SCHEDULE OF INVESTMENTS (000)*
December 31, 2019 (Unaudited)
| | | | | | | | |
| Causeway Global Absolute Return Fund | | Number of Shares | | | Value | |
| | |
SHORT-TERM INVESTMENT | | | | | | | | |
| | |
Blackrock Liquidity Funds Treasury Trust Fund,
Institutional Class, 1.470% **1 | | | 13,672,750 | | | $ | 13,673 | |
| | | | | | | | |
| | |
Total Short-Term Investment | | | | | | | | |
| | |
(Cost $13,673) — 94.3% | | | | | | | 13,673 | |
| | | | | | | | |
| | |
Total Investments — 94.3% | | | | | | | | |
| | |
(Cost $13,673) | | | | | | | 13,673 | |
| | | | | | | | |
| | |
Other Assets in Excess of Liabilities — 5.7% | | | | | | | 819 | |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 14,492 | |
| | | | | | | | |
A list of outstanding total return swap agreements held by the Fund as of December 31, 2019, is as follows:
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference Entity/ Obligation | | Fixed
Payments
Paid | | Total
Return
Received
or Paid | | Payment
Frequency | | Termination
Date | | | Net Notional
Amount2 | | | Net
Unrealized Appreciation (Depreciation) | |
Net Long Positions† | |
Morgan Stanley | | United States Custom Basket of Securities | | Long:
Fed Funds-1 day + 0.50% to FedFunds-1 day + 2.50% | | Total Return of the basket of securities | | Quarterly | | | 2/3/2021 | | | $ | 9,074 | | | $ | 25 | |
| | | | | | | |
Morgan Stanley | | United Kingdom Custom Basket of Securities | | Long:
FedFunds-1 day + 0.55% Short:
Fed Funds-1 day – 0.35% to FedFunds-1 day – 1.25% | | Total Return of the basket of securities | | Quarterly | | | 2/2/2021 | | | | 485 | | | | 15 | |
| | | | | | | |
Morgan Stanley | | Canada Custom Basket of Securities | | Long:
Fed Funds-1 day + 0.50% | | Total Return of the basket of securities | | Quarterly | | | 9/18/2020 | | | | 1,571 | | | | 6 | |
| | | | | | | |
Morgan Stanley | | Hong Kong Custom Basket of Securities | | Long:
FedFunds-1 day + 0.55% Short:
Fed Funds-1 day – 0.50% to FedFunds-1 day – 2.62% | | Total Return of the basket of securities | | Quarterly | | | 2/5/2021 | | | | 39 | | | | — | |
| | | | | | | |
Morgan Stanley | | Japan Custom Basket of Securities | | Long:
FedFunds-1 day + 0.55% Short:
Fed Funds-1 day – 0.40% to Fed Funds-1 day – 1.37% | | Total Return of the basket of securities | | Quarterly | | | 2/3/2021 | | | | 176 | | | | 11 | |
1
SCHEDULE OF INVESTMENTS (000)*(continued)
December 31, 2019 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference Entity/ Obligation | | Fixed
Payments
Paid | | Total
Return
Received
or Paid | | Payment
Frequency | | Termination
Date | | | Net Notional Amount2 | | | Net
Unrealized Appreciation (Depreciation) | |
Net Long Positions† (continued) | |
| | | | | | | |
Morgan Stanley | | New Zealand Custom Basket of Securities | | Long:
Fed Funds-1 day + 0.55% Short:
FedFunds-1 day – 0.50% | | Total Return of the basket of securities | | Quarterly | | | 7/30/2020 | | | $ | 383 | | | $ | — | |
| | | | | | | |
Morgan Stanley | | Singapore Custom Basket of Securities | | Long:
FedFunds-1 day + 0.55% Short:
Fed Funds-1 day – 0.50% to FedFunds-1 day – 0.75% | | Total Return of the basket of securities | | Quarterly | | | 4/22/2020 | | | | 22 | | | | (9 | ) |
| | | | | | | |
Morgan Stanley | | South Korea Custom Basket of Securities | | Long:
FedFunds-1 day + 0.85% Short:
Fed Funds-1 day – 0.50% to FedFunds-1 day – 1.75% | | Total Return of the basket of securities | | Quarterly | | | 6/10/2020 | | | | 12 | | | | 9 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference Entity/ Obligation | | Fixed
Payments
Paid | | Total
Return
Received
or Paid | | Payment
Frequency | | | Termination
Date | | | Net Notional
Amount2 | | | Net
Unrealized Appreciation (Depreciation) | |
Net Short Positions†† | |
| | | | | | | |
Morgan Stanley | | United States Custom Basket of Securities | | Short:
FedFunds-1 day – 0.35% to FedFunds-1 day – 1.35% | | Total Return of the basket of securities | | | Quarterly | | | | 2/3/2021 | | | $ | (9,223 | ) | | $ | (7 | ) |
| | | | | | | |
Morgan Stanley | | Canada Custom Basket of Securities | | Short:
FedFunds-1 day – 0.35% to FedFunds-1 day – 0.88% | | Total Return of the basket of securities | | | Quarterly | | | | 2/3/2021 | | | | (1,077 | ) | | | (1 | ) |
| | | | | | | |
Morgan Stanley | | Europe Custom Basket of Securities | | Long:
Fed Funds- 1 day + 0.55% Short:
Fed Funds-1 day – 0.40% to FedFunds-1 day – 2.75% | | Total Return of the basket of securities | | | Quarterly | | | | 2/2/2021 | | | | (500 | ) | | | — | |
| | | | | | | |
Morgan Stanley | | Australia Custom Basket of Securities | | Long:
FedFunds-1 day + 0.55% Short:
Fed Funds-1 day – 0.50% to FedFunds-1 day – 0.51% | | Total Return of the basket of securities | | | Quarterly | | | | 2/3/2021 | | | | (651 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 49 | |
| | | | | | | | | | | | | | | | | | | | | | |
2
SCHEDULE OF INVESTMENTS (000)*(continued)
December 31, 2019 (Unaudited)
| † | The following tables represent the individual stock exposures comprising the Net Long Custom Basket Total Return Swaps as of December 31, 2019. |
| | | | | | | | | | | | | | | | | | |
| United States Custom Basket of Long Securities | |
| Shares | | | Description | | Currency | | Notional Amount | | | Net Unrealized Appreciation | | | Percentage
Value of
Underlying
Investment | |
| | 700 | | | Nextera Energy Partners LP | | USD | | $ | 37 | | | $ | — | | | | 0 | % |
| | 700 | | | Merck & Co | | USD | | | 64 | | | | — | | | | 0 | |
| | 1,233 | | | Baidu, Inc. | | USD | | | 156 | | | | — | | | | 0 | |
| | 1,536 | | | Marathon Petroleum Corp. | | USD | | | 93 | | | | — | | | | 0 | |
| | 1,600 | | | Meritor, Inc. | | USD | | | 42 | | | | — | | | | 0 | |
| | 1,900 | | | Dicks Sporting Goods | | USD | | | 94 | | | | — | | | | 0 | |
| | 1,920 | | | Nektar Therapeutics | | USD | | | 41 | | | | — | | | | 0 | |
| | 2,880 | | | Arconic, Inc. | | USD | | | 89 | | | | — | | | | 0 | |
| | 2,905 | | | Microsoft Corporation | | USD | | | 458 | | | | — | | | | 0 | |
| | 2,919 | | | Halliburton Co. | | USD | | | 71 | | | | — | | | | 0 | |
| | 3,034 | | | Medical Prps Trust, Inc. | | USD | | | 64 | | | | 1 | | | | 4 | |
| | 3,048 | | | Arch Coal, Inc. | | USD | | | 219 | | | | — | | | | 0 | |
| | 3,128 | | | Leidos Holdings, Inc. | | USD | | | 306 | | | | — | | | | 0 | |
| | 3,264 | | | Atlantica Yield PLC | | USD | | | 86 | | | | — | | | | 0 | |
| | 3,495 | | | Synnex Corp. | | USD | | | 450 | | | | — | | | | 0 | |
| | 4,254 | | | Rent-A-Center | | USD | | | 123 | | | | — | | | | 0 | |
| | 5,677 | | | Citigroup, Inc. | | USD | | | 453 | | | | — | | | | 0 | |
| | 6,467 | | | Alaska Air Group | | USD | | | 438 | | | | — | | | | 0 | |
| | 7,228 | | | Wells Fargo & Co. | | USD | | | 389 | | | | — | | | | 0 | |
| | 7,300 | | | Schneidr National | | USD | | | 159 | | | | — | | | | 0 | |
| | 7,696 | | | Oracle Corp. | | USD | | | 408 | | | | — | | | | 0 | |
| | 9,250 | | | Spirit Realty Capital | | USD | | | 455 | | | | 6 | | | | 24 | |
| | 9,294 | | | FirstEnergy Corp. | | USD | | | 452 | | | | — | | | | 0 | |
| | 9,515 | | | Viacomcbs, Inc. | | USD | | | 399 | | | | 2 | | | | 8 | |
| | 10,659 | | | Westrock Company | | USD | | | 457 | | | | — | | | | 0 | |
| | 11,026 | | | Steelcase, Inc. | | USD | | | 226 | | | | 2 | | | | 8 | |
| | 14,207 | | | Site Centers Corp. | | USD | | | 199 | | | | 3 | | | | 12 | |
| | 14,411 | | | Signet Jewelers Ltd. | | USD | | | 313 | | | | — | | | | 0 | |
| | 15,967 | | | Brixmor Property | | USD | | | 345 | | | | — | | | | 0 | |
| | 17,164 | | | H & R Block, Inc. | | USD | | | 403 | | | | 11 | | | | 44 | |
| | 19,113 | | | Sabre Corp. | | USD | | | 429 | | | | — | | | | 0 | |
| | 20,483 | | | Alliance Resource Partners, L.P. | | USD | | | 222 | | | | — | | | | 0 | |
| | 24,783 | | | Peabody Energy Corp. | | USD | | | 226 | | | | — | | | | 0 | |
| | 25,074 | | | Navient Corporation | | USD | | | 343 | | | | — | | | | 0 | |
| | 33,472 | | | Eqt Corp | | USD | | | 365 | | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 9,074 | | | $ | 25 | | | | 100 | % |
| | | | | | | | | | | | | | | | | | |
3
SCHEDULE OF INVESTMENTS (000)*(continued)
December 31, 2019 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| United Kingdom Custom Basket of Long Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Appreciation (Depreciation) | | | Percentage
Value of
Underlying
Investment | |
| | (64,712 | ) | | Tp Icap PLC | | GBP | | $ | (350 | ) | | $ | — | | | | 0 | % |
| | (47,572 | ) | | Beazley Ireland Holdings PLC | | GBP | | | (350 | ) | | | — | | | | 0 | |
| | (17,933 | ) | | Capita PLC | | GBP | | | (39 | ) | | | — | | | | 0 | |
| | (6,596 | ) | | Severn Trent PLC | | GBP | | | (220 | ) | | | (9 | ) | | | (60 | ) |
| | (5,956 | ) | | Asos PLC | | GBP | | | (266 | ) | | | — | | | | 0 | |
| | (1,891 | ) | | Croda International PLC | | GBP | | | (128 | ) | | | — | | | | 0 | |
| | — | | | Daily Mail & General Trust PLC | | GBP | | | — | | | | 8 | | | | 53 | |
| | — | | | United Utilities Group PLC | | GBP | | | — | | | | (3 | ) | | | (20 | ) |
| | 5,345 | | | Kaz Minerals PLC | | GBP | | | 37 | | | | — | | | | 0 | |
| | 9,377 | | | Playtech PLC | | GBP | | | 49 | | | | — | | | | 0 | |
| | 10,608 | | | British American Tobacco PLC | | GBP | | | 454 | | | | 7 | | | | 47 | |
| | 23,727 | | | SSE PLC | | GBP | | | 452 | | | | — | | | | 0 | |
| | 38,701 | | | Barclays PLC | | GBP | | | 92 | | | | — | | | | 0 | |
| | 44,927 | | | Intl Consolidated Airline | | GBP | | | 372 | | | | — | | | | 0 | |
| | 208,254 | | | Renewables Infrastructure Group | | GBP | | | 382 | | | | 12 | | | | 80 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 485 | | | $ | 15 | | | | 100 | % |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Canada Custom Basket of Long Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Appreciation | | | Percentage
Value of
Underlying
Investment | |
| | 4,954 | | | Canadian Imperial Bank of Commerce | | CAD | | $ | 412 | | | $ | 5 | | | | 83 | % |
| | 10,560 | | | Genworth MI Canada, Inc. | | CAD | | | 462 | | | | — | | | | 0 | |
| | 22,751 | | | Manulife Financial Corp. | | CAD | | | 462 | | | | — | | | | 0 | |
| | 50,192 | | | Encana Corp. | | CAD | | | 235 | | | | 1 | | | | 17 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 1,571 | | | $ | 6 | | | | 100 | % |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Hong Kong Custom Basket of Long Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net
Unrealized
Appreciation
(Depreciation) | | | Percentage
Value of
Underlying
Investment | |
| | (3,133,682 | ) | | GCL-Poly Energy | | HKD | | $ | (119 | ) | | $ | — | | | | 0 | % |
| | (258,200 | ) | | Xiaomi Corp., Class B | | HKD | | | (357 | ) | | | — | | | | 0 | |
| | (141,139 | ) | | Wharf Holdings | | HKD | | | (359 | ) | | | — | | | | 0 | |
| | (85,600 | ) | | Sw ireproperties | | HKD | | | (284 | ) | | | — | | | | 0 | |
| | (63,511 | ) | | China Communication Services | | HKD | | | (46 | ) | | | — | | | | 0 | |
| | (53,805 | ) | | Bank of East Asia | | HKD | | | (120 | ) | | | — | | | | 0 | |
| | (6,468 | ) | | Wuxi Biologics Cayman, Inc. | | HKD | | | (82 | ) | | | — | | | | 0 | |
4
SCHEDULE OF INVESTMENTS (000)*(continued)
December 31, 2019 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| Hong Kong Custom Basket of Long Securities (concluded) | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Appreciation
(Depreciation) | | | Percentage
Value of
Underlying
Investment | |
| | 24,000 | | | China Aoyuan | | HKD | | $ | 39 | | | $ | — | | | | 0 | % |
| | 36,861 | | | Jiangsu Express | | HKD | | | 50 | | | | — | | | | 0 | |
| | 87,929 | | | BYD Electronic | | HKD | | | 169 | | | | — | | | | 0 | |
| | 91,961 | | | Greatw all Motor | | HKD | | | 68 | | | | — | | | | 0 | |
| | 96,377 | | | Sinotruk Ltd. | | HKD | | | 206 | | | | — | | | | 0 | |
| | 177,010 | | | Kais a Group | | HKD | | | 84 | | | | — | | | | 0 | |
| | 200,816 | | | Asia Cement China | | HKD | | | 300 | | | | — | | | | 0 | |
| | 360,163 | | | CQRC Bank | | HKD | | | 184 | | | | — | | | | 0 | |
| | 442,000 | | | Ch Ovs G Oceans | | HKD | | | 306 | | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 39 | | | $ | — | | | | 0 | % |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Japan Custom Basket of Long Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Appreciation (Depreciation) | | | Percentage
Value of Underlying
Investment | |
| | (58,000 | ) | | Hokuriku Electric Power Co. | | JPY | | $ | (425 | ) | | $ | — | | | | 0 | % |
| | (23,900 | ) | | Panasonic Corp. | | JPY | | | (226 | ) | | | — | | | | 0 | |
| | (12,500 | ) | | Maruichi Steel Tube Ltd. | | JPY | | | (354 | ) | | | — | | | | 0 | |
| | (10,800 | ) | | MIS UMI Group, Inc. | | JPY | | | (271 | ) | | | — | | | | 0 | |
| | (9,300 | ) | | Sharp Corp. | | JPY | | | (144 | ) | | | — | | | | 0 | |
| | (6,600 | ) | | Idemitsu Kosan Co., Ltd. | | JPY | | | (184 | ) | | | — | | | | 0 | |
| | (6,200 | ) | | Odakyu Electric Railway Co., Ltd. | | JPY | | | (146 | ) | | | — | | | | 0 | |
| | (4,500 | ) | | Kyoritsu Maintenance Co., Ltd. | | JPY | | | (215 | ) | | | — | | | | 0 | |
| | (3,200 | ) | | Monotaro Co., Ltd. | | JPY | | | (86 | ) | | | — | | | | 0 | |
| | (1,300 | ) | | Nidec Corp. | | JPY | | | (180 | ) | | | — | | | | 0 | |
| | (900 | ) | | Gmo Payment Gateway, Inc. | | JPY | | | (62 | ) | | | — | | | | 0 | |
| | 1,900 | | | Benesse Holdings, Inc. | | JPY | | | 50 | | | | — | | | | 0 | |
| | 5,800 | | | Sumitomo Mitsui Financial Group, Inc. | | JPY | | | 216 | | | | — | | | | 0 | |
| | 11,000 | | | Takeda Pharmaceutical Co., Ltd. | | JPY | | | 439 | | | | — | | | | 0 | |
| | 14,700 | | | KDDI Corp. | | JPY | | | 440 | | | | — | | | | 0 | |
| | 15,200 | | | Tokuyama Corp. | | JPY | | | 400 | | | | — | | | | 0 | |
| | 16,300 | | | Hazama Ando Corp. | | JPY | | | 143 | | | | — | | | | 0 | |
| | 16,700 | | | Show a Denko K.K. | | JPY | | | 446 | | | | 11 | | | | 100 | |
| | 25,700 | | | Tomy Co., Ltd. | | JPY | | | 335 | | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 176 | | | $ | 11 | | | | 100 | % |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| New Zealand Custom Basket of Long Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Depreciation | | | Percentage
Value of
Underlying Investment | |
| | (16,156 | ) | | Fletcher Building Ltd. | | NZD | | $ | (56 | ) | | $ | — | | | | 0 | % |
| | 220,054 | | | Air New Zealand | | NZD | | | 439 | | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 383 | | | $ | — | | | | 0 | % |
| | | | | | | | | | | | | | | | | | |
5
SCHEDULE OF INVESTMENTS (000)*(continued)
December 31, 2019 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| Singapore Custom Basket of Long Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Appreciation
(Depreciation) | | | Percentage
Value of
Underlying
Investment | |
| | (178,700 | ) | | Singtel Group | | SGD | | $ | (447 | ) | | $ | (9 | ) | | | 100 | % |
| | 564,400 | | | Yangzijiang Shipbuilding | | SGD | | | 469 | | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 22 | | | $ | (9 | ) | | | 100 | % |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| South Korea Custom Basket of Long Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Appreciation
(Depreciation) | | | Percentage
Value of
Underlying
Investment | |
| | (63,117 | ) | | Samsung Heavy | | KRW | | $ | (397 | ) | | $ | — | | | | 0 | % |
| | (57,618) | | | Mirae Asset Daewoo Co., Ltd. | | KRW | | | (377 | ) | | | (14 | ) | | | (156 | ) |
| | (12,192) | | | Korea Electric Power Corp. | | KRW | | | (294 | ) | | | — | | | | 0 | |
| | (2,475) | | | Korea Aerospace Industries Ltd. | | KRW | | | (73 | ) | | | — | | | | 0 | |
| | (2,464) | | | S-Oil Corp. | | KRW | | | (203 | ) | | | (1 | ) | | | (11 | ) |
| | (2,259 | ) | | Hyundai Heavy Industries Co., Ltd. | | KRW | | | (247 | ) | | | — | | | | 0 | |
| | (1,928) | | | Cj Logistics Corp. | | KRW | | | (259 | ) | | | — | | | | 0 | |
| | 238 | | | Samsung SDS Co., Ltd. | | KRW | | | 40 | | | | — | | | | 0 | |
| | 361 | | | SK Telecom | | KRW | | | 74 | | | | 2 | | | | 22 | |
| | 656 | | | LG Innotek Co., Ltd. | | KRW | | | 80 | | | | — | | | | 0 | |
| | 2,284 | | | Hanwha Corp. | | KRW | | | 49 | | | | 1 | | | | 11 | |
| | 2,624 | | | Sk Hynix, Inc. | | KRW | | | 214 | | | | 1 | | | | 11 | |
| | 3,173 | | | Daelim Industrial Co., Ltd. | | KRW | | | 249 | | | | 4 | | | | 45 | |
| | 3,309 | | | Duzonbizon Co., Ltd. | | KRW | | | 232 | | | | 1 | | | | 11 | |
| | 3,659 | | | Korea Gas Corp. | | KRW | | | 120 | | | | 4 | | | | 45 | |
| | 5,254 | | | Gs Engineering & Construction Corp. | | KRW | | | 141 | | | | 3 | | | | 33 | |
| | 7,636 | | | Kia Motors Corp. | | KRW | | | 293 | | | | 6 | | | | 67 | |
| | 7,660 | | | Samsung Electronics | | KRW | | | 370 | | | | 2 | | | | 22 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 12 | | | $ | 9 | | | | 100 | % |
| | | | | | | | | | | | | | | | | | |
6
SCHEDULE OF INVESTMENTS (000)*(continued)
December 31, 2019 (Unaudited)
†† The following tables represent the individual stock exposures comprising the Net Short Custom Basket Total Return Swaps as of December 31, 2019.
| | | | | | | | | | | | | | | | | | |
| United States Custom Basket of Short Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Depreciation | | | Percentage
Value of
Underlying | |
| | (23,248 | ) | | Virtu Financial, Inc., Class A | | USD | | $ | (372 | ) | | $ | — | | | | 0 | % |
| | (17,252 | ) | | Mattel, Inc. | | USD | | | (234 | ) | | | — | | | | 0 | |
| | (13,004 | ) | | FireEye, Inc. | | USD | | | (215 | ) | | | — | | | | 0 | |
| | (12,192 | ) | | Kraft Heinz Co. | | USD | | | (392 | ) | | | — | | | | 0 | |
| | (12,114 | ) | | Keurig Dr Pepper, Inc. | | USD | | | (351 | ) | | | — | | | | 0 | |
| | (11,200 | ) | | Ford Motor Co | | USD | | | (104 | ) | | | — | | | | 0 | |
| | (11,200 | ) | | Cushman & Wakefield Plc | | USD | | | (229 | ) | | | — | | | | 0 | |
| | (10,271 | ) | | Dropbox Inc., Class A | | USD | | | (184 | ) | | | — | | | | 0 | |
| | (9,722 | ) | | Welbilt, Inc. | | USD | | | (152 | ) | | | — | | | | 0 | |
| | (9,213 | ) | | Houlihan Lokey | | USD | | | (450 | ) | | | — | | | | 0 | |
| | (8,585 | ) | | Cloudera, Inc. | | USD | | | (100 | ) | | | — | | | | 0 | |
| | (8,272 | ) | | Moelis & Company | | USD | | | (264 | ) | | | — | | | | 0 | |
| | (6,704 | ) | | Argo Group International Holdings Ltd | | USD | | | (441 | ) | | | — | | | | 0 | |
| | (5,373 | ) | | Box Inc., Class A | | USD | | | (90 | ) | | | — | | | | 0 | |
| | (5,057 | ) | | Wabtec | | USD | | | (393 | ) | | | — | | | | 0 | |
| | (4,992 | ) | | Zillow Group Inc., Class C | | USD | | | (229 | ) | | | — | | | | 0 | |
| | (4,861 | ) | | Williams Scotsman Corp. | | USD | | | (90 | ) | | | — | | | | 0 | |
| | (4,561 | ) | | Siteone Landscape Supply, Inc. | | USD | | | (413 | ) | | | — | | | | 0 | |
| | (4,547 | ) | | L Brands | | USD | | | (82 | ) | | | — | | | | 0 | |
| | (4,038 | ) | | Instructure, Inc. | | USD | | | (195 | ) | | | — | | | | 0 | |
| | (3,920 | ) | | Merit Medic | | USD | | | (122 | ) | | | — | | | | 0 | |
| | (3,842 | ) | | Immunomedics, Inc. | | USD | | | (81 | ) | | | — | | | | 0 | |
| | (3,842 | ) | | Coresite Realty Corp. | | USD | | | (431 | ) | | | (5 | ) | | | 72 | |
| | (3,606 | ) | | Pluralsight Inc., Class A | | USD | | | (62 | ) | | | — | | | | 0 | |
| | (3,534 | ) | | Casella Waste | | USD | | | (163 | ) | | | — | | | | 0 | |
| | (3,489 | ) | | Sunrun, Inc. | | USD | | | (48 | ) | | | — | | | | 0 | |
| | (3,400 | ) | | Energizer Holdings, Inc. | | USD | | | (171 | ) | | | — | | | | 0 | |
| | (3,214 | ) | | New Relic Inc. | | USD | | | (211 | ) | | | — | | | | 0 | |
| | (2,822 | ) | | Q2 Holdings, Inc. | | USD | | | (229 | ) | | | — | | | | 0 | |
| | (2,705 | ) | | Axon Enterprise, Inc. | | USD | | | (198 | ) | | | — | | | | 0 | |
| | (2,548 | ) | | Heron Therapeutics, Inc. | | USD | | | (60 | ) | | | — | | | | 0 | |
| | (2,313 | ) | | Nutanix, Inc., Class A | | USD | | | (72 | ) | | | — | | | | 0 | |
| | (2,273 | ) | | Redfin Corp. | | USD | | | (48 | ) | | | — | | | | 0 | |
| | (2,200 | ) | | Pebblebrook Hotel Trust | | USD | | | (59 | ) | | | (1 | ) | | | 14 | |
| | (2,117 | ) | | First Republic Bank | | USD | | | (249 | ) | | | — | | | | 0 | |
| | (2,040 | ) | | Docusign, Inc. | | USD | | | (151 | ) | | | — | | | | 0 | |
| | (2,032 | ) | | Twilio, Inc. | | USD | | | (200 | ) | | | — | | | | 0 | |
| | (1,960 | ) | | 8X8, Inc. | | USD | | | (36 | ) | | | — | | | | 0 | |
| | (1,960 | ) | | Conagra Brands, Inc. | | USD | | | (67 | ) | | | — | | | | 0 | |
| | (1,647 | ) | | Cboe Global Markets, Inc. | | USD | | | (198 | ) | | | — | | | | 0 | |
7
SCHEDULE OF INVESTMENTS (000)*(continued)
December 31, 2019 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| United States Custom Basket of Short Securities (concluded) | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Depreciation | | | Percentage
Value of
Underlying Investment | |
| | (1,490 | ) | | Icu Medical Inc. | | USD | | $ | (279 | ) | | $ | — | | | | 0 | % |
| | (1,216 | ) | | Abiomed, Inc. | | USD | | | (207 | ) | | | — | | | | 0 | |
| | (991 | ) | | Bunge Ltd. | | USD | | | (57 | ) | | | — | | | | 0 | |
| | (902 | ) | | Digital Realty | | USD | | | (108 | ) | | | (1 | ) | | | 14 | |
| | (901 | ) | | Inogen, Inc. | | USD | | | (61 | ) | | | — | | | | 0 | |
| | (823 | ) | | Aqua America, Inc. | | USD | | | (39 | ) | | | — | | | | 0 | |
| | (745 | ) | | Wix.Com Ltd. | | USD | | | (91 | ) | | | — | | | | 0 | |
| | (700 | ) | | Wayfair, Inc. | | USD | | | (63 | ) | | | — | | | | 0 | |
| | (600 | ) | | Shake ShackIn-A | | USD | | | (36 | ) | | | — | | | | 0 | |
| | (600 | ) | | Rapid7, Inc. | | USD | | | (33 | ) | | | — | | | | 0 | |
| | (548 | ) | | Everbridge Inc. | | USD | | | (43 | ) | | | — | | | | 0 | |
| | (470 | ) | | Okta Inc | | USD | | | (54 | ) | | | — | | | | 0 | |
| | (289 | ) | | Deere & Co. | | USD | | | (50 | ) | | | — | | | | 0 | |
| | (185 | ) | | Align Tech, Inc. | | USD | | | (52 | ) | | | — | | | | 0 | |
| | (157 | ) | | Costar Group | | USD | | | (94 | ) | | | — | | | | 0 | |
| | (157 | ) | | Netflix, Inc. | | USD | | | (51 | ) | | | — | | | | 0 | |
| | (118 | ) | | The Sherwin-Williams Company | | USD | | | (69 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | (9,223 | ) | | $ | (7 | ) | | | 100 | % |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Canada Custom Basket of Short Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Depreciation | | | Percentage
Value of
Underlying
Investment | |
| | (195,143 | ) | | Bombardier Transportation | | CAD | | $ | (290 | ) | | $ | — | | | | 0 | % |
| | (4,704 | ) | | Cenovus Energy | | CAD | | | (48 | ) | | | — | | | | 0 | |
| | (4,430 | ) | | Colliers International Group I | | CAD | | | (345 | ) | | | — | | | | 0 | |
| | (3,606 | ) | | Enbridge, Inc. | | CAD | | | (143 | ) | | | — | | | | 0 | |
| | (3,253 | ) | | SNC-Lavalin Group, Inc. | | CAD | | | (75 | ) | | | — | | | | 0 | |
| | (2,509 | ) | | Premium Brands Holdings | | CAD | | | (176 | ) | | | (1 | ) | | | 100 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | (1,077 | ) | | $ | (1 | ) | | | 100 | % |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Europe Custom Basket of Short Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Appreciation
(Depreciation) | | | Percentage Value of Underlying Investment | |
| | (838,431 | ) | | Banco Comercial Portugues | | EUR | | $ | (191 | ) | | $ | — | | | | 0 | % |
| | (61,482 | ) | | Norsk Hydro | | EUR | | | (228 | ) | | | — | | | | 0 | |
| | (41,084 | ) | | Electricite de France SA | | EUR | | | (458 | ) | | | — | | | | 0 | |
| | (27,558 | ) | | Banco Santander SA | | EUR | | | (115 | ) | | | — | | | | 0 | |
| | (21,485 | ) | | Nokia Oyj | | EUR | | | (79 | ) | | | — | | | | 0 | |
| | (18,905 | ) | | Deutsche Bank AG | | EUR | | | (147 | ) | | | — | | | | 0 | |
| | (16,389 | ) | | Naturgy Energy Group S.A. | | EUR | | | (412 | ) | | | — | | | | 0 | |
8
SCHEDULE OF INVESTMENTS (000)*(continued)
December 31, 2019 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| Europe Custom Basket of Short Securities (concluded) | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Depreciation | | | Percentage Value of Underlying Investment | |
| | (11,141 | ) | | Thyssenkrupp AG | | EUR | | $ | (151 | ) | | $ | — | | | | 0 | % |
| | (11,115 | ) | | Deutsche Wohnen SE | | EUR | | | (454 | ) | | | — | | | | 0 | |
| | (9,883 | ) | | Tenaris | | EUR | | | (111 | ) | | | — | | | | 0 | |
| | (9,406 | ) | | Umicore | | EUR | | | (458 | ) | | | — | | | | 0 | |
| | (8,110 | ) | | Daimler AG | | EUR | | | (449 | ) | | | — | | | | 0 | |
| | (4,761 | ) | | Aker BP ASA | | EUR | | | (156 | ) | | | — | | | | 0 | |
| | (4,513 | ) | | Tryg | | EUR | | | (134 | ) | | | — | | | | 0 | |
| | (3,715 | ) | | Renault | | EUR | | | (176 | ) | | | — | | | | 0 | |
| | (3,092 | ) | | Accor SA | | EUR | | | (145 | ) | | | — | | | | 0 | |
| | (2,351 | ) | | Baloise Holding AG | | EUR | | | (425 | ) | | | — | | | | 0 | |
| | (1,753 | ) | | Iliad | | EUR | | | (227 | ) | | | — | | | | 0 | |
| | (519 | ) | | Swiss Re AG | | EUR | | | (58 | ) | | | — | | | | 0 | |
| | (15 | ) | | Givaudan | | EUR | | | (47 | ) | | | — | | | | 0 | |
| | 465 | | | SAP SE | | EUR | | | 63 | | | | — | | | | 0 | |
| | 1,354 | | | VolkswagenAG-Preferred | | EUR | | | 268 | | | | — | | | | 0 | |
| | 1,410 | | | Roche GS | | EUR | | | 457 | | | | — | | | | 0 | |
| | 1,660 | | | Signify NV | | EUR | | | 52 | | | | — | | | | 0 | |
| | 2,033 | | | Siemens | | EUR | | | 266 | | | | — | | | | 0 | |
| | 2,717 | | | Wienerberger | | EUR | | | 81 | | | | — | | | | 0 | |
| | 3,654 | | | Unicredito Spa | | EUR | | | 53 | | | | — | | | | 0 | |
| | 3,853 | | | Dialog Semicon | | EUR | | | 195 | | | | — | | | | 0 | |
| | 3,887 | | | Exor NV | | EUR | | | 301 | | | | — | | | | 0 | |
| | 4,083 | | | Dt Lufthansa AG | | EUR | | | 75 | | | | — | | | | 0 | |
| | 4,777 | | | Novartis AG | | EUR | | | 453 | | | | — | | | | 0 | |
| | 5,844 | | | Mediaset Espana Comunicacion S.A. | | EUR | | | 37 | | | | — | | | | 0 | |
| | 7,613 | | | BNP Paribas | | EUR | | | 451 | | | | — | | | | 0 | |
| | 15,809 | | | ABB Ltd. | | EUR | | | 382 | | | | — | | | | 0 | |
| | 38,275 | | | Bpost SA | | EUR | | | 442 | | | | — | | | | 0 | |
| | 41,968 | | | Hemfosa Fastigheter | | EUR | | | 545 | | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | (500 | ) | | $ | — | | | | 0 | % |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Australia Custom Basket of Short Securities | |
| Shares | | | Description | | Currency | | Notional
Amount | | | Net Unrealized
Appreciation
(Depreciation) | | | Percentage
Value of
Underlying
Investment | |
| | (338,726 | ) | | Ausnet Services | | AUD | | $ | (403 | ) | | $ | — | | | | 0 | % |
| | (72,919 | ) | | Nufarm Ltd. | | AUD | | | (295 | ) | | | — | | | | 0 | |
| | (20,155 | ) | | NextDC Ltd. | | AUD | | | (93 | ) | | | — | | | | 0 | |
| | (18,077 | ) | | Westpac Banking Corp. | | AUD | | | (307 | ) | | | — | | | | 0 | |
| | 59,734 | | | Fortescue Metals Group Ltd. | | AUD | | | 447 | | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | (651 | ) | | $ | — | | | | 0 | % |
| | | | | | | | | | | | | | | | | | |
9
SCHEDULE OF INVESTMENTS (000)(concluded)
December 31, 2019 (Unaudited)
| ** | The rate reported is the7-day effective yield as of December 31, 2019. |
| 1 | Of this investment, $8,752 was pledged and segregated with the custodian as collateral for outstanding total return equity swap agreements. |
| 2 | The net notional amount is the sum of long and short positions. The gross notional amount of long positions and short positions at December 31, 2019 is $23,696 and $(23,385), respectively. The gross notional amounts are representative of the volume of activity during the quarter ended December 31, 2019. |
| GBP | – British Pound Sterling |
| PLC | – Public Limited Company |
Amounts designated as “—” are $0 or round to $0.
The table below sets forth information about the Levels within the fair value hierarchy at which the Fund’s investments and other financial instruments are measured as of December 31, 2019:
| | | | | | | | | | | | | | | | |
| Investment in Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Short-Term Investment | | $ | 13,673 | | | $ | — | | | $ | — | | | $ | 13,673 | |
| |
Total Investment in Securities | | $ | 13,673 | | | $ | — | | | $ | — | | | $ | 13,673 | |
| |
| | | | |
| Other Financial Instruments | | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total | |
| |
| Total Return Equity Swaps ^ | | | | | | | | | | | | | | | | |
Unrealized Appreciation | | $ | — | | | $ | 66 | | | $ | — | | | $ | 66 | |
Unrealized Depreciation | | | — | | | | (17 | ) | | | — | | | | (17 | ) |
| |
Total Other Financial Instruments | | $ | — | | | $ | 49 | | | $ | — | | | $ | 49 | |
| |
| ^ | Total return equity swaps are valued at the unrealized appreciation (depreciation) of the instruments. |
For the period ended December 31, 2019, there were no transfers in or out of Level 3.
Amounts designated as “—” are $0.
For information on the Fund’s policies regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
CCM-QH-005-1800
10
