Stadion Investment Trust NPORT-P Stadion Tactical Defensive Fund (Feb 2021 report)

Stadion Tactical Growth Fund
Schedule of Investments
February 28, 2021 (Unaudited)
EXCHANGE-TRADED FUNDS - 89.57%	Shares		Value
Invesco QQQ Trust, Series 1		351,223	$	110,333,193
iShares® Short Treasury Bond ETF		374,810		41,424,001
iShares® Russell 2000® Growth ETF		250,121		77,479,982
iShares® Russell 2000® Value ETF		476,313		72,209,051
SPDR® Portfolio S&P 500 Growth ETF		1,201,024		66,080,341
SPDR® S&P 500® ETF Trust		129,440		49,233,798
Vanguard® Growth ETF		281,887		71,286,403
Vanguard® Value ETF		232,593		28,822,925
TOTAL EXCHANGE-TRADED FUNDS
(Cost $341,822,796)				516,869,694

MONEY MARKET FUNDS - 3.69%	Shares		Value
Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Share Class, 0.030%, 7-day effective yield		21,299,904	$	21,299,904
TOTAL MONEY MARKET FUNDS
(Cost $21,299,904)				21,299,904
Total Investments, at Value - 93.26%
(Cost $363,122,700)				538,169,598
Other Assets in Excess of Liabilities - 6.74%				38,872,899
Net Assets - 100.00%			$	577,042,497

See Notes to Quarterly Schedule of Investments

Stadion Tactical Defensive Fund
Schedule of Investments
February 28, 2021 (Unaudited)
EXCHANGE-TRADED FUNDS - 50.79%	Shares		Value
SPDR® Portfolio Developed World ex-US ETF		352,012	$	12,140,894
SPDR® Portfolio Emerging Markets ETF		88,152		3,887,503
SPDR® Portfolio S&P 500® ETF		490,099		21,927,029
SPDR® Portfolio S&P 600® Small Cap ETF		60,936		2,492,283
TOTAL EXCHANGE-TRADED FUNDS
(Cost $31,510,213)				40,447,709

MONEY MARKET FUNDS - 26.21%	Shares		Value
Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Share Class, 0.030%, 7-day effective yield		20,871,314	$	20,871,314
TOTAL MONEY MARKET FUNDS
(Cost $20,871,314)				20,871,314
Total Investments, at Value - 77.00%
(Cost $52,381,527)				61,319,023
Other Assets in Excess of Liabilities - 23.00%				18,319,727
Net Assets - 100.00%			$	79,638,750

See Notes to Quarterly Schedule of Investments.

Stadion Trilogy Alternative Return Fund
Schedule of Investments
February 28, 2021 (Unaudited)
COMMON STOCKS - 33.00%	Shares		Value
Consumer Discretionary - 4.44%
Hotels, Restaurants & Leisure - 1.04%
McDonald's Corp.(a)		2,403	$	495,354
Household Durables - 1.38%
Garmin, Ltd.(a)		5,295		656,686
Multiline Retail - 1.03%
Target Corp.(a)		2,663		488,501
Specialty Retail - 0.99%
Home Depot, Inc.(a)		1,825		471,471
Consumer Staples - 4.93%
Food & Staples Retailing - 2.46%
Sysco Corp.(a)		6,523		519,427
Walmart, Inc.(a)		5,013		651,289
				1,170,716
Food Products - 1.38%
General Mills, Inc.(a)		8,744		481,007
Kellogg Co.(a)		3,000		173,130
				654,137
Household Products - 1.09%
Procter & Gamble Co.(a)		4,198		518,579
Financials - 3.61%
Banks - 2.74%
Fifth Third Bancorp(a)		19,787		686,411
Truist Financial Corp.(a)		10,791		614,655
				1,301,066
Insurance - 0.87%
Aflac, Inc.(a)		8,647		414,105
Health Care - 6.34%
Health Care Equipment & Supplies - 1.43%
Abbott Laboratories(a)		5,681		680,470

COMMON STOCKS (continued)	Shares		Value
Health Care - 6.34% (continued)
Pharmaceuticals - 4.91%
Eli Lilly and Co.(a)		4,207	$	861,972
Johnson & Johnson(a)		3,197		506,597
Merck & Co., Inc.(a)		6,688		485,682
Pfizer, Inc.(a)		14,369		481,218
				2,335,469
Industrials - 5.22%
Aerospace & Defense - 1.54%
L3Harris Technologies, Inc.(a)		1,910		347,448
Lockheed Martin Corp.(a)		1,171		386,723
				734,171
Commercial Services & Supplies - 1.10%
Waste Management, Inc.(a)		4,719		523,290
Machinery - 1.20%
Illinois Tool Works, Inc.(a)		2,833		572,776
Trading Companies & Distributors - 1.38%
WW Grainger, Inc.(a)		1,756		654,478
Information Technology - 5.62%
Communications Equipment - 1.20%
Cisco Systems, Inc.(a)		12,699		569,804
IT Services - 0.97%
International Business Machines Corp.(a)		3,880		461,448
Software - 1.56%
Microsoft Corp.(a)		3,202		744,081
Technology Hardware, Storage & Peripherals - 1.89%
Apple, Inc.(a)		7,416		899,264
Utilities - 2.84%
Electric Utilities - 1.95%
Eversource Energy(a)		5,595		444,690
Southern Co.(a)		8,526		483,595
				928,285
Multi-Utilities - 0.89%
Dominion Energy, Inc.(a)		6,211		424,336
TOTAL COMMON STOCKS
(Cost $8,093,205)				15,698,487

EXCHANGE-TRADED FUNDS - 52.57%	Shares		Value
iShares® Broad USD High Yield Corporate Bond ETF(a)		26,100	$	1,071,144
iShares® Core Dividend Growth ETF(a)		26,320		1,192,296
iShares® MBS ETF(a)		39,300		4,289,595
Schwab® US Dividend Equity ETF(a)		18,882		1,272,836
SPDR® Portfolio Intermediate Term Corporate Bond ETF(a)		204,400		7,478,996
SPDR® Portfolio Long-Term Corporate Bond ETF(a)		65,900		2,042,900
SPDR® Portfolio Short-Term Corporate Bond ETF(a)		137,600		4,315,136
VanEck Vectors® Fallen Angel High Yield Bond ETF(a)		66,500		2,132,655
Vanguard® Dividend Appreciation ETF(a)		8,734		1,215,860
TOTAL EXCHANGE-TRADED FUNDS
(Cost $23,148,370)				25,011,418

PURCHASED OPTION CONTRACTS - 20.05%	Expiration Date	Strike Price		Contracts		Notional Value		Value
Call Option Contracts - 14.09%
S&P 500® Index:
	03/05/2021	$	4,050		15	$	5,716,725	$	525
	03/12/2021		4,050		15		5,716,725		1,988
	03/19/2021		4,050		15		5,716,725		4,912
	03/26/2021		3,950		15		5,716,725		34,275
	12/17/2021		3,100		65		24,772,475		5,230,875
	12/16/2022		2,400		10		3,811,150		1,430,550
							51,450,525		6,703,125
Put Option Contracts - 5.96%
S&P 500® Index:
	03/05/2021		3,650		15		5,716,725		26,775
	03/12/2021		3,650		15		5,716,725		50,400
	03/19/2021		3,650		15		5,716,725		66,600
	03/26/2021		3,550		15		5,716,725		57,300
	06/18/2021		2,150		25		9,527,875		23,875
	06/18/2021		2,550		35		13,339,025		66,500
	06/18/2021		3,000		20		7,622,300		85,600
	12/17/2021		2,825		15		5,716,725		138,075
	12/17/2021		2,900		10		3,811,150		102,500
	12/17/2021		3,000		10		3,811,150		117,550
	12/17/2021		3,050		10		3,811,150		125,750
	12/17/2021		3,150		5		1,905,575		72,025
	12/17/2021		3,200		5		1,905,575		77,125
	06/17/2022		3,325		15		5,716,725		382,275
	06/17/2022		3,400		10		3,811,150		276,100
	06/17/2022		3,525		10		3,811,150		314,450
SPDR S&P 500® ETF Trust:
	06/17/2022		275		40		1,521,440		52,160
	06/17/2022		280		95		3,613,420		132,192
	06/17/2022		285		160		6,085,760		237,200
	06/17/2022		290		60		2,282,160		94,740
	06/17/2022		295		115		4,374,140		193,028
	06/17/2022		300		80		3,042,880		142,640
							108,576,250		2,834,860
TOTAL PURCHASED OPTION CONTRACTS
(Cost $7,661,416)							160,026,775		9,537,985

MONEY MARKET FUNDS - 2.41%	Shares		Value
Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Share Class, 0.030%, 7-day effective yield(a)		1,147,271	$	1,147,271
TOTAL MONEY MARKET FUNDS
(Cost $1,147,271)				1,147,271
Total Investments, at Value - 108.03%
(Cost $40,050,262)				51,395,161
Written Option Contracts - (8.86)%				(4,214,700	)
Other Assets in Excess of Liabilities - 0.83%				395,465
Net Assets - 100.00%			$	47,575,926

^(a) All or portion of this security is held as collateral for written options. At period end, the aggregate market value of those securities was $11,938,585, representing 25.09% of net assets.

WRITTEN OPTION CONTRACTS - 8.86%	Expiration Date	Strike Price		Contracts		Premiums Received		Notional Value		Value
Call Option Contracts - 5.04%
S&P 500® Index:
	03/05/2021	$	3,825		15	$	87,299	$	5,716,725	$	67,275
	03/05/2021		3,900		15		92,774		5,716,725		18,975
	03/12/2021		3,900		15		114,640		5,716,725		34,800
	03/19/2021		3,900		35		187,987		13,339,025		113,225
	03/26/2021		3,800		15		161,759		5,716,725		145,575
	03/26/2021		3,900		20		96,559		7,622,300		82,600
	04/01/2021		3,900		20		110,139		7,622,300		97,300
	06/18/2021		3,400		10		86,970		3,811,150		482,250
	12/17/2021		3,500		10		111,970		3,811,150		497,950
	12/17/2021		3,600		10		119,970		3,811,150		427,650
	06/17/2022		3,850		10		140,960		3,811,150		339,300
	06/17/2022		4,150		5		68,595		1,905,575		95,325
							1,379,622		68,600,700		2,402,225
Put Option Contracts - 3.82%
S&P 500® Index:
	03/05/2021		3,900		15		118,259		5,716,725		162,075
	03/12/2021		3,900		15		102,655		5,716,725		180,300
	03/19/2021		3,900		15		106,862		5,716,725		193,875
	03/26/2021		3,800		15		125,324		5,716,725		142,050
	06/18/2021		1,900		25		418,899		9,527,875		15,750
	06/18/2021		2,275		35		545,344		13,339,025		41,300
	06/18/2021		2,600		20		125,119		7,622,300		41,500
	12/17/2021		2,525		15		282,208		5,716,725		88,425
	12/17/2021		2,575		10		164,315		3,811,150		63,300
	12/17/2021		2,675		10		162,399		3,811,150		73,350
	12/17/2021		2,700		10		160,214		3,811,150		76,050
	12/17/2021		2,800		5		73,095		1,905,575		43,925
	12/17/2021		2,850		5		63,460		1,905,575		47,425
	06/17/2022		2,975		15		269,504		5,716,725		257,100
	06/17/2022		3,025		10		182,160		3,811,150		181,850
	06/17/2022		3,125		10		193,340		3,811,150		204,200
							3,093,157		87,656,450		1,812,475
Total Written Option Contracts						$	4,472,779	$	156,257,150	$	4,214,700

See Notes to Quarterly Schedule of Investments.

STADION INVESTMENT TRUST

NOTES TO SCHEDULES OF INVESTMENTS

February 28, 2021 (Unaudited)

1. ORGANIZATION

Stadion Tactical Growth Fund (“Tactical Growth Fund”), Stadion Tactical Defensive Fund (“Tactical Defensive Fund”) and Stadion Trilogy Alternative Return Fund (“Trilogy Alternative Return Fund”), (each, a “Fund,” and collectively, the “Funds”) are each a diversified series of Stadion Investment Trust (the “Trust”), a Delaware Statutory Trust registered under the Investment Company Act of 1940 (the “1940 Act”) as an open-end management investment company.

Tactical Growth Fund is a successor to a previously operational fund, the ETF Market Opportunity Fund (the “Predecessor Fund”), which was a series of the Aviemore Funds, an Ohio business trust. The Predecessor Fund was organized into a series, Class I shares, of the Tactical Growth Fund effective as of the close of business on March 29, 2013. The Predecessor Fund commenced operations on May 3, 2004 and was the only series authorized by the Aviemore Funds. Class A and Class C shares were launched from the Tactical Growth Fund effective April 1, 2013. The Fund seeks long-term capital appreciation.

Tactical Defensive Fund commenced operations on January 27, 2004. The public offering of Class A shares, Class C shares, and Class I shares commenced on September 15, 2006, October 1, 2009, and May 28, 2010, respectively. The investment objective of the Fund is to seek capital appreciation.

Trilogy Alternative Return Fund commenced operations on April 2, 2012. The public offering of Class A shares, Class C shares and Class I shares commenced on April 2, 2012. The investment objective of the Fund is total return, with an emphasis on lower risk and volatility than the U.S. equity markets.

Each Fund currently offers three classes of shares, Class A, Class C, and Class I. Class A shares are sold subject to a maximum front-end sales load equal to 5.75% of the offering price and a distribution and/or service fee of up to 0.25% of the average net assets attributable to Class A shares, and are also sold subject to a 1.00% contingent deferred sales load on purchases at or above $1 million if redeemed within 12 months of purchase. Class C shares are sold subject to a distribution and/or service fee of up to 1.00% of the average daily net assets attributable to Class C shares and, effective October 1, 2012, sold subject to a 1.00% contingent deferred sales load if redeemed within one year of purchase. Class I shares are sold without any sales loads and distribution and/ or service fees. Each class of shares represents an interest in the same assets of the Funds, has the same rights and is identical in all material respects except that (1) the classes bear differing levels of sales loads and distribution fees; (2) certain other class specific expenses will be borne solely by the class to which such expenses are attributable; (3) each class has exclusive voting rights with respect to matters relating to its arrangements; and (4) Class I shares are, generally, available for certain broker-dealers and financial intermediaries that have entered into appropriate arrangements with the Funds.

Following discussions held on September 23, 2020, October 22, 2020, October 27, 2020, December 23, 2020, and January 5, 2021, the Board of Trustees (“Board”) of the Stadion Trust unanimously approved an Agreement and Plan of Reorganization (the “Plan”), pursuant to which each Stadion Fund would be reorganized with and into a newly formed series (each, an “NSI Fund”) of the North Square Investments Trust, a Delaware statutory trust (“NSI Trust”), with the NSI Funds being the surviving funds for accounting and performance purposes (the “Transaction”). If consummated as contemplated, the Transaction, which was recommended by Stadion Money Management, LLC, the investment adviser to each Stadion Fund (“Stadion”), will result in: (i) all of the assets of each Stadion Fund being transferred to the corresponding NSI Fund; (ii) the NSI Fund assuming all liabilities, expenses, costs, charges and reserves of the corresponding Stadion Fund, in exchange for full and fractional shares of beneficial interest of the applicable class of the corresponding NSI Fund (“NSI Shares”), and (iii) the NSI Shares being distributed immediately after the closing of the Transaction by each Stadion Fund to its shareholders in liquidation of such Stadion Fund

Following the Transaction, the investment adviser to each NSI Fund will be NSI. Founded in 2018, NSI is an independent, multi-boutique investment firm dedicated to delivering differentiated active investment strategies to the market, with a principal location at 10 South LaSalle Street, Suite 1925, Chicago, IL 60603. NSI is expected to engage, on behalf of each NSI Fund, NSI Retail Advisors, LLC (“NSIRA”), a limited liability company formed in Delaware and an affiliate of NSI), to serve as a sub-adviser to each NSI Fund.

The investment objective, principal investment strategies, policies and risks of each NSI Fund are the same or substantially similar to those of the corresponding Fund. Additionally, Stadion’s portfolio management team is expected to transition to NSIRA, and therefore the portfolio management team of each Stadion Fund will remain the same immediately following the Transaction. The Transaction is expected to be tax-free for each Stadion Fund and its shareholders (which means that no gain or loss would be recognized directly by the Stadion Fund or its shareholders as a result of the Transaction).

The Transaction is subject to several conditions, including that the Transaction be approved by a majority of the shareholders of each Stadion Fund. The Agreement and Plan of Reorganization will be submitted to shareholders of each Stadion Fund for approval at a special meeting that is expected to be held on or around April 7, 2021.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the Funds’ significant accounting policies used in the preparation of their financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Funds are considered investment companies for financial reporting purposes under GAAP and follow the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.

Security Valuation:

The Funds' investments in securities are carried at market value. Securities listed on an exchange or quoted on a national market system are valued at the last sales price as of the time regular trading closes on the New York Stock Exchange (normally, 4:00 p.m. Eastern Time). Securities traded in the NASDAQ market are valued at the NASDAQ Official Closing Price. Other securities, including listed securities for which no sale was reported on that date, are valued at the most recent bid price. Open-end investment companies, including money market funds, are valued at the net asset value reported by such registered open-end investment companies. Instruments with maturities of 60 days or less are valued at amortized cost, which approximates market value. Options are valued at the mean of the National Best Bid and Offer (NBBO) prices as determined by the Options Pricing Reporting Authority (ORPA) (which is the best bid and offer price across the option exchanges). If no bid price is readily available, then the option will be valued at the mean of the last quoted ask price and $0.00. If: (i) no bid price is readily available, and (ii) no ask price is readily available, then the option will be valued at the last valid NBBO mean price. Notwithstanding the foregoing, an option may be valued using Fair Valuation when reliable last NBBO prices as of the Valuation Time are not readily available. Securities and assets for which representative market quotations are not readily available or which cannot be accurately valued using the Funds' normal pricing procedures are valued at fair value as determined in good faith under policies approved by the Board of Trustees (the "Trustees") and will be classified as Level 2 or 3 within the fair value hierarchy (see below), depending on the inputs used. Fair value pricing may be used, for example, in situations where (i) a portfolio security is so thinly traded that there have been no transactions for that security over an extended period of time; (ii) an event occurs after the close of the exchange on which a portfolio security is principally traded that is likely to have changed the value of the portfolio security prior to the Funds' net asset value calculations; (iii) the exchange on which the portfolio security is principally traded closes early; or (iv) trading of the portfolio security is halted during the day and does not resume prior to the Funds' net asset value calculations. A portfolio security's "fair value" price may differ from the price next available for that portfolio security using the Funds' normal pricing procedures. GAAP establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires certain disclosures about fair value measurements.

Valuation of Fund of Funds: Funds may operate as funds of funds whose investments include a portfolio of open-end investment companies. As indicated above, open-end investment companies are valued at their respective net asset values as reported by such investment companies. Open-end investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by the board of directors of the open-end investment companies.

GAAP establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires certain disclosures about fair value measurements.

Various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the three broad levels listed below:

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs

Level 3 – significant unobservable inputs

The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.

The following is a summary of the inputs used to value each Fund’s investments as of February 28, 2021 by security type:

Tactical Growth Fund
	Valuation Inputs
	Level 1		Level 2		Level 3		Total
Investments in Securities at Value
Exchange-Traded Funds	$	516,869,694	$	–	$	–	$	516,869,694
Money Market Funds		21,299,904		–		–		21,299,904
Total Investments in Securities	$	538,169,598	$	–	$	–	$	538,169,598

Tactical Defensive Fund
	Valuation Inputs
	Level 1		Level 2		Level 3		Total
Investments in Securities at Value
Exchange-Traded Funds	$	40,447,709	$	–	$	–	$	40,447,709
Money Market Funds		20,871,314		–		–		20,871,314
Total Investments in Securities	$	61,319,023	$	–	$	–	$	61,319,023

Trilogy Alternative Return Fund
	Valuation Inputs
	Level 1		Level 2			Level 3		Total
Investments in Securities at Value
Common Stocks*	$	15,698,487	$	–		$	–	$	15,698,487
Exchange-Traded Funds		25,011,418		–			–		25,011,418
Purchased Option Contracts		–		9,537,985			–		9,537,985
Money Market Funds		1,147,271		–			–		1,147,271
Total Investments in Securities	$	41,857,176	$	9,537,985		$	–	$	51,395,161
Other Financial Instruments
Liabilities
Written Option Contracts	$	–	$	(4,214,700	)	$	–	$	(4,214,700	)
Total	$	–	$	(4,214,700	)	$	–	$	(4,214,700	)
* See Schedule of Investments for Common Stocks determined by sector and industry.

There were no Level 3 securities held in any of the Funds at February 28, 2021.

Securities Transactions: Security transactions are accounted for on trade date.

Option Transactions: The Funds may purchase and write put and call options on broad-based U.S. and International stock indices or ETFs that replicate the performance of broad-based U.S. and International stock indices as well as short term futures ETFs and bond ETFs. When held, the Funds use option contracts on broad-based U.S. and International stock indices for the purpose of seeking to generate return and manage risk exposure among varying market conditions.

Exchange-Traded Funds (“ETFs”): The Funds may invest in ETFs, which are funds whose shares are traded on a national exchange. ETFs may be based on underlying equity or fixed income securities, as well as commodities or currencies. ETFs do not sell individual shares directly to investors and only issue their shares in large blocks known as “creation units.” The investor purchasing a creation unit then sells the individual shares on a secondary market. Although similar diversification benefits may be achieved through an investment in another investment company, ETFs generally offer greater liquidity and lower expenses. Because an ETF incurs its own fees and expenses, shareholders of a fund investing in an ETF will indirectly bear those costs. Such funds will also incur brokerage commissions and related charges when purchasing or selling shares of an ETF. Unlike typical investment company shares, which are valued once daily, shares in an ETF may be purchased or sold on a securities exchange throughout the trading day at market prices.

Underlying Investment In Other Investment Companies: The Tactical Defensive Fund currently seeks to achieve its investment objectives by investing a portion of its assets in the SPDR^® Portfolio S&P 500^® ETF. SPDR^® Portfolio S&P 500^® ETF Trust was established as a New York statutory trust and are registered under the Investment Company Act of 1940, as amended. The Fund may redeem its investments from the SPDR^® Portfolio S&P 500^® ETF at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so. The latest financial statements for the SPDR^® Portfolio S&P 500^® ETF can be found at www.sec.gov.

3. DERIVATIVE TRANSACTIONS

Derivative Instruments and Hedging Activities: The following discloses the Funds' use of derivative instruments and hedging activities.

The Funds’ investment objectives not only permit the Funds to purchase investment securities, they also allow certain Funds to enter into various types of derivative contracts such as purchased and written options. In doing so, the Funds will employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of effecting a similar response to market factors.

Market Risk Factors: In pursuit of their investment objectives, the Funds may seek to use derivatives to increase or decrease their exposure to the following market risk factors:

Equity Risk: Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

Interest Rate Risk: Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce market value of fixed income investments and a decline in general interest rates will tend to increase the value of such investments. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

Risk of Investing in Derivatives: The Funds’ use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market.

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Funds to increase their market value exposure relative to their net assets and can substantially increase the volatility of the Funds’ performance.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Funds. Typically, the associated risks are not the risks that the Funds are attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives.

Examples of these associated risks are liquidity risk, which is the risk that the Funds will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Funds.

Futures: Certain Funds may invest in futures contracts in accordance with their investment objectives. Each Fund does so for a variety of reasons, including for cash management, hedging or non-hedging purposes in an attempt to achieve investment returns consistent with the Fund’s investment objective. A futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. A futures contract on an index is an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract was originally written. Futures transactions may result in losses in excess of the amount invested in the futures contract. There can be no guarantee that there will be a correlation between price movements in the hedging vehicle and in the portfolio securities being hedged. An incorrect correlation could result in a loss on both the hedged securities in a Fund and the hedging vehicle so that the portfolio return might have been greater had hedging not been attempted. There can be no assurance that a liquid market will exist at a time when a Fund seeks to close out a futures contract or a futures option position. Lack of a liquid market for any reason may prevent a Fund from liquidating an unfavorable position, and the Fund would remain obligated to meet margin requirements until the position is closed. In addition, a Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of their contracts. With exchange-traded futures, there is minimal counterparty credit risk to the Funds since futures are exchange- traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.

When a purchase or sale of a futures contract is made by a Fund, the Fund is required to deposit with its custodian (or broker, if legally permitted) a specified amount of liquid assets (“initial margin”). The margin required for a futures contract is set by the exchange on which the contract is traded and may be modified during the term of the contract. The initial margin is in the nature of a performance bond or good faith deposit on the futures contract that is returned to a Fund upon termination of the contract, assuming all contractual obligations have been satisfied. Each day a Fund may pay or receive cash, called “variation margin,” equal to the daily change in value of the futures contract. Such payments or receipts are recorded for financial statement purposes as unrealized gains or losses by a Fund. Variation margin does not represent a borrowing or loan by a Fund but is instead a settlement between a Fund and the broker of the amount one would owe the other if the futures contract expired. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. No Funds invested in futures contracts during the period ended February 28, 2021.

Option Writing/Purchasing: Certain Funds may write or purchase option contracts to adjust risk and return of their overall investment positions. When a Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options that expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or loss on investment transactions. Risks from entering into option transactions arise from the potential inability of counterparties to meet the terms of the contracts, the potential inability to enter into closing transactions because of an illiquid secondary market and from unexpected movements in security values.

A portion of Trilogy Alternative Return Fund’s securities are pledged as collateral for open written option contracts.