Table of Contents

LOGO

 

Semi-Annual Report

July 31, 2023

Angel Oak Multi-Strategy Income Fund

Angel Oak Financials Income Impact Fund

Angel Oak High Yield Opportunities Fund

Angel Oak UltraShort Income Fund

Angel Oak Total Return Bond Fund

Angel Oak UltraShort Income ETF

Angel Oak Income ETF

 

Angel Oak Capital Advisors, LLC

3344 Peachtree Road NE

Suite 1725

Atlanta, GA 30326

(404) 953-4900


Table of Contents

Table of Contents

 

Investment Results

     1  

Summary of Funds’ Expenses

     10  

Portfolio Holdings

     12  

Statements of Assets and Liabilities

     16  

Statements of Operations

     18  

Statement of Cash Flows

     20  

Statements of Changes in Net Assets

     21  

Financial Highlights

     28  

Schedules of Investments

     42  

Notes to the Financial Statements

     114  

Additional Information

     136  


Table of Contents

Investment Results – (Unaudited)

Angel Oak Multi-Strategy Income Fund

Total Return Based on a $500,000 Investment

 

LOGO

The Fund is the successor to the investment performance of the Angel Oak Multi-Strategy Income Fund (the “Predecessor Multi-Strategy Income Fund”) as a result of the reorganization of the Predecessor Multi-Strategy Income Fund into the Fund on April 10, 2015. Accordingly, the performance information shown in the chart above and table below for periods prior to April 10, 2015, is that of the Predecessor Multi-Strategy Income Fund. The Predecessor Multi-Strategy Income Fund was also advised by the Fund’s investment adviser, Angel Oak Capital Advisors, LLC (the “Adviser”), and had the same investment objective, policies, and strategies as the Fund.

The chart above assumes an initial investment of $500,000 made on July 31, 2013. Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Total Returns(1)

(For the period ended July 31, 2023)

 

      Average Annual Returns  
      One
Year
   Three Year      Five Year      Ten Year      Since Inception(2)  

Angel Oak Multi-Strategy Income Fund, Institutional Class

   -4.55%      -1.06      -0.63      2.05      2.39

Angel Oak Multi-Strategy Income Fund, Class A without load

   -4.79%      -1.34      -0.86      1.79      3.76

Angel Oak Multi-Strategy Income Fund, Class A with load

   -6.97%      -2.08      -1.32      1.56      3.57

Angel Oak Multi-Strategy Income Fund, Class C without load

   -5.47%      -2.07      -1.61      N/A        -0.07

Angel Oak Multi-Strategy Income Fund, Class C with load

   -6.37%      -2.07      -1.61      N/A        -0.07

Bloomberg U.S. Aggregate Bond Index(3)

   -3.37%      -4.46      0.75      1.50      1.29 %(4) 

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions. Total returns for Class A Shares, with load, include the maximum 2.25% sales charge. Total returns for Class C Shares, with load, include the maximum 1.00% deferred sales charge.

(2) Inception date is August 16, 2012, for Institutional Class Shares, June 28, 2011, for Class A Shares, and August 4, 2015, for Class C Shares.

(3) The Bloomberg U.S. Aggregate Bond Index measures the performance of the investment-grade, fixed-rate bond market, including government and credit securities, agency pass-through securities, asset-backed securities and commercial mortgage-backed securities. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

 

1


Table of Contents

Investment Results – (Unaudited) (continued)

(4) The return shown for the Bloomberg U.S. Aggregate Bond Index is from the inception date of the Institutional Class Shares. The Bloomberg U.S. Aggregate Bond Index return from the inception date of Class A Shares is 1.78% and for Class C Shares is 1.04%.

 

2


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak Financials Income Impact Fund

Total Return Based on a $500,000 Investment

 

LOGO

The chart above assumes an initial investment of $500,000 made on November 3, 2014 (commencement of operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Total Returns(1)

(For the period ended July 31, 2023)

 

      Average Annual Returns  
      One Year    Three Year      Five Year      Since Inception(2)  

Angel Oak Financials Income Impact Fund, Institutional Class

   -7.97%      -0.19      0.17      1.34

Angel Oak Financials Income Impact Fund, Class A without load

   -8.08%      -0.33      -0.06      1.12

Angel Oak Financials Income Impact Fund, Class A with load

   -10.16%      -1.08      -0.52      0.86

Angel Oak Financials Income Impact Fund, Class C without load

   -8.91%      -1.32      -0.90      -0.26

Angel Oak Financials Income Impact Fund, Class C with load

   -9.79%      -1.32      -0.90      -0.26

Bloomberg U.S. Aggregate 3-5 Year Index(3)

   -1.67%      -2.55      1.07      1.15 %(4) 

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions. Total returns for Class A Shares, with load, include the maximum 2.25% sales charge. Total returns for Class C Shares, with load, include the maximum 1.00% deferred sales charge.

(2) Inception date is November 3, 2014, for Institutional Class and Class A Shares and August 4, 2015, for Class C Shares.

(3) The Bloomberg U.S. Aggregate 3-5 Year Index tracks bonds with 3-5 year maturities within the Bloomberg U.S. Aggregate Bond Index. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

(4) The return shown for the Bloomberg U.S. Aggregate 3-5 Year Index is from the inception date of the Institutional Class and Class A Shares. The Bloomberg U.S. Aggregate 3-5 Year Index return from the inception date of the Class C Shares is 1.05%.

 

3


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak High Yield Opportunities Fund

Total Return Based on a $500,000 Investment

 

LOGO

The Fund is the successor to the investment performance of the Rainier High Yield Fund (the “Predecessor High Yield Fund”) as a result of the reorganization of the Predecessor High Yield Fund into the Fund on April 15, 2016. Accordingly, the performance information shown in the chart above and table below for periods prior to April 15, 2016, is that of the Predecessor High Yield Fund’s Institutional Shares and Original Shares for the Fund’s Institutional Class and Class A shares, respectively. The Predecessor High Yield Fund was managed by the same portfolio managers as the Fund and when the Predecessor High Yield Fund was reorganized into the Fund had substantially the same investment objectives, policies, and strategies as the Fund.

The chart above assumes an initial investment of $500,000 made on July 31, 2013. Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Total Returns(1)

(For the period ended July 31, 2023)

 

      Average Annual Returns  
      One Year    Three Year      Five Year      Ten Year      Since Inception(2)  

Angel Oak High Yield Opportunities Fund, Institutional Class

   6.64%      3.75      3.94      4.80      7.44

Angel Oak High Yield Opportunities Fund, Class A without load

   6.24%      3.44      3.65      4.54      4.79

Angel Oak High Yield Opportunities Fund, Class A with load

   3.81%      2.66      3.17      4.30      4.58

Bloomberg U.S. High Yield Corporate Bond Index(3)

   4.41%      2.04      3.42      4.38      8.72 %(4) 

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions. Total returns for Class A Shares, with load, include the maximum 2.25% sales charge.

(2) Inception date is March 31, 2009, for Institutional Class Shares and July 31, 2012, for Class A Shares.

(3) The Bloomberg U.S. High Yield Corporate Bond Index is an unmanaged market value-weighted index that covers the universe of fixed-rate, non-investment grade debt. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

(4) The return shown for the Bloomberg U.S. High Yield Corporate Bond Index is from the inception date of the Institutional Class Shares. The Bloomberg U.S. High Yield Corporate Bond Index return from the inception date of Class A Shares is 4.83%.

 

4


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak UltraShort Income Fund

Total Return Based on a $500,000 Investment

 

LOGO

The chart above assumes an initial investment of $500,000 made on April 2, 2018 (commencement of operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Total Returns(1)

(For the period ended July 31, 2023)

 

      Average Annual Returns  
      One Year    Three Year     

Five Year

     Since Inception(2)  

Angel Oak UltraShort Income Fund, Institutional Class

   2.53%      0.85      1.69      1.78

Angel Oak UltraShort Income Fund, Class A

   2.25%      0.63      1.43      1.50

Angel Oak UltraShort Income Fund, Class A1 without load

   2.18%      N/A        N/A        2.16

Angel Oak UltraShort Income Fund, Class A1 with load

   0.14%      N/A        N/A        0.64

Bloomberg Short Treasury: 9-12 Months Index(3)

   2.76%      0.67      1.50      1.51 %(4) 

Bloomberg Short Term Government/Corporate Index(5)

   3.58%      1.18      1.68      1.70 %(6) 

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions. Total returns for Class A1 Shares, with load, include the maximum 1.50% sales charge and the maximum 0.50% deferred sales charge.

(2) Inception date is April 2, 2018, for Institutional Class, April 30, 2018, for Class A Shares, and July 22, 2022, for Class A1 Shares.

(3) The Bloomberg Short Treasury: 9-12 Months Index measures the performance of U.S. Treasury bills, notes, and bonds with a remaining maturity between 9-12 months. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

(4) The return shown for the Bloomberg Short Treasury: 9-12 Months Index is from the inception date of the Institutional Class Shares. The Bloomberg Short Treasury: 9-12 Months Index return from the inception date of the Class A Shares is 1.52% and for Class A1 Shares is 2.78%.

 

5


Table of Contents

Investment Results – (Unaudited) (continued)

(5) The Bloomberg Short Term Government/Corporate Index is an unmanaged index that represents securities that have fallen out of the U.S. Government/Corporate Index because of the standard minimum one year maturity constraint. Sectors include treasuries, agencies, industrials, utilities and financial institutions. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

(6) The return shown for the Bloomberg Short Term Government/Corporate Index is from the inception date of the Institutional Class Shares. The Bloomberg Short Term Government/Corporate Index return from the inception date of the Class A Shares is 1.70% and for Class A1 Shares is 3.57%.

 

6


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak Total Return Bond Fund

Total Return Based on a $500,000 Investment

 

LOGO

The chart above assumes an initial investment of $500,000 made on June 4, 2021 (commencement of operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Total Returns(1)

(For the period ended July 31, 2023)

 

      Average Annual Returns  
      One Year      Since Inception(2)  

Angel Oak Total Return Bond Fund, Institutional Class

     -5.23      -5.22

Bloomberg U.S. Aggregate Bond Index(3)

     -3.37      -5.10

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions.

(2) Inception date is June 4, 2021.

(3) The Bloomberg U.S. Aggregate Bond Index measures the performance of the investment-grade, fixed-rate bond market, including government and credit securities, agency pass-through securities, asset-backed securities and commercial mortgage-backed securities. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

 

7


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak UltraShort Income ETF

Total Return Based on a $10,000 Investment

 

 

LOGO

The chart above assumes an initial investment of $10,000 made on October 24, 2022 (commencement of operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Cumulative Returns(1)

(For the period ended July 31, 2023)

 

      Since  Inception(2)  

Angel Oak UltraShort Income ETF – NAV

     4.71

Angel Oak UltraShort Income ETF – Market Price

     4.73

Bloomberg U.S. Treasury Bills Index(3)

     3.50

Bloomberg Short Term Government/Corporate Index(4)

     3.48

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions.

(2) Inception date is October 24, 2022.

(3) The Bloomberg U.S. Treasury Bills Index tracks the market for treasury bills issued by the U.S. government. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

(4) The Bloomberg Short Term Government/Corporate Total Return Index is an unmanaged index that represents securities that have fallen out of the U.S. Government/Corporate Index because of the standard minimum one year maturity constraint. Sectors include treasuries, agencies, industrials, utilities and financial institutions. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

 

8


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak Income ETF

Total Return Based on a $10,000 Investment

 

 

LOGO

The chart above assumes an initial investment of $10,000 made on November 7, 2022 (commencement of operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Cumulative Returns(1)

(For the period ended July 31, 2023)

 

      Since Inception(2)

Angel Oak Income ETF – NAV

   4.97%

Angel Oak Income ETF – Market Price

   5.00%

Bloomberg U.S. Aggregate Bond Index(3)

   5.98%

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions.

(2) Inception date is November 7, 2022.

(3) The Bloomberg U.S. Aggregate Bond Index measures the performance of the investment-grade, fixed-rate bond market, including government and credit securities, agency pass-through securities, asset-backed securities and commercial mortgage-backed securities. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

 

9


Table of Contents

Summary of Funds’ Expenses – (Unaudited)

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other expenses of the Funds. This example is 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 example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period.

Actual Expenses

The first lines of the tables below provide information about actual account values and actual expenses. You may use the information in these lines, 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 = $8.60), then multiply the result by the numbers in the first lines 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

The second lines of the tables below provide information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ 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 Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees or exchange fees. Therefore, the second lines of the tables below are useful in comparing ongoing costs only and will not help you determine the relative costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

Angel Oak Multi-Strategy Income Fund    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

Class A

   Actual    $1,000.00    $1,006.90    $11.59    2.33%
     Hypothetical(2)    $1,000.00    $1,013.24    $11.63    2.33%

Class C

   Actual    $1,000.00    $1,003.10    $15.30    3.08%
     Hypothetical(2)    $1,000.00    $1,009.52    $15.35    3.08%

Institutional Class

   Actual    $1,000.00    $1,008.20    $10.36    2.08%
     Hypothetical(2)    $1,000.00    $1,014.48    $10.39    2.08%

 

Angel Oak Financials Income Impact Fund    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

Class A

   Actual    $1,000.00    $955.10    $4.61    0.95%
     Hypothetical(2)    $1,000.00    $1,020.08    $4.76    0.95%

Class C

   Actual    $1,000.00    $950.70    $8.22    1.70%
     Hypothetical(2)    $1,000.00    $1,016.36    $8.50    1.70%

Institutional Class

   Actual    $1,000.00    $955.10    $3.39    0.70%
     Hypothetical(2)    $1,000.00    $1,021.32    $3.51    0.70%

 

Angel Oak High Yield Opportunities Fund    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

Class A

   Actual    $1,000.00    $1,033.80    $4.03    0.80%
     Hypothetical(2)    $1,000.00    $1,020.83    $4.01    0.80%

Institutional Class

   Actual    $1,000.00    $1,036.20    $2.78    0.55%
     Hypothetical(2)    $1,000.00    $1,022.07    $2.76    0.55%

 

10


Table of Contents

Summary of Funds’ Expenses – (Unaudited) (continued)

 

Angel Oak UltraShort Income Fund    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

Class A

   Actual    $1,000.00    $1,025.60    $3.01    0.60%
     Hypothetical(2)    $1,000.00    $1,021.82    $3.01    0.60%

Class A1

   Actual    $1,000.00    $1,024.60    $3.01    0.60%
     Hypothetical(2)    $1,000.00    $1,021.82    $3.01    0.60%

Institutional Class

   Actual    $1,000.00    $1,026.90    $1.76    0.35%
     Hypothetical(2)    $1,000.00    $1,023.06    $1.76    0.35%

 

Angel Oak Total Return Bond Fund    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

Institutional Class

   Actual    $1,000.00    $984.20    $2.16    0.44%
     Hypothetical(2)    $1,000.00    $1,022.61    $2.21    0.44%

 

Angel Oak UltraShort Income ETF    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

     Actual    $1,000.00    $1,027.40    $1.46    0.29%
     Hypothetical(2)    $1,000.00    $1,023.36    $1.45    0.29%

 

Angel Oak Income ETF    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

     Actual    $1,000.00    $1,025.00    $3.97    0.79%
     Hypothetical(2)    $1,000.00    $1,020.88    $3.96    0.79%

(1) Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent six month period and divided by the number of days in the most recent twelve month period (365). The annualized expense ratios reflect fee waiver and expense limitation arrangements, including interest expense, in effect during the period. The “Financial Highlights” tables in the Funds’ financial statements, included in the report, also show the gross expense ratios, without such reimbursements.

(2) Hypothetical assumes 5% annual return before expenses.

 

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Table of Contents

Portfolio Holdings – (Unaudited)

The investment objective of Angel Oak Multi-Strategy Income Fund is current income.

 

LOGO

The investment objective of Angel Oak Financials Income Impact Fund is to seek current income with a secondary objective of total return.

 

LOGO

* As a percentage of total investments. The percentages presented in the table above may differ from those in the Schedule of Investments because the percentages in the Schedule of Investments are calculated based on net assets.

(a) Less than 0.005%.

 

12


Table of Contents

Portfolio Holdings – (Unaudited) (continued)

The investment objective of Angel Oak High Yield Opportunities Fund is to earn a high level of current income with a secondary objective of capital appreciation.

 

LOGO

The investment objective of Angel Oak UltraShort Income Fund is to seek to provide current income while seeking to minimize price volatility and maintain liquidity.

 

LOGO

* As a percentage of total investments. The percentages presented in the table above may differ from those in the Schedule of Investments because the percentages in the Schedule of Investments are calculated based on net assets.

 

13


Table of Contents

Portfolio Holdings – (Unaudited) (continued)

The investment objective of Angel Oak Total Return Bond Fund is to seek total return.

 

 

LOGO

The investment objective of Angel Oak UltraShort Income ETF is to seek to provide current income while seeking to minimize price volatility and maintain liquidity.

 

 

LOGO

* As a percentage of total investments. The percentages presented in the table above may differ from those in the Schedule of Investments because the percentages in the Schedule of Investments are calculated based on net assets.

 

14


Table of Contents

Portfolio Holdings – (Unaudited) (continued)

The investment objective of Angel Oak Income ETF is current income.

 

 

LOGO

* As a percentage of total investments. The percentages presented in the table above may differ from those in the Schedule of Investments because the percentages in the Schedule of Investments are calculated based on net assets.

 

15


Table of Contents

Statements of Assets and Liabilities

July 31, 2023 (Unaudited)

 

    Multi-Strategy
Income Fund (a)
  Financials Income
Impact Fund
  High Yield
Opportunities Fund
  UltraShort
Income Fund
  Total Return
Bond Fund

Assets

                   

Investments in unaffiliated securities at fair value*

      $3,119,235,927       $85,090,715       $66,170,634       $543,299,936       $33,227,975

Investments in affiliated securities at fair value*

      122,385,177       —        —        4,931,063       — 

Cash

      584,396       —        —        —        — 

Due from Adviser

      —        —        —        —        4,582

Deposit at broker for futures*

      4,229,561       —        —        733,925       220,278

Deposit at broker for swaps*

      2,746,448       —        —        —        — 

Receivable for Fund shares sold

      4,266,728       752,051       84,599       222,342       — 

Receivable for investments sold

      29,780,953       —        —        —        — 

Dividends and interest receivable

      14,813,899       926,923       906,012       1,336,201       159,155

Prepaid expenses

      115,517       24,278       21,054       54,117       32,785
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Assets

      3,298,158,606       86,793,967       67,182,299       550,577,584       33,644,775
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Liabilities

                   

Payable for credit agreements

      100,000,000       —        —        —        — 

Payable for reverse repurchase agreements

      100,000,000       —        —        —        — 

Payable for investments purchased

      324,558,250       —        41,667       1,237,142       — 

Payable for Fund shares redeemed

      4,877,960       112,043       24,602       926,255       — 

Payable for distributions to shareholders

      4,950,893       199,431       288,931       538,193       127,793

Payable to Adviser

      2,029,350       27,106       9,842       94,370       — 

Interest payable for credit agreements

      981,750       —        —        —        — 

Interest payable for reverse repurchase agreements

      731,743       —        —        —        — 

Payable to administrator, fund accountant, and transfer agent

      366,000       24,782       14,204       84,691       8,666

12b-1 fees accrued

      99,213       25,430       3,661       16,431       — 

Payable to custodian

      51,294       650       1,380       9,293       570

Other accrued expenses

      185,303       34,388       17,347       48,847       16,077
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Liabilities

      538,831,756       423,830       401,634       2,955,222       153,106
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Assets

      $2,759,326,850       $86,370,137       $66,780,665       $547,622,362       $33,491,669
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Assets consist of:

                   

Paid-in capital

      $4,760,791,473       $153,231,436       $75,512,606       $614,269,716       $40,114,189

Total distributable earnings (accumulated deficit)

      (2,001,464,623 )       (66,861,299 )       (8,731,941 )       (66,647,354 )       (6,622,520 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Assets

      $2,759,326,850       $86,370,137       $66,780,665       $547,622,362       $33,491,669
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Class A:

                   

Net Assets

      $151,288,831       $1,931,784       $3,486,635       $26,769,926       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Shares outstanding (unlimited number of shares authorized, no par value)

      17,910,154       254,565       326,471       2,786,214       — 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value (“NAV”) per share

      $8.45       $7.59       $10.68       $9.61       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Offering price per share (NAV/0.9775) (b)

      $8.64       $7.76       $10.93       $9.61       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Class C:

                   

Net Assets

      $40,462,001       $3,719,097       $—        $—        $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Shares outstanding (unlimited number of shares authorized, no par value)

      4,843,631       498,208       —        —        — 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value (“NAV”) and offering price per share

      $8.35       $7.46       $—        $—        $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Minimum redemption price per share (NAV*0.99) (c)

      $8.27       $7.39       $—        $—        $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Institutional Class:

                   

Net Assets

      $2,567,576,018       $80,719,256       $63,294,030       $520,326,217       $33,491,669
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Shares outstanding (unlimited number of shares authorized, no par value)

      304,859,687       10,673,633       5,947,808       54,166,102       3,995,616
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value (“NAV”) and offering price per share

      $8.42       $7.56       $10.64       $9.61       $8.38
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Class A1:

                   

Net Assets

      $—        $—        $—        $526,219       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Shares outstanding (unlimited number of shares authorized, no par value)

      —        —        —        54,875       — 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value (“NAV”) per share

      $—        $—        $—        $9.59       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Offering price per share (NAV/0.985) (d)

      $—        $—        $—        $9.74       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Minimum redemption price per share (NAV*0.995) (e)

      $—        $—        $—        $9.54       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

*Cost of Investments:

                   

Investments in unaffiliated securities

      $3,703,269,846       $98,272,335       $70,320,853       $567,926,484       $36,096,518

Investments in affiliated securities

      141,005,038       —        —        4,879,821       — 

Required margin held as collateral for futures contracts

      4,495,600       —        —        616,975       162,400

Required margin held as collateral for swaps

      2,492,518       —        —        —        — 

 

(a)

Statement has been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

(b)

Class A shares impose a maximum 2.25% sales charge on purchases. This fee is not charged to shareholders of the UltraShort Income Fund.

(c)

A contingent deferred sales charge (“CDSC”) of 1.00% may be charged.

(d)

Class A1 shares impose a maximum 1.50% sales charge on purchases.

(e)

A contingent deferred sales charge (“CDSC”) of 0.50% may be charged.

 

See accompanying notes which are an integral part of these financial statements.

 

16


Table of Contents

Statements of Assets and Liabilities

July 31, 2023 (Unaudited)

 

     UltraShort
Income ETF
   Income ETF

Assets

         

Investments in securities at fair value*

       $89,832,204        $39,580,091

Deposit at broker for futures*

       —         124,954

Dividends and interest receivable

       250,856        167,325
    

 

 

      

 

 

 

Total Assets

       90,083,060        39,872,370
    

 

 

      

 

 

 

Liabilities

         

Payable for investments purchased

       1,067,942        450,588

Payable to Adviser

       21,797        25,701
    

 

 

      

 

 

 

Total Liabilities

       1,089,739        476,289
    

 

 

      

 

 

 

Net Assets

       $88,993,321        $39,396,081
    

 

 

      

 

 

 

Net Assets consist of:

         

Paid-in capital

       $88,417,178        $39,169,725

Total distributable earnings (accumulated deficit)

       576,143        226,356
    

 

 

      

 

 

 

Net Assets

       $88,993,321        $39,396,081
    

 

 

      

 

 

 

Shares outstanding (unlimited number of shares authorized, no par value)

       1,760,000        1,950,000
    

 

 

      

 

 

 

Net asset value (“NAV”) and offering price per share

       $50.56        $20.20
    

 

 

      

 

 

 

*Cost of Investments:

         

Investments in securities

       $89,785,504        $39,726,708

Required margin held as collateral for futures contracts

       —         21,950

 

See accompanying notes which are an integral part of these financial statements.

 

17


Table of Contents

Statements of Operations

For the Period Ended July 31, 2023 (Unaudited)

 

    Multi-Strategy
Income Fund (a)
  Financials Income
Impact Fund
  High Yield
Opportunities Fund
  UltraShort
Income Fund
  Total Return
Bond Fund

Investment Income

                   

Interest

      $111,265,824       $2,482,210       $2,379,726       $13,858,723       $801,211

Dividends from unaffiliated investments

      1,597,457       88,357       —        —        29,842

Dividends from affiliated investments

      3,297,177       —        —        133,910       — 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Investment Income

      116,160,458       2,570,567       2,379,726       13,992,633       831,053
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Expenses

                   

Interest expense

      15,782,478       4,635       240       —        — 

Investment Advisory (See Note 5)

      12,831,921       396,587       177,923       1,349,371       84,618

Fund accounting

      574,088       9,605       18,123       118,153       9,497

Administration

      239,833       17,846       14,783       63,736       12,741

Legal

      231,490       14,911       4,374       54,452       2,199

Transfer agent

      224,573       33,896       15,196       54,777       7,059

12b-1 – Class A

      201,087       3,938       4,336       40,992       — 

12b-1 – Class A1

      —        —        —        643       — 

12b-1 – Class C

      215,262       19,909       —        —        — 

Trustee

      129,252       18,299       16,647       41,041       15,637

Custodian

      119,241       2,912       4,441       21,344       1,917

Printing

      97,423       6,428       2,849       14,146       1,819

Registration

      71,675       32,096       21,323       56,619       27,135

Audit & tax

      56,852       16,303       14,609       18,882       14,513

Insurance

      23,401       724       362       5,409       181

Compliance

      5,611       5,611       5,611       5,611       5,611

Miscellaneous

      42,431       5,313       2,800       11,743       809
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Expenses

      30,846,618       589,013       303,617       1,856,919       183,736
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Fees contractually recouped by Adviser (See Note 5)

      3,729       —        —        —        — 

Fees contractually waived by Adviser (See Note 5)

      (377,810 )       (253,066 )       (121,118 )       (741,921 )       (109,272 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Expenses

      30,472,537       335,947       182,499       1,114,998       74,464
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Investment Income (Loss)

      85,687,921       2,234,620       2,197,227       12,877,635       756,589
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Realized and Unrealized Gain (Loss) on Investments

                   

Net realized gain (loss) on investments in unaffiliated securities

      (207,041,340 )       (2,308,506 )       (356,244 )       (5,139,666 )       (536,883 )

Net realized gain (loss) on futures contracts

      36,513,927       —        —        2,187,002       (115,385 )

Net realized gain (loss) on securities sold short

      (1,165,785 )       —        —        —        — 

Net realized gain (loss) on swaps

      (189,023 )       —        —        —        — 

Net change in unrealized appreciation/depreciation on unaffiliated investments

      139,167,254       (4,015,236 )       495,703       6,068,780       (346,191 )

Net change in unrealized appreciation/depreciation on affiliated investments

      (4,088,574 )       —        —        523       — 

Net change in unrealized appreciation/depreciation on swaps

      (2,745,770 )       —        —        —        — 

Net change in unrealized appreciation/depreciation on futures contracts

      (23,721,546 )       —        —        (103,245 )       (278,655 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Realized and Unrealized Gain (Loss) on Investments

      (63,270,857 )       (6,323,742 )       139,459       3,013,394       (1,277,114 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

      $22,417,064       ($4,089,122 )       $2,336,686       $15,891,029       ($520,525 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

(a)

Statement has been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

 

See accompanying notes which are an integral part of these financial statements.

 

18


Table of Contents

Statements of Operations

For the Period Ended July 31, 2023 (Unaudited)

 

     UltraShort
Income ETF
  Income ETF

Investment Income

        

Interest

       $1,856,096       $1,330,065
    

 

 

     

 

 

 

Total Investment Income

       1,856,096       1,330,065
    

 

 

     

 

 

 

Expenses

        

Investment Advisory (See Note 5)

       159,762       169,392
    

 

 

     

 

 

 

Total Expenses

       159,762       169,392
    

 

 

     

 

 

 

Fees contractually recouped (waived) by Adviser (See Note 5)

       (75,524 )       (34,220 )
    

 

 

     

 

 

 

Net Expenses

       84,238       135,172
    

 

 

     

 

 

 

Net Investment Income (Loss)

       1,771,858       1,194,893
    

 

 

     

 

 

 

Realized and Unrealized Gain (Loss) on Investments

        

Net realized gain (loss) on investments

       43,286       50,419

Net realized gain (loss) on futures contracts

       —         34,578

Net change in unrealized appreciation/depreciation on investments

       (175,911 )       (435,688 )

Net change in unrealized appreciation/depreciation on futures contracts

       —         36,431
    

 

 

     

 

 

 

Net Realized and Unrealized Gain (Loss) on Investments

       (132,625 )       (314,260 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       $1,639,233       $880,633
    

 

 

     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

19


Table of Contents

Multi-Strategy Income Fund

Consolidated Statement of Cash Flows (a)

For the Period Ended July 31, 2023 (Unaudited)

 

CASH FLOWS FROM OPERATING ACTIVITIES:

    

Net increase (decrease) in net assets resulting from operations

       $22,417,064

Net adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities:

    

Net amortization and accretion of premium and discount on investments and other cost adjustments

       (4,134,286 )

Net realized paydown gains on mortgage backed and other asset backed securities

       (5,033,981 )

Purchases of short-term investments, net

       (124,815,649 )

Purchases of investments

       (341,356,676 )

Proceeds from sales of long-term investments

       848,741,376

Net realized (gain) loss on investments

       207,041,340

Net change in unrealized appreciation/depreciation on investments

       (135,078,680 )

Net payments for securities sold short

       (1,165,785 )

Net realized (gain) loss on securities sold short

       1,165,785

Change in:

    

Receivable for investments sold

       (20,285,659 )

Dividends and interest receivable

       2,268,835

Prepaid expenses

       (37,802 )

Payable for investments purchased

       102,273,648

Interest payable for credit agreements

       (1,257,500 )

Interest payable for reverse repurchase agreements

       (991,295 )

Payable to Adviser

       (121,872 )

Payable to administrator, fund accountant and transfer agent

       9,291

Payable to custodian

       17,391

12b-1 fees accrued

       27,955

Other accrued expenses

       (46,769 )
    

 

 

 

Net cash provided by (used in) operating activities

       549,636,731
    

 

 

 

CASH FLOWS FROM FINANCING ACTIVITIES:

    

Proceeds from shares sold

       672,828,054

Payment on shares redeemed

       (847,849,789 )

Distributions paid to shareholders

       (30,697,151 )

Proceeds from reverse repurchase agreements

       100,000,000

Repayments of reverse repurchase agreements

       (249,842,609 )

Increase (decrease) in borrowings

       (200,000,000 )
    

 

 

 

Net cash provided by (used in) financing activities

       (555,561,495 )
    

 

 

 

Net change in cash

       (5,924,764 )
    

 

 

 

CASH AND RESTRICTED CASH:

    

Beginning Balance

       13,485,169
    

 

 

 

Ending Balance

       $7,560,405
    

 

 

 

SUPPLEMENTAL DISCLOSURES:

    

Cash paid for interest

       $18,031,273

Cash held in money market investments

       130,645,748

Non-cash financing activities - distributions reinvested

       57,684,283

Non-cash financing activities - (increase) decrease in receivable for Fund shares sold

       49,722,988

Non-cash financing activities - increase (decrease) in payable for Fund shares redeemed

       (1,049,850 )

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF YEAR OR PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES:

    

Cash

       $356,683

Deposit at broker for reverse repurchase agreements

       3,907,000

Deposit at broker for futures

       8,981,067

Deposit at broker for swaps

       240,419
    

 

 

 
       $13,485,169
    

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF YEAR OR PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES:

    

Cash

       $584,396

Deposit at broker for futures

       4,229,561

Deposit at broker for swaps

       2,746,448
    

 

 

 
       $7,560,405
    

 

 

 

 

(a)

Statement has been consolidated. See Note 1 in the notes to Financial Statements for basis of consolidation.

 

See accompanying notes which are an integral part of these financial statements.

 

20


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited) (a)
  For the Year Ended
January 31, 2023 (a)

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $85,687,921       $246,118,503

Net realized gain (loss) on investment transactions, futures contracts, swaps, and securities sold short

       (171,882,221 )       (329,933,256 )

Net change in unrealized appreciation/depreciation on investments and futures contracts

       108,611,364       (535,234,497 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       22,417,064       (619,049,250 )
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions, Class A

       (4,716,984 )       (11,252,681 )

Distributions, Class C

       (1,109,412 )       (2,543,601 )

Distributions, Institutional Class

       (82,179,128 )       (237,275,677 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (88,005,524 )       (251,071,959 )
    

 

 

     

 

 

 

Capital Transactions – Class A

        

Proceeds from shares sold

       39,154,244       55,165,501

Reinvestment of distributions

       3,544,903       8,235,003

Amount paid for shares redeemed

       (38,218,680 )       (207,857,948 )
    

 

 

     

 

 

 

Total Class A

       4,480,467       (144,457,444 )
    

 

 

     

 

 

 

Capital Transactions – Class C

        

Proceeds from shares sold

       2,752,191       2,927,281

Reinvestment of distributions

       834,256       1,916,694

Amount paid for shares redeemed

       (8,639,242 )       (19,468,158 )
    

 

 

     

 

 

 

Total Class C

       (5,052,795 )       (14,624,183 )
    

 

 

     

 

 

 

Capital Transactions – Institutional Class

        

Proceeds from shares sold

       581,198,631       1,922,584,974

Reinvestment of distributions

       53,305,124       160,861,663

Amount paid for shares redeemed

       (799,942,017 )       (5,290,316,865 )
    

 

 

     

 

 

 

Total Institutional Class

       (165,438,262 )       (3,206,870,228 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       (166,010,590 )       (3,365,951,855 )
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       (231,599,050 )       (4,236,073,064 )
    

 

 

     

 

 

 

Net Assets

        

Beginning of year or period

       2,990,925,900       7,226,998,964
    

 

 

     

 

 

 

End of year or period

       $2,759,326,850       $2,990,925,900
    

 

 

     

 

 

 

Share Transactions – Class A

        

Shares sold

       4,566,530       5,945,445

Shares issued in reinvestment of distributions

       417,922       886,923

Shares redeemed

       (4,499,865 )       (22,171,642 )
    

 

 

     

 

 

 

Total Class A

       484,587       (15,339,274 )
    

 

 

     

 

 

 

Share Transactions – Class C

        

Shares sold

       328,108       326,745

Shares issued in reinvestment of distributions

       99,418       210,355

Shares redeemed

       (1,028,562 )       (2,142,240 )
    

 

 

     

 

 

 

Total Class C

       (601,036 )       (1,605,140 )
    

 

 

     

 

 

 

Share Transactions – Institutional Class

        

Shares sold

       68,446,019       206,660,021

Shares issued in reinvestment of distributions

       6,301,212       17,289,202

Shares redeemed

       (94,299,533 )       (567,448,144 )
    

 

 

     

 

 

 

Total Institutional Class

       (19,552,302 )       (343,498,921 )
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       (19,668,751 )       (360,443,335 )
    

 

 

     

 

 

 

 

(a)

Statement has been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

 

See accompanying notes which are an integral part of these financial statements.

 

21


Table of Contents

Angel Oak Financials Income Impact Fund

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Year Ended
January 31, 2023

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $2,234,620       $5,644,491

Net realized gain (loss) on investment transactions

       (2,308,506 )       (3,058,652 )

Net change in unrealized appreciation/depreciation on investments

       (4,015,236 )       (11,304,317 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       (4,089,122 )       (8,718,478 )
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions, Class A

       (73,741 )       (285,634 )

Distributions, Class C

       (81,877 )       (214,360 )

Distributions, Institutional Class

       (2,090,761 )       (5,252,982 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (2,246,379 )       (5,752,976 )
    

 

 

     

 

 

 

Capital Transactions – Class A

        

Proceeds from shares sold

       109,508       7,686,268

Reinvestment of distributions

       63,051       274,647

Amount paid for shares redeemed

       (3,885,689 )       (5,545,874 )
    

 

 

     

 

 

 

Total Class A

       (3,713,130 )       2,415,041
    

 

 

     

 

 

 

Capital Transactions – Class C

        

Proceeds from shares sold

       104,719       6,121,420

Reinvestment of distributions

       59,090       167,176

Amount paid for shares redeemed

       (590,729 )       (4,609,226 )
    

 

 

     

 

 

 

Total Class C

       (426,920 )       1,679,370
    

 

 

     

 

 

 

Capital Transactions – Institutional Class

        

Proceeds from shares sold

       13,572,420       36,906,252

Reinvestment of distributions

       930,476       2,707,443

Amount paid for shares redeemed

       (20,978,490 )       (92,662,779 )
    

 

 

     

 

 

 

Total Institutional Class

       (6,475,594 )       (53,049,084 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       (10,615,644 )       (48,954,673 )
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       (16,951,145 )       (63,426,127 )
    

 

 

     

 

 

 

Net Assets

        

Beginning of year or period

       103,321,282       166,747,409
    

 

 

     

 

 

 

End of year or period

       $86,370,137       $103,321,282
    

 

 

     

 

 

 

Share Transactions – Class A

        

Shares sold

       14,521       891,756

Shares issued in reinvestment of distributions

       8,072       32,705

Shares redeemed

       (491,656 )       (671,454 )
    

 

 

     

 

 

 

Total Class A

       (469,063 )       253,007
    

 

 

     

 

 

 

Share Transactions – Class C

        

Shares sold

       13,912       713,037

Shares issued in reinvestment of distributions

       7,761       20,128

Shares redeemed

       (77,268 )       (568,783 )
    

 

 

     

 

 

 

Total Class C

       (55,595 )       164,382
    

 

 

     

 

 

 

Share Transactions – Institutional Class

        

Shares sold

       1,775,226       4,286,387

Shares issued in reinvestment of distributions

       120,620       319,221

Shares redeemed

       (2,676,697 )       (10,940,708 )
    

 

 

     

 

 

 

Total Institutional Class

       (780,851 )       (6,335,100 )
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       (1,305,509 )       (5,917,711 )
    

 

 

     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

22


Table of Contents

Angel Oak High Yield Opportunities Fund

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Year Ended
January 31, 2023

Increase (Decrease) in Net Assets due to:

 

   

Operations

        

Net investment income (loss)

       $2,197,227       $3,822,365

Net realized gain (loss) on investment transactions

       (356,244 )       (1,967,678 )

Net change in unrealized appreciation/depreciation on investments

       495,703       (4,234,264 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       2,336,686       (2,379,577 )
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions, Class A

       (99,681 )       (220,212 )

Distributions, Institutional Class

       (1,856,257 )       (3,644,808 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (1,955,938 )       (3,865,020 )
    

 

 

     

 

 

 

Capital Transactions – Class A

        

Proceeds from shares sold

       1,693,259       5,670,162

Reinvestment of distributions

       98,700       218,084

Amount paid for shares redeemed

       (1,739,360 )       (6,869,415 )
    

 

 

     

 

 

 

Total Class A

       52,599       (981,169 )
    

 

 

     

 

 

 

Capital Transactions – Institutional Class

 

   

Proceeds from shares sold

       10,760,584       8,512,748

Reinvestment of distributions

       346,031       738,044

Amount paid for shares redeemed

       (7,870,527 )       (13,251,255 )
    

 

 

     

 

 

 

Total Institutional Class

       3,236,088       (4,000,463 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       3,288,687       (4,981,632 )
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       3,669,435       (11,226,229 )
    

 

 

     

 

 

 

Net Assets

        

Beginning of year or period

       63,111,230       74,337,459
    

 

 

     

 

 

 

End of year or period

       $66,780,665       $63,111,230
    

 

 

     

 

 

 

Share Transactions – Class A

        

Shares sold

       160,896       535,154

Shares issued in reinvestment of distributions

       9,349       20,440

Shares redeemed

       (165,225 )       (651,218 )
    

 

 

     

 

 

 

Total Class A

       5,020       (95,624 )
    

 

 

     

 

 

 

Share Transactions – Institutional Class

 

   

Shares sold

       1,024,460       817,887

Shares issued in reinvestment of distributions

       32,878       69,592

Shares redeemed

       (751,385 )       (1,266,858 )
    

 

 

     

 

 

 

Total Institutional Class

       305,953       (379,379 )
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       310,973       (475,003 )
    

 

 

     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

23


Table of Contents

Angel Oak UltraShort Income Fund

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Year Ended
January 31, 2023 (a)

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $12,877,635       $22,651,352

Net realized gain (loss) on investment transactions and futures contracts

       (2,952,664 )       (30,251,012 )

Net change in unrealized appreciation/depreciation on investments and futures contracts

       5,966,058       (28,050,354 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       15,891,029       (35,650,014 )
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions, Class A

       (657,626 )       (1,613,505 )

Distributions, Class A1

       (10,466 )       (7,019 )

Distributions, Institutional Class

       (12,447,181 )       (22,436,611 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (13,115,273 )       (24,057,135 )
    

 

 

     

 

 

 

Capital Transactions – Class A

        

Proceeds from shares sold

       2,993,164       79,194,866

Reinvestment of distributions

       611,335       1,461,291

Amount paid for shares redeemed

       (16,516,341 )       (207,385,738 )
    

 

 

     

 

 

 

Total Class A

       (12,911,842 )       (126,729,581 )
    

 

 

     

 

 

 

Capital Transactions – Class A1

        

Proceeds from shares sold

       —         515,011

Reinvestment of distributions

       10,391       7,018
    

 

 

     

 

 

 

Total Class A1

       10,391       522,029
    

 

 

     

 

 

 

Capital Transactions – Institutional Class

        

Proceeds from shares sold

       67,320,291       629,850,657

Reinvestment of distributions

       9,430,032       17,077,383

Amount paid for shares redeemed

       (212,899,534 )       (1,430,986,089 )
    

 

 

     

 

 

 

Total Institutional Class

       (136,149,211 )       (784,058,049 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       (149,050,662 )       (910,265,601 )
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       (146,274,906 )       (969,972,750 )
    

 

 

     

 

 

 

Net Assets

        

Beginning of year or period

       693,897,268       1,663,870,018
    

 

 

     

 

 

 

End of year or period

     $ 547,622,362     $ 693,897,268
    

 

 

     

 

 

 

Share Transactions – Class A

        

Shares sold

       312,576       8,128,678

Shares issued in reinvestment of distributions

       63,796       151,093

Shares redeemed

       (1,724,627 )       (21,282,811 )
    

 

 

     

 

 

 

Total Class A

       (1,348,255 )       (13,003,040 )
    

 

 

     

 

 

 

Share Transactions – Class A1

        

Shares sold

       —         53,053

Shares issued in reinvestment of distributions

       1,087       735
    

 

 

     

 

 

 

Total Class A1

       1,087       53,788
    

 

 

     

 

 

 

Share Transactions – Institutional Class

        

Shares sold

       7,027,589       64,427,692

Shares issued in reinvestment of distributions

       984,343       1,764,255

Shares redeemed

       (22,228,978 )       (146,914,639 )
    

 

 

     

 

 

 

Total Institutional Class

       (14,217,046 )       (80,722,692 )
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       (15,564,214 )       (93,671,944 )
    

 

 

     

 

 

 

 

(a)

Class A1 commenced operations on July 12, 2022.

 

See accompanying notes which are an integral part of these financial statements.

 

24


Table of Contents

Angel Oak Total Return Bond Fund

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Year Ended
January 31, 2023

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $756,589       $961,225

Net realized gain (loss) on investment transactions and futures contracts

       (652,268 )       (2,801,853 )

Net change in unrealized appreciation/depreciation on investments and futures contracts

       (624,846 )       (1,427,032 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       (520,525 )       (3,267,660 )
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions, Institutional Class

       (773,468 )       (994,943 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (773,468 )       (994,943 )
    

 

 

     

 

 

 

Capital Transactions – Institutional Class

        

Proceeds from shares sold

       —         31,250

Reinvestment of distributions

       —         558

Amount paid for shares redeemed

       —         (116,137 )
    

 

 

     

 

 

 

Total Institutional Class

       —         (84,329 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       —         (84,329 )
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       (1,293,993 )       (4,346,932 )
    

 

 

     

 

 

 

Net Assets

        

Beginning of year or period

       34,785,662       39,132,594
    

 

 

     

 

 

 

End of year or period

     $ 33,491,669     $ 34,785,662
    

 

 

     

 

 

 

Share Transactions – Institutional Class

        

Shares sold

       —         3,235

Shares issued in reinvestment of distributions

       —         59

Shares redeemed

       —         (12,550 )
    

 

 

     

 

 

 

Total Institutional Class

       —         (9,256 )
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       —         (9,256 )
    

 

 

     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

25


Table of Contents

Angel Oak UltraShort Income ETF

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Period Ended
January 31, 2023 (a)

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $1,771,858       $527,103

Net realized gain (loss) on investment transactions

       43,286       11,525

Net change in unrealized appreciation/depreciation on investments

       (175,911 )       222,611
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       1,639,233       761,239
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions

       (1,507,543 )       (316,786 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (1,507,543 )       (316,786 )
    

 

 

     

 

 

 

Capital Transactions

        

Proceeds from shares sold

       42,327,134       46,090,044
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       42,327,134       46,090,044
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       42,458,824       46,534,497
    

 

 

     

 

 

 

Net Assets

        

Beginning of period

       46,534,497       —  
    

 

 

     

 

 

 

End of period

     $ 88,993,321     $ 46,534,497
    

 

 

     

 

 

 

Share Transactions

        

Shares sold

       840,000       920,000
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       840,000       920,000
    

 

 

     

 

 

 

 

(a)

Fund commenced operations on October 24, 2022.

 

See accompanying notes which are an integral part of these financial statements.

 

26


Table of Contents

Angel Oak Income ETF

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Period Ended
January 31, 2023 (a)

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $1,194,893       $317,913

Net realized gain (loss) on investment transactions and futures contracts

       84,997       29,404

Net change in unrealized appreciation/depreciation on investments and futures contracts

       (399,257 )       289,071
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       880,633       636,388
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions

       (1,142,421 )       (148,244 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (1,142,421 )       (148,244 )
    

 

 

     

 

 

 

Capital Transactions

        

Proceeds from shares sold

       7,028,705       33,148,155

Amount paid for shares redeemed

       (1,007,135 )       —  
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       6,021,570       33,148,155
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       5,759,782       33,636,299
    

 

 

     

 

 

 

Net Assets

        

Beginning of period

       33,636,299       —  
    

 

 

     

 

 

 

End of period

     $ 39,396,081     $ 33,636,299
    

 

 

     

 

 

 

Share Transactions

        

Shares sold

       350,000       1,650,000

Shares redeemed

       (50,000 )       —  
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       300,000       1,650,000
    

 

 

     

 

 

 

 

(a)

Fund commenced operations on November 7, 2022.

 

See accompanying notes which are an integral part of these financial statements.

 

27


Table of Contents

Angel Oak Multi-Strategy Income Fund – Class A

Consolidated Financial Highlights (a)

(For a share outstanding during each year or period)

 

    For the
Period Ended
July 31, 2023
(Unaudited)
  For the
Year Ended
January 31, 2023
  For the
Year Ended
January 31, 2022
  For the
Year Ended
January 31, 2021
  For the
Year Ended
January 31, 2020
  For the
Year Ended
January 31, 2019

Selected Per Share Data:

                       

Net asset value, beginning of year or period

      $8.63       $10.24       $10.43       $11.10       $11.04       $11.26
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.24       0.48       0.47       0.46       0.50       0.52

Net realized and unrealized gain (loss) on investments (b)

      (0.17 )       (1.62 )       (0.19 )       (0.68 )       0.06       (0.22 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      0.07       (1.14 )       0.28       (0.22 )       0.56       0.30
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.25 )       (0.47 )       (0.47 )       (0.45 )       (0.50 )       (0.52 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.25 )       (0.47 )       (0.47 )       (0.45 )       (0.50 )       (0.52 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $8.45       $8.63       $10.24       $10.43       $11.10       $11.04
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (c)(d)

      0.69 %       -11.28 %       2.71 %       -1.76 %       5.08 %       2.72 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $151,2 89       $150,4 50       $335,4 39       $396,7 11       $496,1 14       $590,3 86

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e)

      2.36 %       1.79 %       1.29 %       1.40 %       1.37 %       1.35 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (e)

      1.27 %       1.23 %       1.20 %       1.21 %       1.20 %       1.20 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e)

      2.33 %       1.77 %       1.28 %       1.38 %       1.36 %       1.37 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (e)

      1.24 %       1.21 %       1.19 %       1.19 %       1.19 %       1.22 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e)

      5.70 %       4.83 %       4.42 %       4.41 %       4.46 %       4.69 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e)

      5.73 %       4.85 %       4.43 %       4.43 %       4.47 %       4.67 %

Portfolio turnover rate (d)

      11 %       14 %       56 %       67 %       63 %       71 %

 

(a)

Financial Highlights have been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

(b)

Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(c)

Total return does not include the effect of sales charges.

(d)

Not annualized for periods less than one year.

(e)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

28


Table of Contents

Angel Oak Multi-Strategy Income Fund – Class C

Consolidated Financial Highlights (a)

(For a share outstanding during each year or period)

 

    For the
Period Ended
July 31, 2023
(Unaudited)
  For the
Year Ended
January 31, 2023
  For the
Year Ended
January 31, 2022
  For the
Year Ended
January 31, 2021
  For the
Year Ended
January 31, 2020
  For the
Year Ended
January 31, 2019

Selected Per Share Data:

                       

Net asset value, beginning of year or period

      $8.54       $10.13       $10.34       $11.00       $10.95       $11.17
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.21       0.39       0.38       0.37       0.41       0.44

Net realized and unrealized gain (loss) on investments (b)

      (0.18 )       (1.58 )       (0.20 )       (0.66 )       0.06       (0.22 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      0.03       (1.19 )       0.18       (0.29 )       0.47       0.22
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.22 )       (0.40 )       (0.39 )       (0.37 )       (0.42 )       (0.44 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.22 )       (0.40 )       (0.39 )       (0.37 )       (0.42 )       (0.44 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $8.35       $8.54       $10.13       $10.34       $11.00       $10.95
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (c)(d)

      0.31 %       -11.88 %       1.78 %       -2.41 %       4.27 %       2.04 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $40,4 62       $46,5 12       $71,4 45       $87,7 43       $116,3 28       $102,4 87

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e)

      3.11 %       2.54 %       2.04 %       2.15 %       2.12 %       2.10 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (e)

      2.02 %       1.98 %       1.95 %       1.96 %       1.95 %       1.95 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e)

      3.08 %       2.52 %       2.03 %       2.13 %       2.11 %       2.12 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (e)

      1.99 %       1.96 %       1.94 %       1.94 %       1.94 %       1.97 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e)

      4.95 %       4.17 %       3.69 %       3.67 %       3.70 %       3.94 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e)

      4.98 %       4.19 %       3.70 %       3.69 %       3.71 %       3.92 %

Portfolio turnover rate (d)

      11 %       14 %       56 %       67 %       63 %       71 %

 

(a)

Financial Highlights have been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

(b)

Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(c)

Total return does not include the effect of sales charges.

(d)

Not annualized for periods less than one year.

(e)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

29


Table of Contents

Angel Oak Multi-Strategy Income Fund – Institutional Class

Consolidated Financial Highlights (a)

(For a share outstanding during each year or period)

 

    For the
Period Ended
July 31,
2023
(Unaudited)
  For the
Year Ended
January 31, 2023
  For the
Year Ended
January 31, 2022
  For the
Year Ended
January 31, 2021
  For the
Year Ended
January 31, 2020
  For the
Year Ended
January 31, 2019

Selected Per Share Data:

                       

Net asset value, beginning of year or period

      $8.61       $10.21       $10.41       $11.08       $11.02       $11.23
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.25       0.49       0.49       0.48       0.53       0.55

Net realized and unrealized gain (loss) on investments (b)

      (0.18 )       (1.59 )       (0.19 )       (0.68 )       0.06       (0.21 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      0.07       (1.10 )       0.30       (0.20 )       0.59       0.34
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.26 )       (0.50 )       (0.50 )       (0.47 )       (0.53 )       (0.55 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.26 )       (0.50 )       (0.50 )       (0.47 )       (0.53 )       (0.55 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $8.42       $8.61       $10.21       $10.41       $11.08       $11.02
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (c)

      0.82 %       -10.98 %       2.87 %       -1.60 %       5.45 %       3.05 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $2,567,5 76       $2,793,9 64       $6,820,1 15       $5,927,5 10       $7,153,3 85       $6,555,2 91

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (d)

      2.11 %       1.54 %       1.04 %       1.15 %       1.12 %       1.10 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (d)

      1.02 %       0.98 %       0.95 %       0.96 %       0.95 %       0.95 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d)

      2.08 %       1.52 %       1.03 %       1.13 %       1.11 %       1.12 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (d)

      0.99 %       0.96 %       0.94 %       0.94 %       0.94 %       0.97 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d)

      5.94 %       5.03 %       4.69 %       4.65 %       4.70 %       4.94 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (d)

      5.97 %       5.05 %       4.70 %       4.67 %       4.71 %       4.92 %

Portfolio turnover rate (c)

      11 %       14 %       56 %       67 %       63 %       71 %

 

(a)

Financial Highlights have been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

(b)

Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(c)

Not annualized for periods less than one year.

(d)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

30


Table of Contents

Angel Oak Financials Income Impact Fund – Class A

Financial Highlights

(For a share outstanding during each year or period)

 

    For the
Period Ended
July 31, 2023
(Unaudited)
  For the
Year Ended
January 31, 2023
  For the
Year Ended
January 31, 2022
  For the
Year Ended
January 31, 2021
  For the
Year Ended
January 31, 2020
  For the
Year Ended
January 31, 2019

Selected Per Share Data:

                       

Net asset value, beginning of year or period

      $8.14       $8.96       $8.80       $9.60       $9.33       $9.45
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.17       0.33       0.33       0.34       0.40       0.44

Net realized and unrealized gain (loss) on investments (a)

      (0.53 )       (0.82 )       0.15       (0.75 )       0.27       (0.13 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      (0.36 )       (0.49 )       0.48       (0.41 )       0.67       0.31
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.19 )       (0.33 )       (0.32 )       (0.38 )       (0.40 )       (0.43 )

Return of capital

                        (0.01 )            
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.19 )       (0.33 )       (0.32 )       (0.39 )       (0.40 )       (0.43 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $7.59       $8.14       $8.96       $8.80       $9.60       $9.33
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (b)(c)

      -4.49 %       -5.59 %       5.48 %       -4.16 %       7.39 %       3.36 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $1,9 32       $5,8 93       $4,2 17       $2,7 65       $13,7 20       $7,0 86

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (d)

      1.52 %       1.44 %       1.35 %       1.39 %       1.34 %       1.42 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (d)

      1.51 %       1.43 %       1.35 %       1.37 %       1.34 %       1.42 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d)

      0.95 %       0.95 %       0.94 %       0.96 %       0.94 %       0.94 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (d)

      0.94 %       0.94 %       0.94 %       0.94 %       0.94 %       0.94 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d)

      4.18 %       3.29 %       3.14 %       3.63 %       3.78 %       4.22 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (d)

      4.75 %       3.78 %       3.55 %       4.06 %       4.18 %       4.70 %

Portfolio turnover rate (c)

      8 %       11 %       32 %       30 %       36 %       45 %

 

(a)

Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(b)

Total return does not include the effect of sales charges.

(c)

Not annualized for periods less than one year.

(d)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

31


Table of Contents

Angel Oak Financials Income Impact Fund – Class C

Financial Highlights

(For a share outstanding during each year or period)

 

    For the
Period Ended
July 31, 2023
(Unaudited)
  For the
Year Ended
January 31, 2023
  For the
Year Ended
January 31, 2022
  For the
Year Ended
January 31, 2021
  For the
Year Ended
January 31, 2020
  For the
Year Ended
January 31, 2019

Selected Per Share Data:

                       

Net asset value, beginning of year or period

      $8.01       $8.87       $8.72       $9.51       $9.25       $9.37
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.15       0.25       0.24       0.30       0.34       0.37

Net realized and unrealized gain (loss) on investments (a)

      (0.54 )       (0.85 )       0.16       (0.76 )       0.26       (0.12 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      (0.39 )       (0.60 )       0.40       (0.46 )       0.60       0.25
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.16 )       (0.26 )       (0.25 )       (0.32 )       (0.34 )       (0.37 )

Return of capital

                        (0.01 )            
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.16 )       (0.26 )       (0.25 )       (0.33 )       (0.34 )       (0.37 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $7.46       $8.01       $8.87       $8.72       $9.51       $9.25
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (b)(c)

      -4.93 %       -6.79 %       4.63 %       -4.79 %       6.59 %       2.69 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $3,7 19       $4,4 37       $3,4 52       $5,5 53       $6,1 62       $2,0 39

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (d)

      2.27 %       2.19 %       2.10 %       2.15 %       2.09 %       2.17 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (d)

      2.26 %       2.18 %       2.10 %       2.12 %       2.09 %       2.17 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d)

      1.70 %       1.70 %       1.69 %       1.72 %       1.69 %       1.69 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (d)

      1.69 %       1.69 %       1.69 %       1.69 %       1.69 %       1.69 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d)

      3.50 %       2.51 %       2.38 %       2.97 %       3.02 %       3.49 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (d)

      4.07 %       3.00 %       2.79 %       3.40 %       3.42 %       3.97 %

Portfolio turnover rate (c)

      8 %       11 %       32 %       30 %       36 %       45 %

 

(a)

Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(b)

Total return does not include the effect of sales charges.

(c)

Not annualized for periods less than one year.

(d)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

32


Table of Contents

Angel Oak Financials Income Impact Fund – Institutional Class

Financial Highlights

(For a share outstanding during each year or period)

 

    For the
Period Ended
July 31, 2023
(Unaudited)
  For the

Year Ended
January 31, 2023
  For the
Year Ended
January 31, 2022
  For the
Year Ended
January 31, 2021
  For the
Year Ended
January 31, 2020
  For the
Year Ended
January 31, 2019

Selected Per Share Data:

                       

Net asset value, beginning of year or period

      $8.12       $8.94       $8.79       $9.58       $9.32       $9.44
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.20       0.34       0.34       0.38       0.43       0.46

Net realized and unrealized gain (loss) on investments (a)

      (0.56 )       (0.81 )       0.15       (0.76 )       0.26       (0.13 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      (0.36 )       (0.47 )       0.49       (0.38 )       0.69       0.33
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.20 )       (0.35 )       (0.34 )       (0.40 )       (0.43 )       (0.45 )

Return of capital

                        (0.01 )            
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.20 )       (0.35 )       (0.34 )       (0.41 )       (0.43 )       (0.45 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $7.56       $8.12       $8.94       $8.79       $9.58       $9.32
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (b)

      -4.49 %       -5.37 %       5.64 %       -3.81 %       7.55 %       3.61 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $80,7 19       $92,9 91       $159,0 78       $134,3 35       $258,3 92       $122,3 63

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (c)

      1.27 %       1.19 %       1.10 %       1.14 %       1.09 %       1.17 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (c)

      1.26 %       1.18 %       1.10 %       1.12 %       1.09 %       1.17 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (c)

      0.70 %       0.70 %       0.69 %       0.71 %       0.69 %       0.69 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (c)

      0.69 %       0.69 %       0.69 %       0.69 %       0.69 %       0.69 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (c)

      4.50 %       3.50 %       3.38 %       3.91 %       4.02 %       4.48 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (c)

      5.07 %       3.99 %       3.79 %       4.34 %       4.42 %       4.96 %

Portfolio turnover rate (b)

      8 %       11 %       32 %       30 %       36 %       45 %

 

(a)

Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(b)

Not annualized for periods less than one year.

(c)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

33


Table of Contents

Angel Oak High Yield Opportunities Fund — Class A

Financial Highlights

(For a share outstanding during each year or period)

 

<
     For the
Period Ended
July 31, 2023
(Unaudited)
  For the
Year Ended
January 31, 2023
  For the
Year Ended
January 31, 2022
  For the
Year Ended
January 31, 2021
  For the
Year Ended
January 31, 2020
  For the
Year Ended
January 31, 2019

Selected Per Share Data:

                        

Net asset value, beginning of year or period

     $ 10.63     $ 11.59     $ 11.78     $ 11.76     $ 11.39     $ 12.00
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                        

Net investment income (loss)

       0.34       0.58       0.58       0.58       0.64       0.65

Net realized and unrealized gain (loss) on investments (a)

       0.01       (0.96 )       (0.19 )       0.03       0.37       (0.61 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       0.35       (0.38 )       0.39       0.61       1.01       0.04
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders: