | $— |  | $1480 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures | (51181) |  |  |  | (51181) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps - Interest Rate |  | (201636) |  |  | (201636) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps - Credit Default |  | (2470) |  |  | (2470) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options | (177155) |  |  |  | (177155) |

---

<sup>(a)</sup> See Fund's Schedule of Investments in Securities for sector classifications.

\* Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. 

\*\* Significant unobservable inputs were used in determining the value of portfolio securities for the High Income Alternatives Fund.

---

| | |
|:---|:---|
| **160** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

**Dolan McEniry Corporate Bond Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1 -<br>Quoted prices in<br>active markets for<br>identical assets** | **Level 2 -<br>Significant other<br>observable<br>inputs** | **Level 3 -<br>Significant<br>unobservable<br>inputs** | **Total** |
|  Fixed Income |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds | $— | $89570961 | $— | $89570961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Government Securities & Agency Issue |  | 3561582 |  | 3561582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Fixed Income |  | 93132543 |  | 93132543 |
|  Total Investments in Securities | $— | $93132543 | $— | $93132543 |

---

**DBi Managed Futures Strategy ETF (Consolidated)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1 -<br>Quoted prices in<br>active markets for<br>identical assets** | **Level 2 -<br>Significant other<br>observable<br>inputs** | **Level 3 -<br>Significant<br>unobservable<br>inputs** | **Total** |
|  Other Financial Instruments\* |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures | $5802280 | $— | $— | $5802280 |

---

\* Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. 

**DBi Hedge Strategy ETF** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1 -<br>Quoted prices in<br>active markets for<br>identical assets** | **Level 2 -<br>Significant other<br>observable<br>inputs** | **Level 3 -<br>Significant<br>unobservable<br>inputs** | **Total** |
|  Other Financial Instruments\* |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures | $(198386) | $— | $— | $(198386) |

---

\* Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. 

**RBA Responsible Global Allocation ETF** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1 -<br>Quoted prices in<br>active markets for<br>identical assets** | **Level 2 -<br>Significant other<br>observable<br>inputs** | **Level 3 -<br>Significant<br>unobservable<br>inputs** | **Total** |
|  Equity |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Funds | $8454079 | $— | $— | $8454079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Equity | 8454079 |  |  | 8454079 |
|  Total Investments in Securities | $8454079 | $— | $— | $8454079 |

---

**Note 8 – Commitments and Contingencies** 

------

The Funds may make commitments pursuant to bridge loan facilities. Such commitments typically remain off balance sheet as it is more likely than not, based on good faith judgement of the Advisor, that such bridge facilities will not ever fund. As of December 31, 2022, the High Income Alternatives Fund had $762,421 outstanding bridge facility commitments.

---

| | |
|:---|:---|
| Notes to Financial Statements | **161** |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

**Note 9 – Other Derivative Information** 

------

At December 31, 2022, the Funds are invested in derivative contracts which are reflected in the Statements of Assets and Liabilities as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** |
|  | | **Derivative Assets** | **Derivative Assets** | **Derivative Liabilities** | **Derivative Liabilities** |
| **Risk** | | **Statements of Assets and<br>Liabilities Location** | **Fair Value<br>Amount** | **Statements of Assets and<br>Liabilities Location** | **Fair Value<br>Amount** |
|  Currency |  | Unrealized gain on forward foreign currency exchange contracts | $281744 | Unrealized loss on forward<br>foreign currency exchange contracts | $(489474) |
|  |  | Unrealized gain on futures contracts\* | 405283 | Unrealized loss on<br>futures contracts\* | (244196) |
|  Commodity |  | Unrealized gain on<br>futures contracts\* | 14852 | Unrealized loss on<br>futures contracts\* | (129967) |
|  Interest rate |  | Unrealized gain on<br>futures contracts\* | 1583059 | Unrealized loss on <br>futures contracts\* | (122696) |
|  Credit |  | Unrealized gain on<br>swap contracts\*\* | 11094896 | Unrealized loss on <br>swap contracts\*\* | (7859155) |
|  Equity |  | Unrealized gain on<br>swap contracts | 1020910 | Unrealized loss on<br>swap contracts |  |
|  |  | Unrealized gain on<br>futures contracts\* | 353461 | Unrealized loss on<br>futures contracts\* | (891742) |
|  |  | Investments in securities<sup>(1)</sup> | 109908 | Written options | (12671) |
|  | Total |  | $14864113 |  | $(9749901) |
|  | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Consolidated Statements of Assets and<br>Liabilities.<br>\*\* Includes cumulative appreciation/depreciation on centrally cleared swaps.<br><sup>(1)</sup> The Consolidated Statements of Assets and Liabilities location for "Purchased Options" is<br>"Investments in securities". | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Consolidated Statements of Assets and<br>Liabilities.<br>\*\* Includes cumulative appreciation/depreciation on centrally cleared swaps.<br><sup>(1)</sup> The Consolidated Statements of Assets and Liabilities location for "Purchased Options" is<br>"Investments in securities". | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Consolidated Statements of Assets and<br>Liabilities.<br>\*\* Includes cumulative appreciation/depreciation on centrally cleared swaps.<br><sup>(1)</sup> The Consolidated Statements of Assets and Liabilities location for "Purchased Options" is<br>"Investments in securities". | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Consolidated Statements of Assets and<br>Liabilities.<br>\*\* Includes cumulative appreciation/depreciation on centrally cleared swaps.<br><sup>(1)</sup> The Consolidated Statements of Assets and Liabilities location for "Purchased Options" is<br>"Investments in securities". | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Consolidated Statements of Assets and<br>Liabilities.<br>\*\* Includes cumulative appreciation/depreciation on centrally cleared swaps.<br><sup>(1)</sup> The Consolidated Statements of Assets and Liabilities location for "Purchased Options" is<br>"Investments in securities". |
| **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** |
|  |  | **Derivative Assets** | **Derivative Assets** | **Derivative Liabilities** | **Derivative Liabilities** |
| **Risk** |  | **Statements of Assets and<br>Liabilities Location** | **Fair Value<br>Amount** | **Statements of Assets and<br>Liabilities Location** | **Fair Value<br>Amount** |
|  Currency |  | Unrealized gain on forward foreign currency exchange contracts | $2616 | Unrealized loss on forward foreign currency exchange contracts | $(1136) |
|  Interest rate |  | Unrealized gain on swap contracts |  | Unrealized loss on<br>swap contracts\*\* | (201636) |
|  |  | Unrealized gain on futures contracts\* |  | Unrealized loss on<br>futures contracts\* | (51181) |
|  |  | Investments in securities<sup>(1)</sup> | 34554 |  |  |
|  Credit |  | Unrealized gain on<br>swap contracts |  | Unrealized loss on<br>swap contracts\*\* | (2470) |
|  Equity |  |  |  | Written options | (177155) |
|  | Total |  | $37170 |  | $(433578) |
|  | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Statements of Assets and Liabilities.<br>\*\* Includes cumulative appreciation/depreciation on centrally cleared swaps.<br><sup>(1)</sup> The Statements of Assets and Liabilities location for "Purchased Options" is "Investments in<br>securities". | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Statements of Assets and Liabilities.<br>\*\* Includes cumulative appreciation/depreciation on centrally cleared swaps.<br><sup>(1)</sup> The Statements of Assets and Liabilities location for "Purchased Options" is "Investments in<br>securities". | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Statements of Assets and Liabilities.<br>\*\* Includes cumulative appreciation/depreciation on centrally cleared swaps.<br><sup>(1)</sup> The Statements of Assets and Liabilities location for "Purchased Options" is "Investments in<br>securities". | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Statements of Assets and Liabilities.<br>\*\* Includes cumulative appreciation/depreciation on centrally cleared swaps.<br><sup>(1)</sup> The Statements of Assets and Liabilities location for "Purchased Options" is "Investments in<br>securities". | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Statements of Assets and Liabilities.<br>\*\* Includes cumulative appreciation/depreciation on centrally cleared swaps.<br><sup>(1)</sup> The Statements of Assets and Liabilities location for "Purchased Options" is "Investments in<br>securities". |

---

---

| | |
|:---|:---|
| **162** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** |
|  | | **Derivative Assets** | **Derivative Assets** | **Derivative Liabilities** | **Derivative Liabilities** |
| **Risk** | | **Statements of Assets and<br>Liabilities Location** | **Fair Value<br>Amount** | **Statements of Assets and<br>Liabilities Location** | **Fair Value<br>Amount** |
|  Currency |  | Unrealized gain on<br>futures contracts\* | $1828690 | Unrealized loss on<br>futures contracts\* | $(398734) |
|  Commodity |  | Unrealized gain on<br>futures contracts\* | 161027 | Unrealized loss on<br>futures contracts\* | (1698803) |
|  Interest rate |  | Unrealized gain on<br>futures contracts\* | 5449731 | Unrealized loss on<br>futures contracts\* | (138514) |
|  Equity |  | Unrealized gain on<br>futures contracts\* | 1570693 | Unrealized loss on<br>futures contracts\* | (971810) |
|  | Total |  | $9010141 |  | $(3207861) |
|  | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Consolidated Statements of Assets and<br>Liabilities. | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Consolidated Statements of Assets and<br>Liabilities. | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Consolidated Statements of Assets and<br>Liabilities. | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Consolidated Statements of Assets and<br>Liabilities. | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Consolidated Statements of Assets and<br>Liabilities. |
| **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** |
|  |  | **Derivative Assets** | **Derivative Assets** | **Derivative Liabilities** | **Derivative Liabilities** |
| **Risk** |  | **Statements of Assets and<br>Liabilities Location** | **Fair Value<br>Amount** | **Statements of Assets and<br>Liabilities Location** | **Fair Value<br>Amount** |
|  Currency |  | Unrealized gain on<br>futures contracts\* | $8739 | Unrealized loss on<br>futures contracts\* | $(17486) |
|  Interest rate |  | Unrealized gain on<br>futures contracts\* | 3804 | Unrealized loss on<br>futures contracts\* | (1348) |
|  Equity |  | Unrealized gain on<br>futures contracts\* |  | Unrealized loss on<br>futures contracts\* | (192095) |
|  | Total |  | $12543 |  | $(210929) |
|  | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Statements of Assets and Liabilities. | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Statements of Assets and Liabilities. | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Statements of Assets and Liabilities. | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Statements of Assets and Liabilities. | \* Includes cumulative appreciation/depreciation on futures contracts described previously. Only<br>current day's variation margin is reported within the Statements of Assets and Liabilities. |

---

For the year ended December 31, 2022, the effect of derivative contracts in the Funds' Statements of Operations were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **International Fund** | **International Fund** | **International Fund** | **International Fund** | **International Fund** |
|  | **Statements of Operations** | **Statements of Operations** | **Statements of Operations** | **Statements of Operations** |
| **Risk** | **Derivative Type** | **Net<br>Realized<br>Gain (Loss)** | **Net Change<br>in Unrealized<br>Gain (Loss)** | **Average<br>Notional<br>Amount** |
|  Currency | Forward foreign currency exchange contracts | $103704 | $17619 | 668464 <sup>(a)</sup> |

---

<sup>(a)</sup> Average notional values are based on the average of monthly end contract values for the year ended December 31, 2022.

---

| | |
|:---|:---|
| Notes to Financial Statements | **163** |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** |
|  | | **Statements of Operations** | **Statements of Operations** | **Statements of Operations** | **Statements of Operations** |
| **Risk** | | **Derivative Type** | **Net<br>Realized<br>Gain (Loss)** | **Net Change<br>in Unrealized<br>Gain (Loss)** | **Average<br>Notional<br>Amount** |
|  Currency |  | Forward foreign currency exchange contracts | $2699775 | $(40871) | 50889055 <sup>(a)</sup> |
|  |  | Future contracts | (7173675) | 161087 | 37882099 <sup>(b)</sup> |
|  Commodity |  | Future contracts | (1453451) | (115115) | 6489897 <sup>(b)</sup> |
|  Interest |  | Future contracts | 12521701 | 2130682 | 508137374 <sup>(b)</sup> |
|  Credit |  | Swap contracts | 9226377 | 5251121 | 1238916313 <sup>(b)(c)</sup> |
|  Equity |  | Swap contracts | 14605090 | 1731735 | 121928142 <sup>(b)(c)</sup> |
|  |  | Future contracts | (3268076) | (538281) | 20402533 <sup>(b)</sup> |
|  |  | Purchased option contracts | (979208) | (20412) | 1869 <sup>(d)</sup> |
|  |  | Written option contracts | (27556) | 27504 | 483 <sup>(d)</sup> |
|  | Total |  | $26150977 | $8587450 |  |

---

<sup>(a)</sup> Average notional values are based on the average of monthly end contract values for the year ended December 31, 2022.

<sup>(b)</sup> Average notional values are based on the average of monthly end notional balances for the year ended December 31, 2022.

<sup>(c)</sup> Notional amount is denoted in local currency. 

<sup>(d)</sup> Average contracts are based on the average of monthly end contracts for the year ended December 31, 2022.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** |
|  | | **Statements of Operations** | **Statements of Operations** | **Statements of Operations** | **Statements of Operations** |
| **Risk** | | **Derivative Type** | **Net<br>Realized<br>Gain (Loss)** | **Net Change<br>in Unrealized<br>Gain (Loss)** | **Average <br>Notional <br>Amount** |
|  Currency |  | Forward foreign currency exchange contracts | $50952 | $(9346) | 440927 <sup>(a)</sup> |
|  Interest rate |  | Swap contracts | 5347 | (201636) | 2462500 <sup>(b)(c)</sup> |
|  |  | Future contracts | 33697 | (42792) | 2768567 <sup>(b)</sup> |
|  |  | Purchased option contracts | (37075) | 7063 | 9416667 <sup>(b)</sup> |
|  Credit |  | Swap contracts | (2095) | (2470) | 208333 <sup>(b)(c)</sup> |
|  Equity |  | Purchased option contracts | 229912 |  | 3 <sup>(d)</sup> |
|  |  | Written option contracts | (797642) | (55133) | 70 <sup>(d)</sup> |
|  | Total |  | $(516904) | $(304314) |  |

---

<sup>(a)</sup> Average notional values are based on the average of monthly end contract values for the year ended December 31, 2022.

<sup>(b)</sup> Average notional values are based on the average of monthly end notional balances for the year ended December 31, 2022.

<sup>(c)</sup> Notional amount is denoted in local currency. 

<sup>(d)</sup> Average contracts are based on the average of monthly end contracts for the year ended December 31, 2022.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** |
|  | | **Statements of Operations** | **Statements of Operations** | **Statements of Operations** | **Statements of Operations** |
| **Risk** | | **Derivative Type** | **Net<br>Realized<br>Gain (Loss)** | **Net Change<br>in Unrealized<br>Gain (Loss)** | **Average<br>Notional<br>Amount<sup>(a)</sup>** |
|  Commodity |  | Future contracts | $(13592610) | $(2167289) | 76202717 |
|  Currency |  | Future contracts | 3857523 | 1221484 | 257587096 |
|  Interest rate |  | Future contracts | 9996725 | 5631839 | 583594671 |
|  Equity |  | Future contracts | (27866782) | 528934 | 114890334 |
|  | Total |  | $(27605144) | $5214968 |  |

---

<sup>(a)</sup> Average notional values are based on the average of monthly end notional balances for the year ended December 31, 2022.

---

| | |
|:---|:---|
| **164** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** |
|  | | **Statements of Operations** | **Statements of Operations** | **Statements of Operations** | **Statements of Operations** |
| **Risk** | | **Derivative Type** | **Net<br>Realized<br>Gain (Loss)** | **Net Change<br>in Unrealized<br>Gain (Loss)** | **Average<br>Notional<br>Amount<sup>(a)</sup>** |
|  Currency |  | Future contracts | $152440 | $(26347) | 2773106 |
|  Interest rate |  | Future contracts | 853874 | 29155 | 9875286 |
|  Equity |  | Future contracts | (1724226) | (352852) | 7526186 |
|  | Total |  | $(717912) | $(350044) |  |

---

<sup>(a)</sup> Average notional values are based on the average of monthly end notional balances for the year ended December 31, 2022.

The Funds are subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.

At December 31, 2022, Global Select Fund, International Fund, Alternative Strategies Fund, and High Income Alternatives Fund had investments in repurchase agreements with a gross value of $3,942,000, $13,958,000, $247,795,000, and $1,554,000, respectively, which are reflected as repurchase agreements on the Statements of Assets and Liabilities. The value of the related collateral exceeded the value of the repurchase agreements at December 31, 2022.

For the year ended December 31, 2022, the High Income Alternatives Fund had outstanding reverse repurchase agreement balance for 7 days. The average amount of borrowings was $143,488 and the average interest rate was 0.30% during the 7 day period.

The following tables represent the disclosure for derivative instruments related to offsetting assets and liabilities for each of the Funds as of December 31, 2022:

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** | **Alternative Strategies Fund (Consolidated)** |
|  | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | | | |
| **Counterparty** | **Purchased<br>Options** | **Futures<sup>(1)</sup>** | **Swaps<sup>(2)</sup>** | **Forward<br>Currency<br>Contracts** | **Total** | **Futures<sup>(1)</sup>** | **Swaps<sup>(2)</sup>** | **Forward<br>Currency<br>Contracts** | **Written<br>Options** | **Total** | **Net<br>Derivative<br>Asset<br>(Liabilities)** | **Collateral<br>(Received)<br>Pledged<sup>(3)</sup>** | **Net<br>Amount** |
|  Bank of America N.A. | $— | $— | $— | $— | $— | $— | $— | $(123046) | $— | $(123046) | $(123046) | $— | $(123046) |
|  Barclays Bank Plc |  |  |  |  |  |  | (19559) | (38520) |  | (58079) | (58079) |  | (58079) |
|  Citigroup Global Markets, Inc. |  | 797006 |  |  | 797006 |  |  |  |  |  | 797006 |  | 797006 |
|  Goldman Sachs & Co. |  |  | 11435 |  | 11435 |  |  |  |  |  | 11435 |  | 11435 |
|  JPMorgan Chase Bank N.A. |  | 95905 | 1009475 | 62633 | 1168013 | (5996) |  | (231640) |  | (237636) | 930377 | (830000) | 100377 |
|  Morgan Stanley & Co. | 109908 |  |  | 219111 | 329019 |  |  | (96268) | (12671) | (108939) | 220080 | (54853) | 165227 |
|  StoneX Financial, Inc. |  | 1463744 |  |  | 1463744 | (1382605) |  |  |  | (1382605) | 81139 |  | 81139 |
|  Total | $109908 | $2356655 | $1020910 | $281744 | $3769217 | $(1388601) | $(19559) | $(489474) | $(12671) | $(1910305) | $1858912 | $(884853) | $974059 |

---

<sup>(1)</sup> Includes cumulative appreciation (depreciation) of futures contracts as reported in the Consolidated Schedule of Investments in Futures. Only current day's variation margin is reported within the Consolidated Statements of Assets and Liabilities.

<sup>(2)</sup> Does not include the unrealized appreciation (depreciation) of centrally cleared swaps as reported in the Consolidated Schedule of Investments in Swaps. Only the variation margin is reported within the Consolidated Statement of Assets and Liabilities.

<sup>(3)</sup> The actual collateral pledged (received) may be more than the amounts shown. 

---

| | |
|:---|:---|
| Notes to Financial Statements | **165** |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** | **High Income Alternatives Fund** |
|  | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | | | |
| **Counterparty** | **Purchased<br>Options** | **Futures<sup>(1)</sup>** | **Swaps<sup>(2)</sup>** | **Forward<br>Currency<br>Contracts** | **Total** | **Futures<sup>(1)</sup>** | **Swaps<sup>(2)</sup>** | **Forward<br>Currency<br>Contracts** | **Written<br>Options** | **Total** | **Net<br>Derivative<br>Asset<br>(Liabilities)** | **Collateral<br>(Received)<br>Pledged<sup>(3)</sup>** | **Net<br>Amount** |
|  Bank of America N.A. | $5086 | $— | $— | $— | $5086 | $(6211) | $— | $(214) | $— | $(6425) | $(1339) | $1339 | $— |
|  Barclays Bank Plc | 9557 |  |  | 2616 | 12173 |  |  | (922) |  | (922) | 11251 |  | 11251 |
|  Goldman Sachs & Co. | 10353 |  |  |  | 10353 | (44970) |  |  |  | (44970) | (34617) | 34617 |  |
|  Morgan Stanley & Co. | 9558 |  |  |  | 9558 |  |  |  |  |  | 9558 | (9558) |  |
|  UBS Securities LLC |  |  |  |  |  |  |  |  | (177155) | (177155) | (177155) |  | (177155) |
|  Total | $34554 | $— | $— | $2616 | $37170 | $(51181) | $— | $(1136) | $(177155) | $(229472) | $(192302) | $26398 | $(165904) |

---

<sup>(1)</sup> Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments in Futures. Only current day's variation margin is reported within the Statements of Assets and Liabilities.

<sup>(2)</sup> Does not include the unrealized appreciation (depreciation) of centrally cleared swaps as reported in the Schedule of Investments in Swaps. Only the variation margin is reported within the Statement of Assets and Liabilities.

<sup>(3)</sup> The actual collateral pledged (received) may be more than the amounts shown. 

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** | **DBi Managed Futures Strategy ETF (Consolidated)** |
|  | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | | | |
| **Counterparty** | **Purchased<br>Options** | **Futures<sup>(1)</sup>** | **Swaps** | **Forward<br>Currency<br>Contracts** | **Total** | **Futures<sup>(1)</sup>** | **Swaps** | **Forward<br>Currency<br>Contracts** | **Written<br>Options** | **Total** | **Net<br>Derivative<br>Asset<br>(Liabilities)** | **Collateral<br>(Received)<br>Pledged** | **Net<br>Amount** |
|  Societe Generale | $— | $9010141 | $— | $— | $9010141 | $(3207861) | $— | $— | $— | $(3207861) | $5802280 | $— | $5802280 |

---

<sup>(1)</sup> Includes cumulative appreciation (depreciation) of futures contracts as reported in the Consolidated Schedule of Investments in Futures. Only current day's variation margin is reported within the Consolidated Statement of Assets and Liabilities.

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** | **DBi Hedge Strategy ETF** |
|  | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Assets** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | **Derivative Liabilities** | | | |
| **Counterparty** | **Purchased<br>Options** | **Futures<sup>(1)</sup>** | **Swaps** | **Forward<br>Currency<br>Contracts** | **Total** | **Futures<sup>(1)</sup>** | **Swaps** | **Forward<br>Currency<br>Contracts** | **Written<br>Options** | **Total** | **Net<br>Derivative<br>Asset<br>(Liabilities)** | **Collateral<br>(Received)<br>Pledged<sup>(2)</sup>** | **Net<br>Amount** |
|  Mizuho Securities | $— | $12543 | $— | $— | $12543 | $(210929) | $— | $— | $— | $(210929) | $(198386) | $198386 | $— |

---

<sup>(1)</sup> Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments in Futures. Only current day's variation margin is reported within the Statement of Assets and Liabilities.

<sup>(2)</sup> The actual collateral pledged (received) may be more than the amounts shown. 

---

| | |
|:---|:---|
| **166** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

**Note 10 – Income Taxes and Distributions to Shareholders** 

------

As of December 31, 2022, the components of accumulated earnings (losses) for income tax purposes were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Global Select<br>Fund** | **International<br>Fund** | **Oldfield<br>International<br>Value Fund** | **SBH Focused<br>Small Value<br>Fund** |
|  Tax cost of Investments and derivatives | $121237219 | $215405256 | $30948161 | $43150883 |
|  Gross Tax Unrealized Appreciation | 11865133 | 19262537 | 2932134 | 7684408 |
|  Gross Tax Unrealized Depreciation | (9197968) | (31038754) | (2052220) | (3209977) |
|  Net Tax unrealized appreciation (depreciation) on investments and derivatives | 2667165 | (11776217) | 879914 | 4474431 |
|  Net Tax unrealized appreciation (depreciation) on foreign currency | (25345) | (188839) | (4226) |  |
|  Net Tax unrealized appreciation (depreciation) | 2641820 | (11965056) | 875688 | 4474431 |
|  Undistributed Ordinary Income |  |  |  | 57623 |
|  Undistributed Long-Term Capital Gains |  |  |  |  |
|  Capital Loss Carry Forward |  | (39316927) | (1268682) | (1442338) |
|  Late Year Ordinary Loss Deferral |  | (20967) | (802) |  |
|  Other Accumulated Gains |  |  |  |  |
|  Total accumulated gain/(loss) | $2641820 | $(51302950) | $(393796) | $3089716 |
|  |  | **Alternative<br>Strategies Fund<br>(Consolidated)** | **High Income<br>Alternatives<br>Fund** | **Dolan McEniry<br>Corporate<br>Bond Fund** |
|  Tax cost of investments and derivatives |  | $1091911405 | $111928203 | $101898156 |
|  Gross Tax unrealized appreciation |  | 56409709 | 121217 | 29551 |
|  Gross Tax unrealized depreciation |  | (177860886) | (10423938) | (8795164) |
|  Net Tax unrealized appreciation (depreciation) on investments and derivatives |  | (121451177) | (10302721) | (8765613) |
|  Net Tax unrealized appreciation (depreciation) on foreign currency |  | (24694) | (474) |  |
|  Net Tax unrealized appreciation (depreciation) |  | (121475871) | (10303195) | (8765613) |
|  Undistributed Ordinary Income |  |  |  | 6594 |
|  Undistributed Long-Term Capital Gains |  |  |  |  |
|  Capital Loss Carry Forward |  | (29517147) | (1791217) | (1197470) |
|  Late Year Ordinary Loss Deferral |  | (3444575) | (491) |  |
|  Straddle Loss Deferral and Reversal |  | (3714779) |  |  |
|  Other Accumulated Losses |  | (54035) | (5701) |  |
|  Total accumulated gain/(loss) |  | $(158206407) | $(12100604) | $(9956489) |

---

---

| | |
|:---|:---|
| Notes to Financial Statements | **167** |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| | **DBi Managed<br>Futures<br>Strategy ETF<br>(Consolidated)** | **DBi Hedge<br>Strategy ETF** | **RBA<br>Responsible<br>Global<br>Allocation ETF** |
|  Tax cost of Investments and derivatives | $— | $— | $9088740 |
|  Gross Tax Unrealized Appreciation | 161026 |  |  |
|  Gross Tax Unrealized Depreciation | (1698803) |  | (634661) |
|  Net Tax unrealized appreciation (depreciation) on investments and derivatives | (1537777) |  | (634661) |
|  Net Tax unrealized appreciation (depreciation) on foreign currency |  |  |  |
|  Net Tax unrealized appreciation (depreciation) | (1537777) |  | (634661) |
|  Undistributed Ordinary Income |  |  | 6676 |
|  Undistributed Long-Term Capital Gains |  |  |  |
|  Capital Loss Carry Forward |  | (1204886) | (112773) |
|  Late Year Ordinary Loss Deferral | (32047761) | (249319) |  |
|  Post-October Capital Losses Deferral | (50267778) |  |  |
|  Other Accumulated Gains |  |  |  |
|  Total accumulated gain/(loss) | $(83853316) | $(1454205) | $(740758) |

---

The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to wash sales, premium amortization accruals, forward foreign currency exchange contracts mark to market, futures contracts mark to market, options contracts mark to market, swap contracts mark to market, passive foreign investment company adjustments, partnership basis adjustments, straddle loss deferral, organizational expenses, constructive sales, and non REIT ROC basis adjustments.

The capital loss carry forwards for each Fund were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **International<br>Fund** | **Oldfield<br>International<br>Value Fund** | **SBH Focused<br>Small Value<br>Fund** | **Alternative<br>Strategies Fund<br>(Consolidated)** | **High Income<br>Alternatives**<br> **Fund** |
|  Capital Loss Carryforwards |  |  |  |  |  |
|  Perpetual Short-Term | $(28027653) | $(148601) | $(147922) | $(29517147) | $(550522) |
|  Perpetual Long-Term | (11289274) | (1120081) | (1294416) |  | (1240695) |
|  Total | $(39316927) | $(1268682) | $(1442338) | $(29517147) | $(1791217) |

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| | | | |
|:---|:---|:---|:---|
| | **Dolan McEniry<br>Corporate Bond<br>Fund** | **DBi Hedge<br>Strategy<br>ETF** | **RBA Responsible<br>Global Allocation<br>ETF** |
|  Capital Loss Carryforwards |  |  |  |
|  Perpetual Short-Term | $(312293) | $(463787) | $(112773) |
|  Perpetual Long-Term | (885177) | (741099) |  |
|  Total | $(1197470) | $(1204886) | $(112773) |

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| **168** | Litman Gregory Funds Trust |

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**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

Additionally, GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year or period ended December 31, 2022, the following table shows the reclassifications made:

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| | | |
|:---|:---|:---|
| **Fund** | **Accumulated<br>Distributable<br>Earnings (Deficit)** | **Paid In<br>Capital** |
|  Global Select Fund\* | $(8218195) | $8218195 |
|  International Fund\* | (1) | 1 |
|  Oldfield International Value Fund\* | (1) | 1 |
|  SBH Focused Small Value Fund\* |  |  |
|  Alternative Strategies Fund (Consolidated)\* | 1661440 | (1661440) |
|  High Income Alternatives Fund\* | 328 | (328) |
|  Dolan McEniry Corporate Bond Fund\* |  |  |
|  DBi Managed Futures Strategy ETF (Consolidated)\* | 13554001 | (13554001) |
|  DBi Hedge Strategy ETF\* |  |  |
|  RBA Responsible Global Allocation ETF\* |  |  |

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\* The permanent differences primarily relate to premium amortization, foreign currency gains/losses, paydown gains/losses, passive foreign investment company gains/losses, swaps adjustments, Subsidiary adjustments, equalization adjustments, and tax treatment of partnerships.

The tax composition of dividends (other than return of capital dividends), for the year ended December 31, 2022 and the year ended December 31, 2021 were as follows:

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | **2022** | | **2021** | **2021** | **2021** |
| <br>**Fund** | **Ordinary<br>Income** | **Long-Term<br>Capital<br>Gain** | **Return of**<br> **Capital** | **Ordinary<br>Income** | **Long-Term<br>Capital<br>Gain** | **Return of**<br> **Capital** |
|  Global Select Fund | $240225 | $30181426 | $— | $1953965 | $36670924 | $— |
|  International Fund | 1809650 |  |  | 12424454 |  |  |
|  Oldfield International Value Fund | 430948 |  | 83911 | 725262 |  |  |
|  SBH Focused Small Value Fund |  |  |  | 1466176 |  |  |
|  Alternative Strategies Fund (Consolidated) | 47948888 |  |  | 63630125 | 29448872 |  |
|  High Income Alternatives Fund | 5028188 |  |  | 5437135 |  |  |
|  Dolan McEniry Corporate Bond Fund | 1861835 | 80695 |  | 1577764 | 176585 |  |
|  DBi Managed Futures Strategy ETF (Consolidated) | 48855060 | 22694665 | 367075 | 1819004 | 1817127 | 2722219 |
|  DBi Hedge Strategy ETF | 226550 |  |  | 934164 | 2074336 |  |
|  RBA Responsible Global Allocation ETF | 119006 |  |  |  |  |  |

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The Funds did not have any unrecognized tax benefits at December 31, 2022, nor were there any increases or decreases in unrecognized tax benefits for the year ended December 31, 2022. The Funds are subject to examination by the U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.

**Note 11 – Line of Credit** 

------

The Trust has an unsecured, uncommitted $75,000,000 line of credit with the Custodian, for the Global Select Fund, International Fund, Oldfield International Value Fund, SBH Focused Small Value Fund, High Income Alternatives Fund, and Dolan McEniry Corporate Bond Fund (the "Six Funds") expiring on April 28, 2023. Under this agreement, borrowing interest rate is equal to the sum of applicable margin of 1.00%, and applicable rate of 0.10%, plus the higher of (i) the Federal Funds Effective Rate and (ii) Overnight Bank Funding Rate. There is no annual commitment fee on the uncommitted line of credit. There was $25,000 annual administrative fee charged at the May 1, 2022 renewal. The Trust also has a secured, uncommitted $125,000,000 line of credit for the Alternative Strategies Fund with the Custodian, expiring on July 20, 2023. There is no annual commitment fee but, a non-refundable up-front fee of $50,000 paid for each yearly amendment. The line of credit is secured by a general security interest in substantially all of the Alternative Strategies Fund's assets. Under this agreement, the borrowing rate is the Overnight Margin (1.25%) plus the higher of (i) the Federal Funds Effective Rate and (ii) the Overnight Bank Funding Rate.

Amounts outstanding to the Six Funds under the Facility at no time shall exceed in the aggregate at any time the least of (a) $75,000,000; (b) 10% of the value of the total assets of each Fund less such Fund's total liabilities not represented by senior securities less the value of

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| Notes to Financial Statements | **169** |

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any assets of the Fund pledged to, or otherwise segregated for the benefit of a party other than the Custodian and in connection with a liability not reflected in the calculation of the Fund's total liabilities. Amounts outstanding for the Alternative Strategies Fund at no time shall exceed in the aggregate at any time the lesser of the (a) Borrowing Base, (b) the Facility amount of $125,000,000 and (c) should not have an aggregate amount of outstanding senior securities representing indebtedness the least of (i) 33 1/3% of the Alternative Strategies Fund's net assets and (ii) the maximum amount that the Fund would be permitted to incur pursuant to applicable law.

For the year ended December 31, 2022, the interest expense was $36,430 for Global Select Fund, $29,498 for International Fund, $101,431 for Alternative Strategies Fund, and $11,161 for High Income Alternatives Fund. For the year ended December 31, 2022, there were no borrowings for the Oldfield International Value Fund, SBH Focused Small Value Fund, and Dolan McEniry Corporate Bond Fund, and there was no balance outstanding at the end of the period. There was no balance outstanding at December 31, 2022 for the International Fund, and Alternative Strategies Fund. The outstanding balance at December 31, 2022 for the Global Select Fund and the High Income Alternatives Fund was $6,500,000 and $1,000,000, respectively. The average borrowing for the year ended December 31, 2022 for the Global Select Fund for the period the line was drawn was $11,595,238, at an average borrowing rate of 2.4454%. The average borrowing for the year ended December 31, 2022 for the International Fund for the period the line was drawn was $8,901,587, at an average borrowing rate of 1.9771%. The average borrowing for the year ended December 31, 2022 for the Alternative Strategies Fund for the period the line was drawn was $30,796,296, at an average borrowing rate of 1.7739%. The average borrowing for the year ended December 31, 2022 for the High Income Alternatives Fund for the period the line was drawn was $1,665,574, at an average borrowing rate of 4.0243%. During the year ended December 31, 2022, the maximum borrowing was $15,000,000, $15,000,000, $60,000,000, and $1,850,000 for the Global Select Fund, International Fund, Alternative Strategies Fund and High Income Alternatives Fund, respectively.

**Note 12 – Principal Risks** 

------

Below are summaries of the principal risks of investing in one or more of the Funds, each of which could adversely affect a Fund's net asset value, yield and total return. Each risk listed below does not necessarily apply to each Fund, and you should read a Fund's prospectus carefully for a description of the principal risks associated with investing in a particular Fund.

•  ***Asset-Backed Securities Risk.*** This is the risk that the impairment of the value of the collateral
underlying a security in which the High Income Alternatives Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. The value of these securities may also
fluctuate in response to the market's perception of the value of issuers or collateral.

• **Below Investment-Grade Fixed Income Securities Risk**. This is the risk of investing in below investment-grade fixed
income securities (also known as "junk bonds"), which may be greater than that of higher rated fixed income securities. These securities are rated Ba1 through C by Moody's Investors Service ("Moody's") or BB+ through D
by Standard & Poor's Rating Group ("S&P") (or comparably rated by another nationally recognized statistical rating organization), or, if not rated by Moody's or S&P, are considered by the sub-advisors to be of similar quality. These securities have greater risk of default than higher rated securities. The market value of these securities is more sensitive to corporate developments and economic
conditions and can be volatile. Market conditions can diminish liquidity and make accurate valuations difficult to obtain. There is no limit to the Alternative Strategies Fund's ability to invest in below investment-grade fixed income
securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in below investment-grade fixed income securities.

•  ***Capital Structure Arbitrage Risk.*** The perceived mispricing identified by the sub-advisor may not disappear or may even increase, in which case losses may be realized.

•  ***Collateral Risk.*** If the Alternative Strategies Fund and High Income Alternatives Fund's financial
instruments are secured by collateral, the issuer may have difficulty liquidating the collateral and/or the Fund may have difficulty enforcing its rights under the terms of the securities if an issuer defaults. Collateral may be insufficient or the
Fund's right to the collateral may be set aside by a court. Collateral will generally consist of assets that may not be readily liquidated, including for example, equipment, inventory, work in the process of manufacture, real property and
payments to become due under contracts or other receivable obligations. There is no assurance that the liquidation of those assets would satisfy an issuer's obligations under a financial instrument. Non-affiliates and affiliates of issuers of financial instruments may provide collateral in the form of secured and unsecured guarantees and/or security interests in assets that they own, which may also be
insufficient to satisfy an issuer's obligations under a financial instrument.

•  ***Collateralized Loan Obligations and Collateralized Debt Obligations Risk.*** Collateralized loan obligations
("CLOs") bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As they are backed by pools of loans, CLOs also bear similar risks to investing in loans directly.
CLOs issue classes or "tranches" that vary in risk and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The
Alternative Strategies Fund and High Income Alternatives Fund's investment in CLOs may decrease in market value when the CLO experiences loan defaults or credit impairment, the disappearance of a subordinate tranche, or market anticipation of
defaults and investor aversion to CLO securities as a class.

Collateralized debt obligations ("CDOs") are structured similarly to CLOs and bear the same risks as CLOs including interest rate risk, credit risk and default risk. CDOs are subject to additional risks because they are backed by pools of assets other than loans including

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**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

securities (such as other asset-backed securities), synthetic instruments or bonds and may be highly leveraged. Like CLOs, losses incurred by a CDO are borne first by holders of subordinate tranches. Accordingly, the risks of CDOs depend largely on the type of underlying collateral and the tranche of CDOs in which the Fund invests. For example, CDOs that obtain their exposure through synthetic investments entail the risks associated with derivative instruments.

•  ***Commodity Risk.* ** Exposure to the commodities markets (including financial futures markets) may
subject the DBi Managed Futures Strategy ETF, through its investment in a wholly-owned subsidiary (the "Subsidiary"), and the Alternative Strategies Fund, through its investment in a wholly-owned subsidiary (the "Alternative
Subsidiary") which are each organized under the laws of the Cayman Islands and is advised by its respective sub-advisor, to greater volatility than investments in traditional securities. Prices of
commodities and related contracts may fluctuate significantly over short periods for a variety of reasons, including changes in interest rates, supply and demand relationships and balances of payments and trade; weather and natural disasters;
governmental, agricultural, trade, fiscal, monetary and exchange control programs and policies, public health crises and trade or price wars among commodity producers or buyers. The commodity markets are subject to temporary distortions and other
disruptions. U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices which may occur during a single business day. Limit prices have the effect of precluding trading in a
particular contract or forcing the liquidation of contracts at disadvantageous times or prices.

•  ***Communications Services Sector Risk.*** A Fund may invest a portion of its assets in the communications services
sector. Media and communications companies may be significantly affected by product and service obsolescence due to technological advancement or development, competitive pressures, substantial capital requirements, fluctuating demand and changes in
regulation.

•  ***Consumer Discretionary Sector Risk.*** A Fund may invest a portion of its assets in the consumer discretionary
sector. The success of consumer product manufacturers and retailers is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable
household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer products and services in the marketplace.

•  ***Consumer Staples Sector Risk.*** Certain of the Funds, through the implementation of their respective investment
strategies, may from time to time invest a significant portion of their assets in the consumer staples sector, which includes, for example, the food and staples retailing industry, the food, beverage and tobacco industry and the household and
personal products industry. This sector can be significantly affected by, among other factors, the regulation of various product components and production methods, marketing campaigns and changes in the global economy, consumer spending and consumer
demand. Tobacco companies, in particular, may be adversely affected by new laws, regulations and litigations. Companies in the consumer staples sector may also be adversely affected by changes or trends in commodity prices, which may be influenced
by unpredictable factors. These companies may be subject to severe competition, which may have an adverse impact on their profitability.

•  ***Convertible Arbitrage Risk .*** Arbitrage strategies involve engaging in transactions that attempt
to exploit price differences of identical, related or similar securities on different markets or in different forms. A Fund may realize losses or reduced rate of return if underlying relationships among securities in which investment positions are
taken change in an adverse manner or a transaction is unexpectedly terminated or delayed. Trading to seek short-term capital appreciation can be expected to cause the Fund's portfolio turnover rate to be substantially higher than that of the
average equity-oriented investment company, resulting in higher transaction costs and additional capital gains tax liabilities.

•  ***Convertible Securities Risk.*** This is the risk that the market value of convertible securities may fluctuate
due to changes in, among other things, interest rates; other general economic conditions; industry fundamentals; market sentiment; the issuer's operating results, financial statements, and credit ratings; and the market value of the underlying
common or preferred stock.

•  ***Corporate Debt Obligations Risk.*** Corporate debt obligations are subject to the risk of an issuer's
inability to meet principal and interest payments on the obligations. Therefore, the Dolan McEniry Corporate Bond Fund, Alternative Strategies Fund, and High Income Alternatives Fund may be indirectly exposed to such risks associated with corporate
debt obligations.

•  ***Country/Regional Risk.*** World events – such as political upheaval, financial troubles, or natural
disasters – may adversely affect the value of securities issued by companies in foreign countries or regions. Because each of the International Fund and Oldfield International Value Fund may invest a large portion of its assets in securities of
companies located in any one country or region, including emerging markets, the Fund's performance may be hurt disproportionately by the poor performance of its investments in that area. This risk is heightened in emerging markets.

•  ***Currency Risk.*** This is the risk that investing in foreign currencies may expose the Fund to fluctuations in
currency exchange rates and that such fluctuations in the exchange rates may negatively affect an investment related to a currency or denominated in a foreign currency. The Alternative Strategies Fund may invest in foreign currencies for investment
and hedging purposes. All of the Funds may invest in foreign currencies for hedging purposes.

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| Notes to Financial Statements | **171** |

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**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

•  ***Cybersecurity Risk.*** Information and technology systems relied upon by the Funds, the Advisor, the sub-advisors, the Funds' service providers (including, but not limited to, Fund accountants, custodians, transfer agents, administrators, distributors and other financial intermediaries) and/or the issuers of
securities in which a Fund invests may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons, security breaches, usage errors, power outages and
catastrophic events such as fires, tornadoes, floods, hurricanes and earthquakes. Although the Advisor has implemented measures to manage risks relating to these types of events, if these systems are compromised, become inoperable for extended
periods of time or cease to function properly, significant investment may be required to fix or replace them. The failure of these systems and/or of disaster recovery plans could cause significant interruptions in the operations of the Funds, the
Advisor, the sub-advisors, the Funds' service providers and/or issuers of securities in which a Fund invests and may result in a failure to maintain the security, confidentiality or privacy of sensitive
data, including personal information relating to investors (and the beneficial owners of investors). Such a failure could also harm the reputation of the Funds, the Advisor, the sub-advisors, the Funds'
service providers and/or issuers of securities in which a Fund invests, subject such entities and their respective affiliates to legal claims or otherwise affect their business and financial performance.

•  ***Derivatives Risk.*** This is the risk that an investment in derivatives may not correlate completely to the
performance of the underlying securities and may be volatile and that the insolvency of the counterparty to a derivative instrument could cause the Fund to lose all or substantially all of its investment in the derivative instrument, as well as the
benefits derived therefrom.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Options Risk.*** This is the risk that an investment in options may be subject to greater fluctuation than an
investment in the underlying instruments themselves and may be subject to a complete loss of the amounts paid as premiums to purchase the options.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Futures Contracts Risk.*** This is the risk that an investment in futures contracts may be subject to losses that
exceed the amount of the premiums paid and may subject the Fund's net asset value to greater volatility.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***P-Notes Risk.*** This is the risk that the performance results of P-Notes will not replicate exactly the performance of the issuers or markets that the P-Notes seek to replicate. Investments in P-Notes involve risks normally associated with a direct investment in the underlying securities as well as additional risks, such as counterparty risk.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Swaps Risk.* ** Risks inherent in the use of swaps include: (1) swap contracts may not be
assigned without the consent of the counterparty; (2) potential default of the counterparty to the swap; (3) absence of a liquid secondary market for any particular swap at any time; and (4) possible inability of the Fund to close out
the swap transaction at a time that otherwise would be favorable for it to do so.

•  ***Emerging Markets Risk.*** A Fund may invest a portion of its assets in emerging market countries. Emerging market
countries are those with immature economic and political structures, and investing in emerging markets entails greater risk than in developed markets. Such risks could include those related to government dependence on a few industries or resources,
government-imposed taxes on foreign investment or limits on the removal of capital from a country, unstable government, and volatile markets.

•  ***Equity Hedge Strategy Risk.*** The DBi Hedge Strategy ETF uses various investment strategies that seek to
identify the main drivers of performance of a diversified portfolio of the largest long/short equity hedge funds. These investment strategies involve the use of complex derivatives techniques, and there is no guarantee that these strategies will
succeed. The use of such strategies and techniques may subject the Fund to greater volatility and loss than investing in individual equity securities. There can be no assurance that utilizing a certain approach or model will achieve a particular
level of return or reduce volatility and loss.

•  ***Equity Securities Risk.*** This is the risk that the value of equity securities may fluctuate, sometimes rapidly
and unpredictably, due to factors affecting the general market, an entire industry or sector, or particular companies. These factors include, without limitation, adverse changes in economic conditions, the general outlook for corporate earnings,
interest rates or investor sentiment; increases in production costs; and significant management decisions. This risk is greater for small- and medium-sized companies, which tend to be more vulnerable to
adverse developments than larger companies.

•  ***ETF Risk.*** The DBi Managed Futures Strategy ETF, the DBi Hedge Strategy ETF and the RBA Responsible Global
Allocation ETF are each an ETF, and, as a result of an ETF's structure, each is exposed to the following risks:

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Authorized Participants, Market Makers, and Liquidity Providers Limitation Risk.* ** The Fund has a
limited number of financial institutions that may act as Authorized Participants ("APs"). In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace. To the extent either of the following
events occur, shares of the Fund ("Shares") may trade at a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation and/or redemption orders and no other APs step
forward to perform these services, or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Cash Redemption Risk.*** The Fund's investment strategy may require it to redeem Shares for cash or to
otherwise include cash as part of its redemption proceeds. The Fund may be required to sell or unwind portfolio investments to obtain the cash needed to distribute

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redemption proceeds. This may cause the Fund to recognize a capital gain that it might not have recognized if it had made a redemption in-kind. As a result, the Fund may pay out higher annual capital gain distributions than if the in-kind redemption process was used.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Costs of Buying or Selling Shares.*** Due to the costs of buying or selling Shares, including brokerage
commissions imposed by brokers and bid/ask spreads, frequent trading of Shares may significantly reduce investment results and an investment in Shares may not be advisable for investors who anticipate regularly making small investments.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Shares May Trade at Prices Other Than NAV.*** As with all ETFs, Shares may be bought and sold in the secondary
market at market prices. Although it is expected that the market price of Shares will approximate the Fund's NAV, there may be times when the market price of Shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount) due to supply and demand of Shares or during periods of market volatility. This risk is heightened in times of market volatility and volatility in the
Fund's portfolio holdings, periods of steep market declines, and periods when there is limited trading activity for Shares in the secondary market, in which case such premiums or discounts may be significant. If an investor purchases Shares at
a time when the market price is at a premium to the NAV of the Shares or sells at a time when the market price is at a discount to the NAV of the Shares, then the investor may sustain losses that are in addition to any losses caused by a decrease in
NAV.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Trading.*** Although Shares are listed for trading on a national securities exchange, and may be traded on other
U.S. exchanges, there can be no assurance that Shares will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of Shares may begin to mirror the liquidity of the Fund's underlying portfolio
holdings, which can be significantly less liquid than Shares.

•  ***European Investment Risk.*** Each of the International Fund and Oldfield International Value Fund may invest a
significant portion of its assets in issuers based in Western Europe and the United Kingdom ("UK"). The economies of countries in Europe are often closely connected and interdependent, and events in one country in Europe can have an
adverse impact on other European countries. Efforts by the member countries of the European Union ("EU") to continue to unify their economic and monetary policies may increase the potential for similarities in the movements of European
markets and reduce the potential investment benefits of diversification within the region. However, the substance of these policies may not address the needs of all European economies. European financial markets have in recent years experienced
increased volatility due to concerns with some countries' high levels of sovereign debt, budget deficits and unemployment. Markets have also been affected by the withdrawal of the UK from the EU (an event commonly known as "Brexit").
On January 31, 2020, the UK officially withdrew from the EU and entered into a transition period until December 31, 2020, during which the UK effectively remained in the EU from an economic perspective. The impact of Brexit on the UK, the
EU and the broader global economy may be significant. As a result of the political divisions within the UK and between the UK and the EU that the referendum vote has highlighted and the uncertain consequences of Brexit, the UK and European economies
and the broader global economy could be significantly impacted, which may result in increased volatility and illiquidity and potentially lower economic growth on markets in the UK, Europe and globally, which could potentially have an adverse effect
on the value of a Fund's investments.

•  ***Event-Driven Risk.*** Event-driven strategies seek to profit from the market inefficiencies surrounding market
events, such as mergers, acquisitions, asset sales, restructurings, refinancings, recapitalizations, reorganizations or other special situations. Event-driven investing involves attempting to predict the outcome of a particular transaction as
well as the optimal time at which to commit capital to it. Event-driven opportunities involve difficult legal as well as financial analysis, as some of the principal impediments to the consummation of major corporate events are often legal or
regulatory rather than economic. In addition, certain of the securities issued in the context of major corporate events include complex call, put and other features, and it is difficult to precisely evaluate the terms and embedded option
characteristics of these securities. A Fund may take both long and short positions in a wide range of securities, derivatives and other instruments in implementing its event-driven strategies.

•  ***Financial Sector Risk.*** A Fund may invest a portion of its assets in the financial services sector and,
therefore, the performance of the Fund could be negatively impacted by events affecting this sector, including changes in interest rates, government regulation, the rate of defaults on corporate, consumer and government debt and the availability and
cost of capital.

•  ***Fixed Income Securities Risk.*** Interest rates may go up resulting in a decrease in value of the securities held
by a Fund. Fixed income securities held by a Fund are also subject to interest rate risk, credit risk, call risk and liquidity risk, which are more fully described below.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Credit Risk.*** Credit risk is the risk that an issuer will not make timely payments of principal and interest. A
credit rating assigned to a particular debt security is essentially an opinion as to the credit quality of an issuer and may prove to be inaccurate. There is also the risk that a bond issuer may "call," or repay, its high yielding bonds
before their maturity dates.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Interest Rate Risk.*** Interest rates may go up resulting in a decrease in the value of the securities held by a
Fund. Interest rates have been historically low, so a Fund faces a heightened risk that interest rates may rise. Debt securities subject to prepayment can offer less potential for gains during a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment.

&nbsp;&nbsp;&nbsp;&nbsp;•  ***Call Risk.*** During periods of declining interest rates, a bond issuer may "call" or repay its high
yielding bonds before their maturity dates.

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&nbsp;&nbsp;&nbsp;&nbsp;•  ***Liquidity Risk.*** Certain securities may be difficult or impossible to sell at the time and the price that a
Fund would like. Trading opportunities are more limited for fixed income securities that have not received any credit ratings, have received ratings below investment grade or are not widely held. The values of these securities may fluctuate more
sharply than those of other securities, and a Fund may experience some difficulty in closing out positions in these securities at prevailing market prices.

•  ***Foreign Investment and Emerging Markets Risks.*** This is the risk that an investment in foreign (non-U.S.) securities may cause the Funds to experience more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies, due to factors such as currency conversion rate
fluctuations, currency blockages, political and economic instability, differences in financial reporting, accounting and auditing standards, nationalization, expropriation or confiscatory taxation, and smaller and less-strict regulation of
securities markets. These risks are greater in emerging markets. There is no limit to the Alternative Strategies Fund's ability to invest in emerging market securities; however, under normal market conditions, it does not expect to invest more
than 50% of its total assets in emerging market securities; however, some Funds may invest a portion of their assets in stocks of companies based outside of the United States.

•  ***Forward Contracts Risk.*** Forward contracts involve an obligation to purchase or sell a specific currency at a
future date, which may be any fixed number of days from the date of the contract as agreed by the parties in an amount and at a price set at the time of the contract. At the maturity of a forward contract, a fund may either accept or make delivery
of the currency specified in the contract or, at or prior to maturity, enter into a closing transaction involving the purchase or sale of an offsetting contract. A Fund may invest in non-deliverable forwards,
which are cash-settled, short-term forward contracts on foreign currencies that are non-convertible and that may be thinly traded or illiquid. The use of forward contracts involves various risks, including the
risks associated with fluctuations in foreign currency and the risk that the counterparty will fail to fulfill its obligations.

•  ***General Market Risk; Recent Market Events.*** The value of a Fund's shares will fluctuate based on the
performance of the Fund's investments and other factors affecting the securities markets generally. Certain investments selected for a Fund's portfolio may be worth less than the price originally paid for them, or less than they were worth
at an earlier time. The value of a Fund's investments may go up or down, sometimes dramatically and unpredictably, based on current market conditions, such as real or perceived adverse political or economic conditions, inflation, changes in
interest rates, lack of liquidity in the fixed income markets or adverse investor sentiment.

•  ***Healthcare Sector Risk.*** A Fund may invest a portion of its assets in the healthcare sector. The profitability
of companies in the healthcare sector may be adversely affected by government regulations and government healthcare programs, increases or decreases in the cost of medical products and services and product liability claims, among other factors. Many
healthcare companies are heavily dependent on patent protection, and the expiration of a company's patent may adversely affect that company's profitability. Healthcare companies are subject to competitive forces that may result in price
discounting, and may be thinly capitalized and susceptible to product obsolescence.

•  ***Industrial Sector Risk.*** A Fund may invest a portion of its assets in the industrial sector. Companies in the
industrial sector could be affected by, among other things, government regulation, world events and global economic conditions, insurance costs, and labor relations issues.

•  ***Investment in Investment Companies Risk.*** This is the risk that investing in other investment companies,
including ETFs, CEFs, BDCs, unit investment trusts and open-end funds, subjects the Fund to those risks affecting the investment vehicle, including the possibility that the value of the underlying securities
held by the investment vehicle could decrease or the portfolio becomes illiquid. Moreover, the High Income Alternatives Fund and its shareholders will incur its pro rata share of the underlying vehicles' expenses, which will reduce the
Fund's performance. In addition, investments in an ETF are subject to, among other risks, the risk that the ETF's shares may trade at a discount or premium relative to the net asset value of the shares and the listing exchange may halt
trading of the ETF's shares. BDCs may carry risks similar to those of a private equity or venture capital fund. BDC company securities are not redeemable at the option of the shareholder and they may trade in the market at a discount to their
net asset value. BDCs usually trade at a discount to their net asset value because they invest in unlisted securities and have limited access to capital markets. Shares of CEFs also frequently trade at a discount to their net asset value for those
and other reasons.

•  ***Investment over 25% of Net assets.*** The RBA Responsible Global Allocation ETF invests greater than 25% of its
assets in the iShares ESG Aware US Aggregate Bond ETF. The RBA Responsible Global Allocation ETF may redeem its investment at any time if the Advisor determines if it is in the best interest of the ETF and its shareholders to do so. The performance
of the ETF will be directly affected by the performance of this investment. The financial statements of the investment, including the schedule of investments, can be found on the Securities and Exchange Commission's website www.sec.gov and
should be read in conjunction with the ETF's financial statements. At December 31, 2022, the RBA Responsible Global Allocation ETF invested 30.78% of its net assets in the iShares ESG Aware US Aggregate Bond ETF.

•  ***Investment Selection Risk.*** The specific investments held in the Fund's investment portfolio may
underperform other funds in the same asset class or benchmarks that are representative of the general performance of the asset class because of a portfolio manager's choice of securities.

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| **174** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

•  ***Investments in Loan Risk.*** Investments in loans, including loan syndicates and other direct lending
opportunities, involve special types of risks, including credit risk, interest rate risk, counterparty risk and prepayment risk. Loans may offer a fixed or floating interest rate. Loans are often generally below investment grade and may be unrated.
The High Income Alternatives Fund's investments in loans can also be difficult to value accurately and may be more susceptible to liquidity risk than fixed-income instruments of similar credit quality and/or maturity. The Fund is also subject
to the risk that the value of the collateral for the loan may be insufficient or unavailable to cover the borrower's obligations should the borrower fail to make payments or become insolvent. Participations in loans may subject the Fund to the
credit risk of both the borrower and the issuer of the participation and may make enforcement of loan covenants, if any, more difficult for the Fund as legal action may have to go through the issuer of the participations. Transactions in loans are
often subject to long settlement periods, thus potentially limiting the ability of the Fund to invest sale proceeds in other investments and to use proceeds to meet its current redemption obligations. In addition, many banks have been weakened by
the recent financial crisis, and it may be difficult for the Fund to obtain an accurate picture of a lending bank's financial condition.

•  ***Japanese Investment Risk.*** Japan may be subject to political, economic, nuclear and labor risks, among others.
Any of these risks, individually or in the aggregate, can impact an investment made in Japan. The growth of Japan's economy has recently lagged that of its Asian neighbors and other major developed economies. Since 2000, Japan's economic
growth rate has generally remained low relative to other advanced economies, and it may remain low in the future. The Japanese economy faces several concerns, including a financial system with large levels of nonperforming loans, overleveraged
corporate balance sheets, extensive cross-ownership by major corporations, a changing corporate governance structure, large government deficits, heavy dependence on international trade and oil and other commodity imports, an aging workforce and
significant population decline, sometimes unpredictable national politics, political tensions with China, and natural disasters, such as earthquakes, volcanic eruptions, typhoons and tsunamis. Any of these concerns could negatively affect the value
of Japanese investments.

•  ***Large Shareholder Purchase and Redemption Risk.*** This is the risk that a Fund may experience
adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions may cause the Fund to sell its securities at times when it would not otherwise do so, which may negatively
impact the Fund's net asset value and liquidity. Similarly, large share purchases may adversely affect the Fund's performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position
than it ordinarily would. In addition, a large redemption could result in the Fund's current expenses being allocated over a smaller asset base, leading to an increase in the Fund's expense ratio.

•  ***Leverage Risk*** . This is the risk that leverage may cause the effect of an increase or decrease in the value of
the Alternative Strategies Fund's portfolio securities to be magnified and the Fund to be more volatile than if leverage was not used. Leverage may result from certain transactions, including the use of derivatives and borrowing. Under normal
circumstances, the Alternative Strategies Fund may borrow amounts up to one third of the value of its total assets except that it may exceed this limit to satisfy redemption requests or for other temporary purposes.

•  ***LIBOR Risk.*** LIBOR is used extensively in the U.S. and globally as a "benchmark" or "reference
rate" for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund
invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund's derivative investments may also reference LIBOR. In addition, issuers of instruments in which a Fund invests may
obtain financing at floating rates based on LIBOR, and a Fund may use leverage or borrowings based on LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of
2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments
and existing financial instruments that reference LIBOR.

•  ***Liquidity and Valuation Risk*** . It may be difficult for the Fund to purchase and sell particular investments
within a reasonable time at a fair price, or the price at which it has been valued by iM Global for purposes of the Fund's net asset value, causing the Fund to be less liquid and unable to realize what iM Global believes should be the price of
the investment. Valuation of portfolio investments may be difficult, such as during periods of market turmoil or reduced liquidity, and for investments that may, for example, trade infrequently or irregularly. In these and other circumstances, an
investment may be valued using fair value methodologies, which are inherently subjective, reflect good faith judgments based on available information and may not accurately estimate the price at which the Fund could sell the investment at that time.
These risks may be heightened for fixed-income instruments because of the near historically low interest rate environment as of the date of this prospectus. Based on its investment strategies, a significant portion of the Fund's investments can
be difficult to value and potentially less liquid and thus particularly prone to the foregoing risks.

•  ***Long Short Risk .*** The DBi Hedge Strategy ETF seeks long exposure to certain factors and short
exposure to certain other factors. The Fund may or may not take long or short positions in correlated asset classes. The Fund could lose money if either or both of the Fund's long and short positions produce negative returns. The sub-advisor's proprietary, quantitative model, the Dynamic Beta Engine, may or may not identify long and short positions in correlated asset classes. There is no guarantee that the returns of the Fund's
long and short positions will produce positive returns.

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|:---|:---|
| Notes to Financial Statements | **175** |

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##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

•  ***Managed Futures Strategy Risk.* ** In seeking to achieve its investment objective, the DBi Managed
Futures Strategy ETF will utilize various investment strategies that involve the use of complex investment techniques, and there is no guarantee that these strategies will succeed. The use of such strategies and techniques may subject the Fund to
greater volatility and loss. There can be no assurance that utilizing a certain approach or model will achieve a particular level of return or reduce volatility and loss.

•  ***Merger Arbitrage Risk*** . This is the risk that a proposed reorganization in which the Alternative Strategies
Fund invests may be renegotiated or terminated.

•  ***Mid-Sized Companies Risk.*** Securities of companies with mid-sized market capitalizations are generally more volatile and less liquid than the securities of large-capitalization companies. Mid-sized companies may be more reliant on
a few products, services or key personnel, which can make it riskier than investing in larger companies with more diverse product lines and structured management. Mid-sized companies may have relatively short
operating histories or may be newer public companies. Some of these companies have more aggressive capital structures, including higher debt levels, than large-cap companies, or are involved in rapidly growing
or changing industries and/or new technologies, which pose additional risks.

•  ***Models and Data Risk.*** The Alternative Strategies Fund uses proprietary systematic and quantitative models as
part of its investment strategies. These models may fail to identify profitable opportunities at any time. Furthermore, the models may incorrectly identify opportunities and these misidentified opportunities may lead to substantial losses for the
Fund. Models may be predictive in nature and such models may result in an incorrect assessment of future events. Data used in the construction of models may prove to be inaccurate or stale, which may result in losses for the Fund.

•  ***Mortgage-Backed Securities Risk.*** This is the risk of investing in mortgaged-backed securities, which includes
interest rate risk, prepayment risk and the risk of defaults on the mortgage loans underlying these securities.

•  ***Multi-Style Management Risk.*** Because portions of a Fund's assets are managed by different portfolio
managers using different styles, the Fund could experience overlapping security transactions. Certain portfolio managers may be purchasing securities at the same time other portfolio managers may be selling those same securities, which may lead to
higher transaction expenses compared to a Fund using a single investment management style.

•  ***Non-Diversified Fund Risk .*** Because each of the DBi
Managed Futures Strategy ETF and the DBi Hedge Strategy ETF is "non-diversified," each may invest a greater percentage of its assets in the securities of a single issuer. As a result, a decline in
the value of an investment in a single issuer could cause a Fund's overall value to decline to a greater degree than if the Fund held a more diversified portfolio.

•  ***Portfolio Turnover Risk.*** This is the risk that a Fund may experience high portfolio turnover rates as a result
of its investment strategies. High portfolio turnover rates may indicate higher transaction costs and may result in higher taxes when shares of a Fund are held in a taxable account as compared to shares in investment companies that hold investments
for a longer period. High portfolio turnover involves correspondingly greater expenses to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and
reinvestments in other securities, which may result in adverse tax consequences to a Fund's shareholders as compared to shares in investment companies that hold investments for a longer period.

•  ***Prepayment and Extension Risk.* ** In times of declining interest rates, a Fund's higher
yielding securities will be prepaid, and the Fund will have to replace them with securities having a lower yield. Rising interest rates could extend the life of securities with lower payment rates. This is known as extension risk and may increase a
Fund's sensitivity to rising rates and its potential for price declines.

•  ***Public Health Emergency Risk.*** This is the risk that pandemics and other public health emergencies, including
outbreaks of infectious diseases such as the current outbreak of the novel coronavirus ("COVID-19"), can result, and in the case of COVID-19 is resulting, in
market volatility and disruption, and materially and adversely impact economic conditions in ways that cannot be predicted, all of which could result in substantial investment losses. Containment efforts and related restrictive actions by
governments and businesses have significantly diminished and disrupted global economic activity across many industries. Less developed countries and their health systems may be more vulnerable to these impacts. The ultimate impact of COVID-19 or other health emergencies on global economic conditions and businesses is impossible to predict accurately. Ongoing and potential additional material adverse economic effects of indeterminate duration and
severity are possible. The resulting adverse impact on the value of an investment in a Fund could be significant and prolonged.

•  ***Sector Concentration Risk*** . The SBH Focused Small Value Fund concentrates its investments in a narrow segment
of the total market. The fund has 32.9% of net assets invested in the Industrials sector of the stock market. Because of this, the Fund is subject to certain additional risks as compared to investing in a more diversified portfolio of investments.

•  ***Sector Weightings Risk.*** To the extent that a Fund emphasizes, from time to time, investments in a particular
sector, the Fund will be subject to a greater degree to the risks particular to that sector. Market conditions, interest rates, and economic, regulatory, or financial developments could significantly affect a single sector. By focusing its
investments in a particular sector, a Fund may face more risks than if it were diversified broadly over numerous sectors.

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| **176** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

•  ***Short Position Risk .*** A Fund will incur a loss as a result of a short position if the price of
the short position instrument increases in value between the date of the short position sale and the date on which the Fund purchases an offsetting position. Short positions may be considered speculative transactions and involve special risks,
including greater reliance on the ability to accurately anticipate the future value of a security or instrument. A Fund's losses are potentially unlimited in a short position transaction.

•  ***Short Sale Risk.*** This is the risk that the value of a security the Alternative Strategies Fund sells short
does not go down as expected. The risk of loss is theoretically unlimited if the value of the security sold short continues to increase. In addition, short sales may cause the Alternative Strategies Fund to be compelled, at a time disadvantageous to
it, to buy the security previously sold short, thus resulting in a loss. To meet current margin requirements, the Alternative Strategies Fund is required to deposit with the broker additional cash or securities so that the total deposit with the
broker is maintained daily at 150% of the current market value of the securities sold short.

•  ***Smaller Companies Risk*** . A Fund may invest a portion of its assets in the securities of small- and mid-sized companies. Securities of small and mid-cap companies are generally more volatile and less liquid than the securities of large-cap companies. This is because smaller companies may be more reliant on a few products, services or key personnel, which can make it riskier than investing in larger companies with more diverse product
lines and structured management.

•  ***Special Situations Risk.*** Investments in special situations (undervalued equities, merger
arbitrage situations, distressed companies, etc.) may involve greater risks when compared to other investments a Fund may make due to a variety of factors. For example, mergers, acquisitions, reorganizations, liquidations or recapitalizations may
fail or not be completed on the terms originally contemplated, and expected developments may not occur in a timely manner, if at all.

•  ***Subsidiary Risk.* ** By investing in the Subsidiary and the Alternative Subsidiary, the DBi Managed
Futures Strategy ETF and the Alternatives Strategies Fund, respectively, is indirectly exposed to the risks associated with the Subsidiary's and the Alternative Subsidiary investments. The derivatives and other investments held by the
Subsidiary and the Alternative Subsidiary are generally similar to those that are permitted to be held by each Fund and are subject to the same risks that apply to similar investments if held directly by each Fund. The Subsidiary and the Alternative
Subsidiary are each not registered under the 1940 Act, and, unless otherwise noted in the Prospectus, is not subject to all the investor protections of the 1940 Act. Changes in the laws of the United States and/or the Cayman Islands could result in
the inability of each Fund and/or the Subsidiary or the Alternative Subsidiary to continue to operate as each does currently and could adversely affect each Fund.

•  ***Tax Risk .*** The federal income tax treatment of the DBi Managed Futures Strategy ETF's and
the Alternative Strategies Fund's income from the Subsidiary and the Alternative Subsidiary, respectively, may be negatively affected by future legislation, Treasury Regulations (proposed or final), and/or other Internal Revenue Service
("IRS") guidance or authorities that could affect the character, timing of recognition, and/or amount of each Fund's investment company taxable income and/ or net capital gains and, therefore, the distributions it makes. If a Fund
failed the source of income test for any taxable year but was eligible to and did cure the failure, it could incur potentially significant additional federal income tax expenses. If, on the other hand, a Fund failed to qualify as a RIC for any
taxable year and was ineligible to or otherwise did not cure the failure, it would be subject to federal income tax at the fund-level on its taxable income at the regular corporate tax rate (without reduction for distributions to shareholders), with
the consequence that its income available for distribution to shareholders would be reduced and distributions from its current or accumulated earnings and profits would generally be taxable to its shareholders as dividend income.

Changes in the laws of the United States and/or the Cayman Islands could result in the inability of a Fund and/or the Subsidiary or the Alternative Subsidiary to operate as described in the Prospectus and the Statement of Additional Information ("SAI") and could adversely affect each Fund. For example, the Cayman Islands does not currently impose any income, corporate or capital gains tax or withholding tax on the Subsidiary or the Alternative Subsidiary. If Cayman Islands law changes such that the Subsidiary or the Alternative Subsidiary must pay Cayman Islands taxes, Fund shareholders would likely suffer decreased investment returns. <br>

•  ***TBAs and Dollar Rolls Risk.*** TBA ("to-be-announced") and dollar roll transactions present special risks to the Alternative Strategies Fund. Although the particular TBA securities must meet
industry-accepted "good delivery" standards, there can be no assurance that a security purchased on a forward commitment basis will ultimately be issued or delivered by the counterparty. During the settlement period, the Fund will still
bear the risk of any decline in the value of the security to be delivered. TBAs and other forward settling securities involve leverage because they can provide investment exposure in an amount exceeding the fund's initial investment. Leverage
can magnify investment risks and cause losses to be realized more quickly. While dollar roll transactions involve the simultaneous purchase and sale of substantially similar TBA securities with different settlement dates, these transactions do not
require the purchase and sale of identical securities so the characteristics of the security delivered to the Fund may be less favorable than the security delivered to the dealer.

•  ***Technology Investment Risk.*** A Fund may invest a portion of its assets in the technology sector, which is a
very volatile segment of the market. The nature of technology is that it is rapidly changing. Therefore, products or services that may initially look promising may subsequently fail or become obsolete. In addition, many technology companies are
younger, smaller and unseasoned companies which may not have established products, an experienced management team, or earnings history.

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|:---|:---|
| Notes to Financial Statements | **177** |

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##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

•  ***Unfavorable Tax Treatment Risk*** . This is the risk that a material portion of the Alternative Strategies
Fund's return could be in the form of net investment income or short-term capital gains, some of which may be distributed to shareholders and taxed at ordinary income tax rates. Therefore, shareholders may have a greater need to pay regular
taxes than compared to other investment strategies that hold investments longer. Due to this investment strategy, it may be preferable for certain shareholders to invest in the Fund through pre-tax or tax-deferred accounts as compared to investment through currently taxable accounts. Potential shareholders are encouraged to consult their tax advisors in this regard.

•  ***U.S. Government and U.S. Agency Obligations Risk .*** Securities issued by U.S. Government agencies
and instrumentalities have different levels of U.S. Government credit support. Some are backed by the full faith and credit of the U.S. Government, while others are supported by only the discretionary authority of the U.S. Government or only by the
credit of the agency or instrumentality. No assurance can be given that the U.S. Government will provide financial support to U.S. Government-sponsored instrumentalities because they are not obligated to do so by law. Guarantees of timely prepayment
of principal and interest do not assure that the market prices and yields of the securities are guaranteed nor do they guarantee the NAV or performance of a Fund, which will vary with changes in interest rates, the sub-advisor's performance and other market conditions.

•  ***Value Stock Risk.*** Value stocks are stocks of companies that may have experienced adverse business
or industry developments or may be subject to special risks that have caused the stocks to be out of favor and, in the opinion of the manager, undervalued. The value of a security believed by a manager to be undervalued may never reach what is
believed to be its full (intrinsic) value, or such security's value may decrease.

**Note 13 – Fund Reorganizations** 

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As of the close of business on September 17, 2021, pursuant to an Agreement and Plan of Reorganization (the "Reorganization"): (i) the iMGP Dolan McEniry Corporate Bond Fund (the "Dolan McEniry Corporate Bond Fund") acquired all of the assets and assumed the liabilities of the iM Dolan McEniry Corporate Bond Fund (the "Predecessor Corporate Bond Fund"), a series of Manager Directed Portfolios (the "Target Trust"); (ii) the iMGP DBi Managed Futures Strategy ETF (the "DBi Managed Futures Strategy ETF") acquired all of the assets and assumed the liabilities of the iM DBi Managed Futures Strategy ETF (the "Predecessor Managed Futures Strategy ETF"), a series of the Target Trust; and (iii) the iMGP DBi Hedge Strategy ETF (the "DBi Hedge Strategy ETF" and, together with the Dolan McEniry Corporate Bond Fund, the DBi Managed Futures Strategy ETF, the "Acquiring Funds") acquired all of the assets and assumed the liabilities of the iM DBi Hedge Strategy ETF (the "Predecessor Hedge Strategy ETF" and, together with the Predecessor Corporate Bond Fund and the Predecessor Managed Futures Strategy ETF, the "Predecessor Funds").

The shareholders of each Predecessor Fund received shares of the corresponding Acquiring Fund with an aggregate net asset value ("NAV") equal to the aggregate NAV of its shares in the Predecessor Fund immediately prior to the Reorganization at the following conversion ratios:

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| | | |
|:---|:---|:---|
| **Predecessor Corporate Bond Fund Shares<br>Prior to Reorganization** | **Conversion Ratio** | **New Shares Issued by the Dolan McEniry<br>Corporate Bond Fund** |
|  Institutional Shares 8,933,022 | 1 | Institutional Shares 8,933,022 |
|  Advisor Shares 527,061 | 1 | Investor Shares 527,061 |
| **Predecessor Managed Futures Strategy ETF<br>Shares Prior to Reorganization** | **Conversion Ratio** | **New Shares Issued by the DBi Managed<br>Futures Strategy ETF** |
| 2100000 | 1 | 2100000 |
| **Predecessor Hedge Strategy ETF Shares<br>Prior to Reorganization** | **Conversion Ratio** | **New Shares Issued by the DBi Hedge<br>Strategy ETF** |
| 625000 | 1 | 625000 |

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The Reorganization was treated as a tax-free exchange for federal income tax purposes and accordingly, the basis of the assets of the each

Acquiring Fund reflected the historical basis of the assets of the corresponding Predecessor Fund as of the date of the Reorganization.

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| **178** | Litman Gregory Funds Trust |

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##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**NOTES TO FINANCIAL STATEMENTS – (Continued)** 

The net assets and composition of net assets of each Acquiring Fund and the corresponding Predecessor Fund on September 17, 2021, were

as follows:

Dolan McEniry Corporate Bond Fund:

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| | | | |
|:---|:---|:---|:---|
| | **Acquiring Fund** | **Predecessor Fund** | **Combined Funds** |
|  Paid-in Capital | $– $| 100817312 | $100817312 |
|  Accumulated Net Investment Income | – | 10703 | 10703 |
|  Accumulated Net Realized Gain | – | 545090 | 545090 |
|  Net Unrealized Appreciation | – | 1146070 | 1146070 |
|  Net Assets | – | 102519175 | 102519175 |
|  Cost of Investments | – | 101347050 | 101347050 |

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DBi Managed Futures Strategy ETF:

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| | | | |
|:---|:---|:---|:---|
| | **Acquiring Fund** | **Predecessor Fund** | **Combined Funds** |
|  Paid-in Capital | $– $| 55044030 | $55044030 |
|  Accumulated Net Investment Loss | – | (458885) | (458885) |
|  Accumulated Net Realized Gain | – | 3046110 | 3046110 |
|  Net Unrealized Appreciation | – | 826671 | 826671 |
|  Net Assets | – | 58457926 | 58457926 |
|  Cost of Investments | – | 43235129 | 43235129 |

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DBi Hedge Strategy ETF:

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| | | | |
|:---|:---|:---|:---|
| | **Acquiring Fund** | **Predecessor Fund** | **Combined Funds** |
|  Paid-in Capital | $– $| 17290918 | $17290918 |
|  Accumulated Net Investment Loss | – | (208709) | (208709) |
|  Accumulated Net Realized Gain | – | 3207040 | 3207040 |
|  Net Unrealized Depreciation | – | (132560) | (132560) |
|  Net Assets | – | 20156689 | 20156689 |
|  Cost of Investments | – | 16542307 | 16542307 |

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Each Predecessor Fund and the corresponding Acquiring Fund had identical investment objectives and substantially similar principal investment strategies and principal risks. For financial reporting purposes, each Predecessor Fund's financial and performance history prior to the Reorganization is carried forward and reflected in the corresponding Acquiring Fund's financial statements and financial highlights. For the year ended December 31, 2020, and prior periods, the audit of those financial statements were performed by auditors different from the auditors of this report.

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|:---|:---|
| Notes to Financial Statements | **179** |

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##### [**Table of Contents**](#toc)
**REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM** 

To the Shareholders and Board of Trustees of

Litman Gregory Funds Trust

<u>Opinion on the Financial Statements</u> 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments in securities, purchased options, securities sold short, forward foreign currency exchange contracts, futures contracts, swaps, and written options of Litman Gregory Funds Trust comprising the funds listed below (the "Funds") as of December 31, 2022, the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

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| | | | |
|:---|:---|:---|:---|
| **Fund Name** | **Statements of<br>Operations** | **Statements of<br>Changes in Net Assets** | **Financial Highlights** |
| iMGP Global Select Fund (formerly known as iMGP Equity Fund), iMGP International Fund, and iMGP Alternative Strategies Fund\* | For the year ended December 31, 2022 | For the years ended December 31, 2022 and 2021 | For the years ended December 31, 2022, 2021 2020, 2019, and 2018 |
| iMGP High Income Alternatives Fund | For the year ended<br> December 31, 2022 | For the years ended December 31, 2022 and 2021 | For the years ended December 31, 2022, 2021 2020, 2019 and for the period from September 28, 2018 (commencement of operations) through December 31, 2018 |
| iMGP SBH Focused Small Value Fund | For the year ended<br> December 31, 2022 | For the years ended December 31, 2022 and 2021 | For the years ended December 31, 2022, 2021 and for the period from July 31, 2020 (commencement of operations) through December 31, 2020 |
| iMGP Oldfield International Value Fund | For the year ended<br> December 31, 2022 | For the years ended December 31, 2022 and 2021 | For years ended December 31, 2022, 2021 and for the period from November 30, 2020 (commencement of operations) through December 31, 2020 |
| iMGP Dolan McEniry Corporate Bond Fund, iMGP DBi Managed Futures Strategy ETF\*\*, and iMGP DBi Hedge Strategy ETF | For the year ended<br> December 31, 2022 | For the years ended December 31, 2022 and 2021 | For years ended December 31, 2022 and 2021 |
| iMGP RBA Responsible Global Allocation ETF | For the period from January 31, 2022 (commencement of operations) through December 31, 2022 | For the period from January 31, 2022 (commencement of operations) through December 31, 2022 | For the period from January 31, 2022 (commencement of operations) through December 31, 2022 |

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\* The financial statements and financial highlights for the year ended December 31, 2022 are Consolidated Financial Statements

\*\* The financial statements referred to above are Consolidated Financial Statements

The iMGP Dolan McEniry Corporate Bond Fund, iMGP DBi Managed Futures Strategy ETF, and iMGP DBi Hedge Strategy ETF financial statements and financial highlights for the periods ended December 31, 2020, and prior, were audited by other auditors whose report dated February 25, 2021, expressed an unqualified opinion on those financial statements and financial highlights.

<u>Basis for Opinion</u> 

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian, transfer agents, issuers, agent banks, and brokers; when replies were not received from brokers or agent banks, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the Funds' auditor since 2012.

![LOGO](g468187g72b47.jpg)

COHEN & COMPANY, LTD.

Cleveland, Ohio

March 3, 2023

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**Litman Gregory Funds Trust** 

**OTHER INFORMATION – (Unaudited)** 

**Proxy Voting Policies and Procedures** 

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The sub-advisors of the Funds vote proxies relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Funds. You may obtain a description of these procedures, without charge, by calling toll-free, 1-800-960-0188. This information is also available through the Securities and Exchange Commission's website at http://www.sec.gov.

**Proxy Voting Record** 

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Information regarding how the sub-advisors of the Funds voted proxies relating to portfolio securities during the 12-month period ended June 30 is available, without charge, by calling toll-free, 1-800-960-0188. This information is also available through the Securities and Exchange Commission's website at http://www.sec.gov.

**Portfolio Holdings Information** 

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Each Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. You can find the filings on the Securities and Exchange Commission's website at http://www.sec.gov. This information is also available, without charge, by calling toll-free, 1-800-960-0188 or by visiting the Funds' website at http://www.imgpfunds.com.

**Householding Mailings** 

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To reduce expenses, the Trust may mail only one copy of the Funds' prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at 1-800-960-0188 (or contact your financial institution). The Trust will begin sending you individual copies thirty days after receiving your request.

**Review of Liquidity Risk Management Program** 

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Pursuant to Rule 22e-4 under the 1940 Act, the Trust, on behalf of the Funds, has adopted a liquidity risk management program (the "Program") to govern the Trust's approach to managing liquidity risk. The Program is overseen by the Trust's Liquidity Committee, and the Program's principal objectives include assessing, managing and periodically reviewing each Fund's liquidity risk, based on factors specific to the circumstances of the Fund.

At a meeting of the Board held on June 1, 2022, the Trustees received a report from the Trust's Chief Liquidity Officer, who serves as chair of the Trust's Liquidity Committee, addressing the operations of the Program and assessing its adequacy and effectiveness of implementation. The Liquidity Committee determined, and the Chief Liquidity Officer reported to the Board, that the Program is reasonably designed to assess and manage each Fund's liquidity risk and has operated adequately and effectively to manage each Fund's liquidity risk since the Program was implemented in August 2018. The Chief Liquidity Officer reported that, during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The Chief Liquidity Officer further noted that no material changes have been made to the Program since its implementation.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Trust's prospectuses for more information regarding a Fund's exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.

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**Litman Gregory Funds Trust** 

**OTHER INFORMATION – (Unaudited) – (Continued)** 

**Board Consideration of and Continuation and Renewal of Advisory Agreements for the iMGP Funds (formerly, PartnerSelect Funds)** 

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At an in-person meeting held on December 6, 2022 (the "Meeting"), the Board of Trustees (the "Board") of the Litman Gregory Funds Trust (the "Trust"), including the Trustees who are not "interested persons" of the Trust within the meaning of the Investment Company Act of 1940, as amended (the "1940 Act") (the "Independent Trustees"), considered and approved for an additional one-year term through December 31, 20232 (i) the Unified Investment Advisory Agreement (the "Investment Advisory Agreement") between the Trust and iM Global Partner Fund Management, LLC (formerly, Litman Gregory Fund Advisors, LLC) (the "Advisor") with respect to the iMGP Global Select Fund (formerly, the iMGP Equity Fund) (the "Global Select Fund"), the iMGP International Fund (formerly, the PartnerSelect International Fund) (the "International Fund"), the iMGP SBH Focused Small Value Fund (formerly, the PartnerSelect SBH Focused Small Value Fund) (the "SBH Focused Small Value Fund"); the iMGP Alternative Strategies Fund (formerly, the PartnerSelect Alternative Strategies Fund) (the "Alternative Strategies Fund"), the iMGP High Income Alternatives Fund (formerly, the PartnerSelect High Income Alternatives Fund) (the "High Income Alternatives Fund"), the iMGP Oldfield International Value Fund (formerly, the PartnerSelect Oldfield International Value Fund) (the "Oldfield International Value Fund"), the DBi Managed Futures Strategy ETF (the "Managed Futures ETF"), the DBi Hedge Strategy ETF (the "Hedge Strategy ETF") and the Dolan McEniry Corporate Bond Fund (the "Corporate Bond Fund") (each of the Global Select Fund, the International Fund, the SBH Focused Small Value Fund, the Alternative Strategies Fund, the High Income Alternatives Fund, the Oldfield International Value Fund, the Managed Futures ETF, the Hedge Strategy Fund and the Corporate Bond Fund, a "Fund," and collectively, the "Funds"), and (ii) the investment sub-advisory agreements (the "Investment Sub-Advisory Agreements," and collectively with the Investment Advisory Agreement, the "Advisory Agreements") between the Advisor and (a) Nuance Investments, LLC, with respect to the Global Select Fund; (b) each of Harris, Lazard Asset Management LLC, and Polen Capital Management, LLC with respect to the International Fund; (c) Segall Bryant & Hamill, LLC with respect to the SBH Focused Small Value Fund; (d) each of Blackstone Credit Systematic Strategies, LLC (formerly, DCI, LLC), DoubleLine Capital LP, First Pacific Advisors, LLC, Loomis, Sayles & Company, L.P. and Water Island Capital, LLC with respect to the Alternative Strategies Fund; (e) each of Brown Brothers Harriman & Co., Guggenheim Partners Investment Management, LLC and Neuberger Berman Investment Advisers LLC with respect to the High Income Alternatives Fund; (f) Oldfield Partners LLP with respect to the Oldfield International Value Fund; (g) Dynamic Beta investments, LLC ("DBi") with respect to the Managed Futures ETF; (h) DBi with respect to the Hedge Strategy ETF; and (i) Dolan McEniry Capital Management, LLC with respect to the Corporate Bond Fund (each of the foregoing sub-advisors, a "Sub-Advisor," and collectively, the "Sub-Advisors"). The Board, including the Independent Trustees, also approved the continuation for an additional one-year term through April 30, 2024 of (i) the Restated Contractual Advisory Fee Waiver Agreement between the Trust, on behalf of the Funds, and the Advisor (the "Fee Waiver Agreement") and (ii) the Operating Expenses Limitation Agreement between the Trust, on behalf of the Global Select Fund, the High Income Alternatives Fund, the SBH Focused Small Value Fund, the Oldfield International Value and the Corporate Bond Fund, and the Advisor (the "Operating Expenses Limitation Agreements" and collectively with the Fee Wavier Agreement and the Advisory Agreements, the "Agreements").

Prior to the Meeting, the Independent Trustees had requested detailed information from the Advisor regarding the Funds. The materials provided by the Advisor were extensive, including advisory fee and expense comparisons, performance comparisons, Advisor profitability information, and a summary of compliance programs of the Sub-Advisors. In addition, the Independent Trustees discussed the renewal of the Agreements with representatives of the Advisor and were advised by independent counsel on these and other relevant matters.

The Trustees, including the Independent Trustees, also noted that they had received extensive information about, and presentations from, various members of senior management at the Advisor regarding the Funds throughout the year, including, without limitation, information on and/or discussion of the Funds' and each Sub-Advisor's investment results; portfolio composition; portfolio trading practices; shareholder services; advisory fees and expense comparisons; the Advisor's financial condition and profitability; compliance monitoring by the Advisor; the personnel at the Advisor and the Sub-Advisors providing investment management, compliance and other services to the Funds; and the Advisor's process for selecting Sub-Advisors for the Funds as well as the Advisor's ongoing oversight of the Sub-Advisors.

The information provided to the Board at the Meeting, together with the information provided to the Board throughout the year, formed the primary (but not exclusive) basis for the Board's determinations. The Board did not identify any single issue or particular datum point that, in isolation, would be a controlling factor in its decision to approve or renew the Agreements. Rather, the Board considered the total mix of information provided. The following summary describes the key factors considered by the Independent Trustees (as well as the Board).

**1. Nature, extent and quality of services** 

The Independent Trustees considered the depth and quality of the Advisor's investment management process, including its sophisticated monitoring and oversight of the Sub-Advisors; the experience, capability and integrity of its senior management and other personnel; the low turnover rates of its key personnel involved in the day-to-day operations of the Funds; and the overall financial strength and stability of its organization. The Independent Trustees also considered that the Advisor provided personnel to serve as officers of the Trust, including the Trust's CCO, and that the services of the CCO were provided at a reasonable allocated cost to the Trust. The Independent Trustees discussed the high level of sub-advisor due diligence continually being undertaken by the Advisor. The Independent Trustees also noted the high quality of the non-advisory management services provided by the Advisor, such as responsiveness to shareholder inquiries and requests of the Board, as well as the preparation of high quality shareholder communications and the development of targeted marketing

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programs for the Funds. In addition, the Independent Trustees noted that, because the Advisor is a significant shareholder in the Funds, the Advisor has an additional incentive to ensure that the Funds perform well for the shareholders. The Independent Trustees also noted that the members of senior management of the Advisor, including Mr. DeGroot, as well as certain of the Independent Trustees themselves have made significant investments in the Funds.

The Independent Trustees, based on guidance and information provided by the Trust's CCO, also considered the Advisor's policies, procedures and systems to ensure compliance with applicable laws and regulations and its adherence to and continual enhancement of those programs; its efforts to keep the Board informed; and its attention dedicated to matters that may involve potential conflicts of interest with a Fund. The Independent Trustees considered the extent and effectiveness of the Advisor's compliance operations and the Advisor's oversight of the Sub-Advisors' and other service providers' compliance operations.

The Independent Trustees then reviewed various materials relating to the Sub-Advisors, including copies of each Investment Sub-Advisory Agreement; copies of the Form ADV for each Sub-Advisor; information on assets of the Funds managed and fees charged by each Sub-Advisor; a summary of the compliance programs of the Sub-Advisors; and an oral report by the CCO on each Sub-Advisor's commitment to compliance. The Independent Trustees also considered the Advisor's lengthy and extensive due diligence process for selecting and monitoring each Sub-Advisor and the value of goodwill between the Advisor and each Sub-Advisor.

The Independent Trustees concluded that the nature, overall quality, and extent of the services provided and to be provided by the Advisor and the Sub-Advisors are fully satisfactory.

**2. Investment results** 

The Independent Trustees reviewed the short-term and long-term performance of each Fund on both an absolute basis and in comparison to peer funds and benchmark indices. They also considered information regarding the selection, and discussed the appropriateness, of such peer funds and benchmark indices. The Independent Trustees considered the overall performance of the Funds as well as the performance of each Sub-Advisor within each Fund as compared to each Sub-Advisor's own comparable mutual fund(s) or private fund(s) (if applicable). The Independent Trustees focused on longer-term performance, which they believe is more important than short, isolated periods for purposes of evaluating each Fund's success in meeting its investment objective.

In particular, the Independent Trustees relied upon, among other information, the KFS Report. The Independent Trustees noted that KFS, and not the Advisor, selected the peer funds used in the KFS Report and that the Advisor had supplemented the KFS Report with additional performance comparisons.

For the Global Select Fund, the Independent Trustees compared its investment results for its Institutional shares to a number of benchmarks, including (1) the MSCI World Index (the "Global Select Market Benchmark"); (2) the Morningstar Large Blend Category (the "Global Select Morningstar Category"); and (3) the KFS Peer Group for the Global Fund (together with the Global Morningstar Category, the "Global Select Fund Benchmarks"). The Independent Trustees noted that the Global Fund outperformed the Global Select Market Benchmark and the Global Select Fund Benchmarks for the ten-year and fifteen-year periods ended September 30, 2022. The Independent Trustees noted that effective July 29, 2022, the Advisor had removed all but one existing Sub-Advisor and added three Sub-Advisors with expanded flexibility to invest globally. The Independent Trustees also noted that in connection with the Fund's expanded investment mandate, the Fund's benchmark had changed from the Russell 3000 Index to the MSCI World Index, and that because of these changes the Fund's historical performance does not fully reflect its current investment strategies.

For the International Fund, the Independent Trustees compared its investment results for its Institutional shares to (1) the MSCI ACWI ex-U.S. Index (the "International Market Benchmark"); (2) the Morningstar Foreign Large Blend Category (the "International Morningstar Category"); and (3) the KFS Peer Group for the International Fund (together with the International Morningstar Category, the "International Fund Benchmarks"). The Independent Trustees noted that the International Fund underperformed the International Market Benchmark and the International Fund Benchmarks for the one-year, three-year, five-year, ten-year and fifteen-year periods ended September 30, 2022.

For the Alternative Strategies Fund, the Independent Trustees compared its investment results for its Institutional shares to (1) the 3-month London Interbank Offered Rate (LIBOR) (the "Alternative Strategies Market Benchmark"); (2) the Morningstar Multi-Strategy Category (the "Alternative Strategies Morningstar Category"); and (3) the KFS Peer Group for the Alternative Strategies Fund (together with the Alternative Strategies Morningstar Category, the "Alternative Strategies Fund Benchmarks"). The Independent Trustees noted that the Alternative Strategies Fund outperformed the Alternative Strategies Morningstar Category for the five-year period ended September 30, 2022 and the Alternative Strategies Morningstar Category and Alternative Strategies Fund Benchmarks for the ten-year period ended same date.

For the High Income Alternatives Fund, the Independent Trustees compared its investment results for its Institutional shares to (1) the Bloomberg U.S. Aggregate Bond Index (the "High Income Alternatives Market Benchmark"); (2) the Morningstar Nontraditional Bond Category (the "High Income Alternatives Morningstar Category"); and (3) the KFS Peer Group for the High Income Alternatives Fund (together with the High Income Alternatives Morningstar Category, the "High Income Alternatives Fund Benchmarks"). The Independent Trustees noted that, with respect to the one-year and three-year periods ended September 30, 2022, the High Income Alternatives Fund outperformed the High Income Alternatives Market Benchmark and the High Income Alternatives Fund Benchmarks.

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**OTHER INFORMATION – (Unaudited) – (Continued)** 

For the Oldfield International Value Fund, the Independent Trustees compared its investment results for its Institutional shares to (1) the MSCI EAFE Value Index (the "Oldfield International Value Market Benchmark"); (2) the Morningstar Foreign Large Value Category (the "Oldfield International Value Morningstar Category"); and (3) the KFS Peer Group for the Oldfield International Value Fund (together with the Oldfield International Value Morningstar Category, the "Oldfield International Value Fund Benchmarks"). The Independent Trustees noted that, with respect to the one-year period ended September 30, 2022, the Oldfield International Value Fund underperformed the Oldfield International Value Market Benchmark and the Oldfield International Value Fund Benchmarks.

For the SBH Focused Small Value Fund, the Independent Trustees compared its investment results for its Institutional shares to (1) the Russell 2000 Value Index (the "SBH Focused Small Value Market Benchmark"); (2) the Morningstar Small Value Category (the "SBH Focused Small Value Morningstar Category"); and (3) the KFS Peer Group for the SBH Focused Small Value Fund (together with the SBH Focused Small Value Morningstar Category, the "SBH Focused Small Value Fund Benchmarks"). The Independent Trustees noted that, with respect to the one-year period ended September 30, 2022, the SBH Focused Small Value Fund underperformed the SBH Focused Small Value Market Benchmark and the SBH Focused Small Value Fund Benchmarks.

For the Dolan McEniry Corporate Bond Fund, the Independent Trustees compared its investment results for its Institutional shares and Investor shares to (1) the Bloomberg U.S. Intermediate Credit Index (the "Dolan McEniry Corporate Bond Market Benchmark"); (2) the Bloomberg U.S. Aggregate Bond Index Category (the "Dolan McEniry Corporate Bond Morningstar Category"); and (3) the KFS Peer Group for the Dolan McEniry Corporate Bond Fund (together with the Dolan McEniry Corporate Bond Morningstar Category, the "Dolan McEniry Corporate Bond Fund Benchmarks"). The Independent Trustees noted that, with respect to the one-year period ended September 30, 2022, the Dolan McEniry Corporate Bond Fund outperformed the Dolan McEniry Corporate Bond Market Benchmark and the Dolan McEniry Corporate Bond Fund Benchmarks. It was noted that for the three-year period the Dolan McEniry Fund slightly underperformed the Dolan McEniry Corporate Bond Market Benchmark and outperformed the Dolan McEniry Corporate Bond Morningstar Category.

For the DBi Managed Futures Strategy ETF, the Independent Trustees compared its investment results for its (1) SG CTA Index (the "DBi Managed Futures Strategy Market ETF Benchmark"); (2) the "DBi Managed Futures Strategy ETF Morningstar Category"); and (3) the KFS Peer Group for the DBi Managed Futures Strategy ETF (together with the DBi Managed Futures Strategy ETF Morningstar Category, the "DBi Managed Futures Strategy ETF Benchmarks"). The Independent Trustees noted that, with respect to the one-year and three-year periods ended September 30, 2022, the DBi Managed Futures Strategy ETF outperformed the DBi Managed Futures Strategy Market ETF Benchmark and the DBi Managed Futures Strategy ETF Benchmarks.

For the DBi Hedge Strategy ETF, the Independent Trustees compared its investment results for its (1) HFRX Equity Hedge Index (the "DBi Hedge Strategy Market ETF Benchmark"); (2) the "DBi Hedge Strategy ETF Morningstar Category"); and (3) the KFS Peer Group for the DBi Hedge Strategy ETF (together with the DBi Hedge Strategy ETF Morningstar Category, the "DBi Hedge Strategy ETF Benchmarks"). The Independent Trustees noted that, with respect to the one-year period ended September 30, 2022, the DBi Hedge Strategy ETF underperformed the DBi Hedge Strategy Market ETF Benchmark and outperformed the DBi Hedge Strategy ETF Benchmarks.

The Independent Trustees noted that the performance of the Sub-Advisors varies over time and noted and acknowledged the Advisor's detailed monitoring of the Sub-Advisors' investment results, and interactions with Sub-Advisors, particularly those Sub-Advisors that were experiencing periods of underperformance. The Independent Trustees noted and considered the comments by the Advisor with respect to underperforming Sub-Advisors, discussions at Board meetings throughout the year regarding the potential sources of underperformance and actions taken by the Advisor in response to underperformance by certain Sub-Advisors. The Independent Trustees considered the Advisor's process for terminating Sub-Advisors and noted the Advisor's continued willingness to terminate Sub-Advisors if the Advisor determined that the termination would be in the best interest of a Fund and its shareholders. The Independent Trustees also noted and considered the Advisor's ability to attract and retain "world-class" investment managers to serve as Sub-Advisors to the Funds, as well as the Advisor's extensive screening process before hiring a Sub-Advisor.

The Trustees noted the difficulty of fairly benchmarking the Funds in terms of performance. Ultimately, the Independent Trustees concluded that they were satisfied with the Funds' overall performance records and were satisfied with the Advisor's explanation for the periods of underperformance but will remain attentive to the Advisor's monitoring of Sub-Advisors experiencing on-going underperformance. The Independent Trustees further concluded that the Advisor was applying appropriate discipline and oversight to ensure that each Fund adhered to its stated investment objective and strategies, and the performance and services of the Sub-Advisors supported the decision to renew the Advisory Agreements.

**3. Advisory fees and total expenses** 

The Independent Trustees reviewed the advisory fees and total expenses of each Fund and compared them with the advisory fees and total expenses of funds in the KFS Peer Group for each Fund. The Independent Trustees noted that the KFS Peer Group for each Fund was selected independently by KFS using a selection methodology designed to identify those funds most comparable to each Fund. The Independent Trustees further noted that in selecting the KFS Peer Group for each Fund, KFS considered various screening criteria, including, without limitation, fund type, category as determined by Morningstar, Inc., load/sales charge type, average net assets, and fund attributes. The Independent Trustees also noted that, to the extent possible without affecting KFS' core peer fund selection methodologies,

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KFS had attempted to include funds that are considered by Morningstar to have a manager-of-managers structure in the KFS Peer Group for each Fund. The Independent Trustees then discussed various areas in which the Funds are different from the funds included in the KFS Peer Groups, such as distribution channels and investment strategies or approaches.

The Independent Trustees noted that the components of a fund's total expense ratio in the KFS Report included non-operating costs, including dividend and interest expense. The Independent Trustees noted that according to the KFS Report, the total expenses of the Global Select Fund were above the average of the Fund's KFS Peer Group and Morningstar Category. The Independent Trustees further noted that the Fund's advisory fee was above the average of the Fund's KFS Peer Group and Morningstar Category.

The Independent Trustees noted that the total expenses of the International Fund were above the average of the Fund's KFS Peer Group and Morningstar Category. The Independent Trustees further noted that the Fund's advisory fee was above the average of the Fund's KFS Peer Group and Morningstar Category.

The Independent Trustees noted that both the total expenses and the advisory fee of the Alternative Strategies Fund were below the average of the Fund's KFS Peer Group and in line with the Fund's Morningstar Category.

The Independent Trustees noted that the total expenses of the High Income Alternatives Fund were below the Fund's KFS Peer Group and slightly above the Fund's Morningstar Category. The Independent Trustees further noted that the Fund's advisory fee was below the average of the Fund's KFS Peer Group and Morningstar Category.

The Independent Trustees noted that the total expenses of the Oldfield International Value Fund were slightly above the average of the Fund's KFS Peer Group and Morningstar Category. The Independent Trustees further noted that the Fund's advisory fee was below the average of the Fund's KFS Peer Group and Morningstar Category.

The Independent Trustees noted that the total expenses of the SBH Focused Small Value Fund were below the average of the Fund's KFS Peer Group and above the Fund's Morningstar Category. The Independent Trustees further noted that the Fund's advisory fee was below the average of the Fund's KFS Peer Group and Morningstar Category.

The Independent Trustees noted that the total expenses of the Dolan McEniry Corporate Bond Fund were above the average of the Fund's KFS Peer Group and Morningstar Category. The Independent Trustees further noted that the Fund's advisory fee was below the average of the Fund's KFS Peer Group and Morningstar Category.

The Independent Trustees noted that both the total expenses and the advisory fee for the DBi Managed Futures Strategy ETF were slightly above the averages of the Fund's KFS Peer Group and Morningstar Category.

The Independent Trustees noted that the total expenses for the DBi Hedge Strategy ETF were below the average of the Fund's KFS Peer Group and Morningstar Category. The Board further noted that the Fund's advisory fee was above the average of the Fund's KFS Peer Group and Morningstar Category.

For each Fund with higher than average total expenses, the Independent Trustees reviewed the categories of expenses contributing to the higher expense ratios of those Funds. The Independent Trustees also agreed that the Funds' use of the manager-of-managers structure is a primary contributor to the relatively higher advisory fees, and noted that the higher advisory fees allow shareholders of the Funds to have access to Sub-Advisors to which they otherwise might not have access and that the higher fees are justified by the long-term performance results of certain Funds and potential performance results for underperforming Funds.

The Independent Trustees also noted the Advisor's continued willingness to waive fees or reimburse operating expenses to maintain a competitive fee structure for each Fund and to pass through savings from fee breakpoints in any Sub-Advisor's fee schedule to the applicable Fund's shareholders. The Independent Trustees further took into account the Fee Waiver Agreement, as most recently amended September 7, 2022. The Independent Trustees further also took into account the Operating Expenses Limitation Agreements with respect to the Dolan McEniry Corporate Bond Fund, Global Select Fund, High Income Alternatives Fund, SBH Focused Small Value Fund and Oldfield International Value Fund, pursuant to which the Advisor has separately agreed to limit those Funds' operating expenses for the period through April 30, 2024.

The Independent Trustees noted the United States Supreme Court's guidance in *Jones v. Harris Associates* on the relevance of comparisons of advisory fees charged by the Advisor to other similarly managed separate accounts such as pension funds or other institutional investors. The Advisor presented to the Independent Trustees the advisory fees the Advisor and its affiliates charge their separately managed accounts and private investment funds (collectively, the "Other Accounts"). The Advisor explained, to the Independent Trustees' satisfaction, various factors that contribute to the different fee schedules between the Funds and the Other Accounts, including the fact that the products the Advisor and its affiliates offer for the Funds (*i.e.*, concentrated sub-portfolios managed by a selection of Sub-Advisors) and the Other Accounts are significantly different; that the services the Advisor and its affiliates provide for the Funds (*i.e.*, the assembly and monitoring of the Sub-Advisors) are not readily available on the market; that the Other Accounts have much higher minimum investment requirements as compared to those of the Funds; and that certain regulatory compliance obligations and liquidity requirements are only applicable to the Funds and not the Other Accounts.

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**OTHER INFORMATION – (Unaudited) – (Continued)** 

The Independent Trustees noted that the sub-advisory fees payable to the Sub-Advisors are separately negotiated with the Advisor and are paid out of the advisory fees the Advisor receives from the Funds. The Independent Trustees also noted that the fees charged by the Sub-Advisors are discounted relative to the fees the Sub-Advisors charge to their own funds and separately managed accounts, and that the Advisor from time to time attempts to renegotiate lower fees with the Sub-Advisors. Given the existence of arm's-length bargaining between the Advisor and each Sub-Advisor, the Independent Trustees did not engage in an extensive discussion of sub-advisory fees and expenses.

Based on such review, the Independent Trustees concluded that the advisory fees and the total expenses of the Funds are reasonable in relation to the services the Funds receive from the Advisor and the Sub-Advisors.

**4. The Advisor's financial information** 

The Independent Trustees reviewed information regarding the Advisor's costs of managing the Funds and information regarding the profitability of the Advisor. The Independent Trustees also considered the extent to which economies of scale may be realized as each Fund grows and whether advisory fee levels reflect economies of scale if the Funds grow in size. The Independent Trustees also noted that the Advisor had voluntarily forgone profits to subsidize the Funds when they were at lower asset levels.

*The Advisor's Costs and Profitability*. The Independent Trustees noted that the Advisor appeared to be providing products that are competitively priced with other funds, especially funds with multiple sub-advisors. The Independent Trustees reviewed the total advisory fees, the amounts paid by the Advisor to the various Sub-Advisors, the general cost of the services provided by the Advisor and the Advisor's retained portion of the total advisory fee. The Independent Trustees took note of information provided on advisory fees waived by the Advisor, noting that the Advisor had waived substantial advisory fees otherwise payable under the Investment Advisory Agreement over the most recent year, and that the Advisor follows a policy of not charging advisory fees on unallocated cash.

The Independent Trustees also noted that the Advisor to date had not sought recoupment of any advisory fees waived under the Fee Waiver Agreement. The Independent Trustees also considered the Advisor's continued willingness to invest in staff dedicated to the Funds, including new hires when needed. The Independent Trustees received information that assured them that the Advisor was financially sound and able to honor its sponsorship commitments to the Funds and that the Advisor's expected profits under the Advisory Agreement are in the range of reasonableness for the mutual fund management industry. The Independent Trustees did not engage in an analysis of Fund-by-Fund profitability given the integrated nature of the Advisor's management of the Funds.

The Independent Trustees did not engage in an extended analysis of Sub-Advisor profitability given the arm's-length nature of the bargaining between the Advisor and each Sub-Advisor and the difficulty in interpreting profitability information with respect to each Sub-Advisor due to, among other factors, the use of disparate accounting conventions, disparate ownership structures, and the fact that many Sub-Advisors managed only a portion of each Fund. The Independent Trustees also reviewed information regarding the structure and manner in which the Advisor's and the Sub-Advisors' investment professionals are compensated and how the compensation structures are designed to attract and retain high caliber personnel and to promote the long-term performance of the Funds.

*Economies of Scale.* The Independent Trustees noted that the Advisor has continued to take steps to reduce expenses of the Funds, including agreeing to amendments to the breakpoints in its fee schedules to provide for higher fee waivers, negotiating favorable terms with service providers and providing certain support services to the Funds on a cost-only basis, which represents a sharing of economies of scale. In addition, the Independent Trustees took note of the investments in the Funds made by the Other Accounts, which help reduce costs for the Funds by increasing the asset base of the Funds. The Independent Trustees also took favorable note of the Advisor's efforts to invest in its advisory organization to ensure strong research, analytic and marketing capabilities.

*Ancillary Benefits*. The Independent Trustees considered other actual and potential financial benefits to the Advisor, noting that the Advisor does not have any direct affiliates that have a relationship with the Funds. The Independent Trustees are, however, aware that the Advisor's parent company, iM Global, benefits from having certain Sub-Advisors that are affiliates of that parent company, which could be viewed as providing an indirect benefit to the Advisor and creating a conflict of interest for the Advisor. The consensus of the Independent Trustees is that they would remain attentive to those potential indirect benefits and conflicts of interest.

**5. Conclusions** 

Based on their review, including their non-exclusive consideration of each of the factors referred to above, the Independent Trustees as well as the Board concluded that the Agreements are fair and reasonable to each Fund and its shareholders, that each Fund's shareholders received or would receive reasonable value in return for the advisory fees and other amounts paid to the Advisor, and that the renewal or approval, as applicable, of the Agreements would be in the best interests of each Fund and its shareholders. Each of the factors discussed above supported such approval.

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**INDEX DEFINITIONS** 

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**The ABX Indexes** serve as a benchmark of the market for securities backed by home loans issued to borrowers with weak credit. **The ABX 2006-2 AAA** is an asset-backed index that tracks AAA-rated bonds issued prior to the second half of 2006. **The ABX 2007-1 AAA** is an asset-backed index that tracks AAA-rated bonds issued prior to the first half of 2007.

**BofA Merrill Lynch U.S. High Yield Master II Index** tracks the performance of below investment grade, but not in default, US dollar-denominated corporate bonds publicly issued in the US domestic market.

**The BofA Merrill Lynch High Yield Cash Pay Index** is an unmanaged index used as a general measure of market performance consisting of fixed-rate, coupon-bearing bonds with an outstanding par which is greater than or equal to $50 million, a maturity range greater than or equal to one year and must be less than BBB/Baa3 rated but not in default.

**Bloomberg Barclays U.S. Aggregate Bond Index** is a market capitalization-weighted index, meaning the securities in the index are weighted according to the market size of each bond type. Most U.S. traded investment grade bonds are represented. The index includes U.S. treasury securities (non TIPS), government agency bonds, mortgage backed bonds, corporate bonds, and a small amount of foreign bonds traded in the U.S.

**Bloomberg Barclays U.S. Intermediate Credit Index**: is the intermediate component of the Bloomberg Barclays U.S. Credit Index. The Bloomberg Barclays U.S. Credit Index measures the investment grade, US dollar-denominated, fixed-rate, taxable, corporate and government – related bond markets. It is composed of the US Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals, and local authorities.

The **CBOE Russell 2000 PutWrite Index** **(PUTR)** is designed to track the performance of a hypothetical strategy that sells a monthly at-the-money (ATM) Russell 2000 Index put option.

The *CBOE Russell 2000 Volatility Index* **(RVX)** is a key measure of market expectations of near-term *volatility* conveyed by *Russell 2000<sup>®</sup> Index* (RUT) option prices. The RVX *Index* measures the market's expectation of 30-day *volatility* implicit in the prices of near-term RUT options traded at *CBOE.*

The **CBOE S&P 500 PutWrite Index** (ticker symbol **PUT**) is a benchmark index that measures the performance of a hypothetical portfolio that sells S&P 500 Index (SPX) put options against collateralized cash reserves held in a money market account.

**The CBOE S&P 500 2% OTM PutWrite Index (PUTY<sup>SM</sup> Index**) is designed to track the performance of a hypothetical passive investment strategy that collects option premiums from writing a 2% Out-of-the Money (OTM) SPX Put option on a monthly basis and holds a rolling money market account invested in one-month T-bills to cover the liability from the short SPX Put option position.

**CDX** is a series of credit default swap indexes, used to hedge credit risk or to take a position on a <u>basket</u> of credit entities.

*The Citigroup Economic Surprise Indices are objective and quantitative measures of economic news. They are defined as weighted historical standard deviations of data surprises.* 

**FTSE Emerging Markets Index** – ETF Tracker. The Index is a market capitalization index, adjusted based on the free-float of potential index constituents, and designed to measure the performance of large-, medium- and small-capitalization companies located in emerging market countries throughout the world.

**The FTSE Global All Cap ex U.S. Index** is part of a range of indices designed to help U.S. investors benchmark their international investments. The index comprises large, mid and small cap stocks globally excluding the U.S. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world's investable market capitalization.

The **HFRI Equity Hedge Index** is comprised of managers typically maintaining at least 50%, and in some cases be substantially entirely invested in equities and equity derivatives, both long and short. Strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. The HFRI Emerging Markets Index is comprised of strategies according to their regional investment focus only. There is no investment strategy criteria for inclusion in these indices.

**The HFRI Event Driven Index:** Consists of investment managers who maintain positions in companies currently or prospectively involved in corporate transactions of a wide variety including but not limited to mergers, restructurings, financial distress, tender offers, shareholder buybacks, debt exchanges, security issuance or other capital structure adjustments. Security types can range from most senior in the capital structure to most junior or subordinated, and frequently involve additional derivative securities. Event driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments.

**The HFRI Event Driven Merger Arbitrage Index:** Consists of merger arbitrage strategies which employ an investment process primarily focused on opportunities in equity and equity related instruments of companies which are currently engaged in a corporate transaction. Merger arbitrage involves primarily announced transactions, typically with limited or no exposure to situations which pre-, post-date or situations in which no formal announcement is expected to occur. Opportunities are frequently presented in cross border, collared and international transactions which incorporate multiple geographic regulatory institutions, with typically involve minimal exposure to corporate credits. Merger arbitrage strategies typically have over 75% of positions in announced transactions over a given market cycle.

**The HFRX Fixed Income – Credit Index** is an unmanaged index that includes strategies with exposure to credit across a broad continuum of credit sub-strategies, including Corporate, Sovereign, Distressed, Convertible, Asset Backed, Capital Structure Arbitrage, Multi-Strategy and other Relative Value and Event Driven sub-strategies.

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**The HFRX Global Hedge Fund Index** is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage.

**ICE BofAML 0-3 Year U.S. Treasury Index** tracks the performance of U.S. dollar denominated sovereign debt publicly issued by the U.S. government in its domestic market with maturities less than three years.

**ICE BofA Merrill Lynch 1-3 US Year Treasury Index** is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years.

**The ICE BofAML U.S. High Yield Cash Pay TR USD Index** is an unmanaged index that measures the performance of short-term U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market.

**LIBOR** stands for London Interbank Offered Rate. It's an index that is used to set the cost of various variable-rate loans.

**Morningstar Category Averages:** Each Morningstar Category Average is representative of funds with similar investment objectives.

**The MSCI All Country World Index** is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.

**The MSCI All Country World ex U.S. Index** is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States.

**The MSCI All Country World ex U.S. Growth Index** is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. It includes companies with higher price-to-book ratios and higher forecasted growth values.

**The MSCI All Country World ex U.S. Value Index** is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. It includes companies with lower price-to-book ratios and lower forecasted growth values.

**The MSCI China Index** captures large and mid cap representation across China A shares, H shares, B shares, Red chips, P chips and foreign listings (e.g. ADRs). With 739 constituents, the index covers about 85% of this China equity universe

**The MSCI Emerging Markets ex China Index** captures large and mid cap representation across 24 of the 25 Emerging Markets (EM) countries\* excluding China. With 681 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

**The MSCI EAFE Index (Europe, Australasia, Far East**) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. As of May 27, 2010 the MSCI EAFE Index consisted of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.

**The MSCI Emerging Markets** Index captures large and mid-cap representation across 23 Emerging Markets (EM) countries. With 836 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

**The MSCI World Index** is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, including the United States.

**The Russell 1000 Index** measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000<sup>®</sup> Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 92% of the U.S. market.

**The Russell 1000 Growth Index** measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

**The Russell 2000 Index** measures the performance of the 2,000 smallest companies in the Russell 3000 Index.

**The Russell 2000 Value Index** measures the performance of small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

**The Russell 2500 Index** measures the performance of the small to mid-cap segment of the U.S. equity universe, commonly referred to as "smid" cap. The Russell 2500 Index is a subset of the Russell 3000 Index. It includes approximately 2500 of the smallest securities based on a combination of their market cap and current index membership.

**The Russell 3000 Index** measures the performance of the 3,000 largest U.S. companies as measured by total market capitalization, and represents about 98% of the U.S. stock market.

**The Russell 3000 Value Index** is a broad based index that measures the performance of those companies within the 3,000 largest U.S. companies, based on total market capitalization, that have lower price-to-book ratios and lower forecasted growth rates.

***The SG CTA Index*** is an index published by Société Générale that is designed to reflect the performance of a pool of Commodity Trading Advisor (CTAs) selected from larger managers that employ systematic managed futures strategies. The index is reconstituted annually.

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**The S&P 500 Index** is widely regarded as the standard for measuring large-cap stock performance, and consists of 500 stocks that represent a sample of the leading companies in leading industries.

**The SPDR S&P 500 ETF** consists of 500 of the largest U.S. companies, and it is one of the most heavily traded securities in the world. It tracks the S&P 500 Index, and fund follows a full replication strategy, holding every stock in the index.

**The SPDR Financials Sector Index** seeks to provide an effective representation of the financial sector of the S&P 500 Index. The Index includes companies from the following industries: diversified financial services; insurance; banks; capital markets; mortgage real estate investment trusts ("REITs"); consumer finance; and thrifts and mortgage finance.

**The Vanguard 500 Index Fund** invests in 500 of the largest U.S. companies, which span many different industries and account for about three-fourths of the U.S. stock market's value. This fund tracks the S&P 500 Index as closely as possible.

**VIX** is a trademarked ticker symbol for the **Chicago Board Options Exchange Market Volatility Index**, a popular measure of the implied volatility of S&P 500 index options. Often referred to as the *fear index* or the *fear gauge*, it represents one measure of the market's expectation of stock market volatility over the next 30 day period.

***Indices are unmanaged, do not incur fees, and cannot be invested in directly.***

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**LITMAN GREGORY FUNDS TRUST** 

**INDUSTRY TERMS AND DEFINITIONS** 

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1. Active Share measures the degree of difference between a fund portfolio and its benchmark index.

2. Alpha is an annualized return measure of how much better or worse a fund's performance is relative to an index of
funds in the same category, after allowing for differences in risk.

3. Alt-A, or Alternative A-paper, is a type
of U.S. mortgage that, for various reasons, is considered riskier than A-paper, or "prime", and less risky than "subprime," the riskiest category.

4. The Basel Accords are three sets of banking regulations (Basel I, II and III) set by the Basel Committee on Bank
Supervision (BCBS), which provides recommendations on banking regulations in regards to capital risk, market risk and operational risk.

5. A basis point is a value equaling one one-hundredth of a percent (1/100 of 1%).

6. Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a
whole.

7. Book value is the net asset value of a company, calculated by subtracting total liabilities and intangible assets from
total assets.

8. Brexit is an abbreviation of "British exit", which refers to the June 23, 2016 referendum by British voters
to exit the European Union.

9. Business development company (BDC) is an organization that invests in and helps small- and medium-size companies grow in the initial stages of their development.

10. Cash flow measures the cash generating capability of a company by adding non-cash charges (e.g., depreciation) and interest expense to pretax income.

11. Cash flow yield (or free cash flow yield) is a financial solvency ratio that compares the free cash flow per share a
company is expected to earn against its market value per share. The ratio is calculated by taking the free cash flow per share divided by the current share price.

12. Capex (capital expenditures) are expenditures creating future benefits.

13. Collateralized Loan Obligation (CLO) is a security backed by a pool of debt, often low-rated corporate loans. Collateralized loan obligations (CLOs) are similar to collateralized mortgage obligations, except for the different type of underlying loan.

14. Combined ratio is a formula used by insurance companies to relate premium income to claims, administration and dividend
expenses. It is used in the annual statement filed by an insurer with the state insurance department. It is calculated by dividing the sum of incurred losses and expenses by earned premium.

15. Compound annual growth rate (CAGR) is the rate of growth of a number, compounded over several years.

16. Conditional pre-payment rate is a loan prepayment rate that is equal to the
proportion of the principal of a pool of loans that is assumed to be paid off prematurely in each period.

17. The Consumer Price Index (CPI) is a measure that examines the weighted average of prices of a basket of consumer
goods and services, such as transportation, food and medical care. Changes in the CPI are used to assess price changes associated with the cost of living; the CPI is one of the most frequently used statistics for identifying periods
of inflation or deflation.

18. Correlation is a statistical measure of how two securities move in relation to each other.

19. A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and
paid from issue date until maturity.

20. Covenants most often relate to terms in a financial contract, such as a loan document or bond issue stating the limits at
which the borrower can further lend.

21. Credit default swaps are swaps designed to transfer the credit exposure of fixed income products between parties. A credit
default swap is also referred to as a credit derivative contract, where the purchaser of the swap makes payments up until the maturity date of a contract. Payments are made to the seller of the swap. In return, the seller agrees to pay off a third
party debt if this party defaults on the loan.

22. Discounted cash flow is calculated by multiplying future cash flows by discount factors to obtain present values.

23. Diversification is the spreading of risk by putting assets in several categories of investments.

24. Dividend yield is the return on an investor's capital investment that a company pays out to its shareholders in the
form of dividends. It is calculated by taking the amount of dividends paid per share over the course of a year and dividing by the stock's price.

25. Drawdown is the peak-to-trough decline
during a specific record period of an investment, fund or commodity.

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26. Dry powder refers to cash reserves kept on hand to cover future obligations or purchase assets, if conditions are
favorable.

27. Duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in
interest rates. Duration is expressed as a number of years. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices.

28. Earnings per share (EPS) is calculated by taking the total earnings divided by the number of shares outstanding.

29. EBIT is a company's earnings before interest and taxes, and measures the profit a company generates from its
operations, making it synonymous with "operating profit".

30. EBITDA is a company's earnings before interest, taxes, depreciation, and amortization.

31. E-Mini Futures Are an electronically traded futures contract on the Chicago
Mercantile Exchange that represents a portion of the normal futures contracts.

32. Enterprise value is a measure of a company's total value, calculated by adding a corporation's market
capitalization, preferred stock, and outstanding debt together and then subtracting out the cash and cash equivalents.

33. Enterprise value/adjusted target operating profit (or Enterprise Value/adjusted target EBIT) is a financial ratio that
compares the total valuation of the company with its profitability, adjusting for various special circumstances.

34. EV/EBITDA is the enterprise value of a company divided by earnings before interest, taxes, depreciation, and amortization.

35. EV/Sales is the ratio of enterprise value of a company divided by the total sales of the company for a particular period,
usually one year.

36. Floating interest rate, also known as a variable or adjustable rate, refers to any type of debt instrument, such as a
loan, bond, mortgage, or credit, that does not have a fixed rate of interest over the life of the instrument.

37. Forex (FX) is the market in which currencies are traded.

38. Free cash flow is the amount of cash a company has after expenses, debt service, capital expenditures, and dividends.

39. Futures are financial contracts obligating the buyer to purchase an asset (or the seller to sell an asset), such as a
physical commodity or a financial instrument, at a predetermined future date and price. Futures contracts detail the quality and quantity of the underlying asset; they are standardized to facilitate trading on a futures exchange.

40. The G20 (or G-20 or Group of Twenty) is an international forum for the governments
and central bank governors from 20 major economies. It was founded in 1999 with the aim of studying, reviewing, and promoting high-level discussion of policy issues pertaining to the promotion of international financial stability.

41. Gross merchandise volume or GMV is a term used in online retailing to indicate a total sales dollar value for merchandise
sold through a particular marketplace over a certain time frame.

42. "Growth" stocks are generally considered to be stocks of companies with high expected earnings growth compared
to "value" stocks. Because of this higher expected growth, growth stocks tend to be priced at a higher multiple of their current earnings than value stocks. However, the premium paid for growth stocks compared to value stocks can vary
dramatically depending on the market environment.

43. Industry cost curve is the standard microeconomic graph that shows how much output suppliers can produce at a given cost
per unit. As a strategic tool, the cost curve applies most directly to commodity or near commodity industries, in which buyers get roughly the same value from a product regardless of who produces it.

44. An interest rate future is a financial derivative (a futures contract) with an interest-bearing instrument as the
underlying asset. It is a particular type of interest rate derivative. Examples include Treasury-bill futures, Treasury-bond futures and Eurodollar futures.

45. An interest rate swap is a forward contract in which one stream of future interest payments is exchanged for another based
on a specified principal amount.

46. Internal Rate of Return (IRR) is the discount rate often used in capital budgeting that makes the net present value of all
cash flows from a particular project equal to zero.

47. Inverse floater (or inverse floating rate note) is a bond or other type of debt whose coupon rate has an inverse
relationship to a benchmark rate.

48. Inverse interest-only security is a security that pays a coupon inversely related to market rates (i.e., it moves in the
opposite direction of interest rates), instead of paying a coupon corresponding to the interest payments homeowners (mortgagors) actually make.

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49. An Investment Grade bond is a bond with a rating of AAA to BBB; a Below Investment Grade bond is a bond with a rating
lower than BBB

50. A Leveraged Buyout (LBO) is the acquisition of another company using a significant amount of borrowed money to meet the
cost of acquisition.

51. Loss adjusted yields are those that already reflect the impact of assumed economic losses.

52. Margin of safety is a principle of investing in which an analyst only purchases securities when the market price is below
the analyst's estimation of intrinsic value. It does not guarantee a successful investment.

53. Market capitalization (or market cap) is the total value of the issued shares of a publicly traded company; it is equal to
the share price times the number of shares outstanding. MBA Refinance index is a weekly measurement put together by the Mortgage Bankers Association, a national real estate finance industry association, to predict mortgage activity and loan
prepayments based on the number of mortgage refinance applications submitted.

54. The Merrill Option Volatility Expectations Index (MOVE©) reflects a market estimate of future Treasury bond yield
volatility. The MOVE index is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options. The MOVE Index reports the average implied volatility across a wide range of
outstanding options on the two-year, five-year, 10-year, and 30-year U.S. Treasury securities.

55. Net operating profit after tax (NOPAT): A company's potential cash earnings if its capitalization were unleveraged
(that is, if it had no debt).

56. Normalized earnings are earnings adjusted for cyclical ups and downs of the economy. Also, on the balance sheet, earnings
adjusted to remove unusual or one-time influences.

57. Operating cash flow is calculated by summing net profit, depreciation, change in accruals, and change in accounts payable,
minus change in accounts receivable, minus change in inventories.

58. Options are financial derivatives that represent a contract sold by one party (option writer) to another party (option
holder). The contract offers the buyer the right, but not the obligation, to buy (call) or sell (put) a security or other financial asset at an agreed-upon price (the strike price) during a certain period of time or on a specific date (exercise
date).

59. An option premium is the current market price of an option contract. It is thus the income received by the seller (writer)
of an option contract to another party.

60. Out of the money (OTM) is term used to describe a call option with a strike price that is higher than the
market price of the underlying asset, or a put option with a strike price that is lower than the market price of the underlying asset. An out of the money option has no intrinsic value, but only possesses extrinsic or time
value.

61. Pair-wise correlation is the average of the correlations of each managers' performance with each of the other
managers on the fund.

62. Personal consumption expenditure is the measure of actual and imputed expenditures of households, and includes data
pertaining to durable and non-durable goods and services. It is essentially a measure of goods and services targeted towards individuals and consumed by individuals.

63. Present value is the current worth of a future sum of money or stream of cash flows given a specified rate of return.

64. Price to book ratio is calculated by dividing the current market price of a stock by the book value per share.

65. Price to earnings (P/E) ratio is a common tool for comparing the prices of different common stocks and is calculated by
dividing the current market price of a stock by the earnings per share. Similarly, multiples of earnings and cash flow are means of expressing a company's stock price relative to its earnings per share or cash flow per share, and are calculated
by dividing the current stock price by its earnings per share or cash per share. Forecasted earnings growth is the projected rate that a company's earnings are estimated to grow in a future period.

66. Price to sales (P/S) ratio is a tool for calculating a stock's valuation relative to other companies, calculated by
dividing a stock's current price by its revenue per share.

67. Price to tangible book value (PTBV) is a valuation ratio expressing the price of a security compared to its hard, or
tangible, book value as reported in the company's balance sheet. The tangible book value number is equal to the company's total book value less the value of any intangible assets.

68. Prime is a classification of borrowers, rates, or holdings in the lending market that are considered to be of high
quality.

69. Principal only securities are a type of fixed-income security where the holder is only entitled to receive regular cash
flows that are derived from incoming principal repayments on an underlying loan pool.

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70. Private market value is the value of a company if each of its parts were independent, publicly traded entities.

71. Prospective earnings growth ratio (PEG ratio): The projected one-year annual
growth rate, determined by taking the consensus forecast of next year's earnings, less this year's earnings, and dividing the result by this year's earnings.

72. Put writing is a family of options trading strategies that involve the selling of put options to earn premiums.
One can either write a covered put or a naked put. Utilizing a combination of covered puts and naked puts, one can also implement the ratio put write, which is a neutral strategy.

73. Quantitative Easing (QE) is a monetary policy in which a central bank purchases government securities or other securities
from the market in order to lower interest rates and increase the money supply.

74. Return on capital (ROC) is a measure of how effectively a company uses the money (borrowed or owned) invested in its
operations. It is calculated by dividing net income by invested capital.

75. Return on equity (ROE) is a measure of how well a company used reinvested earnings to generate additional earnings.
Expressed as a percentage, it is calculated by dividing net worth at the beginning of the period into net income for the period after preferred stock dividends but before common stock dividends.

76. Return on investment capital (ROIC) is calculated by subtracting dividends from net income and dividing by total capital.

77. Sequential growth is a measure of a company's short-term financial performance that compares the results achieved in
a recent period to those of the period immediately preceding it.

78. Sharpe ratio is the measure of a fund's return relative to its risk. The Sharpe ratio uses standard deviation to
measure a fund's risk-adjusted returns. The higher a fund's Sharpe ratio, the better a fund's returns have been relative to the risk it has taken on. Because it uses standard deviation, the Sharpe ratio can be used to compare
risk-adjusted returns across all fund categories.

79. Short (or short position) is the sale of a borrowed security, commodity, or currency with the expectation that the asset
will fall in value.

80. Sortino Ratio is a modification of the Sharpe ratio that differentiates harmful volatility from general volatility by
taking into account the standard deviation of negative asset returns, called downside deviation.

81. A sovereign bond is a debt security issued by a national government.

82. A special situation is a particular circumstance involving a security that would compel investors to trade the security
based on the special situation, rather than the underlying fundamentals of the security or some other investment rationale. A spin-off is an example of a special situation.

83. Spot price is the current price at which a particular security can be bought or sold at a specified time and place.

84. Standard deviation is a statistical measure of the historical volatility of a mutual fund or portfolio, usually computed
using 36 monthly returns.

85. Subprime refers to the credit quality of particular borrowers, who have weakened credit histories and a greater risk of
loan default than prime borrowers. The market for lenders and borrowers of subprime credit includes the business of subprime mortgages, subprime auto loans and subprime credit cards, as well as various securitization products that use subprime debt
as collateral.

86. Swaps, traditionally, are the exchange of one security for another to change the maturity (bonds), quality of issues
(stocks or bonds), or because investment objectives have changed. Recently, swaps have grown to include currency swaps and interest rate swaps.

87. Swaption (swap option): The option to enter into an interest rate swap. In exchange for an option premium, the buyer gains
the right but not the obligation to enter into a specified swap agreement with the issuer on a specified future date.

88. Tangible Book Value Per Share – TBVPS is a method of valuing a company on a per-share basis by measuring its equity after removing any intangible assets.

89. Tracking error is the monitoring the performance of a portfolio, usually to analyze the extent to which its price
movements conform or deviate from those of a benchmark.

90. Upside/downside capture is a statistical measure that shows whether a given fund has outperformed—gained more or lost
less than--a broad market benchmark during periods of market strength and weakness, and if so, by how much.

91. Yield Curve: A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but
differing maturity dates. The most frequently reported yield curve compares the three-month, two-year, five-year and 30-year U.S. Treasury debt. The curve is used to
predict changes in economic output and growth.

92. Yield to Maturity is the rate of return anticipated on a bond if it is held until the maturity date.

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93. Yield to Worst is the lowest potential yield that can be received on a callable bond without the issuer actually
defaulting.

94. Z Bonds, or Z Tranches, are the final tranche in a series of mortgage-backed securities, that is the last one to receive
payment. Used in some collateralized mortgage obligations (CMO), Z-bonds pay no coupon payments while principal is being paid on earlier bonds.

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For the fiscal year ended December 31, 2022, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

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|  Global Select Fund | 100.0% |
|  International Fund | 100.0% |
|  Oldfield International Value Fund | 100.0% |
|  SBH Focused Small Value Fund | 0.0% |
|  Alternative Strategies Fund | 11.4% |
|  High Income Alternatives Fund | 3.75% |
|  Dolan McEniry Corporate Bond Fund | 0.0% |
|  DBi Managed Futures Strategy ETF | 0.0% |
|  DBi Hedge Strategy ETF | 0.0% |
|  RBA Responsible Global Allocation ETF | 58.63% |

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For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended December 31, 2022 was as follows:

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|:---|:---|
|  Global Select Fund | 100.0% |
|  International Fund | 0.0% |
|  Oldfield International Value Fund | 0.0% |
|  SBH Focused Small Value Fund | 0.0% |
|  Alternative Strategies Fund | 7.5% |
|  High Income Alternatives Fund | 3.72% |
|  Dolan McEniry Corporate Bond Fund | 0.0% |
|  DBi Managed Futures Strategy ETF | 0.0% |
|  DBi Hedge Strategy ETF | 0.0% |
|  RBA Responsible Global Allocation ETF | 23.01% |

---

Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2022.

---

| | |
|:---|:---|
|  Global Select Fund | $38540443 |
|  International Fund | N/A |
|  Oldfield International Value Fund | N/A |
|  SBH Focused Small Value Fund | N/A |
|  Alternative Strategies Fund | N/A |
|  High Income Alternatives Fund | N/A |
|  Dolan McEniry Corporate Bond Fund | $80695 |
|  DBi Managed Futures Strategy ETF | $22694665 |
|  DBi Hedge Strategy ETF | N/A |
|  RBA Responsible Global Allocation ETF | N/A |

---

**Additional Information Applicable to Foreign Shareholders Only:** 

The percent of ordinary dividend distributions for the year ended December 31, 2022, which are designated as interest-related dividends under Internal Revenue Code Section 871 (k)(1)(C) is as follows:

---

| | |
|:---|:---|
|  Global Select Fund | N/A |
|  International Fund | N/A |
|  Oldfield International Value Fund | N/A |
|  SBH Focused Small Value Fund | N/A |
|  Alternative Strategies Fund | 70.49% |
|  High Income Alternatives Fund | N/A |
|  Dolan McEniry Corporate Bond Fund | N/A |
|  DBi Managed Futures Strategy ETF | N/A |
|  DBi Hedge Strategy ETF | N/A |
|  RBA Responsible Global Allocation ETF | N/A |

---

---

| | |
|:---|:---|
| Tax Information | **195** |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**TAX INFORMATION – (Unaudited) – (Continued)** 

------

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Fund were as follows (unaudited):

---

| | |
|:---|:---|
|  Global Select Fund | 100.0% |
|  International Fund | 0.0% |
|  Oldfield International Value Fund | 13.79% |
|  SBH Focused Small Value Fund | 0.0% |
|  Alternative Strategies Fund | 0.0% |
|  High Income Alternatives Fund | 7.4% |
|  Dolan McEniry Corporate Bond Fund | 0.0% |
|  DBi Managed Futures Strategy ETF | 30.97% |
|  DBi Hedge Strategy ETF | 0.0% |
|  RBA Responsible Global Allocation ETF | 0.0% |

---

For the year ended December 31, 2022, the International Fund and the Oldfield International Value Fund earned foreign source income and paid foreign taxes which they intend to pass through to their shareholders pursuant to Section 853 of the Internal Revenue Code as follows:

---

| | | | |
|:---|:---|:---|:---|
| | **Creditable Foreign Taxes Paid** | **Per Share Amount** | **Portion of Ordinary Income Distribution**<br> **Derived from foreign Sourced Income** |
| International Fund | $622704 | $0.039 | 100.00% |
| Oldfield International Value Fund | 81898 | 0.032 | 100.00% |

---

---

| | |
|:---|:---|
| **196** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**TRUSTEE AND OFFICER INFORMATION** 

------

**Independent Trustees\*** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Name, Address and<br>Year Born** | **Position(s)<br>Held with<br>the Trust** | **Term of Office<br>and Length of<br>Time Served** | **Principal Occupation(s)<br>During Past Five Years** | **#of<br>Portfolios<br>in Fund<br>Complex<br>Overseen<br>by<br>Trustee** | **Other Directorships<br>Held by Trustee<br>During Past Five<br>Years** |
| Julie Allecta 1676<br> N. California Blvd.,<br>Suite 500<br> Walnut Creek,<br> CA 94596<br> (born 1946) | Independent Trustee | Open-ended term; served since June 2013 | Member of Governing Council and Policy Committee, Independent Directors Council (education for investment company independent directors) since 2014; and Retired Partner, Paul Hastings LLP (law firm), active member from 1999 to 2009. | 10 | Forward Funds (mutual funds) (4 portfolios) Salient MF Trust (mutual funds) (1 portfolio) Salient Midstream & MLP Fund (closed- end fund) (1 portfolio) |
| Thomas W. Bird 1676 N. California Blvd.,<br>Suite 500<br> Walnut Creek, CA 94596<br> (born 1957) | Independent Trustee | Open-ended term; served since May 2021 | Founder, Chief Executive Officer and Director, Bird Impact LLC (impact investment vehicle) since 2016; Founder, Chairman and Chief Investment Officer, FARM Group (impact not-for-profit organization) since 1998; Board Member, Sonen Capital LLC(impact asset management firm) 2016-2020. | 10 | Sonen Capital LLC; One Summit (not-for-profit organization) |
| Jennifer M. Borggaard<br> 1676 N. California Blvd.,<br>Suite 500<br> Walnut Creek, CA 94596<br> (born 1969) | Independent Trustee | Open-ended term; served since May 2021 | Co-Founder and Partner, AlderBrook Advisors (management consulting) since 2019; Member, Advisory Committee, Polen Capital (investment advisor) since 2018; Senior Vice President, Affiliated Managers Group, Inc. (asset management) 2007-2017. | 10 | BroadStreet Partners Inc. (insurance); BNY Mellon Charitable Gift Fund; Anchor Capital Advisors LLC (asset management); Boston Financial Management, LLC (asset management) |
| Jonathan W. DePriest<br> 1676 N. California Blvd.,<br>Suite 500<br>Walnut Creek, CA 94596<br> (born 1968) | Independent Trustee | Open-ended term; served since May 2021 | Consultant (financial services) since 2022; General Counsel, ApplePie Capital, Inc. (franchise financing) 2019-2021; Executive Vice President and General Counsel, Salient Partners, L.P. (asset management) 2015-2019. | 10 |  |
| Frederick A. Eigenbrod,<br> Jr., Ph.D.<br>1676 N. California Blvd.,<br>Suite 500<br> Walnut Creek, CA 94596<br> (born 1941) | Independent Trustee | Open-ended term; served since inception | Vice President, RoutSource Consulting Services (organizational planning and development) since 2002. | 10 |  |
| Harold M. Shefrin,<br> Ph.D.<br> 1676 N. California Blvd., Suite 500<br> Walnut Creek, CA 94596<br> (born 1948) | Independent Trustee | Open-ended term; served since February 2005 | Professor, Department of Finance, Santa Clara University since 1979. | 10 | SA Funds – Investment Trust (mutual funds) (10 portfolios) |

---

---

| | |
|:---|:---|
| Trustee and Officer Information | **197** |

---

------

##### [**Table of Contents**](#toc)
**Litman Gregory Funds Trust** 

**TRUSTEE AND OFFICER INFORMATION** 

------

**Interested Trustees & Officers** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Name, Address and<br>Year Born** | **Position(s)<br>Held with<br>the Trust** | **Term of Office<br>and Length of<br>Time Served** | **Principal Occupation(s)<br>During Past Five Years** | **#of<br>Portfolios<br>in Fund<br>Complex<br>Overseen<br>by<br>Trustee** | **Other Directorships<br>Held by Trustee/<br>Officer During Past<br>Five Years** |
| Jeremy L. DeGroot\*\* 1676 N. California Blvd.,<br> Suite 500<br> Walnut Creek, CA 94596<br> (born 1963) | Chairman of the Board, Trustee and President | Open-ended term; served as a Chairman since March 2017, Trustee since December 2008 and President since 2014 | Chief Investment Officer of Litman Gregory Wealth Management, LLC since 2008; and Co-Chief Investment Officer of Litman Gregory Wealth Management, LLC from 2003 to 2008. | 10 |  |
| Jeffrey K. Seeley\*\*<br> 1676 N. California Blvd., Suite 500<br> Walnut Creek, CA 94596<br> (born 1969) | Trustee and Secretary | Open-ended term; Trustee since May 2021 and Secretary since December 2021 | Deputy Chief Executive Officer, U.S. Chief Operating Officer and Head of Distribution, iM Global Partner US, LLC since 2018; Chief Compliance Officer of iM Global US Distributors, LLC since 2019; Head of Distribution Resource Securities from 2017-2018; and Head of Distribution and Sales, BP Capital Fund Advisors from 2015-2017. | 10 |  |
| John M. Coughlan<br> 1676 N. California Blvd., Suite 500<br> Walnut Creek, CA 94596<br> (born 1956) | Treasurer and Chief Compliance Officer | Open-ended term; served as Treasurer since inception, and as Chief Compliance Officer from September 2004 to April 2022, and from January 2023 to Present | Chief Operating Officer and Chief Compliance Officer of the Advisor since 2004. | N/A |  |

---

\* Denotes Trustees who are not "interested persons" of the Trust, as such term is defined under the 1940 Act (the "Independent Trustees").

\*\* Denotes Trustees who are "interested persons" of the Trust, as such term is defined under the 1940 Act, because of their relationship with the Advisor (the "Interested Trustees").

In addition, Jack Chee, Jason Steuerwalt and Kiko Vallarta, each a portfolio manager at the Advisor, are each an Assistant Secretary of the Trust.

---

| | |
|:---|:---|
| **198** | Litman Gregory Funds Trust |

---

------

##### [**Table of Contents**](#toc)
**Privacy Notice** 

The Funds may collect non-public personal information about you from the following sources:

• Information we receive about you on applications or other forms;

• Information you give us orally; and

• Information about your transactions with us.

We do not disclose any non-public personal information about our shareholders or former shareholders without the shareholder's authorization, except as required or permitted by applicable law or in response to inquiries from governmental authorities. We restrict access to your personal and account information to our employees who need to know that information to provide products and services to you and to the employees of our affiliates. We also may disclose that information to non-affiliated third parties (such as to brokers or custodians) only as permitted or required by applicable law and only as needed for us to provide agreed services to you.

We maintain physical, electronic and procedural safeguards to guard your non-public personal information.

If you hold shares of the Funds through a financial intermediary, such as a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared with non-affiliated third parties.

---

| | |
|:---|:---|
| Privacy Notice | **199** |

---

------

##### [**Table of Contents**](#toc)
**Advisor:** 

------

iM Global Partner Fund Management, LLC

1676 N. California Blvd., Suite 500

Walnut Creek, CA 94596

**Distributor:** 

------

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

**Transfer Agent:** 

------

DST Asset Manager Solutions, Inc.

P.O. Box 219922

Kansas City, MO 64121-9922

**1-800-960-0188** 

For Overnight Delivery:

iMGP Funds

C/O DST Asset Manager Solutions, Inc.

330 W. 9th Street

Kansas City, MO 64105

**Investment Professionals:** 

------

Registered Investment Advisors, broker/dealers, and other investment professionals may contact Fund Services at **1-925-254-8999**.

**Prospectus:** 

------

To request a current prospectus, statement of additional information, or an IRA application, call **<br>1-800-960-0188**.

**Shareholder Inquiries:** 

------

To request action on your existing account, contact the Transfer agent, DST Asset Manager Solutions, Inc., at **1-800-960-0188**, from 9:00 a.m. to 6:00 p.m. eastern time, Monday through Friday.

**24-Hour Automated Information:** 

------

For access to automated reporting of daily prices, account balances and transaction activity, call <br>1-800-960-0188, 24 hours a day, seven days a week. Please have your Fund number (see below) and account number ready in order to access your account information.

**Information:** 

------

---

| | | | |
|:---|:---|:---|:---|
| **Fund** | **Symbol** | **CUSIP** | **Fund Number** |
|  Global Select Fund | MSEFX | 53700T108 | 305 |
|  International Fund | MSILX | 53700T207 | 306 |
|  Oldfield International Value Fund | POIVX | 53700T843 | 2966 |
|  SBH Focused Small Value Fund | PFSVX | 53700T850 | 2965 |
|  Alternative Strategies Fund |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | MASFX | 53700T801 | 421 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investor Class | MASNX | 53700T884 | 447 |
|  High Income Alternatives Fund | MAHIX | 53700T876 | 1478 |
|  Dolan McEniry Corporate Bond Fund |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional Class | IDMIX | 53700T777 | 2967 |
|  DBi Managed Futures Strategy ETF | DBMF | 53700T827 | Y7AX |
|  DBi Hedge Strategy ETF | DBEH | 53700T835 | Y7AW |
|  [RBA Responsible Global Allocation ETF](#toc468187_16h) | IRBA | 53700T793 | Y7AZ |

---

**Website:** 

------

www.imgpfunds.com

------

##### [**Table of Contents**](#toc)
(b) Not applicable.

**Item 2. Code of Ethics.** 

(a) The registrant has adopted a code of ethics that applies to the registrant's principal executive officer and principal financial officer.

(b) No disclosures are required by this Item 2(b).

(c) The registrant has not made any amendments to its code of ethics during the period covered by this report.

(d) The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

(e) Not applicable.

(f) The registrant undertakes to provide to any person without charge, upon request, a copy of its code of ethics by mail when they call the registrant at 1-800-960-0188.

**Item 3. Audit Committee Financial Expert.** 

(a)(1) The registrant's board of trustees (the "board") has determined that the registrant has a member serving on its audit committee that possesses the attributes identified in Form N-CSR to qualify as an "audit committee financial expert."

(a)(2) Harold M. Shefrin, the Chairman of the board's audit committee, is the "audit committee financial expert" and Mr. Shefrin has been deemed to be "independent" as that term is defined in Form N-CSR.

**Item 4. Principal Accountant Fees and Services.** 

The firm of Cohen & Company, Ltd. ("Cohen") serves as the independent registered public accounting firm for the registrant and has been engaged to perform audit services, audit-related services, tax services and other services to the registrant.

(a) <u>Audit Fees</u>

For the fiscal years ended December 31, 2022 and December 31, 2021, the aggregate fees billed for professional services rendered by Cohen for the audit of the registrant's annual financial statements or services that are normally provided by Cohen in connection with statutory and regulatory filings or engagements were $260,500 and $239,225, respectively.

------

##### [**Table of Contents**](#toc)
(b) <u>Audit-Related Fees</u>

For the fiscal years ended December 31, 2022 and December 31, 2021, the aggregate fees billed for assurance and related services rendered by Cohen that are reasonably related to the performance of the audit or review of the registrant's financial statements and that are not reported under Audit Fees above were $0 and $0, respectively.

(c) <u>Tax Fees</u>

For the fiscal years ended December 31, 2022 and December 31, 2021, the aggregate fees billed for tax compliance, tax advice, and tax planning services, consisting of review of federal tax forms, preparation of tax returns and review of excise dividend calculations, rendered by Cohen were $53,500 and $44,600, respectively.

(d) <u>All Other Fees</u>

For the fiscal years ended December 31, 2022 and December 31, 2021, the aggregate fees billed by Cohen for all services other than services reported under Audit Fees, Audit-Related Fees, and Tax Fees were $0 and $0, respectively, consisting of costs associated with the pricing of certain debt instruments and credit default swaps held by a series of the registrant.

(e)(1) The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.

(e)(2) None of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant's audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) For the fiscal years ended December 31, 2022 and December 31, 2021, the aggregate non-audit fees billed by Cohen for services rendered to the registrant and to the registrant's investment adviser (and any other controlling entity, etc. — not sub-adviser) were $5,000 (registrant) and $4,200 (registrant), respectively, consisting of review of the registrant's semi-annual shareholder report.

(h) Not applicable.

(i) Not applicable.

(j) Not applicable.

**Item 5. Audit Committee of Listed Registrants.** 

(a) The registrant is a listed issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, as amended (the "Exchange Act"), and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The registrant's audit committee members are Harold M. Shefrin, Julie Allecta and Jonathan W. DePriest.

------

##### [**Table of Contents**](#toc)
(b) Not applicable.

**Item 6. Investments.** 

(a) The complete Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

(b) Not applicable.

**Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.** 

Not applicable to open-end investment companies.

**Item 8. Portfolio Managers of Closed-End Management Investment Companies.** 

Not applicable to open-end investment companies.

**Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.** 

Not applicable to open-end investment companies.

**Item 10. Submission of Matters to a Vote of Security Holders.** 

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of trustees since the registrant last provided disclosure in response to this Item 10.

**Item 11. Controls and Procedures.** 

(a) The registrant's President/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported timely and made known to them by others within the registrant and by the registrant's service provider.

------

##### [**Table of Contents**](#toc)
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

**Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.** 

Not applicable to open-end investment companies.

**Item 13. Exhibits.** 

(a)(1) Not applicable because the Code of Ethics is provided free of charge, upon request, as described in Item 2 of this Form N-CSR.

[(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto.](d468187dex99cert.htm)

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

(a)(4) Not applicable.

[(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto.](d468187dex99906cert.htm)

------

##### [**Table of Contents**](#toc)
**SIGNATURES** 

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

---

| | |
|:---|:---|
| **LITMAN GREGORY FUNDS TRUST** | **LITMAN GREGORY FUNDS TRUST** |
| By: | /s/ Jeremy L. DeGroot |
|  | Jeremy L. DeGroot |
|  | President and Chief Executive Officer |

---

Date: March 3, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By: | /s/ Jeremy L. DeGroot |
|  | Jeremy L. DeGroot |
|  | President and Chief Executive Officer |

---

Date: March 3, 2023

---

| | |
|:---|:---|
| By: | /s/ John M. Coughlan |
|  | John M. Coughlan |
|  | Treasurer and Principal Financial Officer |

---

Date: March 3, 2023

## Ex-99.Cert

**EX.99.CERT** 

**<u>CERTIFICATIONS</u>**

I, Jeremy L. DeGroot, certify that:

1. I have reviewed this report on Form N-CSR of Litman Gregory Funds
Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

------

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and
the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | March 3, 2023 | /s/ Jeremy L. DeGroot |
| | | Jeremy L. DeGroot |
| | | President and Principal Executive Officer |

---

------

**EX.99.CERT** 

**<u>CERTIFICATIONS</u>**

I, John M. Coughlan, certify that:

1. I have reviewed this report on Form N-CSR of Litman Gregory Funds
Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

------

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and
the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | March 3, 2023 | /s/ John M. Coughlan |
| | | John M. Coughlan |
| | | Treasurer and Principal Financial Officer |

---

## Exhibit 99.906

**EX.99.906CERT** 

**<u>Certification Pursuant to Section 906 of the Sarbanes-Oxley Act</u>**

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, each of the undersigned officers of the Litman Gregory Funds Trust, does hereby certify, to such officer's knowledge, that the report on Form N-CSR of the Litman Gregory Funds Trust for the period ended December 31, 2022 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended, as applicable, and that the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Litman Gregory Funds Trust for the stated period.

---

| | | |
|:---|:---|:---|
| /s/ Jeremy L. DeGroot | /s/ Jeremy L. DeGroot | /s/ John M. Coughlan |
| Jeremy L. DeGroot | Jeremy L. DeGroot | John M. Coughlan |
| President and Principal Executive Officer | President and Principal Executive Officer | Treasurer and Principal Financial Officer |
| Dated: | March 3, 2023 |  |

---

This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by Litman Gregory Funds Trust for purposes of Section 18 of the Securities Exchange Act of 1934, as amended.