PartnerSelect Equity Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 95.4% | ||||||||
Communication Services: 12.4% | ||||||||
4,621 | Alphabet, Inc. - Class A* | $ | 6,772,538 | |||||
3,351 | Alphabet, Inc. - Class C* | 4,924,630 | ||||||
2,800 | Charter Communications, Inc. - Class A* | 1,748,152 | ||||||
72,400 | Discovery, Inc. - Class C* | 1,419,040 | ||||||
6,568 | Facebook, Inc. - Class A* | 1,720,159 | ||||||
10,448 | Netflix, Inc.* | 5,224,313 | ||||||
23,123 | Sea Ltd. - ADR* | 3,561,867 | ||||||
264,000 | Sirius XM Holdings, Inc. | 1,415,040 | ||||||
24,725 | Tencent Holdings Ltd. | 1,631,850 | ||||||
|
| |||||||
28,417,589 | ||||||||
|
| |||||||
Consumer Discretionary: 19.9% | ||||||||
22,184 | Alibaba Group Holding Ltd. - ADR* | 6,521,652 | ||||||
3,103 | Amazon.com, Inc.* | 9,770,509 | ||||||
3,075 | Booking Holdings, Inc.* | 5,260,341 | ||||||
11,000 | Dollar General Corp. | 2,305,820 | ||||||
108,600 | General Motors Co. | 3,213,474 | ||||||
37,165 | Hilton Worldwide Holdings, Inc. | 3,170,918 | ||||||
37,300 | Lear Corp. | 4,067,565 | ||||||
51,200 | Naspers Ltd. - Class N, ADR | 1,818,112 | ||||||
47,364 | Nordstrom, Inc. | 564,579 | ||||||
51,200 | Prosus N.V. - ADR* | 948,736 | ||||||
78,800 | Revolve Group, Inc.* | 1,294,684 | ||||||
28,355 | Thor Industries, Inc. | 2,701,097 | ||||||
43,500 | TJX Cos., Inc. (The) | 2,420,775 | ||||||
32,400 | YETI Holdings, Inc.* | 1,468,368 | ||||||
|
| |||||||
45,526,630 | ||||||||
|
| |||||||
Consumer Staples: 3.9% | ||||||||
38,276 | Beiersdorf AG - ADR | 873,458 | ||||||
23,960 | Cal-Maine Foods, Inc.* | 919,345 | ||||||
10,400 | Constellation Brands, Inc. - Class A | 1,970,904 | ||||||
12,935 | Diageo Plc - ADR | 1,780,632 | ||||||
10,903 | Monster Beverage Corp.* | 874,421 | ||||||
60,300 | Nomad Foods Ltd.* | 1,536,444 | ||||||
8,520 | Sanderson Farms, Inc. | 1,005,105 | ||||||
|
| |||||||
8,960,309 | ||||||||
|
| |||||||
Energy: 1.6% | ||||||||
28,900 | Concho Resources, Inc. | 1,275,068 | ||||||
31,000 | EOG Resources, Inc. | 1,114,140 | ||||||
137,000 | Parsley Energy, Inc. - Class A | 1,282,320 | ||||||
|
| |||||||
3,671,528 | ||||||||
|
| |||||||
Financials: 22.0% | ||||||||
101,200 | Ally Financial, Inc. | 2,537,084 | ||||||
43,500 | American International Group, Inc. | 1,197,555 | ||||||
52,400 | Arch Capital Group Ltd.* | 1,532,700 | ||||||
44,000 | Bank of America Corp. | 1,059,960 | ||||||
49,475 | Bank of New York Mellon Corp. (The) | 1,698,971 | ||||||
19 | Berkshire Hathaway, Inc. - Class A* | 6,080,019 | ||||||
24,350 | Berkshire Hathaway, Inc. - Class B* | 5,185,089 | ||||||
117,020 | Capital One Financial Corp. | 8,409,057 |
Shares | Value | |||||||
Financials (continued) | ||||||||
89,696 | Charles Schwab Corp. (The) | $ | 3,249,686 | |||||
32,854 | Chubb Ltd. | 3,815,006 | ||||||
42,300 | Citigroup, Inc. | 1,823,553 | ||||||
15,030 | JPMorgan Chase & Co. | 1,446,938 | ||||||
13,203 | MetLife, Inc. | 490,756 | ||||||
11,367 | Northern Trust Corp. | 886,285 | ||||||
32,367 | Pinnacle Financial Partners, Inc. | 1,151,942 | ||||||
26,000 | Reinsurance Group of America, Inc. | 2,474,940 | ||||||
18,959 | Travelers Cos., Inc. (The) | 2,051,174 | ||||||
48,640 | US Bancorp | 1,743,744 | ||||||
157,280 | Wells Fargo & Co. | 3,697,653 | ||||||
|
| |||||||
50,532,112 | ||||||||
|
| |||||||
Health Care: 10.6% | ||||||||
24,600 | AdaptHealth Corp.* | 536,526 | ||||||
14,883 | Alexion Pharmaceuticals, Inc.* | 1,703,062 | ||||||
38,393 | DENTSPLY SIRONA, Inc. | 1,678,926 | ||||||
2,169 | DexCom, Inc.* | 894,127 | ||||||
17,477 | Edwards Lifesciences Corp.* | 1,395,014 | ||||||
2,282 | ICU Medical, Inc.* | 417,058 | ||||||
4,023 | Illumina, Inc.* | 1,243,429 | ||||||
57,849 | Koninklijke Philips N.V.* | 2,726,334 | ||||||
90,945 | LivaNova Plc* | 4,111,623 | ||||||
24,285 | Merit Medical Systems, Inc.* | 1,056,398 | ||||||
75,150 | Mylan N.V.* | 1,114,474 | ||||||
26,900 | Quest Diagnostics, Inc. | 3,079,781 | ||||||
30,589 | Smith & Nephew Plc - ADR | 1,196,030 | ||||||
10,000 | UnitedHealth Group, Inc. | 3,117,700 | ||||||
|
| |||||||
24,270,482 | ||||||||
|
| |||||||
Industrials: 8.9% | ||||||||
6,811 | 3M Co. | 1,090,986 | ||||||
30,314 | Allison Transmission Holdings, Inc. | 1,065,234 | ||||||
18,675 | Carlisle Cos., Inc. | 2,285,260 | ||||||
26,480 | Carrier Global Corp. | 808,699 | ||||||
22,500 | Eaton Corp. Plc | 2,295,675 | ||||||
33,500 | Ferguson Plc | 3,380,272 | ||||||
431,000 | General Electric Co. | 2,685,130 | ||||||
13,300 | Honeywell International, Inc. | 2,189,313 | ||||||
110,100 | Howmet Aerospace, Inc. | 1,840,872 | ||||||
13,240 | Otis Worldwide Corp. | 826,441 | ||||||
26,480 | Raytheon Technologies Corp. | 1,523,659 | ||||||
12,200 | Southwest Airlines Co. | 457,500 | ||||||
|
| |||||||
20,449,041 | ||||||||
|
| |||||||
Information Technology: 14.0% | ||||||||
7,811 | Amphenol Corp. - Class A | 845,697 | ||||||
10,620 | Atlassian Corp. Plc - Class A* | 1,930,610 | ||||||
36,232 | Genpact Ltd. | 1,411,236 | ||||||
4,993 | Intuit, Inc. | 1,628,767 | ||||||
68,082 | NCR Corp.* | 1,507,335 | ||||||
6,230 | Palo Alto Networks, Inc.* | 1,524,793 | ||||||
9,035 | ServiceNow, Inc.* | 4,381,975 | ||||||
14,590 | Square, Inc. - Class A* | 2,371,604 | ||||||
64,660 | TE Connectivity Ltd. | 6,319,868 | ||||||
40,012 | Visa, Inc. - Class A | 8,001,200 | ||||||
20,000 | Zendesk, Inc.* | 2,058,400 | ||||||
|
| |||||||
31,981,485 | ||||||||
|
|
PartnerSelect Equity Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Materials: 1.1% | ||||||||
31,159 | Agnico Eagle Mines Ltd. | $ | 2,480,568 | |||||
|
| |||||||
Real Estate: 1.0% | ||||||||
49,400 | CBRE Group, Inc. - Class A* | 2,320,318 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | 218,610,062 | ||||||
|
| |||||||
PREFERRED STOCK: 1.6% | ||||||||
Information Technology: 1.6% | ||||||||
85,000 | Samsung Electronics Co. Ltd. - (Preference Shares) | 3,670,372 | ||||||
|
| |||||||
| TOTAL PREFERRED STOCK | 3,670,372 | ||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS: 2.8% | ||||||||
REPURCHASE AGREEMENTS: 2.8% | ||||||||
$6,442,496 | Fixed Income Clearing Corp. 0.000%, 9/30/2020, due 10/01/2020 [collateral: par value $4,644,200, U.S. Treasury Bonds, 3.125%, due 05/15/2048 value $6,572,120] (proceeds $6,442,496) | 6,442,496 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 6,442,496 | ||||||
|
| |||||||
| TOTAL INVESTMENTS | 228,722,930 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 0.2% | 446,454 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 229,169,384 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt | |||
* | Non-Income Producing Security. |
The cost basis of investments for federal income tax purposes at September 30, 2020 was as follows*:
Cost of investments | $ | 164,358,871 | ||||
|
| |||||
Gross unrealized appreciation | 76,373,380 | |||||
Gross unrealized depreciation | (12,009,321 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 64,364,059 | ||||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect International Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 96.2% | ||||||||
Australia: 1.3% | ||||||||
2,387,917 | Incitec Pivot Ltd. | $ | 3,484,298 | |||||
|
| |||||||
Austria: 1.5% | ||||||||
199,748 | S&T AG* | 4,193,649 | ||||||
|
| |||||||
Belgium: 2.3% | ||||||||
250,942 | Fagron | 6,326,663 | ||||||
|
| |||||||
Bermuda: 2.9% | ||||||||
554,649 | Frontline Ltd. | 3,605,219 | ||||||
219,926 | Jardine Strategic Holdings Ltd. | 4,357,065 | ||||||
|
| |||||||
7,962,284 | ||||||||
|
| |||||||
Canada: 1.1% | ||||||||
212,617 | CAE, Inc. | 3,108,510 | ||||||
|
| |||||||
Cayman Islands: 2.7% | ||||||||
237,321 | Trip.com Group Ltd. - ADR* | 7,390,176 | ||||||
|
| |||||||
Denmark: 1.2% | ||||||||
24,103 | Carlsberg A/S - Class B | 3,245,446 | ||||||
|
| |||||||
Finland: 2.3% | ||||||||
161,242 | Sampo Oyj - Class A | 6,378,486 | ||||||
|
| |||||||
France: 17.3% | ||||||||
180,700 | BNP Paribas S.A.* | 6,545,482 | ||||||
1,661,966 | Bollore S.A. | 6,202,880 | ||||||
185,021 | Constellium SE* | 1,452,415 | ||||||
449,429 | Elis S.A.* | 5,665,402 | ||||||
320,122 | Engie S.A.* | 4,278,217 | ||||||
51,486 | Safran S.A.* | 5,065,984 | ||||||
44,581 | Vinci S.A. | 3,718,221 | ||||||
531,238 | Vivendi S.A. | 14,805,497 | ||||||
|
| |||||||
47,734,098 | ||||||||
|
| |||||||
Germany: 3.3% | ||||||||
17,380 | Allianz SE | 3,333,522 | ||||||
80,250 | Daimler AG | 4,326,746 | ||||||
58,479 | LPKF Laser & Electronics AG | 1,552,516 | ||||||
|
| |||||||
9,212,784 | ||||||||
|
| |||||||
Ireland: 2.2% | ||||||||
74,925 | Ryanair Holdings Plc - ADR* | 6,125,868 | ||||||
|
| |||||||
Israel: 1.5% | ||||||||
1,532,129 | Israel Discount Bank Ltd. - Class A | 4,132,355 | ||||||
|
| |||||||
Japan: 14.0% | ||||||||
258,000 | Asahi Group Holdings Ltd. | 8,974,106 | ||||||
38,700 | Cocokara fine, Inc. | 2,499,149 | ||||||
133,100 | Matsumotokiyoshi Holdings Co. Ltd. | 4,849,257 | ||||||
417,548 | Nexon Co. Ltd. | 10,355,985 | ||||||
17,900 | Nintendo Co. Ltd. | 10,162,308 | ||||||
29,300 | Toyota Motor Corp. | 1,935,320 | ||||||
|
| |||||||
38,776,125 | ||||||||
|
| |||||||
Mexico: 2.0% | ||||||||
919,346 | Grupo Televisa SAB - ADR* | 5,681,558 | ||||||
|
| |||||||
Netherlands: 6.4% | ||||||||
680,841 | CNH Industrial N.V.* | 5,290,771 | ||||||
163,073 | EXOR N.V. | 8,873,245 |
Shares | Value | |||||||
Netherlands (continued) | ||||||||
270,290 | OCI N.V.* | $ | 3,469,833 | |||||
|
| |||||||
17,633,849 | ||||||||
|
| |||||||
Norway: 0.8% | ||||||||
183,874 | Atlantic Sapphire A/S* | 2,160,088 | ||||||
|
| |||||||
South Africa: 1.2% | ||||||||
18,855 | Naspers Ltd. - Class N | 3,336,037 | ||||||
|
| |||||||
South Korea: 0.3% | ||||||||
3,145 | NAVER Corp. | 796,286 | ||||||
|
| |||||||
Spain: 3.7% | ||||||||
32,600 | Amadeus IT Group S.A. | 1,809,014 | ||||||
1,023,255 | Codere S.A.*(a) | 1,511,512 | ||||||
255,512 | Siemens Gamesa Renewable Energy S.A. | 6,886,403 | ||||||
|
| |||||||
10,206,929 | ||||||||
|
| |||||||
Sweden: 7.9% | ||||||||
754,209 | Modern Times Group MTG AB - Class B | 10,539,348 | ||||||
191,224 | Nordic Entertainment Group AB - Class B* | 8,095,618 | ||||||
770,639 | Telia Co. AB | 3,166,557 | ||||||
|
| |||||||
21,801,523 | ||||||||
|
| |||||||
Switzerland: 6.1% | ||||||||
26,410 | Cie Financiere Richemont S.A. | 1,772,716 | ||||||
536,633 | Credit Suisse Group AG | 5,382,427 | ||||||
2,988,300 | Glencore Plc* | 6,197,132 | ||||||
81,658 | Julius Baer Group Ltd. | 3,488,569 | ||||||
|
| |||||||
16,840,844 | ||||||||
|
| |||||||
United Kingdom: 13.4% | ||||||||
46,100 | Ashtead Group Plc | 1,653,384 | ||||||
108,587 | Coca-Cola European Partners Plc | 4,270,138 | ||||||
225,948 | Compass Group Plc | 3,395,158 | ||||||
168,785 | easyJet Plc | 1,096,871 | ||||||
443,232 | Gamesys Group Plc | 6,804,788 | ||||||
1,606,857 | Informa Plc* | 7,798,729 | ||||||
22,012,250 | Lloyds Banking Group Plc* | 7,477,473 | ||||||
314,285 | Prudential Plc | 4,491,487 | ||||||
|
| |||||||
36,988,028 | ||||||||
|
| |||||||
United States: 0.8% | ||||||||
333,287 | Genco Shipping & Trading Ltd. | 2,299,680 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | 265,815,564 | ||||||
|
|
PartnerSelect International Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS: 2.9% | ||||||||
REPURCHASE AGREEMENTS: 2.9% | ||||||||
$7,990,174 | Fixed Income Clearing Corp. 0.000%, 09/30/2020, due 10/01/2020 [collateral: par value $5,759,800, U.S. Treasury Bond, 3.125%, due 05/15/2048 value $8,150,832] (proceeds $7,990,174) | $ | 7,990,174 | |||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 7,990,174 | ||||||
|
| |||||||
| TOTAL INVESTMENTS | 273,805,738 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 0.9% | 2,498,696 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 276,304,434 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
* | Non-Income Producing Security. |
(a) | Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees. |
CURRENCY ABBREVIATIONS:
CHF | Swiss Franc |
USD | U.S. Dollar |
The cost basis of investments for federal income tax purposes at September 30, 2020 was as follows*:
Cost of investments | $ | 267,382,543 | ||
|
| |||
Gross unrealized appreciation | 39,239,918 | |||
Gross unrealized depreciation | (32,844,150 | ) | ||
|
| |||
Net unrealized appreciation | $ | 6,395,768 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect International Fund
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at September 30, 2020 (Unaudited)
At September 30, 2020, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at September 30, 2020 | Fund Delivering | U.S. $ Value at September 30, 2020 | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
State Street Bank and Trust Company | 12/16/2020 | USD | $ | 903,838 | CHF | $ | 931,265 | $ | — | $ | (27,427 | ) |
PartnerSelect SBH Focused Small Value Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 91.9% | ||||||||
Consumer Discretionary: 4.1% | ||||||||
5,508 | Core-Mark Holding Co., Inc. | $ | 159,346 | |||||
8,668 | Tapestry, Inc. | 135,481 | ||||||
10,659 | Under Armour, Inc. - Class A* | 119,701 | ||||||
|
| |||||||
414,528 | ||||||||
|
| |||||||
Consumer Staples: 6.7% | ||||||||
11,872 | Hain Celestial Group, Inc. (The)* | 407,210 | ||||||
6,863 | TreeHouse Foods, Inc.* | 278,157 | ||||||
|
| |||||||
685,367 | ||||||||
|
| |||||||
Financials: 14.0% | ||||||||
7,361 | Glacier Bancorp, Inc. | 235,920 | ||||||
5,955 | Lakeland Financial Corp. | 245,346 | ||||||
8,776 | National Bank Holdings Corp. - Class A | 230,370 | ||||||
17,149 | Seacoast Banking Corp. of Florida* | 309,196 | ||||||
15,691 | Umpqua Holdings Corp. | 166,638 | ||||||
7,749 | United Community Banks, Inc. | 131,191 | ||||||
5,255 | WesBanco, Inc. | 112,247 | ||||||
|
| |||||||
1,430,908 | ||||||||
|
| |||||||
Health Care: 8.5% | ||||||||
4,548 | Magellan Health, Inc.* | 344,648 | ||||||
12,043 | MEDNAX, Inc.* | 196,060 | ||||||
10,510 | Orthofix Medical, Inc.* | 327,281 | ||||||
|
| |||||||
867,989 | ||||||||
|
| |||||||
Industrials: 26.0% | ||||||||
4,473 | AZZ, Inc. | 152,619 | ||||||
6,081 | CIRCOR International, Inc.* | 166,315 | ||||||
6,007 | Columbus McKinnon Corp. | 198,832 | ||||||
6,066 | EnerSys | 407,150 | ||||||
15,162 | Quanex Building Products Corp. | 279,587 | ||||||
4,585 | Regal Beloit Corp. | 430,394 | ||||||
19,643 | REV Group, Inc. | 154,983 | ||||||
12,251 | SPX Corp.* | 568,201 | ||||||
20,923 | Sterling Construction Co., Inc.* | 296,270 | ||||||
|
| |||||||
2,654,351 | ||||||||
|
| |||||||
Information Technology: 15.8% | ||||||||
7,860 | Belden, Inc. | 244,603 | ||||||
4,734 | CommVault Systems, Inc.* | 193,147 | ||||||
7,361 | FARO Technologies, Inc.* | 448,874 | ||||||
20,037 | NCR Corp.* | 443,619 | ||||||
7,600 | Progress Software Corp. | 278,768 | ||||||
|
| |||||||
1,609,011 | ||||||||
|
| |||||||
Materials: 13.7% | ||||||||
8,396 | Compass Minerals International, Inc. | 498,303 | ||||||
26,230 | Ferro Corp.* | 325,252 | ||||||
25,828 | Glatfelter Corp. | 355,652 | ||||||
4,645 | Schnitzer Steel Industries, Inc. - Class A | 89,323 |
Shares | Value | |||||||
Materials (continued) | ||||||||
3,491 | Silgan Holdings, Inc. | $ | 128,364 | |||||
|
| |||||||
1,396,894 | ||||||||
|
| |||||||
Real Estate: 3.1% | ||||||||
12,014 | Equity Commonwealth - REIT | 319,933 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | 9,378,981 | ||||||
|
| |||||||
| TOTAL INVESTMENTS | 9,378,981 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 8.1% | 827,743 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 10,206,724 | ||||||
|
|
Percentages are stated as a percent of net assets.
REIT | Real Estate Investment Trust | |
* | Non-Income Producing Security. |
The cost basis of investments for federal income tax purposes at September 30, 2020 was as follows*:
Cost of investments | $ | 9,522,683 | ||
|
| |||
Gross unrealized appreciation | 242,545 | |||
Gross unrealized depreciation | (386,247 | ) | ||
|
| |||
Net unrealized depreciation | $ | (143,702 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect Smaller Companies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 88.0% | ||||||||
Communication Services: 4.8% | ||||||||
23,900 | EW Scripps Co. (The) - Class A | $ | 273,416 | |||||
20,000 | Millicom International Cellular S.A.* | 605,600 | ||||||
|
| |||||||
879,016 | ||||||||
|
| |||||||
Consumer Discretionary: 6.6% | ||||||||
35,000 | American Eagle Outfitters, Inc. | 518,350 | ||||||
12,000 | Cheesecake Factory, Inc. (The) | 332,880 | ||||||
6,425 | Chewy, Inc. - Class A* | 352,283 | ||||||
|
| |||||||
1,203,513 | ||||||||
|
| |||||||
Consumer Staples: 4.4% | ||||||||
15,723 | Hain Celestial Group, Inc. (The)* | 539,299 | ||||||
6,496 | TreeHouse Foods, Inc.* | 263,283 | ||||||
|
| |||||||
802,582 | ||||||||
|
| |||||||
Energy: 2.4% | ||||||||
89,472 | WPX Energy, Inc.* | 438,413 | ||||||
|
| |||||||
Financials: 6.6% | ||||||||
13,172 | AllianceBernstein Holding L.P. | 356,171 | ||||||
12,983 | Bank of NT Butterfield & Son Ltd. (The) | 289,261 | ||||||
11,000 | StoneX Group, Inc.* | 562,760 | ||||||
|
| |||||||
1,208,192 | ||||||||
|
| |||||||
Health Care: 10.4% | ||||||||
27,212 | Change Healthcare, Inc.* | 394,846 | ||||||
6,000 | Integer Holdings Corp.* | 354,060 | ||||||
6,082 | Magellan Health, Inc.* | 460,894 | ||||||
11,479 | MEDNAX, Inc.* | 186,878 | ||||||
16,396 | Orthofix Medical, Inc.* | 510,572 | ||||||
|
| |||||||
1,907,250 | ||||||||
|
| |||||||
Industrials: 19.8% | ||||||||
5,350 | ASGN, Inc.* | 340,046 | ||||||
13,500 | Avis Budget Group, Inc.* | 355,320 | ||||||
4,312 | Axon Enterprise, Inc.* | 391,098 | ||||||
1,800 | Carlisle Cos., Inc. | 220,266 | ||||||
71,856 | GP Strategies Corp.* | 692,692 | ||||||
22,600 | Macquarie Infrastructure Corp. | 607,714 | ||||||
5,160 | Regal Beloit Corp. | 484,369 | ||||||
11,916 | SPX Corp.* | 552,664 | ||||||
|
| |||||||
3,644,169 | ||||||||
|
| |||||||
Information Technology: 20.6% | ||||||||
6,440 | Brooks Automation, Inc. | 297,914 | ||||||
1,180 | CACI International, Inc. - Class A* | 251,529 | ||||||
18,133 | Dropbox, Inc. - Class A* | 349,242 | ||||||
8,607 | FARO Technologies, Inc.* | 524,855 | ||||||
5,400 | FLIR Systems, Inc. | 193,590 | ||||||
3,750 | Jabil, Inc. | 128,475 | ||||||
26,965 | NCR Corp.* | 597,005 | ||||||
6,003 | Progress Software Corp. | 220,190 | ||||||
30,000 | ViaSat, Inc.* | 1,031,700 |
Shares | Value | |||||||
Information Technology (continued) | ||||||||
1,422 | WEX, Inc.* | $ | 197,615 | |||||
|
| |||||||
3,792,115 | ||||||||
|
| |||||||
Materials: 10.0% | ||||||||
20,097 | Compass Minerals International, Inc. | 1,192,757 | ||||||
12,650 | Norbord, Inc. | 373,175 | ||||||
27,200 | PQ Group Holdings, Inc.* | 279,072 | ||||||
|
| |||||||
1,845,004 | ||||||||
|
| |||||||
Real Estate: 2.4% | ||||||||
16,453 | Equity Commonwealth - REIT | 438,143 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | 16,158,397 | ||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS: 10.9% | ||||||||
REPURCHASE AGREEMENTS: 10.9% | ||||||||
$1,995,393 | Fixed Income Clearing Corp. 0.000%, 9/30/2020, due 10/01/2020 [collateral: par value $1,438,600, U.S. Treasury Bonds, 3.125%, due 05/15/2048 value $2,035,798] (proceeds $1,995,393) | 1,995,393 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 1,995,393 | ||||||
|
| |||||||
| TOTAL INVESTMENTS | 18,153,790 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 1.1% | 205,130 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 18,358,920 | ||||||
|
|
Percentages are stated as a percent of net assets.
L.P. | Limited Partnership | |
REIT | Real Estate Investment Trust | |
* | Non-Income Producing Security. |
The cost basis of investments for federal income tax purposes at September 30, 2020 was as follows*:
Cost of investments | $ | 18,559,058 | ||
|
| |||
Gross unrealized appreciation | 2,186,874 | |||
Gross unrealized depreciation | (2,592,142 | ) | ||
|
| |||
Net unrealized depreciation | $ | (405,268 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 30.1% | ||||||||
Communication Services: 5.6% | ||||||||
517,216 | 58.COM, Inc.* | $ | 14,482,048 | |||||
594 | Activision Blizzard, Inc. | 48,084 | ||||||
4,866 | Alphabet, Inc. - Class A* | 7,131,610 | ||||||
4,209 | Alphabet, Inc. - Class C*(a) | 6,185,546 | ||||||
59,132 | Altice Europe N.V.* | 283,671 | ||||||
71,186 | AT&T, Inc. | 2,029,513 | ||||||
37,976 | Baidu, Inc. - ADR* | 4,807,382 | ||||||
11,624 | Charter Communications, Inc. - Class A* | 7,257,328 | ||||||
332,510 | Cincinnati Bell, Inc.*(a) | 4,987,650 | ||||||
96,423 | Cineplex, Inc. | 521,773 | ||||||
63,157 | Clear Channel Outdoor Holdings, Inc.* | 63,157 | ||||||
205,790 | Comcast Corp. - Class A(a) | 9,519,845 | ||||||
114,390 | Escrow Altegrity, Inc.*(b) | 2,576,635 | ||||||
25,413 | Facebook, Inc. - Class A*(a) | 6,655,665 | ||||||
253 | Fox Corp. - Class A | 7,041 | ||||||
49,435 | GCI Liberty, Inc. - Class A*(a) | 4,051,693 | ||||||
10,549 | IAC / InterActiveCorp* | 1,263,559 | ||||||
26,858 | iHeartMedia, Inc. - Class A* | 218,087 | ||||||
121,400 | Nexon Co. Ltd. | 3,014,164 | ||||||
535 | Nexstar Media Group, Inc. - Class A | 48,113 | ||||||
85,901 | PLAY Communications S.A.(c) | 858,143 | ||||||
36,600 | SoftBank Group Corp. | 2,241,990 | ||||||
22,236 | Sunrise Communications | 2,637,062 | ||||||
70,816 | TEGNA, Inc. | 832,088 | ||||||
813 | Verizon Communications, Inc. | 48,365 | ||||||
|
| |||||||
81,770,212 | ||||||||
|
| |||||||
Consumer Discretionary: 3.2% | ||||||||
8,528 | Alibaba Group Holding Ltd. - ADR* | 2,507,062 | ||||||
442 | Best Buy Co., Inc. | 49,190 | ||||||
2,502 | Booking Holdings, Inc.* | 4,280,121 | ||||||
579 | BorgWarner, Inc. | 22,431 | ||||||
45,872 | Callaway Golf Co. | 877,990 | ||||||
32,730 | Cie Financiere Richemont S.A. | 2,197,194 | ||||||
509,342 | Delphi Technologies Plc* | 8,511,105 | ||||||
147 | Dollar General Corp. | 30,814 | ||||||
116 | Domino’s Pizza, Inc. | 49,333 | ||||||
603 | DR Horton, Inc. | 45,605 | ||||||
856 | eBay, Inc. | 44,598 | ||||||
119,860 | Grubhub, Inc.*(a) | 8,669,474 | ||||||
185 | Home Depot, Inc. (The) | 51,376 | ||||||
194,290 | Hudson Ltd. - Class A* | 1,476,604 | ||||||
312 | Lowe’s Cos., Inc. | 51,748 | ||||||
387 | LVMH Moet Hennessy Louis Vuitton SE | 181,208 | ||||||
21,923 | Marriott International, Inc. - Class A | 2,029,631 | ||||||
2,987 | McDonald’s Corp. | 655,617 | ||||||
27,196 | Naspers Ltd. - Class N | 4,821,091 | ||||||
123,420 | NetEnt AB | 1,053,377 | ||||||
1,773 | NIKE, Inc. - Class B | 222,582 | ||||||
27,320 | Porsche Automobil Holding SE - (Preference Shares)* | 1,630,255 | ||||||
30,130 | Prosus N.V.* | 2,779,911 | ||||||
1,059 | PulteGroup, Inc. | 49,021 | ||||||
1,835 | Starbucks Corp. | 157,663 |
Shares | Value | |||||||
Consumer Discretionary (continued) | ||||||||
117 | Target Corp. | $ | 18,418 | |||||
14,178 | Tiffany & Co. | 1,642,521 | ||||||
95,000 | Velodyne Lidar, Inc.* | 1,775,550 | ||||||
202,544 | William Hill Plc | 727,292 | ||||||
394 | Yum! Brands, Inc. | 35,972 | ||||||
|
| |||||||
46,644,754 | ||||||||
|
| |||||||
Consumer Staples: 0.2% | ||||||||
1,115 | Altria Group, Inc. | 43,084 | ||||||
11,560 | Coca-Cola Co. (The) | 570,717 | ||||||
1,819 | Costco Wholesale Corp. | 645,745 | ||||||
844 | Estee Lauder Cos., Inc. (The) - Class A | 184,203 | ||||||
303 | Kimberly-Clark Corp. | 44,741 | ||||||
1,364 | Kroger Co. (The) | 46,253 | ||||||
600 | Philip Morris International, Inc. | 44,994 | ||||||
4,597 | Procter & Gamble Co. (The) | 638,937 | ||||||
4,374 | Walmart, Inc. | 611,966 | ||||||
110,963 | Whole Earth Brands, Inc.* | 925,432 | ||||||
|
| |||||||
3,756,072 | ||||||||
|
| |||||||
Energy: 1.7% | ||||||||
18,829 | Battalion Oil Corp.* | 148,749 | ||||||
131,897 | ChampionX Corp.*(a) | 1,053,857 | ||||||
577 | Chevron Corp. | 41,544 | ||||||
236,232 | CNX Resources Corp.* | 2,230,026 | ||||||
220 | Dommo Energia S.A. - ADR*(b) | 447 | ||||||
2,723 | Enterprise Products Partners L.P. | 42,996 | ||||||
279,175 | Kinder Morgan, Inc. | 3,442,228 | ||||||
1,578 | McDermott International, Inc.* | 0 | ||||||
258,191 | Montage Resources Corp.*(a) | 1,133,458 | ||||||
1,504,210 | Noble Energy, Inc. | 12,860,995 | ||||||
35,178 | Whiting Petroleum Corp.* | 608,228 | ||||||
2,363 | Williams Cos., Inc. (The) | 46,433 | ||||||
578,882 | WPX Energy, Inc.* | 2,836,522 | ||||||
|
| |||||||
24,445,483 | ||||||||
|
| |||||||
Financials: 6.0% | ||||||||
305 | Aflac, Inc. | 11,087 | ||||||
520 | Allstate Corp. (The) | 48,953 | ||||||
120,460 | Alpha Healthcare Acquisition Corp.* | 1,194,963 | ||||||
253,240 | American International Group, | 6,971,697 | ||||||
18,080 | Aon Plc - Class A | 3,729,904 | ||||||
42,774 | Artius Acquisition, Inc.* | 444,422 | ||||||
95,045 | Bank of America Corp. | 2,289,634 | ||||||
42,820 | CC Neuberger Principal Holdings II* | 442,331 | ||||||
64,010 | CF Finance Acquisition Corp. - Class A* | 665,704 | ||||||
71,362 | Churchill Capital Corp. IV* | 715,047 | ||||||
58,277 | CIT Group, Inc.(a) | 1,032,086 | ||||||
105,692 | Citigroup, Inc.(a) | 4,556,382 | ||||||
92,739 | Conyers Park II Acquisition Corp. - Class A* | 942,228 | ||||||
366,078 | E*TRADE Financial Corp. | 18,322,204 | ||||||
122,830 | Fast Acquisition Corp.* | 1,224,615 | ||||||
60,800 | Fast Sponsor Capital(b) | 60,800 | ||||||
106,066 | Flying Eagle Acquisition Corp. - Class A* | 1,289,763 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Financials (continued) | ||||||||
56,847 | Foley Trasimene Acquisition Corp. - Class A* | $ | 588,935 | |||||
73,460 | Groupe Bruxelles Lambert S.A. | 6,629,578 | ||||||
64,933 | Hennessy Capital Acquisition Corp. IV - Class A* | 723,354 | ||||||
71,058 | Hudson Executive Investment Corp. - Class A* | 698,145 | ||||||
198,940 | Jefferies Financial Group, Inc.(a) | 3,580,920 | ||||||
99,369 | LF Capital Acquisition Corp. - Class A* | 1,047,349 | ||||||
49,535 | Live Oak Acquisition Corp. - Class A* | 499,313 | ||||||
16,500 | LPL Financial Holdings, Inc. | 1,265,055 | ||||||
1,200 | MetLife, Inc. | 44,604 | ||||||
349,541 | National General Holdings Corp. | 11,797,009 | ||||||
71,789 | Oaktree Acquisition Corp. II* | 738,709 | ||||||
35,682 | Pivotal Investment Corp. II - Class A* | 411,413 | ||||||
525 | Progressive Corp. (The) | 49,702 | ||||||
141 | S&P Global, Inc. | 50,845 | ||||||
9,650 | Signature Bank | 800,853 | ||||||
35,382 | Sustainable Opportunities Acquisition Corp. - Class A* | 360,896 | ||||||
56,847 | Trebia Acquisition Corp. - Class A* | 578,702 | ||||||
134,809 | Trine Acquisition Corp. - Class A* | 1,455,937 | ||||||
1,323 | Truist Financial Corp. | 50,340 | ||||||
161,743 | Wells Fargo & Co.(a) | 3,802,578 | ||||||
39,543 | Willis Towers Watson Plc(a) | 8,257,369 | ||||||
|
| |||||||
87,373,426 | ||||||||
|
| |||||||
Health Care: 3.2% | ||||||||
517 | AbbVie, Inc. | 45,284 | ||||||
143,793 | Aimmune Therapeutics, Inc.* | 4,953,669 | ||||||
207 | Amgen, Inc. | 52,611 | ||||||
174 | Anthem, Inc. | 46,735 | ||||||
823 | Bristol-Myers Squibb Co. | 49,619 | ||||||
74,097 | Cellular Biomedicine Group, Inc.* | 1,358,939 | ||||||
274 | Cigna Corp. | 46,418 | ||||||
9,763 | CVS Health Corp. | 570,159 | ||||||
325 | Eli Lilly & Co. | 48,107 | ||||||
748 | Gilead Sciences, Inc. | 47,266 | ||||||
119 | Humana, Inc. | 49,253 | ||||||
48,476 | Immunomedics, Inc.* | 4,121,914 | ||||||
4,386 | Johnson & Johnson | 652,988 | ||||||
609 | Merck & Co., Inc. | 50,517 | ||||||
557,815 | Metlifecare Ltd.* | 2,192,863 | ||||||
83,439 | Momenta Pharmaceuticals, Inc.* | 4,378,879 | ||||||
122,430 | Olympus Corp. | 2,529,636 | ||||||
107,275 | Oxford Immunotec Global Plc* | 1,255,117 | ||||||
359,517 | Pacific Biosciences of California, Inc.*(a) | 3,548,433 | ||||||
88,051 | Paratek Pharmaceuticals, Inc.*(a) | 476,356 | ||||||
46,226 | QIAGEN N.V.* | 2,400,751 | ||||||
326,095 | Stemline Therapeutics, Inc.(b) | 110,807 |
Shares | Value | |||||||
Health Care (continued) | ||||||||
8,121 | Teladoc Health, Inc.* | $ | 1,780,448 | |||||
150 | UnitedHealth Group, Inc. | 46,766 | ||||||
51,995 | Varian Medical Systems, Inc.* | 8,943,140 | ||||||
215,475 | Wright Medical Group N.V.* | 6,580,606 | ||||||
|
| |||||||
46,337,281 | ||||||||
|
| |||||||
Industrials: 1.8% | ||||||||
6,133 | 3M Co. | 982,384 | ||||||
53,715 | AECOM* | 2,247,436 | ||||||
13,082 | CoreLogic, Inc.(a) | 885,259 | ||||||
665 | CSX Corp. | 51,651 | ||||||
2,405 | Expeditors International of Washington, Inc. | 217,701 | ||||||
13,410 | GEA Group AG | 471,793 | ||||||
176 | Honeywell International, Inc. | 28,971 | ||||||
230,565 | Howmet Aerospace, Inc. | 3,855,047 | ||||||
34,216 | Jardine Strategic Holdings Ltd. | 677,819 | ||||||
46,010 | LG Corp. | 2,915,212 | ||||||
127 | Lockheed Martin Corp. | 48,677 | ||||||
734 | Masco Corp. | 40,465 | ||||||
565,709 | Mcdermott International Ltd.*(b) | 1,357,702 | ||||||
252,570 | Meggitt Plc | 840,047 | ||||||
28,613 | Rush Enterprises, Inc. - Class A(a) | 1,446,101 | ||||||
22,310 | Samsung C&T Corp. | 2,003,035 | ||||||
17,500 | Sound Holding FP Luxemburg*(b) | 326,050 | ||||||
263 | Union Pacific Corp. | 51,777 | ||||||
308 | United Parcel Service, Inc. - Class B | 51,322 | ||||||
100,600 | Univar Solutions, Inc.* | 1,698,128 | ||||||
60,023 | Vivint Solar, Inc.* | 2,541,974 | ||||||
56,140 | Westinghouse Air Brake Technologies Corp. | 3,473,943 | ||||||
|
| |||||||
26,212,494 | ||||||||
|
| |||||||
Information Technology: 6.1% | ||||||||
213,783 | Acacia Communications, Inc.*(a) | 14,408,974 | ||||||
209 | Accenture Plc - Class A | 47,232 | ||||||
60,290 | Analog Devices, Inc. | 7,038,255 | ||||||
1,572 | Apple, Inc. | 182,053 | ||||||
789 | Applied Materials, Inc. | 46,906 | ||||||
21,107 | Broadcom, Inc. | 7,689,702 | ||||||
1,166 | Cisco Systems, Inc. | 45,929 | ||||||
154 | Citrix Systems, Inc. | 21,207 | ||||||
30,330 | Cloudera, Inc.*(a) | 330,294 | ||||||
347 | Fidelity National Information Services, Inc. | 51,082 | ||||||
439,301 | Gilat Satellite Networks Ltd.* | 2,394,190 | ||||||
105,402 | HIQ International AB* | 843,150 | ||||||
2,749 | HP, Inc. | 52,204 | ||||||
993 | Intel Corp. | 51,418 | ||||||
6,872 | International Business Machines Corp. | 836,116 | ||||||
162 | Intuit, Inc. | 52,846 | ||||||
966 | KLA Corp. | 187,153 | ||||||
145 | Lam Research Corp. | 48,104 | ||||||
257,265 | LogMeIn, Inc.* | 22,137,653 | ||||||
758 | MasterCard, Inc. - Class A | 256,333 | ||||||
84,038 | Maxim Integrated Products, Inc. | 5,681,809 | ||||||
20,707 | Microsoft Corp. | 4,355,303 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Information Technology (continued) | ||||||||
159,124 | MINDBODY, Inc. - Class A* | $ | 5,808,026 | |||||
101,989 | MobileIron, Inc.* | 714,943 | ||||||
2,177 | NortonLifeLock, Inc. | 45,369 | ||||||
102 | NVIDIA Corp. | 55,204 | ||||||
14,112 | NXP Semiconductors N.V. | 1,761,319 | ||||||
869 | Oracle Corp. | 51,879 | ||||||
40,293 | Perspecta, Inc. | 783,699 | ||||||
2,266 | Qualcomm, Inc. | 266,663 | ||||||
71,789 | Reinvent Technology Partners* | 824,848 | ||||||
71,869 | Rosetta Stone, Inc.* | 2,154,633 | ||||||
72,257 | TE Connectivity Ltd.(a) | 7,062,399 | ||||||
359 | Texas Instruments, Inc. | 51,262 | ||||||
57,663 | Virtusa Corp.* | 2,834,713 | ||||||
957 | Visa, Inc. - Class A | 191,371 | ||||||
|
| |||||||
89,364,241 | ||||||||
|
| |||||||
Materials: 1.4% | ||||||||
38,047 | Ahlstrom-Munksjo Oyj | 801,987 | ||||||
268,578 | Cemex SAB de C.V. - ADR | 1,020,596 | ||||||
1,865,150 | Glencore Plc* | 3,877,719 | ||||||
40,662 | HeidelbergCement AG | 2,494,098 | ||||||
58,729 | Hexion Holdings Corp. - Class B* | 583,649 | ||||||
576,676 | IPL Plastics, Inc.* | 4,323,772 | ||||||
148,749 | LafargeHolcim Ltd. | 6,795,746 | ||||||
722 | Newmont Corp. | 45,811 | ||||||
|
| |||||||
19,943,378 | ||||||||
|
| |||||||
Real Estate: 0.7% | ||||||||
199 | American Tower Corp. | 48,104 | ||||||
72,528 | Front Yard Residential Corp. | 633,895 | ||||||
1,623 | Iron Mountain, Inc. | 43,480 | ||||||
263,550 | Swire Pacific Ltd. - Class A | 1,265,040 | ||||||
234,579 | Taubman Centers, Inc.(a) | 7,809,135 | ||||||
|
| |||||||
9,799,654 | ||||||||
|
| |||||||
Utilities: 0.2% | ||||||||
7,283 | Dominion Energy, Inc. | 574,847 | ||||||
6,635 | Duke Energy Corp. | 587,596 | ||||||
145,400 | PG&E Corp.* | 1,365,306 | ||||||
|
| |||||||
2,527,749 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 438,174,744 | ||||||
|
| |||||||
RIGHTS/WARRANTS: 0.0% | ||||||||
17,471 | Avaya Holdings Corp. (Expiration date 12/15/22)* | 24,285 | ||||||
18,949 | Foley Trasimene Acquisition Corp. (Expiration date 07/17/25)* | 42,825 | ||||||
24,900 | Fortress Value Acquisition Corp. (Expiration date 05/04/27)* | 81,921 | ||||||
35,529 | Hudson Executive Investment Corp. (Expiration date 06/21/25)* | 41,924 | ||||||
70,679 | Live Oak Acquisition Corp. (Expiration date 05/08/27)* | 69,265 | ||||||
53,010 | Sustainable Opportunities Acquisition Corp. (Expiration date 06/26/25)* | 95,418 | ||||||
18,949 | Trebia Acquisition Corp. (Expiration date 12/31/25)* | 28,424 | ||||||
|
|
Shares | Value | |||||||
|
| |||||||
| TOTAL RIGHTS/WARRANTS | $ | 384,062 | |||||
|
| |||||||
PREFERRED STOCKS: 0.2% | ||||||||
Consumer Staples: 0.1% | ||||||||
Bunge Ltd. | ||||||||
16,579 | 4.875%, 12/20/2165(d) | 1,628,887 | ||||||
|
| |||||||
Energy: 0.0% | ||||||||
Chesapeake Energy Corp. |
| |||||||
506 | 5.750%, 08/15/2166(b)(d) | 0 | ||||||
El Paso Energy Capital Trust I |
| |||||||
528 | 4.750%, 03/31/2028 | 24,695 | ||||||
|
| |||||||
24,695 | ||||||||
|
| |||||||
Financials: 0.1% | ||||||||
Bank of America Corp. |
| |||||||
245 | 7.250%, 07/31/2168(d) | 364,560 | ||||||
National General Holdings Corp. |
| |||||||
9,105 | 7.500%, 10/30/2020(d) | 229,446 | ||||||
Wells Fargo & Co. |
| |||||||
528 | 7.500%, 12/31/2049(d) | 708,602 | ||||||
|
| |||||||
1,302,608 | ||||||||
|
| |||||||
Industrials: 0.0% | ||||||||
Element Communication Aviation |
| |||||||
170 | 12.000%, 03/16/2040(b) | 197,030 | ||||||
|
| |||||||
| TOTAL PREFERRED STOCKS | 3,153,220 | ||||||
|
| |||||||
Principal Amount^ | ||||||||
ASSET-BACKED SECURITIES: 9.8% | ||||||||
Accelerated Assets LLC | ||||||||
195,858 | Series 2018-1-B | 198,486 | ||||||
Adams Outdoor Advertising L.P. | ||||||||
902,123 | Series 2018-1-A | 940,273 | ||||||
AGL CLO 3 Ltd. | ||||||||
320,000 | Series 2020-3A-C | 315,128 | ||||||
470,000 | Series 2020-3A-D | 437,219 | ||||||
AIM Aviation Finance Ltd. | ||||||||
637,452 | Series 2015-1A-B1 | 227,378 | ||||||
Ajax Mortgage Loan Trust | ||||||||
302,044 | Series 2017-B-A | 304,239 | ||||||
American Credit Acceptance Receivables Trust | ||||||||
670,000 | Series 2020-3-D | 680,165 | ||||||
American Homes 4 Rent | ||||||||
875,000 | Series 2014-SFR2-E | 990,082 | ||||||
600,000 | Series 2014-SFR3-E | 678,844 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
American Homes 4 Rent (Continued) | ||||||||
$845,000 | Series 2015-SFR1-E | $ | 937,802 | |||||
Americredit Automobile Receivables Trust | ||||||||
1,010,000 | Series 2018-3-D | 1,068,730 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
130,000 | Series 2020-2-D | 131,871 | ||||||
Anchorage Capital CLO 9 Ltd. | ||||||||
1,800,000 | Series 2016-9A-DR | 1,776,696 | ||||||
Apidos CLO XX | ||||||||
265,000 | Series 2015-20A-BRR | 262,286 | ||||||
Apidos CLO XXI | ||||||||
500,000 | Series 2015-21A-ER | 428,104 | ||||||
Apidos CLO XXIII | ||||||||
855,000 | Series 2015-23A-CR | 835,558 | ||||||
Apidos CLO XXIV | ||||||||
1,000,000 | Series 2016-24A-DR | 881,561 | ||||||
Apres Static CLO 2 Ltd. | ||||||||
500,000 | Series 2020-1A-D | 499,282 | ||||||
Arbys Funding LLC | ||||||||
255,000 | Series 2020-1A-A2 | 264,048 | ||||||
Ascentium Equipment Receivables Trust | ||||||||
95,000 | Series 2017-2A-C | 96,650 | ||||||
Atrium XIII | ||||||||
500,000 | Series 13A-E | 454,372 | ||||||
Atrium XIV LLC | ||||||||
750,000 | Series 14A-E | 671,231 | ||||||
Avid Automobile Receivables Trust | ||||||||
180,000 | Series 2019-1-C | 184,600 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
215,000 | Series 2020-2A-B | 218,986 | ||||||
Barings CLO Ltd. | ||||||||
1,000,000 | Series 2018-3A-E | 844,878 | ||||||
500,000 | Series 2018-4A-E | 448,244 |
Principal Amount^ | Value | |||||||
$1,100,000 | Series 2019-4A-C | $ | 1,102,812 | |||||
Battalion CLO XIV Ltd. | ||||||||
250,000 | Series 2019-14A-E | 242,785 | ||||||
Bayview Opportunity Master Fund V Trust | ||||||||
395,000 | Series 2020-RN3-A1 | 398,162 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd. | ||||||||
269,792 | Series 2016-1A-A | 244,140 | ||||||
250,521 | Series 2016-1A-B | 176,048 | ||||||
BlueMountain CLO XXIV Ltd. | ||||||||
510,000 | Series 2019-24A-C | 504,407 | ||||||
Bristol Park CLO Ltd. | ||||||||
260,000 | Series 2016-1A-CR | 257,952 | ||||||
Buttermilk Park CLO Ltd. | ||||||||
750,000 | Series 2018-1A-E | 669,604 | ||||||
California Republic Auto Receivables Trust | ||||||||
520,000 | Series 2018-1-D | 539,608 | ||||||
Canyon Capital CLO Ltd. | ||||||||
1,000,000 | Series 2016-1A-ER | 862,419 | ||||||
500,000 | Series 2018-1A-E | 431,717 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
508,509 | Series 2014-2RA-D | 389,973 | ||||||
CarMax Auto Owner Trust | ||||||||
445,000 | Series 2018-2-D | 463,863 | ||||||
305,000 | Series 2018-4-D | 317,981 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
3,686,423 | Series 2018-1-C | 1,873,796 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
3,000,000 | Series 2019-1A-E | 1,159,289 | ||||||
Catskill Park CLO Ltd. | ||||||||
1,000,000 | Series 2017-1A-D | 904,811 | ||||||
CCG Receivables Trust | ||||||||
100,000 | Series 2018-1-C | 101,523 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Chenango Park CLO Ltd. | ||||||||
$500,000 | Series 2018-1A-D | $ | 449,059 | |||||
Chesapeake Funding II LLC | ||||||||
180,000 | Series 2017-2A-D | 181,177 | ||||||
250,000 | Series 2018-1A-C | 255,160 | ||||||
640,000 | Series 2018-1A-D | 646,654 | ||||||
CIFC Funding Ltd. | ||||||||
205,000 | Series 2013-2A-A3LR | 198,245 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
982,559 | Series 2019-E-A1 | 1,003,406 | ||||||
Coinstar Funding LLC | ||||||||
1,025,550 | Series 2017-1A-A2 | 975,631 | ||||||
Colony American Finance Ltd. | ||||||||
480,000 | Series 2015-1-D | 487,147 | ||||||
230,000 | Series 2016-1-C | 230,323 | ||||||
Cook Park CLO Ltd. | ||||||||
1,000,000 | Series 2018-1A-E | 878,598 | ||||||
Credit Acceptance Auto Loan Trust | ||||||||
605,000 | Series 2020-1A-C | 613,331 | ||||||
Credit Suisse Mortgage-Backed Trust | ||||||||
930,000 | Series 2018-RPL8-A2 | 929,798 | ||||||
CSAB Mortgage-Backed Trust | ||||||||
1,857,684 | Series 2006-2-A6B | 207,533 | ||||||
DB Master Finance LLC | ||||||||
328,680 | Series 2019-1A-A23 | 359,306 | ||||||
Dell Equipment Finance Trust | ||||||||
200,000 | Series 2020-2-D | 200,245 | ||||||
Diamond Resorts Owner Trust | ||||||||
78,301 | Series 2017-1A-C | 79,595 | ||||||
335,649 | Series 2018-1-C | 339,742 | ||||||
269,418 | Series 2019-1A-B | 273,090 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
714,788 | Series 2017-1A-A23 | 773,756 | ||||||
323,400 | Series 2018-1A-A2II | 353,169 | ||||||
496,250 | Series 2019-1A-A2 | 529,294 | ||||||
Dorchester Park CLO Ltd. | ||||||||
500,000 | Series 2015-1A-ER | 449,118 |
Principal Amount^ | Value | |||||||
Dryden 40 Senior Loan Fund | ||||||||
$1,000,000 | Series 2015-40A-ER | $ | 892,929 | |||||
Dryden 45 Senior Loan Fund | ||||||||
275,000 | Series 2016-45A-ER | 245,006 | ||||||
Dryden 55 CLO Ltd. | ||||||||
500,000 | Series 2018-55A-F | 378,495 | ||||||
DT Auto Owner Trust | ||||||||
410,000 | Series 2018-2A-D | 423,306 | ||||||
55,000 | Series 2020-2A-D | 59,271 | ||||||
270,000 | Series 2020-3A-D | 271,208 | ||||||
Earnest Student Loan Program LLC | ||||||||
13,000 | Series 2016-D-R | 184,304 | ||||||
Education Funding Trust | ||||||||
707,999 | Series 2020-A-A | 716,362 | ||||||
Exeter Automobile Receivables Trust | ||||||||
305,000 | Series 2020-2A-D | 329,458 | ||||||
195,000 | Series 2020-3A-C | 195,654 | ||||||
Fairstone Financial Issuance Trust | ||||||||
| 670,000 (CAD) |
| Series 2019-1A-A | 503,677 | ||||
Fillmore Park CLO Ltd. | ||||||||
500,000 | Series 2018-1A-E | 449,877 | ||||||
First Investors Auto Owner Trust | ||||||||
160,000 | Series 2019-2A-D | 164,378 | ||||||
365,000 | Series 2019-2A-E | 371,392 | ||||||
FirstKey Homes Trust | ||||||||
775,000 | Series 2020-SFR1-F1 | 803,215 | ||||||
Flagship Credit Auto Trust | ||||||||
300,000 | Series 2016-3-E | 307,973 | ||||||
700,000 | Series 2019-2-D | 725,171 | ||||||
595,000 | Series 2020-1-D | 602,254 | ||||||
Galaxy XXVI CLO Ltd. | ||||||||
715,000 | Series 2018-26A-E | 628,453 | ||||||
Genesis Sales Finance Master Trust | ||||||||
145,000 | Series 2019-AA-A | 145,780 | ||||||
Gilbert Park CLO Ltd. | ||||||||
500,000 | Series 2017-1A-E | 465,792 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Global Container Assets 2014 Holdings Ltd. | ||||||||
$782,149 | Series 2014-1-C | $ | 263,459 | |||||
356,130 | Series 2014-1-D | 40,766 | ||||||
1,185,000 | Series 2014-1-E | 0 | ||||||
Global Container Assets Ltd. | ||||||||
133,410 | Series 2015-1A-B | 132,748 | ||||||
GLS Auto Receivables Issuer Trust | ||||||||
1,135,000 | Series 2020-3A-C | 1,144,492 | ||||||
Goldentree Loan Management US CLO 3 Ltd. | ||||||||
500,000 | Series 2018-3A-D | 475,174 | ||||||
GSAA Home Equity Trust | ||||||||
634,384 | Series 2006-10-AF5 | 263,647 | ||||||
Harbour Aircraft Investments Ltd. | ||||||||
297,254 | Series 2017-1-C | 147,147 | ||||||
Harley Marine Financing LLC | ||||||||
924,473 | Series 2018-1A-A2 | 830,085 | ||||||
Highbridge Loan Management Ltd. | ||||||||
500,000 | Series 2013-2A-DR | 428,483 | ||||||
Hilton Grand Vacations Trust | ||||||||
131,926 | Series 2018-AA-C | 134,979 | ||||||
Horizon Aircraft Finance I Ltd. | ||||||||
2,670,343 | Series 2018-1-C | 1,121,628 | ||||||
HPEFS Equipment Trust | ||||||||
265,000 | Series 2020-1A-D | 266,891 | ||||||
HPS Loan Management Ltd. | ||||||||
2,000,000 | Series 6A-2015-DR | 1,648,495 | ||||||
InSite Issuer LLC | ||||||||
3,500,000 | Series 2016-1A-C | 3,594,385 | ||||||
Invitation Homes Trust | ||||||||
714,902 | Series 2018-SFR1-E | 718,134 | ||||||
1,225,000 | Series 2018-SFR2-E | 1,231,841 | ||||||
JP Morgan Mortgage Acquisition Trust | ||||||||
1,000,000 | Series 2007-CH1-AF5 | 1,090,111 | ||||||
Kestrel Aircraft Funding Ltd. | ||||||||
521,073 | Series 2018-1A-A | 460,147 |
Principal Amount^ | Value | |||||||
LCM 26 Ltd. | ||||||||
$500,000 | Series 26A-E | $ | 403,768 | |||||
LCM 30 Ltd. | ||||||||
300,000 | Series 30A-D | 287,972 | ||||||
LCM Loan Income Fund I Income Note Issuer Ltd. | ||||||||
500,000 | Series 27A-E | 396,123 | ||||||
LCM XVII L.P. | ||||||||
1,000,000 | Series 17A-ER | 807,544 | ||||||
LCM XX L.P. | ||||||||
500,000 | Series 20A-ER | 406,568 | ||||||
Lehman XS Trust | ||||||||
2,503,486 | Series 2005-6-3A3A | 1,611,219 | ||||||
364,838 | Series 2006-8-3A3 | 374,763 | ||||||
Madison Park Funding XIV Ltd. | ||||||||
1,000,000 | Series 2014-14A-ER | 882,805 | ||||||
Madison Park Funding XXII Ltd. | ||||||||
1,000,000 | Series 2016-22A-ER | 924,907 | ||||||
Madison Park Funding XXXI Ltd. | ||||||||
270,000 | Series 2018-31A-C | 264,513 | ||||||
MAPS Ltd. | ||||||||
612,767 | Series 2018-1A-A | 569,994 | ||||||
277,422 | Series 2019-1A-A | 259,603 | ||||||
Mosaic Solar Loans LLC | ||||||||
1,587,687 | Series 2017-2A-B | 1,659,607 | ||||||
MVW LLC | ||||||||
96,793 | Series 2020-1A-C | 100,764 | ||||||
MVW Owner Trust | ||||||||
112,185 | Series 2019-1A-C | 113,669 | ||||||
Myers Park CLO Ltd. | ||||||||
1,000,000 | Series 2018-1A-E | 897,402 | ||||||
Navient Private Education Refi Loan Trust | ||||||||
260,000 | Series 2018-A-B | 265,083 | ||||||
855,000 | Series 2019-FA-B | 873,473 | ||||||
180,000 | Series 2019-GA-B | 179,213 | ||||||
220,000 | Series 2020-FA-B | 220,728 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Neuberger Berman CLO XVI-S Ltd. | ||||||||
$500,000 | Series 2017-16SA-E | $ | 463,468 | |||||
Neuberger Berman CLO XXIII Ltd. | ||||||||
1,000,000 | Series 2016-23A-ER | 911,727 | ||||||
Neuberger Berman Loan Advisers CLO 24 Ltd. | ||||||||
1,000,000 | Series 2017-24A-E | 931,725 | ||||||
Neuberger Berman Loan Advisers CLO 26 Ltd. | ||||||||
1,000,000 | Series 2017-26A-INC | 578,120 | ||||||
Neuberger Berman Loan Advisers CLO 30 Ltd. | ||||||||
2,210,000 | Series 2018-30A-E | 2,142,193 | ||||||
NRZ Excess Spread-Collateralized Notes | ||||||||
1,507,044 | Series 2018-PLS2-D | 1,457,477 | ||||||
OCP CLO Ltd. | ||||||||
520,000 | Series 2015-8A-CR | 502,247 | ||||||
Octagon Investment Partners 26 Ltd. | ||||||||
1,000,000 | Series 2016-1A-FR | 703,321 | ||||||
Octagon Investment Partners 29 Ltd. | ||||||||
1,000,000 | Series 2016-1A-ER | 963,321 | ||||||
Octagon Investment Partners 39 Ltd. | ||||||||
275,000 | Series 2018-3A-E | 251,766 | ||||||
Octagon Investment Partners XVI Ltd. | ||||||||
1,000,000 | Series 2013-1A-ER | 862,556 | ||||||
1,500,000 | Series 2013-1A-SUB | 358,743 | ||||||
Octagon Investment Partners XXI Ltd. | ||||||||
500,000 | Series 2014-1A-DRR | 466,358 | ||||||
Octagon Investment Partners XXII Ltd. | ||||||||
835,000 | Series 2014-1A-CRR | 804,076 |
Principal Amount^ | Value | |||||||
OHA Credit Funding 5 Ltd. | ||||||||
$475,000 | Series 2020-5A-C | $ | 465,525 | |||||
OneMain Financial Issuance Trust | ||||||||
675,000 | Series 2015-3A-B | 682,469 | ||||||
290,000 | Series 2020-1A-B | 312,611 | ||||||
265,000 | Series 2020-2A-C | 268,706 | ||||||
Oxford Finance Funding LLC | ||||||||
180,000 | Series 2019-1A-A2 | 186,337 | ||||||
OZLM XXIII Ltd. | ||||||||
255,000 | Series 2019-23A-E | 242,777 | ||||||
Palmer Square CLO Ltd. | ||||||||
260,000 | Series 2015-2A-BR2 | 257,850 | ||||||
Parallel Ltd. | ||||||||
700,000 | Series 2017-1A-CR | 660,670 | ||||||
1,005,000 | Series 2018-2A-B | 935,511 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||
8,000,000 | Series 2005-WHQ1-M5 | 7,951,395 | ||||||
Pikes Peak CLO 3 | ||||||||
525,000 | Series 2019-3A-E | 505,219 | ||||||
Planet Fitness Master Issuer LLC | ||||||||
674,900 | Series 2019-1A-A2 | 635,706 | ||||||
PNMAC FMSR Issuer Trust | ||||||||
7,300,000 | Series 2018-FT1-A | 7,042,176 | ||||||
Prestige Auto Receivables Trust | ||||||||
330,000 | Series 2019-1A-E | 333,996 | ||||||
Preston Ridge Partners Mortgage LLC | ||||||||
275,000 | Series 2018-1A-A2 | 276,034 | ||||||
434,824 | Series 2019-4A-A1 | 436,670 | ||||||
307,763 | Series 2020-1A-A1 | 307,191 | ||||||
Progress Residential Trust | ||||||||
210,000 | Series 2017-SFR2-E | 211,506 | ||||||
125,000 | Series 2018-SFR2-E | 128,590 | ||||||
170,000 | Series 2018-SFR3-E | 175,433 | ||||||
530,000 | Series 2019-SFR1-E | 548,772 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Progress Residential Trust (Continued) | ||||||||
$235,000 | Series 2019-SFR3-D | $ | 240,332 | |||||
255,000 | Series 2020-SFR3-F | 256,938 | ||||||
Republic FInance Issuance Trust | ||||||||
1,000,000 | Series 2019-A-A | 1,017,258 | ||||||
Rockford Tower CLO Ltd. | ||||||||
700,000 | Series 2017-2A-CR | 690,297 | ||||||
S-Jets Ltd. | ||||||||
1,134,996 | Series 2017-1-A | 1,039,262 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
875,000 | Series 2019-2-D | 904,689 | ||||||
885,000 | Series 2020-1-D | 957,668 | ||||||
300,000 | Series 2020-2-D | 306,693 | ||||||
SCF Equipment Leasing LLC | ||||||||
1,135,000 | Series 2018-1A-C | 1,164,917 | ||||||
Sierra Timeshare Receivables Funding LLC | ||||||||
152,123 | Series 2020-2A-C | 154,189 | ||||||
SLM Private Credit Student Loan Trust | ||||||||
256,000 | Series 2003-A-A3 | 251,509 | ||||||
677,000 | Series 2003-B-A3 | 665,050 | ||||||
59,000 | Series 2003-B-A4 | 57,959 | ||||||
SoFi Consumer Loan Program Trust | ||||||||
435,000 | Series 2018-2-B | 446,244 | ||||||
380,000 | Series 2019-4-C | 375,633 | ||||||
SoFi Professional Loan Program LLC | ||||||||
162,984 | Series 2016-A-B | 165,845 | ||||||
133,000 | Series 2017-F-R1 | 6,050,953 | ||||||
63,855 | Series 2019-B-R1 | 2,090,852 | ||||||
SoFi Professional Loan Program Trust | ||||||||
360,000 | Series 2020-A-BFX | 375,688 | ||||||
45,000 | Series 2020-A-R1 | 2,728,993 |
Principal Amount^ | Value | |||||||
Soundview Home Loan Trust | ||||||||
$4,751,230 | Series 2007-OPT3-2A3 | $ | 4,584,866 | |||||
SpringCastle America Funding LLC | ||||||||
1,005,000 | Series 2020-AA-A | 1,010,626 | ||||||
Sprite Ltd. | ||||||||
292,457 | Series 2017-1-B | 186,722 | ||||||
Stewart Park CLO Ltd. | ||||||||
500,000 | Series 2015-1A-ER | 438,749 | ||||||
Taco Bell Funding LLC | ||||||||
702,488 | Series 2018-1A-A2II | 761,599 | ||||||
Terwin Mortgage Trust | ||||||||
695,407 | Series 2006-3-2A2 | 683,252 | ||||||
Textainer Marine Containers VII Ltd. | ||||||||
114,033 | Series 2020-1A-A | 116,850 | ||||||
THL Credit Wind River CLO Ltd. | ||||||||
2,000,000 | Series 2014-2A-INC | 422,576 | ||||||
500,000 | Series 2018-2A-E | 430,287 | ||||||
TICP CLO VII Ltd. | ||||||||
280,000 | Series 2017-7A-CR | 273,934 | ||||||
TICP CLO XV Ltd. | ||||||||
250,000 | Series 2020-15A-C | 248,550 | ||||||
Tidewater Auto Receivables Trust | ||||||||
110,000 | Series 2018-AA-D | 113,212 | ||||||
Towd Point Mortgage Trust | ||||||||
310,000 | Series 2018-5-M1 | 316,468 | ||||||
385,000 | Series 2019-2-M1 | 416,161 | ||||||
Trestles CLO II Ltd. | ||||||||
335,000 | Series 2018-2A-D | 290,540 | ||||||
Tricon American Homes | ||||||||
250,000 | Series 2020-SFR1-E | 265,135 | ||||||
Tryon Park CLO Ltd. | ||||||||
1,000,000 | Series 2013-1A-DR | 888,092 | ||||||
Vericrest Opportunity Loan Trust | ||||||||
1,121,355 | Series 2019-NPL5-A1A | 1,124,601 | ||||||
VOLT LXXXIII LLC | ||||||||
312,513 | Series 2019-NPL9-A1A | 313,839 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Voya CLO Ltd. | ||||||||
$500,000 | Series 2018-2A-E | $ | 422,169 | |||||
WAVE Trust | ||||||||
282,273 | Series 2017-1A-B | 209,819 | ||||||
Webster Park CLO Ltd. | ||||||||
1,000,000 | Series 2015-1A-DR | 882,362 | ||||||
Wendy’s Funding LLC | ||||||||
865,525 | Series 2018-1A-A2II | 912,168 | ||||||
185,725 | Series 2019-1A-A2II | 200,154 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
1,765,000 | Series 2019-C-M | 1,813,241 | ||||||
York CLO Ltd. | ||||||||
1,783,000 | Series 2019-1A-D | 1,735,107 | ||||||
|
| |||||||
| TOTAL ASSET-BACKED SECURITIES | 143,151,555 | ||||||
|
| |||||||
BANK LOANS: 1.8% | ||||||||
Air Methods Corp. | ||||||||
1,179,758 | 4.500%, 04/22/2024(e) | 1,038,924 | ||||||
American Tire Distributors Holdings, Inc. | ||||||||
1,145,491 | 8.500%, 09/02/2024(e) | 984,303 | ||||||
Avaya, Inc. | ||||||||
238,601 | 4.401%, 12/15/2024(e) | 237,744 | ||||||
296,399 | 4.401%, 12/15/2027(e) | 296,399 | ||||||
BI-LO Holding LLC | ||||||||
837,073 | 9.000%, 05/31/2024(e) | 838,521 | ||||||
BJ Services LLC | ||||||||
3,135,000 | 8.500%, 01/03/2023(b)(e) | 2,646,121 | ||||||
California Resources Corp. | ||||||||
4,092,000 | 0.000%, 12/31/2022(e)(i) | 1,539,042 | ||||||
Cengage Learning, Inc. | ||||||||
1,036,469 | 5.250%, 06/07/2023(e) | 869,525 | ||||||
Colorado Buyer, Inc. | ||||||||
471,037 | 4.000%, 05/01/2024(e) | 408,665 | ||||||
Cvent, Inc. | ||||||||
451,192 | 3.897%, 11/29/2024(e) | 410,100 | ||||||
Dell International LLC | ||||||||
445,489 | 2.750%, 09/19/2025(e) | 444,137 |
Principal Amount^ | Value | |||||||
Dhanani Group, Inc. | ||||||||
$107,881 | 3.897%, 07/20/2025(e) | $ | 103,948 | |||||
Finastra USA, Inc. | ||||||||
464,003 | 4.500%, 06/13/2024(e) | 435,119 | ||||||
Flexential Intermediate Corp. | ||||||||
440,459 | 3.720%, 08/01/2024(e) | 379,896 | ||||||
Gavilan Resources LLC | ||||||||
1,025,000 | 0.000%, 03/01/2024(e)(i) | 12,812 | ||||||
Global Medical Response, Inc. | ||||||||
247,455 | 5.250%, 03/14/2025(e) | 240,650 | ||||||
Golden Nugget, Inc. | ||||||||
219,383 | 3.250%, 10/04/2023(e) | 197,075 | ||||||
Granite Holdings US Acquisition Co. | ||||||||
455,400 | 5.470%, 09/30/2026(e) | 432,630 | ||||||
Gray Television, Inc. | ||||||||
556,000 | 2.405%, 02/07/2024(e) | 545,475 | ||||||
362,000 | 2.655%, 01/02/2026(e) | 356,570 | ||||||
Gulf Finance LLC | ||||||||
525,478 | 6.250%, 08/25/2023(e) | 372,872 | ||||||
Hof Village LLC | ||||||||
267,237 | 12.000%, 10/31/2020(b)(e) | 227,151 | ||||||
ION Trading Technologies S.A.R.L. | ||||||||
361,236 | 5.000%, 11/21/2024(e) | 356,018 | ||||||
Klockner-Pentaplast of America, Inc. | ||||||||
77,594 | 5.250%, 06/30/2022(e) | 75,590 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
529,339 | 5.000%, 05/15/2023(e) | 527,349 | ||||||
Lower Cadence Holdings LLC | ||||||||
286,375 | 4.147%, 05/22/2026(e) | 265,828 | ||||||
McDermott Technology Americas, Inc. | ||||||||
807,398 | 0.000%, 05/10/2023(b)(j) | 605,548 | ||||||
807,398 | 0.000%, 06/30/2024(b)(j) | 726,658 | ||||||
45,791 | 0.000%, 06/30/2024(j) | 40,067 | ||||||
5,446 | 3.147%, 06/30/2024 | 4,766 | ||||||
876,960 | 0.000%, 06/30/2025(j) | 666,490 | ||||||
402,416 | 4.147%, 06/30/2025(e) | 305,836 | ||||||
Mediaco Holding, Inc. | ||||||||
2,192,101 | 8.400%, 11/21/2024(b)(e) | 1,956,527 | ||||||
Milano Acquisition Corp. | ||||||||
180,000 | 0.000%, 08/17/2027(j) | 178,537 | ||||||
Minotaur Acquisition, Inc. | ||||||||
1,081,278 | 5.147%, 03/27/2026(e) | 1,034,426 | ||||||
Mitchell International, Inc. | ||||||||
845,000 | 7.397%, 12/01/2025(e) | 805,285 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
MLN U.S. Holding Co. LLC | ||||||||
$467,207 | 4.656%, 11/30/2025(e) | $ | 401,506 | |||||
MPH Acquisition Holdings LLC | ||||||||
1,094,041 | 3.750%, 06/07/2023(e) | 1,078,610 | ||||||
Playtika Holding Corp. | ||||||||
118,462 | 0.000%, 12/10/2024(j) | 118,788 | ||||||
Radiology Partners, Inc. | ||||||||
508,265 | 5.295%-5.985%, 07/09/2025(e) | 489,078 | ||||||
Solenis Holdings LLC | ||||||||
539,481 | 4.256%, 06/26/2025(e) | 528,748 | ||||||
170,000 | 8.756%, 06/26/2026(e) | 159,120 | ||||||
Team Health Holdings, Inc. | ||||||||
836,333 | 3.750%, 02/06/2024(e) | 705,192 | ||||||
Tibco Software, Inc. | ||||||||
195,000 | 7.400%, 03/03/2028(e) | 191,953 | ||||||
Titan Acquisition Ltd. | ||||||||
314,193 | 3.361%, 03/28/2025(e) | 297,813 | ||||||
Travelport Finance (Luxembourg) S.A.R.L. | ||||||||
286,824 | 0.000%, 02/28/2025(j) | 276,517 | ||||||
529,650 | 5.220%, 05/29/2026(e) | 401,210 | ||||||
Vantage Specialty Chemicals, Inc. | ||||||||
184,526 | 0.000%, 10/28/2024(j) | 167,457 | ||||||
Western Digital Corp. | ||||||||
772,884 | 1.906%, 04/29/2023(e) | 769,572 | ||||||
Ziggo B.V. | ||||||||
490,000 (EUR) | 3.000%, 01/31/2029(e) | 562,135 | ||||||
|
| |||||||
| TOTAL BANK LOANS | 26,714,303 | ||||||
|
| |||||||
CONVERTIBLE BONDS: 0.7% | ||||||||
Communications: 0.2% | ||||||||
DISH Network Corp. | ||||||||
3,725,000 | 3.375%, 08/15/2026 | 3,428,850 | ||||||
|
| |||||||
Consumer, Cyclical: 0.1% | ||||||||
Cineplex, Inc. | ||||||||
1,041,000 (CAD) | 5.750%, 09/30/2025(c) | 781,883 | ||||||
|
| |||||||
Consumer, Non-cyclical: 0.4% | ||||||||
BioMarin Pharmaceutical, Inc. | ||||||||
2,215,000 | 1.250%, 05/15/2027(c) | 2,177,326 | ||||||
Chegg, Inc. | ||||||||
130,000 | 0.000%, 09/01/2026(c)(k) | 130,195 | ||||||
Dermira, Inc. | ||||||||
3,806,000 | 3.000%, 05/15/2022(a) | 3,858,332 | ||||||
|
| |||||||
6,165,853 | ||||||||
|
| |||||||
Energy: 0.0% | ||||||||
Chesapeake Energy Corp. | ||||||||
440,000 | 5.500%, 09/15/2026(i) | 16,544 | ||||||
|
|
Principal Amount^ | Value | |||||||
Industrial: 0.0% | ||||||||
Greenbrier Cos., Inc. (The) | ||||||||
$180,000 | 2.875%, 02/01/2024 | $ | 165,328 | |||||
|
| |||||||
| TOTAL CONVERTIBLE BONDS | 10,558,458 | ||||||
|
| |||||||
CORPORATE BONDS: 29.7% | ||||||||
Basic Materials: 2.1% | ||||||||
ABJA Investment Co. Pte Ltd. | ||||||||
210,000 | 5.450%, 01/24/2028 | 203,967 | ||||||
Allegheny Technologies, Inc. | ||||||||
555,000 | 5.875%, 12/01/2027 | 534,368 | ||||||
Braskem Idesa SAPI | ||||||||
300,000 | 7.450%, 11/15/2029(c) | 285,450 | ||||||
200,000 | 7.450%, 11/15/2029 | 190,300 | ||||||
Braskem Netherlands Finance B.V. | ||||||||
600,000 | 4.500%, 01/31/2030(c) | 561,000 | ||||||
400,000 | 5.875%, 01/31/2050 | 366,600 | ||||||
Chemours Co. (The) | ||||||||
2,670,000 | 7.000%, 05/15/2025 | 2,706,045 | ||||||
Compass Minerals International, Inc. | ||||||||
462,000 | 6.750%, 12/01/2027(c) | 499,741 | ||||||
CSN Islands XII Corp. | ||||||||
600,000 | 7.000%, 12/23/2020(d) | 527,250 | ||||||
First Quantum Minerals Ltd. | ||||||||
600,000 | 7.500%, 04/01/2025(c) | 594,216 | ||||||
1,445,000 | 6.875%, 03/01/2026(c) | 1,395,328 | ||||||
740,000 | 6.875%, 10/15/2027(c)(h) | 714,100 | ||||||
FMG Resources August 2006 Pty Ltd. | ||||||||
2,831,000 | 4.500%, 09/15/2027(c) | 3,026,905 | ||||||
Freeport-McMoRan, Inc. | ||||||||
95,000 | 5.000%, 09/01/2027 | 99,329 | ||||||
655,000 | 4.125%, 03/01/2028 | 664,416 | ||||||
30,000 | 4.375%, 08/01/2028 | 31,075 | ||||||
450,000 | 4.250%, 03/01/2030 | 461,673 | ||||||
2,569,000 | 4.625%, 08/01/2030 | 2,705,735 | ||||||
150,000 | 5.450%, 03/15/2043 | 166,596 | ||||||
Hecla Mining Co. | ||||||||
2,524,000 | 7.250%, 02/15/2028 | 2,739,171 | ||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | ||||||||
410,000 | 9.000%, 07/01/2028(c) | 441,263 | ||||||
Metinvest B.V. | ||||||||
200,000 | 8.500%, 04/23/2026 | 202,070 | ||||||
200,000 | 7.750%, 10/17/2029 | 191,750 | ||||||
Mineral Resources Ltd. | ||||||||
3,637,000 | 8.125%, 05/01/2027(c) | 3,957,474 | ||||||
New Gold, Inc. | ||||||||
3,270,000 | 7.500%, 07/15/2027(c) | 3,494,812 | ||||||
Newcrest Finance Pty Ltd. | ||||||||
305,000 | 3.250%, 05/13/2030(c) | 333,370 | ||||||
Novelis Corp. | ||||||||
145,000 | 4.750%, 01/30/2030(c) | 142,714 | ||||||
Nutrition & Biosciences, Inc. | ||||||||
560,000 | 2.300%, 11/01/2030(c) | 565,456 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
95,000 | 2.150%, 08/15/2030 | 93,158 | ||||||
Sasol Financing USA LLC | ||||||||
200,000 | 5.875%, 03/27/2024 | 193,500 | ||||||
Steel Dynamics, Inc. | ||||||||
510,000 | 3.250%, 01/15/2031 | 547,352 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Basic Materials (continued) | ||||||||
Unigel Luxembourg S.A. | ||||||||
$500,000 | 8.750%, 10/01/2026 | $ | 484,005 | |||||
United States Steel Corp. | ||||||||
128,000 | 6.250%, 03/15/2026 | 86,960 | ||||||
UPL Corp. Ltd. | ||||||||
600,000 | 5.250%, 02/27/2025(d)(g) | 567,660 | ||||||
Vedanta Resources Finance II Plc | ||||||||
250,000 | 9.250%, 04/23/2026(c) | 188,250 | ||||||
200,000 | 9.250%, 04/23/2026 | 150,600 | ||||||
|
| |||||||
30,113,659 | ||||||||
|
| |||||||
Communications: 4.7% | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
515,000 | 4.500%, 08/15/2030(c) | 541,420 | ||||||
2,810,000 | 4.250%, 02/01/2031(c) | 2,918,218 | ||||||
2,597,000 | 4.500%, 05/01/2032(c) | 2,713,865 | ||||||
Cincinnati Bell, Inc. | ||||||||
3,484,000 | 7.000%, 07/15/2024(c) | 3,597,247 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
685,000 | 5.125%, 08/15/2027(c) | 658,628 | ||||||
CommScope Technologies LLC | ||||||||
405,000 | 5.000%, 03/15/2027(c) | 389,559 | ||||||
CommScope, Inc. | ||||||||
410,000 | 6.000%, 03/01/2026(c) | 427,964 | ||||||
1,510,000 | 7.125%, 07/01/2028(c) | 1,553,518 | ||||||
CSC Holdings LLC | ||||||||
630,000 | 6.500%, 02/01/2029(c) | 699,694 | ||||||
680,000 | 4.125%, 12/01/2030(c) | 693,770 | ||||||
1,180,000 | 4.625%, 12/01/2030(c) | 1,190,484 | ||||||
DISH DBS Corp. | ||||||||
2,289,000 | 7.750%, 07/01/2026 | 2,519,331 | ||||||
eBay, Inc. | ||||||||
65,000 | 4.000%, 07/15/2042 | 72,751 | ||||||
Expedia Group, Inc. | ||||||||
1,175,000 | 6.250%, 05/01/2025(c) | 1,297,651 | ||||||
600,000 | 7.000%, 05/01/2025(c) | 649,524 | ||||||
365,000 | 4.625%, 08/01/2027(c) | 383,403 | ||||||
1,215,000 | 3.250%, 02/15/2030 | 1,173,471 | ||||||
GrubHub Holdings, Inc. | ||||||||
2,230,000 | 5.500%, 07/01/2027(c) | 2,316,412 | ||||||
GTT Communications, Inc. | ||||||||
400,000 | 7.875%, 12/31/2024(c) | 207,500 | ||||||
iHeartCommunications, Inc. | ||||||||
165,000 | 6.375%, 05/01/2026 | 172,202 | ||||||
2,895,000 | 8.375%, 05/01/2027 | 2,856,829 | ||||||
350,000 | 5.250%, 08/15/2027(c) | 341,842 | ||||||
735,000 | 4.750%, 01/15/2028(c) | 693,941 | ||||||
Intelsat Jackson Holdings S.A. | ||||||||
825,000 | 8.500%, 10/15/2024(c)(i) | 534,105 | ||||||
Kenbourne Invest S.A. | ||||||||
825,000 | 6.875%, 11/26/2024(c) | 862,806 | ||||||
Match Group Holdings II LLC | ||||||||
2,300,000 | 5.000%, 12/15/2027(c) | 2,434,688 | ||||||
2,520,000 | 5.625%, 02/15/2029(c) | 2,724,271 | ||||||
300,000 | 4.125%, 08/01/2030(c) | 303,984 | ||||||
MDC Partners, Inc. | ||||||||
426,000 | 6.500%, 05/01/2024(c) | 389,368 |
Principal Amount^ | Value | |||||||
Communications (continued) | ||||||||
NBCUniversal Enterprise, Inc. | ||||||||
$520,000 | 5.250%, 03/19/2021(c)(d) | $ | 525,850 | |||||
Netflix, Inc. | ||||||||
190,000 | 4.875%, 04/15/2028 | 212,635 | ||||||
2,546,000 | 5.875%, 11/15/2028 | 3,042,445 | ||||||
2,896,000 | 4.875%, 06/15/2030(c) | 3,306,870 | ||||||
Network i2i Ltd. | ||||||||
550,000 | 5.650%, 01/15/2025(c)(d)(g) | 552,750 | ||||||
Nokia Oyj | ||||||||
480,000 (EUR) | 2.000%, 03/11/2026 | 576,374 | ||||||
Oi S.A. | ||||||||
550,000 | 10.000%, 07/27/2025(l) | 531,438 | ||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. | ||||||||
280,000 | 4.625%, 03/15/2030(c) | 269,150 | ||||||
Sirius XM Radio, Inc. | ||||||||
2,483,000 | 5.000%, 08/01/2027(c) | 2,592,165 | ||||||
1,327,000 | 5.500%, 07/01/2029(c) | 1,425,696 | ||||||
Telecom Italia SpA | ||||||||
2,803,000 | 5.303%, 05/30/2024(c) | 3,038,522 | ||||||
TV Azteca SAB de C.V. | ||||||||
400,000 | 8.250%, 08/09/2024 | 250,458 | ||||||
Twitter, Inc. | ||||||||
1,495,000 | 3.875%, 12/15/2027(c) | 1,538,916 | ||||||
Uber Technologies, Inc. | ||||||||
220,000 | 7.500%, 05/15/2025(c) | 234,714 | ||||||
4,654,000 | 8.000%, 11/01/2026(c) | 4,964,841 | ||||||
4,938,000 | 7.500%, 09/15/2027(c) | 5,289,832 | ||||||
535,000 | 6.250%, 01/15/2028(c) | 550,555 | ||||||
VeriSign, Inc. | ||||||||
3,140,000 | 4.750%, 07/15/2027 | 3,334,287 | ||||||
ViaSat, Inc. | ||||||||
320,000 | 5.625%, 09/15/2025(c) | 314,000 | ||||||
Virgin Media Finance Plc | ||||||||
285,000 | 5.000%, 07/15/2030(c) | 283,931 | ||||||
|
| |||||||
68,153,875 | ||||||||
|
| |||||||
Consumer, Cyclical: 5.6% | ||||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
1,105,000 | 4.375%, 01/15/2028(c) | 1,128,746 | ||||||
Allison Transmission, Inc. | ||||||||
587,000 | 5.875%, 06/01/2029(c) | 635,642 | ||||||
AutoNation, Inc. | ||||||||
135,000 | 4.750%, 06/01/2030 | 159,306 | ||||||
Beazer Homes USA, Inc. | ||||||||
451,000 | 7.250%, 10/15/2029 | 485,120 | ||||||
Boyd Gaming Corp. | ||||||||
1,501,000 | 4.750%, 12/01/2027 | 1,475,948 | ||||||
Brinker International, Inc. | ||||||||
2,870,000 | 5.000%, 10/01/2024(c) | 2,933,700 | ||||||
Carnival Corp. | ||||||||
622,000 | 11.500%, 04/01/2023(c) | 697,946 | ||||||
Carvana Co. | ||||||||
605,000 | 5.625%, 10/01/2025(c)(h) | 597,435 | ||||||
605,000 | 5.875%, 10/01/2028(c)(h) | 599,180 | ||||||
Churchill Downs, Inc. | ||||||||
898,000 | 5.500%, 04/01/2027(c) | 939,411 | ||||||
4,669,000 | 4.750%, 01/15/2028(c) | 4,703,154 | ||||||
FCE Bank Plc | ||||||||
3,195,000 (EUR) | 1.134%, 02/10/2022 | 3,677,306 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Cyclical (continued) | ||||||||
Ford Motor Co. | ||||||||
$595,000 | 8.500%, 04/21/2023 | $ | 649,499 | |||||
1,000,000 | 9.000%, 04/22/2025 | 1,147,795 | ||||||
220,000 | 9.625%, 04/22/2030 | 284,428 | ||||||
Forestar Group, Inc. | ||||||||
1,294,000 | 5.000%, 03/01/2028(c) | 1,309,974 | ||||||
General Motors Co. | ||||||||
205,000 | 6.250%, 10/02/2043 | 243,255 | ||||||
465,000 | 5.200%, 04/01/2045 | 502,305 | ||||||
110,000 | 6.750%, 04/01/2046 | 135,767 | ||||||
1,650,000 | 5.400%, 04/01/2048 | 1,828,693 | ||||||
1,545,000 | 5.950%, 04/01/2049 | 1,815,643 | ||||||
Golden Entertainment, Inc. | ||||||||
150,000 | 7.625%, 04/15/2026(c) | 148,570 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
3,673,000 | 4.875%, 01/15/2030 | 3,791,197 | ||||||
Hyatt Hotels Corp. | ||||||||
195,000 | 5.375%, 04/23/2025 | 210,179 | ||||||
355,000 | 5.750%, 04/23/2030 | 408,383 | ||||||
Installed Building Products, Inc. | ||||||||
1,545,000 | 5.750%, 02/01/2028(c) | 1,631,613 | ||||||
KB Home | ||||||||
1,563,000 | 6.875%, 06/15/2027 | 1,853,812 | ||||||
979,000 | 4.800%, 11/15/2029 | 1,081,183 | ||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC | ||||||||
2,406,000 | 4.750%, 06/01/2027(c) | 2,531,605 | ||||||
L Brands, Inc. | ||||||||
3,197,000 | 9.375%, 07/01/2025(c) | 3,672,554 | ||||||
Latam Finance Ltd. | ||||||||
550,000 | 7.000%, 03/01/2026(i) | 204,875 | ||||||
Lithia Motors, Inc. | ||||||||
2,600,000 | 4.625%, 12/15/2027(c) | 2,691,000 | ||||||
100,000 | 4.375%, 01/15/2031(c) | 100,000 | ||||||
M/I Homes, Inc. | ||||||||
2,102,000 | 4.950%, 02/01/2028 | 2,171,629 | ||||||
Marriott International, Inc. | ||||||||
165,000 | 5.750%, 05/01/2025 | 184,401 | ||||||
275,000 | 4.625%, 06/15/2030 | 295,191 | ||||||
Meritor, Inc. | ||||||||
1,000,000 | 6.250%, 06/01/2025(c) | 1,047,500 | ||||||
Michaels Stores, Inc. | ||||||||
1,400,000 | 8.000%, 07/15/2027(c) | 1,465,366 | ||||||
Murphy Oil USA, Inc. | ||||||||
2,780,000 | 4.750%, 09/15/2029 | 2,967,136 | ||||||
Navistar International Corp. | ||||||||
800,000 | 6.625%, 11/01/2025(c) | 819,500 | ||||||
Penn National Gaming, Inc. | ||||||||
1,999,000 | 5.625%, 01/15/2027(c) | 2,076,261 | ||||||
PulteGroup, Inc. | ||||||||
2,150,000 | 5.000%, 01/15/2027 | 2,436,219 | ||||||
Resideo Funding, Inc. | ||||||||
1,890,000 | 6.125%, 11/01/2026(c) | 1,866,375 | ||||||
Royal Caribbean Cruises Ltd. | ||||||||
814,000 | 11.500%, 06/01/2025(c) | 944,790 | ||||||
Scientific Games International, Inc. | ||||||||
2,921,000 | 8.250%, 03/15/2026(c) | 3,054,767 | ||||||
Scotts Miracle-Gro Co. (The) | ||||||||
1,572,000 | 4.500%, 10/15/2029 | 1,670,297 |
Principal Amount^ | Value | |||||||
Consumer, Cyclical (continued) | ||||||||
Stars Group Holdings B.V. / Stars Group US Co-Borrower LLC | ||||||||
$4,194,000 | 7.000%, 07/15/2026(c) | $ | 4,463,989 | |||||
Taylor Morrison Communities, Inc. | ||||||||
2,031,000 | 5.875%, 06/15/2027(c) | 2,238,731 | ||||||
1,695,000 | 6.625%, 07/15/2027(c) | 1,824,901 | ||||||
637,000 | 5.750%, 01/15/2028(c) | 694,728 | ||||||
TRI Pointe Group, Inc. | ||||||||
292,000 | 5.700%, 06/15/2028 | 320,470 | ||||||
Twin River Worldwide Holdings, Inc. | ||||||||
1,080,000 | 6.750%, 06/01/2027(c) | 1,077,840 | ||||||
United Airlines Pass Through Trust | ||||||||
1,755,000 | Series 2019-2-B | 1,259,186 | ||||||
Vista Outdoor, Inc. | ||||||||
389,000 | 5.875%, 10/01/2023 | 391,390 | ||||||
Wyndham Destinations, Inc. | ||||||||
380,000 | 6.625%, 07/31/2026(c) | 398,804 | ||||||
Yum! Brands, Inc. | ||||||||
750,000 | 3.875%, 11/01/2023 | 778,984 | ||||||
1,876,000 | 4.750%, 01/15/2030(c) | 2,029,598 | ||||||
510,000 | 3.625%, 03/15/2031 | 510,956 | ||||||
|
| |||||||
81,264,233 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 3.9% | ||||||||
Adani Ports & Special Economic Zone Ltd. | ||||||||
480,000 | 4.200%, 08/04/2027(c) | 482,755 | ||||||
Ajecorp B.V. | ||||||||
150,000 | 6.500%, 05/14/2022 | 149,027 | ||||||
ASGN, Inc. | ||||||||
2,243,000 | 4.625%, 05/15/2028(c) | 2,256,032 | ||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. | ||||||||
850,000 | 5.750%, 07/15/2027(c) | 767,949 | ||||||
B&G Foods, Inc. | ||||||||
1,250,000 | 5.250%, 09/15/2027 | 1,305,325 | ||||||
Bausch Health Cos., Inc. | ||||||||
170,000 | 6.250%, 02/15/2029(c) | 175,100 | ||||||
Carriage Services, Inc. | ||||||||
1,090,000 | 6.625%, 06/01/2026(c) | 1,142,930 | ||||||
Charles River Laboratories International, Inc. | ||||||||
3,933,000 | 4.250%, 05/01/2028(c) | 4,134,291 | ||||||
Encompass Health Corp. | ||||||||
1,549,000 | 4.750%, 02/01/2030 | 1,574,140 | ||||||
Fomento Economico Mexicano SAB de C.V. | ||||||||
858,000 | 3.500%, 01/16/2050 | 913,991 | ||||||
Herbalife Nutrition Ltd. / HLF Financing, Inc. | ||||||||
3,040,000 | 7.875%, 09/01/2025(c) | 3,268,000 | ||||||
Hologic, Inc. | ||||||||
4,035,000 | 4.625%, 02/01/2028(c) | 4,252,648 | ||||||
Horizon Therapeutics USA, Inc. | ||||||||
3,230,000 | 5.500%, 08/01/2027(c) | 3,433,296 | ||||||
Kimberly-Clark de Mexico SAB de C.V. | ||||||||
245,000 | 2.431%, 07/01/2031(c) | 249,813 | ||||||
Kraft Heinz Foods Co. | ||||||||
400,000 | 4.375%, 06/01/2046 | 412,233 | ||||||
1,885,000 | 4.875%, 10/01/2049(c) | 1,995,525 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Non-cyclical (continued) | ||||||||
NBM US Holdings, Inc. | ||||||||
$700,000 | 7.000%, 05/14/2026(c) | $ | 741,993 | |||||
Nielsen Co. Luxembourg S.A.R.L. (The) | ||||||||
3,174,000 | 5.500%, 10/01/2021(c) | 3,182,935 | ||||||
900,000 | 5.000%, 02/01/2025(c) | 918,562 | ||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics S.A. | ||||||||
85,000 | 7.375%, 06/01/2025(c) | 86,434 | ||||||
275,000 | 7.250%, 02/01/2028(c) | 286,516 | ||||||
Perrigo Finance Unlimited Co. | ||||||||
265,000 | 3.150%, 06/15/2030 | 274,414 | ||||||
Polaris Intermediate Corp. | ||||||||
3,800,000 | 8.500%, 12/01/2022(c)(l) | 3,871,250 | ||||||
Post Holdings, Inc. | ||||||||
60,000 | 5.750%, 03/01/2027(c) | 63,244 | ||||||
1,600,000 | 5.625%, 01/15/2028(c) | 1,700,744 | ||||||
1,850,000 | 5.500%, 12/15/2029(c) | 1,981,859 | ||||||
Pyxus Holdings, Inc. | ||||||||
245,100 | 10.000%, 08/24/2024 | 214,463 | ||||||
Radiology Partners, Inc. | ||||||||
590,000 | 9.250%, 02/01/2028(c) | 615,075 | ||||||
Refinitiv US Holdings, Inc. | ||||||||
1,568,000 | 6.250%, 05/15/2026(c) | 1,680,700 | ||||||
Sabre GLBL, Inc. | ||||||||
130,000 | 9.250%, 04/15/2025(c) | 143,318 | ||||||
180,000 | 7.375%, 09/01/2025(c) | 182,070 | ||||||
Smithfield Foods, Inc. | ||||||||
95,000 | 3.000%, 10/15/2030(c) | 95,383 | ||||||
Teleflex, Inc. | ||||||||
3,700,000 | 4.625%, 11/15/2027 | 3,902,815 | ||||||
500,000 | 4.250%, 06/01/2028(c) | 518,125 | ||||||
Tenet Healthcare Corp. | ||||||||
840,000 | 5.125%, 05/01/2025 | 848,862 | ||||||
55,000 | 6.125%, 10/01/2028(c) | 53,591 | ||||||
Teva Pharmaceutical Finance Netherlands II B.V. | ||||||||
1,455,000 (EUR) | 6.000%, 01/31/2025 | 1,753,615 | ||||||
Teva Pharmaceutical Finance Netherlands III B.V. | ||||||||
725,000 | 7.125%, 01/31/2025 | 762,686 | ||||||
925,000 | 3.150%, 10/01/2026 | 817,779 | ||||||
4,795,000 | 4.100%, 10/01/2046 | 3,999,989 | ||||||
United Rentals North America, Inc. | ||||||||
680,000 | 4.000%, 07/15/2030 | 697,850 | ||||||
Upjohn, Inc. | ||||||||
655,000 | 4.000%, 06/22/2050(c) | 702,771 | ||||||
Walnut Bidco Plc | ||||||||
500,000 | 9.125%, 08/01/2024 | 514,465 | ||||||
|
| |||||||
57,124,563 | ||||||||
|
| |||||||
Energy: 2.5% | ||||||||
Aker BP ASA | ||||||||
1,175,000 | 3.750%, 01/15/2030(c) | 1,144,837 | ||||||
150,000 | 4.000%, 01/15/2031(c) | 147,829 | ||||||
Antero Midstream Partners L.P. / Antero Midstream Finance Corp. | ||||||||
2,200,000 | 5.750%, 01/15/2028(c) | 1,814,780 | ||||||
Antero Resources Corp. | ||||||||
400,000 | 5.000%, 03/01/2025 | 250,750 |
Principal Amount^ | Value | |||||||
Energy (continued) | ||||||||
Bayan Resources Tbk PT | ||||||||
$400,000 | 6.125%, 01/24/2023 | $ | 379,229 | |||||
Cheniere Corpus Christi Holdings LLC | ||||||||
1,405,000 | 3.700%, 11/15/2029(c) | 1,463,029 | ||||||
CNX Midstream Partners L.P. / CNX Midstream Finance Corp. | ||||||||
200,000 | 6.500%, 03/15/2026(c) | 203,212 | ||||||
CNX Resources Corp. | ||||||||
2,490,000 | 7.250%, 03/14/2027(c) | 2,542,962 | ||||||
DCP Midstream Operating L.P. | ||||||||
150,000 | 5.625%, 07/15/2027 | 153,600 | ||||||
Energy Transfer Operating L.P. | ||||||||
840,000 | 5.000%, 05/15/2050 | 781,229 | ||||||
Enviva Partners L.P. / Enviva Partners Finance Corp. | ||||||||
500,000 | 6.500%, 01/15/2026(c) | 527,813 | ||||||
EQT Corp. | ||||||||
1,804,000 | 3.900%, 10/01/2027 | 1,664,190 | ||||||
Geopark Ltd. | ||||||||
550,000 | 6.500%, 09/21/2024 | 521,950 | ||||||
Gran Tierra Energy, Inc. | ||||||||
550,000 | 7.750%, 05/23/2027(c) | 189,063 | ||||||
Gray Oak Pipeline LLC | ||||||||
70,000 | 3.450%, 10/15/2027(c) | 71,631 | ||||||
Gulfport Energy Corp. | ||||||||
145,000 | 6.625%, 05/01/2023 | 91,078 | ||||||
287,000 | 6.000%, 10/15/2024 | 178,837 | ||||||
137,000 | 6.375%, 05/15/2025 | 84,069 | ||||||
144,000 | 6.375%, 01/15/2026 | 89,073 | ||||||
Hess Midstream Operations L.P. | ||||||||
750,000 | 5.625%, 02/15/2026(c) | 765,454 | ||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru | ||||||||
250,000 | 6.375%, 06/01/2028 | 250,313 | ||||||
Indika Energy Capital III Pte Ltd. | ||||||||
200,000 | 5.875%, 11/09/2024 | 180,000 | ||||||
Indo Energy Finance II B.V. | ||||||||
228,000 | 6.375%, 01/24/2023 | 222,857 | ||||||
Kinder Morgan, Inc. | ||||||||
165,000 | 5.050%, 02/15/2046 | 186,957 | ||||||
Kosmos Energy Ltd. | ||||||||
400,000 | 7.125%, 04/04/2026 | 352,936 | ||||||
Leviathan Bond Ltd. | ||||||||
460,000 | 6.125%, 06/30/2025(c) | 476,100 | ||||||
335,000 | 6.500%, 06/30/2027(c) | 348,400 | ||||||
Lonestar Resources America, Inc. | ||||||||
380,000 | 11.250%, 01/01/2023(c) | 68,400 | ||||||
Matador Resources Co. | ||||||||
1,880,000 | 5.875%, 09/15/2026 | 1,575,111 | ||||||
Medco Oak Tree Pte Ltd. | ||||||||
550,000 | 7.375%, 05/14/2026 | 530,063 | ||||||
MEG Energy Corp. | ||||||||
1,110,000 | 7.125%, 02/01/2027(c) | 998,256 | ||||||
Northern Oil and Gas, Inc. | ||||||||
971,000 | 8.500%, 05/15/2023(l) | 808,964 | ||||||
Parkland Fuel Corp. | ||||||||
3,137,000 | 5.875%, 07/15/2027(c) | 3,303,653 | ||||||
PBF Holding Co. LLC / PBF Finance Corp. | ||||||||
160,000 | 9.250%, 05/15/2025(c) | 164,231 | ||||||
Peru LNG Srl | ||||||||
700,000 | 5.375%, 03/22/2030 | 538,650 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Energy (continued) | ||||||||
Petroleos Mexicanos | ||||||||
$3,235,000 | 5.950%, 01/28/2031(c) | $ | 2,736,001 | |||||
1,420,000 | 6.625%, 06/15/2035 | 1,181,440 | ||||||
Range Resources Corp. | ||||||||
1,986,000 | 9.250%, 02/01/2026(c) | 2,044,031 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
985,000 | 4.500%, 05/15/2030(c) | 1,112,080 | ||||||
Seven Generations Energy Ltd. | ||||||||
356,000 | 5.375%, 09/30/2025(c) | 338,419 | ||||||
Southwestern Energy Co. | ||||||||
1,850,000 | 7.750%, 10/01/2027 | 1,803,565 | ||||||
Sunoco L.P. / Sunoco Finance Corp. | ||||||||
2,900,000 | 6.000%, 04/15/2027 | 2,985,187 | ||||||
Tennessee Gas Pipeline Co. LLC | ||||||||
325,000 | 7.000%, 03/15/2027 | 401,440 | ||||||
YPF S.A. | ||||||||
450,000 | 6.950%, 07/21/2027(c) | 301,050 | ||||||
|
| |||||||
35,972,719 | ||||||||
|
| |||||||
Financial: 4.8% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
705,000 | 4.500%, 09/15/2023 | 727,220 | ||||||
300,000 | 6.500%, 07/15/2025 | 324,331 | ||||||
245,000 | 3.650%, 07/21/2027 | 224,683 | ||||||
665,000 | 3.875%, 01/23/2028 | 613,330 | ||||||
Agile Group Holdings Ltd. | ||||||||
200,000 | 6.875%, 03/07/2023(d)(g) | 200,990 | ||||||
200,000 | 7.750%, 05/25/2025(d)(g) | 201,490 | ||||||
Air Lease Corp. | ||||||||
740,000 | 3.375%, 07/01/2025 | 756,989 | ||||||
Aircastle Ltd. | ||||||||
1,295,000 | 4.250%, 06/15/2026 | 1,200,095 | ||||||
Ally Financial, Inc. | ||||||||
125,000 | 4.625%, 03/30/2025 | 137,502 | ||||||
1,170,000 | 5.800%, 05/01/2025 | 1,351,331 | ||||||
Alpha Holding S.A. de C.V. | ||||||||
600,000 | 9.000%, 02/10/2025(c) | 456,900 | ||||||
American International Group, Inc. | ||||||||
1,380,000 | 4.375%, 06/30/2050 | 1,620,037 | ||||||
American Tower Corp. | ||||||||
620,000 | 2.100%, 06/15/2030 | 625,618 | ||||||
Assurant, Inc. | ||||||||
1,960,000 | 3.700%, 02/22/2030 | 2,049,041 | ||||||
Banco BTG Pactual S.A. | ||||||||
550,000 | 7.750%, 02/15/2029(g) | 567,188 | ||||||
Banco Hipotecario S.A. | ||||||||
| 12,020,000 (ARS) | | 34.063%, 11/07/2022(c)(e) | 86,826 | ||||
Banco Macro S.A. | ||||||||
| 7,805,000 (ARS) | | 17.500%, 05/08/2022(c) | 37,182 | ||||
250,000 | 6.750%, 11/04/2026(g) | 194,750 | ||||||
Banco Mercantil del Norte S.A. | ||||||||
500,000 | 7.625%, 01/10/2028(d)(g) | 499,700 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
Banco Santander Mexico S.A. | ||||||||
$500,000 | 8.500%, 01/20/2022(d)(g) | $ | 516,300 | |||||
Bangkok Bank PCL | ||||||||
550,000 | 5.000%, 09/23/2025(c)(d)(g) | 551,934 | ||||||
Barclays Plc | ||||||||
400,000 | 5.088%, 06/20/2030(g) | 448,385 | ||||||
740,000 | 3.564%, 09/23/2035(g) | 732,223 | ||||||
BBVA Bancomer S.A. | ||||||||
210,000 | 1.875%, 09/18/2025(c) | 205,433 | ||||||
Brixmor Operating Partnership L.P. | ||||||||
1,475,000 | 4.050%, 07/01/2030 | 1,580,144 | ||||||
Central China Real Estate Ltd. | ||||||||
200,000 | 7.250%, 07/16/2024 | 195,268 | ||||||
CIFI Holdings Group Co. Ltd. | ||||||||
450,000 | 5.375%, 08/24/2022(d)(g) | 446,625 | ||||||
Credito Real SAB de C.V. | ||||||||
550,000 | 9.125%, 11/29/2022(d)(g) | 419,381 | ||||||
Credivalores-Crediservicios SAS | ||||||||
300,000 | 9.750%, 07/27/2022 | 226,805 | ||||||
300,000 | 8.875%, 02/07/2025(c) | 209,250 | ||||||
Crown Castle International Corp. | ||||||||
1,905,000 | 2.250%, 01/15/2031 | 1,930,640 | ||||||
35,000 | 4.150%, 07/01/2050 | 40,148 | ||||||
Deutsche Bank AG | ||||||||
460,000 | 2.222%, 09/18/2024(g) | 463,528 | ||||||
824,000 | 4.500%, 04/01/2025 | 829,595 | ||||||
310,000 | 3.547%, 09/18/2031(g) | 313,890 | ||||||
Docuformas SAPI de C.V. | ||||||||
550,000 | 10.250%, 07/24/2024(c) | 407,688 | ||||||
Enova International, Inc. | ||||||||
1,120,000 | 8.500%, 09/01/2024(c) | 1,051,282 | ||||||
580,000 | 8.500%, 09/15/2025(c) | 549,550 | ||||||
Equinix, Inc. | ||||||||
1,015,000 | 2.150%, 07/15/2030 | 1,029,771 | ||||||
GE Capital Funding LLC | ||||||||
1,485,000 | 4.400%, 05/15/2030(c) | 1,597,833 | ||||||
Gilex Holding S.A.R.L. | ||||||||
510,000 | 8.500%, 05/02/2023 | 519,886 | ||||||
Global Atlantic Fin Co. | ||||||||
315,000 | 4.400%, 10/15/2029(c) | 328,664 | ||||||
goeasy Ltd. | ||||||||
150,000 | 5.375%, 12/01/2024(c) | 152,172 | ||||||
Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. | ||||||||
3,569,000 | 4.750%, 09/15/2024 | 3,619,198 | ||||||
2,275,000 | 6.250%, 05/15/2026 | 2,377,011 | ||||||
1,037,000 | 5.250%, 05/15/2027 | 1,083,587 | ||||||
Intesa Sanpaolo SpA | ||||||||
921,000 | 5.017%, 06/26/2024(c) | 968,732 | ||||||
593,000 | 5.710%, 01/15/2026(c) | 647,271 | ||||||
Iron Mountain, Inc. | ||||||||
740,000 | 5.000%, 07/15/2028(c) | 759,418 | ||||||
740,000 | 5.250%, 07/15/2030(c) | 772,837 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Financial (continued) | ||||||||
iStar, Inc. | ||||||||
$4,772,000 | 4.750%, 10/01/2024 | $ | 4,625,380 | |||||
750,000 | 4.250%, 08/01/2025 | 701,715 | ||||||
Kennedy-Wilson, Inc. | ||||||||
810,000 | 5.875%, 04/01/2024 | 806,962 | ||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | ||||||||
165,000 | 5.250%, 03/15/2022(c) | 162,162 | ||||||
450,000 | 5.250%, 10/01/2025(c) | 417,656 | ||||||
1,755,000 | 4.250%, 02/01/2027(c) | 1,522,462 | ||||||
MGM Growth Properties Operating Partnership L.P. / MGP Finance Co-Issuer, Inc. | ||||||||
1,890,000 | 5.625%, 05/01/2024 | 2,008,654 | ||||||
200,000 | 4.625%, 06/15/2025(c) | 204,200 | ||||||
2,069,000 | 5.750%, 02/01/2027 | 2,232,585 | ||||||
MPT Operating Partnership L.P. / MPT Finance Corp. | ||||||||
1,273,000 | 5.000%, 10/15/2027 | 1,329,617 | ||||||
Navient Corp. | ||||||||
35,000 | 6.750%, 06/15/2026 | 34,978 | ||||||
860,000 | 5.000%, 03/15/2027 | 808,753 | ||||||
OneMain Finance Corp. | ||||||||
50,000 | 6.875%, 03/15/2025 | 55,578 | ||||||
545,000 | 8.875%, 06/01/2025 | 604,596 | ||||||
445,000 | 7.125%, 03/15/2026 | 497,712 | ||||||
205,000 | 6.625%, 01/15/2028 | 227,855 | ||||||
1,055,000 | 5.375%, 11/15/2029 | 1,099,837 | ||||||
Operadora de Servicios Mega S.A. de C.V. Sofom ER | ||||||||
400,000 | 8.250%, 02/11/2025(c) | 368,750 | ||||||
Quicken Loans LLC | ||||||||
2,015,000 | 5.250%, 01/15/2028(c) | 2,126,903 | ||||||
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. | ||||||||
1,050,000 | 3.625%, 03/01/2029(c) | 1,042,781 | ||||||
1,055,000 | 3.875%, 03/01/2031(c) | 1,044,450 | ||||||
RKP Overseas Finance 2016 A Ltd. | ||||||||
200,000 | 7.950%, 02/17/2022(d) | 195,903 | ||||||
RKPF Overseas 2019 E Ltd. | ||||||||
300,000 | 7.750%, 11/18/2024(d)(g) | 292,650 | ||||||
Ronshine China Holdings Ltd. | ||||||||
200,000 | 7.350%, 12/15/2023 | 195,514 | ||||||
350,000 | 6.750%, 08/05/2024 | 329,875 | ||||||
SBA Communications Corp. | ||||||||
2,137,000 | 3.875%, 02/15/2027(c) | 2,171,726 | ||||||
Scentre Group Trust | ||||||||
1,465,000 | 5.125%, 09/24/2080(c)(g) | 1,439,553 | ||||||
Starwood Property Trust, Inc. | ||||||||
2,100,000 | 4.750%, 03/15/2025 | 2,017,312 | ||||||
UniCredit SpA | ||||||||
550,000 | 2.569%, 09/22/2026(c)(g) | 545,727 | ||||||
Unifin Financiera SAB de C.V. | ||||||||
600,000 | 8.875%, 01/29/2025(d)(g) | 418,500 | ||||||
VICI Properties L.P. / VICI Note Co., Inc. | ||||||||
2,190,000 | 4.250%, 12/01/2026(c) | 2,203,633 | ||||||
1,000,000 | 4.125%, 08/15/2030(c) | 985,000 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
Yuzhou Group Holdings Co. Ltd. | ||||||||
$300,000 | 8.300%, 05/27/2025 | $ | 303,395 | |||||
200,000 | 7.375%, 01/13/2026 | 192,495 | ||||||
|
| |||||||
70,064,521 | ||||||||
|
| |||||||
Industrial: 3.0% | ||||||||
Advanced Drainage Systems, Inc. | ||||||||
590,000 | 5.000%, 09/30/2027(c) | 618,650 | ||||||
Aeropuertos Dominicanos Siglo XXI S.A. | ||||||||
350,000 | 6.750%, 03/30/2029 | 326,746 | ||||||
Aviation Capital Group LLC | ||||||||
585,000 | 5.500%, 12/15/2024(c) | 604,118 | ||||||
Ball Corp. | ||||||||
3,888,000 | 4.875%, 03/15/2026 | 4,341,613 | ||||||
Boeing Co. (The) | ||||||||
460,000 | 2.250%, 06/15/2026 | 448,110 | ||||||
195,000 | 2.950%, 02/01/2030 | 188,879 | ||||||
850,000 | 5.150%, 05/01/2030 | 957,923 | ||||||
60,000 | 3.250%, 02/01/2035 | 56,462 | ||||||
5,000 | 3.500%, 03/01/2039 | 4,548 | ||||||
230,000 | 5.705%, 05/01/2040 | 272,315 | ||||||
235,000 | 3.375%, 06/15/2046 | 202,393 | ||||||
60,000 | 3.650%, 03/01/2047 | 53,234 | ||||||
25,000 | 3.625%, 03/01/2048 | 22,043 | ||||||
295,000 | 3.900%, 05/01/2049 | 272,350 | ||||||
435,000 | 3.750%, 02/01/2050 | 399,462 | ||||||
2,055,000 | 5.805%, 05/01/2050 | 2,495,646 | ||||||
80,000 | 3.825%, 03/01/2059 | 70,646 | ||||||
455,000 | 3.950%, 08/01/2059 | 412,671 | ||||||
350,000 | 5.930%, 05/01/2060 | 435,425 | ||||||
Bombardier, Inc. | ||||||||
768,000 | 7.500%, 03/15/2025(c) | 576,960 | ||||||
Builders FirstSource, Inc. | ||||||||
410,000 | 6.750%, 06/01/2027(c) | 439,725 | ||||||
1,274,000 | 5.000%, 03/01/2030(c) | 1,320,979 | ||||||
C10 Capital SPV Ltd. | ||||||||
300,000 | 4.930%, 12/31/2020(d)(g) | 265,800 | ||||||
C5 Capital SPV Ltd. | ||||||||
200,000 | 4.497%, 12/31/2020(d)(g) | 166,000 | ||||||
Cemex SAB de C.V. | ||||||||
400,000 | 5.450%, 11/19/2029(c) | 405,500 | ||||||
820,000 | 5.200%, 09/17/2030(c) | 825,043 | ||||||
Embraer Netherlands Finance B.V. | ||||||||
255,000 | 5.050%, 06/15/2025 | 245,182 | ||||||
FedEx Corp. | ||||||||
265,000 | 4.100%, 02/01/2045 | 304,474 | ||||||
30,000 | 4.050%, 02/15/2048 | 34,712 | ||||||
330,000 | 5.250%, 05/15/2050 | 448,117 | ||||||
General Electric Co. | ||||||||
420,000 | 3.625%, 05/01/2030 | 436,162 | ||||||
200,000 | 4.350%, 05/01/2050 | 204,598 | ||||||
GMR Hyderabad International Airport Ltd. | ||||||||
735,000 | 5.375%, 04/10/2024 | 723,046 | ||||||
Hornbeck Offshore Services, Inc. | ||||||||
186,000 | 5.875%, 04/01/2020(i) | 2,557 | ||||||
Howmet Aerospace, Inc. | ||||||||
3,720,000 | 6.875%, 05/01/2025 | 4,115,250 | ||||||
HTA Group Ltd. | ||||||||
1,300,000 | 7.000%, 12/18/2025(c) | 1,366,625 | ||||||
Leonardo US Holdings, Inc. | ||||||||
438,000 | 6.250%, 01/15/2040(c) | 500,910 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Industrial (continued) | ||||||||
Masonite International Corp. | ||||||||
$40,000 | 5.375%, 02/01/2028(c) | $ | 42,725 | |||||
Patrick Industries, Inc. | ||||||||
355,000 | 7.500%, 10/15/2027(c) | 386,062 | ||||||
Sensata Technologies, Inc. | ||||||||
3,191,000 | 4.375%, 02/15/2030(c) | 3,358,623 | ||||||
Silgan Holdings, Inc. | ||||||||
4,261,000 | 4.125%, 02/01/2028 | 4,367,525 | ||||||
Spirit AeroSystems, Inc. | ||||||||
1,465,000 | 7.500%, 04/15/2025(c) | 1,487,883 | ||||||
80,000 | 4.600%, 06/15/2028 | 65,798 | ||||||
Standard Industries, Inc. | ||||||||
1,065,000 | 4.375%, 07/15/2030(c) | 1,093,542 | ||||||
Stoneway Capital Corp. | ||||||||
177,117 | 10.000%, 03/01/2027(i) | 74,212 | ||||||
Tecnoglass, Inc. | ||||||||
200,000 | 8.200%, 01/31/2022 | 207,705 | ||||||
TransDigm, Inc. | ||||||||
815,000 | 6.250%, 03/15/2026(c) | 852,123 | ||||||
2,461,000 | 7.500%, 03/15/2027 | 2,559,440 | ||||||
3,002,000 | 5.500%, 11/15/2027 | 2,890,776 | ||||||
Triumph Group, Inc. | ||||||||
595,000 | 6.250%, 09/15/2024(c) | 507,547 | ||||||
150,000 | 7.750%, 08/15/2025 | 96,750 | ||||||
Tutor Perini Corp. | ||||||||
250,000 | 6.875%, 05/01/2025(c) | 230,469 | ||||||
Vulcan Materials Co. | ||||||||
210,000 | 3.500%, 06/01/2030 | 235,661 | ||||||
WESCO Distribution, Inc. | ||||||||
570,000 | 7.250%, 06/15/2028(c) | 625,336 | ||||||
|
| |||||||
43,647,051 | ||||||||
|
| |||||||
Technology: 2.2% | ||||||||
AMS AG | ||||||||
2,291,000 | 7.000%, 07/31/2025(c) | 2,432,023 | ||||||
Black Knight InfoServ LLC | ||||||||
4,127,000 | 3.625%, 09/01/2028(c) | 4,178,587 | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | ||||||||
20,000 | 3.500%, 01/15/2028 | 21,629 | ||||||
Broadcom, Inc. | ||||||||
1,640,000 | 4.750%, 04/15/2029 | 1,912,025 | ||||||
470,000 | 5.000%, 04/15/2030 | 555,676 | ||||||
95,000 | 4.150%, 11/15/2030 | 106,937 | ||||||
1,735,000 | 4.300%, 11/15/2032 | 1,986,747 | ||||||
Entegris, Inc. | ||||||||
971,000 | 4.375%, 04/15/2028(c) | 1,000,737 | ||||||
Fair Isaac Corp. | ||||||||
3,561,000 | 5.250%, 05/15/2026(c) | 3,965,387 | ||||||
160,000 | 4.000%, 06/15/2028(c) | 165,300 | ||||||
Flexential Intermediate Corp. | ||||||||
585,000 | 11.250%, 08/01/2024(c) | 591,216 | ||||||
Microchip Technology, Inc. | ||||||||
4,745,000 | 4.250%, 09/01/2025(c) | 4,929,417 | ||||||
Micron Technology, Inc. | ||||||||
1,615,000 | 4.663%, 02/15/2030 | 1,899,697 | ||||||
MSCI, Inc. | ||||||||
4,096,000 | 4.000%, 11/15/2029(c) | 4,307,722 | ||||||
140,000 | 3.625%, 09/01/2030(c) | 143,850 |
Principal Amount^ | Value | |||||||
Technology (continued) | ||||||||
NXP B.V. / NXP Funding LLC / NXP USA, Inc. | ||||||||
$155,000 | 3.150%, 05/01/2027(c) | $ | 167,816 | |||||
90,000 | 3.400%, 05/01/2030(c) | 98,802 | ||||||
PTC, Inc. | ||||||||
1,367,000 | 4.000%, 02/15/2028(c) | 1,407,600 | ||||||
Qorvo, Inc. | ||||||||
420,000 | 3.375%, 04/01/2031(c) | 427,612 | ||||||
Seagate HDD Cayman | ||||||||
285,000 | 4.125%, 01/15/2031(c) | 308,079 | ||||||
SS&C Technologies, Inc. | ||||||||
2,026,000 | 5.500%, 09/30/2027(c) | 2,155,603 | ||||||
|
| |||||||
32,762,462 | ||||||||
|
| |||||||
Utilities: 0.9% | ||||||||
AES Andres B.V. / Dominican Power Partners / Empresa Generadora de Electricidad It | ||||||||
450,000 | 7.950%, 05/11/2026 | 459,005 | ||||||
AES Argentina Generacion S.A. | ||||||||
150,000 | 7.750%, 02/02/2024 | 104,906 | ||||||
AES Corp. (The) | ||||||||
60,000 | 6.000%, 05/15/2026 | 63,138 | ||||||
260,000 | 3.950%, 07/15/2030(c) | 287,777 | ||||||
AES Gener S.A. | ||||||||
200,000 | 7.125%, 03/26/2079(g) | 204,901 | ||||||
400,000 | 6.350%, 10/07/2079(c)(g) | 404,250 | ||||||
Calpine Corp. | ||||||||
275,000 | 5.125%, 03/15/2028(c) | 285,014 | ||||||
Capex S.A. | ||||||||
150,000 | 6.875%, 05/15/2024 | 126,675 | ||||||
Clearway Energy Operating LLC | ||||||||
1,400,000 | 4.750%, 03/15/2028(c) | 1,446,816 | ||||||
Edison International | ||||||||
75,000 | 4.950%, 04/15/2025 | 82,260 | ||||||
Empresa Electrica Guacolda S.A. | ||||||||
300,000 | 4.560%, 04/30/2025 | 246,077 | ||||||
Enel SpA | ||||||||
740,000 | 8.750%, 09/24/2073(c)(g) | 866,118 | ||||||
IPALCO Enterprises, Inc. | ||||||||
110,000 | 4.250%, 05/01/2030(c) | 124,947 | ||||||
NextEra Energy Operating Partners L.P. | ||||||||
1,000,000 | 4.250%, 07/15/2024(c) | 1,044,475 | ||||||
3,748,000 | 3.875%, 10/15/2026(c) | 3,876,837 | ||||||
Pacific Gas and Electric Co. | ||||||||
685,000 | 3.500%, 08/01/2050 | 621,463 | ||||||
Pampa Energia S.A. | ||||||||
150,000 | 9.125%, 04/15/2029(c) | 117,591 | ||||||
Vistra Operations Co. LLC | ||||||||
2,845,000 | 3.700%, 01/30/2027(c) | 2,993,533 | ||||||
|
| |||||||
13,355,783 | ||||||||
|
| |||||||
| TOTAL CORPORATE BONDS | 432,458,866 | ||||||
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
GOVERNMENT SECURITIES & AGENCY ISSUE: 0.3% | ||||||||
Dominican Republic International Bond | ||||||||
$550,000 | 6.400%, 06/05/2049(c) | $ | 554,675 | |||||
Export-Import Bank of Korea | ||||||||
895,000 | 0.750%, 06/25/2022(e) | 898,856 | ||||||
Financiera de Desarrollo Territorial S.A. | ||||||||
| 6,675,000,000 (COP) | | 7.875%, 08/12/2024(c) | 1,895,492 | ||||
Provincia de Buenos Aires Government Bonds | ||||||||
| 72,825,000 (ARS) | | 33.497%, 05/31/2022(e) | 448,302 | ||||
| 15,545,000 (ARS) | | 33.378%, 04/12/2025(c)(e) | 89,971 | ||||
|
| |||||||
| TOTAL GOVERNMENT SECURITIES & | 3,887,296 | ||||||
|
| |||||||
LIMITED PARTNERSHIPS: 0.2% | ||||||||
35,594 | GACP II L.P. | 1,638,769 | ||||||
1,300,000 | U.S. Farming Realty | 883,186 | ||||||
|
| |||||||
| TOTAL LIMITED PARTNERSHIPS | 2,521,955 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES: 18.6% | ||||||||
Adjustable Rate Mortgage Trust | ||||||||
1,848,902 | Series 2005-2-6M2 | 1,826,943 | ||||||
306,646 | Series 2006-1-2A1 | 220,253 | ||||||
American Home Mortgage Investment Trust | ||||||||
308,623 | Series 2006-1-11A1 | 273,132 | ||||||
AREIT Trust | ||||||||
1,000,000 | Series 2019-CRE3-D | 906,441 | ||||||
Banc of America Alternative Loan Trust | ||||||||
61,406 | Series 2003-8-1CB1 | 61,845 | ||||||
613,585 | Series 2006-7-A4 | 276,334 | ||||||
Banc of America Funding Trust | ||||||||
58,354 | Series 2005-7-3A1 | 63,778 | ||||||
89,921 | Series 2006-6-1A2 | 88,102 | ||||||
626,802 | Series 2006-7-T2A3 | 612,950 | ||||||
318,199 | Series 2006-B-7A1 | 288,018 | ||||||
3,009,081 | Series 2007-1-TA4 | 3,088,271 | ||||||
58,552 | Series 2007-4-5A1 | 57,779 |
Principal Amount^ | Value | |||||||
$2,548,065 | Series 2010-R5-1A3 | $ | 2,501,522 | |||||
Banc of America Merrill Lynch Commercial Mortgage Securities Trust | ||||||||
1,474,000 | Series 2019-AHT-D | 1,289,426 | ||||||
Banc of America Mortgage Trust | ||||||||
18,714 | Series 2005-A-2A1 | 18,460 | ||||||
Bancorp Commercial Mortgage Trust | ||||||||
665,000 | Series 2019-CRE5-D | 608,013 | ||||||
BBCMS Trust | ||||||||
750,000 | Series 2018-CBM-E | 614,602 | ||||||
BCAP LLC Trust | ||||||||
199,557 | Series 2010-RR6-6A2 | 154,726 | ||||||
2,765,870 | Series 2011-R11-2A4 | 2,350,061 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
3,711,026 | Series 2005-12-25A1 | 2,969,615 | ||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
507,356 | Series 2006-AC1-1A1 | 349,481 | ||||||
Benchmark Mortgage Trust | ||||||||
547,000 | Series 2020-B18-AGNF | 550,975 | ||||||
BF Mortgage Trust | ||||||||
666,000 | Series 2019-NYT-F | 644,666 | ||||||
BHP Trust | ||||||||
710,000 | Series 2019-BXHP-E | 647,229 | ||||||
BX Commercial Mortgage Trust | ||||||||
1,274,000 | Series 2019-IMC-G | 1,000,571 | ||||||
Carbon Capital VI Commercial Mortgage Trust | ||||||||
649,000 | Series 2019-FL2-B | 569,198 | ||||||
CF Trust | ||||||||
1,420,000 | Series 2019-MF1-F | 1,300,533 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
16,323,000 | Series 2016-C7-XE | 869,655 | ||||||
7,346,000 | Series 2016-C7-XF | 379,486 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
CG-CCRE Commercial Mortgage Trust | ||||||||
$105,000 | Series 2014-FL2-COL1 | $ | 88,900 | |||||
205,000 | Series 2014-FL2-COL2 | 156,594 | ||||||
Chase Mortgage Finance Trust | ||||||||
3,117,235 | Series 2007-S2-1A9 | 2,333,519 | ||||||
1,560,359 | Series 2007-S3-1A15 | 1,100,832 | ||||||
ChaseFlex Trust | ||||||||
1,141,326 | Series 2007-3-2A1 | 1,009,324 | ||||||
CIM Trust | ||||||||
5,997,083 | Series 2016-1RR-B2 | 5,696,360 | ||||||
10,000,000 | Series 2016-2RR-B2 | 9,553,365 | ||||||
10,000,000 | Series 2016-3RR-B2 | 9,502,041 | ||||||
7,860,000 | Series 2017-3RR-B2 | 7,721,005 | ||||||
Citicorp Mortgage Securities Trust | ||||||||
2,190,210 | Series 2006-7-1A1 | 2,117,029 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
668,000 | Series 2015-GC27-D | 546,281 | ||||||
800,000 | Series 2018-C6-D | 747,190 | ||||||
1,497,000 | Series 2018-TBR-F | 1,273,653 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
204,401 | Series 2005-5-2A2 | 166,958 | ||||||
2,804,249 | Series 2005-5-3A2A | 1,994,743 | ||||||
254,396 | Series 2009-6-8A2 | 263,657 | ||||||
2,841,364 | Series 2011-12-1A2 | 2,115,237 | ||||||
316,261 | Series 2018-A-A1 | 318,224 | ||||||
730,309 | Series 2018-C-A1 | 749,836 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
237,099 | Series 2006-A5-1A13 | 185,167 | ||||||
233,328 | Series 2006-A5-1A2 | 37,928 | ||||||
440,389 | Series 2007-A4-1A13 | 439,762 | ||||||
225,492 | Series 2007-A4-1A6 | 225,034 |
Principal Amount^ | Value | |||||||
$2,130,866 | Series 2007-A6-1A5 | $ | 2,151,102 | |||||
COMM Mortgage Trust | ||||||||
40,000 | Series 2012-LC4-C | 32,695 | ||||||
1,868,035 | Series 2014-UBS4-F | 434,579 | ||||||
3,353,947 | Series 2014-UBS4-G | 343,949 | ||||||
7,000 | Series 2014-UBS4-V | 1 | ||||||
537,000 | Series 2015-CR25-C | 532,174 | ||||||
1,989,000 | Series 2018-HCLV-D | 1,821,687 | ||||||
Connecticut Avenue Securities Trust | ||||||||
345,000 | Series 2020-R01-1M2 | 339,998 | ||||||
Countrywide Alternative Loan Trust | ||||||||
113,096 | Series 2003-22CB-1A1 | 118,155 | ||||||
467,048 | Series 2004-13CB-A4 | 393,800 | ||||||
85,662 | Series 2004-16CB-1A1 | 88,844 | ||||||
91,071 | Series 2004-16CB-3A1 | 94,548 | ||||||
196,405 | Series 2004-J10-2CB1 | 206,984 | ||||||
4,559,306 | Series 2005-64CB-1A10 | 4,516,304 | ||||||
64,790 | Series 2005-J1-2A1 | 66,466 | ||||||
2,417,633 | Series 2006-13T1-A13 | 1,700,035 | ||||||
403,258 | Series 2006-31CB-A7 | 328,590 | ||||||
3,954,613 | Series 2006-36T2-2A1 | 2,630,889 | ||||||
435,746 | Series 2006-J1-2A1 | 99,582 | ||||||
212,413 | Series 2007-16CB-2A1 | 76,007 | ||||||
61,509 | Series 2007-16CB-2A2 | 165,974 | ||||||
397,939 | Series 2007-19-1A34 | 296,732 | ||||||
1,164,958 | Series 2007-20-A12 | 905,119 | ||||||
420,174 | Series 2007-22-2A16 | 251,022 | ||||||
2,633,720 | Series 2007-HY2-1A | 2,543,084 | ||||||
1,815,437 | Series 2007-HY7C-A4 | 1,697,429 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Countrywide Alternative Loan Trust Resecuritization | ||||||||
$524,262 | Series 2008-2R-2A1 | $ | 345,279 | |||||
3,682,312 | Series 2008-2R-4A1 | 3,034,926 | ||||||
Countrywide Home Loan GMSR Issuer Trust | ||||||||
1,980,000 | Series 2018-GT1-A | 1,904,933 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
7,273 | Series 2004-HYB4-2A1 | 6,975 | ||||||
564,258 | Series 2005-23-A1 | 448,881 | ||||||
339,492 | Series 2005-HYB8-4A1 | 322,069 | ||||||
2,788,257 | Series 2006-9-A1 | 2,140,772 | ||||||
168,015 | Series 2007-10-A5 | 129,207 | ||||||
680,809 | Series 2007-13-A5 | 532,584 | ||||||
Credit Suisse Commercial Mortgage Securities Corp. | ||||||||
175,000 | Series 2019-SKLZ-D | 164,427 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
1,240,829 | Series 2005-11-7A1 | 950,805 | ||||||
Credit Suisse First Boston Mortgage- Backed Pass-Through Certificates | ||||||||
48,575 | Series 2003-27-4A4 | 51,413 | ||||||
2,437,167 | Series 2005-10-10A3 | 1,076,437 | ||||||
Credit Suisse Mortgage-Backed Trust | ||||||||
765,441 | Series 2006-6-1A10 | 613,954 | ||||||
650,430 | Series 2007-1-4A1 | 135,114 | ||||||
64,051 | Series 2007-2-2A5 | 62,164 | ||||||
1,493,613 | Series 2011-17R-1A2 | 1,522,641 | ||||||
630,000 | Series 2014-USA-A2 | 645,485 | ||||||
635,000 | Series 2014-USA-D | 494,737 | ||||||
1,475,000 | Series 2014-USA-E | 1,028,161 | ||||||
750,358 | Series 2018-RPL2-A1 | 757,415 | ||||||
292,400 | Series 2018-RPL7-A1 | 299,871 | ||||||
657,248 | Series 2019-RP10-A1 | 663,212 | ||||||
460,000 | Series 2020-RPL3-A1 | 461,136 |
Principal Amount^ | Value | |||||||
DBUBS Mortgage Trust | ||||||||
$310,000 | Series 2017-BRBK-D | $ | 321,032 | |||||
Deutsche Mortgage and Asset Receiving Corp. | ||||||||
2,767,787 | Series 2014-RS1-1A2 | 2,531,447 | ||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust | ||||||||
96,124 | Series 2006-PR1-3A1 | 88,798 | ||||||
DSLA Mortgage Loan Trust | ||||||||
123,117 | Series 2005-AR5-2A1A | 92,745 | ||||||
Dukinfield II Plc | ||||||||
| 362,156 (GBP) | | Series 2-A | 469,082 | ||||
Federal Home Loan Mortgage Corp. REMICS | ||||||||
559,052 | Series 3118-SD | 102,110 | ||||||
224,536 | Series 3301-MS | 45,464 | ||||||
280,801 | Series 3303-SE | 54,242 | ||||||
182,520 | Series 3303-SG | 36,450 | ||||||
53,544 | Series 3382-SB | 7,509 | ||||||
254,587 | Series 3382-SW | 50,857 | ||||||
62,496 | Series 3384-S | 7,714 | ||||||
160,994 | Series 3384-SG | 34,492 | ||||||
1,879,442 | Series 3404-SA | 390,914 | ||||||
94,936 | Series 3417-SX | 12,200 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Federal Home Loan Mortgage Corp. REMICS (Continued) | ||||||||
$57,775 | Series 3423-GS | $ | 7,175 | |||||
507,994 | Series 3423-TG | 4,090 | ||||||
2,391,190 | Series 3435-S | 528,844 | ||||||
80,070 | Series 3445-ES | 10,683 | ||||||
345,004 | Series 3523-SM | 64,613 | ||||||
193,566 | Series 3560-KS | 34,366 | ||||||
110,260 | Series 3598-SA | 17,860 | ||||||
135,280 | Series 3641-TB | 154,910 | ||||||
463,882 | Series 3728-SV | 61,680 | ||||||
199,424 | Series 3758-S | 39,362 | ||||||
645,232 | Series 3770-SP | 70,354 | ||||||
265,663 | Series 3815-ST | 53,715 | ||||||
576,183 | Series 3859-SI | 133,243 | ||||||
171,357 | Series 3872-SL | 32,966 | ||||||
137,365 | Series 3900-SB | 22,256 | ||||||
30,651 | Series 3946-SM | 50,412 |
Principal Amount^ | Value | |||||||
$891,515 | Series 3972-AZ | $ | 975,077 | |||||
2,663,283 | Series 3984-DS | 497,061 | ||||||
6,239,853 | Series 4080-DS | 898,150 | ||||||
1,631,568 | Series 4229-MS | 1,773,956 | ||||||
3,733,102 | Series 4239-OU | 3,348,107 | ||||||
2,683,806 | Series 4291-MS | 539,849 | ||||||
2,245,240 | Series 4314-MS | 258,067 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||
34,880 | Series 2018-DNA1-M2 | 34,395 | ||||||
Federal National Mortgage Association | ||||||||
9,494,840 | Series 2019-M24-2XA | 942,406 | ||||||
33,934,365 | Series 2020-M10-X4 | 2,686,618 | ||||||
34,195,253 | Series 2020-M10-X9 | 1,565,595 | ||||||
22,076,388 | Series 2020-M6-X | 933,198 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities | ||||||||
316,665 | Series 2017-C05-1M2 | 313,577 | ||||||
Federal National Mortgage Association REMICS | ||||||||
281,149 | Series 2003-84-PZ | 323,909 | ||||||
534,475 | Series 2005-42-SA | 61,407 | ||||||
2,038,566 | Series 2006-92-LI | 437,237 | ||||||
526,103 | Series 2007-39-AI | 118,491 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Federal National Mortgage Association REMICS (Continued) | ||||||||
$154,433 | Series 2007-57-SX | $ | 31,195 | |||||
27,916 | Series 2007-68-SA | 4,582 | ||||||
31,268 | Series 2008-1-CI | 5,728 | ||||||
1,563,361 | Series 2008-33-SA | 322,723 | ||||||
48,289 | Series 2008-56-SB | 6,639 | ||||||
3,246,430 | Series 2009-110-SD | 621,901 | ||||||
40,499 | Series 2009-111-SE | 6,460 | ||||||
229,402 | Series 2009-86-CI | 32,318 | ||||||
119,099 | Series 2009-87-SA | 21,171 | ||||||
57,291 | Series 2009-90-IB | 8,978 | ||||||
55,116 | Series 2010-11-SC | 5,956 | ||||||
37,375 | Series 2010-115-SD | 6,713 | ||||||
3,244,302 | Series 2010-123-SK | 668,010 | ||||||
681,003 | Series 2010-134-SE | 62,241 | ||||||
203,063 | Series 2010-15-SL | 30,808 | ||||||
60,114 | Series 2010-9-GS | 6,871 |
Principal Amount^ | Value | |||||||
$6,420 | Series 2011-110-LS | $ | 9,305 | |||||
240,490 | Series 2011-111-VZ | 268,330 | ||||||
1,047,673 | Series 2011-141-PZ | 1,138,347 | ||||||
102,963 | Series 2011-5-PS | 9,887 | ||||||
1,931,295 | Series 2011-93-ES | 441,757 | ||||||
1,319,827 | Series 2012-106-SA | 276,756 | ||||||
2,994,607 | Series 2012-131-BS | 3,161,759 | ||||||
11,100,940 | Series 2013-109-BO | 9,961,424 | ||||||
1,738,081 | Series 2013-15-SC | 1,905,671 | ||||||
3,199,680 | Series 2014-50-WS | 565,601 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
755,272 | Series 2006-FA6-1A4 | 518,353 | ||||||
284,438 | Series 2007-FA4-1A7 | 192,705 | ||||||
First Horizon Mortgage Pass-Through Trust | ||||||||
155,745 | Series 2006-1-1A10 | 117,417 | ||||||
Fontainebleau Miami Beach Trust | ||||||||
574,000 | Series 2019-FBLU H | 484,500 | ||||||
GCAT LLC | ||||||||
329,765 | Series 2020-1-A1 | 326,007 | ||||||
Government National Mortgage Association | ||||||||
566,454 | Series 2007-21-S | 100,944 | ||||||
198,680 | Series 2008-69-SB | 44,330 | ||||||
233,399 | Series 2009-104-SD | 47,069 | ||||||
650,377 | Series 2010-134-EI | 24,663 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Government National Mortgage Association (Continued) | ||||||||
$33,833 | Series 2010-98-IA | $ | 3,740 | |||||
487,489 | Series 2011-45-GZ | 523,021 | ||||||
138,309 | Series 2011-69-OC | 134,853 | ||||||
2,807,180 | Series 2011-69-SC | 475,728 | ||||||
441,275 | Series 2011-89-SA | 75,457 | ||||||
2,059,418 | Series 2013-102-BS | 296,128 | ||||||
36,338,444 | Series 2013-155-IB | 220,691 | ||||||
3,652,077 | Series 2014-145-CS | 636,052 | ||||||
2,294,383 | Series 2014-156-PS | 433,151 | ||||||
5,171,679 | Series 2014-4-SA | 1,027,609 | ||||||
9,052,208 | Series 2014-41-SA | 1,832,496 | ||||||
3,802,798 | Series 2014-5-SA | 668,342 | ||||||
4,089,605 | Series 2014-58-SG | 714,683 | ||||||
3,857,564 | Series 2014-76-SA | 698,810 | ||||||
4,546,971 | Series 2014-95-CS | 951,831 | ||||||
5,355,788 | Series 2018-105-SH | 758,148 | ||||||
65,932,573 | Series 2018-111-SA | 6,776,728 |
Principal Amount^ | Value | |||||||
$21,842,871 | Series 2018-134-CS | $ | 3,122,001 | |||||
11,985,447 | Series 2019-22-SA | 2,439,351 | ||||||
7,028,836 | Series 2019-61-NS | 1,336,326 | ||||||
10,845,418 | Series 2020-112-BS | 2,129,681 | ||||||
17,011,964 | Series 2020-47-SA | 3,190,769 | ||||||
10,135,479 | Series 2020-47-SL | 1,750,519 | ||||||
GPMT Ltd. | ||||||||
1,507,000 | Series 2018-FL1-D | 1,394,238 | ||||||
GS Mortgage Securities Corp. Trust | ||||||||
1,503,000 | Series 2018-TWR-G | 1,329,455 | ||||||
GS Mortgage Securities Trust | ||||||||
1,010,000 | Series 2011-GC5-D | 807,173 | ||||||
2,216,000 | Series 2014-GC26-D | 1,382,444 | ||||||
GSCG Trust | ||||||||
710,000 | Series 2019-600C-H | 615,426 | ||||||
GSR Mortgage Loan Trust | ||||||||
40,247 | Series 2005-4F-6A1 | 40,229 | ||||||
719,163 | Series 2005-9F-2A1 | 531,526 | ||||||
94,516 | Series 2005-AR4-6A1 | 95,330 | ||||||
147,160 | Series 2005-AR6-4A5 | 147,056 | ||||||
256,945 | Series 2006-7F-3A4 | 143,213 | ||||||
HarborView Mortgage Loan Trust | ||||||||
276,689 | Series 2004-11-2A2A | 253,495 | ||||||
4,028,742 | Series 2007-7-2A1B | 3,545,287 | ||||||
Hawaii Hotel Trust | ||||||||
1,297,000 | Series 2019-MAUI-F | 1,129,420 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Hospitality Mortgage Trust | ||||||||
$1,063,012 | Series 2019-HIT-G | $ | 878,216 | |||||
Impac Secured Assets Trust | ||||||||
6,519,162 | Series 2007-2-1A1C | 5,620,581 | ||||||
IndyMac INDA Mortgage Loan Trust | ||||||||
259,497 | Series 2006-AR3-1A1 | 236,564 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
182,453 | Series 2004-AR7-A5 | 168,415 | ||||||
289,237 | Series 2005-AR11-A3 | 257,911 | ||||||
670,248 | Series 2006-AR2-2A1 | 541,347 | ||||||
2,008,002 | Series 2006-AR5-2A1 | 1,944,383 | ||||||
3,807,254 | Series 2006-R1-A3 | 3,504,171 | ||||||
1,369,655 | Series 2007-AR5-2A1 | 1,271,121 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
1,285,000 | Series 2011-C3-E | 378,173 | ||||||
1,531,000 | Series 2019-MFP-F | 1,433,147 | ||||||
683,000 | Series 2019-MFP-G | 619,587 | ||||||
683,000 | Series 2019-MFP-XG | 2,543 | ||||||
219,000 | Series 2019-UES-C | 217,354 | ||||||
224,000 | Series 2019-UES-D | 219,479 | ||||||
261,000 | Series 2019-UES-E | 251,626 | ||||||
274,000 | Series 2019-UES-F | 257,848 | ||||||
299,000 | Series 2019-UES-G | 270,332 | ||||||
JP Morgan Mortgage Trust | ||||||||
340,684 | Series 2004-S1-2A1 | 362,549 | ||||||
2,300,332 | Series 2005-ALT1-3A1 | 1,980,540 | ||||||
44,645 | Series 2007-A1-4A2 | 43,536 | ||||||
13,778 | Series 2007-S1-1A2 | 12,943 | ||||||
721,386 | Series 2007-S3-1A97 | 532,482 | ||||||
344,634 | Series 2008-R2-2A | 350,147 |
Principal Amount^ | Value | |||||||
JP Morgan Resecuritization Trust | ||||||||
$7,248,034 | Series 2015-4-1A7 | $ | 5,099,192 | |||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
1,616,000 | Series 2014-C23-D | 1,391,094 | ||||||
300,000 | Series 2014-C23-E | 177,405 | ||||||
78,000 | Series 2015-C27-D | 61,992 | ||||||
4,749,500 | Series 2015-C27-XFG | 236,719 | ||||||
Legacy Mortgage Asset Trust | ||||||||
1,076,456 | Series 2020-GS1-A1 | 1,081,068 | ||||||
203,718 | Series 2020-GS5-A1 | 205,385 | ||||||
Lehman Mortgage Trust | ||||||||
1,310,133 | Series 2006-2-2A3 | 1,365,400 | ||||||
Lehman XS Trust | ||||||||
118,906 | Series 2006-2N-1A1 | 105,659 | ||||||
Master Alternative Loan Trust | ||||||||
31,518 | Series 2003-9-4A1 | 32,623 | ||||||
27,309 | Series 2004-5-1A1 | 28,215 | ||||||
34,825 | Series 2004-5-2A1 | 36,346 | ||||||
137,786 | Series 2004-8-2A1 | 143,080 | ||||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
348,931 | Series 2007-AF1-1AF2 | 339,082 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
8,184 | Series 2006-2-2A | 8,009 | ||||||
Morgan Stanley Capital Barclays Bank Trust | ||||||||
551,000 | Series 2016-MART-D | 529,126 | ||||||
Morgan Stanley Capital I Trust | ||||||||
687,000 | Series 2007-IQ15-C | 678,505 | ||||||
285,000 | Series 2011-C2-D | 206,843 | ||||||
540,000 | Series 2011-C2-E | 315,414 | ||||||
1,508,000 | Series 2019-PLND-F | 1,265,091 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
2,218,186 | Series 2005-9AR-2A | 2,093,037 | ||||||
2,782,646 | Series 2006-11-2A2 | 1,959,384 | ||||||
360,043 | Series 2006-7-3A | 300,155 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Morgan Stanley Mortgage Loan Trust (Continued) | ||||||||
$260,053 | Series 2007-13-6A1 | $ | 205,555 | |||||
Morgan Stanley Re-REMIC Trust | ||||||||
314,072 | Series 2010-R9-3C | 322,282 | ||||||
Motel 6 Trust | ||||||||
968,617 | Series 2017-M6MZ-M | 807,303 | ||||||
New Residential Mortgage Loan Trust | ||||||||
185,757 | Series 2020-NPL2-A1 | 186,104 | ||||||
Preston Ridge Partners Mortgage Trust | ||||||||
260,000 | Series 2020-3-A2 | 260,000 | ||||||
Prime Mortgage Trust | ||||||||
1,287,124 | Series 2006-DR1-2A1 | 1,077,201 | ||||||
RCO V Mortgage LLC | ||||||||
365,000 | Series 2020-1-A1 | 367,921 | ||||||
Residential Accredit Loans, Inc. | ||||||||
891,580 | Series 2006-QS10-A9 | 906,459 | ||||||
555,716 | Series 2006-QS14-A18 | 541,229 | ||||||
415,605 | Series 2006-QS17-A5 | 405,441 | ||||||
433,264 | Series 2006-QS2-1A4 | 424,825 | ||||||
510,401 | Series 2006-QS7-A3 | 485,988 | ||||||
546,921 | Series 2007-QS1-2A10 | 527,238 | ||||||
853,519 | Series 2007-QS3-A1 | 837,674 | ||||||
1,864,318 | Series 2007-QS6-A6 | 1,833,223 | ||||||
476,234 | Series 2007-QS8-A8 | 464,395 | ||||||
1,429,755 | Series 2007-QS9-A33 | 1,395,694 | ||||||
Residential Asset Securitization Trust | ||||||||
262,361 | Series 2006-A8-1A1 | 225,592 | ||||||
251,352 | Series 2007-A1-A8 | 148,323 | ||||||
467,072 | Series 2007-A5-2A5 | 377,762 | ||||||
16,154,686 | Series 2007-A9-A1 | 3,548,377 | ||||||
16,154,686 | Series 2007-A9-A2 -1*1 mo. USD LIBOR + 6.450% | 6,046,230 | ||||||
Residential Funding Mortgage Securities I Trust | ||||||||
499,955 | Series 2006-S4-A5 | 486,610 |
Principal Amount^ | Value | |||||||
Starwood Retail Property Trust | ||||||||
$235,000 | Series 2014-STAR-C | $ | 164,170 | |||||
980,000 | Series 2014-STAR-D | 605,648 | ||||||
950,000 | Series 2014-STAR-E | 316,691 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
735,458 | Series 2005-14-A1 | 537,018 | ||||||
305,680 | Series 2005-15-1A1 | 228,950 | ||||||
413,096 | Series 2005-22-3A1 | 348,623 | ||||||
845,614 | Series 2008-1-A2 | 749,219 | ||||||
Structured Asset Securities Corp. Trust | ||||||||
594,546 | Series 2005-5-2A2 | 580,956 | ||||||
8,170,101 | Series 2007-4-1A3 | 874,076 | ||||||
Tharaldson Hotel Portfolio Trust | ||||||||
1,382,807 | Series 2018-THL-F | 1,098,445 | ||||||
UBS-Barclays Commercial Mortgage Trust | ||||||||
305,000 | Series 2012-C2-E | 124,930 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||
401,043 | Series 2005-1-5A1 | 406,340 | ||||||
592,307 | Series 2006-5-1A5 | 556,652 | ||||||
451,360 | Series 2006-8-A6 | 237,312 | ||||||
2,701,695 | Series 2007-5-A3 | 1,853,946 | ||||||
Wells Fargo Alternative Loan Trust | ||||||||
152,335 | Series 2007-PA2-3A1 | 130,416 | ||||||
224,413 | Series 2007-PA2-3A2 | 35,371 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
19,971,000 | Series 2015-C28-XE | 920,895 | ||||||
398,000 | Series 2015-NXS4-D | 352,815 | ||||||
750,000 | Series 2016-C33-D | 649,273 | ||||||
1,225,000 | Series 2019-JWDR-C | 1,164,729 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
$104,783 | Series 2006-AR19-A1 | $ | 97,937 | |||||
WFRBS Commercial Mortgage Trust | ||||||||
155,000 | Series 2011-C2-D | 153,925 | ||||||
510,000 | Series 2011-C3-D | 254,515 | ||||||
500,000 | Series 2012-C6-D | 501,599 | ||||||
160,000 | Series 2012-C7-C | 117,772 | ||||||
290,000 | Series 2012-C7-E | 114,583 | ||||||
|
| |||||||
| TOTAL MORTGAGE-BACKED | 270,911,313 | ||||||
|
| |||||||
MUNICIPAL BONDS: 0.2% | ||||||||
Puerto Rico: 0.2% | ||||||||
Commonwealth of Puerto Rico | ||||||||
1,330,000 | Series A | 847,875 | ||||||
Puerto Rico Public Buildings Authority | ||||||||
675,000 | Series U | 472,500 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | ||||||||
21,000 | Series A-1 | 19,416 | ||||||
40,000 | Series A-1 | 34,005 | ||||||
39,000 | Series A-1 | 30,739 | ||||||
50,000 | Series A-1 | 36,562 | ||||||
56,000 | Series A-1 | 37,550 | ||||||
41,000 | Series A-1 | 42,879 | ||||||
21,000 | Series A-1 | 21,762 | ||||||
536,000 | Series A-1 | 151,988 | ||||||
437,000 | Series A-1 | 89,856 | ||||||
151,000 | Series A-1 | 157,419 | ||||||
383,000 | Series A-1 | 405,823 | ||||||
210,000 | Series A-2 | 214,551 | ||||||
7,000 | Series A-2 | 7,199 | ||||||
84,000 | Series A-2 | 87,809 | ||||||
|
| |||||||
| TOTAL MUNICIPAL BONDS | 2,657,933 | ||||||
|
|
Principal Amount^ | Value | |||||||
SHORT-TERM INVESTMENTS: 7.1% | ||||||||
REPURCHASE AGREEMENTS: 4.8% | ||||||||
$69,752,058 | Fixed Income Clearing Corp. 0.000%, 9/30/2020, due 10/01/2020 [collateral: par value $68,829,300 U.S. Treasury Note, 2.375%, due 03/15/2022, value $71,151,877] (proceeds $69,752,058) | $ | 69,752,058 | |||||
|
| |||||||
| TOTAL REPURCHASE AGREEMENTS | 69,752,058 | ||||||
|
| |||||||
TREASURY BILLS: 2.3% | ||||||||
United States Treasury Bill | ||||||||
22,172,000 | 1.456%, 11/05/2020(a)(o) | 22,170,329 | ||||||
1,670,000 | 0.158%, 11/27/2020(a)(o) | 1,669,574 | ||||||
5,400,000 | 0.177%, 02/25/2021(a)(o) | 5,397,988 | ||||||
1,300,000 | 0.097%, 06/17/2021(o) | 1,299,065 | ||||||
2,860,000 | 0.116%, 09/09/2021(o) | 2,856,839 | ||||||
|
| |||||||
| TOTAL TREASURY BILLS | 33,393,795 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 103,145,853 | ||||||
|
| |||||||
| TOTAL PURCHASED OPTIONS | 205,310 | ||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE | |||||||
(Cost: $1,406,999,224): 98.7% | 1,437,924,868 | |||||||
|
| |||||||
Other Assets in Excess of Liabilities: 1.3% | 19,068,629 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 1,456,993,497 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt | |
BADLARPP | Argentina Badlar Floating Rate Notes | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury Index | |
ETF | Exchange Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
FEDL01 | Federal Funds Rate | |
LIBOR | London Interbank Offered Rate | |
L.P. | Limited Partnership | |
PIK | Payment-in-kind | |
REMICS | Real Estate Mortgage Investment Conduit | |
SOFR | Secured Overnight Financing Rate | |
* | Non-Income Producing Security. | |
^ | The principal amount is stated in U.S. Dollars unless otherwise indicated. | |
(a) | Securities with an aggregate fair value of $101,618,978 have been pledged as collateral for options, total return swaps, credit default swaps, securities sold short and futures positions. | |
(b) | Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees. | |
(c) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. | |
(d) | Perpetual Call. | |
(e) | Floating Interest Rate at September 30, 2020. |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
(f) | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2020. | |
(g) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at September 30, 2020. | |
(h) | When issued security. | |
(i) | Security is currently in default and/or non-income producing. | |
(j) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. | |
(k) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(l) | Pay-in-kind securities. | |
(m) | Interest Only security. Security with a notional or nominal principal amount. | |
(n) | Principal Only security. | |
(o) | The rate shown represents yield-to-maturity. |
CURRENCY ABBREVIATIONS: | ||
ARS | Argentine Peso | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
COP | Colombian Peso | |
EUR | Euro | |
GBP | British Pound | |
NZD | New Zealand Dollar | |
PLN | Polish Zloty | |
SEK | Swedish Krona | |
USD | U.S. Dollar |
UNFUNDED LOAN COMMITMENTS — At September 30, 2020, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:
Borrower | Principal Amount | Current Value | Unrealized Gain (Loss) | |||||||||
McDermott Technology Americas, Inc., 0.500%, 06/28/2024 | $ | 294,000 | $ | 269,010 | $ | (24,990 | ) |
The cost basis of investments for federal income tax purposes at September 30, 2020 was as follows*:
Cost of investments | $ | 1,341,897,993 | ||
|
| |||
Gross unrealized appreciation | 131,561,256 | |||
Gross unrealized depreciation | (111,514,682 | ) | ||
|
| |||
Net unrealized appreciation | $ | 20,046,574 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF PURCHASED OPTIONS at September 30, 2020 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
COMMON STOCKS |
| |||||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||||
Immunomedics, Inc. | Goldman Sachs & Co. | $ | 90.00 | 11/20/2020 | 222 | $ | 1,887,666 | $ | 2,220 | $ | 7,969 | $ | (5,749 | ) | ||||||||||||||||
Immunomedics, Inc. | Morgan Stanley & Co. | 90.00 | 11/20/2020 | 28 | 238,084 | 280 | 1,005 | (725 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total | 2,500 | 8,974 | (6,474 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
EXCHANGE TRADED FUNDS |
| |||||||||||||||||||||||||||||
Put |
| |||||||||||||||||||||||||||||
iShares Iboxx Investment Grade Corporate Bond ETF | Goldman Sachs & Co. | 130.00 | 1/15/2021 | 512 | 6,897,152 | 86,784 | 88,016 | (1,232 | ) | |||||||||||||||||||||
iShares Iboxx Investment Grade Corporate Bond ETF | Morgan Stanley & Co. | 130.00 | 1/15/2021 | 83 | 1,118,093 | 14,069 | 14,269 | (200 | ) | |||||||||||||||||||||
iShares Russell 2000 ETF | Goldman Sachs & Co. | 142.00 | 1/15/2021 | 52 | 778,908 | 39,104 | 41,241 | (2,137 | ) | |||||||||||||||||||||
iShares Russell 2000 ETF | Goldman Sachs & Co. | 145.00 | 1/15/2021 | 53 | 793,887 | 42,665 | 41,841 | 824 | ||||||||||||||||||||||
iShares Russell 2000 ETF | Morgan Stanley & Co. | 142.00 | 1/15/2021 | 14 | 209,706 | 10,528 | 11,103 | (575 | ) | |||||||||||||||||||||
iShares Russell 2000 ETF | Morgan Stanley & Co. | 145.00 | 1/15/2021 | 12 | 179,748 | 9,660 | 9,473 | 187 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total | 202,810 | 205,943 | (3,133 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Purchased Options | $ | 205,310 | $ | 214,917 | $ | (9,607 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF SECURITIES SOLD SHORT at September 30, 2020 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS: (4.0)% | ||||||||
(11,211) | Acushnet Holdings Corp. | $ | (376,802 | ) | ||||
(154,762) | Advanced Disposal Services, Inc.* | (4,678,455 | ) | |||||
(5,334) | American Homes 4 Rent Class A | (151,912 | ) | |||||
(39,719) | Analog Devices, Inc. | (4,636,796 | ) | |||||
(39,242) | ANGI Homeservices, Inc. Class A* | (435,390 | ) | |||||
(3,404) | Aon Plc Class A | (702,245 | ) | |||||
(4,312) | Bayerische Motoren Werke AG | (313,370 | ) | |||||
(2,108) | Booz Allen Hamilton Holding Corp. | (174,922 | ) | |||||
(220,682) | BorgWarner, Inc. | (8,549,221 | ) | |||||
(601) | CACI International, Inc. Class A* | (128,109 | ) | |||||
(79,449) | Chevron Corp. | (5,720,328 | ) | |||||
(31,934) | Cincinnati Bell, Inc.* | (479,010 | ) | |||||
(236,227) | CNX Resources Corp.* | (2,229,983 | ) | |||||
(37,171) | Comtech Telecommunications Corp. | (520,394 | ) | |||||
(5,517) | Daimler AG | (297,748 | ) | |||||
(298,996) | Devon Energy Corp. | (2,828,502 | ) | |||||
(16,119) | Evolution Gaming Group AB(c) | (1,069,660 | ) | |||||
(16,825) | Fiat Chrysler Automobiles N.V.* | (206,479 | ) | |||||
(34,023) | Ford Motor Co. | (226,593 | ) | |||||
(10,301) | General Motors Co. | (304,807 | ) | |||||
(5,592) | Invitation Homes, Inc. | (156,520 | ) | |||||
(6,392) | Jacobs Engineering Group, Inc. | (592,986 | ) | |||||
(80,425) | Just Eat Takeaway.com N.V.*(c) | (9,028,847 | ) | |||||
(28,672) | Liberty Broadband Corp. Class C* | (4,096,369 | ) | |||||
(13,738) | Livongo Health, Inc.* | (1,924,007 | ) | |||||
(8,003) | Luminex Corp. | (210,079 | ) | |||||
(16,531) | Meridian Bioscience, Inc.* | (280,696 | ) | |||||
(5,254) | Nexstar Media Group, Inc. Class A | (472,492 | ) | |||||
(20,532) | OraSure Technologies, Inc.* | (249,874 | ) | |||||
(1,749) | Science Applications International Corp. | (137,157 | ) | |||||
(14,540) | Softbank Corp. | (162,122 | ) | |||||
(481,681) | Southwestern Energy Co.* | (1,131,950 | ) | |||||
(20,197) | Stantec, Inc. | (612,777 | ) | |||||
(33,022) | Sunrun, Inc.* | (2,545,006 | ) | |||||
(2,552) | Tesla, Inc.* | (1,094,834 | ) | |||||
(6,768) | Tetra Tech, Inc. | (646,344 | ) | |||||
(7,260) | Toyota Motor Corp. | (476,552 | ) | |||||
(4,061) | Uber Technologies, Inc.* | (148,145 | ) | |||||
(8,391) | WSP Global, Inc. | (550,667 | ) | |||||
(98) | WW Grainger, Inc. | (34,963 | ) | |||||
|
| |||||||
| TOTAL COMMON STOCKS | $ | (58,583,113 | ) | ||||
|
|
Shares | Value | |||||||
EXCHANGE-TRADED FUNDS: (0.5)% | ||||||||
(560) | Consumer Discretionary Select Sector SPDR Fund | $ | (82,309 | ) | ||||
(48,785) | Financial Select Sector SPDR Fund | (1,174,255 | ) | |||||
(3,639) | Health Care Select Sector SPDR Fund | (383,842 | ) | |||||
(2,399) | iShares MSCI Australia ETF | (47,308 | ) | |||||
(4,795) | iShares Russell 2000 Growth ETF | (1,062,188 | ) | |||||
(1,188) | iShares Russell 2000 Value ETF | (118,004 | ) | |||||
(991) | iShares Russell Mid-Cap Growth ETF | (171,314 | ) | |||||
(8,252) | iShares U.S. Real Estate ETF | (658,840 | ) | |||||
(7,114) | SPDR S&P 500 ETF Trust | (2,382,407 | ) | |||||
(9,629) | VanEck Vectors Oil Services ETF | (940,850 | ) | |||||
|
| |||||||
| TOTAL EXCHANGE-TRADED FUNDS | $ | (7,021,317 | ) | ||||
|
| |||||||
Principal Amount^ | ||||||||
CORPORATE BONDS: (0.2)% | ||||||||
Dell International LLC / EMC Corp. | ||||||||
(450,000) | 7.125%, 06/15/2024(c) | (468,535 | ) | |||||
Gray Television, Inc. | ||||||||
(556,000) | 5.125%, 10/15/2024(c) | (568,163 | ) | |||||
Gray Television, Inc. | ||||||||
(362,000) | 5.875%, 07/15/2026(c) | (376,254 | ) | |||||
Western Digital Corp. | ||||||||
(848,000) | 4.750%, 02/15/2026 | (919,554 | ) | |||||
|
| |||||||
| TOTAL CORPORATE BONDS | $ | (2,332,506 | ) | ||||
|
| |||||||
| TOTAL SECURITIES SOLD SHORT | $ | (67,936,936 | ) | ||||
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at September 30, 2020 (Unaudited)
At September 30, 2020, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at September 30, 2020 | Fund Delivering | U.S. $ Value at September 30, 2020 | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||
Bank of America N.A. | 10/23/2020 | USD | $ | 487,050 | CAD | $ | 491,630 | $ | — | $ | (4,580) | |||||||||||
10/23/2020 | USD | 1,685,989 | EUR | 1,724,101 | — | (38,112 | ) | |||||||||||||||
Barclays Bank Plc | 10/23/2020 | USD | 567,765 | EUR | 580,565 | — | (12,800 | ) | ||||||||||||||
Deutsche Bank AG | 10/30/2020 | USD | 523,638 | GBP | 520,611 | 3,027 | — | |||||||||||||||
Goldman Sachs & Co. | 12/15/2020 | CAD | 65,617 | USD | 65,430 | 187 | — | |||||||||||||||
12/15/2020 | EUR | 33,819 | USD | 33,664 | 155 | — | ||||||||||||||||
12/15/2020 | EUR | 62,119 | USD | 62,151 | — | (32 | ) | |||||||||||||||
12/15/2020 | EUR | 425,090 | USD | 429,712 | — | (4,622 | ) | |||||||||||||||
12/15/2020 | USD | 4,717,748 | EUR | 4,674,692 | 43,056 | — | ||||||||||||||||
12/15/2020 | USD | 64,208 | EUR | 64,585 | — | (377 | ) | |||||||||||||||
12/15/2020 | USD | 579,962 | SEK | 564,488 | 15,474 | — | ||||||||||||||||
HSBC Holdings Plc | 11/13/2020 | USD | 194,605 | EUR | 193,605 | 1,000 | — | |||||||||||||||
JPMorgan Chase Bank N.A. | 11/17/2020 | EUR | 748,849 | USD | 747,800 | 1,049 | — | |||||||||||||||
11/17/2020 | EUR | 544,261 | USD | 549,081 | — | (4,820 | ) | |||||||||||||||
11/17/2020 | EUR | 501,786 | USD | 506,998 | — | (5,212 | ) | |||||||||||||||
11/17/2020 | EUR | 514,239 | USD | 520,542 | — | (6,303 | ) | |||||||||||||||
11/17/2020 | EUR | 654,916 | USD | 661,828 | — | (6,912 | ) | |||||||||||||||
11/17/2020 | USD | 515,776 | EUR | 510,892 | 4,884 | — | ||||||||||||||||
11/17/2020 | USD | 190,237 | EUR | 188,055 | 2,182 | — | ||||||||||||||||
11/17/2020 | USD | 240,686 | EUR | 238,887 | 1,799 | — | ||||||||||||||||
11/17/2020 | USD | 231,413 | EUR | 229,950 | 1,463 | — | ||||||||||||||||
11/17/2020 | USD | 231,413 | EUR | 229,950 | 1,463 | — | ||||||||||||||||
11/17/2020 | USD | 366,469 | EUR | 366,022 | 447 | — | ||||||||||||||||
11/17/2020 | USD | 218,720 | EUR | 219,680 | — | (960 | ) | |||||||||||||||
11/17/2020 | USD | 790,344 | EUR | 794,282 | — | (3,938 | ) | |||||||||||||||
11/17/2020 | USD | 953,765 | EUR | 957,837 | — | (4,072 | ) | |||||||||||||||
Morgan Stanley & Co. | 10/8/2020 | USD | 1,754,807 | COP | 1,707,697 | 47,110 | — | |||||||||||||||
12/15/2020 | CAD | 68,244 | USD | 68,971 | — | (727 | ) | |||||||||||||||
12/15/2020 | CAD | 83,110 | USD | 83,943 | — | (833 | ) | |||||||||||||||
12/15/2020 | CAD | 75,678 | USD | 76,555 | — | (877 | ) | |||||||||||||||
12/15/2020 | CAD | 330,037 | USD | 333,965 | — | (3,928 | ) | |||||||||||||||
12/15/2020 | EUR | 1,478,536 | USD | 1,473,733 | 4,803 | — | ||||||||||||||||
12/15/2020 | EUR | 48,029 | USD | 48,527 | — | (498 | ) | |||||||||||||||
12/15/2020 | EUR | 49,320 | USD | 49,886 | — | (566 | ) | |||||||||||||||
12/15/2020 | EUR | 103,571 | USD | 104,764 | — | (1,193 | ) | |||||||||||||||
12/15/2020 | EUR | 119,777 | USD | 121,017 | — | (1,240 | ) | |||||||||||||||
12/15/2020 | SEK | 8,208 | USD | 8,419 | — | (211 | ) | |||||||||||||||
12/15/2020 | USD | 5,849,984 | CAD | 5,748,317 | 101,667 | — | ||||||||||||||||
12/15/2020 | USD | 2,562,388 | CHF | 2,543,864 | 18,524 | — | ||||||||||||||||
12/15/2020 | USD | 58,273 | CHF | 57,793 | 480 | — | ||||||||||||||||
12/15/2020 | USD | 40,691 | CHF | 40,564 | 127 | — | ||||||||||||||||
12/15/2020 | USD | 90,653 | EUR | 90,067 | 586 | — | ||||||||||||||||
12/15/2020 | USD | 56,419 | EUR | 56,013 | 406 | — | ||||||||||||||||
12/15/2020 | USD | 127,650 | EUR | 127,879 | — | (229 | ) | |||||||||||||||
12/15/2020 | USD | 757,523 | EUR | 764,691 | — | (7,168 | ) | |||||||||||||||
12/15/2020 | USD | 2,249,799 | NZD | 2,211,158 | 38,641 | — | ||||||||||||||||
12/15/2020 | USD | 720,393 | PLN | 716,473 | 3,920 | — | ||||||||||||||||
12/15/2020 | USD | 150,525 | PLN | 150,734 | — | (209 | ) | |||||||||||||||
12/15/2020 | USD | 247,678 | SEK | 243,138 | 4,540 | — | ||||||||||||||||
12/15/2020 | USD | 12,820 | SEK | 12,574 | 246 | — | ||||||||||||||||
12/15/2020 | USD | 9,178 | SEK | 9,001 | 177 | — | ||||||||||||||||
12/15/2020 | USD | 7,099 | SEK | 6,935 | 164 | — | ||||||||||||||||
12/15/2020 | USD | 10,509 | SEK | 10,542 | — | (33 | ) | |||||||||||||||
12/16/2020 | EUR | 2,372,117 | USD | 2,397,176 | — | (25,059 | ) | |||||||||||||||
12/16/2020 | USD | 2,404,652 | EUR | 2,372,117 | 32,535 | — | ||||||||||||||||
12/31/2020 | USD | 502,896 | EUR | 505,184 | — | (2,288 | ) | |||||||||||||||
Standard Chartered Bank | 10/2/2020 | EUR | 3,212,237 | USD | 3,205,663 | 6,574 | — | |||||||||||||||
10/2/2020 | USD | 3,080,787 | EUR | 3,212,237 | — | (131,450 | ) | |||||||||||||||
1/4/2021 | USD | 3,212,858 | EUR | 3,219,471 | — | (6,613 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 47,966,930 | $ | 47,906,106 | $ | 336,686 | $ | (275,862 | ) | ||||||||||||||
|
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PartnerSelect Alternative Strategies Fund
SCHEDULE OF FINANCIAL FUTURES CONTRACTS at September 30, 2020 (Unaudited)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts - Long |
| |||||||||||||||||||
2YR U.S. Treasury Notes | 552 | $ | 110,400,000 | $ | 121,970,438 | 12/31/2020 | $ | 46,453 | ||||||||||||
|
| |||||||||||||||||||
Total Long | $ | 46,453 | ||||||||||||||||||
|
| |||||||||||||||||||
Futures Contracts - Short |
| |||||||||||||||||||
5YR U.S. Treasury Notes | (786 | ) | $ | (78,600,000 | ) | $ | (99,060,563 | ) | 12/31/2020 | $ | (85,803 | ) | ||||||||
10YR U.S. Treasury Notes | (59 | ) | (5,900,000 | ) | (8,232,344 | ) | 12/21/2020 | 1,636 | ||||||||||||
Ultra-Long U.S. Treasury Bonds | (19 | ) | (1,900,000 | ) | (4,214,437 | ) | 12/21/2020 | 374 | ||||||||||||
Ultra 10YR U.S. Treasury Notes | (107 | ) | (10,700,000 | ) | (17,111,641 | ) | 12/21/2020 | (19,620 | ) | |||||||||||
|
| |||||||||||||||||||
Total Short | $ | (103,413 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | (56,960) | ||||||||||||||||||
|
|
SCHEDULE OF SWAPS at September 30, 2020 (Unaudited)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2020 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Buy Protection | ||||||||||||||||||||||||||||||||||||
Airbus Finance B.V. 2.375%, 04/02/2024 | 12/20/2025 | (1.000% | ) | 1.463% | EUR | (5,900,000) | Quarterly | $ | 161,088 | $ | (11,743 | ) | $ | 172,831 | ||||||||||||||||||||||
American Axle & Manufacturing, Inc. 6.250%, 03/15/2026 | 12/20/2025 | (5.000% | ) | 5.413% | $ | (6,800,000) | Quarterly | 117,182 | 57,663 | 59,519 | ||||||||||||||||||||||||||
American International Group, Inc. 6.250%, 05/01/2036 | 12/20/2025 | (1.000% | ) | 0.808% | (1,950,000) | Quarterly | (19,018 | ) | (20,438 | ) | 1,420 | |||||||||||||||||||||||||
Anheuser-Busch InBev S.A. 4.000%, 06/02/2021 | 12/20/2025 | (1.000% | ) | 0.562% | EUR | (5,800,000) | Quarterly | (155,907 | ) | (189,135 | ) | 33,228 | ||||||||||||||||||||||||
Avnet, Inc. 4.875%, 12/01/2022 | 12/20/2025 | (1.000% | ) | 0.937% | $ | (6,750,000) | Quarterly | (21,350 | ) | (97,076 | ) | 75,726 | ||||||||||||||||||||||||
Banco Santander S.A. 1.375%, 02/09/2022 | 12/20/2025 | (1.000% | ) | 1.025% | EUR | (5,850,000) | Quarterly | 8,625 | (39,710 | ) | 48,335 | |||||||||||||||||||||||||
Block Financial LLC 5.500%, 11/01/2022 | 12/20/2025 | (5.000% | ) | 1.013% | $ | (5,800,000) | Quarterly | (1,162,767 | ) | (1,187,048 | ) | 24,281 | ||||||||||||||||||||||||
Bouygues S.A. 3.625%, 01/16/2023 | 12/20/2025 | (1.000% | ) | 0.344% | EUR | (5,900,000) | Quarterly | (239,767 | ) | (251,137 | ) | 11,370 | ||||||||||||||||||||||||
BP Capital Markets Plc 3.161%, 03/17/2021 | 12/20/2025 | (1.000% | ) | 0.950% | (1,200,000) | Quarterly | (3,604 | ) | (12,963 | ) | 9,359 | |||||||||||||||||||||||||
BP Capital Markets Plc 1.876%, 04/07/2024 | 12/20/2025 | (1.000% | ) | 0.950% | (4,150,000) | Quarterly | (12,462 | ) | 3,806 | (16,268 | ) | |||||||||||||||||||||||||
British Telecommunications Plc 5.750%, 12/07/2028 | 12/20/2025 | (1.000% | ) | 1.039% | (6,000,000) | Quarterly | 14,013 | 8,260 | 5,753 | |||||||||||||||||||||||||||
CDX North America HIgh Yield Index Series 34 5.000%, 06/20/2025 | 6/20/2025 | (5.000% | ) | 3.823% | $ | (70,840,000) | Quarterly | (3,456,855 | ) | 6,517,280 | (9,974,135 | ) | ||||||||||||||||||||||||
Centrica Plc 6.375%, 03/10/2022 | 12/20/2025 | (1.000% | ) | 1.032% | EUR | (5,800,000) | Quarterly | 11,253 | (45,248 | ) | 56,501 | |||||||||||||||||||||||||
CIT Group, Inc. 5.000%, 08/15/2022 | 12/20/2025 | (5.000% | ) | 2.552% | $ | (6,000,000) | Quarterly | (691,494 | ) | (806,240 | ) | 114,746 | ||||||||||||||||||||||||
Citigroup, Inc. 2.876%, 07/24/2023 | 12/20/2025 | (1.000% | ) | 0.637% | (4,600,000) | Quarterly | (85,376 | ) | (88,319 | ) | 2,943 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2020 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Buy Protection (Continued) | ||||||||||||||||||||||||||||||||||||
Compass Group Plc 1.875%, 01/27/2023 | 12/20/2025 | (1.000% | ) | 0.428% | EUR | (5,300,000 | ) | Quarterly | $ | (187,059 | ) | $ | (183,712 | ) | $ | (3,347 | ) | |||||||||||||||||||
Credit Agricole S.A. 3.375%, 01/10/2022 | 12/20/2025 | (1.000% | ) | 0.626% | (4,150,000) | Quarterly | (94,966 | ) | (125,299 | ) | 30,333 | |||||||||||||||||||||||||
Devon Energy Corp. 7.950%, 04/15/2032 | 12/20/2025 | (1.000% | ) | 2.066% | $ | (4,550,000) | Quarterly | 233,055 | 219,018 | 14,037 | ||||||||||||||||||||||||||
DISH DBS Corp. 6.750%, 06/01/2021 | 6/20/2025 | (5.000% | ) | 4.142% | (1,500,000) | Quarterly | (52,014 | ) | (92,196 | ) | 40,182 | |||||||||||||||||||||||||
Domtar Corp. 4.400%, 04/01/2022 | 12/20/2025 | (1.000% | ) | 0.886% | (6,800,000) | Quarterly | (39,093 | ) | (60,961 | ) | 21,868 | |||||||||||||||||||||||||
DXC Technology Co. 4.450%, 09/18/2022 | 12/20/2025 | (5.000% | ) | 1.238% | (950,000) | Quarterly | (177,980 | ) | (177,512 | ) | (468 | ) | ||||||||||||||||||||||||
Eni SpA 2.625%, 11/22/2021 | 12/20/2025 | (1.000% | ) | 1.003% | EUR | (850,000) | Quarterly | 155 | 4,078 | (3,923 | ) | |||||||||||||||||||||||||
Fortum Oyj 2.250%, 09/06/2022 | 12/20/2025 | (1.000% | ) | 0.633% | (950,000) | Quarterly | (21,306 | ) | (20,497 | ) | (809 | ) | ||||||||||||||||||||||||
Goodyear Tire & Rubber Co. (The) 5.000%, 05/31/2026 | 12/20/2025 | (5.000% | ) | 4.202% | $ | (4,450,000) | Quarterly | (156,123 | ) | (268,892 | ) | 112,769 | ||||||||||||||||||||||||
HCA, Inc. 5.875%, 02/15/2026 | 12/20/2025 | (5.000% | ) | 1.583% | (5,150,000) | Quarterly | (863,359 | ) | (968,560 | ) | 105,201 | |||||||||||||||||||||||||
Host Hotels & Resorts L.P. 3.875%, 04/01/2024 | 12/20/2025 | (1.000% | ) | 1.822% | (4,800,000) | Quarterly | 191,582 | 102,387 | 89,195 | |||||||||||||||||||||||||||
HP, Inc. 4.650%, 12/09/2021 | 12/20/2025 | (1.000% | ) | 0.525% | (6,550,000) | Quarterly | (159,827 | ) | (179,956 | ) | 20,129 | |||||||||||||||||||||||||
HSBC Holdings Plc 0.875%, 09/06/2024 | 12/20/2025 | (1.000% | ) | 0.686% | EUR | (5,900,000) | Quarterly | (113,116 | ) | (99,372 | ) | (13,744 | ) | |||||||||||||||||||||||
Imperial Brands Finance Plc 1.375%, 01/27/2025 | 12/20/2025 | (1.000% | ) | 0.857% | (1,100,000) | Quarterly | (9,527 | ) | (4,064 | ) | (5,463 | ) | ||||||||||||||||||||||||
ING Groep N.V. 0.750%, 03/09/2022 | 12/20/2025 | (1.000% | ) | 0.600% | (5,800,000) | Quarterly | (141,956 | ) | (168,997 | ) | 27,041 | |||||||||||||||||||||||||
International Lease Finance Corp. 8.250%, 12/15/2020 | 12/20/2025 | (5.000% | ) | 0.767% | $ | (700,000) | Quarterly | (150,617 | ) | (154,910 | ) | 4,293 | ||||||||||||||||||||||||
International Paper Co. 3.000%, 02/15/2027 | 12/20/2025 | (1.000% | ) | 0.426% | (6,850,000) | Quarterly | (202,995 | ) | (221,766 | ) | 18,771 | |||||||||||||||||||||||||
ITV Plc 2.125%, 09/21/2022 | 12/20/2025 | (5.000% | ) | 1.820% | EUR | (5,150,000) | Quarterly | (951,257 | ) | (996,889 | ) | 45,632 | ||||||||||||||||||||||||
Kinder Morgan, Inc. 4.300%, 03/01/2028 | 12/20/2025 | (1.000% | ) | 0.804% | $ | (4,100,000) | Quarterly | (40,861 | ) | (62,658 | ) | 21,797 | ||||||||||||||||||||||||
Kohl’s Corp. 4.250%, 07/17/2025 | 12/20/2025 | (1.000% | ) | 3.426% | (8,000,000) | Quarterly | 880,722 | 630,000 | 250,722 | |||||||||||||||||||||||||||
Lincoln National Corp. 3.350%, 03/09/2025 | 12/20/2025 | (1.000% | ) | 0.815% | (1,150,000) | Quarterly | (10,797 | ) | (8,741 | ) | (2,056 | ) | ||||||||||||||||||||||||
Lloyds Banking Group Plc 3.100%, 07/06/2021 | 12/20/2025 | (1.000% | ) | 0.683% | EUR | (5,800,000) | Quarterly | (112,283 | ) | (65,541 | ) | (46,742 | ) | |||||||||||||||||||||||
Loews Corp. 6.000%, 02/01/2035 | 12/20/2025 | (1.000% | ) | 0.397% | $ | (3,600,000) | Quarterly | (112,165 | ) | (120,366 | ) | 8,201 | ||||||||||||||||||||||||
Marathon Petroleum Corp. 3.625%, 09/15/2024 | 12/20/2025 | (5.000% | ) | 0.907% | (900,000) | Quarterly | (186,106 | ) | (183,817 | ) | (2,289 | ) | ||||||||||||||||||||||||
Marks & Spencer Plc 3.000%, 12/08/2023 | 12/20/2025 | (1.000% | ) | 3.283% | EUR | (6,500,000) | Quarterly | 809,675 | 753,254 | 56,421 | ||||||||||||||||||||||||||
McKesson Corp. 7.650%, 03/01/2027 | 12/20/2025 | (1.000% | ) | 0.529% | $ | (6,900,000) | Quarterly | (166,862 | ) | (188,365 | ) | 21,503 | ||||||||||||||||||||||||
MGIC Investment Corp. 5.750%, 08/15/2023 | 12/20/2025 | (5.000% | ) | 2.357% | (4,650,000) | Quarterly | (583,523 | ) | (615,721 | ) | 32,198 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2020 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Buy Protection (Continued) | ||||||||||||||||||||||||||||||||||||
MGM Resorts International 5.750%, 06/15/2025 | 12/20/2025 | (5.000% | ) | 3.213% | $ | (1,400,000) | Quarterly | $ | (114,596 | ) | $ | (142,578 | ) | $ | 27,982 | |||||||||||||||||||||
Naturgy Capital Markets S.A. 5.125%, 11/02/2021 | 12/20/2025 | (1.000% | ) | 0.507% | EUR | (4,050,000) | Quarterly | (122,849 | ) | (121,712 | ) | (1,137 | ) | |||||||||||||||||||||||
Natwest Group Plc 2.000%, 03/04/2025 | 12/20/2025 | (1.000% | ) | 0.765% | (5,900,000) | Quarterly | (84,145 | ) | (61,729 | ) | (22,416 | ) | ||||||||||||||||||||||||
Navient Corp. 5.500%, 01/25/2023 | 12/20/2025 | (5.000% | ) | 4.863% | $ | (2,850,000) | Quarterly | (16,778 | ) | (77,585 | ) | 60,807 | ||||||||||||||||||||||||
Nordstrom, Inc. 6.950%, 03/15/2028 | 12/20/2025 | (1.000% | ) | 6.193% | (7,800,000) | Quarterly | 1,641,436 | 1,423,500 | 217,936 | |||||||||||||||||||||||||||
Olin Corp. 5.500%, 08/15/2022 | 12/20/2025 | (1.000% | ) | 3.759% | (7,100,000) | Quarterly | 876,765 | 877,817 | (1,052 | ) | ||||||||||||||||||||||||||
Omnicom Group, Inc. / Omnicom Capital, Inc. 3.650%, 11/01/2024 | 12/20/2025 | (1.000% | ) | 0.455% | (6,650,000) | Quarterly | (186,743 | ) | (206,170 | ) | 19,427 | |||||||||||||||||||||||||
Pearson Funding Plc 1.375%, 05/06/2025 | 12/20/2025 | (1.000% | ) | 0.904% | EUR | (1,450,000) | Quarterly | (8,407 | ) | (21,285 | ) | 12,878 | ||||||||||||||||||||||||
Radian Group, Inc. 4.500%, 10/01/2024 | 12/20/2025 | (5.000% | ) | 3.507% | $ | (550,000) | Quarterly | (37,153 | ) | (47,174 | ) | 10,021 | ||||||||||||||||||||||||
Renault S.A. 3.125%, 03/05/2021 | 12/20/2025 | (1.000% | ) | 2.699% | EUR | (6,250,000) | Quarterly | 593,965 | 516,946 | 77,019 | ||||||||||||||||||||||||||
Repsol International Finance B.V. 2.250%, 12/10/2026 | 12/20/2025 | (1.000% | ) | 1.023% | (6,100,000) | Quarterly | 8,571 | 9,048 | (477 | ) | ||||||||||||||||||||||||||
Rolls-Royce Plc 2.125%, 06/18/2021 | 12/20/2025 | (1.000% | ) | 5.256% | (7,200,000) | Quarterly | 1,540,277 | 1,589,371 | (49,094 | ) | ||||||||||||||||||||||||||
RR Donnelley & Sons Co. 7.875%, 03/15/2021 | 12/20/2025 | (5.000% | ) | 8.210% | $ | (4,750,000) | Quarterly | 570,736 | 522,500 | 48,236 | ||||||||||||||||||||||||||
Ryder System, Inc. 3.875%, 12/01/2023 | 12/20/2025 | (1.000% | ) | 0.894% | (5,650,000) | Quarterly | (30,294 | ) | (63,799 | ) | 33,505 | |||||||||||||||||||||||||
SES S.A. 4.750%, 03/11/2021 | 12/20/2025 | (1.000% | ) | 1.151% | EUR | (5,900,000) | Quarterly | 53,412 | 25,178 | 28,234 | ||||||||||||||||||||||||||
Shell International Finance B.V. 0.750%, 05/12/2024 | 12/20/2025 | (1.000% | ) | 0.614% | (5,700,000) | Quarterly | (134,724 | ) | (160,187 | ) | 25,463 | |||||||||||||||||||||||||
Simon Property Group L.P. 2.750%, 06/01/2023 | 12/20/2025 | (1.000% | ) | 1.572% | $ | (7,100,000) | Quarterly | 199,273 | 134,470 | 64,803 | ||||||||||||||||||||||||||
Societe Generale S.A. 3.250%, 01/12/2022 | 12/20/2025 | (1.000% | ) | 0.814% | EUR | (5,250,000) | Quarterly | (59,397 | ) | (79,675 | ) | 20,278 | ||||||||||||||||||||||||
Standard Chartered Plc 1.450%, 09/10/2022 | 12/20/2025 | (1.000% | ) | 0.685% | (5,900,000) | Quarterly | (113,553 | ) | (86,034 | ) | (27,519 | ) | ||||||||||||||||||||||||
Teck Resources Ltd 6.125%, 10/01/2035 | 12/20/2025 | (5.000% | ) | 1.179% | $ | (3,050,000) | Quarterly | (581,904 | ) | (604,105 | ) | 22,201 | ||||||||||||||||||||||||
Telecom Italia SpA 3.625%, 01/19/2024 | 12/20/2025 | (1.000% | ) | 1.883% | EUR | (1,000,000) | Quarterly | 51,121 | 53,753 | (2,632 | ) | |||||||||||||||||||||||||
Telefonica Emisiones S.A. 1.528%, 01/17/2025 | 12/20/2025 | (1.000% | ) | 0.916% | (5,900,000) | Quarterly | (30,007 | ) | (45,647 | ) | 15,640 | |||||||||||||||||||||||||
Teva Pharmaceutical Finance Co. B.V. 3.650%, 11/10/2021 | 6/20/2025 | (1.000% | ) | 4.836% | $ | (5,450,000) | Quarterly | 825,601 | 808,750 | 16,851 | ||||||||||||||||||||||||||
thyssenkrupp AG 2.500%, 02/25/2025 | 12/20/2025 | (1.000% | ) | 4.725% | EUR | (6,700,000) | Quarterly | 1,282,271 | 945,756 | 336,515 | ||||||||||||||||||||||||||
UniCredit SpA 2.125%, 10/24/2026 | 12/20/2025 | (1.000% | ) | 0.946% | (5,900,000) | Quarterly | (19,369 | ) | (46,155 | ) | 26,786 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2020 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Buy Protection (Continued) | ||||||||||||||||||||||||||||||||||||
Valero Energy Corp. 8.750%, 06/15/2030 | 12/20/2025 | (1.000% | ) | 1.000% | $ | (3,250,000 | ) | Quarterly | $ | 35 | $ | 1,118 | $ | (1,083 | ) | |||||||||||||||||||||
Vodafone Group Plc 1.750%, 08/25/2023 | 12/20/2025 | (1.000% | ) | 0.711% | EUR | (3,750,000 | ) | Quarterly | (66,076 | ) | (60,343 | ) | (5,733 | ) | ||||||||||||||||||||||
Wells Fargo & Co. 3.069%, 01/24/2023 | 12/20/2025 | (1.000% | ) | 0.674% | $ | (6,800,000 | ) | Quarterly | (113,087 | ) | (124,011 | ) | 10,924 | |||||||||||||||||||||||
Wendel SE 2.750%, 10/02/2024 | 12/20/2025 | (5.000% | ) | 0.812% | EUR | (900,000 | ) | Quarterly | (228,700 | ) | (235,382 | ) | 6,682 | |||||||||||||||||||||||
Weyerhaeuser Co. 7.125%, 07/15/2023 | 12/20/2025 | (1.000% | ) | 0.305% | $ | (1,500,000 | ) | Quarterly | (54,068 | ) | (59,516 | ) | 5,448 | |||||||||||||||||||||||
WPP Finance S.A. 2.250%, 09/22/2026 | 12/20/2025 | (1.000% | ) | 0.984% | EUR | (4,100,000 | ) | Quarterly | (3,884 | ) | (26,448 | ) | 22,564 | |||||||||||||||||||||||
Xerox Corp. 3.800%, 05/15/2024 | 12/20/2025 | (1.000% | ) | 2.404% | $ | (6,850,000 | ) | Quarterly | 455,614 | 431,223 | 24,391 | |||||||||||||||||||||||||
|
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|
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Total Buy Protection | $ | (1,861,699 | ) | $ | 5,647,792 | $ | (7,509,491 | ) | ||||||||||||||||||||||||||||
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Sell Protection |
| |||||||||||||||||||||||||||||||||||
Amgen, Inc. 3.625%, 05/22/2024 | 12/20/2025 | 1.000% | 0.327% | $ | 6,750,000 | Quarterly | $ | 235,394 | $ | 263,285 | $ | (27,891 | ) | |||||||||||||||||||||||
Anglo American Capital Plc 4.125%, 04/15/2021 | 12/20/2025 | 5.000% | 1.163% | EUR | 4,900,000 | Quarterly | 1,123,361 | 1,191,721 | (68,360 | ) | ||||||||||||||||||||||||||
Apache Corp. 3.250%, 04/15/2022 | 12/20/2025 | 1.000% | 4.381% | $ | 6,500,000 | Quarterly | (958,452 | ) | (666,250 | ) | (292,202 | ) | ||||||||||||||||||||||||
Assicurazioni Generali SpA 5.125%, 09/16/2024 | 12/20/2025 | 1.000% | 0.757% | EUR | 5,800,000 | Quarterly | 85,674 | 110,737 | (25,063 | ) | ||||||||||||||||||||||||||
AT&T, Inc. 3.800%, 02/15/2027 | 12/20/2025 | 1.000% | 0.914% | $ | 7,000,000 | Quarterly | 30,369 | 44,638 | (14,269 | ) | ||||||||||||||||||||||||||
Aviva Plc 0.625%, 10/27/2023 | 12/20/2025 | 1.000% | 0.706% | EUR | 2,700,000 | Quarterly | 48,341 | 42,631 | 5,710 | |||||||||||||||||||||||||||
BAT International Finance Plc 2.375%, 01/19/2023 | 12/20/2025 | 1.000% | 0.714% | 5,800,000 | Quarterly | 101,258 | 108,612 | (7,354 | ) | |||||||||||||||||||||||||||
Beazer Homes USA, Inc. 6.750%, 03/15/2025 | 12/20/2025 | 5.000% | 3.083% | $ | 5,400,000 | Quarterly | 476,757 | 547,417 | (70,660 | ) | ||||||||||||||||||||||||||
Best Buy Co., Inc. 5.500%, 03/15/2021 | 12/20/2025 | 5.000% | 0.434% | 5,700,000 | Quarterly | 1,342,150 | 1,386,314 | (44,164 | ) | |||||||||||||||||||||||||||
BMW Finance N.V. 0.125%, 01/12/2021 | 12/20/2025 | 1.000% | 0.602% | EUR | 5,800,000 | Quarterly | 141,304 | 189,972 | (48,668 | ) | ||||||||||||||||||||||||||
Boeing Co. (The) 8.750%, 08/15/2021 | 12/20/2025 | 1.000% | 3.086% | $ | 1,550,000 | Quarterly | (148,845 | ) | (137,515 | ) | (11,330 | ) | ||||||||||||||||||||||||
Campbell Soup Co. 4.150%, 03/15/2028 | 12/20/2025 | 1.000% | 0.501% | 4,900,000 | Quarterly | 125,739 | 138,467 | (12,728 | ) | |||||||||||||||||||||||||||
Carrefour S.A. 1.250%, 06/03/2025 | 12/20/2025 | 1.000% | 0.658% | EUR | 5,800,000 | Quarterly | 121,009 | 166,316 | (45,307 | ) | ||||||||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. 5.000%, 02/01/2028 | 12/20/2025 | 5.000% | 1.349% | $ | 1,050,000 | Quarterly | 190,007 | 190,041 | (34 | ) | ||||||||||||||||||||||||||
CDX North America HIgh Yield Index Series 34 5.000%, 06/20/2025 | 6/20/2025 | 5.000% | 3.823% | 18,400,000 | Quarterly | 897,884 | (1,266,840 | ) | 2,164,724 | |||||||||||||||||||||||||||
CDX North America HIgh Yield Index Series 35 5.000%, 12/20/2025 | 12/20/2025 | 5.000% | 4.094% | 58,540,000 | Quarterly | 2,398,618 | 2,429,410 | (30,792 | ) | |||||||||||||||||||||||||||
Cie de Saint-Gobain 0.875%, 09/21/2023 | 12/20/2025 | 1.000% | 0.522% | EUR | 1,600,000 | Quarterly | 46,973 | 57,207 | (10,234 | ) | ||||||||||||||||||||||||||
Clariant AG 1.125%, 04/15/2026 | 12/20/2025 | 1.000% | 0.785% | 5,800,000 | Quarterly | 75,688 | 122,412 | (46,724 | ) |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2020 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Sell Protection (Continued) | ||||||||||||||||||||||||||||||||||||
Conagra Brands, Inc. 7.000%, 10/01/2028 | 12/20/2025 | 1.000% | 0.478% | $ | 4,900,000 | Quarterly | $ | 131,577 | $ | 147,808 | $ | (16,231 | ) | |||||||||||||||||||||||
Continental AG 0.375%, 06/27/2025 | 12/20/2025 | 1.000% | 0.903% | EUR | 2,000,000 | Quarterly | 11,670 | 10,875 | 795 | |||||||||||||||||||||||||||
CSC Holdings LLC 10.875%, 10/15/2025 | 12/20/2025 | 5.000% | 1.857% | $ | 1,250,000 | Quarterly | 190,557 | 207,601 | (17,044 | ) | ||||||||||||||||||||||||||
CSC Holdings LLC 5.375%, 02/01/2028 | 12/20/2025 | 5.000% | 1.857% | 600,000 | Quarterly | 91,467 | 90,125 | 1,342 | ||||||||||||||||||||||||||||
Daimler AG 1.400%, 01/12/2024 | 12/20/2025 | 1.000% | 0.746% | EUR | 5,900,000 | Quarterly | 91,131 | 136,432 | (45,301 | ) | ||||||||||||||||||||||||||
Dell, Inc. 7.100%, 04/15/2028 | 12/20/2025 | 1.000% | 2.559% | $ | 4,050,000 | Quarterly | (297,169 | ) | (220,941 | ) | (76,228 | ) | ||||||||||||||||||||||||
Deutsche Bank AG 0.020%, 12/07/2020 | 12/20/2025 | 1.000% | 1.408% | EUR | 6,100,000 | Quarterly | (147,233 | ) | (152,658 | ) | 5,425 | |||||||||||||||||||||||||
DISH DBS Corp. 6.750%, 06/01/2021 | 6/20/2025 | 5.000% | 4.142% | $ | 7,000,000 | Quarterly | 242,728 | (168,616 | ) | 411,344 | ||||||||||||||||||||||||||
Dow Chemical Co. (The) 7.375%, 11/01/2029 | 12/20/2025 | 1.000% | 0.751% | 2,150,000 | Quarterly | 27,191 | 23,165 | 4,026 | ||||||||||||||||||||||||||||
DR Horton, Inc. 4.750%, 02/15/2023 | 12/20/2025 | 1.000% | 0.386% | 6,250,000 | Quarterly | 198,323 | 224,229 | (25,906 | ) | |||||||||||||||||||||||||||
Enel SpA 5.250%, 05/20/2024 | 12/20/2025 | 1.000% | 0.666% | EUR | 5,800,000 | Quarterly | 118,134 | 137,076 | (18,942 | ) | ||||||||||||||||||||||||||
Expedia Group, Inc. 4.500%, 08/15/2024 | 12/20/2025 | 1.000% | 2.253% | $ | 7,400,000 | Quarterly | (442,146 | ) | (348,601 | ) | (93,545 | ) | ||||||||||||||||||||||||
Experian Finance Plc 3.500%, 10/15/2021 | 12/20/2025 | 1.000% | 0.242% | EUR | 5,300,000 | Quarterly | 249,786 | 268,622 | (18,836 | ) | ||||||||||||||||||||||||||
Fiat Chrysler Automobiles N.V. 5.250%, 04/15/2023 | 12/20/2025 | 5.000% | 1.838% | 3,650,000 | Quarterly | 669,636 | 673,328 | (3,692 | ) | |||||||||||||||||||||||||||
Freeport-McMoRan, Inc. 3.550%, 03/01/2022 | 12/20/2025 | 1.000% | 1.632% | $ | 6,750,000 | Quarterly | (208,806 | ) | (94,664 | ) | (114,142 | ) | ||||||||||||||||||||||||
General Motors Co. 4.875%, 10/02/2023 | 12/20/2025 | 5.000% | 1.509% | 3,600,000 | Quarterly | 618,510 | 649,829 | (31,319 | ) | |||||||||||||||||||||||||||
Glencore Finance Europe Ltd 1.875%, 09/13/2023 | 12/20/2025 | 5.000% | 1.772% | EUR | 4,300,000 | Quarterly | 807,732 | 822,967 | (15,235 | ) | ||||||||||||||||||||||||||
Goldman Sachs Group, Inc. (The) 2.908%, 06/05/2023 | 12/20/2025 | 1.000% | 0.679% | $ | 6,850,000 | Quarterly | 112,104 | 127,354 | (15,250 | ) | ||||||||||||||||||||||||||
Halliburton Co. 8.750%, 02/15/2021 | 12/20/2025 | 1.000% | 1.376% | 2,850,000 | Quarterly | (53,088 | ) | (3,616 | ) | (49,472 | ) | |||||||||||||||||||||||||
Halliburton Co. 2.920%, 03/01/2030 | 12/20/2025 | 1.000% | 1.376% | 4,100,000 | Quarterly | (76,372 | ) | (30,857 | ) | (45,515 | ) | |||||||||||||||||||||||||
Hess Corp. 3.500%, 07/15/2024 | 12/20/2025 | 1.000% | 1.968% | 6,000,000 | Quarterly | (280,186 | ) | (203,420 | ) | (76,766 | ) | |||||||||||||||||||||||||
Howmet Aerospace, Inc. 5.125%, 10/01/2024 | 12/20/2025 | 1.000% | 2.595% | 5,000,000 | Quarterly | (374,832 | ) | (276,995 | ) | (97,837 | ) | |||||||||||||||||||||||||
Iberdrola International B.V. 2.875%, 11/11/2020 | 12/20/2025 | 1.000% | 0.394% | EUR | 1,500,000 | Quarterly | 56,206 | 59,815 | (3,609 | ) | ||||||||||||||||||||||||||
International Paper Co. 3.000%, 02/15/2027 | 12/20/2025 | 1.000% | 0.426% | $ | 4,200,000 | Quarterly | 124,464 | 127,938 | (3,474 | ) | ||||||||||||||||||||||||||
Intesa Sanpaolo SpA 1.750%, 03/20/2028 | 12/20/2025 | 1.000% | 0.894% | EUR | 900,000 | Quarterly | 5,744 | 13,371 | (7,627 | ) | ||||||||||||||||||||||||||
Koninklijke KPN N.V. 5.625%, 09/30/2024 | 12/20/2025 | 1.000% | 0.665% | 5,900,000 | Quarterly | 120,691 | 142,221 | (21,530 | )�� |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2020 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Sell Protection (Continued) | ||||||||||||||||||||||||||||||||||||
Kraft Heinz Foods Co. 6.375%, 07/15/2028 | 12/20/2025 | 1.000% | 1.125% | $ | 5,900,000 | Quarterly | $ | (36,940 | ) | $ | 17,969 | $ | (54,909 | ) | ||||||||||||||||||||||
L Brands, Inc. 5.625%, 10/15/2023 | 12/20/2025 | 1.000% | 3.873% | 6,100,000 | Quarterly | (780,666 | ) | (743,375 | ) | (37,291 | ) | |||||||||||||||||||||||||
LafargeHolcim Ltd 3.000%, 11/22/2022 | 12/20/2025 | 1.000% | 0.779% | EUR | 5,850,000 | Quarterly | 78,645 | 121,624 | (42,979 | ) | ||||||||||||||||||||||||||
LANXESS AG 0.250%, 10/07/2021 | 12/20/2025 | 1.000% | 0.625% | 1,850,000 | Quarterly | 42,398 | 37,050 | 5,348 | ||||||||||||||||||||||||||||
Lennar Corp. 4.750%, 04/01/2021 | 12/20/2025 | 5.000% | 1.031% | $ | 5,850,000 | Quarterly | 1,166,748 | 1,201,222 | (34,474 | ) | ||||||||||||||||||||||||||
Marriott International, Inc. 2.300%, 01/15/2022 | 12/20/2025 | 1.000% | 1.660% | 5,100,000 | Quarterly | (164,588 | ) | (96,267 | ) | (68,321 | ) | |||||||||||||||||||||||||
MBIA, Inc. 6.625%, 10/01/2028 | 12/20/2025 | 5.000% | 6.675% | 6,900,000 | Quarterly | (459,337 | ) | 188,249 | (647,586 | ) | ||||||||||||||||||||||||||
McDonald’s Corp. 3.500%, 07/01/2027 | 12/20/2025 | 1.000% | 0.276% | 4,350,000 | Quarterly | 163,583 | 176,581 | (12,998 | ) | |||||||||||||||||||||||||||
MDC Holdings, Inc. 5.500%, 01/15/2024 | 12/20/2025 | 1.000% | 0.908% | 1,750,000 | Quarterly | 8,184 | 17,883 | (9,699 | ) | |||||||||||||||||||||||||||
Meritor, Inc. 6.250%, 02/15/2024 | 12/20/2025 | 5.000% | 2.439% | 4,950,000 | Quarterly | 599,840 | 712,786 | (112,946 | ) | |||||||||||||||||||||||||||
MGM Resorts International 5.750%, 06/15/2025 | 12/20/2025 | 5.000% | 3.213% | 1,000,000 | Quarterly | 81,854 | 81,065 | 789 | ||||||||||||||||||||||||||||
Michelin Luxembourg SCS 1.125%, 05/28/2022 | 12/20/2025 | 1.000% | 0.392% | EUR | 4,200,000 | Quarterly | 157,710 | 182,757 | (25,047 | ) | ||||||||||||||||||||||||||
Mondelez International, Inc. 4.000%, 02/01/2024 | 12/20/2025 | 1.000% | 0.390% | $ | 1,850,000 | Quarterly | 58,286 | 62,477 | (4,191 | ) | ||||||||||||||||||||||||||
Motorola Solutions, Inc. 7.500%, 05/15/2025 | 12/20/2025 | 1.000% | 0.428% | 5,100,000 | Quarterly | 150,425 | 169,976 | (19,551 | ) | |||||||||||||||||||||||||||
Newell Brands, Inc. 4.350%, 04/01/2023 | 12/20/2025 | 1.000% | 1.491% | 3,100,000 | Quarterly | (74,953 | ) | (60,079 | ) | (14,874 | ) | |||||||||||||||||||||||||
Next Group Plc 5.375%, 10/26/2021 | 12/20/2025 | 1.000% | 1.493% | EUR | 6,000,000 | Quarterly | (174,113 | ) | (133,571 | ) | (40,542 | ) | ||||||||||||||||||||||||
Ovintiv, Inc. 3.900%, 11/15/2021 | 12/20/2025 | 1.000% | 4.981% | $ | 4,950,000 | Quarterly | (838,609 | ) | (544,500 | ) | (294,109 | ) | ||||||||||||||||||||||||
Peugeot S.A. 2.375%, 04/14/2023 | 12/20/2025 | 5.000% | 1.577% | EUR | 5,050,000 | Quarterly | 1,014,514 | 1,040,834 | (26,320 | ) | ||||||||||||||||||||||||||
PulteGroup, Inc. 7.875%, 06/15/2032 | 12/20/2025 | 5.000% | 0.900% | $ | 950,000 | Quarterly | 196,836 | 198,696 | (1,860 | ) | ||||||||||||||||||||||||||
Realogy Group LLC / Realogy Co-Issuer Corp. 4.875%, 06/01/2023 | 12/20/2025 | 5.000% | 5.283% | 300,000 | Quarterly | (3,569 | ) | 3,906 | (7,475 | ) | ||||||||||||||||||||||||||
Rentokil Initial Plc 3.250%, 10/07/2021 | 12/20/2025 | 1.000% | 0.596% | EUR | 950,000 | Quarterly | 23,534 | 23,229 | 305 | |||||||||||||||||||||||||||
Royal Caribbean Cruises Ltd 5.250%, 11/15/2022 | 12/20/2025 | 5.000% | 11.534% | $ | 550,000 | Quarterly | (118,704 | ) | (132,000 | ) | 13,296 | |||||||||||||||||||||||||
Sherwin-Williams Co. (The) 7.375%, 02/01/2027 | 12/20/2025 | 1.000% | 0.458% | 6,800,000 | Quarterly | 189,880 | 223,158 | (33,278 | ) | |||||||||||||||||||||||||||
Southwest Airlines Co. 2.650%, 11/05/2020 | 12/20/2025 | 1.000% | 1.560% | 4,600,000 | Quarterly | (126,507 | ) | (121,423 | ) | (5,084 | ) | |||||||||||||||||||||||||
Stora Enso Oyj 2.125%, 06/16/2023 | 12/20/2025 | 5.000% | 0.819% | EUR | 4,800,000 | Quarterly | 1,217,409 | 1,301,879 | (84,470 | ) |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2020 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Sell Protection (Continued) | ||||||||||||||||||||||||||||||||||||
Sudzucker International Finance B.V. 1.250%, 11/29/2023 | 12/20/2025 | 1.000% | 0.807% | EUR | 5,900,000 | Quarterly | $ | 68,994 | $ | 69,243 | $ | (249 | ) | |||||||||||||||||||||||
Teck Resources Ltd 6.125%, 10/01/2035 | 12/20/2025 | 5.000% | 1.179% | $ | 1,900,000 | Quarterly | 362,497 | 364,584 | (2,087 | ) | ||||||||||||||||||||||||||
Telecom Italia SpA 3.625%, 01/19/2024 | 12/20/2025 | 1.000% | 1.883% | EUR | 6,650,000 | Quarterly | (339,957 | ) | (272,594 | ) | (67,363 | ) | ||||||||||||||||||||||||
Telefonaktiebolaget LM Ericsson 4.125%, 05/15/2022 | 12/20/2025 | 1.000% | 0.780% | 5,900,000 | Quarterly | 78,993 | 134,978 | (55,985 | ) | |||||||||||||||||||||||||||
Tesco Plc 6.125%, 02/24/2022 | 12/20/2025 | 1.000% | 0.772% | 5,800,000 | Quarterly | 80,541 | 115,305 | (34,764 | ) | |||||||||||||||||||||||||||
Teva Pharmaceutical Finance Co. B.V. 3.650%, 11/10/2021 | 6/20/2025 | 1.000% | 4.836% | $ | 5,450,000 | Quarterly | (825,600 | ) | (763,000 | ) | (62,600 | ) | ||||||||||||||||||||||||
Toll Brothers Finance Corp. 4.375%, 04/15/2023 | 12/20/2025 | 1.000% | 1.234% | 4,500,000 | Quarterly | (52,379 | ) | (17,093 | ) | (35,286 | ) | |||||||||||||||||||||||||
UBS Group AG 3.491%, 05/23/2023 | 12/20/2025 | 1.000% | 0.486% | EUR | 2,550,000 | Quarterly | 80,654 | 78,053 | 2,601 | |||||||||||||||||||||||||||
United Rentals North America, Inc. 4.875%, 01/15/2028 | 12/20/2025 | 5.000% | 1.192% | $ | 1,000,000 | Quarterly | 190,038 | 208,186 | (18,148 | ) | ||||||||||||||||||||||||||
United States Steel Corp. 6.650%, 06/01/2037 | 12/20/2025 | 5.000% | 13.632% | 3,150,000 | Quarterly | (832,702 | ) | (740,250 | ) | (92,452 | ) | |||||||||||||||||||||||||
Valeo S.A. 3.250%, 01/22/2024 | 12/20/2025 | 1.000% | 1.766% | EUR | 6,150,000 | Quarterly | (274,294 | ) | (191,814 | ) | (82,480 | ) | ||||||||||||||||||||||||
Verizon Communications, Inc. 4.125%, 03/16/2027 | 12/20/2025 | 1.000% | 0.569% | $ | 6,900,000 | Quarterly | 152,507 | 164,321 | (11,814 | ) | ||||||||||||||||||||||||||
Vivendi S.A. 0.750%, 05/26/2021 | 12/20/2025 | 1.000% | 0.464% | EUR | 4,150,000 | Quarterly | 137,128 | 142,729 | (5,601 | ) | ||||||||||||||||||||||||||
Volkswagen International Finance N.V. 0.500%, 03/30/2021 | 12/20/2025 | 1.000% | 1.042% | 5,900,000 | Quarterly | (14,994 | ) | 27,154 | (42,148 | ) | ||||||||||||||||||||||||||
Volvo Treasury AB 0.046%, 02/08/2021 | 12/20/2025 | 1.000% | 0.486% | 1,950,000 | Quarterly | 61,681 | 68,780 | (7,099 | ) | |||||||||||||||||||||||||||
Williams Cos., Inc. (The) 4.550%, 06/24/2024 | 12/20/2025 | 1.000% | 0.936% | $ | 2,800,000 | Quarterly | 9,079 | 32,746 | (23,667 | ) | ||||||||||||||||||||||||||
Yum! Brands, Inc. 3.875%, 11/01/2020 | 12/20/2025 | 1.000% | 1.197% | 3,000,000 | Quarterly | (29,426 | ) | 15,277 | (44,703 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Sell Protection |
| $ | 9,545,668 | $ | 10,647,694 | $ | (1,102,026 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | 7,683,969 | $ | 16,295,486 | $ | (8,611,517 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. |
(2) | For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. |
(3) | For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America High Yield Index Series 34, and CDX North America High Yield Index Series 35. |
(4) | Notional amounts are denominated in foreign currency where indicated. |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2020 (Unaudited)(Continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Description | Maturity Date | Counterparty | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2020 | Notional Amount(1) | Periodic | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | |||||||||||||||||||||||||||
Buy Protection |
| |||||||||||||||||||||||||||||||||||
Mexico Government International Bond 4.150%, 03/28/2027 | 12/20/2025 | Barclays Bank Plc | (1.000% | ) | 1.499% | $ | (5,710,000 | ) | Quarterly | $ | 142,725 | $ | 89,916 | $ | 52,809 | |||||||||||||||||||||
Hapag-Lloyd AG 5.125%, 07/15/2024 | 12/20/2025 | JPMorgan Chase Bank N.A. | (5.000% | ) | 3.939% | EUR | (350,000 | ) | Quarterly | (19,715 | ) | (18,529 | ) | (1,186 | ) | |||||||||||||||||||||
China Government International Bond 7.500%, 10/28/2027 | 12/20/2025 | Morgan Stanley & Co. | (1.000% | ) | 0.498% | $ | (5,600,000 | ) | Quarterly | (145,932 | ) | (168,741 | ) | 22,809 | ||||||||||||||||||||||
Enel SpA 5.250%, 05/20/2024 | 12/20/2023 | Morgan Stanley & Co. | (1.000% | ) | 0.397% | EUR | (1,660,000 | ) | Quarterly | (38,390 | ) | 11,424 | (49,814 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Buy Protection |
| $ | (61,312 | ) | $ | (85,930 | ) | $ | 24,618 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Sell Protection |
| |||||||||||||||||||||||||||||||||||
ADLER Real Estate AG 1.500%, 12/06/2021 | 12/20/2025 | JPMorgan Chase Bank N.A. | 5.000% | 3.151% | EUR | 3,300,000 | Quarterly | $ | 334,787 | $ | 496,423 | $ | (161,636 | ) | ||||||||||||||||||||||
Altice Finco S.A. 4.750%, 01/15/2028 | 12/20/2025 | JPMorgan Chase Bank N.A. | 5.000% | 4.679% | 5,500,000 | Quarterly | 90,983 | 250,055 | (159,072 | ) | ||||||||||||||||||||||||||
Crown European Holdings S.A. 3.375%, 05/15/2025 | 12/20/2025 | JPMorgan Chase Bank N.A. | 5.000% | 1.505% | 550,000 | Quarterly | 113,165 | 112,660 | 505 | |||||||||||||||||||||||||||
EDP Finance B.V. 1.875%, 09/29/2023 | 12/20/2025 | JPMorgan Chase Bank N.A. | 1.000% | 0.599% | 5,850,000 | Quarterly | 143,681 | 169,464 | (25,783 | ) | ||||||||||||||||||||||||||
Intrum AB 3.125%, 07/15/2024 | 12/20/2025 | JPMorgan Chase Bank N.A. | 5.000% | 4.958% | 1,950,000 | Quarterly | 4,149 | 72,570 | (68,421 | ) | ||||||||||||||||||||||||||
Netflix, Inc. 4.875%, 06/15/2030 | 12/20/2025 | JPMorgan Chase Bank N.A. | 5.000% | 1.292% | $ | 5,800,000 | Quarterly | 1,068,648 | 1,138,257 | (69,609 | ) | |||||||||||||||||||||||||
Premier Foods Finance Plc 5.082%, 07/15/2022 | 12/20/2025 | JPMorgan Chase Bank N.A. | 5.000% | 1.857% | EUR | 2,100,000 | Quarterly | 382,687 | 459,625 | (76,938 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Sell Protection |
| $ | 2,138,100 | $ | 2,699,054 | $ | (560,954 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | 2,076,788 | $ | 2,613,124 | $ | (536,336 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | Notional amounts are denominated in foreign currency where indicated. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Referenced Obligation | Maturity Date | Counterparty | Fund Floating | Floating Rate Index and Spread | Notional Amount | Periodic | Fair Value | Upfront Premiums Paid (Received) | Unrealized Apreciation | |||||||||||||||||||
Morgan Stanley USD | 4/30/2021 | Goldman Sachs & Co. | Receives | 1 Month USD LIBOR - 0.400% | $ | 18,465,639 | Monthly | $ | — | $ | — | $ | — | |||||||||||||||
iBoxx USD Liquid High Yield Index USD | 12/21/2020 | JPMorgan Chase Bank N.A. | Receives | 3 Month USD LIBOR + 0.000% | 140,000,001 | Quarterly | 1,132,895 | — | 1,132,895 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2020 (Unaudited)(Continued)
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (Continued)
Referenced Obligation | Maturity Date | Counterparty | Fund Floating | Floating Rate Index and Spread | Notional Amount | Periodic | Fair Value | Upfront Premiums Paid (Received) | Unrealized Apreciation | |||||||||||||||||||
Analog Devices, Inc. USD | 8/31/2021 | Morgan Stanley & Co. | Receives | FEDL01-0.400% | $ | 1,543,887 | Monthly | $ | — | $ | — | $ | — | |||||||||||||||
AON Plc USD | 3/31/2021 | Morgan Stanley & Co. | Receives | FEDL01- 0.400% | 8,108,003 | Monthly | — | — | — | |||||||||||||||||||
Chevron Corp. USD | 7/31/2021 | Morgan Stanley & Co. | Receives | FEDL01- 0.400% | 7,178,616 | Monthly | — | — | — | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 1,132,895 | $ | — | $ | 1,132,895 | ||||||||||||||||||||||
|
|
|
|
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF WRITTEN OPTIONS at September 30, 2020 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
COMMON STOCKS |
| |||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||
Abbvie, Inc. | Morgan Stanley & Co. | $ | 100.00 | 10/16/2020 | (2) | $ | (17,518 | ) | $ | (8 | ) | $ | (207 | ) | $ | 199 | ||||||||||||
Accenture Plc | Morgan Stanley & Co. | 250.00 | 10/16/2020 | (1) | (22,599 | ) | (10 | ) | (282 | ) | 272 | |||||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley & Co. | 90.00 | 10/16/2020 | (2) | (16,190 | ) | (40 | ) | (341 | ) | 301 | |||||||||||||||||
Aflac, Inc. | Morgan Stanley & Co. | 40.00 | 10/16/2020 | (1) | (3,635 | ) | (8 | ) | (49 | ) | 41 | |||||||||||||||||
Allstate Corp. (The) | Morgan Stanley & Co. | 100.00 | 10/16/2020 | (3) | (28,242 | ) | (81 | ) | (331 | ) | 250 | |||||||||||||||||
Altria Group, Inc. | Morgan Stanley & Co. | 45.00 | 10/16/2020 | (4) | (15,456 | ) | (16 | ) | (255 | ) | 239 | |||||||||||||||||
American Tower Corp. | Morgan Stanley & Co. | 260.00 | 10/16/2020 | (1) | (24,173 | ) | (50 | ) | (407 | ) | 357 | |||||||||||||||||
Amgen, Inc. | Morgan Stanley & Co. | 245.00 | 10/16/2020 | (1) | (25,416 | ) | (1,092 | ) | (1,112 | ) | 20 | |||||||||||||||||
Anthem, Inc. | Morgan Stanley & Co. | 300.00 | 10/16/2020 | (1) | (26,859 | ) | (20 | ) | (287 | ) | 267 | |||||||||||||||||
Applied Materials, Inc. | Morgan Stanley & Co. | 70.00 | 10/16/2020 | (4) | (23,780 | ) | (20 | ) | (463 | ) | 443 | |||||||||||||||||
AT&T, Inc. | Morgan Stanley & Co. | 31.00 | 10/16/2020 | (8) | (22,808 | ) | (24 | ) | (278 | ) | 254 | |||||||||||||||||
Best Buy Co., Inc. | Morgan Stanley & Co. | 130.00 | 10/16/2020 | (3) | (33,387 | ) | (27 | ) | (317 | ) | 290 | |||||||||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley & Co. | 65.00 | 10/16/2020 | (4) | (24,116 | ) | (40 | ) | (375 | ) | 335 | |||||||||||||||||
Chevron Corp. | Morgan Stanley & Co. | 97.50 | 10/16/2020 | (4) | (28,800 | ) | (8 | ) | (267 | ) | 259 | |||||||||||||||||
Cigna Corp. | Morgan Stanley & Co. | 190.00 | 10/16/2020 | (1) | (16,941 | ) | (32 | ) | (327 | ) | 295 | |||||||||||||||||
Citigroup, Inc. | Morgan Stanley & Co. | 55.00 | 10/16/2020 | (3) | (12,933 | ) | (12 | ) | (407 | ) | 395 | |||||||||||||||||
Comcast Corp. | Morgan Stanley & Co. | 45.00 | 10/16/2020 | (7) | (32,382 | ) | (924 | ) | (492 | ) | (432 | ) | ||||||||||||||||
CSX Corp. | Morgan Stanley & Co. | 77.50 | 10/16/2020 | (3) | (23,301 | ) | (603 | ) | (458 | ) | (145 | ) | ||||||||||||||||
DR Horton, Inc. | Morgan Stanley & Co. | 82.50 | 10/16/2020 | (3) | (22,689 | ) | (132 | ) | (428 | ) | 296 | |||||||||||||||||
Ebay, Inc. | Morgan Stanley & Co. | 65.00 | 10/16/2020 | (5) | (26,050 | ) | (25 | ) | (414 | ) | 389 | |||||||||||||||||
Eli Lilly & Co. | Morgan Stanley & Co. | 160.00 | 10/16/2020 | (1) | (14,802 | ) | (30 | ) | (222 | ) | 192 | |||||||||||||||||
Enterprise Products Partners L.P. | Morgan Stanley & Co. | 20.00 | 10/16/2020 | (16) | (25,264 | ) | (56 | ) | (235 | ) | 179 | |||||||||||||||||
Fidelity National Information | Morgan Stanley & Co. | 150.00 | 10/16/2020 | (2) | (29,442 | ) | (450 | ) | (453 | ) | 3 | |||||||||||||||||
Fox Corp. | Morgan Stanley & Co. | 30.00 | 10/16/2020 | (1) | (2,783 | ) | (21 | ) | (34 | ) | 13 | |||||||||||||||||
HP, Inc. | Morgan Stanley & Co. | 20.00 | 10/16/2020 | (10) | (18,990 | ) | (210 | ) | (577 | ) | 367 | |||||||||||||||||
Johnson & Johnson | Morgan Stanley & Co. | 160.00 | 10/16/2020 | (1) | (14,888 | ) | (22 | ) | (131 | ) | 109 | |||||||||||||||||
Kimberly-Clark Corp. | Morgan Stanley & Co. | 165.00 | 10/16/2020 | (2) | (29,532 | ) | (20 | ) | (225 | ) | 205 | |||||||||||||||||
Kroger Co. (The) | Morgan Stanley & Co. | 39.00 | 10/16/2020 | (8) | (27,128 | ) | (16 | ) | (414 | ) | 398 | |||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley & Co. | 175.00 | 10/16/2020 | (1) | (16,586 | ) | (105 | ) | (297 | ) | 192 | |||||||||||||||||
Merck & Co., Inc. | Morgan Stanley & Co. | 90.00 | 10/16/2020 | (3) | (24,885 | ) | (18 | ) | (260 | ) | 242 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF WRITTEN OPTIONS at September 30, 2020 (Unaudited) (Continued)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Metlife, Inc. | Morgan Stanley & Co. | $ | 42.50 | 10/16/2020 | (7 | ) | $ | (26,019 | ) | $ | (28 | ) | $ | (322 | ) | $ | 294 | |||||||||||||
Microsoft Corp. | Morgan Stanley & Co. | 230.00 | 10/16/2020 | (1 | ) | (21,033 | ) | (42 | ) | (427 | ) | 385 | ||||||||||||||||||
Newmont Corp. | Morgan Stanley & Co. | 75.00 | 10/16/2020 | (3 | ) | (19,035 | ) | (30 | ) | (235 | ) | 205 | ||||||||||||||||||
Nexstar Media Group, Inc. | Morgan Stanley & Co. | 105.00 | 10/16/2020 | (2 | ) | (17,986 | ) | (30 | ) | (336 | ) | 306 | ||||||||||||||||||
Nortonlifelock, Inc. | Morgan Stanley & Co. | 25.00 | 10/16/2020 | (10 | ) | (20,840 | ) | (40 | ) | (627 | ) | 587 | ||||||||||||||||||
Oracle Corp. | Morgan Stanley & Co. | 60.00 | 10/16/2020 | (4 | ) | (23,880 | ) | (460 | ) | (381 | ) | (79 | ) | |||||||||||||||||
Philip Morris International, Inc. | Morgan Stanley & Co. | 82.50 | 10/16/2020 | (3 | ) | (22,497 | ) | (15 | ) | (284 | ) | 269 | ||||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley & Co. | 145.00 | 10/16/2020 | (3 | ) | (41,697 | ) | (120 | ) | (314 | ) | 194 | ||||||||||||||||||
Progressive Corp. (The) | Morgan Stanley & Co. | 95.00 | 10/16/2020 | (3 | ) | (28,401 | ) | (645 | ) | (650 | ) | 5 | ||||||||||||||||||
Pultegroup, Inc. | Morgan Stanley & Co. | 50.00 | 10/16/2020 | (5 | ) | (23,145 | ) | (210 | ) | (714 | ) | 504 | ||||||||||||||||||
Qualcomm, Inc. | Morgan Stanley & Co. | 125.00 | 10/16/2020 | (2 | ) | (23,536 | ) | (200 | ) | (477 | ) | 277 | ||||||||||||||||||
Texas Instruments, Inc. | Morgan Stanley & Co. | 150.00 | 10/16/2020 | (1 | ) | (14,279 | ) | (106 | ) | (215 | ) | 109 | ||||||||||||||||||
Truist Financial Corp. | Morgan Stanley & Co. | 42.50 | 10/16/2020 | (6 | ) | (22,830 | ) | (60 | ) | (461 | ) | 401 | ||||||||||||||||||
Union Pacific Corp. | Morgan Stanley & Co. | 200.00 | 10/16/2020 | (1 | ) | (19,687 | ) | (295 | ) | (403 | ) | 108 | ||||||||||||||||||
United Parcel Service, Inc. | Morgan Stanley & Co. | 170.00 | 10/16/2020 | (1 | ) | (16,663 | ) | (270 | ) | (225 | ) | (45 | ) | |||||||||||||||||
Walmart, Inc. | Morgan Stanley & Co. | 140.00 | 10/16/2020 | (2 | ) | (27,982 | ) | (546 | ) | (241 | ) | (305 | ) | |||||||||||||||||
Williams Cos., Inc. (The) | Morgan Stanley & Co. | 23.00 | 10/16/2020 | (9 | ) | (17,685 | ) | (54 | ) | (229 | ) | 175 | ||||||||||||||||||
Yum! Brands, Inc. | Morgan Stanley & Co. | 100.00 | 10/16/2020 | (1 | ) | (9,130 | ) | (10 | ) | (178 | ) | 168 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Written Options | $ | (7,281 | ) | $ | (17,064 | ) | $ | 9,783 | ||||||||||||||||||||||
|
|
|
|
|
|
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 11.5% | ||||||||
Consumer Staples: 0.0% | ||||||||
648 | Moran Foods LLC | $ | 0 | |||||
|
| |||||||
Energy: 1.6% | ||||||||
36,777 | Energy Transfer L.P. | 199,331 | ||||||
20,187 | Enterprise Products Partners L.P. | 318,753 | ||||||
21,165 | Kinder Morgan, Inc. | 260,964 | ||||||
9,000 | ONEOK, Inc. | 233,820 | ||||||
16,443 | Williams Cos., Inc. (The) | 323,105 | ||||||
|
| |||||||
1,335,973 | ||||||||
|
| |||||||
Financials: 9.9% | ||||||||
63,699 | Ares Capital Corp. | 888,601 | ||||||
83,175 | Barings BDC, Inc. | 665,400 | ||||||
61,733 | BlackRock Capital Investment Corp. | 150,628 | ||||||
40,873 | Capital Southwest Corp. | 574,266 | ||||||
7,534 | Ellington Financial, Inc. | 92,367 | ||||||
34,645 | FS KKR Capital Corp. II | 509,628 | ||||||
69,820 | Golub Capital BDC, Inc. | 924,417 | ||||||
19,267 | Granite Point Mortgage Trust, Inc. | 136,603 | ||||||
31,085 | New Residential Investment Corp. | 247,126 | ||||||
133,156 | Oaktree Specialty Lending Corp. | 644,475 | ||||||
79,611 | Oaktree Strategic Income Corp. | 518,268 | ||||||
27,442 | Ready Capital Corp. | 307,350 | ||||||
10,312 | Saratoga Investment Corp. | 173,138 | ||||||
43,347 | Solar Capital Ltd. | 687,050 | ||||||
8,800 | Starwood Property Trust, Inc. | 132,792 | ||||||
25,016 | Stellus Capital Investment Corp. | 217,639 | ||||||
22,113 | TPG RE Finance Trust, Inc. | 187,076 | ||||||
50,789 | TriplePoint Venture Growth BDC Corp. - Class B | 560,711 | ||||||
54,892 | WhiteHorse Finance, Inc. | 537,393 | ||||||
|
| |||||||
8,154,928 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 9,490,901 | ||||||
|
| |||||||
PREFERRED STOCKS: 1.2% | ||||||||
Financials: 0.9% | ||||||||
American Financial Group, Inc. |
| |||||||
2,000 | 4.500%, 09/15/2060 | 54,460 | ||||||
Federal Agricultural Mortgage Corp. |
| |||||||
2,000 | 5.750%, 07/17/2025(a) | 54,120 | ||||||
First Republic Bank |
| |||||||
2,400 | 4.125%, 10/30/2025(a) | 60,960 | ||||||
Investcorp Credit Management BDC, Inc. |
| |||||||
2,277 | 6.125%, 07/01/2023 | 50,094 | ||||||
Prudential Financial, Inc. |
| |||||||
4,400 | 4.125%, 09/01/2060 | 111,980 | ||||||
Trinity Capital, Inc. |
| |||||||
17,000 | 7.000%, 01/16/2025(b) | 405,875 | ||||||
W R Berkley Corp. |
| |||||||
1,600 | 4.250%, 09/30/2060 | 41,680 | ||||||
|
| |||||||
779,169 | ||||||||
|
|
Shares | Value | |||||||
Real Estate: 0.3% | ||||||||
Public Storage |
| |||||||
6,000 | 4.625%, 06/17/2025(a) | $ | 161,520 | |||||
Public Storage |
| |||||||
2,400 | 4.125%, 08/14/2025(a) | 62,232 | ||||||
|
| |||||||
223,752 | ||||||||
|
| |||||||
| TOTAL PREFERRED STOCKS | 1,002,921 | ||||||
|
| |||||||
CLOSED-END FUNDS: 0.6% | ||||||||
2,859 | Ares Dynamic Credit Allocation Fund, Inc. | 36,252 | ||||||
16,320 | BlackRock Corporate High Yield Fund, Inc. | 174,298 | ||||||
5,273 | BlackRock Credit Allocation Income Trust | 74,982 | ||||||
2,224 | BlackRock Debt Strategies Fund, Inc. | 22,107 | ||||||
5,733 | Blackstone / GSO Strategic Credit Fund | 70,057 | ||||||
4,482 | Eaton Vance Ltd. Duration Income Fund | 50,691 | ||||||
3,370 | Guggenheim Strategic Opportunities Fund | 59,312 | ||||||
2,302 | Western Asset High Income Opportunity Fund, Inc. | 11,280 | ||||||
|
| |||||||
| TOTAL CLOSED-END FUNDS | 498,979 | ||||||
|
| |||||||
EXCHANGE-TRADED FUND: 0.3% | ||||||||
1,700 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 229,007 | ||||||
|
| |||||||
| TOTAL EXCHANGE-TRADED FUND | 229,007 | ||||||
|
| |||||||
Principal | ||||||||
ASSET-BACKED SECURITIES: 20.5% | ||||||||
AASET Trust |
| |||||||
$241,088 | Series 2019-2-B 4.458%, 10/16/2039(b) | 183,321 | ||||||
244,877 | Series 2020-1A-B 4.335%, 01/16/2040(b) | 177,025 | ||||||
AASET US Ltd. |
| |||||||
217,386 | Series 2018-2A-A 4.454%, 11/18/2038(b) | 203,271 | ||||||
Adams Outdoor Advertising L.P. |
| |||||||
385,935 | Series 2018-1-A 4.810%, 11/15/2048(b) | 402,256 | ||||||
AIM Aviation Finance Ltd. |
| |||||||
157,571 | Series 2015-1A-A1 4.213%, 02/15/2040(b)(c) | 134,085 | ||||||
Atlas Senior Loan Fund Ltd. |
| |||||||
350,000 | Series 2018-9A-C 2.072%, 04/20/2028(b)(d) 3 mo. USD LIBOR + 1.800% | 331,537 | ||||||
CARS-DB4 L.P. |
| |||||||
220,000 | Series 2020-1A-B1 4.170%, 02/15/2050(b) | 226,821 | ||||||
100,000 | Series 2020-1A-B3 4.950%, 02/15/2050(b) | 103,451 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Castlelake Aircraft Securitization Trust |
| |||||||
$196,396 | Series 2018-1-A 4.125%, 06/15/2043(b) | $ | 186,295 | |||||
CFG Investments Ltd. |
| |||||||
400,000 | Series 2019-1-B 7.620%, 08/15/2029(b) | 394,360 | ||||||
Drug Royalty III L.P. |
| |||||||
334,810 | Series 2018-1A-A1 1.875%, 10/15/2031(b)(d) 3 mo. USD LIBOR + 1.600% | 329,897 | ||||||
Dryden 86 CLO Ltd. |
| |||||||
280,000 | Series 2020-86A-D 4.484%, 07/17/2030(b)(d) 3 mo. USD LIBOR + 4.250% | 281,049 | ||||||
Elm Trust |
| |||||||
300,000 | Series 2018-2A-A2 4.605%, 10/20/2027(b) | 300,104 | ||||||
100,000 | Series 2018-2A-B 5.584%, 10/20/2027(b) | 99,541 | ||||||
Falcon Aerospace Ltd. |
| |||||||
349,685 | Series 2017-1-B 6.300%, 02/15/2042(b) | 267,114 | ||||||
Firstkey Revolving Trust |
| |||||||
245,205 | 5.470%, 07/31/2023 | 247,412 | ||||||
FREED ABS Trust |
| |||||||
400,000 | Series 2018-2-B 4.610%, 10/20/2025(b) | 401,426 | ||||||
GAIA Aviation Ltd. |
| |||||||
184,472 | Series 2019-1-A 3.967%, 12/15/2044(b)(c) | 164,212 | ||||||
Global SC Finance II SRL |
| |||||||
230,000 | Series 2014-1A-A1 3.190%, 07/17/2029(b) | 234,083 | ||||||
GoldentTree Loan Management US CLO 1 Ltd. |
| |||||||
250,000 | Series 2017-1A-CR 2.122%, 04/20/2029(b)(d) 3 mo. USD LIBOR + 1.850% | 248,513 | ||||||
GSAMP Trust |
| |||||||
272,626 | Series 2007-NC1-A1 0.278%, 12/25/2046(d) 1 mo. USD LIBOR + 0.130% | 178,358 | ||||||
Hercules Capital Funding Trust |
| |||||||
400,000 | Series 2018-1A-A 4.605%, 11/22/2027(b) | 404,019 | ||||||
100,000 | Series 2019-1A-A 4.703%, 02/20/2028(b) | 101,045 | ||||||
Highbridge Loan Management Ltd. |
| |||||||
500,000 | Series 7A-2015-BR 1.460%, 03/15/2027(b)(d) 3 mo. USD LIBOR + 1.180% | 491,800 | ||||||
Hull Street CLO Ltd. |
| |||||||
300,000 | Series 2014-1A-CR 2.972%, 10/18/2026(b)(d) 3 mo. USD LIBOR + 2.700% | 293,206 | ||||||
InSite Issuer LLC |
| |||||||
480,000 | Series 2018-1A-C 6.115%, 12/15/2048(b) | 519,395 | ||||||
JOL Air Ltd. |
| |||||||
223,666 | Series 2019-1-A 3.967%, 04/15/2044(b) | 212,753 |
Principal | Value | |||||||
Lake Shore MM CLO III LLC |
| |||||||
$250,000 | Series 2020-1A-B 0.000%, 10/15/2029(b)(d)(e) 3 mo. USD LIBOR + 3.200% | $ | 250,000 | |||||
LoanCore Issuer Ltd. |
| |||||||
250,000 | Series 2018-CRE1-AS 1.652%, 05/15/2028(b)(d) 1 mo. USD LIBOR + 1.500% | 248,553 | ||||||
100,000 | Series 2019-CRE2-AS 1.652%, 05/15/2036(b)(d) 1 mo. USD LIBOR + 1.500% | 97,916 | ||||||
Marathon CLO V Ltd. |
| |||||||
500,000 | Series 2013-5A-A2R 1.697%, 11/21/2027(b)(d) 3 mo. USD LIBOR + 1.450% | 480,023 | ||||||
252,216 | Series 2013-5A-BR 2.097%, 11/21/2027(b)(d) 3 mo. USD LIBOR + 1.850% | 235,725 | ||||||
Marathon CRE Ltd. |
| |||||||
100,000 | Series 2018-FL1-C 2.751%, 06/15/2028(b)(d) 1 mo. USD LIBOR + 2.600% | 95,293 | ||||||
MidOcean Credit CLO VII |
| |||||||
500,000 | Series 2017-7A-CR 2.475%, 07/15/2029(b)(d) 3 mo. USD LIBOR + 2.200% | 477,223 | ||||||
Monroe Capital CLO Ltd. |
| |||||||
250,000 | Series 2014-1A-CR 2.658%, 10/22/2026(b)(d) 1 mo. USD LIBOR + 2.400% | 240,149 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust |
| |||||||
329,994 | Series 2006-HE8-A2D 0.368%, 10/25/2036(d) 1 mo. USD LIBOR + 0.220% | 207,151 | ||||||
395,789 | Series 2007-HE4-A2C 0.378%, 02/25/2037(d) 1 mo. USD LIBOR + 0.230% | 175,029 | ||||||
Morgan Stanley IXIS Real Estate Capital Trust |
| |||||||
403,186 | Series 2006-2-A4 0.368%, 11/25/2036(d) 1 mo. USD LIBOR + 0.220% | 199,593 | ||||||
NADG NNN Operating L.P. |
| |||||||
159,400 | Series 2019-1-A 3.368%, 12/28/2049(b) | 164,338 | ||||||
Nassau CFO LLC |
| |||||||
222,460 | Series 2019-1-A 3.980%, 08/15/2034(b) | 226,423 | ||||||
Neuberger Berman Loan Advisers CLO 36 Ltd. |
| |||||||
250,000 | Series 2020-36A-C 3.525%, 04/20/2033(b)(d) 3 mo. USD LIBOR + 2.350% | 250,199 | ||||||
New Residential Advance Receivables Trust |
| |||||||
300,000 | Series 2019-T4-DT4 2.804%, 10/15/2051(b) | 300,321 | ||||||
NewStar Clarendon Fund CLO LLC |
| |||||||
250,000 | Series 2014-1A-BR 2.295%, 01/25/2027(b)(d) 3 mo. USD LIBOR + 2.050% | 245,463 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
NewStar Clarendon Fund CLO LLC (Continued) | ||||||||
$300,000 | Series 2014-1A-CR 3.295%, 01/25/2027(b)(d) 3 mo. USD LIBOR + 3.050% | $ | 292,610 | |||||
Newtek Small Business Loan Trust |
| |||||||
154,934 | Series 2018-1-A 1.848%, 02/25/2044(b)(d) 1 mo. USD LIBOR + 1.700% | 151,304 | ||||||
70,425 | Series 2018-1-B 3.148%, 02/25/2044(b)(d) 1 mo. USD LIBOR + 3.000% | 64,156 | ||||||
Oportun Funding X LLC |
| |||||||
400,000 | Series 2018-C-B 4.590%, 10/08/2024(b) | 402,984 | ||||||
Oxford Finance Funding LLC |
| |||||||
260,000 | Series 2019-1A-A2 4.459%, 02/15/2027(b) | 269,154 | ||||||
430,000 | Series 2020-1A-B 4.037%, 02/15/2028(b) | 432,416 | ||||||
Raspro Trust |
| |||||||
443,606 | Series 2005-1A-B 2.891%, 03/23/2024(b)(d) 3 mo. USD LIBOR + 0.925% | 423,410 | ||||||
ReadyCap Lending Small Business Loan Trust |
| |||||||
182,266 | Series 2019-2-A 2.750%, 12/27/2044(b)(d) 3 mo. PRIME-0.500% | 170,282 | ||||||
Regional Management Issuance Trust |
| |||||||
480,000 | Series 2018-2-B 4.940%, 01/18/2028(b) | 488,360 | ||||||
Republic FInance Issuance Trust |
| |||||||
240,000 | Series 2019-A-A 3.430%, 11/22/2027(b) | 244,142 | ||||||
Saganaw Insurance Recievables LLC |
| |||||||
132,800 | Series 2019-1A-A 5.125%, 12/01/2023(b) | 134,329 | ||||||
Sapphire Aviation Finance I Ltd. |
| |||||||
174,377 | Series 2018-1A-A 4.250%, 03/15/2040(b) | 162,622 | ||||||
Sapphire Aviation Finance II Ltd. |
| |||||||
233,783 | Series 2020-1A-B 4.335%, 03/15/2040(b) | 162,905 | ||||||
Secured Tenant Site Contract Revenue Notes |
| |||||||
120,022 | Series 2018-1A-C 3.970%, 06/15/2048(b) | 123,197 | ||||||
SPS Servicer Advance Receivables Trust |
| |||||||
150,000 | Series 2019-T1-DT1 2.630%, 10/15/2051(b) | 150,165 | ||||||
Stack Infrastructure Issuer LLC |
| |||||||
452,717 | Series 2019-1A-A2 4.540%, 02/25/2044(b) | 489,021 | ||||||
Sunbird Engine Finance LLC |
| |||||||
248,274 | Series 2020-1A-B 4.703%, 02/15/2045(b) | 173,759 | ||||||
TPG Real Estate Finance Issuer Ltd. |
| |||||||
470,000 | Series 2018-FL2-A 1.281%, 11/15/2037(b)(d) 1 mo. USD LIBOR + 1.130% | 466,431 |
Principal | Value | |||||||
VB-S1 Issuer LLC |
| |||||||
$100,000 | Series 2020-1A-D 4.090%, 06/15/2050(b) | $ | 103,956 | |||||
150,000 | Series 2020-1A-F 6.657%, 06/15/2050(b) | 158,357 | ||||||
Venture XIII CLO Ltd. |
| |||||||
250,000 | Series 2013-13A-SUB 0.000%, 09/10/2029(b)(f) | 60,423 | ||||||
Wachovia Asset Securitization Issuance II LLC Trust |
| |||||||
251,796 | Series 2007-HE2A-A 0.302%, 07/25/2037(b)(d) 1 mo. USD LIBOR + 0.130% | 225,411 | ||||||
Wingstop Funding LLC |
| |||||||
99,000 | Series 2018-1-A2 4.970%, 12/05/2048(b) | 102,026 | ||||||
WRG Debt Funding IV LLC |
| |||||||
400,000 | Series 2020-1-B 6.535%, 07/15/2028(b) | 401,249 | ||||||
|
| |||||||
| TOTAL ASSET-BACKED SECURITIES | 16,862,417 | ||||||
|
| |||||||
BANK LOANS: 14.0% | ||||||||
Accuride Corp. |
| |||||||
49,107 | 6.250%, 11/17/2023(d) 3 mo. LIBOR + 5.250% | 38,549 | ||||||
Allen Media LLC |
| |||||||
527,266 | 5.720%, 02/10/2027(d) 3 mo. LIBOR + 5.500% | 512,685 | ||||||
Alpha 3 B.V. |
| |||||||
49,713 | 4.000%, 01/31/2024(d) 3 mo. LIBOR + 3.000% | 49,071 | ||||||
Alterra Mountain Co. |
| |||||||
99,500 | 5.500%, 08/01/2026(d) 1 mo. LIBOR + 4.500% | 98,754 | ||||||
Amerilife Holdings LLC |
| |||||||
5,320 | 4.155%, 03/18/2027(d) 1 mo. LIBOR + 4.000% | 5,267 | ||||||
52,789 | 4.155%, 03/18/2027(d) 1 mo. LIBOR + 4.000% | 52,261 | ||||||
Anchor Packaging, Inc. |
| |||||||
99,346 | 3.897%, 07/18/2026(d) 1 mo. LIBOR + 3.750% | 98,229 | ||||||
API Technologies Corp. |
| |||||||
98,750 | 4.397%, 05/09/2026(d) 1 mo. LIBOR + 4.250% | 90,850 | ||||||
Arctic Glacier U.S.A., Inc. |
| |||||||
100,000 | 4.500%, 03/20/2024(d) 3 mo. LIBOR + 3.500% | 86,525 | ||||||
Aria Energy Operating LLC |
| |||||||
291,853 | 5.500%, 05/27/2022(d) 1 mo. LIBOR + 4.500% | 281,638 | ||||||
Aston FinCo S.A.R.L. |
| |||||||
99,500 | 4.401%, 10/09/2026(d) 1 mo. LIBOR + 4.250% | 98,007 | ||||||
BCP Renaissance Parent LLC |
| |||||||
678,875 | 4.500%, 10/31/2024(d) 2 mo. LIBOR + 3.500% | 632,416 | ||||||
BCPE Empire Holdings, Inc. |
| |||||||
12,998 | 4.147%, 06/11/2026(d) 1 mo. LIBOR + 4.000% | 12,695 | ||||||
82,709 | 4.147%, 06/11/2026(d) 1 mo. LIBOR + 4.000% | 80,779 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Berlin Packaging LLC | ||||||||
$ 99,491 | 3.161%-3.230%, 11/07/2025(d) | $ | 96,703 | |||||
BIFM CA Buyer, Inc. | ||||||||
99,496 | 3.756%, 06/01/2026(d) 3 mo. LIBOR + 3.500% | 98,004 | ||||||
Blue Ribbon LLC | ||||||||
10,000 | 5.000%, 11/15/2021(d) 3 mo. LIBOR + 4.000% | 9,316 | ||||||
Bombardier Recreational Products, Inc. | ||||||||
150,000 | 6.000%, 05/24/2027(d) 3 mo. LIBOR + 5.000% | 151,938 | ||||||
BWAY Holding Co. | ||||||||
58,282 | 3.523%, 04/03/2024(d) 3 mo. LIBOR + 3.250% | 54,919 | ||||||
Cast and Crew Payroll LLC | ||||||||
99,370 | 3.897%, 02/09/2026(d) 1 mo. LIBOR + 3.750% | 95,370 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
306,916 | 3.967%, 07/15/2042 | 276,354 | ||||||
CD&R Hydra Buyer, Inc. | ||||||||
98,731 | 5.250%, 12/11/2024(d) 1 mo. LIBOR + 4.250% | 94,300 | ||||||
CenturyLink, Inc. | ||||||||
312,813 | 2.147%, 01/31/2025(d) 1 mo. LIBOR + 2.000% | 304,471 | ||||||
Charter NEX US, Inc. | ||||||||
49,872 | 3.397%, 05/16/2024(d) 1 mo. LIBOR + 3.250% | 48,823 | ||||||
CHG Healthcare Services, Inc. | ||||||||
99,486 | 4.000%, 06/07/2023(d) 6 mo. LIBOR + 3.000% | 98,003 | ||||||
Cologix, Inc. | ||||||||
100,000 | 4.750%, 03/20/2024(d) 1 mo. LIBOR + 3.750% | 98,073 | ||||||
Comet Acquisition, Inc. | ||||||||
98,250 | 3.470%, 10/24/2025(d) 3 mo. LIBOR + 3.250% | 96,531 | ||||||
CPM Holdings, Inc. | ||||||||
98,250 | 3.905%, 11/17/2025(d) 1 mo. LIBOR + 3.750% | 92,539 | ||||||
Cvent, Inc. | ||||||||
74,864 | 3.897%, 11/29/2024(d) 1 mo. LIBOR + 3.750% | 68,046 | ||||||
Deerfield Dakota Holding LLC | ||||||||
99,750 | 4.750%, 04/09/2027(d) 1 mo. LIBOR + 3.750% | 99,376 | ||||||
Diamond (BC) B.V. | ||||||||
97,985 | 3.261%, 09/06/2024(d) 1 mo. LIBOR + 3.000% | 91,983 | ||||||
Eastern Power LLC | ||||||||
655,346 | 4.750%, 10/02/2025(d) 1 mo. LIBOR + 3.750% | 651,611 | ||||||
Emerald TopCo, Inc. | ||||||||
99,000 | 3.761%, 07/24/2026(d) 3 mo. LIBOR + 3.500% | 95,597 | ||||||
EyeCare Partners LLC | ||||||||
80,676 | 3.897%, 02/18/2027(d) 1 mo. LIBOR + 3.750% | 76,314 |
Principal Amount^ | Value | |||||||
Frontera Generation Holdings LLC | ||||||||
$ 489,975 | 5.250%, 05/02/2025(d) 3 mo. LIBOR + 4.250% | $ | 170,021 | |||||
GlobalFoundries, Inc. | ||||||||
98,750 | 5.000%, 06/05/2026(d) 3 mo. LIBOR + 4.750% | 98,750 | ||||||
GrafTech Finance, Inc. | ||||||||
82,493 | 4.500%, 02/12/2025(d) 1 mo. LIBOR + 3.500% | 81,771 | ||||||
Hamilton Projects Acquiror LLC | ||||||||
99,750 | 5.750%, 06/17/2027(d) 3 mo. LIBOR + 4.750% | 99,688 | ||||||
Helix Gen Funding LLC | ||||||||
555,907 | 4.750%, 06/03/2024(d) 1 mo. LIBOR + 3.750% | 551,774 | ||||||
IBC Capital Ltd. | ||||||||
80,094 | 3.983%, 09/11/2023(d) 3 mo. LIBOR + 3.750% | 75,539 | ||||||
Illuminate Buyer LLC | ||||||||
50,000 | 4.147%, 06/16/2027(d) 1 Week LIBOR + 4.000% | 49,693 | ||||||
Informatica LLC | ||||||||
99,500 | 3.397%, 02/25/2027(d) 1 mo. LIBOR + 3.250% | 97,666 | ||||||
Jefferies Finance LLC | ||||||||
99,246 | 3.438%, 06/03/2026(d) 1 mo. LIBOR + 3.250% | 95,524 | ||||||
50,000 | 0.000%, 09/30/2027(g) | 49,500 | ||||||
JetBlue Airways Corp. | ||||||||
49,375 | 6.250%, 06/17/2024(d) 3 mo. LIBOR + 5.250% | 49,097 | ||||||
LTI Holdings, Inc. | ||||||||
98,000 | 3.647%, 09/06/2025(d) 1 mo. LIBOR + 3.500% | 91,507 | ||||||
Mileage Plus Holdings LLC | ||||||||
100,000 | 6.250%, 06/25/2027(d) 3 mo. LIBOR + 5.250% | 101,799 | ||||||
MMM Holdings, Inc. | ||||||||
750,750 | 6.750%, 12/24/2026(d) 3 mo. LIBOR + 5.750% | 749,812 | ||||||
Moran Foods LLC | ||||||||
10,659 | 8.000%, 04/01/2024(d) 3 mo. LIBOR + 7.000% | 10,659 | ||||||
13,091 | 11.750%, 10/01/2024(d) 3 mo. LIBOR + 10.750% | 11,913 | ||||||
NFP Corp. | ||||||||
49,117 | 3.397%, 02/15/2027(d) 1 mo. LIBOR + 3.250% | 47,296 | ||||||
NorthRiver Midstream Finance L.P. | ||||||||
588,246 | 3.546%, 10/01/2025(d) 3 mo. LIBOR + 3.250% | 570,919 | ||||||
Packaging Coordinators Midco, Inc. | ||||||||
100,000 | 0.000%, 09/25/2027(g) | 99,688 | ||||||
Panther BF Aggregator 2 L.P. | ||||||||
777,473 | 3.647%, 04/30/2026(d) 1 mo. LIBOR + 3.500% | 759,494 | ||||||
Pelican Products, Inc. | ||||||||
49,746 | 4.500%, 05/01/2025(d) 3 mo. LIBOR + 3.500% | 47,725 | ||||||
Playpower, Inc. | ||||||||
95,846 | 5.720%, 05/08/2026(d) 1 mo. LIBOR + 5.500% | 89,137 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Playtika Holding Corp. | ||||||||
$ 12,194 | 7.000%, 12/10/2024(d) 6 mo. LIBOR + 6.000% | $ | 12,227 | |||||
PQ Corp. | ||||||||
49,875 | 4.000%, 02/07/2027(d) 3 mo. LIBOR + 3.000% | 49,757 | ||||||
RCP Vega,, Inc. | ||||||||
89,773 | 4.897%, 04/30/2026(d) 1 mo. LIBOR + 4.750% | 84,892 | ||||||
Samsonite International S.A. | ||||||||
149,625 | 4.646%-5.500%, 04/25/2025(d) 1 mo. LIBOR + 4.500% | 146,445 | ||||||
ScribeAmerica Intermediate Holdco LLC | ||||||||
48,995 | 4.651%, 04/03/2025(d) 1 mo. LIBOR + 4.500% | 45,075 | ||||||
Stericycle, Inc. | ||||||||
429,662 | 2.022%-2.023%, 11/17/2022(d) 1 mo. LIBOR + 1.875% | 412,476 | ||||||
Summit Midstream Partners Holdings LLC | ||||||||
15,341 | 7.000%, 05/13/2022(d) 3 mo. LIBOR + 6.000% | 3,509 | ||||||
Teneo Holdings LLC | ||||||||
49,500 | 6.250%, 07/11/2025(d) 1 mo. LIBOR + 5.250% | 47,953 | ||||||
Tibco Software, Inc. | ||||||||
99,750 | 3.900%, 06/30/2026(d) 1 mo. LIBOR + 3.750% | 97,630 | ||||||
Tivity Health, Inc. | ||||||||
715,650 | 5.397%, 03/06/2026(d) 1 mo. LIBOR + 5.250% | 679,084 | ||||||
TransDigm, Inc. | ||||||||
99,499 | 2.397%, 05/30/2025(d) 1 mo. LIBOR + 2.250% | 94,251 | ||||||
TVC Albany, Inc. | ||||||||
98,000 | 3.650%, 07/23/2025(d) 1 mo. LIBOR + 3.500% | 94,447 | ||||||
U.S. Foods, Inc. | ||||||||
148,125 | 4.250%, 04/21/2027(d) 3 mo. LIBOR + 3.250% | 144,422 | ||||||
UGI Energy Services LLC | ||||||||
237,000 | 3.897%, 08/13/2026(d) 1 mo. LIBOR + 3.750% | 236,407 | ||||||
USI, Inc. | ||||||||
50,000 | 4.500%, 12/02/2026(d) 3 mo. LIBOR + 4.000% | 49,641 | ||||||
Venture Global Calcasieu Pass LLC | ||||||||
100,000 | 0.000%, 08/19/2026(g) | 91,750 | ||||||
Vertical Midco GmbH | ||||||||
100,000 | 4.570%, 07/30/2027(d) 3 mo. LIBOR + 4.250% | 99,357 | ||||||
Xplornet Communications, Inc. | ||||||||
149,625 | 4.897%, 06/10/2027(d) 1 mo. LIBOR + 4.750% | 147,381 | ||||||
Yak Access LLC | ||||||||
100,000 | 10.223%, 07/10/2026(d) 3 mo. LIBOR + 10.000% | 73,667 | ||||||
Zayo Group Holdings, Inc. | ||||||||
99,500 | 3.147%, 03/09/2027(d) 1 mo. LIBOR + 3.000% | 96,782 | ||||||
|
| |||||||
| TOTAL BANK LOANS | 11,542,122 | ||||||
|
|
Principal Amount^ | Value | |||||||
CORPORATE BONDS: 28.9% | ||||||||
Basic Materials: 1.1% | ||||||||
Alcoa Nederland Holding B.V. | ||||||||
$ 200,000 | 5.500%, 12/15/2027(b) | $ | 208,690 | |||||
Arconic Corp. | ||||||||
100,000 | 6.000%, 05/15/2025(b) | 106,980 | ||||||
Carpenter Technology Corp. | ||||||||
75,000 | 6.375%, 07/15/2028 | 78,610 | ||||||
Clearwater Paper Corp. | ||||||||
50,000 | 4.750%, 08/15/2028(b) | 50,219 | ||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | ||||||||
50,000 | 9.000%, 07/01/2028(b) | 53,812 | ||||||
Kaiser Aluminum Corp. | ||||||||
50,000 | 6.500%, 05/01/2025(b) | 51,696 | ||||||
Minerals Technologies, Inc. | ||||||||
75,000 | 5.000%, 07/01/2028(b) | 77,797 | ||||||
Steel Dynamics, Inc. | ||||||||
10,000 | 3.250%, 01/15/2031 | 10,732 | ||||||
United States Steel Corp. | ||||||||
140,000 | 12.000%, 06/01/2025(b) | 149,240 | ||||||
WR Grace & Co-Conn | ||||||||
75,000 | 4.875%, 06/15/2027(b) | 77,593 | ||||||
|
| |||||||
865,369 | ||||||||
|
| |||||||
Communications: 2.9% | ||||||||
Altice France S.A. | ||||||||
200,000 | 5.125%, 01/15/2029(b) | 199,625 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
125,000 | 4.250%, 02/01/2031(b) | 129,814 | ||||||
CSC Holdings LLC | ||||||||
200,000 | 4.625%, 12/01/2030(b) | 201,777 | ||||||
Expedia Group, Inc. | ||||||||
555,000 | 4.625%, 08/01/2027(b) | 582,983 | ||||||
Lamar Media Corp. | ||||||||
30,000 | 4.875%, 01/15/2029(b) | 31,275 | ||||||
Level 3 Financing, Inc. | ||||||||
200,000 | 4.250%, 07/01/2028(b) | 203,264 | ||||||
Match Group, Inc. | ||||||||
50,000 | 4.625%, 06/01/2028(b) | 51,594 | ||||||
QualityTech L.P. / QTS Finance Corp. | ||||||||
50,000 | 3.875%, 10/01/2028(b)(e) | 50,455 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
100,000 | 4.500%, 09/15/2026(b) | 100,354 | ||||||
Sirius XM Radio, Inc. | ||||||||
80,000 | 4.125%, 07/01/2030(b) | 81,600 | ||||||
Switch Ltd. | ||||||||
100,000 | 3.750%, 09/15/2028(b) | 101,250 | ||||||
TEGNA, Inc. | ||||||||
260,000 | 5.000%, 09/15/2029(b) | 256,994 | ||||||
ViacomCBS, Inc. | ||||||||
127,000 | 4.950%, 01/15/2031(h) | 153,085 | ||||||
60,000 | 4.950%, 05/19/2050 | 70,692 | ||||||
Virgin Media Vendor Financing Notes IV DAC | ||||||||
200,000 | 5.000%, 07/15/2028(b) | 199,700 | ||||||
|
| |||||||
2,414,462 | ||||||||
|
|
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Cyclical: 3.1% | ||||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
$ 100,000 | 4.000%, 10/15/2030(b)(e) | $ | 101,021 | |||||
Air Canada Pass Through Trust | ||||||||
25,000 | Series 2020-2-A 5.250%, 04/01/2029(b) | 25,688 | ||||||
Aramark Services, Inc. | ||||||||
100,000 | 6.375%, 05/01/2025(b) | 104,292 | ||||||
5,000 | 5.000%, 02/01/2028(b) | 5,046 | ||||||
Boyd Gaming Corp. | ||||||||
25,000 | 8.625%, 06/01/2025(b) | 27,438 | ||||||
Boyne USA, Inc. | ||||||||
50,000 | 7.250%, 05/01/2025(b) | 52,682 | ||||||
CD&R Smokey Buyer, Inc. | ||||||||
25,000 | 6.750%, 07/15/2025(b) | 26,406 | ||||||
Cedar Fair L.P. / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Corp. | ||||||||
50,000 | 5.500%, 05/01/2025(b) | 51,562 | ||||||
Choice Hotels International, Inc. | ||||||||
70,000 | 3.700%, 01/15/2031 | 73,796 | ||||||
Clarios Global L.P. / Clarios US Finance Co. | ||||||||
10,000 | 8.500%, 05/15/2027(b) | 10,342 | ||||||
Delta Air Lines, Inc. | ||||||||
270,000 | 7.000%, 05/01/2025(b)(h) | 296,876 | ||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd. | ||||||||
335,000 | 4.750%, 10/20/2028(b) | 348,321 | ||||||
Hanesbrands, Inc. | ||||||||
25,000 | 5.375%, 05/15/2025(b) | 26,406 | ||||||
Hyatt Hotels Corp. | ||||||||
95,000 | 5.750%, 04/23/2030(h) | 109,286 | ||||||
JetBlue Pass Through Trust | ||||||||
70,000 | Series 2020-1-A 4.000%, 11/15/2032 | 72,775 | ||||||
Lithia Motors, Inc. | ||||||||
50,000 | 4.375%, 01/15/2031(b) | 50,000 | ||||||
Live Nation Entertainment, Inc. | ||||||||
100,000 | 6.500%, 05/15/2027(b) | 108,052 | ||||||
Marriott International, Inc. | ||||||||
50,000 | 5.750%, 05/01/2025 | 55,879 | ||||||
70,000 | 4.625%, 06/15/2030 | 75,139 | ||||||
50,000 | 3.500%, 10/15/2032 | 49,788 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
100,000 | 6.500%, 06/20/2027(b) | 104,375 | ||||||
Nordstrom, Inc. | ||||||||
160,000 | 4.375%, 04/01/2030 | 129,487 | ||||||
Performance Food Group, Inc. | ||||||||
50,000 | 6.875%, 05/01/2025(b) | 53,469 | ||||||
Picasso Finance Sub, Inc. | ||||||||
98,000 | 6.125%, 06/15/2025(b) | 105,702 | ||||||
Powdr Corp. | ||||||||
25,000 | 6.000%, 08/01/2025(b) | 25,656 | ||||||
Six Flags Theme Parks, Inc. | ||||||||
55,000 | 7.000%, 07/01/2025(b) | 58,609 | ||||||
Suburban Propane Partners L.P. / Suburban Energy Finance Corp. | ||||||||
25,000 | 5.750%, 03/01/2025 | 25,529 |
Principal Amount^ | Value | |||||||
Consumer, Cyclical (continued) | ||||||||
Superior Plus L.P. / Superior General Partner, Inc. | ||||||||
$ 20,000 | 7.000%, 07/15/2026(b) | $ | 21,421 | |||||
Walgreens Boots Alliance, Inc. | ||||||||
100,000 | 3.200%, 04/15/2030(h) | 105,105 | ||||||
50,000 | 4.100%, 04/15/2050 | 50,174 | ||||||
Whirlpool Corp. | ||||||||
10,000 | 4.600%, 05/15/2050 | 12,439 | ||||||
Williams Scotsman International, Inc. | ||||||||
52,000 | 4.625%, 08/15/2028(b) | 52,308 | ||||||
WMG Acquisition Corp. | ||||||||
30,000 | 3.875%, 07/15/2030(b) | 30,984 | ||||||
Wolverine World Wide, Inc. | ||||||||
100,000 | 6.375%, 05/15/2025(b) | 105,937 | ||||||
|
| |||||||
2,551,990 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 2.6% | ||||||||
Acadia Healthcare Co., Inc. | ||||||||
50,000 | 5.500%, 07/01/2028(b) | 51,519 | ||||||
AdaptHealth LLC | ||||||||
75,000 | 6.125%, 08/01/2028(b) | 77,827 | ||||||
Altria Group, Inc. | ||||||||
10,000 | 4.450%, 05/06/2050 | 11,185 | ||||||
Avanos Medical, Inc. | ||||||||
32,000 | 6.250%, 10/15/2022 | 32,029 | ||||||
Avantor Funding, Inc. | ||||||||
75,000 | 4.625%, 07/15/2028(b) | 77,906 | ||||||
Carriage Services, Inc. | ||||||||
10,000 | 6.625%, 06/01/2026(b) | 10,486 | ||||||
CVS Pass-Through Trust | ||||||||
149,852 | 5.926%, 01/10/2034(b) | 173,584 | ||||||
DaVita, Inc. | ||||||||
160,000 | 4.625%, 06/01/2030(b) | 163,988 | ||||||
Gartner, Inc. | ||||||||
75,000 | 4.500%, 07/01/2028(b) | 78,937 | ||||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC | ||||||||
75,000 | 4.625%, 06/15/2025(b) | 77,372 | ||||||
KeHE Distributors LLC / KeHE Finance Corp. | ||||||||
10,000 | 8.625%, 10/15/2026(b) | 10,848 | ||||||
Kraft Heinz Foods Co. | ||||||||
50,000 | 5.000%, 06/04/2042 | 54,831 | ||||||
80,000 | 4.375%, 06/01/2046 | 82,447 | ||||||
25,000 | 5.500%, 06/01/2050(b) | 28,762 | ||||||
MEDNAX, Inc. | ||||||||
250,000 | 6.250%, 01/15/2027(b) | 259,682 | ||||||
Nathan’s Famous, Inc. | ||||||||
50,000 | 6.625%, 11/01/2025(b) | 51,000 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
150,000 | 5.625%, 10/01/2028(b) | 155,520 | ||||||
Sabre GLBL, Inc. | ||||||||
75,000 | 7.375%, 09/01/2025(b) | 75,863 | ||||||
Smithfield Foods, Inc. | ||||||||
40,000 | 3.000%, 10/15/2030(b) | 40,161 | ||||||
Sotheby’s | ||||||||
50,000 | 7.375%, 10/15/2027(b) | 50,085 | ||||||
Spectrum Brands, Inc. | ||||||||
50,000 | 5.500%, 07/15/2030(b) | 52,844 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Non-cyclical (continued) | ||||||||
Sysco Corp. | ||||||||
$260,000 | 5.950%, 04/01/2030(h) | $ | 330,387 | |||||
Tenet Healthcare Corp. | ||||||||
25,000 | 4.625%, 06/15/2028(b) | 25,407 | ||||||
US Foods, Inc. | ||||||||
100,000 | 6.250%, 04/15/2025(b) | 106,008 | ||||||
Vector Group Ltd. | ||||||||
50,000 | 6.125%, 02/01/2025(b) | 49,995 | ||||||
|
| |||||||
2,128,673 | ||||||||
|
| |||||||
Energy: 1.9% | ||||||||
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc. | ||||||||
10,000 | 4.486%, 05/01/2030 | 11,376 | ||||||
BP Capital Markets Plc | ||||||||
250,000 | 4.875%, 03/22/2030(a)(f) 5 year CMT + 4.398% | 268,125 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
100,000 | 3.520%, 12/31/2039 | 99,003 | ||||||
Enable Midstream Partners L.P. | ||||||||
405,000 | 4.150%, 09/15/2029 | 376,027 | ||||||
Energy Transfer Operating L.P. | ||||||||
320,000 | 6.250%, 02/15/2023(a)(f) 3 mo. USD LIBOR + 4.028% | 209,358 | ||||||
Global Partners L.P. / GLP Finance Corp. | ||||||||
25,000 | 6.875%, 01/15/2029(b)(e) | 25,313 | ||||||
Midwest Connector Capital Co. LLC | ||||||||
59,000 | 4.625%, 04/01/2029(b) | 59,711 | ||||||
NuStar Logistics L.P. | ||||||||
100,000 | 6.375%, 10/01/2030 | 104,000 | ||||||
Occidental Petroleum Corp. | ||||||||
315,000 | 2.900%, 08/15/2024 | 267,844 | ||||||
Rattler Midstream L.P. | ||||||||
25,000 | 5.625%, 07/15/2025(b) | 25,248 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
100,000 | 4.500%, 05/15/2030(b)(h) | 112,902 | ||||||
|
| |||||||
1,558,907 | ||||||||
|
| |||||||
Financial: 14.5% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
410,000 | 4.500%, 09/15/2023 | 422,923 | ||||||
150,000 | 4.625%, 10/15/2027 | 145,498 | ||||||
Alliance Data Systems Corp. | ||||||||
375,000 | 4.750%, 12/15/2024(b) | 352,191 | ||||||
American Equity Investment Life Holding Co. | ||||||||
25,000 | 5.000%, 06/15/2027 | 27,165 | ||||||
American International Group, Inc. | ||||||||
120,000 | 4.375%, 06/30/2050(h) | 140,873 | ||||||
AmWINS Group, Inc. | ||||||||
50,000 | 7.750%, 07/01/2026(b) | 53,678 | ||||||
Apollo Management Holdings L.P. | ||||||||
500,000 | 4.950%, 01/14/2050(b)(f) 5 year CMT + 3.266% | 500,111 | ||||||
Ares Finance Co. II LLC | ||||||||
50,000 | 3.250%, 06/15/2030(b)(h) | 52,237 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
120,000 | 3.950%, 07/01/2024(b) | 114,000 | ||||||
205,000 | 5.500%, 01/15/2026(b) | 206,467 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
Bank of New York Mellon Corp. (The) | ||||||||
$30,000 | 4.700%, 09/20/2025(a)(f) 5 year CMT + 4.358% | $ | 31,905 | |||||
Blackstone / GSO Secured Lending Fund | ||||||||
185,000 | 3.650%, 07/14/2023(b) | 186,559 | ||||||
Brazilian Merchant Voucher Receivables Ltd. | ||||||||
200,000 | 4.180%, 04/07/2028 | 209,771 | ||||||
Business Development Corp. of America | ||||||||
375,000 | 4.750%, 12/30/2022(b) | 367,978 | ||||||
225,000 | 4.850%, 12/15/2024(b) | 221,076 | ||||||
Charles Schwab Corp. (The) | ||||||||
100,000 | 5.375%, 06/01/2025(a)(f)(h) 5 year CMT + 4.971% | 108,605 | ||||||
Credit Acceptance Corp. | ||||||||
285,000 | 6.625%, 03/15/2026 | 295,509 | ||||||
Credit Suisse Group AG | ||||||||
250,000 | 4.194%, 04/01/2031(b)(f)(h) SOFR + 3.730% | 289,313 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
150,000 | 6.750%, 05/15/2028(b) | 156,191 | ||||||
Drawbridge Special Opportunities Fund L.P. / Drawbridge Special Opportunities Finance | ||||||||
465,000 | 5.000%, 08/01/2021(b) | 470,896 | ||||||
Enstar Finance LLC | ||||||||
200,000 | 5.750%, 09/01/2040(f) 5 year CMT + 5.468% | 204,016 | ||||||
Enstar Group Ltd. | ||||||||
300,000 | 4.950%, 06/01/2029 | 337,340 | ||||||
Equitable Holdings, Inc. | ||||||||
150,000 | 4.950%, 09/15/2025(a)(f) 5 year CMT + 4.736% | 153,375 | ||||||
Fidelis Insurance Holdings Ltd. | ||||||||
540,000 | 4.875%, 06/30/2030(b) | 535,768 | ||||||
Fidelity National Financial, Inc. | ||||||||
50,000 | 3.400%, 06/15/2030 | �� | 54,233 | |||||
First American Financial Corp. | ||||||||
70,000 | 4.000%, 05/15/2030 | 77,291 | ||||||
FS KKR Capital Corp. II | ||||||||
325,000 | 4.250%, 02/14/2025(b) | 307,211 | ||||||
GLP Capital L.P. / GLP Financing II, Inc. | ||||||||
50,000 | 5.300%, 01/15/2029 | 55,829 | ||||||
140,000 | 4.000%, 01/15/2031(h) | 146,007 | ||||||
Host Hotels & Resorts L.P. | ||||||||
150,000 | 3.500%, 09/15/2030 | 143,999 | ||||||
HSBC Holdings Plc | ||||||||
200,000 | 4.950%, 03/31/2030(h) | 241,417 | ||||||
Iron Mountain, Inc. | ||||||||
25,000 | 4.500%, 02/15/2031(b) | 25,282 | ||||||
150,000 | 5.625%, 07/15/2032(b) | 158,605 | ||||||
Kennedy-Wilson, Inc. | ||||||||
14,000 | 5.875%, 04/01/2024 | 13,948 | ||||||
Lincoln National Corp. | ||||||||
30,000 | 4.375%, 06/15/2050 | 35,028 | ||||||
Macquarie Bank Ltd. | ||||||||
200,000 | 3.624%, 06/03/2030(b)(h) | 213,064 | ||||||
Main Street Capital Corp. | ||||||||
340,000 | 5.200%, 05/01/2024 | 357,756 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Financial (continued) | ||||||||
Markel Corp. | ||||||||
$ 210,000 | 6.000%, 06/01/2025(a)(f) 5 year CMT + 5.662% | $ | 222,337 | |||||
MetLife, Inc. | ||||||||
70,000 | 3.850%, 09/15/2025(a)(f) 5 year CMT + 3.576% | 70,018 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
130,000 | 4.350%, 04/30/2050(b)(h) | 139,621 | ||||||
NFP Corp. | ||||||||
100,000 | 7.000%, 05/15/2025(b) | 106,437 | ||||||
75,000 | 6.875%, 08/15/2028(b) | 76,022 | ||||||
OneAmerica Financial Partners, Inc. | ||||||||
70,000 | 4.250%, 10/15/2050(b) | 70,713 | ||||||
Owl Rock Capital Corp. | ||||||||
30,000 | 4.000%, 03/30/2025 | 30,302 | ||||||
Owl Rock Capital Corp. II | ||||||||
120,000 | 4.625%, 11/26/2024(b) | 120,761 | ||||||
Owl Rock Technology Finance Corp. | ||||||||
475,000 | 6.750%, 06/30/2025(b) | 514,126 | ||||||
65,000 | 4.750%, 12/15/2025(b) | 64,375 | ||||||
Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc. | ||||||||
440,000 | 6.375%, 12/15/2022(b) | 430,547 | ||||||
PartnerRe Finance B LLC | ||||||||
320,000 | 4.500%, 10/01/2050(f) 5 year CMT + 3.815% | 321,912 | ||||||
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. | ||||||||
150,000 | 3.875%, 03/01/2031(b) | 148,500 | ||||||
Scentre Group Trust | ||||||||
410,000 | 5.125%, 09/24/2080(b)(f) 5 year CMT + 4.685% | 402,878 | ||||||
Sirius International Group Ltd. | ||||||||
700,000 | 4.600%, 11/01/2026(b) | 676,917 | ||||||
Solar Capital Ltd. | ||||||||
400,000 | 4.500%, 01/20/2023 | 400,243 | ||||||
Standard Chartered Plc | ||||||||
200,000 | 4.644%, 04/01/2031(b)(f)(h) 5 year CMT + 3.850% | 230,667 | ||||||
United Insurance Holdings Corp. | ||||||||
530,000 | 6.250%, 12/15/2027 | 513,924 | ||||||
|
| |||||||
11,953,415 | ||||||||
|
| |||||||
Industrial: 1.8% | ||||||||
Aviation Capital Group LLC | ||||||||
380,000 | 5.500%, 12/15/2024(b) | 392,419 | ||||||
Boeing Co. (The) | ||||||||
200,000 | 5.150%, 05/01/2030(h) | 225,394 | ||||||
100,000 | 5.705%, 05/01/2040(h) | 118,398 | ||||||
100,000 | 5.805%, 05/01/2050(h) | 121,443 | ||||||
BWX Technologies, Inc. | ||||||||
100,000 | 4.125%, 06/30/2028(b) | 102,562 | ||||||
Cleaver-Brooks, Inc. | ||||||||
25,000 | 7.875%, 03/01/2023(b) | 24,216 | ||||||
Flowserve Corp. | ||||||||
60,000 | 3.500%, 10/01/2030 | 59,487 | ||||||
Great Lakes Dredge & Dock Corp. | ||||||||
50,000 | 8.000%, 05/15/2022 | 51,449 |
Principal | Value | |||||||
Industrial (continued) | ||||||||
Grinding Media, Inc. / Moly-Cop AltaSteel Ltd. | ||||||||
$ 50,000 | 7.375%, 12/15/2023(b) | $ | 50,750 | |||||
Hillenbrand, Inc. | ||||||||
25,000 | 5.750%, 06/15/2025 | 26,703 | ||||||
Howmet Aerospace, Inc. | ||||||||
25,000 | 6.875%, 05/01/2025 | 27,656 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
50,000 | 8.500%, 04/15/2024(b) | 52,000 | ||||||
New Enterprise Stone & Lime Co., Inc. | ||||||||
75,000 | 9.750%, 07/15/2028(b) | 81,375 | ||||||
PowerTeam Services LLC | ||||||||
60,000 | 9.033%, 12/04/2025(b) | 63,487 | ||||||
Standard Industries, Inc. | ||||||||
25,000 | 5.000%, 02/15/2027(b) | 26,073 | ||||||
50,000 | 4.375%, 07/15/2030(b) | 51,340 | ||||||
25,000 | 3.375%, 01/15/2031(b) | 24,722 | ||||||
Textron, Inc. | ||||||||
10,000 | 3.000%, 06/01/2030 | 10,554 | ||||||
|
| |||||||
1,510,028 | ||||||||
|
| |||||||
Technology: 0.8% | ||||||||
AMS AG | ||||||||
265,000 | 7.000%, 07/31/2025(b) | 281,312 | ||||||
Boxer Parent Co., Inc. | ||||||||
50,000 | 7.125%, 10/02/2025(b) | 53,475 | ||||||
Broadcom, Inc. | ||||||||
110,000 | 4.150%, 11/15/2030(h) | 123,821 | ||||||
BY Crown Parent LLC / BY Bond Finance, Inc. | ||||||||
50,000 | 4.250%, 01/31/2026(b) | 50,969 | ||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. | ||||||||
25,000 | 5.750%, 03/01/2025(b) | 25,389 | ||||||
NCR Corp. | ||||||||
50,000 | 8.125%, 04/15/2025(b) | 55,356 | ||||||
100,000 | 5.250%, 10/01/2030(b) | 100,188 | ||||||
|
| |||||||
690,510 | ||||||||
|
| |||||||
Utilities: 0.2% | ||||||||
AES Corp. (The) | ||||||||
60,000 | 3.950%, 07/15/2030(b) | 66,410 | ||||||
Clearway Energy Operating LLC | ||||||||
25,000 | 4.750%, 03/15/2028(b) | 25,836 | ||||||
Terraform Global Operating LLC | ||||||||
25,000 | 6.125%, 03/01/2026(b) | 25,527 | ||||||
|
| |||||||
117,773 | ||||||||
|
| |||||||
| TOTAL CORPORATE BONDS | 23,791,127 | ||||||
|
| |||||||
GOVERNMENT SECURITIES & AGENCY ISSUE: 17.6% | ||||||||
United States Treasury Note | ||||||||
1,800,000 | 1.875%, 12/15/2020 | 1,806,506 | ||||||
1,900,000 | 2.375%, 03/15/2021 | 1,919,681 | ||||||
1,600,000 | 2.625%, 06/15/2021 | 1,628,364 | ||||||
1,800,000 | 2.750%, 09/15/2021 | 1,845,035 | ||||||
1,800,000 | 2.625%, 12/15/2021 | 1,854,035 | ||||||
1,500,000 | 2.375%, 03/15/2022(i) | 1,549,102 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
| GOVERNMENT SECURITIES & AGENCY ISSUE | | ||||||
United States Treasury Note (Continued) | ||||||||
$1,500,000 | 1.750%, 06/15/2022(i) | $ | 1,541,455 | |||||
1,500,000 | 1.500%, 09/15/2022(i) | 1,540,459 | ||||||
800,000 | 1.625%, 12/15/2022(i) | 826,422 | ||||||
|
| |||||||
| TOTAL GOVERNMENT SECURITIES & | 14,511,059 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES: 9.8% | ||||||||
Alternative Loan Trust |
| |||||||
180,146 | Series 2007-OA4-A1 0.318%, 05/25/2047(d) 1 mo. USD LIBOR + 0.170% | 165,628 | ||||||
194,256 | Series 2007-OA7-A1A 0.328%, 05/25/2047(d) 1 mo. USD LIBOR + 0.180% | 179,191 | ||||||
BX Commercial Mortgage Trust |
| |||||||
237,324 | Series 2019-XL-F 2.152%, 10/15/2036(b)(d) 1 mo. USD LIBOR + 2.000% | 235,165 | ||||||
237,324 | Series 2019-XL-G 2.452%, 10/15/2036(b)(d) 1 mo. USD LIBOR + 2.300% | 234,382 | ||||||
BXMT Ltd. |
| |||||||
250,000 | Series 2020-FL2-D 2.101%, 02/16/2037(b)(d) 1 mo. USD LIBOR + 1.950% | 240,175 | ||||||
Cascade Funding Mortgage Trust |
| |||||||
272,560 | Series 2018-RM2-A 4.000%, 10/25/2068(b)(f) | 283,809 | ||||||
CD Mortgage Trust |
| |||||||
1,016,967 | Series 2017-CD4-XA 1.453%, 05/10/2050(f)(j) | 62,291 | ||||||
CGMS Commercial Mortgage Trust |
| |||||||
260,000 | Series 2017-MDRC-E 3.552%, 07/15/2030(b)(d) 1 mo. USD LIBOR + 3.400% | 224,302 | ||||||
Citigroup Mortgage Loan Trust |
| |||||||
75 | Series 2019-IMC1-A1 2.720%, 07/25/2049(b)(f) | 77 | ||||||
Credit Suisse Mortgage Trust |
| |||||||
135,477 | Series 2018-RPL9-A1 3.850%, 09/25/2057(b)(f) | 145,701 | ||||||
480,000 | Series 2018-SITE-C 4.941%, 04/15/2036(b)(f) | 442,428 | ||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates |
| |||||||
2,842,116 | Series 2015-R1-XA1 0.700%, 11/25/2055(b)(f)(j) | 208,236 | ||||||
4,559,812 | Series 2015-R1-XA3 0.700%, 11/25/2052(b)(f)(j) | 284,133 | ||||||
GPMT Ltd. |
| |||||||
200,000 | Series 2018-FL1-C 2.306%, 11/19/2035(b)(d) 1 mo. USD LIBOR + 2.150% | 190,985 | ||||||
GS Mortgage Securities Corp. Trust |
| |||||||
250,000 | Series 2020-DUNE-E 2.652%, 12/15/2036(b)(d) 1 mo. USD LIBOR + 2.500% | 217,318 | ||||||
250,000 | Series 2020-UPTN-E 3.246%, 02/10/2037(b)(f) | 234,614 |
Principal Amount^ | Value | |||||||
HarborView Mortgage Loan Trust |
| |||||||
$317,380 | Series 2006-12-2A2A 0.346%, 01/19/2038(d) 1 mo. USD LIBOR + 0.190% | $ | 288,583 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust |
| |||||||
1,796,257 | Series 2016-JP2-XA 1.949%, 08/15/2049(f)(j) | 147,877 | ||||||
JPMDB Commercial Mortgage Securities Trust |
| |||||||
212,641 | Series 2017-C5-XA 1.086%, 03/15/2050(f)(j) | 10,266 | ||||||
LSTAR Securities Investment Ltd. |
| |||||||
707,315 | Series 2019-5-A1 1.655%, 11/01/2024(b)(d) 1 mo. USD LIBOR + 1.500% | 706,711 | ||||||
LSTAR Securities Investment Trust |
| |||||||
270,765 | Series 2019-1-A1 1.855%, 03/01/2024(b)(d) 1 mo. USD LIBOR + 1.700% | 271,289 | ||||||
Residential Accredit Loans, Inc. Trust |
| |||||||
420,855 | Series 2006-QO6-A1 0.328%, 06/25/2046(d) 1 mo. USD LIBOR + 0.180% | 146,546 | ||||||
Uniform Mortgage-Backed Securities |
| |||||||
250,000 | 1.500%, 10/01/2035(k) | 255,820 | ||||||
1,170,000 | 2.500%, 10/01/2050(k) | 1,227,860 | ||||||
1,520,000 | 2.000%, 12/01/2050(k) | 1,566,170 | ||||||
Wells Fargo Commercial Mortgage Trust |
| |||||||
952,678 | Series 2016-BNK1-XA 1.889%, 08/15/2049(f)(j) | 77,973 | ||||||
|
| |||||||
| TOTAL MORTGAGE-BACKED SECURITIES | 8,047,530 | ||||||
|
| |||||||
MUNICIPAL BOND: 0.0% | ||||||||
Indiana: 0.0% | ||||||||
Knox County Industry Economic Development Revenue | ||||||||
5,000 | Series B 5.900%, 04/01/2034 | 5,109 | ||||||
|
| |||||||
| TOTAL MUNICIPAL BOND | 5,109 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS: 2.5% | ||||||||
MONEY MARKET FUND: 1.1% | ||||||||
875,014 | State Street Institutional Treasury Money Market Fund - Premier Class, 0.020%(l) | 875,014 | ||||||
|
| |||||||
| TOTAL MONEY MARKET FUND | 875,014 | ||||||
|
|
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2020 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
REPURCHASE AGREEMENTS: 1.3% | ||||||||
$1,021,699 | Fixed Income Clearing Corp. 0.000%, 9/30/2020, due 10/01/2020 [collateral: par value $1,008,300, U.S. Treasury Note, 2.375%, due 03/15/2022, value $1,042,324] (proceeds $1,021,699) | $ | 1,021,699 | |||||
|
| |||||||
| TOTAL REPURCHASE AGREEMENTS | 1,021,699 | ||||||
|
| |||||||
TREASURY BILLS: 0.1% | ||||||||
United States Treasury Bill |
| |||||||
10,000 | 0.154%, 02/25/2021(i)(m) | 9,996 | ||||||
50,000 | 0.148%, 04/22/2021(i)(m) | 49,972 | ||||||
|
| |||||||
| TOTAL TREASURY BILLS | 59,968 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 1,956,681 | ||||||
|
| |||||||
| TOTAL INTEREST RATE SWAPTIONS | 93,344 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $88,272,452): 107.0% | 88,031,197 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets: (7.0)% | (5,754,141 | ) | ||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 82,277,056 | ||||||
|
|
Percentages are stated as a percent of net assets.
| ||
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury Index | |
ETF | Exchange Traded Fund | |
LIBOR | London Interbank Offered Rate | |
L.P. | Limited Partnership | |
SOFR | Secured Overnight Financing Rate |
^ | The principal amount is stated in U.S. Dollars unless otherwise indicated. | |
(a) | Perpetual Call. | |
(b) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. | |
(c) | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2020. | |
(d) | Floating Interest Rate at September 30, 2020. | |
(e) | When issued security. | |
(f) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at September 30, 2020. | |
(g) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. | |
(h) | All or a portion of the security has been pledged as collateral against open reverse repurchase agreements. As of September 30, 2020 , the market value of securities pledged amounted to $2,847,866. | |
(i) | Securities with an aggregate fair value of $5,517,406 have been pledged as collateral for options, total return swaps, credit default swaps, interest rate swaps, and futures positions. | |
(j) | Interest Only security. Security with a notional or nominal principal amount. | |
(k) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement date. | |
(l) | The rate disclosed is the 7 day net yield as of September 30, 2020. | |
(m) | The rate shown represents yield-to-maturity. |
CURRENCY ABBREVIATIONS:
| ||
BRL | Brazilian Real | |
EUR | Euro | |
ILS | Israeli New Shekel | |
USD | U.S. Dollar |
UNFUNDED LOAN COMMITMENTS — At September 30, 2020, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:
Borrower | Principal Amount | Current Value | Unrealized Gain (Loss) | |||||||||
BCPE Empire Holdings, Inc., 4.117%, 06/11/2026 | $ | 3,354 | $ | 3,276 | $ | (78 | ) | |||||
EyeCare Partners LLC, 3.750%, 02/18/2027 | 18,919 | 17,896 | (1,023 | ) | ||||||||
Amerilife Holdings LLC, 4.000%, 03/18/2027 | 4,667 | 4,620 | (47 | ) | ||||||||
|
|
|
| |||||||||
TOTAL | $ | 25,792 | $ | (1,148 | ) | |||||||
|
|
|
|
The cost basis of investments for federal income tax purposes at September 30, 2020 was as follows*:
Cost of investments | $ | 85,111,996 | ||
|
| |||
Gross unrealized appreciation | 3,210,216 | |||
Gross unrealized depreciation | (3,325,372 | ) | ||
|
| |||
Net unrealized depreciation | $ | (115,156 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF PURCHASED OPTIONS at September 30, 2020 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
INTEREST RATE SWAPTIONS |
| |||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | | Bank of America N.A. | | 0.40 | 7/29/2022 | 11,000,000 | $ | 11,000,000 | $ | 38,606 | $ | 25,410 | $ | 13,196 | ||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | | Goldman Sachs International | | 0.40 | 7/29/2022 | 2,000,000 | 2,000,000 | 7,019 | 4,540 | 2,479 | ||||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | | Goldman Sachs International | | 0.61 | 7/29/2022 | 7,000,000 | 7,000,000 | 16,133 | 10,150 | 5,983 | ||||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | | Morgan Stanley & Co. | | 0.40 | 7/29/2022 | 9,000,000 | 9,000,000 | 31,586 | 21,600 | 9,986 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Purchased Options |
| $ | 93,344 | $ | 61,700 | $ | 31,644 | |||||||||||||||||||||||||
|
|
|
|
|
|
PartnerSelect High Income Alternatives Fund
REVERSE REPURCHASE AGREEMENTS at September 30, 2020 (Unaudited)
Principal | Value | |||||||
$(334,200) | Bank of Montreal 0.530%, 8/13/2020, due 10/13/2020 | $ | (334,200 | ) | ||||
(90,385) | Bank of Montreal 0.700%, 8/14/2020, due 10/13/2020 | (90,385 | ) | |||||
(877,109) | Bank of Montreal 0.550%, 9/14/2020, due 11/16/2020 | (877,109 | ) | |||||
(156,408) | Bank of Montreal 0.500%, 8/28/2020, due 08/28/2021 | (156,408 | ) | |||||
(1,174,988) | Royal Bank of Canada 0.540%, 8/3/2020, due 10/23/2020 | (1,174,988 | ) | |||||
(225,825) | Royal Bank of Canada 0.500%, 9/14/2020, due 11/16/2020 | (225,825 | ) | |||||
|
| |||||||
| TOTAL REVERSE REPURCHASE AGREEMENTS | $ | (2,858,915 | ) | ||||
|
|
Securities pledged as collateral against open reverse repurchase agreements are noted in the Schedule of Investments.
PartnerSelect High Income Alternatives Fund
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at September 30, 2020 (Unaudited)
At September 30, 2020, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at September 30, 2020 | Fund Delivering | U.S. $ Value at September 30, 2020 | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||
Bank of America N.A. | 2/1/2021 | USD | $ | 4,821 | ILS | $ | 4,830 | $ | — | $ | (9 | ) | ||||||||||
4/30/2021 | USD | 29,952 | ILS | 29,629 | 323 | — | ||||||||||||||||
1/31/2022 | USD | 93,834 | ILS | 93,423 | 411 | — | ||||||||||||||||
Citibank N.A. | 2/1/2021 | USD | 13 | ILS | 13 | — | — | |||||||||||||||
4/30/2021 | USD | 406,848 | ILS | 402,959 | 3,889 | — | ||||||||||||||||
7/1/2021 | BRL | 35,149 | USD | 38,193 | — | (3,044 | ) | |||||||||||||||
7/1/2021 | BRL | 35,149 | USD | 38,664 | — | (3,515 | ) | |||||||||||||||
Goldman Sachs International | 2/1/2021 | ILS | 345,704 | USD | 330,597 | 15,107 | — | |||||||||||||||
2/1/2021 | ILS | 345,703 | USD | 331,515 | 14,188 | — | ||||||||||||||||
2/1/2021 | ILS | 5,571 | USD | 5,138 | 433 | — | ||||||||||||||||
2/1/2021 | ILS | 5,570 | USD | 5,185 | 385 | — | ||||||||||||||||
2/1/2021 | USD | 593,208 | ILS | 588,431 | 4,777 | — | ||||||||||||||||
2/1/2021 | USD | 6,282 | ILS | 6,297 | — | (15 | ) | |||||||||||||||
2/1/2021 | USD | 102,447 | ILS | 102,975 | — | (528 | ) | |||||||||||||||
4/30/2021 | ILS | 312,589 | USD | 298,557 | 14,032 | — | ||||||||||||||||
4/30/2021 | ILS | 312,589 | USD | 298,892 | 13,697 | — | ||||||||||||||||
4/30/2021 | USD | 94,794 | ILS | 94,814 | — | (20 | ) | |||||||||||||||
4/30/2021 | USD | 97,471 | ILS | 97,777 | — | (306 | ) | |||||||||||||||
7/30/2021 | USD | 198,958 | EUR | 202,151 | — | (3,193 | ) | |||||||||||||||
1/31/2022 | ILS | 107,436 | USD | 98,692 | 8,744 | — | ||||||||||||||||
1/31/2022 | ILS | 107,436 | USD | 99,610 | 7,826 | — | ||||||||||||||||
1/31/2022 | USD | 121,979 | ILS | 121,449 | 530 | — | ||||||||||||||||
JPMorgan Chase Bank N.A. | 7/1/2021 | USD | 95,023 | BRL | 70,299 | 24,724 | — | |||||||||||||||
7/30/2021 | EUR | 416,193 | USD | 399,948 | 16,245 | — | ||||||||||||||||
7/30/2021 | USD | 209,309 | EUR | 214,042 | — | (4,733 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 4,084,028 | $ | 3,974,080 | $ | 125,311 | $ | (15,363 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
SCHEDULE OF FINANCIAL FUTURES CONTRACTS at September 30, 2020 (Unaudited)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts—Long | ||||||||||||||||||||
Ultra 10YR U.S. Treasury Notes | 1 | $ | 100,000 | $ | 159,922 | 12/21/2020 | $ | 716 | ||||||||||||
|
| |||||||||||||||||||
Total Long | $ | 716 | ||||||||||||||||||
|
| |||||||||||||||||||
Futures Contracts—Short | ||||||||||||||||||||
5YR U.S. Treasury Notes | (20 | ) | $ | (2,000,000 | ) | $ | (2,520,625 | ) | 12/31/2020 | $ | (3,434 | ) | ||||||||
10YR U.S. Treasury Notes | (13 | ) | (1,300,000 | ) | (1,813,906 | ) | 12/21/2020 | (4,908 | ) | |||||||||||
|
| |||||||||||||||||||
Total Short | $ | (8,342 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | (7,626 | ) | |||||||||||||||||
|
|
SCHEDULE OF SWAPS at September 30, 2020 (Unaudited)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Rates Exchanged | ||||||||||||||||||||||||||
Notional Amount | Maturity Date | Payment Received | Payment Made | Periodic Payment Frequency | Fair Value | Upfront Payment Made (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
$2,600,000 | 11/06/2021 | 3 Month LIBOR | 3.144 | % | Quarterly | $ | (84,153 | ) | $ | 965 | $ | (85,118 | ) | |||||||||||||
$350,000 | 11/07/2023 | 3 Month LIBOR | 3.180 | Quarterly | (31,749 | ) | 80 | (31,829 | ) | |||||||||||||||||
$100,000 | 7/10/2030 | 3 Month LIBOR | 0.634 | Quarterly | 701 | 476 | 225 | |||||||||||||||||||
$190,000 | 8/21/2030 | 3 Month LIBOR | 0.673 | Quarterly | 754 | 229 | 525 | |||||||||||||||||||
$40,000 | 8/24/2030 | 3 Month LIBOR | 0.645 | Quarterly | 275 | 300 | (25 | ) | ||||||||||||||||||
$60,000 | 7/09/2035 | 3 Month LIBOR | 0.781 | Quarterly | 1,347 | 301 | 1,046 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (112,825 | ) | $ | 2,351 | $ | (115,176 | ) | |||||||||||||||||||
|
|
|
|
|
|
PartnerSelect High Income Alternatives Fund
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2020 | Notional Amount | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid | Unrealized Depreciation | ||||||||||||||||||||||||
Sell Protection | ||||||||||||||||||||||||||||||||
CDX North America HIgh Yield Index Series 35 | 12/20/2025 | 5.000 | % | 4.048 | % | $ | 1,160,000 | Quarterly | $ | 47,530 | $ | 50,914 | $ | (3,384 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Sell Protection |
| $ | 47,530 | $ | 50,914 | $ | (3,384 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
(1) | For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. |
(2) | For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. |
(3) | For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America High Yield Index Series 35. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Referenced Obligation | Maturity Date | Counterparty | Fund Floating | Floating Rate Index and Spread | Notional Amount | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid (Received) | Unrealized Depreciation | |||||||||||||||||||
iShares iBoxx��High Yield Corporate Bond ETF USD | 11/3/2020 | Bank of America N.A. | Pays | 1 Month USD LIBOR + 0.270% | $ | (1,778,814 | ) | Monthly | $ | (24,465 | ) | $ | — | $ | (24,465 | ) |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF WRITTEN OPTIONS at September 30, 2020 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
INDEX OPTIONS |
| |||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | $ | 1,475.00 | 10/2/2020 | (1) | $ | (150,769 | ) | $ | (813 | ) | $ | (3,619 | ) | $ | 2,806 | ||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,460.00 | 10/9/2020 | (5) | (753,845 | ) | (6,775 | ) | (19,025 | ) | 12,250 | |||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,440.00 | 10/16/2020 | (2) | (301,538 | ) | (3,168 | ) | (7,198 | ) | 4,030 | |||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,490.00 | 10/16/2020 | (2) | (301,538 | ) | (6,520 | ) | (5,978 | ) | (542 | ) | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,445.00 | 10/23/2020 | (3) | (452,307 | ) | (7,851 | ) | (12,727 | ) | 4,876 | |||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,450.00 | 10/23/2020 | (1) | (150,769 | ) | (2,752 | ) | (3,719 | ) | 967 | |||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,450.00 | 10/30/2020 | (1) | (150,769 | ) | (3,343 | ) | (4,369 | ) | 1,026 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,170.00 | 10/9/2020 | (4) | (1,345,200 | ) | (2,272 | ) | (18,076 | ) | 15,804 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,210.00 | 10/9/2020 | (2) | (672,600 | ) | (2,702 | ) | (7,968 | ) | 5,266 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,215.00 | 10/9/2020 | (1) | (336,300 | ) | (845 | ) | (3,692 | ) | 2,847 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,240.00 | 10/9/2020 | (3) | (1,008,900 | ) | (5,400 | ) | (19,952 | ) | 14,552 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,240.00 | 10/16/2020 | (8) | (2,690,400 | ) | (20,840 | ) | (43,859 | ) | 23,019 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,325.00 | 10/16/2020 | (1) | (336,300 | ) | (4,730 | ) | (5,689 | ) | 959 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,170.00 | 10/23/2020 | (10) | (3,363,000 | ) | (24,680 | ) | (67,872 | ) | 43,192 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,175.00 | 10/30/2020 | (4) | (1,345,200 | ) | (12,544 | ) | (27,402 | ) | 14,858 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,185.00 | 10/30/2020 | (2) | (672,600 | ) | (7,956 | ) | (13,659 | ) | 5,703 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,210.00 | 10/30/2020 | (3) | (1,008,900 | ) | (12,240 | ) | (22,259 | ) | 10,019 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,215.00 | 10/30/2020 | (2) | (672,600 | ) | (8,160 | ) | (14,478 | ) | 6,318 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Written Options |
| $ | (133,591 | ) | $ | (301,541 | ) | $ | 167,950 | |||||||||||||||||||||
|
|
|
|
|
|
Litman Gregory Funds Trust
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2020 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
The following is a summary of the significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation. Investments in securities and derivatives traded on a national securities exchange are valued at the last reported sales price at the close of regular trading on each day that the exchanges are open for trading. Securities listed on the NASDAQ Global Market, the NASDAQ Global Select Market and the NASDAQ Capital Market are valued using the NASDAQ Official Closing Price. Securities traded on an exchange for which there have been no sales are valued at the mean between the closing bid and asked prices. Debt securities maturing within 60 days or less are valued at amortized cost unless the Valuation Committee determines that amortized cost does not represent fair value. Securities for which market prices are not readily available or if a security’s value has materially changed after the close of the security’s primary market but before the close of trading on the New York Stock Exchange (“NYSE”), the securities are valued at fair value as determined in good faith by the Managers that selected the security for the Funds’ portfolio and the Trust’s Valuation Committee in accordance with procedures approved by the Board of Trustees (the “Board”). In determining fair value, the Funds take into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its net asset value may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining the fair value of a security. As a result, different mutual funds could reasonably arrive at a different value for the same security. For securities that do not trade during NYSE hours, fair value determinations are based on analyses of market movements after the close of those securities’ primary markets, and include reviews of developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. Pricing services are used to obtain closing market prices and to compute certain fair value adjustments utilizing computerized pricing models. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine.
Investments in other funds are valued at their respective net asset values as determined by those funds in accordance with the 1940 Act.
Debt securities generally trade in the over-the-counter market rather than on a securities exchange. The Funds’ pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at the close of the NYSE on the date that the values of the foreign debt securities are determined. Repurchase agreements are valued at cost, which approximates fair value.
Certain derivatives trade in the over-the-counter market. The Funds’ pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds’ net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
The Funds have procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
Senior Term Loans. The Alternative Strategies Fund and the High Income Alternatives Fund may invest in bank debt, which includes interests in loans to companies or their affiliates undertaken to finance a capital restructuring or in connection with recapitalizations, acquisitions, leveraged buyouts, refinancings or other financially leveraged transactions and may include loans which are designed to provide temporary or bridge financing to a borrower pending the sale of identified assets, the arrangement of longer-term loans or the issuance and sale of debt obligations. These loans, which may bear fixed or floating rates, have generally been arranged through private negotiations between a corporate borrower and one or more financial institutions (“Lenders”), including banks. The Alternative Strategies Fund’s and the High Income Alternatives Fund’s investments may be in the form of participations in loans (“Participations”) or of assignments of all or a portion of loans from third parties (“Assignments”).
Unfunded Loan Commitments. The Alternative Strategies Fund and the High Income Alternatives Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the Schedule of Investments.
Short Sales. Each Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When each Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. In addition, cash and certain investments in securities may be used to collateralize the securities sold short. Each day the securities sold short transaction is open, the liability to replace the borrowed security is marked to market and an unrealized gain or loss is recorded. While the transaction remains open, the Fund may also incur expenses for any dividends or interest which will be paid to the lender of the securities as well as a fee to borrow the delivered security. During the term of the short sale, the value of the securities pledged as collateral on short sales is required to exceed the value of the securities sold short. A gain, limited to the price at which each Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. Each Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.
Repurchase Agreements. Each Fund may enter into repurchase agreements through which the Fund acquires a security (the “underlying security”) from a seller, a well-established securities dealer or a bank that is a member of the Federal Reserve System. The bank or securities dealer agrees to repurchase the
underlying security at the same price, plus a specified amount of interest, at a later date, generally for a period of less than one week. It is the Trust’s policy that its Custodian takes possession of securities as collateral under repurchase agreements and to determine on a daily basis that the value of such securities, including recorded interest, is sufficient to cover the value of the repurchase agreements. The Trust’s policy states that the value of the collateral is at least 102% of the value of the repurchase agreement. If the counterparty defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the counterparty of the security, realization of the collateral by a Fund may be delayed or limited. At September 30, 2020, the Funds’ ongoing exposure to the economic return on repurchase agreements is shown on the Schedules of Investments.
Reverse repurchase agreements. The High Income Alternatives Fund may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are shown on the Schedules of Investments. Cash received in exchange for securities transferred under reverse repurchase agreements are reflected as reverse repurchase agreements on the Statements of Assets and Liabilities.
For the period ended September 30, 2020, the High Income Alternatives Fund had outstanding reverse repurchase agreement balance for 182 days. The average amount of borrowings was $2,307,048 and the average interest rate was 0.80% during the 182 day period.
Foreign Currency Translation. The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted at the close of the London Stock Exchange prior to when each Fund’s net asset value is next determined. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency transactions gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
Forward Foreign Currency Exchange Contracts. The Funds may utilize forward foreign currency exchange contracts (“forward contracts”) under which they are obligated to exchange currencies on specified future dates at specified rates, and are subject to foreign exchange rates fluctuations. All contracts are “marked-to-market” daily and any resulting unrealized gains or losses are recorded as unrealized appreciation or depreciation on foreign currency transactions. The Funds record realized gains or losses at the time the forward contract is settled. These gains and losses are reflected on the Statements of Operations as realized gain (loss) on foreign currency transactions. Counterparties to these forward contracts are major U.S. financial institutions.
Futures Contracts. The Alternative Strategies Fund and the High Income Alternatives Fund invest in financial futures contracts primarily for the purpose of hedging their existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as variation margin, are made or received by a Fund each day, depending on the daily fluctuations in the fair value of the underlying security. Each Fund recognizes a gain or loss equal to the daily variation margin. If market conditions move unexpectedly, a Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets.
Interest Rate Swaps. During the period ended September 30, 2020, the Alternative Strategies Fund and the High Income Alternatives Fund invested in interest rate swaps. An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin.
Credit Default Swaps. During the period ended September 30, 2020, the Alternative Strategies Fund and the High Income Alternatives Fund entered into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate issuers or indexes or to create exposure to corporate issuers or indexes to which they are not otherwise exposed. In a credit default swap, the protection buyer makes a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation which may be either a single security or a basket of securities issued by corporate or sovereign issuers. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain (for protection written) or loss (for protection sold). In the case of credit default swaps where a Fund is selling protection, the notional amount approximates the maximum loss. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin.
Total Return Swaps. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of London Interbank Offered Rate (“LIBOR”) based cash flows. A total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. Total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the Statement of Assets and Liabilities. The other leg of the swap, usually LIBOR, is a spread to reflect the non-Statement of Assets and Liabilities nature of the product. No notional amounts are exchanged with total return
swaps. The total return receiver assumes the entire economic exposure - that is, both market and credit exposure - to the reference asset. The total return payer - often the owner of the reference obligation - gives up economic exposure to the performance of the reference asset and in return takes on counterparty credit exposure to the total return receiver in the event of a default or fall in value of the reference asset.
Purchasing Put and Call Options. Each Fund may purchase covered “put” and “call” options with respect to securities which are otherwise eligible for purchase by a Fund and with respect to various stock indices subject to certain restrictions. Each Fund will engage in trading of such derivative securities primarily for hedging purposes.
If a Fund purchases a put option, a Fund acquires the right to sell the underlying security at a specified price at any time during the term of the option (for “American-style” options) or on the option expiration date (for “European-style” options). Purchasing put options may be used as a portfolio investment strategy when a portfolio manager perceives significant short-term risk but substantial long-term appreciation for the underlying security. The put option acts as an insurance policy, as it protects against significant downward price movement while it allows full participation in any upward movement. If a Fund is holding a stock which it feels has strong fundamentals, but for some reason may be weak in the near term, a Fund may purchase a put option on such security, thereby giving itself the right to sell such security at a certain strike price throughout the term of the option. Consequently, a Fund will exercise the put only if the price of such security falls below the strike price of the put. The difference between the put’s strike price and the market price of the underlying security on the date a Fund exercises the put, less transaction costs, will be the amount by which a Fund will be able to hedge against a decline in the underlying security. If during the period of the option the market price for the underlying security remains at or above the put’s strike price, the put will expire worthless, representing a loss of the price a Fund paid for the put, plus transaction costs. If the price of the underlying security increases, the profit a Fund realizes on the sale of the security will be reduced by the premium paid for the put option less any amount for which the put may be sold.
If a Fund purchases a call option, it acquires the right to purchase the underlying security at a specified price at any time during the term of the option. The purchase of a call option is a type of insurance policy to hedge against losses that could occur if a Fund has a short position in the underlying security and the security thereafter increases in price. Each Fund will exercise a call option only if the price of the underlying security is above the strike price at the time of exercise. If during the option period the market price for the underlying security remains at or below the strike price of the call option, the option will expire worthless, representing a loss of the price paid for the option, plus transaction costs. If the call option has been purchased to hedge a short position of a Fund in the underlying security and the price of the underlying security thereafter falls, the profit a Fund realizes on the cover of the short position in the security will be reduced by the premium paid for the call option less any amount for which such option may be sold.
Prior to exercise or expiration, an option may be sold when it has remaining value by a purchaser through a “closing sale transaction,” which is accomplished by selling an option of the same series as the option previously purchased. Each Fund generally will purchase only those options for which a Manager believes there is an active secondary market to facilitate closing transactions.
Writing Call Options. Each Fund may write covered call options. A call option is “covered” if a Fund owns the security underlying the call or has an absolute right to acquire the security without additional cash consideration (or, if additional cash consideration is required, cash or cash equivalents in such amount as are held in a segregated account by the Custodian). The writer of a call option receives a premium and gives the purchaser the right to buy the security underlying the option at the exercise price. The writer has the obligation upon exercise of the option to deliver the underlying security against payment of the exercise price during the option period. If the writer of an exchange-traded option wishes to terminate his obligation, he may effect a “closing purchase transaction.” This is accomplished by buying an option of the same series as the option previously written. A writer may not effect a closing purchase transaction after it has been notified of the exercise of an option.
Effecting a closing transaction in the case of a written call option will permit a Fund to write another call option on the underlying security with either a different exercise price, expiration date or both. Also, effecting a closing transaction will permit the cash or proceeds from the concurrent sale of any securities subject to the option to be used for other investments of a Fund. If a Fund desires to sell a particular security from its portfolio on which it has written a call option, it will effect a closing transaction prior to or concurrent with the sale of the security.
Each Fund will realize a gain from a closing transaction if the cost of the closing transaction is less than the premium received from writing the option or if the proceeds from the closing transaction are more than the premium paid to purchase the option. Each Fund will realize a loss from a closing transaction if the cost of the closing transaction is more than the premium received from writing the option or if the proceeds from the closing transaction are less than the premium paid to purchase the option. However, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss to a Fund resulting from the repurchase of a call option is likely to be offset in whole or in part by appreciation of the underlying security owned by a Fund.
Writing Put Options. Each Fund may write put options. By writing put options, the Fund takes on the risk of declines in the value of the underlying instrument, including the possibility of a loss up to the entire strike price of each option it sells, but without the corresponding opportunity to benefit from potential increases in the value of the underlying instrument. When the Fund writes a put option, it assumes the risk that it must purchase the underlying instrument at a strike price that may be higher than the market price of the instrument. If there is a broad market decline and the Fund is able to close out its written put options, it may result in substantial losses to the Fund.
Risks of Investing in Options. There are several risks associated with transactions in options on securities. Options may be more volatile than the underlying instruments and, therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. There are also significant differences between the securities and options markets that could result in an imperfect correlation between these markets, causing a given transaction not to achieve its objective. In addition, a liquid secondary market for particular options may be absent for reasons which include the following: there may be insufficient trading interest in certain options; restrictions may be imposed by an exchange on opening transactions or closing transactions or both; trading halts, suspensions or other restrictions may be imposed with respect to particular classes or series of option of underlying securities; unusual or unforeseen circumstances may interrupt normal operations on an exchange; the facilities of an exchange or clearing corporation may not at all times be adequate to handle current trading volume; or one or more exchanges could, for economic or other reasons, decide or be compelled at some future date to discontinue the trading of options (or a particular class or series of options), in which event the secondary market on that exchange (or in that class or series of options) would cease to exist, although outstanding options that had been issued by a clearing corporation as a result of trades on that exchange would continue to be exercisable in accordance with their terms.
A decision as to whether, when and how to use options involves the exercise of skill and judgment, and even a well-conceived transaction may be unsuccessful to some degree because of market behavior or unexpected events. The extent to which a Fund may enter into options transactions may be limited by the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), with respect to qualification of a Fund as a regulated investment company.
Restricted Securities. A restricted security cannot be resold to the general public without prior registration under the Securities Act of 1933. If the security is subsequently registered and resold, the issuers would typically bear the expense of all registrations at no cost to the Fund. Restricted securities are valued according to the guidelines and procedures adopted by the Funds’ Board of Trustees. As of September 30, 2020, there were no restricted securities held in the Funds.
Illiquid Securities. Each Fund may not invest more than 15% of the value of its net assets in illiquid securities, including restricted securities that are not deemed to be liquid by the Sub-Advisors. The Advisor and the Sub-Advisors will monitor the amount of illiquid securities in a Fund’s portfolio, under the supervision of the Board, to ensure compliance with a Fund’s investment restrictions. In accordance with procedures approved by the Board, these securities may be valued using techniques other than market quotations, and the values established for these securities may be different than what would be produced through the use of another methodology or if they had been priced using market quotations. Illiquid securities and other portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time, and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.
Fair Value of Financial Investments
The Funds follow a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Funds’ own market assumptions (unobservable inputs). These inputs are used in determining the value of each Fund’s investments and are summarized in the following fair value hierarchy:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, foreign exchange rates, and fair value estimates for foreign securities indices).
Level 3 – Significant unobservable inputs (including the Funds’ own assumptions in determining fair value of investments).
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, U.S. Treasury inflation protected securities, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services or sources. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The service providers’ internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis are typically marked to market daily until settlement at the forward settlement date.
Mortgage and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, estimated cash flows and market-based yield spreads for each tranche, current market data and incorporates deal collateral performance, as available.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
Mortgage and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Shares of the unregistered Underlying Funds are valued at their closing net asset value (“NAV”) as reported on each business day, as a practical expedient for fair value. Each of the unregistered Underlying Funds is daily valued and offer daily liquidity and hold no unfunded commitments. The shares of the open-end registered Underlying Funds are valued at NAV each business day. If the Underlying Funds’ designated representative to the Trustee determines, based on its own due diligence and investment monitoring procedures, that the reported NAV per share does not represent fair value, Underlying Funds’ designated representative to the Trustee shall estimate the fair value of the Underlying Funds in good faith and in a manner that it reasonably chooses.
Financial derivative instruments, such as foreign currency contracts, options contracts, futures, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers at the settlement price determined by the relevant exchange. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 1 or Level 2 of the fair value hierarchy.
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for each Fund as of September 30, 2020. These assets and liabilities are measured on a recurring basis.
Equity Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 218,610,062 | $ | — | $ | — | $ | 218,610,062 | ||||||||
Preferred Stock | 3,670,372 | — | — | 3,670,372 | ||||||||||||
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Total Equity | 222,280,434 | — | — | 222,280,434 | ||||||||||||
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Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 6,442,496 | — | 6,442,496 | ||||||||||||
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Total Investments in Securities | $ | 222,280,434 | $ | 6,442,496 | $ | — | $ | 228,722,930 | ||||||||
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(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
International Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 3,484,298 | $ | — | $ | 3,484,298 | ||||||||
Austria | — | 4,193,649 | — | 4,193,649 | ||||||||||||
Belgium | — | 6,326,663 | — | 6,326,663 | ||||||||||||
Bermuda | 3,605,219 | 4,357,065 | — | 7,962,284 | ||||||||||||
Canada | 3,108,510 | — | — | 3,108,510 | ||||||||||||
Cayman Islands | 7,390,176 | — | — | 7,390,176 | ||||||||||||
Denmark | — | 3,245,446 | — | 3,245,446 | ||||||||||||
Finland | — | 6,378,486 | — | 6,378,486 | ||||||||||||
France | 1,452,415 | 46,281,683 | — | 47,734,098 | ||||||||||||
Germany | — | 9,212,784 | — | 9,212,784 | ||||||||||||
Ireland | 6,125,868 | — | — | 6,125,868 | ||||||||||||
Israel | — | 4,132,355 | — | 4,132,355 | ||||||||||||
Japan | — | 38,776,125 | — | 38,776,125 | ||||||||||||
Mexico | 5,681,558 | — | — | 5,681,558 | ||||||||||||
Netherlands | — | 17,633,849 | — | 17,633,849 | ||||||||||||
Norway | — | 2,160,088 | — | 2,160,088 | ||||||||||||
South Africa | — | 3,336,037 | — | 3,336,037 | ||||||||||||
South Korea | — | 796,286 | — | 796,286 | ||||||||||||
Spain | — | 8,695,417 | 1,511,512 | ** | 10,206,929 | |||||||||||
Sweden | — | 21,801,523 | — | 21,801,523 | ||||||||||||
Switzerland | — | 16,840,844 | — | 16,840,844 | ||||||||||||
United Kingdom | — | 36,988,028 | — | 36,988,028 | ||||||||||||
United States | 2,299,680 | — | — | 2,299,680 | ||||||||||||
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Total Equity | 29,663,426 | 234,640,626 | 1,511,512 | ** | 265,815,564 | |||||||||||
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Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 7,990,174 | — | 7,990,174 | ||||||||||||
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Total Short-Term Investments | — | 7,990,174 | — | 7,990,174 | ||||||||||||
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Total Investments in Securities | $ | 29,663,426 | $ | 242,630,800 | $ | 1,511,512 | ** | $ | 273,805,738 | |||||||
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Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | (27,427 | ) | $ | — | $ | — | $ | (27,427 | ) | ||||||
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* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the International Fund. |
SBH Focused Small Value Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 9,378,981 | $ | — | $ | — | $ | 9,378,981 | ||||||||
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| |||||||||
Total Equity | 9,378,981 | — | — | 9,378,981 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 9,378,981 | $ | — | $ | — | $ | 9,378,981 | ||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
Smaller Companies Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 16,158,397 | $ | — | $ | — | $ | 16,158,397 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 16,158,397 | — | — | 16,158,397 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 1,995,393 | — | 1,995,393 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $16,158,397 | $ | 1,995,393 | $ | — | $ | 18,153,790 | |||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
Alternative Strategies Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 405,796,624 | $ | 27,945,679 | $ | 4,432,441 | ** | $ | 438,174,744 | |||||||
Preferred Stocks | 2,956,190 | — | 197,030 | ** | 3,153,220 | |||||||||||
Limited Partnerships | — | — | 883,186 | ** | 883,186 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 408,752,814 | 27,945,679 | 5,512,657 | ** | 442,211,150 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | 359,777 | 24,285 | — | 384,062 | ||||||||||||
Fixed Income | ||||||||||||||||
Asset-Backed Securities | — | 142,847,330 | 304,225 | ** | 143,151,555 | |||||||||||
Bank Loans | — | 20,552,298 | 6,162,005 | ** | 26,714,303 | |||||||||||
Convertible Bonds | — | 10,558,458 | — | 10,558,458 | ||||||||||||
Corporate Bonds | — | 432,458,866 | — | 432,458,866 | ||||||||||||
Government Securities & Agency Issue | — | 3,887,296 | — | 3,887,296 | ||||||||||||
Mortgage-Backed Securities | — | 269,056,723 | 1,854,590 | (1) | 270,911,313 | |||||||||||
Municipal Bonds | — | 2,657,933 | — | 2,657,933 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | — | 882,018,904 | 8,320,820 | ** | 890,339,724 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 69,752,058 | — | 69,752,058 | ||||||||||||
Treasury Bills | — | 33,393,795 | — | 33,393,795 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 103,145,853 | — | 103,145,853 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | 205,310 | — | — | 205,310 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investments Valued at NAV(2) | — | — | — | 1,638,769 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 409,317,901 | $ | 1,013,134,721 | $ | 13,833,477 | ** | $ | 1,437,924,868 | |||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income | ||||||||||||||||
Unfunded Loan Commitments | — | 269,010 | — | 269,010 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Assets | $ | 409,317,901 | $ | 1,013,403,731 | $ | 13,833,477 | ** | $ | 1,438,193,878 | |||||||
|
|
|
|
|
|
|
| |||||||||
Short Sales | ||||||||||||||||
Common Stocks | (58,583,113 | ) | — | — | (58,583,113 | ) | ||||||||||
Exchange-Traded Funds | (7,021,317 | ) | — | — | (7,021,317 | ) | ||||||||||
Corporate Bonds | — | (2,332,506 | ) | — | (2,332,506 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Sales | (65,604,430 | ) | (2,332,506 | ) | — | (67,936,936 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Liabilities | $ | (65,604,430 | ) | $ | (2,332,506 | ) | $ | — | $ | (67,936,936 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 60,824 | $ | — | $ | — | $ | 60,824 | ||||||||
Futures | (56,960 | ) | — | — | (56,960 | ) | ||||||||||
Swaps - Credit Default | — | (9,147,853 | ) | — | (9,147,853 | ) | ||||||||||
Swaps - Total Return | — | 1,132,895 | — | 1,132,895 | ||||||||||||
Written Options | (7,281 | ) | — | — | (7,281 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the Alternative Strategies Fund . |
(1) | These securities were priced by a pricing service; however, the Advisor/Sub-Advisor used their fair value procedures based on other available inputs which more accurately reflected the current fair value of these securities. |
(2) | As of September 30, 2020, certain of the Portfolio’s investments were valued using net asset value per unit as practical expedient (“NAV”) and have been excluded from the fair value hierarchy. |
In Alternative Strategies Fund, securities valued at $103,730 were transferred from Level 1 to Level 3 due to bankruptcy filing and no availability of pricing from approved price source.
In Alternative Strategies Fund, securities valued at $2,218,177 were transferred from Level 2 to Level 3 due to inability to obtain pricing of private issue from approved price source.
In Alternative Strategies Fund, securities valued at $1,576,800 were transferred from Level 2 to Level 3 due to liquidity discount applied to reflect odd lot nature of the securities.
In Alternative Strategies Fund, securities valued at $2,139 were transferred from Level 2 to Level 3 due to default and inability to obtain pricing from approved price source.
In Alternative Strategies Fund, securities valued at $269,820 were transferred from Level 3 to Level 1 due to availability of observable inputs to obtain pricing from approved pricing source.
High Income Alternatives Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 9,490,901 | $ | — | $ | — | $ | 9,490,901 | ||||||||
Preferred Stocks | 1,002,921 | — | — | 1,002,921 | ||||||||||||
Closed-End Funds | 498,979 | — | — | 498,979 | ||||||||||||
Exchange-Traded Fund | 229,007 | — | — | 229,007 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 11,221,808 | — | — | 11,221,808 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income | ||||||||||||||||
Asset-Backed Securities | — | 16,862,417 | — | 16,862,417 | ||||||||||||
Bank Loans | — | 11,542,122 | — | 11,542,122 | ||||||||||||
Corporate Bonds | — | 23,791,127 | — | 23,791,127 | ||||||||||||
Government Securities & Agency Issue | — | 14,511,059 | — | 14,511,059 | ||||||||||||
Mortgage-Backed Securities | — | 8,047,530 | — | 8,047,530 | ||||||||||||
Municipal Bond | — | 5,109 | — | 5,109 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | — | 74,759,364 | — | 74,759,364 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Money Market Fund | 875,014 | — | — | 875,014 | ||||||||||||
Repurchase Agreements | — | 1,021,699 | — | 1,021,699 | ||||||||||||
Treasury Bills | — | 59,968 | — | 59,968 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 875,014 | 1,081,667 | — | 1,956,681 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Interest Rate Swaptions | — | 93,344 | — | 93,344 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 12,096,822 | $ | 75,934,375 | $ | — | $ | 88,031,197 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income | ||||||||||||||||
Unfunded Loan Commitments | — | 25,792 | — | 25,792 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Assets | $ | 12,096,822 | $ | 75,960,167 | $ | — | $ | 88,056,989 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Reverse Repurchase Agreements | — | (2,858,915 | ) | — | (2,858,915 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Liabilities | $ | — | $ | (2,858,915 | ) | $ | — | $ | (2,858,915 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 109,948 | $ | — | $ | — | $ | 109,948 | ||||||||
Futures | (7,626 | ) | — | — | (7,626 | ) | ||||||||||
Swaps - Interest Rate | — | (115,176 | ) | — | (115,176 | ) | ||||||||||
Swaps - Credit Default | — | (3,384 | ) | — | (3,384 | ) | ||||||||||
Swaps - Total Return | — | (24,465 | ) | — | (24,465 | ) | ||||||||||
Written Options | (133,591 | ) | — | — | (133,591 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
In High Income Alternatives Fund, securities valued at $206,510 were transferred from Level 3 to Level 2 due to availability of observable inputs to obtain pricing from approved pricing source.
Principal Risks
Below are summaries of the principal risks of investing in one or more of the Funds, each of which could adversely affect a Fund’s net asset value, yield and total return. Each risk listed below does not necessarily apply to each Fund, and you should read a Fund’s prospectus carefully for a description of the principal risks associated with investing in a particular Fund.
• | Asset-Backed Securities Risk. This is the risk that the impairment of the value of the collateral underlying a security in which the High Income Alternatives Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. The value of these securities may also fluctuate in response to the market’s perception of the value of issuers or collateral. |
• | Below Investment-Grade Fixed Income Securities Risk. This is the risk of investing in below investment-grade fixed income securities (also known as “junk bonds”), which may be greater than that of higher rated fixed income securities. These securities are rated Ba1 through C by Moody’s Investors Service (“Moody’s”) or BB+ through D by Standard & Poor’s Rating Group (“S&P”) (or comparably rated by another nationally recognized statistical rating organization), or, if not rated by Moody’s or S&P, are considered by the sub-advisors to be of similar quality. These securities have greater risk of default than higher rated securities. The market value of these securities is more sensitive to corporate developments and economic conditions and can be volatile. Market conditions can diminish liquidity and make accurate valuations difficult to obtain. There is no limit to the Alternative Strategies Fund’s ability to invest in below investment-grade fixed income securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in below investment-grade fixed income securities. |
• | Capital Structure Arbitrage Risk. The perceived mispricing identified by the sub-advisor may not disappear or may even increase, in which case losses may be realized. |
• | Collateral Risk. If the Alternative Strategies Fund and High Income Alternatives Fund’s financial instruments are secured by collateral, the issuer may have difficulty liquidating the collateral and/or the Fund may have difficulty enforcing its rights under the terms of the securities if an issuer defaults. Collateral may be insufficient or the Fund’s right to the collateral may be set aside by a court. Collateral will generally consist of assets that may not be readily liquidated, including for example, equipment, inventory, work in the process of manufacture, real property and payments to become due under contracts or other receivable obligations. There is no assurance that the liquidation of those assets would satisfy an issuer’s obligations under a financial instrument. Non-affiliates and affiliates of issuers of financial instruments may provide collateral in the form of secured and unsecured guarantees and/or security interests in assets that they own, which may also be insufficient to satisfy an issuer’s obligations under a financial instrument. |
• | Collateralized Loan Obligations and Collateralized Debt Obligations Risk. Collateralized loan obligations (“CLOs”) bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As they are backed by pools of loans, CLOs also bear similar risks to investing in loans directly. CLOs issue classes or “tranches” that vary in risk and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The Alternative Strategies Fund and High Income Alternatives Fund’s investment in CLOs may decrease in market value when the CLO experiences loan defaults or credit impairment, the disappearance of a subordinate tranche, or market anticipation of defaults and investor aversion to CLO securities as a class. |
Collateralized debt obligations (“CDOs”) are structured similarly to CLOs and bear the same risks as CLOs including interest rate risk, credit risk and default risk. CDOs are subject to additional risks because they are backed by pools of assets other than loans including securities (such as other asset-backed securities), synthetic instruments or bonds and may be highly leveraged. Like CLOs, losses incurred by a CDO are borne first by holders of subordinate tranches. Accordingly, the risks of CDOs depend largely on the type of underlying collateral and the tranche of CDOs in which the Fund invests. For example, CDOs that obtain their exposure through synthetic investments entail the risks associated with derivative instruments.
• | Communications Services Sector Risk. A Fund may invest a portion of its assets in the communications services sector. Media and communications companies may be significantly affected by product and service obsolescence due to technological advancement or development, competitive pressures, substantial capital requirements, fluctuating demand and changes in regulation. |
• | Consumer Discretionary Sector Risk. A Fund may invest a portion of its assets in the consumer discretionary sector. The success of consumer product manufacturers and retailers is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer products and services in the marketplace. |
• | Convertible Arbitrage Risk. Arbitrage strategies involve engaging in transactions that attempt to exploit price differences of identical, related or similar securities on different markets or in different forms. A Fund may realize losses or reduced rate of return if underlying relationships among securities in which investment positions are taken change in an adverse manner or a transaction is unexpectedly terminated or delayed. Trading to seek short-term capital appreciation can be expected to cause the Fund’s portfolio turnover rate to be substantially higher than that of the average equity-oriented investment company, resulting in higher transaction costs and additional capital gains tax liabilities. |
• | Convertible Securities Risk. This is the risk that the market value of convertible securities may fluctuate due to changes in, among other things, interest rates; other general economic conditions; industry fundamentals; market sentiment; the issuer’s operating results, financial statements, and credit ratings; and the market value of the underlying common or preferred stock. |
• | Credit Risk. This is the risk that a Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty of a derivatives contract or other transaction, is unable or unwilling (or is perceived to be unable or unwilling) to make timely payment of principal and/or interest, or to otherwise honor its obligations. |
• | Currency Risk. This is the risk that investing in foreign currencies may expose the Fund to fluctuations in currency exchange rates and that such fluctuations in the exchange rates may negatively affect an investment related to a currency or denominated in a foreign currency. The Alternative Strategies Fund may invest in foreign currencies for investment and hedging purposes. All of the Funds may invest in foreign currencies for hedging purposes. |
• | Cybersecurity Risk. Information and technology systems relied upon by the Funds, the Advisor, the sub-advisors, the Funds’ service providers (including, but not limited to, Fund accountants, custodians, transfer agents, administrators, distributors and other financial intermediaries) and/or the issuers of securities in which a Fund invests may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons, security breaches, usage errors, power outages and catastrophic events such as fires, tornadoes, floods, hurricanes and earthquakes. Although the Advisor has implemented measures to manage risks relating to these types of events, if these systems are compromised, become inoperable for extended periods of time or cease to function properly, significant investment may be required to fix or replace them. The failure of these systems and/or of disaster recovery plans could cause significant interruptions in the operations of the Funds, the Advisor, the sub-advisors, the Funds’ service providers and/or issuers of securities in which a Fund invests and may result in a failure to maintain the security, confidentiality or privacy of sensitive data, including personal information relating to investors (and the beneficial owners of investors). Such a failure could also harm the reputation of the Funds, the Advisor, the sub-advisors, the Funds’ service providers and/or issuers of securities in which a Fund invests, subject such entities and their respective affiliates to legal claims or otherwise affect their business and financial performance. |
• | Debt Securities Risk. This is the risk that the value and liquidity of debt securities may be reduced under certain circumstances. The value of debt securities can fluctuate in response to issuer activity and changes in general economic and credit market conditions, including changes in interest rates. In recent years, dealer capacity in the debt and fixed income markets appears to have undergone fundamental changes, including a reduction in dealer market-making capacity. These changes have the potential to decrease substantially liquidity and increase volatility in the debt and fixed income markets. |
• | Derivatives Risk. This is the risk that an investment in derivatives may not correlate completely to the performance of the underlying securities and may be volatile and that the insolvency of the counterparty to a derivative instrument could cause the Fund to lose all or substantially all of its investment in the derivative instrument, as well as the benefits derived therefrom. |
• | Options Risk. This is the risk that an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves and may be subject to a complete loss of the amounts paid as premiums to purchase the options. |
• | Futures Contracts Risk. This is the risk that an investment in futures contracts may be subject to losses that exceed the amount of the premiums paid and may subject the Fund’s net asset value to greater volatility. |
• | P-Notes Risk. This is the risk that the performance results of P-Notes will not replicate exactly the performance of the issuers or markets that the P-Notes seek to replicate. Investments in P-Notes involve risks normally associated with a direct investment in the underlying securities as well as additional risks, such as counterparty risk. |
• | Swaps Risk. Risks inherent in the use of swaps include: (1) swap contracts may not be assigned without the consent of the counterparty; (2) potential default of the counterparty to the swap; (3) absence of a liquid secondary market for any particular swap at any time; and (4) possible inability of the Fund to close out the swap transaction at a time that otherwise would be favorable for it to do so. |
• | Distressed Companies Risk. A Fund may invest a portion of its assets in securities of distressed companies. Debt obligations of distressed companies typically are unrated, lower rated, in default or close to default and may be difficult to value accurately or may become worthless. |
• | Emerging Markets Risk. A Fund may invest a portion of its assets in emerging market countries. Emerging market countries are those with immature economic and political structures, and investing in emerging markets entails greater risk than in developed markets. Such risks could include those related to government dependence on a few industries or resources, government-imposed taxes on foreign investment or limits on the removal of capital from a country, unstable government, and volatile markets. |
• | Equity Securities Risk. This is the risk that the value of equity securities may fluctuate, sometimes rapidly and unpredictably, due to factors affecting the general market, an entire industry or sector, or particular companies. These factors include, without limitation, adverse changes in economic conditions, the general outlook for corporate earnings, interest rates or investor sentiment; increases in production costs; and significant management decisions. This risk is greater for small- and medium-sized companies, which tend to be more vulnerable to adverse developments than larger companies. |
• | Event-Driven Risk. Event-driven strategies seek to profit from the market inefficiencies surrounding market events, such as mergers, acquisitions, asset sales, restructurings, refinancings, recapitalizations, reorganizations or other special situations. Event-driven investing involves attempting to predict the outcome of a particular transaction as well as the optimal time at which to commit capital to it. Event-driven opportunities involve difficult legal as well as financial analysis, as some of the principal impediments to the consummation of major corporate events are often legal or regulatory rather than economic. In addition, certain of the securities issued in the context of major corporate events include complex call, put and other features, and it is difficult to precisely evaluate the terms and embedded option characteristics of these securities. A Fund may take both long and short positions in a wide range of securities, derivatives and other instruments in implementing its event-driven strategies. |
• | Financial Sector Risk. A Fund may invest a portion of its assets in the financial services sector and, therefore, the performance of the Fund could be negatively impacted by events affecting this sector, including changes in interest rates, government regulation, the rate of defaults on corporate, consumer and government debt and the availability and cost of capital. |
• | Foreign Investment and Emerging Markets Risks. This is the risk that an investment in foreign (non-U.S.) securities may cause the Funds to experience more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies, due to factors such as currency conversion rate fluctuations, currency blockages, political and economic instability, differences in financial reporting, accounting and auditing standards, nationalization, expropriation or confiscatory taxation, and smaller and less-strict regulation of securities markets. These risks are greater in emerging markets. There is no limit to the Alternative Strategies Fund’s ability to invest in emerging market securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in emerging market securities; however, some Funds may invest a portion of their assets in stocks of companies based outside of the United States. |
• | Healthcare Sector Risk. A Fund may invest a portion of its assets in the healthcare sector. The profitability of companies in the healthcare sector may be adversely affected by government regulations and government healthcare programs, increases or decreases in the cost of medical products and services and product liability claims, among other factors. Many healthcare companies are heavily dependent on patent protection, and the expiration of a company’s patent may adversely affect that company’s profitability. Healthcare companies are subject to competitive forces that may result in price discounting, and may be thinly capitalized and susceptible to product obsolescence. |
• | Industrial Sector Risk. A Fund may invest a portion of its assets in the industrial sector. Companies in the industrial sector could be affected by, among other things, government regulation, world events and global economic conditions, insurance costs, and labor relations issues. |
• | Interest Rate Risk. This is the risk that debt securities will decline in value because of changes in interest rates. A Fund with a longer average portfolio duration will be more sensitive to changes in interest rates than a Fund with a shorter average portfolio duration. |
• | Investment Selection Risk. The specific investments held in the Fund’s investment portfolio may underperform other funds in the same asset class or benchmarks that are representative of the general performance of the asset class because of a portfolio manager’s choice of securities. |
• | Investment in Investment Companies Risk. This is the risk that investing in other investment companies, including ETFs, CEFs, BDCs, unit investment trusts and open-end funds, subjects the Fund to those risks affecting the investment vehicle, including the possibility that the value of the underlying |
securities held by the investment vehicle could decrease or the portfolio becomes illiquid. Moreover, the High Income Alternatives Fund and its shareholders will incur its pro rata share of the underlying vehicles’ expenses, which will reduce the Fund’s performance. In addition, investments in an ETF are subject to, among other risks, the risk that the ETF’s shares may trade at a discount or premium relative to the net asset value of the shares and the listing exchange may halt trading of the ETF’s shares. BDCs may carry risks similar to those of a private equity or venture capital fund. BDC company securities are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. BDCs usually trade at a discount to their net asset value because they invest in unlisted securities and have limited access to capital markets. Shares of CEFs also frequently trade at a discount to their net asset value for those and other reasons. |
• | Investments in Loan Risk. Investments in loans, including loan syndicates and other direct lending opportunities, involve special types of risks, including credit risk, interest rate risk, counterparty risk and prepayment risk. Loans may offer a fixed or floating interest rate. Loans are often generally below investment grade and may be unrated. The High Income Alternatives Fund’s investments in loans can also be difficult to value accurately and may be more susceptible to liquidity risk than fixed-income instruments of similar credit quality and/or maturity. The Fund is also subject to the risk that the value of the collateral for the loan may be insufficient or unavailable to cover the borrower’s obligations should the borrower fail to make payments or become insolvent. Participations in loans may subject the Fund to the credit risk of both the borrower and the issuer of the participation and may make enforcement of loan covenants, if any, more difficult for the Fund as legal action may have to go through the issuer of the participations. Transactions in loans are often subject to long settlement periods, thus potentially limiting the ability of the Fund to invest sale proceeds in other investments and to use proceeds to meet its current redemption obligations. In addition, many banks have been weakened by the recent financial crisis, and it may be difficult for the Fund to obtain an accurate picture of a lending bank’s financial condition. |
• | Large Shareholder Purchase and Redemption Risk. This is the risk that a Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions may cause the Fund to sell its securities at times when it would not otherwise do so, which may negatively impact the Fund’s net asset value and liquidity. Similarly, large share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. |
• | Leverage Risk. This is the risk that leverage may cause the effect of an increase or decrease in the value of the Alternative Strategies Fund’s portfolio securities to be magnified and the Fund to be more volatile than if leverage was not used. Leverage may result from certain transactions, including the use of derivatives and borrowing. Under normal circumstances, the Alternative Strategies Fund may borrow amounts up to one third of the value of its total assets except that it may exceed this limit to satisfy redemption requests or for other temporary purposes. |
• | LIBOR Risk. LIBOR is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In addition, issuers of instruments in which a Fund invests may obtain financing at floating rates based on LIBOR, and a Fund may use leverage or borrowings based on LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. |
• | Market Risk. As with all mutual funds that invest in common stocks, the value of an individual’s investment will fluctuate daily in response to the performance of the individual stocks held in a Fund. The stock market has been subject to significant volatility recently, which has increased the risks associated with an investment in a Fund. |
• | Market Volatility Associated with COVID-19. The financial markets have recently been impacted by the outbreak of an infectious respiratory illness caused by a novel coronavirus known as COVID-19, which was first detected in China in December 2019 and has spread internationally. This coronavirus has resulted in international border closings, enhanced health screenings, expanded healthcare services and expenses, quarantines and other restrictions on business and personal activities, cancellations, disruptions to supply chains and consumer activity, as well as general public concern and uncertainty. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries, the financial health of individual companies and the market in general in significant and unforeseen ways. The future impact of COVID-19 is currently unknown and it may exacerbate other risks that apply to the Fund, including political, social and economic risks. Any such impact could adversely affect the Fund’s performance, the performance of the securities in which the Fund invests and may lead to losses on your investment in the Fund. |
• | Materials Sector Risk. A Fund may invest a portion of its assets in the materials sector. Many companies in this sector are significantly affected by the level and volatility of commodity prices, the exchange value of the U.S. dollar, import controls, worldwide competition, environmental policies and consumer demand. At times, worldwide production of industrial materials has exceeded demand as a result of over-building or economic downturns, leading to poor investment returns or losses. Other risks may include liabilities for environmental damage and general civil liabilities, depletion of resources, and mandated expenditures for safety and pollution control. The materials sector may also be affected by economic cycles, technical progress, labor relations, and government regulations. |
• | Merger Arbitrage Risk. This is the risk that a proposed reorganization in which the Alternative Strategies Fund invests may be renegotiated or terminated. |
• | MLP Risk. Investing in MLP units involves some risks that differ from an investment in the equity securities of a company. Holders of MLP units have limited control and voting rights on matters affecting the partnership. Holders of units issued by a MLP are exposed to a remote possibility of liability for all of the obligations of that MLP in the event that a court determines that the rights of the holders of MLP units to vote to remove or replace the general partner of that MLP, to approve amendments to that MLP’s partnership agreement, or to take other action under the partnership agreement of that MLP would constitute “control” of the business of that MLP, or a court or governmental agency determines that the MLP is conducting business in a state without complying with the partnership statute of that state. Holders of MLP units are also exposed to the risk that they will be required to repay amounts to the MLP that are wrongfully distributed to them. |
• | Mortgage-Backed Securities Risk. This is the risk of investing in mortgaged-backed securities, which includes interest rate risk, prepayment risk and the risk of defaults on the mortgage loans underlying these securities. |
• | Mortgage REIT Risk. Investing in mREITs involves certain risks related to investing in real property mortgages. In addition, mREITs must satisfy highly technical and complex requirements in order to qualify for the favorable tax treatment accorded to REITs under the Internal Revenue Code of 1986 (the “Code”). No assurances can be given that a mREIT in which the High Income Alternatives Fund invests will be able to continue to qualify as a REIT or that complying with the REIT requirements under the Code will not adversely affect such REIT’s ability to execute its business plan. |
• | Multi-Style Management Risk. Because portions of a Fund’s assets are managed by different portfolio managers using different styles, the Fund could experience overlapping security transactions. Certain portfolio managers may be purchasing securities at the same time other portfolio managers may be selling those same securities, which may lead to higher transaction expenses compared to a Fund using a single investment management style. |
• | Municipal Securities Risk. Municipal securities can be significantly affected by litigation, political or economic events, as well as uncertainties in the municipal market related to taxation, legislative changes or the rights of municipal security holders. Municipal securities backed by current or anticipated revenues from specific projects or assets can be negatively affected by the inability of the issuer to collect revenues for the projects or from the assets. |
• | Portfolio Turnover Risk. This is the risk that a Fund may experience high portfolio turnover rates as a result of its investment strategies. High portfolio turnover rates may indicate higher transaction costs and may result in higher taxes when shares of a Fund are held in a taxable account as compared to shares in investment companies that hold investments for a longer period. High portfolio turnover involves correspondingly greater expenses to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which may result in adverse tax consequences to a Fund’s shareholders as compared to shares in investment companies that hold investments for a longer period. |
• | Short Sale Risk. This is the risk that the value of a security the Alternative Strategies Fund sells short does not go down as expected. The risk of loss is theoretically unlimited if the value of the security sold short continues to increase. In addition, short sales may cause the Alternative Strategies Fund to be compelled, at a time disadvantageous to it, to buy the security previously sold short, thus resulting in a loss. To meet current margin requirements, the Alternative Strategies Fund is required to deposit with the broker additional cash or securities so that the total deposit with the broker is maintained daily at 150% of the current market value of the securities sold short. |
• | Smaller Companies Risk. A Fund may invest a portion of its assets in the securities of small- and mid-sized companies. Securities of small and mid-cap companies are generally more volatile and less liquid than the securities of large-cap companies. This is because smaller companies may be more reliant on a few products, services or key personnel, which can make it riskier than investing in larger companies with more diverse product lines and structured management. |
• | Special Situations Risk. Investments in special situations (undervalued equities, merger arbitrage situations, distressed companies, etc.) may involve greater risks when compared to other investments a Fund may make due to a variety of factors. For example, mergers, acquisitions, reorganizations, liquidations or recapitalizations may fail or not be completed on the terms originally contemplated, and expected developments may not occur in a timely manner, if at all. |
• | Technology Investment Risk. A Fund may invest a portion of its assets in the technology sector, which is a very volatile segment of the market. The nature of technology is that it is rapidly changing. Therefore, products or services that may initially look promising may subsequently fail or become obsolete. In addition, many technology companies are younger, smaller and unseasoned companies which may not have established products, an experienced management team, or earnings history. |
• | Unfavorable Tax Treatment Risk. This is the risk that a material portion of the Alternative Strategies Fund’s return could be in the form of net investment income or short-term capital gains, some of which may be distributed to shareholders and taxed at ordinary income tax rates. Therefore, shareholders may have a greater need to pay regular taxes than compared to other investment strategies that hold investments longer. Due to this investment strategy, it may be preferable for certain shareholders to invest in the Fund through pre-tax or tax-deferred accounts as compared to investment through currently taxable accounts. Potential shareholders are encouraged to consult their tax advisors in this regard. |
• | Value Stock Risk. Value stocks are stocks of companies that may have experienced adverse business or industry developments or may be subject to special risks that have caused the stocks to be out of favor and, in the opinion of the manager, undervalued. The value of a security believed by a manager to be undervalued may never reach what is believed to be its full (intrinsic) value, or such security’s value may decrease. |