UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21422
Trust for Advised Portfolios
(Exact name of registrant as specified in charter)
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, Wisconsin 53202
(Address of principal executive offices) (Zip code)
Christopher E. Kashmerick
Trust for Advised Portfolios
2020 East Financial Way, Suite 100
Glendora, CA 91741
(Name and address of agent for service)
(626) 914-7385
Registrant's telephone number, including area code
Date of fiscal year end: August 31
Date of reporting period: February 29, 2020
Item 1. Reports to Stockholders.
Infinity Q Diversified Alpha Fund
Semi-Annual Report to Shareholders
Consolidated Financial Statements
February 29, 2020 (Unaudited)
Important Notice: The U.S. Securities and Exchange Commission will permit funds to make shareholder reports available electronically beginning January 1, 2021. Accordingly, paper copies will no longer be mailed. Instead, at that time, the Infinity Q Diversified Alpha Fund will send a notice, either by mail or e-mail, each time an updated report is available on the Fund’s website (www.infinityqfunds.com). Investors enrolled in electronic delivery will receive the notices by e-mail, with links to the updated report and will not need to take any action. Investors who are not enrolled in electronic delivery by January 1, 2021 will receive the notices in the mail.
All investors who prefer to receive shareholder reports in a printed format may, at any time, choose that option free of charge. Contact your financial intermediary to make this election, or direct investors can call 1-844-473-8631.
Infinity Q Diversified Alpha Fund
Semi-Annual Report to Shareholders
Consolidated Financial Statements
February 29, 2020 (Unaudited)
Infinity Q Diversified Alpha Fund
For the Period Ended February 29, 2020 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees, dividend expense, and interest expense; and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period from September 1, 2019 to February 29, 2020 (the “Period”).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the Period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as redemption fees. Therefore, the information under the heading “Hypothetical Performance (5% Return Before Expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expenses Paid During the Period
BEGINNING ACCOUNT VALUE | ENDING ACCOUNT VALUE | ANNUALIZED EXPENSE RATIO | EXPENSES PAID DURING THE PERIOD(1) | |
Infinity Q Diversified Alpha Fund – Investor Class | ||||
Actual Fund Return | $1,000.00 | $1,002.60 | 2.39% | $11.90 |
Hypothetical 5% Return | $1,000.00 | $1,012.98 | 2.39% | $11.96 |
Infinity Q Diversified Alpha Fund – Institutional Class | ||||
Actual Fund Return | $1,000.00 | $1,004.20 | 2.13% | $10.61 |
Hypothetical 5% Return | $1,000.00 | $1,014.27 | 2.13% | $10.67 |
(1) | Expenses are equal to each class’s annualized expense ratio of 2.39% for Investor Class and 2.13% for Institutional Class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the Period). |
1
Infinity Q Diversified Alpha Fund | |||||||||||
February 29, 2020 (Unaudited) | |||||||||||
COMMON STOCKS (4.5%) | Shares | Value | |||||||||
Energy (0.9%) | |||||||||||
Cameco Corp. | 500,000 | $ | 4,340,000 | ||||||||
YPF Sociedad Anonima Class D - ADR | 367,287 | 2,934,623 | |||||||||
Total Energy | 7,274,623 | ||||||||||
Financials (0.3%) | |||||||||||
Grupo Financiero Galicia S.A. - ADR | 216,511 | 2,736,699 | |||||||||
Health Care (3.3%) | |||||||||||
GW Pharmaceuticals plc - ADR (a) | 7,000 | 716,170 | |||||||||
NantHealth, Inc. (a) | 81,870 | 185,845 | |||||||||
NuCana plc - ADR (a) | 527,487 | 2,167,972 | |||||||||
Optinose, Inc. (a) | 391,607 | 2,369,222 | |||||||||
UroGen Pharma Ltd. (a) | 702,723 | 19,156,229 | |||||||||
Urovant Sciences Ltd. (a) | 219,975 | 2,751,887 | |||||||||
Total Health Care | 27,347,325 | ||||||||||
TOTAL COMMON STOCKS (Cost $45,712,925) | $ | 37,358,647 | |||||||||
EXCHANGE TRADED FUNDS (4.7%) | |||||||||||
iShares 20+ Year Treasury Bond ETF | 22,877 | 3,553,027 | |||||||||
iShares iBoxx High Yield Corporate Bond ETF | 46,690 | 4,017,208 | |||||||||
iShares iBoxx Investment Grade Corporate Bond ETF | 100,325 | 13,260,958 | |||||||||
iShares J.P. Morgan USD Emerging Markets Bond ETF | 86,592 | 9,881,879 | |||||||||
iShares National Muni Bond ETF | 44,000 | 5,135,240 | |||||||||
United States Natural Gas Fund LP | 2,500 | 32,750 | |||||||||
Vanguard High Yield Dividend Yield Fund ETF | 41,776 | 3,446,520 | |||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $38,935,390) | $ | 39,327,582 | |||||||||
OPTIONS PURCHASED (19.9%) (a) | |||||||||||
Contracts | Notional | ||||||||||
Call Options Purchased (2.6%) | |||||||||||
iPath B S&P 500 VIX Short-Term Futures ETN, Expires March 6, 2020 at $31.00 | 10,000 | 22,810,000 USD | 250,000 | ||||||||
iShares MSCI Brazil Capped ETF, Expires March 20, 2020 at $47.00 | 500 | 1,918,000 USD | 2,000 | ||||||||
iShares MSCI Turkey ETF, Expires May 15, 2020 at $28.00 | 5,000 | 11,825,000 USD | 112,500 | ||||||||
S&P 500 E-mini Option Futures, Expires March 20, 2020 at $3,400.00 | 150 | 22,132,500 USD | 5,063 | ||||||||
S&P 500 Index, Expires March 2, 2020 at $2,800.00 | 400 | 118,168,800 USD | 5,188,400 | ||||||||
S&P 500 Index, Expires March 2, 2020 at $3,030.00 | 1,100 | 324,964,200 USD | 2,472,800 | ||||||||
S&P 500 Index, Expires March 2, 2020 at $3,090.00 | 1,100 | 324,964,200 USD | 415,800 | ||||||||
S&P 500 Index, Expires March 2, 2020 at $3,270.00 | 2,500 | 738,555,000 USD | 75,000 | ||||||||
S&P 500 Index, Expires June 19, 2020 at $3,350.00 | 250 | 73,855,500 USD | 302,500 | ||||||||
SPX Volatility Index, Expires March 18, 2020 at $19.00 | 14,000 | 56,154,000 USD | 11,060,000 | ||||||||
SPX Volatility Index, Expires March 18, 2020 at $40.00 | 20,000 | 80,220,000 USD | 2,000,000 | ||||||||
SX5E Index, Expires May 15, 2020 at 4,000 EUR | 10,000 | 332,949,000 EUR | 38,638 | ||||||||
Total Call Options Purchased (Premiums paid $14,393,254) | 21,922,701 | ||||||||||
Put Options Purchased (15.5%) | |||||||||||
Invesco QQQ Trust, Expires March 20, 2020 at $221.00 | 125 | 2,572,500 USD | 196,500 | ||||||||
Invesco QQQ Trust, Expires March 20, 2020 at $228.00 | 125 | 2,572,500 USD | 266,812 | ||||||||
iPath B S&P 500 VIX Short-Term Futures ETN, Expires March 6, 2020 at $23.00 | 2,500 | 5,702,500 USD | 615,000 | ||||||||
iShares MSCI Turkey ETF, Expires May 15, 2020 at $24.00 | 10,000 | 23,650,000 USD | 1,925,000 | ||||||||
NKY Index, Expires March 13, 2020 at 20,000 JPY | 950 | 168,807,039 EUR | 7,376,460 | ||||||||
NKY Index, Expires March 13, 2020 at 21,000 JPY | 950 | 168,807,039 EUR | 9,336,177 | ||||||||
S&P 500 E-mini Option Futures, Expires March 20, 2020 at $2,880.00 | 2,000 | 295,100,000 USD | 8,370,000 | ||||||||
S&P 500 E-mini Option Futures, Expires March 20, 2020 at $3,020.00 | 2,000 | 295,100,000 USD | 13,385,000 | ||||||||
S&P 500 E-mini Option Futures, Expires March 20, 2020 at $3,270.00 | 333 | 49,134,150 USD | 5,053,275 | ||||||||
S&P 500 E-mini Option Futures, Expires March 20, 2020 at $3,275.00 | 1,167 | 172,190,850 USD | 17,998,057 | ||||||||
S&P 500 Index, Expires March 2, 2020 at $2,640.00 | 1,500 | 443,133,000 USD | 225,000 | ||||||||
S&P 500 Index, Expires March 2, 2020 at $2,760.00 | 2,000 | 590,844,000 USD | 1,412,000 | ||||||||
S&P 500 Index, Expires March 2, 2020 at $2,800.00 | 1,500 | 443,133,000 USD | 1,497,000 | ||||||||
S&P 500 Index, Expires March 2, 2020 at $2,840.00 | 2,000 | 590,844,000 USD | 2,786,000 | ||||||||
S&P 500 Index, Expires March 2, 2020 at $3,020.00 | 750 | 2221,566,500 USD | 5,591,250 | ||||||||
S&P 500 Index, Expires March 2, 2020 at $3,100.00 | 750 | 2221,566,500 USD | 10,162,500 | ||||||||
S&P 500 Index, Expires March 4, 2020 at $2,740.00 | 2,500 | 738,555,000 USD | 10,137,500 | ||||||||
S&P 500 Index, Expires March 4, 2020 at $2,820.00 | 2,500 | 738,555,000 USD | 14,917,500 | ||||||||
S&P 500 Index, Expires March 6, 2020 at $2,740.00 | 2,000 | 590,844,000 USD | 5,330,000 | ||||||||
S&P 500 Index, Expires March 6, 2020 at $2,840.00 | 2,000 | 590,844,000 USD | 9,390,000 | ||||||||
S&P 500 Index, Expires March 20, 2020 at $2,900.00 | 300 | 88,626,600 USD | 2,697,000 | ||||||||
SPX Volatility Index, Expires March 18, 2020 at $18.00 | 12,000 | 48,132,000 USD | 480,000 | ||||||||
SPX Volatility Index, Expires March 18, 2020 at $19.00 | 5,000 | 20,055,000 USD | 312,500 | ||||||||
SPX Volatility Index, Expires March 18, 2020 at $20.00 | 6,000 | 24,066,000 USD | 570,000 | ||||||||
SPX Volatility Index, Expires April 15, 2020 at $16.00 | 500 | 2,005,500 USD | 22,500 | ||||||||
Total Put Options Purchased (Premiums paid $92,865,393) | 130,053,031 |
The accompanying notes are an integral part of these financial statements.
2
Infinity Q Diversified Alpha Fund | |||||||||||
Consolidated Schedule of Investments (continued) | |||||||||||
February 29, 2020 (Unaudited) | |||||||||||
Notional / | |||||||||||
Contracts | Counterparty | Vega Notional | Value | ||||||||
Over the Counter Options Purchased (1.4%) | |||||||||||
Dispersion Basket, 22% Volatility Strike, Expires December 18, 2020 (b) ^ | - | BNPP | 25,000,000 USD | $ | 676,300 | ||||||
EUR / USD & USD / COP & USD / BRL Worst of Put, Expires April 20, 2020 (c) | - | CITI | 100,000,000 USD | 42,500 | |||||||
EUR / USD & USD / JPY Worst of Put, Expires March 13, 2020 (d) | - | UBS | 100,000,000 USD | 634,000 | |||||||
EUR / USD & USD / JPY Worst of Put, Expires July 6, 2020 (e) | - | UBS | 125,000,000 USD | 421,250 | |||||||
EUR / USD & USD / TRY & USD / RUB Worst of Put, Expires July 10, 2020 (f) | - | DB | 100,000,000 USD | 72,900 | |||||||
GBP / USD & EUR / USD Dual Digital, Expires March 6, 2020 (g) | - | MS | 4,000,000 USD | 279,908 | |||||||
GBP / USD Volatility Swap Put, 1.27% Strike, Expires March 9, 2020 | - | CITI | 100,000,000 USD | 283,900 | |||||||
GBP Call / USD Put Binary, Expires March 13, 2020 at 1.435 USD | - | MS | 2,000,000 GBP | - | |||||||
HSCEI & USD / KRW Dual Digital, Expires April 28, 2020 (h) | - | CITI | 4,000,000 USD | 440,932 | |||||||
INR Call / EUR Put Binary, Expires January 7, 2022 at 78.00 INR | - | MS | 5,000,000 EUR | 648,658 | |||||||
NKY & USD / JPY Dual Digital, Expires April 10, 2020 (i) | - | UBS | 5,000,000 USD | 427,530 | |||||||
SPX & US10Y Dual Digital, Expires December 18, 2020 (j) | - | CITI | 5,500,000 USD | 450,725 | |||||||
SX5E Digital Call, Expires December 17, 2021 at 4,000 EUR | - | CITI | 3,000,000 EUR | 421,167 | |||||||
SX5E Digital Call, Expires December 17, 2021 at 4,000 EUR | - | UBS | 5,000,000 EUR | 701,945 | |||||||
SX5E Dividend Points Index Call, Expires December 16, 2022 at 105.00 pts | 100,000 | SG | 10,830,000 EUR | 1,106,156 | |||||||
SX5E Dividend Points Index Put, Expires December 18, 2020 at 115.00 pts | 400,000 | SG | 43,320,000 EUR | 216,374 | |||||||
SX5E Dividend Points Index Put, Expires December 18, 2020 at 115.00 pts | 300,000 | CS | 32,490,000 EUR | 162,280 | |||||||
USD / CHF Double No-Touch with Volatility Knock In, Expires January 15, 2021 (k) | - | UBS | 1,500,000 USD | 615,399 | |||||||
USD / JPY Double No-Touch with Volatility Knock In, Expires January 15, 2021 (l) | - | UBS | 4,000,000 USD | 1,073,396 | |||||||
USD / JPY & XAU / USD Worst of Call, Expires May 20, 2020 (m) | - | CITI | 75,000,000 USD | 21,975 | |||||||
USD / MXN & USD / INR & AUD / USD Worst of Put, Expires August 4, 2020 (n) | - | DB | 100,000,000 USD | 70,800 | |||||||
USD Call / EUR Put Binary, Expires May 26, 2021 at 1.05 EUR | - | CS | 3,000,000 EUR | 491,979 | |||||||
USD Call / RUB Put, Expires July 22, 2020 at 60.00 RUB (o) | - | CITI | 75,000,000 USD | 47,400 | |||||||
USD / RUB & USD / ZAR Worst of, Expires April 30, 2020 (p) | - | UBS | 100,000,000 USD | 77,400 | |||||||
USD / TRY Volatility Swap Call, 19.00% Strike, Expires August 11, 2020 | - | DB | 250,000 USD | 2,397,581 | |||||||
XAG / USD Call, Expires August 6, 2020 at $19.00 (q) | - | CITI | 1,000,000 ounces | 301,286 | |||||||
XAU / USD & USD / TWD Worst of Call, Expires May 26, 2020 (r) | - | CITI | 125,000,000 USD | 363,125 | |||||||
Total Over the Counter Options Purchased (Premiums paid $10,792,882) | 12,446,866 | ||||||||||
Currency Options Purchased (0.4%) | |||||||||||
JPY Call / USD Put, Expires March 4, 2020 at 109.00 JPY | - | MS | 200,000,000 USD | 2,693,400 | |||||||
USD Call / HKD Put, Expires July 13, 2020 at 7.78 HKD | - | MS | 50,000,000 USD | 338,500 | |||||||
USD Call / HKD Put, Expires August 28, 2020 at 7.80 HKD | - | UBS | 100,000,000 USD | 260,400 | |||||||
Total Currency Options Purchased (Premiums paid $876,900) | 3,292,300 | ||||||||||
TOTAL OPTIONS PURCHASED (Premiums paid $118,928,429) | $ | 167,714,898 | |||||||||
Shares | |||||||||||
SHORT-TERM INVESTMENTS (42.5%) | |||||||||||
Fidelity Investments Money Market Funds - Gvmt. Portfolio - Class I, 1.46% (s) | 335,891,876 | 335,891,876 | |||||||||
STIT Invesco Government & Agency Portfolio - Institutional Class, 1.49% (q) (s) | 20,608,995 | 20,608,995 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $356,500,871) | $ | 356,500,871 | |||||||||
TOTAL INVESTMENTS (71.6%) (Cost $560,077,615) | $ | 600,901,998 | |||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES (28.4%) | 237,787,058 | ||||||||||
TOTAL NET ASSETS (100.0%) | $ | 838,689,056 |
Counterparty abbreviations: BNPP - BNP Paribas, CS - Credit Suisse, CITI - Citigroup, DB - Deutsche Bank Securities, MS - Morgan Stanley, SG - Societe Generale | ||||
Reference entity abbreviations: HSCEI - Hang Seng China Enterprise Index, SPX - S&P 500 Index, SX5E - Euro Stoxx 50 Index, US10Y - U.S. 10 Year Treasury, XAG - Silver, XAU - Gold Spot Rate | ||||
^ Inputs or methodology used in determining the value of these investments involve significant unobservable inputs. See Note 2. | ||||
ADR - American Depositary Receipt | ||||
(a) Non-income producing security. | ||||
(b) Terms and underlying basket components are listed on the following page. | ||||
(c) The final payout will equal the minimum value of one of the following three components multiplied by the notional amount at expiration. If each of the returns is negative, the option will expire worthless. 1. EUR / USD 1.14 strike. 2. USD / COP 3450 strike. 3. USD / BRL 4.10 strike. | ||||
(d) The final payout will equal the minimum value of one of the following two components multiplied by the notional amount at expiration. If each of the returns is negative, the option will expire worthless. 1. EUR / USD 1.1132 strike. 2. USD / JPY 109.65 strike. | ||||
(e) The final payout will equal the minimum value of one of the following two components multiplied by the notional amount at expiration. If each of the returns is negative, the option will expire worthless. 1. EUR / USD 1.12 strike. 2. USD / JPY 107.00 strike. |
The accompanying notes are an integral part of these financial statements.
3
Infinity Q Diversified Alpha Fund | ||||
Consolidated Schedule of Investments (continued) | ||||
February 29, 2020 (Unaudited) | ||||
(f) The final payout will equal the minimum value of one of the following three components multiplied by the notional amount at expiration. If each of the returns is negative, the option will expire worthless. 1. EUR / USD 1.14 strike. 2. USD / TRY 6.0360 strike. 3. USD / RUB 63.0012 strike. | ||||
(g) Payment from counterparty is received if both the GBP / USD exchange rate is at or above 1.345 and the EUR/ USD exchange rate is at or above 1.115 at expiration. | ||||
(h) Payment from counterparty is received if both the HSCEI Index is at or above 11,500.00 and the USD/ KRW exchange rate is at or above 1,180.00 at expiration. | ||||
(i) Payment from counterparty is received if both the NKY Index is at or below 21,500.00 and the USD/ JPY exchange rate is at or above 111.00 at expiration. | ||||
(j) Payment from counterparty is received if the SPX Index is below 3,517.64 and the U.S. 10 Year Treasury is less than at-the-money-forward at 1.6717% at expiration. | ||||
(k) Option includes Double-no touch option. Option pays notional amount if USD/CHF exchange rate remains between 0.92 and 1.03 through maturity. If the exchange rate touches either barrier at any time, the option will expire worthless. Option includes a volatility knock-in barrier at 4.25%, requiring volatility of exchange rate during term to exceed barrier to activate payout. | ||||
(l) Option includes Double-no touch option. Option pays notional amount if USD/JPY exchange rate remains between 104.00 and 116.00 through maturity. If the exchange rate touches either barrier at any time, the option will expire worthless. Option also includes a volatility knock-in barrier at 4.25%, requiring volatility of exchange rate during term to exceed barrier to activate payment. | ||||
(m) The final payout will equal the minimum value of one of the following two components multiplied by the notional amount at expiration. If each of the returns is negative, the option will expire worthless. 1. USD / JPY 112.00 strike. 2. XAU / USD 1,620.00 strike. | ||||
(n) The final payout will equal the minimum value of one of the following three components multiplied by the notional amount at expiration. If each of the returns is negative, the option will expire worthless. 1. USD / MXN 19.0753 strike. 2. USD / INR 72.63 strike. 3. AUD / USD 0.6864 strike. | ||||
(o) Option includes knockout barrier at the USD/RUB exchange rate of 57.00. If exchange rate decreases below the barrier, the option becomes worthless. | ||||
(p) The final payout will equal the minimum value of one of the following two components multiplied by the notional amount at expiration. If each of the returns is negative, the option will expire worthless. 1. USD / RUB Put 62.75 strike. 2. USD / ZAR Call 15.00 strike. | ||||
(q) Position held in the Subsidiary. See Notes. | ||||
(r) The final payout will equal the minimum value of one of the following two components multiplied by the notional amount at expiration. If each of the returns is negative, the option will expire worthless. 1. XAU / USD 1,650.00 strike. 2. USD / TWD 30.50 strike. | ||||
(s) Rate quoted is seven-day yield at period end. | ||||
The accompanying notes are an integral part of these financial statements. |
4
Infinity Q Diversified Alpha Fund | ||||
Consolidated Schedule of Investments (continued) | ||||
February 29, 2020 (Unaudited) | ||||
The following tables provide information on the underlying components of each option on dispersion basket. Underlying components are equally weighted. The payout will equal the notional amount multiplied by the average absolute difference between the return of each underlying security and the return of the basket in excess of the strike. If the average difference is less than the strike, the option will expire worthless. | ||||
BNPP Dispersion Basket, 22% Volatility Strike, Expires December 18, 2020 | ||||
Effective December 20, 2019 Notional: $25,000,000 | ||||
Initial Price Level ($) | ||||
Security | at December 20, 2019 | |||
Alphabet, Inc. | 1,351.22 | |||
Amazon.com, Inc. | 1,786.50 | |||
Apple, Inc. | 279.44 | |||
AT&T, Inc. | 39.15 | |||
Charter Communications, Inc. | 476.22 | |||
Comcast Corp. | 44.09 | |||
DISH Network Corp. | 36.06 | |||
Netflix, Inc. | 336.90 | |||
The Walt Disney Company | 146.88 | |||
ViacomCBS, Inc. | 42.39 |
The accompanying notes are an integral part of these financial statements.
5
Infinity Q Diversified Alpha Fund | ||||||||||||
Consolidated Schedule of Investments (continued) | ||||||||||||
February 29, 2020 (Unaudited) | ||||||||||||
SECURITIES SOLD SHORT (-0.6%) | Shares | Value | ||||||||||
EXCHANGE TRADED FUNDS (-0.6%) | ||||||||||||
Invesco DB US Dollar Bullish Fund ETF | (16,200 | ) | $ | (429,786 | ) | |||||||
VelocityShares Daily 2x VIX Short-Term ETN | (27,500 | ) | (2,873,750 | ) | ||||||||
VanEck Vectors J.P. Morgan Emerging Market Local Currency Bond ETF | (65,520 | ) | (2,123,503 | ) | ||||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $3,705,479) | $ | (5,427,039 | ) | |||||||||
WRITTEN OPTIONS (-21.1%) | ||||||||||||
Contracts | Notional | |||||||||||
Call Options Written (-2.9%) | ||||||||||||
iPath B S&P 500 VIX Short-Term Futures ETN, Expires January 15, 2021 at $25.00 | (1,500 | ) | (3,421,500) USD | (862,500 | ) | |||||||
iPath B S&P 500 VIX Short-Term Futures ETN, Expires March 6, 2020 at $38.00 | (10,000 | ) | (22,810,000) USD | (70,000 | ) | |||||||
iShares iBoxx High Yield Corporate Bond ETF, Expires May 15, 2020 at $87.00 | (3,350 | ) | (28,823,400) USD | (244,550 | ) | |||||||
iShares MSCI Turkey ETF, Expires May 15, 2020 at $27.00 | (5,000 | ) | (11,825,000) USD | (212,500 | ) | |||||||
S&P 500 Index, Expires March 2, 2020 at $2,680.00 | (400 | ) | (118,168,800) USD | (9,268,400 | ) | |||||||
S&P 500 Index, Expires March 2, 2020 at $3,060.00 | (2,200 | ) | (649,928,400) USD | (3,319,800 | ) | |||||||
S&P 500 Index, Expires March 2, 2020 at $3,250.00 | (1,000 | ) | (295,422,000) USD | (45,000 | ) | |||||||
S&P 500 Index, Expires June 19, 2020 at $3,250.00 | (250 | ) | (73,855,500) USD | (793,750 | ) | |||||||
SPX Volatility Index, Expires March 18, 2020 at $20.00 | (1,000 | ) | (4,011,000) USD | (715,000 | ) | |||||||
SPX Volatility Index, Expires March 18, 2020 at $24.00 | (14,000 | ) | (56,154,000) USD | (6,580,000 | ) | |||||||
SPX Volatility Index, Expires April 15, 2020 at $24.00 | (7,000 | ) | (28,077,000) USD | (2,030,000 | ) | |||||||
SPX Volatility Index, Expires April 15, 2020 at $28.00 | (694 | ) | (2,783,634) USD | (124,920 | ) | |||||||
SPX Volatility Index, Expires May 20, 2020 at $29.00 | (694 | ) | (2,783,634) USD | (79,810 | ) | |||||||
SPX Volatility Index, Expires June 17, 2020 at $27.00 | (600 | ) | (2,406,600) USD | (79,500 | ) | |||||||
SPX Volatility Index, Expires July 22, 2020 at $26.00 | (1,350 | ) | (5,414,850) USD | (192,375 | ) | |||||||
Total Call Options Written (Premiums received $18,307,022) | (24,618,105 | ) | ||||||||||
Put Options Written (-17.5%) | ||||||||||||
Invesco QQQ Trust, Expires May 15, 2020 at $216.00 | (500 | ) | (10,290,000) USD | (790,500 | ) | |||||||
iPath B S&P 500 VIX Short-Term Futures ETN, Expires March 6, 2020 at $25.00 | (2,500 | ) | (5,702,500) USD | (1,012,500 | ) | |||||||
iShares iBoxx High Yield Corporate Bond ETF, Expires May 15, 2020 at $83.00 | (1,111 | ) | (9,559,044) USD | (166,095 | ) | |||||||
iShares iBoxx High Yield Corporate Bond ETF, Expires June 19, 2020 at $84.00 | (14 | ) | (120,456) USD | (2,891 | ) | |||||||
iShares iBoxx High Yield Corporate Bond ETF, Expires July 17, 2020 at $83.00 | (630 | ) | (5,420,520) USD | (127,575 | ) | |||||||
iShares iBoxx High Yield Corporate Bond ETF, Expires August 21, 2020 at $84.00 | (1,000 | ) | (8,604,000) USD | (269,500 | ) | |||||||
iShares iBoxx High Yield Corporate Bond ETF, Expires September 18, 2020 at $82.00 | (1,000 | ) | (8,604,000) USD | (227,000 | ) | |||||||
iShares J.P. Morgan USD Emerging Markets Bond, Expires March 20, 2020 at $110.00 | (1,111 | ) | (12,678,732) USD | (47,218 | ) | |||||||
iShares J.P. Morgan USD Emerging Markets Bond, Expires April 17, 2020 at $112.00 | (1,023 | ) | (11,674,476) USD | (115,087 | ) | |||||||
iShares MSCI Turkey ETF, Expires May 15, 2020 at $21.00 | (10,000 | ) | (23,650,000) USD | (850,000 | ) | |||||||
NKY Index, Expires May 13, 2020 at 20,500 JPY | (1,900 | ) | (337,614,078) EUR | (13,872,149 | ) | |||||||
Russell 2000 Index, Expires September 18, 2020 at $1,650.00 | (375 | ) | (55,366,125) USD | (7,357,500 | ) | |||||||
S&P 500 E-mini Option Futures, Expires March 20, 2020 at $2,950.00 | (4,000 | ) | (590,200,000) USD | (21,240,000 | ) | |||||||
S&P 500 E-mini Option Futures, Expires March 20, 2020 at $3,190.00 | (1,000 | ) | (147,550,000) USD | (11,755,000 | ) | |||||||
S&P 500 E-mini Option Futures, Expires March 20, 2020 at $3,210.00 | (500 | ) | (73,775,000) USD | (6,248,750 | ) | |||||||
S&P 500 Index, Expires March 2, 2020 at $2,720.00 | (3,000 | ) | (886,266,000) USD | (1,011,000 | ) | |||||||
S&P 500 Index, Expires March 2, 2020 at $2,800.00 | (4,000 | ) | (1,181,688,000) USD | (3,992,000 | ) | |||||||
S&P 500 Index, Expires March 2, 2020 at $3,060.00 | (1,500 | ) | (443,133,000) USD | (15,345,000 | ) | |||||||
S&P 500 Index, Expires March 4, 2020 at $2,780.00 | (5,000 | ) | (1,477,110,000) USD | (25,450,000 | ) | |||||||
S&P 500 Index, Expires March 6, 2020 at $2,790.00 | (4,000 | ) | (1,181,688,000) USD | (26,628,000 | ) | |||||||
S&P 500 Index, Expires March 20, 2020 at $2,550.00 | (300 | ) | (88,626,600) USD | (693,000 | ) | |||||||
S&P 500 Index, Expires June 19, 2020 at $2,825.00 | (27 | ) | (7,976,394) USD | (323,865 | ) | |||||||
S&P 500 Index, Expires September 18, 2020 at $3,200.00 | (250 | ) | (73,855,500) USD | (7,822,500 | ) | |||||||
SPX Volatility Index, Expires March 18, 2020 at $16.00 | (18,000 | ) | (72,198,000) USD | (360,000 | ) | |||||||
SPX Volatility Index, Expires March 18, 2020 at $22.00 | (5,000 | ) | (20,055,000) USD | (775,000 | ) | |||||||
SPX Volatility Index, Expires June 17, 2020 at $14.00 | (435 | ) | (1,744,785) USD | (20,662 | ) | |||||||
SPX Volatility Index, Expires July 22, 2020 at $15.00 | (843 | ) | (3,381,273) USD | (63,225 | ) | |||||||
Total Put Options Written (Premiums received $94,494,207) | (146,566,017 | ) | ||||||||||
Counterparty | Notional / Vega Notional | |||||||||||
Over the Counter Options Written (-0.7%) | ||||||||||||
EUR Call / INR Knock-In Put, Expires January 7, 2022 at 82.00 INR (a) | MS | - | (15,000,000) EUR | (1,317,700 | ) | |||||||
EUR Call / USD Put Binary, Expires May 26, 2021 at 1.2 EUR | CS | - | (3,000,000) EUR | (454,653 | ) | |||||||
SPX Index Knock-In Put, Expires March 20, 2020 at $2,950.00 (b) | SG | (300 | ) | (88,626,600) USD | (857,469 | ) | ||||||
SX5E Dividend Points Index Call, Expires December 16, 2022 at 115.00 pts. | SG | (100,000 | ) | (10,830,000) EUR | (422,812 | ) | ||||||
SX5E Dividend Points Index Put, Expires December 16, 2022 at 90.00 pts. | SG | (100,000 | ) | (10,830,000) EUR | (279,299 | ) | ||||||
USD / TRY Volatility Swap Put, 13.85% Strike, Expires August 11, 2020 | DB | - | (125,000) USD | (152,074 | ) | |||||||
USD Call / RUB Put, Expires July 22, 2020 at 62.00 RUB (c) | CITI | - | (25,000,000) USD | (2,369,700 | ) | |||||||
XAG / USD Call, Expires August 6, 2020 at $23.00 (d) | CITI | - | (1,500,000) ounces | (83,728 | ) | |||||||
Total Over the Counter Options Written (Premiums received $8,280,407) | (5,937,435 | ) | ||||||||||
TOTAL WRITTEN OPTIONS (Premiums received $121,081,636) | $ | (177,121,557 | ) |
The accompanying notes are an integral part of these financial statements.
6
Infinity Q Diversified Alpha Fund | ||||
Consolidated Schedule of Investments (continued) | ||||
February 29, 2020 (Unaudited) | ||||
Counterparty abbreviations: CS - Credit Suisse, CITI - Citigroup, DB - Deutsche Bank Securities, MS - Morgan Stanley, SG - Societe Generale | ||||
Reference entity abbreviations: SPX - S&P 500 Index, SX5E - Euro Stoxx 50 Index, XAG - Silver | ||||
(a) Option includes a knock-in barrier at the EUR/INR exchange rate of 90.00. The option can be exercised only if the echange rate falls below 90 before maturity. | ||||
(b) Option includes a knock-in barrier at the S&P 500 Index price of $2,550.00. The option can be excercised only if the S&P 500 Index falls below $2,550.00 before maturity. | ||||
(c) Option includes up and in barrier at the USD/RUB exchange rate of 65.00. If exchange rate increases above the barrier, the option becomes worthless. | ||||
(d) Position held in the Subsidiary. See Notes. |
The accompanying notes are an integral part of these financial statements.
7
Infinity Q Diversified Alpha Fund | ||||||||||||
Consolidated Schedule of Investments (continued) | ||||||||||||
February 29, 2020 (Unaudited) | ||||||||||||
Value & Unrealized | ||||||||||||
FUTURES CONTRACT (0.0%) | Appreciation / | |||||||||||
Contracts | Notional ($) | (Depreciation) | ||||||||||
S&P 500 E-mini Futures Mar 2020 | (11 | ) | (1,623,105 | ) | (34,844 | ) | ||||||
TOTAL FUTURES CONTRACT | $ | (34,844 | ) | |||||||||
CREDIT DEFAULT SWAP CONTRACTS |
Counterparty | Buy / Sell Protection | Reference Entity (a) | Rate Paid /(Received) by the Fund | Payment Frequency | Termination Date | Notional | Fair Value | Premium Paid / (Received) | Up Front Unrealized Gain / (Loss) | ||||||||||||||
BAML | Buy | CDX EM 25 | 1.00% | Quarterly | 6/20/2021 | $ | 19,000,000 | $ | (101,403 | ) | $ | 375,023 | $ | (476,426 | ) | ||||||||
MS | Buy | NJ STATE | 1.00% | Quarterly | 6/20/2023 | 7,000,000 | (144,153 | ) | (55,048 | ) | (89,105 | ) | |||||||||||
MS | Buy | S KOREA | 1.00% | Quarterly | 9/20/2020 | 10,000,000 | (67,481 | ) | (21,687 | ) | (45,794 | ) | |||||||||||
TOTAL OF CREDIT DEFAULT SWAP CONTRACTS | $ | (313,037 | ) | $ | 298,288 | $ | (611,325 | ) |
Counterparty abbreviations: BAML - Bank of America Merrill Lynch, MS - Morgan Stanley | |||||||||
(a) The following is a description of each reference entity: | |||||||||
CDX EM 25 − CDX Emerging Markets S25 1.00% June 20, 2021 NJ STATE − State of New Jersey 5.250% June 20, 2023 S KOREA − Republic of Korea 7.125% September 20, 2020 | |||||||||
The accompanying notes are an integral part of these financial statements.
8
Infinity Q Diversified Alpha Fund | |||||||||||||||
Consolidated Schedule of Investments (continued) | |||||||||||||||
February 29, 2020 (Unaudited) | |||||||||||||||
TOTAL RETURN SWAP CONTRACTS | |||||||||||||||
Counterparty | Reference Entity (a) | Rate Paid / (Received) by the Fund | Payment Frequency | Termination Date | Notional | Unrealized Gain / (Loss) | |||||||||
BAML | MLBX4SX6 (b) | 1.40% | Monthly | 3/13/2020 | 38,245,750 | USD | $ | - | |||||||
BAML | MLBX4SX6 (b) | 1.40% | Monthly | 5/1/2020 | 23,138,679 | USD | - | ||||||||
BAML | MLBX4SX6 (b) | 1.40% | Monthly | 6/17/2020 | 20,339,090 | USD | - | ||||||||
BAML | MLBX5HC1 (b) | - | Monthly | 3/13/2020 | 24,407,526 | USD | - | ||||||||
BAML | MLBX5HC1 (b) | - | Monthly | 3/20/2020 | 22,188,660 | USD | - | ||||||||
BAML | MLBX5HC1 (b) | - | Monthly | 5/1/2020 | 22,266,320 | USD | - | ||||||||
SG | SGI CODA LSX 5x Index (b) | - | At Maturity | 8/10/2020 | 75,000,000 | USD | (927,848 | ) | |||||||
SG | SGI W US Gravity Index | 0.50% | Monthly | 8/24/2020 | 45,000,000 | USD | (15,781,926 | ) | |||||||
| |||||||||||||||
TOTAL OF TOTAL RETURN SWAP CONTRACTS | $ | (16,709,774 | ) |
Counterparty abbreviations: BAML - Bank of America Merrill Lynch, SG - Societe Generale | |||||||||||
(a) The following tables provide information on the underlying components of each total return swap contract. | |||||||||||
(b) Position held in Subsidiary. See Notes. | |||||||||||
MLBX4SX6, MLBX5HC1 - Merrill Lynch Wildcat Commodity Relative Value Indices employ commodity relative value strategies using commodity futures across agriculture, energy, industrial metals, precious metals, and livestock. | |||||||||||
Swap Reference Entity: | MLBX4SX6 | Swap Reference Entity: | MLBX5HC1 | ||||||||
Underlying Instrument | Quantity | Value | % of Total Basket Value ^ | Underlying Instrument | Quantity | Value | % of Total Basket Value ^ | ||||
Natural Gas Futures Sep 2020 | 1,556 | $ 30,031,271 | 4.6% | Natural Gas Futures Sep 2020 | 1,260 | $ 24,315,241 | 4.4% | ||||
LME Copper Futures Jun 2020 | 208 | 29,386,495 | 4.5% | Natural Gas Futures Jul 2020 | (1,281) | (24,077,602) | 4.4% | ||||
Natural Gas Futures May 2020 | (1,697) | (29,353,129) | 4.5% | Copper Futures Jul 2020 | (373) | (23,738,681) | 4.3% | ||||
LME Copper Futures May 2020 | (208) | (29,296,468) | 4.5% | Copper Futures Sep 2020 | 372 | 23,724,700 | 4.3% | ||||
WTI Crude Futures Jun 2020 | 586 | 26,448,744 | 4.0% | WTI Crude Futures Sep 2020 | 498 | 22,643,626 | 4.1% | ||||
WTI Crude Futures May 2020 | (587) | (26,363,161) | 4.0% | WTI Crude Futures Jul 2020 | (497) | (22,475,277) | 4.1% | ||||
Corn Futures May 2020 | (1,392) | (25,637,792) | 3.9% | Corn Futures Sep 2020 | 1,159 | 21,588,548 | 4.0% | ||||
Corn Futures Jul 2020 | 1,363 | 25,382,046 | 3.9% | Corn Futures Jul 2020 | (1,154) | (21,502,267) | 3.9% | ||||
Soybean Futures May 2020 | (548) | (24,463,540) | 3.7% | Brent Crude Futures Sep 2020 | 404 | 20,145,230 | 3.7% | ||||
Soybean Futures Jul 2020 | 533 | 24,025,159 | 3.7% | Brent Crude Futures May 2020 | (405) | (20,095,680) | 3.7% | ||||
Brent Crude Futures Jul 2020 | 474 | 23,523,596 | 3.6% | Soybean Futures Nov 2020 | 441 | 20,028,253 | 3.7% | ||||
Brent Crude Futures May 2020 | (471) | (23,403,143) | 3.6% | Soybean Futures Jul 2020 | (444) | (20,027,155) | 3.7% | ||||
LME Pri Alum Futures May 2020 | (438) | (18,557,307) | 2.8% | LME Pri Alum Futures Jul 2020 | (364) | (15,519,508) | 2.9% | ||||
LME Pri Alum Futures Jun 2020 | 436 | 18,519,862 | 2.8% | LME Pri Alum Futures Sep 2020 | 361 | 15,514,355 | 2.8% | ||||
Live Cattle Futures Aug 2020 | 399 | 16,319,789 | 2.5% | Live Cattle Futures Aug 2020 | 341 | 13,936,485 | 2.6% | ||||
Live Cattle Futures Apr 2020 | (365) | (15,686,498) | 2.4% | Live Cattle Futures Apr 2020 | (314) | (13,511,365) | 2.5% | ||||
Soybean Meal Futures May 2020 | (502) | (15,337,398) | 2.4% | Soybean Meal Futures Jul 2020 | (410) | (12,704,132) | 2.3% | ||||
Soybean Meal Futures Jul 2020 | 486 | 15,082,705 | 2.3% | Soybean Meal Futures Dec 2020 | 402 | 12,613,890 | 2.3% | ||||
Sugar #11 (World) Oct 2020 | 913 | 14,441,944 | 2.2% | Sugar #11 (World) Oct 2020 | 767 | 12,137,453 | 2.2% | ||||
Sugar #11 (World) May 2020 | (902) | (14,287,755) | 2.2% | Sugar #11 (World) Jul 2020 | (767) | (12,079,504) | 2.2% | ||||
LME Zinc Futures Jun 2020 | 269 | 13,605,836 | 2.1% | Wheat Futures (CBT) Sep 2020 | 439 | 11,699,848 | 2.1% | ||||
LME Zinc Futures May 2020 | �� (268) | (13,521,480) | 2.1% | Wheat Futures (CBT) Jul 2020 | (444) | (11,673,888) | 2.1% | ||||
Wheat Futures(CBT) Dec 2020 | 497 | 13,494,637 | 2.1% | LME Zinc Futures Sep 2020 | 229 | 11,608,038 | 2.1% | ||||
Wheat Futures(CBT) May 2020 | (507) | (13,320,673) | 2.0% | LME Zinc Futures Jul 2020 | (229) | (11,587,613) | 2.1% | ||||
Coffee 'C' Futures May 2020 | (271) | (11,322,824) | 1.7% | Soybean Oil Futures Dec 2020 | 516 | 9,256,032 | 1.7% | ||||
Coffee 'C' Futures Sep 2020 | 261 | 11,244,975 | 1.7% | Soybean Oil Futures Jul 2020 | (528) | (9,192,064) | 1.7% | ||||
LME Nickel Futures Jun 2020 | 151 | 11,119,873 | 1.7% | Coffee 'C' Futures Jul 2020 | (215) | (9,128,896) | 1.7% | ||||
LME Nickel Futures May 2020 | (151) | (11,106,233) | 1.7% | Coffee 'C' Futures Sep 2020 | 211 | 9,107,241 | 1.7% | ||||
Soybean Oil Futures May 2020 | (638) | (10,981,623) | 1.7% | LME Nickel Futures Sep 2020 | 121 | 8,937,696 | 1.6% | ||||
Soybean Oil Futures Aug 2020 | 625 | 10,948,498 | 1.7% | LME Nickel Futures Jul 2020 | (121) | (8,936,249) | 1.6% | ||||
Gasoline RBOB Futures May 2020 | (142) | (8,832,037) | 1.4% | Low Sulphur Gasoil Sep 2020 | 163 | 7,306,060 | 1.3% | ||||
Low Sulfur Gasoil Futures Jun 2020 | 194 | 8,546,492 | 1.3% | Low Sulphur Gasoil Jul 2020 | (164) | (7,253,638) | 1.3% | ||||
Low Sulfur Gasoil Futures May 2020 | (193) | (8,487,304) | 1.3% | Gasoline RBOB Futures Sep 2020 | 111 | 6,640,742 | 1.2% | ||||
Gasoline RBOB Futures Jun 2020 | 129 | 7,948,704 | 1.2% | Gasoline RBOB Futures Jul 2020 | (108) | (6,594,246) | 1.2% | ||||
Lean Hogs Futures Aug 2020 | 237 | 7,411,126 | 1.1% | Lean Hogs Futures Apr 2020 | (257) | (6,404,990) | 1.2% | ||||
Lean Hogs Futures Apr 2020 | (295) | (7,340,702) | 1.1% | Lean Hogs Futures Aug 2020 | 201 | 6,271,258 | 1.2% | ||||
NY Harbor ULSD Futures May 2020 | (114) | (7,027,882) | 1.1% | NY Harbor ULSD Futures Sep 2020 | 93 | 5,890,246 | 1.1% | ||||
NY Harbor ULSD Futures Jun 2020 | 114 | 7,024,771 | 1.1% | NY Harbor ULSD Futures Jul 2020 | (94) | (5,850,229) | 1.1% | ||||
KC HRW Wheat Futures May 2020 | (287) | (6,507,053) | 1.0% | KC HRW Wheat Futures Sep 2020 | 236 | 5,538,195 | 1.0% | ||||
KC HRW Wheat Futures Dec 2020 | 268 | 6,473,376 | 1.0% | KC HRW Wheat Futures Jul 2020 | (240) | (5,518,290) | 1.0% | ||||
Cotton No.2 Futures May 2020 | (196) | (6,027,458) | 0.9% | Cotton No.2 Futures Dec 2020 | 166 | 5,180,636 | 1.0% | ||||
Cotton No.2 Futures Jul 2020 | 192 | 5,977,208 | 0.9% | Cotton No.2 Futures Jul 2020 | (165) | (5,150,700) | 0.9% | ||||
Brent Crude Futures Jul 2020 | 2 | 117,823 | 0.0% | ||||||||
$ 95,647 | 100.0% | Lean Hogs Futures Jun 2020 | 3 | 93,254 | 0.0% | ||||||
Lean Hogs Futures Jul 2020 | 1 | 37,883 | 0.0% | ||||||||
Live Cattle Futures Jun 2020 | 1 | 34,494 | 0.0% | ||||||||
^ Presented as percentage of absolute value. | |||||||||||
$ 1,345,253 | 100.0% |
The accompanying notes are an integral part of these financial statements.
9
Infinity Q Diversified Alpha Fund | |||||||||||||
Consolidated Schedule of Investments (continued) | |||||||||||||
February 29, 2020 (Unaudited) | |||||||||||||
Swap Reference Entity: | IND1LX5X | ||||||||||||
IND1LX5X Index tracks the performance of a dynamic basket of commodity futures. | |||||||||||||
% of Total | |||||||||||||
Underlying Instrument | Quantity | Value | Basket Value ^ | ||||||||||
Copper Futures Sep 2020 | (722 | ) | $ | (46,053,387 | ) | 17.7 | % | ||||||
Soybean Futures Nov 2020 | 866 | 39,307,479 | 15.1 | % | |||||||||
Soybean Futures Jul 2020 | (866 | ) | (39,016,454 | ) | 15.0 | % | |||||||
Copper Futures Jul 2020 | 578 | 36,762,205 | 14.1 | % | |||||||||
Coffee 'C' Futures Jul 2020 | (428 | ) | (18,188,435 | ) | 7.0 | % | |||||||
Coffee 'C' Futures May 2020 | 428 | 17,882,782 | 6.9 | % | |||||||||
Soybean Oil Futures Jul 2020 | (1,008 | ) | (17,562,106 | ) | 6.7 | % | |||||||
Soybean Oil Futures May 2020 | 1,008 | 17,343,904 | 6.7 | % | |||||||||
Copper Futures May 2020 | 144 | 9,174,298 | 3.5 | % | |||||||||
Wheat Futures (CBT) Jul 2020 | 160 | 4,217,638 | 1.6 | % | |||||||||
Wheat Futures (CBT) May 2020 | (160 | ) | (4,208,215 | ) | 1.6 | % | |||||||
KC HRW Wheat Futures Jul 2020 | 181 | 4,174,271 | 1.6 | % | |||||||||
KC HRW Wheat Fuures May 2020 | (181 | ) | (4,111,075 | ) | 1.6 | % | |||||||
WTI Crude Futures Nov 2020 | (9 | ) | (423,700 | ) | 0.2 | % | |||||||
WTI Crude Futures Sep 2020 | 9 | 421,186 | 0.2 | % | |||||||||
Brent Crude Futures Nov 2020 | (7 | ) | (373,127 | ) | 0.1 | % | |||||||
Brent Crude Futures Jul 2020 | 7 | 368,949 | 0.1 | % | |||||||||
LME Zinc Futures May 2020 | (4 | ) | (213,558 | ) | 0.1 | % | |||||||
LME Zinc Futures Jul 2020 | 3 | 170,927 | 0.1 | % | |||||||||
LME Nickel Futures Sep 2020 | (2 | ) | (141,465 | ) | 0.1 | % | |||||||
LME Nickel Futures May 2020 | 1 | 105,244 | 0.0 | % | |||||||||
LME Zinc Futures Nov 2020 | 1 | 43,049 | 0.0 | % | |||||||||
LME Nickel Futures Nov 2020 | 0 | * | 35,511 | 0.0 | % | ||||||||
Corn Futures Sep 2020 | (0 | )* | (1,157 | ) | 0.0 | % | |||||||
Live Cattle Futures Jun 2020 | (0 | )* | (659 | ) | 0.0 | % | |||||||
Sugar #11 (World) May 2020 | (0 | )* | (641 | ) | 0.0 | % | |||||||
Lean Hogs Futures Oct 2020 | (0 | )* | (353 | ) | 0.0 | % | |||||||
Gasoline RBOB Futures Nov 2020 | (0 | )* | (342 | ) | 0.0 | % | |||||||
NY Harbor ULSD Futures May 2020 | (0 | )* | (314 | ) | 0.0 | % | |||||||
Cotton No.2 Futures May 2020 | (0 | )* | (269 | ) | 0.0 | % | |||||||
LME Pri Alum Futures May 2020 | (0 | )* | (8 | ) | 0.0 | % | |||||||
Soybean Meal Futures Jul 2020 | (0 | )* | (7 | ) | 0.0 | % | |||||||
Low Sulphur Gasoil Futures May 2020 | (0 | )* | (4 | ) | 0.0 | % | |||||||
$ | (287,833 | ) | 100.0 | % | |||||||||
Swap Reference Entity: | SGI W US Gravity Index |
SGI W US Gravity Index aims to generate positive performance from potential mean-reversion patterns in the levels of the S&P 500 index using futures on the index. | ||||||||||||
% of Total | ||||||||||||
Underlying Instrument | Quantity | Value | Basket Value ^ | |||||||||
S&P 500 Futures Mar 2020 | 325 | $ | 240,111,945 | 100.0% | ||||||||
^ Presented as percentage of absolute value. | ||||||||||||
* Amount held in basket is less than one contract. | ||||||||||||
The accompanying notes are an integral part of these financial statements.
10
Infinity Q Diversified Alpha Fund | ||||||||||||
Consolidated Schedule of Investments (continued) | ||||||||||||
February 29, 2020 (Unaudited) | ||||||||||||
CORRELATION SWAP CONTRACTS ^ | ||||||||||||
Counterparty | Underlying Positions (a) | Correlation Strike | Effective Date | Termination Date | Vega Notional | Unrealized Gain / (Loss) | ||||||
BNPP | SX5E & EUR/USD FX | -16.00% | 1/15/2020 | 12/17/2021 | 50,000 EUR | $ | 342,770 | |||||
CITI | SX5E & EUR/GBP FX | -30.00% | 1/8/2019 | 12/17/2021 | 25,000 EUR | 693,539 | ||||||
CITI | SX5E & EUR/KRW FX | -48.00% | 1/2/2019 | 12/18/2020 | 50,000 EUR | 1,518,119 | ||||||
CITI | SX5E & EUR/USD FX | -22.00% | 2/28/2019 | 12/16/2022 | 50,000 EUR | 1,329,140 | ||||||
CITI | SPX & USSW10 FX | 32.00% | 11/15/2019 | 12/18/2020 | 75,000 USD | 927,567 | ||||||
CITI | USD/KRW FX & EUR/KRW FX | 76.00% | 2/3/2020 | 8/3/2020 | (50,000) USD | 776,199 | ||||||
CS | SX5E & EUR/USD FX | -15.00% | 1/10/2020 | 12/17/2021 | 25,000 USD | 78,862 | ||||||
CS | SX5E & EUR/USD FX | -17.00% | 6/5/2019 | 12/16/2022 | 25,000 USD | 598,132 | ||||||
CS | SX5E & EUR/USD FX | -20.00% | 1/22/2019 | 12/18/2020 | 25,000 USD | 630,041 | ||||||
DB | SX5E & EUR/USD FX | -20.00% | 10/2/2018 | 12/18/2020 | 25,000 EUR | 334,488 | ||||||
DB | SX5E & EUR/USD FX | -21.00% | 2/28/2019 | 12/17/2021 | 25,000 USD | 505,377 | ||||||
DB | SX5E & EUR/USD FX | -21.00% | 3/1/2019 | 12/17/2021 | 25,000 USD | 504,935 | ||||||
DB | SX5E & EUR/USD FX | -21.50% | 10/30/2018 | 12/18/2020 | 25,000 USD | 422,447 | ||||||
DB | USD/KRW FX & EUR/KRW FX | 61.00% | 1/8/2019 | 7/7/2020 | (30,000) USD | 5,724 | ||||||
MS | EUR/KRW FX & USD/KRW FX | 59.50% | 5/9/2019 | 5/11/2020 | (100,000) USD | 52,415 | ||||||
MS | SX5E & SPX | 76.50% | 1/18/2019 | 12/17/2021 | (50,000) USD | 576,293 | ||||||
MS | SX5E & EUR/GBP FX | -25.00% | 1/31/2018 | 12/18/2020 | 30,000 EUR | 688,046 | ||||||
MS | SX5E & EUR/USD FX | -21.50% | 3/4/2019 | 12/16/2022 | 44,500 EUR | 1,208,213 | ||||||
MS | USD/KRW FX & EUR/KRW FX | 59.00% | 9/6/2018 | 9/8/2020 | (105,000) USD | 422,716 | ||||||
MS | USD/KRW FX & EUR/KRW FX | 61.75% | 7/12/2018 | 7/14/2020 | (95,000) USD | 1,035,566 | ||||||
SG | SX5E & EUR/USD FX | -28.00% | 4/3/2018 | 6/19/2020 | 50,000 EUR | 1,763,896 | ||||||
TOTAL OF CORRELATION SWAP CONTRACTS | $ | 14,414,485 | ||||||||||
DISPERSION SWAP CONTRACTS ^ | ||||||||||||
Counterparty | Reference Entity (b) | Effective Date | Termination Date | Vega Notional | Unrealized Gain / (Loss) | |||||||
BAML | SX7E Custom Basket | 9/18/2019 | 12/18/2020 | 300,000 EUR | $ | 2,445,077 | ||||||
BAML | SPX Custom Basket | 12/10/2019 | 6/18/2021 | 200,000 EUR | 1,788,853 | |||||||
BAML | SPX Custom Basket | 1/24/2020 | 6/18/2021 | 400,000 EUR | 2,393,796 | |||||||
UBS | SPX / SX5E & ASX200 Custom Basket | 12/5/2019 | 12/18/2020 | 225,000 USD | 1,179,484 | |||||||
TOTAL OF DISPERSION SWAP CONTRACTS | $ | 7,807,210 |
Counterparty abbreviations: BAML - Bank of America Merrill Lynch, BNPP - BNP Paribas, CITI - Citigroup, CS - Credit Suisse, DB - Deutsche Bank, | |||||||
MS - Morgan Stanley, SG - Societe Generale | |||||||
Reference entity abbreviation: ASX 200 - Australian Securities Exchange, SPX - S&P 500 Index, SX5E - Euro Stoxx 50 Index, SX7E - Euro Stoxx Banks Index, | |||||||
USSW10 - Standard Fixed-vs-floating (3M Libor) US Dollar Swaps with 10-Year Maturity | |||||||
^ Inputs or methodology used in determining the value of these investments involve significant unobservable inputs. See Note 2. | |||||||
(a) Payment to or from counterparty is based on the realized correlation between each pair of underlying positions listed in each swap's description from effective date until termination date. Payment occurs at termination date. | |||||||
(b) The table on the following page provides information on the underlying components of the dispersion swap contract. Payment occurs at termination date. |
The accompanying notes are an integral part of these financial statements.
11
Infinity Q Diversified Alpha Fund | ||||||||||
Consolidated Schedule of Investments (continued) | ||||||||||
February 29, 2020 (Unaudited) | ||||||||||
Bank of America Merrill Lynch SX7E Custom Basket | ||||||||||
Effective date: September 18, 2019 Termination Date: December 18, 2020 | ||||||||||
Swap has two legs. The first leg's underlying reference is the SX7E Index. The second leg references a basket of underlying securities listed below. Payment to or from Bank of America Merrill Lynch is based on the comparative variance of the underlying components of each leg. | ||||||||||
Underlying Security | Volatility Strike | Vega Notional | ||||||||
Euro Stoxx Banks Index | 27.70 | % | (300,000 | ) | EUR | |||||
STOXX 600 Automobiles & Parts (Price) Index | 24.50 | 30,000 | EUR | |||||||
Banco Bilbao Vizcaya Argenta | 28.10 | 30,000 | EUR | |||||||
Banco Santander SA | 29.27 | 30,000 | EUR | |||||||
BNP Paribas SA | 26.61 | 30,000 | EUR | |||||||
UniCredit SpA | 35.23 | 30,000 | EUR | |||||||
ING Groep NV | 28.60 | 30,000 | EUR | |||||||
ABN AMRO Bank NV - CVA | 26.89 | 30,000 | EUR | |||||||
Societe Generale SA | 30.96 | 30,000 | EUR | |||||||
Deutsche Bank AG - Registered | 38.65 | 30,000 | EUR | |||||||
Credit Agricole SA | 28.17 | 30,000 | EUR | |||||||
Bank of America Merrill Lynch SPX Custom Basket | ||||||||||
Effective date: December 10, 2019 Termination Date: June 18, 2021 | ||||||||||
Swap has two legs. The first leg's underlying reference is the SPX Index. The second leg references a basket of underlying securities listed below. Payment to or from Bank of America Merrill Lynch is based on the comparative variance of the underlying components of each leg. | ||||||||||
Underlying Security | Volatility Strike | Vega Notional | ||||||||
SPX Index | 19.70 | % | (200,000 | ) | EUR | |||||
Sanofi | 22.08 | 11,112 | EUR | |||||||
TOTAL S.A. | 20.99 | 11,112 | EUR | |||||||
Royal Dutch Shell plc | 20.08 | 11,112 | EUR | |||||||
Eni SpA | 20.29 | 11,112 | EUR | |||||||
Enel SpA | 22.36 | 11,112 | EUR | |||||||
Anheuser-Busch InBev SA/NV | 24.38 | 11,112 | EUR | |||||||
Aktiebolaget Volvo | 26.52 | 117,093 | SEK | |||||||
Credit Agricole S.A. | 27.18 | 11,112 | EUR | |||||||
SSAB AB - A Shares | 31.83 | 117,093 | SEK | |||||||
Danone SA | 18.59 | 11,112 | EUR | |||||||
Air Liquide SA | 19.64 | 11,112 | EUR | |||||||
Compagnie de Saint-Gobain | 26.58 | 11,112 | EUR | |||||||
Telecom Italia SpA | 28.15 | 11,112 | EUR | |||||||
adidas AG | 27.33 | 11,112 | EUR | |||||||
Volkswagen AG | 27.13 | 11,112 | EUR | |||||||
Straumann Holding AG | 23.89 | 12,146 | CHF | |||||||
Georg Fischer AG | 23.00 | 12,146 | CHF | |||||||
UBS Group AG | 24.81 | 12,146 | CHF |
The accompanying notes are an integral part of these financial statements.
12
Infinity Q Diversified Alpha Fund | ||||||||||
Consolidated Schedule of Investments (continued) | ||||||||||
February 29, 2020 (Unaudited) | ||||||||||
Bank of America Merrill Lynch SPX Custom Basket | ||||||||||
Effective date: January 24, 2020 Termination Date: June 18, 2021 | ||||||||||
Swap has two legs. The first leg's underlying reference is the SPX Index. The second leg references a basket of underlying securities listed below. Payment to or from Bank of America Merrill Lynch is based on the comparative variance of the underlying components of each leg. | ||||||||||
Underlying Security | Volatility Strike | Vega Notional | ||||||||
SPX Index | 17.80 | % | (400,000 | ) | EUR | |||||
Natixis SA | 25.60 | 17,000 | EUR | |||||||
Gazprom PJSC | 28.70 | 8,816 | USD | |||||||
Air Liquide SA | 19.94 | 17,000 | EUR | |||||||
RWE AG | 27.64 | 16,000 | EUR | |||||||
E.ON SE | 21.34 | 15,000 | EUR | |||||||
Intesa Sanpaolo SpA | 27.81 | 8,000 | EUR | |||||||
Eni SpA | 18.94 | 15,000 | EUR | |||||||
Barclays plc | 26.38 | 14,348 | GBP | |||||||
Rio Tinto plc | 27.97 | 13,504 | GBP | |||||||
AXA SA | 19.93 | 17,000 | EUR | |||||||
Sanofi | 20.64 | 17,000 | EUR | |||||||
Total SA | 19.62 | 17,000 | EUR | |||||||
Air France | 39.87 | 17,000 | EUR | |||||||
Accor SA | 23.73 | 17,000 | EUR | |||||||
Engie SA | 22.70 | 14,000 | EUR | |||||||
Royal Dutch Shell plc | 18.50 | 11,000 | EUR | |||||||
Unilever NV | 18.43 | 17,000 | EUR | |||||||
Cie Financiere Richemont SA | 24.73 | 18,207 | CHF | |||||||
LafargeHolcim Ltd. | 22.26 | 16,065 | CHF | |||||||
Geberit AG | 19.22 | 18,207 | CHF | |||||||
Sika AG | 24.96 | 12,852 | CHF | |||||||
Roche Holding AG | 18.36 | 18,207 | CHF | |||||||
GlaxoSmithKline plc | 19.79 | 14,348 | GBP | |||||||
Deutsche Telekom AG | 17.91 | 16,000 | EUR | |||||||
Mediobanca Banca di Credito Finanziario SpA | 23.30 | 17,000 | EUR | |||||||
Fresenius SE & Co KGaA | 25.02 | 16,000 | EUR | |||||||
The accompanying notes are an integral part of these financial statements.
13
Infinity Q Diversified Alpha Fund | ||||||||||
Consolidated Schedule of Investments (continued) | ||||||||||
February 29, 2020 (Unaudited) | ||||||||||
UBS SPX / SX5E & ASX200 Custom Basket | ||||||||||
Effective date: December 5, 2019 (EUR) and December 6, 2019 (AUD) Termination Date: December 18, 2020 | ||||||||||
Swap has two legs. The first leg's underlying reference is the SPX Index. The second leg references a basket of underlying securities listed below. Payment to or from UBS is based on the comparative variance of the underlying components of each leg. | ||||||||||
Underlying Security | Volatility Strike | Vega Notional | ||||||||
SPX Index | 19.25 | % | (225,000 | ) | USD | |||||
Air Liquide SA | 20.25 | 5,335 | EUR | |||||||
Schneider Electric SE | 24.95 | 5,335 | EUR | |||||||
Deutsche Boerse AG | 22.34 | 5,335 | EUR | |||||||
Iberdrola SA | 17.94 | 5,335 | EUR | |||||||
Siemens AG | 23.08 | 5,335 | EUR | |||||||
CRH plc | 23.63 | 5,335 | EUR | |||||||
Sanofi | 23.45 | 5,335 | EUR | |||||||
Volkswagen AG | 28.72 | 5,335 | EUR | |||||||
Fresenius SE & Co KGaA | 26.94 | 5,335 | EUR | |||||||
Total SA | 21.32 | 5,335 | EUR | |||||||
BNP Paribas SA | 26.40 | 5,335 | EUR | |||||||
Telefonica SA | 21.64 | 5,335 | EUR | |||||||
adidas AG | 29.00 | 5,335 | EUR | |||||||
Engie SA | 21.64 | 5,335 | EUR | |||||||
Orange SA | 19.76 | 5,335 | EUR | |||||||
L'Oreal SA | 23.35 | 5,335 | EUR | |||||||
SAP SE | 24.86 | 5,335 | EUR | |||||||
Anheuser-Busch InBev SA | 24.42 | 5,335 | EUR | |||||||
Danone SA | 19.12 | 5,335 | EUR | |||||||
Koninklijke Philips NV | 24.49 | 5,335 | EUR | |||||||
Commonwealth Bank of Australia | 17.94 | 8,668 | AUD | |||||||
CSL Ltd. | 23.09 | 8,668 | AUD | |||||||
BHP Group Ltd. | 23.95 | 8,668 | AUD | |||||||
Westpac Banking Corp. | 18.73 | 8,668 | AUD | |||||||
Woolworths Group Ltd. | 18.44 | 8,668 | AUD | |||||||
Wesfarmers Ltd. | 19.11 | 8,668 | AUD | |||||||
Telstra Corp. Ltd. | 21.59 | 8,668 | AUD | |||||||
Transurban Group | 18.81 | 8,668 | AUD | |||||||
Rio Tinto Ltd. | 24.18 | 8,668 | AUD | |||||||
Woodside Petroleum Ltd. | 21.82 | 8,668 | AUD | |||||||
Newcrest Mining Ltd. | 29.27 | 8,668 | AUD | |||||||
Sydney Airport | 20.85 | 8,668 | AUD | |||||||
Coles Group Ltd. | 21.55 | 8,668 | AUD | |||||||
ASX Ltd. | 20.19 | 8,668 | AUD | |||||||
Amcor plc | 20.00 | 8,668 | AUD | |||||||
James Hardie Industries plc | 25.66 | 8,668 | AUD | |||||||
Boral Ltd. | 27.41 | 8,668 | AUD | |||||||
Bank of Queensland Ltd. | 22.10 | 8,668 | AUD |
The accompanying notes are an integral part of these financial statements.
14
Infinity Q Diversified Alpha Fund | |||||||||||
Consolidated Schedule of Investments (continued) | |||||||||||
February 29, 2020 (Unaudited) | |||||||||||
VARIANCE SWAP CONTRACTS * | |||||||||||
Volatility or | Effective | Termination | Vega | Unrealized | |||||||
Counterparty | Swap Type & Reference Entity | Variance Strike # | Date | Date | Notional | Gain / (Loss) | |||||
BAML | NKY Up Variance (9,615) (a) ^ | 21.65% | 2/17/2017 | 12/11/2020 | 56,375,000 JPY | $ | 260,298 | ||||
BAML | RTY Variance | 18.75% | 1/13/2020 | 8/21/2020 | (311,000) USD | (2,461,373 | ) | ||||
BAML | RTY Variance | 20.00% | 1/7/2020 | 9/18/2020 | (340,000) USD | (1,822,688 | ) | ||||
BAML | RTY Variance | 22.40% | 12/18/2020 | 12/17/2021 | 250,000 USD | 1,081,380 | |||||
BAML | RTY Variance | 22.75% | 12/18/2020 | 12/17/2021 | 150,000 USD | 110,738 | |||||
BAML | RTY Volatility | 19.00% | 6/6/2019 | 12/18/2020 | 200,000 USD | 837,547 | |||||
BAML | RTY Volatility | 20.00% | 9/10/2019 | 6/19/2020 | 350,000 USD | 3,281,993 | |||||
BAML | SPX / SPX Up Variance Spread (b) ^ | 21.00% and 18.05% | 1/15/2019 | 12/18/2020 | 500,000 USD | 2,143,058 | |||||
BAML | SPX Up Variance (3,496.50) (a) ^ | 10.40% | 2/5/2020 | 12/18/2020 | 200,000 USD | 98,504 | |||||
BAML | SPX Variance | 15.35% | 12/23/2019 | 3/20/2020 | (300,000) USD | (2,376,705 | ) | ||||
BAML | SPX Variance | 19.40% | 1/2/2020 | 12/17/2021 | (250,000) USD | (667,593 | ) | ||||
BAML | SPX Variance | 20.90% | 2/17/2017 | 12/18/2020 | (500,000) USD | 1,735,215 | |||||
BAML | SX5E Up / SX5E Variance Spread (c) ^ | 17.25% and 21.75% | 1/15/2019 | 12/18/2020 | 262,000 EUR | 2,122,946 | |||||
BAML | SX5E Up Variance (3,850.00) (a) ^ | 9.75% | 1/14/2020 | 6/19/2020 | 250,000 EUR | 342,912 | |||||
BAML | SX5E Variance | 19.95% | 6/19/2020 | 6/18/2021 | 200,000 EUR | 3,868,525 | |||||
BAML | SX5E Variance | 20.63% | 3/15/2019 | 12/17/2021 | 350,000 EUR | 85,399 | |||||
BAML | SX7E Variance | 23.30% | 1/13/2020 | 6/19/2020 | (250,000) EUR | (3,104,858 | ) | ||||
CITI | BRL / JPY Concave Volatility | 11.25% | 2/18/2021 | 2/17/2022 | 25,000,000 JPY | 730,977 | |||||
CITI | BRL / JPY Concave Volatility | 11.30% | 2/17/2021 | 2/17/2022 | 25,000,000 JPY | 714,105 | |||||
CITI | GBP / USD Concave Volatility | 6.95% | 6/11/2020 | 12/10/2020 | 150,000 USD | 84,886 | |||||
CITI | GBP / USD Concave Volatility | 8.95% | 10/4/2019 | 10/6/2020 | 350,000 USD | (184,573 | ) | ||||
CITI | HSCEI / SPX Variance Spread (d) ^ | 22.50% and 19.50% | 5/30/2019 | 6/29/2020 | 400,000 USD | 536,611 | |||||
CITI | HSCEI Corridor Variance (7,392 / 11,616) (e) ^ | 20.00% | 1/29/2020 | 12/30/2020 | 250,000 USD | 1,545,870 | |||||
CITI | NKY Corridor Variance (16,348.08 / 25,689.84) KO 25,689.84 (e) (f) ^ | 18.40% | 12/6/2019 | 12/11/2020 | 200,000 USD | 1,378,446 | |||||
CITI | KOSPI Corridor Variance (197.533 / 310.409) KO 324.5185 (e) (f) ^ | 17.85% | 11/25/2019 | 6/10/2021 | 250,000 USD | 1,757,407 | |||||
CITI | KOSPI / SPX Variance Spread (g) ^ | 18.00% and 21.25% | 5/22/2019 | 6/10/2021 | 250,000 USD | 306,824 | |||||
CITI | RTY Variance | 16.90% | 1/24/2020 | 4/17/2020 | (100,000) USD | (1,574,384 | ) | ||||
CITI | SPLV10UT Variance | 10.90% | 11/22/2019 | 5/22/2020 | (300,000) USD | (916,975 | ) | ||||
CITI | SPX Corridor Variance (HSCEI 7,392 / 11,616) (e) ^ | 17.20% | 1/29/2020 | 12/30/2020 | (250,000) USD | (1,857,831 | ) | ||||
CITI | SPX Corridor Variance (NKY 16,348.08 / 25,689.84) KO 25,689.84 (e) (f') ^ | 19.35% | 12/6/2019 | 12/11/2020 | (200,000) USD | (654,377 | ) | ||||
CITI | SPX Corridor Variance (KOSPI 197.533 / 310.4090) KO 324.5185 (e) (f') ^ | 20.20% | 11/25/2019 | 6/10/2021 | (250,000) USD | (215,059 | ) | ||||
CITI | SX5E Down Variance (3,998.67) (h) ^ | 16.95% | 1/17/2020 | 12/18/2020 | 200,000 EUR | 3,512,517 | |||||
CITI | SX5E Up Variance (1,948.11) (a) ^ | 16.65% | 5/29/2019 | 12/17/2021 | 350,000 EUR | 2,098,760 | |||||
CITI | SX5E Up Variance (1,575.38) (a) ^ | 17.40% | 2/7/2019 | 12/17/2021 | 400,000 EUR | 2,244,857 | |||||
CITI | SX5E Variance | 16.00% | 1/17/2020 | 12/18/2020 | (200,000) EUR | (1,641,809 | ) | ||||
CITI | SX5E Variance | 17.50% | 2/7/2019 | 12/17/2021 | (400,000) EUR | (35,514 | ) | ||||
CITI | USD / CNH Volatility | 4.70% | 1/24/2020 | 7/30/2020 | 400,000 USD | 343,815 | |||||
CITI | XAU Variance | 16.75% | 2/24/2021 | 2/24/2022 | (250,000) USD | (295,370 | ) | ||||
CS | NDX Variance | 19.10% | 2/11/2020 | 4/17/2020 | (100,000) USD | (2,349,242 | ) | ||||
CS | RTY Up Variance (797.559) (a) ^ | 20.50% | 12/17/2021 | 12/15/2023 | 250,000 USD | 1,268,980 | |||||
CS | RTY Up Variance (812.55) (a) ^ | 20.35% | 12/17/2021 | 12/15/2023 | 200,000 USD | 1,049,080 | |||||
CS | RTY Variance | 17.85% | 1/17/2020 | 6/19/2020 | (300,000) USD | (1,326,904 | ) | ||||
CS | RTY Variance | 19.30% | 1/30/2020 | 4/17/2020 | (100,000) USD | (949,022 | ) | ||||
CS | SPX Corridor Variance (2,080.93 / 3,121.39) (e) ^ | 20.60% | 9/10/2019 | 6/19/2020 | (350,000) USD | 1,032,598 | |||||
CS | SPX Variance | 21.25% | 12/17/2021 | 12/15/2023 | (200,000) USD | (108,533 | ) | ||||
CS | SPX Variance | 21.55% | 12/17/2021 | 12/15/2023 | (250,000) USD | 286,508 | |||||
CS | SX5E Up Variance (3,849.97) (a) ^ | 9.70% | 1/14/2020 | 6/19/2020 | 250,000 EUR | 348,490 | |||||
CS | USD / CHF Volatility | 6.15% | 7/9/2019 | 7/9/2020 | 125,000 USD | (56,238 | ) | ||||
DB | BRL / JPY Concave Volatility | 11.35% | 2/10/2021 | 2/9/2022 | 70,000,000 JPY | 849,733 | |||||
DB | BRL / JPY Concave Volatility | 11.35% | 2/12/2021 | 2/16/2022 | 20,000,000 JPY | 571,969 | |||||
DB | EFA Variance | 18.40% | 3/15/2019 | 12/17/2021 | 600,000 USD | 6,733,505 | |||||
DB | EFA Variance | 18.40% | 3/18/2019 | 12/17/2021 | 300,000 USD | 3,366,752 | |||||
DB | GBP / USD Concave Volatility | 7.25% | 10/9/2019 | 10/9/2020 | 325,000 USD | 527 | |||||
DB | GBP / USD Volatility | 6.175% | 2/5/2020 | 3/5/2020 | 250,000 USD | 464,947 | |||||
DB | GBP / USD Volatility | 7.74% | 1/31/2020 | 2/2/2022 | 350,000 USD | 439,612 | |||||
DB | GBP / USD Volatility | 10.85% | 2/14/2019 | 2/17/2021 | (250,000) USD | 866,075 | |||||
DB | HSCEI / SPX Variance Spread (i) ^ | 20.00% and 22.90% | 6/28/2018 | 12/30/2020 | 150,000 USD | 89,634 | |||||
DB | HSCEI Up Variance (7,846.23) (a) ^ | 22.40% | 6/25/2018 | 6/29/2020 | 250,000 USD | 40,491 | |||||
DB | KOSPI Variance | 18.60% | 12/12/2019 | 12/10/2020 | 500,000 USD | 4,676,658 | |||||
DB | KOSPI / SPX Variance Spread (j) ^ | 16.90% and 19.70% | 10/19/2018 | 12/10/2020 | 250,000 USD | 756,499 | |||||
DB | KOSPI / SPX Variance Spread (k) ^ | 17.75% and 21.95% | 12/18/2018 | 12/10/2020 | 250,000 USD | 1,320,219 | |||||
DB | MXWO Variance | 17.30% | 3/15/2019 | 12/17/2021 | (600,000) USD | 5,632,540 | |||||
DB | MXWO Variance | 17.30% | 3/18/2019 | 12/17/2021 | (300,000) USD | 2,892,631 | |||||
DB | NOK / SEK Volatility | 6.75% | 2/14/2019 | 2/17/2021 | 2,126,500 NOK | (117,308 | ) | ||||
DB | NKY Up Variance (14,760.61) (a) ^ | 18.35% | 6/26/2019 | 12/11/2020 | 53,750,000 JPY | 4,670,012 | |||||
DB | NKY Corridor Variance (14,903.17 / 23,419.26) (e) ^ | 19.80% | 3/13/2019 | 12/11/2020 | 33,600,000 JPY | 989,875 | |||||
DB | SPX Corridor Variance (2,039.65 / 3,059.47 ) (e) ^ | 19.50% | 6/26/2019 | 12/18/2020 | (500,000) USD | 1,291,207 | |||||
DB | USD / JPY Leveraged Volatility (l) | 7.05% | 8/13/2019 | 8/14/2023 | 250,000 USD | 940,148 | |||||
DB | USD / JPY Leveraged Volatility (m) | 7.30% | 7/24/2019 | 1/25/2022 | 500,000 USD | 1,437,019 | |||||
MS | DAX Corridor Variance (9,247.70 / 14,532.10) (e) ^ | 18.30% | 11/14/2019 | 12/18/2020 | 250,000 USD | 1,235,902 | |||||
MS | GBP / JPY vs. GBP / USD Volatility Spread (n) | 10.25% and 8.85% | 5/21/2019 | 5/21/2020 | 500,000 GBP | 412,391 | |||||
MS | GBP / USD Volatility | 6.225% | 2/5/2020 | 3/5/2020 | 250,000 USD | 448,768 | |||||
MS | GBP / USD Volatility | 7.79% | 1/31/2020 | 2/2/2022 | 400,000 USD | 473,866 | |||||
The accompanying notes are an integral part of these financial statements.
15
Infinity Q Diversified Alpha Fund | |||||||||||
Consolidated Schedule of Investments (continued) | |||||||||||
February 29, 2020 (Unaudited) | |||||||||||
Volatility or | Effective | Termination | Vega | Unrealized | |||||||
Counterparty | Swap Type & Reference Entity | Variance Strike # | Date | Date | Notional | Gain / (Loss) | |||||
MS | GBP / USD Volatility (o) | 9.10% | 7/23/2019 | 7/23/2020 | (450,000) GBP | $ | 369,024 | ||||
MS | HSCEI Corridor Variance (7,410.20 / 11,644.60) (e) ^ | 20.80% | 1/30/2020 | 12/17/2021 | 200,000 USD | 548,365 | |||||
MS | NDX Up Variance (6,000) (a) ^ | 19.10% | 7/11/2019 | 6/19/2020 | 550,000 USD | 6,113,199 | |||||
MS | NDX Variance | 17.75% | 1/24/2020 | 3/20/2020 | (100,000) USD | (2,426,879 | ) | ||||
MS | RTY Volatility | 18.83% | 6/6/2019 | 12/18/2020 | (400,000) USD | 1,693,251 | |||||
MS | SPX Corridor Variance (DAX 9,247.70 / 14,532.10) (e) ^ | 19.00% | 11/14/2019 | 12/18/2020 | (250,000) USD | (711,606 | ) | ||||
MS | SPX Corridor Variance (HSCEI 7,410.20 / 11,644.60) (e) ^ | 18.25% | 1/30/2020 | 12/17/2021 | (200,000) USD | (627,160 | ) | ||||
MS | SPX Corridor Variance (SX5E 2,582.069 / 4,057.537) (e) ^ | 19.10% | 12/11/2019 | 12/17/2021 | (250,000) USD | 40,247 | |||||
MS | SX5E / SPX Variance (p) ^ | 18.21% | 2/14/2019 | 12/18/2020 | 400,000 USD | (109,973 | ) | ||||
MS | SX5E / SPX Variance Spread (q) ^ | 20.55% and 22.20% | 6/1/2018 | 12/18/2020 | 450,000 USD | 1,472,163 | |||||
MS | SX5E Up Variance (1,567.45) (a) ^ | 17.05% | 10/26/2018 | 12/17/2021 | 300,000 EUR | 2,080,349 | |||||
MS | SX5E Up Variance (1,667.50) (a) ^ | 18.00% | 3/27/2019 | 12/16/2022 | 250,000 EUR | 1,519,837 | |||||
MS | SX5E Up Variance (2,016.90) (a) ^ | 18.28% | 3/29/2018 | 12/18/2020 | 300,000 EUR | 847,012 | |||||
MS | SX5E Corridor Variance (2,333.80 / 3,667.40) (e) ^ | 17.00% | 5/14/2019 | 12/16/2022 | 400,000 USD | 2,644,244 | |||||
MS | SX5E Corridor Variance (2,582.069 / 4,057.537) (e) ^ | 17.64% | 12/11/2019 | 12/17/2021 | 250,000 USD | 2,982,641 | |||||
MS | SX5E Volatility | 17.75% | 10/26/2018 | 12/17/2021 | (300,000) EUR | (156,182 | ) | ||||
MS | SX5E Volatility | 18.55% | 3/27/2019 | 12/16/2022 | (250,000) EUR | 390,003 | |||||
MS | USD / CAD Volatility | 4.975% | 11/19/2019 | 5/19/2020 | 1,000,000 USD | 174,323 | |||||
MS | USD / JPY Leveraged Volatility (r) | 6.50% | 9/19/2019 | 9/21/2021 | 500,000 USD | 519,511 | |||||
MS | USD / JPY Leveraged Volatility (s) | 6.55% | 4/5/2019 | 4/7/2020 | 550,000 USD | 1,069,902 | |||||
MS | USD / JPY Volatility | 7.275% | 1/30/2020 | 12/16/2022 | 400,000 USD | 526,396 | |||||
SG | HSCEI Variance | 22.80% | 9/11/2019 | 12/30/2020 | (2,352,000) HKD | 1,137,519 | |||||
SG | KOSPI / SPX Corridor Variance Spread (t) ^ | 15.90% and 18.05% | 10/10/2018 | 12/18/2020 | 250,000 USD | 722,279 | |||||
SG | KOSPI Volatility | 15.20% | 2/17/2020 | 6/11/2020 | 117,415,500 KRW | 4,355,420 | |||||
SG | KOSPI Volatility | 19.35% | 10/31/2018 | 12/10/2020 | 456,000,000 KRW | 3,329,479 | |||||
SG | NDX Variance | 19.80% | 2/18/2020 | 6/19/2020 | (150,000) USD | (1,720,984 | ) | ||||
SG | NKY / SPX Corridor Variance Spread (u) ^ | 17.70% | 8/1/2019 | 12/11/2020 | 350,000 USD | 1,086,402 | |||||
SG | NKY Corridor Variance (16,840 / 26,464) KO 26,464 (e) (f) ^ | 16.70% | 1/21/2020 | 12/9/2022 | 11,000,000 JPY | 394,441 | |||||
SG | NKY Corridor Variance (16,225/ 25,496) KO 25,496 (e) (f) ^ | 16.70% | 1/30/2020 | 12/9/2022 | 27,500,000 JPY | 632,849 | |||||
SG | NKY Up Variance (14,776) (a) ^ | 18.30% | 6/26/2019 | 12/11/2020 | 53,750,000 JPY | 4,730,527 | |||||
SG | NKY Corridor Variance (14,965 / 23,516) (e) ^ | 17.55% | 7/19/2019 | 12/11/2020 | 250,000 USD | 387,332 | |||||
SG | RTY Variance | 16.90% | 1/24/2020 | 4/17/2020 | (100,000) USD | (1,574,383 | ) | ||||
SG | RTY Volatility | 19.80% | 9/10/2019 | 6/19/2020 | 300,000 USD | 2,904,806 | |||||
SG | SPLV5UT Up Variance (267.650) (a) ^ | 5.45% | 1/16/2020 | 1/15/2021 | (150,000) USD | (361,240 | ) | ||||
SG | SPLV5UT Up Variance (272.858) (a) ^ | 5.45% | 1/29/2020 | 1/29/2021 | (125,000) USD | (312,975 | ) | ||||
SG | SPX Variance KO 3,445.268 (f) ^ | 20.60% | 2/6/2020 | 6/18/2021 | (150,000) USD | (486,927 | ) | ||||
SG | SPX Variance | 16.875% | 2/18/2020 | 9/18/2020 | (140,000) USD | (1,404,299 | ) | ||||
SG | SPX Variance | 17.75% | 2/4/2020 | 12/18/2020 | (550,000) USD | (1,801,684 | ) | ||||
SG | SPX Variance | 18.85% | 1/10/2020 | 12/17/2021 | (500,000) USD | (1,715,214 | ) | ||||
SG | SPXD5UN Up Variance (2,649.465) (a) ^ | 5.45% | 1/29/2020 | 1/29/2021 | (125,000) USD | (88,836 | ) | ||||
SG | SX5E Up Variance (1,620.625) (a) ^ | 18.50% | 2/15/2019 | 12/17/2021 | 250,000 EUR | 1,173,415 | |||||
SG | SX5E Corridor Variance (2,985.82 / 4,478.74) (e) ^ | 15.05% | 2/4/2020 | 12/18/2020 | 500,000 EUR | 5,569,636 | |||||
SG | SX5E Corridor Variance (2,631.48 / 4,135.18) (e) ^ | 16.80% | 1/7/2020 | 12/18/2020 | 350,000 EUR | 2,951,409 | |||||
SG | SX5E Corridor Variance (2,652.66 / 4,168.47) (e) ^ | 16.85% | 1/10/2020 | 12/17/2021 | 450,000 EUR | 1,689,200 | |||||
SG | SX5E Variance | 23.95% | 4/7/2017 | 12/18/2020 | (325,000) EUR | 2,253,486 | |||||
SG | SX5E Volatility | 18.60% | 2/15/2019 | 12/17/2021 | (250,000) EUR | 39,622 | |||||
SG | UKX Corridor Variance (5,957.50 / 8,936.26) (e) ^ | 13.65% | 2/10/2020 | 12/18/2020 | 200,000 GBP | 1,398,864 | |||||
UBS | EEM Variance | 20.80% | 12/19/2019 | 12/18/2020 | (250,000) USD | (1,628,970 | ) | ||||
UBS | HSCEI Corridor Variance (8,765 / 13,148) (e) ^ | 19.00% | 2/17/2020 | 12/30/2020 | 1,165,080 HKD | 1,125,447 | |||||
UBS | RTY Up Variance (1,051.03) (a) ^ | 21.20% | 10/7/2019 | 12/18/2020 | 300,000 USD | 1,048,917 | |||||
UBS | RTY Corridor Variance (5,861.05 / 8,791.57) (e) ^ | 14.10% | 2/3/2020 | 6/18/2021 | 150,000 GBP | 686,207 | |||||
UBS | RTY Variance | 19.30% | 1/30/2020 | 4/17/2020 | (100,000) USD | (949,022 | ) | ||||
UBS | RTY Volatility | 20.10% | 11/1/2019 | 12/18/2020 | 400,000 USD | 2,234,112 | |||||
UBS | SPX Variance | 24.15% | 3/20/2020 | 4/17/2020 | (350,000) USD | (789,134 | ) | ||||
UBS | SPX Variance | 19.20% | 11/1/2019 | 12/18/2020 | (400,000) USD | (1,279,025 | ) | ||||
UBS | SPX Corridor Variance (2,052.40 / 3,078.60) (e) ^ | 19.75% | 6/26/2019 | 12/18/2020 | (550,000) USD | 1,537,645 | |||||
UBS | SPX Corridor Variance (RTY 1,051.03 / 1,606.57) (e) ^ | 21.60% | 10/7/2019 | 12/18/2020 | (300,000) USD | 330,305 | |||||
UBS | SPX Corridor Variance (1,979.18 / 2,968.77) (e) ^ | 20.00% | 5/28/2019 | 12/18/2020 | (150,000) USD | 204,686 | |||||
UBS | SPX Corridor Variance (2,061.22 / 3,091.83) (e) ^ | 22.80% | 107/2019 | 12/18/2020 | 350,000 USD | 425,461 | |||||
UBS | USD / CNH Leveraged Volatility (v) | 4.40% | 12/20/2019 | 6/22/2020 | 400,000 USD | 145,035 | |||||
TOTAL OF VARIANCE SWAP CONTRACTS | $ | 100,434,345 |
Counterparty abbreviations: BAML - Bank of America Merrill Lynch, CITI - Citigroup, CS - Credit Suisse, DB - Deutsche Bank, MS - Morgan Stanley, SG - Societe Generale | |||||||||
Reference entity abbreviations: DAX - German Stock Index, EFA - iShares MSCI EAFE ETF, EEM - iShares MSCI Emerging Markets ETF, HSCEI - Hang Seng China Enterprises Index, | |||||||||
KOSPI - KOSPI 200 Index, MXWO - Invesco MSCI World UCITS ETF, NDX - NASDAQ 100 Stock Index, NKY - Nikkei 225 Index, | |||||||||
RTY - Russell 2000 Index, SPLV10UT - S&P 500 Low Volatility Daily Risk Control 10% Index, SPLV5UT - S&P 500 Low Volatility Daily Risk Control 5% Index, | |||||||||
SPXD5UN - S&P 500 Dividend Aristocrats Daily Risk Control 5% Index, SPX - S&P 500 Index, SX5E - Euro Stoxx 50 Index, | |||||||||
SX7E - Euro Stoxx Banks Index, UKX - Financial Times Stock Exchange 100 Index, XAU - Gold | |||||||||
^ Inputs or methodology used in determining the value of these investments involve significant unobservable inputs. See Note 2. | |||||||||
* Payment is based on variance or volatility realized during the observation period. Payment is made at termination date. | |||||||||
# If two strikes listed, first strike is for long leg and second rate is short leg of agreement. | |||||||||
The accompanying notes are an integral part of these financial statements.
16
Infinity Q Diversified Alpha Fund | |||||||||
Consolidated Schedule of Investments (continued) | |||||||||
February 29, 2020 (Unaudited) | |||||||||
(a) Up barrier/conditional swaps. Change in underlying referenced security only included when values are above referenced value. | |||||||||
(b) Spread trade consists of a long variance leg and a short variance leg. The short leg is a variance swap with daily change in the SPX Index only included if the daily closing value is higher than 1,818. | |||||||||
(c) Spread trade consists of a long variance leg and a short variance leg. The long leg is a variance swap with daily change in the SX5E Index only included if the daily closing value is higher than 2,143. | |||||||||
(d) Spread trade consists of a long variance leg and short variance leg. The long leg is a corridor variance swap with changes in the HSCEI Index only included if closing level is between 7,315.063 and 11,495.099. The short leg is a corridor variance swap with changes in the SPX Index only included if the closing level of the HSCEI Index is between 7,315.063 and 11,495.099. | |||||||||
(e) Corridor swaps. Change in underlying referenced security only included when values between referenced values. Barrier index is included if it differs from the underlying. | |||||||||
(f) Position includes a knock-out (KO) term at level indicated. If the closing level of the underlying Index is above the knock-out level, the swap automatically terminates. | |||||||||
(g) Spread trade consists of a long variance leg and short variance leg. The long leg is a corridor variance swap with changes in the KOSPI Index only included if closing level is between 59.99 and 266.65. The short leg is a corridor variance swap with changes in the SPX Index only included if the closing level of the KOSPI Index is between 159.99 and 266.65. | |||||||||
(h) Down barrier/conditional swaps. Change in underlying referenced security only included when values are below referenced value. | |||||||||
(i) Spread trade consists of a long variance leg and short variance leg. The long leg is a corridor variance swap with changes in the HSCEI Index only included if closing level is between 7,607.91 and 11,955.29. The short leg is a corridor variance swap with changes in the SPX Index only included if the closing level of the HSCEI Index is between 7,607.91 and 11,955.29. | |||||||||
(j) Spread trade consists of a long variance leg and a short variance leg. The long leg is a corridor variance swap with changes in the KOSPI Index only included if closing level is between 195.041 and 306.493. The short leg is a corridor variance swap with changes in the SPX Index only included if the closing level of the KOSPI Index is between 195.041 and 306.493. | |||||||||
(k) Spread trade consists of a long variance leg and a short variance leg. The long leg is a corridor variance swap with changes in the KOSPI Index only included if closing level is between 185.85 and 292.05. | |||||||||
(l) Position includes leverage and volatility cap. If final realized volatility is less than 7.05%, notional doubles to $500,000 and realized volatility is capped at 11.5%. | |||||||||
(m) Position includes leverage and knock out terms. If final realized volatility is less than 7.3%, notional doubles to $1,000,000. If final realized volatility is greater than 7.3 but less than 12.3, | |||||||||
notional is $1,500,000. If final realized volatility is greater than 12.3, contract becomes worthless. | |||||||||
(n) Spread trade - Long GBP / JPY volatility leg and short GBP / USD volatility leg. | |||||||||
(o) Volatility capped at 14%. | |||||||||
(p) The Geometric Variance Swap is long variance on the SPX Index and SX5E Index and short variance on a geometric basket of these two indices. | |||||||||
(q) Spread trade consists of a long variance leg and short variance leg. The long leg is a corridor variance swap with changes in the SX5E Index only included if current and prior close is between 2,072.12 and 3,453.54. The short leg is corridor variance swap with changes in the SPX Index only included if current and prior close of the SX5E Index is between 2,072.12 and 3,453.54. | |||||||||
(r) Position includes leverage and volatility cap. If final realized volatility is less than 6.50%, notional doubles to $1,000,000 and realized volatility is capped at 12.50%. | |||||||||
(s) Trade includes leverage. If final realized volatility is less than 8.55%, notional doubles to $1,100,000. | |||||||||
(t) Spread trade consists of a long variance and short variance leg. The long leg is a corridor variance swap with changes in the KOSPI Index only included if closing level is between 201 and 316. The short leg is a corridor variance swap with changes in the SPX Index only included if the closing level of the KOSPI Index is between 201 and 316. | |||||||||
(u) Spread trade consists of a long variance and short variance leg. The long leg is a corrdior variance swap with changes in the NKY Index only included if closing level is between 15,040 and 23,634. The short leg is a corridor variance swap with changes in the SPX Index only included if the closing level of the NKY Index is between 15,040 and 23,634. | |||||||||
(v) Trade includes leverage. If final realized volatility is less than 4.44%, notional doubles to $6,000,000. |
The accompanying notes are an integral part of these financial statements.
17
Infinity Q Diversified Alpha Fund | |||||
Consolidated Schedule of Investments (continued) | |||||
February 29, 2020 (Unaudited) |
* As a percent of total investments. | ||||||
The accompanying notes are an integral part of these financial statements.
18
Infinity Q Diversified Alpha Fund | ||||
February 29, 2020 (Unaudited) | ||||
ASSETS | ||||
Investments, at value (cost $560,077,615) | $ | 600,901,998 | ||
Foreign currency, at value (cost $1,644,196) | 1,677,327 | |||
Cash collateral for derivative instruments | 303,336,830 | |||
Deposits with brokers for securities sold short | 330,944 | |||
Deposits with brokers for futures | 3,965,183 | |||
Premiums paid for swaps | 375,023 | |||
Unrealized appreciation on correlation swap contracts | 14,414,485 | |||
Unrealized appreciation on dispersion swap contracts | 7,807,210 | |||
Unrealized appreciation on variance swap contracts | 141,295,194 | |||
Receivables: | ||||
Investment interest receivable | 469,825 | |||
Receivable for investments and derivatives sold | 209,570,924 | |||
Receivable for Fund shares sold | 22,164,885 | |||
Prepaid expenses | 44,756 | |||
Total Assets | 1,306,354,584 | |||
LIABILITIES | ||||
Securities sold short, at value (proceeds $3,705,479) | 5,427,039 | |||
Written options, at value (premiums received $121,081,636) | 177,121,557 | |||
Premiums received from swap contracts | 76,735 | |||
Unrealized depreciation on credit default swap contracts | 611,325 | |||
Unrealized depreciation on total return swap contracts | 16,709,774 | |||
Unrealized depreciation on variance swap contracts | 40,860,849 | |||
Payables: | ||||
Payable for investments and derivatives purchased | 220,073,465 | |||
Payable for Fund shares redeemed | 5,344,190 | |||
Due to Investment Adviser | 1,122,994 | |||
Distribution fees - Investor Shares (see Note 4) | 11,416 | |||
Accrued expenses and other liabilities | 306,184 | |||
Total Liabilities | 467,665,528 | |||
NET ASSETS | $ | 838,689,056 | ||
COMPONENTS OF NET ASSETS | ||||
Paid-in capital | $ | 793,070,980 | ||
Total accumulated income | 45,618,076 | |||
Net Assets | $ | 838,689,056 | ||
Investor Class: | ||||
Net assets applicable to shares outstanding | $ | 25,668,735 | ||
Shares outstanding (unlimited shares authorized with $0.01 par value) | 2,178,520 | |||
Net asset value, offering and redemption price* per share | $ | 11.78 | ||
Institutional Class: | ||||
Net assets applicable to shares outstanding | $ | 813,020,321 | ||
Shares outstanding (unlimited shares authorized with $0.01 par value) | 68,221,049 | |||
Net asset value, offering and redemption price* per share | $ | 11.92 |
* | Redemption price per share of Investor Shares or Institutional Shares is NAV reduced by 1.00% if shares are held for 60 days or less | ||
The accompanying notes are an integral part of these financial statements. |
19
Infinity Q Diversified Alpha Fund | ||||
For the Six Months Ended February 29, 2020 (Unaudited) | ||||
INVESTMENT INCOME | ||||
Interest income | $ | 3,008,130 | ||
Dividend income (Net of foreign tax of $4,510) | 583,461 | |||
Total Investment Income | 3,591,591 | |||
EXPENSES | ||||
Management fees | 6,347,284 | |||
Interest expense | 431,693 | |||
Shareholder servicing fees | 267,218 | |||
Administration fees | 266,480 | |||
Dividend expense | 255,654 | |||
Expense recouped by the Adviser (see Note 3) | 108,617 | |||
Transfer agent fees | 92,648 | |||
Audit fees | 49,924 | |||
Registration fees | 49,071 | |||
Custody fees | 37,375 | |||
Distribution fees (see Note 4) | 33,130 | |||
Printing expense | 25,878 | |||
Legal fees | 19,300 | |||
Compliance fees | 8,075 | |||
Trustees fees | 4,883 | |||
Other expenses | 9,938 | |||
Total expenses | 8,007,168 | |||
Less: Expense waived by the Adviser (Note 3) | (5,983 | ) | ||
Net Expense | 8,001,185 | |||
Net Investment Loss | (4,409,594 | ) | ||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: | ||||
Investments | 67,041,625 | |||
Securities sold short | (1,285,104 | ) | ||
Written options | (91,867,667 | ) | ||
Forward currency contracts | (1,784,189 | ) | ||
Futures contracts | (6,784,786 | ) | ||
Swap contracts | 24,401,215 | |||
Foreign currency transactions | 19,477 | |||
Net realized loss | (10,259,429 | ) | ||
Change in unrealized appreciation/depreciation on: | ||||
Investments | 41,988,586 | |||
Securities sold short | (2,198,176 | ) | ||
Written options | (55,961,142 | ) | ||
Forward currency contracts | 1,101,022 | |||
Futures contracts | 16,112 | |||
Swap contracts | 32,012,136 | |||
Foreign currency transactions | 41,091 | |||
Net change in appreciation/depreciation | 16,999,629 | |||
Net realized and unrealized gain (loss) on investments, securities sold short, written options, orward currency, futures and swap contracts, and foreign currency transactions | 6,740,200 | |||
Net Increase in Net Assets from Operations | $ | 2,330,606 | ||
The accompanying notes are an integral part of these financial statements. |
20
Infinity Q Diversified Alpha Fund | ||||||||
Six Months Ended February 29, 2020 (Unaudited) | Year Ended August 31, 2019 | |||||||
FROM OPERATIONS | ||||||||
Net investment loss | $ | (4,409,594 | ) | $ | (3,648,403 | ) | ||
Net realized loss on investments, securities sold short, written options, | ||||||||
forward currency, futures, and swap contracts, and foreign currency transactions | (10,259,429 | ) | (26,763,267 | ) | ||||
Net change in unrealized appreciation/depreciation on investments, securities sold short, | ||||||||
written options, forward currency, futures, and swap contracts, and | ||||||||
forward currency transactions | 16,999,629 | 47,080,998 | ||||||
Net increase in net assets resulting from operations | 2,330,606 | 16,669,328 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Investor shares | - | (352,854 | ) | |||||
Institutional shares | - | (5,253,746 | ) | |||||
Decrease in net assets from distributions | - | (5,606,600 | ) | |||||
CAPITAL TRANSACTIONS | ||||||||
Proceeds from shares sold | ||||||||
Investor shares | | 5,288,413 | 17,700,558 | |||||
Institutional shares | 254,373,007 | 496,967,651 | ||||||
Proceeds from reinvestment of distributions | ||||||||
Investor shares | - | 336,449 | ||||||
Institutional shares | - | 4,481,001 | ||||||
Cost of units redeemed * | ||||||||
Investor shares | (8,011,751 | ) | (15,709,819 | ) | ||||
Institutional shares | (103,020,755 | ) | (129,598,525 | ) | ||||
Net increase in net assets from capital transactions | 148,628,914 | 374,177,315 | ||||||
Net increase in net assets | 150,959,520 | 385,240,043 | ||||||
NET ASSETS | ||||||||
Beginning of period | 687,729,536 | 302,489,493 | ||||||
End of period | $ | 838,689,056 | $ | 687,729,536 | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Investor Shares | ||||||||
Shares sold | 446,701 | 168,642 | ||||||
Shares issued on reinvestment of distributions | - | 26,329 | ||||||
Shares redeemed | (678,518 | ) | (38,330 | ) | ||||
Net increase (decrease) in shares outstanding | (231,817 | ) | 156,641 | |||||
Institutional Shares | ||||||||
Shares sold | 21,287,801 | 1,671,929 | ||||||
Shares issued on reinvestment of distributions | - | 1,659,853 | ||||||
Shares redeemed | (8,631,363 | ) | (1,385,294 | ) | ||||
Net increase in shares outstanding | 12,656,438 | 1,946,488 | ||||||
* Net of redemption fees. | ||||||||
The accompanying notes are an integral part of these financial statements. |
21
Infinity Q Diversified Alpha Fund | ||||
For the Six Months Ended February 29, 2020 (Unaudited) | ||||
CASH FLOW FROM OPERATING ACTIVITIES | ||||
Net increase in net assets from operations | $ | 2,330,606 | ||
Adjustments to reconcile increase in net assets resulting | ||||
from operations to net cash provided by operating activities: | ||||
Purchases of investment securities | (426,845,182 | ) | ||
Exercise of purchased options | (20,322,260 | ) | ||
Proceeds from disposition of investment securities | 421,091,877 | |||
Proceeds from securities sold short | 93,082,624 | |||
Purchases to cover securities sold short | (91,553,978 | ) | ||
Premiums from written options | 230,285,530 | |||
Assignment of written options | (17,290,286 | ) | ||
Purchases to cover written options | (197,026,328 | ) | ||
Net cash received on swap contracts | 16,665,658 | |||
Sale of short term investment securities, net | (33,647,224 | ) | ||
Decrease in deposits at brokers for derivative transactions | 15,903,637 | |||
Decrease in investment interest receivable | 84,486 | |||
Decrease in prepaid expenses | 659 | |||
Increase in due to Investment Adviser | 152,887 | |||
Decrease in accrued distribution fees | (1,039 | ) | ||
Decrease in accrued expenses and other liabilities | (4,117 | ) | ||
Unrealized appreciation from investments | (15,841,404 | ) | ||
Net realized loss from investments | 1,709,931 | |||
Net cash provided by operating activities | (21,223,923 | ) | ||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||
Proceeds from shares sold | 240,740,170 | |||
Payment for shared redeemed | (105,811,084 | ) | ||
Net cash provided by financing activities | 134,929,086 | |||
Net change in cash | 113,705,163 | |||
Effect of exchange rate changes on cash | 41,091 | |||
CASH AND RESTRICTED CASH: | ||||
Beginning of period | 191,267,903 | |||
End of period | 305,014,157 | |||
The accompanying notes are an integral part of these financial statements. |
22
Infinity Q Diversified Alpha Fund |
Investor Shares | ||||||||||||||||||||||
For a share outstanding throughout each period presented | ||||||||||||||||||||||
Six Months Ended February 29, 2020 (Unaudited) | Year ended August 31, 2019 | Year ended August 31, 2018 | Year ended August 31, 2017 | Year ended August 31, 2016 | Period September 30, 2014* to August 31, 2015 | |||||||||||||||||
Net asset value, beginning of period | $ | 11.75 | $ | 11.54 | $ | 10.37 | $ | 9.86 | $ | 10.11 | $ | 10.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment Income (loss) (1) | (0.08 | ) | (0.11 | ) | (0.18 | ) | (0.23 | ) | (0.22 | ) | (0.21 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 0.11 | 0.51 | 1.35 | 0.96 | 0.16 | 0.46 | ||||||||||||||||
Total from investment operations | 0.03 | 0.40 | 1.17 | 0.73 | (0.06) | 0.25 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
From net investment income | - | - | - | (0.22 | ) | - | - | |||||||||||||||
From net realized gain on investments | - | (0.19 | ) | - | - | (0.19 | ) | (0.14 | ) | |||||||||||||
Total distributions | - | (0.19 | ) | - | (0.22 | ) | (0.19 | ) | (0.14 | ) | ||||||||||||
Redemption fee proceeds (1) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | - | |||||||||||
Net asset value, end of period | $ | 11.78 | $ | 11.75 | $ | 11.54 | $ | 10.37 | $ | 9.86 | $ | 10.11 | ||||||||||
Total return (3) | 0.26 | %(4) | 3.48 | % (2) | 11.28 | % | 7.56 | % | -0.59 | % | 2.62 | % (4) | ||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 25,669 | $ | 28,328 | $ | 25,588 | $ | 15,658 | $ | 9,189 | $ | 185 | ||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||||
Before fees waived by the Adviser (6) | 2.44 | %(5) | 2.44% | 2.58% | 2.78% | 2.66% | 2.76% | (5) | ||||||||||||||
After fees waived by the Adviser (6) | 2.39 | %(5) | 2.35% | 2.40% | 2.61% | 2.43% | 2.38% | (5) | ||||||||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||||
Before fees waived by the Adviser (7) | -1.47 | %(5) | -1.03 | % | -1.80 | % | -2.38 | % | -2.49 | % | -2.71 | %(5) | ||||||||||
After fees waived by the Adviser (7) | -1.42 | %(5) | -0.95 | % | -1.62 | % | -2.22 | % | -2.25 | % | -2.33 | %(5) | ||||||||||
Portfolio turnover rate (8) | 25 | %(4) | 100 | % | 8 | % | 65 | % | 62 | % | 195 | %(4) | ||||||||||
* | Commencement of operations | |||||||||||||||
(1) | Per share amounts are calculated using average shares method. | |||||||||||||||
(2) | Amount represents less than $0.01 per share. | |||||||||||||||
(3) | Performance reported does not reflect sales charges. Effective December 31, 2015, the class no longer has an initial sales charge. | |||||||||||||||
(4) | Not annualized. | |||||||||||||||
(5) | Annualized. | |||||||||||||||
(6) | The ratios of expenses to average net assets include dividends and interest on short positions and brokerage expenses. For the periods ended August 31, 2015, August 31, 2016, August 31, 2017, August 31, 2018, August 31, 2019, and February 29, 2020, excluding dividends and interest on short positions and brokerage expenses, the ratios of expenses to average net assets, before fees waived/reimbursed by the Adviser, were 2.63%, 2.43%, 2.37%, 2.39%, 2.28% and 2.25%, respectively. Excluding dividends and interest on short positions and brokerage expenses, the ratios of expenses to average net assets, after fees waived/reimbursed by the Adviser, were 2.25%, 2.20%, 2.20%, 2.20%, 2.20%, and 2.20%, respectively. | |||||||||||||||
(7) | The ratios of net investment loss to average net assets include dividends and interest on short positions and brokerage expenses. For the periods ended August 31, 2015, August 31, 2016, August 31, 2017, August 31, 2018, August 31, 2019, and February 29, 2020, excluding dividends and interest on short positions and brokerage expenses, the ratios of net investment loss to average net assets, before fees waived/reimbursed by the Adviser, were -2.58%, -2.26%, -1.97%, -1.60%, -0.89%, and -1.28%, respectively. Excluding dividends and interest on short positions and brokerage expenses, the ratios of net investment loss to average net assets, after fees waived/reimbursed by the Adviser, were -2.20%, -2.02%, -1.81%, -1.42%, -0.81% and -1.23%, respectively. | |||||||||||||||
(8) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. | |||||||||||||||
The accompanying notes are an integral part of these financial statements. |
23
Infinity Q Diversified Alpha Fund |
Consolidated Financial Highlights | ||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||
For a share outstanding throughout each period presented | ||||||||||||||||||||||
Six Months Ended February 29, 2020 (Unaudited) | Year ended August 31, 2019 | Year ended August 31, 2018 | Year ended August 31, 2017 | Year ended August 31, 2016 | Period September 30, 2014* to August 31, 2015 | |||||||||||||||||
Net asset value, beginning of period | $ | 11.87 | $ | 11.62 | $ | 10.42 | $ | 9.90 | $ | 10.14 | $ | 10.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||
Net investment Income (loss) (1) | (0.07 | ) | (0.09 | ) | (0.15 | ) | (0.20 | ) | (0.20 | ) | (0.19 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 0.12 | 0.53 | 1.35 | 0.96 | 0.15 | 0.47 | ||||||||||||||||
Total from investment operations | 0.05 | 0.44 | 1.20 | 0.76 | (0.05) | 0.28 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
From net investment income | - | - | - | (0.24 | ) | - | - | |||||||||||||||
From net realized gain on investments | - | (0.19 | ) | - | - | (0.19 | ) | (0.14 | ) | |||||||||||||
Total distributions | - | (0.19 | ) | - | (0.24 | ) | (0.19 | ) | (0.14 | ) | ||||||||||||
Redemption fee proceeds (1) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | - | |||||||||||
Net asset value, end of period | $ | 11.92 | $ | 11.87 | $ | 11.62 | $ | 10.42 | $ | 9.90 | $ | 10.14 | ||||||||||
Total return | 0.42 | % (3) | 3.81 | % | 11.52 | % | 7.88 | % | -0.48 | % | 2.93 | %(3) | ||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 813,020 | $ | 659,402 | $ | 276,901 | $ | 147,449 | $ | 132,462 | $ | 60,328 | ||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||||
Before fees waived by the Adviser (5) | 2.13 | %(4) | 2.13 | % | 2.25 | % | 2.42 | % | 2.30 | % | 2.49 | %(4) | ||||||||||
After fees waived by the Adviser (5) | 2.13 | %(4) | 2.13 | % | 2.15 | % | 2.34 | % | 2.14 | % | 2.17 | %(4) | ||||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||||
Before fees waived by the Adviser (6) | -1.17 | %(4) | -0.73 | % | -1.46 | % | -2.02 | % | -2.13 | % | -2.45 | %(4) | ||||||||||
After fees waived by the Adviser (6) | -1.17 | %(4) | -0.73 | % | -1.36 | % | -1.95 | % | -1.97 | % | -2.13 | %(4) | ||||||||||
Portfolio turnover rate (7) | 25 | %(3) | 100 | % | 8 | % | 65 | % | 62 | % | 195 | %(3) | ||||||||||
* | Commencement of operations | |||||||||||||||||||||
(1) | Per share amounts are calculated using average shares method. | |||||||||||||||||||||
(2) | Amount represents less than $0.01 per share. | |||||||||||||||||||||
(3) | Not annualized. | |||||||||||||||||||||
(4) | Annualized. | |||||||||||||||||||||
(5) | The ratios of expenses to average net assets include dividends and interest on short positions and brokerage expenses. For the periods ended August 31, 2015, August 31, 2016, August 31, 2017, August 31, 2018, August 31, 2019, and February 29, 2020, excluding dividends and interest on short positions and brokerage expenses, the ratios of expenses to average net assets, before fees waived/reimbursed by the Adviser, were 2.34%, 2.10%, 2.03%, 2.05%, 1.95% and 1.95%, respectively. Excluding dividends and interest on short positions and brokerage expenses, the ratios of expenses to average net assets, after fees waived/reimbursed by the Adviser, were 2.02%, 1.95%, 1.95%, 1.95%, 1.95%, and 1.95% , respectively. | |||||||||||||||||||||
(6) | The ratios of net investment loss to average net assets include dividends and interest on short positions and brokerage expenses. For the periods ended August 31, 2015, August 31, 2016, August 31, 2017, August 31, 2018, August 31, 2019, and February 29, 2020, excluding dividends and interest on short positions and brokerage expenses, the ratios of net investment loss to average net assets, before fees waived/reimbursed by the Adviser, were -2.30%, -1.94%, -1.63%, -1.26%, -0.55%, and -0.99%, respectively. Excluding dividends and interest on short positions and brokerage expenses, the ratios of net investment loss to average net assets, after fees waived/reimbursed by the Adviser, were -1.98%, -1.79%, -1.56%, -1.16%, -0.55% and -0.99%, respectively. | |||||||||||||||||||||
(7) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. | |||||||||||||||||||||
The accompanying notes are an integral part of these financial statements. |
24
Infinity Q Diversified Alpha Fund
February 29, 2020 (Unaudited)
Note 1 – Organization
Infinity Q Diversified Alpha Fund (the “Fund”) is a diversified series of Trust for Advised Portfolios (the “Trust”). The Trust, a Delaware Statutory Trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end investment management company. Infinity Q Capital Management LLC (the “Adviser”) serves as the investment manager to the Fund.
The Fund seeks to generate positive absolute returns. The Fund’s objective is not fundamental, and may be changed without shareholder approval. The Fund commenced operations on September 30, 2014. The Fund currently offers two share classes, Investor Class and Institutional Class. Each class of shares represents an equal interest in the Fund, except that they have different expenses, which reflects the difference in the range of services provided to them. Income, expenses (other than those attributable to a specific class), and realized and unrealized gains and losses on investments are allocated daily to each class based on relative net assets.
The Fund may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Fund have equal rights and privileges.
In order to achieve its investment objective, the Fund invests up to 25% of its total assets (measured at the time of purchase) in a wholly-owned and controlled Cayman Islands subsidiary, the Infinity Q Commodity Fund Ltd. (the “Subsidiary”). The Subsidiary acts as an investment vehicle in order to enter into certain investments for the Fund consistent with its investment objectives and policies specified in the Prospectus and Statement of Additional Information. At February 29, 2020, the Fund’s investment in the Subsidiary represented approximately 4.37% of the Fund’s net assets.
The results of the operations of the Subsidiary were as follows:
Net investment gain | $ | 122,939 | ||
Net realized gain | 10,026,611 | |||
Net change in unrealized appreciation (depreciation) | (983,070 | ) | ||
Net increase in net assets resulting from Operations | $ | 9,166,480 |
The Consolidated Financial Statements of the Fund include the investment activity and financial statements of the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. Because the Fund may invest a substantial portion of its assets in the Subsidiary, the Fund may be considered to be investing indirectly in some of those investments through the Subsidiary. For that reason, references to the Fund may also include its Subsidiary. The Subsidiary will be subject to the same investment restrictions and limitations and follow the same compliance policies and procedures, as the Fund when viewed on a consolidated basis. The Fund and its Subsidiary are each a “commodity pool” under the U.S. Commodity Exchange Act, and the Adviser is a “commodity pool operator” registered with and regulated by the Commodity Futures Trading Commission (“CFTC”). As a result, additional CFTC-mandated disclosure, reporting and recordkeeping obligations apply with respect to the Fund and its Subsidiary under CFTC and the U.S. Securities and Exchange Commission (the “SEC”) harmonized regulations.
25
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
At February 29, 2020, the investments held in the Subsidiary were swap contracts, for which the absolute notional amount was $225,586,025, purchased and written options, for which the fair value was $217,558, and a money market investment as included in the Consolidated Schedule of Investments. At February 29, 2020, the unrealized losses in the Subsidiary totaled $(1,110,290). The Subsidiary holds cash and cash equivalents as collateral on the swap and futures contracts.
Note 2 – Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) for investment companies.
(a) Securities Valuation
The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market assumptions (unobservable inputs). The inputs or methodology used in determining the value of the Fund’s investments are not necessarily an indication of the risk associated with investing in those securities.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad categories as defined below:
Level 1 - Quoted prices in active markets for identical securities. An active market for a security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. A quoted price in an active market provides the most reliable evidence of fair value.
Level 2 - Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
Level 3 - Significant unobservable inputs, including the Fund's own assumptions in determining fair value of investments
Equity securities that are traded on a national securities exchange are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Debt securities including corporate, convertible, U.S. government agencies, U.S. treasury obligations, and sovereign issues are normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risk/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
26
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
Short-term investments classified as money market instruments are valued at net asset value price. These investments are categorized as Level 1 of the fair value hierarchy.
Other financial derivative instruments, such as foreign currency contracts, options contracts, futures, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by the Adviser or a pricing service using model pricing tailored to the type of security held. The pricing models use various inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, implied volatility and exchange rates.
The liquidity of individual options is dynamic and changes as a function of the market environment for the underlying security. The Fund values exchange traded options at mean price. For currency and barrier options, valuation models are employed using available market data. These option positions are categorized as Level 2 in the fair value hierarchy.
Credit Default Swaps (CDS) are valued using the ISDA Standard Upfront Model and available market data. These positions are categorized as Level 2 in the fair value hierarchy.
The Fund makes investments in various types of volatility and variance swaps. The Adviser deems vanilla volatility and variance swaps as Level 2 positions and corridor variance swaps as Level 3 positions in the fair value hierarchy. The Fund uses a pricing service to model price the variance swap trades. The pricing service uses quotes from brokers to estimate implied volatility levels as an input to these models. A significant change in implied volatility could have a significant impact on the value of a position.
The Fund makes dispersion investments using volatility and variance swaps and options on dispersion. The Adviser deems these positions to be illiquid and classifies these positions as Level 3 in the fair value hierarchy. The Adviser uses model pricing to calculate the fair volatility level for each leg of the dispersion trade. The Adviser uses quotes from a pricing service and brokers to estimate implied volatility levels as an input to these models. A significant change in implied volatility could have a significant impact on the value of a position, and depending on the direction of the change, could either increase or decrease a position’s value.
The Fund makes cross-asset correlation investments using correlation and covariance swaps. The Adviser deems these positions to be illiquid and classifies these positions as Level 3 in the fair value hierarchy. The Adviser uses a third party calculation agent to value these positions. The local volatility model is used to calculate the fair correlation level for correlation swaps. Quotes from a pricing service are used to estimate the implied correlation levels as an input to these models. A significant change in implied volatility could have a significant impact on the value of a position, and depending on the direction of the change, could either increase or decrease a position’s value.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
27
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
The following is a summary of the fair values of the Fund’s consolidated investments in each investment type as of February 29, 2020:
Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | $ | 37,358,647 | $ | - | $ | - | $ | 37,358,647 | ||||||||
Exchange Traded Funds | 39,327,582 | - | - | 39,327,582 | ||||||||||||
Purchased Options | - | 167,038,598 | 676,300 | 167,714,898 | ||||||||||||
Short-Term Investments | 356,500,871 | - | - | 356,500,871 | ||||||||||||
Total Assets | 433,187,100 | 167,038,598 | 676,300 | 600,749,924 | ||||||||||||
Liabilities | ||||||||||||||||
Securities Sold Short | (5,427,039 | ) | - | - | (5,427,039 | ) | ||||||||||
$ | 427,760,061 | $ | 167,038,598 | $ | 676,300 | $ | 595,474,959 | |||||||||
Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Other Financial Instruments * | ||||||||||||||||
Written Options | $ | - | $ | (177,121,557) | $ | - | $ | (177,121,557 | ) | |||||||
Futures Contracts | (34,844 | ) | - | - | (34,844 | ) | ||||||||||
Credit Default Swaps | - | (611,325 | ) | - | (611,325 | ) | ||||||||||
Total Return Swap Contracts | - | (16,709,774 | ) | - | (16,709,774 | ) | ||||||||||
Correlation Swap Contracts | - | - | 14,414,485 | 14,414,485 | ||||||||||||
Dispersion Swap Contracts | - | - | 7,807,210 | 7,807,210 | ||||||||||||
Variance Swap Contracts | - | 29,075,253 | 71,359,092 | 100,434,345 | ||||||||||||
Total | $ | (34,844 | ) - | $ | (165,367,403 | ) | $ | 93,580,787 | $ | (71,821,460 | ) |
* Other financial instruments are derivative instruments, including swap contracts, futures contracts and written options. Swap contracts and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value.
28
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
Purchased Options* | Other Financial Instruments | |||||||
Balance at August 31, 2019 | $ | 580,775 | $ | 51,396,797 | ||||
Purchased | 367,500 | - | ||||||
Sale Proceeds | (498,081 | ) | (7,255,413 | ) | ||||
Realized Gain (Loss) | (1,356,919 | ) | 7,255,413 | |||||
Change in unrealized Appreciation (depreciation) | 1,583,025 | 42,183,990 | ||||||
Balance at February 29, 2020 | $ | 676,300 | $ | 93,580,787 | ||||
Change in unrealized appreciation (depreciation) for Level 3 instruments held at February 29, 2020 | $ | 308,800 | $ | 62,597,881 |
*Purchased options are included in Investments on the Consolidated Statement of Assets and Liabilities.
(b) Securities Sold Short
The Fund is engaged in selling securities short, which obligates it to replace a borrowed security with the same security at current market value. The Fund incurs a loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund realizes a gain if the price of the security declines between those dates. Gains are limited to the price at which the Fund sold the security short, while losses are potentially unlimited in size.
(c) Derivatives
The Fund utilizes derivatives in its investment strategies. The Fund’s primary strategies are as follows: Volatility, Equity Long Short, Relative Value, and Global Macro. The Fund implements these strategies by investing either directly in, or through swaps and options on, a broad range of instruments, including, but not limited to, equities, bonds, currencies, commodities, master limited partnerships, credit derivatives, convertible securities, futures, forwards, options and swaps.
The following provides more information on specific types of derivatives and activity in the Fund. The use of derivative instruments by the Fund for the period ended February 29, 2020 was related to the use of swap contracts, purchased and written options, option agreements, and futures contracts.
Swap Agreements – The Fund invests in total return swaps, in which payments made by the Fund or the counterparty are based on the total return of a particular reference asset or portfolio of assets (such as a single security, combination or “basket” of securities, or an index). The value of the Fund’s swap positions increase or decrease depending on the changes in value of the underlying rates, currency values, volatility or other indices or measures. The Fund also makes investments in other swaps, including variance, dispersion, and correlation swaps. These swaps have strike prices for the underlying volatility or correlation of an index, basket, or foreign exchange rate, and the Fund realizes a gain or loss based on the realized value during the observation period relative to the strike price for the respective swap type.
29
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
Changes in value are recorded as unrealized appreciation (depreciation). Unrealized gains are reported as an asset and unrealized losses are reported as a liability. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received is reported as unrealized gains or losses. Gains or losses are realized upon termination of the contracts. The risk of loss on a swap contract may exceed the amount recorded as an asset or liability on the Consolidated Statement of Assets and Liabilities. The notional amount of a swap contract is the reference amount pursuant to which the counterparties make payments. Risks associated with swap contracts include changes in the returns of underlying instruments, failure of the counterparties to perform under a contract’s terms and the possible lack of liquidity with respect to the contracts.
The Fund enters into credit default swap agreements, credit default index swap agreements and similar agreements as a protection “seller” or as a “buyer” of credit protection. The credit default swap agreement or similar instruments may have as reference obligations one or more securities that are not held by the Fund. The protection “buyer” in a credit default swap agreement is generally obligated to pay the protection “seller” a periodic stream of payments over the term of the agreement, provided generally that no credit event on a reference obligation has occurred. In addition, at the inception of the agreement, the protection “buyer” may receive or be obligated to pay an additional up-front amount depending on the current market value of the contract. If a credit event occurs, an auction process is used to determine the “recovery value” of the contract. The seller then must pay the buyer the “par value” (full notional value) of the swap contract minus the “recovery value” as determined by the auction process. For credit default index swaps, the settlement payment for a constituent’s credit event is scaled down to the weighting in the index.
As a seller of protection, the Fund generally receives a fixed rate of income throughout the term of the swap provided that there is no credit event. In addition, at the inception of the agreement, the Fund may receive or be obligated to pay an additional up-front amount depending on the current market value of the contract. If a credit event occurs, the Fund will be generally obligated to pay the buyer the “par value” (full notional value) of the swap contract minus the “recovery value” as determined by the auction process. Credit default swaps could result in losses if the Adviser does not correctly evaluate the creditworthiness of the underlying instrument on which the credit default swap is based. Additionally, if the Fund is a seller of a credit default swap and a credit event occurs, the Fund could suffer significant losses. As of February 29, 2020, the Fund had outstanding swap contracts as listed on the Consolidated Schedule of Investments.
Options Contracts – The Fund may write call and put options on securities, derivative instruments, or currencies. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked-to-market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Consolidated Statement of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Written options which are closed or exercised will result in a gain if the closing transaction is less than the premium received. The Fund, as a writer of an option, has no control over whether the underlying future, swap, security or currency may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable price change in the underlying position. The risk exists that the Fund may not be able to enter into a closing transaction because of an illiquid market.
30
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Consolidated Statement of Assets and Liabilities as an investment and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Purchasing options will result in a gain if the closing transaction is more than the premium paid.
The Fund both purchased and wrote options contracts during the period ended February 29, 2020. The Fund had outstanding purchased and written option contracts as listed on the Consolidated Schedule of Investments as of February 29, 2020.
Forward and Futures Contracts – The primary risks associated with the use of futures contracts are (a) the imperfect correlation between the change in market value of the instruments held by the Fund and the price of the forward or futures contract; (b) possible lack of a liquid secondary market for a forward or futures contract and the resulting inability to close a forward or futures contract when desired; (c) losses caused by unanticipated market movements, which are potentially unlimited; (d) the Adviser’s inability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other economic factors; (e) the possibility that the counterparty will default in the performance of its obligations; and (f) if the Fund has insufficient cash, it may have to sell securities from its portfolio to meet daily variation margin requirements, and the Fund may have to sell securities at a time when it may be disadvantageous to do so.
The Fund entered into futures contracts during the period ended February 29, 2020. The Fund had outstanding futures contracts outstanding as listed on the Consolidated Schedule of Investments as of February 29, 2020 with the cumulative appreciation (depreciation) of each position presented. Price movements for futures contracts are settled with the brokers daily and included in Deposits at brokers for futures on the Consolidated Statement of Assets & Liabilities.
31
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
Derivative Investment Holdings Categorized by Risk Exposure - The following table sets forth the fair value and the location in the Consolidated Statement of Assets and Liabilities of the Fund’s derivative contracts by primary risk exposure as of February 29, 2020:
Consolidated Statement of Assets and Liabilities Location |
Assets | ||||||||||||||||
Purchased Options * | Unrealized Appreciation on Correlation Swaps | Unrealized Appreciation on Dispersion Swaps | Unrealized Appreciation on Variance Swaps |
Commodity | $ | 301,286 | $ | - | $ | - | $ | - | ||||||||
Currency | 8,152,990 | - | - | - | ||||||||||||
Equity | 140,592,841 | - | - | - | ||||||||||||
Volatility | 18,667,781 | 14,414,485 | 7,807,210 | 141,295,194 | ||||||||||||
Total | $ | 167,714,898 | $ | 14,414,485 14,414,485 | $ | 7,807,210 | $ | 141,295,194 | ||||||||
Liabilities |
Written Options | Unrealized Depreciation on Futures | Unrealized Depreciation on Credit Default Swaps | Unrealized Depreciation on Total Return Swaps |
Commodity | $ | (83,728 | ) | $ | - | $ | - | $ | (927,848 | ) | ||||||
Credit | - | - | (611,325 | ) | - | |||||||||||
Currency | (4,142,053 | ) | - | - | - | |||||||||||
Equity | (158,578,294 | ) | (34,844 | ) | - | (15,781,926 | ) | |||||||||
Interest | (1,199,916 | ) | - | - | - | |||||||||||
Volatility | (13,117,566 | ) | - | - | - | |||||||||||
Total | $ | (177,121,557 | ) | $ | (34,844 | ) | $ | (611,325 | ) | $ | (16,709,774 | ) | ||||
Unrealized Depreciation on Variance Swaps | ||||
Volatility Contracts | $ | (40,860,849 | ) | |
Total | (40,860,849 | ) | ||
* Purchased options are included in Investments on the Consolidated Statement of Assets and Liabilities.
32
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
The following tables set forth the Fund’s realized and unrealized gain / (loss), as reflected in the Consolidated Statement of Operations, by primary risk exposure and by type of derivative contract for the period ended February 29, 2020:
Amount of Realized Gain / (Loss) on Derivatives
Risk Exposure Category | Purchased Options* | Swap Contracts | Written Options | Currency Contracts | Futures Contracts | Total | ||||||||||||||||||
Commodity | $ | (2,609,346 | ) | $ | 11,613,888 | $ | 543,676 | $ | - | $ | (949,300 | ) | $ | 8,598,918 | ||||||||||
Credit | - | (298,640 | ) | - | - | - | (298,640 | ) | ||||||||||||||||
Currency | (5,777,694 | ) | - | 136,146 | (1,784,189 | ) | (506,326 | ) | (7,932,063 | ) | ||||||||||||||
Equity | 78,186,361 | (1,372,741 | ) | (98,681,557 | ) | - | (5,243,678 | ) | (27,111,615 | ) | ||||||||||||||
Interest | 856,188 | - | 2,797,801 | - | (163,940 | ) | 3,490,049 | |||||||||||||||||
Volatility | (6,300,272 | ) | 14,458,708 | 3,336,267 | - | 78,458 | 11,573,161 | |||||||||||||||||
Total | $ | 64,355,237 | $ | 24,401,215 | $ | (91,867,667 | ) | $ | (1,784,189 | ) | $ | (6,784,786 | ) | $ | (11,680,190 | ) |
Change in Unrealized Gain / (Loss) on Derivatives
Risk Exposure Category | Purchased Options* | Swap Contracts | Written Options | Currency Contracts | Futures Contracts | Total | ||||||||||||||||||
Commodity | $ | (308,714 | ) | $ | (821,428 | ) | $ | 1,109,422 | $ | - | $ | 20,800 | $ | 80 | ||||||||||
Credit | - | 157,483 | - | - | - | 157,483 | ||||||||||||||||||
Currency | 2,054,343 | - | (411,191 | ) | 1,101,022 | 30,156 | 2,774,330 | |||||||||||||||||
Equity | 35,510,229 | (15,844,827 | ) | (46,611,619 | ) | - | (34,844 | ) | (26,981,061 | ) | ||||||||||||||
Interest | 302,500 | - | (1,546,231 | ) | - | - | (1,243,731 | ) | ||||||||||||||||
Volatility | 13,975,645 | 48,520,908 | (8,501,523 | ) | - | - | 53,995,030 | |||||||||||||||||
Total | $ | 51,534,003 | $ | 32,012,136 | $ | (55,961,142 | ) | $ | 1,101,022 | $ | 16,112 | $ | 28,702,131 |
* Purchased options are included in Investments on the Consolidated Statement of Assets and Liabilities.
33
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
The following table shows the average volume of derivative exposure for the Fund during the period ended February 29, 2020:
Derivative Type | Unit of Measure | Average Volume | |||
Swap contracts | Notional Amount | $ | 324,731,188 | ||
Purchased options | Notional Amount | $ | 8,141,975,363 | ||
Written options | Notional Amount | $ | 6,343,669,863 | ||
Forward currency contracts | Notional Amount | $ | 145,000,000 | ||
Futures | Notional Amount | $ | 18,973,194 |
The Fund is subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement. Certain of the Fund’s Master Netting Arrangements establish provisions, including minimum levels of net assets in the Fund or Subsidiary, limits regarding the decline in net assets over specific time periods, or failure to deliver required payments or collateral, that allow the counterparty to terminate any derivative contracts under the respective agreement and request immediate payment or pay any amounts due the Fund.
34
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
As of February 29, 2020, the Fund held the following derivative instruments that were subject to offsetting on the Consolidated Statement of Assets and Liabilities:
Gross Amounts not offset in the Consolidated Statement of Assets and Liabilities |
Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Offsetting Derivative Position | Cash Collateral Pledged (Received)(1) | Net Amount | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Purchased Options* | ||||||||||||||||||||||||
BNP Paribas | $ | 676,300 | $ | - | $ | 676,300 | $ | - | $ | - | $ | 676,300 | ||||||||||||
Citigroup | 2,373,010 | - | 2,373,010 | (2,373,010 | ) | - | - | |||||||||||||||||
Credit Suisse | 654,259 | - | 654,259 | (454,653 | ) | - | 199,606 | |||||||||||||||||
Deutsche Bank | 2,541,281 | - | 2,541,281 | (152,074 | ) | - | 2,389,207 | |||||||||||||||||
Morgan Stanley | 3,960,466 | - | 3,960,466 | (1,317,700 | ) | - | 2,642,766 | |||||||||||||||||
Societe Generale | 1,322,530 | - | 1,322,530 | (1,322,530 | ) | - | - | |||||||||||||||||
UBS | 4,211,320 | - | 4,211,320 | - | - | 4,211,320 | ||||||||||||||||||
15,739,166 | ||||||||||||||||||||||||
Correlation Swaps | ||||||||||||||||||||||||
BNP Paribas | 342,770 | - | 342,770 | - | - | 342,770 | ||||||||||||||||||
Citigroup | 5,244,564 | - | 5,244,564 | - | - | 5,244,564 | ||||||||||||||||||
Credit Suisse | 1,307,035 | - | 1,307,035 | (804,283 | ) | - | 502,752 | |||||||||||||||||
Deutsche Bank | 1,772,971 | - | 1,772,971 | - | - | 1,772,971 | ||||||||||||||||||
Morgan Stanley | 3,983,249 | - | 3,983,249 | - | - | 3,983,249 | ||||||||||||||||||
Societe Generale | 1,763,896 | - | 1,763,896 | - | - | 1,763,896 | ||||||||||||||||||
14,414,485 | ||||||||||||||||||||||||
Dispersion Swaps | ||||||||||||||||||||||||
Bank of America Merrill Lynch | 6,627,726 | - | 6,627,726 | - | - | 6,627,726 | ||||||||||||||||||
UBS | 1,179,484 | - | 1,179,484 | - | - | 1,179,484 | ||||||||||||||||||
7,807,210 | ||||||||||||||||||||||||
Variance Swaps | ||||||||||||||||||||||||
Bank of America Merrill Lynch | 15,968,515 | - | 15,968,515 | (10,909,643 | ) | - | 5,058,872 | |||||||||||||||||
Citigroup | 15,255,075 | - | 15,255,075 | (7,456,310 | ) | - | 7,798,765 | |||||||||||||||||
Credit Suisse | 3,985,656 | - | 3,985,656 | (3,985,656 | ) | - | - | |||||||||||||||||
Deutsche Bank | 38,030,053 | - | 38,030,053 | (117,308 | ) | - | 37,912,745 | |||||||||||||||||
Morgan Stanley | 25,561,394 | - | 25,561,394 | (4,166,699 | ) | - | 21,394,695 | |||||||||||||||||
Societe Generale | 34,756,686 | - | 34,756,686 | (26,413,366 | ) | - | 8,343,320 | |||||||||||||||||
UBS | 7,737,815 | - | 7,737,815 | (4,646,151 | ) | - | 3,091,664 | |||||||||||||||||
141,295,194 | ||||||||||||||||||||||||
$ | 179,256,055 | $ | - | $ | 179,256,055 | $ | (64,119,383 | ) | $ | - | $ | 115,136,672 |
(1) | Any over-collateralization of total financial instruments or cash is not shown. |
* Purchased options are included in Investments on the Consolidated Statement of Assets and Liabilities.
35
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
Gross Amounts not offset in the Consolidated Statement of Assets and Liabilities |
Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Statement of Assets & Liabilities | Net Amounts Presented in the Consolidated Statement of Assets & Liabilities | Offsetting Derivative Position | Cash Collateral Pledged (Received) (1) | Net Amount | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Credit Default Swaps | ||||||||||||||||||||||||
Bank of America Merrill Lynch | $ | (476,426 | ) | $ | - | $ | (476,426 | ) | $ | 476,426 | $ | - | $ | - | ||||||||||
Morgan Stanley | (134,899 | ) | - | (134,899 | ) | 134,899 | - | - | ||||||||||||||||
(611,325 | ) | |||||||||||||||||||||||
Total Return Swaps | ||||||||||||||||||||||||
Societe Generale | (16,709,774 | ) | - | (16,709,774 | ) | 16,709,774 | - | - | ||||||||||||||||
(16,709,774 | ) | |||||||||||||||||||||||
Written Options | ||||||||||||||||||||||||
Citigroup | (2,453,428 | ) | - | (2,453,428 | ) | 2,453,428 | - | - | ||||||||||||||||
Credit Suisse | (454,653 | ) | - | (454,653 | ) | 454,653 | - | - | ||||||||||||||||
Deutsche Bank | (152,074 | ) | - | (152,074 | ) | 152,074 | - | - | ||||||||||||||||
Morgan Stanley | (1,317,700 | ) | - | (1,317,700 | ) | 1,317,700 | - | - | ||||||||||||||||
Societe Generale | (1,559,580 | ) | - | (1,559,580 | ) | 1,559,580 | - | - | ||||||||||||||||
(5,937,435 | ) | |||||||||||||||||||||||
Variance Swaps | ||||||||||||||||||||||||
Bank of America Merrill Lynch | (10,433,217 | ) | - | (10,433,217 | ) | 10,433,217 | - | - | ||||||||||||||||
Citi | (7,375,892 | ) | - | (7,375,892 | ) | 7,375,892 | - | - | ||||||||||||||||
Credit Suisse | (4,789,939 | ) | - | (4,789,939 | ) | 4,789,939 | - | - | ||||||||||||||||
Deutsche Bank | (117,308 | ) | - | (117,308 | ) | 117,308 | - | - | ||||||||||||||||
Morgan Stanley | (4,031,800 | ) | - | (4,031,800 | ) | 4,031,800 | - | - | ||||||||||||||||
Societe Generale | (9,466,542 | ) | - | (9,466,542 | ) | 9,466,542 | - | - | ||||||||||||||||
UBS | (4,646,151 | ) | - | (4,646,151 | ) | 4,646,151 | - | - | ||||||||||||||||
(40,860,849 | ) | |||||||||||||||||||||||
$ | (64,119,383 | ) | $ | - | $ | (64,119,383 | ) | $ | 64,119,383 | $ | - | $ | - |
(1) | Any over-collateralization of total financial instruments or cash is not shown. |
36
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
(d) Federal Income Taxes
The Fund’s policy is to comply with the requirements of the Internal Revenue Code that are applicable to regulated investment companies and to distribute all its taxable income to its shareholders. Therefore, no federal income tax provision is required.
The Fund is required to evaluate tax positions taken (or expected to be taken) in the course of preparing the Fund’s tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Consolidated Statement of Operations.
Management of the Fund is required to analyze all open tax years, as defined by IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of and during the period ended February 29, 2020, the Fund did not have a liability for any unrecognized tax benefits. As of February 29, 2020, the tax years ended August 31, 2017, August 31, 2018 and August 31, 2019 are subject to examination. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
(e) Distributions to Shareholders
The Fund records distributions to shareholders, which are determined in accordance with income tax regulations, on the ex-dividend date. Distributions of net investment income and net realized gains from investment transactions, if any, will be distributed annually. Where appropriate, reclassifications between net asset accounts are made for such differences that are permanent in nature. The Fund may periodically make reclassifications among certain income and capital gains distributions determined in accordance with federal tax regulations, which may differ from GAAP. These reclassifications are due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.
(f) Indemnifications
In the normal course of business, the Fund enters into contracts that contain a variety of representations, which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
(g) Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
37
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
(h) Security Transactions and Investment Income
The Fund records security transactions based on trade date. Realized gains and losses on sales of securities are calculated using the specific identification method. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis. Discounts and premiums on securities purchased are amortized over the lives of the respective securities using the effective yield method. Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.
(i) Restricted Cash
At February 29, 2020, the Fund held restricted cash in connection with investments with certain derivative securities. Restricted cash is held in a segregated account with the Fund’s custodian and is reflected on the Consolidated Statement of Assets and Liabilities as cash collateral for derivative instruments. On February 29, 2020, the Fund had pledged the following amounts as collateral for open currency contracts, swap contracts, and written options:
Counterparty | Amount Pledged | |||
Barclays | $ | 2,640,000 | ||
Bank of America Merrill Lynch | 30,562,440 | |||
BNP Paribas | 730,000 | |||
Citigroup | 36,452,871 | |||
Credit Suisse | 19,262,500 | |||
Deutsche Bank | 15,490,000 | |||
Morgan Stanley | 37,930,000 | |||
Societe Generale | 39,942,896 | |||
UBS | 120,326,123 | |||
Restricted cash | 303,336,830 | |||
Foreign cash | 1,677,327 | |||
Total restricted and foreign cash shown in the Consolidated Statement of Cash Flows | $ | 305,014,157 |
Note 3 – Investment Management Agreement and Other Transactions with Affiliates
The Trust has an agreement with the Adviser to furnish investment advisory services to the Fund. Under the terms of this agreement, the Fund will pay the Adviser a monthly fee based on the Fund’s average daily net assets at the annual rate of 1.70%. Pursuant to a contractual fee waiver and reimbursement agreement, the Adviser has contractually agreed to waive a portion or all of its management fees and pay Fund expenses (excluding acquired fund fees, taxes, interest expense, dividends on securities sold short and extraordinary expenses) in order to limit the Net Annual Fund Operating Expenses to 2.20% and 1.95% of average daily net assets of the Fund’s Investor Class and Institutional Class shares, respectively (the “Expense Caps”). The Expense Caps will remain in effect through at least December 31, 2020, and may be terminated only by the Trust’s Board of Trustees (the “Board”). The Adviser may request recoupment of previously waived fees and paid expenses from the Fund for three years from the date they were waived or paid, subject to, if different, the Expense Cap at the time of waiver/payment or the Expense Cap at the time of recoupment, whichever is lower. The Adviser has recaptured $108,617 of previously waived expenses in the Institutional Class as economies of scale were realized during the period ended February 29, 2020.
38
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
At February 29, 2020, the amounts available for recoupment by the Adviser by year are as follows:
Expiration | Investor Class | Institutional Class | Total | |||||||||
August 31, 2020 | $ | 11,986 | $ | - | $ | 11,986 | ||||||
August 31, 2021 | 35,322 | 180,796 | 216,118 | |||||||||
August 31, 2022 | 21,563 | 36,815 | 58,378 | |||||||||
February 29, 2020 | 5,983 | - | 5,983 | |||||||||
$ | 74,854 | $ | 217,611 | $ | 292,465 |
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Fund’s administrator and transfer agent. U.S. Bank, N.A. serves as the Fund’s custodian. Quasar Distributors, LLC, an affiliate of Fund Services, acts as the Fund’s distributor and principal underwriter (See Note 9). The Fund incurred the following expenses with Fund Services for the period ended February 29, 2020:
Administration | $ | 266,480 | ||
Transfer Agency | 92,648 | |||
Custody | 37,375 | |||
Compliance | 8,075 |
At February 29, 2020, the Fund had payables due to Fund Services as follows:
Administration | $ | 91,087 | ||
Transfer Agency | 30,261 | |||
Custody | 12,260 | |||
Compliance | 3,012 |
The Independent Trustees were paid $4,883 for their services and reimbursement of travel expenses during the period ended February 29, 2020. No compensation is paid to the Interested Trustee or officers of the Trust.
39
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
Note 4 – Distribution Plan
The Trust has adopted a plan pursuant to Rule 12b-1 for the Fund’s Investor Class shares (the “Plan”) that allows the Fund to pay fees for the sale, distribution and servicing of its Investor Class shares. The Plan provides for a distribution and servicing fee of up to 0.25% of the Investor Class shares’ average daily net assets. The Fund paid $33,130 in distribution fees for the period ended February 29, 2020.
Third party distribution and servicing expenses may be paid directly by the Fund or through the Adviser in its administrative role for purposes of facilitating and monitoring payments under the Plan.
Quasar acts as the Fund’s principal underwriter in a continuous public offering of the Fund’s shares and is paid for its services by the Adviser out of the fees received under the Plan and may be paid out of the Adviser’s own resources.
Note 5 – Control Ownership
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumption of control of the fund under section 2(a)(9) of the 1940 Act. As of February 29, 2020, Charles Schwab & Company, Inc. held approximately 57% and 30%, in aggregate for the benefit of others, of the outstanding Investor Class and Institutional Class shares of the Fund, respectively.
Note 6 – Investment Transactions
Purchases and sales of investment securities (excluding swap contracts, options, and other short-term investments) for the Fund for the period ended February 29, 2020, were $196,697,385 and $209,749,690, respectively.
Note 7 – Tax Information and Distributions to Shareholders
The tax character of distributions paid during the period ended February 29, 2020 and the year ended August 31, 2019 were as follows:
Period Ended February 29, 2020 | Year Ended August 31, 2019 | |||
Distributions Paid From: | ||||
Ordinary Income | $ | - | $ | 1,302,059 |
Long-Term Capital Gains | - | 4,304,541 | ||
Total Distributions Paid | $ | - | $ | 5,606,600 |
40
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
As of August 31, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows:
Investments | Securities Sold Short | Written Options | Foreign Currencies | Forward Currency Contracts | Futures Contracts | Swap Contracts | Total | |
Tax Cost of Investments | $424,408,831 | $(3,979,539) | $(842,303) | $248,695 | $ - | $ (30,156) | $ (628,412) | $419,177,116 |
Unrealized Appreciation | 8,027,958 | 492,647 | 1,816,595 | - | - | - | 84,228,943 | 94,566,143 |
Unrealized Depreciation | (10,396,621) | (16,031) | (1,053,072) | (7,960) | (1,101,022) | (20,800) | (10,277,726) | (22,873,232) |
Net Unrealized Appreciation (Depreciation) | (2,368,663) | 476,616 | 763,523 | (7,960) | (1,101,022) | (20,800) | 73,951,217 | 71,692,911 |
Other Accumulated Gain/(Loss) | (28,405,442) | - | - | - | - | - | - | (28,405,442) |
Total Accumulated Gain/(Loss) | (30,774,105) | 476,616 | 763,523 | (7,960) | (1,101,022) | (20,800) | 73,951,217 | 43,287,469 |
U.S. generally accepted accounting principles require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These differences are primarily related to holdings in derivative investments and the investment in the Subsidiary. These classifications have no effect on net assets or net asset value per share. For the year ended August 31, 2019, the following table shows the reclassifications made:
Total Accumulated Earnings (Loss) | Paid in Capital | ||
$ 3,814,256 | $ (3,814,256) |
At August 31, 2019, the Fund had a short-term capital loss carryforward of $28,405,442, which reduced the Fund’s taxable income arising from future net realized gains on investments to the extent permitted by the Internal Revenue Code, and thus reduced the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal tax.
The Fund is required, in order to meet certain excise tax requirements, to measure and distribute annually, net capital gains realized during the twelve-month period ending October 31. In connection with this requirement, the Fund is permitted, for tax purposes, to defer into its next fiscal year any net capital losses incurred from November 1 through the end of the fiscal year. Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. At August 31, 2019, the Fund did not defer on a tax basis, any post-October or late-year losses.
41
Infinity Q Diversified Alpha Fund
Notes to Consolidated Financial Statements
February 29, 2020 (Unaudited)
Note 8 – Underlying Investment in Other Investment Companies
The Fund currently invests a portion of its assets in Fidelity Institutional Money Market Portfolio - Class I (“Fidelity”). The performance of the Fund may be directly affected by the performance of Fidelity. Fidelity is registered under the 1940 Act as an open-ended management investment company. Fidelity invests in a diversified portfolio of high-quality, short-term debt securities, including securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. Fidelity also invests more than 25% of its total assets in the financial services industries. The financial statements of Fidelity, including the portfolio of investments, can be found at the Security and Exchange Commission’s website and should be read in conjunction with the Fund’s financial statements. As of February 29, 2020, approximately 40% of the Fund’s net assets were invested in Fidelity.
Note 9 – Subsequent Events
Effective March 31, 2020, Foreside Financial Group, LLC (“Foreside”) acquired Quasar Distributors, LLC (“Quasar”), the Fund’s distributor, from U.S. Bancorp. As a result of the acquisition, Quasar became a wholly-owned broker-dealer subsidiary of Foreside and is no longer affiliated with U.S. Bancorp. The Board of Trustees of the Fund has approved a new Distribution Agreement to enable Quasar to continue serving as the Fund’s distributor.
The recent global outbreak of COVID-19 has disrupted economic markets and the prolonged economic impact is uncertain. The operational and financial performance of the issuers of securities in which the Fund invests depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the value of the Fund's investments.
Note 10 – New Accounting Pronouncements
In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. The Fund has adopted certain portions of the disclosure changes, and management is currently evaluating the impact of the additional disclosure requirements on the Fund’s financial statements.
42
Infinity Q Diversified Alpha Fund
February 29, 2020 (Unaudited)
PROXY VOTING POLICIES AND PROCEDURES
You may obtain a description of the Fund’s proxy voting policy and voting records, without charge, upon request by contacting the Funds directly at 1-844-IQFUND1 or on the EDGAR Database on the SEC’s website at www.sec.gov. The Fund files its proxy voting records annually as of June 30, with the SEC on Form N-PX. The Fund’s Form N-PX is available without charge by visiting the SEC’s website at www.sec.gov.
QUARTERLY FORM N-Q PORTFOLIO SCHEDULE
The Fund files its complete portfolio schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q or Part F of Form N-PORT (beginning with filings after March 31,2020). The Fund’s Form N-Q or Part F of Form N-PORT are available on the SEC’s website at www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room. For information about the operation of the Public Reference Room, please call 1-800-SEC-0330.
QUALIFIED DIVIDEND INCOME/DIVIDENDS RECEIVED DEDUCTION
For the year ended August 31, 2019, certain dividends paid by the Fund may be reported as qualified dividend income (QDI) and are eligible for taxation at capital gains rates.
The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:
Infinity Q Diversified Alpha Fund 0.00%
For corporate shareholders, the percentage of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended August 31, 2019 was as follows:
Infinity Q Diversified Alpha Fund 0.00%
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The Fund collects non-public information about you from the following sources:
• | Information we receive about you on applications or other forms; |
• | Information you give us orally; and/or |
• | Information about your transactions with us or others. |
We do not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except as permitted by law or in response to inquiries from governmental authorities. We may share information with affiliated and unaffiliated third parties with whom we have contracts for servicing the Fund. We will provide unaffiliated third parties with only the information necessary to carry out their assigned responsibilities. We maintain physical, electronic and procedural safeguards to guard your non-public personal information and require third parties to treat your personal information with the same high degree of confidentiality.
In the event that you hold shares of the Fund through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared by those entities with unaffiliated third parties.
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Investment Adviser
Infinity Q Capital Management, LLC
888 7th Avenue, Suite 3700
New York, NY 10106
Distributor
Quasar Distributors, LLC
111 East Kilbourn Ave. Suite 1250
Milwaukee, Wisconsin 53202
Custodian
U.S. Bank National Association
Custody Operations
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212
Transfer Agent, Fund Accountant and Fund Administrator
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
Independent Registered Public Accounting Firm
EisnerAmper LLP
750 Third Avenue
New York, NY 10017
Legal Counsel
Morgan, Lewis & Bockius, LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable. |
(2) certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Trust for Advised Portfolios
By /s/ Christopher E. Kashmerick
Christopher E. Kashmerick, President
Date May 7, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /s/ Christopher E. Kashmerick
Christopher E. Kashmerick, President
Date May 7, 2020
By /s/ Russell B. Simon
Russell B. Simon, Treasurer
Date May 7, 2020