Arbitrage Fund | Portfolio of Investments |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 84.39% | ||||||||
Aerospace & Defense - 1.29% | ||||||||
Aerojet Rocketdyne Holdings, Inc.(a) | 372,480 | $ | 19,097,050 | |||||
Auto Manufacturers - 0.19% | ||||||||
Canoo, Inc.(a) | 215,690 | 2,773,773 | ||||||
Auto Parts & Equipment - 0.76% | ||||||||
Akasol AG(a)(b) | 32,974 | 4,774,176 | ||||||
Cooper Tire & Rubber Co. | 65,575 | 3,753,513 | ||||||
Romeo Power, Inc.(a) | 215,475 | 2,656,807 | ||||||
11,184,496 | ||||||||
Banks - 0.12% | ||||||||
CIT Group, Inc.(c) | 39,686 | 1,799,760 | ||||||
Beverages - 0.49% | ||||||||
Coca-Cola Amatil Ltd. | 708,163 | 7,296,155 | ||||||
Biotechnology - 4.30% | ||||||||
Alexion Pharmaceuticals, Inc.(a)(c) | 297,591 | 45,457,025 | ||||||
Pandion Therapeutics, Inc.(a) | 57,042 | 3,433,928 | ||||||
Viela Bio, Inc.(a) | 278,027 | 14,791,037 | ||||||
63,681,990 | ||||||||
Chemicals - 1.02% | ||||||||
Tikkurila Oyj | 371,716 | 15,159,103 | ||||||
Commercial Services - 10.89% | ||||||||
Cardtronics Plc, Class A(a)(c)(d) | 982,229 | 37,864,928 | ||||||
CoreLogic, Inc. | 627,782 | 53,148,024 | ||||||
HMS Holdings Corp.(a) | 379,470 | 13,958,804 | ||||||
IHS Markit Ltd. | 587,475 | 52,966,746 | ||||||
PRGX Global, Inc.(a) | 449,067 | 3,426,381 | ||||||
161,364,883 | ||||||||
Computers & Computer Services - 8.17% | ||||||||
58.COM, Inc., Class A(e) | 1,487,130 | 44,695,692 | ||||||
Cubic Corp.(c) | 229,720 | 15,954,054 | ||||||
MTS Systems Corp. | 539,279 | 31,472,323 | ||||||
Perspecta, Inc.(c) | 992,100 | 28,969,320 | ||||||
121,091,389 | ||||||||
Construction Materials - 0.50% | ||||||||
Forterra, Inc.(a) | 321,337 | 7,477,512 | ||||||
Diversified Financial Services - 4.67% | ||||||||
Boston Private Financial Holdings, Inc.(c) | 1,342,192 | 18,468,562 | ||||||
Eaton Vance Corp. | 407,509 | 29,776,683 | ||||||
Waddell & Reed Financial, Inc., Class A(c) | 836,867 | 20,996,993 | ||||||
69,242,238 | ||||||||
Electronics - 3.62% | ||||||||
Coherent, Inc.(c)(d) | 161,233 | 39,008,712 |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 84.39% (Continued) | ||||||||
Electronics - 3.62% (Continued) | ||||||||
FLIR Systems, Inc.(c) | 272,516 | $ | 14,552,354 | |||||
53,561,066 | ||||||||
Engineering & Construction - 1.41% | ||||||||
Aegion Corp.(a) | 566,204 | 14,636,373 | ||||||
Signature Aviation Plc(a) | 1,121,750 | 6,241,912 | ||||||
20,878,285 | ||||||||
Entertainment - 0.84% | ||||||||
William Hill Plc(a) | 3,281,677 | 12,371,920 | ||||||
Healthcare - Products - 2.15% | ||||||||
Cantel Medical Corp.(a)(c) | 187,127 | 13,899,793 | ||||||
Oxford Immunotec Global Plc(a)(c) | 815,205 | 17,893,750 | ||||||
31,793,543 | ||||||||
Healthcare - Services - 1.84% | ||||||||
Magellan Health, Inc.(a)(c) | 292,657 | 27,310,751 | ||||||
Housewares - 0.35% | ||||||||
Hunter Douglas N.V.(a) | 66,028 | 5,178,298 | ||||||
Insurance - 4.71% | ||||||||
TOWER Ltd.(a) | 9,485,696 | 5,106,149 | ||||||
Willis Towers Watson Plc(c) | 292,946 | 64,635,605 | ||||||
69,741,754 | ||||||||
Internet - 4.15% | ||||||||
Grubhub, Inc.(a) | 493,637 | 31,627,322 | ||||||
NIC, Inc. | 858,784 | 29,808,393 | ||||||
61,435,715 | ||||||||
Machinery - Diversified - 0.46% | ||||||||
Scapa Group Plc(a) | 2,264,665 | 6,846,635 | ||||||
Media - 0.27% | ||||||||
Tele Columbus AG(a)(b) | 1,016,404 | 3,967,219 | ||||||
Miscellaneous Manufacturing - 0.71% | ||||||||
Danimer Scientific, Inc.(a) | 275,860 | 10,518,542 | ||||||
Pharmaceuticals - 0.97% | ||||||||
GW Pharmaceuticals Plc, ADR(a)(c) | 34,245 | 7,336,991 | ||||||
PRA Health Sciences, Inc.(a) | 48,060 | 7,084,525 | ||||||
14,421,516 | ||||||||
Pipelines - 0.56% | ||||||||
Enable Midstream Partners LP | 1,244,532 | 8,238,802 | ||||||
Real Estate - 0.53% | ||||||||
CA Immobilien Anlagen AG | 184,226 | 7,901,983 | ||||||
Real Estate Investment Trusts - 0.24% | ||||||||
RDI REIT Plc | 2,116,554 | 3,597,515 |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 84.39% (Continued) | ||||||||
Retail - 2.34% | ||||||||
Applegreen Plc(a) | 1,658,083 | $ | 11,503,226 | |||||
Foundation Building Materials, Inc.(a)(e) | 553,392 | 10,652,796 | ||||||
Sportsman’s Warehouse Holdings, Inc.(a)(c) | 734,702 | 12,445,852 | ||||||
34,601,874 | ||||||||
Savings & Loans - 0.25% | ||||||||
People’s United Financial, Inc. | 203,437 | 3,649,660 | ||||||
Semiconductors - 8.04% | ||||||||
AVX Corp.(a)(e) | 1,022,500 | 6,390,625 | ||||||
Dialog Semiconductor Plc(a) | 116,645 | 9,063,533 | ||||||
Inphi Corp.(a)(c) | 62,993 | 10,368,018 | ||||||
Maxim Integrated Products, Inc.(a)(c) | 672,510 | 62,657,757 | ||||||
Xilinx, Inc.(c) | 234,822 | 30,597,307 | ||||||
119,077,240 | ||||||||
Software - 16.30% | ||||||||
Change Healthcare, Inc.(a)(c) | 1,486,831 | 34,003,825 | ||||||
Glu Mobile, Inc.(a)(c) | 1,746,092 | 21,791,228 | ||||||
MINDBODY, Inc., Class A(a)(e) | 843,793 | 30,798,445 | ||||||
Onemarket Ltd.(a)(e) | 111,800 | — | ||||||
Pluralsight, Inc., Class A(a) | 2,235,058 | 46,019,844 | ||||||
RealPage, Inc.(a)(c) | 580,753 | 50,397,745 | ||||||
Slack Technologies, Inc., Class A(a)(c) | 1,427,364 | 58,422,009 | ||||||
241,433,096 | ||||||||
Special Purpose Acquisition Companies - 0.72% | ||||||||
B Riley Principal 150 Merger Corp.(a) | 17,480 | 180,044 | ||||||
Class Acceleration Corp.(a) | 173,282 | 1,796,934 | ||||||
Edify Acquisition Corp.(a) | 10,397 | 106,569 | ||||||
Fast Acquisition Corp., Class A(a) | 148,872 | 1,709,051 | ||||||
Fusion Acquisition Corp.(a) | 162,368 | 1,857,490 | ||||||
G Squared Ascend I, Inc.(a) | 87,029 | 909,453 | ||||||
GigCapital4, Inc.(a) | 325,060 | 3,331,865 | ||||||
Tailwind International Acquisition Corp.(a) | 69,919 | 719,467 | ||||||
10,610,873 | ||||||||
Telecommunications - 1.18% | ||||||||
Acacia Communications, Inc.(a)(d) | 96,387 | 11,083,541 | ||||||
Orange Belgium SA | 233,270 | 6,417,107 | ||||||
17,500,648 | ||||||||
Water - 0.35% | ||||||||
Suez SA | 249,687 | 5,196,735 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $1,208,423,545) | 1,250,002,019 | |||||||
RIGHTS(a) - 0.13% | ||||||||
Bristol-Myers Squibb Co. CVR | 857,631 | 750,427 | ||||||
Contra Pfenex, Inc. CVR(e) | 1,108,177 | 863,713 |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
RIGHTS(a) - 0.13% (Continued) | ||||||||
Elanco Animal Health, Inc. CVR(e) | 1,124,589 | $ | — | |||||
Media General, Inc. CVR(e) | 613,589 | — | ||||||
NewStar Financial, Inc. CVR(e) | 1,514,945 | — | ||||||
Stemline Therapeutics, Inc. CVR(e) | 693,435 | 244,852 | ||||||
TOTAL RIGHTS | ||||||||
(Cost $2,274,067) | 1,858,992 |
Maturity Date | Rate | Principal Amount | Value | |||||||||||
CORPORATE BONDS - 0.35% | ||||||||||||||
Entertainment - 0.35% | ||||||||||||||
Stars Group Holdings B.V. / Stars Group US Co-Borrower LLC(a)(b) | 07/15/2026 | 7.000 | % | $ | 4,949,000 | $ | 5,191,155 | |||||||
TOTAL CORPORATE BONDS | ||||||||||||||
(Cost $5,191,471) | 5,191,155 |
Shares | Value | |||||||
MUTUAL FUNDS - 5.01% | ||||||||
Water Island Event-Driven Fund, Class I(f) | 6,605,365 | $ | 74,244,305 | |||||
TOTAL MUTUAL FUNDS | ||||||||
(Cost $60,632,644) | 74,244,305 | |||||||
PRIVATE INVESTMENTS(a)(e)(g) - 0.07% | ||||||||
Fast Capital LLC | 290,700 | 290,700 | ||||||
Fuse LLC | 725,800 | 659,817 | ||||||
Fuse Sponsor Capital, Z2 Shares | 72,580 | 65,982 | ||||||
TOTAL PRIVATE INVESTMENTS | ||||||||
(Cost $1,033,484) | 1,016,499 | |||||||
WARRANTS - 0.01% | ||||||||
Special Purpose Acquisition Companies - 0.01% | ||||||||
Fast Acquisition Corp., Class A, Exercise Price $11.50, Expires 08/25/2027(a) | 74,436 | 155,571 | ||||||
TOTAL WARRANTS | ||||||||
(Cost $129,343) | 155,571 |
Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||||
PURCHASED OPTIONS(a) - 0.04% | ||||||||||||||||||||
Call Options Purchased - 0.00%(h) | ||||||||||||||||||||
Acacia Communications, Inc. | 03/2021 | $ | 115.00 | $ | 23,687,940 | 2,060 | $ | 15,450 | ||||||||||||
Cardtronics Plc | 03/2021 | 40.00 | 1,900,515 | 493 | 6,163 |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||||
PURCHASED OPTIONS(a) - 0.04% (Continued) | ||||||||||||||||||||
Call Options Purchased - 0.00%(h) (Continued) | ||||||||||||||||||||
Marvell Technology Group Ltd. | 03/2021 | $ | 60.00 | $ | 4,436,932 | 919 | $ | 34,922 | ||||||||||||
TOTAL CALL OPTIONS PURCHASED | ||||||||||||||||||||
(Cost $344,968) | 56,535 | |||||||||||||||||||
Put Options Purchased - 0.04% | ||||||||||||||||||||
Churchill Capital Corp. IV | 07/2021 | 17.50 | 1,918,800 | 624 | 157,560 | |||||||||||||||
Coherent, Inc. | 03/2021 | 215.00 | 2,903,280 | 120 | 6,300 | |||||||||||||||
Defiance NextGen SPAC Derived | 08/2021 | 20.00 | 2,403,200 | 800 | 101,629 | |||||||||||||||
Star Peak Energy Transition Corp. | 07/2021 | 17.50 | 2,542,992 | 744 | 143,220 | |||||||||||||||
Switchback Energy Acquisition Corp. | 08/2021 | 17.50 | 2,104,498 | 578 | 159,817 | |||||||||||||||
TOTAL PUT OPTIONS PURCHASED | ||||||||||||||||||||
(Cost $742,176) | 568,526 | |||||||||||||||||||
TOTAL PURCHASED OPTIONS | ||||||||||||||||||||
(Cost $1,087,144) | 625,061 |
Yield | Shares | Value | ||||||||||
SHORT-TERM INVESTMENTS - 3.47% | ||||||||||||
Money Market Funds | ||||||||||||
Morgan Stanley Institutional Liquidity Fund Government Portfolio, Institutional Class | 0.026 | %(i) | 25,731,124 | $ | 25,731,124 | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 0.097 | %(i) | 25,731,124 | 25,731,124 | ||||||||
51,462,248 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $51,462,248) | 51,462,248 | |||||||||||
Total Investments - 93.47% | ||||||||||||
(Cost $1,330,233,946) | 1,384,555,850 | |||||||||||
Other Assets in Excess of Liabilities - 6.53%(j) | 96,658,182 | |||||||||||
NET ASSETS - 100.00% | $ | 1,481,214,032 |
Portfolio Footnotes
(a) | Non-income-producing security. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 28, 2021, these securities had a total value of $13,932,550 or 0.94% of net assets. |
(c) | Security, or a portion of security, is being held as collateral for short sales or forward foreign currency exchange contracts. At February 28, 2021, the aggregate fair market value of those securities was $515,352,190, representing 34.79% of net assets. |
(d) | Underlying security for a written/purchased call/put option. |
(e) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of February 28, 2021, the total fair market value of these securities was $94,662,622, representing 6.39% of net assets. |
(f) | Affiliated investment. |
(g) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
(h) | Less than 0.005% of net assets. |
(i) | Rate shown is the 7-day effective yield as of February 28, 2021. |
(j) | Includes cash held as collateral for short sales. |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
COMMON STOCKS - (17.93%) | ||||||||
Aerospace & Defense - (0.49%) | ||||||||
Teledyne Technologies, Inc. | (19,566 | ) | $ | (7,258,986 | ) | |||
Auto Manufacturers - (0.10%) | ||||||||
Canoo, Inc. | (114,450 | ) | (1,471,827 | ) | ||||
Auto Parts & Equipment - (0.25%) | ||||||||
Goodyear Tire & Rubber Co. (The) | (59,477 | ) | (999,808 | ) | ||||
Romeo Power, Inc. | (215,475 | ) | (2,656,807 | ) | ||||
(3,656,615 | ) | |||||||
Banks - (2.28%) | ||||||||
Morgan Stanley | (237,897 | ) | (18,287,143 | ) | ||||
SVB Financial Group | (30,634 | ) | (15,481,198 | ) | ||||
(33,768,341 | ) | |||||||
Commercial Services - (1.36%) | ||||||||
CoStar Group, Inc. | (22,785 | ) | (18,769,372 | ) | ||||
S&P Global, Inc. | (4,287 | ) | (1,411,966 | ) | ||||
(20,181,338 | ) | |||||||
Electronics - (1.20%) | ||||||||
II-VI, Inc. | (210,490 | ) | (17,744,307 | ) | ||||
Food - (2.05%) | ||||||||
Just Eat Takeaway.com N.V. | (315,484 | ) | (30,406,115 | ) | ||||
Healthcare - Products - (0.02%) | ||||||||
STERIS Plc | (1,790 | ) | (312,892 | ) | ||||
Healthcare - Services - (0.24%) | ||||||||
ICON Plc | (19,825 | ) | (3,581,981 | ) | ||||
Insurance - (4.86%) | ||||||||
Aon Plc, Class A | (316,380 | ) | (72,042,890 | ) | ||||
Miscellaneous Manufacturing - (0.64%) | ||||||||
Danimer Scientific, Inc. | (248,274 | ) | (9,466,687 | ) | ||||
Pharmaceuticals - (0.03%) | ||||||||
Jazz Pharmaceuticals Plc | (2,568 | ) | (431,527 | ) | ||||
Semiconductors - (2.79%) | ||||||||
Advanced Micro Devices, Inc. | (404,691 | ) | (34,200,437 | ) | ||||
Marvell Technology Group Ltd. | (146,333 | ) | (7,064,957 | ) | ||||
(41,265,394 | ) | |||||||
Software - (1.62%) | ||||||||
salesforce.com, Inc. | (110,746 | ) | (23,976,509 | ) | ||||
TOTAL COMMON STOCKS | ||||||||
(Proceeds $265,056,935) | (265,565,409 | ) |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
LIMITED PARTNERSHIPS - (0.55%) | ||||||||
Pipelines - (0.55%) | ||||||||
Energy Transfer Equity LP | (1,069,338 | ) | $ | (8,169,742 | ) | |||
TOTAL LIMITED PARTNERSHIPS | ||||||||
(Proceeds $7,415,713) | (8,169,742 | ) | ||||||
EXCHANGE-TRADED FUNDS - (0.42%) | ||||||||
Equity Funds - (0.42%) | ||||||||
iShares MSCI Australia ETF | (67,064 | ) | (1,643,739 | ) | ||||
iShares Russell 2000 ETF | (11,464 | ) | (2,502,706 | ) | ||||
iShares Russell 2000 Growth ETF | (6,876 | ) | (2,129,978 | ) | ||||
(6,276,423 | ) | |||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Proceeds $6,050,969) | (6,276,423 | ) | ||||||
TOTAL SECURITIES SOLD SHORT | ||||||||
(Proceeds $278,523,617) | $ | (280,011,574 | ) |
EQUITY SWAP CONTRACTS
Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | |||||||||||||
Morgan Stanley & Co./ Monthly | Analog Devices, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/12/2021 | $ | — | $ | — | $ | — | USD 66,015,948 | $ | — | |||||||||
Morgan Stanley & Co./ Monthly | AstraZeneca Plc | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/12/2021 | — | — | — | USD 30,584,530 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | First Citizen BancShares, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/12/2021 | — | — | — | USD 1,814,472 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | M & T Bank Corp. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/12/2021 | — | — | — | USD 3,623,466 | — |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | |||||||||||||
Morgan Stanley & Co./ Monthly | SPGI U.S. Equity | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/12/2021 | $ | — | $ | — | $ | — | USD 53,500,909 | $ | — | |||||||||
Morgan Stanley & Co./ Monthly | STERIS Plc | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/12/2021 | — | — | — | USD 10,738,663 | — | |||||||||||||
Goldman Sachs & Co./ Monthly | William Hill Plc | Paid 1 Month GBP LIBOR Plus 40 bps (0.427%) | 10/15/2021 | — | — | — | GBP 13,589,922 | — | |||||||||||||
Goldman Sachs & Co./ Monthly | Kaz Minerals Plc | Paid 1 Month GBP LIBOR Plus 60 bps (0.627%) | 10/29/2021 | — | — | — | GBP 7,705,244 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | G4S Plc | Paid 1 Month SONIA Minus 90 bps (-0.851%) | 11/30/2021 | — | — | — | GBP 8,205,101 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | Casline Plc | Paid 1 Month SONIA Plus 90 bps (0.949%) | 08/05/2022 | — | — | — | GBP 4,779,207 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | RSA Insurance Group Plc | Paid 1 Month SONIA Plus 50 bps GBP (0.549%) | 08/05/2022 | — | — | — | GBP 14,329,064 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | TalkTalk Telecom Group Plc | Paid 1 Month SONIA Plus 90 bps (0.949%) | 08/05/2022 | — | — | — | GBP 3,712,106 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | William Hill Plc | Paid 1 Month SONIA Plus 90 bps (0.948%) | 08/05/2022 | — | — | — | GBP 83,272 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | Natixis S.A. | Paid 1 Month EONIA Plus 50 bps (0.022%) | 02/10/2023 | — | — | — | EUR 4,667,763 | — | |||||||||||||
$ | — | $ | — |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||
AUD | 197,000 | USD | 149,679 | Morgan Stanley & Co. | 03/15/2021 | $ | 1,911 | |||||||||||
USD | 1,811,644 | AUD | 2,340,200 | Morgan Stanley & Co. | 03/15/2021 | 10,884 | ||||||||||||
CAD | 40,768,200 | USD | 31,880,989 | Morgan Stanley & Co. | 03/15/2021 | 155,714 | ||||||||||||
USD | 4,072,584 | CAD | 5,174,800 | Morgan Stanley & Co. | 03/15/2021 | 6,093 | ||||||||||||
EUR | 5,225,200 | USD | 6,292,399 | Morgan Stanley & Co. | 03/15/2021 | 13,928 | ||||||||||||
USD | 89,462,960 | EUR | 73,571,100 | Morgan Stanley & Co. | 03/15/2021 | 669,541 | ||||||||||||
GBP | 7,443,300 | USD | 10,261,871 | Morgan Stanley & Co. | 03/15/2021 | 108,864 | ||||||||||||
USD | 578,747 | GBP | 410,700 | Morgan Stanley & Co. | 03/15/2021 | 6,520 | ||||||||||||
NZD | 664,100 | USD | 476,635 | Morgan Stanley & Co. | 03/15/2021 | 3,215 | ||||||||||||
USD | 556,668 | NZD | 758,900 | Morgan Stanley & Co. | 03/15/2021 | 8,317 | ||||||||||||
USD | 9,599,664 | SEK | 80,367,400 | Morgan Stanley & Co. | 03/15/2021 | 80,485 | ||||||||||||
$ | 1,065,472 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||||
AUD | 9,370,000 | USD | 7,268,000 | Morgan Stanley & Co. | 03/15/2021 | $ | (57,887 | ) | ||||||||||
USD | 12,676,773 | AUD | 16,694,900 | Morgan Stanley & Co. | 03/15/2021 | (169,768 | ) | |||||||||||
CAD | 11,934,500 | USD | 9,409,475 | Morgan Stanley & Co. | 03/15/2021 | (31,037 | ) | |||||||||||
USD | 37,111,569 | CAD | 47,527,900 | Morgan Stanley & Co. | 03/15/2021 | (237,081 | ) | |||||||||||
EUR | 17,868,700 | USD | 21,797,438 | Morgan Stanley & Co. | 03/15/2021 | (231,594 | ) | |||||||||||
USD | 8,731,854 | EUR | 7,246,600 | Morgan Stanley & Co. | 03/15/2021 | (14,113 | ) | |||||||||||
USD | 65,986,371 | GBP | 48,887,400 | Morgan Stanley & Co. | 03/15/2021 | (2,128,341 | ) | |||||||||||
NZD | 237,200 | USD | 171,938 | Morgan Stanley & Co. | 03/15/2021 | (548 | ) | |||||||||||
USD | 5,118,581 | NZD | 7,209,200 | Morgan Stanley & Co. | 03/15/2021 | (90,484 | ) | |||||||||||
SEK | 80,367,400 | USD | 9,583,575 | Morgan Stanley & Co. | 03/15/2021 | (64,395 | ) | |||||||||||
$ | (3,025,248 | ) |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
The following is a summary of investments classified by country exposure:
Country | % of Net Assets(a) | |||
United Kingdom | 14.77 | % | ||
Cayman Islands | 3.02 | % | ||
Finland | 1.02 | % | ||
Ireland | 0.78 | % | ||
Netherlands | 0.70 | % | ||
Germany | 0.59 | % | ||
Austria | 0.53 | % | ||
Australia | 0.49 | % | ||
Belgium | 0.43 | % | ||
France | 0.35 | % | ||
New Zealand | 0.34 | % | ||
United States | 70.45 | % | ||
Other Assets in Excess of Liabilities | 6.53 | % | ||
100.00 | % |
(a) | These percentages represent long positions only and are not net of short positions. |
Abbreviations:
ADR - American Depositary Receipt
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.
AUD - Australian dollar
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
B.V. - Besloten Vennootschap is the Dutch term for private limited liability company.
CAD - Canadian dollar
CVR - Contingent Value Rights
EONIA - Euro OverNight Index Average
ETF - Exchange-Traded Fund
EUR - Euro
GBP - British pound
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds
LLC - Limited Liability Company
LP - Limited Partnership
Ltd. - Limited
MSCI - Morgan Stanley Capital International
N.V. - Naamloze Vennootschap is the Dutch term for a public limited liability corporation.
NZD - New Zealand dollar
Oyj - Osakeyhtio is the Finnish equivalent of a public limited company.
Plc - Public Limited Company
REIT - Real Estate Investment Trust
SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company.
SEK - Swedish krona
SONIA - Sterling OverNight Index Average
S&P - Standard & Poor’s
USD - United States Dollar
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Affiliated Issuer | Beginning Value as of May 31, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ Depreciation | Ending Value as of February 28, 2021 | Shares as of February 28, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||
Water Island Event-Driven Fund | $ | 66,223,311 | $ | 173,235 | $ | - | $ | - | $ | 7,847,759 | $ | 74,244,305 | 6,605,365 | $ | 173,235 | $ | - |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 19,097,050 | $ | — | $ | — | $ | 19,097,050 | ||||||||
Auto Manufacturers | 2,773,773 | — | — | 2,773,773 | ||||||||||||
Auto Parts & Equipment | 11,184,496 | — | — | 11,184,496 | ||||||||||||
Banks | 1,799,760 | — | — | 1,799,760 | ||||||||||||
Beverages | 7,296,155 | — | — | 7,296,155 | ||||||||||||
Biotechnology | 63,681,990 | — | — | 63,681,990 | ||||||||||||
Chemicals | 15,159,103 | — | — | 15,159,103 | ||||||||||||
Commercial Services | 161,364,883 | — | — | 161,364,883 | ||||||||||||
Computers & Computer Services | 76,395,697 | — | 44,695,692 | 121,091,389 | ||||||||||||
Construction Materials | 7,477,512 | — | — | 7,477,512 | ||||||||||||
Diversified Financial Services | 69,242,238 | — | — | 69,242,238 | ||||||||||||
Electronics | 53,561,066 | — | — | 53,561,066 | ||||||||||||
Engineering & Construction | 20,878,285 | — | — | 20,878,285 | ||||||||||||
Entertainment | 12,371,920 | — | — | 12,371,920 | ||||||||||||
Healthcare - Products | 31,793,543 | — | — | 31,793,543 | ||||||||||||
Healthcare - Services | 27,310,751 | — | — | 27,310,751 | ||||||||||||
Housewares | 5,178,298 | — | — | 5,178,298 | ||||||||||||
Insurance | 69,741,754 | — | — | 69,741,754 | ||||||||||||
Internet | 61,435,715 | — | — | 61,435,715 | ||||||||||||
Machinery - Diversified | 6,846,635 | — | — | 6,846,635 | ||||||||||||
Media | 3,967,219 | — | — | 3,967,219 | ||||||||||||
Miscellaneous Manufacturing | 10,518,542 | — | — | 10,518,542 | ||||||||||||
Pharmaceuticals | 14,421,516 | — | — | 14,421,516 | ||||||||||||
Pipelines | 8,238,802 | — | — | 8,238,802 | ||||||||||||
Real Estate | 7,901,983 | — | — | 7,901,983 | ||||||||||||
Real Estate Investment Trusts | 3,597,515 | — | — | 3,597,515 | ||||||||||||
Retail | 23,949,078 | — | 10,652,796 | 34,601,874 | ||||||||||||
Savings & Loans | 3,649,660 | — | — | 3,649,660 | ||||||||||||
Semiconductors | 112,686,615 | — | 6,390,625 | 119,077,240 | ||||||||||||
Software | 210,634,651 | — | 30,798,445 | 241,433,096 | ||||||||||||
Special Purpose Acquisition Companies | 10,610,873 | — | — | 10,610,873 | ||||||||||||
Telecommunications | 17,500,648 | — | — | 17,500,648 | ||||||||||||
Water | 5,196,735 | — | — | 5,196,735 | ||||||||||||
Rights | — | 750,427 | 1,108,565 | 1,858,992 | ||||||||||||
Corporate Bonds* | — | 5,191,155 | — | 5,191,155 | ||||||||||||
Mutual Funds | 74,244,305 | — | — | 74,244,305 | ||||||||||||
Private Investments | — | — | 1,016,499 | 1,016,499 | ||||||||||||
Warrants | 155,571 | — | — | 155,571 | ||||||||||||
Purchased Options | 625,061 | — | — | 625,061 | ||||||||||||
Short-Term Investments | 51,462,248 | — | — | 51,462,248 | ||||||||||||
TOTAL | $ | 1,283,951,646 | $ | 5,941,582 | $ | 94,662,622 | $ | 1,384,555,850 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,065,472 | $ | — | $ | 1,065,472 | ||||||||
Equity Swaps | 0 | — | — | 0 | ||||||||||||
Liabilities | ||||||||||||||||
Common Stocks* | (265,565,409 | ) | — | — | (265,565,409 | ) | ||||||||||
Limited Partnerships | (8,169,742 | ) | — | — | (8,169,742 | ) | ||||||||||
Exchange-Traded Funds* | (6,276,423 | ) | — | — | (6,276,423 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (3,025,248 | ) | — | (3,025,248 | ) | ||||||||||
TOTAL | $ | (280,011,574 | ) | $ | (1,959,776 | ) | $ | — | $ | (281,971,350 | ) |
* | Refer to Portfolio of Investments for sector information. |
** | Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts. |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended February 28, 2021:
Investments in Securities | Balance as of May 31, 2020 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2021 | Net change in Unrealized Appreciation (Depreciation) from investments still held as of February 28, 2021 | |||||||||||||||||||
Common Stocks | $ | 65,345,698 | $ | 566,198 | $ | 5,053,244 | $ | 51,485,448 | $ | (29,913,030 | ) | $ | - | $ | - | $ | 92,537,558 | $ | 5,403,083 | |||||||||
Rights | 840,340 | 567,862 | (425,958 | ) | 1,059,966 | (933,645 | ) | - | - | 1,108,565 | (425,958 | ) | ||||||||||||||||
Private Investments | 0 | - | (16,985 | ) | 1,033,484 | - | - | - | 1,016,499 | (16,985 | ) | |||||||||||||||||
Total | $ | 66,186,038 | $ | 1,134,060 | $ | 4,610,301 | $ | 53,578,898 | $ | (30,846,675 | ) | $ | - | $ | - | $ | 94,662,622 | $ | 4,960,140 |
Water Island Event-Driven Fund | Portfolio of Investments |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 92.82% | ||||||||
Aerospace & Defense - 1.31% | ||||||||
Aerojet Rocketdyne Holdings, Inc.(a) | 31,819 | $ | 1,631,360 | |||||
Auto Manufacturers - 0.33% | ||||||||
Canoo, Inc.(a) | 32,220 | 414,349 | ||||||
Auto Parts & Equipment - 0.88% | ||||||||
Akasol AG(a)(b) | 2,786 | 403,374 | ||||||
Cooper Tire & Rubber Co. | 5,571 | 318,884 | ||||||
Romeo Power, Inc.(a) | 30,447 | 375,412 | ||||||
1,097,670 | ||||||||
Biotechnology - 6.06% | ||||||||
Alexion Pharmaceuticals, Inc.(a)(c) | 39,321 | 6,006,283 | ||||||
Pandion Therapeutics, Inc.(a) | 4,807 | 289,381 | ||||||
Viela Bio, Inc.(a) | 23,612 | 1,256,158 | ||||||
7,551,822 | ||||||||
Chemicals - 0.93% | ||||||||
Tikkurila Oyj | 28,377 | 1,157,254 | ||||||
Commercial Services - 8.43% | ||||||||
Aaron's Co., Inc. (The)(a)(c) | 15,910 | 349,384 | ||||||
CoreLogic, Inc.(c) | 53,376 | 4,518,812 | ||||||
HMS Holdings Corp.(a)(c) | 31,360 | 1,153,578 | ||||||
IHS Markit Ltd.(c) | 49,634 | 4,475,001 | ||||||
10,496,775 | ||||||||
Computers & Computer Services - 10.03% | ||||||||
58.COM, Inc., Class A(a)(d) | 194,588 | 5,848,342 | ||||||
Cubic Corp.(c) | 19,290 | 1,339,690 | ||||||
DXC Technology Co.(c) | 6,962 | 175,582 | ||||||
MTS Systems Corp.(c) | 45,947 | 2,681,467 | ||||||
Perspecta, Inc.(c)(e) | 83,889 | 2,449,559 | ||||||
12,494,640 | ||||||||
Construction Materials - 0.51% | ||||||||
Forterra, Inc.(a) | 27,272 | 634,619 | ||||||
Diversified Financial Services - 2.94% | ||||||||
Boston Private Financial Holdings, Inc.(c) | 114,429 | 1,574,543 | ||||||
GCM Grosvenor, Inc., Class A(f) | 24,177 | 301,004 | ||||||
Waddell & Reed Financial, Inc., Class A(c) | 71,325 | 1,789,544 | ||||||
3,665,091 | ||||||||
Electronics - 3.62% | ||||||||
Coherent, Inc.(a)(e) | 13,688 | 3,311,675 | ||||||
FLIR Systems, Inc.(c) | 22,408 | 1,196,587 | ||||||
4,508,262 | ||||||||
Energy - Alternate Sources - 0.22% | ||||||||
Championx Corp.(a)(c) | 12,655 | 269,172 |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 92.82% (Continued) | ||||||||
Engineering & Construction - 1.58% | ||||||||
AECOM(a) | 3,484 | $ | 201,689 | |||||
Aegion Corp.(a)(c) | 48,039 | 1,241,808 | ||||||
Signature Aviation Plc(a) | 94,197 | 524,154 | ||||||
1,967,651 | ||||||||
Entertainment - 0.59% | ||||||||
Cineplex, Inc.(a) | 23,133 | 251,216 | ||||||
Entain Plc(a) | 24,463 | 481,577 | ||||||
732,793 | ||||||||
Food - 0.37% | ||||||||
Whole Earth Brands, Inc.(a) | 36,352 | 466,396 | ||||||
Hand/Machine Tools - 0.55% | ||||||||
Regal Beloit Corp.(c) | 4,964 | 678,430 | ||||||
Healthcare - Products - 2.23% | ||||||||
Butterfly Network, Inc.(a) | 5,362 | 102,146 | ||||||
Cantel Medical Corp.(a)(c) | 15,502 | 1,151,489 | ||||||
Oxford Immunotec Global Plc(a)(c) | 69,459 | 1,524,625 | ||||||
2,778,260 | ||||||||
Healthcare - Services - 1.85% | ||||||||
Magellan Health, Inc.(a)(c) | 24,653 | 2,300,618 | ||||||
Insurance - 4.40% | ||||||||
Willis Towers Watson Plc(c) | 24,811 | 5,474,299 | ||||||
Internet - 5.72% | ||||||||
Boingo Wireless, Inc.(a)(c) | 57,563 | 656,218 | ||||||
Grubhub, Inc.(a)(c) | 62,456 | 4,001,556 | ||||||
NIC, Inc. | 71,118 | 2,468,506 | ||||||
7,126,280 | ||||||||
Leisure Time - 0.20% | ||||||||
Callaway Golf Co.(c) | 8,734 | 244,115 | ||||||
Machinery - Diversified - 0.47% | ||||||||
Scapa Group Plc(a) | 191,334 | 578,449 | ||||||
Media - 0.34% | ||||||||
TEGNA, Inc.(c)(e) | 23,194 | 422,827 | ||||||
Miscellaneous Manufacturing - 1.25% | ||||||||
Danimer Scientific, Inc.(a) | 40,960 | 1,561,805 | ||||||
Pharmaceuticals - 0.97% | ||||||||
GW Pharmaceuticals Plc, ADR(a)(c) | 2,836 | 607,613 | ||||||
PRA Health Sciences, Inc.(a) | 4,070 | 599,959 | ||||||
1,207,572 | ||||||||
Pipelines - 0.56% | ||||||||
Enable Midstream Partners LP(a)(c) | 105,386 | 697,655 |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 92.82% (Continued) | ||||||||
Real Estate - 0.79% | ||||||||
CA Immobilien Anlagen AG | 15,489 | $ | 664,368 | |||||
Entra ASA(b) | 15,042 | 312,963 | ||||||
977,331 | ||||||||
Real Estate Investment Trusts - 0.24% | ||||||||
RDI REIT Plc | 178,384 | 303,200 | ||||||
Retail - 1.45% | ||||||||
Applegreen Plc(a) | 140,130 | 972,175 | ||||||
Foundation Building Materials, Inc.(a)(d) | 43,264 | 832,832 | ||||||
1,805,007 | ||||||||
Semiconductors - 7.54% | ||||||||
Dialog Semiconductor Plc(a) | 9,900 | 769,248 | ||||||
Inphi Corp.(a)(c) | 5,291 | 870,846 | ||||||
Maxim Integrated Products, Inc.(c) | 27,951 | 2,604,195 | ||||||
Xilinx, Inc.(c) | 39,514 | 5,148,674 | ||||||
9,392,963 | ||||||||
Software - 20.42% | ||||||||
Change Healthcare, Inc.(a)(c) | 189,766 | 4,339,948 | ||||||
E2open Parent Holdings, Inc.(a) | 21,926 | 203,035 | ||||||
Glu Mobile, Inc.(a)(c) | 148,145 | 1,848,850 | ||||||
MINDBODY, Inc., Class A(a)(d) | 48,463 | 1,768,899 | ||||||
Pluralsight, Inc., Class A(a) | 298,396 | 6,143,974 | ||||||
RealPage, Inc.(a)(c) | 56,122 | 4,870,267 | ||||||
Slack Technologies, Inc., Class A(a)(c) | 152,954 | 6,260,407 | ||||||
25,435,380 | ||||||||
Special Purpose Acquisition Companies - 5.69% | ||||||||
Altimar Acquisition Corp., Class A(a) | 37,596 | 383,479 | ||||||
Artius Acquisition, Inc., Class A(a) | 16,206 | 176,321 | ||||||
B Riley Principal 150 Merger Corp.(a) | 1,484 | 15,285 | ||||||
Bull Horn Holdings Corp.(a) | 40,295 | 430,351 | ||||||
CC Neuberger Principal Holdings II, Class A(a) | 16,172 | 172,717 | ||||||
Class Acceleration Corp.(a) | 14,769 | 153,155 | ||||||
DPCM Capital, Inc.(a) | 33,703 | 373,935 | ||||||
Edify Acquisition Corp.(a) | 886 | 9,082 | ||||||
Fast Acquisition Corp., Class A(a) | 22,410 | 257,267 | ||||||
Foley Trasimene Acquisition Corp., Class A(a) | 8,367 | 87,017 | ||||||
Fusion Acquisition Corp.(a) | 21,193 | 242,448 | ||||||
G Squared Ascend I, Inc.(a) | 7,323 | 76,525 | ||||||
GigCapital4, Inc.(a) | 27,349 | 280,327 | ||||||
Golden Falcon Acquisition Corp.(a) | 27,399 | 297,279 | ||||||
Hudson Executive Investment Corp., Class A(a) | 26,482 | 284,417 | ||||||
Kingswood Acquisition Corp.(a) | 26,984 | 296,824 | ||||||
Lefteris Acquisition Corp.(a) | 27,053 | 301,911 | ||||||
Live Oak Acquisition Corp. II(a) | 13,526 | 151,491 | ||||||
MedTech Acquisition Corp.(a) | 13,699 | 148,360 | ||||||
Oaktree Acquisition Corp. II(a) | 26,432 | 284,673 | ||||||
Omnichannel Acquisition Corp.(a) | 27,132 | 300,623 |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 92.82% (Continued) | ||||||||
Special Purpose Acquisition Companies - 5.69% (Continued) | ||||||||
Roman DBDR Tech Acquisition Corp.(a) | 26,980 | $ | 295,431 | |||||
Roth Ch Acquisition II Co.(a) | 31,090 | 357,535 | ||||||
Seaport Global Acquisition Corp.(a) | 29,756 | 326,126 | ||||||
Spartacus Acquisition Corp.(a) | 26,962 | 291,998 | ||||||
Sustainable Opportunities Acquisition Corp., Class A(a) | 13,337 | 140,572 | ||||||
Tailwind International Acquisition Corp.(a) | 5,936 | 61,081 | ||||||
Thunder Bridge Acquisition II Ltd., Class A(a) | 32,542 | 345,921 | ||||||
Trebia Acquisition Corp., Class A(a) | 21,186 | 225,207 | ||||||
Vy Global Growth(a) | 26,962 | 321,657 | ||||||
7,089,015 | ||||||||
Water - 0.35% | ||||||||
Suez SA | 20,967 | 436,386 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $112,039,026) | 115,597,446 | |||||||
RIGHTS(a) - 0.08% | ||||||||
Bristol-Myers Squibb Co. CVR | 67,803 | 59,328 | ||||||
Stemline Therapeutics, Inc. CVR(d) | 121,306 | 42,833 | ||||||
TOTAL RIGHTS | ||||||||
(Cost $150,812) | 102,161 |
Maturity Date | Rate | Principal Amount | Value | |||||||||||
CORPORATE BONDS(b) - 2.74% | ||||||||||||||
Commercial Services - 0.31% | ||||||||||||||
Nielsen Co. Luxembourg SARL (The) | 10/01/2021 | 5.500 | % | $ | 386,000 | $ | 386,965 | |||||||
Entertainment - 1.34% | ||||||||||||||
Stars Group Holdings B.V. / Stars Group US Co-Borrower LLC | 07/15/2026 | 7.000 | % | 1,585,000 | 1,662,554 | |||||||||
Telecommunications - 1.09% | ||||||||||||||
Cincinnati Bell, Inc. | 07/15/2024 | 7.000 | % | 1,305,000 | 1,357,200 | |||||||||
TOTAL CORPORATE BONDS | ||||||||||||||
(Cost $3,385,754) | 3,406,719 | |||||||||||||
CONVERTIBLE CORPORATE BONDS - 1.51% | ||||||||||||||
Entertainment - 0.35% | ||||||||||||||
Cineplex, Inc.(b) | 09/30/2025 | 5.750 | % | 392,000 | 431,243 | |||||||||
Pharmaceuticals - 1.16% | ||||||||||||||
Dermira, Inc. | 05/15/2022 | 3.000 | % | 1,430,000 | 1,444,300 | |||||||||
TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
(Cost $1,727,785) | 1,875,543 |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
WARRANTS(a) - 0.20% | ||||||||
Software - 0.02% | ||||||||
E2open Parent Holdings, Inc., Exercise Price $11.50, Expires 12/31/2025 | 15,339 | $ | 28,684 | |||||
Special Purpose Acquisition Companies - 0.18% | ||||||||
Altimar Acquisition Corp., Class A, Exercise Price $11.50, Expires 12/31/2025 | 12,532 | 19,863 | ||||||
Artius Acquisition, Inc., Class A, Exercise Price $11.50, Expires 07/13/2026 | 5,402 | 15,018 | ||||||
CC Neuberger Principal Holdings II, Class A, Exercise Price $11.50, Expires 07/29/2025 | 4,043 | 7,884 | ||||||
Churchill Capital Corp. IV, Class A, Exercise Price $11.50, Expires 09/18/2025 | 4,250 | 66,512 | ||||||
Fast Acquisition Corp., Class A, Exercise Price $11.50, Expires 08/25/2027 | 11,205 | 23,418 | ||||||
Foley Trasimene Acquisition Corp., Class A, Exercise Price $11.50, Expires 07/17/2025 | 7,062 | 13,418 | ||||||
Hudson Executive Investment Corp.,Class A, Exercise Price $11.50, Expires 06/21/2025 | 13,241 | 26,482 | ||||||
Sustainable Opportunities Acquisition Corp.,Class A, Exercise Price $11.50, Expires 06/26/2025 | 20,245 | 36,846 | ||||||
Trebia Acquisition Corp., Class A, Exercise Price $11.50, Expires 12/31/2025 | 7,062 | 14,548 | ||||||
223,989 | ||||||||
TOTAL WARRANTS | ||||||||
(Cost $135,107) | 252,673 | |||||||
PRIVATE INVESTMENTS(a)(d)(g) - 0.06% | ||||||||
Fast Capital LLC | 22,800 | 22,800 | ||||||
Fuse LLC | 56,600 | 51,455 | ||||||
Fuse Sponsor Capital, Z2 Shares | 5,660 | 5,145 | ||||||
TOTAL PRIVATE INVESTMENTS | ||||||||
(Cost $80,727) | 79,400 |
Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||||
PURCHASED OPTIONS(a) - 0.07% | ||||||||||||||||||||
Call Options Purchased - 0.03% | ||||||||||||||||||||
Acacia Communications, Inc. | 03/2021 | $ | 115.00 | $ | 1,989,327 | 173 | $ | 1,298 | ||||||||||||
Marvell Technology Group Ltd. | 03/2021 | 60.00 | 376,584 | 78 | 2,964 | |||||||||||||||
Perspecta, Inc. | 03/2021 | 30.00 | 508,080 | 174 | 3,045 | |||||||||||||||
TEGNA, Inc. | 04/2021 | 18.00 | 410,175 | 225 | 29,250 | |||||||||||||||
TOTAL CALL OPTIONS PURCHASED | ||||||||||||||||||||
(Cost $64,906) | 36,557 | |||||||||||||||||||
Put Options Purchased - 0.04% | ||||||||||||||||||||
Churchill Capital Corp. IV | 07/2021 | 17.50 | 159,900 | 52 | 13,130 | |||||||||||||||
Coherent, Inc. | 03/2021 | 215.00 | 241,940 | 10 | 525 | |||||||||||||||
Defiance NextGen SPAC Derived | 08/2021 | 20.00 | 201,268 | 67 | 8,511 | |||||||||||||||
Star Peak Energy Transition Corp. | 07/2021 | 17.50 | 211,916 | 62 | 11,935 |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||||
PURCHASED OPTIONS(a) - 0.07% (Continued) | ||||||||||||||||||||
Put Options Purchased - 0.04% (Continued) | ||||||||||||||||||||
Switchback Energy Acquisition Corp. | 08/2021 | $ | 17.50 | $ | 673,344 | 48 | $ | 13,272 | ||||||||||||
TOTAL PUT OPTIONS PURCHASED | ||||||||||||||||||||
(Cost $61,830) | 47,373 | |||||||||||||||||||
TOTAL PURCHASED OPTIONS | ||||||||||||||||||||
(Cost $126,736) | 83,930 |
Yield | Shares | Value | ||||||||||
SHORT-TERM INVESTMENT - 0.04% | ||||||||||||
Money Market Fund | ||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class(h) | 0.097 | %(i) | 51,000 | $ | 51,000 | |||||||
| ||||||||||||
TOTAL SHORT-TERM INVESTMENT | ||||||||||||
(Cost $51,000) | 51,000 | |||||||||||
| ||||||||||||
Total Investments - 97.52% | ||||||||||||
(Cost $117,696,947) | 121,448,872 |
| ||||||||||
Other Assets in Excess of Liabilities - 2.48%(j) | 3,087,492 | |||||||||||
| ||||||||||||
NET ASSETS - 100.00% | $ | 124,536,364 |
Portfolio Footnotes
(a) | Non-income-producing security. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 28, 2021, these securities had a total value of $4,554,299 or 3.66% of net assets. |
(c) | Security, or a portion of security, is being held as collateral for short sales, written option contracts or forward foreign currency exchange contracts. At February 28, 2021, the aggregate fair market value of those securities was $52,745,023, representing 42.35% of net assets. |
(d) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of February 28, 2021, the total fair market value of these securities was $8,572,306, representing 6.88% of net assets. |
(e) | Underlying security for a written/purchased call/put option. |
(f) | All or a portion of this security is out on loan. |
(g) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
(h) | Represents an investment of securities lending cash collateral. |
(i) | Rate shown is the 7-day effective yield as of February 28, 2021. |
(j) | Includes cash held as collateral for short sales and written option contracts. |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
COMMON STOCKS - (21.77%) | ||||||||
Aerospace & Defense - (0.48%) | ||||||||
Teledyne Technologies, Inc. | (1,609 | ) | $ | (596,939 | ) | |||
Auto Manufacturers - (0.18%) | ||||||||
Canoo, Inc. | (17,100 | ) | (219,906 | ) | ||||
Auto Parts & Equipment - (0.37%) | ||||||||
Goodyear Tire & Rubber Co. (The) | (5,053 | ) | (84,941 | ) | ||||
Romeo Power, Inc. | (30,447 | ) | (375,411 | ) | ||||
(460,352 | ) | |||||||
Banks - (1.06%) | ||||||||
SVB Financial Group | (2,612 | ) | (1,320,000 | ) | ||||
Commercial Services - (1.35%) | ||||||||
CoStar Group, Inc. | (1,936 | ) | (1,594,800 | ) | ||||
S&P Global, Inc. | (273 | ) | (89,915 | ) | ||||
(1,684,715 | ) | |||||||
Electronics - (1.21%) | ||||||||
II-VI, Inc. | (17,870 | ) | (1,506,441 | ) | ||||
Engineering & Construction - (0.03%) | ||||||||
Jacobs Engineering Group, Inc. | (104 | ) | (11,968 | ) | ||||
Stantec, Inc. | (328 | ) | (12,907 | ) | ||||
WSP Global, Inc. | (136 | ) | (11,779 | ) | ||||
(36,654 | ) | |||||||
Environmental Control - (0.01%) | ||||||||
Tetra Tech, Inc. | (110 | ) | (15,221 | ) | ||||
Food - (3.08%) | ||||||||
Just Eat Takeaway.com N.V. | (39,813 | ) | (3,837,148 | ) | ||||
Healthcare - Services - (0.24%) | ||||||||
ICON Plc | (1,679 | ) | (303,362 | ) | ||||
Insurance - (4.90%) | ||||||||
Aon Plc, Class A | (26,796 | ) | (6,101,717 | ) | ||||
Leisure Time - (0.07%) | ||||||||
Acushnet Holdings Corp. | (2,135 | ) | (90,140 | ) | ||||
Machinery - Diversified - (0.09%) | ||||||||
Altra Industrial Motion Corp. | (1,818 | ) | (105,299 | ) | ||||
Media - (0.19%) | ||||||||
Nexstar Media Group, Inc., Class A | (1,721 | ) | (236,724 | ) | ||||
Metal Fabricate & Hardware - (0.04%) | ||||||||
Timken Co. (The) | (658 | ) | (51,554 | ) | ||||
Miscellaneous Manufacturing - (1.13%) | ||||||||
Danimer Scientific, Inc. | (36,864 | ) | (1,405,624 | ) | ||||
Pharmaceuticals - (0.03%) | ||||||||
Jazz Pharmaceuticals Plc | (213 | ) | (35,792 | ) |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
COMMON STOCKS - (21.77%) (Continued) | ||||||||
Semiconductors - (5.10%) | ||||||||
Advanced Micro Devices, Inc. | (68,099 | ) | $ | (5,755,047 | ) | |||
Marvell Technology Group Ltd. | (12,291 | ) | (593,409 | ) | ||||
(6,348,456 | ) | |||||||
Software - (2.06%) | ||||||||
salesforce.com, Inc. | (11,867 | ) | (2,569,205 | ) | ||||
Telecommunications - (0.15%) | ||||||||
Cincinnati Bell, Inc. | (12,017 | ) | (183,620 | ) | ||||
TOTAL COMMON STOCKS | ||||||||
(Proceeds $27,632,558) | (27,108,869 | ) | ||||||
EXCHANGE-TRADED FUNDS - (0.77%) | ||||||||
Equity Funds - (0.77%) | ||||||||
iShares Russell 2000 ETF | (1,464 | ) | (319,606 | ) | ||||
iShares Russell 2000 Growth ETF | (745 | ) | (230,779 | ) | ||||
VanEck Vectors Oil Services ETF | (924 | ) | (185,428 | ) | ||||
Vanguard Small-Cap Value ETF | (1,420 | ) | (224,175 | ) | ||||
(959,988 | ) | |||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Proceeds $890,474) | (959,988 | ) | ||||||
LIMITED PARTNERSHIPS - (0.55%) | ||||||||
Pipelines - (0.55%) | ||||||||
Energy Transfer Equity LP | (90,551 | ) | (691,810 | ) | ||||
TOTAL LIMITED PARTNERSHIPS | ||||||||
(Proceeds $627,734) | (691,810 | ) | ||||||
TOTAL SECURITIES SOLD SHORT | ||||||||
(Proceeds $29,150,766) | $ | (28,760,667 | ) |
WRITTEN OPTIONS | Expiration Date | Exercise Price | Notional Amount | Contracts | Value | |||||||||||||||
Written Put Options | ||||||||||||||||||||
TEGNA, Inc. | 03/2021 | $ | 14.00 | $ | (205,999 | ) | (113 | ) | $ | (1,413 | ) | |||||||||
TOTAL WRITTEN PUT OPTIONS | ||||||||||||||||||||
(Premiums received $4,037) | (1,413 | ) | ||||||||||||||||||
TOTAL WRITTEN OPTIONS | ||||||||||||||||||||
(Premiums received $4,037) | $ | (1,413 | ) |
EQUITY SWAP CONTRACTS
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||||
Morgan Stanley & Co./ Monthly | Analog Devices, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/19/2021 | $ | — | $ | — | $ | — | USD 2,744,302 | $ | — | ||||||||||||
Morgan Stanley & Co./ Monthly | AstraZeneca Plc | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/19/2021 | — | — | — | USD 4,041,133 | — | ||||||||||||||||
Morgan Stanley & Co./ Monthly | SPGI U.S. Equity | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/19/2021 | — | — | — | USD 4,549,450 | — | ||||||||||||||||
Morgan Stanley & Co./ Monthly | STERIS Plc | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/19/2021 | — | — | — | USD 915,602 | — | ||||||||||||||||
Goldman Sachs & Co./ Monthly | Kaz Minerals Plc | Paid 1 Month GBP LIBOR Plus 60 bps (0.627%) | 10/29/2021 | — | — | — | GBP 647,032 | — | ||||||||||||||||
Morgan Stanley & Co./ Monthly | G4S Plc | Paid 1 Month SONIA Minus 90 bps (-0.851%) | 11/04/2022 | — | — | — | GBP 697,115 | — | ||||||||||||||||
Morgan Stanley & Co./ Monthly | Natixis S.A. | Paid 1 Month EONIA Plus 50 bps (0.022%) | 02/10/2023 | — | — | — | EUR 386,548 | — | ||||||||||||||||
$ | — | $ | — |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
AUD | 23,200 | USD | 17,627 | Morgan Stanley & Co. | 03/15/2021 | $ | 225 | |||||||||
USD | 308,825 | AUD | 398,900 | Morgan Stanley & Co. | 03/15/2021 | 1,877 | ||||||||||
CAD | 3,709,700 | USD | 2,901,867 | Morgan Stanley & Co. | 03/15/2021 | 13,311 | ||||||||||
USD | 864,125 | CAD | 1,096,500 | Morgan Stanley & Co. | 03/15/2021 | 2,467 | ||||||||||
EUR | 366,100 | USD | 441,275 | Morgan Stanley & Co. | 03/15/2021 | 573 | ||||||||||
USD | 5,427,525 | EUR | 4,454,600 | Morgan Stanley & Co. | 03/15/2021 | 51,238 | ||||||||||
GBP | 1,009,600 | USD | 1,378,640 | Morgan Stanley & Co. | 03/15/2021 | 28,033 | ||||||||||
USD | 75,391 | GBP | 53,500 | Morgan Stanley & Co. | 03/15/2021 | 849 | ||||||||||
USD | 18,914 | NOK | 164,000 | Morgan Stanley & Co. | 03/15/2021 | 0 | ||||||||||
USD | 808,905 | SEK | 6,767,900 | Morgan Stanley & Co. | 03/15/2021 | 7,275 | ||||||||||
$ | 105,848 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||
AUD | 2,221,000 | USD | 1,722,756 | Morgan Stanley & Co. | 03/15/2021 | $ | (13,721 | ) | ||||||||
USD | 1,401,516 | AUD | 1,845,300 | Morgan Stanley & Co. | 03/15/2021 | (18,421 | ) | |||||||||
CAD | 1,000,700 | USD | 788,962 | Morgan Stanley & Co. | 03/15/2021 | (2,587 | ) | |||||||||
USD | 3,485,330 | CAD | 4,463,100 | Morgan Stanley & Co. | 03/15/2021 | (21,888 | ) | |||||||||
EUR | 1,184,000 | USD | 1,444,911 | Morgan Stanley & Co. | 03/15/2021 | (15,934 | ) | |||||||||
USD | 959,715 | EUR | 798,100 | Morgan Stanley & Co. | 03/15/2021 | (3,517 | ) | |||||||||
USD | 5,116,685 | GBP | 3,773,400 | Morgan Stanley & Co. | 03/15/2021 | (140,784 | ) | |||||||||
NOK | 225,600 | USD | 26,748 | Morgan Stanley & Co. | 03/15/2021 | (728 | ) | |||||||||
USD | 315,566 | NOK | 2,776,700 | Morgan Stanley & Co. | 03/15/2021 | (4,678 | ) | |||||||||
SEK | 6,767,900 | USD | 807,052 | Morgan Stanley & Co. | 03/15/2021 | (5,423 | ) | |||||||||
$ | (227,681 | ) |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
The following is a summary of investments classified by country exposure:
Country | % of Net Assets(a) | |||
United Kingdom | 11.83 | % | ||
Cayman Islands | 4.95 | % | ||
Netherlands | 1.34 | % | ||
Finland | 0.93 | % | ||
Ireland | 0.78 | % | ||
Canada | 0.55 | % | ||
Austria | 0.54 | % | ||
France | 0.35 | % | ||
Germany | 0.32 | % | ||
Luxembourg | 0.31 | % | ||
Norway | 0.25 | % | ||
United States | 75.37 | % | ||
Other Assets in Excess of Liabilities | 2.48 | % | ||
100.00 | % |
(a) | These percentages represent long positions only and are not net of short positions. |
Abbreviations:
ADR - American Depositary Receipt
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.
ASA - Allmennaksjeselskap is the Norwegian term for public limited company.
AUD - Australian dollar
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
B.V. - Besloten Vennootschap is the Dutch term for private limited liability company.
CAD - Canadian dollar
CVR - Contingent Value Rights
EONIA - Euro OverNight Index Average
ETF - Exchange-Traded Fund
EUR - Euro
GBP - British pound
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds
LLC - Limited Liability Company
LP - Limited Partnership
Ltd. - Limited
NOK - Norwegian krone
N.V. - Naamloze Vennootschap is the Dutch term for a public limited liability corporation.
Oyj - Osakeyhtio is the Finnish equivalent of a public limited company.
Plc - Public Limited Company
REIT - Real Estate Investment Trust
SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company.
SARL - Société Anonyme à Responsabilité Limitée is the French term for limited liability company.
SEK - Swedish krona
SONIA - Sterling OverNight Index Average
S&P - Standard & Poor's
USD - United States Dollar
Water Island Event-Driven Fund | Portfolio of Investments |
February 28, 2021 (unaudited) |
Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 1,631,360 | $ | — | $ | — | $ | 1,631,360 | ||||||||
Auto Manufacturers | 414,349 | — | — | 414,349 | ||||||||||||
Auto Parts & Equipment | 1,097,670 | — | — | 1,097,670 | ||||||||||||
Biotechnology | 7,551,822 | — | — | 7,551,822 | ||||||||||||
Chemicals | 1,157,254 | — | — | 1,157,254 | ||||||||||||
Commercial Services | 10,496,775 | — | — | 10,496,775 | ||||||||||||
Computers & Computer Services | 6,646,298 | — | 5,848,342 | 12,494,640 | ||||||||||||
Construction Materials | 634,619 | — | — | 634,619 | ||||||||||||
Diversified Financial Services | 3,665,091 | — | — | 3,665,091 | ||||||||||||
Electronics | 4,508,262 | — | — | 4,508,262 | ||||||||||||
Energy - Alternate Sources | 269,172 | — | — | 269,172 | ||||||||||||
Engineering & Construction | 1,967,651 | — | — | 1,967,651 | ||||||||||||
Entertainment | 732,793 | — | — | 732,793 | ||||||||||||
Food | 466,396 | — | — | 466,396 | ||||||||||||
Hand/Machine Tools | 678,430 | — | — | 678,430 | ||||||||||||
Healthcare - Products | 2,778,260 | — | — | 2,778,260 | ||||||||||||
Healthcare - Services | 2,300,618 | — | — | 2,300,618 | ||||||||||||
Insurance | 5,474,299 | — | — | 5,474,299 | ||||||||||||
Internet | 7,126,280 | — | — | 7,126,280 | ||||||||||||
Leisure Time | 244,115 | — | — | 244,115 | ||||||||||||
Machinery - Diversified | 578,449 | — | — | 578,449 | ||||||||||||
Media | 422,827 | — | — | 422,827 | ||||||||||||
Miscellaneous Manufacturing | 1,561,805 | — | — | 1,561,805 | ||||||||||||
Pharmaceuticals | 1,207,572 | — | — | 1,207,572 | ||||||||||||
Pipelines | 697,655 | — | — | 697,655 | ||||||||||||
Real Estate | 977,331 | — | — | 977,331 | ||||||||||||
Real Estate Investment Trusts | 303,200 | — | — | 303,200 | ||||||||||||
Retail | 972,175 | — | 832,832 | 1,805,007 | ||||||||||||
Semiconductors | 9,392,963 | — | — | 9,392,963 | ||||||||||||
Software | 23,666,481 | — | 1,768,899 | 25,435,380 | ||||||||||||
Special Purpose Acquisition Companies | 7,089,015 | — | — | 7,089,015 | ||||||||||||
Water | 436,386 | — | — | 436,386 | ||||||||||||
Rights | — | 59,328 | 42,833 | 102,161 | ||||||||||||
Corporate Bonds* | — | 3,406,719 | — | 3,406,719 | ||||||||||||
Convertible Corporate Bonds* | — | 1,875,543 | — | 1,875,543 | ||||||||||||
Warrants | 252,673 | — | — | 252,673 | ||||||||||||
Private Investments | — | — | 79,400 | 79,400 | ||||||||||||
Purchased Options | 83,930 | — | — | 83,930 | ||||||||||||
Short-Term Investment | 51,000 | — | — | 51,000 | ||||||||||||
TOTAL | $ | 107,534,976 | $ | 5,341,590 | $ | 8,572,306 | $ | 121,448,872 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 105,848 | $ | — | $ | 105,848 | ||||||||
Equity Swaps | 0 | — | — | 0 | ||||||||||||
Liabilities | ||||||||||||||||
Common Stocks* | (27,108,869 | ) | — | — | (27,108,869 | ) | ||||||||||
Exchange-Traded Funds | (959,988 | ) | — | — | (959,988 | ) | ||||||||||
Limited Partnerships | (691,810 | ) | — | — | (691,810 | ) | ||||||||||
Written Options | (1,413 | ) | — | — | (1,413 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (227,681 | ) | — | (227,681 | ) | ||||||||||
TOTAL | $ | (28,762,080 | ) | $ | (121,833 | ) | $ | — | $ | (28,883,913 | ) |
* | Refer to Portfolio of Investments for sector information. |
** | Other financial instruments are instruments such as written options, securities sold short, equity swaps and forward foreign currency exchange contracts. |
Water Island Event-Driven Fund | Portfolio of Investments |
February 28, 2021 (unaudited) |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended February 28, 2021:
Investments in Securities | Balance as of May 31, 2020 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2021 | Net change in Unrealized Appreciation (Depreciation) from investments still held as of February 28, 2021 | |||||||||||||||||||
Common Stock | $ | 2,731,749 | $ | 35,117 | $ | 471,445 | $ | 6,192,197 | $ | (980,435 | ) | $ | - | $ | - | $ | 8,450,073 | $ | 488,978 | |||||||||
Rights | - | - | 2,802 | 40,031 | - | - | - | 42,833 | 2,802 | |||||||||||||||||||
Private Investments | - | - | (1,328 | ) | 80,728 | - | - | - | 79,400 | (1,328 | ) | |||||||||||||||||
Total | $ | 2,731,749 | $ | 35,117 | $ | 472,919 | $ | 6,312,956 | $ | (980,435 | ) | $ | - | $ | - | $ | 8,572,306 | $ | 490,452 |
Water Island Credit Opportunities Fund | Portfolio of Investments |
February 28, 2021 (unaudited) |
Maturity Date | Rate | Principal Amount | Value | |||||||||||
CORPORATE BONDS - 73.31% | ||||||||||||||
Aerospace & Defense - 3.99% | ||||||||||||||
Boeing Co. (The) | 05/01/2050 | 5.805 | % | $ | 1,250,000 | $ | 1,612,438 | |||||||
Triumph Group, Inc.(a) | 06/01/2022 | 5.250 | % | 1,687,000 | 1,674,348 | |||||||||
3,286,786 | ||||||||||||||
Auto Manufacturers - 3.58% | ||||||||||||||
Navistar International Corp.(b)(c) | 05/01/2025 | 9.500 | % | 750,000 | 839,062 | |||||||||
Navistar International Corp.(b) | 11/01/2025 | 6.625 | % | 2,032,000 | 2,111,614 | |||||||||
2,950,676 | ||||||||||||||
Auto Parts & Equipment - 2.23% | ||||||||||||||
BorgWarner, Inc.(b) | 10/01/2025 | 5.000 | % | 1,581,000 | 1,841,554 | |||||||||
Banks - 1.24% | ||||||||||||||
CIT Group, Inc. | 08/01/2023 | 5.000 | % | 50,000 | 54,563 | |||||||||
Truist Bank, Variable Rate, (3 mo. USD LIBOR plus 0.65%) | 03/15/2028 | 0.867 | % | 1,000,000 | 969,776 | |||||||||
1,024,339 | ||||||||||||||
Commercial Services - 6.18% | ||||||||||||||
APX Group, Inc. | 12/01/2022 | 7.875 | % | 1,390,000 | 1,393,475 | |||||||||
Capitol Investment Merger Sub 2 LLC(b) | 08/01/2024 | 10.000 | % | 3,000,000 | 3,251,250 | |||||||||
Nielsen Co. Luxembourg SARL (The)(b) | 10/01/2021 | 5.500 | % | 443,000 | 444,107 | |||||||||
5,088,832 | ||||||||||||||
Computers & Computer Services - 4.04% | ||||||||||||||
Dell International LLC / EMC Corp.(b) | 10/01/2026 | 4.900 | % | 1,000,000 | 1,155,981 | |||||||||
MTS Systems Corp.(b)(c) | 08/15/2027 | 5.750 | % | 1,998,000 | 2,173,824 | |||||||||
3,329,805 | ||||||||||||||
Construction Materials - 1.33% | ||||||||||||||
Norbord, Inc.(b) | 04/15/2023 | 6.250 | % | 1,000,000 | 1,096,250 | |||||||||
Diversified Financial Services - 1.89% | ||||||||||||||
Solera LLC / Solera Finance, Inc.(b) | 03/01/2024 | 10.500 | % | 1,500,000 | 1,555,320 | |||||||||
Engineering & Construction - 2.51% | ||||||||||||||
TopBuild Corp.(b) | 05/01/2026 | 5.625 | % | 2,000,000 | 2,064,300 | |||||||||
Entertainment - 5.46% | ||||||||||||||
Scientific Games International, Inc.(b) | 10/15/2025 | 5.000 | % | 1,500,000 | 1,542,675 | |||||||||
Stars Group Holdings B.V. / Stars Group US Co-Borrower LLC(b) | 07/15/2026 | 7.000 | % | 2,820,000 | 2,957,983 | |||||||||
4,500,658 | ||||||||||||||
Food - 2.67% | ||||||||||||||
Chobani LLC / Chobani Finance Corp., Inc.(b) | 04/15/2025 | 7.500 | % | 2,122,000 | 2,196,312 | |||||||||
Insurance - 1.40% | ||||||||||||||
Fidelity & Guaranty Life Holdings, Inc.(b) | 05/01/2025 | 5.500 | % | 1,000,000 | 1,153,540 | |||||||||
Machinery - Diversified - 1.25% | ||||||||||||||
RBS Global, Inc. / Rexnord LLC(b) | 12/15/2025 | 4.875 | % | 1,000,000 | 1,026,250 |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Maturity Date | Rate | Principal Amount | Value | |||||||||||
CORPORATE BONDS - 73.31% (Continued) | ||||||||||||||
Media - 0.57% | ||||||||||||||
Walt Disney Co. (The)(c) | 09/01/2049 | 2.750 | % | $ | 500,000 | $ | 471,736 | |||||||
Metal Fabricate & Hardware - 4.37% | ||||||||||||||
Hillman Group, Inc. (The)(b) | 07/15/2022 | 6.375 | % | 3,592,000 | 3,603,315 | |||||||||
Oil & Gas - 8.50% | ||||||||||||||
Chevron USA, Inc. | 11/15/2043 | 5.250 | % | 520,000 | 701,544 | |||||||||
QEP Resources, Inc. | ||||||||||||||
10/01/2022 | 5.375 | % | 1,000,000 | 1,042,315 | ||||||||||
05/01/2023 | 5.250 | % | 1,500,000 | 1,591,500 | ||||||||||
03/01/2026 | 5.625 | % | 1,000,000 | 1,124,880 | ||||||||||
Seven Generations Energy Ltd.(b) | 09/30/2025 | 5.375 | % | 1,500,000 | 1,558,200 | |||||||||
WPX Energy, Inc. | ||||||||||||||
10/15/2027 | 5.250 | % | 130,000 | 138,817 | ||||||||||
06/15/2028 | 5.875 | % | 775,000 | 847,757 | ||||||||||
7,005,013 | ||||||||||||||
Pipelines - 2.41% | ||||||||||||||
Enable Midstream Partners LP | ||||||||||||||
05/15/2024 | 3.900 | % | 1,250,000 | 1,337,181 | ||||||||||
05/15/2028 | 4.950 | % | 125,000 | 140,223 | ||||||||||
Midwest Connector Capital Co. LLC(b)(c) | 04/01/2024 | 3.900 | % | 500,000 | 512,182 | |||||||||
1,989,586 | ||||||||||||||
Retail - 5.70% | ||||||||||||||
Golden Nugget, Inc.(b)(c) | 10/15/2024 | 6.750 | % | 2,645,000 | 2,689,648 | |||||||||
PetSmart, Inc.(b) | 03/15/2023 | 7.125 | % | 2,000,000 | 2,003,600 | |||||||||
4,693,248 | ||||||||||||||
Semiconductors - 0.31% | ||||||||||||||
Microchip Technology, Inc.(c) | 06/01/2021 | 3.922 | % | 250,000 | 252,200 | |||||||||
Telecommunications - 10.29% | ||||||||||||||
Cincinnati Bell, Inc.(b) | ||||||||||||||
07/15/2024 | 7.000 | % | 2,300,000 | 2,392,000 | ||||||||||
10/15/2025 | 8.000 | % | 2,000,000 | 2,130,000 | ||||||||||
Hughes Satellite Systems Corp.(c) | 06/15/2021 | 7.625 | % | 1,000,000 | 1,016,250 | |||||||||
T-Mobile USA, Inc. | 03/01/2023 | 6.000 | % | 2,930,000 | 2,945,236 | |||||||||
8,483,486 | ||||||||||||||
Transportation - 1.37% | ||||||||||||||
GasLog Ltd. | 03/22/2022 | 8.875 | % | 1,098,000 | 1,130,940 | |||||||||
Trucking & Leasing - 2.02% | ||||||||||||||
Fortress Transportation and Infrastructure Investors LLC(b)(c) | 03/15/2022 | 6.750 | % | 1,667,000 | 1,666,283 | |||||||||
TOTAL CORPORATE BONDS | ||||||||||||||
(Cost $59,294,978) | 60,410,429 |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Maturity Date | Rate | Principal Amount | Value | |||||||||||
CONVERTIBLE CORPORATE BONDS - 22.33% | ||||||||||||||
Computers & Computer Services - 2.08% | ||||||||||||||
Pure Storage, Inc. | 04/15/2023 | 0.125 | % | $ | 1,500,000 | $ | 1,712,194 | |||||||
Entertainment - 0.76% | ||||||||||||||
Cineplex, Inc.(b) | 09/30/2025 | 5.750 | % | 567,000 | 623,762 | |||||||||
Internet - 2.81% | ||||||||||||||
Twitter, Inc.(a)(c) | 06/15/2024 | 0.250 | % | 1,500,000 | 2,313,750 | |||||||||
Pharmaceuticals - 5.90% | ||||||||||||||
Dermira, Inc.(c) | 05/15/2022 | 3.000 | % | 1,938,000 | 1,957,380 | |||||||||
Jazz Investments I Ltd. | 08/15/2021 | 1.875 | % | 1,500,000 | 1,537,462 | |||||||||
Paratek Pharmaceuticals, Inc.(c) | 05/01/2024 | 4.750 | % | 1,500,000 | 1,369,663 | |||||||||
4,864,505 | ||||||||||||||
Software - 10.78% | ||||||||||||||
Verint Systems, Inc. | 06/01/2021 | 1.500 | % | 2,000,000 | 2,429,416 | |||||||||
Slack Technologies, Inc.(b)(c) | 04/15/2025 | 0.500 | % | 1,500,000 | 2,142,457 | |||||||||
Nuance Communications, Inc. | 12/15/2035 | 1.000 | % | 1,000,000 | 1,892,410 | |||||||||
Pluralsight, Inc.(c) | 03/01/2024 | 0.375 | % | 2,500,000 | 2,424,777 | |||||||||
8,889,060 | ||||||||||||||
TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
(Cost $15,839,245) | 18,403,271 |
Shares | Value | |||||||
PREFERRED STOCKS - 0.00%(d) | ||||||||
Insurance - 0.00%(d) | ||||||||
National General Holdings Corp., Series C, 7.500% | 10 | $ | 256 | |||||
TOTAL PREFERRED STOCKS | ||||||||
(Cost $256) | 256 |
Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||||
PURCHASED OPTIONS(e) - 0.84% | ||||||||||||||||||||
Call Options Purchased - 0.84% | ||||||||||||||||||||
Devon Energy Corp. | 04/2021 | $ | 20.00 | $ | 2,154,000 | 1,000 | $ | 272,500 | ||||||||||||
Diamondback Energy, Inc. | 03/2021 | 65.00 | 1,385,600 | 200 | 140,000 | |||||||||||||||
Rexnord Corp. | 05/2021 | 50.00 | 247,225 | 55 | 9,762 | |||||||||||||||
Scientific Games Corp. | 04/2021 | 45.00 | 936,600 | 200 | 143,000 | |||||||||||||||
SPDR S&P 500 ETF Trust | 03/2021 | 400.00 | 9,509,000 | 250 | 17,875 | |||||||||||||||
Triumph Group, Inc. | 03/2021 | 15.00 | 1,457,000 | 1,000 | 107,500 | |||||||||||||||
TOTAL CALL OPTIONS PURCHASED | ||||||||||||||||||||
(Cost $597,508) | 690,637 | |||||||||||||||||||
TOTAL PURCHASED OPTIONS | ||||||||||||||||||||
(Cost $597,508) | 690,637 |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Yield | Shares | Value | ||||||||||
SHORT-TERM INVESTMENTS - 5.69% | ||||||||||||
Money Market Funds | ||||||||||||
Morgan Stanley Institutional Liquidity Fund Government Portfolio, Institutional Class | 0.026 | %(f) | 2,345,409 | $ | 2,345,409 | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 0.097 | %(f) | 2,345,409 | 2,345,409 | ||||||||
4,690,818 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $4,690,818) | 4,690,818 | |||||||||||
Total Investments - 102.17% | ||||||||||||
(Cost $80,422,805) | 84,195,411 | |||||||||||
Liabilities in Excess of Other Assets - (2.17)%(g) | (1,787,054 | ) | ||||||||||
NET ASSETS - 100.00% | $ | 82,408,357 |
Portfolio Footnotes
(a) | Underlying security for a written/purchased call/put option. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 28, 2021, these securities had a total value of $44,731,469 or 54.28% of net assets. |
(c) | Security, or a portion of security, is being held as collateral for short sales, written option contracts or forward foreign currency exchange contracts. At February 28, 2021, the aggregate fair market value of those securities was $16,239,153, representing 19.71% of net assets. |
(d) | Less than 0.005% of net assets. |
(e) | Non-income-producing security. |
(f) | Rate shown is the 7-day effective yield as of February 28, 2021. |
(g) | Includes cash held as collateral for short sales and written option contracts. |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
COMMON STOCKS - (15.10%) | ||||||||
Aerospace & Defense - (0.96%) | ||||||||
Triumph Group, Inc. | (54,184 | ) | $ | (789,461 | ) | |||
Auto Manufacturers - (0.26%) | ||||||||
Navistar International Corp. | (5,000 | ) | (220,300 | ) | ||||
Computers & Computer Services - (0.89%) | ||||||||
Pure Storage, Inc., Class A | (31,400 | ) | (734,132 | ) | ||||
Entertainment - (1.04%) | ||||||||
Cineplex, Inc. | (33,500 | ) | (363,799 | ) | ||||
Scientific Games Corp., Class A | (10,500 | ) | (491,715 | ) | ||||
(855,514 | ) | |||||||
Internet - (1.95%) | ||||||||
Twitter, Inc. | (20,900 | ) | (1,610,554 | ) | ||||
Metal Fabricate & Hardware - (0.12%) | ||||||||
Rexnord Corp. | (2,200 | ) | (98,890 | ) | ||||
Oil & Gas - (2.46%) | ||||||||
Devon Energy Corp. | (58,000 | ) | (1,249,320 | ) | ||||
Diamondback Energy, Inc. | (11,200 | ) | (775,936 | ) | ||||
(2,025,256 | ) | |||||||
Pharmaceuticals - (0.70%) | ||||||||
Jazz Pharmaceuticals Plc | (1,900 | ) | (319,276 | ) | ||||
Paratek Pharmaceuticals, Inc. | (34,200 | ) | (255,816 | ) | ||||
(575,092 | ) | |||||||
Software - (5.90%) | ||||||||
Nuance Communications, Inc. | (36,500 | ) | (1,627,900 | ) | ||||
Slack Technologies, Inc., Class A | (31,500 | ) | (1,289,295 | ) | ||||
Verint Systems, Inc. | (39,500 | ) | (1,946,955 | ) | ||||
(4,864,150 | ) | |||||||
Telecommunications - (0.82%) | ||||||||
Cincinnati Bell, Inc. | (43,400 | ) | (663,152 | ) | ||||
EchoStar Corp., Class A | (500 | ) | (11,350 | ) | ||||
(674,502 | ) | |||||||
TOTAL COMMON STOCKS | ||||||||
(Proceeds $10,238,346) | (12,447,851 | ) | ||||||
EXCHANGE-TRADED FUNDS - (1.02%) | ||||||||
Equity Fund - (1.02%) | ||||||||
SPDR S&P 500 ETF Trust | (2,200 | ) | (836,792 | ) | ||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Proceeds $855,224) | (836,792 | ) |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Maturity Date | Rate | Principal Amount | Value | ||||||||||
U.S. TREASURY & GOVERNMENT AGENCIES - (3.32%) | ||||||||||||||
Sovereign - (3.32%) | ||||||||||||||
U.S. Treasury Bond | 11/15/2049 | 2.375 | % | (268,000 | ) | $ | (283,221 | ) | ||||||
U.S. Treasury Bond | 02/15/2050 | 2.000 | % | (1,240,000 | ) | (1,207,886 | ) | |||||||
U.S. Treasury Note | 02/28/2022 | 1.125 | % | (140,000 | ) | (141,449 | ) | |||||||
U.S. Treasury Note | 02/28/2025 | 1.125 | % | (1,080,000 | ) | (1,106,241 | ) | |||||||
(2,738,797 | ) | |||||||||||||
TOTAL U.S. TREASURY & GOVERNMENT AGENCIES | ||||||||||||||
(Proceeds $3,021,729) | (2,738,797 | ) | ||||||||||||
TOTAL SECURITIES SOLD SHORT | ||||||||||||||
(Proceeds $14,115,299) | $ | (16,023,440 | ) |
WRITTEN OPTIONS | Expiration Date | Exercise Price | Notional Amount | Contracts | Value | |||||||||||||||
Written Put Options | ||||||||||||||||||||
Rexnord Corp. | 03/2021 | $ | 45.00 | (44,950 | ) | $ | (10 | ) | $ | (2,450 | ) | |||||||||
Scientific Games Corp. | 03/2021 | 45.00 | (46,830 | ) | (10 | ) | (3,700 | ) | ||||||||||||
Triumph Group, Inc. | 03/2021 | 15.00 | (218,550 | ) | (150 | ) | (20,625 | ) | ||||||||||||
Twitter, Inc. | 03/2021 | 65.00 | (154,120 | ) | (20 | ) | (1,400 | ) | ||||||||||||
TOTAL WRITTEN PUT OPTIONS | ||||||||||||||||||||
(Premiums received $32,134) | (28,175 | ) | ||||||||||||||||||
TOTAL WRITTEN OPTIONS | ||||||||||||||||||||
(Premiums received $32,134) | $ | (28,175 | ) |
EQUITY SWAP CONTRACTS
Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||||
Morgan Stanley & Co./ Monthly | iShares iBoxx $ Investment Grade Corporate Bond ETF | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/19/2021 | $ | — | $ | — | $ | — | USD 1,137,522 | $ | — | ||||||||||||
Morgan Stanley & Co./ Monthly | SPDR Bloomberg Barclays High Yield Bond ETF | Received 1 Month-Federal Rate Minus 40 bps (-0.350%) | 08/19/2021 | — | — | — | USD 1,503,424 | — | ||||||||||||||||
$ | — | $ | — |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
CAD | 241,200 | USD | 188,745 | Morgan Stanley & Co. | 03/15/2021 | $ | 795 | |||||||||
USD | 159,192 | CAD | 201,800 | Morgan Stanley & Co. | 03/15/2021 | 614 | ||||||||||
$ | 1,409 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||
CAD | 144,100 | USD | 114,035 | Morgan Stanley & Co. | 03/15/2021 | $ | (799 | ) | ||||||||
USD | 407,082 | CAD | 520,000 | Morgan Stanley & Co. | 03/15/2021 | (1,547 | ) | |||||||||
$ | (2,346 | ) |
The following is a summary of investments classified by country exposure:
Country | % of Net Assets(a) | |||
Canada | 3.98 | % | ||
Netherlands | 3.59 | % | ||
Ireland | 1.87 | % | ||
Greece | 1.37 | % | ||
Luxembourg | 0.54 | % | ||
United States | 90.82 | % | ||
Liabilities in Excess of Other Assets | (2.17 | )% | ||
100.00 | % |
(a) | These percentages represent long positions only and are not net of short positions. |
Abbreviations:
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
ETF - Exchange-Traded Fund
LIBOR - London Interbank Offered Rate
LLC - Limited Liability Company
LP - Limited Partnership
Ltd. - Limited
Plc - Public Limited Company
SARL - Société Anonyme à Responsabilité Limitée is the French term for limited liability company.
S&P - Standard & Poor’s
SPDR - Standard & Poor’s Depositary Receipt
USD - United States Dollar
Water Island Credit Opportunities Fund | Portfolio of Investments |
February 28, 2021 (unaudited) |
Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 60,410,429 | $ | — | $ | 60,410,429 | ||||||||
Convertible Corporate Bonds* | — | 18,403,271 | — | 18,403,271 | ||||||||||||
Preferred Stocks* | — | 256 | — | 256 | ||||||||||||
Purchased Options | 690,637 | — | — | 690,637 | ||||||||||||
Short-Term Investments | 4,690,818 | — | — | 4,690,818 | ||||||||||||
TOTAL | $ | 5,381,455 | $ | 78,813,956 | $ | — | $ | 84,195,411 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,409 | $ | — | $ | 1,409 | ||||||||
Equity Swaps | 0 | — | — | 0 | ||||||||||||
Liabilities | ||||||||||||||||
Common Stocks* | (12,447,851 | ) | — | — | (12,447,851 | ) | ||||||||||
Exchange-Traded Funds | (836,792 | ) | — | — | (836,792 | ) | ||||||||||
U.S. Treasury & Government Agencies | — | (2,738,797 | ) | — | (2,738,797 | ) | ||||||||||
Written Options | (28,175 | ) | — | — | (28,175 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (2,346 | ) | — | (2,346 | ) | ||||||||||
TOTAL | $ | (13,312,818 | ) | $ | (2,739,734 | ) | $ | — | $ | (16,052,552 | ) | |||||
* | Refer to Portfolio of Investments for sector information. |
** | Other financial instruments are instruments such as written options, securities sold short, equity swaps and forward foreign currency exchange contracts. |
Water Island Long/Short Fund | Portfolio of Investments |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 69.28% | ||||||||
Auto Manufacturers - 1.10% | ||||||||
Canoo, Inc.(a)(b) | 3,135 | $ | 40,316 | |||||
Auto Parts & Equipment - 1.02% | ||||||||
Romeo Power, Inc.(a)(b) | 3,028 | 37,335 | ||||||
Commercial Services - 1.37% | ||||||||
Aaron's Co., Inc. (The)(a)(b) | 2,296 | 50,420 | ||||||
Computers & Computer Services - 3.44% | ||||||||
DXC Technology Co.(b) | 1,005 | 25,346 | ||||||
Perspecta, Inc.(b)(c) | 3,472 | 101,383 | ||||||
126,729 | ||||||||
Diversified Financial Services - 0.61% | ||||||||
GCM Grosvenor, Inc., Class A(b)(d) | 1,813 | 22,572 | ||||||
Energy - Alternate Sources - 1.27% | ||||||||
Championx Corp.(a)(b) | 2,201 | 46,815 | ||||||
Engineering & Construction - 1.91% | ||||||||
AECOM(a)(b) | 257 | 14,878 | ||||||
frontdoor, Inc.(a)(b) | 1,055 | 55,250 | ||||||
70,128 | ||||||||
Food - 2.68% | ||||||||
Whole Earth Brands, Inc.(a)(b) | 7,685 | 98,599 | ||||||
Hand/Machine Tools - 2.73% | ||||||||
Regal Beloit Corp.(b) | 736 | 100,589 | ||||||
Healthcare - Products - 1.98% | ||||||||
Butterfly Network, Inc.(a) | 1,543 | 29,394 | ||||||
Oxford Immunotec Global Plc(a)(b) | 1,986 | 43,593 | ||||||
72,987 | ||||||||
Internet - 7.51% | ||||||||
Boingo Wireless, Inc.(a)(b) | 5,976 | 68,126 | ||||||
Grubhub, Inc.(a)(b) | 1,787 | 114,493 | ||||||
NortonLifeLock, Inc.(b) | 4,800 | 93,648 | ||||||
276,267 | ||||||||
Leisure Time - 0.68% | ||||||||
Callaway Golf Co.(b) | 889 | 24,848 | ||||||
Media - 4.56% | ||||||||
TEGNA, Inc.(b)(c) | 2,546 | 46,413 | ||||||
Liberty Broadband Corp., Class A(a)(b) | 835 | 121,376 | ||||||
167,789 | ||||||||
Miscellaneous Manufacturing - 9.43% | ||||||||
Danimer Scientific, Inc.(a) | 8,190 | 312,285 | ||||||
Trane Technologies Plc(b) | 225 | 34,479 | ||||||
346,764 |
Water Island Long/Short Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 69.28% (Continued) | ||||||||
Pharmaceuticals - 1.90% | ||||||||
McKesson Europe AG | 2,223 | $ | 70,004 | |||||
Software - 10.05% | ||||||||
E2open Parent Holdings, Inc.(a) | 3,074 | 28,465 | ||||||
RealPage, Inc.(a) | 2,010 | 174,428 | ||||||
Slack Technologies, Inc., Class A(a) | 4,075 | 166,790 | ||||||
369,683 | ||||||||
Special Purpose Acquisition Companies - 17.04% | ||||||||
Altimar Acquisition Corp., Class A(a) | 8,220 | 83,844 | ||||||
Artius Acquisition, Inc., Class A(a)(b) | 1,023 | 11,130 | ||||||
B Riley Principal 150 Merger Corp.(a) | 144 | 1,483 | ||||||
Bull Horn Holdings Corp.(a)(b) | 2,645 | 28,249 | ||||||
CC Neuberger Principal Holdings II, Class A(a)(b) | 1,012 | 10,808 | ||||||
Class Acceleration Corp.(a)(b) | 1,364 | 14,145 | ||||||
DPCM Capital, Inc.(a)(b) | 2,240 | 24,853 | ||||||
Edify Acquisition Corp.(a) | 82 | 840 | ||||||
Fast Acquisition Corp., Class A(a) | 1,496 | 17,174 | ||||||
Foley Trasimene Acquisition Corp., Class A(a)(b) | 1,203 | 12,511 | ||||||
Fusion Acquisition Corp.(a)(b) | 2,336 | 26,724 | ||||||
G Squared Ascend I, Inc.(a) | 706 | 7,378 | ||||||
GigCapital4, Inc.(a)(b) | 2,646 | 27,121 | ||||||
Golden Falcon Acquisition Corp.(a)(b) | 1,902 | 20,637 | ||||||
Hudson Executive Investment Corp., Class A(a)(b) | 2,462 | 26,442 | ||||||
Kingswood Acquisition Corp.(a)(b) | 1,782 | 19,602 | ||||||
Lefteris Acquisition Corp.(a)(b) | 1,885 | 21,037 | ||||||
Live Oak Acquisition Corp. II(a)(b) | 948 | 10,618 | ||||||
MedTech Acquisition Corp.(a)(b) | 951 | 10,299 | ||||||
Oaktree Acquisition Corp. II(a)(b) | 1,779 | 19,160 | ||||||
Omnichannel Acquisition Corp.(a)(b) | 1,812 | 20,077 | ||||||
Roman DBDR Tech Acquisition Corp.(a)(b) | 1,792 | 19,622 | ||||||
Roth Ch Acquisition II Co.(a)(b) | 2,275 | 26,162 | ||||||
Seaport Global Acquisition Corp.(a)(b) | 2,081 | 22,808 | ||||||
Spartacus Acquisition Corp.(a)(b) | 1,792 | 19,407 | ||||||
Sustainable Opportunities Acquisition Corp., Class A(a)(b) | 1,281 | 13,502 | ||||||
Tailwind International Acquisition Corp.(a)(b) | 578 | 5,948 | ||||||
Thunder Bridge Acquisition II Ltd., Class A(a)(b) | 5,928 | 63,015 | ||||||
Trebia Acquisition Corp., Class A(a)(b) | 1,968 | 20,920 | ||||||
Vy Global Growth(a)(b) | 1,792 | 21,378 | ||||||
626,894 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $2,072,484) | 2,548,739 | |||||||
WARRANTS(a) - 0.63% | ||||||||
Software - 0.07% | ||||||||
E2open Parent Holdings, Inc., Exercise Price $11.50, Expires 12/31/2025 | 1,327 | 2,482 | ||||||
Special Purpose Acquisition Companies - 0.56% | ||||||||
Altimar Acquisition Corp., Class A, Exercise Price $11.50, Expires 12/31/2025 | 2,740 | 4,343 | ||||||
Artius Acquisition, Inc., Class A, Exercise Price $11.50, Expires 07/13/2026(b) | 341 | 948 |
Water Island Long/Short Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
Shares | Value | |||||||
WARRANTS(a) - 0.63% (Continued) | ||||||||
Special Purpose Acquisition Companies - 0.56% (Continued) | ||||||||
CC Neuberger Principal Holdings II, Class A, Exercise Price $11.50, Expires 07/29/2025 | 253 | $ | 493 | |||||
Churchill Capital Corp. IV, Class A, Exercise Price $11.50, Expires 09/18/2025(b) | 337 | 5,274 | ||||||
Fast Acquisition Corp., Class A, Exercise Price $11.50, Expires 08/25/2027 | 748 | 1,563 | ||||||
Foley Trasimene Acquisition Corp., Class A, Exercise Price $11.50, Expires 07/17/2025(b) | 656 | 1,247 | ||||||
Hudson Executive Investment Corp.,Class A, Exercise Price $11.50, Expires 06/21/2025(b) | 1,231 | 2,462 | ||||||
Sustainable Opportunities Acquisition Corp.,Class A, Exercise Price $11.50, Expires 06/26/2025(b) | 1,745 | 3,176 | ||||||
Trebia Acquisition Corp., Class A, Exercise Price $11.50, Expires 12/31/2025(b) | 656 | 1,351 | ||||||
20,857 | ||||||||
TOTAL WARRANTS | ||||||||
(Cost $15,151) | 23,339 | |||||||
PRIVATE INVESTMENTS(a)(e)(f) - 0.04% | ||||||||
Fast Capital LLC | 400 | 400 | ||||||
Fuse LLC | 1,100 | 1,000 | ||||||
Fuse Sponsor Capital, Z2 Shares | 110 | 100 | ||||||
TOTAL PRIVATE INVESTMENTS | ||||||||
(Cost $1,525) | 1,500 |
Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||||
PURCHASED OPTIONS(a) - 0.10% | ||||||||||||||||||||
Call Options Purchased - 0.10% | ||||||||||||||||||||
Perspecta, Inc. | 03 /2021 | $ | 30.00 | $ | 113,880 | 39 | $ | 682 | ||||||||||||
TEGNA, Inc. | 04 /2021 | 18.00 | 43,752 | 24 | 3,120 | |||||||||||||||
TOTAL CALL OPTIONS PURCHASED | ||||||||||||||||||||
(Cost $5,901) | 3,802 | |||||||||||||||||||
TOTAL PURCHASED OPTIONS | ||||||||||||||||||||
(Cost $5,901) | 3,802 |
Yield | Shares | Value | |||||||||||||||
SHORT-TERM INVESTMENTS - 30.20% | |||||||||||||||||
Money Market Funds | |||||||||||||||||
Morgan Stanley Institutional Liquidity Fund Government Portfolio, Institutional Class | 0.026 | %(g) | 554,155 | $ | 554,155 | ||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class(h) | 0.097 | %(g) | 2,550 | 2,550 | |||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 0.097 | %(g) | 554,155 | 554,155 | |||||||||||||
1,110,860 |
Water Island Long/Short Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
SHORT-TERM INVESTMENTS - 30.20% (Continued) | ||||
TOTAL SHORT-TERM INVESTMENTS | ||||
(Cost $1,110,860) | $ | 1,110,860 | ||
Total Investments - 100.25% | ||||
(Cost $3,205,921) | 3,688,240 | |||
Liabilities in Excess of Other Assets - (0.25)%(i) | (9,260 | ) | ||
NET ASSETS - 100.00% | $ | 3,678,980 |
Portfolio Footnotes | |
(a) | Non-income-producing security. |
(b) | Security, or a portion of security, is being held as collateral for short sales, written option contracts or forward foreign currency exchange contracts. At February 28, 2021, the aggregate fair market value of those securities was $1,459,196, representing 39.66% of net assets. |
(c) | Underlying security for a written/purchased call/put option. |
(d) | All or a portion of this security is out on loan. |
(e) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of February 28, 2021, the total fair market value of these securities was $1,500, representing less than 0.05% of net assets. |
(f) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
(g) | Rate shown is the 7-day effective yield as of February 28, 2021. |
(h) | Represents an investment of securities lending cash collateral. |
(i) | Includes cash held as collateral for short sales and written option contracts. |
Water Island Long/Short Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
COMMON STOCKS - (20.86%) | ||||||||
Auto Manufacturers - (0.59%) | ||||||||
Canoo, Inc. | (1,675 | ) | $ | (21,541 | ) | |||
Auto Parts & Equipment - (1.02%) | ||||||||
Romeo Power, Inc. | (3,028 | ) | (37,335 | ) | ||||
Construction Materials - (0.76%) | ||||||||
Johnson Controls International Plc | (273 | ) | (15,231 | ) | ||||
Lennox International, Inc. | (46 | ) | (12,869 | ) | ||||
(28,100 | ) | |||||||
Engineering & Construction - (0.45%) | ||||||||
Jacobs Engineering Group, Inc. | (7 | ) | (806 | ) | ||||
Stantec, Inc. | (24 | ) | (944 | ) | ||||
WillScot Mobile Mini Holdings Corp. | (500 | ) | (13,865 | ) | ||||
WSP Global, Inc. | (10 | ) | (866 | ) | ||||
(16,481 | ) | |||||||
Environmental Control - (0.03%) | ||||||||
Tetra Tech, Inc. | (8 | ) | (1,107 | ) | ||||
Food - (2.98%) | ||||||||
Just Eat Takeaway.com N.V. | (1,139 | ) | (109,776 | ) | ||||
Food Service - (0.81%) | ||||||||
Aramark | (800 | ) | (29,696 | ) | ||||
Leisure Time - (0.25%) | ||||||||
Acushnet Holdings Corp. | (217 | ) | (9,162 | ) | ||||
Machinery - Diversified - (0.42%) | ||||||||
Altra Industrial Motion Corp. | (269 | ) | (15,581 | ) | ||||
Media - (3.84%) | ||||||||
Charter Communications, Inc., Class A | (188 | ) | (115,323 | ) | ||||
Nexstar Media Group, Inc., Class A | (189 | ) | (25,997 | ) | ||||
(141,320 | ) | |||||||
Metal Fabricate & Hardware - (0.21%) | ||||||||
Timken Co. (The) | (98 | ) | (7,678 | ) | ||||
Miscellaneous Manufacturing - (7.64%) | ||||||||
Danimer Scientific, Inc. | (7,371 | ) | (281,056 | ) | ||||
Software - (1.86%) | ||||||||
salesforce.com, Inc. | (316 | ) | (68,414 | ) | ||||
TOTAL COMMON STOCKS | ||||||||
(Proceeds $714,792) | (767,247 | ) | ||||||
EXCHANGE-TRADED FUNDS - (1.78%) | ||||||||
Equity Funds - (1.78%) | ||||||||
VanEck Vectors Oil Services ETF | (161 | ) | (32,309 | ) |
Water Island Long/Short Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
EXCHANGE-TRADED FUNDS - (1.78%) (Continued) | ||||||||
Equity Funds - (1.78)% (Continued) | ||||||||
Vanguard Small-Cap Value ETF | (211 | ) | $ | (33,311 | ) | |||
(65,620 | ) | |||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Proceeds $58,729) | (65,620 | ) | ||||||
TOTAL SECURITIES SOLD SHORT | ||||||||
(Proceeds $773,521) | $ | (832,867 | ) |
WRITTEN OPTIONS | Expiration Date | Exercise Price | Notional Amount | Contracts | Value | |||||||||||||||
Written Put Options | ||||||||||||||||||||
TEGNA, Inc. | 03 /2021 | $ | 14.00 | $ | (21,876 | ) | (12 | ) | $ | (150 | ) | |||||||||
TOTAL WRITTEN PUT OPTIONS | ||||||||||||||||||||
(Premiums received $428) | (150 | ) | ||||||||||||||||||
TOTAL WRITTEN OPTIONS | ||||||||||||||||||||
(Premiums received $428) | $ | (150 | ) |
Water Island Long/Short Fund | Portfolio of Investments (Continued) |
February 28, 2021 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
CAD | 12,930 | USD | 10,130 | Morgan Stanley & Co. | 03/15/2021 | $ | 31 | |||||||||
USD | 8,818 | CAD | 11,170 | Morgan Stanley & Co. | 03/15/2021 | 41 | ||||||||||
USD | 143,860 | EUR | 118,410 | Morgan Stanley & Co. | 03/15/2021 | 950 | ||||||||||
$ | 1,022 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||
USD | 491 | CAD | 630 | Morgan Stanley & Co. | 03/15/2021 | $ | (4 | ) | ||||||||
EUR | 60,390 | USD | 74,161 | Morgan Stanley & Co. | 03/15/2021 | (1,276 | ) | |||||||||
$ | (1,280 | ) |
The following is a summary of investments classified by country exposure:
Country | % of Net Assets(a) | |||
Germany | 1.90 | % | ||
United Kingdom | 1.18 | % | ||
Ireland | 0.94 | % | ||
Cayman Islands | 0.58 | % | ||
United States | 95.65 | % | ||
Liabilities in Excess of Other Assets | (0.25 | )% | ||
100.00 | % |
(a) | These percentages represent long positions only and are not net of short positions. |
Abbreviations:
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders. |
CAD - Canadian dollar |
ETF - Exchange-Traded Fund |
EUR - Euro |
LLC - Limited Liability Company |
Ltd. - Limited |
N.V. - Naamloze Vennootschap is the Dutch term for a public limited liability corporation. |
Plc - Public Limited Company |
USD - United States Dollar |
Water Island Long/Short Fund | Portfolio of Investments |
February 28, 2021 (unaudited) |
Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Common Stocks* | $ | 2,548,739 | $ | — | $ | — | $ | 2,548,739 | ||||||||
Warrants | 23,339 | — | — | 23,339 | ||||||||||||
Private Investments | — | — | 1,500 | 1,500 | ||||||||||||
Purchased Options | 3,802 | — | — | 3,802 | ||||||||||||
Short-Term Investments | 1,110,860 | — | — | 1,110,860 | ||||||||||||
TOTAL | $ | 3,686,740 | $ | — | $ | 1,500 | $ | 3,688,240 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,022 | $ | — | $ | 1,022 | ||||||||
Liabilities | ||||||||||||||||
Common Stocks* | (767,247 | ) | — | — | (767,247 | ) | ||||||||||
Exchange-Traded Funds | (65,620 | ) | — | — | (65,620 | ) | ||||||||||
Written Options | (150 | ) | — | — | (150 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (1,280 | ) | — | (1,280 | ) | ||||||||||
TOTAL | $ | (833,017 | ) | $ | (258 | ) | $ | — | $ | (833,275 | ) | |||||
* | Refer to Portfolio of Investments for sector information. |
** | Other financial instruments are instruments such as written options, securities sold short and forward foreign currency exchange contracts. |
Water Island Long/Short Fund | Portfolio of Investments |
February 28, 2021 (unaudited) |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended February 28, 2021:
Investments in Securities | Balance as of May 31, 2020 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2021 | Net change in Unrealized Appreciation (Depreciation) from investments still held as of February 28, 2021 | |||||||||||||||||||||||||||
Common Stock | $ | 44,492 | $ | 2,028 | $ | (1,311 | ) | $ | - | $ | (45,209 | ) | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||
Private Investments | - | - | (25 | ) | 1,525 | - | - | - | 1,500 | (25 | ) | |||||||||||||||||||||||||
Total | $ | 44,492 | $ | 2,028 | $ | (1,336 | ) | $ | 1,525 | $ | (45,209 | ) | $ | - | $ | - | $ | 1,500 | $ | (25 | ) | |||||||||||||||