CLS GLOBAL AGGRESSIVE EQUITY FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
EQUITY FUNDS — 99.7% | |||||||
DEVELOPED INTERNATIONAL - 21.6% | |||||||
402,000 | Davis Select International ETF | $ 8,120,400 | |||||
78,000 | iShares MSCI Europe Financials ETF | 1,535,040 | |||||
247,000 | iShares MSCI International Momentum Factor ETF | 9,667,580 | |||||
395,000 | Schwab Fundamental International Large Company Index ETF | 13,027,100 | |||||
32,350,120 | |||||||
EMERGING MARKETS - 13.7% | |||||||
416,000 | Invesco FTSE RAFI Emerging Markets ETF(a) | 9,335,040 | |||||
77,000 | iShares MSCI All Country Asia ex Japan ETF | 6,760,600 | |||||
25,000 | Nifty India Financials ETF(b),(c) | 856,750 | |||||
120,000 | PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF | 3,581,592 | |||||
20,533,982 | |||||||
GLOBAL - 5.3% | |||||||
343,000 | Cambria Global Value ETF(c) | 7,938,461 | |||||
LARGE-CAP CORE - 11.3% | |||||||
224,000 | VanEck Vectors Morningstar Wide Moat ETF(a) | 16,918,720 | |||||
LARGE-CAP GROWTH - 11.3% | |||||||
9,000 | Fidelity MSCI Communication Services Index ETF | 494,010 | |||||
35,000 | First Trust Cloud Computing ETF(a) | 3,703,350 | |||||
18,000 | iShares Semiconductor ETF(a) | 8,224,380 | |||||
25,000 | VanEck Vectors Retail ETF(a) | 4,415,500 | |||||
16,837,240 | |||||||
LARGE-CAP VALUE - 22.7% | |||||||
131,000 | Fidelity Value Factor ETF(c) | 6,422,930 | |||||
28,000 | iShares U.S. Broker-Dealers & Securities Exchanges ETF | 2,890,160 | |||||
46,500 | iShares U.S. Financial Services ETF(a) | 8,663,415 | |||||
102,000 | John Hancock Multi-Factor Energy ETF(c) | 1,953,779 | |||||
95,000 | John Hancock Multi-Factor Financials ETF(c) | 4,796,037 | |||||
93,000 | Vanguard U.S. Value Factor | 9,134,460 | |||||
33,860,781 | |||||||
SMALL/MID-CAP GROWTH - 10.9% | |||||||
35,000 | ARK Genomic Revolution ETF(a) | 2,952,250 | |||||
26,000 | ARK Innovation ETF(a) | 3,120,000 | |||||
CLS GLOBAL AGGRESSIVE EQUITY FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
EQUITY FUNDS — 99.7% (Continued) | |||||||
SMALL/MID-CAP GROWTH - 10.9% (Continued) | |||||||
40,000 | Invesco Dynamic Leisure and Entertainment ETF | $ 1,970,400 | |||||
37,000 | SPDR S&P Transportation ETF | 3,069,520 | |||||
40,000 | Vanguard US Momentum Factor ETF | 5,156,620 | |||||
16,268,790 | |||||||
SMALL/MID-CAP VALUE - 2.9% | |||||||
7,000 | Avantis U.S. Small Cap Value ETF | 513,730 | |||||
55,000 | VictoryShares USAA MSCI USA Small Cap Value Momentum ETF(a) | 3,871,395 | |||||
4,385,125 | |||||||
TOTAL EQUITY FUNDS (Cost $96,745,426) | 149,093,219 | ||||||
SHORT-TERM INVESTMENTS — 16.4% | |||||||
COLLATERAL FOR SECURITIES LOANED - 16.4% | |||||||
24,504,564 | Dreyfus Government Cash Management, Institutional Class, 0.03% (Cost $24,504,564)(d),(e) | 24,504,564 | |||||
TOTAL INVESTMENTS - 116.1% (Cost $121,249,990) | $ 173,597,783 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (16.1)% | (24,033,051) | ||||||
NET ASSETS - 100.0% | $ 149,564,732 | ||||||
(a) | All or a portion of the security is on loan. The total fair value of the securities on loan as of July 31, 2021 was $27,034,216. The loaned securities were secured with cash collateral of $24,504,564 and non-cash collateral of $3,110,252. The non-cash collateral consists of short-term investments and long-term bonds and is held for benefit of the Fund at the Fund’s custodian. The Fund cannot pledge or resell the collateral. |
(b) | Non-income producing security. |
(c) | Affiliated Company – CLS Global Aggressive Equity Fund holds in excess of 5% of outstanding voting securities of this security. |
(d) | Security was purchased with cash received as collateral for securities on loan at July 31, 2021. Total collateral had a value of $24,504,564 at July 31, 2021. |
(e) | Rate disclosed is the seven day effective yield as of July 31, 2021. |
CLS GLOBAL DIVERSIFIED EQUITY FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
EQUITY FUNDS — 98.6% | |||||||
COMMODITIES - 6.7% | |||||||
1,310,000 | Invesco DB Commodity Index Tracking Fund, N(a) | $ 25,545,000 | |||||
DEVELOPED INTERNATIONAL - 8.1% | |||||||
110,000 | Alpha Architect International Quantitative Value ETF | 3,170,200 | |||||
85,000 | Goldman Sachs ActiveBeta Europe Equity ETF(b) | 3,188,920 | |||||
263,000 | Invesco FTSE RAFI Developed Markets ex-US ETF | 12,576,660 | |||||
375,000 | iShares MSCI United Kingdom ETF(c) | 12,296,250 | |||||
31,232,030 | |||||||
EMERGING MARKETS - 31.0% | |||||||
584,000 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(c) | 22,519,040 | |||||
2,020,000 | Invesco FTSE RAFI Emerging Markets ETF(c) | 45,328,800 | |||||
600,000 | PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF | 17,907,960 | |||||
623,000 | WisdomTree Emerging Markets High Dividend Fund | 27,760,880 | |||||
185,500 | WisdomTree Emerging Markets Quality Dividend Growth Fund | 5,340,545 | |||||
118,857,225 | |||||||
GLOBAL - 7.3% | |||||||
375,000 | Davis Select Worldwide ETF | 11,610,000 | |||||
430,000 | FlexShares Global Upstream Natural Resources Index Fund | 16,258,300 | |||||
27,868,300 | |||||||
LARGE-CAP CORE - 13.1% | |||||||
1,245,000 | Davis Select Financial ETF(b)(c) | 37,138,350 | |||||
150,000 | DBX ETF Trust - Xtrackers Russell 1000 US QARP ETF(b) | 6,109,185 | |||||
140,000 | John Hancock Multi-Factor Health Care ETF(b) | 6,976,578 | |||||
50,224,113 | |||||||
LARGE-CAP VALUE - 14.1% | |||||||
175,000 | Direxion Russell 1000 Value Over Growth ETF(b) | 10,031,875 | |||||
721,000 | Fidelity Value Factor ETF(b)(c) | 35,350,630 | |||||
65,000 | John Hancock Multi-Factor Financials ETF(b) | 3,281,499 | |||||
150,000 | Legg Mason Low Volatility High Dividend ETF | 5,604,000 | |||||
54,268,004 | |||||||
LOW VOLATILITY EQUITIES - 1.4% | |||||||
50,000 | iShares MSCI Global Min Vol Factor ETF(c) | 5,239,500 | |||||
CLS GLOBAL DIVERSIFIED EQUITY FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
EQUITY FUNDS — 98.6% (Continued) | |||||||
SMALL/MID-CAP CORE - 7.7% | |||||||
554,000 | Schwab Fundamental U.S. Small Company Index ETF | $ 29,356,460 | |||||
SMALL/MID-CAP GROWTH - 3.3% | |||||||
200,000 | SPDR S&P Kensho New Economies Composite ETF | 12,728,000 | |||||
SMALL/MID-CAP VALUE - 5.9% | |||||||
521,000 | First Trust Financial AlphaDEX Fund(c) | 22,600,980 | |||||
TOTAL EQUITY FUNDS (Cost $255,843,178) | 377,919,612 | ||||||
SHORT-TERM INVESTMENTS — 13.9% | |||||||
COLLATERAL FOR SECURITIES LOANED - 12.5% | |||||||
47,914,150 | Dreyfus Government Cash Management, Institutional Class, 0.03% (Cost $47,914,150)(d),(e) | 47,914,150 | |||||
MONEY MARKET FUNDS - 1.4% | |||||||
5,314,433 | Federated Hermes Government Obligations Fund, Institutional Class, 0.01% (Cost $5,314,433)(e) | 5,314,433 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $53,228,583) | 53,228,583 | ||||||
TOTAL INVESTMENTS - 112.5% (Cost $309,071,761) | $ 431,148,195 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.5)% | (47,861,537) | ||||||
NET ASSETS - 100.0% | $ 383,286,658 | ||||||
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
QARP | - Quality At A Reasonable Price |
SPDR | - Standard & Poor's Depositary Receipt |
(a) | Non-income producing security. |
(b) | Affiliated Company – CLS Global Diversified Equity Fund holds in excess of 5% of outstanding voting securities of this security. |
CLS GLOBAL DIVERSIFIED EQUITY FUND | |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |
July 31, 2021 | |
(c) | All or a portion of the security is on loan. The total fair value of the securities on loan as of July 31, 2021 was $46,889,499. The loaned securities were secured with cash collateral of $47,914,150. The Fund cannot pledge or resell the collateral. |
(d) | Security was purchased with cash received as collateral for securities on loan at July 31, 2021. Total collateral had a value of $47,914,150 at July 31, 2021. |
(e) | Rate disclosed is the seven day effective yield as of July 31, 2021. |
CLS GROWTH AND INCOME FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
BOND FUNDS — 45.2% | |||||||
HIGH YIELD BONDS - 3.6% | |||||||
24,150 | First Trust ETF IV First Trust Tactical High Yield ETF | $ 1,168,619 | |||||
210,000 | SPDR Blackstone Senior Loan ETF | 9,622,200 | |||||
20,000 | VanEck Vectors High Yield Muni ETF | 1,277,400 | |||||
12,068,219 | |||||||
INTERMEDIATE/LONG-TERM BONDS - 28.8% | |||||||
664,963 | Fidelity Total Bond ETF | 35,768,360 | |||||
380,000 | First Trust TCW Opportunistic Fixed Income ETF(a) | 20,584,600 | |||||
117,500 | PIMCO Active Bond ETF | 13,151,775 | |||||
170,381 | Schwab US TIPS ETF | 10,885,642 | |||||
296,922 | SPDR Doubleline Total Return Tactical ETF | 14,424,471 | |||||
100,000 | Western Asset Total Return ETF | 2,741,500 | |||||
97,556,348 | |||||||
INTERNATIONAL BOND - 1.3% | |||||||
140,000 | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 4,355,400 | |||||
SHORT-TERM BONDS - 11.5% | |||||||
50,000 | Janus Henderson AAA CLO ETF(a) | 2,525,250 | |||||
323,234 | Janus Henderson Short Duration Income ETF | 16,223,114 | |||||
86,257 | PIMCO Enhanced Short Maturity Active ETF | 8,798,214 | |||||
35,000 | SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 1,072,400 | |||||
200,000 | Vanguard Short-Term Inflation-Protected Securities ETF | 10,522,000 | |||||
39,140,978 | |||||||
TOTAL BOND FUNDS (Cost $145,372,576) | 153,120,945 | ||||||
EQUITY FUNDS — 54.6% | |||||||
ALTERNATIVE - 1.4% | |||||||
146,874 | IQ Merger Arbitrage ETF(a) | 4,882,092 | |||||
COMMODITIES - 9.5% | |||||||
155,000 | Invesco DB Commodity Index Tracking Fund, N(b) | 3,022,500 | |||||
1,200,000 | Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF(a) | 24,444,000 | |||||
CLS GROWTH AND INCOME FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
EQUITY FUNDS — 54.6% (Continued) | |||||||
COMMODITIES - 9.5% (Continued) | |||||||
137,500 | iShares Gold Trust(b) | $ 4,752,000 | |||||
32,218,500 | |||||||
DEVELOPED INTERNATIONAL - 7.4% | |||||||
80,000 | JPMorgan BetaBuilders Europe ETF(a) | 4,762,400 | |||||
620,000 | Schwab Fundamental International Large Company Index ETF | 20,447,600 | |||||
25,210,000 | |||||||
EMERGING MARKETS - 8.5% | |||||||
232,800 | Invesco FTSE RAFI Emerging Markets ETF | 5,224,032 | |||||
110,200 | iShares Core MSCI Emerging Markets ETF | 6,965,742 | |||||
530,000 | Schwab Fundamental Emerging Markets Large Company Index ETF(a) | 16,573,100 | |||||
28,762,874 | |||||||
GLOBAL - 4.7% | |||||||
100,000 | Davis Select Worldwide ETF | 3,096,000 | |||||
200,772 | iShares Exponential Technologies ETF | 12,845,393 | |||||
15,941,393 | |||||||
LARGE-CAP CORE - 2.6% | |||||||
210,176 | Davis Select US Equity ETF | 7,242,034 | |||||
30,000 | John Hancock Multifactor Industrials ETF(c) | 1,581,591 | |||||
8,823,625 | |||||||
LARGE-CAP VALUE - 18.1% | |||||||
100,000 | Alpha Architect US Quantitative Value ETF | 3,476,610 | |||||
395,200 | iShares MSCI USA Value Factor ETF | 41,231,215 | |||||
60,000 | John Hancock Multi-Factor Financials ETF(c) | 3,029,076 | |||||
175,000 | Legg Mason Low Volatility High Dividend ETF | 6,538,000 | |||||
127,500 | SPDR S&P Global Natural Resources ETF | 6,725,625 | |||||
61,000,526 | |||||||
SMALL/MID-CAP CORE - 2.4% | |||||||
235,000 | John Hancock Multifactor Small Cap ETF(a) | 8,173,300 | |||||
TOTAL EQUITY FUNDS (Cost $130,028,908) | 185,012,310 | ||||||
CLS GROWTH AND INCOME FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
SHORT-TERM INVESTMENTS — 10.4% | |||||||
COLLATERAL FOR SECURITIES LOANED - 10.4% | |||||||
35,356,850 | Dreyfus Government Cash Management, Institutional Class, 0.03% (Cost $35,356,850)(d),(e) | $ 35,356,850 | |||||
TOTAL INVESTMENTS - 110.2% (Cost $310,758,334) | $ 373,490,105 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.2)% | (34,577,210) | ||||||
NET ASSETS - 100.0% | $ 338,912,895 | ||||||
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
SPDR | - Standard & Poor's Depositary Receipt |
(a) | All or a portion of the security is on loan. The total fair value of the securities on loan as of July 31, 2021 was $34,624,019. The loaned securities were secured with cash collateral of $35,356,850. The Fund cannot pledge or resell the collateral. |
(b) | Non-income producing security. |
(c) | Affiliated Company – CLS Growth and Income Fund holds in excess of 5% of outstanding voting securities of this security. |
(d) | Security was purchased with cash received as collateral for securities on loan at July 31, 2021. Total collateral had a value of $35,356,850 at July 31, 2021. |
(e) | Rate disclosed is the seven day effective yield as of July 31, 2021. |
CLS FLEXIBLE INCOME FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
BOND FUNDS — 94.1% | |||||||
HIGH YIELD BONDS - 18.0% | |||||||
123,500 | iShares 0-5 Year High Yield Corporate Bond ETF | $ 5,662,475 | |||||
20,145 | PIMCO 0-5 Year High Yield Corporate Bond Index ETF | 2,001,204 | |||||
357,439 | SPDR Blackstone Senior Loan ETF | 16,377,855 | |||||
39,700 | VanEck Vectors High Yield Muni ETF | 2,535,639 | |||||
46,000 | Xtrackers USD High Yield Corporate Bond ETF(a) | 1,852,420 | |||||
28,429,593 | |||||||
INTERMEDIATE/LONG-TERM BONDS - 39.3% | |||||||
30,000 | iShares 3-7 Year Treasury Bond ETF(a) | 3,952,200 | |||||
55,860 | iShares Trust iShares 5-10 Year Investment Grade Corporate Bond ETF | 3,413,046 | |||||
73,200 | Janus Henderson Mortgage-Backed Securities ETF | 3,903,756 | |||||
166,909 | PIMCO Active Bond ETF | 18,682,124 | |||||
649,500 | Quadratic Interest Rate Volatility and Inflation ETF(a) | 18,335,385 | |||||
100,689 | SPDR Doubleline Total Return Tactical ETF | 4,891,472 | |||||
92,483 | Vanguard Intermediate-Term Corporate Bond ETF | 8,886,691 | |||||
62,064,674 | |||||||
INTERNATIONAL BOND - 11.0% | |||||||
191,000 | First Trust Emerging Markets Local Currency Bond ETF | 6,553,630 | |||||
146,000 | iShares JP Morgan EM Local Currency Bond ETF(b) | 6,343,700 | |||||
40,350 | iShares JP Morgan USD Emerging Markets Bond ETF | 4,548,656 | |||||
17,445,986 | |||||||
PREFERRED SECURITY - 1.9% | |||||||
148,500 | First Trust Preferred Securities and Income ETF(a) | 3,066,525 | |||||
SHORT-TERM BONDS - 23.9% | |||||||
354,150 | Janus Henderson Short Duration Income ETF | 17,774,789 | |||||
81,447 | PIMCO Enhanced Short Maturity Active ETF(a) | 8,307,594 | |||||
223,100 | Vanguard Short-Term Inflation-Protected Securities ETF | 11,737,291 | |||||
37,819,674 | |||||||
TOTAL BOND FUNDS (Cost $145,712,174) | 148,826,452 | ||||||
CLS FLEXIBLE INCOME FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
EQUITY FUNDS — 4.5% | |||||||
DEVELOPED INTERNATIONAL - 1.1% | |||||||
52,000 | Schwab Fundamental International Large Company Index ETF | $ 1,714,960 | |||||
EMERGING MARKETS - 0.9% | |||||||
64,000 | Invesco FTSE RAFI Emerging Markets ETF | 1,436,160 | |||||
GLOBAL - 0.6% | |||||||
11,900 | iShares Global Healthcare ETF(a) | 1,024,709 | |||||
LARGE-CAP VALUE - 1.9% | |||||||
46,200 | JPMorgan US Value Factor ETF(a) | 1,685,838 | |||||
11,200 | Vanguard High Dividend Yield ETF(a) | 1,179,920 | |||||
2,865,758 | |||||||
TOTAL EQUITY FUNDS (Cost $5,561,284) | 7,041,587 | ||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | Fair Value | ||||
U.S. GOVERNMENT & AGENCIES — 1.1% | |||||||
INTERMEDIATE/LONG-TERM BONDS — 1.1% | |||||||
77,943 | Fannie Mae Pool MA0602 | 3.5000 | 12/01/30 | 82,964 | |||
184,835 | Fannie Mae Pool MA1107 | 3.5000 | 07/01/32 | 198,415 | |||
99,243 | Fannie Mae Pool 745089 | 6.0000 | 12/01/35 | 117,918 | |||
35,291 | Fannie Mae Pool 993076 | 6.0000 | 12/01/38 | 41,192 | |||
99,283 | Fannie Mae Pool AC5445 | 5.0000 | 11/01/39 | 113,392 | |||
56,880 | Fannie Mae Pool AD0571 | 5.5000 | 12/01/39 | 65,972 | |||
96,176 | Fannie Mae Pool 932541 | 4.0000 | 02/01/40 | 106,114 | |||
106,734 | Fannie Mae Pool AD1597 | 5.0000 | 02/01/40 | 121,380 | |||
62,331 | Fannie Mae Pool MA0389 | 5.5000 | 04/01/40 | 71,944 | |||
68,015 | Fannie Mae Pool AE5463 | 4.0000 | 10/01/40 | 74,583 | |||
184,253 | Fannie Mae Pool AJ1766 | 4.0000 | 06/01/41 | 203,162 | |||
136,593 | Fannie Mae Pool AJ1407 | 4.0000 | 09/01/41 | 149,293 | |||
94,947 | Fannie Mae Pool AJ7689 | 4.0000 | 12/01/41 | 104,103 | |||
98,113 | Freddie Mac Gold Pool A23148 | 5.5000 | 06/01/34 | 115,222 | |||
29,758 | Freddie Mac Gold Pool G02998 | 6.0000 | 05/01/37 | 35,402 | |||
39,175 | Freddie Mac Gold Pool G05833 | 6.5000 | 04/01/39 | 44,694 | |||
CLS FLEXIBLE INCOME FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
July 31, 2021 | |||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | Fair Value | ||||
U.S. GOVERNMENT & AGENCIES — 1.1% (Continued) | |||||||
INTERMEDIATE/LONG-TERM BONDS — 1.1% (Continued) | |||||||
91,918 | Freddie Mac Gold Pool G08435 | 4.5000 | 02/01/41 | $ 102,751 | |||
30,392 | Government National Mortgage Association | 3.5000 | 07/16/39 | 32,194 | |||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $1,655,621) | 1,780,695 | ||||||
Shares | Fair Value | ||||||
SHORT-TERM INVESTMENTS — 8.7% | |||||||
COLLATERAL FOR SECURITIES LOANED - 8.2% | |||||||
13,098,007 | Dreyfus Government Cash Management, Institutional Class, 0.03% (Cost $13,098,007)(c),(d) | 13,098,007 | |||||
MONEY MARKET FUNDS - 0.5% | |||||||
743,063 | Federated Hermes Government Obligations Fund, Institutional Class, 0.01% (Cost $743,063)(d) | 743,063 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,841,070) | 13,841,070 | ||||||
TOTAL INVESTMENTS - 108.4% (Cost $166,770,149) | $ 171,489,804 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.4)% | (13,228,013) | ||||||
NET ASSETS - 100.0% | $ 158,261,791 | ||||||
ETF | - Exchange-Traded Fund |
SPDR | - Standard & Poor's Depositary Receipt |
(a) | All or a portion of the security is on loan. The total fair value of the securities on loan as of July 31, 2021 was $13,777,773. The loaned securities were secured with cash collateral of $13,098,007 and non-cash collateral of $993,759. The non-cash collateral consists of short-term investments and long-term bonds and is held for benefit of the Fund at the Fund’s custodian. The Fund cannot pledge or resell the collateral. |
(b) | Non-income producing security. |
(c) | Security was purchased with cash received as collateral for securities on loan at July 31, 2021. Total collateral had a value of $13,098,007 at July 31, 2021. |
(d) | Rate disclosed is the seven day effective yield as of July 31, 2021. |
CLS SHELTER FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
EQUITY FUNDS — 98.8% | |||||||
DEVELOPED INTERNATIONAL - 14.7% | |||||||
435,000 | Goldman Sachs ActiveBeta International Equity ETF | $ 15,351,150 | |||||
230,000 | Schwab Fundamental International Large Company Index ETF | 7,585,400 | |||||
22,936,550 | |||||||
EMERGING MARKETS - 14.3% | |||||||
580,000 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a) | 22,364,800 | |||||
LARGE-CAP CORE - 49.5% | |||||||
237,000 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a) | 20,924,730 | |||||
175,000 | Invesco Russell 1000 Dynamic Multifactor ETF | 8,191,750 | |||||
45,000 | iShares MSCI USA Momentum Factor ETF(a) | 7,876,350 | |||||
566,000 | John Hancock Multi-Factor Large Cap ETF(a) | 31,418,660 | |||||
275,000 | Simplify US Equity PLUS Convexity ETF(b) | 8,683,895 | |||||
77,095,385 | |||||||
LARGE-CAP GROWTH - 10.3% | |||||||
117,000 | iShares MSCI USA Quality Factor ETF | 16,071,120 | |||||
LARGE-CAP VALUE - 5.0% | |||||||
80,000 | Vanguard U.S. Value Factor | 7,857,600 | |||||
SMALL/MID-CAP CORE - 5.0% | |||||||
147,000 | Schwab Fundamental U.S. Small Company Index ETF | 7,789,530 | |||||
TOTAL EQUITY FUNDS (Cost $145,835,467) | 154,114,985 | ||||||
SHORT-TERM INVESTMENTS — 6.7% | |||||||
COLLATERAL FOR SECURITIES LOANED - 5.4% | |||||||
8,395,270 | Dreyfus Government Cash Management, Institutional Class, 0.03% (Cost $8,395,270)(c),(d) | 8,395,270 | |||||
MONEY MARKET FUNDS - 1.3% | |||||||
1,981,986 | Federated Hermes Government Obligations Fund, Institutional Class, 0.01% (Cost $1,981,986)(d) | 1,981,986 | |||||
CLS SHELTER FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
July 31, 2021 | |||||||
Shares | Fair Value | ||||||
SHORT-TERM INVESTMENTS — 6.7% (Continued) | |||||||
MONEY MARKET FUNDS - 1.3% (Continued) | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,377,256) | 10,377,256 | ||||||
TOTAL INVESTMENTS - 105.5% (Cost $156,212,723) | $ 164,492,241 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.5)% | (8,562,009) | ||||||
NET ASSETS - 100.0% | $ 155,930,232 | ||||||
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
(a) | All or a portion of the security is on loan. The total fair value of the securities on loan as of July 31, 2021 was $8,226,477. The loaned securities were secured with cash collateral of $8,395,270. The Fund cannot pledge or resell the collateral. |
(b) | Affiliated Company – CLS Shelter Fund holds in excess of 5% of outstanding voting securities of this security. |
(c) | Security was purchased with cash received as collateral for securities on loan at July 31, 2021. Total collateral had a value of $8,395,270 at July 31, 2021. |
(d) | Rate disclosed is the seven day effective yield as of July 31, 2021. |