Washington, D.C. 20549
Joseph V. Amato
Arthur C. Delibert, Esq.
1601 K Street, N.W.
Washington, D.C. 20006-1600
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940, as amended (“Act”) (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Shareholders.
Following are copies of the semi-annual reports transmitted to shareholders pursuant to Rule 30e-1 under the Act.
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Class R6 Shares
Absolute Return Multi-Manager Fund
Semi-Annual Report
April 30, 2021
As permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund's annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund's website www.nb.com/fundliterature, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 800.877.9700 or by sending an e-mail request to fundinfo@nb.com.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.877.9700 or send an email request to fundinfo@nb.com to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
Contents
PRESIDENT'S LETTER | | | 1 | | |
PORTFOLIO COMMENTARY | | | 2 | | |
FUND EXPENSE INFORMATION | | | 6 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | | 8 | | |
CONSOLIDATED FINANCIAL STATEMENTS | | | 44 | | |
CONSOLIDATED FINANCIAL HIGHLIGHTS (ALL CLASSES) | | | 67 | | |
Directory | | | 71 | | |
Proxy Voting Policies and Procedures | | | 72 | | |
Quarterly Portfolio Schedule | | | 72 | | |
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC, an affiliate of Neuberger Berman BD LLC, distributor, member FINRA. ©2021 Neuberger Berman BD LLC, distributor. All rights reserved.
Dear Fellow Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Absolute Return Multi-Manager Fund covering the six-month period ended April 30, 2021 (the reporting period).
During the reporting period, the U.S. economy rebounded sharply from the pandemic-driven downturn. The development and rollout of several COVID-19 vaccines boosted investor sentiment in late 2020. In addition, U.S. fiscal and monetary policy remained highly accommodative. In terms of fiscal stimulus, the U.S. government introduced a number of programs in an attempt to revive the economy. As it relates to monetary policy, the U.S. Federal Reserve Board (Fed) maintained the federal funds rate in a range between 0.00% and 0.25% and continued its quantitative easing program. Despite concerns over inflation late in the period, the Fed repeatedly expressed the view that rising prices were transitory.
The global equity market generated strong results over the reporting period. U.S. equities initially benefited from a greater feeling of certainty following the U.S. Presidential election and continued to benefit from economic reopenings, accommodative fiscal and monetary policy, and improving corporate profits. All told, the S&P 500® Index returned 28.85% during the reporting period. Meanwhile, international developed and emerging market equities, as measured by the MSCI EAFE® (Net) and MSCI Emerging Markets (Net) Indices, returned 28.84% and 22.95%, respectively.
In contrast, the overall U.S. investment-grade fixed income market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned –1.52% over the reporting period. While U.S. short-term U.S. Treasury yields were essentially flat overall, longer-term rates rose sharply on optimism over fiscal stimulus and the pace of economic recovery. Meanwhile, credit spreads, which widened sharply at the onset of the pandemic, steadily tightened over the reporting period.
Looking ahead, we believe the increase in inoculation rates could significantly boost economic activity in the near term. We are positioning the Fund in anticipation of periods of increased market volatility and potentially higher interest rates. As always, we will actively manage the portfolio in order to meet the Fund's investment objective.
Neuberger Berman continues to monitor the ongoing developments related to COVID-19 with a particular focus on two areas: the safety and health of its employees and clients, and the ability to continue to conduct effectively its investment and business operations, including all critical services. Neuberger Berman has a dedicated Business Continuity Management team staffed with full-time professionals, who partner with over 60 Business Continuity Coordinators covering all business functions across all geographies. Neuberger Berman currently has not experienced a significant impact on its operating model and will continue to monitor the potential long-term implications on global economies. Neuberger Berman will remain flexible and look to adapt as necessary the firm's operations and processes to most effectively manage portfolios.
Thank you for your continued support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
JOSEPH V. AMATO
PRESIDENT AND CEO
NEUBERGER BERMAN ALTERNATIVE FUNDS
1
Absolute Return Multi-Manager Fund Commentary
Neuberger Berman Absolute Return Multi-Manager Fund Institutional Class generated a 7.40% total return for the six-month period ended April 30, 2021 (the reporting period), underperforming its primary benchmark, the HFRX Global Hedge Fund Index (the Index), which posted a 8.43% total return for the same period. (Performance for all share classes is provided in the table following this letter.)
Significant progress was made on the COVID-19 vaccine front and economic reopenings, while central banks maintained highly accommodative stances during the reporting period. The backdrop supported global equities, while U.S. fixed income sold off as 10-year U.S. Treasury yields moved higher. The U.S. dollar strengthened versus the euro and Japanese yen, but weakened versus the British pound. While gold and natural gas prices declined, crude oil prices rose sharply during the reporting period.
The Fund's gains came from all strategies and were led by long/short equity, followed by credit, merger arbitrage/event driven, and global macro/managed futures.
Within the long/short equity allocation, gains from longs outpaced gains from shorts and the strategies in aggregate generated positive returns from both long and shorts. From a sector perspective, the largest contributors were Consumer Discretionary and Financials, while losses came primarily from equity index hedges and Energy.
Gains within the credit allocation were driven primarily by the asset-backed securities (ABS) strategy. Here, gains were led by commercial mortgage-backed securities, followed by collateralized loan obligation debt and residential mortgage-backed securities.
Merger arbitrage/event driven strategies were the next largest contributor, as several mergers progressed and/or closed during the reporting period.
Within global macro/managed futures, gains from the managed futures strategy outpaced small losses from the systematic currency strategy. Positive performance in the managed futures strategy came from commodities, currencies and equities, which outweighed losses from interest rate positioning. Losses from the systematic currency strategy were driven by long U.S. dollar positioning versus a handful of currencies, including the Australian dollar, euro and Canadian dollar.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts detracted from performance during the reporting period.
While we believe equity markets can stand to benefit from fiscal stimulus and a continued push towards reopening the economy, there is the potential for volatility to persist, as investors weigh what we anticipate to be positive economic prospects against the risk of rising inflation and interest rates. Uncertainty around interest rates could drive volatility in the short term, in our view, while rising rates, inflation and taxes could serve as a headwind for equities over the medium term. Despite the U.S. Federal Reserve Board's current dovish tone, the market appears worried about a policy mistake and potential reduced accommodation overseas. We continue to position the Fund to benefit from elevated volatility, with additional upside potential in a rising rate environment. The Fund's largest strategy allocation is long/short equity. Assuming the global economy continues to reopen, we anticipate a high dispersion of winners and losers over the medium term for our subadvisers/managers to identify. The Fund's second largest allocation is to global macro/managed futures strategies. We believe market volatility has the potential to remain elevated and that factor has historically been beneficial for these strategies, while the potential for rising interest rates and further inflation could offer additional trends that can be captured with the right strategies. The third largest allocation is to merger arbitrage/event driven strategies. Merger activity has recovered strongly from levels early in the pandemic and spreads remain at moderate levels, with the potential to increase as yields increase. The fourth largest allocation is credit. We view ABS as a defensive allocation given the typically short duration of these instruments and the seniority that these securities often occupy within capital structures. We pared our exposure to ABS during the period.
Sincerely,
DAVID KUPPERMAN, JEFF MAJIT AND FRED INGHAM
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers and subadvisers. The opinions are as of the date of this report and are subject to change without notice.
2
Absolute Return Multi-Manager Fund
TICKER SYMBOLS
Institutional Class | | NABIX | |
Class A | | NABAX | |
Class C | | NABCX | |
Class R6 | | NRABX | |
PORTFOLIO BY SECURITY
(as a % of Total Net Assets)
| | Long | | Short | |
Asset-Backed Securities | | | 0.0 | % | | | — | % | |
Collateralized Mortgage
Obligations | | | 1.2 | | | | — | | |
Common Stocks | | | 54.8 | | | | (11.7 | ) | |
Convertible Preferred Stocks | | | 0.1 | | | | — | | |
Corporate Bonds | | | 0.0 | | | | — | | |
Loan Assignments | | | 0.1 | | | | — | | |
Preferred Stocks | | | 0.1 | | | | — | | |
Rights | | | 0.3 | | | | — | | |
Warrants | | | 0.2 | | | | — | | |
Short-Term Investments | | | 35.8 | | | | — | | |
Other Assets Less Liabilities | | | 19.1 | * | | | — | | |
Total | | | 111.7 | % | | | (11.7 | )% | |
* Includes the impact of the Fund's open positions in derivatives (other than options purchased), if any.
PERFORMANCE HIGHLIGHTS3
| | | | | | Average Annual Total Return
Ended 04/30/2021 | |
| | Inception
Date | | Six Month
Period Ended
04/30/2021 | | 1 Year | | 5 Years | | Life of
Fund | |
At NAV | | | | | | | | | |
| |
Institutional Class | | 05/15/2012 | | | 7.40 | % | | | 11.54 | % | | | 3.99 | % | | | 2.68 | % | |
Class A | | 05/15/2012 | | | 7.26 | % | | | 11.14 | % | | | 3.62 | % | | | 2.31 | % | |
Class C | | 05/15/2012 | | | 6.73 | % | | | 10.25 | % | | | 2.83 | % | | | 1.54 | % | |
| Class R63 | | 12/31/2013 | | | 7.41 | % | | | 11.64 | % | | | 4.04 | % | | | 2.72 | % | |
With Sales Charge | | | | | | | | | |
| |
Class A | | | | | 1.06 | % | | | 4.79 | % | | | 2.40 | % | | | 1.64 | % | |
Class C | | | | | 5.73 | % | | | 9.25 | % | | | 2.83 | % | | | 1.54 | % | |
Index | | | | | | | | | |
| |
HFRX Global Hedge
Fund Index1,2 | | | | | 8.43 | % | | | 14.74 | % | | | 4.20 | % | | | 2.56 | % | |
| S&P 500® Index1,2 | | | | | 28.85 | % | | | 45.98 | % | | | 17.42 | % | | | 15.87 | % | |
Bloomberg Barclays U.S. Aggregate
Bond Index1,2 | | | | | –1.52 | % | | | –0.27 | % | | | 3.19 | % | | | 2.90 | % | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class's returns. Please see Note B in the Consolidated Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2020 were 2.76%, 3.29%, 3.89% and 2.66% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 2.19%, 2.54%, 3.30% and 2.08% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2021, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
3
1 Please see "Glossary of Indices" on page 5 for a description of indices. Please note that individuals cannot invest directly in any index. The S&P 500® and the Bloomberg Barclays U.S. Aggregate Bond Indices do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track. The HFRX Global Hedge Fund Index does take into account fees and expenses, but not tax consequences, of investing since it is based on the underlying hedge funds' net returns. Data about the performance of an index are prepared or obtained by NBIA and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
2 The date used to calculate Life of Fund performance for the index is the inception date of the oldest share class.
3 The performance information for Class R6 prior to the class's inception date is that of the Institutional Class of Neuberger Berman Absolute Return Multi-Manager Fund. The performance information for the Institutional Class has not been adjusted to take into account differences in class specific operating expenses. The Institutional Class has higher expenses and typically lower returns than Class R6.
For more complete information on any of the Neuberger Berman Alternative and Multi-Asset Class Funds, call us at (800) 877-9700, or visit our website at www.nb.com.
4
Bloomberg Barclays U.S. Aggregate Bond Index: | | The index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable bond market and includes Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) (agency and nonagency). | |
HFRX Global Hedge Fund Index: | | The index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | |
| S&P 500® Index: | | The index is a float-adjusted market capitalization-weighted index that focuses on the large-cap segment of the U.S. equity market, and includes a significant portion of the total value of the market. | |
5
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2021 and held for the entire period. The table illustrates each Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. 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 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return 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 a Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as sales charges (loads) (if applicable). Therefore, the information under the heading "Hypothetical (5% annual 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 transaction costs were included, your costs would have been higher.
6
Expense Example (Unaudited)
Neuberger Berman Alternative Funds | |
| | | ACTUAL | | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | |
| | | Beginning
Account
Value
11/1/2020 | | Ending
Account
Value
4/30/2021 | | Expenses Paid
During the
Period
11/1/2020 -
4/30/2021(1)(3) | | Expense
Ratio | | Beginning
Account
Value
11/1/2020 | | Ending
Account
Value
4/30/2021 | | Expenses Paid
During the
Period
11/1/2020 -
4/30/2021(2)(3) | | Expense
Ratio | |
Absolute Return Multi-Manager Fund | |
Institutional Class | | $ | 1,000.00 | | | $ | 1,074.00 | | | $ | 11.16 | (3) | | | 2.17 | % | | $ | 1,000.00 | | | $ | 1,014.03 | | | $ | 10.84 | (3) | | | 2.17 | % | |
Class A | | $ | 1,000.00 | | | $ | 1,072.60 | | | $ | 13.05 | (3) | | | 2.54 | % | | $ | 1,000.00 | | | $ | 1,012.20 | | | $ | 12.67 | (3) | | | 2.54 | % | |
Class C | | $ | 1,000.00 | | | $ | 1,067.30 | | | $ | 16.81 | (3) | | | 3.28 | % | | $ | 1,000.00 | | | $ | 1,008.53 | | | $ | 16.33 | (3) | | | 3.28 | % | |
Class R6 | | $ | 1,000.00 | | | $ | 1,074.10 | | | $ | 10.70 | (3) | | | 2.08 | % | | $ | 1,000.00 | | | $ | 1,014.48 | | | $ | 10.39 | (3) | | | 2.08 | % | |
(1) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one -half year period shown), unless otherwise indicated.
(2) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
(3) Includes expenses of the Fund's subsidiary (See Note A of the Notes to Consolidated Financial Statements).
7
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) April 30, 2021
Investments | | Shares | |
Value | |
Long Positions 92.6% | |
Common Stocks 54.8% | |
Aerospace & Defense 1.4% | |
| Cubic Corp.(a) | | | 2,800 | | | $ | 209,552 | | |
| Kaman Corp.(a) | | | 7,269 | | | | 387,801 | | |
| PAE, Inc.*(a) | | | 48,856 | | | | 438,238 | | |
| | | | 1,035,591 | | |
| Airlines 0.0%(b) | |
American
Airlines
Group, Inc.*(a) | | | 623 | | | | 13,532 | | |
American Airlines
Group, Inc.
Escrow*(c) | | | 14,383 | | | | 575 | | |
| | | | 14,107 | | |
Auto Components 0.5% | |
Cooper Tire &
Rubber Co. | | | 5,700 | | | | 324,843 | | |
Garrett Motion,
Inc.
(Switzerland)* | | | 5,000 | | | | 27,550 | | |
| | | | 352,393 | | |
Automobiles 0.5% | |
General Motors
Co.*(a) | | | 6,098 | | | | 348,928 | | |
Banks 1.6% | |
Bank of America
Corp.(a) | | | 8,455 | | | | 342,681 | | |
Boston Private
Financial
Holdings, Inc. | | | 4,600 | | | | 67,712 | | |
CIT Group, Inc. | | | 1,000 | | | | 53,290 | | |
Hancock Whitney
Corp.(a) | | | 7,743 | | | | 358,036 | | |
Pacific Mercantile
Bancorp* | | | 1,000 | | | | 8,670 | | |
TCF Financial
Corp. | | | 600 | | | | 27,312 | | |
Webster Financial
Corp. | | | 7,011 | | | | 370,952 | | |
| | | | 1,228,653 | | |
Biotechnology 1.4% | |
Alexion
Pharmaceuticals,
Inc.*(a) | | | 4,941 | | | | 833,448 | | |
Grifols SA, ADR
(Spain) | | | 5,700 | | | | 100,605 | | |
Regeneron
Pharmaceuticals,
Inc.*(a) | | | 218 | | | | 104,923 | | |
| | | | 1,038,976 | | |
Capital Markets 2.4% | |
468SPAC I SE,
ClassA
(Germany)* | | | 12,986 | | | | 152,689 | | |
Investments | | Shares | |
Value | |
BGC Partners,
Inc., Class A | | | 36,178 | | | $ | 191,743 | | |
BlackRock, Inc. | | | 172 | | | | 140,920 | | |
Goldman Sachs
Group, Inc.
(The)(a) | | | 597 | | | | 208,025 | | |
Morgan
Stanley(a) | | | 4,184 | | | | 345,389 | | |
Pegasus
Acquisition Co.
Europe BV
(Netherlands)* | | | 8,130 | | | | 97,938 | | |
Pershing Square
Tontine
Holdings Ltd.,
Class A* | | | 5,304 | | | | 130,319 | | |
State Street
Corp.(a) | | | 7,070 | | | | 593,527 | | |
| | | 1,860,550 | | |
Chemicals 0.2% | |
Ferro Corp.* | | | 1,400 | | | | 23,324 | | |
W R Grace & Co. | | | 1,800 | | | | 123,714 | | |
| | | | 147,038 | | |
Commercial Services & Supplies 0.6% | |
Clean Harbors,
Inc.*(a) | | | 5,498 | | | | 489,102 | | |
| Communications Equipment 0.0%(b) | |
4L Holdings
Corp.*(c) | | | 3,790 | | | | 1,895 | | |
Construction & Engineering 1.4% | |
Aegion Corp.* | | | 4,100 | | | | 123,410 | | |
Quanta
Services, Inc.(a) | | | 3,356 | | | | 324,324 | | |
Valmont
Industries, Inc. | | | 2,507 | | | | 618,853 | | |
| | | | 1,066,587 | | |
Construction Materials 0.4% | |
Eagle Materials,
Inc.*(a) | | | 1,933 | | | | 267,025 | | |
Forterra, Inc.* | | | 1,700 | | | | 39,882 | | |
| | | | 306,907 | | |
Distributors 0.8% | |
| LKQ Corp.*(a) | | | 12,407 | | | | 579,531 | | |
Diversified Consumer Services 0.6% | |
| Regis Corp.*(a) | | | 37,502 | | | | 485,276 | | |
Diversified Financial Services 0.4% | |
Equitable
Holdings,
Inc.(a) | | | 8,768 | | | | 300,129 | | |
Marlin Business
Services Corp. | | | 1,000 | | | | 22,550 | | |
| | | | 322,679 | | |
Investments | | Shares | |
Value | |
Diversified Telecommunication Services 0.3% | |
Cincinnati Bell,
Inc.*(a) | | | 13,200 | | | $ | 203,676 | | |
ORBCOMM, Inc.* | | | 5,700 | | | | 65,322 | | |
| | | | 268,998 | | |
Electric Utilities 1.1% | |
PG&E Corp.* | | | 14,017 | | | | 158,672 | | |
PNM Resources,
Inc.(a) | | | 13,500 | | | | 666,360 | | |
| | | | 825,032 | | |
Electrical Equipment 0.7% | |
Acuity Brands, Inc. | | | 199 | | | | 36,918 | | |
| Sunrun, Inc.*(a) | | | 10,017 | | | | 490,833 | | |
| | | | 527,751 | | |
Electronic Equipment, Instruments & Components 0.7% | |
Coherent, Inc.* | | | 1,000 | | | | 259,990 | | |
FLIR Systems,
Inc.(a) | | | 4,800 | | | | 287,856 | | |
Hollysys
Automation
Technologies
Ltd. (China) | | | 500 | | | | 6,780 | | |
| | | | 554,626 | | |
Entertainment 0.2% | |
Walt Disney
Co. (The)*(a) | | | 785 | | | | 146,026 | | |
| Equity Real Estate Investment Trusts (REITs) 0.0%(b) | |
Monmouth Real
Estate
Investment
Corp. | | | 1,600 | | | | 29,568 | | |
Food & Staples Retailing 0.2% | |
Cia Brasileira de
Distribuicao,
ADR (Brazil) | | | 1,183 | | | | 8,778 | | |
Magnit PJSC,
GDR (Russia)(d) | | | 1,164 | | | | 16,395 | | |
Sendas
Distribuidora
SA, ADR (Brazil) | | | 1,183 | | | | 17,426 | | |
Wal-Mart de
Mexico SAB de
CV (Mexico) | | | 13,629 | | | | 44,614 | | |
X5 Retail Group
NV, GDR
(Russia)(d) | | | 2,985 | | | | 91,639 | | |
| | | | 178,852 | | |
Food Products 0.5% | |
Nestle SA
(Registered)
(Switzerland)(a) | | | 3,360 | | | | 400,588 | | |
See Notes to Consolidated Financial Statements
8
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | | Shares | |
Value | |
Health Care Equipment & Supplies 1.4% | |
Cantel Medical
Corp.* | | | 2,500 | | | $ | 219,775 | | |
Envista Holdings
Corp.*(a) | | | 14,616 | | | | 632,581 | | |
Wright Medical
Group Escrow*(c)(e) | | | 400 | | | | — | | |
Surgalign
Holdings,
Inc.*(a) | | | 7,400 | | | | 13,394 | | |
Zimmer Biomet
Holdings, Inc. | | | 1,357 | | | | 240,406 | | |
| | | | 1,106,156 | | |
Health Care Providers & Services 0.7% | |
Anthem, Inc. | | | 519 | | | | 196,903 | | |
Cigna Corp. | | | 678 | | | | 168,829 | | |
Magellan
Health, Inc.*(a) | | | 1,700 | | | | 160,140 | | |
Shanghai
Pharmaceuticals
Holding Co. Ltd.,
Class H (China) | | | 9,303 | | | | 21,174 | | |
Sinopharm
Group Co. Ltd.,
Class H (China) | | | 5,222 | | | | 16,202 | | |
| | | | 563,248 | | |
Health Care Technology 0.2% | |
Change
Healthcare, Inc.* | | | 8,000 | | | | 183,600 | | |
Hotels, Restaurants & Leisure 3.2% | |
BJ's Restaurants,
Inc.*(a) | | | 7,945 | | | | 484,566 | | |
Booking
Holdings,
Inc.*(a) | | | 306 | | | | 754,620 | | |
Expedia Group,
Inc.*(a) | | | 1,750 | | | | 308,402 | | |
Extended Stay
America, Inc. | | | 4,000 | | | | 79,560 | | |
Great Canadian
Gaming Corp.
(Canada)*(a) | | | 10,000 | | | | 360,818 | | |
Marriott
Vacations
Worldwide
Corp.*(a) | | | 1,609 | | | | 285,807 | | |
Penn National
Gaming, Inc.* | | | 2,348 | | | | 209,254 | | |
| | | | 2,483,027 | | |
Household Durables 0.9% | |
Lennar Corp.,
Class B(a) | | | 2,487 | | | | 200,378 | | |
Skyline Champion
Corp.*(a) | | | 10,212 | | | | 453,719 | | |
| | | | 654,097 | | |
Investments | | Shares | |
Value | |
Independent Power and Renewable Electricity Producers 0.2% | |
Atlantic Power
Corp.* | | | 9,300 | | | $ | 28,179 | | |
Sunnova Energy
International,
Inc.* | | | 3,716 | | | | 131,249 | | |
| | | | 159,428 | | |
| Industrial Conglomerates 0.0%(b) | |
Smiths Group plc
(United Kingdom) | | | 1,394 | | | | 31,294 | | |
Insurance 3.5% | |
AIA Group Ltd.
(Hong Kong) | | | 21,655 | | | | 275,714 | | |
Aon plc, Class A | | | 825 | | | | 207,438 | | |
Assurant, Inc. | | | 1,816 | | | | 282,570 | | |
Athene Holding
Ltd., Class A* | | | 800 | | | | 47,736 | | |
Chubb Ltd. | | | 911 | | | | 156,318 | | |
Hartford
Financial
Services Group,
Inc. (The) | | | 200 | | | | 13,192 | | |
Lincoln National
Corp.(a) | | | 4,698 | | | | 301,283 | | |
ProSight Global,
Inc.* | | | 3,500 | | | | 44,520 | | |
Protective
Insurance Corp.,
Class B | | | 2,300 | | | | 52,900 | | |
Stewart
Information
Services Corp. | | | 4,350 | | | | 255,128 | | |
Syncora
Holdings Ltd.* | | | 25,103 | | | | 6,780 | | |
Watford
Holdings Ltd.
(Bermuda)* | | | 4,210 | | | | 146,761 | | |
Willis Towers
Watson plc | | | 3,300 | | | | 854,238 | | |
| | | 2,644,578 | | |
Interactive Media & Services 2.5% | |
| Actua Corp.*(c)(e) | | | 6,700 | | | | 335 | | |
Alphabet, Inc.,
Class A* | | | 216 | | | | 508,356 | | |
Baidu, Inc., ADR
(China)* | | | 221 | | | | 46,483 | | |
Baidu, Inc.,
Class A
(China)* | | | 310 | | | | 8,213 | | |
Facebook, Inc.,
Class A*(a) | | | 1,848 | | | | 600,748 | | |
Mail.Ru Group
Ltd., GDR
(Russia)*(d) | | | 928 | | | | 20,695 | | |
Sogou, Inc.,
ADR (China)* | | | 6,100 | | | | 51,545 | | |
Sohu.com Ltd.,
ADR (China)* | | | 3,400 | | | | 64,158 | | |
Investments | | Shares | |
Value | |
Tencent
Holdings Ltd.
(China) | | | 4,622 | | | $ | 370,700 | | |
Yandex NV,
Class A (Russia)* | | | 971 | | | | 63,649 | | |
Zillow Group,
Inc., Class C* | | | 1,128 | | | | 146,775 | | |
| | | | 1,881,657 | | |
Internet & Direct Marketing Retail 3.8% | |
Alibaba Group
Holding Ltd.,
ADR (China)* | | | 2,879 | | | | 664,905 | | |
Altaba, Inc.
Escrow*(c) | | | 64,106 | | | | 932,742 | | |
| Amazon.com, Inc.*(a) | | | 97 | | | | 336,340 | | |
ASOS plc
(United
Kingdom)*(a) | | | 333 | | | | 24,006 | | |
Deliveroo plc
(United
Kingdom)*(d) | | | 11,689 | | | | 43,263 | | |
| eBay, Inc.(a) | | | 1,517 | | | | 84,633 | | |
| Grubhub, Inc.*(a) | | | 3,798 | | | | 258,416 | | |
Leaf Group Ltd.* | | | 500 | | | | 4,430 | | |
MercadoLibre,
Inc. (Argentina)*(a) | | | 167 | | | | 262,354 | | |
Overstock.com,
Inc.*(a) | | | 3,369 | | | | 274,574 | | |
| | | | 2,885,663 | | |
IT Services 2.4% | |
Cardtronics plc,
Class A* | | | 2,400 | | | | 93,216 | | |
Fidelity National
Information
Services, Inc. | | | 1,561 | | | | 238,677 | | |
Paya Holdings,
Inc., Class A*(a) | | | 29,734 | | | | 331,831 | | |
PayPal Holdings,
Inc.*(a) | | | 1,517 | | | | 397,894 | | |
| Perspecta, Inc.(a) | | | 12,600 | | | | 368,802 | | |
Repay Holdings
Corp.* | | | 5,668 | | | | 129,514 | | |
Visa, Inc., Class A | | | 1,304 | | | | 304,562 | | |
| | | 1,864,496 | | |
Leisure Products 0.8% | |
Hayward
Holdings, Inc.* | | | 29,119 | | | | 581,798 | | |
Life Sciences Tools & Services 1.5% | |
Eurofins Scientific
SE (Luxembourg) | | | 1,400 | | | | 138,607 | | |
Gerresheimer AG
(Germany) | | | 350 | | | | 37,640 | | |
Luminex Corp. | | | 9,600 | | | | 352,224 | | |
PPD, Inc.* | | | 3,200 | | | | 147,840 | | |
PRA Health
Sciences, Inc.*(a) | | | 2,100 | | | | 350,469 | | |
Thermo Fisher
Scientific, Inc. | | | 271 | | | | 127,432 | | |
| | | | 1,154,212 | | |
See Notes to Consolidated Financial Statements
9
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | | Shares | |
Value | |
Machinery 0.5% | |
Navistar
International
Corp.*(a) | | | 7,400 | | | $ | 327,450 | | |
Rexnord Corp. | | | 400 | | | | 19,972 | | |
Welbilt, Inc.* | | | 1,400 | | | | 31,276 | | |
| | | | 378,698 | | |
Marine 0.7% | |
| Kirby Corp.*(a) | | | 8,117 | | | | 517,053 | | |
Media 0.8% | |
Deluxe Television
GmbH
(Germany)*(c) | | | 16,063 | | | | 2,811 | | |
Discovery, Inc.,
Class C*(a) | | | 3,500 | | | | 113,085 | | |
Loral Space &
Communications,
Inc.(a) | | | 1,485 | | | | 59,593 | | |
Shaw
Communications,
Inc., Class B
(Canada) | | | 11,200 | | | | 324,387 | | |
Stroeer SE & Co.
KGaA
(Germany) | | | 724 | | | | 61,757 | | |
Tribune Co.
Litigation,
Class 1C*(c)(e) | | | 302,443 | | | | — | | |
Tribune
Publishing Co.* | | | 1,300 | | | | 22,672 | | |
| | | | 584,305 | | |
Metals & Mining 0.1% | |
Artemis Gold, Inc.
(Canada)* | | | 605 | | | | 2,860 | | |
Battle North Gold
Corp. (Canada)* | | | 10,000 | | | | 21,316 | | |
GT Gold Corp.
(Canada)* | | | 26,200 | | | | 69,062 | | |
Nickel 28 Capital
Corp. (Canada)* | | | 11,300 | | | | 6,435 | | |
| | | | 99,673 | | |
| Multiline Retail 0.0%(b) | |
Fix Price Group
Ltd., GDR
(Russia)*(d) | | | 144 | | | | 1,347 | | |
Oil, Gas & Consumable Fuels 0.1% | |
Falcon Minerals
Corp.(a) | | | 3,400 | | | | 15,096 | | |
Inter Pipeline Ltd.
(Canada) | | | 2,900 | | | | 42,279 | | |
Southcross Energy
Partners LP*(c) | | | 49,093 | | | | 393 | | |
| | | | 57,768 | | |
Paper & Forest Products 0.3% | |
Clearwater Paper
Corp.*(a) | | | 6,122 | | | | 204,842 | | |
Investments | | Shares | |
Value | |
Personal Products 0.5% | |
Estee Lauder
Cos., Inc. (The),
Class A | | | 544 | | | $ | 170,707 | | |
Unilever plc
(United
Kingdom) | | | 4,085 | | | | 238,586 | | |
| | | | 409,293 | | |
Pharmaceuticals 1.4% | |
Aralez
Pharmaceuticals,
Inc. (Canada)*(c) | | | 345 | | | | — | | |
Dr Reddy's
Laboratories Ltd.,
ADR (India) | | | 899 | | | | 62,049 | | |
GW
Pharmaceuticals
plc, ADR (United
Kingdom)* | | | 2,200 | | | | 481,800 | | |
Hikma
Pharmaceuticals
plc (Jordan) | | | 2,266 | | | | 76,359 | | |
Johnson &
Johnson(a) | | | 167 | | | | 27,176 | | |
Roche Holding
AG
(Switzerland)(a) | | | 1,237 | | | | 403,100 | | |
Teva
Pharmaceutical
Industries Ltd.,
ADR (Israel)*(a) | | | 513 | | | | 5,489 | | |
| | | | 1,055,973 | | |
Professional Services 1.5% | |
| CoreLogic, Inc.(a) | | | 4,300 | | | | 342,710 | | |
IHS Markit Ltd. | | | 2,800 | | | | 301,224 | | |
Intertrust NV
(Netherlands)*(d) | | | 20,181 | | | | 373,644 | | |
SGS SA
(Registered)
(Switzerland) | | | 43 | | | | 127,129 | | |
| | | | 1,144,707 | | |
Road & Rail 0.8% | |
Kansas City
Southern | | | 1,300 | | | | 379,873 | | |
Lyft, Inc.,
Class A*(a) | | | 3,597 | | | | 200,209 | | |
| | | | 580,082 | | |
Semiconductors & Semiconductor Equipment 1.8% | |
Enphase Energy,
Inc.* | | | 1,065 | | | | 148,301 | | |
Magnachip
Semiconductor
Corp.
(South Korea)* | | | 2,900 | | | | 72,529 | | |
Maxim
Integrated
Products, Inc.(a) | | | 4,700 | | | | 441,800 | | |
Investments | | Shares | |
Value | |
QUALCOMM,
Inc.(a) | | | 1,531 | | | $ | 212,503 | | |
SunEdison,
Inc.*(c)(e) | | | 16,689 | | | | — | | |
Xilinx, Inc. | | | 3,900 | | | | 499,044 | | |
| | | | 1,374,177 | | |
Software 4.3% | |
Jamf Holding
Corp.*(a) | | | 4,205 | | | | 153,566 | | |
Microsoft
Corp.(a) | | | 760 | | | | 191,657 | | |
Nuance
Communications,
Inc.* | | | 7,800 | | | | 414,726 | | |
Proofpoint, Inc.* | | | 1,600 | | | | 275,376 | | |
SAP SE
(Germany)(a) | | | 1,540 | | | | 216,177 | | |
Slack
Technologies,
Inc., Class A*(a) | | | 19,700 | | | | 835,280 | | |
Talend SA, ADR* | | | 5,800 | | | | 373,578 | | |
Tenable Holdings,
Inc.* | | | 16,054 | | | | 601,945 | | |
UiPath, Inc.,
Class A* | | | 3,473 | | | | 250,056 | | |
| | | | 3,312,361 | | |
Specialty Retail 0.8% | |
Bed Bath &
Beyond, Inc.*(a) | | | 4,321 | | | | 109,408 | | |
Frasers Group plc
(United
Kingdom)* | | | 9,144 | | | | 65,099 | | |
Sportsman's
Warehouse
Holdings, Inc.* | | | 9,400 | | | | 165,064 | | |
| Toys R Us, Inc.*(c) | | | 1,040 | | | | 24,960 | | |
Ulta Beauty, Inc.* | | | 692 | | | | 227,910 | | |
| | | | 592,441 | | |
Technology Hardware, Storage & Peripherals 1.2% | |
| Apple, Inc.(a) | | | 4,603 | | | | 605,110 | | |
Dell Technologies,
Inc., Class C*(a) | | | 1,300 | | | | 127,829 | | |
Samsung
Electronics Co.
Ltd., GDR (South
Korea)(a)(d) | | | 107 | | | | 194,847 | | |
| | | | 927,786 | | |
Textiles, Apparel & Luxury Goods 2.2% | |
adidas AG
(Germany)*(a) | | | 962 | | | | 297,063 | | |
Capri Holdings
Ltd.* | | | 1,321 | | | | 72,761 | | |
G-III Apparel
Group Ltd.*(a) | | | 21,385 | | | | 694,799 | | |
Steven Madden
Ltd.(a) | | | 12,102 | | | | 492,188 | | |
Tapestry, Inc.* | | | 2,172 | | | | 103,930 | | |
| | | | 1,660,741 | | |
See Notes to Consolidated Financial Statements
10
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | | Shares | |
Value | |
Trading Companies & Distributors 0.4% | |
Brenntag SE
(Germany) | | | 1,902 | | | $ | 170,769 | | |
Fly Leasing Ltd.,
ADR (India)* | | | 3,300 | | | | 55,836 | | |
General Finance
Corp.* | | | 500 | | | | 9,490 | | |
IMCD NV
(Netherlands) | | | 234 | | | | 34,027 | | |
| | | | 270,122 | | |
Transportation Infrastructure 0.1% | |
Macquarie
Infrastructure
Corp.(a) | | | 2,700 | | | | 89,937 | | |
Wireless Telecommunication Services 0.3% | |
Boingo Wireless,
Inc.* | | | 3,300 | | | | 46,068 | | |
T-Mobile US, Inc.* | | | 1,355 | | | | 179,036 | | |
| | | | 225,104 | | |
Total Common Stocks
(Cost $35,597,756) | |
| | | 41,889,318 | | |
| | | Principal
Amount | | | |
Collateralized Mortgage Obligations 1.2% | |
Alternative Loan
Trust, Series
2005-21CB,
Class A17,6.00%,
6/25/2035 | | $ | 610,462 | | | | 606,982 | | |
MASTR
Alternative
Loan Trust,
Series 2004-10,
Class 4A1,6.00%,
9/25/2034 | | | 20,033 | | | | 20,438 | | |
WaMu Mortgage
Pass-Through
Certificates
Trust,
Series 2004-S1,
Class 1A11,5.50%,
3/25/2034 | | | 48,169 | | | | 49,077 | | |
Washington
Mutual
Mortgage
Pass-Through
Certificates
WMALT Trust,
Series 2005-1,
Class 1A1,5.50%,
3/25/2035 | | | 230,875 | | | | 231,024 | | |
Total Collateralized
Mortgage Obligations
(Cost $908,081) | | | | | 907,521 | | |
Investments | | No. of
Rights | |
Value | |
Rights 0.3% | |
Biotechnology 0.2% | |
Achillion
Pharmaceuticals,
Inc., CVR*(c) | | | 23,300 | | | $ | 11,650 | | |
Alder
Biopharmaceuticals,
Inc., CVR*(c) | | | 35,400 | | | | 35,400 | | |
Ambit Biosciences
Corp., CVR*(c)(e) | | | 70,000 | | | | 118,300 | | |
Clementia
Pharmaceuticals,
Inc., CVR
(France)*(c)(e) | | | 3,200 | | | | — | | |
Phenomix Corp.,
CVR*(a)(c)(e) | | | 13,900 | | | | 10,425 | | |
Stemline
Therapeutics,
Inc., CVR*(c)(e) | | | 11,800 | | | | — | | |
Tobira
Therapeutics,
Inc., CVR*(c)(e) | | | 6,900 | | | | — | | |
| | | | 175,775 | | |
Media 0.0% | |
Media General,
Inc., CVR*(c)(e) | | | 76,116 | | | | — | | |
Metals & Mining 0.1% | |
Pan American
Silver Corp., CVR
(Canada)* | | | 39,600 | | | | 34,848 | | |
| Pharmaceuticals 0.0%(b) | |
Dova
Pharmaceuticals,
Inc., CVR
(Sweden)*(c) | | | 8,800 | | | | 1,100 | | |
Elanco Animal
Health, Inc.,
CVR*(c) | | | 15,100 | | | | 151 | | |
Omthera
Pharmaceuticals,
Inc., CVR (United
Kingdom)*(c)(e) | | | 100 | | | | — | | |
| | | | 1,251 | | |
Total Rights
(Cost $55,695) | | | | | 211,874 | | |
| | | No. of
Warrants | | | |
Warrants 0.2% | |
| Capital Markets 0.0%(b) | |
468 SPAC I SE,
Class A, expiring
4/30/2026
(Germany)* | | | 4,329 | | | | 3,903 | | |
Investments | | No. of
Warrants | | Value | |
FinTech
Acquisition Corp.
III, expiring
12/1/2023*(e) | | | 1,770 | | | $ | 9,576 | | |
Pershing Square
Tontine Holdings
Ltd., expiring
7/24/2025* | | | 750 | | | | 6,300 | | |
| | | | 19,779 | | |
Oil, Gas & Consumable Fuels 0.2% | |
Southcross Energy
Partners LP,
expiring
12/31/2029*(c) | | | 303,095 | | | | 142,455 | | |
Total Warrants
(Cost $153,278) | | | | | 162,234 | | |
| | | Principal
Amount | | | |
Convertible Preferred Stocks 0.1% | |
Diversified Telecommunication Services 0.1% | |
Cincinnati
Bell, Inc.,
Series B, 6.75%,
6/14/2021(f)
(Cost $86,717) | | $ | 1,900 | | | | 95,108 | | |
| | | Shares | | | |
Preferred Stocks 0.1% | |
Media 0.1% | |
Liberty
Broadband
Corp., Series A,
7.00%,
3/10/2039(f)
(Cost $35,613) | | | 1,860 | | | | 49,755 | | |
| | | Principal
Amount | | | |
Loan Assignments 0.1% | |
| Media 0.0%(b) | |
Deluxe
Entertainment
Services Group,
Inc., 1st Lien
Term Loan,
(ICE LIBOR USD
3 Month +
5.00%), 6.00%,
3/25/2024(c)(e)(g) | | $ | 18,762 | | | | 7,461 | | |
See Notes to Consolidated Financial Statements
11
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | | Principal
Amount | | Value | |
Deluxe
Entertainment
Services Group,
Inc., 2nd Lien
Term Loan,
(ICE LIBOR USD
3 Month +
6.00%), 7.00%,
9/25/2024(c)(e)(g) | | $ | 144,126 | | | $ | — | | |
| | | | 7,461 | | |
Oil, Gas & Consumable Fuels 0.1% | |
Lealand Finance
Co. BV, Term
Loan,
(ICE LIBOR USD
1 Month +
3.00%), 3.11%,
6/28/2024(c)(g) | | | 29,012 | | | | 22,920 | | |
Total Loan
Assignments
(Cost $30,933) | | | | | 30,381 | | |
| Asset-Backed Securities 0.0%(b) | |
JP Morgan
Mortgage
Acquisition Trust,
Series 2007-CH1,
Class AF6,
4.81%,
11/25/2036(h)
(Cost $20,724) | | | 20,632 | | | | 21,182 | | |
Corporate Bonds 0.0% | |
Independent Power and Renewable Electricity Producers 0.0% | |
GenOn Energy,
Inc. Escrow,
9.50%,
10/15/2018(c)(e)(i) | | | 354,000 | | | | — | | |
| 10/15/2020(c)(e)(i) 9.88% | | | 1,655,000 | | | | — | | |
Total Corporate Bonds
(Cost $—) | | | | | — | | |
| | | Shares | | | |
Short-Term Investments 35.8% | |
Investment Companies 35.8% | |
Morgan Stanley
Institutional
Liquidity Funds
Treasury
Portfolio
Institutional
Class, 0.01%(a)(j)
(Cost $27,374,681) | | | 27,374,681 | | | | 27,374,681 | | |
Total Long Positions
(Cost $64,263,478) | |
| | | 70,742,054 | | |
Investments | | Shares | |
Value | |
| Short Positions (11.7)%(k) | |
Common Stocks (11.7)% | |
Aerospace & Defense (0.2)% | |
Teledyne
Technologies,
Inc.* | | | (323 | ) | | $ | (144,623 | ) | |
Auto Components (0.1)% | |
Goodyear Tire &
Rubber Co.
(The)* | | | (5,181 | ) | | | (89,165 | ) | |
Banks (0.8)% | |
Banc of
California, Inc. | | | (501 | ) | | | (8,968 | ) | |
Bank of Montreal
(Canada) | | | (1,220 | ) | | | (115,146 | ) | |
Canadian Imperial
Bank of
Commerce
(Canada) | | | (1,065 | ) | | | (110,715 | ) | |
First Citizens
BancShares, Inc.,
Class A | | | (62 | ) | | | (53,783 | ) | |
Huntington
Bancshares, Inc. | | | (1,802 | ) | | | (27,607 | ) | |
National Bank of
Canada (Canada) | | | (1,599 | ) | | | (116,248 | ) | |
Royal Bank of
Canada (Canada) | | | (1,103 | ) | | | (105,270 | ) | |
SVB Financial
Group* | | | (59 | ) | | | (33,738 | ) | |
| | | | (571,475 | ) | |
Capital Markets (0.5)% | |
Apollo Global
Management,
Inc. | | | (836 | ) | | | (46,289 | ) | |
S&P Global, Inc. | | | (791 | ) | | | (308,799 | ) | |
| | | | (355,088 | ) | |
Chemicals (0.3)% | |
International
Flavors &
Fragrances, Inc. | | | (1,450 | ) | | | (206,146 | ) | |
Consumer Finance (0.8)% | |
Credit
Acceptance
Corp.* | | | (810 | ) | | | (319,780 | ) | |
LendingTree, Inc.* | | | (586 | ) | | | (121,003 | ) | |
World
Acceptance
Corp.* | | | (1,368 | ) | | | (178,852 | ) | |
| | | | (619,635 | ) | |
Diversified Consumer Services (0.9)% | |
Adtalem Global
Education, Inc.* | | | (5,503 | ) | | | (188,808 | ) | |
Investments | | Shares | |
Value | |
Perdoceo
Education
Corp.* | | | (17,722 | ) | | $ | (206,639 | ) | |
Strategic
Education, Inc. | | | (3,358 | ) | | | (252,051 | ) | |
| | | | (647,498 | ) | |
Electrical Equipment (0.3)% | |
Acuity Brands,
Inc. | | | (955 | ) | | | (177,172 | ) | |
Regal Beloit Corp. | | | (85 | ) | | | (12,276 | ) | |
| | | | (189,448 | ) | |
Electronic Equipment, Instruments & Components (0.1)% | |
II-VI, Inc.* | | | (646 | ) | | | (43,372 | ) | |
Equity Real Estate Investment Trusts (REITs) (0.5)% | |
AvalonBay
Communities,
Inc. | | | (603 | ) | | | (115,776 | ) | |
Equity Residential | | | (1,749 | ) | | | (129,828 | ) | |
SL Green Realty
Corp. | | | (2,069 | ) | | | (153,127 | ) | |
| | | | (398,731 | ) | |
Food Products (0.5)% | |
Campbell Soup
Co. | | | (3,383 | ) | | | (161,538 | ) | |
J M Smucker Co.
(The) | | | (1,459 | ) | | | (191,115 | ) | |
| | | | (352,653 | ) | |
Health Care Equipment & Supplies (0.2)% | |
STERIS plc | | | (844 | ) | | | (178,101 | ) | |
Household Durables (0.3)% | |
Lennar Corp.,
Class A | | | (1,948 | ) | | | (201,813 | ) | |
Household Products (0.6)% | |
Church & Dwight
Co., Inc. | | | (1,885 | ) | | | (161,620 | ) | |
Clorox Co. (The) | | | (913 | ) | | | (166,622 | ) | |
Colgate-Palmolive
Co. | | | (1,865 | ) | | | (150,506 | ) | |
| | | | (478,748 | ) | |
Industrial Conglomerates (0.3)% | |
3M Co. | | | (1,251 | ) | | | (246,622 | ) | |
Insurance (1.3)% | |
Aon plc, Class A | | | (3,564 | ) | | | (896,132 | ) | |
Trupanion, Inc.* | | | (1,518 | ) | | | (123,110 | ) | |
| | | | (1,019,242 | ) | |
IT Services (0.2)% | |
Western Union
Co. (The) | | | (5,257 | ) | | | (135,420 | ) | |
See Notes to Consolidated Financial Statements
12
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | | Shares | |
Value | |
Life Sciences Tools & Services (0.2)% | |
ICON plc
(Ireland)* | | | (867 | ) | | $ | (188,096 | ) | |
| Machinery (0.0)%(b) | |
Middleby Corp.
(The)* | | | (136 | ) | | | (24,660 | ) | |
Media (0.4)% | |
Discovery, Inc.,
Class A* | | | (2,397 | ) | | | (90,271 | ) | |
Fox Corp.,
Class A | | | (3,163 | ) | | | (118,359 | ) | |
Omnicom Group,
Inc. | | | (1,491 | ) | | | (122,650 | ) | |
| | | | (331,280 | ) | |
Oil, Gas & Consumable Fuels (0.1)% | |
Exxon Mobil
Corp. | | | (1,548 | ) | | | (88,608 | ) | |
Investments | | Shares | |
Value | |
Pharmaceuticals (0.8)% | |
AstraZeneca plc,
ADR (United
Kingdom) | | | (11,421 | ) | | $ | (606,113 | ) | |
Jazz
Pharmaceuticals
plc* | | | (191 | ) | | | (31,400 | ) | |
| | | | (637,513 | ) | |
Road & Rail (0.2)% | |
Canadian Pacific
Railway Ltd.
(Canada) | | | (424 | ) | | | (158,207 | ) | |
Semiconductors & Semiconductor Equipment (1.4)% | |
Advanced Micro
Devices, Inc.* | | | (7,202 | ) | | | (587,827 | ) | |
Analog Devices,
Inc. | | | (2,961 | ) | | | (453,507 | ) | |
| | | | (1,041,334 | ) | |
Investments | | Shares | |
Value | |
Software (0.7)% | |
Fair Isaac Corp.* | | | (282 | ) | | $ | (147,038 | ) | |
salesforce.com,
Inc.* | | | (1,450 | ) | | | (333,964 | ) | |
VMware, Inc.,
Class A* | | | (474 | ) | | | (76,233 | ) | |
| | | | (557,235 | ) | |
Total Common Stocks
(Proceeds $(8,044,187)) | | | | | (8,904,713 | ) | |
Total Short Positions
(Proceeds $(8,044,187)) | | | | | (8,904,713 | ) | |
Total Investments 80.9%
(Cost $56,219,291) | |
| | | 61,837,341 | | |
Other Assets Less
Liabilities 19.1%(l) | |
| | | 14,563,368 | | |
Net Assets 100.0% | |
| | $ | 76,400,709 | | |
All bonds are denominated in US dollars, unless noted otherwise.
* Non-income producing security.
(a) All or a portion of this security is segregated in connection with obligations for futures, swaps, and/or forward foreign currency contracts with a total value of $39,508,287.
(b) Represents less than 0.05% of net assets of the Fund.
(c) Value determined using significant unobservable inputs.
(d) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. At April 30, 2021, the total value of these securities amounted to $741,830, which represents 1.0% of net assets of the Fund.
(e) Security fair valued as of April 30, 2021, in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2021, amounted to $146,097, which represents 0.2% of net assets of the Fund.
(f) Perpetual security. The rate reflected was the rate in effect on April 30, 2021. The maturity date reflects the next call date.
(g) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2021, and changes periodically.
(h) Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of April 30, 2021.
(i) Defaulted security.
(j) Represents 7-day effective yield as of April 30, 2021.
See Notes to Consolidated Financial Statements
13
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
(k) At April 30, 2021, the Fund had $9,285,481 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(l) Includes the impact of the Fund's open positions in derivatives at April 30, 2021.
Abbreviations
ADR American Depositary Receipt
CVR Contingent Value Rights
GDR Global Depositary Receipt
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
PJSC Public Joint Stock Company
SA Société Anonyme
SPAC Special Purpose Acquisition Company
USD United States Dollar
Derivative Instruments
Futures contracts ("futures")
At April 30, 2021, open positions in futures for the Fund were as follows:
Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
Long Contracts | |
Brent Crude Oil | | | 3 | | | 5/2021 | | $ | 200,280 | | | $ | 5,876 | | |
Hang Seng Index | | | 2 | | | 5/2021 | | | 367,288 | | | | (3,813 | ) | |
Low Sulphur Gasoil | | | 5 | | | 5/2021 | | | 266,875 | | | | 10,519 | | |
MSCI Singapore Index | | | 2 | | | 5/2021 | | | 54,368 | | | | 253 | | |
Natural Gas | | | 2 | | | 5/2021 | | | 58,620 | | | | 396 | | |
NY Harbor ULSD | | | 4 | | | 5/2021 | | | 322,963 | | | | 4,583 | | |
OMXS30 Index | | | 3 | | | 5/2021 | | | 78,636 | | | | (55 | ) | |
RBOB Gasoline | | | 4 | | | 5/2021 | | | 348,818 | | | | 11,550 | | |
SGX FTSE Taiwan Index | | | 5 | | | 5/2021 | | | 309,450 | | | | (1,324 | ) | |
SGX NIFTY 50 Index | | | 2 | | | 5/2021 | | | 58,566 | | | | (707 | ) | |
WTI Crude Oil | | | 4 | | | 5/2021 | | | 254,320 | | | | 8,992 | | |
| 100 oz Gold | | | 1 | | | 6/2021 | | | 176,770 | | | | 1,098 | | |
Australia 3 Year Bond | | | 12 | | | 6/2021 | | | 1,082,732 | | | | (247 | ) | |
Brent Crude Oil | | | 2 | | | 6/2021 | | | 132,560 | | | | 1,357 | | |
Foreign Exchange JPY/USD | | | 2 | | | 6/2021 | | | 228,787 | | | | (2,511 | ) | |
Foreign Exchange USD/SEK | | | 1 | | | 6/2021 | | | 99,937 | | | | (700 | ) | |
FTSE 100 Index | | | 2 | | | 6/2021 | | | 191,621 | | | | (1,070 | ) | |
FTSE/JSE Top 40 Index | | | 2 | | | 6/2021 | | | 84,663 | | | | (165 | ) | |
Lean Hogs | | | 5 | | | 6/2021 | | | 219,450 | | | | 2,537 | | |
Long Gilt | | | 1 | | | 6/2021 | | | 176,319 | | | | (1,285 | ) | |
MSCI Emerging Markets E-Mini Index | | | 1 | | | 6/2021 | | | 66,830 | | | | (1,207 | ) | |
NASDAQ 100 E-Mini Index | | | 2 | | | 6/2021 | | | 554,000 | | | | (209 | ) | |
Nikkei 225 Index | | | 5 | | | 6/2021 | | | 132,126 | | | | (59 | ) | |
See Notes to Consolidated Financial Statements
14
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
Palladium | | | 1 | | | 6/2021 | | $ | 295,370 | | | $ | 55,707 | | |
Russell 2000 E-Mini Index | | | 2 | | | 6/2021 | | | 226,150 | | | | (8,758 | ) | |
S&P 500 E-Mini Index | | | 2 | | | 6/2021 | | | 417,440 | | | | 2,887 | | |
SPI 200 Index | | | 1 | | | 6/2021 | | | 134,850 | | | | (399 | ) | |
Sugar No. 11 | | | 11 | | | 6/2021 | | | 209,194 | | | | 2,849 | | |
TOPIX Index | | | 1 | | | 6/2021 | | | 173,987 | | | | (2,028 | ) | |
U.S. Treasury 2 Year Note | | | 17 | | | 6/2021 | | | 3,752,883 | | | | 66 | | |
Brent Crude Oil | | | 2 | | | 7/2021 | | | 131,600 | | | | 4,707 | | |
Cocoa | | | 4 | | | 7/2021 | | | 95,280 | | | | (4,151 | ) | |
Coffee 'C' | | | 3 | | | 7/2021 | | | 159,131 | | | | 4,754 | | |
Copper | | | 2 | | | 7/2021 | | | 223,400 | | | | 2,971 | | |
Corn | | | 9 | | | 7/2021 | | | 302,962 | | | | 31,390 | | |
Cotton No. 2 | | | 2 | | | 7/2021 | | | 88,080 | | | | 2,325 | | |
KC HRW Wheat | | | 3 | | | 7/2021 | | | 105,525 | | | | 2,018 | | |
Platinum | | | 3 | | | 7/2021 | | | 180,780 | | | | 3,975 | | |
Rapeseed | | | 5 | | | 7/2021 | | | 151,484 | | | | 3,141 | | |
Robusta Coffee | | | 9 | | | 7/2021 | | | 131,040 | | | | 4,079 | | |
Silver | | | 1 | | | 7/2021 | | | 129,365 | | | | (3,272 | ) | |
Soybean | | | 4 | | | 7/2021 | | | 306,850 | | | | 8,015 | | |
Soybean Meal | | | 3 | | | 7/2021 | | | 127,830 | | | | (328 | ) | |
Soybean Oil | | | 6 | | | 7/2021 | | | 224,604 | | | | 22,923 | | |
Wheat | | | 6 | | | 7/2021 | | | 220,425 | | | | 11,210 | | |
Milling Wheat No. 2 | | | 3 | | | 9/2021 | | | 39,539 | | | | (157 | ) | |
Canola | | | 11 | | | 11/2021 | | | 127,115 | | | | 10,193 | | |
WTI Crude Oil | | | 1 | | | 11/2021 | | | 61,030 | | | | 8,388 | | |
3 Month Canadian Bankers Acceptance | | | 43 | | | 12/2021 | | | 8,703,901 | | | | 929 | | |
3 Month Canadian Bankers Acceptance | | | 34 | | | 3/2022 | | | 6,879,388 | | | | 286 | | |
| 3 Month Eurodollar | | | 4 | | | 9/2022 | | | 996,750 | | | | (70 | ) | |
Total Long Contracts | | | | | | $ | 30,061,932 | | | $ | 197,459 | | |
Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
Short Contracts | |
SGX FTSE China A50 Index | | | (1 | ) | | 5/2021 | | $ | (17,277 | ) | | $ | (212 | ) | |
Australia 10 Year Bond | | | (5 | ) | | 6/2021 | | | (536,896 | ) | | | (3,074 | ) | |
Canada 10 Year Bond | | | (11 | ) | | 6/2021 | | | (1,247,171 | ) | | | 6,090 | | |
Canada 10 Year Bond | | | (5 | ) | | 6/2021 | | | (566,896 | ) | | | 8,205 | | |
CBOE Volatility Index | | | (1 | ) | | 6/2021 | | | (22,239 | ) | | | 469 | | |
Euro-Bobl | | | (19 | ) | | 6/2021 | | | (3,077,604 | ) | | | 4,090 | | |
Euro-BTP | | | (1 | ) | | 6/2021 | | | (176,839 | ) | | | 522 | | |
Euro-Bund | | | (10 | ) | | 6/2021 | | | (2,043,825 | ) | | | 10,723 | | |
Euro-Bund | | | (1 | ) | | 6/2021 | | | (204,382 | ) | | | 546 | | |
See Notes to Consolidated Financial Statements
15
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
Euro-Buxl | | | (1 | ) | | 6/2021 | | $ | (242,734 | ) | | $ | 1,646 | | |
Euro-OAT | | | (7 | ) | | 6/2021 | | | (1,350,644 | ) | | | 3,685 | | |
Euro-Schatz | | | (63 | ) | | 6/2021 | | | (8,489,135 | ) | | | 981 | | |
Foreign Exchange AUD/USD | | | (66 | ) | | 6/2021 | | | (5,085,960 | ) | | | 2,921 | | |
Foreign Exchange CAD/USD | | | (16 | ) | | 6/2021 | | | (1,303,040 | ) | | | (33,349 | ) | |
Foreign Exchange CHF/USD | | | (1 | ) | | 6/2021 | | | (137,000 | ) | | | (2,355 | ) | |
Foreign Exchange EUR/USD | | | (49 | ) | | 6/2021 | | | (7,369,906 | ) | | | (65,883 | ) | |
Foreign Exchange GBP/USD | | | (1 | ) | | 6/2021 | | | (86,319 | ) | | | 601 | | |
Foreign Exchange MXN/USD | | | (6 | ) | | 6/2021 | | | (147,300 | ) | | | (5,712 | ) | |
Foreign Exchange NZD/USD | | | (1 | ) | | 6/2021 | | | (71,580 | ) | | | (262 | ) | |
Foreign Exchange ZAR/USD | | | (5 | ) | | 6/2021 | | | (171,313 | ) | | | (4,046 | ) | |
Japan 10 Year Bond | | | (1 | ) | | 6/2021 | | | (1,384,756 | ) | | | (1,744 | ) | |
Long Gilt | | | (6 | ) | | 6/2021 | | | (1,057,912 | ) | | | 9,621 | | |
S&P 500 E-Mini Index | | | (5 | ) | | 6/2021 | | | (1,043,600 | ) | | | (43,413 | ) | |
U.S. Treasury 5 Year Note | | | (19 | ) | | 6/2021 | | | (2,354,813 | ) | | | (2,358 | ) | |
U.S. Treasury 10 Year Note | | | (11 | ) | | 6/2021 | | | (1,452,344 | ) | | | 3,283 | | |
U.S. Treasury 10 Year Note | | | (4 | ) | | 6/2021 | | | (528,125 | ) | | | 6,977 | | |
U.S. Treasury Long Bond | | | (2 | ) | | 6/2021 | | | (314,500 | ) | | | (1,628 | ) | |
| 3 Month Sterling | | | (26 | ) | | 12/2021 | | | (4,482,578 | ) | | | 255 | | |
3 Month Euro Euribor | | | (9 | ) | | 3/2022 | | | (2,719,264 | ) | | | (20 | ) | |
| 3 Month Sterling | | | (27 | ) | | 3/2022 | | | (4,650,556 | ) | | | 950 | | |
3 Month Euro Euribor | | | (12 | ) | | 9/2022 | | | (3,624,603 | ) | | | 356 | | |
| 3 Month Sterling | | | (26 | ) | | 9/2022 | | | (4,473,152 | ) | | | 2,016 | | |
| 3 Month Eurodollar | | | (27 | ) | | 3/2023 | | | (6,714,900 | ) | | | (2,323 | ) | |
| 3 Month Sterling | | | (57 | ) | | 3/2023 | | | (9,791,765 | ) | | | 5,778 | | |
3 Month Euro Euribor | | | (15 | ) | | 9/2023 | | | (4,524,217 | ) | | | 2,186 | | |
| 3 Month Eurodollar | | | (22 | ) | | 9/2023 | | | (5,450,775 | ) | | | (2,676 | ) | |
| 3 Month Sterling | | | (36 | ) | | 9/2023 | | | (6,173,708 | ) | | | 3,790 | | |
| 3 Month Eurodollar | | | (15 | ) | | 9/2024 | | | (3,692,063 | ) | | | (614 | ) | |
Total Short Contracts | | | | | | $ | (96,781,691 | ) | | $ | (93,978 | ) | |
Total Futures | | | | | | | | $ | 103,481 | | |
For the six months ended April 30, 2021, the average notional value for the months where the Fund had futures outstanding was $66,334,358 for long positions and $(41,220,293) for short positions. At April 30, 2021, the Fund had $1,277,691 deposited in segregated accounts to cover margin requirements on open futures.
See Notes to Consolidated Financial Statements
16
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Forward foreign currency contracts ("forward contracts")
At April 30, 2021, open forward contracts for the Fund were as follows:
Currency Purchased | | Currency Sold | | Counterparty | | Settlement Date | | Unrealized
Appreciation/
(Depreciation) | |
USD | | | | | 392,455 | | | EUR | | | | | 325,000 | | | JPM | | 5/14/2021 | | $ | 1,647 | | |
USD | | | | | 41,801 | | | GBP | | | | | 30,000 | | | JPM | | 5/14/2021 | | | 369 | | |
USD | | | | | 157,088 | | | HKD | | | | | 1,220,000 | | | JPM | | 5/14/2021 | | | 23 | | |
USD | | | | | 1,968 | | | SEK | | | | | 16,626 | | | JPM | | 5/14/2021 | | | 4 | | |
CAD | | | | | 589,679 | | | USD | | | | | 469,423 | | | JPM | | 6/1/2021 | | | 10,340 | | |
AUD | | | | | 2,000,000 | | | JPY | | | | | 167,638,538 | | | SG | | 6/16/2021 | | | 6,580 | | |
AUD | | | | | 910,600 | | | USD | | | | | 699,595 | | | SG | | 6/16/2021 | | | 2,029 | | |
| BRL** | | | 3,560,000 | | | USD | | | | | 637,963 | | | SG | | 6/16/2021 | | | 14,791 | | |
CAD | | | | | 1,250,775 | | | USD | | | | | 991,796 | | | JPM | | 6/16/2021 | | | 25,891 | | |
CAD | | | | | 1,819,225 | | | USD | | | | | 1,444,597 | | | SG | | 6/16/2021 | | | 35,612 | | |
CHF | | | | | 60,000 | | | USD | | | | | 64,550 | | | JPM | | 6/16/2021 | | | 1,227 | | |
CHF | | | | | 1,360,000 | | | USD | | | | | 1,470,145 | | | SG | | 6/16/2021 | | | 20,801 | | |
| CLP** | | | 373,810,000 | | | USD | | | | | 518,051 | | | SG | | 6/16/2021 | | | 7,762 | | |
EUR | | | | | 79,047 | | | PLN | | | | | 360,000 | | | SG | | 6/16/2021 | | | 168 | | |
EUR | | | | | 150,000 | | | TRY | | | | | 1,507,279 | | | SG | | 6/16/2021 | | | 2,497 | | |
EUR | | | | | 340,000 | | | USD | | | | | 404,193 | | | JPM | | 6/16/2021 | | | 4,943 | | |
EUR | | | | | 630,000 | | | USD | | | | | 750,995 | | | SG | | 6/16/2021 | | | 7,108 | | |
GBP | | | | | 30,000 | | | USD | | | | | 41,204 | | | JPM | | 6/16/2021 | | | 232 | | |
GBP | | | | | 200,000 | | | USD | | | | | 275,514 | | | SG | | 6/16/2021 | | | 729 | | |
HUF | | | | | 157,460,000 | | | USD | | | | | 516,481 | | | SG | | 6/16/2021 | | | 9,061 | | |
ILS | | | | | 250,000 | | | USD | | | | | 75,521 | | | JPM | | 6/16/2021 | | | 1,478 | | |
ILS | | | | | 2,630,000 | | | USD | | | | | 805,520 | | | SG | | 6/16/2021 | | | 4,511 | | |
| INR** | | | 8,810,000 | | | USD | | | | | 117,274 | | | SG | | 6/16/2021 | | | 701 | | |
JPY | | | | | 8,440,946 | | | AUD | | | | | 100,000 | | | SG | | 6/16/2021 | | | 212 | | |
JPY | | | | | 1,600,000 | | | USD | | | | | 14,584 | | | JPM | | 6/16/2021 | | | 61 | | |
JPY | | | | | 34,310,000 | | | USD | | | | | 311,140 | | | SG | | 6/16/2021 | | | 2,906 | | |
| KRW** | | | 446,390,000 | | | USD | | | | | 396,855 | | | SG | | 6/16/2021 | | | 2,442 | | |
MXN | | | | | 6,250,000 | | | USD | | | | | 302,035 | | | SG | | 6/16/2021 | | | 4,978 | | |
NOK | | | | | 390,000 | | | USD | | | | | 45,829 | | | JPM | | 6/16/2021 | | | 1,027 | | |
NOK | | | | | 9,780,000 | | | USD | | | | | 1,154,161 | | | SG | | 6/16/2021 | | | 20,828 | | |
NZD | | | | | 170,000 | | | USD | | | | | 120,196 | | | SG | | 6/16/2021 | | | 1,435 | | |
| PHP** | | | 52,060,000 | | | USD | | | | | 1,066,287 | | | SG | | 6/16/2021 | | | 5,049 | | |
PLN | | | | | 1,000,000 | | | EUR | | | | | 216,827 | | | SG | | 6/16/2021 | | | 2,847 | | |
PLN | | | | | 2,910,000 | | | USD | | | | | 757,700 | | | SG | | 6/16/2021 | | | 9,839 | | |
SEK | | | | | 110,000 | | | USD | | | | | 12,982 | | | JPM | | 6/16/2021 | | | 18 | | |
SEK | | | | | 3,250,000 | | | USD | | | | | 379,891 | | | SG | | 6/16/2021 | | | 4,176 | | |
SGD | | | | | 110,000 | | | USD | | | | | 82,094 | | | JPM | | 6/16/2021 | | | 553 | | |
SGD | | | | | 1,540,000 | | | USD | | | | | 1,150,154 | | | SG | | 6/16/2021 | | | 6,908 | | |
THB | | | | | 9,420,000 | | | USD | | | | | 299,729 | | | SG | | 6/16/2021 | | | 2,719 | | |
TRY | | | | | 417,744 | | | EUR | | | | | 40,000 | | | SG | | 6/16/2021 | | | 1,200 | | |
TRY | | | | | 280,000 | | | USD | | | | | 31,513 | | | SG | | 6/16/2021 | | | 1,554 | | |
See Notes to Consolidated Financial Statements
17
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Currency Purchased | | Currency Sold | | Counterparty | | Settlement Date | | Unrealized
Appreciation/
(Depreciation) | |
USD | | | | | 247,184 | | | AUD | | | | | 320,000 | | | SG | | 6/16/2021 | | $ | 622 | | |
USD | | | | | 8,144 | | | CAD | | | | | 10,000 | | | SG | | 6/16/2021 | | | 7 | | |
USD | | | | | 10,970 | | | CHF | | | | | 10,000 | | | SG | | 6/16/2021 | | | 20 | | |
USD | | | | | 89,575 | | | CLP** | | | 63,310,000 | | | SG | | 6/16/2021 | | | 522 | | |
USD | | | | | 108,429 | | | EUR | | | | | 90,000 | | | SG | | 6/16/2021 | | | 129 | | |
USD | | | | | 83,116 | | | GBP | | | | | 60,000 | | | JPM | | 6/16/2021 | | | 243 | | |
USD | | | | | 458,019 | | | GBP | | | | | 330,000 | | | SG | | 6/16/2021 | | | 2,221 | | |
USD | | | | | 714,504 | | | INR** | | | 52,980,000 | | | SG | | 6/16/2021 | | | 5,047 | | |
USD | | | | | 14,089 | | | JPY | | | | | 1,530,000 | | | JPM | | 6/16/2021 | | | 84 | | |
USD | | | | | 1,573,270 | | | JPY | | | | | 170,960,000 | | | SG | | 6/16/2021 | | | 8,435 | | |
USD | | | | | 43,350 | | | KRW** | | | 48,300,000 | | | SG | | 6/16/2021 | | | 145 | | |
USD | | | | | 42,114 | | | MXN | | | | | 850,000 | | | SG | | 6/16/2021 | | | 360 | | |
USD | | | | | 31,669 | | | NOK | | | | | 260,000 | | | SG | | 6/16/2021 | | | 431 | | |
USD | | | | | 50,351 | | | NZD | | | | | 70,000 | | | SG | | 6/16/2021 | | | 267 | | |
USD | | | | | 5,295 | | | PLN | | | | | 20,000 | | | SG | | 6/16/2021 | | | 20 | | |
USD | | | | | 193,291 | | | THB | | | | | 5,970,000 | | | SG | | 6/16/2021 | | | 1,614 | | |
USD | | | | | 146,818 | | | TRY | | | | | 1,230,000 | | | SG | | 6/16/2021 | | | 1,560 | | |
USD | | | | | 52,673 | | | ZAR | | | | | 760,000 | | | SG | | 6/17/2021 | | | 598 | | |
ZAR | | | | | 8,190,000 | | | USD | | | | | 548,063 | | | SG | | 6/17/2021 | | | 13,109 | | |
CAD | | | | | 357,000 | | | USD | | | | | 283,369 | | | JPM | | 6/30/2021 | | | 7,116 | | |
Total unrealized appreciation | | | | | | | | | | | | $ | 269,806 | | |
Currency Purchased | | Currency Sold | | Counterparty | | Settlement Date | | Unrealized
Appreciation/
(Depreciation) | |
USD | | | | | 959,798 | | | CHF | | | | | 882,550 | | | JPM | | 5/14/2021 | | $ | (6,834 | ) | |
USD | | | | | 1,577,810 | | | EUR | | | | | 1,315,857 | | | JPM | | 5/14/2021 | | | (4,488 | ) | |
USD | | | | | 258,536 | | | GBP | | | | | 187,507 | | | JPM | | 5/14/2021 | | | (426 | ) | |
USD | | | | | 535,413 | | | HKD | | | | | 4,159,019 | | | JPM | | 5/14/2021 | | | (25 | ) | |
USD | | | | | 70,190 | | | CAD | | | | | 87,926 | | | JPM | | 6/1/2021 | | | (1,348 | ) | |
AUD | | | | | 30,000 | | | JPY | | | | | 2,531,624 | | | JPM | | 6/16/2021 | | | (57 | ) | |
AUD | | | | | 690,000 | | | JPY | | | | | 58,206,221 | | | SG | | 6/16/2021 | | | (1,127 | ) | |
AUD | | | | | 40,000 | | | USD | | | | | 30,954 | | | JPM | | 6/16/2021 | | | (133 | ) | |
AUD | | | | | 1,829,400 | | | USD | | | | | 1,418,574 | | | SG | | 6/16/2021 | | | (9,003 | ) | |
| BRL** | | | 90,000 | | | USD | | | | | 16,650 | | | SG | | 6/16/2021 | | | (149 | ) | |
CHF | | | | | 70,000 | | | USD | | | | | 76,914 | | | SG | | 6/16/2021 | | | (175 | ) | |
| CLP** | | | 200,530,000 | | | USD | | | | | 284,437 | | | SG | | 6/16/2021 | | | (2,366 | ) | |
EUR | | | | | 30,321 | | | PLN | | | | | 140,000 | | | JPM | | 6/16/2021 | | | (440 | ) | |
EUR | | | | | 760,917 | | | PLN | | | | | 3,490,000 | | | SG | | 6/16/2021 | | | (4,875 | ) | |
EUR | | | | | 20,000 | | | TRY | | | | | 206,803 | | | SG | | 6/16/2021 | | | (356 | ) | |
EUR | | | | | 390,000 | | | USD | | | | | 470,884 | | | SG | | 6/16/2021 | | | (1,583 | ) | |
GBP | | | | | 401,250 | | | USD | | | | | 557,445 | | | JPM | | 6/16/2021 | | | (3,234 | ) | |
GBP | | | | | 1,168,750 | | | USD | | | | | 1,623,347 | | | SG | | 6/16/2021 | | | (9,061 | ) | |
HUF | | | | | 44,520,000 | | | USD | | | | | 149,036 | | | SG | | 6/16/2021 | | | (425 | ) | |
ILS | | | | | 470,000 | | | USD | | | | | 144,941 | | | SG | | 6/16/2021 | | | (183 | ) | |
See Notes to Consolidated Financial Statements
18
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Currency Purchased | | Currency Sold | | Counterparty | | Settlement Date | | Unrealized
Appreciation/
(Depreciation) | |
| INR** | | | 132,290,000 | | | USD | | | | | 1,787,148 | | | SG | | 6/16/2021 | | $ | (15,642 | ) | |
JPY | | | | | 839,775 | | | AUD | | | | | 10,000 | | | JPM | | 6/16/2021 | | | (18 | ) | |
JPY | | | | | 99,244,121 | | | AUD | | | | | 1,190,000 | | | SG | | 6/16/2021 | | | (8,499 | ) | |
JPY | | | | | 3,000,000 | | | USD | | | | | 27,521 | | | JPM | | 6/16/2021 | | | (62 | ) | |
JPY | | | | | 33,540,000 | | | USD | | | | | 309,010 | | | SG | | 6/16/2021 | | | (2,012 | ) | |
| KRW** | | | 673,860,000 | | | USD | | | | | 605,681 | | | SG | | 6/16/2021 | | | (2,908 | ) | |
MXN | | | | | 9,570,000 | | | USD | | | | | 475,886 | | | SG | | 6/16/2021 | | | (5,792 | ) | |
NOK | | | | | 190,000 | | | USD | | | | | 22,995 | | | JPM | | 6/16/2021 | | | (168 | ) | |
NOK | | | | | 2,100,000 | | | USD | | | | | 253,384 | | | SG | | 6/16/2021 | | | (1,087 | ) | |
NZD | | | | | 20,000 | | | USD | | | | | 14,430 | | | JPM | | 6/16/2021 | | | (120 | ) | |
NZD | | | | | 1,900,000 | | | USD | | | | | 1,363,429 | | | SG | | 6/16/2021 | | | (4,020 | ) | |
| PHP** | | | 6,440,000 | | | USD | | | | | 132,770 | | | SG | | 6/16/2021 | | | (242 | ) | |
PLN | | | | | 2,540,000 | | | EUR | | | | | 558,239 | | | SG | | 6/16/2021 | | | (1,800 | ) | |
PLN | | | | | 680,000 | | | USD | | | | | 180,185 | | | SG | | 6/16/2021 | | | (829 | ) | |
SEK | | | | | 4,050,000 | | | USD | | | | | 482,204 | | | SG | | 6/16/2021 | | | (3,598 | ) | |
SGD | | | | | 1,330,000 | | | USD | | | | | 1,001,990 | | | SG | | 6/16/2021 | | | (2,708 | ) | |
THB | | | | | 1,870,000 | | | USD | | | | | 60,639 | | | SG | | 6/16/2021 | | | (599 | ) | |
TRY | | | | | 366,007 | | | EUR | | | | | 40,000 | | | SG | | 6/16/2021 | | | (4,910 | ) | |
TRY | | | | | 690,000 | | | USD | | | | | 87,800 | | | SG | | 6/16/2021 | | | (6,313 | ) | |
USD | | | | | 7,618 | | | AUD | | | | | 10,000 | | | JPM | | 6/16/2021 | | | (87 | ) | |
USD | | | | | 830,650 | | | AUD | | | | | 1,090,000 | | | SG | | 6/16/2021 | | | (9,202 | ) | |
USD | | | | | 460,979 | | | BRL** | | | 2,650,000 | | | SG | | 6/16/2021 | | | (24,921 | ) | |
USD | | | | | 55,663 | | | CAD | | | | | 70,000 | | | JPM | | 6/16/2021 | | | (1,293 | ) | |
USD | | | | | 709,040 | | | CAD | | | | | 890,000 | | | SG | | 6/16/2021 | | | (15,109 | ) | |
USD | | | | | 330,194 | | | CHF | | | | | 306,150 | | | JPM | | 6/16/2021 | | | (5,435 | ) | |
USD | | | | | 1,059,390 | | | CHF | | | | | 983,850 | | | SG | | 6/16/2021 | | | (19,187 | ) | |
USD | | | | | 346,726 | | | CLP** | | | 252,100,000 | | | SG | | 6/16/2021 | | | (7,886 | ) | |
USD | | | | | 213,772 | | | EUR | | | | | 180,000 | | | JPM | | 6/16/2021 | | | (2,829 | ) | |
USD | | | | | 687,443 | | | EUR | | | | | 580,000 | | | SG | | 6/16/2021 | | | (10,496 | ) | |
USD | | | | | 68,662 | | | GBP | | | | | 50,000 | | | JPM | | 6/16/2021 | | | (399 | ) | |
USD | | | | | 536,229 | | | GBP | | | | | 390,000 | | | SG | | 6/16/2021 | | | (2,444 | ) | |
USD | | | | | 425,710 | | | HUF | | | | | 131,290,000 | | | SG | | 6/16/2021 | | | (12,487 | ) | |
USD | | | | | 216,658 | | | ILS | | | | | 720,000 | | | SG | | 6/16/2021 | | | (5,097 | ) | |
USD | | | | | 1,137,588 | | | INR** | | | 85,470,000 | | | SG | | 6/16/2021 | | | (6,947 | ) | |
USD | | | | | 34,462 | | | JPY | | | | | 3,780,000 | | | JPM | | 6/16/2021 | | | (137 | ) | |
USD | | | | | 163,216 | | | JPY | | | | | 17,950,000 | | | SG | | 6/16/2021 | | | (1,086 | ) | |
USD | | | | | 399,707 | | | KRW** | | | 453,050,000 | | | SG | | 6/16/2021 | | | (5,547 | ) | |
USD | | | | | 107,555 | | | MXN | | | | | 2,260,000 | | | SG | | 6/16/2021 | | | (3,460 | ) | |
USD | | | | | 2,324 | | | NOK | | | | | 20,000 | | | JPM | | 6/16/2021 | | | (79 | ) | |
USD | | | | | 557,944 | | | NOK | | | | | 4,790,000 | | | SG | | 6/16/2021 | | | (17,537 | ) | |
USD | | | | | 666,157 | | | NZD | | | | | 950,000 | | | SG | | 6/16/2021 | | | (13,549 | ) | |
USD | | | | | 865,841 | | | PHP** | | | 42,510,000 | | | SG | | 6/16/2021 | | | (8,968 | ) | |
USD | | | | | 678,608 | | | PLN | | | | | 2,620,000 | | | SG | | 6/16/2021 | | | (12,440 | ) | |
USD | | | | | 38,499 | | | SEK | | | | | 330,000 | | | JPM | | 6/16/2021 | | | (499 | ) | |
See Notes to Consolidated Financial Statements
19
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Currency Purchased | | Currency Sold | | Counterparty | | Settlement Date | | Unrealized
Appreciation/
(Depreciation) | |
USD | | | | | 347,749 | | | SEK | | | | | 3,010,000 | | | SG | | 6/16/2021 | | $ | (7,956 | ) | |
USD | | | | | 44,490 | | | SGD | | | | | 60,000 | | | JPM | | 6/16/2021 | | | (590 | ) | |
USD | | | | | 475,474 | | | SGD | | | | | 640,000 | | | SG | | 6/16/2021 | | | (5,381 | ) | |
USD | | | | | 490,615 | | | THB | | | | | 15,440,000 | | | SG | | 6/16/2021 | | | (5,116 | ) | |
USD | | | | | 59,467 | | | TRY | | | | | 510,000 | | | SG | | 6/16/2021 | | | (764 | ) | |
USD | | | | | 110,134 | | | ZAR | | | | | 1,640,000 | | | SG | | 6/17/2021 | | | (2,298 | ) | |
ZAR | | | | | 2,080,000 | | | USD | | | | | 145,127 | | | SG | | 6/17/2021 | | | (2,606 | ) | |
USD | | | | | 1,080,214 | | | CAD | | | | | 1,359,849 | | | JPM | | 6/30/2021 | | | (26,270 | ) | |
Total unrealized depreciation | | | | | | | | | | | | $ | (345,717 | ) | |
Net unrealized depreciation | | | | | | | | | | | | $ | (75,911 | ) | |
** Non-deliverable forward.
For the six months ended April 30, 2021, the average notional value for the months where the Fund had forward contracts outstanding was $13,308,882.
Equity swap contracts ("equity swaps")
At April 30, 2021, the Fund had outstanding equity swaps as follows:
Over the counter equity swaps — Long(a)
| Counterparty | | Reference
Entity | | Notional
Amount | | Maturity
Date | | Variable-
Rate(b) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Value
and
Unrealized
Appreciation/
(Depreciation) | |
| JPM | | Aggreko plc | | GBP | 96,134 | | | 3/29/2022 | | | 0.45 | % | | | 0.40 | % | | | 1 | M GBP LIBOR | | T/1M | | $ | (1,745 | ) | |
| JPM | | American International
Group, Inc. | | USD | 761,101 |
| | 8/3/2021 | |
| 0.51 | % | |
| 0.40 | % | |
| 1 | M USD LIBOR | | T/1M | |
| 150,419 |
| |
| JPM | | Ampol Ltd. | | AUD | 44,783 | | | 1/25/2022 | | | 0.66 | % | | | 0.65 | % | | | 1 | M AUD BBSW | | T/1M | | | (7,078 | ) | |
| MS | | Amundi SA | | EUR | 345,306 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 63,596 | | |
| MS | | Anima Holding SpA | | EUR | 366,439 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 942 | | |
| JPM | | Arrow Global Group plc | | GBP | 13,952 | | | 4/6/2022 | | | 0.45 | % | | | 0.40 | % | | | 1 | M GBP LIBOR | | T/1M | | | 12 | | |
| JPM | | Ashland Global
Holdings, Inc. | | USD | 315,270 |
| | 2/22/2022 | |
| 0.51 | % | |
| 0.40 | % | |
| 1 | M USD LIBOR | | T/1M | |
| (1,373 | ) | |
| MS | | Aspen Pharmacare
Holdings Ltd. | | USD | 21,426 |
| | 12/9/2021 | |
| 0.91 | % | |
| 0.80 | % | |
| 1 | M USD LIBOR | | T/1M | |
| 5,469 |
| |
| JPM | | ASTM SpA | | EUR | 36,352 | | | 3/4/2022 | | | 0.10 | % | | | 0.65 | % | | | 1 | M EURIBOR | | T/1M | | | 639 | | |
| JPM | | Atrium European
Real Estate Ltd. | | EUR | 55,206 |
| | 7/27/2021 | |
| (0.15
0.10% | )%- | |
| 0.40
0.65% | %- | |
| 1 | M EURIBOR | | T/1M | |
| 4,443 |
| |
| JPM | | Avantor, Inc. | | USD | 368,011 | | | 10/26/2021 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | 54,740 | | |
| MS | | Brenntag SE | | EUR | 222,621 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 55,781 | | |
| MS | | Bureau Veritas SA | | EUR | 283,344 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 61,850 | | |
| JPM | | Canadian National
Railway Co. | | USD | 468,923 |
| | 11/17/2021 | |
| 0.51 | % | |
| 0.40 | % | |
| 1 | M USD LIBOR | | T/1M | |
| (11,444 | ) | |
| JPM | | CapitaLand Ltd. | | SGD | 24,414 | | | 4/19/2022 | | | 1.03 | % | | | 0.75 | % | | | 1 | M SIBOR | | T/1M | | | (147 | ) | |
| JPM | | Cerved Group SpA | | EUR | 83,474 | | | 3/24/2022 | | | 0.10 | % | | | 0.65 | % | | | 1 | M EURIBOR | | T/1M | | | 3,168 | | |
See Notes to Consolidated Financial Statements
20
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
| Counterparty | | Reference
Entity | | Notional
Amount | | Maturity
Date | | Variable-
Rate(b) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Value
and
Unrealized
Appreciation/
(Depreciation) | |
| JPM | | ChampionX Corp. | | USD | 377,088 | | | 2/22/2022 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | $ | 48,549 | | |
| JPM | | Clarivate plc | | USD | 270,251 | | | 12/17/2021 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | (5,409 | ) | |
| MS | | Croda International plc | | GBP | 17,654 | | | 12/2/2021 | | | 0.69 | % | | | 0.64 | % | | | 1 | D SONIA | | T/1M | | | 7,237 | | |
| JPM | | Danaher Corp. | | USD | 276,795 | | | 6/22/2021 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | 76,802 | | |
| MS | | Danone SA | | EUR | 561,558 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | (86,241 | ) | |
| JPM | | Dialog
Semiconductor plc | | EUR | 407,060 |
| | 2/10/2022 | |
| 0.10 | % | |
| 0.65 | % | |
| 1 | M EURIBOR | | T/1M | |
| 5,796 |
| |
| MS | | Elis SA | | EUR | 54,461 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | (1,860 | ) | |
| JPM | | Entain plc | | GBP | 5,582 | | | 1/14/2022 | | | 0.45 | % | | | 0.40 | % | | | 1 | M GBP LIBOR | | T/1M | | | 2,271 | | |
| MS | | Eurofins Scientific SE | | EUR | 44,222 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 23,291 | | |
| JPM | | Euskaltel SA | | EUR | 72,200 | | | 3/31/2022 | | | 0.10 | % | | | 0.65 | % | | | 1 | M EURIBOR | | T/1M | | | (207 | ) | |
| JPM | | Gamesys Group plc | | GBP | 3,831 | | | 3/31/2022 | | | 0.45 | % | | | 0.40 | % | | | 1 | M GBP LIBOR | | T/1M | | | 59 | | |
| MS | | Gerresheimer AG | | EUR | 72,633 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 20,598 | | |
| JPM | | GrandVision NV | | EUR | 133,478 | | | 8/3/2021 | | | 0.10 | % | | | 0.65 | % | | | 1 | M EURIBOR | | T/1M | | | 14,476 | | |
| MS | | HeidelbergCement AG | | EUR | 182,471 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 22,265 | | |
| MS | | Hermes International | | EUR | 39,672 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 16,184 | | |
| JPM | | Hoegh LNG
Holdings Ltd. | | NOK | 208,283 |
| | 3/10/2022 | |
| 0.89 | % | |
| 0.65 | % | |
| 1 | M NIBOR | | T/1M | |
| 268 |
| |
| JPM | | Hunter Douglas NV | | EUR | 214,880 | | | 12/20/2021 | | | 0.10 | % | | | 0.65 | % | | | 1 | M EURIBOR | | T/1M | | | 15,041 | | |
| MS | | Hypera SA | | USD | 27,379 | | | 12/7/2021 | | | 0.76 | % | | | 0.65 | % | | | 1 | M USD LIBOR | | T/1M | | | (6,186 | ) | |
| MS | | Iliad SA | | EUR | 19,177 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 3,858 | | |
| JPM | | Infraestructura
Energetica Nova
SAB de CV | | USD | 149,600 |
| | 12/6/2021 | |
| 0.61 | % | |
| 0.50 | % | |
| 1 | M USD LIBOR | | T/1M | |
| 11,222 |
| |
| MS | | ITV plc | | GBP | 93,728 | | | 12/2/2021 | | | 0.69 | % | | | 0.64 | % | | | 1 | D SONIA | | T/1M | | | 11,617 | | |
| MS | | Kering SA | | EUR | 291,261 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 90,380 | | |
| MS | | LafargeHolcim Ltd.
(Registered) | | CHF | 166,367 |
| | 12/9/2021 | |
| (0.17 | )% | |
| 0.56 | % | |
| 1 | D SARON | | T/1M | |
| 17,922 |
| |
| MS | | LVMH Moet Hennessy
Louis Vuitton SE | | EUR | 50,722 |
| | 12/9/2021 | |
| 0.05 | % | |
| 0.60 | % | |
| 1 | M EURIBOR | | T/1M | |
| 17,547 |
| |
| JPM | | Microsoft Corp. | | USD | 330,860 | | | 12/17/2021 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | 38,369 | | |
| MS | | Migros Ticaret A/S | | USD | 23,870 | | | 9/15/2021 | | | 1.51 | % | | | 1.40 | % | | | 1 | M USD LIBOR | | T/1M | | | (54 | ) | |
| JPM | | Natixis SA | | EUR | 25,591 | | | 2/14/2022 | | | 0.10 | % | | | 0.65 | % | | | 1 | M EURIBOR | | T/1M | | | 639 | | |
| JPM | | Naturgy Energy
Group SA | | EUR | 22,013 |
| | 2/4/2022 | |
| 0.10 | % | |
| 0.65 | % | |
| 1 | M EURIBOR | | T/1M | |
| 210 |
| |
| MS | | NAVER Corp. | | USD | 103,421 | | | 10/15/2021 | | | 1.51 | % | | | 1.40 | % | | | 1 | M USD LIBOR | | T/1M | | | 16,227 | | |
| MS | | Nestle SA (Registered) | | CHF | 134,793 | | | 12/9/2021 | | | (0.19 | )% | | | 0.54 | % | | | 1 | D SARON | | T/1M | | | 11,973 | | |
| JPM | | NextEra Energy, Inc. | | USD | 504,358 | | | 1/4/2022 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | 4,535 | | |
| JPM | | Orange Belgium SA | | EUR | 21,994 |
| | 12/9/2021 | |
| (0.15
(0.05)% | )%- | |
| 0.40
0.50% | %- | |
| 1 | M EURIBOR | | T/1M | |
| 117 |
| |
| JPM | | OSRAM Licht AG | | EUR | 2,238 | | | 7/9/2021 | | | 0.10 | % | | | 0.65 | % | | | 1 | M EURIBOR | | T/1M | | | 494 | | |
| JPM | | Otis Worldwide Corp. | | USD | 180,425 | | | 5/26/2021 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | 54,567 | | |
| JPM | | Primo Water Corp. | | USD | 401,576 | | | 2/16/2022 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | (12,269 | ) | |
See Notes to Consolidated Financial Statements
21
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Counterparty | | Reference
Entity | | Notional
Amount | | Maturity
Date | | Variable-
Rate(b) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Value
and
Unrealized
Appreciation/
(Depreciation) | |
MS | | Publicis Groupe SA | | EUR | 60,000 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | $ | 6,805 | | |
JPM | | QUALCOMM, Inc. | | USD | 278,155 | | | 12/17/2021 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | (14,074 | ) | |
JPM | | RDI REIT plc | | GBP | 22,406 | | | 3/3/2022 | | | 0.45 | % | | | 0.40 | % | | | 1 | M GBP LIBOR | | T/1M | | | (225 | ) | |
JPM | | RH | | USD | 255,943 | | | 12/15/2021 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | 83,206 | | |
JPM | | RSA Insurance
Group plc | | GBP | 157,566 |
| | 11/10/2021 | |
| 0.45 | % | |
| 0.40 | % | |
| 1 | M GBP LIBOR | | T/1M | |
| 3,331 |
| |
MS | | Ryanair Holdings plc | | EUR | 73,414 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 32,544 | | |
JPM | | S IMMO AG | | EUR | 10,152 | | | 4/7/2022 | | | (0.15 | )% | | | 0.40 | % | | | 1 | M EURIBOR | | T/1M | | | 72 | | |
MS | | SAP SE | | EUR | 294,702 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | 21,588 | | |
JPM | | Sbanken ASA | | NOK | 613,830 | | | 4/19/2022 | | | 0.89 | % | | | 0.65 | % | | | 1 | M NIBOR | | T/1M | | | (459 | ) | |
JPM | | Semapa-Sociedade de
Investimento e Gestao | | EUR | 19,256 |
| | 2/24/2022 | |
| 0.20 | % | |
| 0.75 | % | |
| 1 | M EURIBOR | | T/1M | |
| 351 |
| |
JPM | | Signature Aviation plc | | USD | 74,697 | | | 12/29/2021 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | 2,400 | | |
JPM | | Siltronic AG | | EUR | 115,945 | | | 3/1/2022 | | | 0.10 | % | | | 0.65 | % | | | 1 | M EURIBOR | | T/1M | | | 5,381 | | |
MS | | Smith & Nephew plc | | GBP | 408,032 | | | 12/2/2021 | | | 0.69 | % | | | 0.64 | % | | | 1 | D SONIA | | T/1M | | | 41,077 | | |
MS | | Stroeer SE & Co. KGaA | | EUR | 51,368 | | | 12/9/2021 | | | 0.05 | % | | | 0.60 | % | | | 1 | M EURIBOR | | T/1M | | | (6,153 | ) | |
JPM | | Suez SA | | EUR | 242,848 | | | 9/2/2021 | | | 0.10 | % | | | 0.65 | % | | | 1 | M EURIBOR | | T/1M | | | 47,949 | | |
JPM | | Tikkurila OYJ | | EUR | 65,657 | | | 12/22/2021 | | | 0.10 | % | | | 0.65 | % | | | 1 | M EURIBOR | | T/1M | | | 14,307 | | |
JPM | | Toshiba Corp. | | JPY | 1,187,445 | | | 4/25/2022 | | | 0.33 | % | | | 0.40 | % | | | 1 | M JPY LIBOR | | T/1M | | | 840 | | |
JPM | | Vocus Group Ltd. | | AUD | 217,268 | | | 3/16/2022 | | | 0.66 | % | | | 0.65 | % | | | 1 | M AUD BBSW | | T/1M | | | 1,034 | | |
JPM | | Walt Disney Co. (The) | | USD | 636,002 | | | 4/18/2022 | | | 0.51 | % | | | 0.40 | % | | | 1 | M USD LIBOR | | T/1M | | | (4,562 | ) | |
Total Long Positions of equity swaps | | | | | |
| | | | | | | | | | $ | 1,034,972 | | |
Over the counter equity swaps — Short(c)
| Counterparty | | Reference
Entity | | Notional
Amount | | Maturity
Date | | Variable-
Rate(b) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Value
and
Unrealized
Appreciation/
(Depreciation) | |
| JPM | | 3D Systems Corp. | | USD | (183,219 | ) | | 3/10/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | $ | 20,560 | | |
| JPM | | Acuity Brands, Inc. | | USD | (210,009 | ) | | 6/15/2021 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (68,621 | ) | |
| MS | | Air Liquide SA | | EUR | (219,428 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | | (16,226 | ) | |
| MS | | Allianz SE (Registered) | | EUR | (211,206 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | | (13,158 | ) | |
| MS | | Anheuser-Busch
InBev SA/NV | | EUR | (129,544 | ) | | 12/9/2021 | |
| (0.88 | )% | |
| (0.40 | )% | |
| 1 | D EONIA | | 1M/T | |
| (8,658 | ) | |
| JPM | | AT&T, Inc. | | USD | (302,667 | ) | | 2/24/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (19,609 | ) | |
| JPM | | Avangrid, Inc. | | USD | (88,566 | ) | | 3/9/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (8,370 | ) | |
| MS | | AXA SA | | EUR | (117,672 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | | (9,503 | ) | |
| JPM | | B&G Foods, Inc. | | USD | (164,634 | ) | | 9/23/2021 | |
| (4.72
(1.60)% | )%- | |
| (4.83
(1.71)% | )%- | |
| 1 | M USD LIBOR | | 1M/T | |
| 335 |
| |
| MS | | BASF SE | | EUR | (141,606 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | | (14,119 | ) | |
| MS | | Bayerische Motoren
Werke AG | | EUR | (118,762 | ) | | 12/9/2021 | |
| (0.83 | )% | |
| (0.35 | )% | |
| 1 | D EONIA | | 1M/T | |
| (23,394 | ) | |
See Notes to Consolidated Financial Statements
22
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
| Counterparty | | Reference
Entity | | Notional
Amount | | Maturity
Date | | Variable-
Rate(b) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Value
and
Unrealized
Appreciation/
(Depreciation) | |
| JPM | | Belden, Inc. | | USD | (125,079 | ) | | 10/18/2021 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | $ | (6,461 | ) | |
| JPM | | Beyond Meat, Inc. | | USD | (247,427 | ) | | 1/11/2022 | |
| (0.72
(0.29)% | )%- | |
| (0.83
(0.40)% | )%- | |
| 1 | M USD LIBOR | | 1M/T | |
| 26,117 |
| |
| JPM | | Blink Charging Co. | | USD | (127,843 | ) | | 3/4/2022 | |
| (44.58
(10.09)% | )%- | |
| (44.69
(10.20)% | )%- | |
| 1 | M USD LIBOR | | 1M/T | |
| (10,576 | ) | |
| JPM | | Bloom Energy Corp. | | USD | (128,863 | ) | | 11/18/2021 | |
| (2.97
(0.29)% | )%- | |
| (3.08
(0.40)% | )%- | |
| 1 | M USD LIBOR | | 1M/T | |
| (9,767 | ) | |
| MS | | Bunzl plc | | GBP | (85,401 | ) | | 12/2/2021 | | | (0.25 | )% | | | (0.30 | )% | | | 1 | D SONIA | | 1M/T | | | (4,585 | ) | |
| JPM | | Canadian Tire Corp. Ltd. | | CAD | (97,960 | ) | | 9/20/2021 | | | 0.01 | % | | | (0.40 | )% | | | 1 | M CDOR | | 1M/T | | | (20,023 | ) | |
| JPM | | CarParts.com, Inc. | | USD | (87,212 | ) | | 3/11/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (5,698 | ) | |
| JPM | | Citrix Systems, Inc. | | USD | (110,846 | ) | | 5/14/2021 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | 3,171 | | |
| MS | | Daimler AG (Registered) | | EUR | (158,245 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | | (57,307 | ) | |
| MS | | Deutsche Post AG
(Registered) | | EUR | (172,273 | ) | | 12/9/2021 | |
| (0.83 | )% | |
| (0.35 | )% | |
| 1 | D EONIA | | 1M/T | |
| (49,414 | ) | |
| MS | | Deutsche Telekom AG
(Registered) | | EUR | (91,024 | ) | | 12/9/2021 | |
| (0.83 | )% | |
| (0.35 | )% | |
| 1 | D EONIA | | 1M/T | |
| (3,978 | ) | |
| JPM | | Discovery, Inc. | | USD | (68,165 | ) | | 3/28/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | 36,558 | | |
| MS | | Elisa OYJ | | EUR | (65,688 | ) | | 12/9/2021 | | | (0.88 | )% | | | (0.40 | )% | | | 1 | D EONIA | | 1M/T | | | 2,965 | | |
| MS | | Enel SpA | | EUR | (92,772 | ) | | 12/9/2021 | | | (0.88 | )% | | | (0.40 | )% | | | 1 | D EONIA | | 1M/T | | | (6,904 | ) | |
| MS | | Engie SA | | EUR | (112,047 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | | 1,686 | | |
| MS | | Etablissements Franz
Colruyt NV | | EUR | (243,690 | ) | | 12/9/2021 | |
| (0.88 | )% | |
| (0.40 | )% | |
| 1 | D EONIA | | 1M/T | |
| 67,680 |
| |
| JPM | | Forest Road
Acquisition Corp. | | USD | (121,886 | ) | | 4/19/2022 | |
| (1.95 | )% | |
| (2.06 | )% | |
| 1 | M USD LIBOR | | 1M/T | |
| (1,649 | ) | |
| JPM | | Fox Corp. | | USD | (106,011 | ) | | 1/21/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (18,196 | ) | |
| MS | | Givaudan SA
(Registered) | | CHF | (191,200 | ) | | 12/9/2021 | |
| (1.08 | )% | |
| (0.35 | )% | |
| 1 | D SARON | | 1M/T | |
| (45,291 | ) | |
| MS | | GlaxoSmithKline plc | | GBP | (38,661 | ) | | 12/2/2021 | | | (0.25 | )% | | | (0.30 | )% | | | 1 | D SONIA | | 1M/T | | | 6,576 | | |
| JPM | | Grifols SA | | USD | (98,439 | ) | | 4/14/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | 2,254 | | |
| JPM | | Guess?, Inc. | | USD | (89,043 | ) | | 8/25/2021 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (10,208 | ) | |
| JPM | | Guidewire
Software, Inc. | | USD | (137,374 | ) | | 3/23/2022 | |
| (0.29 | )% | |
| (0.40 | )% | |
| 1 | M USD LIBOR | | 1M/T | |
| (2,902 | ) | |
| MS | | H & M Hennes &
Mauritz AB | | SEK | (1,195,380 | ) | | 10/19/2021 | |
| (0.46 | )% | |
| (0.40 | )% | |
| 1 | W STIBOR | | 1M/T | |
| (9,196 | ) | |
| MS | | Hannover Rueck SE | | EUR | (64,904 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | | 5,796 | | |
| JPM | | Harsco Corp. | | USD | (136,662 | ) | | 10/29/2021 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (20,539 | ) | |
| JPM | | HealthEquity, Inc. | | USD | (183,392 | ) | | 12/23/2021 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (15,237 | ) | |
| JPM | | HelloFresh SE | | EUR | (176,985 | ) | | 1/26/2022 | | | (0.95 | )% | | | (0.40 | )% | | | 1 | M EURIBOR | | 1M/T | | | (9,874 | ) | |
| JPM | | Hyliion Holdings Corp. | | USD | (142,536 | ) | | 4/19/2022 | |
| (1.95
(1.70)% | )%- | |
| (2.06
(1.81)% | )%- | |
| 1 | M USD LIBOR | | 1M/T | |
| (22,063 | ) | |
| JPM | | J M Smucker Co. (The) | | USD | (154,699 | ) | | 10/7/2021 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (16,416 | ) | |
| JPM | | Just Eat
Takeaway.com NV | | USD | (262,103 | ) | | 6/15/2021 | |
| (0.29 | )% | |
| (0.40 | )% | |
| 1 | M USD LIBOR | | 1M/T | |
| 572 |
| |
See Notes to Consolidated Financial Statements
23
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
| Counterparty | | Reference
Entity | | Notional
Amount | | Maturity
Date | | Variable-
Rate(b) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Value
and
Unrealized
Appreciation/
(Depreciation) | |
| JPM | | Kellogg Co. | | USD | (172,841 | ) | | 10/7/2021 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | $ | (9,217 | ) | |
| MS | | Koninklijke Ahold
Delhaize NV | | EUR | (153,931 | ) | | 12/9/2021 | |
| (0.83 | )% | |
| (0.35 | )% | |
| 1 | D EONIA | | 1M/T | |
| (10,667 | ) | |
| MS | | Koninklijke Philips NV | | EUR | (145,609 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | | (9,857 | ) | |
| JPM | | Kroger Co. (The) | | USD | (211,713 | ) | | 3/30/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | 3,935 | | |
| JPM | | Lordstown
Motors Corp. | | USD | (81,282 | ) | | 4/20/2022 | |
| (3.58 | )% | |
| (3.69 | )% | |
| 1 | M USD LIBOR | | 1M/T | |
| (336 | ) | |
| MS | | L'Oreal SA | | EUR | (282,886 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | | (58,937 | ) | |
| JPM | | Lululemon
Athletica, Inc. | | USD | (94,211 | ) | | 3/8/2022 | |
| (0.29 | )% | |
| (0.40 | )% | |
| 1 | M USD LIBOR | | 1M/T | |
| (12,774 | ) | |
| MS | | Marks & Spencer
Group plc | | GBP | (24,732 | ) | | 12/2/2021 | |
| (0.25 | )% | |
| (0.30 | )% | |
| 1 | D SONIA | | 1M/T | |
| 12,435 |
| |
| MS | | Merck & Co., Inc. | | USD | (43,210 | ) | | 12/14/2021 | | | (0.29 | )% | | | (0.35 | )% | | | 1 | D FEDEF | | 1M/T | | | 3,011 | | |
| JPM | | National Bank of
Canada | | CAD | (44,680 | ) | | 3/11/2022 | |
| 0.01 | % | |
| (0.40 | )% | |
| 1 | M CDOR | | 1M/T | |
| (1,258 | ) | |
| MS | | Next plc | | GBP | (40,492 | ) | | 12/2/2021 | | | (0.25 | )% | | | (0.30 | )% | | | 1 | D SONIA | | 1M/T | | | (9,770 | ) | |
| MS | | NIKE, Inc. | | USD | (74,400 | ) | | 12/14/2021 | | | (0.29 | )% | | | (0.35 | )% | | | 1 | D FEDEF | | 1M/T | | | (20,478 | ) | |
| MS | | Nokia OYJ | | EUR | (60,025 | ) | | 12/9/2021 | | | (0.88 | )% | | | (0.40 | )% | | | 1 | D EONIA | | 1M/T | | | (7,353 | ) | |
| JPM | | Omnicom Group, Inc. | | USD | (53,387 | ) | | 1/31/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (9,148 | ) | |
| JPM | | Pearson plc | | GBP | (89,789 | ) | | 8/24/2021 | | | (0.35 | )% | | | (0.40 | )% | | | 1 | M GBP LIBOR | | 1M/T | | | (24,590 | ) | |
| JPM | | Perdoceo
Education Corp. | | USD | (145,762 | ) | | 1/10/2022 | |
| (0.29 | )% | |
| (0.40 | )% | |
| 1 | M USD LIBOR | | 1M/T | |
| 9,310 |
| |
| MS | | Pfizer, Inc. | | USD | (37,452 | ) | | 12/14/2021 | | | (0.29 | )% | | | (0.35 | )% | | | 1 | D FEDEF | | 1M/T | | | (25 | ) | |
| JPM | | Proto Labs, Inc. | | USD | (114,413 | ) | | 2/10/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | 29,611 | | |
| JPM | | Qualys, Inc. | | USD | (374,221 | ) | | 1/11/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | 21,399 | | |
| JPM | | Robert Half
International, Inc. | | USD | (61,765 | ) | | 6/16/2021 | |
| (0.29 | )% | |
| (0.40 | )% | |
| 1 | M USD LIBOR | | 1M/T | |
| (19,222 | ) | |
| MS | | Schneider Electric SE | | EUR | (165,876 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | | (40,244 | ) | |
| JPM | | Sempra Energy | | USD | (143,210 | ) | | 12/21/2021 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (5,257 | ) | |
| JPM | | Shake Shack, Inc. | | USD | (120,386 | ) | | 4/19/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | 7,742 | | |
| MS | | Siemens AG
(Registered) | | EUR | (201,428 | ) | | 12/9/2021 | |
| (0.83 | )% | |
| (0.35 | )% | |
| 1 | D EONIA | | 1M/T | |
| (47,634 | ) | |
| JPM | | Signify NV | | EUR | (112,929 | ) | | 3/2/2022 | | | (0.95 | )% | | | (0.40 | )% | | | 1 | M EURIBOR | | 1M/T | | | (25,830 | ) | |
| JPM | | SL Green Realty Corp. | | USD | (106,352 | ) | | 3/30/2022 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | (2,597 | ) | |
| JPM | | SolarEdge
Technologies, Inc. | | USD | (195,547 | ) | | 3/21/2022 | |
| (0.29 | )% | |
| (0.40 | )% | |
| 1 | M USD LIBOR | | 1M/T | |
| 17,771 |
| |
| JPM | | Stratasys Ltd. | | USD | (118,795 | ) | | 3/24/2022 | |
| (0.96
(0.83)% | )%- | |
| (1.07
(0.94)% | )%- | |
| 1 | M USD LIBOR | | 1M/T | |
| 16,387 |
| |
| JPM | | Strategic Education, Inc. | | USD | (198,984 | ) | | 9/27/2021 | | | (0.29 | )% | | | (0.40 | )% | | | 1 | M USD LIBOR | | 1M/T | | | 33,899 | | |
| MS | | Swisscom AG
(Registered) | | CHF | (71,818 | ) | | 12/9/2021 | |
| (1.08 | )% | |
| (0.35 | )% | |
| 1 | D SARON | | 1M/T | |
| 2,042 |
| |
| MS | | Telefonica SA | | EUR | (47,637 | ) | | 12/9/2021 | | | (0.88 | )% | | | (0.40 | )% | | | 1 | D EONIA | | 1M/T | | | 12,579 | | |
| MS | | Tesla, Inc. | | USD | (90,808 | ) | | 12/14/2021 | | | (0.29 | )% | | | (0.35 | )% | | | 1 | D FEDEF | | 1M/T | | | (5,068 | ) | |
See Notes to Consolidated Financial Statements
24
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Counterparty | | Reference
Entity | | Notional
Amount | | Maturity
Date | | Variable-
Rate(b) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Value
and
Unrealized
Appreciation/
(Depreciation) | |
MS | | Vinci SA | | EUR | (159,036 | ) | | 12/9/2021 | | | (0.83 | )% | | | (0.35 | )% | | | 1 | D EONIA | | 1M/T | | $ | (1,718 | ) | |
JPM | | Volvo AB | | SEK | (282,350 | ) | | 6/18/2021 | | | (0.56 | )% | | | (0.50 | )% | | | 1 | M STIBOR | | 1M/T | | | (8,099 | ) | |
JPM | | Westinghouse Air Brake
Technologies Corp. | | USD | (102,259 | ) | | 4/21/2022 | |
| (0.29 | )% | |
| (0.40 | )% | |
| 1 | M USD LIBOR | | 1M/T | |
| (1,084 | ) | |
Total Short Positions of equity swaps | | | | | | | | | | | | | | | | $ | (514,714 | ) | |
Total Long and Short Positions of equity swaps | | | | | | | | | | | | | | | | $ | 520,258 | | |
Total Financing Costs and Other Receivables/(Payables) of equity swaps | | | | | | | | | | | | | | | | $ | (4,943 | ) | |
Total Long and Short Positions including Financing Costs and
Other Receivables/(Payables) of equity swaps | | | | | | | | | | | | | | | | $ | 515,315 | | |
(a) The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity.
(b) Effective rate at April 30, 2021.
(c) The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity.
Total return basket swap contracts ("total return basket swaps")
At April 30, 2021, the Fund had outstanding total return basket swaps(a) as follows:
Over the counter total return basket swaps — Short(b)
| | | Counterparty | | Reference
Entity | | Effective
Variable
Rate(c) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Maturity
Date(s) | | Value | |
| | | JPM | | JPCR273 | | | (0.19 | )% | | | (0.30 | )% | | | 1 | M USD LIBOR | | 1M/T | | 4/21/2022 | | $ | 1,314 | | |
| | | JPM | | JPCR274 | | | (0.19 | )% | | | (0.30 | )% | | | 1 | M USD LIBOR | | 1M/T | | 4/22/2022 | | | (971 | ) | |
| | | JPM | | JPCR275 | | | (0.19 | )% | | | (0.30 | )% | | | 1 | M USD LIBOR | | 1M/T | | 4/25/2022 | | | (2,721 | ) | |
| | | JPM | | JPCR276 | | | (0.19 | )% | | | (0.30 | )% | | | 1 | M USD LIBOR | | 1M/T | | 4/26/2022 | | | 1,714 | | |
| | | JPM | | JPCR277 | | | (0.19 | )% | | | (0.30 | )% | | | 1 | M USD LIBOR | | 1M/T | | 4/27/2022 | | | 108 | | |
| | | JPM | | JPCR278 | | | (0.19 | )% | | | (0.30 | )% | | | 1 | M USD LIBOR | | 1M/T | | 4/28/2022 | | | 1,658 | | |
| | | JPM | | JPCR279 | | | (0.19 | )% | | | (0.30 | )% | | | 1 | M USD LIBOR | | 1M/T | | 4/29/2022 | | | 971 | | |
| | | JPM | | JPCR280 | | | (0.19 | )% | | | (0.30 | )% | | | 1 | M USD LIBOR | | 1M/T | | 4/29/2022 | | | 1,226 | | |
| | | JPM | | JPCR281 | | | (0.19 | )% | | | (0.30 | )% | | | 1 | M USD LIBOR | | 1M/T | | 5/3/2022 | | | 1,416 | | |
| | | JPM | | JPCR282 | | | (0.19 | )% | | | (0.30 | )% | | | 1 | M USD LIBOR | | 1M/T | | 5/4/2022 | | | (44 | ) | |
Total | | | | | | | | | | | | | | | | $ | 4,671 | | |
See Notes to Consolidated Financial Statements
25
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
(a) The following tables represent required component disclosures associated with the total return basket swaps:
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR273 | |
Canadian Imperial Bank of Commerce | | | (91 | ) | | $ | (11,055 | ) | | $ | 75 | | | | 5.3 | % | |
Realty Income Corp | | | (136 | ) | | | (10,947 | ) | | | 74 | | | | 5.2 | % | |
Sherwin-Williams Co/The | | | (34 | ) | | | (10,886 | ) | | | 73 | | | | 5.2 | % | |
Western Digital Corp | | | (132 | ) | | | (10,878 | ) | | | 73 | | | | 5.2 | % | |
Humana Inc | | | (21 | ) | | | (10,852 | ) | | | 73 | | | | 5.2 | % | |
HCA Healthcare Inc | | | (46 | ) | | | (10,832 | ) | | | 73 | | | | 5.2 | % | |
Moody's Corp | | | (28 | ) | | | (10,765 | ) | | | 73 | | | | 5.1 | % | |
Arista Networks Inc | | | (29 | ) | | | (10,560 | ) | | | 71 | | | | 5.0 | % | |
Magna International Inc | | | (95 | ) | | | (10,484 | ) | | | 71 | | | | 5.0 | % | |
Align Technology Inc | | | (15 | ) | | | (10,421 | ) | | | 71 | | | | 5.0 | % | |
ANSYS Inc | | | (24 | ) | | | (10,375 | ) | | | 70 | | | | 4.9 | % | |
Generac Holdings Inc | | | (27 | ) | | | (10,345 | ) | | | 70 | | | | 4.9 | % | |
General Motors Co | | | (155 | ) | | | (10,340 | ) | | | 70 | | | | 4.9 | % | |
CDW Corp/DE | | | (49 | ) | | | (10,282 | ) | | | 69 | | | | 4.9 | % | |
Zillow Group Inc | | | (68 | ) | | | (10,256 | ) | | | 69 | | | | 4.9 | % | |
LyondellBasell Industries NV | | | (84 | ) | | | (10,234 | ) | | | 69 | | | | 4.9 | % | |
Cisco Systems Inc/Delaware | | | (172 | ) | | | (10,230 | ) | | | 69 | | | | 4.8 | % | |
Fiserv Inc | | | (73 | ) | | | (10,188 | ) | | | 69 | | | | 4.8 | % | |
Micron Technology Inc | | | (100 | ) | | | (10,073 | ) | | | 68 | | | | 4.8 | % | |
Ford Motor Co | | | (743 | ) | | | (10,011 | ) | | | 68 | | | | 4.8 | % | |
| | | | | $ | (210,014 | ) | | $ | 1,418 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (104 | ) | | | |
| | | | | | | $ | 1,314 | | | | |
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR274 | |
United Parcel Service Inc | | | (30 | ) | | $ | (6,373 | ) | | $ | (25 | ) | | | 3.0 | % | |
WW Grainger Inc | | | (13 | ) | | | (5,900 | ) | | | (23 | ) | | | 2.8 | % | |
AT&T Inc | | | (179 | ) | | | (5,830 | ) | | | (23 | ) | | | 2.8 | % | |
West Pharmaceutical Services Inc | | | (17 | ) | | | (5,772 | ) | | | (23 | ) | | | 2.7 | % | |
Western Digital Corp | | | (79 | ) | | | (5,755 | ) | | | (23 | ) | | | 2.7 | % | |
HCA Healthcare Inc | | | (28 | ) | | | (5,742 | ) | | | (22 | ) | | | 2.7 | % | |
Sherwin-Williams Co/The | | | (20 | ) | | | (5,739 | ) | | | (22 | ) | | | 2.7 | % | |
Fastenal Co | | | (106 | ) | | | (5,728 | ) | | | (22 | ) | | | 2.7 | % | |
Mettler-Toledo International Inc | | | (4 | ) | | | (5,723 | ) | | | (22 | ) | | | 2.7 | % | |
Realty Income Corp | | | (80 | ) | | | (5,716 | ) | | | (22 | ) | | | 2.7 | % | |
See Notes to Consolidated Financial Statements
26
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR274 (cont'd) | |
Generac Holdings Inc | | | (17 | ) | | $ | (5,658 | ) | | $ | (22 | ) | | | 2.7 | % | |
Eaton Corp PLC | | | (38 | ) | | | (5,651 | ) | | | (22 | ) | | | 2.7 | % | |
International Paper Co | | | (94 | ) | | | (5,646 | ) | | | (22 | ) | | | 2.7 | % | |
Humana Inc | | | (12 | ) | | | (5,633 | ) | | | (22 | ) | | | 2.7 | % | |
Magna International Inc | | | (57 | ) | | | (5,591 | ) | | | (22 | ) | | | 2.6 | % | |
Stanley Black & Decker Inc | | | (26 | ) | | | (5,590 | ) | | | (22 | ) | | | 2.6 | % | |
Cintas Corp | | | (16 | ) | | | (5,589 | ) | | | (22 | ) | | | 2.6 | % | |
Motorola Solutions Inc | | | (29 | ) | | | (5,585 | ) | | | (22 | ) | | | 2.6 | % | |
ANSYS Inc | | | (15 | ) | | | (5,584 | ) | | | (22 | ) | | | 2.6 | % | |
Arista Networks Inc | | | (17 | ) | | | (5,572 | ) | | | (22 | ) | | | 2.6 | % | |
Agilent Technologies Inc | | | (40 | ) | | | (5,572 | ) | | | (22 | ) | | | 2.6 | % | |
Cognizant Technology Solutions Corp | | | (67 | ) | | | (5,566 | ) | | | (22 | ) | | | 2.6 | % | |
| 3M Co | | | (27 | ) | | | (5,525 | ) | | | (22 | ) | | | 2.6 | % | |
Rockwell Automation Inc | | | (20 | ) | | | (5,507 | ) | | | (22 | ) | | | 2.6 | % | |
General Motors Co | | | (93 | ) | | | (5,503 | ) | | | (22 | ) | | | 2.6 | % | |
Align Technology Inc | | | (9 | ) | | | (5,491 | ) | | | (21 | ) | | | 2.6 | % | |
Emerson Electric Co | | | (58 | ) | | | (5,487 | ) | | | (21 | ) | | | 2.6 | % | |
Caterpillar Inc | | | (23 | ) | | | (5,464 | ) | | | (21 | ) | | | 2.6 | % | |
CDW Corp/DE | | | (29 | ) | | | (5,448 | ) | | | (21 | ) | | | 2.6 | % | |
Zillow Group Inc | | | (40 | ) | | | (5,446 | ) | | | (21 | ) | | | 2.6 | % | |
Micron Technology Inc | | | (61 | ) | | | (5,419 | ) | | | (21 | ) | | | 2.6 | % | |
Automatic Data Processing Inc | | | (28 | ) | | | (5,400 | ) | | | (21 | ) | | | 2.6 | % | |
LyondellBasell Industries NV | | | (50 | ) | | | (5,386 | ) | | | (21 | ) | | | 2.6 | % | |
Cisco Systems Inc/Delaware | | | (102 | ) | | | (5,362 | ) | | | (21 | ) | | | 2.6 | % | |
PACCAR Inc | | | (58 | ) | | | (5,359 | ) | | | (21 | ) | | | 2.5 | % | |
Cummins Inc | | | (20 | ) | | | (5,338 | ) | | | (21 | ) | | | 2.5 | % | |
Ford Motor Co | | | (443 | ) | | | (5,304 | ) | | | (21 | ) | | | 2.5 | % | |
Hologic Inc | | | (70 | ) | | | (4,758 | ) | | | (20 | ) | | | 2.2 | % | |
| | | | | $ | (211,712 | ) | | $ | (829 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (142 | ) | | | |
| | | | | | | $ | (971 | ) | | | |
See Notes to Consolidated Financial Statements
27
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR275 | |
United Parcel Service Inc | | | (29 | ) | | $ | (6,180 | ) | | $ | (76 | ) | | | 3.0 | % | |
AT&T Inc | | | (177 | ) | | | (5,724 | ) | | | (71 | ) | | | 2.7 | % | |
WW Grainger Inc | | | (13 | ) | | | (5,708 | ) | | | (71 | ) | | | 2.7 | % | |
HCA Healthcare Inc | | | (27 | ) | | | (5,676 | ) | | | (70 | ) | | | 2.7 | % | |
Western Digital Corp | | | (78 | ) | | | (5,659 | ) | | | (70 | ) | | | 2.7 | % | |
Generac Holdings Inc | | | (17 | ) | | | (5,624 | ) | | | (69 | ) | | | 2.7 | % | |
Eaton Corp PLC | | | (38 | ) | | | (5,623 | ) | | | (69 | ) | | | 2.7 | % | |
West Pharmaceutical Services Inc | | | (17 | ) | | | (5,606 | ) | | | (69 | ) | | | 2.7 | % | |
Mettler-Toledo International Inc | | | (4 | ) | | | (5,602 | ) | | | (69 | ) | | | 2.7 | % | |
International Paper Co | | | (94 | ) | | | (5,601 | ) | | | (69 | ) | | | 2.7 | % | |
General Motors Co | | | (95 | ) | | | (5,589 | ) | | | (69 | ) | | | 2.7 | % | |
Sherwin-Williams Co/The | | | (20 | ) | | | (5,582 | ) | | | (69 | ) | | | 2.7 | % | |
Magna International Inc | | | (57 | ) | | | (5,572 | ) | | | (69 | ) | | | 2.7 | % | |
Fastenal Co | | | (103 | ) | | | (5,570 | ) | | | (69 | ) | | | 2.7 | % | |
Stanley Black & Decker Inc | | | (26 | ) | | | (5,550 | ) | | | (68 | ) | | | 2.6 | % | |
Arista Networks Inc | | | (17 | ) | | | (5,546 | ) | | | (68 | ) | | | 2.6 | % | |
Motorola Solutions Inc | | | (28 | ) | | | (5,536 | ) | | | (68 | ) | | | 2.6 | % | |
Cintas Corp | | | (16 | ) | | | (5,502 | ) | | | (68 | ) | | | 2.6 | % | |
Cognizant Technology Solutions Corp | | | (66 | ) | | | (5,501 | ) | | | (68 | ) | | | 2.6 | % | |
Agilent Technologies Inc | | | (40 | ) | | | (5,496 | ) | | | (68 | ) | | | 2.6 | % | |
Realty Income Corp | | | (77 | ) | | | (5,492 | ) | | | (68 | ) | | | 2.6 | % | |
Ford Motor Co | | | (461 | ) | | | (5,490 | ) | | | (68 | ) | | | 2.6 | % | |
Zillow Group Inc | | | (41 | ) | | | (5,486 | ) | | | (68 | ) | | | 2.6 | % | |
Humana Inc | | | (12 | ) | | | (5,475 | ) | | | (67 | ) | | | 2.6 | % | |
Rockwell Automation Inc | | | (20 | ) | | | (5,469 | ) | | | (67 | ) | | | 2.6 | % | |
Caterpillar Inc | | | (23 | ) | | | (5,459 | ) | | | (67 | ) | | | 2.6 | % | |
ANSYS Inc | | | (14 | ) | | | (5,458 | ) | | | (67 | ) | | | 2.6 | % | |
Align Technology Inc | | | (9 | ) | | | (5,441 | ) | | | (67 | ) | | | 2.6 | % | |
Emerson Electric Co | | | (58 | ) | | | (5,427 | ) | | | (67 | ) | | | 2.6 | % | |
| 3M Co | | | (27 | ) | | | (5,415 | ) | | | (67 | ) | | | 2.6 | % | |
LyondellBasell Industries NV | | | (51 | ) | | | (5,400 | ) | | | (67 | ) | | | 2.6 | % | |
CDW Corp/DE | | | (29 | ) | | | (5,374 | ) | | | (66 | ) | | | 2.6 | % | |
Micron Technology Inc | | | (60 | ) | | | (5,359 | ) | | | (66 | ) | | | 2.6 | % | |
Cisco Systems Inc/Delaware | | | (102 | ) | | | (5,354 | ) | | | (66 | ) | | | 2.6 | % | |
PACCAR Inc | | | (57 | ) | | | (5,316 | ) | | | (66 | ) | | | 2.5 | % | |
See Notes to Consolidated Financial Statements
28
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR275 (cont'd) | |
Automatic Data Processing Inc | | | (27 | ) | | $ | (5,283 | ) | | $ | (65 | ) | | | 2.5 | % | |
Cummins Inc | | | (20 | ) | | | (5,281 | ) | | | (65 | ) | | | 2.5 | % | |
Amgen Inc | | | (20 | ) | | | (5,037 | ) | | | (62 | ) | | | 2.4 | % | |
| | | | | $ | (209,463 | ) | | $ | (2,583 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (138 | ) | | | |
| | | | | | | $ | (2,721 | ) | | | |
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR276 | |
United Parcel Service Inc | | | (19 | ) | | $ | (4,143 | ) | | $ | 36 | | | | 2.0 | % | |
AT&T Inc | | | (113 | ) | | | (3,786 | ) | | | 33 | | | | 1.8 | % | |
Sysco Corp | | | (41 | ) | | | (3,732 | ) | | | 32 | | | | 1.8 | % | |
WW Grainger Inc | | | (8 | ) | | | (3,710 | ) | | | 32 | | | | 1.8 | % | |
International Paper Co | | | (60 | ) | | | (3,699 | ) | | | 32 | | | | 1.8 | % | |
HCA Healthcare Inc | | | (17 | ) | | | (3,694 | ) | | | 32 | | | | 1.8 | % | |
Western Digital Corp | | | (49 | ) | | | (3,690 | ) | | | 32 | | | | 1.8 | % | |
Cognizant Technology Solutions Corp | | | (43 | ) | | | (3,682 | ) | | | 32 | | | | 1.8 | % | |
West Pharmaceutical Services Inc | | | (11 | ) | | | (3,682 | ) | | | 32 | | | | 1.8 | % | |
Estee Lauder Cos Inc/The | | | (11 | ) | | | (3,675 | ) | | | 32 | | | | 1.8 | % | |
Sherwin-Williams Co/The | | | (13 | ) | | | (3,668 | ) | | | 32 | | | | 1.8 | % | |
Eaton Corp PLC | | | (24 | ) | | | (3,666 | ) | | | 32 | | | | 1.8 | % | |
Motorola Solutions Inc | | | (18 | ) | | | (3,665 | ) | | | 32 | | | | 1.8 | % | |
Philip Morris International Inc | | | (36 | ) | | | (3,660 | ) | | | 32 | | | | 1.8 | % | |
Hershey Co/The | | | (21 | ) | | | (3,659 | ) | | | 32 | | | | 1.7 | % | |
Fastenal Co | | | (65 | ) | | | (3,644 | ) | | | 32 | | | | 1.7 | % | |
Altria Group Inc | | | (72 | ) | | | (3,642 | ) | | | 32 | | | | 1.7 | % | |
Fidelity National Information Services I | | | (22 | ) | | | (3,640 | ) | | | 32 | | | | 1.7 | % | |
Generac Holdings Inc | | | (11 | ) | | | (3,640 | ) | | | 32 | | | | 1.7 | % | |
Stanley Black & Decker Inc | | | (17 | ) | | | (3,637 | ) | | | 31 | | | | 1.7 | % | |
Humana Inc | | | (8 | ) | | | (3,636 | ) | | | 31 | | | | 1.7 | % | |
Mettler-Toledo International Inc | | | (3 | ) | | | (3,635 | ) | | | 31 | | | | 1.7 | % | |
Ecolab Inc | | | (15 | ) | | | (3,631 | ) | | | 31 | | | | 1.7 | % | |
ANSYS Inc | | | (9 | ) | | | (3,627 | ) | | | 31 | | | | 1.7 | % | |
Agilent Technologies Inc | | | (25 | ) | | | (3,624 | ) | | | 31 | | | | 1.7 | % | |
Realty Income Corp | | | (49 | ) | | | (3,619 | ) | | | 31 | | | | 1.7 | % | |
Constellation Brands Inc | | | (14 | ) | | | (3,617 | ) | | | 31 | | | | 1.7 | % | |
See Notes to Consolidated Financial Statements
29
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR276 (cont'd) | |
Duke Energy Corp | | | (34 | ) | | $ | (3,615 | ) | | $ | 31 | | | | 1.7 | % | |
Arista Networks Inc | | | (11 | ) | | | (3,615 | ) | | | 31 | | | | 1.7 | % | |
General Motors Co | | | (59 | ) | | | (3,612 | ) | | | 31 | | | | 1.7 | % | |
Cintas Corp | | | (10 | ) | | | (3,603 | ) | | | 31 | | | | 1.7 | % | |
Rockwell Automation Inc | | | (13 | ) | | | (3,581 | ) | | | 31 | | | | 1.7 | % | |
Apple Inc | | | (26 | ) | | | (3,574 | ) | | | 31 | | | | 1.7 | % | |
Ford Motor Co | | | (291 | ) | | | (3,570 | ) | | | 31 | | | | 1.7 | % | |
McCormick & Co Inc/MD | | | (37 | ) | | | (3,568 | ) | | | 31 | | | | 1.7 | % | |
Emerson Electric Co | | | (37 | ) | | | (3,565 | ) | | | 31 | | | | 1.7 | % | |
Magna International Inc | | | (35 | ) | | | (3,565 | ) | | | 31 | | | | 1.7 | % | |
| 3M Co | | | (17 | ) | | | (3,562 | ) | | | 31 | | | | 1.7 | % | |
Caterpillar Inc | | | (15 | ) | | | (3,561 | ) | | | 31 | | | | 1.7 | % | |
PepsiCo Inc | | | (23 | ) | | | (3,560 | ) | | | 31 | | | | 1.7 | % | |
CDW Corp/DE | | | (19 | ) | | | (3,559 | ) | | | 31 | | | | 1.7 | % | |
Cisco Systems Inc/Delaware | | | (66 | ) | | | (3,558 | ) | | | 31 | | | | 1.7 | % | |
Pfizer Inc | | | (86 | ) | | | (3,548 | ) | | | 31 | | | | 1.7 | % | |
Hormel Foods Corp | | | (72 | ) | | | (3,544 | ) | | | 31 | | | | 1.7 | % | |
General Mills Inc | | | (54 | ) | | | (3,519 | ) | | | 30 | | | | 1.7 | % | |
Kellogg Co | | | (53 | ) | | | (3,510 | ) | | | 30 | | | | 1.7 | % | |
Align Technology Inc | | | (6 | ) | | | (3,508 | ) | | | 30 | | | | 1.7 | % | |
Kroger Co/The | | | (90 | ) | | | (3,498 | ) | | | 30 | | | | 1.7 | % | |
Zillow Group Inc | | | (25 | ) | | | (3,496 | ) | | | 30 | | | | 1.7 | % | |
Fiserv Inc | | | (27 | ) | | | (3,492 | ) | | | 30 | | | | 1.7 | % | |
Automatic Data Processing Inc | | | (18 | ) | | | (3,492 | ) | | | 30 | | | | 1.7 | % | |
Micron Technology Inc | | | (38 | ) | | | (3,491 | ) | | | 30 | | | | 1.7 | % | |
PACCAR Inc | | | (36 | ) | | | (3,484 | ) | | | 30 | | | | 1.7 | % | |
LyondellBasell Industries NV | | | (32 | ) | | | (3,482 | ) | | | 30 | | | | 1.7 | % | |
Cummins Inc | | | (13 | ) | | | (3,477 | ) | | | 30 | | | | 1.7 | % | |
Church & Dwight Co Inc | | | (38 | ) | | | (3,462 | ) | | | 30 | | | | 1.7 | % | |
Clorox Co/The | | | (17 | ) | | | (3,381 | ) | | | 29 | | | | 1.6 | % | |
Amgen Inc | | | (13 | ) | | | (3,361 | ) | | | 29 | | | | 1.6 | % | |
| | | | | $ | (208,816 | ) | | $ | 1,806 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (92 | ) | | | |
| | | | | | | $ | 1,714 | | | | |
See Notes to Consolidated Financial Statements
30
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR277 | |
United Parcel Service Inc | | | (15 | ) | | $ | (3,397 | ) | | $ | 2 | | | | 1.6 | % | |
Western Digital Corp | | | (42 | ) | | | (3,153 | ) | | | 2 | | | | 1.5 | % | |
O'Reilly Automotive Inc | | | (5 | ) | | | (3,088 | ) | | | 2 | | | | 1.5 | % | |
International Paper Co | | | (50 | ) | | | (3,070 | ) | | | 2 | | | | 1.5 | % | |
WW Grainger Inc | | | (7 | ) | | | (3,059 | ) | | | 2 | | | | 1.5 | % | |
Restaurant Brands International Inc | | | (42 | ) | | | (3,049 | ) | | | 2 | | | | 1.5 | % | |
Sysco Corp | | | (34 | ) | | | (3,042 | ) | | | 2 | | | | 1.4 | % | |
Altria Group Inc | | | (60 | ) | | | (3,037 | ) | | | 2 | | | | 1.4 | % | |
West Pharmaceutical Services Inc | | | (8 | ) | | | (3,019 | ) | | | 2 | | | | 1.4 | % | |
Cognizant Technology Solutions Corp | | | (35 | ) | | | (3,009 | ) | | | 2 | | | | 1.4 | % | |
LyondellBasell Industries NV | | | (27 | ) | | | (3,008 | ) | | | 2 | | | | 1.4 | % | |
Micron Technology Inc | | | (33 | ) | | | (3,005 | ) | | | 2 | | | | 1.4 | % | |
Sherwin-Williams Co/The | | | (10 | ) | | | (3,003 | ) | | | 2 | | | | 1.4 | % | |
VF Corp | | | (32 | ) | | | (3,001 | ) | | | 2 | | | | 1.4 | % | |
McDonald's Corp | | | (12 | ) | | | (2,997 | ) | | | 2 | | | | 1.4 | % | |
Hershey Co/The | | | (17 | ) | | | (2,995 | ) | | | 2 | | | | 1.4 | % | |
Ecolab Inc | | | (12 | ) | | | (2,992 | ) | | | 2 | | | | 1.4 | % | |
Eaton Corp PLC | | | (20 | ) | | | (2,990 | ) | | | 2 | | | | 1.4 | % | |
Philip Morris International Inc | | | (29 | ) | | | (2,989 | ) | | | 2 | | | | 1.4 | % | |
Fastenal Co | | | (54 | ) | | | (2,988 | ) | | | 2 | | | | 1.4 | % | |
Walgreens Boots Alliance Inc | | | (53 | ) | | | (2,987 | ) | | | 2 | | | | 1.4 | % | |
General Motors Co | | | (49 | ) | | | (2,987 | ) | | | 2 | | | | 1.4 | % | |
Mettler-Toledo International Inc | | | (2 | ) | | | (2,984 | ) | | | 2 | | | | 1.4 | % | |
Constellation Brands Inc | | | (12 | ) | | | (2,982 | ) | | | 2 | | | | 1.4 | % | |
Target Corp | | | (14 | ) | | | (2,982 | ) | | | 2 | | | | 1.4 | % | |
Arista Networks Inc | | | (9 | ) | | | (2,980 | ) | | | 2 | | | | 1.4 | % | |
Generac Holdings Inc | | | (9 | ) | | | (2,979 | ) | | | 2 | | | | 1.4 | % | |
Home Depot Inc/The | | | (9 | ) | | | (2,978 | ) | | | 2 | | | | 1.4 | % | |
Duke Energy Corp | | | (28 | ) | | | (2,976 | ) | | | 2 | | | | 1.4 | % | |
Estee Lauder Cos Inc/The | | | (9 | ) | | | (2,974 | ) | | | 2 | | | | 1.4 | % | |
Motorola Solutions Inc | | | (15 | ) | | | (2,971 | ) | | | 2 | | | | 1.4 | % | |
CVS Health Corp | | | (36 | ) | | | (2,966 | ) | | | 2 | | | | 1.4 | % | |
Tractor Supply Co | | | (15 | ) | | | (2,965 | ) | | | 2 | | | | 1.4 | % | |
ANSYS Inc | | | (7 | ) | | | (2,965 | ) | | | 2 | | | | 1.4 | % | |
Costco Wholesale Corp | | | (7 | ) | | | (2,964 | ) | | | 2 | | | | 1.4 | % | |
AT&T Inc | | | (89 | ) | | | (2,962 | ) | | | 2 | | | | 1.4 | % | |
Humana Inc | | | (6 | ) | | | (2,961 | ) | | | 2 | | | | 1.4 | % | |
See Notes to Consolidated Financial Statements
31
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR277 (cont'd) | |
Realty Income Corp | | | (40 | ) | | $ | (2,961 | ) | | $ | 2 | | | | 1.4 | % | |
Pfizer Inc | | | (72 | ) | | | (2,958 | ) | | | 2 | | | | 1.4 | % | |
Stanley Black & Decker Inc | | | (13 | ) | | | (2,953 | ) | | | 2 | | | | 1.4 | % | |
Dollar General Corp | | | (13 | ) | | | (2,952 | ) | | | 2 | | | | 1.4 | % | |
HCA Healthcare Inc | | | (14 | ) | | | (2,951 | ) | | | 2 | | | | 1.4 | % | |
Rockwell Automation Inc | | | (10 | ) | | | (2,949 | ) | | | 2 | | | | 1.4 | % | |
Caterpillar Inc | | | (12 | ) | | | (2,948 | ) | | | 2 | | | | 1.4 | % | |
Agilent Technologies Inc | | | (21 | ) | | | (2,938 | ) | | | 2 | | | | 1.4 | % | |
Cintas Corp | | | (8 | ) | | | (2,929 | ) | | | 2 | | | | 1.4 | % | |
Magna International Inc | | | (29 | ) | | | (2,927 | ) | | | 2 | | | | 1.4 | % | |
Lululemon Athletica Inc | | | (8 | ) | | | (2,927 | ) | | | 2 | | | | 1.4 | % | |
Emerson Electric Co | | | (30 | ) | | | (2,924 | ) | | | 2 | | | | 1.4 | % | |
Cisco Systems Inc/Delaware | | | (54 | ) | | | (2,924 | ) | | | 2 | | | | 1.4 | % | |
McCormick & Co Inc/MD | | | (30 | ) | | | (2,923 | ) | | | 2 | | | | 1.4 | % | |
Starbucks Corp | | | (24 | ) | | | (2,921 | ) | | | 2 | | | | 1.4 | % | |
PepsiCo Inc | | | (19 | ) | | | (2,919 | ) | | | 2 | | | | 1.4 | % | |
CDW Corp/DE | | | (15 | ) | | | (2,916 | ) | | | 2 | | | | 1.4 | % | |
Discovery Inc | | | (73 | ) | | | (2,915 | ) | | | 2 | | | | 1.4 | % | |
Best Buy Co Inc | | | (24 | ) | | | (2,913 | ) | | | 2 | | | | 1.4 | % | |
Hormel Foods Corp | | | (59 | ) | | | (2,907 | ) | | | 2 | | | | 1.4 | % | |
Zillow Group Inc | | | (21 | ) | | | (2,905 | ) | | | 2 | | | | 1.4 | % | |
Fox Corp | | | (73 | ) | | | (2,903 | ) | | | 2 | | | | 1.4 | % | |
| 3M Co | | | (14 | ) | | | (2,902 | ) | | | 2 | | | | 1.4 | % | |
General Mills Inc | | | (45 | ) | | | (2,902 | ) | | | 2 | | | | 1.4 | % | |
Kroger Co/The | | | (74 | ) | | | (2,887 | ) | | | 2 | | | | 1.4 | % | |
Kellogg Co | | | (43 | ) | | | (2,886 | ) | | | 2 | | | | 1.4 | % | |
PACCAR Inc | | | (30 | ) | | | (2,883 | ) | | | 2 | | | | 1.4 | % | |
Align Technology Inc | | | (5 | ) | | | (2,863 | ) | | | 2 | | | | 1.4 | % | |
Ford Motor Co | | | (233 | ) | | | (2,859 | ) | | | 2 | | | | 1.4 | % | |
Cummins Inc | | | (11 | ) | | | (2,855 | ) | | | 1 | | | | 1.4 | % | |
Automatic Data Processing Inc | | | (14 | ) | | | (2,839 | ) | | | 1 | | | | 1.4 | % | |
Church & Dwight Co Inc | | | (31 | ) | | | (2,829 | ) | | | 1 | | | | 1.4 | % | |
Amgen Inc | | | (11 | ) | | | (2,779 | ) | | | 1 | | | | 1.4 | % | |
Clorox Co/The | | | (14 | ) | | | (2,767 | ) | | | 1 | | | | 1.3 | % | |
| | | | | $ | (210,168 | ) | | $ | 137 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (29 | ) | | | |
| | | | | | | $ | 108 | | | | |
See Notes to Consolidated Financial Statements
32
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR278 | |
United Parcel Service Inc | | | (21 | ) | | $ | (4,103 | ) | | $ | 33 | | | | 1.9 | % | |
O'Reilly Automotive Inc | | | (7 | ) | | | (3,739 | ) | | | 30 | | | | 1.8 | % | |
Western Digital Corp | | | (55 | ) | | | (3,737 | ) | | | 30 | | | | 1.8 | % | |
Restaurant Brands International Inc | | | (56 | ) | | | (3,730 | ) | | | 30 | | | | 1.8 | % | |
Canadian Imperial Bank of Commerce | | | (37 | ) | | | (3,693 | ) | | | 30 | | | | 1.8 | % | |
WW Grainger Inc | | | (9 | ) | | | (3,687 | ) | | | 30 | | | | 1.7 | % | |
Cognizant Technology Solutions Corp | | | (47 | ) | | | (3,680 | ) | | | 30 | | | | 1.7 | % | |
International Paper Co | | | (65 | ) | | | (3,679 | ) | | | 29 | | | | 1.7 | % | |
West Pharmaceutical Services Inc | | | (11 | ) | | | (3,656 | ) | | | 29 | | | | 1.7 | % | |
Dollar General Corp | | | (17 | ) | | | (3,626 | ) | | | 29 | | | | 1.7 | % | |
McDonald's Corp | | | (16 | ) | | | (3,625 | ) | | | 29 | | | | 1.7 | % | |
Target Corp | | | (18 | ) | | | (3,624 | ) | | | 29 | | | | 1.7 | % | |
CVS Health Corp | | | (49 | ) | | | (3,618 | ) | | | 29 | | | | 1.7 | % | |
Fastenal Co | | | (71 | ) | | | (3,609 | ) | | | 29 | | | | 1.7 | % | |
Walgreens Boots Alliance Inc | | | (70 | ) | | | (3,607 | ) | | | 29 | | | | 1.7 | % | |
Micron Technology Inc | | | (43 | ) | | | (3,603 | ) | | | 29 | | | | 1.7 | % | |
AT&T Inc | | | (118 | ) | | | (3,603 | ) | | | 29 | | | | 1.7 | % | |
Sherwin-Williams Co/The | | | (14 | ) | | | (3,601 | ) | | | 29 | | | | 1.7 | % | |
Eaton Corp PLC | | | (26 | ) | | | (3,601 | ) | | | 29 | | | | 1.7 | % | |
Home Depot Inc/The | | | (11 | ) | | | (3,599 | ) | | | 29 | | | | 1.7 | % | |
Fidelity National Information Services I | | | (24 | ) | | | (3,599 | ) | | | 29 | | | | 1.7 | % | |
Moody's Corp | | | (11 | ) | | | (3,590 | ) | | | 29 | | | | 1.7 | % | |
Costco Wholesale Corp | | | (10 | ) | | | (3,590 | ) | | | 29 | | | | 1.7 | % | |
Realty Income Corp | | | (53 | ) | | | (3,589 | ) | | | 29 | | | | 1.7 | % | |
Tractor Supply Co | | | (20 | ) | | | (3,587 | ) | | | 29 | | | | 1.7 | % | |
General Motors Co | | | (64 | ) | | | (3,582 | ) | | | 29 | | | | 1.7 | % | |
LyondellBasell Industries NV | | | (36 | ) | | | (3,579 | ) | | | 29 | | | | 1.7 | % | |
HCA Healthcare Inc | | | (18 | ) | | | (3,576 | ) | | | 29 | | | | 1.7 | % | |
Humana Inc | | | (8 | ) | | | (3,574 | ) | | | 29 | | | | 1.7 | % | |
VF Corp | | | (42 | ) | | | (3,572 | ) | | | 29 | | | | 1.7 | % | |
Caterpillar Inc | | | (16 | ) | | | (3,570 | ) | | | 29 | | | | 1.7 | % | |
Motorola Solutions Inc | | | (20 | ) | | | (3,570 | ) | | | 29 | | | | 1.7 | % | |
Arista Networks Inc | | | (12 | ) | | | (3,562 | ) | | | 29 | | | | 1.7 | % | |
Stanley Black & Decker Inc | | | (18 | ) | | | (3,562 | ) | | | 29 | | | | 1.7 | % | |
Best Buy Co Inc | | | (32 | ) | | | (3,557 | ) | | | 29 | | | | 1.7 | % | |
ANSYS Inc | | | (10 | ) | | | (3,543 | ) | | | 28 | | | | 1.7 | % | |
Mettler-Toledo International Inc | | | (3 | ) | | | (3,543 | ) | | | 28 | | | | 1.7 | % | |
See Notes to Consolidated Financial Statements
33
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR278 (cont'd) | |
Lululemon Athletica Inc | | | (11 | ) | | $ | (3,541 | ) | | $ | 28 | | | | 1.7 | % | |
Rockwell Automation Inc | | | (14 | ) | | | (3,537 | ) | | | 28 | | | | 1.7 | % | |
Cisco Systems Inc/Delaware | | | (71 | ) | | | (3,532 | ) | | | 28 | | | | 1.7 | % | |
Discovery Inc | | | (97 | ) | | | (3,532 | ) | | | 28 | | | | 1.7 | % | |
Generac Holdings Inc | | | (11 | ) | | | (3,529 | ) | | | 28 | | | | 1.7 | % | |
Apple Inc | | | (28 | ) | | | (3,525 | ) | | | 28 | | | | 1.7 | % | |
Emerson Electric Co | | | (40 | ) | | | (3,525 | ) | | | 28 | | | | 1.7 | % | |
Agilent Technologies Inc | | | (27 | ) | | | (3,522 | ) | | | 28 | | | | 1.7 | % | |
CDW Corp/DE | | | (20 | ) | | | (3,517 | ) | | | 28 | | | | 1.7 | % | |
Cintas Corp | | | (10 | ) | | | (3,514 | ) | | | 28 | | | | 1.7 | % | |
| 3M Co | | | (18 | ) | | | (3,512 | ) | | | 28 | | | | 1.7 | % | |
Fox Corp | | | (97 | ) | | | (3,509 | ) | | | 28 | | | | 1.7 | % | |
Starbucks Corp | | | (32 | ) | | | (3,508 | ) | | | 28 | | | | 1.7 | % | |
Magna International Inc | | | (38 | ) | | | (3,481 | ) | | | 28 | | | | 1.6 | % | |
PACCAR Inc | | | (40 | ) | | | (3,468 | ) | | | 28 | | | | 1.6 | % | |
Align Technology Inc | | | (6 | ) | | | (3,459 | ) | | | 28 | | | | 1.6 | % | |
Cummins Inc | | | (14 | ) | | | (3,458 | ) | | | 27 | | | | 1.6 | % | |
Automatic Data Processing Inc | | | (19 | ) | | | (3,438 | ) | | | 27 | | | | 1.6 | % | |
Fiserv Inc | | | (29 | ) | | | (3,433 | ) | | | 27 | | | | 1.6 | % | |
Zillow Group Inc | | | (27 | ) | | | (3,421 | ) | | | 27 | | | | 1.6 | % | |
Ford Motor Co | | | (304 | ) | | | (3,401 | ) | | | 27 | | | | 1.6 | % | |
Amgen Inc | | | (14 | ) | | | (3,358 | ) | | | 27 | | | | 1.6 | % | |
| | | | | $ | (210,885 | ) | | $ | 1,691 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (33 | ) | | | |
| | | | | | | $ | 1,658 | | | | |
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR279 | |
United Parcel Service Inc | | | (22 | ) | | $ | (4,750 | ) | | $ | 23 | | | | 2.2 | % | |
O'Reilly Automotive Inc | | | (7 | ) | | | (4,304 | ) | | | 20 | | | | 2.0 | % | |
Restaurant Brands International Inc | | | (59 | ) | | | (4,237 | ) | | | 20 | | | | 2.0 | % | |
WW Grainger Inc | | | (9 | ) | | | (4,231 | ) | | | 20 | | | | 2.0 | % | |
International Paper Co | | | (69 | ) | | | (4,174 | ) | | | 20 | | | | 2.0 | % | |
Target Corp | | | (19 | ) | | | (4,169 | ) | | | 20 | | | | 2.0 | % | |
Canadian Imperial Bank of Commerce | | | (38 | ) | | | (4,164 | ) | | | 20 | | | | 2.0 | % | |
McDonald's Corp | | | (17 | ) | | | (4,163 | ) | | | 20 | | | | 2.0 | % | |
See Notes to Consolidated Financial Statements
34
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR279 (cont'd) | |
AT&T Inc | | | (127 | ) | | $ | (4,163 | ) | | $ | 20 | | | | 2.0 | % | |
Sherwin-Williams Co/The | | | (15 | ) | | | (4,162 | ) | | | 20 | | | | 2.0 | % | |
Dollar General Corp | | | (19 | ) | | | (4,155 | ) | | | 20 | | | | 2.0 | % | |
Home Depot Inc/The | | | (12 | ) | | | (4,143 | ) | | | 20 | | | | 2.0 | % | |
Cognizant Technology Solutions Corp | | | (49 | ) | | | (4,140 | ) | | | 20 | | | | 2.0 | % | |
Costco Wholesale Corp | | | (11 | ) | | | (4,136 | ) | | | 20 | | | | 1.9 | % | |
CVS Health Corp | | | (52 | ) | | | (4,132 | ) | | | 20 | | | | 1.9 | % | |
Walgreens Boots Alliance Inc | | | (74 | ) | | | (4,125 | ) | | | 20 | | | | 1.9 | % | |
Fastenal Co | | | (76 | ) | | | (4,125 | ) | | | 20 | | | | 1.9 | % | |
Moody's Corp | | | (12 | ) | | | (4,114 | ) | | | 20 | | | | 1.9 | % | |
Stanley Black & Decker Inc | | | (19 | ) | | | (4,102 | ) | | | 20 | | | | 1.9 | % | |
Mettler-Toledo International Inc | | | (3 | ) | | | (4,098 | ) | | | 19 | | | | 1.9 | % | |
VF Corp | | | (45 | ) | | | (4,090 | ) | | | 19 | | | | 1.9 | % | |
Realty Income Corp | | | (57 | ) | | | (4,086 | ) | | | 19 | | | | 1.9 | % | |
Eaton Corp PLC | | | (27 | ) | | | (4,084 | ) | | | 19 | | | | 1.9 | % | |
Best Buy Co Inc | | | (34 | ) | | | (4,070 | ) | | | 19 | | | | 1.9 | % | |
Lululemon Athletica Inc | | | (12 | ) | | | (4,066 | ) | | | 19 | | | | 1.9 | % | |
Motorola Solutions Inc | | | (21 | ) | | | (4,055 | ) | | | 19 | | | | 1.9 | % | |
Caterpillar Inc | | | (17 | ) | | | (4,053 | ) | | | 19 | | | | 1.9 | % | |
Western Digital Corp | | | (55 | ) | | | (4,052 | ) | | | 19 | | | | 1.9 | % | |
LyondellBasell Industries NV | | | (37 | ) | | | (4,050 | ) | | | 19 | | | | 1.9 | % | |
Rockwell Automation Inc | | | (15 | ) | | | (4,048 | ) | | | 19 | | | | 1.9 | % | |
Cintas Corp | | | (11 | ) | | | (4,047 | ) | | | 19 | | | | 1.9 | % | |
Tractor Supply Co | | | (21 | ) | | | (4,046 | ) | | | 19 | | | | 1.9 | % | |
Starbucks Corp | | | (34 | ) | | | (4,046 | ) | | | 19 | | | | 1.9 | % | |
| 3M Co | | | (20 | ) | | | (4,045 | ) | | | 19 | | | | 1.9 | % | |
Cisco Systems Inc/Delaware | | | (76 | ) | | | (4,038 | ) | | | 19 | | | | 1.9 | % | |
General Motors Co | | | (67 | ) | | | (4,027 | ) | | | 19 | | | | 1.9 | % | |
Emerson Electric Co | | | (43 | ) | | | (4,023 | ) | | | 19 | | | | 1.9 | % | |
Arista Networks Inc | | | (12 | ) | | | (4,021 | ) | | | 19 | | | | 1.9 | % | |
Micron Technology Inc | | | (45 | ) | | | (4,014 | ) | | | 19 | | | | 1.9 | % | |
Fox Corp | | | (103 | ) | | | (4,013 | ) | | | 19 | | | | 1.9 | % | |
Generac Holdings Inc | | | (12 | ) | | | (4,011 | ) | | | 19 | | | | 1.9 | % | |
CDW Corp/DE | | | (21 | ) | | | (3,989 | ) | | | 19 | | | | 1.9 | % | |
Agilent Technologies Inc | | | (29 | ) | | | (3,986 | ) | | | 19 | | | | 1.9 | % | |
Cummins Inc | | | (15 | ) | | | (3,985 | ) | | | 19 | | | | 1.9 | % | |
ANSYS Inc | | | (10 | ) | | | (3,974 | ) | | | 19 | | | | 1.9 | % | |
See Notes to Consolidated Financial Statements
35
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR279 (cont'd) | |
Discovery Inc | | | (101 | ) | | $ | (3,971 | ) | | $ | 19 | | | | 1.9 | % | |
Magna International Inc | | | (40 | ) | | | (3,958 | ) | | | 19 | | | | 1.9 | % | |
PACCAR Inc | | | (42 | ) | | | (3,944 | ) | | | 19 | | | | 1.9 | % | |
Automatic Data Processing Inc | | | (20 | ) | | | (3,925 | ) | | | 19 | | | | 1.9 | % | |
Fiserv Inc | | | (31 | ) | | | (3,888 | ) | | | 18 | | | | 1.8 | % | |
Ford Motor Co | | | (320 | ) | | | (3,853 | ) | | | 18 | | | | 1.8 | % | |
Zillow Group Inc | | | (28 | ) | | | (3,775 | ) | | | 18 | | | | 1.8 | % | |
| | | | | $ | (212,020 | ) | | $ | 1,007 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (36 | ) | | | |
| | | | | | | $ | 971 | | | | |
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR280 | |
United Parcel Service Inc | | | (20 | ) | | $ | (4,240 | ) | | $ | 25 | | | | 2.0 | % | |
O'Reilly Automotive Inc | | | (8 | ) | | | (4,191 | ) | | | 25 | | | | 2.0 | % | |
Restaurant Brands International Inc | | | (59 | ) | | | (4,142 | ) | | | 25 | | | | 2.0 | % | |
WW Grainger Inc | | | (9 | ) | | | (4,135 | ) | | | 25 | | | | 1.9 | % | |
AT&T Inc | | | (128 | ) | | | (4,122 | ) | | | 24 | | | | 1.9 | % | |
CVS Health Corp | | | (53 | ) | | | (4,107 | ) | | | 24 | | | | 1.9 | % | |
Sherwin-Williams Co/The | | | (15 | ) | | | (4,103 | ) | | | 24 | | | | 1.9 | % | |
International Paper Co | | | (69 | ) | | | (4,102 | ) | | | 24 | | | | 1.9 | % | |
Target Corp | | | (19 | ) | | | (4,095 | ) | | | 24 | | | | 1.9 | % | |
| 3M Co | | | (20 | ) | | | (4,094 | ) | | | 24 | | | | 1.9 | % | |
Canadian Imperial Bank of Commerce | | | (39 | ) | | | (4,093 | ) | | | 24 | | | | 1.9 | % | |
Walgreens Boots Alliance Inc | | | (75 | ) | | | (4,083 | ) | | | 24 | | | | 1.9 | % | |
Dollar General Corp | | | (19 | ) | | | (4,082 | ) | | | 24 | | | | 1.9 | % | |
Home Depot Inc/The | | | (12 | ) | | | (4,077 | ) | | | 24 | | | | 1.9 | % | |
Fastenal Co | | | (76 | ) | | | (4,067 | ) | | | 24 | | | | 1.9 | % | |
Cognizant Technology Solutions Corp | | | (50 | ) | | | (4,061 | ) | | | 24 | | | | 1.9 | % | |
Costco Wholesale Corp | | | (11 | ) | | | (4,058 | ) | | | 24 | | | | 1.9 | % | |
McDonald's Corp | | | (17 | ) | | | (4,057 | ) | | | 24 | | | | 1.9 | % | |
Realty Income Corp | | | (57 | ) | | | (4,055 | ) | | | 24 | | | | 1.9 | % | |
Moody's Corp | | | (12 | ) | | | (4,042 | ) | | | 24 | | | | 1.9 | % | |
Stanley Black & Decker Inc | | | (19 | ) | | | (4,015 | ) | | | 24 | | | | 1.9 | % | |
Mettler-Toledo International Inc | | | (3 | ) | | | (4,009 | ) | | | 24 | | | | 1.9 | % | |
Motorola Solutions Inc | | | (21 | ) | | | (4,007 | ) | | | 24 | | | | 1.9 | % | |
See Notes to Consolidated Financial Statements
36
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR280 (cont'd) | |
Cisco Systems Inc/Delaware | | | (77 | ) | | $ | (4,002 | ) | | $ | 24 | | | | 1.9 | % | |
Caterpillar Inc | | | (17 | ) | | | (3,999 | ) | | | 24 | | | | 1.9 | % | |
Tractor Supply Co | | | (21 | ) | | | (3,998 | ) | | | 24 | | | | 1.9 | % | |
LyondellBasell Industries NV | | | (38 | ) | | | (3,993 | ) | | | 24 | | | | 1.9 | % | |
Eaton Corp PLC | | | (27 | ) | | | (3,991 | ) | | | 24 | | | | 1.9 | % | |
Lululemon Athletica Inc | | | (12 | ) | | | (3,990 | ) | | | 24 | | | | 1.9 | % | |
Arista Networks Inc | | | (12 | ) | | | (3,989 | ) | | | 24 | | | | 1.9 | % | |
Fiserv Inc | | | (32 | ) | | | (3,987 | ) | | | 24 | | | | 1.9 | % | |
Starbucks Corp | | | (34 | ) | | | (3,980 | ) | | | 24 | | | | 1.9 | % | |
Cintas Corp | | | (11 | ) | | | (3,980 | ) | | | 24 | | | | 1.9 | % | |
PACCAR Inc | | | (43 | ) | | | (3,976 | ) | | | 24 | | | | 1.9 | % | |
Rockwell Automation Inc | | | (15 | ) | | | (3,972 | ) | | | 24 | | | | 1.9 | % | |
VF Corp | | | (44 | ) | | | (3,971 | ) | | | 24 | | | | 1.9 | % | |
Best Buy Co Inc | | | (33 | ) | | | (3,967 | ) | | | 24 | | | | 1.9 | % | |
Emerson Electric Co | | | (43 | ) | | | (3,965 | ) | | | 24 | | | | 1.9 | % | |
Agilent Technologies Inc | | | (29 | ) | | | (3,954 | ) | | | 24 | | | | 1.9 | % | |
ANSYS Inc | | | (11 | ) | | | (3,953 | ) | | | 24 | | | | 1.9 | % | |
Cummins Inc | | | (15 | ) | | | (3,947 | ) | | | 23 | | | | 1.9 | % | |
Fox Corp | | | (103 | ) | | | (3,947 | ) | | | 23 | | | | 1.9 | % | |
Generac Holdings Inc | | | (12 | ) | | | (3,943 | ) | | | 23 | | | | 1.9 | % | |
Western Digital Corp | | | (55 | ) | | | (3,936 | ) | | | 23 | | | | 1.8 | % | |
CDW Corp/DE | | | (22 | ) | | | (3,924 | ) | | | 23 | | | | 1.8 | % | |
General Motors Co | | | (67 | ) | | | (3,918 | ) | | | 23 | | | | 1.8 | % | |
Discovery Inc | | | (101 | ) | | | (3,898 | ) | | | 23 | | | | 1.8 | % | |
Micron Technology Inc | | | (44 | ) | | | (3,885 | ) | | | 23 | | | | 1.8 | % | |
Align Technology Inc | | | (6 | ) | | | (3,867 | ) | | | 23 | | | | 1.8 | % | |
Automatic Data Processing Inc | | | (20 | ) | | | (3,854 | ) | | | 23 | | | | 1.8 | % | |
Magna International Inc | | | (40 | ) | | | (3,847 | ) | | | 23 | | | | 1.8 | % | |
Zillow Group Inc | | | (29 | ) | | | (3,780 | ) | | | 22 | | | | 1.8 | % | |
Ford Motor Co | | | (316 | ) | | | (3,731 | ) | | | 22 | | | | 1.8 | % | |
| | | | | $ | (212,181 | ) | | $ | 1,261 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (35 | ) | | | |
| | | | | | | $ | 1,226 | | | | |
See Notes to Consolidated Financial Statements
37
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR281 | |
O'Reilly Automotive Inc | | | (8 | ) | | $ | (4,759 | ) | | $ | 32 | | | | 2.2 | % | |
Generac Holdings Inc | | | (14 | ) | | | (4,666 | ) | | | 31 | | | | 2.2 | % | |
Duke Energy Corp | | | (43 | ) | | | (4,651 | ) | | | 31 | | | | 2.2 | % | |
Moody's Corp | | | (13 | ) | | | (4,648 | ) | | | 31 | | | | 2.2 | % | |
Restaurant Brands International Inc | | | (63 | ) | | | (4,643 | ) | | | 31 | | | | 2.2 | % | |
West Pharmaceutical Services Inc | | | (13 | ) | | | (4,642 | ) | | | 31 | | | | 2.2 | % | |
Starbucks Corp | | | (38 | ) | | | (4,638 | ) | | | 31 | | | | 2.2 | % | |
Sherwin-Williams Co/The | | | (16 | ) | | | (4,636 | ) | | | 31 | | | | 2.2 | % | |
McDonald's Corp | | | (18 | ) | | | (4,625 | ) | | | 31 | | | | 2.2 | % | |
Humana Inc | | | (10 | ) | | | (4,622 | ) | | | 31 | | | | 2.2 | % | |
AT&T Inc | | | (137 | ) | | | (4,620 | ) | | | 31 | | | | 2.2 | % | |
Target Corp | | | (21 | ) | | | (4,616 | ) | | | 31 | | | | 2.2 | % | |
Walgreens Boots Alliance Inc | | | (81 | ) | | | (4,614 | ) | | | 31 | | | | 2.2 | % | |
CVS Health Corp | | | (57 | ) | | | (4,614 | ) | | | 31 | | | | 2.2 | % | |
HCA Healthcare Inc | | | (22 | ) | | | (4,612 | ) | | | 31 | | | | 2.2 | % | |
Dollar General Corp | | | (20 | ) | | | (4,611 | ) | | | 31 | | | | 2.2 | % | |
Home Depot Inc/The | | | (13 | ) | | | (4,610 | ) | | | 31 | | | | 2.2 | % | |
Altria Group Inc | | | (90 | ) | | | (4,608 | ) | | | 31 | | | | 2.1 | % | |
Philip Morris International Inc | | | (45 | ) | | | (4,594 | ) | | | 31 | | | | 2.1 | % | |
Realty Income Corp | | | (62 | ) | | | (4,590 | ) | | | 31 | | | | 2.1 | % | |
Costco Wholesale Corp | | | (12 | ) | | | (4,584 | ) | | | 31 | | | | 2.1 | % | |
Canadian Imperial Bank of Commerce | | | (41 | ) | | | (4,583 | ) | | | 31 | | | | 2.1 | % | |
Discovery Inc | | | (114 | ) | | | (4,574 | ) | | | 31 | | | | 2.1 | % | |
Cognizant Technology Solutions Corp | | | (53 | ) | | | (4,566 | ) | | | 31 | | | | 2.1 | % | |
Micron Technology Inc | | | (50 | ) | | | (4,555 | ) | | | 31 | | | | 2.1 | % | |
Western Digital Corp | | | (60 | ) | | | (4,555 | ) | | | 30 | | | | 2.1 | % | |
Tractor Supply Co | | | (23 | ) | | | (4,553 | ) | | | 30 | | | | 2.1 | % | |
Motorola Solutions Inc | | | (23 | ) | | | (4,546 | ) | | | 30 | | | | 2.1 | % | |
Cisco Systems Inc/Delaware | | | (83 | ) | | | (4,536 | ) | | | 30 | | | | 2.1 | % | |
Estee Lauder Cos Inc/The | | | (13 | ) | | | (4,529 | ) | | | 30 | | | | 2.1 | % | |
Best Buy Co Inc | | | (36 | ) | | | (4,518 | ) | | | 30 | | | | 2.1 | % | |
Mettler-Toledo International Inc | | | (3 | ) | | | (4,517 | ) | | | 30 | | | | 2.1 | % | |
Lululemon Athletica Inc | | | (13 | ) | | | (4,516 | ) | | | 30 | | | | 2.1 | % | |
Agilent Technologies Inc | | | (32 | ) | | | (4,514 | ) | | | 30 | | | | 2.1 | % | |
Fox Corp | | | (112 | ) | | | (4,505 | ) | | | 30 | | | | 2.1 | % | |
Clorox Co/The | | | (23 | ) | | | (4,490 | ) | | | 30 | | | | 2.1 | % | |
Arista Networks Inc | | | (13 | ) | | | (4,474 | ) | | | 30 | | | | 2.1 | % | |
See Notes to Consolidated Financial Statements
38
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR281 (cont'd) | |
VF Corp | | | (48 | ) | | $ | (4,469 | ) | | $ | 30 | | | | 2.1 | % | |
CDW Corp/DE | | | (23 | ) | | | (4,461 | ) | | | 30 | | | | 2.1 | % | |
General Motors Co | | | (73 | ) | | | (4,450 | ) | | | 30 | | | | 2.1 | % | |
LyondellBasell Industries NV | | | (40 | ) | | | (4,441 | ) | | | 30 | | | | 2.1 | % | |
ANSYS Inc | | | (11 | ) | | | (4,435 | ) | | | 30 | | | | 2.1 | % | |
Fiserv Inc | | | (34 | ) | | | (4,431 | ) | | | 30 | | | | 2.1 | % | |
Align Technology Inc | | | (7 | ) | | | (4,421 | ) | | | 29 | | | | 2.0 | % | |
Zillow Group Inc | | | (31 | ) | | | (4,361 | ) | | | 29 | | | | 2.0 | % | |
Magna International Inc | | | (43 | ) | | | (4,335 | ) | | | 29 | | | | 2.0 | % | |
Ford Motor Co | | | (342 | ) | | | (4,227 | ) | | | 28 | | | | 2.0 | % | |
| | | | | $ | (213,765 | ) | | $ | 1,431 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (15 | ) | | | |
| | | | | | | $ | 1,416 | | | | |
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR282 | |
Ford Motor Co | | | (579 | ) | | $ | (7,906 | ) | | $ | (2 | ) | | | 3.7 | % | |
Restaurant Brands International Inc | | | (96 | ) | | | (7,808 | ) | | | (2 | ) | | | 3.6 | % | |
West Pharmaceutical Services Inc | | | (20 | ) | | | (7,808 | ) | | | (2 | ) | | | 3.6 | % | |
General Motors Co | | | (115 | ) | | | (7,803 | ) | | | (2 | ) | | | 3.6 | % | |
Duke Energy Corp | | | (66 | ) | | | (7,802 | ) | | | (2 | ) | | | 3.6 | % | |
O'Reilly Automotive Inc | | | (12 | ) | | | (7,794 | ) | | | (2 | ) | | | 3.6 | % | |
Walgreens Boots Alliance Inc | | | (124 | ) | | | (7,767 | ) | | | (2 | ) | | | 3.6 | % | |
McDonald's Corp | | | (28 | ) | | | (7,743 | ) | | | (2 | ) | | | 3.6 | % | |
Sherwin-Williams Co/The | | | (24 | ) | | | (7,726 | ) | | | (2 | ) | | | 3.6 | % | |
CVS Health Corp | | | (85 | ) | | | (7,717 | ) | | | (2 | ) | | | 3.6 | % | |
Dollar General Corp | | | (30 | ) | | | (7,710 | ) | | | (2 | ) | | | 3.6 | % | |
Target Corp | | | (31 | ) | | | (7,710 | ) | | | (2 | ) | | | 3.6 | % | |
Starbucks Corp | | | (57 | ) | | | (7,705 | ) | | | (2 | ) | | | 3.6 | % | |
Realty Income Corp | | | (94 | ) | | | (7,696 | ) | | | (2 | ) | | | 3.6 | % | |
Costco Wholesale Corp | | | (17 | ) | | | (7,684 | ) | | | (2 | ) | | | 3.6 | % | |
HCA Healthcare Inc | | | (32 | ) | | | (7,680 | ) | | | (2 | ) | | | 3.6 | % | |
Humana Inc | | | (15 | ) | | | (7,673 | ) | | | (1 | ) | | | 3.6 | % | |
Discovery Inc | | | (172 | ) | | | (7,655 | ) | | | (1 | ) | | | 3.6 | % | |
Fox Corp | | | (173 | ) | | | (7,642 | ) | | | (1 | ) | | | 3.6 | % | |
Tractor Supply Co | | | (34 | ) | | | (7,637 | ) | | | (1 | ) | | | 3.6 | % | |
See Notes to Consolidated Financial Statements
39
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPCR282 (cont'd) | |
VF Corp | | | (74 | ) | | $ | (7,616 | ) | | $ | (1 | ) | | | 3.5 | % | |
Align Technology Inc | | | (11 | ) | | | (7,602 | ) | | | (1 | ) | | | 3.5 | % | |
Magna International Inc | | | (68 | ) | | | (7,585 | ) | | | (1 | ) | | | 3.5 | % | |
Best Buy Co Inc | | | (55 | ) | | | (7,582 | ) | | | (1 | ) | | | 3.5 | % | |
Zillow Group Inc | | | (49 | ) | | | (7,579 | ) | | | (1 | ) | | | 3.5 | % | |
Lululemon Athletica Inc | | | (19 | ) | | | (7,542 | ) | | | (1 | ) | | | 3.5 | % | |
LyondellBasell Industries NV | | | (61 | ) | | | (7,445 | ) | | | (1 | ) | | | 3.5 | % | |
Generac Holdings Inc | | | (19 | ) | | | (7,411 | ) | | | (1 | ) | | | 3.4 | % | |
| | | | | $ | (215,028 | ) | | $ | (44 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | — | | | | |
| | | | | | | $ | (44 | ) | | | |
Total Return Basket Swaps, at value | | | | | | $ | 4,671 | | | | |
(b) The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. The cash flows may be denominated in various foreign currencies based on the local currencies of the positions within the swaps.
(c) Effective rate at April 30, 2021.
For the six months ended April 30, 2021, the average notional value for the months where the Fund had equity and total return basket swaps outstanding was $10,755,125 for long positions and $(11,515,496) for short positions.
At April 30, 2021, the Fund had cash collateral of $4,120,000, $1,920,000 and $1,116,011 deposited in a segregated account for JPMorgan Chase Bank, NA, Morgan Stanley Capital Services LLC and Societe Generale, respectively, to cover collateral requirements on over the counter derivatives.
Option contracts ("options")
At April 30, 2021, the Fund did not have any open positions in options. For the six months ended April 30, 2021, the average market value for the months where the Fund had options outstanding was $(1,609) for options written.
Abbreviations
BBSW Australian Bank-Bill Swap Reference Rate
CDOR Canadian Dollar Offered Rate
EONIA Euro Overnight Index Average Rate
EURIBOR Euro Interbank Offered Rate
FEDEF Federal Funds Floating Rate
JPM JPMorgan Chase Bank, NA
LIBOR London Interbank Offered Rate
MS Morgan Stanley Capital Services LLC
NIBOR Norway Interbank Offered Rate
SARON Swiss Average Overnight Rate
SG Societe Generale
SIBOR Singapore Interbank Offered Rate
SONIA Sterling Overnight Index Average Rate
STIBOR Stockholm Interbank Offered Rate
T Termination Date
1D One Day
1M One Month
1W One Week
See Notes to Consolidated Financial Statements
40
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Currency Abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP Pound Sterling
HKD Hong Kong Dollar
HUF Hungarian Forint
ILS Israeli New Shekel
INR Indian Rupee
JPY Japanese Yen
KRW Korean Won
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PHP Philippine Peso
PLN Poland Zloty
SEK Swedish Krona
SGD Singapore Dollar
THB Thailand Baht
TRY Turkish Lira
USD United States Dollar
ZAR South African Rand
The following is a summary, categorized by Level (see Note A of Notes to Consolidated Financial Statements), of inputs used to value the Fund's investments as of April 30, 2021:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3* | | Total | |
Investments: | |
Common Stocks | |
Airlines | | $ | 13,532 | | | $ | — | | | $ | 575 | | | $ | 14,107 | | |
Communications Equipment | | | — | | | | — | | | | 1,895 | | | | 1,895 | | |
Health Care Equipment & Supplies | | | 1,106,156 | | | | — | | | | — | | | | 1,106,156 | | |
Interactive Media & Services | | | 1,881,322 | | | | — | | | | 335 | | | | 1,881,657 | | |
Internet & Direct Marketing Retail | | | 1,952,921 | | | | — | | | | 932,742 | | | | 2,885,663 | | |
Media | | | 581,494 | | | | — | | | | 2,811 | | | | 584,305 | | |
Oil, Gas & Consumable Fuels | | | 57,375 | | | | — | | | | 393 | | | | 57,768 | | |
Pharmaceuticals | | | 1,055,973 | | | | — | | | | — | | | | 1,055,973 | | |
Semiconductors & Semiconductor Equipment | | | 1,374,177 | | | | — | | | | — | | | | 1,374,177 | | |
Specialty Retail | | | 567,481 | | | | — | | | | 24,960 | | | | 592,441 | | |
| Other Common Stocks(a) | | | 32,335,176 | | | | — | | | | — | | | | 32,335,176 | | |
Total Common Stocks | | | 40,925,607 | | | | — | | | | 963,711 | | | | 41,889,318 | | |
Collateralized Mortgage Obligations | | | — | | | | 907,521 | | | | — | | | | 907,521 | | |
See Notes to Consolidated Financial Statements
41
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Asset Valuation Inputs (cont'd) | | Level 1 | | Level 2 | | Level 3* | | Total | |
Rights | |
Biotechnology | | $ | — | | | $ | — | | | $ | 175,775 | | | $ | 175,775 | | |
Media | | | — | | | | — | | | | — | | | | — | | |
Metals & Mining | | | 34,848 | | | | — | | | | — | | | | 34,848 | | |
Pharmaceuticals | | | — | | | | — | | | | 1,251 | | | | 1,251 | | |
Total Rights | | | 34,848 | | | | — | | | | 177,026 | | | | 211,874 | | |
Warrants | |
Capital Markets | | | 10,203 | | | | 9,576 | | | | — | | | | 19,779 | | |
Oil, Gas & Consumable Fuels | | | — | | | | — | | | | 142,455 | | | | 142,455 | | |
Total Warrants | | | 10,203 | | | | 9,576 | | | | 142,455 | | | | 162,234 | | |
| Convertible Preferred Stocks(a) | | | 95,108 | | | | — | | | | — | | | | 95,108 | | |
| Preferred Stocks(a) | | | 49,755 | | | | — | | | | — | | | | 49,755 | | |
Loan Assignments | |
Media | | | — | | | | — | | | | 7,461 | | | | 7,461 | | |
Oil, Gas & Consumable Fuels | | | — | | | | — | | | | 22,920 | | | | 22,920 | | |
Total Loan Assignments | | | — | | | | — | | | | 30,381 | | | | 30,381 | | |
Asset-Backed Securities | | | — | | | | 21,182 | | | | — | | | | 21,182 | | |
| Corporate Bonds(a) | | | — | | | | — | | | | — | | | | — | | |
Short-Term Investments | | | — | | | | 27,374,681 | | | | — | | | | 27,374,681 | | |
Total Long Positions | | $ | 41,115,521 | | | $ | 28,312,960 | | | $ | 1,313,573 | | | $ | 70,742,054 | | |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization for the portfolio.
* The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
| | | Common
Stocks(a)(b) | | Corporate
Bonds(a) | | Loan
Assignments(a)(b) | | Rights(a)(b)(c) | | Warrants(a) | | Total | |
Assets: | |
Investments in Securities: | |
Beginning Balance as of November 1, 2020 | | $ | 1,363,663 | | | $ | — | | | $ | 172,558 | | | $ | 213,040 | | | $ | 181,809 | | | $ | 1,931,070 | | |
Transfers into Level 3 | | | 7,758 | | | | — | | | | 23,210 | | | | — | | | | — | | | | 30,968 | | |
Transfers out of Level 3 | | | — | | | | — | | | | — | | | | — | | | | (9,045 | ) | | | (9,045 | ) | |
Accrued discounts/(premiums) | | | — | | | | — | | | | 2,821 | | | | — | | | | — | | | | 2,821 | | |
Realized gain/(loss) | | | (97,646 | ) | | | — | | | | (94,342 | ) | | | — | | | | (157,640 | ) | | | (349,628 | ) | |
Change in unrealized appreciation/(depreciation) | | | 104,818 | | | | — | | | | (12,286 | ) | | | (36,014 | ) | | | 127,331 | | | | 183,849 | | |
Purchases | | | 103,151 | | | | — | | | | 33,607 | | | | — | | | | — | | | | 136,758 | | |
Sales | | | (518,033 | ) | | | — | | | | (95,187 | ) | | | — | | | | — | | | | (613,220 | ) | |
Balance as of April 30, 2021 | | $ | 963,711 | | | $ | — | | | $ | 30,381 | | | $ | 177,026 | | | $ | 142,455 | | | $ | 1,313,573 | | |
Net change in unrealized appreciation/
(depreciation) on investments still held as of
April 30, 2021 | | $ | 104,818 | | | $ | — | | | $ | (10,294 | ) | | $ | (36,014 | ) | | $ | 127,331 | | | $ | 185,841 | | |
See Notes to Consolidated Financial Statements
42
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
(a) As of the six months ended April 30, 2021, these securities were fair valued in accordance with procedures approved by the Board of Trustees. Certain of these investments did not have a material impact on the Fund's net assets; therefore, disclosure of unobservable inputs used in formulating valuations is not presented.
(b) These securities were valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
(c) Quantitative Information about Level 3 Fair Value Measurements:
Investment
type | | Fair value | | Valuation
approach | | Unobservable
input(s) | | Input value/
range | | Weighted
average(d) | | Impact to
valuation
from
increase
in input(e) | |
Rights
| | $ | 118,300
|
| | Recovery
Value | | Discount for uncertain
milestone achievability | |
| 25.0
| % | |
| 25.0
| % | | Decrease
| |
(d) The weighted averages disclosed in the table above were weighted by relative fair value.
(e) Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase or decrease in the corresponding input. Significant changes in these inputs could result in significantly higher or lower fair value measurements.
The following is a summary, categorized by Level (see Note A of Notes to Consolidated Financial Statements), of inputs used to value the Fund's short investments as of April 30, 2021:
Liability Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
| Common Stocks Sold Short(a) | | $ | (8,904,713 | ) | | $ | — | | | $ | — | | | $ | (8,904,713 | ) | |
Total Short Positions | | $ | (8,904,713 | ) | | $ | — | | | $ | — | | | $ | (8,904,713 | ) | |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization for the portfolio.
The following is a summary, categorized by level (see Note A of Notes to Consolidated Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2021:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Futures(a) | |
Assets | | $ | 305,665 | | | $ | — | | | $ | — | | | $ | 305,665 | | |
Liabilities | | | (202,184 | ) | | | — | | | | — | | | | (202,184 | ) | |
| Forward contracts(a) | |
Assets | | | — | | | | 269,806 | | | | — | | | | 269,806 | | |
Liabilities | | | — | | | | (345,717 | ) | | | — | | | | (345,717 | ) | |
Swaps | |
Assets | | | — | | | | 1,547,256 | | | | — | | | | 1,547,256 | | |
Liabilities | | | — | | | | (1,027,270 | ) | | | — | | | | (1,027,270 | ) | |
Total | | $ | 103,481 | | | $ | 444,075 | | | $ | — | | | $ | 547,556 | | |
(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Consolidated Financial Statements
43
Consolidated Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
| | | ABSOLUTE RETURN
MULTI-MANAGER
FUND | |
| | | April 30, 2021 | |
Assets | |
Investments in securities, at value* (Note A)—see Consolidated Schedule of Investments: | |
| Unaffiliated issuers(a) | | $ | 70,742,054 | | |
Cash collateral segregated for short sales (Note A) | | | 9,285,481 | | |
Cash collateral segregated for over the counter derivatives (Note A) | | | 7,156,011 | | |
Dividends and interest receivable | | | 144,624 | | |
Receivable for securities sold | | | 230,735 | | |
Receivable for Fund shares sold | | | 7,537 | | |
Deposits with brokers for futures contracts (Note A) | | | 1,277,691 | | |
Receivable for variation margin on futures contracts (Note A) | | | 264,881 | | |
Receivable from administrator—net (Note B) | | | 36,241 | | |
Over the counter swap contracts, at value (Note A) | | | 1,547,256 | | |
Receivable for forward foreign currency contracts (Note A) | | | 269,806 | | |
Prepaid expenses and other assets | | | 47,144 | | |
Total Assets | | | 91,009,461 | | |
Liabilities | |
| Due to custodian, foreign currency(b) | | | 165,241 | | |
| Investments sold short, at value(c) (Note A) | | | 8,904,713 | | |
Due to custodian | | | 3,051,796 | | |
Dividends and interest payable for short sales | | | 12,447 | | |
Over the counter swap contracts, at value (Note A) | | | 1,027,270 | | |
Payable to investment manager (Note B) | | | 106,950 | | |
Payable for securities purchased | | | 732,986 | | |
Payable for Fund shares redeemed | | | 5,110 | | |
Payable for forward foreign currency contracts (Note A) | | | 345,717 | | |
Payable to trustees | | | 384 | | |
Other accrued expenses and payables | | | 256,138 | | |
Total Liabilities | | | 14,608,752 | | |
Net Assets | | $ | 76,400,709 | | |
Net Assets consist of: | |
Paid-in capital | | $ | 183,576,260 | | |
Total distributable earnings/(losses) | | | (107,175,551 | ) | |
Net Assets | | $ | 76,400,709 | | |
See Notes to Consolidated Financial Statements
44
Consolidated Statement of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
| | | ABSOLUTE RETURN
MULTI-MANAGER
FUND | |
| | | April 30, 2021 | |
Net Assets | | | |
Institutional Class | | $ | 63,525,019 | | |
Class A | | | 6,894,689 | | |
Class C | | | 3,817,144 | | |
Class R6 | | | 2,163,857 | | |
Shares Outstanding ($.001 par value; unlimited shares authorized) | | | |
Institutional Class | | | 5,573,153 | | |
Class A | | | 615,200 | | |
Class C | | | 359,019 | | |
Class R6 | | | 189,785 | | |
Net Asset Value, offering and redemption price per share | | | |
Institutional Class | | $ | 11.40 | | |
Class R6 | | $ | 11.40 | | |
Net Asset Value and redemption price per share | | | |
Class A | | $ | 11.21 | | |
Offering Price per share | | | |
Class A‡ | | $ | 11.89 | | |
Net Asset Value and offering price per share | | | |
Class C^ | | $ | 10.63 | | |
*Cost of Investments: | | | |
(a) Unaffiliated issuers | | $ | 64,263,478 | | |
(b) Total cost of foreign currency | | $ | (26,306 | ) | |
(c) Proceeds from investments sold short | | $ | 8,044,187 | | |
‡ On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other circumstances described in the Fund's prospectus, offering price is reduced.
^ Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See Notes to Consolidated Financial Statements
45
Consolidated Statement of Operations (Unaudited)
Neuberger Berman Alternative Funds
| | | ABSOLUTE RETURN
MULTI-MANAGER
FUND | |
| | For the
Six Months Ended
April 30, 2021 | |
Investment Income: | |
Income (Note A): | |
Dividend income—unaffiliated issuers | | $ | 291,664 | | |
Interest and other income—unaffiliated issuers | | | 325,922 | | |
Foreign taxes withheld | | | (6,591 | ) | |
Total income | | $ | 610,995 | | |
Expenses: | |
Investment management fees (Note B) | | | 719,335 | | |
Administration fees (Note B): | |
Institutional Class | | | 53,554 | | |
Class A | | | 8,575 | | |
Class C | | | 5,515 | | |
Class R6 | | | 596 | | |
Distribution fees (Note B): | |
Class A | | | 8,245 | | |
Class C | | | 21,210 | | |
Shareholder servicing agent fees: | |
Institutional Class | | | 785 | | |
Class A | | | 2,063 | | |
Class C | | | 238 | | |
Class R6 | | | 53 | | |
Audit fees | | | 62,501 | | |
Custodian and accounting fees | | | 161,455 | | |
Insurance | | | 1,906 | | |
Legal fees | | | 49,262 | | |
Registration and filing fees | | | 33,436 | | |
Shareholder reports | | | 19,836 | | |
Trustees' fees and expenses | | | 19,526 | | |
Dividend and interest expense on securities sold short (Note A) | | | 86,307 | | |
Miscellaneous | | | 2,387 | | |
Total expenses | | | 1,256,785 | | |
Expenses reimbursed by Management (Note B) | | | (303,269 | ) | |
Expenses reduced by custodian fee expense offset arrangement (Note A) | | | (100 | ) | |
Total net expenses | | | 953,416 | | |
Net investment income/(loss) | | $ | (342,421 | ) | |
See Notes to Consolidated Financial Statements
46
Consolidated Statement of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
| | | ABSOLUTE RETURN
MULTI-MANAGER
FUND | |
| | For the
Six Months Ended
April 30, 2021 | |
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated issuers | | | 3,582,832 | | |
Closed short positions of unaffiliated issuers | | | (634,753 | ) | |
Settlement of forward foreign currency contracts | | | 300,204 | | |
Settlement of foreign currency transactions | | | 61,130 | | |
Expiration or closing of futures contracts | | | 462,895 | | |
Expiration or closing of option contracts written | | | 1,609 | | |
Expiration or closing of swap contracts | | | (1,365,839 | ) | |
Change in net unrealized appreciation/(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | 6,030,996 | | |
Short positions of unaffiliated issuers | | | (1,362,706 | ) | |
Forward foreign currency contracts | | | (83,055 | ) | |
Foreign currency translations | | | (90,356 | ) | |
Futures contracts | | | (380,823 | ) | |
Swap contracts | | | (20,540 | ) | |
Net gain/(loss) on investments | | | 6,501,594 | | |
Net increase/(decrease) in net assets resulting from operations | | $ | 6,159,173 | | |
See Notes to Consolidated Financial Statements
47
Consolidated Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
| | | ABSOLUTE RETURN
MULTI-MANAGER FUND | |
| | Six Months Ended
April 30, 2021
(Unaudited) | | Fiscal
Year Ended
October 31, 2020 | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | (342,421 | ) | | $ | 21,395 | | |
Net realized gain/(loss) on investments | | | 2,408,078 | | | | 1,336,863 | | |
Change in net unrealized appreciation/(depreciation) of investments | | | 4,093,516 | | | | 289,380 | | |
Net increase/(decrease) in net assets resulting from operations | | | 6,159,173 | | | | 1,647,638 | | |
Distributions to Shareholders From (Note A): | |
Distributable earnings: | |
Institutional Class | | | (1,342,136 | ) | | | (3,549,789 | ) | |
Class A | | | (89,751 | ) | | | (227,582 | ) | |
Class C | | | (32,769 | ) | | | (191,557 | ) | |
Class R6 | | | (27,655 | ) | | | (49,422 | ) | |
Total distributions to shareholders | | | (1,492,311 | ) | | | (4,018,350 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold: | |
Institutional Class | | | 4,635,960 | | | | 18,218,870 | | |
Class A | | | 722,121 | | | | 2,108,716 | | |
Class C | | | 7,928 | | | | 33,149 | | |
Class R6 | | | 1,998,875 | | | | 920,839 | | |
Proceeds from reinvestment of dividends and distributions: | |
Institutional Class | | | 1,224,720 | | | | 3,244,385 | | |
Class A | | | 73,520 | | | | 203,618 | | |
Class C | | | 32,275 | | | | 160,235 | | |
Class R6 | | | 27,165 | | | | 48,461 | | |
Payments for shares redeemed: | |
Institutional Class | | | (30,745,014 | ) | | | (92,483,219 | ) | |
Class A | | | (876,569 | ) | | | (2,848,463 | ) | |
Class C | | | (1,178,038 | ) | | | (2,984,955 | ) | |
Class R6 | | | (1,619,583 | ) | | | (694,156 | ) | |
Net increase/(decrease) from Fund share transactions | | | (25,696,640 | ) | | | (74,072,520 | ) | |
Net Increase/(Decrease) in Net Assets | | | (21,029,778 | ) | | | (76,443,232 | ) | |
Net Assets: | |
Beginning of period | | | 97,430,487 | | | | 173,873,719 | | |
End of period | | $ | 76,400,709 | | | $ | 97,430,487 | | |
See Notes to Consolidated Financial Statements
48
Notes to Consolidated Financial Statements Absolute Return Multi-Manager Fund (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Neuberger Berman Absolute Return Multi-Manager Fund (the "Fund") is a separate operating series of the Trust, and is diversified. The Fund offers Institutional Class shares, Class A shares, Class C shares and Class R6 shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
A balance indicated with a "—", reflects either a zero balance or a balance that rounds to less than 1.
The assets of the Fund belong only to the Fund, and the liabilities of the Fund are borne solely by the Fund and no other series of the Trust.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management" or "NBIA") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
The Fund invests in commodity-related instruments through Neuberger Berman Cayman ARMM Fund I Ltd. (the "Subsidiary"), which is organized under the laws of the Cayman Islands. The Fund is and expects to remain the sole shareholder of the Subsidiary. The Subsidiary is governed by its own Board of Directors.
As of April 30, 2021, the value of the Fund's investment in the Subsidiary was as follows:
Investment in
Subsidiary | | Percentage of
Net Assets | |
| $ | 12,017,371 | | | | 15.7 | % | |
2 Consolidation: The accompanying financial statements of the Fund present the consolidated accounts of the Fund and the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation.
3 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – unadjusted quoted prices in active markets for identical investments
• Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3 – unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
49
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments (long and short positions) in equity securities, preferred stocks, convertible preferred stocks, rights and warrants, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Fund's investments for long positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available ("Other Market Information").
Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward foreign currency contracts is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services' networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of equity swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
50
Investments in non-exchange traded investment companies with a readily determinable fair value are valued using the respective fund's daily calculated net asset value ("NAV") per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer and/or analysts; an analysis of the company's or issuer's financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Fund's investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m. Eastern Time on days the New York Stock Exchange ("NYSE") is open for business. The Board has approved the use of ICE Data Services ("ICE") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that the Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of ICE to evaluate the prices of foreign debt securities as of the time as of which the Fund's share price is calculated. ICE utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which the Fund's share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which the Fund's share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
In December 2020, the Securities and Exchange Commission ("SEC") adopted Rule 2a-5 under the 1940 Act, which establishes requirements for determining fair value in good faith for purposes of the 1940 Act, including related oversight and reporting requirements. The rule also defines when market quotations are "readily available" for purposes of the 1940 Act, the threshold for determining whether a fund must fair value a security. The rule became effective on March 8, 2021, however, the SEC adopted an eighteen-month transition period beginning from the effective date. Management is currently evaluating this guidance.
4 Foreign currency translations: The accounting records of the Fund and Subsidiary are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Consolidated Statement of Operations.
51
5 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) and amortization of premium, where applicable, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Consolidated Statement of Operations. Included in net realized gain (loss) on investments are proceeds from the settlement of class action litigation(s) in which the Fund participated as a class member. The amount of such proceeds for the six months ended April 30, 2021, was $356,006.
6 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Consolidated Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2021, the Fund did not have any unrecognized tax positions.
The Subsidiary is a controlled foreign corporation under the U.S. Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, the Fund will include in its taxable income its share of the Subsidiary's current earnings and profits (including net realized gains). Any deficit generated by the Subsidiary will be disregarded for purposes of computing the Fund's taxable income in the current period and also disregarded for all future periods.
For federal income tax purposes, the estimated cost of investments held at April 30, 2021, was $60,282,798. The estimated gross unrealized appreciation was $7,259,835 and estimated gross unrealized depreciation was $6,240,297 resulting in net unrealized appreciation in value of investments of $1,019,538 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund.
Any permanent differences resulting from different book and tax treatment are reclassified at year-end and have no impact on net income, NAV or NAV per share of the Fund. For the year ended October 31, 2020, the Fund recorded permanent reclassifications primarily related to prior year true up adjustments, prior year true up adjustments on real estate investment trust ("REIT")/non REIT return of capital adjustment, wholly owned subsidiary income and gain (loss) and amortization of bond premium. For the year ended October 31, 2020, the Fund recorded the following permanent reclassifications:
Paid-in Capital | | Total
Distributable
Earnings/(Losses) | |
| $ | 949,714 | | | $ | (949,714 | ) | |
52
The tax character of distributions paid during the years ended October 31, 2020, and October 31, 2019, was as follows:
| | | Distributions Paid From: | | | |
| Ordinary Income | | Tax-Exempt
Income | | Long-Term
Capital Gain | | Return of
Capital | | Total | |
| 2020 | | 2019 | | 2020 | | 2019 | | 2020 | | 2019 | | 2020 | | 2019 | | 2020 | | 2019 | |
| $ | 4,018,350 | | | $ | 83,294 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,018,350 | | | $ | 83,294 | | |
As of October 31, 2020, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed
Ordinary
Income/(Loss) | | Undistributed
Long-Term
Capital Gain | | Unrealized
Appreciation/
(Depreciation) | | Loss
Carryforwards
and Deferrals | | Other
Temporary
Differences | | Total | |
| $ | 1,492,184 | | | $ | — | | | $ | (3,368,875 | ) | | $ | (109,647,970 | ) | | $ | (317,752 | ) | | $ | (111,842,413 | ) | |
The temporary differences between book basis and tax basis distributable earnings are primarily due to losses disallowed and/or recognized on wash sales and straddles, mark-to-market on adjustments on swaps, futures and forward contracts, amortization of organizational expenses, tax adjustments related to swap contracts and other investments, mark-to-market adjustments on passive foreign investment companies ("PFICs"), wholly owned subsidiary inclusions, capital loss carryforwards, amortization of bond premium and gain on constructive sale.
To the extent the Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of the Fund not to distribute such gains. Capital loss carryforward rules allow for RICs to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or long-term. As determined at October 31, 2020, the Fund had unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains, if any, as follows:
Capital Loss Carryforwards
| Long-Term | | Short-Term | |
| $ | 37,278,343 | | | $ | 72,369,627 | | |
During the year ended October 31, 2020, the Fund utilized capital loss carryforwards of $2,219,658.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
Foreign capital gains on certain foreign securities may be subject to foreign taxes, which are accrued as applicable. At April 30, 2021, there were no outstanding balances of accrued capital gains taxes for the Fund.
8 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in December) and are recorded on the ex-date.
It is the policy of the Fund to pass through to its shareholders substantially all REIT distributions and other income it receives, less operating expenses. The distributions received from REITs are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to the Fund until the following calendar year. For the year ended October 31, 2020, the character of distributions paid to shareholders of the Fund, if any, disclosed within the Consolidated Statements of Changes in Net Assets is based on estimates made at that time. Based on past experience it is possible that a portion of the Fund's distributions during the current fiscal year, if any, will be considered tax return of capital, but the actual amount of the tax return of capital, if any, is not determinable until after the Fund's fiscal year-end. After calendar year-end, when the Fund learns the nature of the distributions paid by REITs during that year, distributions previously identified
53
as income are often recharacterized as return of capital and/or capital gain. After all applicable REITs have informed the Fund of the actual breakdown of distributions paid to the Fund during its fiscal year, estimates previously recorded are adjusted to reflect actual results. As a result, the composition of the Fund's distributions as reported herein, may differ from the final composition determined after calendar year-end and reported to the Fund shareholders on IRS Form 1099-DIV.
9 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which NBIA serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. The Fund's expenses (other than those specific to each class) are allocated proportionally each day among its classes based upon the relative net assets of each class.
10 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
11 Securities sold short: The Fund may engage in short sales, which are sales of securities which have been borrowed from a third party on the expectation that the market price will decline. If the price of the securities decreases, the Fund will make a profit by purchasing the securities in the open market at a price lower than the one at which it sold the securities. If the price of the securities increases, the Fund may have to cover its short positions at a price higher than the short sale price, resulting in a loss. Gains are limited to the price at which the Fund sold the security short, while losses are potentially unlimited in size. The Fund pledges securities and/or other assets to the lender as collateral. Proceeds received from short sales may be maintained by the lender as collateral or may be released to the Fund and used to purchase additional securities or for any other purpose. Proceeds maintained by the lender are included in the "Cash collateral segregated for short sales" on the Consolidated Statement of Assets and Liabilities. The Fund is required to segregate an amount of cash or liquid securities in an amount at least equal to the current market value of the securities sold short (less any additional collateral pledged to the lender). The Fund is contractually responsible to remit to the lender any dividends and interest payable on securities while those securities are being borrowed by the Fund. The Fund may receive or pay the net of the interest charged by the prime broker on the borrowed securities and a financing charge for the difference in the market value of the short position and the cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. These costs related to short sales (i.e., dividend and interest remitted to the lender and interest charged by the prime broker) are recorded as an expense of the Fund and are excluded from the contractual expense limitation. A net negative expense, if any, represents a gain to the Fund as the total cash rebates received exceeded the other costs related to short sales. The net amount of fees incurred are included in the "Dividend and interest expense on securities sold short" on the Consolidated Statement of Operations and were $22,122 for the six months ended April 30, 2021.
At April 30, 2021, the Fund had cash pledged in the amount of $9,285,481 to JPMorgan Chase Bank, NA ("JPM"), as collateral for short sales. In addition, JPM has a perfected security interest in these assets.
54
12 Investment company securities and exchange traded funds : The Fund may invest in shares of other registered investment companies, including exchange traded funds ("ETFs"), within the limitations prescribed by (a) the 1940 Act, (b) the exemptive order from the SEC that permits the Fund to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, subject to the terms and conditions of such order, or (c) the ETF's exemptive order or other relief. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will decrease returns.
In October 2020, the SEC adopted Rule 12d1-4, which permits a Fund to exceed the limits prescribed by Section 12 of the 1940 Act in the absence of an exemptive order, if the Fund complies with the adopted framework for fund of funds arrangements. Rule 12d1-4 contains elements from the SEC's current exemptive orders and rules permitting fund of funds arrangements, and includes (i) limits on control and voting; (ii) required evaluations and findings; (iii) required fund of funds investment agreements; and (iv) limits on complex structures. In connection with the new rule, on or about January 19, 2022, the SEC is expected to rescind the Fund's current exemptive order and Rule 12d1-2 under the 1940 Act. After this occurs, a fund seeking to exceed the limits in Section 12 of the 1940 Act will need to rely on Rule 12d1-4.
13 When-issued/delayed delivery securities: The Fund may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the NAV. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to the Fund until payment takes place. At the time the Fund enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment. When-issued and delayed delivery transactions can have a leverage-like effect on the Fund, which can increase fluctuations in the Fund's NAV. Certain risks may arise upon entering into when-issued or delayed delivery securities transactions from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
14 Special purpose acquisition company: The Fund may acquire an interest in a special purpose acquisition company ("SPAC") in an IPO, via a private placement or a secondary market transaction. A SPAC is typically a publicly traded company that raises investment capital via an initial public offering for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash. To the extent the SPAC is invested in cash or similar securities, this may negatively affect the Fund's performance if the Fund is invested in the SPAC during such period. Because SPACs and similar entities are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity's management to identify and complete a profitable acquisition. There is no guarantee that the SPACs will complete an acquisition or that any acquisitions that are completed will be profitable. Some SPACs may pursue acquisitions only within certain industries or regions, which may increase the volatility of their prices. These transactions will require the approval of the respective shareholders and are subject to other customary closing conditions, including the receipt of certain regulatory approvals. If these conditions are not met, the SPAC's acquisition may not close and, to the extent a fund had committed to participate in a private placement (i.e, PIPE transaction), such fund will no longer be obligated to fulfill its commitment.
15 Derivative instruments: The Fund's use of derivatives during the six months ended April 30, 2021, is described below. Please see the Consolidated Schedule of Investments for the Fund's open positions in derivatives, at
55
April 30, 2021. The Fund has adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Consolidated Statement of Operations, they do not qualify for hedge accounting. Accordingly, even though the Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives a fund could enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is more than a limited specified exposure to establish and maintain a derivatives risk management program and appoint a derivatives risk manager. While the new rule became effective February 19, 2021, funds will not be required to fully comply with the new rule until August 19, 2022. It is not currently clear what impact, if any, the new rule will have on the availability, liquidity or performance of derivatives. When fully implemented, the new rule may require changes in how the Fund will use derivatives, may adversely affect the Fund's performance and may increase costs related to the Fund's use of derivatives.
Futures contracts: During the six months ended April 30, 2021, the Fund used futures for economic hedging purposes and to enhance returns.
At the time the Fund or Subsidiary enters into a futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity exchange on which such futures contract is traded. Subsequent payments, known as "variation margin," to and from the broker are made on a daily basis, or as needed, as the market price of the futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by the Fund or Subsidiary as unrealized gains or losses.
Although some futures by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching futures. When the contracts are closed, the Fund or Subsidiary recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to the Fund or Subsidiary because the exchange's clearinghouse assumes the position of the counterparty in each transaction. Thus, the Fund or Subsidiary is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, futures transactions undertaken by the Fund or Subsidiary may cause the Fund or Subsidiary to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the timing of some capital gains and losses realized by the Fund or Subsidiary. Also, the Fund's or Subsidiary's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating the Fund's or Subsidiary's taxable income.
Forward foreign currency contracts: During the six months ended April 30, 2021, the Fund used forward foreign currency contracts to hedge foreign currency and to enhance returns.
A forward contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, and is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward contract fluctuates with changes in forward currency exchange rates. Forward contracts are marked to market daily, and the change in value is recorded by the Fund as an
56
unrealized gain or loss. At the consummation of a forward contract to purchase or sell currency, the Fund may either exchange the currencies specified at the maturity of the forward contract or enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a contract is included in "Net realized gain/(loss) on settlement of forward foreign currency contracts" in the Consolidated Statement of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Consolidated Statement of Assets and Liabilities. In addition, the Fund could be exposed to risks associated with fluctuations in foreign currency and the risk the counterparty will fail to fulfill its obligation.
Credit default swap contracts: When the Fund is the buyer of an over the counter ("OTC") credit default swap contract, it is entitled to receive the notional amount of the swap from the counterparty if a credit event occurs. In return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund would have spent the stream of payments and received no proceeds from the contract. When the Fund is the seller of an OTC credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could be required to make (or the risk of loss) would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Fund for the same referenced obligation. As the seller, the Fund may add economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The net periodic payments paid or received on the swap contract are accrued daily as a component of unrealized appreciation/(depreciation) and are recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation/(depreciation) in an amount equal to the daily valuation of the swap. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an agreement between the Fund and the counterparty. For financial reporting purposes, unamortized upfront payments/(receipts), if any, are netted with unrealized appreciation or depreciation and net interest received or paid on swap contracts to determine the fair value of swaps.
Equity swap contracts: During the six months ended April 30, 2021, the Fund used equity swaps to provide investment exposure to certain investments, primarily foreign securities.
Equity swaps are two-party contracts in which counterparties exchange the return on a specified reference security for the return based on a fixed or floating interest rate during the period of the swap. Upon entering an equity swap, the Fund may be required to pledge an amount of cash and/or other assets to the broker which is equal to a certain percentage of the contract amount (initial margin). Subsequent payments known as variation margins are made or received by the Fund periodically depending on the fluctuations in the value of the underlying security. Equity swaps are marked to market daily based on the value of the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an agreement between the Fund and the counterparty. If the other party to an equity swap defaults, the Fund's risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value can be very volatile. To the
57
extent that future market trends, the values of assets or economic factors are not accurately analyzed and predicted, the Fund may suffer a loss, which may exceed the related amounts shown in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses in the Consolidated Statement of Operations.
Total return basket swap contracts: During the six months ended April 30, 2021, the Fund used total return basket swaps to provide investment exposure to certain investments, primarily foreign securities. The Fund may enter into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The Fund has the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation/(depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as "financing costs". Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any unrealized gains/(losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an agreement between the Fund and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in unrealized appreciation/(depreciation) on swap contracts in the Consolidated Statement of Operations. Cash settlements between the Fund and the counterparty are recognized as realized gains/(losses) on closing of swap contracts in the Consolidated Statement of Operations.
Written options: During the six months ended April 30, 2021, the Fund used options written to generate incremental returns.
Premiums paid by the Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Consolidated Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the asset is eliminated. For purchased call options, the Fund's loss is limited to the amount of the option premium paid.
Premiums received by the Fund upon writing a call option or a put option are recorded in the liability section of the Fund's Consolidated Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the liability is eliminated.
When the Fund writes a call option on an underlying asset it does not own, its exposure on such an option is theoretically unlimited. When writing a covered call option, the Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, the Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a call or put option that the Fund has written expires unexercised, the Fund will realize a gain for the amount of the premium. All securities covering outstanding written options are held in escrow by the custodian bank.
58
At April 30, 2021, the Fund had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives
Derivative
Type | | Consolidated
Statement of
Assets and
Liabilities Location | | Credit Risk | | Currency Risk | | Equity Risk | | Interest
Rate Risk | | Commodity
Risk | | Total | |
Over the
counter
swaps | | Over the counter
swap contracts,
at value(1) | | $ | — |
| | $ | — |
| | $ | 1,547,256 |
| | $ | — |
| | $ | — |
| | $ | 1,547,256 |
| |
Futures | | Receivable/Payable
for variation margin
on futures contracts(2) | |
| — |
| |
| 3,522 |
| |
| 3,609 |
| |
| 72,981 |
| |
| 225,553 |
| |
| 305,665 |
| |
Forward
contracts | | Receivable for forward
foreign currency
contracts | |
| — |
| |
| 269,806 |
| |
| — |
| |
| — |
| |
| — |
| |
| 269,806 |
| |
Total Value—Assets | |
| | $ | — | | | $ | 273,328 | | | $ | 1,550,865 | | | $ | 72,981 | | | $ | 225,553 | | | $ | 2,122,727 | | |
Liability Derivatives
Derivative
Type | | Consolidated
Statement of
Assets and
Liabilities Location | | Credit Risk | | Currency Risk | | Equity Risk | | Interest
Rate Risk | | Commodity
Risk | | Total | |
Over the
counter swaps | | Over the counter
swap contracts,
at value(1) | | $ | — |
| | $ | — |
| | $ | (1,027,270 | ) | | $ | — |
| | $ | — |
| | $ | (1,027,270 | ) | |
Futures | | Receivable/Payable
for variation margin
on futures contracts(2) | |
| — |
| |
| (114,818 | ) | |
| (63,419 | ) | |
| (16,039 | ) | |
| (7,908 | ) | |
| (202,184 | ) | |
Forward
contracts | | Payable for forward
foreign currency
contracts | |
| — |
| |
| (345,717 | ) | |
| — |
| |
| — |
| |
| — |
| |
| (345,717 | ) | |
Total Value—Liabilities | | | | $ | — | | | $ | (460,535 | ) | | $ | (1,090,689 | ) | | $ | (16,039 | ) | | $ | (7,908 | ) | | $ | (1,575,171 | ) | |
(1) "Over the counter swap contracts" reflects the cumulative unrealized appreciation/(depreciation) of the over the counter swap contracts plus accrued interest as of April 30, 2021.
(2) "Futures" reflects the cumulative unrealized appreciation/(depreciation) of futures as of April 30, 2021, which is reflected in the Consolidated Statement of Assets and Liabilities under the caption "Total distributable earnings/(losses)." The current day's variation margin as of April 30, 2021, if any, is reflected in the Consolidated Statement of Assets and Liabilities under the caption "Receivable/Payable for variation margin on futures contracts."
59
The impact of the use of these derivative instruments on the Consolidated Statement of Operations during the six months ended April 30, 2021, was as follows:
Realized Gain/(Loss)
Derivative
Type | | Consolidated
Statement of
Operations Location | | Credit Risk | | Currency Risk | | Equity Risk | | Interest
Rate Risk | | Commodity
Risk | | Total | |
Forward
contracts | | Net realized gain/(loss) on:
Settlement of forward
foreign currency contracts | | $ | — |
| | $ | 300,204 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 300,204 |
| |
Futures | | Net realized gain/(loss) on:
Expiration or closing
of futures contracts | |
| — |
| |
| (606,534 | ) | |
| 118,104 |
| |
| (156,062 | ) | |
| 1,107,387 |
| |
| 462,895 |
| |
Options
written | | Net realized gain/(loss) on:
Expiration or closing
of option contracts written | |
| — |
| |
| — |
| |
| 1,609 |
| |
| — |
| |
| — |
| |
| 1,609 |
| |
Swaps | | Net realized gain/(loss)
on: Expiration or closing
of swaps contracts | |
| — |
| |
| — |
| |
| (1,365,839 | ) | |
| — |
| |
| — |
| |
| (1,365,839 | ) | |
Total Realized Gain/(Loss) | | | | $ | — | | | $ | (306,330 | ) | | $ | (1,246,126 | ) | | $ | (156,062 | ) | | $ | 1,107,387 | | | $ | (601,131 | ) | |
Change in Appreciation/(Depreciation) | |
Derivative
Type | | Consolidated
Statement of
Operations Location | | Credit Risk | | Currency Risk | | Equity Risk | | Interest
Rate Risk | | Commodity
Risk | | Total | |
Forward
contracts | | Change in net unrealized
appreciation/(depreciation)
in value of: Forward foreign
currency contracts | | $ | — |
| | $ | (83,055 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | (83,055 | ) | |
Futures | | Change in net unrealized
appreciation/(depreciation)
in value of: Futures contracts | |
| — |
| |
| (410,020 | ) | |
| (64,493 | ) | |
| (77,933 | ) | |
| 171,623 |
| |
| (380,823 | ) | |
Swaps | | Change in net unrealized
appreciation/(depreciation)
in value of: Swap contracts | |
| — |
| |
| — |
| |
| (20,540 | ) | |
| — |
| |
| — |
| |
| (20,540 | ) | |
Total Change in Appreciation/
(Depreciation) | | | | $ | — | | | $ | (493,075 | ) | | $ | (85,033 | ) | | $ | (77,933 | ) | | $ | 171,623 | | | $ | (484,418 | ) | |
While the Fund may receive rights and warrants in connection with their investments in securities, these rights and warrants are not considered "derivative instruments" under ASC 815.
The Fund is required to disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Fund's OTC derivative assets and liabilities at fair value by type are reported gross in the Consolidated Statement of Assets and Liabilities.
60
The following tables present the Fund's derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting or similar agreement and net of the related collateral received by the Fund for assets and pledged by the Fund for liabilities as of April 30, 2021.
Description | | Gross Amounts of
Recognized Assets | | Gross Amounts Offset
in the Consolidated
Statement of
Assets and Liabilities | | Net Amounts of Assets
Presented in the
Consolidated Statement
of Assets and Liabilities | |
Over the counter swap contracts | | $ | 1,547,256 | | | $ | — | | | $ | 1,547,256 | | |
Forward contracts | | | 269,806 | | | | — | | | | 269,806 | | |
Total | | $ | 1,817,062 | | | $ | — | | | $ | 1,817,062 | | |
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Counterparty | | Net Amounts of
Assets Presented in
the Consolidated
Statement of Assets
and Liabilities | | Liabilities
Available
for Offset | | Cash Collateral
Received(a) | | Net Amount(b) | |
Societe Generale | | $ | 214,550 | | | $ | (214,550 | ) | | $ | — | | | $ | — | | |
JPMorgan Chase Bank, NA | | | 938,991 | | | | (506,702 | ) | | | — | | | | 432,289 | | |
Morgan Stanley Capital Services LLC | | | 663,521 | | | | (575,539 | ) | | | — | | | | 87,982 | | |
| | $ | 1,817,062 | | | $ | (1,296,791 | ) | | $ | — | | | $ | 520,271 | | |
| Description | | Gross Amounts of
Recognized Liabilities | | Gross Amounts Offset
in the Consolidated
Statement of
Assets and Liabilities | | Net Amounts of Liabilities
Presented in the
Consolidated Statement
of Assets and Liabilities | |
Over the counter swap contracts | | $ | (1,027,270 | ) | | $ | — | | | $ | (1,027,270 | ) | |
Forward contracts | | | (345,717 | ) | | | — | | | | (345,717 | ) | |
Total | | $ | (1,372,987 | ) | | $ | — | | | $ | (1,372,987 | ) | |
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
| Counterparty | | Net Amounts of
Liabilities Presented in
the Consolidated
Statement of Assets
and Liabilities | | Assets
Available
for Offset | | Cash Collateral
Pledged(a) | | Net Amount(c) | |
Societe Generale | | $ | (290,746 | ) | | $ | 214,550 | | | $ | (76,196 | ) | | $ | — | | |
JPMorgan Chase Bank, NA | | | (506,702 | ) | | | 506,702 | | | | — | | | | — | | |
Morgan Stanley Capital Services LLC | | | (575,539 | ) | | | 575,539 | | | | — | | | | — | | |
| | | $ | (1,372,987 | ) | | $ | 1,296,791 | | | $ | (76,196 | ) | | $ | — | | |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty.
(b) Net Amount represents amounts subject to loss as of April 30, 2021, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of April 30, 2021.
16 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or
61
liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
17 Expense offset arrangement: The Fund has an expense offset arrangement in connection with its custodian contract. For the six months ended April 30, 2021, the impact of this arrangement was a reduction in expenses of $100.
18 Other: All net investment income and realized and unrealized capital gains and losses of the Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
19 Other matters—Coronavirus: The outbreak of the novel coronavirus in many countries has, among other things, disrupted global travel and supply chains, and adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility. The development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on global economic and market conditions. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact the issuers of the securities held by the Fund.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains NBIA as its investment manager under a Management Agreement. For such investment management services, the Fund pays NBIA an investment management fee at the annual rate of 1.700% of the first $250 million of the Fund's average daily net assets, 1.675% of the next $250 million, 1.650% of the next $250 million, 1.625% of the next $250 million, 1.600% of the next $500 million, 1.575% of the next $2.5 billion, and 1.550% of average daily net assets in excess of $4 billion. For the six months ended April 30, 2021, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 1.70% of the Fund's average daily net assets.
The Fund retains NBIA as its administrator under an Administration Agreement. The administration fee is assessed at the Class level and each share class of the Fund, as applicable, pays NBIA an annual administration fee equal to the following: 0.15% for Institutional Class; 0.26% for each of Class A and Class C; and 0.05% for Class R6, each as a percentage of its average daily net assets. Additionally, NBIA retains JPM as its sub-administrator under a Sub-Administration Agreement. NBIA pays JPM a fee for all services received under the Sub-Administration Agreement.
NBIA has contractually agreed to waive fees and/or reimburse certain expenses of the Institutional Class, Class A, Class C and Class R6 of the Fund so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitations. The expenses of the Subsidiary are included in the total expenses used to calculate the reimbursement, which the Fund has agreed to share with the Subsidiary. For the six months ended April 30, 2021, these Subsidiary expenses amounted to $60,085.
62
At April 30, 2021, the Fund's contingent liabilities to NBIA under the agreements were as follows:
| | | | | | | Expenses Reimbursed
in the Year Ended October 31, | |
| | | | |
| | 2018 | | 2019 | | 2020 | | 2021 | |
| | | | | | | Subject to Repayment until October 31, | |
| | | Contractual
Expense
Limitation(1) | | Expiration | | 2021 | | 2022 | | 2023 | | 2024 | |
Institutional Class | | | 1.97 | % | | 10/31/24 | | $ | 477,171 | | | $ | 508,701 | | | $ | 567,149 | | | $ | 253,671 | | |
Class A | | | 2.33 | % | | 10/31/24 | | | 41,612 | | | | 31,156 | | | | 48,102 | | | | 25,651 | | |
Class C | | | 3.08 | % | | 10/31/24 | | | 29,237 | | | | 28,605 | | | | 36,584 | | | | 15,255 | | |
Class R6 | | | 1.87 | %(2) | | 10/31/24 | | | 28,071 | | | | 24,431 | | | | 8,302 | | | | 8,692 | | |
(1) Expense limitation per annum of the respective class' average daily net assets.
(2) Prior to December 6, 2018, the contractual expense limitation for Class R6 was 1.90%.
The Fund has agreed that each of its respective classes will repay NBIA for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class's annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays NBIA, whichever is lower. Any such repayment must be made within three years after the year in which NBIA incurred the expense.
During the six months ended April 30, 2021, there was no repayment to NBIA under these agreements.
At April 30, 2021, NBIA engaged BH-DG Systematic Trading LLP, Cramer Rosenthal McGlynn, LLC, GAMCO Asset Management Inc., Good Hill Partners LP (see Note H of the Notes to Consolidated Financial Statements), P/E Global, LLC and Portland Hill Asset Management Limited as subadvisers of the Fund to provide investment management services. NBIA compensates the subadvisers out of the investment advisory fees it receives from the Fund.
The Fund also has a distribution agreement with Neuberger Berman BD LLC (the "Distributor") with respect to each class of shares. The Distributor acts as agent in arranging for the sale of class shares without sales commission or other compensation, except as described below for Class A and Class C shares, and bears the advertising and promotion expenses.
However, the Distributor receives fees from Class A and Class C under their distribution plans (each a "Plan", collectively, the "Plans") pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that, as compensation for administrative and other services provided to these classes, the Distributor's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, the Distributor receives from each of these classes a fee at the annual rate of 0.25% of Class A's and 1.00% of Class C's average daily net assets. The Distributor receives this amount to provide distribution and shareholder servicing for these classes and pays a portion of it to institutions that provide such services. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year may be more or less than the cost of distribution and other services provided to that class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules.
Class A shares of the Fund are generally sold with an initial sales charge of up to 5.75% and no contingent deferred sales charge ("CDSC"), except that a CDSC of 1.00% applies to certain redemptions made within 18 months following purchases of $1 million or more without an initial sales charge. Class C shares of the Fund are sold with no initial sales charge and a 1.00% CDSC if shares are sold within one year after purchase.
63
For the six months ended April 30, 2021, the Distributor, acting as underwriter and broker-dealer, received net initial sales charges from the purchase of Class A shares and CDSCs from the redemption of Class A and Class C shares as follows:
| | | Underwriter | | Broker-Dealer | |
| | | Net Initial
Sales Charge | | CDSC | | Net Initial
Sales Charge | | CDSC | |
Class A | | $ | 146 | | | $ | — | | | $ | — | | | $ | — | | |
Class C | | | — | | | | — | | | | — | | | | — | | |
Note C—Securities Transactions:
During the six months ended April 30, 2021, there were purchase and sale transactions of long-term securities (excluding swaps, forward contracts, futures and written option contracts) as follows:
Purchases of
U.S. Government
and Agency
Obligations | | Purchases
excluding
U.S. Government
and Agency
Obligations | | Securities
Sold Short
excluding
U.S. Government
and Agency
Obligations | | Sales and
Maturities of
U.S. Government
and Agency
Obligationss | | Sales and
Maturities
excluding
U.S. Government
and Agency
Obligations | | Covers on
Securities
Sold Short
excluding
U.S. Government
and Agency
Obligations | |
| $ | — | | | $ | 136,393,346 | | | $ | 6,964,804 | | | $ | — | | | $ | 162,987,696 | | | $ | 6,217,326 | | |
During the six months ended April 30, 2021, no brokerage commissions on securities transactions were paid to affiliated brokers.
During the six months ended April 30, 2021, the Fund sold certain long positions and simultaneously entered into equity swaps on those same positions, retaining substantially all of the exposure to the economic return and the related risks on the long positions. At April 30, 2021, the transfers of financial assets accounted for as sales were as follows:
| | | At Original Transactions Dates | | At April 30, 2021 | |
Type of Transaction | | Cost Basis of
Positions Sold | | Gross Cash Proceeds
Received for
Positions Sold | | Net Fair
Value of
Transferred Assets | | Gross Derivative
Assets
Recorded(a)(b) | | Gross Derivative
Liabilities
Recorded(a)(b) | |
Sales and equity swaps | | $ | 2,057,307 | | | $ | 1,603,044 | | | $ | 88,051 | | | $ | 105,682 | | | $ | (17,631 | ) | |
(a) Balances are presented on a gross basis, before the application of counterparty and cash collateral offsetting.
(b) Gross derivative assets and gross derivative liabilities are included as equity risk contracts in Note A-15 of Notes to Consolidated Financial Statements.
64
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2021, and for the year ended October 31, 2020, was as follows:
| | | For the Six Months Ended April 30, 2021 | | For the Year Ended October 31, 2020 | |
| | | Shares
Sold | | Shares
Issued on
Reinvestment
of Dividends
and
Distributions | | Shares
Redeemed | | Total | | Shares
Sold | | Shares
Issued on
Reinvestment
of Dividends
and
Distributions | | Shares
Redeemed | | Total | |
Institutional Class | | | 418,657 | | | | 112,670 | | | | (2,780,981 | ) | | | (2,249,654 | ) | | | 1,720,181 | | | | 304,637 | | | | (8,567,645 | ) | | | (6,542,827 | ) | |
Class A | | | 66,002 | | | | 6,871 | | | | (80,712 | ) | | | (7,839 | ) | | | 202,038 | | | | 19,411 | | | | (274,510 | ) | | | (53,061 | ) | |
Class C | | | 756 | | | | 3,171 | | | | (113,650 | ) | | | (109,723 | ) | | | 3,318 | | | | 16,056 | | | | (301,457 | ) | | | (282,083 | ) | |
Class R6 | | | 181,516 | | | | 2,499 | | | | (144,799 | ) | | | 39,216 | | | | 87,600 | | | | 4,550 | | | | (65,990 | ) | | | 26,160 | | |
Other: At April 30, 2021, affiliated persons, as defined in the 1940 Act, owned 0.04% of the Fund's outstanding shares.
Note E—Line of Credit:
At April 30, 2021, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by NBIA also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum; provided that should the Administrative Agent of the Credit Facility determine that the Eurodollar rate is unavailable, then the interest rate option described in (b) shall be replaced with a benchmark replacement determined to be applicable by such Administrative Agent. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that an individual fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at April 30, 2021. During the period ended April 30, 2021, the Fund did not utilize the Credit Facility.
Note F—Recent Accounting Pronouncements:
In March 2020, FASB issued Accounting Standards Update No. 2020-04 ("ASU 2020-04"), "Reference Rate Reform (Topic 848)". In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The amendments are effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact of the guidance.
65
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
Note H—Subsequent Event:
At its June 17, 2021 meeting, the Board approved the termination of Good Hill Partners L.P. as a subadviser to the Fund. The termination is effective June 18, 2021.
66
Consolidated Financial Highlights
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Consolidated Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. Net Asset amounts with a zero balance, if any, may reflect actual amounts rounding to less than $0.1 million. A "—" indicates that the line item was not applicable in the corresponding period.
| | | Net Asset
Value,
Beginning
of Period | | Net
Investment
Income/
(Loss)@ | | Net Gains or
Losses on
Securities
(both realized
and
unrealized) | | Total From
Investment
Operations | | Dividends
from Net
Investment
Income | | Distributions
from Net
Realized
Capital
Gains | | Tax
Return of
Capital | | Total
Distributions | | Net Asset
Value,
End of
Period | |
Institutional Class | |
04/30/2021 (Unaudited) | | $ | 10.80 | | | $ | (0.04 | ) | | $ | 0.83 | | | $ | 0.79 | | | $ | (0.19 | ) | | $ | — | | | $ | — | | | $ | (0.19 | ) | | $ | 11.40 | | |
10/31/2020 | | $ | 10.97 | | | $ | 0.01 | | | $ | 0.21 | | | $ | 0.22 | | | $ | (0.39 | ) | | $ | — | | | $ | — | | | $ | (0.39 | ) | | $ | 10.80 | | |
10/31/2019 | | $ | 10.71 | | | $ | 0.08 | | | $ | 0.19 | | | $ | 0.27 | | | $ | (0.01 | ) | | $ | — | | | $ | — | | | $ | (0.01 | ) | | $ | 10.97 | | |
10/31/2018 | | $ | 10.77 | | | $ | 0.09 | | | $ | (0.15 | ) | | $ | (0.06 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.71 | | |
10/31/2017 | | $ | 10.18 | | | $ | 0.06 | | | $ | 0.53 | | | $ | 0.59 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.77 | | |
10/31/2016 | | $ | 10.47 | | | $ | 0.02 | | | $ | (0.18 | ) | | $ | (0.16 | ) | | $ | (0.03 | ) | | $ | (0.10 | ) | | $ | — | | | $ | (0.13 | ) | | $ | 10.18 | | |
Class A | |
04/30/2021 (Unaudited) | | $ | 10.60 | | | $ | (0.06 | ) | | $ | 0.82 | | | $ | 0.76 | | | $ | (0.15 | ) | | $ | — | | | $ | — | | | $ | (0.15 | ) | | $ | 11.21 | | |
10/31/2020 | | $ | 10.78 | | | $ | (0.03 | ) | | $ | 0.20 | | | $ | 0.17 | | | $ | (0.35 | ) | | $ | — | | | $ | — | | | $ | (0.35 | ) | | $ | 10.60 | | |
10/31/2019 | | $ | 10.55 | | | $ | 0.04 | | | $ | 0.19 | | | $ | 0.23 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.78 | | |
10/31/2018 | | $ | 10.65 | | | $ | 0.06 | | | $ | (0.16 | ) | | $ | (0.10 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.55 | | |
10/31/2017 | | $ | 10.10 | | | $ | 0.02 | | | $ | 0.53 | | | $ | 0.55 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.65 | | |
10/31/2016 | | $ | 10.40 | | | $ | (0.02 | ) | | $ | (0.18 | ) | | $ | (0.20 | ) | | $ | — | | | $ | (0.10 | ) | | $ | — | | | $ | (0.10 | ) | | $ | 10.10 | | |
Class C | |
04/30/2021 (Unaudited) | | $ | 10.03 | | | $ | (0.09 | ) | | $ | 0.76 | | | $ | 0.67 | | | $ | (0.07 | ) | | $ | — | | | $ | — | | | $ | (0.07 | ) | | $ | 10.63 | | |
10/31/2020 | | $ | 10.20 | | | $ | (0.10 | ) | | $ | 0.20 | | | $ | 0.10 | | | $ | (0.27 | ) | | $ | — | | | $ | — | | | $ | (0.27 | ) | | $ | 10.03 | | |
10/31/2019 | | $ | 10.06 | | | $ | (0.03 | ) | | $ | 0.17 | | | $ | 0.14 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.20 | | |
10/31/2018 | | $ | 10.24 | | | $ | (0.03 | ) | | $ | (0.15 | ) | | $ | (0.18 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.06 | | |
10/31/2017 | | $ | 9.78 | | | $ | (0.05 | ) | | $ | 0.51 | | | $ | 0.46 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.24 | | |
10/31/2016 | | $ | 10.15 | | | $ | (0.09 | ) | | $ | (0.18 | ) | | $ | (0.27 | ) | | $ | — | | | $ | (0.10 | ) | | $ | — | | | $ | (0.10 | ) | | $ | 9.78 | | |
Class R6 | |
04/30/2021 (Unaudited) | | $ | 10.81 | | | $ | (0.05 | ) | | $ | 0.84 | | | $ | 0.79 | | | $ | (0.20 | ) | | $ | — | | | $ | — | | | $ | (0.20 | ) | | $ | 11.40 | | |
10/31/2020 | | $ | 10.98 | | | $ | 0.01 | | | $ | 0.21 | | | $ | 0.22 | | | $ | (0.39 | ) | | $ | — | | | $ | — | | | $ | (0.39 | ) | | $ | 10.81 | | |
10/31/2019 | | $ | 10.71 | | | $ | 0.09 | | | $ | 0.19 | | | $ | 0.28 | | | $ | (0.01 | ) | | $ | — | | | $ | — | | | $ | (0.01 | ) | | $ | 10.98 | | |
10/31/2018 | | $ | 10.77 | | | $ | 0.10 | | | $ | (0.16 | ) | | $ | (0.06 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.71 | | |
10/31/2017 | | $ | 10.17 | | | $ | 0.05 | | | $ | 0.55 | | | $ | 0.60 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.77 | | |
10/31/2016 | | $ | 10.47 | | | $ | 0.04 | | | $ | (0.21 | ) | | $ | (0.17 | ) | | $ | (0.03 | ) | | $ | (0.10 | ) | | $ | — | | | $ | (0.13 | ) | | $ | 10.17 | | |
See Notes to Consolidated Financial Highlights
67
| | | Total
Return†d | | Net Assets,
End of
Period
(in millions) | | Ratio
of Gross
Expenses to
Average
Net
Assets# | | Ratio
of Gross
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales)# | | Ratio
of Net
Expenses to
Average
Net
AssetsØ | | Ratio
of Net
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales)Ø | | Ratio
of Net
Investment
Income/
(Loss) to
Average
Net
Assets | | Portfolio
Turnover
Rate
(including
securities
sold short) | | Portfolio
Turnover
Rate
(excluding
securities
sold short) | |
Institutional Class | |
04/30/2021 (Unaudited) | | | 7.40 | %** | | $ | 63.5 | | | | 2.88 | %* | | | 2.68 | %* | | | 2.17 | %* | | | 1.97 | %* | | | (0.71 | )%* | | | 163 | %** | | | 170 | %** | |
10/31/2020 | | | 2.01 | % | | $ | 84.5 | | | | 2.69 | % | | | 2.54 | % | | | 2.12 | % | | | 1.97 | % | | | 0.10 | % | | | 230 | % | | | 219 | % | |
10/31/2019 | | | 2.48 | % | | $ | 157.6 | | | | 2.59 | % | | | 2.27 | % | | | 2.30 | % | | | 1.98 | % | | | 0.77 | % | | | 248 | % | | | 246 | % | |
10/31/2018 | | | (0.56 | )% | | $ | 201.1 | | | | 2.53 | % | | | 2.16 | % | | | 2.34 | % | | | 1.97 | % | | | 0.86 | % | | | 194 | % | | | 179 | % | |
10/31/2017 | | | 5.80 | % | | $ | 295.7 | | | | 2.69 | % | | | 2.09 | % | | | 2.57 | % | | | 1.97 | % | | | 0.61 | % | | | 382 | % | | | 357 | % | |
10/31/2016 | | | (1.57 | )% | | $ | 485.8 | | | | 2.83 | %‡ | | | 2.02 | %‡ | | | 2.78 | %§‡ | | | 1.97 | %§‡ | | | 0.18 | %‡ | | | 485 | % | | | 474 | % | |
Class A | |
04/30/2021 (Unaudited) | | | 7.26 | %** | | $ | 6.9 | | | | 3.32 | %* | | | 3.10 | %* | | | 2.54 | %* | | | 2.32 | %* | | | (1.16 | )%* | | | 163 | %** | | | 170 | %** | |
10/31/2020 | | | 1.58 | % | | $ | 6.6 | | | | 3.22 | % | | | 3.08 | % | | | 2.47 | % | | | 2.33 | % | | | (0.32 | )% | | | 230 | % | | | 219 | % | |
10/31/2019 | | | 2.18 | % | | $ | 7.3 | | | | 2.98 | % | | | 2.65 | % | | | 2.67 | % | | | 2.33 | % | | | 0.40 | % | | | 248 | % | | | 246 | % | |
10/31/2018 | | | (0.94 | )% | | $ | 18.1 | | | | 2.83 | % | | | 2.55 | % | | | 2.61 | % | | | 2.33 | % | | | 0.60 | % | | | 194 | % | | | 179 | % | |
10/31/2017 | | | 5.45 | % | | $ | 20.6 | | | | 3.13 | % | | | 2.47 | % | | | 2.99 | % | | | 2.33 | % | | | 0.17 | % | | | 382 | % | | | 357 | % | |
10/31/2016 | | | (1.91 | )% | | $ | 62.9 | | | | 3.20 | %‡ | | | 2.40 | %‡ | | | 3.13 | %§‡ | | | 2.33 | %§‡ | | | (0.16 | )%‡ | | | 485 | % | | | 474 | % | |
Class C | |
04/30/2021 (Unaudited) | | | 6.73 | %** | | $ | 3.8 | | | | 4.00 | %* | | | 3.79 | %* | | | 3.28 | %* | | | 3.08 | %* | | | (1.82 | )%* | | | 163 | %** | | | 170 | %** | |
10/31/2020 | | | 0.96 | % | | $ | 4.7 | | | | 3.82 | % | | | 3.67 | % | | | 3.23 | % | | | 3.08 | % | | | (0.98 | )% | | | 230 | % | | | 219 | % | |
10/31/2019 | | | 1.39 | % | | $ | 7.7 | | | | 3.71 | % | | | 3.39 | % | | | 3.40 | % | | | 3.09 | % | | | (0.33 | )% | | | 248 | % | | | 246 | % | |
10/31/2018 | | | (1.76 | )% | | $ | 11.6 | | | | 3.65 | % | | | 3.28 | % | | | 3.45 | % | | | 3.08 | % | | | (0.24 | )% | | | 194 | % | | | 179 | % | |
10/31/2017 | | | 4.70 | % | | $ | 17.9 | | | | 3.82 | % | | | 3.21 | % | | | 3.69 | % | | | 3.08 | % | | | (0.53 | )% | | | 382 | % | | | 357 | % | |
10/31/2016 | | | (2.66 | )% | | $ | 40.9 | | | | 3.96 | %‡ | | | 3.15 | %‡ | | | 3.89 | %§‡ | | | 3.08 | %§‡ | | | (0.96 | )%‡ | | | 485 | % | | | 474 | % | |
Class R6 | |
04/30/2021 (Unaudited) | | | 7.41 | %** | | $ | 2.2 | | | | 2.81 | %* | | | 2.59 | %* | | | 2.08 | %* | | | 1.86 | %* | | | (0.90 | )%* | | | 163 | %** | | | 170 | %** | |
10/31/2020 | | | 2.10 | % | | $ | 1.6 | | | | 2.59 | % | | | 2.45 | % | | | 2.01 | % | | | 1.87 | % | | | 0.07 | % | | | 230 | % | | | 219 | % | |
10/31/2019 | | | 2.64 | % | | $ | 1.4 | | | | 2.55 | % | | | 2.21 | % | | | 2.22 | % | | | 1.88 | % | | | 0.84 | % | | | 248 | % | | | 246 | % | |
10/31/2018 | | | (0.56 | )% | | $ | 15.3 | | | | 2.45 | % | | | 2.09 | % | | | 2.26 | % | | | 1.90 | % | | | 0.93 | % | | | 194 | % | | | 179 | % | |
10/31/2017 | | | 5.90 | % | | $ | 12.7 | | | | 2.40 | % | | | 1.93 | % | | | 2.37 | % | | | 1.90 | % | | | 0.51 | % | | | 382 | % | | | 357 | % | |
10/31/2016 | | | (1.58 | )% | | $ | 3.4 | | | | 2.71 | %‡ | | | 1.92 | %‡ | | | 2.69 | %§‡ | | | 1.90 | %§‡ | | | 0.37 | %‡ | | | 485 | % | | | 474 | % | |
68
Notes to Consolidated Financial Highlights
@ Calculated based on the average number of shares outstanding during each fiscal period.
† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested, but do not reflect the effect of sales charges. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses.Total return would have been higher if Management had not recouped previously reimbursed and/or waived expenses.
d The class action proceeds listed in Note A of the Consolidated Notes to Financial Statements had no impact on the Fund's total return for the six months ended April 30, 2021. The class action proceeds received in 2020, 2019, 2018, 2017 and 2016 had no impact on the Fund's total returns for the years ended October 31, 2020, 2019, 2018, 2017 and 2016.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee.
‡ Organization expense, which is a non-recurring expense, is included in these ratios on a non-annualized basis.
** Not annualized.
* Annualized.
Ø After reimbursement of expenses and/or waiver of a portion of the investment management fee by Management. The Fund is required to calculate an expense ratio without taking into consideration any expense reductions related to expense offset arrangements (see Note A in the Notes to Consolidated Financial Statements). Had the Fund not received expense reductions related to expense offset arrangements, the annualized ratios of net expenses to average daily net assets would have been:
| | | Including
Dividend
and
Interest
Expense
Relating to
Short Sales | | Excluding
Dividend
and
Interest
Expense
Relating to
Short Sales | | Including
Dividend
and
Interest
Expense
Relating to
Short Sales | | Excluding
Dividend
and
Interest
Expense
Relating to
Short Sales | | Including
Dividend
and
Interest
Expense
Relating to
Short Sales | | Excluding
Dividend
and
Interest
Expense
Relating to
Short Sales | | Including
Dividend
and
Interest
Expense
Relating to
Short Sales | | Excluding
Dividend
and
Interest
Expense
Relating to
Short Sales | | Including
Dividend
and
Interest
Expense
Relating to
Short Sales | | Excluding
Dividend
and
Interest
Expense
Relating to
Short Sales | | Including
Dividend
and
Interest
Expense
Relating to
Short Sales | | Excluding
Dividend
and
Interest
Expense
Relating to
Short Sales | |
| | | Six Months Ended
April 30, 2021 | | Year Ended
October 31, 2020 | | Year Ended
October 31, 2019 | | Year Ended
October 31, 2018 | | Year Ended
October 31, 2017 | | Year Ended
October 31, 2016 | |
Institutional Class | | | 2.17 | % | | | 1.97 | % | | | 2.12 | % | | | 1.97 | % | | | 2.30 | % | | | 1.98 | % | | | 2.33 | % | | | 1.97 | % | | | 2.57 | % | | | 1.97 | % | | | 2.78 | % | | | 1.97 | % | |
Class A | | | 2.54 | % | | | 2.32 | % | | | 2.47 | % | | | 2.33 | % | | | 2.67 | % | | | 2.33 | % | | | 2.61 | % | | | 2.33 | % | | | 2.99 | % | | | 2.33 | % | | | 3.13 | % | | | 2.33 | % | |
Class C | | | 3.28 | % | | | 3.08 | % | | | 3.23 | % | | | 3.08 | % | | | 3.40 | % | | | 3.09 | % | | | 3.45 | % | | | 3.08 | % | | | 3.69 | % | | | 3.08 | % | | | 3.89 | % | | | 3.08 | % | |
Class R6 | | | 2.08 | % | | | 1.86 | % | | | 2.01 | % | | | 1.87 | % | | | 2.22 | % | | | 1.88 | % | | | 2.26 | % | | | 1.90 | % | | | 2.37 | % | | | 1.90 | % | | | 2.69 | % | | | 1.90 | % | |
69
Notes to Consolidated Financial Highlights (cont'd)
§ After repayment of expenses previously reimbursed and/or fees previously waived by Management pursuant to the terms of the contractual expense limitation agreements, as applicable. Had the Fund not made such repayments, the annualized ratios of net expenses to average daily net assets would have been:
| | | Including
Dividend
and
Interest
Expense
Relating to
Short Sales | | Excluding
Dividend
and
Interest
Expense
Relating to
Short Sales | |
| | | Year Ended
October 31, 2016 | |
Institutional Class | | | 2.77 | % | | | 1.96 | % | |
Class A | | | 3.13 | % | | | 2.33 | % | |
Class C | | | 3.88 | % | | | 3.07 | % | |
Class R6 | | | 2.68 | % | | | 1.89 | % | |
70
Investment Manager and Administrator
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
Shareholder Services 800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Distributor
Neuberger Berman BD LLC
1290 Avenue of the Americas
New York, NY 10104-0002
Shareholder Services 800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Subadvisers
BH-DG Systematic Trading LLP
55 Baker Street
London W1U 7EU United Kingdom
Cramer Rosenthal McGlynn, LLC
Havemeyer Place
Greenwich, CT 06830
GAMCO Asset Management Inc.
One Corporate Center
Rye, NY 10580
Good Hill Partners LP
One Greenwich Office Park
Greenwich, CT 06831
P/E Global, LLC
75 State Street, 31st Floor
Boston, MA 02109
Portland Hill Asset Management Limited
21 Knightsbridge
London SW1X7LY, United Kingdom
Custodian
JPMorgan Chase & Co.
4 Chase Metrotech Center
Brooklyn, NY 11245
Shareholder Servicing Agent
DST Asset Manager Solutions Inc.
430 West 7th Street, Suite 219189
Kansas City, MO 64105-1407
For Institutional Class Shareholders
address correspondence to:
Neuberger Berman Funds
PO Box 219189
Kansas City, MO 64121-9189
Intermediary Client Services 800.366.6264
For Class A, Class C and Class R6 Shareholders:
Please contact your investment provider
Legal Counsel
K&L Gates LLP
1601 K Street, NW
Washington, DC 20006-1600
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
71
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the SEC's website, at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the SEC's website at www.sec.gov, and on Neuberger Berman's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its report on Form N-PORT. The Trust's Form N-PORT is available on the SEC's website at www.sec.gov. The portfolio holdings information on Form N-PORT is available upon request, without charge, by calling 800-877-9700 (toll-free).
72
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104–0002
Retail Services: 800.877.9700
Broker-Dealer and Institutional Services: 800.366.6264/888.556.9030
www.nb.com
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus which you can obtain by calling 877.628.2583. An investor should consider carefully a Fund's investment objectives, risks and fees and expenses, which are described in its prospectus, before investing.
N0087 06/21
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Class R6 Shares
Commodity Strategy Fund
Global Allocation Fund
Long Short Fund
U.S. Equity Index PutWrite Strategy Fund
Semi-Annual Report
April 30, 2021
As permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund's annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund's website www.nb.com/fundliterature, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 800.877.9700 or by sending an e-mail request to fundinfo@nb.com.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.877.9700 or send an email request to fundinfo@nb.com to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
Contents
THE FUNDS | |
President's Letter | | | 1 | | |
PORTFOLIO COMMENTARY | |
Commodity Strategy Fund | | | 3 | | |
Global Allocation Fund | | | 5 | | |
Long Short Fund | | | 7 | | |
U.S. Equity Index PutWrite Strategy Fund | | | 9 | | |
FUND EXPENSE INFORMATION | | | 14 | | |
LEGEND | | | 16 | | |
SCHEDULE OF INVESTMENTS | |
Commodity Strategy Fund | | | 17 | | |
Positions by Country | | | 20 | | |
Global Allocation Fund | | | 23 | | |
Positions by Industry | | | 31 | | |
Long Short Fund | | | 46 | | |
U.S. Equity Index PutWrite Strategy Fund | | | 76 | | |
FINANCIAL STATEMENTS | | | 79 | | |
FINANCIAL HIGHLIGHTS (ALL CLASSES) | |
Commodity Strategy Fund | | | 113 | | |
Global Allocation Fund | | | 115 | | |
Long Short Fund | | | 117 | | |
U.S. Equity Index PutWrite Strategy Fund | | | 119 | | |
Directory | | | 125 | | |
Proxy Voting Policies and Procedures | | | 126 | | |
Quarterly Portfolio Schedule | | | 126 | | |
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund names in this piece are either service marks or registered service marks of Neuberger Berman Investment Advisers LLC, an affiliate of Neuberger Berman BD LLC, distributor, member FINRA. ©2021 Neuberger Berman BD LLC, distributor. All rights reserved.
Dear Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Alternative and Multi-Asset Class Funds covering the six-month period ended April 30, 2021 (the reporting period).
The U.S. economy has rebounded sharply from the depths of the pandemic-induced downturn, driving optimism for a sustained recovery. The rollout of several highly effective vaccines buoyed investor sentiment in late 2020. This, coupled with the resolution of the November elections, further boosted optimism for the economy. Many data points, including gross domestic product, unemployment and manufacturing have shown significant improvement since the economy's trough in the second quarter of 2020.
U.S. fiscal and monetary policy remained highly accommodative over the reporting period. In terms of fiscal stimulus, the U.S. government passed a $900 billion package in late 2020, followed by a $1.9 trillion package in the first quarter of 2021. Toward the end of the reporting period, President Biden laid out his vision for future legislation, including a sweeping infrastructure plan and an "American Families Plan" aimed at improving education and family-related benefits. As it relates to monetary policy, the U.S. Federal Reserve Board (Fed) maintained the federal funds rate in a range between 0.00% and 0.25% and continued its quantitative easing program. Meanwhile, the Federal Open Market Committee continued to assess inflation against its newly implemented average inflation targeting framework, affording greater leniency for periods of higher inflation.
The global stock market rallied sharply, while the overall fixed income market generated weak results during the reporting period. The U.S. stock market reached a number of new all-time highs, driven by improving growth, significant support by the federal government and the Fed, improving corporate profits, and robust investor demand. All told, the S&P 500® Index returned 28.85% during the reporting period. Meanwhile, international developed and emerging market equities, as measured by the MSCI EAFE® (Net) and MSCI Emerging Markets (Net) Indices, returned 28.84% and 22.95%, respectively, over the reporting period. In contrast, the overall investment-grade U.S. fixed income market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned –1.52% over the reporting period. While short-term U.S. Treasury yields were essentially flat overall, longer-term rates rose on optimism over fiscal stimulus and the pace of economic recovery. Meanwhile, credit spreads, which widened sharply at the onset of the pandemic, steadily tightened over the reporting period.
Looking ahead, we believe the increase in inoculation rates could significantly boost economic activity in the near term. Today, we remain constructive as widely-distributed vaccines could support reopening initiatives, albeit at a measured pace. Moreover, we believe the stock market is a discounting mechanism, assigning a present value to expected future cash flows. Through this lens, investors are pricing in a rebound in earnings with monetary/fiscal stimulus working in concert. Meanwhile, we believe the fixed income market environment is evolving—a trend we anticipate to continue in the coming years. In particular, we anticipate continued monetary and fiscal accommodation. Should our base case scenario play out, fixed income investors may encounter higher real yields and increased inflation, and should consider to plan accordingly.
Neuberger Berman continues to monitor the ongoing developments related to COVID-19 with a particular focus on two areas: the safety and health of its employees and clients, and the ability to continue to conduct effectively its investment and business operations, including all critical services. Neuberger Berman has a dedicated Business Continuity Management team staffed with full-time professionals, who partner with over 60 Business Continuity Coordinators covering all business functions across all geographies. Neuberger Berman currently has not experienced a significant impact on its operating model and will continue to monitor the potential long-term implications for global economies. Neuberger Berman will remain flexible and look to adapt, as necessary, the firm's operations and processes to most effectively manage portfolios.
1
Thank you for your support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
JOSEPH V. AMATO
PRESIDENT AND CEO
NEUBERGER BERMAN ALTERNATIVE FUNDS
2
Commodity Strategy Fund Commentary
Neuberger Berman Commodity Strategy Fund Institutional Class generated a total return of 38.60% for the six-month period ended April 30, 2021 (the reporting period) and outperformed its benchmark, the Bloomberg Commodity Index (the Index), which posted a 25.81% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The overall commodity market generated strong results over the reporting period, with agriculture, industrial metals and energy being the top performers. Agriculture was boosted by strong demand for soybeans as China worked to rebuild their hog herds that were depleted by African swine fever. The industrial metals sector also rallied sharply. For example, demand for copper increased as China invested in projects to rebuild its economy. Sentiment for this sector remained high in anticipation of rising infrastructure spending under the Biden administration. Energy benefited from increased demand as vaccine rollouts progressed and economic growth improved amid increased reopenings.
Looking at the commodity sectors in which the Fund invests, energy was the largest contributor to relative results. In particular, overweights to heating oil and gasoline versus the Index were additive for returns. An underweight to natural gas was also rewarded, as it fell nearly 20% over the reporting period. Given our risk-balanced investment approach, we typically underweight natural gas given its high volatility. Looking at the precious metals sector, out-of-benchmark allocations to platinum and palladium were beneficial, as was an underweight to gold. Within the agriculture space, an overweight to corn versus the Index added the most value, as it reached multi-year highs given increased demand and moderating supply. On the downside, an underweight to West Texas Intermediate (WTI) crude detracted from performance given rising prices. Underweights to soybeans and soybean oil were also a headwind for returns. Their prices moved higher, partially driven by increased demand in China as well as lower planting intentions relative to trade expectations. Finally, soft commodities (such as coffee, cocoa, sugar, and cotton) also detracted from the Fund's results, due to underweights to coffee and sugar.
The Fund seeks to gain exposure to the commodity markets by investing, directly or indirectly, in futures contracts on individual commodities and other commodity-linked derivative instruments. The Fund's tactical positioning contributed positively to performance during the reporting period.
One of the commonly held motivations for investing in commodities is to look to hedge against inflation. For a solution to be effective in achieving this goal, it likely includes a forward-looking assessment of where this potential inflation is coming from. In terms of commodities in particular, it is our belief that scarcer commodities are more likely to hit inflation management goals compared to those in excess supply. To this end, we are always on the lookout for niche markets where supply chains are more fragile and hedging demands are more imbalanced. We believe platinum and palladium are great examples of where the green revolution is likely to have an outsized impact given the growing interest in fuel cells for electric vehicles and green hydrogen, and feeder cattle is an interesting market on its own as it provides a structurally higher insurance premium than live cattle with relatively diversifying return streams. With these commodities already implemented for the Fund, we continue to look to gain access to others that may help us address future inflation challenges.
Sincerely,
HAKAN KAYA, THOMAS SONTAG AND DAVID YI WAN
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
3
TICKER SYMBOLS
Institutional Class | | NRBIX | |
Class A | | NRBAX | |
Class C | | NRBCX | |
PORTFOLIO BY INVESTMENT TYPE
(as a % of Total Net Assets)
Asset-Backed Securities | | | 18.4 | % | |
Corporate Bonds | | | 47.8 | | |
U.S. Treasury Obligations | | | 11.3 | | |
Short-Term Investments | | | 22.4 | | |
Other Assets Less Liabilities | | | 0.1 | * | |
Total | | | 100.0 | % | |
* Includes the impact of the Fund's open positions in derivatives (other than options purchased), if any.
PORTFOLIO BY TYPE OF COMMODITY FUTURE
(as a % of Total Notional Value) | |
Commodity Futures: | |
Agriculture | | | 24.0 | % | |
Energy | | | 27.9 | | |
Industrial Metals | | | 20.7 | | |
Livestock | | | 5.9 | | |
Precious Metals | | | 15.4 | | |
Softs | | | 6.1 | | |
Total | | | 100.0 | % | |
PERFORMANCE HIGHLIGHTS3
| | | | Six Month | | Average Annual Total
Return Ended 04/30/2021 | |
| | Inception
Date | | Period Ended
04/30/2021 | | 1 Year | | 5 Years | | Life of
Fund | |
At NAV | |
Institutional Class | | 08/27/2012 | | | 38.60 | % | | | 64.89 | % | | | 4.75 | % | | | –3.05 | % | |
Class A | | 08/27/2012 | | | 38.32 | % | | | 64.34 | % | | | 4.38 | % | | | –3.39 | % | |
| Class C6 | | 03/24/2021* | | | 38.62 | % | | | 64.91 | % | | | 4.75 | % | | | –3.05 | % | |
With Sales Charge | |
Class A | | | | | 30.47 | % | | | 54.76 | % | | | 3.17 | % | | | –4.05 | % | |
| Class C6 | | | | | 37.62 | % | | | 63.91 | % | | | 4.75 | % | | | –3.05 | % | |
Index | |
Bloomberg Commodity
Index1,2 | | | | | | | 25.81 | % | | | 48.52 | % | | | 2.26 | % | | | –4.68 | % | |
* Class C shares were fully redeemed on February 2, 2021. Operations recommenced on March 24, 2021.
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2020 were 1.00%,1.37% and 2.32% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.75%, 1.11% and 1.86% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2021 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
4
Global Allocation Fund Commentary
Neuberger Berman Global Allocation Fund Institutional Class generated a 18.16% total return for the six-month period ended April 30, 2021 (the reporting period), outperforming its blended benchmark consisting of 60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Index (collectively, the Index), which provided a 16.25% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Despite occasional bouts of volatility, the markets in the last six months have seen strong performance from risk assets, driven by a steady decrease in COVID-19 cases in much of the world, accelerating vaccinations, and massive monetary and fiscal policy support. Economic data have recovered, led by robust improvements in consumer sentiment and activity as economies appear to slowly head toward full reopenings. The first calendar quarter of 2021 saw a meaningful spike in interest rates, as investors rotated into riskier assets amidst an improving outlook for global growth. In the political realm, the U.S. experienced a "Blue Wave", with Joe Biden elected as President and the Senate shifting to a Democratic majority, while Europe saw a Brexit trade deal materialize, relieving a significant source of uncertainty.
The Fund's allocations to global equities contributed positively to performance while fixed income detracted during the reporting period. Within equities, U.S. and non-U.S. systematic equity were the primary drivers of performance. Within fixed income, an overweight in duration for the first half of the reporting period impacted the portfolio negatively. Opportunistic strategies were additive to fund performance, led by contributions from commodities and fundamental tactical asset allocation.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts contributed positively to performance during the reporting period.
Over a 12- to 18-month window, we maintain an overweight view on equities, with a bias towards U.S. small-caps and non-U.S. stocks in countries where we believe economic growth and vaccinations could catch up to the U.S. and there is more cyclical exposure to be had. In the near-term, however, we are becoming more cautious against a backdrop of lofty valuations, elevated market sentiment, and crowded positioning. The idea that peak growth may be approaching could rattle investor confidence; with the S&P 500® Index seemingly setting new records every week, we believe it is prudent to pause for breath and rebalance, where necessary.
Within fixed income, we remain overweight high yield credit, bank loans, and emerging markets debt, sectors where spread tightening can mitigate a potential move higher in rates. Fund flows within credit have continued to be positive despite the move higher in rates this year, a sign that investor confidence remains resilient. A positive, accelerating growth and inflation outlook led us to be cautious on duration and shy away from low-yielding sovereign bonds across developed markets. With that said, we believe the sell-off in U.S. Treasuries may have happened faster than warranted by fundamentals. We anticipate more two-way trading going forward and have paused on trimming duration in the portfolio.
We continue to believe that a flexible, multi-dimensional approach to a diversified portfolio is prudent. Our multi-asset class approach offers a global go-anywhere strategy, complemented with historically uncorrelated sources of return and a risk framework at both the security and portfolio level, plus independent firm oversight.
Sincerely,
ERIK KNUTZEN, ROBERT SURGENT AND TOKUFUMI KATO
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
5
TICKER SYMBOLS
Institutional Class | | NGLIX | |
Class A | | NGLAX | |
Class C | | NGLCX | |
Class R6 | | NRGLX | |
PERFORMANCE HIGHLIGHTS
| | | | Six Month | | Average Annual Total
Return Ended 04/30/2021 | |
| | Inception
Date | | Period Ended
04/30/2021 | | 1 Year | | 5 Years | | 10 Years | | Life of
Fund | |
At NAV | |
Institutional Class | | 12/29/2010 | | | 18.16 | % | | | 30.63 | % | | | 8.56 | % | | | 6.16 | % | | | 6.60 | % | |
Class A | | 12/29/2010 | | | 17.93 | % | | | 30.23 | % | | | 8.16 | % | | | 5.78 | % | | | 6.22 | % | |
Class C | | 12/29/2010 | | | 17.59 | % | | | 29.25 | % | | | 7.36 | % | | | 5.00 | % | | | 5.44 | % | |
| Class R65 | | 01/18/2019 | | | 18.27 | % | | | 30.87 | % | | | 8.62 | % | | | 6.19 | % | | | 6.63 | % | |
With Sales Charge | |
Class A | | | | | 11.16 | % | | | 22.70 | % | | | 6.89 | % | | | 5.15 | % | | | 5.62 | % | |
Class C | | | | | 16.59 | % | | | 28.25 | % | | | 7.36 | % | | | 5.00 | % | | | 5.44 | % | |
Index | |
| Blended Benchmark*1,2 | | | | | | | 16.25 | % | | | 27.67 | % | | | 9.49 | % | | | 6.49 | % | | | 7.06 | % | |
MSCI All Country
World Index (Net)1,2 | | | | | 28.29 | % | | | 45.75 | % | | | 13.85 | % | | | 9.17 | % | | | 9.80 | % | |
* Blended Benchmark is composed of 60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Index, rebalanced monthly.
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2020 were 3.48%, 3.89%, 4.61% and 3.86% for Institutional Class, Class A, Class C and R6 shares, respectively (before expense reimbursements and/or fee waivers, if any and after restatement). The expense ratios for fiscal year 2021 are 0.78%, 1.14%, 1.89%, and 0.68% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after restatement, expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2021 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
6
Long Short Fund Commentary
Neuberger Berman Long Short Fund Institutional Class generated a 10.46% total return for the six-month period ended April 30, 2021 (the reporting period), underperforming its primary benchmark, the HFRX Equity Hedge Index (the Index), which returned 14.57% for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The U.S. equity market, as measured by the S&P 500® Index, rebounded sharply following 2020 market lows during the reporting period. The market initially rose sharply given a confluence of events, including the resolution of the November 2020 elections, ongoing fiscal support and the announcement of several highly effective COVID-19 vaccines. This, coupled with improving economic data and continued accommodative monetary policy by the U.S. Federal Reserve Board, fueled investor risk appetite. Investors, anticipating a sustainable recovery, flocked to more cyclical companies that could benefit the most from an economic revival. All told, the S&P 500 Index gained 28.85% during the reporting period.
We maintained our constructive outlook during the reporting period. This was reflected in the Fund's net long and gross exposure during the reporting period. The Fund's largest sector weights were in Information Technology, Consumer Discretionary and Industrials over the period.
We categorize the Fund's long investment exposure into three groups: Capital Growth, Total Return and Opportunistic. Capital Growth continues to represent our largest allocation followed by Total Return and Opportunistic. We continued to identify compelling opportunities in Capital Growth relative to Opportunistic, as the change catalyst becomes more difficult to execute at this stage of the cycle. The portfolio's short exposure includes both single name "Fundamental" shorts and "Market" shorts. During the reporting period, equity long exposure increased against the backdrop of improved economic conditions and attractive earnings outlook, while Fundamental shorts decreased. Market shorts that consist primarily of sector and market cap-specific indices to help manage broader portfolio exposures increased during the reporting period.
Equity long exposure added to Fund performance, while Fundamental shorts detracted from performance. The Fund's aggregate use of futures, swap and options contracts and Private Investment in Public Equity (PIPE) detracted from performance during the reporting period.
The outlook for economic growth appears to us to be bright, driven by an upswing in the business cycle, less volatility from the executive branch, a more unified Congress, and a vaccine distribution program well underway—all supported by stunning amounts of fiscal and monetary policy support. We continue to believe this environment is flush with a confluence of fiscal policy considerations, monetary policy stimulus, public health concerns, geopolitical uncertainty, commodity price volatility, and sequencing (i.e., restarting the global economy) question marks, therefore creating potential opportunities to capitalize both long and short. Nevertheless, we are very mindful of the complex world in which we live and invest. Given the massive amounts of stimulus around the globe, there is a risk that the underlying assumption around very low inflation may be misguided since at some point, unchecked fiscal spending has consequences. We highlight these risks because the current environment, as always, necessitates a flexible approach in the complex, global world in which we operate.
Sincerely,
CHARLES KANTOR AND MARC REGENBAUM
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
7
TICKER SYMBOLS
Institutional Class | | NLSIX | |
Class A | | NLSAX | |
Class C | | NLSCX | |
PORTFOLIO BY INVESTMENT TYPE
(as a % of Total Net Assets)
| | Long | | Short | |
Common Stocks | | | 81.3 | % | | | (7.2 | )% | |
Convertible Bonds | | | 0.2 | | | | — | | |
Convertible Preferred Stocks | | | 0.3 | | | | — | | |
Corporate Bonds | | | 3.3 | | | | (1.0 | ) | |
Exchange-Traded Funds | | | — | | | | (1.2 | ) | |
Loan Assignments | | | 0.7 | | | | — | | |
Master Limited Partnerships and
Limited Partnerships | | | 2.1 | | | | — | | |
Options Purchased | | | 0.2 | | | | — | | |
Preferred Stocks | | | 2.8 | | | | — | | |
Warrants | | | 0.1 | | | | — | | |
Short-Term Investments | | | 5.4 | | | | — | | |
Other Assets Less Liabilities | | | 13.0 | * | | | — | | |
Total | | | 109.4 | % | | | (9.4 | )% | |
* Includes the impact of the Fund's open positions in derivatives (other than options purchased), if any.
PERFORMANCE HIGHLIGHTS
| | | | Six Month | | Average Annual Total
Return Ended 04/30/2021 | |
| | Inception
Date | | Period Ended
04/30/2021 | | 1 Year | | 5 Years | | Life of
Fund | |
At NAV | |
Institutional Class | | 12/29/2011 | | | 10.46 | % | | | 21.22 | % | | | 8.64 | % | | | 7.44 | % | |
Class A | | 12/29/2011 | | | 10.22 | % | | | 20.71 | % | | | 8.25 | % | | | 7.05 | % | |
Class C | | 12/29/2011 | | | 9.87 | % | | | 19.85 | % | | | 7.45 | % | | | 6.26 | % | |
With Sales Charge | |
Class A | | | | | 3.87 | % | | | 13.80 | % | | | 6.98 | % | | | 6.38 | % | |
Class C | | | | | 8.87 | % | | | 18.85 | % | | | 7.45 | % | | | 6.26 | % | |
Index | |
HFRX Equity Hedge
Index1,2 | | | | | | | 14.57 | % | | | 22.11 | % | | | 4.69 | % | | | 3.76 | % | |
| S&P 500® Index1,2 | | | | | | | 28.85 | % | | | 45.98 | % | | | 17.42 | % | | | 16.13 | % | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2020 were 1.80%, 2.16% and 2.91% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios for the semi-annual period ended April 30, 2021 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
8
U.S. Equity Index PutWrite Strategy Fund Commentary
Neuberger Berman U.S. Equity Index PutWrite Strategy Fund Institutional Class generated a total return of 18.19% over the six-month period ended April 30, 2021 (the reporting period), outperforming its benchmark, a blend consisting of 42.5% CBOE S&P 500 One-Week PutWrite Index / 42.5% CBOE S&P 500 PutWrite Index / 7.5% CBOE Russell 2000 One-Week PutWrite Index / 7.5% CBOE Russell 2000 PutWrite Index (collectively, the Index), which posted a 15.89% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
"Volatility Selling is Back..." read a recent Bloomberg headline. It only took a few months following high-profile exits and unanticipated 'blowups' for new option/volatility focused firms and strategies to begin to sprout like spring flowers. It seems like few, if any, asset classes experience the degree of manager turnover exhibited by the option/volatility space. On one hand, we are emboldened by the resilience of investor demand for option strategies. Yet, on the other hand, investor demand tends to support the repeated renewal of inconsistent, expensive and/or complicated strategies, in our view. We believe investors need to ask themselves if an amazing five-year return means anything if the strategy can't survive a sixth year or if suffering years of chronic losses are negated by a single dramatic monthly gain. Overall, we believe this sort of extreme cyclicality produced by some option/volatility strategies has turned away some investors who could benefit from longer-term strategic allocations to more durable approaches toward monetizing volatility.
During the reporting period, both S&P 500 and Russell 2000 exposures contributed to Fund performance. The Fund's S&P 500 exposure was the largest contributor to relative performance over the reporting period. This exposure fell shy of the CBOE S&P 500 PutWrite Index total return, but managed to outperform the CBOE S&P 500 One-Week PutWrite Index. In a similar fashion, the Fund's Russell 2000 exposure underperformed the CBOE Russell 2000 PutWrite Index, but outperformed the CBOE Russell 2000 One-Week PutWrite Index. The Fund's collateral holdings continue to be a positive contributor to overall performance and there were no detractors to performance over the period.
The Fund's average option notional exposure over the reporting period remained consistent with strategic targets of 85% S&P 500® Index and 15% Russell 2000® Index.
We believe listed option markets are resilient and profit seeking organisms. Historically, they have adapted and repriced risk to be able to recoup at least a portion of losses realized in prior periods. In our view, the past six months of above average implied volatility premiums are not a mispricing or aberration but are simply a rational pricing of a model that seeks premiums as compensation for underwriting risk. Rational equity index option markets can't underwrite equity risk effectively over the long-term if they are not able to raise prices after unanticipated losses. Continued above average levels of implied volatility premiums during this reporting period are just the latest example.
Sincerely,
DEREK DEVENS AND RORY EWING
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
9
U.S. Equity Index PutWrite Strategy Fund
TICKER SYMBOLS
Institutional Class | | NUPIX | |
Class A | | NUPAX | |
Class C | | NUPCX | |
Class R6 | | NUPRX | |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |
U.S. Treasury Obligations | | | 94.6 | % | |
Put Options Written | | | (1.1 | ) | |
Short-Term Investments | | | 5.7 | | |
Other Assets Less Liabilities | | | 0.8 | | |
Total | | | 100.0 | % | |
PERFORMANCE HIGHLIGHTS4
| | Inception | | Six Month
Period Ended | | Average Annual Total Return
Ended 04/30/2021 | |
| | Date | | 04/30/2021 | | 1 Year | | Life of Fund | |
At NAV | |
Institutional Class | | 09/16/2016 | | | 18.19 | % | | | 30.32 | % | | | 8.94 | % | |
Class A | | 09/16/2016 | | | 18.06 | % | | | 29.79 | % | | | 8.55 | % | |
Class C | | 09/16/2016 | | | 17.63 | % | | | 28.91 | % | | | 7.75 | % | |
Class R6 | | 09/16/2016 | | | 18.34 | % | | | 30.42 | % | | | 9.04 | % | |
With Sales Charge | |
Class A | | | | | 11.23 | % | | | 22.30 | % | | | 7.17 | % | |
Class C | | | | | 16.63 | % | | | 27.91 | % | | | 7.75 | % | |
Index | |
42.5% CBOE S&P 500 One-Week
PutWrite Index/ 42.5% CBOE S&P 500
PutWrite Index / 7.5% CBOE Russell 2000
One-Week PutWrite Index / 7.5% CBOE
Russell 2000 PutWrite Index1,2 | |
| | | 15.89 | % | | | 20.53 | % | | | 3.76 | % | |
85% S&P 500® Index / 15%
Russell 2000® Index1,2 | | | | | 31.68 | % | | | 50.16 | % | | | 17.51 | % | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if NBIA had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2020 were 0.74%, 1.11%, 1.89% and 0.65% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.66%, 1.02%, 1.77% and 0.56% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2021, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
10
1 Please see "Glossary of Indices" on page 12 for a description of indices. Please note that individuals cannot invest directly in any index. The HFRX Equity Hedge Index does take into account fees and expenses, but not the tax consequences, of investing since it is based on the underlying hedge funds' net returns. The other indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
2 The date used to calculate Life of Fund performance for the index is the inception date of the oldest share class.
3 During the period from August 2012 through January 2013, Neuberger Berman Commodity Strategy Fund was relatively small, which could have impacted Fund performance. The same techniques used to produce returns in a small fund may not work to produce similar returns in a larger fund.
4 The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
5 The performance information for Class R6 prior to the class's inception date is that of the Institutional Class of Neuberger Berman Global Allocation Fund. The performance information for the Institutional Class has not been adjusted to take into account differences in class specific operating expenses. The Institutional Class has higher expenses and typically lower returns than Class R6.
6 The performance information for Class C prior to the class's inception date is that of the Institutional Class of Neuberger Berman Commodity Strategy Fund. The performance information for the Institutional Class has been adjusted to reflect the appropriate sales charges applicable to Class C shares but has not been adjusted to take into account differences in class specific operating expenses (such as Rule 12b-1 fees). The Institutional Class has lower expenses and typically higher returns than Class C.
For more complete information on any of the Neuberger Berman Alternative and Multi-Asset Class Funds, call us at (800) 877-9700, or visit our website at www.nb.com.
11
Bloomberg Barclays Global Aggregate Index: | | The index measures global investment grade debt from twenty-four different local currency markets and includes fixed-rate treasury, government-related, corporate and securitized bonds from both developed and emerging markets issuers. The index is largely comprised of three major regional aggregate components: the Bloomberg Barclays U.S. Aggregate Bond Index, the Bloomberg Barclays Pan-European Aggregate Bond Index, and the Bloomberg Barclays Asian-Pacific Aggregate Index. In addition to securities from these three indices, the Bloomberg Barclays Global Aggregate Index also includes investment grade Eurodollar, Euro-Yen, Canadian, and 144A Index-eligible securities not already in these three indices. | |
Bloomberg Commodity Index: | | The index is a rolling index composed of exchange-traded futures contracts on physical commodities. The index relies primarily on liquidity data of futures contracts, along with U.S. dollar-adjusted production data, in determining the relative quantities of included commodities. The index is designed to be a highly liquid and diversified benchmark for commodities investments. The version of the index that is calculated on a total return basis reflects the returns on a fully collateralized investment in the underlying commodity futures contracts, combined with the returns on cash collateral invested in U.S. Treasury Bills. | |
CBOE Russell 2000® PutWrite Index: | | The index tracks the value of a passive investment strategy, which consists of overlaying Russell 2000 (RUT) short put options over a money market account invested in one-month U.S. Treasury bills. The RUT puts are struck at-the-money and are sold on a monthly basis. | |
CBOE Russell 2000® One-Week PutWrite Index: | | The index is designed to track the performance of a hypothetical strategy that sells an at-the-money (ATM) Russell 2000 Index put option on a weekly basis. The maturity of the written Russell 2000 put option is one week to expiry. The written Russell 2000 put option is collateralized by a money market account invested in one-month U.S. Treasury bills. The index rolls on a weekly basis, typically every Friday. | |
CBOE S&P 500® PutWrite Index: | | The index tracks the value of a passive investment strategy, which consists of overlaying S&P 500 (SPX) short put options over a money market account invested in one- and three-months Treasury bills. The SPX puts are struck at-the-money and are sold on a monthly basis. | |
CBOE S&P 500® One-Week PutWrite Index: | | The index is designed to track the performance of a hypothetical strategy that sells an at-the-money (ATM) S&P 500 Index (SPX) put option on a weekly basis. The maturity of the written SPX put option is one week to expiry. The written SPX put option is collateralized by a money market account invested in one-month U.S. Treasury bills. The index rolls on a weekly basis, typically every Friday. | |
42.5% CBOE S&P 500® One-Week PutWrite Index/42.5% CBOE S&P 500® PutWrite Index/7.5% CBOE Russell 2000® One-Week PutWrite Index/7.5% CBOE Russell 2000® PutWrite Index: | | The blended index is composed of 42.5% CBOE S&P 500 One-Week PutWrite Index (described above), 42.5% CBOE S&P 500 PutWrite Index (described above), 7.5% CBOE Russell 2000 One-Week PutWrite Index (described above) and 7.5% CBOE Russell 2000 PutWrite Index (described above), and is rebalanced monthly. | |
12
Glossary of Indices (cont'd)
HFRX Equity Hedge Index: | | The index comprises equity hedge strategies. Equity hedge strategies maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity hedge managers would typically maintain at least 50%, and may in some cases be substantially entirely invested, in equities, both long and short. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar-denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | |
MSCI All Country World Index (Net): | | The index is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. The index consists of 49 country indexes comprising 23 developed and 26 emerging market country indexes. The developed market country indexes included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indexes included are: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey, and the UAE. China A shares are included starting from June 1, 2018 and are partially represented at 20% of their free float-adjusted market capitalization as of November 2019. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. | |
60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Index: | | The blended index is composed of 60% MSCI All Country World Index (Net) (described above) and 40% Bloomberg Barclays Global Aggregate Index (described above), and is rebalanced monthly. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. | |
Russell 2000® Index: | | The index is a float-adjusted market capitalization-weighted index that measures the performance of the small-cap segment of the U.S. equity market. It includes approximately 2,000 of the smallest securities in the Russell 3000 Index (which measures the performance of the 3,000 largest U.S. public companies based on total market capitalization). The index is rebalanced annually in June. | |
S&P 500® Index: | | The index is a float-adjusted market capitalization-weighted index that focuses on the large-cap segment of the U.S. equity market, and includes a significant portion of the total value of the market. | |
85% S&P 500® Index/15% Russell 2000® Index: | | The 85% S&P 500® Index/15% Russell 2000® Index blended index is composed of 85% S&P 500® Index (described above) and 15% Russell 2000® Index (described above), and is rebalanced monthly. | |
13
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2021 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. 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 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return 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 a Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as sales charges (loads) (if applicable). Therefore, the information under the heading "Hypothetical (5% annual 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 transaction costs were included, your costs would have been higher.
14
Expense Example (Unaudited)
Neuberger Berman Alternative Funds | |
| | | ACTUAL | | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | |
| | | Beginning
Account
Value
11/1/20 | | Ending
Account
Value
4/30/21 | | Expenses Paid
During the
Period(1)
11/1/20 - 4/30/21 | | Expense
Ratio | | Beginning
Account
Value
11/1/20 | | Ending
Account
Value
4/30/21 | | Expenses Paid
During the
Period(2)
11/1/20 - 4/30/21 | | Expense
Ratio | |
Commodity Strategy Fund | |
Institutional Class | | $ | 1,000.00 | | | $ | 1,386.00 | | | $ | 4.38 | (3) | | | 0.74 | % | | $ | 1,000.00 | | | $ | 1,021.12 | | | $ | 3.71 | (3) | | | 0.74 | % | |
Class A | | $ | 1,000.00 | | | $ | 1,383.20 | | | $ | 6.50 | (3) | | | 1.10 | % | | $ | 1,000.00 | | | $ | 1,019.34 | | | $ | 5.51 | (3) | | | 1.10 | % | |
Class C | | $ | 1,000.00 | | | $ | 1,099.00 | | | $ | 2.01 | (3)(4) | | | 1.84 | % | | $ | 1,000.00 | | | $ | 1,015.67 | | | $ | 9.20 | (3) | | | 1.84 | % | |
Global Allocation Fund | |
Institutional Class | | $ | 1,000.00 | | | $ | 1,181.60 | | | $ | 3.57 | | | | 0.66 | % | | $ | 1,000.00 | | | $ | 1,021.52 | | | $ | 3.31 | | | | 0.66 | % | |
Class A | | $ | 1,000.00 | | | $ | 1,179.30 | | | $ | 5.51 | | | | 1.02 | % | | $ | 1,000.00 | | | $ | 1,019.74 | | | $ | 5.11 | | | | 1.02 | % | |
Class C | | $ | 1,000.00 | | | $ | 1,175.90 | | | $ | 9.50 | | | | 1.76 | % | | $ | 1,000.00 | | | $ | 1,016.07 | | | $ | 8.80 | | | | 1.76 | % | |
Class R6 | | $ | 1,000.00 | | | $ | 1,182.70 | | | $ | 2.98 | | | | 0.55 | % | | $ | 1,000.00 | | | $ | 1,022.07 | | | $ | 2.76 | | | | 0.55 | % | |
Long Short Fund | |
Institutional Class | | $ | 1,000.00 | | | $ | 1,104.60 | | | $ | 8.51 | | | | 1.63 | % | | $ | 1,000.00 | | | $ | 1,016.71 | | | $ | 8.15 | | | | 1.63 | % | |
Class A | | $ | 1,000.00 | | | $ | 1,102.20 | | | $ | 10.37 | | | | 1.99 | % | | $ | 1,000.00 | | | $ | 1,014.93 | | | $ | 9.94 | | | | 1.99 | % | |
Class C | | $ | 1,000.00 | | | $ | 1,098.70 | | | $ | 14.26 | | | | 2.74 | % | | $ | 1,000.00 | | | $ | 1,011.21 | | | $ | 13.66 | | | | 2.74 | % | |
U.S. Equity Index PutWrite Strategy Fund | |
Institutional Class | | $ | 1,000.00 | | | $ | 1,181.90 | | | $ | 3.52 | | | | 0.65 | % | | $ | 1,000.00 | | | $ | 1,021.57 | | | $ | 3.26 | | | | 0.65 | % | |
Class A | | $ | 1,000.00 | | | $ | 1,180.60 | | | $ | 5.46 | | | | 1.01 | % | | $ | 1,000.00 | | | $ | 1,019.79 | | | $ | 5.06 | | | | 1.01 | % | |
Class C | | $ | 1,000.00 | | | $ | 1,176.30 | | | $ | 9.50 | | | | 1.76 | % | | $ | 1,000.00 | | | $ | 1,016.07 | | | $ | 8.80 | | | | 1.76 | % | |
Class R6 | | $ | 1,000.00 | | | $ | 1,183.40 | | | $ | 2.98 | | | | 0.55 | % | | $ | 1,000.00 | | | $ | 1,022.07 | | | $ | 2.76 | | | | 0.55 | % | |
(1) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown), unless otherwise indicated.
(2) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
(3) Included the expenses of the Fund's subsidiary (See Note A of the Notes to Financial Statements).
(4) Expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 38/365 (to reflect the period shown of March 24, 2021 (Recommencement of Operations) to April 30, 2021) (See Note D of Notes to Financial Statements).
15
Legend April 30, 2021 (Unaudited)
Neuberger Berman Alternative Funds
Benchmarks:
LIBOR = London Interbank Offered Rate
SOFR = Secured Overnight Financing Rate
Currency Abbreviations:
AUD = Australian Dollar
EUR = Euro
GBP = Pound Sterling
JPY = Japanese Yen
USD = United States Dollar
Counterparties:
CITI = Citibank, N.A.
GSI = Goldman Sachs International
JPM = JPMorgan Chase Bank N.A.
SSB = State Street Bank and Trust Company
Index Periods/Payment Frequencies:
1M = 1 Month
3M = 3 Months
6M = 6 Months
T = Termination
Other abbreviations:
PIPE = Private investment in public equity
16
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) April 30, 2021
PRINCIPAL AMOUNT | | | | VALUE | |
U.S. Treasury Obligations 11.3% | | | |
| | | | | U.S. Treasury Bills | | | | | |
$ | 7,000,000 | | | 0.03%, due 9/30/2021 | | $ | 6,999,417 | (a) | |
| | 10,000,000 | | | 0.02%, due 10/28/2021 | | | 9,998,520 | (a) | |
| | | | | Total U.S. Treasury Obligations (Cost $16,998,015) | | | 16,997,937 | | |
Asset-Backed Securities 18.4% | | | |
| | 1,000,000 | | | American Express Credit Account Master Trust, Ser. 2017-5, Class A,
(1M USD LIBOR + 0.38%), 0.49%, due 2/18/2025 | |
| 1,004,038
| (b) | |
| | 1,820,000 | | | BMW Vehicle Lease Trust, Ser. 2021-1, Class A2, 0.20%, due 3/27/2023 | | | 1,819,701 | | |
| | 2,000,000 | | | Citibank Credit Card Issuance Trust, Ser. 2017-A7, Class A7,
(1M USD LIBOR + 0.37%), 0.48%, due 8/8/2024 | |
| 2,007,740
| (b) | |
| | | | | Ford Credit Auto Lease Trust | | | | | |
| | 564,770 | | | Ser. 2020-B, Class A2A, 0.50%, due 12/15/2022 | | | 565,305 | | |
| | 1,290,000 | | | Ser. 2021-A, Class A2, 0.19%, due 7/15/2023 | | | 1,289,434 | | |
| | | | | Ford Credit Auto Owner Trust | | | | | |
| | 150,942 | | | Ser. 2020-A, Class A2, 1.03%, due 10/15/2022 | | | 151,192 | | |
| | 357,205 | | | Ser. 2020-B, Class A2, 0.50%, due 2/15/2023 | | | 357,492 | | |
| | | | | GM Financial Consumer Automobile Receivables Trust | | | | | |
| | 59,888 | | | Ser. 2020-1, Class A2, 1.83%, due 1/17/2023 | | | 59,977 | | |
| | 1,010,330 | | | Ser. 2020-3, Class A2, 0.35%, due 7/17/2023 | | | 1,010,949 | | |
| | 980,000 | | | Ser. 2021-1, Class A2, 0.23%, due 11/16/2023 | | | 979,881 | | |
| | | | | Golden Credit Card Trust | | | | | |
| | 910,000 | | | Ser. 2019-2A, Class A, (1M USD LIBOR + 0.35%), 0.46%, due 10/15/2023 | | | 911,005 | (b)(c) | |
| | 1,000,000 | | | Ser. 2017-4A, Class A, (1M USD LIBOR + 0.52%), 0.63%, due 7/15/2024 | | | 1,004,405 | (b)(c) | |
| | | | | Hyundai Auto Lease Securitization Trust | | | | | |
| | 669,659 | | | Ser. 2020-A, Class A2, 1.90%, due 5/16/2022 | | | 670,977 | (c) | |
| | 1,115,689 | | | Ser. 2020-B, Class A2, 0.36%, due 1/17/2023 | | | 1,116,387 | (c) | |
| | | | | Mercedes-Benz Auto Lease Trust | | | | | |
| | 1,010,174 | | | Ser. 2020-B, Class A2, 0.31%, due 2/15/2023 | | | 1,010,600 | | |
| | 2,090,000 | | | Ser. 2021-A, Class A2, 0.18%, due 3/15/2023 | | | 2,089,250 | | |
| | 920,000 | | | MMAF Equipment Finance LLC, Ser. 2021-A, Class A2, 0.30%, due 4/15/2024 | | | 919,833 | (c)(d) | |
| | | | | Navient Student Loan Trust | | | | | |
| | 401,428 | | | Ser. 2017-4A, Class A2, (1M USD LIBOR + 0.50%), 0.61%, due 9/27/2066 | | | 402,066 | (b)(c) | |
| | 392,946 | | | Ser. 2019-7A, Class A1, (1M USD LIBOR + 0.50%), 0.61%, due 1/25/2068 | | | 393,737 | (b)(c) | |
| | 282,114 | | | Ser. 2019-2A, Class A1, (1M USD LIBOR + 0.27%), 0.38%, due 2/27/2068 | | | 282,104 | (b)(c) | |
| | 681,922 | | | Ser. 2019-4A, Class A1, (1M USD LIBOR + 0.28%), 0.39%, due 7/25/2068 | | | 680,017 | (b)(c) | |
| | 1,150,000 | | | Santander Consumer Auto Receivables Trust, Ser. 2021-AA, Class A2, 0.23%, due 11/15/2023 | | | 1,149,601 | (c) | |
| | 1,960,000 | | | Santander Retail Auto Lease Trust, Ser. 2021-A, Class A2, 0.32%, due 2/20/2024 | | | 1,959,842 | (c) | |
| | | | | Tesla Auto Lease Trust | | | | | |
| | 606,820 | | | Ser. 2020-A, Class A2, 0.55%, due 5/22/2023 | | | 607,750 | (c) | |
| | 1,600,000 | | | Ser. 2021-A, Class A2, 0.36%, due 3/20/2025 | | | 1,601,506 | (c) | |
| | | | | Verizon Owner Trust | | | | | |
| | 21,745 | | | Ser. 2018-1A, Class A1B, (1M USD LIBOR + 0.26%), 0.38%, due 9/20/2022 | | | 21,748 | (b)(c) | |
| | 1,200,000 | | | Ser. 2019-C, Class A1B, (1M USD LIBOR + 0.42%), 0.54%, due 4/22/2024 | | | 1,203,969 | (b) | |
| | 850,558 | | | Volkswagen Auto Loan Enhanced Trust, Ser. 2020-1, Class A2A, 0.93%, due 12/20/2022 | | | 852,071 | | |
| | 1,730,838 | | | World Omni Auto Receivables Trust, Ser. 2020-C, Class A2, 0.35%, due 12/15/2023 | | | 1,731,760 | | |
| | | | | Total Asset-Backed Securities (Cost $27,831,398) | | | 27,854,337 | | |
Corporate Bonds 47.8% | | | |
Agriculture 0.8% | | | |
| | 1,170,000 | | | BAT Capital Corp., (3M USD LIBOR + 0.88%), 1.07%, due 8/15/2022 | | | 1,177,678 | (b) | |
See Notes to Financial Statements
17
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Auto Manufacturers 1.5% | | | |
$ | 1,610,000 | | | Daimler Finance N.A. LLC, (3M USD LIBOR + 0.90%), 1.09%, due 2/15/2022 | | $ | 1,619,259 | (b)(c) | |
| | 675,000 | | | Volkswagen Group of America Finance LLC, (3M USD LIBOR + 0.94%), 1.14%, due 11/12/2021 | | | 677,902 | (b)(c) | |
| | | | 2,297,161 | | |
Banks 18.4% | | | |
| | | | | Bank of America Corp. | | | | | |
| | 690,000 | | | (3M USD LIBOR + 1.16%), 1.35%, due 1/20/2023 | | | 695,090 | (b) | |
| | 895,000 | | | (3M USD LIBOR + 1.00%), 1.18%, due 4/24/2023 | | | 901,915 | (b) | |
| | 775,000 | | | (3M USD LIBOR + 0.79%), 0.98%, due 3/5/2024 | | | 781,806 | (b) | |
| | 1,475,000 | | | BB&T Corp., (3M USD LIBOR + 0.65%), 0.85%, due 4/1/2022 | | | 1,482,262 | (b) | |
| | 2,270,000 | | | Citigroup, Inc., (3M USD LIBOR + 1.10%), 1.29%, due 5/17/2024 | | | 2,300,962 | (b) | |
| | 2,527,000 | | | Goldman Sachs Group, Inc., (3M USD LIBOR + 1.60%), 1.79%, due 11/29/2023 | | | 2,603,330 | (b) | |
| | 2,500,000 | | | JPMorgan Chase & Co., (3M USD LIBOR + 0.90%), 1.08%, due 4/25/2023 | | | 2,516,401 | (b) | |
| | 2,865,000 | | | Morgan Stanley, (SOFR + 0.70%), 0.71%, due 1/20/2023 | | | 2,870,675 | (b) | |
| | | | | Royal Bank of Canada | | | | | |
| | 2,035,000 | | | (3M USD LIBOR + 0.47%), 0.65%, due 4/29/2022 | | | 2,043,817 | (b) | |
| | 270,000 | | | (3M USD LIBOR + 0.36%), 0.55%, due 1/17/2023 | | | 271,121 | (b) | |
| | 1,095,000 | | | Santander UK PLC, (3M USD LIBOR + 0.62%), 0.81%, due 6/1/2021 | | | 1,095,535 | (b) | |
| | 2,105,000 | | | Sumitomo Mitsui Financial Group, Inc., (3M USD LIBOR + 1.11%), 1.30%, due 7/14/2021 | | | 2,109,294 | (b) | |
| | 2,005,000 | | | Toronto-Dominion Bank, (SOFR + 0.48%), 0.49%, due 1/27/2023 | | | 2,014,223 | (b) | |
| | 2,185,000 | | | U.S. Bank N.A., (3M USD LIBOR + 0.40%), 0.59%, due 12/9/2022 | | | 2,194,861 | (b) | |
| | 1,444,000 | | | Wells Fargo & Co., (3M USD LIBOR + 1.23%), 1.42%, due 10/31/2023 | | | 1,465,891 | (b) | |
| | | | | Westpac Banking Corp. | | | | | |
| | 1,835,000 | | | (3M USD LIBOR + 0.85%), 1.03%, due 8/19/2021 | | | 1,839,400 | (b) | |
| | 640,000 | | | (3M USD LIBOR + 0.39%), 0.58%, due 1/13/2023 | | | 643,394 | (b) | |
| | | | 27,829,977 | | |
Biotechnology 0.5% | | | |
| | 765,000 | | | Gilead Sciences, Inc., (3M USD LIBOR + 0.52%), 0.71%, due 9/29/2023 | | | 765,792 | (b) | |
Diversified Financial Services 3.7% | | | |
| | 705,000 | | | American Express Co., (3M USD LIBOR + 0.61%), 0.79%, due 8/1/2022 | | | 708,814 | (b) | |
| | 2,820,000 | | | Capital One Financial Corp., (3M USD LIBOR + 0.95%), 1.14%, due 3/9/2022 | | | 2,837,770 | (b) | |
| | 2,055,000 | | | Intercontinental Exchange, Inc., (3M USD LIBOR + 0.65%), 0.83%, due 6/15/2023 | | | 2,057,692 | (b) | |
| | | | 5,604,276 | | |
Electric 2.6% | | | |
| | 980,000 | | | Duke Energy Florida LLC, Ser. A, (3M USD LIBOR + 0.25%), 0.44%, due 11/26/2021 | | | 980,706 | (b) | |
| | 1,435,000 | | | Florida Power & Light Co., (3M USD LIBOR + 0.38%), 0.56%, due 7/28/2023 | | | 1,435,059 | (b) | |
| | 1,515,000 | | | Southern California Edison Co., (3M USD LIBOR + 0.27%), 0.45%, due 12/3/2021 | | | 1,514,914 | (b) | |
| | | | 3,930,679 | | |
Electronics 0.6% | | | |
| | | | | Honeywell Int'l, Inc. | | | | | |
| | 380,000 | | | (3M USD LIBOR + 0.37%), 0.56%, due 8/8/2022 | | | 381,481 | (b) | |
| | 500,000 | | | (3M USD LIBOR + 0.23%), 0.41%, due 8/19/2022 | | | 500,331 | (b) | |
| | | | 881,812 | | |
See Notes to Financial Statements
18
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Gas 2.6% | | | |
$ | 565,000 | | | Atmos Energy Corp., (3M USD LIBOR + 0.38%), 0.57%, due 3/9/2023 | | $ | 565,319 | (b) | |
| | 1,045,000 | | | CenterPoint Energy Resources Corp., (3M USD LIBOR + 0.50%), 0.68%, due 3/2/2023 | | | 1,045,233 | (b) | |
| | 1,785,000 | | | Dominion Energy Gas Holdings LLC, Ser. A, (3M USD LIBOR + 0.60%), 0.78%, due 6/15/2021 | | | 1,786,092 | (b) | |
| | 585,000 | | | Southern California Gas Co., (3M USD LIBOR + 0.35%), 0.53%, due 9/14/2023 | | | 585,069 | (b) | |
| | | | 3,981,713 | | |
Insurance 1.4% | | | |
| | 2,025,000 | | | New York Life Global Funding, (3M USD LIBOR + 0.44%), 0.63%, due 7/12/2022 | | | 2,034,361 | (b)(c) | |
Machinery—Diversified 0.9% | | | |
| | 1,350,000 | | | Otis Worldwide Corp., (3M USD LIBOR + 0.45%), 0.64%, due 4/5/2023 | | | 1,349,236 | (b) | |
Media 1.6% | | | |
| | 1,125,000 | | | Comcast Corp., (3M USD LIBOR + 0.63%), 0.81%, due 4/15/2024 | | | 1,137,758 | (b) | |
| | 1,255,000 | | | Walt Disney Co., (3M USD LIBOR + 0.39%), 0.57%, due 3/4/2022 | | | 1,258,801 | (b) | |
| | | | 2,396,559 | | |
Miscellaneous Manufacturer 1.5% | | | |
| | 2,255,000 | | | General Electric Capital Corp., (3M USD LIBOR + 1.00%), 1.18%, due 3/15/2023 | | | 2,281,297 | (b) | |
Oil & Gas 1.5% | | | |
| | 120,000 | | | BP Capital Markets America, Inc., (3M USD LIBOR + 0.65%), 0.84%, due 9/19/2022 | | | 120,527 | (b) | |
| | 2,135,000 | | | BP Capital PLC, (3M USD LIBOR + 0.87%), 1.06%, due 9/16/2021 | | | 2,141,736 | (b) | |
| | | | 2,262,263 | | |
Pharmaceuticals 5.8% | | | |
| | 975,000 | | | AbbVie, Inc., (3M USD LIBOR + 0.65%), 0.83%, due 11/21/2022 | | | 981,004 | (b) | |
| | 1,855,000 | | | AstraZeneca PLC, (3M USD LIBOR + 0.62%), 0.80%, due 6/10/2022 | | | 1,865,410 | (b) | |
| | 2,540,000 | | | Bayer U.S. Finance II LLC, (3M USD LIBOR + 0.63%), 0.83%, due 6/25/2021 | | | 2,540,954 | (b)(c) | |
| | 1,810,000 | | | Bristol-Myers Squibb Co., (3M USD LIBOR + 0.38%), 0.57%, due 5/16/2022 | | | 1,815,733 | (b) | |
| | 1,479,000 | | | GlaxoSmithKline Capital PLC, (3M USD LIBOR + 0.35%), 0.54%, due 5/14/2021 | | | 1,479,141 | (b) | |
| | | | 8,682,242 | | |
Retail 1.1% | | | |
| | 1,700,000 | | | 7-Eleven, Inc., (3M USD LIBOR + 0.45%), 0.65%, due 8/10/2022 | | | 1,701,037 | (b)(c) | |
Telecommunications 3.3% | | | |
| | | | | AT&T, Inc. | | | | | |
| | 2,000,000 | | | (3M USD LIBOR + 0.95%), 1.13%, due 7/15/2021 | | | 2,003,536 | (b) | |
| | 115,000 | | | (3M USD LIBOR + 0.89%), 1.08%, due 2/15/2023 | | | 115,930 | (b) | |
| | 2,780,000 | | | Verizon Communications, Inc., (SOFR + 0.50%), 0.51%, due 3/22/2024 | | | 2,791,742 | (b) | |
| | | | 4,911,208 | | |
| | | | | Total Corporate Bonds (Cost $71,950,047) | | | 72,087,291 | | |
See Notes to Financial Statements
19
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Short-Term Investments 22.4% | | | |
Investment Companies 22.4% | | | |
| | 33,812,176 | | | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(e)
(Cost $33,812,176) | | $ | 33,812,176 | (f) | |
| | | | | Total Investments 99.9% (Cost $150,591,636) | | | 150,751,741 | | |
| | | | | Other Assets Less Liabilities 0.1% | | | 116,651 | (g) | |
| | | | | Net Assets 100.0% | | $ | 150,868,392 | | |
(a) Rate shown was the discount rate at the date of purchase.
(b) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2021 and changes periodically.
(c) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2021, these securities amounted to $20,294,491, which represents 13.5% of net assets of the Fund.
(d) When-issued security. Total value of all such securities at April 30, 2021 amounted to $919,833, which represents 0.6% of net assets of the Fund.
(e) Represents 7-day effective yield as of April 30, 2021.
(f) All or a portion of this security is segregated in connection with obligations for when-issued securities and/or futures with a total value of $33,812,176.
(g) Includes the impact of the Fund's open positions in derivatives at April 30, 2021.
POSITIONS BY COUNTRY
Country | | Investments at
Value | | Percentage of
Net Assets | |
United States | | $ | 93,505,291 | | | | 62.0 | % | |
United Kingdom | | | 7,759,500 | | | | 5.1 | % | |
Canada | | | 6,244,571 | | | | 4.1 | % | |
Germany | | | 4,838,115 | | | | 3.2 | % | |
Australia | | | 2,482,794 | | | | 1.7 | % | |
Japan | | | 2,109,294 | | | | 1.4 | % | |
Short-Term Investments and Other Assets—Net | | | 33,928,827 | | | | 22.5 | % | |
| | | $ | 150,868,392 | | | | 100.0 | % | |
See Notes to Financial Statements
20
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2021, open positions in futures for the Fund were as follows:
Long Futures:
Expiration
Date | | Number of
Contracts | | Open Contracts | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
6/2021 | | | 140 | | | Lead | | $ | 7,525,000 | | | $ | 133,424 | | |
6/2021 | | | 53 | | | Nickel | | | 5,616,675 | | | | (224,178 | ) | |
6/2021 | | | 5 | | | Palladium | | | 1,476,850 | | | | 178,201 | | |
6/2021 | | | 80 | | | Primary Aluminum | | | 4,779,000 | | | | 534,177 | | |
6/2021 | | | 106 | | | Zinc | | | 7,743,300 | | | | 269,062 | | |
7/2021 | | | 67 | | | Cocoa | | | 1,595,940 | | | | (84,798 | ) | |
7/2021 | | | 39 | | | Coffee 'C' | | | 2,068,706 | | | | 108,750 | | |
7/2021 | | | 69 | | | Copper | | | 7,707,300 | | | | 594,262 | | |
7/2021 | | | 393 | | | Corn | | | 13,229,363 | | | | 3,510,721 | | |
7/2021 | | | 84 | | | Cotton No.2 | | | 3,699,360 | | | | 33,213 | | |
7/2021 | | | 142 | | | Hard Red Winter Wheat | | | 4,994,850 | | | | 738,330 | | |
7/2021 | | | 150 | | | Lead | | | 8,075,625 | | | | 402,986 | | |
7/2021 | | | 96 | | | Low Sulphur Gasoil | | | 5,148,000 | | | | 317,565 | | |
7/2021 | | | 152 | | | Natural Gas | | | 4,526,560 | | | | 430,031 | | |
7/2021 | | | 132 | | | New York Harbor ULSD | | | 10,668,874 | | | | 745,449 | | |
7/2021 | | | 52 | | | Nickel | | | 5,514,600 | | | | 492,276 | | |
7/2021 | | | 83 | | | Primary Aluminum | | | 4,972,737 | | | | 255,830 | | |
7/2021 | | | 99 | | | Platinum | | | 5,965,740 | | | | 51,656 | | |
7/2021 | | | 108 | | | RBOB Gasoline | | | 9,374,551 | | | | 601,693 | | |
7/2021 | | | 37 | | | Silver | | | 4,786,505 | | | | (38,100 | ) | |
7/2021 | | | 81 | | | Soybean | | | 6,213,712 | | | | 753,047 | | |
7/2021 | | | 159 | | | Soybean Meal | | | 6,774,990 | | | | 31,558 | | |
7/2021 | | | 84 | | | Soybean Oil | | | 3,144,456 | | | | 937,156 | | |
7/2021 | | | 146 | | | Sugar 11 | | | 2,776,570 | | | | 233,259 | | |
7/2021 | | | 146 | | | Wheat | | | 5,363,675 | | | | 733,582 | | |
7/2021 | | | 113 | | | WTI Crude Oil | | | 7,173,240 | | | | 559,807 | | |
7/2021 | | | 108 | | | Zinc | | | 7,902,225 | | | | 305,992 | | |
8/2021 | | | 140 | | | Brent Crude Oil | | | 9,279,200 | | | | 675,174 | | |
8/2021 | | | 39 | | | Cattle Feeder | | | 2,861,625 | | | | (38,590 | ) | |
8/2021 | | | 75 | | | Gold 100 oz. | | | 13,273,500 | | | | (97,052 | ) | |
8/2021 | | | 96 | | | Lean Hogs | | | 4,051,200 | | | | 223,436 | | |
8/2021 | | | 59 | | | Live Cattle | | | 2,799,550 | | | | 37,254 | | |
Total Long Positions | | | | | | $ | 191,083,479 | | | $ | 13,405,173 | | |
See Notes to Financial Statements
21
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont'd)
Short Futures: | |
Expiration
Date | | Number of
Contracts | | Open Contracts | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
6/2021 | | | 140 | | | Lead | | $ | (7,525,000 | ) | | $ | (405,395 | ) | |
6/2021 | | | 53 | | | Nickel | | | (5,616,675 | ) | | | (474,246 | ) | |
6/2021 | | | 80 | | | Primary Aluminum | | | (4,779,000 | ) | | | (268,853 | ) | |
6/2021 | | | 106 | | | Zinc | | | (7,743,300 | ) | | | (310,597 | ) | |
Total Short Positions | | | | | | $ | (25,663,975 | ) | | $ | (1,459,091 | ) | |
Total Futures | | | | | | | | $ | 11,946,082 | | |
For the six months ended April 30, 2021, the average notional value for the months where the Fund had futures outstanding was $155,749,961 for long positions and $(17,946,383) for short positions.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2021:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
U.S. Treasury Obligations | | $ | — | | | $ | 16,997,937 | | | $ | — | | | $ | 16,997,937 | | |
Asset-Backed Securities | | | — | | | | 27,854,337 | | | | — | | | | 27,854,337 | | |
| Corporate Bonds(a) | | | — | | | | 72,087,291 | | | | — | | | | 72,087,291 | | |
Short-Term Investments | | | — | | | | 33,812,176 | | | | — | | | | 33,812,176 | | |
Total Investments | | $ | — | | | $ | 150,751,741 | | | $ | — | | | $ | 150,751,741 | | |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2021:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Futures(a) | |
Assets | | $ | 13,887,891 | | | $ | — | | | $ | — | | | $ | 13,887,891 | | |
Liabilities | | | (1,941,809 | ) | | | — | | | | — | | | | (1,941,809 | ) | |
Total | | $ | 11,946,082 | | | $ | — | | | $ | — | | | $ | 11,946,082 | | |
(a) Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
22
Schedule of Investments Global Allocation Fund^ (Unaudited)
April 30, 2021
NUMBER OF SHARES | | | | VALUE | |
Common Stocks 60.3% | | | |
Argentina 0.2% | | | |
| | 15 | | | MercadoLibre, Inc. | | $ | 23,565 | * | |
Australia 2.1% | | | |
| | 1,480 | | | APA Group | | | 11,435 | (a) | |
| | 1,273 | | | Coles Group Ltd. | | | 16,004 | | |
| | 98 | | | CSL Ltd. | | | 20,471 | | |
| | 2,149 | | | Fortescue Metals Group Ltd. | | | 37,397 | | |
| | 812 | | | Goodman Group | | | 11,829 | | |
| | 60 | | | REA Group Ltd. | | | 7,319 | | |
| | 917 | | | Rio Tinto PLC | | | 76,948 | | |
| | 2,251 | | | Santos Ltd. | | | 12,104 | | |
| | 554 | | | Sonic Healthcare Ltd. | | | 15,313 | | |
| | 795 | | | Woodside Petroleum Ltd. | | | 14,000 | | |
| | | | 222,820 | | |
| Austria 0.0%(b) | | | |
| | 494 | | | Telekom Austria AG | | | 4,039 | | |
Canada 2.1% | | | |
| | 800 | | | Bank of Nova Scotia | | | 50,943 | | |
| | 712 | | | Enbridge, Inc. | | | 27,463 | | |
| | 359 | | | Great-West Lifeco, Inc. | | | 10,409 | | |
| | 333 | | | Hydro One Ltd. | | | 7,984 | (c) | |
| | 287 | | | Metro, Inc. | | | 13,150 | | |
| | 179 | | | National Bank of Canada | | | 13,013 | | |
| | 537 | | | Power Corp. of Canada | | | 15,641 | | |
| | 931 | | | Sun Life Financial, Inc. | | | 50,225 | | |
| | 485 | | | TELUS Corp. | | | 10,062 | | |
| | 290 | | | Toronto-Dominion Bank | | | 19,937 | | |
| | | | 218,827 | | |
China 0.1% | | | |
| | 1,844 | | | BOC Hong Kong Holdings Ltd. | | | 6,505 | | |
Denmark 0.5% | | | |
| | 5 | | | AP Moeller - Maersk A/S Class B | | | 12,438 | | |
| | 414 | | | Novo Nordisk A/S Class B | | | 30,540 | | |
| | 128 | | | Pandora A/S | | | 14,496 | | |
| | | | 57,474 | | |
Finland 0.3% | | | |
| | 493 | | | Neste OYJ | | | 29,872 | | |
| | 132 | | | Orion OYJ Class B | | | 5,845 | | |
| | | | 35,717 | | |
France 1.6% | | | |
| | 80 | | | Arkema SA | | | 10,003 | | |
| | 102 | | | Capgemini SE | | | 18,689 | | |
| 191 |
| | Cie Generale des Etablissements
Michelin SCA | |
| 27,636 |
| |
| | 841 | | | Credit Agricole SA | | | 13,015 | * | |
| | 40 | | | Hermes International | | | 50,206 | | |
| | 5 | | | Kering SA | | | 4,006 | | |
| | 157 | | | Publicis Groupe SA | | | 10,166 | | |
| | 189 | | | Schneider Electric SE | | | 30,225 | | |
| | | | 163,946 | | |
NUMBER OF SHARES | | | | VALUE | |
Germany 1.8% | | | |
| | 109 | | | Allianz SE | | $ | 28,358 | | |
| | 63 | | | Bayerische Motoren Werke AG | | | 6,317 | | |
| | 180 | | | Brenntag AG | | | 16,161 | | |
| | 285 | | | Daimler AG | | | 25,373 | | |
| | 618 | | | Deutsche Post AG | | | 36,373 | | |
| 186 |
| | Fresenius Medical Care AG & Co.
KGaA | |
| 14,795 |
| |
| | 172 | | | HeidelbergCement AG | | | 15,761 | | |
| | 13 | | | Merck KGaA | | | 2,284 | | |
| | 295 | | | SAP SE | | | 41,411 | | |
| | | | 186,833 | | |
Hong Kong 0.4% | | | |
| | 3,258 | | | CK Asset Holdings Ltd. | | | 20,447 | | |
| | 1,578 | | | Sun Hung Kai Properties Ltd. | | | 23,829 | | |
| | | | 44,276 | | |
Italy 0.1% | | | |
| | 403 | | | FinecoBank Banca Fineco SpA | | | 6,938 | * | |
Japan 4.2% | | | |
| | 157 | | | Azbil Corp. | | | 6,350 | | |
| | 100 | | | Daikin Industries Ltd. | | | 20,066 | | |
| | 3,400 | | | ENEOS Holdings, Inc. | | | 14,659 | | |
| | 143 | | | FUJIFILM Holdings Corp. | | | 9,273 | | |
| | 329 | | | Fujitsu Ltd. | | | 52,395 | | |
| | 351 | | | Hoya Corp. | | | 39,937 | | |
| | 206 | | | Kajima Corp. | | | 2,846 | | |
| | 1,353 | | | KDDI Corp. | | | 40,928 | | |
| | 300 | | | MEIJI Holdings Co. Ltd. | | | 18,584 | | |
| | 1,000 | | | Mitsubishi Electric Corp. | | | 15,390 | | |
| | 1,288 | | | Mitsui & Co. Ltd. | | | 27,147 | | |
| | 200 | | | Mitsui Chemicals, Inc. | | | 6,295 | | |
| | 649 | | | Mizuho Financial Group, Inc. | | | 9,115 | | |
| | 7 | | | Nintendo Co. Ltd. | | | 4,015 | | |
| | 200 | | | Nitto Denko Corp. | | | 16,580 | | |
| | 2,700 | | | Nomura Holdings, Inc. | | | 14,499 | | |
| | 519 | | | Ono Pharmaceutical Co. Ltd. | | | 13,064 | | |
| | 1,146 | | | ORIX Corp. | | | 18,429 | | |
| | 845 | | | Sekisui House Ltd. | | | 17,079 | | |
| | 583 | | | Seven & i Holdings Co. Ltd. | | | 25,067 | | |
| | 200 | | | Sony Group Corp. | | | 19,947 | | |
| | 183 | | | Taisei Corp. | | | 6,748 | | |
| | 479 | | | Toyota Motor Corp. | | | 35,619 | | |
| | 300 | | | Yamato Holdings Co. Ltd. | | | 8,468 | | |
| | | | 442,500 | | |
Netherlands 1.5% | | | |
| | 77 | | | Akzo Nobel NV | | | 9,250 | | |
| | 63 | | | ASML Holding NV | | | 40,991 | | |
| | 1,907 | | | Koninklijke Ahold Delhaize NV | | | 51,333 | | |
| | 1,544 | | | Koninklijke KPN NV | | | 5,320 | | |
| | 278 | | | Koninklijke Philips NV | | | 15,669 | * | |
| | 216 | | | NN Group NV | | | 10,795 | | |
| | 264 | | | Wolters Kluwer NV | | | 23,887 | | |
| | | | 157,245 | | |
New Zealand 0.1% | | | |
| | 582 | | | Fisher and Paykel Healthcare Corp. Ltd. | | | 14,972 | | |
See Notes to Financial Statements
23
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Norway 0.2% | | | |
| | 1,056 | | | DNB ASA | | $ | 22,715 | | |
Singapore 0.1% | | | |
| | 1,180 | | | Singapore Exchange Ltd. | | | 9,266 | | |
Spain 0.6% | | | |
| | 2,179 | | | Banco Bilbao Vizcaya Argentaria SA | | | 12,235 | * | |
| | 5,214 | | | CaixaBank SA | | | 16,718 | | |
| | 487 | | | Endesa SA | | | 12,799 | | |
| | 549 | | | Iberdrola SA | | | 7,416 | | |
| | 661 | | | Red Electrica Corp. SA | | | 12,139 | | |
| | | | 61,307 | | |
Sweden 0.8% | | | |
| | 70 | | | Atlas Copco AB, A Shares | | | 4,242 | | |
| | 109 | | | Evolution Gaming Group AB | | | 21,528 | (c) | |
| | 486 | | | Husqvarna AB, B Shares | | | 6,766 | | |
| | 1,963 | | | Skandinaviska Enskilda Banken AB
Class A | |
| 25,194
|
| |
| | 412 | | | Skanska AB, B Shares | | | 11,174 | | |
| | 550 | | | Svenska Handelsbanken AB, A Shares | | | 6,379 | | |
| | 2,805 | | | Telia Co. AB | | | 11,610 | | |
| | | | 86,893 | | |
Switzerland 1.8% | | | |
| | 2 | | | Chocoladefabriken Lindt &
Spruengli AG | |
| 18,549
|
| |
| | 222 | | | Coca-Cola HBC AG | | | 7,671 | | |
| | 43 | | | Geberit AG | | | 28,270 | | |
| | 62 | | | Kuehne & Nagel International AG | | | 18,534 | | |
| | 228 | | | Logitech International SA | | | 25,565 | | |
| | 123 | | | Nestle SA | | | 14,664 | | |
| | 168 | | | Roche Holding AG | | | 54,746 | | |
| | 25 | | | Swisscom AG | | | 13,559 | | |
| | 271 | | | UBS Group AG | | | 4,132 | | |
| | | | 185,690 | | |
United Kingdom 1.6% | | | |
| | 218 | | | Ashtead Group PLC | | | 14,003 | | |
| | 9,996 | | | Barclays PLC | | | 24,228 | | |
| | 306 | | | Bunzl PLC | | | 9,834 | | |
| | 797 | | | Diageo PLC | | | 35,784 | | |
| | 1,737 | | | Direct Line Insurance Group PLC | | | 6,839 | | |
| | 202 | | | Intertek Group PLC | | | 17,123 | | |
| | 2,037 | | | J Sainsbury PLC | | | 6,687 | | |
| | 2,700 | | | Kingfisher PLC | | | 13,323 | * | |
| | 550 | | | Mondi PLC | | | 14,926 | | |
| | 80 | | | Next PLC | | | 8,620 | * | |
| | 187 | | | Persimmon PLC | | | 8,088 | | |
| | 161 | | | Schroders PLC | | | 8,022 | | |
| | 45 | | | Unilever PLC | | | 2,630 | | |
| | | | 170,107 | | |
United States 40.2% | | | |
| | 89 | | | 3M Co. | | | 17,545 | | |
| | 201 | | | Abbott Laboratories | | | 24,136 | | |
| | 284 | | | AbbVie, Inc. | | | 31,666 | | |
| | 265 | | | Accenture PLC Class A | | | 76,842 | | |
| | 438 | | | Activision Blizzard, Inc. | | | 39,941 | | |
| | 28 | | | Adobe, Inc. | | | 14,233 | * | |
NUMBER OF SHARES | | | | VALUE | |
| | 399 | | | Aflac, Inc. | | $ | 21,438 | | |
| | 137 | | | Agilent Technologies, Inc. | | | 18,309 | | |
| | 275 | | | Allstate Corp. | | | 34,870 | | |
| | 85 | | | Alphabet, Inc. Class A | | | 200,047 | * | |
| | 39 | | | Amazon.com, Inc. | | | 135,229 | * | |
| | 176 | | | Ameriprise Financial, Inc. | | | 45,478 | | |
| | 266 | | | Amphenol Corp. Class A | | | 17,912 | | |
| | 62 | | | Anthem, Inc. | | | 23,522 | | |
| | 2,304 | | | Apple, Inc. | | | 302,884 | (d) | |
| | 189 | | | Applied Materials, Inc. | | | 25,082 | | |
| | 22 | | | Berkshire Hathaway, Inc. Class B | | | 6,049 | * | |
| | 20 | | | BlackRock, Inc. | | | 16,386 | | |
| | 240 | | | Blackstone Group, Inc. | | | 21,238 | | |
| | 160 | | | Booz Allen Hamilton Holding Corp. | | | 13,272 | | |
| | 111 | | | Bristol-Myers Squibb Co. | | | 6,929 | | |
| | 78 | | | Broadcom, Inc. | | | 35,584 | | |
| | 395 | | | CBRE Group, Inc. Class A | | | 33,654 | * | |
| | 1,048 | | | Cisco Systems, Inc. | | | 53,354 | | |
| | 485 | | | Citigroup, Inc. | | | 34,551 | | |
| | 225 | | | Citizens Financial Group, Inc. | | | 10,413 | | |
| | 447 | | | Cognizant Technology Solutions Corp.
Class A | |
| 35,939
|
| |
| | 473 | | | Colgate-Palmolive Co. | | | 38,171 | | |
| | 1,438 | | | Comcast Corp. Class A | | | 80,744 | | |
| | 174 | | | Comerica, Inc. | | | 13,078 | | |
| | 368 | | | Conagra Brands, Inc. | | | 13,649 | | |
| | 325 | | | CSX Corp. | | | 32,744 | | |
| | 92 | | | Cummins, Inc. | | | 23,188 | | |
| | 257 | | | D.R. Horton, Inc. | | | 25,261 | | |
| | 28 | | | Danaher Corp. | | | 7,110 | | |
| | 28 | | | Deere & Co. | | | 10,384 | | |
| | 83 | | | Dominion Energy, Inc. | | | 6,632 | | |
| | 60 | | | Dover Corp. | | | 8,951 | | |
| | 192 | | | DraftKings, Inc. Class A | | | 10,879 | * | |
| | 159 | | | Eastman Chemical Co. | | | 18,347 | | |
| | 790 | | | eBay, Inc. | | | 44,074 | | |
| | 332 | | | Electronic Arts, Inc. | | | 47,171 | | |
| | 169 | | | Eli Lilly & Co. | | | 30,888 | | |
| | 524 | | | Emerson Electric Co. | | | 47,417 | | |
| | 356 | | | EOG Resources, Inc. | | | 26,216 | | |
| | 33 | | | Etsy, Inc. | | | 6,560 | * | |
| | 40 | | | Everest Re Group Ltd. | | | 11,078 | | |
| | 172 | | | Exelon Corp. | | | 7,730 | | |
| | 108 | | | Expedia Group, Inc. | | | 19,033 | * | |
| | 95 | | | Extra Space Storage, Inc. | | | 14,126 | | |
| | 51 | | | Facebook, Inc. Class A | | | 16,579 | * | |
| | 35 | | | Ferguson PLC | | | 4,414 | | |
| | 171 | | | Fortune Brands Home & Security, Inc. | | | 17,952 | | |
| | 364 | | | Fox Corp. Class A | | | 13,621 | | |
| | 344 | | | Franklin Resources, Inc. | | | 10,320 | | |
| | 250 | | | Gaming and Leisure Properties, Inc. | | | 11,622 | | |
| | 472 | | | General Mills, Inc. | | | 28,726 | | |
| | 62 | | | Goldman Sachs Group, Inc. | | | 21,604 | | |
| | 222 | | | Hartford Financial Services Group, Inc. | | | 14,643 | | |
| | 61 | | | Home Depot, Inc. | | | 19,744 | | |
| | 79 | | | Honeywell International, Inc. | | | 17,620 | | |
| | 80 | | | Humana, Inc. | | | 35,619 | | |
| | 21 | | | IDEXX Laboratories, Inc. | | | 11,529 | * | |
| | 184 | | | Illinois Tool Works, Inc. | | | 42,405 | | |
| | 441 | | | Intel Corp. | | | 25,371 | | |
See Notes to Financial Statements
24
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
| | 295 | | | International Paper Co. | | $ | 17,110 | | |
| | 444 | | | Interpublic Group of Cos., Inc. | | | 14,097 | | |
| | 81 | | | Intuit, Inc. | | | 33,385 | | |
| | 338 | | | Iron Mountain, Inc. | | | 13,561 | | |
| | 126 | | | J.M. Smucker Co. | | | 16,505 | | |
| | 498 | | | Johnson & Johnson | | | 81,040 | | |
| | 294 | | | JPMorgan Chase & Co. | | | 45,220 | | |
| | 2,279 | | | Kinder Morgan, Inc. | | | 38,857 | | |
| | 67 | | | KLA Corp. | | | 21,128 | | |
| | 738 | | | Kroger Co. | | | 26,966 | | |
| | 104 | | | Lockheed Martin Corp. | | | 39,578 | | |
| | 12 | | | Lowe's Cos., Inc. | | | 2,355 | | |
| | 81 | | | Lululemon Athletica, Inc. | | | 27,157 | * | |
| | 278 | | | Masco Corp. | | | 17,759 | | |
| | 87 | | | MasterCard, Inc. Class A | | | 33,239 | | |
| | 132 | | | Medtronic PLC | | | 17,281 | | |
| | 156 | | | MetLife, Inc. | | | 9,926 | | |
| | 1,044 | | | Microsoft Corp. | | | 263,276 | | |
| | 721 | | | Morgan Stanley | | | 59,519 | | |
| | 215 | | | Motorola Solutions, Inc. | | | 40,484 | | |
| | 324 | | | Newmont Corp. | | | 20,221 | | |
| | 289 | | | NextEra Energy, Inc. | | | 22,400 | | |
| | 62 | | | NIKE, Inc. Class B | | | 8,222 | | |
| | 50 | | | OGE Energy Corp. | | | 1,678 | | |
| | 139 | | | ONEOK, Inc. | | | 7,275 | | |
| | 461 | | | Oracle Corp. | | | 34,939 | | |
| | 99 | | | Packaging Corp. of America | | | 14,617 | | |
| | 100 | | | PerkinElmer, Inc. | | | 12,963 | | |
| | 100 | | | PPG Industries, Inc. | | | 17,124 | | |
| | 692 | | | Procter & Gamble Co. | | | 92,327 | | |
| | 109 | | | Progressive Corp. | | | 10,981 | | |
| | 78 | | | Prologis, Inc. | | | 9,089 | | |
| | 572 | | | Public Service Enterprise Group, Inc. | | | 36,127 | | |
| | 43 | | | Public Storage | | | 12,090 | | |
| | 111 | | | QUALCOMM, Inc. | | | 15,407 | | |
| | 161 | | | Quest Diagnostics, Inc. | | | 21,233 | | |
NUMBER OF SHARES | | | | VALUE | |
| | 139 | | | Raymond James Financial, Inc. | | $ | 18,178 | | |
| | 50 | | | Reliance Steel & Aluminum Co. | | | 8,015 | | |
| | 106 | | | ResMed Inc. | | | 19,925 | | |
| | 132 | | | Robert Half International, Inc. | | | 11,564 | | |
| | 105 | | | RPM International, Inc. | | | 9,958 | | |
| | 20 | | | S&P Global, Inc. | | | 7,808 | | |
| | 180 | | | Sempra Energy | | | 24,763 | | |
| | 45 | | | Sherwin-Williams Co. | | | 12,324 | | |
| | 209 | | | Skyworks Solutions, Inc. | | | 37,898 | | |
| | 62 | | | Snap-on, Inc. | | | 14,731 | | |
| | 81 | | | STERIS PLC | | | 17,093 | | |
| | 359 | | | Synchrony Financial | | | 15,703 | | |
| | 105 | | | T. Rowe Price Group, Inc. | | | 18,816 | | |
| | 239 | | | Target Corp. | | | 49,535 | (d) | |
| | 161 | | | TE Connectivity Ltd. | | | 21,650 | | |
| | 156 | | | Tesla, Inc. | | | 110,673 | * | |
| | 403 | | | Texas Instruments, Inc. | | | 72,746 | | |
| | 173 | | | Thermo Fisher Scientific, Inc. | | | 81,350 | | |
| | 348 | | | TJX Cos., Inc. | | | 24,708 | | |
| | 104 | | | Travelers Cos., Inc. | | | 16,085 | | |
| | 204 | | | Tyson Foods, Inc. Class A | | | 15,800 | | |
| | 240 | | | UGI Corp. | | | 10,490 | | |
| | 280 | | | Union Pacific Corp. | | | 62,185 | | |
| | 32 | | | United Parcel Service, Inc. Class B | | | 6,523 | | |
| | 172 | | | UnitedHealth Group, Inc. | | | 68,594 | | |
| | 47 | | | Vail Resorts, Inc. | | | 15,282 | * | |
| | 1,065 | | | Verizon Communications, Inc. | | | 61,546 | | |
| | 95 | | | Visa, Inc. Class A | | | 22,188 | | |
| | 10 | | | W.W. Grainger, Inc. | | | 4,335 | | |
| | 84 | | | West Pharmaceutical Services, Inc. | | | 27,596 | | |
| | 852 | | | Weyerhaeuser Co. | | | 33,032 | | |
| | 1,512 | | | Williams Cos., Inc. | | | 36,832 | | |
| | 85 | | | Zoetis, Inc. | | | 14,708 | | |
| | | | 4,259,473 | | |
Total Common Stocks
(Cost $5,519,231) | |
| 6,381,108
|
| |
PRINCIPAL AMOUNT | | | | VALUE | |
U.S. Treasury Obligations 5.9% | | | |
$ | 35,000 | | | U.S. Treasury Bill, 0.10%, due 5/20/2021 | | | 35,000 | (e) | |
| | | | | U.S. Treasury Bonds | | | | | |
| | 60,000 | | | 1.13%, due 5/15/2040 | | | 50,187 | | |
| | 5,000 | | | 2.75%, due 8/15/2042 | | | 5,479 | | |
| | 100,000 | | | 2.88%, due 8/15/2045-5/15/2049 | | | 111,729 | | |
| | 95,000 | | | 3.00%, due 2/15/2047 | | | 108,545 | | |
| | 110,000 | | | 1.25%, due 5/15/2050 | | | 85,349 | | |
| | 35,000 | | | 1.38%, due 8/15/2050 | | | 28,060 | | |
| | 155,000 | | | 1.63%, due 11/15/2050 | | | 132,598 | | |
| | 42,655 | | | U.S. Treasury Inflation-Indexed Bond, 1.00%, due 2/15/2048 | | | 53,970 | (f) | |
| | 20,000 | | | U.S. Treasury Notes, 1.13%, due 2/15/2031 | | | 19,100 | | |
| | | | | Total U.S. Treasury Obligations (Cost $682,881) | | | 630,017 | | |
See Notes to Financial Statements
25
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
U.S. Government Agency Securities 1.6% | | | |
$ | 80,000 | | | Federal Home Loan Bank, 5.50%, due 7/15/2036 | | $ | 116,566 | | |
| | 70,000 | | | Freddie Mac Strips, 0.00%, due 3/15/2031 | | | 57,958 | (m) | |
| | | | | Total U.S. Government Agency Securities (Cost $163,928) | | | 174,524 | | |
Corporate Bonds 10.6% | | | |
Belgium 0.3% | | | |
| | 5,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 4/15/2048 | | | 5,766 | | |
| | 20,000 | | | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 2/1/2046 | | | 23,894 | | |
| | | | 29,660 | | |
Canada 0.3% | | | |
| | | | | Canadian Natural Resources Ltd. | | | | | |
| | 5,000 | | | 4.95%, due 6/1/2047 | | | 5,927 | | |
| | 10,000 | | | 2.95%, due 7/15/2030 | | | 10,111 | | |
| | 10,000 | | | Rogers Communications, Inc., 4.35%, due 5/1/2049 | | | 11,111 | | |
| | 5,000 | | | Suncor Energy, Inc., 3.75%, due 3/4/2051 | | | 5,001 | | |
| | | | 32,150 | | |
France 0.1% | | | |
| | 10,000 | | | Total Capital International SA, 3.13%, due 5/29/2050 | | | 9,592 | | |
Mexico 0.1% | | | |
| | 5,000 | | | Grupo Bimbo SAB de CV, 4.70%, due 11/10/2047 | | | 5,605 | (g) | |
Netherlands 0.1% | | | |
| | 5,000 | | | Shell Int'l Finance BV, 4.00%, due 5/10/2046 | | | 5,616 | | |
United Kingdom 0.5% | | | |
| | 10,000 | | | AstraZeneca PLC, 2.13%, due 8/6/2050 | | | 8,109 | | |
| | | | | BAT Capital Corp. | | | | | |
| | 5,000 | | | 4.54%, due 8/15/2047 | | | 4,925 | | |
| | 10,000 | | | 2.73%, due 3/25/2031 | | | 9,588 | | |
| | 10,000 | | | BP Capital PLC, 4.88%, due 3/22/2030 | | | 10,735 | (h)(i) | |
| | 15,000 | | | Natwest Group PLC, 3.03%, due 11/28/2035 | | | 14,626 | (i) | |
| | 10,000 | | | Vodafone Group PLC, 4.25%, due 9/17/2050 | | | 11,120 | | |
| | | | 59,103 | | |
United States 9.2% | | | |
| | 10,000 | | | 7-Eleven, Inc., 2.50%, due 2/10/2041 | | | 9,101 | (g) | |
| | 5,000 | | | Abbott Laboratories, 4.75%, due 4/15/2043 | | | 6,390 | | |
| | | | | AbbVie, Inc. | | | | | |
| | 10,000 | | | 4.05%, due 11/21/2039 | | | 11,166 | | |
| | 10,000 | | | 4.45%, due 5/14/2046 | | | 11,587 | | |
| | 5,000 | | | Allstate Corp., 4.20%, due 12/15/2046 | | | 5,897 | | |
| | 10,000 | | | Altria Group, Inc., 3.88%, due 9/16/2046 | | | 9,476 | | |
| | 5,000 | | | American Water Capital Corp., 4.15%, due 6/1/2049 | | | 5,793 | | |
See Notes to Financial Statements
26
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
$ | 10,000 | | | Amgen, Inc., 4.40%, due 5/1/2045 | | $ | 11,596 | | |
| | 10,000 | | | Appalachian Power Co., Ser. Z, 3.70%, due 5/1/2050 | | | 10,358 | | |
| | 10,000 | | | Apple, Inc., 3.75%, due 11/13/2047 | | | 11,324 | | |
| | 5,000 | | | Aqua America, Inc., 4.28%, due 5/1/2049 | | | 5,734 | | |
| | | | | AT&T, Inc. | | | | | |
| | 10,000 | | | 3.50%, due 6/1/2041 | | | 9,848 | | |
| | 10,000 | | | 4.50%, due 3/9/2048 | | | 10,969 | | |
| | 10,000 | | | 3.65%, due 6/1/2051 | | | 9,618 | | |
| | 10,000 | | | Baltimore Gas and Electric Co., 2.90%, due 6/15/2050 | | | 9,549 | | |
| | | | | Bank of America Corp. | | | | | |
| | 10,000 | | | 4.24%, due 4/24/2038 | | | 11,563 | (i) | |
| | 10,000 | | | 4.08%, due 3/20/2051 | | | 11,227 | (i) | |
| | 10,000 | | | Berkshire Hathaway Finance Corp., 4.25%, due 1/15/2049 | | | 11,891 | | |
| | | | | Boeing Co. | | | | | |
| | 10,000 | | | 3.25%, due 2/1/2035 | | | 9,857 | | |
| | 5,000 | | | 5.81%, due 5/1/2050 | | | 6,419 | | |
| | 5,000 | | | BP Capital Markets America, Inc., 2.77%, due 11/10/2050 | | | 4,427 | | |
| | 5,000 | | | Bristol-Myers Squibb Co., 4.25%, due 10/26/2049 | | | 5,933 | | |
| | | | | Broadcom, Inc. | | | | | |
| | 5,000 | | | 5.00%, due 4/15/2030 | | | 5,751 | | |
| | 5,000 | | | 4.30%, due 11/15/2032 | | | 5,519 | | |
| | 15,000 | | | 3.75%, due 2/15/2051 | | | 14,489 | (g) | |
| | 5,000 | | | Burlington Northern Santa Fe LLC, 4.38%, due 9/1/2042 | | | 5,904 | | |
| | 10,000 | | | Carrier Global Corp., 2.70%, due 2/15/2031 | | | 10,107 | | |
| | 15,000 | | | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, due 3/1/2050 | | | 16,519 | | |
| | 10,000 | | | Cigna Corp., 4.80%, due 8/15/2038 | | | 12,076 | | |
| | 5,000 | | | Citigroup, Inc., 3.98%, due 3/20/2030 | | | 5,577 | (i) | |
| | 10,000 | | | Coca-Cola Co., 2.50%, due 3/15/2051 | | | 8,922 | | |
| | | | | Comcast Corp. | | | | | |
| | 10,000 | | | 4.65%, due 7/15/2042 | | | 12,285 | | |
| | 10,000 | | | 4.00%, due 8/15/2047 | | | 11,311 | | |
| | 5,000 | | | Commonwealth Edison Co., 3.70%, due 3/1/2045 | | | 5,489 | | |
| | 10,000 | | | Constellation Brands, Inc., 3.75%, due 5/1/2050 | | | 10,557 | | |
| | | | | Crown Castle Int'l Corp. | | | | | |
| | 5,000 | | | 2.90%, due 4/1/2041 | | | 4,654 | | |
| | 5,000 | | | 5.20%, due 2/15/2049 | | | 6,198 | | |
| | | | | CVS Health Corp. | | | | | |
| | 10,000 | | | 2.70%, due 8/21/2040 | | | 9,225 | | |
| | 10,000 | | | 5.05%, due 3/25/2048 | | | 12,297 | | |
| | | | | Diamondback Energy, Inc. | | | | | |
| | 10,000 | | | 3.50%, due 12/1/2029 | | | 10,471 | | |
| | 5,000 | | | 4.40%, due 3/24/2051 | | | 5,249 | | |
| | 5,000 | | | Discovery Communications LLC, 4.65%, due 5/15/2050 | | | 5,538 | | |
| | 5,000 | | | Duke Energy Corp., 3.75%, due 9/1/2046 | | | 5,164 | | |
| | 10,000 | | | Duke Energy Progress LLC, 2.50%, due 8/15/2050 | | | 8,802 | | |
| | 10,000 | | | Entergy Arkansas LLC, 2.65%, due 6/15/2051 | | | 9,118 | | |
| | 10,000 | | | Entergy Texas, Inc., 3.55%, due 9/30/2049 | | | 10,275 | | |
| | 10,000 | | | Enterprise Products Operating LLC, 3.20%, due 2/15/2052 | | | 9,214 | | |
| | 5,000 | | | Exelon Corp., 4.70%, due 4/15/2050 | | | 6,066 | | |
| | 10,000 | | | Exxon Mobil Corp., 4.23%, due 3/19/2040 | | | 11,433 | | |
| | | | | Fox Corp. | | | | | |
| | 5,000 | | | 5.48%, due 1/25/2039 | | | 6,270 | | |
| | 5,000 | | | 5.58%, due 1/25/2049 | | | 6,420 | | |
| | 15,000 | | | General Electric Capital Corp., 5.88%, due 1/14/2038 | | | 19,631 | | |
| | 5,000 | | | General Electric Co., 4.35%, due 5/1/2050 | | | 5,567 | | |
| | 5,000 | | | General Motors Co., 5.00%, due 4/1/2035 | | | 5,870 | | |
| | 15,000 | | | Goldman Sachs Group, Inc., 4.02%, due 10/31/2038 | | | 16,955 | (i) | |
See Notes to Financial Statements
27
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
$ | 5,000 | | | HCA, Inc., 5.25%, due 6/15/2049 | | $ | 6,148 | | |
| | 5,000 | | | Healthpeak Properties, Inc., 2.88%, due 1/15/2031 | | | 5,180 | | |
| | 5,000 | | | Home Depot, Inc., 3.35%, due 4/15/2050 | | | 5,277 | | |
| | 5,000 | | | Intel Corp., 3.25%, due 11/15/2049 | | | 5,073 | | |
| | 5,000 | | | Intercontinental Exchange, Inc., 3.00%, due 9/15/2060 | | | 4,506 | | |
| | | | | JPMorgan Chase & Co. | | | | | |
| | 10,000 | | | 5.40%, due 1/6/2042 | | | 13,235 | | |
| | 10,000 | | | 4.03%, due 7/24/2048 | | | 11,179 | (i) | |
| | 5,000 | | | 3.33%, due 4/22/2052 | | | 5,001 | (i) | |
| | 10,000 | | | Kinder Morgan, Inc., 5.55%, due 6/1/2045 | | | 12,206 | | |
| | 10,000 | | | Kraft Heinz Foods Co., 5.00%, due 7/15/2035 | | | 11,679 | | |
| | 5,000 | | | Kroger Co., 5.40%, due 1/15/2049 | | | 6,523 | | |
| | 5,000 | | | Lockheed Martin Corp., 2.80%, due 6/15/2050 | | | 4,761 | | |
| | 5,000 | | | Lowe's Cos., Inc., 3.00%, due 10/15/2050 | | | 4,718 | | |
| | 5,000 | | | LYB Int'l Finance BV, 4.88%, due 3/15/2044 | | | 5,951 | | |
| | 5,000 | | | LYB Int'l Finance III LLC, 4.20%, due 5/1/2050 | | | 5,465 | | |
| | | | | Magellan Midstream Partners L.P. | | | | | |
| | 10,000 | | | 3.25%, due 6/1/2030 | | | 10,610 | | |
| | 5,000 | | | 3.95%, due 3/1/2050 | | | 5,074 | | |
| | 5,000 | | | Masco Corp., 4.50%, due 5/15/2047 | | | 5,837 | | |
| | 10,000 | | | McDonald's Corp., 3.63%, due 9/1/2049 | | | 10,508 | | |
| | 15,000 | | | MDC Holdings, Inc., 2.50%, due 1/15/2031 | | | 14,496 | | |
| | 5,000 | | | MetLife, Inc., 4.88%, due 11/13/2043 | | | 6,416 | | |
| | 10,000 | | | Microsoft Corp., 2.68%, due 6/1/2060 | | | 9,238 | | |
| | 5,000 | | | MidAmerican Energy Co., 4.25%, due 5/1/2046 | | | 5,914 | | |
| | | | | Morgan Stanley | | | | | |
| | 5,000 | | | 4.30%, due 1/27/2045 | | | 5,898 | | |
| | 10,000 | | | 4.38%, due 1/22/2047 | | | 12,047 | | |
| | | | | MPLX L.P. | | | | | |
| | 5,000 | | | 2.65%, due 8/15/2030 | | | 4,937 | | |
| | 5,000 | | | 5.50%, due 2/15/2049 | | | 6,078 | | |
| | 5,000 | | | Nasdaq, Inc., 2.50%, due 12/21/2040 | | | 4,514 | | |
| | 10,000 | | | Nevada Power Co., Ser. EE, 3.13%, due 8/1/2050 | | | 9,908 | | |
| | 5,000 | | | Norfolk Southern Corp., 3.94%, due 11/1/2047 | | | 5,506 | | |
| | | | | Oracle Corp. | | | | | |
| | 10,000 | | | 4.00%, due 7/15/2046 | | | 10,443 | | |
| | 5,000 | | | 3.60%, due 4/1/2050 | | | 4,931 | | |
| | 5,000 | | | 3.95%, due 3/25/2051 | | | 5,202 | | |
| | | | | Pacific Gas and Electric Co. | | | | | |
| | 5,000 | | | 4.30%, due 3/15/2045 | | | 4,803 | | |
| | 10,000 | | | 3.50%, due 8/1/2050 | | | 8,660 | | |
| | 10,000 | | | Pacific LifeCorp., 3.35%, due 9/15/2050 | | | 9,949 | (g) | |
| | 10,000 | | | Pfizer, Inc., 2.70%, due 5/28/2050 | | | 9,338 | | |
| | 10,000 | | | Plains All American Pipeline L.P./PAA Finance Corp., 3.55%, due 12/15/2029 | | | 10,137 | | |
| | 5,000 | | | Public Service Co. of Colorado, 4.05%, due 9/15/2049 | | | 5,840 | | |
| | 5,000 | | | Raytheon Technologies Corp., 4.35%, due 4/15/2047 | | | 5,819 | | |
| | 10,000 | | | Royalty Pharma PLC, 2.20%, due 9/2/2030 | | | 9,552 | (g) | |
| | | | | Southern California Edison Co. | | | | | |
| | 5,000 | | | Ser. B, 4.88%, due 3/1/2049 | | | 5,923 | | |
| | 10,000 | | | Ser. 20A, 2.95%, due 2/1/2051 | | | 9,069 | | |
| | 10,000 | | | Southwestern Public Service Co., 3.15%, due 5/1/2050 | | | 10,053 | | |
| | 10,000 | | | Starbucks Corp., 3.50%, due 11/15/2050 | | | 10,203 | | |
| | 5,000 | | | Sysco Corp., 6.60%, due 4/1/2050 | | | 7,438 | | |
| | | | | T-Mobile USA, Inc. | | | | | |
| | 10,000 | | | 4.38%, due 4/15/2040 | | | 11,097 | (g) | |
| | 10,000 | | | 4.50%, due 4/15/2050 | | | 11,278 | (g) | |
| | 5,000 | | | Union Pacific Corp., 3.80%, due 10/1/2051 | | | 5,412 | | |
See Notes to Financial Statements
28
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
$ | 5,000 | | | United Technologies Corp., 4.50%, due 6/1/2042 | | $ | 5,996 | | |
| | 5,000 | | | UnitedHealth Group, Inc., 4.20%, due 1/15/2047 | | | 5,860 | | |
| | 10,000 | | | Upjohn, Inc., 3.85%, due 6/22/2040 | | | 10,184 | (g) | |
| | | | | Verizon Communications, Inc. | | | | | |
| | 5,000 | | | 3.40%, due 3/22/2041 | | | 5,122 | | |
| | 10,000 | | | 4.13%, due 8/15/2046 | | | 11,189 | | |
| | 10,000 | | | 3.70%, due 3/22/2061 | | | 10,115 | | |
| | 10,000 | | | ViacomCBS, Inc., 4.20%, due 5/19/2032 | | | 11,151 | | |
| | 5,000 | | | Visa, Inc., 4.30%, due 12/14/2045 | | | 6,153 | | |
| | 10,000 | | | Walt Disney Co., 4.70%, due 3/23/2050 | | | 12,648 | | |
| | | | | Wells Fargo & Co. | | | | | |
| | 10,000 | | | 3.07%, due 4/30/2041 | | | 9,874 | (i) | |
| | 10,000 | | | 5.01%, due 4/4/2051 | | | 12,984 | (i) | |
| | | | 978,952 | | |
| | | | | Total Corporate Bonds (Cost $1,159,248) | | | 1,120,678 | | |
NUMBER OF SHARES | | | | | |
Exchange-Traded Funds 17.6% | | | |
| | 32,263 | | | iShares Core International Aggregate Bond ETF | | | 1,769,303 | | |
| | 3,074 | | | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | | | 95,632 | | |
| | | | | Total Exchange-Traded Funds (Cost $1,882,990) | | | 1,864,935 | | |
| | | | | Total Purchased Options(j) 0.0%(b) (Cost $3,768) | | | 1,912 | | |
Short-Term Investments 3.1% | | | |
Investment Companies 3.1% | | | |
| | 325,983 | | | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(k) (Cost $325,983) | | | 325,983 | (d) | |
| | | | | Total Investments 99.1% (Cost $9,738,029) | | | 10,499,157 | | |
| | | | | Other Assets Less Liabilities 0.9% | | | 88,629 | (l) | |
| | | | | Net Assets 100.0% | | $ | 10,587,786 | | |
* Non-income producing security.
(a) Stapled security. A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.
(b) Represents less than 0.05% of net assets of the Fund.
(c) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at April 30, 2021 amounted to $29,512, which represents 0.3% of net assets of the Fund.
(d) All or a portion of this security is segregated in connection with obligations for options written, swaps, futures and/or forward foreign currency contracts with a total value of $678,402.
(e) Rate shown was the discount rate at the date of purchase.
(f) Index-linked bond whose principal amount adjusts according to a government retail price index.
See Notes to Financial Statements
29
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
(g) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2021, these securities amounted to $81,255, which represents 0.8% of net assets of the Fund.
(h) Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date.
(i) Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.
(j) See "Purchased option contracts" under Derivative Instruments.
(k) Represents 7-day effective yield as of April 30, 2021.
(l) Includes the impact of the Fund's open positions in derivatives at April 30, 2021.
(m) Principal only security. This security entitles the holder to receive principal payments from a underlying pool of assets or on the security itself.
See Notes to Financial Statements
30
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
POSITIONS BY INDUSTRY
Industry | | Investments at
Value | | Percentage of
Net Assets | |
Exchange-Traded Funds* | | $ | 1,864,935 | | | | 17.6 | % | |
U.S. Treasury Obligations | | | 630,017 | | | | 5.9 | % | |
Banks | | | 460,363 | | | | 4.3 | % | |
Software | | | 417,058 | | | | 3.9 | % | |
Technology Hardware, Storage & Peripherals | | | 337,722 | | | | 3.2 | % | |
Pharmaceuticals | | | 329,959 | | | | 3.1 | % | |
Insurance | | | 275,441 | | | | 2.6 | % | |
Semiconductors & Semiconductor Equipment | | | 274,207 | | | | 2.6 | % | |
Capital Markets | | | 255,266 | | | | 2.4 | % | |
IT Services | | | 239,292 | | | | 2.3 | % | |
Interactive Media & Services | | | 223,945 | | | | 2.1 | % | |
Internet & Direct Marketing Retail | | | 209,428 | | | | 2.0 | % | |
Oil, Gas & Consumable Fuels | | | 207,278 | | | | 2.0 | % | |
Media | | | 200,770 | | | | 1.9 | % | |
Health Care Equipment & Supplies | | | 195,248 | | | | 1.8 | % | |
Health Care Providers & Services | | | 179,076 | | | | 1.7 | % | |
Automobiles | | | 177,982 | | | | 1.7 | % | |
U.S. Government Agency Securities | | | 174,524 | | | | 1.6 | % | |
Metals & Mining | | | 142,581 | | | | 1.3 | % | |
Food & Staples Retailing | | | 139,207 | | | | 1.3 | % | |
Household Products | | | 130,498 | | | | 1.2 | % | |
Food Products | | | 126,477 | | | | 1.2 | % | |
Electric | | | 124,991 | | | | 1.2 | % | |
Life Sciences Tools & Services | | | 112,622 | | | | 1.1 | % | |
Chemicals | | | 111,297 | | | | 1.1 | % | |
Diversified Telecommunication Services | | | 106,136 | | | | 1.0 | % | |
Equity Real Estate Investment Trusts | | | 105,349 | | | | 1.0 | % | |
Textiles, Apparel & Luxury Goods | | | 104,087 | | | | 1.0 | % | |
Machinery | | | 103,901 | | | | 1.0 | % | |
Telecommunications | | | 101,467 | | | | 1.0 | % | |
Road & Rail | | | 94,929 | | | | 0.9 | % | |
Communications Equipment | | | 93,838 | | | | 0.9 | % | |
Electrical Equipment | | | 93,032 | | | | 0.9 | % | |
Beverages | | | 92,594 | | | | 0.9 | % | |
Entertainment | | | 91,127 | | | | 0.9 | % | |
Building Products | | | 84,047 | | | | 0.8 | % | |
Oil & Gas | | | 78,562 | | | | 0.7 | % | |
Real Estate Management & Development | | | 77,930 | | | | 0.7 | % | |
Household Durables | | | 77,141 | | | | 0.7 | % | |
Trading Companies & Distributors | | | 75,894 | | | | 0.7 | % | |
Biotechnology | | | 73,285 | | | | 0.7 | % | |
Aerospace & Defense | | | 72,430 | | | | 0.7 | % | |
Electric Utilities | | | 72,146 | | | | 0.7 | % | |
Multi-Utilities | | | 67,522 | | | | 0.6 | % | |
Hotels, Restaurants & Leisure | | | 66,722 | | | | 0.6 | % | |
Professional Services | | | 65,846 | | | | 0.6 | % | |
Specialty Retail | | | 60,130 | | | | 0.6 | % | |
Pipelines | | | 58,256 | | | | 0.6 | % | |
Multiline Retail | | | 58,155 | | | | 0.5 | % | |
Air Freight & Logistics | | | 51,364 | | | | 0.5 | % | |
Electronic Equipment, Instruments & Components | | | 45,912 | | | | 0.4 | % | |
Wireless Telecommunication Services | | | 40,928 | | | | 0.4 | % | |
Retail | | | 39,807 | | | | 0.4 | % | |
See Notes to Financial Statements
31
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Industry | | Investments at
Value | | Percentage of
Net Assets | |
Diversified Financial Services | | $ | 39,651 | | | | 0.4 | % | |
Industrial Conglomerates | | | 35,165 | | | | 0.3 | % | |
Containers & Packaging | | | 31,727 | | | | 0.3 | % | |
Food | | | 31,245 | | | | 0.3 | % | |
Marine | | | 30,972 | | | | 0.3 | % | |
Semiconductors | | | 30,832 | | | | 0.3 | % | |
Auto Components | | | 27,636 | | | | 0.3 | % | |
Miscellaneous Manufacturers | | | 25,198 | | | | 0.2 | % | |
Agriculture | | | 23,989 | | | | 0.2 | % | |
Gas Utilities | | | 21,925 | | | | 0.2 | % | |
Construction & Engineering | | | 20,768 | | | | 0.2 | % | |
Transportation | | | 16,822 | | | | 0.2 | % | |
Real Estate Investment Trusts | | | 16,032 | | | | 0.2 | % | |
Building Materials | | | 15,944 | | | | 0.2 | % | |
Construction Materials | | | 15,761 | | | | 0.1 | % | |
Consumer Finance | | | 15,703 | | | | 0.1 | % | |
Paper & Forest Products | | | 14,926 | | | | 0.1 | % | |
Home Builders | | | 14,496 | | | | 0.1 | % | |
Healthcare—Services | | | 12,008 | | | | 0.1 | % | |
Water | | | 11,527 | | | | 0.1 | % | |
Computers | | | 11,324 | | | | 0.1 | % | |
Healthcare—Products | | | 6,390 | | | | 0.1 | % | |
Auto Manufacturers | | | 5,870 | | | | 0.1 | % | |
Personal Products | | | 2,630 | | | | 0.0 | %(a) | |
Purchased Options | | | 1,912 | | | | 0.0 | %(a) | |
Short-Term Investments and Other Assets—Net | | | 414,612 | | | | 4.0 | % | |
| | | $ | 10,587,786 | | | | 100.0 | % | |
(a) Represents less than 0.05% of net assets of the Fund.
* Each position is an Investment Company registered under the 1940 Act, as amended, and is not treated as an industry for purposes of the Fund's policy on industry concentration. This represents the aggregate of all investment companies.
See Notes to Financial Statements
32
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2021, open positions in futures for the Fund were as follows:
Long Futures:
Expiration
Date | | Number of
Contracts | | Open Contracts | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
6/2021 | | | 2 | | | FTSE 100 Index | | $ | 191,621 | | | $ | 6,076 | | |
Total Long Positions | | | | | | $ | 191,621 | | | $ | 6,076 | | |
Short Futures:
Expiration
Date | | Number of
Contracts | | Open Contracts | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
6/2021 | | | 1 | | | Euro-Bund | | $ | (204,382 | ) | | $ | 36 | | |
6/2021 | | | 1 | | | Euro-Buxl Bond, 30 Year | | | (242,734 | ) | | | (48 | ) | |
6/2021 | | | 5 | | | U.S. Treasury Ultra Bond | | | (929,531 | ) | | | 19,921 | | |
Total Short Positions | | | | | | $ | (1,376,647 | ) | | $ | 19,909 | | |
Total Futures | | | | | | | | $ | 25,985 | | |
At April 30, 2021, the Fund has $53,478 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2021, the average notional value for the months where the Fund had futures outstanding was $160,593 for long positions and $(909,373) for short positions.
Forward foreign currency contracts ("forward FX contracts")
At April 30, 2021, open forward FX contracts for the Fund were as follows:
| Currency Purchased | | Currency Sold | | Counterparty | | Settlement
Date | | Net Unrealized
Appreciation/
(Depreciation) | |
| | 74,000 | | | GBP | | | | | 103,314 | | | USD | | | | CITI | | 7/22/2021 | | $ | (1,094 | ) | |
Total unrealized depreciation | | | | | | | | | | | | $ | (1,094 | ) | |
For the six months ended April 30, 2021, the average notional value for the months where the Fund had forward FX contracts outstanding was $26,851,812.
See Notes to Financial Statements
33
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Total return basket swap contracts ("total return basket swaps")
At April 30, 2021, the Fund had outstanding total return basket swaps(a) as follows:
Over-the-counter total return basket swaps—Long(b)
Counterparty | | Reference Entity | | Effective
Variable
Rate(d) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Maturity
Date(s) | | Value | |
GSI | | GSCBNBDE | | | 0.57 | % | | | 0.45 | % | | 1M USD LIBOR | | T/1M | | 8/20/2021 | | $ | (15 | ) | |
GSI | | GSCBNBRO | | | 0.56 | % | | | 0.45 | % | | 1M USD LIBOR | | T/1M | | 8/20/2021 | | | 4,527 | | |
GSI | | GSCBNBRO | | | 0.53 | % | | | 0.45 | % | | 1M USD LIBOR | | T/1M | | 8/20/2021 | | | 1,346 | | |
Total | | | | | | | | | | | | | | $ | 5,858 | | |
(a) The following table represents required component disclosures associated with the total return basket swaps:
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBDE | |
Apple Inc. | | | 11 | | | $ | 5,371 | | | $ | (1 | ) | | | 10.3 | % | |
Microsoft Corp. | | | 5 | | | | 4,877 | | | | (1 | ) | | | 9.3 | % | |
Amazon.com Inc. | | | 1 | | | | 3,816 | | | | (1 | ) | | | 7.3 | % | |
Johnson & Johnson | | | 2 | | | | 1,103 | | | | — | | | | 2.1 | % | |
Visa Inc. | | | 1 | | | | 1,019 | | | | — | | | | 2.0 | % | |
UnitedHealth Group Inc. | | | 1 | | | | 978 | | | | — | | | | 1.9 | % | |
Home Depot Inc./The | | | 1 | | | | 891 | | | | — | | | | 1.7 | % | |
Mastercard Inc. | | | 1 | | | | 869 | | | | — | | | | 1.7 | % | |
Procter & Gamble Co./The | | | 2 | | | | 854 | | | | — | | | | 1.6 | % | |
PayPal Holdings Inc. | | | 1 | | | | 798 | | | | — | | | | 1.5 | % | |
Adobe Inc. | | | 1 | | | | 627 | | | | — | | | | 1.2 | % | |
Verizon Communications Inc. | | | 3 | | | | 619 | | | | — | | | | 1.2 | % | |
AT&T Inc. | | | 5 | | | | 578 | | | | — | | | | 1.1 | % | |
Cisco Systems Inc./Delaware | | | 3 | | | | 554 | | | | — | | | | 1.1 | % | |
Abbott Laboratories | | | 1 | | | | 551 | | | | — | | | | 1.1 | % | |
Pfizer Inc. | | | 4 | | | | 550 | | | | — | | | | 1.1 | % | |
salesforce.com Inc. | | | 1 | | | | 541 | | | | — | | | | 1.0 | % | |
Coca-Cola Co./The | | | 3 | | | | 539 | | | | — | | | | 1.0 | % | |
PepsiCo Inc. | | | 1 | | | | 512 | | | | — | | | | 1.0 | % | |
AbbVie Inc. | | | 1 | | | | 507 | | | | — | | | | 1.0 | % | |
Walmart Inc. | | | 1 | | | | 502 | | | | — | | | | 1.0 | % | |
Thermo Fisher Scientific Inc. | | | 1 | | | | 490 | | | | — | | | | 0.9 | % | |
Merck & Co Inc. | | | 2 | | | | 484 | | | | — | | | | 0.9 | % | |
Accenture PLC | | | 1 | | | | 481 | | | | — | | | | 0.9 | % | |
Medtronic PLC | | | 1 | | | | 457 | | | | — | | | | 0.9 | % | |
McDonald's Corp. | | | 1 | | | | 457 | | | | — | | | | 0.9 | % | |
Costco Wholesale Corp. | | | 1 | | | | 429 | | | | — | | | | 0.8 | % | |
See Notes to Financial Statements
34
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBDE (cont'd) | |
Danaher Corp. | | | 1 | | | $ | 418 | | | $ | — | | | | 0.8 | % | |
NextEra Energy Inc. | | | 1 | | | | 394 | | | | — | | | | 0.8 | % | |
Philip Morris International Inc. | | | 1 | | | | 381 | | | | — | | | | 0.7 | % | |
Oracle Corp. | | | 1 | | | | 377 | | | | — | | | | 0.7 | % | |
Eli Lilly & Co. | | | 1 | | | | 372 | | | | — | | | | 0.7 | % | |
Lowe's Cos Inc. | | | 1 | | | | 370 | | | | — | | | | 0.7 | % | |
Bristol-Myers Squibb Co. | | | 2 | | | | 362 | | | | — | | | | 0.7 | % | |
Amgen Inc. | | | 1 | | | | 355 | | | | — | | | | 0.7 | % | |
Starbucks Corp. | | | 1 | | | | 340 | | | | — | | | | 0.7 | % | |
International Business Machines Corp. | | | 1 | | | | 328 | | | | — | | | | 0.6 | % | |
American Tower Corp. | | | 1 | | | | 287 | | | | — | | | | 0.5 | % | |
Intuit Inc. | | | 1 | | | | 281 | | | | — | | | | 0.5 | % | |
Target Corp. | | | 1 | | | | 270 | | | | — | | | | 0.5 | % | |
Intuitive Surgical Inc. | | | 1 | | | | 266 | | | | — | | | | 0.5 | % | |
Booking Holdings Inc. | | | 1 | | | | 266 | | | | — | | | | 0.5 | % | |
CVS Health Corp. | | | 1 | | | | 259 | | | | — | | | | 0.5 | % | |
ServiceNow Inc. | | | 1 | | | | 255 | | | | — | | | | 0.5 | % | |
Fidelity National Information Services I | | | 1 | | | | 246 | | | | — | | | | 0.5 | % | |
Anthem Inc. | | | 1 | | | | 244 | | | | — | | | | 0.5 | % | |
Cigna Corp. | | | 1 | | | | 237 | | | | — | | | | 0.5 | % | |
Altria Group Inc. | | | 1 | | | | 232 | | | | — | | | | 0.4 | % | |
Stryker Corp. | | | 1 | | | | 225 | | | | — | | | | 0.4 | % | |
TJX Cos Inc./The | | | 1 | | | | 225 | | | | — | | | | 0.4 | % | |
Other Securities | | | 30 | | | | 15,802 | | | | — | | | | 30.2 | % | |
| | | | | $ | 52,246 | | | $ | (3 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (12 | ) | | | |
| | | | | | | $ | (15 | ) | | | |
GSCBNBRO | |
Kohl's Corp. | | | 12 | | | $ | 2,695 | | | $ | 221 | | | | 4.9 | % | |
Nordstrom Inc. | | | 19 | | | | 2,634 | | | | 216 | | | | 4.8 | % | |
Carnival Corp. | | | 18 | | | | 1,844 | | | | 151 | | | | 3.3 | % | |
Wells Fargo & Co. | | | 11 | | | | 1,830 | | | | 150 | | | | 3.3 | % | |
Norwegian Cruise Line Holdings Ltd. | | | 15 | | | | 1,780 | | | | 146 | | | | 3.2 | % | |
Kimco Realty Corp. | | | 22 | | | | 1,769 | | | | 145 | | | | 3.2 | % | |
Simon Property Group Inc. | | | 4 | | | | 1,744 | | | | 143 | | | | 3.2 | % | |
PVH Corp. | | | 4 | | | | 1,691 | | | | 139 | | | | 3.1 | % | |
Zions Bancorp NA | | | 8 | | | | 1,664 | | | | 137 | | | | 3.0 | % | |
Ralph Lauren Corp. | | | 3 | | | | 1,655 | | | | 136 | | | | 3.0 | % | |
Textron Inc. | | | 7 | | | | 1,645 | | | | 135 | | | | 3.0 | % | |
General Electric Co. | | | 34 | | | | 1,671 | | | | 137 | | | | 3.0 | % | |
Alaska Air Group Inc. | | | 6 | | | | 1,632 | | | | 134 | | | | 2.9 | % | |
CBRE Group Inc. | | | 5 | | | | 1,627 | | | | 133 | | | | 2.9 | % | |
American Airlines Group Inc. | | | 20 | | | | 1,619 | | | | 133 | | | | 2.9 | % | |
See Notes to Financial Statements
35
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBRO (cont'd) | |
Regency Centers Corp. | | | 7 | | | $ | 1,575 | | | $ | 129 | | | | 2.8 | % | |
Host Hotels & Resorts Inc. | | | 23 | | | | 1,540 | | | | 126 | | | | 2.8 | % | |
United Airlines Holdings Inc. | | | 7 | | | | 1,479 | | | | 121 | | | | 2.7 | % | |
Huntington Bancshares Inc./OH | | | 25 | | | | 1,471 | | | | 121 | | | | 2.7 | % | |
Southwest Airlines Co. | | | 6 | | | | 1,469 | | | | 120 | | | | 2.7 | % | |
Loews Corp. | | | 7 | | | | 1,448 | | | | 119 | | | | 2.6 | % | |
SL Green Realty Corp. | | | 5 | | | | 1,412 | | | | 116 | | | | 2.5 | % | |
Marriott International Inc./MD | | | 3 | | | | 1,411 | | | | 116 | | | | 2.5 | % | |
Federal Realty Investment Trust | | | 3 | | | | 1,409 | | | | 116 | | | | 2.5 | % | |
US Bancorp | | | 6 | | | | 1,408 | | | | 115 | | | | 2.5 | % | |
Prudential Financial Inc. | | | 4 | | | | 1,406 | | | | 115 | | | | 2.5 | % | |
Delta Air Lines Inc. | | | 8 | | | | 1,384 | | | | 114 | | | | 2.5 | % | |
Royal Caribbean Cruises Ltd. | | | 4 | | | | 1,372 | | | | 112 | | | | 2.5 | % | |
Essex Property Trust Inc. | | | 1 | | | | 1,336 | | | | 110 | | | | 2.4 | % | |
Equity Residential | | | 5 | | | | 1,329 | | | | 109 | | | | 2.4 | % | |
Boston Properties Inc. | | | 3 | | | | 1,307 | | | | 107 | | | | 2.4 | % | |
UDR Inc. | | | 8 | | | | 1,306 | | | | 107 | | | | 2.4 | % | |
Boeing Co./The | | | 1 | | | | 1,301 | | | | 107 | | | | 2.3 | % | |
Raytheon Technologies Corp. | | | 4 | | | | 1,252 | | | | 103 | | | | 2.3 | % | |
Vornado Realty Trust | | | 7 | | | | 1,249 | | | | 102 | | | | 2.3 | % | |
| | | | | $ | 55,364 | | | $ | 4,541 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (14 | ) | | | |
| | | | | | | $ | 4,527 | | | | |
GSCBNBRO | |
Kohl's Corp. | | | 12 | | | $ | 2,612 | | | $ | 66 | | | | 4.9 | % | |
Nordstrom Inc. | | | 18 | | | | 2,553 | | | | 65 | | | | 4.8 | % | |
Carnival Corp. | | | 17 | | | | 1,787 | | | | 45 | | | | 3.3 | % | |
Wells Fargo & Co. | | | 10 | | | | 1,773 | | | | 45 | | | | 3.3 | % | |
Norwegian Cruise Line Holdings Ltd. | | | 15 | | | | 1,725 | | | | 44 | | | | 3.2 | % | |
Kimco Realty Corp. | | | 22 | | | | 1,715 | | | | 44 | | | | 3.2 | % | |
Simon Property Group Inc. | | | 4 | | | | 1,690 | | | | 43 | | | | 3.2 | % | |
PVH Corp. | | | 4 | | | | 1,639 | | | | 41 | | | | 3.1 | % | |
Zions Bancorp NA | | | 8 | | | | 1,613 | | | | 41 | | | | 3.0 | % | |
Ralph Lauren Corp. | | | 3 | | | | 1,604 | | | | 41 | | | | 3.0 | % | |
Textron Inc. | | | 6 | | | | 1,594 | | | | 41 | | | | 3.0 | % | |
General Electric Co. | | | 33 | | | | 1,620 | | | | 41 | | | | 3.0 | % | |
Alaska Air Group Inc. | | | 6 | | | | 1,581 | | | | 40 | | | | 2.9 | % | |
CBRE Group Inc. | | | 5 | | | | 1,577 | | | | 40 | | | | 2.9 | % | |
American Airlines Group Inc. | | | 19 | | | | 1,569 | | | | 40 | | | | 2.9 | % | |
Regency Centers Corp. | | | 6 | | | | 1,526 | | | | 39 | | | | 2.8 | % | |
Host Hotels & Resorts Inc. | | | 22 | | | | 1,492 | | | | 38 | | | | 2.8 | % | |
United Airlines Holdings Inc. | | | 7 | | | | 1,433 | | | | 36 | | | | 2.7 | % | |
Huntington Bancshares Inc./OH | | | 25 | | | | 1,426 | | | | 36 | | | | 2.7 | % | |
Southwest Airlines Co. | | | 6 | | | | 1,424 | | | | 36 | | | | 2.7 | % | |
See Notes to Financial Statements
36
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBRO (cont'd) | |
Loews Corp. | | | 7 | | | $ | 1,404 | | | $ | 36 | | | | 2.6 | % | |
SL Green Realty Corp. | | | 5 | | | | 1,368 | | | | 35 | | | | 2.5 | % | |
Marriott International Inc./MD | | | 2 | | | | 1,367 | | | | 35 | | | | 2.5 | % | |
Federal Realty Investment Trust | | | 3 | | | | 1,366 | | | | 35 | | | | 2.5 | % | |
US Bancorp | | | 6 | | | | 1,365 | | | | 34 | | | | 2.5 | % | |
Prudential Financial Inc. | | | 4 | | | | 1,363 | | | | 34 | | | | 2.5 | % | |
Delta Air Lines Inc. | | | 8 | | | | 1,342 | | | | 34 | | | | 2.5 | % | |
Royal Caribbean Cruises Ltd. | | | 4 | | | | 1,330 | | | | 34 | | | | 2.5 | % | |
Essex Property Trust Inc. | | | 1 | | | | 1,295 | | | | 33 | | | | 2.4 | % | |
Equity Residential | | | 5 | | | | 1,289 | | | | 33 | | | | 2.4 | % | |
Boston Properties Inc. | | | 3 | | | | 1,267 | | | | 32 | | | | 2.4 | % | |
UDR Inc. | | | 7 | | | | 1,266 | | | | 32 | | | | 2.4 | % | |
Boeing Co./The | | | 1 | | | | 1,261 | | | | 32 | | | | 2.3 | % | |
Raytheon Technologies Corp. | | | 4 | | | | 1,213 | | | | 30 | | | | 2.3 | % | |
Vornado Realty Trust | | | 7 | | | | 1,211 | | | | 30 | | | | 2.3 | % | |
| | | | | $ | 53,660 | | | $ | 1,361 | | | | |
Accrued Net Interest Receivable/(Payable) | | | |
| | | (15 | ) | | | |
| | | | | | | $ | 1,346 | | | | |
Total Return Basket Swaps—Long, at value | | | | | | $ | 5,858 | | | | |
Over-the-counter total return basket swaps—Short(c)
Counterparty | | Reference Entity | | Effective
Variable
Rate(d) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Maturity
Date(s) | | Value | |
GSI | | GSCBNBST | | | 0.11 | % | | | — | % | | 1M USD LIBOR | | 1M/T | | 8/20/2021 | | $ | 1,492 | | |
GSI | | GSCBNBST | | | 0.11 | % | | | — | % | | 1M USD LIBOR | | 1M/T | | 8/20/2021 | | | 773 | | |
GSI | | GSSBCYCL | | | 0.12 | % | | | — | % | | 1M USD LIBOR | | 1M/T | | 8/20/2021 | | | (384 | ) | |
Total | | | | | | | | | | | | | | $ | 1,881 | | |
(a) The following table represents required component disclosures associated with the total return basket swaps:
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBST | |
Cloudflare Inc. | | | (12 | ) | | $ | (2,199 | ) | | $ | 64 | | | | 4.3 | % | |
Roku Inc, | | | (3 | ) | | | (2,132 | ) | | | 63 | | | | 4.2 | % | |
Target Corp. | | | (4 | ) | | | (1,637 | ) | | | 48 | | | | 3.2 | % | |
Peloton Interactive Inc. | | | (7 | ) | | | (1,497 | ) | | | 44 | | | | 2.9 | % | |
Twitter Inc. | | | (12 | ) | | | (1,453 | ) | | | 43 | | | | 2.9 | % | |
Altice USA Inc. | | | (18 | ) | | | (1,436 | ) | | | 42 | | | | 2.8 | % | |
Slack Technologies Inc. | | | (15 | ) | | | (1,400 | ) | | | 41 | | | | 2.8 | % | |
Constellation Brands Inc. | | | (2 | ) | | | (1,303 | ) | | | 38 | | | | 2.6 | % | |
STERIS PLC | | | (3 | ) | | | (1,297 | ) | | | 38 | | | | 2.6 | % | |
See Notes to Financial Statements
37
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBST (cont'd) | |
Zoom Video Communications Inc. | | | (2 | ) | | $ | (1,227 | ) | | $ | 36 | | | | 2.4 | % | |
NetEase Inc. | | | (5 | ) | | | (1,202 | ) | | | 35 | | | | 2.4 | % | |
CVS Health Corp. | | | (7 | ) | | | (1,184 | ) | | | 35 | | | | 2.3 | % | |
Shopify Inc. | | | — | | | | (1,174 | ) | | | 34 | | | | 2.3 | % | |
Charter Communications Inc. | | | (1 | ) | | | (1,167 | ) | | | 34 | | | | 2.3 | % | |
Advanced Micro Devices Inc. | | | (6 | ) | | | (1,147 | ) | | | 34 | | | | 2.3 | % | |
Intel Corp. | | | (9 | ) | | | (1,125 | ) | | | 33 | | | | 2.2 | % | |
RingCentral Inc. | | | (2 | ) | | | (1,113 | ) | | | 33 | | | | 2.2 | % | |
Amazon.com Inc. | | | — | | | | (1,105 | ) | | | 32 | | | | 2.2 | % | |
DocuSign Inc. | | | (2 | ) | | | (1,101 | ) | | | 32 | | | | 2.2 | % | |
Costco Wholesale Corp. | | | (1 | ) | | | (1,101 | ) | | | 32 | | | | 2.2 | % | |
Dollar General Corp. | | | (2 | ) | | | (1,096 | ) | | | 32 | | | | 2.2 | % | |
Activision Blizzard Inc. | | | (5 | ) | | | (1,083 | ) | | | 32 | | | | 2.1 | % | |
Zynga Inc. | | | (45 | ) | | | (1,079 | ) | | | 32 | | | | 2.1 | % | |
Take-Two Interactive Software Inc. | | | (3 | ) | | | (1,068 | ) | | | 31 | | | | 2.1 | % | |
Domino's Pizza Inc. | | | (1 | ) | | | (1,051 | ) | | | 31 | | | | 2.1 | % | |
AT&T Inc. | | | (15 | ) | | | (1,040 | ) | | | 31 | | | | 2.0 | % | |
Walmart Inc. | | | (3 | ) | | | (1,034 | ) | | | 30 | | | | 2.0 | % | |
Kroger Co./The | | | (12 | ) | | | (1,019 | ) | | | 30 | | | | 2.0 | % | |
Electronic Arts Inc. | | | (3 | ) | | | (1,012 | ) | | | 30 | | | | 2.0 | % | |
Keurig Dr Pepper Inc. | | | (13 | ) | | | (1,010 | ) | | | 30 | | | | 2.0 | % | |
Netflix Inc. | | | (1 | ) | | | (1,004 | ) | | | 29 | | | | 2.0 | % | |
BJ's Wholesale Club Holdings Inc. | | | (10 | ) | | | (991 | ) | | | 29 | | | | 2.0 | % | |
Verizon Communications Inc. | | | (7 | ) | | | (985 | ) | | | 29 | | | | 1.9 | % | |
Conagra Brands Inc. | | | (12 | ) | | | (973 | ) | | | 29 | | | | 1.9 | % | |
Campbell Soup Co. | | | (9 | ) | | | (935 | ) | | | 27 | | | | 1.8 | % | |
Grubhub Inc. | | | (6 | ) | | | (929 | ) | | | 27 | | | | 1.8 | % | |
General Mills Inc. | | | (7 | ) | | | (920 | ) | | | 27 | | | | 1.8 | % | |
Akamai Technologies Inc. | | | (4 | ) | | | (919 | ) | | | 27 | | | | 1.8 | % | |
Spotify Technology SA | | | (2 | ) | | | (896 | ) | | | 26 | | | | 1.8 | % | |
Kellogg Co. | | | (6 | ) | | | (865 | ) | | | 25 | | | | 1.7 | % | |
Citrix Systems Inc. | | | (3 | ) | | | (845 | ) | | | 25 | | | | 1.7 | % | |
Teladoc Health Inc. | | | (2 | ) | | | (785 | ) | | | 23 | | | | 1.5 | % | |
Fastly Inc. | | | (5 | ) | | | (773 | ) | | | 23 | | | | 1.5 | % | |
Clorox Co./The | | | (2 | ) | | | (772 | ) | | | 23 | | | | 1.5 | % | |
Interactive Brokers Group Inc. | | | (4 | ) | | | (711 | ) | | | 21 | | | | 1.4 | % | |
| | | | | $ | (50,795 | ) | | $ | 1,490 | | | | |
Accrued Net Interest Receivable/(Payable) | | | |
| | | 2 | | | | |
| | | | | | | $ | 1,492 | | | | |
See Notes to Financial Statements
38
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBST | |
Cloudflare Inc | | | (12 | ) | | $ | (2,191 | ) | | $ | 33 | | | | 4.3 | % | |
Roku Inc | | | (3 | ) | | | (2,125 | ) | | | 32 | | | | 4.2 | % | |
Target Corp | | | (3 | ) | | | (1,632 | ) | | | 25 | | | | 3.2 | % | |
Peloton Interactive Inc | | | (7 | ) | | | (1,492 | ) | | | 23 | | | | 2.9 | % | |
Twitter Inc | | | (12 | ) | | | (1,448 | ) | | | 22 | | | | 2.9 | % | |
Altice USA Inc | | | (18 | ) | | | (1,431 | ) | | | 22 | | | | 2.8 | % | |
Slack Technologies Inc | | | (15 | ) | | | (1,395 | ) | | | 21 | | | | 2.8 | % | |
Constellation Brands Inc | | | (2 | ) | | | (1,298 | ) | | | 20 | | | | 2.6 | % | |
STERIS PLC | | | (3 | ) | | | (1,293 | ) | | | 20 | | | | 2.6 | % | |
Zoom Video Communications Inc | | | (2 | ) | | | (1,223 | ) | | | 18 | | | | 2.4 | % | |
NetEase Inc | | | (5 | ) | | | (1,198 | ) | | | 18 | | | | 2.4 | % | |
CVS Health Corp | | | (7 | ) | | | (1,180 | ) | | | 18 | | | | 2.3 | % | |
Shopify Inc | | | — | | | | (1,170 | ) | | | 18 | | | | 2.3 | % | |
Charter Communications Inc | | | (1 | ) | | | (1,163 | ) | | | 18 | | | | 2.3 | % | |
Advanced Micro Devices Inc | | | (6 | ) | | | (1,143 | ) | | | 17 | | | | 2.3 | % | |
Intel Corp | | | (9 | ) | | | (1,121 | ) | | | 17 | | | | 2.2 | % | |
RingCentral Inc | | | (1 | ) | | | (1,109 | ) | | | 17 | | | | 2.2 | % | |
Amazon.com Inc | | | — | | | | (1,101 | ) | | | 17 | | | | 2.2 | % | |
DocuSign Inc | | | (2 | ) | | | (1,097 | ) | | | 17 | | | | 2.2 | % | |
Costco Wholesale Corp | | | (1 | ) | | | (1,097 | ) | | | 17 | | | | 2.2 | % | |
Dollar General Corp | | | (2 | ) | | | (1,093 | ) | | | 17 | | | | 2.2 | % | |
Activision Blizzard Inc | | | (5 | ) | | | (1,079 | ) | | | 16 | | | | 2.1 | % | |
Zynga Inc | | | (45 | ) | | | (1,076 | ) | | | 16 | | | | 2.1 | % | |
Take-Two Interactive Software Inc | | | (3 | ) | | | (1,064 | ) | | | 16 | | | | 2.1 | % | |
Domino's Pizza Inc | | | (1 | ) | | | (1,047 | ) | | | 16 | | | | 2.1 | % | |
AT&T Inc | | | (15 | ) | | | (1,036 | ) | | | 16 | | | | 2.0 | % | |
Walmart Inc | | | (3 | ) | | | (1,030 | ) | | | 16 | | | | 2.0 | % | |
Kroger Co/The | | | (12 | ) | | | (1,016 | ) | | | 15 | | | | 2.0 | % | |
Electronic Arts Inc | | | (3 | ) | | | (1,008 | ) | | | 15 | | | | 2.0 | % | |
Keurig Dr Pepper Inc | | | (13 | ) | | | (1,006 | ) | | | 15 | | | | 2.0 | % | |
Netflix Inc | | | (1 | ) | | | (1,001 | ) | | | 15 | | | | 2.0 | % | |
BJ's Wholesale Club Holdings Inc | | | (10 | ) | | | (987 | ) | | | 15 | | | | 2.0 | % | |
Verizon Communications Inc | | | (8 | ) | | | (982 | ) | | | 15 | | | | 1.9 | % | |
Conagra Brands Inc | | | (12 | ) | | | (969 | ) | | | 15 | | | | 1.9 | % | |
Campbell Soup Co | | | (9 | ) | | | (932 | ) | | | 14 | | | | 1.8 | % | |
Grubhub Inc | | | (6 | ) | | | (926 | ) | | | 14 | | | | 1.8 | % | |
General Mills Inc | | | (7 | ) | | | (918 | ) | | | 14 | | | | 1.8 | % | |
Akamai Technologies Inc | | | (4 | ) | | | (916 | ) | | | 14 | | | | 1.8 | % | |
Spotify Technology SA | | | (2 | ) | | | (894 | ) | | | 13 | | | | 1.8 | % | |
Kellogg Co | | | (6 | ) | | | (862 | ) | | | 13 | | | | 1.7 | % | |
See Notes to Financial Statements
39
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBST (cont'd) | |
Citrix Systems Inc | | | (3 | ) | | $ | (843 | ) | | $ | 13 | | | | 1.7 | % | |
Teladoc Health Inc | | | (2 | ) | | | (783 | ) | | | 12 | | | | 1.5 | % | |
Fastly Inc | | | (5 | ) | | | (770 | ) | | | 12 | | | | 1.5 | % | |
Clorox Co/The | | | (2 | ) | | | (769 | ) | | | 12 | | | | 1.5 | % | |
Interactive Brokers Group Inc | | | (4 | ) | | | (708 | ) | | | 11 | | | | 1.4 | % | |
| | | | | $ | (50,622 | ) | | $ | 770 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 3 | | | | |
| | | | | | | $ | 773 | | | | |
GSSBCYCL | |
Facebook Inc. | | | (2 | ) | | $ | (2,806 | ) | | $ | (21 | ) | | | 5.3 | % | |
Alphabet Inc. | | | (1 | ) | | | (2,555 | ) | | | (19 | ) | | | 4.9 | % | |
Tesla Inc. | | | (1 | ) | | | (2,061 | ) | | | (15 | ) | | | 3.9 | % | |
Berkshire Hathaway Inc. | | | (2 | ) | | | (1,984 | ) | | | (15 | ) | | | 3.8 | % | |
JPMorgan Chase & Co. | | | (3 | ) | | | (1,738 | ) | | | (13 | ) | | | 3.3 | % | |
NVIDIA Corp. | | | (1 | ) | | | (1,351 | ) | | | (10 | ) | | | 2.6 | % | |
Walt Disney Co./The | | | (2 | ) | | | (1,250 | ) | | | (9 | ) | | | 2.4 | % | |
Bank of America Corp. | | | (7 | ) | | | (1,133 | ) | | | (8 | ) | | | 2.2 | % | |
Comcast Corp. | | | (4 | ) | | | (931 | ) | | | (7 | ) | | | 1.8 | % | |
Exxon Mobil Corp. | | | (4 | ) | | | (906 | ) | | | (7 | ) | | | 1.7 | % | |
Intel Corp. | | | (4 | ) | | | (850 | ) | | | (6 | ) | | | 1.6 | % | |
Netflix Inc. | | | (1 | ) | | | (825 | ) | | | (6 | ) | | | 1.6 | % | |
Chevron Corp. | | | (2 | ) | | | (744 | ) | | | (6 | ) | | | 1.4 | % | |
Wells Fargo & Co. | | | (4 | ) | | | (688 | ) | | | (5 | ) | | | 1.3 | % | |
Broadcom Inc. | | | (1 | ) | | | (665 | ) | | | (5 | ) | | | 1.3 | % | |
NIKE Inc. | | | (1 | ) | | | (611 | ) | | | (4 | ) | | | 1.2 | % | |
Texas Instruments Inc. | | | (1 | ) | | | (599 | ) | | | (4 | ) | | | 1.1 | % | |
Honeywell International Inc. | | | (1 | ) | | | (585 | ) | | | (4 | ) | | | 1.1 | % | |
QUALCOMM Inc. | | | (1 | ) | | | (566 | ) | | | (4 | ) | | | 1.1 | % | |
Union Pacific Corp. | | | (1 | ) | | | (551 | ) | | | (4 | ) | | | 1.0 | % | |
Citigroup Inc. | | | (2 | ) | | | (550 | ) | | | (4 | ) | | | 1.0 | % | |
Linde PLC | | | (1 | ) | | | (546 | ) | | | (4 | ) | | | 1.0 | % | |
United Parcel Service Inc. | | | (1 | ) | | | (533 | ) | | | (4 | ) | | | 1.0 | % | |
Boeing Co./The | | | (1 | ) | | | (474 | ) | | | (3 | ) | | | 0.9 | % | |
Raytheon Technologies Corp. | | | (1 | ) | | | (471 | ) | | | (3 | ) | | | 0.9 | % | |
Caterpillar Inc. | | | (1 | ) | | | (462 | ) | | | (3 | ) | | | 0.9 | % | |
Morgan Stanley | | | (1 | ) | | | (461 | ) | | | (3 | ) | | | 0.9 | % | |
Applied Materials Inc. | | | (1 | ) | | | (430 | ) | | | (3 | ) | | | 0.8 | % | |
General Electric Co. | | | (9 | ) | | | (427 | ) | | | (3 | ) | | | 0.8 | % | |
Deere & Co. | | | (1 | ) | | | (427 | ) | | | (3 | ) | | | 0.8 | % | |
BlackRock Inc. | | | — | | | | (423 | ) | | | (3 | ) | | | 0.8 | % | |
3M Co. | | | (1 | ) | | | (422 | ) | | | (3 | ) | | | 0.8 | % | |
Charles Schwab Corp./The | | | (1 | ) | | | (390 | ) | | | (3 | ) | | | 0.7 | % | |
See Notes to Financial Statements
40
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
| Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSSBCYCL (cont'd) | |
American Express Co. | | | (1 | ) | | $ | (376 | ) | | $ | (3 | ) | | | 0.7 | % | |
Advanced Micro Devices Inc. | | | (1 | ) | | | (358 | ) | | | (3 | ) | | | 0.7 | % | |
Charter Communications Inc. | | | — | | | | (352 | ) | | | (3 | ) | | | 0.7 | % | |
S&P Global Inc. | | | (1 | ) | | | (347 | ) | | | (3 | ) | | | 0.7 | % | |
Lockheed Martin Corp. | | | (1 | ) | | | (342 | ) | | | (3 | ) | | | 0.7 | % | |
Micron Technology Inc. | | | (1 | ) | | | (341 | ) | | | (3 | ) | | | 0.6 | % | |
Lam Research Corp. | | | — | | | | (321 | ) | | | (2 | ) | | | 0.6 | % | |
Truist Financial Corp. | | | (1 | ) | | | (299 | ) | | | (2 | ) | | | 0.6 | % | |
US Bancorp | | | (1 | ) | | | (299 | ) | | | (2 | ) | | | 0.6 | % | |
PNC Financial Services Group Inc./The | | | (1 | ) | | | (293 | ) | | | (2 | ) | | | 0.6 | % | |
CSX Corp. | | | (1 | ) | | | (287 | ) | | | (2 | ) | | | 0.5 | % | |
Chubb Ltd. | | | (1 | ) | | | (287 | ) | | | (2 | ) | | | 0.5 | % | |
CME Group Inc. | | | (1 | ) | | | (268 | ) | | | (2 | ) | | | 0.5 | % | |
General Motors Co. | | | (1 | ) | | | (268 | ) | | | (2 | ) | | | 0.5 | % | |
Norfolk Southern Corp. | | | (1 | ) | | | (264 | ) | | | (2 | ) | | | 0.5 | % | |
FedEx Corp. | | | (1 | ) | | | (263 | ) | | | (2 | ) | | | 0.5 | % | |
ConocoPhillips | | | (1 | ) | | | (261 | ) | | | (2 | ) | | | 0.5 | % | |
Other Securities | | | (56 | ) | | | (17,926 | ) | | | (134 | ) | | | 34.1 | % | |
| | | | $ | (52,567 | ) | | $ | (388 | ) | |
| |
Accrued Net Interest Receivable/(Payable) | | | | | | | 4 | | |
| |
| | | | | | $ | (384 | ) | |
| |
Total Return Basket Swaps—Short, at value | | | | | | $ | 1,881 | | | | |
(b) The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity. The receipts may be denominated in various foreign currencies based on the local currencies of the positions within the swaps.
(c) The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. The receipts may be denominated in various foreign currencies based on the local currencies of the positions within the swaps.
(d) Effective rate at April 30, 2021.
See Notes to Financial Statements
41
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Total return swap contracts ("total return swaps")
At April 30, 2021, the Fund had outstanding total return swaps as follows:
Over-the-counter total return swaps—Long(a)
| Counterparty | | Reference
Entity | | Notional
Amount | | Maturity
Date | | Variable-
Rate(c) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Unrealized
Appreciation/
(Depreciation) | | Accrued
Net
Interest
Receivable/
(Payable) | | Value | |
| GSI | | Bloomberg
Commodity
Index | | USD | 57,108 |
| | 7/12/2021 | |
| 0.09 | %(d) | |
| — | % | | N/A | | T/T | | $ | 5,821 |
| | $ | (14 | ) | | $ | 5,807 |
| |
| JPM | | iShares
Russell 1000
Value ETF | | USD | 57,663 |
| | 7/7/2021 | |
| 0.19 | % | |
| 0.08 | % | | 1
USD LIBORM | | T/1M | |
| 6,696 |
| |
| (5 | ) | |
| 6,691 |
| |
| GSI | | Vaneck
Vectors
Semiconductor
ETF | | USD | 52,974 |
| | 7/12/2021 | |
| 0.11 | % | |
| — | % | | 1
USD LIBORM | | T/1M | |
| 1,740 |
| |
| (3 | ) | |
| 1,737 |
| |
Total | | | | | | | | | | | | | | | | $ | 14,257 | | | $ | (22 | ) | | $ | 14,235 | | |
Over-the-counter total return swaps—Short(b)
| Counterparty | | Reference
Entity | | Notional
Amount | | Maturity
Date | | Variable-
Rate(c) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Unrealized
Appreciation/
(Depreciation) | | Accrued
Net
Interest
Receivable/
(Payable) | | Value | |
| GSI | | Invesco QQQ
Trust
Series 1 | | USD | (56,782 | ) | | 7/12/2021 | |
| 0.16 | % | |
| 0.05 | % | | 1
USD LIBORM | | 1M/T | | $ | (4,152 | ) | | $ | 4 |
| | $ | (4,148 | ) | |
| JPM | | iShares
Russell 1000
Growth
ETF | | USD | (55,325 | ) | | 7/7/2021 | |
| 0.09 | % | |
| (0.02 | )% | | 1
USD LIBORM | | 1M/T | |
| (4,025 | ) | |
| 2 |
| |
| (4,023 | ) | |
Total | | | | | | | | | | | | | | | | $ | (8,177 | ) | | $ | 6 | | | $ | (8,171 | ) | |
(a) The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity.
(b) The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity.
(c) Effective rate at April 30, 2021.
(d) Fixed Financing cost.
See Notes to Financial Statements
42
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
For the six months period ended April 30, 2021, the average notional value for the months where the Fund had total return basket swaps and total return swaps outstanding was $237,048 for long positions and $(199,549) for short positions.
Purchased option contracts ("options purchased")
At April 30, 2021, the Fund had outstanding options purchased as follows:
| Description | | Notional
Amount | | Exercise
Price | | Expiration
Date | | Value | |
Put | |
| Foreign Exchange JPY vs. AUD(a) | | AUD | 163,000 | | | JPY | 82.5 | | | 6/16/2021 | | $ | 719 | | |
Call | |
| Foreign Exchange USD vs. EUR(a) | | EUR | 803,240 | | | $ | 1.25 | | | 7/19/2021 | | $ | 1,193 | | |
Total options purchased (cost $3,768) | | | | | | | | $ | 1,912 | | |
(a) Over-the-counter option. Counterparty is GSI.
Written option contracts ("options written")
At April 30, 2021, the Fund had outstanding options written as follows:
Description | | Number of
Contracts | | Notional
Amount | | Exercise
Price | | Expiration
Date | | Value | |
Put | |
| SPDR S&P 500 ETF Trust(a) | | | 3 | | | $ | (125,190 | ) | | $ | 385 | | | 9/17/2021 | | $ | (3,005 | ) | |
Call | |
| SPDR S&P 500 ETF Trust(a) | | | 3 | | | $ | (125,190 | ) | | $ | 430 | | | 9/17/2021 | | $ | (2,853 | ) | |
| Foreign Exchange JPY vs. AUD(a) | | | N/A | | | AUD | (163,000 | ) | | JPY | 86 | | | 6/16/2021 | | | (575 | ) | |
Total Calls | | | | | | | | | | $ | (3,428 | ) | |
Total options written (premium received $7,345) | | | | | | | | | | $ | (6,433 | ) | |
(a) Over-the-counter option. Counterparty is GSI.
For the six months ended April 30, 2021, average market value for the months where the Fund had options purchased and options written outstanding was $5,016 and $(16,312), respectively.
See Notes to Financial Statements
43
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2021:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3(c) | | Total | |
Investments: | |
Common Stocks | |
Denmark | | $ | — | | | $ | 57,474 | | | $ | — | | | $ | 57,474 | | |
| Other Common Stocks(a) | | | 6,323,634 | | | | — | | | | — | | | | 6,323,634 | | |
Total Common Stocks | | | 6,323,634 | | | | 57,474 | | | | — | | | | 6,381,108 | | |
U.S. Treasury Obligations | | | — | | | | 630,017 | | | | — | | | | 630,017 | | |
U.S. Government Agency Securities | | | — | | | | 174,524 | | | | — | | | | 174,524 | | |
| Corporate Bonds(a) | | | — | | | | 1,120,678 | | | | — | | | | 1,120,678 | | |
Exchange-Traded Funds | | | 1,864,935 | | | | — | | | | — | | | | 1,864,935 | | |
Short-Term Investments | | | — | | | | 325,983 | | | | — | | | | 325,983 | | |
| Options Purchased(b)(d) | | | — | | | | 1,912 | | | | — | | | | 1,912 | | |
Total Investments | | $ | 8,188,569 | | | $ | 2,310,588 | | | $ | — | | | $ | 10,499,157 | | |
(a) The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary.
(b) The "Purchased option contracts" table under Derivative Instruments provides information on the industry or sector categorization for the portfolio.
(c) The reconciliation between beginning and ending balances of investments in which unobservable inputs (Level 3) were used is not presented as all values rounded to less than $1,000.
(d) At the beginning of the year, these investments were valued in accordance with procedures approved by the Board of Trustees. The Fund held no Level 3 investments in options purchased at April 30, 2021.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2021:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3(b) | | Total | |
| Futures(a) | | | |
Assets | | $ | 26,033 | | | $ | — | | | $ | — | | | $ | 26,033 | | |
Liabilities | | | (48 | ) | | | — | | | | — | | | | (48 | ) | |
| Forward FX Contracts(a) | | | |
Liabilities | | | — | | | | (1,094 | ) | | | — | | | | (1,094 | ) | |
Swaps | | | |
Assets | | | — | | | | 22,373 | | | | — | | | | 22,373 | | |
Liabilities | | | — | | | | (8,570 | ) | | | — | | | | (8,570 | ) | |
Options Written | |
Liabilities | | | — | | | | (6,433 | ) | | | — | | | | (6,433 | ) | |
Total | | $ | 25,985 | | | $ | 6,276 | | | $ | — | | | $ | 32,261 | | |
(a) Futures and forward FX contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
See Notes to Financial Statements
44
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
(b) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
(000's omitted) | | Beginning
balance, as
of 11/1/2020 | | Accrued
discounts/
(premiums) | | Realized
gain/(loss) | | Change
in unrealized
appreciation/
(depreciation) | | Purchases/
Closing
of options | | Sales/
Writing
of options | | Transfers
into
Level 3 | | Transfers
out of
Level 3 | | Balance,
as of
4/30/2021 | | Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
4/30/2021 | |
Other Financial Instruments | |
| Options Written(c) | | $ | (14 | ) | | $ | — | | | $ | 10 | | | $ | 4 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
Total | | $ | (14 | ) | | $ | — | | | $ | 10 | | | $ | 4 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
(c) At the beginning of the year, these investments were valued in accordance with the procedures approved by the Board of Trustees. The Fund held no Level 3 derivative investments at April 30, 2021.
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
45
Schedule of Investments Long Short Fund^ (Unaudited) April 30, 2021
NUMBER OF SHARES | | | | VALUE | |
Long Positions 96.4% | | | |
Common Stocks 81.1% | | | |
Aerospace & Defense 1.1% | | | |
| 137,300 |
| | Kratos Defense & Security
Solutions, Inc. | | $ | 3,671,402 | * | |
| | 231,100 | | | L3Harris Technologies, Inc. | | | 48,353,053 | | |
| | | | 52,024,455 | | |
Air Freight & Logistics 0.5% | | | |
| | 77,500 | | | FedEx Corp. | | | 22,499,025 | | |
Banks 2.3% | | | |
| | 855,000 | | | Citigroup, Inc. | | | 60,910,200 | | |
| | 327,100 | | | JPMorgan Chase & Co. | | | 50,311,251 | | |
| | | | 111,221,451 | | |
Beverages 1.6% | | | |
| | 2,189,200 | | | Keurig Dr Pepper, Inc. | | | 78,482,820 | | |
Capital Markets 5.0% | | | |
| 100,000 |
| | Apollo Global
Management, Inc. | |
| 5,537,000 |
| |
| | 29,000 | | | BlackRock, Inc. | | | 23,759,700 | (a) | |
| | 750,400 | | | Blackstone Group, Inc. | | | 66,402,896 | | |
| 1,124,100 |
| | Brookfield Asset
Management, Inc. Class A | |
| 51,236,478 |
| |
| | 298,500 | | | CME Group, Inc. | | | 60,294,015 | (a) | |
| 380,000 |
| | Tradeweb Markets, Inc.
Class A | |
| 30,886,400 |
| |
| | | | 238,116,489 | | |
Chemicals 2.9% | | | |
| 208,100 |
| | Air Products &
Chemicals, Inc. | |
| 60,032,688 |
| |
| 931,000 |
| | Ashland Global
Holdings, Inc. | |
| 80,261,510 |
| |
| | | | 140,294,198 | | |
Commercial Services & Supplies 1.9% | | | |
| | 2,158,660 | | | LegalZoom.com, Inc. | | | 23,385,627 | *(b)(c)(p) | |
| | 503,100 | | | Waste Management, Inc. | | | 69,412,707 | | |
| | | | 92,798,334 | | |
Containers & Packaging 0.5% | | | |
| | 122,500 | | | Avery Dennison Corp. | | | 26,235,825 | | |
Distributors 0.2% | | | |
| | 160,400 | | | LKQ Corp. | | | 7,492,284 | * | |
Diversified Consumer Services 0.1% | | | |
| | 550,000 | | | OneSpaWorld Holdings Ltd. | | | 5,860,250 | * | |
Diversified Financial Services 0.2% | | | |
| | 215,000 | | | Equitable Holdings, Inc. | | | 7,359,450 | | |
Diversified Telecommunication Services 0.2% | | | |
| 303,019 |
| | Frontier Communications
Parent, Inc. | |
| 8,166,362 | *(b) | |
NUMBER OF SHARES | | | | VALUE | |
Electric Utilities 1.9% | | | |
| | 1,146,000 | | | NextEra Energy, Inc. | | $ | 88,826,460 | | |
Electrical Equipment 0.7% | | | |
| | 1,059,800 | | | nVent Electric PLC | | | 32,270,910 | | |
Electronic Equipment, Instruments & Components 2.5% | | | |
| | 357,800 | | | Amphenol Corp. Class A | | | 24,094,252 | | |
| | 253,400 | | | CDW Corp. | | | 45,188,822 | | |
| | 364,000 | | | TE Connectivity Ltd. | | | 48,947,080 | | |
| | | | 118,230,154 | | |
Entertainment 2.0% | | | |
| | 571,900 | | | Activision Blizzard, Inc. | | | 52,151,561 | (a) | |
| | 122,100 | | | Spotify Technology SA | | | 30,783,852 | * | |
| | 67,000 | | | Walt Disney Co. | | | 12,463,340 | * | |
| | | | 95,398,753 | | |
Equity Real Estate Investment Trusts 0.6% | | | |
| | 96,300 | | | SBA Communications Corp. | | | 28,863,036 | | |
Food & Staples Retailing 1.2% | | | |
| | 40,100 | | | Costco Wholesale Corp. | | | 14,920,809 | | |
| | 293,700 | | | Walmart, Inc. | | | 41,091,567 | | |
| | | | 56,012,376 | | |
Food Products 2.8% | | | |
| | 592,800 | | | Lamb Weston Holdings, Inc. | | | 47,720,400 | | |
| 660,000 |
| | Mondelez International,
Inc. Class A | |
| 40,134,600 |
| |
| | 764,493 | | | Utz Brands, Inc. | | | 22,399,645 | | |
| | 576,200 | | | Whole Earth Brands, Inc. | | | 7,778,700 | * | |
| | 1,000,000 | | | Whole Earth Brands, Inc. | | | 13,350,000 | *(b)(o)(p) | |
| | | | 131,383,345 | | |
Health Care Equipment & Supplies 2.2% | | | |
| | 212,800 | | | Baxter International, Inc. | | | 18,234,832 | | |
| | 110,475 | | | Becton, Dickinson & Co. | | | 27,487,285 | | |
| | 452,300 | | | Medtronic PLC | | | 59,215,116 | | |
| | | | 104,937,233 | | |
Health Care Providers & Services 2.7% | | | |
| | 130,100 | | | Humana, Inc. | | | 57,925,724 | | |
| | 173,200 | | | UnitedHealth Group, Inc. | | | 69,072,160 | (d) | |
| | | | 126,997,884 | | |
Hotels, Restaurants & Leisure 3.6% | | | |
| | 292,400 | | | Expedia Group, Inc. | | | 51,529,652 | | |
| 196,000 |
| | Marriott International, Inc.
Class A | |
| 29,109,920 | * | |
| | 389,900 | | | McDonald's Corp. | | | 92,047,592 | | |
| | | | 172,687,164 | | |
Household Products 0.5% | | | |
| | 175,900 | | | Procter & Gamble Co. | | | 23,468,578 | | |
Industrial Conglomerates 0.6% | | | |
| | 133,600 | | | Honeywell International, Inc. | | | 29,798,144 | | |
See Notes to Financial Statements
46
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Interactive Media & Services 3.7% | | | |
| | 47,200 | | | Alphabet, Inc. Class A | | $ | 111,085,200 | * | |
| | 203,100 | | | Facebook, Inc. Class A | | | 66,023,748 | *(a) | |
| | | | 177,108,948 | | |
Internet & Direct Marketing Retail 2.5% | | | |
| | 34,300 | | | Amazon.com, Inc. | | | 118,932,506 | * | |
IT Services 5.0% | | | |
| 480,112 |
| | Druva, Inc. Ser. 5
Preference Shares | |
| 4,499,994 | *(b)(c)(p) | |
| 658,071 |
| | Druva, Inc. Ser.4
Preference Shares | |
| 6,167,968 | *(b)(c)(p) | |
| 399,600 |
| | Fidelity National Information
Services, Inc. | |
| 61,098,840 |
| |
| | 1,759,300 | | | Paya Holdings, Inc. Class A | | | 19,633,788 | * | |
| | 56,800 | | | PayPal Holdings, Inc. | | | 14,898,072 | * | |
| | 993,155 | | | Repay Holdings Corp. | | | 22,693,592 | * | |
| | 198,700 | | | Visa, Inc. Class A | | | 46,408,372 | (a) | |
| | 317,801 | | | WEX, Inc. | | | 65,215,943 | * | |
| | | | 240,616,569 | | |
Life Sciences Tools & Services 0.7% | | | |
| | 74,800 | | | Thermo Fisher Scientific, Inc. | | | 35,173,204 | | |
Machinery 1.0% | | | |
| | 43,100 | | | Caterpillar, Inc. | | | 9,831,541 | | |
| | 773,026 | | | Gates Industrial Corp. PLC | | | 13,334,699 | * | |
| | 72,000 | | | Parker-Hannifin Corp. | | | 22,594,320 | | |
| | | | 45,760,560 | | |
Multi-Utilities 1.8% | | | |
| | 1,295,700 | | | CenterPoint Energy, Inc. | | | 31,731,693 | (a) | |
| | 556,500 | | | WEC Energy Group, Inc. | | | 54,075,105 | | |
| | | | 85,806,798 | | |
Multiline Retail 0.5% | | | |
| | 193,700 | | | Dollar Tree, Inc. | | | 22,256,130 | * | |
Oil, Gas & Consumable Fuels 1.0% | | | |
| | 1,158,700 | | | Enbridge, Inc. | | | 44,691,059 | | |
| 329 |
| | Venture Global LNG, Inc.
Ser. C | |
| 1,612,100 | *(b)(c)(p) | |
| | | | 46,303,159 | | |
Pharmaceuticals 0.6% | | | |
| | 180,300 | | | Johnson & Johnson | | | 29,340,219 | | |
Professional Services 4.7% | | | |
| 2,584,217 |
| | Dun & Bradstreet
Holdings, Inc. | |
| 61,400,996 | * | |
| | 331,100 | | | Equifax, Inc. | | | 75,898,053 | | |
| | 793,800 | | | IHS Markit Ltd. | | | 85,397,004 | (a) | |
| | | | 222,696,053 | | |
Road & Rail 1.6% | | | |
| | 269,500 | | | Uber Technologies, Inc. | | | 14,760,515 | * | |
| | 287,400 | | | Union Pacific Corp. | | | 63,828,666 | | |
| | | | 78,589,181 | | |
NUMBER OF SHARES | | | | VALUE | |
Semiconductors & Semiconductor Equipment 0.6% | | | |
| | 34,100 | | | ASML Holding NV | | $ | 22,100,210 | | |
| 189,935 |
| | Magnachip Semiconductor
Corp. | |
| 4,750,274 | * | |
| | | | 26,850,484 | | |
Software 12.8% | | | |
| | 181,700 | | | Adobe, Inc. | | | 92,365,378 | * | |
| | 1,178,400 | | | Anaplan, Inc. | | | 70,291,560 | * | |
| | 68,149 | | | AvidXchange, Inc. | | | 5,051,953 | *(b)(c)(p) | |
| | 429,950 | | | DoubleVerify Holdings, Inc. | | | 13,414,440 | *(b)(p) | |
| | 286,905 | | | DoubleVerify Holdings, Inc. | | | 10,101,925 | * | |
| 1,537,410 |
| | Duck Creek Technologies,
Inc. | |
| 63,925,508 | * | |
| | 403,000 | | | Microsoft Corp. | | | 101,628,540 | | |
| | 36,500 | | | Privia Health Group, Inc. | | | 1,325,680 | * | |
| | 383,200 | | | salesforce.com, Inc. | | | 88,258,624 | * | |
| | 133,200 | | | ServiceNow, Inc. | | | 67,448,484 | * | |
| | 372,400 | | | Splunk, Inc. | | | 47,078,808 | * | |
| | 195,400 | | | Workday, Inc. Class A | | | 48,263,800 | *(a) | |
| | | | 609,154,700 | | |
Specialty Retail 3.9% | | | |
| | 200,800 | | | Asbury Automotive Group,
Inc. | |
| 39,880,888
| * | |
| | 249,100 | | | Home Depot, Inc. | | | 80,626,197 | (a) | |
| | 22,600 | | | O'Reilly Automotive, Inc. | | | 12,495,088 | *(a) | |
| | 773,200 | | | TJX Cos., Inc. | | | 54,897,200 | | |
| | | | 187,899,373 | | |
Technology Hardware, Storage & Peripherals 1.7% | | | |
| | 616,600 | | | Apple, Inc. | | | 81,058,236 | | |
Textiles, Apparel & Luxury Goods 1.1% | | | |
| | 252,900 | | | NIKE, Inc. Class B | | | 33,539,598 | | |
| | 261,100 | | | Tapestry, Inc. | | | 12,493,635 | | |
| | 326,300 | | | Under Armour, Inc. Class A | | | 7,932,353 | * | |
| | | | 53,965,586 | | |
Trading Companies & Distributors 0.1% | | | |
| | 154,300 | | | Univar Solutions, Inc. | | | 3,602,905 | * | |
Total Common Stocks
(Cost $2,669,064,708) | |
| 3,864,539,591
|
| |
Common Stock Units 0.2% | | | |
Holding Companies—Diversified 0.2% | | | |
| | 1,082,400 | | | Independence
Holdings Corp.
(Cost $10,824,000) | |
| 10,845,648
| * | |
Preferred Stocks 2.8% | | | |
Food Products 0.1% | | | |
| | 626,667 | | | Sweetgreen, Inc. Ser. D | | | 5,640,003 | *(b)(c)(p) | |
| | 59,031 | | | Sweetgreen, Inc. Ser. I | | | 1,009,430 | *(b)(c)(p) | |
| | 51,075 | | | Sweetgreen, Inc. Ser. J | | | 873,383 | *(b)(c)(p) | |
| | | | 7,522,816 | | |
See Notes to Financial Statements
47
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Software 1.2% | | | |
| | 272,596 | | | AvidXchange, Inc. Ser. F | | $ | 20,207,814 | *(b)(c)(p) | |
| | 1,000 | | | Pride Parent, Inc. Ser. A | | | 35,000,000 | *(b)(c)(p) | |
| | | | 55,207,814 | | |
Specialty Retail 1.5% | | | |
| | 2,076,345 | | | Fanatics, Inc. Ser. E | | | 72,402,150 | *(b)(c)(p) | |
| | 52,193 | | | Fanatics, Inc. Ser. F | | | 1,819,970 | *(b)(c)(p) | |
| | | | 74,222,120 | | |
Total Preferred Stocks
(Cost $95,483,267) | |
| 136,952,750
|
| |
NUMBER OF SHARES | | | | VALUE | |
Convertible Preferred Stocks 0.3% | |
Multi-Utilities 0.3% | |
| 118,300 |
| | Sempra Energy,
Ser. B 6.75%
(Cost $11,984,877) | | $ |
| 12,414,402 | |
PRINCIPAL AMOUNT | | | | | |
| Loan Assignments(e) 0.7% | | | |
Data Centers 0.2% | | | |
$ | 7,683,177 | | | Colorado Buyer, Inc., Term Loan B, (3M USD LIBOR + 3.00%), 4.00%, due 5/1/2024 | | | 7,469,508 | | |
Leisure Goods—Activities—Movies 0.5% | | | |
| | 25,000,000 | | | OneSpaWorld, LLC, Second Lien Term Loan,
(3M USD LIBOR + 7.50%), 7.68%, due 3/18/2027 | |
| 25,500,000
| (b)(c)(p) | |
| | | | | Total Loan Assignments (Cost $31,540,278) | | | 32,969,508 | | |
Corporate Bonds 3.3% | | | |
Commercial Services 0.5% | | | |
| | 23,530,000 | | | APX Group, Inc., 7.63%, due 9/1/2023 | | | 24,147,662 | (f) | |
Electric 0.1% | | | |
| | 3,716,000 | | | Wisconsin Energy Corp., (3M USD LIBOR + 2.11%), 2.31%, due 5/15/2067 | | | 3,390,973 | (e) | |
| Entertainment 0.0%(g) | | | |
| | 910,000 | | | Cinemark USA, Inc., 5.88%, due 3/15/2026 | | | 942,988 | (h) | |
Gas 0.3% | | | |
| | 12,105,000 | | | Rockpoint Gas Storage Canada Ltd., 7.00%, due 3/31/2023 | | | 12,256,312 | (h) | |
Internet 0.2% | | | |
| | | | | Uber Technologies, Inc. | | | | | |
| | 1,850,000 | | | 7.50%, due 9/15/2027 | | | 2,040,124 | (h) | |
| | 5,555,000 | | | 6.25%, due 1/15/2028 | | | 6,035,008 | (h) | |
| | | | 8,075,132 | | |
See Notes to Financial Statements
48
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Miscellaneous Manufacturer 0.9% | | | |
| | | | | Anagram International, Inc./Anagram Holdings LLC | | | | | |
$ | 23,064,878 | | | 10.00% Cash & 5.00% PIK, due 8/15/2025 | | $ | 25,832,664 | (h)(i) | |
| | 15,365,358 | | | 5.00% Cash & 5.00% PIK, due 8/15/2026 | | | 15,288,531 | (h)(i) | |
| | | | 41,121,195 | | |
| Pipelines 0.0%(g) | | | |
| | 1,730,000 | | | Enterprise Products Operating LLC, (3M USD LIBOR + 2.78%), 2.97%, due 6/1/2067 | | | 1,531,223 | (e) | |
Retail 0.5% | | | |
| | 27,199,035 | | | Party City Holdings, Inc., (6M USD LIBOR + 5.00%, Floor 5.75%), 5.75%, due 7/15/2025 | | | 24,819,119 | (e)(h) | |
Specialty Retail 0.6% | | | |
| | 27,200,000 | | | Petsmart, Inc./Petsmart Finance Corp., 7.75%, due 2/15/2029 | | | 29,470,384 | (h) | |
| Telecommunications 0.0%(g) | | | |
| | | | | Frontier Communications Corp. | | | | | |
| | 929,887 | | | 5.88%, due 11/1/2029 | | | 939,186 | (b) | |
Theaters & Entertainment 0.2% | | | |
| | 9,235,000 | | | Live Nation Entertainment, Inc., 4.75%, due 10/15/2027 | | | 9,318,648 | (h) | |
| | | | | Total Corporate Bonds (Cost $114,564,812) | | | 156,012,822 | | |
Convertible Bonds 0.2% | | | |
Health Care Providers & Services 0.1% | | | |
| | 5,915,000 | | | Oak Street Health, Inc., 0.00%, due 3/15/2026 | | | 6,147,903 | (h) | |
Internet 0.1% | | | |
| | 1,835,000 | | | Uber Technologies, Inc., 0.00%, due 12/15/2025 | | | 1,924,965 | (h) | |
| | | | | Total Convertible Bonds (Cost $7,750,000) | | | 8,072,868 | | |
NUMBER OF UNITS | | | | VALUE | |
Master Limited Partnerships and Limited Partnerships 2.1% | | | |
Multi-Utilities 0.8% | | | |
| 755,300 |
| | Brookfield Infrastructure
Partners L.P. | | $ | 40,612,481 |
| |
Oil, Gas & Consumable Fuels 1.3% | | | |
| 2,602,100 |
| | Enterprise Products
Partners L.P. | |
| 59,874,321 |
| |
| Professional Services 0.0%(g) | | | |
| | 2,584,217 | | | CC DNB Holdings, L.P. | | | — | *(c)(o)(p) | |
Total Master Limited Partnerships
and Limited Partnerships
(Cost $79,567,482) | |
| 100,486,802 |
| |
NUMBER OF SHARES | | | | VALUE | |
Warrants 0.1% | |
Diversified Consumer Services 0.1% | |
| 52,600 |
| | OneSpaWorld Holdings
Ltd. Expires 3/19/2024 | | $ | 187,782 | * | |
| 653,334 |
| | OneSpaWorld Holdings
Ltd. Expires 6/12/2025 | |
| 3,756,670 | *(b)(o) | |
| | | | 3,944,452 | | |
See Notes to Financial Statements
49
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
| Food Products 0.0%(g) | | | |
| | 301,400 | | | Whole Earth Brands, Inc.
Expires 6/25/2025 | | $ | 632,939
| * | |
| | 701,800 | | | Whole Earth Brands, Inc.
Expires 6/25/2025 | |
| 1,459,744
| *(b)(o)(p) | |
| | 1 | | | Sweetgreen, Inc. Ser. J
Expires 1/21/2026 | |
| —
| *(b)(c)(o)(p) | |
| | | | 2,092,683 | | |
Total Warrants
(Cost $433,414) | |
| 6,037,135
|
| |
Total Purchased Options(j) 0.2%
(Cost $9,333,858) | |
| 10,961,851 |
| |
Short-Term Investments 5.4% | | | |
Investment Companies 5.4% | | | |
| | 257,418,597 | | | State Street Institutional
U.S. Government Money
Market Fund Premier
Class, 0.03%(k) | |
| 257,418,597
| (d) | |
| | 506,680 | | | State Street Navigator
Securities Lending
Government Money
Market Portfolio, 0.02%(k) | |
| 506,680
| (l) | |
Total Short-Term Investments
(Cost $257,925,277) | |
| 257,925,277 |
| |
Total Long Positions (96.4%)
(Cost $3,288,471,973) | |
| 4,597,218,654 |
| |
| Short Positions ((9.4)%)(m) | | | |
Common Stocks Sold Short (7.2)% | | | |
Aerospace & Defense (0.2)% | | | |
| | (28,000 | ) | | Northrop Grumman Corp. | | | (9,924,320 | ) | |
Auto Components (0.1)% | | | |
| | (85,000 | ) | | QuantumScape Corp. | | | (3,105,900 | )* | |
Automobiles (0.4)% | | | |
| | (97,100 | ) | | NIO, Inc. ADR | | | (3,868,464 | )* | |
| | (15,700 | ) | | Tesla, Inc. | | | (11,138,208 | )* | |
| | (100,000 | ) | | XPeng, Inc. ADR | | | (2,991,000 | )* | |
| | | | (17,997,672 | ) | |
Biotechnology (0.1)% | | | |
| | (28,800 | ) | | Exact Sciences Corp. | | | (3,796,416 | )* | |
| | (73,600 | ) | | Invitae Corp. | | | (2,568,640 | )* | |
| | | | (6,365,056 | ) | |
Building Products (0.1)% | | | |
| | (35,700 | ) | | Allegion PLC | | | (4,797,366 | ) | |
Capital Markets (0.3)% | | | |
| | (498,300 | ) | | Franklin Resources, Inc. | | | (14,949,000 | ) | |
Electric Utilities (0.2)% | | | |
| | (143,900 | ) | | Southern Co. | | | (9,521,863 | ) | |
NUMBER OF SHARES | | | | VALUE | |
Equity Real Estate Investment Trusts (0.3)% | | | |
| | (349,900 | ) | | Iron Mountain, Inc. | | $ | (14,037,988 | ) | |
| | (700 | ) | | Weyerhaeuser Co. | | | (27,139 | ) | |
| | | | (14,065,127 | ) | |
Food & Staples Retailing (0.6)% | | | |
| | (665,600 | ) | | Kroger Co. | | | (24,321,024 | ) | |
| | (200,000 | ) | | Sprouts Farmers Market, Inc. | | | (5,122,000 | )* | |
| | | | (29,443,024 | ) | |
Food Products (0.4)% | | | |
| | (350,000 | ) | | Campbell Soup Co. | | | (16,712,500 | ) | |
Hotels, Restaurants & Leisure (0.9)% | | | |
| | (56,000 | ) | | Domino's Pizza, Inc. | | | (23,651,040 | ) | |
| | (110,000 | ) | | Shake Shack, Inc. Class A | | | (11,962,500 | )* | |
| | (50,000 | ) | | Texas Roadhouse, Inc. | | | (5,351,000 | ) | |
| | | | (40,964,540 | ) | |
Household Products (0.2)% | | | |
| | (113,100 | ) | | Church & Dwight Co., Inc. | | | (9,697,194 | ) | |
Internet & Direct Marketing Retail (0.1)% | | | |
| | (48,000 | ) | | DoorDash, Inc. | | | (6,872,160 | )* | |
IT Services (0.7)% | | | |
| | (92,000 | ) | | Automatic Data
Processing, Inc. | |
| (17,203,080
| ) | |
| | (668,000 | ) | | Western Union Co. | | | (17,207,680 | ) | |
| | | | (34,410,760 | ) | |
Multi-Utilities (0.5)% | | | |
| | (300,000 | ) | | Consolidated Edison, Inc. | | | (23,223,000 | ) | |
Software (1.3)% | | | |
| | (70,000 | ) | | fuboTV, Inc. | | | (1,411,200 | )* | |
| | (122,000 | ) | | Guidewire Software, Inc. | | | (12,872,220 | )* | |
| | (18,500 | ) | | Paycom Software, Inc. | | | (7,111,585 | )* | |
| | (136,200 | ) | | Sailpoint Technologies
Holdings, Inc. | |
| (6,650,646
| )* | |
| | (180,000 | ) | | SAP SE ADR | | | (25,189,200 | ) | |
| (27,500 | ) | | Zoom Video
Communications, Inc.
Class A | |
| (8,788,175 | )* | |
| | | | (62,023,026 | ) | |
Specialty Retail (0.8)% | | | |
| | (80,300 | ) | | Carvana Co. | | | (22,906,378 | )* | |
| | (32,000 | ) | | GameStop Corp. | | | (5,554,880 | )* | |
| | (233,600 | ) | | Sally Beauty Holdings, Inc. | | | (4,688,352 | )* | |
| | (37,800 | ) | | Williams-Sonoma, Inc. | | | (6,454,350 | ) | |
| | | | (39,603,960 | ) | |
Total Common Stocks Sold Short
(Proceeds $(315,366,967)) | |
| (343,676,468
| ) | |
See Notes to Financial Statements
50
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Corporate Bonds Sold Short (1.0)% | | | |
Computers (0.1)% | | | |
$ | (5,000,000 | ) | | Banff Merger Sub, Inc., 9.75%, due 9/1/2026 | | $ | (5,331,250 | )(h) | |
Lodging (0.1)% | | | |
| | (7,000,000 | ) | | Boyd Gaming Corp., 4.75%, due 12/1/2027 | | | (7,194,460 | ) | |
Media (0.6)% | | | |
| | (5,000,000 | ) | | Clear Channel Worldwide Holdings, Inc., 5.13%, due 8/15/2027 | | | (5,090,000 | )(h) | |
| | (5,000,000 | ) | | Entercom Media Corp., 6.50%, due 5/1/2027 | | | (5,152,750 | )(h) | |
| | (10,000,000 | ) | | iHeartCommunications, Inc., 8.38%, due 5/1/2027 | | | (10,755,000 | ) | |
| | (6,000,000 | ) | | Univision Communications, Inc., 5.13%, due 2/15/2025 | | | (6,120,960 | )(h) | |
| | | | (27,118,710 | ) | |
Retail (0.2)% | | | |
| | (10,000,000 | ) | | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/1/2025 | | | (10,337,000 | ) | |
| | | | | Total Corporate Bonds Sold Short (Proceeds $(46,867,691)) | | | (49,981,420 | ) | |
NUMBER OF SHARES | | | | | |
Exchange-Traded Funds Sold Short (1.2)% | | | |
| | (178,300 | ) | | iShares iBoxx $ Investment Grade Corporate Bond ETF | | | (23,384,045 | ) | |
| | (353,500 | ) | | SPDR S&P Retail ETF | | | (32,811,870 | ) | |
| | | | | Total Exchange-Traded Funds Sold Short (Proceeds $(52,566,649)) | | | (56,195,915 | ) | |
| | | | | Total Short Positions (Proceeds $(414,801,307)) | | | (449,853,803 | ) | |
| | | | | Total Investments 87.0% (Cost $2,873,670,666) | | | 4,147,364,851 | | |
| | | | | Other Assets Less Liabilities 13.0% | | | 617,549,507 | (n) | |
| | | | | Net Assets 100.0% | | $ | 4,764,914,358 | | |
* Non-income producing security.
(a) All or a portion of the security is pledged as collateral for options written.
(b) Security fair valued as of April 30, 2021 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2021 amounted to $244,256,794, which represents 5.1% of net assets of the Fund.
(c) Value determined using significant unobservable inputs.
(d) All or a portion of this security is segregated in connection with obligations for unfunded subscription agreements, securities sold short, options written, swaps and/or futures with a total value of $326,490,757.
(e) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2021 and changes periodically.
(f) The security or a portion of this security is on loan at April 30, 2021. Total value of all such securities at April 30, 2021 amounted to $496,521 for the Fund (see Note A of the Notes to Financial Statements).
See Notes to Financial Statements
51
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
(g) Represents less than 0.05% of net assets of the Fund.
(h) Securities were purchased or sold short under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2021, these securities amounted to $134,076,646 of long positions and $(21,694,960) of short positions, which represents 2.8% and (0.5)%, respectively, of net assets of the Fund.
(i) Payment-in-kind (PIK) security.
(j) See "Purchased option contracts" under Derivative Instruments.
(k) Represents 7-day effective yield as of April 30, 2021.
(l) Represents investment of cash collateral received from securities lending.
(m) At April 30, 2021, the Fund had $522,223,537 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(n) Includes the impact of the Fund's open positions in derivatives at April 30, 2021.
(o) Security acquired via a PIPE transaction.
(p) These securities have been deemed by the investment manager to be illiquid, and are subject to restrictions on resale. At April 30, 2021, these securities amounted to $231,394,576, which represents 4.9% of net assets of the Fund.
Restricted Security | | Acquisition
Date(s) | | Acquisition
Cost | | Acquisition
Cost
Percentage
of Net Assets
as of Acquisition
Date | | Value as of
4/30/2021 | | Fair Value
Percentage
of Net Assets
as of
4/30/2021 | |
AvidXchange, Inc. | | 4/7/2020 | | $ | 3,340,119 | | | | 0.1 | % | | $ | 5,051,953 | | | | 0.1 | % | |
AvidXchange, Inc. | | 4/7/2020 | | | 13,360,475 | | | | 0.5 | % | | | 20,207,814 | | | | 0.4 | % | |
(Ser. F Preferred Shares) | | | | | | | | | | | | | | | | | | | | | |
CC DNB Holdings, L.P. | | 7/6/2020 | | | — | | | | 0.0 | % | | | — | | | | 0.0 | % | |
DoubleVerify Holdings, Inc. | | 11/18/2020 | | | 7,399,998 | | | | 0.2 | % | | | 13,414,440 | | | | 0.3 | % | |
Druva, Inc. (Ser. 4 Preference Shares) | | 6/14/2019 | | | 3,429,998 | | | | 0.1 | % | | | 6,167,968 | | | | 0.1 | % | |
Druva, Inc. (Ser. 5 Preference Shares) | | 4/1/2021 | | | 4,500,000 | | | | 0.1 | % | | | 4,499,994 | | | | 0.1 | % | |
Fanatics, Inc. (Ser. E Preferred Shares) | | 8/13/2020 | | | 35,900,005 | | | | 1.0 | % | | | 72,402,150 | | | | 1.5 | % | |
Fanatics, Inc. (Ser. F Preferred Shares) | | 4/29/2021 | | | 1,819,970 | | | | 0.0 | % | | | 1,819,970 | | | | 0.1 | % | |
LegalZoom.com, Inc. | | 8/22/2018 | | | 21,259,563 | | | | 0.6 | % | | | 23,385,627 | | | | 0.5 | % | |
OneSpaWorld, LLC, | | 3/19/2019 | | | 24,562,500 | | | | 0.9 | % | | | 25,500,000 | | | | 0.6 | % | |
Second Lien Term Loan | | | | | | | | | | | | | | | | | | | | | |
Pride Parent, Inc. | | 1/19/2021 | | | 35,000,000 | | | | 0.8 | % | | | 35,000,000 | | | | 0.8 | % | |
(Ser. A Preferred Shares) | | | | | | | | | | | | | | | | | | | | | |
Sweetgreen, Inc. | | 11/30/2018 | | | 7,520,004 | | | | 0.3 | % | | | 5,640,003 | | | | 0.1 | % | |
(Ser. D Preferred Shares) | | | | | | | | | | | | | | | | | | | | | |
Sweetgreen, Inc. | | 9/13/2019 | | | 1,009,430 | | | | 0.0 | % | | | 1,009,430 | | | | 0.0 | % | |
(Ser. I Preferred Shares) | | | | | | | | | | | | | | | | | | | | | |
Sweetgreen, Inc. | | 1/21/2021 | | | 873,383 | | | | 0.0 | % | | | 873,383 | | | | 0.0 | % | |
(Ser. J Preferred Shares) | | | | | | | | | | | | | | | | | | | | | |
Sweetgreen, Inc. (Ser. J Warrants) | | 1/21/2021 | | | — | | | | 0.0 | % | | | — | | | | 0.0 | % | |
Venture Global LNG, Inc. Ser. C | | 11/21/2018 | | | 2,303,000 | | | | 0.1 | % | | | 1,612,100 | | | | 0.0 | % | |
Whole Earth Brands, Inc. | | 6/25/2020 | | | 10,000,000 | | | | 0.3 | % | | | 13,350,000 | | | | 0.3 | % | |
Whole Earth Brands, Inc. Warrants | | 6/25/2020 | | | — | | | | 0.0 | % | | | 1,459,744 | | | | 0.0 | % | |
Total | | | | $ | 172,278,445 | | | | 5.0 | % | | $ | 231,394,576 | | | | 4.9 | % | |
See Notes to Financial Statements
52
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2021, open positions in futures for the Fund were as follows:
Short Futures:
Expiration
Date | | Number of
Contracts | | Open Contracts | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
6/2021 | | | 418 | | | NASDAQ 100 E-Mini Index | | $ | (115,786,000 | ) | | $ | (8,596,518 | ) | |
6/2021 | | | 564 | | | Russell 2000 E-Mini Index | | | (63,774,300 | ) | | | 250,016 | | |
6/2021 | | | 2,723 | | | S&P 500 E-Mini Index | | | (568,344,560 | ) | | | (35,022,343 | ) | |
6/2021 | | | 158 | | | U.S. Treasury Long Bond | | | (24,845,500 | ) | | | 153,202 | | |
Total Futures | | | | | | $ | (772,750,360 | ) | | $ | (43,215,643 | ) | |
At April 30, 2021, the Fund had $89,229,142 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2021, the average notional value for the months where the Fund had futures outstanding was $(676,832,848) for short positions.
Total return basket swap contracts ("total return basket swaps")
At April 30, 2021, the Fund had outstanding total return basket swaps(a) as follows:
Over-the-counter total return basket swaps—Short(b)
Counterparty | | Reference Entity | | Effective
Variable
Rate(c) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Maturity
Date(s) | | Value | |
GSI | | GSCBNBVL | | | 0.09 | % | | | (0.09 | )% | | 3M USD LIBOR | | 3M/T | | 8/12/2022 | | $ | (8,748,831 | ) | |
JPM | | JPNBGCND | | | (0.47 | )% | | | (0.65 | )% | | 3M USD LIBOR | | 3M/T | | 10/29/2021 | | | (21,901,844 | ) | |
JPM | | JPNBLQGS | | | 0.14 | % | | | 0.03 | % | | 1M USD LIBOR | | 1M/T | | 7/19/2021 | | | (6,603,633 | ) | |
JPM | | JPNBLQGS | | | 0.14 | % | | | 0.03 | % | | 1M USD LIBOR | | 1M/T | | 7/19/2021 | | | (10,218,098 | ) | |
JPM | | JPNBLQGS | | | 0.14 | % | | | 0.03 | % | | 1M USD LIBOR | | 1M/T | | 7/19/2021 | | | (6,180,300 | ) | |
JPM | | JPNBLQGS | | | 0.14 | % | | | 0.03 | % | | 1M USD LIBOR | | 1M/T | | 7/19/2021 | | | (12,358,787 | ) | |
JPM | | JPNBLQGS | | | 0.14 | % | | | 0.03 | % | | 1M USD LIBOR | | 1M/T | | 7/19/2021 | | | (11,749,378 | ) | |
JPM | | JPNBLQGS | | | 0.14 | % | | | 0.03 | % | | 1M USD LIBOR | | 1M/T | | 7/19/2021 | | | (11,145,215 | ) | |
JPM | | JPNBRMV3 | | | 0.17 | % | | | (0.01 | )% | | 3M USD LIBOR | | 3M/T | | 5/6/2022 | | | (34,026,702 | ) | |
Total | | | | | | | | | | | | | | $ | (122,932,788 | ) | |
See Notes to Financial Statements
53
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
(a) The following table represents required component disclosures associated with the total return basket swaps:
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBVL | |
Freeport-McMoRan Inc. | | | (17,475 | ) | | $ | (2,051,190 | ) | | $ | (252,317 | ) | | | 2.9 | % | |
L Brands Inc. | | | (7,467 | ) | | | (1,531,587 | ) | | | (188,401 | ) | | | 2.2 | % | |
| SVB Financial Group | | | (854 | ) | | | (1,520,784 | ) | | | (187,072 | ) | | | 2.1 | % | |
United Rentals Inc. | | | (1,474 | ) | | | (1,468,105 | ) | | | (180,592 | ) | | | 2.1 | % | |
Albemarle Corp. | | | (2,426 | ) | | | (1,269,944 | ) | | | (156,216 | ) | | | 1.8 | % | |
Skyworks Solutions Inc. | | | (2,198 | ) | | | (1,240,599 | ) | | | (152,606 | ) | | | 1.7 | % | |
Lennar Corp. | | | (3,406 | ) | | | (1,098,368 | ) | | | (135,110 | ) | | | 1.5 | % | |
Seagate Technology PLC | | | (3,796 | ) | | | (1,096,999 | ) | | | (134,942 | ) | | | 1.5 | % | |
Fortune Brands Home & Security Inc. | | | (3,285 | ) | | | (1,073,577 | ) | | | (132,061 | ) | | | 1.5 | % | |
Affiliated Managers Group Inc. | | | (2,129 | ) | | | (1,067,850 | ) | | | (131,356 | ) | | | 1.5 | % | |
Ameriprise Financial Inc. | | | (1,292 | ) | | | (1,039,463 | ) | | | (127,865 | ) | | | 1.5 | % | |
DaVita Inc. | | | (2,854 | ) | | | (1,035,238 | ) | | | (127,345 | ) | | | 1.5 | % | |
First Republic Bank/CA | | | (1,805 | ) | | | (1,029,326 | ) | | | (126,618 | ) | | | 1.4 | % | |
Parker-Hannifin Corp. | | | (1,036 | ) | | | (1,012,149 | ) | | | (124,505 | ) | | | 1.4 | % | |
Gap Inc./The | | | (9,566 | ) | | | (985,522 | ) | | | (121,229 | ) | | | 1.4 | % | |
LKQ Corp. | | | (6,697 | ) | | | (973,620 | ) | | | (119,765 | ) | | | 1.4 | % | |
AES Corp./The | | | (10,942 | ) | | | (947,525 | ) | | | (116,555 | ) | | | 1.3 | % | |
Capri Holdings Ltd. | | | (5,497 | ) | | | (942,381 | ) | | | (115,922 | ) | | | 1.3 | % | |
Mohawk Industries Inc. | | | (1,459 | ) | | | (933,432 | ) | | | (114,822 | ) | | | 1.3 | % | |
Tapestry Inc. | | | (6,221 | ) | | | (926,492 | ) | | | (113,968 | ) | | | 1.3 | % | |
Whirlpool Corp. | | | (1,248 | ) | | | (918,325 | ) | | | (112,963 | ) | | | 1.3 | % | |
Aptiv PLC | | | (2,039 | ) | | | (913,389 | ) | | | (112,356 | ) | | | 1.3 | % | |
Eastman Chemical Co. | | | (2,529 | ) | | | (908,176 | ) | | | (111,715 | ) | | | 1.3 | % | |
Newell Brands Inc. | | | (10,755 | ) | | | (902,563 | ) | | | (111,025 | ) | | | 1.3 | % | |
Invesco Ltd. | | | (10,408 | ) | | | (874,735 | ) | | | (107,601 | ) | | | 1.2 | % | |
Westrock Co. | | | (4,965 | ) | | | (861,499 | ) | | | (105,973 | ) | | | 1.2 | % | |
WW Grainger Inc. | | | (635 | ) | | | (856,388 | ) | | | (105,344 | ) | | | 1.2 | % | |
Laboratory Corp of America Holdings | | | (1,033 | ) | | | (854,790 | ) | | | (105,148 | ) | | | 1.2 | % | |
Nucor Corp. | | | (3,337 | ) | | | (854,349 | ) | | | (105,094 | ) | | | 1.2 | % | |
State Street Corp. | | | (3,218 | ) | | | (840,808 | ) | | | (103,428 | ) | | | 1.2 | % | |
Kroger Co./The | | | (7,306 | ) | | | (830,996 | ) | | | (102,221 | ) | | | 1.2 | % | |
Mosaic Co./The | | | (7,539 | ) | | | (825,584 | ) | | | (101,555 | ) | | | 1.2 | % | |
Cimarex Energy Co. | | | (3,960 | ) | | | (815,934 | ) | | | (100,368 | ) | | | 1.1 | % | |
Fifth Third Bancorp | | | (6,371 | ) | | | (803,930 | ) | | | (98,892 | ) | | | 1.1 | % | |
Interpublic Group of Cos Inc./The | | | (8,037 | ) | | | (794,251 | ) | | | (97,701 | ) | | | 1.1 | % | |
Regions Financial Corp. | | | (11,613 | ) | | | (788,019 | ) | | | (96,934 | ) | | | 1.1 | % | |
Packaging Corp of America | | | (1,684 | ) | | | (773,958 | ) | | | (95,205 | ) | | | 1.1 | % | |
International Paper Co. | | | (4,275 | ) | | | (771,853 | ) | | | (94,946 | ) | | | 1.1 | % | |
Foot Locker Inc. | | | (4,163 | ) | | | (764,263 | ) | | | (94,012 | ) | | | 1.1 | % | |
Ralph Lauren Corp. | | | (1,818 | ) | | | (754,224 | ) | | | (92,777 | ) | | | 1.1 | % | |
See Notes to Financial Statements
54
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBVL (cont'd) | |
Hanesbrands Inc. | | | (11,306 | ) | | $ | (741,119 | ) | | $ | (91,165 | ) | | | 1.0 | % | |
Citizens Financial Group Inc. | | | (5,115 | ) | | | (736,825 | ) | | | (90,637 | ) | | | 1.0 | % | |
eBay Inc. | | | (4,226 | ) | | | (733,833 | ) | | | (90,269 | ) | | | 1.0 | % | |
LyondellBasell Industries NV | | | (2,259 | ) | | | (729,499 | ) | | | (89,736 | ) | | | 1.0 | % | |
Textron Inc. | | | (3,642 | ) | | | (728,329 | ) | | | (89,592 | ) | | | 1.0 | % | |
Cardinal Health Inc. | | | (3,842 | ) | | | (721,670 | ) | | | (88,773 | ) | | | 1.0 | % | |
Dow Inc. | | | (3,652 | ) | | | (710,530 | ) | | | (87,402 | ) | | | 1.0 | % | |
McKesson Corp. | | | (1,215 | ) | | | (709,149 | ) | | | (87,233 | ) | | | 1.0 | % | |
Zions Bancorp NA | | | (4,070 | ) | | | (706,982 | ) | | | (86,966 | ) | | | 1.0 | % | |
KeyCorp. | | | (10,344 | ) | | | (700,606 | ) | | | (86,182 | ) | | | 1.0 | % | |
Iron Mountain Inc. | | | (5,571 | ) | | | (695,713 | ) | | | (85,580 | ) | | | 1.0 | % | |
Quest Diagnostics Inc. | | | (1,691 | ) | | | (694,008 | ) | | | (85,370 | ) | | | 1.0 | % | |
Other Securities | | | (237,915 | ) | | | (22,627,194 | ) | | | (2,783,379 | ) | | | 31.8 | % | |
| | | | | $ | (71,187,642 | ) | | $ | (8,756,809 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 7,978 | | | | |
| | | | | | | $ | (8,748,831 | ) | | | |
JPNBGCND | |
Amazon.com Inc. | | | (4,225 | ) | | $ | (14,556,681 | ) | | $ | (5,206,339 | ) | | | 23.8 | % | |
Home Depot Inc./The | | | (9,245 | ) | | | (2,973,510 | ) | | | (1,063,505 | ) | | | 4.9 | % | |
LVMH Moet Hennessy Louis Vuitton SE | | | (3,031 | ) | | | (2,268,654 | ) | | | (811,406 | ) | | | 3.7 | % | |
Toyota Motor Corp. | | | (26,608 | ) | | | (1,966,051 | ) | | | (703,177 | ) | | | 3.2 | % | |
McDonald's Corp. | | | (8,066 | ) | | | (1,892,381 | ) | | | (676,829 | ) | | | 3.1 | % | |
NIKE Inc. | | | (13,862 | ) | | | (1,826,951 | ) | | | (653,427 | ) | | | 3.0 | % | |
Lowe's Cos Inc. | | | (8,821 | ) | | | (1,720,301 | ) | | | (615,282 | ) | | | 2.8 | % | |
Starbucks Corp. | | | (13,970 | ) | | | (1,589,394 | ) | | | (568,462 | ) | | | 2.6 | % | |
Sony Group Corp. | | | (14,303 | ) | | | (1,417,501 | ) | | | (506,983 | ) | | | 2.3 | % | |
Booking Holdings Inc. | | | (518 | ) | | | (1,270,000 | ) | | | (454,228 | ) | | | 2.1 | % | |
Target Corp. | | | (5,773 | ) | | | (1,189,109 | ) | | | (425,297 | ) | | | 1.9 | % | |
Daimler AG | | | (12,289 | ) | | | (1,087,663 | ) | | | (389,013 | ) | | | 1.8 | % | |
TJX Cos Inc./The | | | (14,497 | ) | | | (1,022,883 | ) | | | (365,844 | ) | | | 1.7 | % | |
General Motors Co. | | | (15,886 | ) | | | (903,329 | ) | | | (323,084 | ) | | | 1.5 | % | |
Kering SA | | | (947 | ) | | | (754,443 | ) | | | (269,834 | ) | | | 1.2 | % | |
Cie Financiere Richemont SA | | | (6,714 | ) | | | (684,411 | ) | | | (244,786 | ) | | | 1.1 | % | |
Volkswagen AG | | | (2,559 | ) | | | (662,811 | ) | | | (237,061 | ) | | | 1.1 | % | |
eBay Inc. | | | (11,885 | ) | | | (658,911 | ) | | | (235,666 | ) | | | 1.1 | % | |
Ross Stores Inc. | | | (4,940 | ) | | | (642,850 | ) | | | (229,922 | ) | | | 1.1 | % | |
Aptiv PLC | | | (4,474 | ) | | | (639,706 | ) | | | (228,797 | ) | | | 1.0 | % | |
adidas AG | | | (2,076 | ) | | | (637,449 | ) | | | (227,990 | ) | | | 1.0 | % | |
Dollar General Corp. | | | (2,934 | ) | | | (626,047 | ) | | | (223,912 | ) | | | 1.0 | % | |
Chipotle Mexican Grill Inc. | | | (412 | ) | | | (610,793 | ) | | | (218,456 | ) | | | 1.0 | % | |
Hermes International | | | (484 | ) | | | (603,374 | ) | | | (215,803 | ) | | | 1.0 | % | |
Honda Motor Co Ltd. | | | (19,978 | ) | | | (587,063 | ) | | | (209,969 | ) | | | 1.0 | % | |
See Notes to Financial Statements
55
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBGCND (cont'd) | |
Fast Retailing Co Ltd. | | | (707 | ) | | $ | (576,720 | ) | | $ | (206,270 | ) | | | 0.9 | % | |
Compass Group PLC | | | (26,209 | ) | | | (566,433 | ) | | | (202,590 | ) | | | 0.9 | % | |
O'Reilly Automotive Inc. | | | (1,025 | ) | | | (562,950 | ) | | | (201,345 | ) | | | 0.9 | % | |
DR Horton Inc. | | | (5,712 | ) | | | (557,918 | ) | | | (199,545 | ) | | | 0.9 | % | |
Ford Motor Co. | | | (48,327 | ) | | | (554,210 | ) | | | (198,218 | ) | | | 0.9 | % | |
AutoZone Inc. | | | (357 | ) | | | (519,745 | ) | | | (185,892 | ) | | | 0.8 | % | |
Magna International Inc. | | | (5,461 | ) | | | (512,744 | ) | | | (183,388 | ) | | | 0.8 | % | |
Yum! Brands Inc. | | | (4,250 | ) | | | (504,759 | ) | | | (180,532 | ) | | | 0.8 | % | |
Industria de Diseno Textil SA | | | (14,211 | ) | | | (503,096 | ) | | | (179,937 | ) | | | 0.8 | % | |
Bayerische Motoren Werke AG | | | (5,026 | ) | | | (501,001 | ) | | | (179,188 | ) | | | 0.8 | % | |
Hilton Worldwide Holdings Inc. | | | (3,890 | ) | | | (497,528 | ) | | | (177,946 | ) | | | 0.8 | % | |
Marriott International Inc./MD | | | (3,352 | ) | | | (494,748 | ) | | | (176,952 | ) | | | 0.8 | % | |
Lennar Corp. | | | (4,790 | ) | | | (493,147 | ) | | | (176,379 | ) | | | 0.8 | % | |
Michelin | | | (3,126 | ) | | | (449,694 | ) | | | (160,837 | ) | | | 0.7 | % | |
Oriental Land Co Ltd./Japan | | | (3,195 | ) | | | (449,549 | ) | | | (160,786 | ) | | | 0.7 | % | |
Denso Corp. | | | (6,797 | ) | | | (436,265 | ) | | | (156,034 | ) | | | 0.7 | % | |
Panasonic Corp. | | | (34,281 | ) | | | (401,756 | ) | | | (143,692 | ) | | | 0.7 | % | |
Best Buy Co Inc. | | | (3,435 | ) | | | (396,879 | ) | | | (141,948 | ) | | | 0.6 | % | |
CarMax Inc. | | | (2,833 | ) | | | (375,047 | ) | | | (134,139 | ) | | | 0.6 | % | |
VF Corp. | | | (4,297 | ) | | | (374,323 | ) | | | (133,880 | ) | | | 0.6 | % | |
Toyota Industries Corp. | | | (4,683 | ) | | | (372,569 | ) | | | (133,253 | ) | | | 0.6 | % | |
Bandai Namco Holdings Inc. | | | (4,925 | ) | | | (359,394 | ) | | | (128,541 | ) | | | 0.6 | % | |
Persimmon PLC | | | (8,191 | ) | | | (352,596 | ) | | | (126,109 | ) | | | 0.6 | % | |
Expedia Group Inc. | | | (1,857 | ) | | | (325,269 | ) | | | (116,336 | ) | | | 0.5 | % | |
Dollar Tree Inc. | | | (2,831 | ) | | | (323,250 | ) | | | (115,614 | ) | | | 0.5 | % | |
Other Securities | | | (294,135 | ) | | | (6,957,046 | ) | | | (2,488,255 | ) | | | 11.7 | % | |
| | | | | $ | (61,210,902 | ) | | $ | (21,892,678 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (9,166 | ) | | | |
| | | | | | | $ | (21,901,844 | ) | | | |
JPNBLQGS | |
Freeport-McMoRan Inc. | | | (15,653 | ) | | $ | (666,716 | ) | | $ | (173,260 | ) | | | 2.6 | % | |
NVIDIA Corp. | | | (808 | ) | | | (547,945 | ) | | | (142,395 | ) | | | 2.2 | % | |
Quanta Services Inc. | | | (4,914 | ) | | | (536,418 | ) | | | (139,399 | ) | | | 2.1 | % | |
Applied Materials Inc. | | | (3,182 | ) | | | (476,986 | ) | | | (123,955 | ) | | | 1.9 | % | |
Align Technology Inc. | | | (706 | ) | | | (474,680 | ) | | | (123,355 | ) | | | 1.9 | % | |
Lam Research Corp. | | | (657 | ) | | | (460,728 | ) | | | (119,730 | ) | | | 1.8 | % | |
IDEXX Laboratories Inc. | | | (694 | ) | | | (430,204 | ) | | | (111,797 | ) | | | 1.7 | % | |
Old Dominion Freight Line Inc. | | | (1,444 | ) | | | (420,391 | ) | | | (109,247 | ) | | | 1.7 | % | |
FedEx Corp. | | | (1,261 | ) | | | (413,409 | ) | | | (107,433 | ) | | | 1.6 | % | |
DR Horton Inc. | | | (3,632 | ) | | | (403,222 | ) | | | (104,786 | ) | | | 1.6 | % | |
ABIOMED Inc. | | | (1,109 | ) | | | (401,600 | ) | | | (104,364 | ) | | | 1.6 | % | |
MSCI Inc. | | | (725 | ) | | | (398,001 | ) | | | (103,429 | ) | | | 1.6 | % | |
KLA Corp. | | | (1,112 | ) | | | (396,021 | ) | | | (102,914 | ) | | | 1.6 | % | |
See Notes to Financial Statements
56
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
Fortinet Inc. | | | (1,689 | ) | | $ | (389,612 | ) | | $ | (101,249 | ) | | | 1.5 | % | |
Chipotle Mexican Grill Inc. | | | (231 | ) | | | (389,517 | ) | | | (101,224 | ) | | | 1.5 | % | |
Tapestry Inc. | | | (6,972 | ) | | | (376,811 | ) | | | (97,922 | ) | | | 1.5 | % | |
Synopsys Inc. | | | (1,344 | ) | | | (374,971 | ) | | | (97,444 | ) | | | 1.5 | % | |
Advanced Micro Devices Inc. | | | (4,042 | ) | | | (372,578 | ) | | | (96,822 | ) | | | 1.5 | % | |
Lennar Corp. | | | (3,183 | ) | | | (372,477 | ) | | | (96,796 | ) | | | 1.5 | % | |
Twitter Inc. | | | (5,883 | ) | | | (366,932 | ) | | | (95,355 | ) | | | 1.4 | % | |
Centene Corp. | | | (5,095 | ) | | | (355,287 | ) | | | (92,329 | ) | | | 1.4 | % | |
Nucor Corp. | | | (3,770 | ) | | | (350,302 | ) | | | (91,033 | ) | | | 1.4 | % | |
First Republic Bank/CA | | | (1,689 | ) | | | (349,628 | ) | | | (90,858 | ) | | | 1.4 | % | |
Autodesk Inc. | | | (1,045 | ) | | | (344,513 | ) | | | (89,529 | ) | | | 1.4 | % | |
Netflix Inc. | | | (594 | ) | | | (344,501 | ) | | | (89,526 | ) | | | 1.4 | % | |
IPG Photonics Corp. | | | (1,387 | ) | | | (340,126 | ) | | | (88,389 | ) | | | 1.3 | % | |
Micron Technology Inc. | | | (3,487 | ) | | | (339,011 | ) | | | (88,099 | ) | | | 1.3 | % | |
Broadcom Inc. | | | (655 | ) | | | (337,547 | ) | | | (87,718 | ) | | | 1.3 | % | |
IQVIA Holdings Inc. | | | (1,250 | ) | | | (331,236 | ) | | | (86,078 | ) | | | 1.3 | % | |
Estee Lauder Cos Inc./The | | | (923 | ) | | | (327,117 | ) | | | (85,008 | ) | | | 1.3 | % | |
Arista Networks Inc. | | | (917 | ) | | | (326,583 | ) | | | (84,869 | ) | | | 1.3 | % | |
JB Hunt Transport Services Inc. | | | (1,680 | ) | | | (323,843 | ) | | | (84,157 | ) | | | 1.3 | % | |
PulteGroup Inc. | | | (4,828 | ) | | | (322,406 | ) | | | (83,784 | ) | | | 1.3 | % | |
CBRE Group Inc. | | | (3,308 | ) | | | (318,364 | ) | | | (82,733 | ) | | | 1.3 | % | |
Fastenal Co. | | | (5,391 | ) | | | (318,345 | ) | | | (82,728 | ) | | | 1.3 | % | |
Keysight Technologies Inc. | | | (1,946 | ) | | | (317,256 | ) | | | (82,446 | ) | | | 1.2 | % | |
Texas Instruments Inc. | | | (1,545 | ) | | | (315,073 | ) | | | (81,878 | ) | | | 1.2 | % | |
Microchip Technology Inc. | | | (1,848 | ) | | | (313,768 | ) | | | (81,539 | ) | | | 1.2 | % | |
Robert Half International Inc. | | | (3,169 | ) | | | (313,548 | ) | | | (81,482 | ) | | | 1.2 | % | |
Take-Two Interactive Software Inc. | | | (1,576 | ) | | | (312,163 | ) | | | (81,122 | ) | | | 1.2 | % | |
T Rowe Price Group Inc. | | | (1,524 | ) | | | (308,380 | ) | | | (80,139 | ) | | | 1.2 | % | |
Dollar General Corp. | | | (1,271 | ) | | | (308,264 | ) | | | (80,109 | ) | | | 1.2 | % | |
Expeditors International of Washington Inc. | | | (2,473 | ) | | | (306,848 | ) | | | (79,741 | ) | | | 1.2 | % | |
LKQ Corp. | | | (5,789 | ) | | | (305,426 | ) | | | (79,371 | ) | | | 1.2 | % | |
AmerisourceBergen Corp. | | | (2,199 | ) | | | (300,071 | ) | | | (77,980 | ) | | | 1.2 | % | |
MarketAxess Holdings Inc. | | | (544 | ) | | | (299,919 | ) | | | (77,940 | ) | | | 1.2 | % | |
Darden Restaurants Inc. | | | (1,780 | ) | | | (294,958 | ) | | | (76,651 | ) | | | 1.2 | % | |
NVR Inc. | | | (52 | ) | | | (294,549 | ) | | | (76,545 | ) | | | 1.2 | % | |
Analog Devices Inc. | | | (1,688 | ) | | | (292,087 | ) | | | (75,905 | ) | | | 1.1 | % | |
Copart Inc. | | | (2,069 | ) | | | (290,992 | ) | | | (75,620 | ) | | | 1.1 | % | |
Electronic Arts Inc. | | | (1,808 | ) | | | (290,123 | ) | | | (75,394 | ) | | | 1.1 | % | |
O'Reilly Automotive Inc. | | | (456 | ) | | | (284,781 | ) | | | (74,006 | ) | | | 1.1 | % | |
Regeneron Pharmaceuticals Inc. | | | (522 | ) | | | (283,596 | ) | | | (73,698 | ) | | | 1.1 | % | |
Starbucks Corp. | | | (2,173 | ) | | | (280,956 | ) | | | (73,012 | ) | | | 1.1 | % | |
See Notes to Financial Statements
57
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
Broadridge Financial Solutions Inc. | | | (1,555 | ) | | $ | (278,616 | ) | | $ | (72,404 | ) | | | 1.1 | % | |
Illumina Inc. | | | (617 | ) | | | (273,804 | ) | | | (71,153 | ) | | | 1.1 | % | |
Booking Holdings Inc. | | | (98 | ) | | | (272,669 | ) | | | (70,859 | ) | | | 1.1 | % | |
Mastercard Inc. | | | (628 | ) | | | (270,996 | ) | | | (70,424 | ) | | | 1.1 | % | |
Ulta Beauty Inc. | | | (726 | ) | | | (270,126 | ) | | | (70,198 | ) | | | 1.1 | % | |
Cigna Corp. | | | (954 | ) | | | (268,179 | ) | | | (69,692 | ) | | | 1.1 | % | |
CH Robinson Worldwide Inc. | | | (2,392 | ) | | | (262,254 | ) | | | (68,152 | ) | | | 1.0 | % | |
Ross Stores Inc. | | | (1,704 | ) | | | (251,996 | ) | | | (65,486 | ) | | | 1.0 | % | |
Cardinal Health Inc. | | | (3,696 | ) | | | (251,904 | ) | | | (65,462 | ) | | | 1.0 | % | |
Global Payments Inc. | | | (1,027 | ) | | | (248,847 | ) | | | (64,668 | ) | | | 1.0 | % | |
McCormick & Co Inc./MD | | | (2,407 | ) | | | (245,633 | ) | | | (63,833 | ) | | | 1.0 | % | |
International Flavors & Fragrances Inc. | | | (1,511 | ) | | | (242,616 | ) | | | (63,049 | ) | | | 1.0 | % | |
Other Securities | | | (31,993 | ) | | | (2,868,053 | ) | | | (745,321 | ) | | | 10.9 | % | |
| | | | | $ | (25,416,479 | ) | | $ | (6,604,993 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 1,360 | | | | |
| | | | | | | $ | (6,603,633 | ) | | | |
JPNBLQGS | |
Freeport-McMoRan Inc. | | | (30,170 | ) | | $ | (1,285,012 | ) | | $ | (268,111 | ) | | | 2.6 | % | |
NVIDIA Corp. | | | (1,557 | ) | | | (1,056,095 | ) | | | (220,349 | ) | | | 2.2 | % | |
Quanta Services Inc. | | | (9,472 | ) | | | (1,033,877 | ) | | | (215,713 | ) | | | 2.1 | % | |
Applied Materials Inc. | | | (6,133 | ) | | | (919,331 | ) | | | (191,814 | ) | | | 1.9 | % | |
Align Technology Inc. | | | (1,360 | ) | | | (914,886 | ) | | | (190,886 | ) | | | 1.9 | % | |
Lam Research Corp. | | | (1,267 | ) | | | (887,994 | ) | | | (185,275 | ) | | | 1.8 | % | |
IDEXX Laboratories Inc. | | | (1,337 | ) | | | (829,163 | ) | | | (173,001 | ) | | | 1.7 | % | |
Old Dominion Freight Line Inc. | | | (2,783 | ) | | | (810,251 | ) | | | (169,055 | ) | | | 1.7 | % | |
FedEx Corp. | | | (2,430 | ) | | | (796,794 | ) | | | (166,247 | ) | | | 1.6 | % | |
DR Horton Inc. | | | (7,000 | ) | | | (777,160 | ) | | | (162,150 | ) | | | 1.6 | % | |
ABIOMED Inc. | | | (2,137 | ) | | | (774,034 | ) | | | (161,498 | ) | | | 1.6 | % | |
MSCI Inc. | | | (1,398 | ) | | | (767,097 | ) | | | (160,051 | ) | | | 1.6 | % | |
KLA Corp. | | | (2,143 | ) | | | (763,280 | ) | | | (159,255 | ) | | | 1.6 | % | |
Fortinet Inc. | | | (3,255 | ) | | | (750,928 | ) | | | (156,677 | ) | | | 1.5 | % | |
Chipotle Mexican Grill Inc. | | | (445 | ) | | | (750,745 | ) | | | (156,639 | ) | | | 1.5 | % | |
Tapestry Inc. | | | (13,438 | ) | | | (726,256 | ) | | | (151,530 | ) | | | 1.5 | % | |
Synopsys Inc. | | | (2,590 | ) | | | (722,709 | ) | | | (150,790 | ) | | | 1.5 | % | |
Advanced Micro Devices Inc. | | | (7,790 | ) | | | (718,097 | ) | | | (149,827 | ) | | | 1.5 | % | |
Lennar Corp. | | | (6,135 | ) | | | (717,902 | ) | | | (149,787 | ) | | | 1.5 | % | |
Twitter Inc. | | | (11,339 | ) | | | (707,215 | ) | | | (147,557 | ) | | | 1.4 | % | |
Centene Corp. | | | (9,820 | ) | | | (684,771 | ) | | | (142,874 | ) | | | 1.4 | % | |
Nucor Corp. | | | (7,267 | ) | | | (675,162 | ) | | | (140,869 | ) | | | 1.4 | % | |
First Republic Bank/CA | | | (3,256 | ) | | | (673,863 | ) | | | (140,598 | ) | | | 1.4 | % | |
Autodesk Inc. | | | (2,014 | ) | | | (664,006 | ) | | | (138,541 | ) | | | 1.4 | % | |
See Notes to Financial Statements
58
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
Netflix Inc. | | | (1,145 | ) | | $ | (663,982 | ) | | $ | (138,536 | ) | | | 1.4 | % | |
IPG Photonics Corp. | | | (2,673 | ) | | | (655,550 | ) | | | (136,777 | ) | | | 1.3 | % | |
Micron Technology Inc. | | | (6,721 | ) | | | (653,402 | ) | | | (136,329 | ) | | | 1.3 | % | |
Broadcom Inc. | | | (1,263 | ) | | | (650,579 | ) | | | (135,740 | ) | | | 1.3 | % | |
IQVIA Holdings Inc. | | | (2,408 | ) | | | (638,416 | ) | | | (133,202 | ) | | | 1.3 | % | |
Estee Lauder Cos Inc./The | | | (1,779 | ) | | | (630,478 | ) | | | (131,546 | ) | | | 1.3 | % | |
Arista Networks Inc. | | | (1,768 | ) | | | (629,447 | ) | | | (131,331 | ) | | | 1.3 | % | |
JB Hunt Transport Services Inc. | | | (3,237 | ) | | | (624,167 | ) | | | (130,229 | ) | | | 1.3 | % | |
PulteGroup Inc. | | | (9,306 | ) | | | (621,397 | ) | | | (129,651 | ) | | | 1.3 | % | |
CBRE Group Inc. | | | (6,376 | ) | | | (613,606 | ) | | | (128,026 | ) | | | 1.3 | % | |
Fastenal Co. | | | (10,391 | ) | | | (613,570 | ) | | | (128,018 | ) | | | 1.3 | % | |
Keysight Technologies Inc. | | | (3,750 | ) | | | (611,471 | ) | | | (127,580 | ) | | | 1.2 | % | |
Texas Instruments Inc. | | | (2,979 | ) | | | (607,264 | ) | | | (126,703 | ) | | | 1.2 | % | |
Microchip Technology Inc. | | | (3,563 | ) | | | (604,749 | ) | | | (126,178 | ) | | | 1.2 | % | |
Robert Half International Inc. | | | (6,107 | ) | | | (604,325 | ) | | | (126,089 | ) | | | 1.2 | % | |
Take-Two Interactive Software Inc. | | | (3,037 | ) | | | (601,654 | ) | | | (125,532 | ) | | | 1.2 | % | |
T Rowe Price Group Inc. | | | (2,937 | ) | | | (594,364 | ) | | | (124,011 | ) | | | 1.2 | % | |
Dollar General Corp. | | | (2,450 | ) | | | (594,140 | ) | | | (123,964 | ) | | | 1.2 | % | |
Expeditors International of Washington Inc. | | | (4,766 | ) | | | (591,411 | ) | | | (123,395 | ) | | | 1.2 | % | |
LKQ Corp. | | | (11,158 | ) | | | (588,669 | ) | | | (122,823 | ) | | | 1.2 | % | |
AmerisourceBergen Corp. | | | (4,239 | ) | | | (578,349 | ) | | | (120,669 | ) | | | 1.2 | % | |
MarketAxess Holdings Inc. | | | (1,048 | ) | | | (578,055 | ) | | | (120,608 | ) | | | 1.2 | % | |
Darden Restaurants Inc. | | | (3,431 | ) | | | (568,494 | ) | | | (118,613 | ) | | | 1.2 | % | |
NVR Inc. | | | (100 | ) | | | (567,706 | ) | | | (118,449 | ) | | | 1.2 | % | |
Analog Devices Inc. | | | (3,254 | ) | | | (562,961 | ) | | | (117,459 | ) | | | 1.1 | % | |
Copart Inc. | | | (3,988 | ) | | | (560,850 | ) | | | (117,019 | ) | | | 1.1 | % | |
Electronic Arts Inc. | | | (3,485 | ) | | | (559,175 | ) | | | (116,669 | ) | | | 1.1 | % | |
O'Reilly Automotive Inc. | | | (879 | ) | | | (548,880 | ) | | | (114,521 | ) | | | 1.1 | % | |
Regeneron Pharmaceuticals Inc. | | | (1,005 | ) | | | (546,596 | ) | | | (114,045 | ) | | | 1.1 | % | |
Starbucks Corp. | | | (4,188 | ) | | | (541,507 | ) | | | (112,983 | ) | | | 1.1 | % | |
Broadridge Financial Solutions Inc. | | | (2,997 | ) | | | (536,998 | ) | | | (112,042 | ) | | | 1.1 | % | |
Illumina Inc. | | | (1,189 | ) | | | (527,722 | ) | | | (110,106 | ) | | | 1.1 | % | |
Booking Holdings Inc. | | | (189 | ) | | | (525,535 | ) | | | (109,650 | ) | | | 1.1 | % | |
Mastercard Inc. | | | (1,210 | ) | | | (522,310 | ) | | | (108,977 | ) | | | 1.1 | % | |
Ulta Beauty Inc. | | | (1,400 | ) | | | (520,633 | ) | | | (108,627 | ) | | | 1.1 | % | |
Cigna Corp. | | | (1,838 | ) | | | (516,882 | ) | | | (107,845 | ) | | | 1.1 | % | |
CH Robinson Worldwide Inc. | | | (4,610 | ) | | | (505,461 | ) | | | (105,462 | ) | | | 1.0 | % | |
Ross Stores Inc. | | | (3,284 | ) | | | (485,691 | ) | | | (101,337 | ) | | | 1.0 | % | |
Cardinal Health Inc. | | | (7,124 | ) | | | (485,513 | ) | | | (101,300 | ) | | | 1.0 | % | |
Global Payments Inc. | | | (1,978 | ) | | | (479,622 | ) | | | (100,071 | ) | | | 1.0 | % | |
McCormick & Co Inc./MD | | | (4,639 | ) | | | (473,428 | ) | | | (98,778 | ) | | | 1.0 | % | |
See Notes to Financial Statements
59
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
International Flavors & Fragrances Inc. | | | (2,912 | ) | | $ | (467,612 | ) | | $ | (97,565 | ) | | | 1.0 | % | |
Other Securities | | | (61,663 | ) | | | (5,527,819 | ) | | | (1,153,352 | ) | | | 10.9 | % | |
| | | | | $ | (48,987,068 | ) | | $ | (10,220,901 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 2,803 | | | | |
| | | | | | | $ | (10,218,098 | ) | | | |
JPNBLQGS | |
Freeport-McMoRan Inc. | | | (12,864 | ) | | $ | (547,899 | ) | | $ | (162,147 | ) | | | 2.6 | % | |
NVIDIA Corp. | | | (664 | ) | | | (450,294 | ) | | | (133,262 | ) | | | 2.2 | % | |
Quanta Services Inc. | | | (4,039 | ) | | | (440,821 | ) | | | (130,458 | ) | | | 2.1 | % | |
Applied Materials Inc. | | | (2,615 | ) | | | (391,981 | ) | | | (116,004 | ) | | | 1.9 | % | |
Align Technology Inc. | | | (580 | ) | | | (390,086 | ) | | | (115,444 | ) | | | 1.9 | % | |
Lam Research Corp. | | | (540 | ) | | | (378,620 | ) | | | (112,050 | ) | | | 1.8 | % | |
IDEXX Laboratories Inc. | | | (570 | ) | | | (353,536 | ) | | | (104,627 | ) | | | 1.7 | % | |
Old Dominion Freight Line Inc. | | | (1,186 | ) | | | (345,472 | ) | | | (102,240 | ) | | | 1.7 | % | |
FedEx Corp. | | | (1,036 | ) | | | (339,735 | ) | | | (100,542 | ) | | | 1.6 | % | |
DR Horton Inc. | | | (2,985 | ) | | | (331,363 | ) | | | (98,065 | ) | | | 1.6 | % | |
ABIOMED Inc. | | | (911 | ) | | | (330,030 | ) | | | (97,670 | ) | | | 1.6 | % | |
MSCI Inc. | | | (596 | ) | | | (327,072 | ) | | | (96,795 | ) | | | 1.6 | % | |
KLA Corp. | | | (914 | ) | | | (325,445 | ) | | | (96,313 | ) | | | 1.6 | % | |
Fortinet Inc. | | | (1,388 | ) | | | (320,178 | ) | | | (94,755 | ) | | | 1.5 | % | |
Chipotle Mexican Grill Inc. | | | (190 | ) | | | (320,100 | ) | | | (94,732 | ) | | | 1.5 | % | |
Tapestry Inc. | | | (5,730 | ) | | | (309,659 | ) | | | (91,642 | ) | | | 1.5 | % | |
Synopsys Inc. | | | (1,104 | ) | | | (308,146 | ) | | | (91,194 | ) | | | 1.5 | % | |
Advanced Micro Devices Inc. | | | (3,321 | ) | | | (306,180 | ) | | | (90,612 | ) | | | 1.5 | % | |
Lennar Corp. | | | (2,616 | ) | | | (306,097 | ) | | | (90,587 | ) | | | 1.5 | % | |
Twitter Inc. | | | (4,835 | ) | | | (301,540 | ) | | | (89,239 | ) | | | 1.4 | % | |
Centene Corp. | | | (4,187 | ) | | | (291,971 | ) | | | (86,407 | ) | | | 1.4 | % | |
Nucor Corp. | | | (3,098 | ) | | | (287,874 | ) | | | (85,194 | ) | | | 1.4 | % | |
First Republic Bank/CA | | | (1,388 | ) | | | (287,320 | ) | | | (85,030 | ) | | | 1.4 | % | |
Autodesk Inc. | | | (859 | ) | | | (283,117 | ) | | | (83,787 | ) | | | 1.4 | % | |
Netflix Inc. | | | (488 | ) | | | (283,107 | ) | | | (83,784 | ) | | | 1.4 | % | |
IPG Photonics Corp. | | | (1,140 | ) | | | (279,511 | ) | | | (82,720 | ) | | | 1.3 | % | |
Micron Technology Inc. | | | (2,866 | ) | | | (278,595 | ) | | | (82,449 | ) | | | 1.3 | % | |
Broadcom Inc. | | | (538 | ) | | | (277,392 | ) | | | (82,092 | ) | | | 1.3 | % | |
IQVIA Holdings Inc. | | | (1,027 | ) | | | (272,206 | ) | | | (80,558 | ) | | | 1.3 | % | |
Estee Lauder Cos Inc./The | | | (758 | ) | | | (268,821 | ) | | | (79,556 | ) | | | 1.3 | % | |
Arista Networks Inc. | | | (754 | ) | | | (268,382 | ) | | | (79,426 | ) | | | 1.3 | % | |
JB Hunt Transport Services Inc. | | | (1,380 | ) | | | (266,130 | ) | | | (78,760 | ) | | | 1.3 | % | |
PulteGroup Inc. | | | (3,968 | ) | | | (264,949 | ) | | | (78,410 | ) | | | 1.3 | % | |
CBRE Group Inc. | | | (2,719 | ) | | | (261,627 | ) | | | (77,427 | ) | | | 1.3 | % | |
Fastenal Co. | | | (4,430 | ) | | | (261,612 | ) | | | (77,422 | ) | | | 1.3 | % | |
See Notes to Financial Statements
60
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
Keysight Technologies Inc. | | | (1,599 | ) | | $ | (260,717 | ) | | $ | (77,158 | ) | | | 1.2 | % | |
Texas Instruments Inc. | | | (1,270 | ) | | | (258,923 | ) | | | (76,627 | ) | | | 1.2 | % | |
Microchip Technology Inc. | | | (1,519 | ) | | | (257,851 | ) | | | (76,309 | ) | | | 1.2 | % | |
Robert Half International Inc. | | | (2,604 | ) | | | (257,670 | ) | | | (76,256 | ) | | | 1.2 | % | |
Take-Two Interactive Software Inc. | | | (1,295 | ) | | | (256,531 | ) | | | (75,919 | ) | | | 1.2 | % | |
T Rowe Price Group Inc. | | | (1,252 | ) | | | (253,423 | ) | | | (74,999 | ) | | | 1.2 | % | |
Dollar General Corp. | | | (1,044 | ) | | | (253,327 | ) | | | (74,971 | ) | | | 1.2 | % | |
Expeditors International of Washington Inc. | | | (2,032 | ) | | | (252,164 | ) | | | (74,626 | ) | | | 1.2 | % | |
LKQ Corp. | | | (4,758 | ) | | | (250,995 | ) | | | (74,280 | ) | | | 1.2 | % | |
AmerisourceBergen Corp. | | | (1,807 | ) | | | (246,594 | ) | | | (72,978 | ) | | | 1.2 | % | |
MarketAxess Holdings Inc. | | | (447 | ) | | | (246,469 | ) | | | (72,941 | ) | | | 1.2 | % | |
Darden Restaurants Inc. | | | (1,463 | ) | | | (242,393 | ) | | | (71,735 | ) | | | 1.2 | % | |
NVR Inc. | | | (43 | ) | | | (242,057 | ) | | | (71,635 | ) | | | 1.2 | % | |
Analog Devices Inc. | | | (1,388 | ) | | | (240,033 | ) | | | (71,036 | ) | | | 1.1 | % | |
Copart Inc. | | | (1,700 | ) | | | (239,134 | ) | | | (70,770 | ) | | | 1.1 | % | |
Electronic Arts Inc. | | | (1,486 | ) | | | (238,419 | ) | | | (70,559 | ) | | | 1.1 | % | |
O'Reilly Automotive Inc. | | | (375 | ) | | | (234,030 | ) | | | (69,260 | ) | | | 1.1 | % | |
Regeneron Pharmaceuticals Inc. | | | (429 | ) | | | (233,056 | ) | | | (68,971 | ) | | | 1.1 | % | |
Starbucks Corp. | | | (1,785 | ) | | | (230,886 | ) | | | (68,329 | ) | | | 1.1 | % | |
Broadridge Financial Solutions Inc. | | | (1,278 | ) | | | (228,964 | ) | | | (67,760 | ) | | | 1.1 | % | |
Illumina Inc. | | | (507 | ) | | | (225,008 | ) | | | (66,590 | ) | | | 1.1 | % | |
Booking Holdings Inc. | | | (80 | ) | | | (224,076 | ) | | | (66,314 | ) | | | 1.1 | % | |
Mastercard Inc. | | | (516 | ) | | | (222,701 | ) | | | (65,907 | ) | | | 1.1 | % | |
Ulta Beauty Inc. | | | (597 | ) | | | (221,986 | ) | | | (65,695 | ) | | | 1.1 | % | |
Cigna Corp. | | | (784 | ) | | | (220,386 | ) | | | (65,222 | ) | | | 1.1 | % | |
CH Robinson Worldwide Inc. | | | (1,966 | ) | | | (215,517 | ) | | | (63,781 | ) | | | 1.0 | % | |
Ross Stores Inc. | | | (1,400 | ) | | | (207,087 | ) | | | (61,286 | ) | | | 1.0 | % | |
Cardinal Health Inc. | | | (3,037 | ) | | | (207,011 | ) | | | (61,264 | ) | | | 1.0 | % | |
Global Payments Inc. | | | (844 | ) | | | (204,500 | ) | | | (60,520 | ) | | | 1.0 | % | |
McCormick & Co Inc./MD | | | (1,978 | ) | | | (201,859 | ) | | | (59,739 | ) | | | 1.0 | % | |
International Flavors & Fragrances Inc. | | | (1,242 | ) | | | (199,379 | ) | | | (59,005 | ) | | | 1.0 | % | |
Other Securities | | | (26,291 | ) | | | (2,356,936 | ) | | | (697,521 | ) | | | 10.9 | % | |
| | | | | $ | (20,886,950 | ) | | $ | (6,181,363 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 1,063 | | | | |
| | | | | | | $ | (6,180,300 | ) | | | |
JPNBLQGS | |
Freeport-McMoRan Inc. | | | (24,224 | ) | | $ | (1,031,734 | ) | | $ | (324,243 | ) | | | 2.6 | % | |
NVIDIA Corp. | | | (1,250 | ) | | | (847,937 | ) | | | (266,481 | ) | | | 2.2 | % | |
Quanta Services Inc. | | | (7,605 | ) | | | (830,099 | ) | | | (260,875 | ) | | | 2.1 | % | |
Applied Materials Inc. | | | (4,924 | ) | | | (738,129 | ) | | | (231,971 | ) | | | 1.9 | % | |
Align Technology Inc. | | | (1,092 | ) | | | (734,561 | ) | | | (230,850 | ) | | | 1.9 | % | |
Lam Research Corp. | | | (1,017 | ) | | | (712,969 | ) | | | (224,065 | ) | | | 1.8 | % | |
See Notes to Financial Statements
61
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
IDEXX Laboratories Inc. | | | (1,074 | ) | | $ | (665,734 | ) | | $ | (209,220 | ) | | | 1.7 | % | |
Old Dominion Freight Line Inc. | | | (2,234 | ) | | | (650,549 | ) | | | (204,448 | ) | | | 1.7 | % | |
FedEx Corp | | | (1,951 | ) | | | (639,745 | ) | | | (201,052 | ) | | | 1.6 | % | |
DR Horton Inc. | | | (5,621 | ) | | | (623,980 | ) | | | (196,098 | ) | | | 1.6 | % | |
ABIOMED Inc. | | | (1,716 | ) | | | (621,471 | ) | | | (195,309 | ) | | | 1.6 | % | |
MSCI Inc. | | | (1,123 | ) | | | (615,901 | ) | | | (193,559 | ) | | | 1.6 | % | |
KLA Corp. | | | (1,721 | ) | | | (612,837 | ) | | | (192,596 | ) | | | 1.6 | % | |
Fortinet Inc. | | | (2,614 | ) | | | (602,919 | ) | | | (189,479 | ) | | | 1.5 | % | |
Chipotle Mexican Grill Inc. | | | (358 | ) | | | (602,772 | ) | | | (189,433 | ) | | | 1.5 | % | |
Tapestry Inc. | | | (10,789 | ) | | | (583,110 | ) | | | (183,254 | ) | | | 1.5 | % | |
Synopsys Inc. | | | (2,079 | ) | | | (580,262 | ) | | | (182,359 | ) | | | 1.5 | % | |
Advanced Micro Devices Inc. | | | (6,254 | ) | | | (576,559 | ) | | | (181,195 | ) | | | 1.5 | % | |
Lennar Corp. | | | (4,926 | ) | | | (576,403 | ) | | | (181,146 | ) | | | 1.5 | % | |
Twitter Inc. | | | (9,104 | ) | | | (567,822 | ) | | | (178,449 | ) | | | 1.4 | % | |
Centene Corp. | | | (7,884 | ) | | | (549,802 | ) | | | (172,786 | ) | | | 1.4 | % | |
Nucor Corp. | | | (5,835 | ) | | | (542,087 | ) | | | (170,361 | ) | | | 1.4 | % | |
First Republic Bank/CA | | | (2,614 | ) | | | (541,044 | ) | | | (170,034 | ) | | | 1.4 | % | |
Autodesk Inc. | | | (1,617 | ) | | | (533,129 | ) | | | (167,546 | ) | | | 1.4 | % | |
Netflix Inc. | | | (919 | ) | | | (533,110 | ) | | | (167,540 | ) | | | 1.4 | % | |
IPG Photonics Corp. | | | (2,146 | ) | | | (526,340 | ) | | | (165,413 | ) | | | 1.3 | % | |
Micron Technology Inc. | | | (5,397 | ) | | | (524,615 | ) | | | (164,871 | ) | | | 1.3 | % | |
Broadcom Inc. | | | (1,014 | ) | | | (522,349 | ) | | | (164,158 | ) | | | 1.3 | % | |
IQVIA Holdings Inc. | | | (1,934 | ) | | | (512,583 | ) | | | (161,089 | ) | | | 1.3 | % | |
Estee Lauder Cos Inc./The | | | (1,428 | ) | | | (506,210 | ) | | | (159,086 | ) | | | 1.3 | % | |
Arista Networks Inc. | | | (1,420 | ) | | | (505,382 | ) | | | (158,826 | ) | | | 1.3 | % | |
JB Hunt Transport Services Inc. | | | (2,599 | ) | | | (501,143 | ) | | | (157,494 | ) | | | 1.3 | % | |
PulteGroup Inc. | | | (7,472 | ) | | | (498,918 | ) | | | (156,795 | ) | | | 1.3 | % | |
CBRE Group Inc. | | | (5,120 | ) | | | (492,663 | ) | | | (154,829 | ) | | | 1.3 | % | |
Fastenal Co. | | | (8,343 | ) | | | (492,634 | ) | | | (154,820 | ) | | | 1.3 | % | |
Keysight Technologies Inc. | | | (3,011 | ) | | | (490,949 | ) | | | (154,290 | ) | | | 1.2 | % | |
Texas Instruments Inc. | | | (2,391 | ) | | | (487,572 | ) | | | (153,229 | ) | | | 1.2 | % | |
Microchip Technology Inc. | | | (2,860 | ) | | | (485,552 | ) | | | (152,594 | ) | | | 1.2 | % | |
Robert Half International Inc. | | | (4,903 | ) | | | (485,212 | ) | | | (152,487 | ) | | | 1.2 | % | |
Take-Two Interactive Software Inc. | | | (2,439 | ) | | | (483,067 | ) | | | (151,813 | ) | | | 1.2 | % | |
T Rowe Price Group Inc. | | | (2,358 | ) | | | (477,214 | ) | | | (149,974 | ) | | | 1.2 | % | |
Dollar General Corp. | | | (1,967 | ) | | | (477,034 | ) | | | (149,917 | ) | | | 1.2 | % | |
Expeditors International of Washington Inc. | | | (3,827 | ) | | | (474,843 | ) | | | (149,229 | ) | | | 1.2 | % | |
LKQ Corp. | | | (8,959 | ) | | | (472,642 | ) | | | (148,537 | ) | | | 1.2 | % | |
AmerisourceBergen Corp. | | | (3,403 | ) | | | (464,355 | ) | | | (145,933 | ) | | | 1.2 | % | |
MarketAxess Holdings Inc. | | | (841 | ) | | | (464,120 | ) | | | (145,859 | ) | | | 1.2 | % | |
Darden Restaurants Inc. | | | (2,754 | ) | | | (456,443 | ) | | | (143,446 | ) | | | 1.2 | % | |
NVR Inc. | | | (80 | ) | | | (455,811 | ) | | | (143,247 | ) | | | 1.2 | % | |
See Notes to Financial Statements
62
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
Analog Devices Inc. | | | (2,613 | ) | | $ | (452,000 | ) | | $ | (142,050 | ) | | | 1.1 | % | |
Copart Inc. | | | (3,202 | ) | | | (450,306 | ) | | | (141,517 | ) | | | 1.1 | % | |
Electronic Arts Inc. | | | (2,798 | ) | | | (448,961 | ) | | | (141,095 | ) | | | 1.1 | % | |
O'Reilly Automotive Inc. | | | (706 | ) | | | (440,695 | ) | | | (138,497 | ) | | | 1.1 | % | |
Regeneron Pharmaceuticals Inc. | | | (807 | ) | | | (438,861 | ) | | | (137,921 | ) | | | 1.1 | % | |
Starbucks Corp. | | | (3,362 | ) | | | (434,775 | ) | | | (136,637 | ) | | | 1.1 | % | |
Broadridge Financial Solutions Inc. | | | (2,406 | ) | | | (431,155 | ) | | | (135,499 | ) | | | 1.1 | % | |
Illumina Inc. | | | (955 | ) | | | (423,707 | ) | | | (133,158 | ) | | | 1.1 | % | |
Booking Holdings Inc. | | | (151 | ) | | | (421,951 | ) | | | (132,606 | ) | | | 1.1 | % | |
Mastercard Inc. | | | (972 | ) | | | (419,362 | ) | | | (131,793 | ) | | | 1.1 | % | |
Ulta Beauty Inc. | | | (1,124 | ) | | | (418,016 | ) | | | (131,370 | ) | | | 1.1 | % | |
Cigna Corp. | | | (1,476 | ) | | | (415,004 | ) | | | (130,423 | ) | | | 1.1 | % | |
CH Robinson Worldwide Inc. | | | (3,701 | ) | | | (405,834 | ) | | | (127,541 | ) | | | 1.0 | % | |
Ross Stores Inc. | | | (2,637 | ) | | | (389,961 | ) | | | (122,553 | ) | | | 1.0 | % | |
Cardinal Health Inc. | | | (5,720 | ) | | | (389,818 | ) | | | (122,508 | ) | | | 1.0 | % | |
Global Payments Inc. | | | (1,589 | ) | | | (385,088 | ) | | | (121,021 | ) | | | 1.0 | % | |
McCormick & Co Inc./MD | | | (3,724 | ) | | | (380,114 | ) | | | (119,458 | ) | | | 1.0 | % | |
International Flavors & Fragrances Inc. | | | (2,338 | ) | | | (375,445 | ) | | | (117,991 | ) | | | 1.0 | % | |
Other Securities | | | (49,508 | ) | | | (4,438,277 | ) | | | (1,394,814 | ) | | | 10.9 | % | |
| | | | | $ | (39,331,646 | ) | | $ | (12,360,737 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 1,950 | | | | |
| | | | | | | $ | (12,358,787 | ) | | | |
JPNBLQGS | |
Freeport-McMoRan Inc. | | | (24,748 | ) | | $ | (1,054,082 | ) | | $ | (308,260 | ) | | | 2.6 | % | |
NVIDIA Corp. | | | (1,278 | ) | | | (866,304 | ) | | | (253,345 | ) | | | 2.2 | % | |
Quanta Services Inc. | | | (7,770 | ) | | | (848,079 | ) | | | (248,015 | ) | | | 2.1 | % | |
Applied Materials Inc. | | | (5,031 | ) | | | (754,117 | ) | | | (220,537 | ) | | | 1.9 | % | |
Align Technology Inc. | | | (1,116 | ) | | | (750,472 | ) | | | (219,471 | ) | | | 1.9 | % | |
Lam Research Corp. | | | (1,039 | ) | | | (728,413 | ) | | | (213,020 | ) | | | 1.8 | % | |
IDEXX Laboratories Inc. | | | (1,097 | ) | | | (680,154 | ) | | | (198,907 | ) | | | 1.7 | % | |
Old Dominion Freight Line Inc. | | | (2,283 | ) | | | (664,640 | ) | | | (194,370 | ) | | | 1.7 | % | |
FedEx Corp. | | | (1,993 | ) | | | (653,602 | ) | | | (191,142 | ) | | | 1.6 | % | |
DR Horton Inc. | | | (5,742 | ) | | | (637,496 | ) | | | (186,432 | ) | | | 1.6 | % | |
ABIOMED Inc. | | | (1,753 | ) | | | (634,933 | ) | | | (185,682 | ) | | | 1.6 | % | |
MSCI Inc. | | | (1,147 | ) | | | (629,242 | ) | | | (184,018 | ) | | | 1.6 | % | |
KLA Corp. | | | (1,758 | ) | | | (626,111 | ) | | | (183,102 | ) | | | 1.6 | % | |
Fortinet Inc. | | | (2,670 | ) | | | (615,978 | ) | | | (180,139 | ) | | | 1.5 | % | |
Chipotle Mexican Grill Inc. | | | (365 | ) | | | (615,828 | ) | | | (180,095 | ) | | | 1.5 | % | |
Tapestry Inc. | | | (11,023 | ) | | | (595,741 | ) | | | (174,221 | ) | | | 1.5 | % | |
Synopsys Inc. | | | (2,124 | ) | | | (592,831 | ) | | | (173,370 | ) | | | 1.5 | % | |
See Notes to Financial Statements
63
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
Advanced Micro Devices Inc. | | | (6,390 | ) | | $ | (589,047 | ) | | $ | (172,263 | ) | | | 1.5 | % | |
Lennar Corp. | | | (5,033 | ) | | | (588,888 | ) | | | (172,216 | ) | | | 1.5 | % | |
Twitter Inc. | | | (9,301 | ) | | | (580,121 | ) | | | (169,653 | ) | | | 1.4 | % | |
Centene Corp. | | | (8,055 | ) | | | (561,711 | ) | | | (164,269 | ) | | | 1.4 | % | |
Nucor Corp. | | | (5,961 | ) | | | (553,829 | ) | | | (161,964 | ) | | | 1.4 | % | |
First Republic Bank/CA | | | (2,671 | ) | | | (552,763 | ) | | | (161,652 | ) | | | 1.4 | % | |
Autodesk Inc. | | | (1,652 | ) | | | (544,677 | ) | | | (159,287 | ) | | | 1.4 | % | |
Netflix Inc. | | | (939 | ) | | | (544,658 | ) | | | (159,282 | ) | | | 1.4 | % | |
IPG Photonics Corp. | | | (2,193 | ) | | | (537,741 | ) | | | (157,259 | ) | | | 1.3 | % | |
Micron Technology Inc. | | | (5,513 | ) | | | (535,979 | ) | | | (156,744 | ) | | | 1.3 | % | |
Broadcom Inc. | | | (1,036 | ) | | | (533,663 | ) | | | (156,066 | ) | | | 1.3 | % | |
IQVIA Holdings Inc. | | | (1,976 | ) | | | (523,686 | ) | | | (153,149 | ) | | | 1.3 | % | |
Estee Lauder Cos Inc./The | | | (1,459 | ) | | | (517,175 | ) | | | (151,244 | ) | | | 1.3 | % | |
Arista Networks Inc. | | | (1,450 | ) | | | (516,329 | ) | | | (150,997 | ) | | | 1.3 | % | |
JB Hunt Transport Services Inc. | | | (2,655 | ) | | | (511,998 | ) | | | (149,731 | ) | | | 1.3 | % | |
PulteGroup Inc. | | | (7,634 | ) | | | (509,725 | ) | | | (149,066 | ) | | | 1.3 | % | |
CBRE Group Inc. | | | (5,231 | ) | | | (503,335 | ) | | | (147,197 | ) | | | 1.3 | % | |
Fastenal Co. | | | (8,524 | ) | | | (503,305 | ) | | | (147,188 | ) | | | 1.3 | % | |
Keysight Technologies Inc. | | | (3,076 | ) | | | (501,584 | ) | | | (146,685 | ) | | | 1.2 | % | |
Texas Instruments Inc. | | | (2,443 | ) | | | (498,133 | ) | | | (145,676 | ) | | | 1.2 | % | |
Microchip Technology Inc. | | | (2,922 | ) | | | (496,070 | ) | | | (145,072 | ) | | | 1.2 | % | |
Robert Half International Inc. | | | (5,010 | ) | | | (495,722 | ) | | | (144,971 | ) | | | 1.2 | % | |
Take-Two Interactive Software Inc. | | | (2,491 | ) | | | (493,531 | ) | | | (144,330 | ) | | | 1.2 | % | |
T Rowe Price Group Inc. | | | (2,409 | ) | | | (487,550 | ) | | | (142,581 | ) | | | 1.2 | % | |
Dollar General Corp. | | | (2,009 | ) | | | (487,367 | ) | | | (142,527 | ) | | | 1.2 | % | |
Expeditors International of Washington Inc. | | | (3,910 | ) | | | (485,128 | ) | | | (141,873 | ) | | | 1.2 | % | |
LKQ Corp. | | | (9,153 | ) | | | (482,879 | ) | | | (141,215 | ) | | | 1.2 | % | |
AmerisourceBergen Corp. | | | (3,477 | ) | | | (474,414 | ) | | | (138,739 | ) | | | 1.2 | % | |
MarketAxess Holdings Inc. | | | (859 | ) | | | (474,173 | ) | | | (138,669 | ) | | | 1.2 | % | |
Darden Restaurants Inc. | | | (2,814 | ) | | | (466,330 | ) | | | (136,375 | ) | | | 1.2 | % | |
NVR Inc. | | | (82 | ) | | | (465,684 | ) | | | (136,186 | ) | | | 1.2 | % | |
Analog Devices Inc. | | | (2,669 | ) | | | (461,791 | ) | | | (135,048 | ) | | | 1.1 | % | |
Copart Inc. | | | (3,271 | ) | | | (460,060 | ) | | | (134,542 | ) | | | 1.1 | % | |
Electronic Arts Inc. | | | (2,858 | ) | | | (458,686 | ) | | | (134,140 | ) | | | 1.1 | % | |
O'Reilly Automotive Inc. | | | (721 | ) | | | (450,240 | ) | | | (131,670 | ) | | | 1.1 | % | |
Regeneron Pharmaceuticals Inc. | | | (825 | ) | | | (448,367 | ) | | | (131,122 | ) | | | 1.1 | % | |
Starbucks Corp. | | | (3,435 | ) | | | (444,193 | ) | | | (129,901 | ) | | | 1.1 | % | |
Broadridge Financial Solutions Inc. | | | (2,459 | ) | | | (440,494 | ) | | | (128,820 | ) | | | 1.1 | % | |
Illumina Inc. | | | (976 | ) | | | (432,885 | ) | | | (126,594 | ) | | | 1.1 | % | |
Booking Holdings Inc. | | | (155 | ) | | | (431,091 | ) | | | (126,070 | ) | | | 1.1 | % | |
See Notes to Financial Statements
64
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
Mastercard Inc. | | | (993 | ) | | $ | (428,446 | ) | | $ | (125,296 | ) | | | 1.1 | % | |
Ulta Beauty Inc. | | | (1,148 | ) | | | (427,070 | ) | | | (124,894 | ) | | | 1.1 | % | |
Cigna Corp. | | | (1,508 | ) | | | (423,993 | ) | | | (123,994 | ) | | | 1.1 | % | |
CH Robinson Worldwide Inc. | | | (3,781 | ) | | | (414,624 | ) | | | (121,254 | ) | | | 1.0 | % | |
Ross Stores Inc. | | | (2,694 | ) | | | (398,407 | ) | | | (116,512 | ) | | | 1.0 | % | |
Cardinal Health Inc. | | | (5,844 | ) | | | (398,261 | ) | | | (116,469 | ) | | | 1.0 | % | |
Global Payments Inc. | | | (1,623 | ) | | | (393,429 | ) | | | (115,056 | ) | | | 1.0 | % | |
McCormick & Co Inc./MD | | | (3,805 | ) | | | (388,348 | ) | | | (113,570 | ) | | | 1.0 | % | |
International Flavors & Fragrances Inc. | | | (2,389 | ) | | | (383,578 | ) | | | (112,175 | ) | | | 1.0 | % | |
Other Securities | | | (50,581 | ) | | | (4,534,414 | ) | | | (1,326,055 | ) | | | 10.9 | % | |
| | | | | $ | (40,183,595 | ) | | $ | (11,751,434 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 2,056 | | | | |
| | | | | | | $ | (11,749,378 | ) | | | |
JPNBLQGS | |
Freeport-McMoRan Inc. | | | (15,173 | ) | | $ | (646,231 | ) | | $ | (292,364 | ) | | | 2.6 | % | |
NVIDIA Corp. | | | (783 | ) | | | (531,108 | ) | | | (240,281 | ) | | | 2.2 | % | |
Quanta Services Inc. | | | (4,763 | ) | | | (519,935 | ) | | | (235,226 | ) | | | 2.1 | % | |
Applied Materials Inc. | | | (3,084 | ) | | | (462,330 | ) | | | (209,164 | ) | | | 1.9 | % | |
Align Technology Inc. | | | (684 | ) | | | (460,095 | ) | | | (208,153 | ) | | | 1.9 | % | |
Lam Research Corp. | | | (637 | ) | | | (446,571 | ) | | | (202,035 | ) | | | 1.8 | % | |
IDEXX Laboratories Inc. | | | (672 | ) | | | (416,985 | ) | | | (188,650 | ) | | | 1.7 | % | |
Old Dominion Freight Line Inc. | | | (1,399 | ) | | | (407,474 | ) | | | (184,347 | ) | | | 1.7 | % | |
FedEx Corp. | | | (1,222 | ) | | | (400,707 | ) | | | (181,285 | ) | | | 1.6 | % | |
DR Horton Inc. | | | (3,521 | ) | | | (390,833 | ) | | | (176,818 | ) | | | 1.6 | % | |
ABIOMED Inc. | | | (1,075 | ) | | | (389,261 | ) | | | (176,107 | ) | | | 1.6 | % | |
MSCI Inc. | | | (703 | ) | | | (385,772 | ) | | | (174,528 | ) | | | 1.6 | % | |
KLA Corp. | | | (1,078 | ) | | | (383,853 | ) | | | (173,660 | ) | | | 1.6 | % | |
Fortinet Inc. | | | (1,637 | ) | | | (377,640 | ) | | | (170,850 | ) | | | 1.5 | % | |
Chipotle Mexican Grill Inc. | | | (224 | ) | | | (377,549 | ) | | | (170,808 | ) | | | 1.5 | % | |
Tapestry Inc. | | | (6,758 | ) | | | (365,233 | ) | | | (165,237 | ) | | | 1.5 | % | |
Synopsys Inc. | | | (1,302 | ) | | | (363,449 | ) | | | (164,429 | ) | | | 1.5 | % | |
Advanced Micro Devices Inc. | | | (3,917 | ) | | | (361,130 | ) | | | (163,380 | ) | | | 1.5 | % | |
Lennar Corp. | | | (3,085 | ) | | | (361,032 | ) | | | (163,336 | ) | | | 1.5 | % | |
Twitter Inc. | | | (5,702 | ) | | | (355,657 | ) | | | (160,904 | ) | | | 1.4 | % | |
Centene Corp. | | | (4,938 | ) | | | (344,370 | ) | | | (155,798 | ) | | | 1.4 | % | |
Nucor Corp. | | | (3,654 | ) | | | (339,538 | ) | | | (153,612 | ) | | | 1.4 | % | |
First Republic Bank/CA | | | (1,637 | ) | | | (338,885 | ) | | | (153,316 | ) | | | 1.4 | % | |
Autodesk Inc. | | | (1,013 | ) | | | (333,928 | ) | | | (151,073 | ) | | | 1.4 | % | |
Netflix Inc. | | | (576 | ) | | | (333,916 | ) | | | (151,068 | ) | | | 1.4 | % | |
IPG Photonics Corp. | | | (1,344 | ) | | | (329,675 | ) | | | (149,150 | ) | | | 1.3 | % | |
Micron Technology Inc. | | | (3,380 | ) | | | (328,595 | ) | | | (148,661 | ) | | | 1.3 | % | |
Broadcom Inc. | | | (635 | ) | | | (327,175 | ) | | | (148,019 | ) | | | 1.3 | % | |
See Notes to Financial Statements
65
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
IQVIA Holdings Inc. | | | (1,211 | ) | | $ | (321,058 | ) | | $ | (145,251 | ) | | | 1.3 | % | |
Estee Lauder Cos Inc./The | | | (895 | ) | | | (317,066 | ) | | | (143,445 | ) | | | 1.3 | % | |
Arista Networks Inc. | | | (889 | ) | | | (316,548 | ) | | | (143,211 | ) | | | 1.3 | % | |
JB Hunt Transport Services Inc. | | | (1,628 | ) | | | (313,893 | ) | | | (142,009 | ) | | | 1.3 | % | |
PulteGroup Inc. | | | (4,680 | ) | | | (312,499 | ) | | | (141,379 | ) | | | 1.3 | % | |
CBRE Group Inc. | | | (3,207 | ) | | | (308,582 | ) | | | (139,607 | ) | | | 1.3 | % | |
Fastenal Co. | | | (5,226 | ) | | | (308,563 | ) | | | (139,598 | ) | | | 1.3 | % | |
Keysight Technologies Inc. | | | (1,886 | ) | | | (307,508 | ) | | | (139,121 | ) | | | 1.2 | % | |
Texas Instruments Inc. | | | (1,498 | ) | | | (305,392 | ) | | | (138,164 | ) | | | 1.2 | % | |
Microchip Technology Inc. | | | (1,792 | ) | | | (304,128 | ) | | | (137,591 | ) | | | 1.2 | % | |
Robert Half International Inc. | | | (3,071 | ) | | | (303,914 | ) | | | (137,495 | ) | | | 1.2 | % | |
Take-Two Interactive Software Inc. | | | (1,527 | ) | | | (302,571 | ) | | | (136,887 | ) | | | 1.2 | % | |
T Rowe Price Group Inc. | | | (1,477 | ) | | | (298,905 | ) | | | (135,229 | ) | | | 1.2 | % | |
Dollar General Corp. | | | (1,232 | ) | | | (298,792 | ) | | | (135,178 | ) | | | 1.2 | % | |
Expeditors International of Washington Inc. | | | (2,397 | ) | | | (297,420 | ) | | | (134,557 | ) | | | 1.2 | % | |
LKQ Corp. | | | (5,611 | ) | | | (296,041 | ) | | | (133,933 | ) | | | 1.2 | % | |
AmerisourceBergen Corp. | | | (2,132 | ) | | | (290,851 | ) | | | (131,585 | ) | | | 1.2 | % | |
MarketAxess Holdings Inc. | | | (527 | ) | | | (290,703 | ) | | | (131,518 | ) | | | 1.2 | % | |
Darden Restaurants Inc. | | | (1,725 | ) | | | (285,895 | ) | | | (129,343 | ) | | | 1.2 | % | |
NVR Inc. | | | (50 | ) | | | (285,499 | ) | | | (129,163 | ) | | | 1.2 | % | |
Analog Devices Inc. | | | (1,637 | ) | | | (283,112 | ) | | | (128,084 | ) | | | 1.1 | % | |
Copart Inc. | | | (2,006 | ) | | | (282,051 | ) | | | (127,604 | ) | | | 1.1 | % | |
Electronic Arts Inc. | | | (1,752 | ) | | | (281,208 | ) | | | (127,223 | ) | | | 1.1 | % | |
O'Reilly Automotive Inc. | | | (442 | ) | | | (276,031 | ) | | | (124,880 | ) | | | 1.1 | % | |
Regeneron Pharmaceuticals Inc. | | | (506 | ) | | | (274,882 | ) | | | (124,361 | ) | | | 1.1 | % | |
Starbucks Corp. | | | (2,106 | ) | | | (272,323 | ) | | | (123,203 | ) | | | 1.1 | % | |
Broadridge Financial Solutions Inc. | | | (1,507 | ) | | | (270,056 | ) | | | (122,177 | ) | | | 1.1 | % | |
Illumina Inc. | | | (598 | ) | | | (265,391 | ) | | | (120,066 | ) | | | 1.1 | % | |
Booking Holdings Inc. | | | (95 | ) | | | (264,291 | ) | | | (119,569 | ) | | | 1.1 | % | |
Mastercard Inc. | | | (609 | ) | | | (262,669 | ) | | | (118,835 | ) | | | 1.1 | % | |
Ulta Beauty Inc. | | | (704 | ) | | | (261,826 | ) | | | (118,453 | ) | | | 1.1 | % | |
Cigna Corp. | | | (924 | ) | | | (259,939 | ) | | | (117,600 | ) | | | 1.1 | % | |
CH Robinson Worldwide Inc. | | | (2,318 | ) | | | (254,196 | ) | | | (115,002 | ) | | | 1.0 | % | |
Ross Stores Inc. | | | (1,652 | ) | | | (244,253 | ) | | | (110,504 | ) | | | 1.0 | % | |
Cardinal Health Inc. | | | (3,583 | ) | | | (244,164 | ) | | | (110,463 | ) | | | 1.0 | % | |
Global Payments Inc. | | | (995 | ) | | | (241,201 | ) | | | (109,123 | ) | | | 1.0 | % | |
McCormick & Co Inc./MD | | | (2,333 | ) | | | (238,086 | ) | | | (107,713 | ) | | | 1.0 | % | |
International Flavors & Fragrances Inc. | | | (1,464 | ) | | | (235,162 | ) | | | (106,390 | ) | | | 1.0 | % | |
Other Securities | | | (31,012 | ) | | | (2,779,929 | ) | | | (1,257,676 | ) | | | 10.9 | % | |
| | | | | $ | (24,635,525 | ) | | $ | (11,145,449 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 234 | | | | |
| | | | | | | $ | (11,145,215 | ) | | | |
See Notes to Financial Statements
66
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBRMV3 | |
Freeport-McMoRan Inc. | | | (19,730 | ) | | $ | (1,800,183 | ) | | $ | (477,954 | ) | | | 1.4 | % | |
Newmont Corp. | | | (10,613 | ) | | | (1,602,580 | ) | | | (425,490 | ) | | | 1.3 | % | |
Analog Devices Inc. | | | (4,181 | ) | | | (1,549,355 | ) | | | (411,359 | ) | | | 1.2 | % | |
Fidelity National Information Services I | | | (4,021 | ) | | | (1,487,530 | ) | | | (394,944 | ) | | | 1.2 | % | |
Agilent Technologies Inc. | | | (4,390 | ) | | | (1,419,338 | ) | | | (376,839 | ) | | | 1.1 | % | |
IQVIA Holdings Inc. | | | (2,381 | ) | | | (1,352,136 | ) | | | (358,997 | ) | | | 1.1 | % | |
Roper Technologies Inc. | | | (1,113 | ) | | | (1,201,977 | ) | | | (319,129 | ) | | | 0.9 | % | |
Zimmer Biomet Holdings Inc. | | | (2,757 | ) | | | (1,181,771 | ) | | | (313,764 | ) | | | 0.9 | % | |
Archer-Daniels-Midland Co. | | | (7,491 | ) | | | (1,144,286 | ) | | | (303,812 | ) | | | 0.9 | % | |
Corning Inc. | | | (10,593 | ) | | | (1,133,092 | ) | | | (300,840 | ) | | | 0.9 | % | |
Willis Towers Watson PLC | | | (1,767 | ) | | | (1,106,880 | ) | | | (293,880 | ) | | | 0.9 | % | |
Parker-Hannifin Corp. | | | (1,437 | ) | | | (1,091,190 | ) | | | (289,715 | ) | | | 0.9 | % | |
Synopsys Inc. | | | (1,813 | ) | | | (1,083,919 | ) | | | (287,784 | ) | | | 0.8 | % | |
Fifth Third Bancorp. | | | (10,458 | ) | | | (1,025,829 | ) | | | (272,361 | ) | | | 0.8 | % | |
Stanley Black & Decker Inc. | | | (2,050 | ) | | | (1,025,713 | ) | | | (272,330 | ) | | | 0.8 | % | |
Ball Corp. | | | (4,439 | ) | | | (1,005,636 | ) | | | (267,000 | ) | | | 0.8 | % | |
PACCAR Inc. | | | (4,536 | ) | | | (986,343 | ) | | | (261,877 | ) | | | 0.8 | % | |
First Republic Bank/CA | | | (2,206 | ) | | | (978,050 | ) | | | (259,675 | ) | | | 0.8 | % | |
Ameriprise Financial Inc. | | | (1,551 | ) | | | (969,378 | ) | | | (257,373 | ) | | | 0.8 | % | |
Kansas City Southern | | | (1,359 | ) | | | (961,145 | ) | | | (255,187 | ) | | | 0.7 | % | |
Kroger Co/The | | | (10,532 | ) | | | (931,169 | ) | | | (247,228 | ) | | | 0.7 | % | |
Williams Cos Inc/The | | | (15,786 | ) | | | (930,432 | ) | | | (247,033 | ) | | | 0.7 | % | |
Keysight Technologies Inc. | | | (2,537 | ) | | | (886,040 | ) | | | (235,247 | ) | | | 0.7 | % | |
Motorola Solutions Inc. | | | (1,921 | ) | | | (874,972 | ) | | | (232,308 | ) | | | 0.7 | % | |
Arthur J Gallagher & Co. | | | (2,439 | ) | | | (855,387 | ) | | | (227,108 | ) | | | 0.7 | % | |
Liberty Broadband Corp. | | | (2,161 | ) | | | (850,986 | ) | | | (225,940 | ) | | | 0.7 | % | |
Laboratory Corp of America Holdings | | | (1,284 | ) | | | (826,084 | ) | | | (219,328 | ) | | | 0.6 | % | |
Nucor Corp. | | | (4,104 | ) | | | (816,833 | ) | | | (216,872 | ) | | | 0.6 | % | |
AMETEK Inc. | | | (2,485 | ) | | | (811,254 | ) | | | (215,391 | ) | | | 0.6 | % | |
Cummins Inc. | | | (1,280 | ) | | | (780,487 | ) | | | (207,222 | ) | | | 0.6 | % | |
Hartford Financial Services Group Inc/Th | | | (4,780 | ) | | | (762,815 | ) | | | (202,530 | ) | | | 0.6 | % | |
Qorvo Inc. | | | (1,647 | ) | | | (749,848 | ) | | | (199,087 | ) | | | 0.6 | % | |
Dollar Tree Inc. | | | (2,670 | ) | | | (742,223 | ) | | | (197,063 | ) | | | 0.6 | % | |
Regions Financial Corp. | | | (14,001 | ) | | | (738,492 | ) | | | (196,072 | ) | | | 0.6 | % | |
Tyson Foods Inc. | | | (3,879 | ) | | | (726,937 | ) | | | (193,004 | ) | | | 0.6 | % | |
KeyCorp. | | | (13,755 | ) | | | (724,208 | ) | | | (192,280 | ) | | | 0.6 | % | |
M&T Bank Corp. | | | (1,864 | ) | | | (711,097 | ) | | | (188,799 | ) | | | 0.6 | % | |
Citizens Financial Group Inc. | | | (6,343 | ) | | | (710,328 | ) | | | (188,594 | ) | | | 0.6 | % | |
Republic Services Inc. | | | (2,726 | ) | | | (701,044 | ) | | | (186,129 | ) | | | 0.5 | % | |
Dover Corp. | | | (1,938 | ) | | | (699,733 | ) | | | (185,781 | ) | | | 0.5 | % | |
Western Digital Corp. | | | (4,044 | ) | | | (691,112 | ) | | | (183,493 | ) | | | 0.5 | % | |
International Paper Co. | | | (4,878 | ) | | | (684,583 | ) | | | (181,759 | ) | | | 0.5 | % | |
See Notes to Financial Statements
67
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBRMV3 (cont'd) | |
Ally Financial Inc. | | | (5,452 | ) | | $ | (678,666 | ) | | $ | (180,188 | ) | | | 0.5 | % | |
Yum China Holdings Inc. | | | (4,455 | ) | | | (678,301 | ) | | | (180,091 | ) | | | 0.5 | % | |
McCormick & Co Inc/MD | | | (3,081 | ) | | | (673,566 | ) | | | (178,834 | ) | | | 0.5 | % | |
Discover Financial Services | | | (2,428 | ) | | | (669,684 | ) | | | (177,803 | ) | | | 0.5 | % | |
Synchrony Financial | | | (6,293 | ) | | | (666,051 | ) | | | (176,839 | ) | | | 0.5 | % | |
Trimble Inc. | | | (3,338 | ) | | | (662,353 | ) | | | (175,857 | ) | | | 0.5 | % | |
Best Buy Co Inc. | | | (2,340 | ) | | | (658,326 | ) | | | (174,788 | ) | | | 0.5 | % | |
Trane Technologies PLC | | | (1,512 | ) | | | (635,889 | ) | | | (168,831 | ) | | | 0.5 | % | |
Other Securities | | | (691,784 | ) | | | (81,528,220 | ) | | | (21,646,011 | ) | | | 63.6 | % | |
| | | | $ | (128,163,451 | ) | | $ | (34,027,820 | ) | |
| |
Accrued Net Interest Receivable/(Payable) | | | | | | | 1,118 | | |
| |
| | | | | | | (34,026,702 | ) | |
| |
Total Return Basket Swaps, at value | | | | | | $ | (122,932,788 | ) | | | |
(b) The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. The cash flows may be denominated in various foreign currencies based on the local currencies of the positions within the swaps.
(c) Effective rate at April 30, 2021.
Total return swap contracts ("total return swaps")
At April 30, 2021, the Fund had outstanding over-the-counter total return swaps as follows:
Over-the-counter total return swaps—Short(a)
| Counterparty | | Reference
Entity | | Notional
Amount | | Maturity
Date | | Variable-
Rate(b) | | Spread | | Reference
Rate | | Frequency
of Fund
Receipt/
Payment | | Unrealized
Appreciation/
(Depreciation) | | Accrued
Net
Interest
Receivable/
(Payable) | | Value | |
| JPM | | MSCI Daily
Total Return
World Gross
Industrial
USD Index | | USD | (10,769,656 | ) | | 5/16/2022 | |
| 0.26 | % | |
| 0.08 | % | | 3M
USD LIBOR | | 3M/T | | $ | (1,591,696 | ) | | $ | 3,054 |
| | $ | (1,588,642 | ) | |
| JPM | | S&P 500
Equal Weighted
USD Total
Return Index | | USD | (222,466,107 | ) | | 5/4/2022 | |
| 0.26 | % | |
| 0.15 | % | | 1M
USD LIBOR | | 1M/T | |
| (54,104,825 | ) | |
| 22,277 |
| |
| (54,082,548 | ) | |
Total | | | | | | | | | | | | | | | | $ | (55,696,521 | ) | | $ | 25,331 | | | $ | (55,671,190 | ) | |
(a) The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity.
(b) Effective rate at April 30, 2021.
See Notes to Financial Statements
68
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
At April 30, 2021, the Fund had cash collateral of $9,640,000 and $204,840,000 deposited in segregated accounts for Goldman Sachs International and JPMorgan Chase Bank N.A., respectively, to cover collateral requirements on over-the-counter derivatives.
For the six months ended April 30, 2021, the average notional value for the months where the Fund had total return basket swaps and total return swaps outstanding was $(596,694,959) for short positions.
Purchased option contracts ("options purchased")
At April 30, 2021, the Fund had outstanding options purchased as follows:
Description | | Number of
Contracts | | Notional
Amount | | Exercise
Price | | Expiration
Date | | Value | |
Calls | |
Exchange-Traded Funds | |
SPDR S&P Insurance ETF | | | 3,950 | | | $ | 15,507,700 | | | $ | 41 | | | 9/17/2021 | | $ | 444,375 | | |
Multiline Retail | |
Dollar Tree, Inc. | | | 1,750 | | | | 20,107,500 | | | | 115 | | | 8/20/2021 | | | 1,181,250 | | |
Road & Rail | |
Uber Technologies, Inc. | | | 1,180 | | | | 6,462,860 | | | | 60 | | | 6/18/2021 | | | 234,820 | | |
Software | |
Adobe, Inc. | | | 267 | | | | 13,572,678 | | | | 520 | | | 5/21/2021 | | | 177,555 | | |
Alteryx, Inc. | | | 1,334 | | | | 10,905,450 | | | | 150 | | | 5/21/2021 | | | 19,343 | | |
Sumo Logic, Inc. | | | 4,400 | | | | 8,575,600 | | | | 25 | | | 8/20/2021 | | | 693,000 | | |
| | | | | | | | | | | | 889,898 | | |
Specialty Retail | |
Floor & Decor Holdings, Inc. | | | 1,200 | | | | 13,310,400 | | | | 120 | | | 7/16/2021 | | | 642,000 | | |
O'Reilly Automotive, Inc. | | | 250 | | | | 13,822,000 | | | | 460 | | | 5/21/2021 | | | 2,327,500 | | |
| | | | | | | | | | | | 2,969,500 | | |
Textiles, Apparel & Luxury Goods | |
Tapestry, Inc. | | | 4,150 | | | | 19,857,750 | | | | 37.5 | | | 5/21/2021 | | | 4,544,250 | | |
Total Calls | | | | | | | | | | $ | 10,264,093 | | |
Puts | |
Software | |
Triterras, Inc. | | | 9,003 | | | | 1,161,387 | | | | 5 | | | 8/20/2021 | | | 585,195 | | |
Triterras, Inc. | | | 9,005 | | | | 1,161,645 | | | | 5 | | | 5/21/2021 | | | 112,563 | | |
Total puts | | | | | | | | | | | 697,758 | | |
Total options purchased (cost $9,333,858) | | | | | | | | | | $ | 10,961,851 | | |
See Notes to Financial Statements
69
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Written option contracts ("options written")
At April 30, 2021, the Fund had outstanding options written as follows:
Description | | Number of
Contracts | | Notional
Amount | | Exercise
Price | | Expiration
Date | | Value | |
Calls | |
Diversified Financial Services | |
Fintech Acquisition Corp. V | | | 4,000 | | | $ | (4,452,000 | ) | | $ | 12.5 | | | 8/20/2021 | | $ | (440,000 | ) | |
Fintech Acquisition Corp. V | | | 2,419 | | | | (2,692,347 | ) | | | 15 | | | 11/19/2021 | | | (229,805 | ) | |
Social Capital Hedosophia Holdings Corp. | | | 4,000 | | | | (6,800,000 | ) | | | 22.5 | | | 1/21/2022 | | | (714,000 | ) | |
| | | | | | | | | | | | (1,383,805 | ) | |
IT Services | |
Paya Holdings, Inc. | | | 9,000 | | | | (10,044,000 | ) | | | 15 | | | 8/20/2021 | | | (292,500 | ) | |
Software | |
Triterras, Inc. | | | 9,005 | | | | (1,161,645 | ) | | | 12.5 | | | 5/21/2021 | | | (67,538 | ) | |
Triterras, Inc. | | | 3,014 | | | | (388,806 | ) | | | 7.5 | | | 1/20/2023 | | | (587,730 | ) | |
| | | | | | | | | | | | (655,268 | ) | |
Total calls | | | | | | | | | | $ | (2,331,573 | ) | |
Puts | |
Capital Markets | |
Blackstone Group, Inc. | | | 1,827 | | | | (16,167,123 | ) | | | 50 | | | 6/18/2021 | | $ | (7,308 | )(a)(b) | |
Exchange-Traded Funds | |
SPDR S&P Insurance ETF | | | 3,950 | | | | (15,507,700 | ) | | | 33 | | | 9/17/2021 | | | (167,875 | ) | |
Food Products | |
Campbell Soup Co. | | | 4,000 | | | | (19,100,000 | ) | | | 45 | | | 5/21/2021 | | | (60,000 | ) | |
Hotels, Restaurants & Leisure | |
Shake Shack, Inc. | | | 1,100 | | | | (11,962,500 | ) | | | 105 | | | 6/18/2021 | | | (682,000 | ) | |
Internet & Direct Marketing Retail | |
Chewy, Inc. | | | 1,700 | | | | (13,552,400 | ) | | | 70 | | | 7/16/2021 | | | (569,500 | ) | |
IT Services | |
Paya Holdings, Inc. | | | 9,000 | | | | (10,044,000 | ) | | | 10 | | | 8/20/2021 | | | (517,500 | ) | |
Multiline Retail | |
Dollar Tree, Inc. | | | 1,750 | | | | (20,107,500 | ) | | | 100 | | | 8/20/2021 | | | (340,375 | ) | |
Road & Rail | |
Uber Technologies, Inc. | | | 1,180 | | | | (6,462,860 | ) | | | 50 | | | 6/18/2021 | | | (202,960 | ) | |
Software | |
Adobe, Inc. | | | 267 | | | | (13,572,678 | ) | | | 410 | | | 5/21/2021 | | | (13,083 | ) | |
Alteryx, Inc. | | | 1,334 | | | | (10,905,450 | ) | | | 90 | | | 5/21/2021 | | | (1,460,730 | ) | |
Sumo Logic, Inc. | | | 4,400 | | | | (8,575,600 | ) | | | 17.5 | | | 8/20/2021 | | | (924,000 | ) | |
| | | | | | | | | | | | (2,397,813 | ) | |
Specialty Retail | |
Floor & Decor Holdings, Inc. | | | 1,200 | | | | (13,310,400 | ) | | | 100 | | | 10/15/2021 | | | (948,000 | ) | |
O'Reilly Automotive, Inc. | | | 250 | | | | (13,822,000 | ) | | | 420 | | | 8/20/2021 | | | (53,125 | ) | |
| | | | | | | | | | | | (1,001,125 | ) | |
See Notes to Financial Statements
70
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Description | | Number of
Contracts | | Notional
Amount | | Exercise
Price | | Expiration
Date | | Value | |
Puts | |
Textiles, Apparel & Luxury Goods | |
NIKE, Inc. | | | 900 | | | $ | (11,935,800 | ) | | $ | 125 | | | 5/21/2021 | | $ | (61,200 | ) | |
Tapestry, Inc. | | | 4,150 | | | | (19,857,750 | ) | | | 30 | | | 5/21/2021 | | | — | (a)(b) | |
Under Armour, Inc. | | | 16,500 | | | | (40,111,500 | ) | | | 12.5 | | | 7/16/2021 | | | (90,750 | )(a)(b) | |
| | | | | | | | | | | | (151,950 | ) | |
Total puts | | | | | | | | | | $ | (6,098,406 | ) | |
Total options written (premium received $16,278,831) | | | | | | | | $(8,429,979) | |
(a) Security fair valued as of April 30, 2021 in accordance with procedures approved by the Board of Trustees.
(b) Value determined using significant unobservable inputs.
For the six months ended April 30, 2021, the average market value for the months where the Fund had options purchased and options written outstanding was $11,786,981 and $(7,474,023), respectively. At April 30, 2021, the Fund had securities pledged in the amount of $172,652,185 to cover collateral requirements for options written.
Private Investment In Public Equity—(PIPE)(a)
| Counterparty | | Referenced
Obligation* | | Notional
Amount | | Closing
Date | | Unrealized
Appreciation/
(Depreciation) | | % of
Net Assets | |
| Churchill Capital Corp. IV Class A(b) | | Churchill Capital Corp. IV Class A | | $ | 25,999,995 | | | TBD(d) | | $ | — | (c) | | | 0.0 | % | |
* Non-income producing.
(a) See Note A of the Notes to Financial Statements.
(b) This investment has been deemed by the investment manager to be illiquid, and is subject to restrictions on resale.
At April 30, 2021, this investment amounted to $0 which represents 0.0% of net assets of the Fund.
| Restricted Security | | Subscirption
Agreement
Date | | Amount
Committed | | Amount
Committed
Percentage
of Net Assets
as of
Subscription
Agreement
Date | | Notional
Value as of
4/30/2021 | |
Notional
Fair Value
Percentage
of Net Assets
as of
4/30/2021 | |
Churchill Capital Corp. IV | | 2/22/21 | | $ | 25,999,995 | | | | 0.6 | % | | $ | 25,999,995 | | | | 0.5 | % | |
(c) Investment fair valued as of April 30, 2021 in accordance with procedures approved by the Board of Trustees. Total value of all such investments at April 30, 2021 amounted to $0, which represents 0.0% of net assets of the Fund.
(d) Closing date is not known until certain conditions are met.
See Notes to Financial Statements
71
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2021:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3(c) | | Total | |
Investments: | |
Common Stocks | | | |
Commercial Services & Supplies | | $ | 69,412,707 | | | $ | — | | | $ | 23,385,627 | | | $ | 92,798,334 | | |
Diversified Telecommunication Services | | | — | | | | 8,166,362 | | | | — | | | | 8,166,362 | | |
Food Products | | | 118,033,345 | | | | 13,350,000 | | | | — | | | | 131,383,345 | | |
IT Services | | | 229,948,607 | | | | — | | | | 10,667,962 | | | | 240,616,569 | | |
Oil, Gas & Consumable Fuels | | | 44,691,059 | | | | — | | | | 1,612,100 | | | | 46,303,159 | | |
Software | | | 590,688,307 | | | | 13,414,440 | | | | 5,051,953 | | | | 609,154,700 | | |
| Other Common Stocks(a) | | | 2,736,117,122 | | | | — | | | | — | | | | 2,736,117,122 | | |
Total Common Stocks | | | 3,788,891,147 | | | | 34,930,802 | | | | 40,717,642 | | | | 3,864,539,591 | | |
Common Stock Units | | | 10,845,648 | | | | — | | | | — | | | | 10,845,648 | | |
Preferred Stocks | | | |
Hotels, Restaurants & Leisure | | | — | | | | — | | | | 7,522,816 | | | | 7,522,816 | | |
Software | | | — | | | | — | | | | 55,207,814 | | | | 55,207,814 | | |
Specialty Retail | | | — | | | | — | | | | 74,222,120 | | | | 74,222,120 | | |
Total Preferred Stocks | | | — | | | | — | | | | 136,952,750 | | | | 136,952,750 | | |
Convertible Preferred Stocks | | | 12,414,402 | | | | — | | | | — | | | | 12,414,402 | | |
Loan Assignments | | | |
Leisure Goods—Activities—Movies | | | — | | | | — | | | | 25,500,000 | | | | 25,500,000 | | |
| Other Loan Assignments(a) | | | — | | | | 7,469,508 | | | | — | | | | 7,469,508 | | |
Total Loan Assignments | | | — | | | | 7,469,508 | | | | 25,500,000 | | | | 32,969,508 | | |
| Corporate Bonds(a) | | | — | | | | 156,012,822 | | | | — | | | | 156,012,822 | | |
| Convertible Bonds(a) | | | — | | | | 8,072,868 | | | | — | | | | 8,072,868 | | |
Master Limited Partnerships and
Limited Partnerships(a) | | | 100,486,802 | | | | — | | | | — | | | | 100,486,802 | | |
Warrants | | | |
Diversified Consumer Services | | | 187,782 | | | | 3,756,670 | | | | — | | | | 3,944,452 | | |
Food Products | | | 632,939 | | | | 1,459,744 | | | | — | | | | 2,092,683 | | |
Total Warrants | | | 820,721 | | | | 5,216,414 | | | | — | | | | 6,037,135 | | |
| Options Purchased(b) | | | 10,961,851 | | | | — | | | | — | | | | 10,961,851 | | |
Short-Term Investments | | | — | | | | 257,925,277 | | | | — | | | | 257,925,277 | | |
Total Investments | | $ | 3,924,420,571 | | | $ | 469,627,691 | | | $ | 203,170,392 | | | $ | 4,597,218,654 | | |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
(b) The "Purchased option contracts" table under Derivative Instruments provides information on the industry or sector categorization for the portfolio.
See Notes to Financial Statements
72
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
(c) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
(000's
omitted) | | Beginning
balance, as
of 11/1/2020 | | Accrued
discounts/
(premiums) | | Realized
gain/(loss) | | Change
in unrealized
appreciation/
(depreciation) | | Purchases | | Sales | | Transfers
into
Level 3 | | Transfers
out of
Level 3 | | Balance,
as of
4/30/2021 | | Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
4/30/2021 | |
Investments in Securities: | |
Common
Stocks(d)(h) | | $ | 30,477 | | | $ | — | | | $ | — | | | $ | (3,873 | ) | | $ | 4,500 | | | $ | (56,000 | ) | | $ | 65,613 | | | $ | — | | | $ | 40,717 | | | $ | (3,873 | ) | |
Preferred
Stocks(d) | | | 59,250 | | | | — | | | | — | | | | 40,009 | | | | 37,694 | | | | — | | | | — | | | | — | | | | 136,953 | | | | 40,009 | | |
Loan
Assignments(d) | | | 23,250 | | | | 21 | | | | — | | | | 2,229 | | | | — | | | | — | | | | — | | | | — | | | | 25,500 | | | | 2,229 | | |
| Warrants(d)(h) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Total | | $ | 112,977 | | | $ | 21 | | | $ | — | | | $ | 38,365 | | | $ | 42,194 | | | $ | (56,000 | ) | | $ | 65,613 | | | $ | — | | | $ | 203,170 | | | $ | 38,365 | | |
(d) Quantitative Information about Level 3 Fair Value Measurements:
Investment type | | Fair value
at
4/30/2021 | | Valuation
approach | | Unobservable
input(s) | |
Input value/
range | | Weighted
average(f) | | Impact to
valuation
from
increase
in input(g) | |
Common Stocks | | $ | 1,612,100 | | | Market Comparables | | Enterprise value/ | | 12.5x | | 12.5x | | Increase | |
| | | | | | EBITDA multiple(e) (EV/EBITDA) | | | | | | | |
Common Stocks | | | 28,437,581 | | | Market Comparables | | Enterprise value/ | | 5.0x – 14.0x | | 6.6x | | Increase | |
| | | | | | Revenue multiple(e) (EV/Revenue) | | | | | | | |
Common Stocks | | | 10,667,962 | | | Market Approach | | Transaction Price | | $9.3728 | | $9.3728 | | Increase | |
Preferred Stocks | | | 25,847,817 | | | Market Comparables | | Enterprise value/ | | 4.0x – 14.0x | | 11.8x | | Increase | |
| | | | | | Revenue multiple(e) (EV/Revenue) | | | | | | | |
Preferred Stocks | | | 111,104,933 | | | Market Approach | | Transaction Price | | $17.10 – $35,000 | | $11,049.20 | | Increase | |
Loan Assignments | | | 25,500,000 | | | Market Comparables | | Yield | | 8% | | 8% | | Decrease | |
Warrants | | | — | | | Market Approach | | Transaction price | | $0.00 | | — | | Increase | |
(e) Represents amounts used when the reporting entity has determined that market participants would use such multiples when pricing the investments.
(f) The weighted averages disclosed in the table above were weighted by relative fair value.
(g) Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase or decrease in the corresponding input. Significant changes in these inputs could result in significantly higher or lower fair value measurements.
(h) Certain securities categorized as Level 3 are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
See Notes to Financial Statements
73
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's short investments as of April 30, 2021:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
| Common Stocks Sold Short(a) | | $ | (343,676,468 | ) | | $ | — | | | $ | — | | | $ | (343,676,468 | ) | |
| Corporate Bonds Sold Short(a) | | | — | | | | (49,981,420 | ) | | | — | | | | (49,981,420 | ) | |
Exchange-Traded Funds Sold Short | | | (56,195,915 | ) | | | — | | | | — | | | | (56,195,915 | ) | |
Total Short Positions | | $ | (399,872,383 | ) | | $ | (49,981,420 | ) | | $ | — | | | $ | (449,853,803 | ) | |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2021:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3(b) | | Total | |
| Futures(a) | |
Assets | | $ | 403,218 | | | $ | — | | | $ | — | | | $ | 403,218 | | |
Liabilities | | | (43,618,861 | ) | | | — | | | | — | | | | (43,618,861 | ) | |
Swaps | |
Liabilities | | | — | | | | (178,603,978 | ) | | | — | | | | (178,603,978 | ) | |
| Options Written(b) | |
Liabilities | | | (8,331,921 | ) | | | — | | | | (98,058 | ) | | | (8,429,979 | ) | |
| PIPE(a) | |
Assets | | | — | | | | — | | | | — | | | | — | | |
Total | | $ | (51,547,564 | ) | | $ | (178,603,978 | ) | | $ | (98,058 | ) | | $ | (230,249,600 | ) | |
(a) Futures and derivative-PIPE transactions are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
(b) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
(000's
omitted) | | Beginning
balance, as
of 11/1/2020 | | Accrued
discounts/
(premiums) | | Realized
gain/(loss) | | Change
in unrealized
appreciation/
(depreciation) | | Purchases/
Closing
of options | | Sales/
Writing
of options | | Transfers
into
Level 3 | | Transfers
out of
Level 3 | | Balance,
as of
4/30/2021 | | Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
4/30/2021 | |
Other Financial Instruments: | |
Options
Written(c) | | $ | — | | | $ | — | | | $ | — | | | $ | 2,588 | | | $ | — | | | $ | (2,686 | ) | | $ | — | | | $ | — | | | $ | (98 | ) | | $ | 2,588 | | |
Total | | $ | — | | | $ | — | | | $ | — | | | $ | 2,588 | | | $ | — | | | $ | (2,686 | ) | | $ | — | | | $ | — | | | $ | (98 | ) | | $ | 2,588 | | |
See Notes to Financial Statements
74
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
(c) For the six months ended April 30, 2021, these investments were valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Fund's net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented.
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
75
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^ (Unaudited) April 30, 2021
PRINCIPAL AMOUNT | | | | VALUE | |
U.S. Treasury Obligations 94.6% | | | |
| | | | | U.S. Treasury Notes | | | | | |
$ | 99,900,000 | | | 2.63%, due 6/15/2021-12/15/2021 | | $ | 100,821,544 | (a) | |
| | 50,500,000 | | | 2.75%, due 9/15/2021 | | | 51,005,000 | | |
| | 48,700,000 | | | 2.38%, due 3/15/2022 | | | 49,677,805 | | |
| | 47,900,000 | | | 1.75%, due 6/15/2022 | | | 48,798,125 | | |
| | 50,100,000 | | | 1.50%, due 9/15/2022 | | | 51,055,031 | | |
| | 50,100,000 | | | 1.63%, due 12/15/2022 | | | 51,313,360 | (a) | |
| | 31,800,000 | | | 0.50%, due 3/15/2023 | | | 32,006,203 | | |
| | | | | Total U.S. Treasury Obligations (Cost $383,081,518) | | | 384,677,068 | | |
NUMBER OF SHARES | | | | | |
Short-Term Investments 5.7% | | | |
Investment Companies 5.7% | | | |
| | 23,322,231 | | | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(b)
(Cost $23,322,231) | |
| 23,322,231
| (c) | |
| | | | | Total Investments 100.3% (Cost $406,403,749) | | | 407,999,299 | | |
| | | | | Liabilities Less Other Assets (0.3)% | | | (1,165,885 | )(d) | |
| | | | | Net Assets 100.0% | | $ | 406,833,414 | | |
(a) All or a portion of the security is pledged as collateral for options written.
(b) Represents 7-day effective yield as of April 30, 2021.
(c) All or a portion of this security is segregated in connection with obligations for options written with a total value of $23,322,231.
(d) Includes the impact of the Fund's open positions in derivatives at April 30, 2021.
See Notes to Financial Statements
76
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^ (Unaudited) (cont'd)
Derivative Instruments
Written option contracts ("options written")
At April 30, 2021, the Fund had outstanding options written as follows:
Description | | Number of
Contracts | | Notional
Amount | | Exercise
Price | | Expiration
Date | | Value | |
Puts | |
Index | |
Russell 2000 Index | | | 38 | | | $ | (8,612,506 | ) | | $ | 2,235 | | | 5/7/2021 | | $ | (64,790 | ) | |
Russell 2000 Index | | | 22 | | | | (4,986,188 | ) | | | 2,260 | | | 5/7/2021 | | | (56,430 | ) | |
Russell 2000 Index | | | 9 | | | | (2,039,804 | ) | | | 2,270 | | | 5/7/2021 | | | (26,910 | ) | |
Russell 2000 Index | | | 16 | | | | (3,626,318 | ) | | | 2,210 | | | 5/14/2021 | | | (34,800 | ) | |
Russell 2000 Index | | | 22 | | | | (4,986,188 | ) | | | 2,235 | | | 5/14/2021 | | | (64,020 | ) | |
Russell 2000 Index | | | 7 | | | | (1,586,514 | ) | | | 2,250 | | | 5/14/2021 | | | (24,045 | ) | |
Russell 2000 Index | | | 25 | | | | (5,666,123 | ) | | | 2,255 | | | 5/14/2021 | | | (90,625 | ) | |
Russell 2000 Index | | | 2 | | | | (453,290 | ) | | | 2,180 | | | 5/21/2021 | | | (4,620 | ) | |
Russell 2000 Index | | | 1 | | | | (226,645 | ) | | | 2,240 | | | 5/21/2021 | | | (4,010 | ) | |
Russell 2000 Index | | | 5 | | | | (1,133,225 | ) | | | 2,250 | | | 5/21/2021 | | | (21,875 | ) | |
Russell 2000 Index | | | 62 | | | | (14,051,984 | ) | | | 2,260 | | | 5/21/2021 | | | (295,120 | ) | |
Russell 2000 Index | | | 44 | | | | (9,972,376 | ) | | | 2,250 | | | 5/28/2021 | | | (233,640 | ) | |
Russell 2000 Index | | | 20 | | | | (4,532,898 | ) | | | 2,300 | | | 5/28/2021 | | | (150,900 | ) | |
S&P 500 Index | | | 38 | | | | (15,888,446 | ) | | | 4,070 | | | 5/7/2021 | | | (19,950 | ) | |
S&P 500 Index | | | 168 | | | | (70,243,656 | ) | | | 4,075 | | | 5/7/2021 | | | (93,240 | ) | |
S&P 500 Index | | | 3 | | | | (1,254,351 | ) | | | 4,165 | | | 5/7/2021 | | | (6,000 | ) | |
S&P 500 Index | | | 16 | | | | (6,689,872 | ) | | | 4,090 | | | 5/14/2021 | | | (31,200 | ) | |
S&P 500 Index | | | 13 | | | | (5,435,521 | ) | | | 4,105 | | | 5/14/2021 | | | (28,600 | ) | |
S&P 500 Index | | | 38 | | | | (15,888,446 | ) | | | 4,125 | | | 5/14/2021 | | | (97,850 | ) | |
S&P 500 Index | | | 48 | | | | (20,069,616 | ) | | | 4,130 | | | 5/14/2021 | | | (128,640 | ) | |
S&P 500 Index | | | 56 | | | | (23,414,552 | ) | | | 4,165 | | | 5/14/2021 | | | (201,040 | ) | |
S&P 500 Index | | | 42 | | | | (17,560,914 | ) | | | 4,175 | | | 5/14/2021 | | | (164,640 | ) | |
S&P 500 Index | | | 5 | | | | (2,090,585 | ) | | | 4,155 | | | 5/21/2021 | | | (22,775 | ) | |
S&P 500 Index | | | 17 | | | | (7,107,989 | ) | | | 4,160 | | | 5/21/2021 | | | (79,985 | ) | |
S&P 500 Index | | | 190 | | | | (79,442,230 | ) | | | 4,175 | | | 5/21/2021 | | | (987,050 | ) | |
S&P 500 Index | | | 179 | | | | (74,842,943 | ) | | | 4,175 | | | 5/28/2021 | | | (1,150,075 | ) | |
S&P 500 Index | | | 11 | | | | (4,599,287 | ) | | | 4,185 | | | 5/28/2021 | | | (74,690 | ) | |
S&P 500 Index | | | 17 | | | | (7,107,989 | ) | | | 4,190 | | | 5/28/2021 | | | (118,660 | ) | |
Total options written (premium received $7,118,883) | | | | | | | | | | $ | (4,276,180 | ) | |
For the six months ended April 30, 2021, the Fund had an average market value for the months where the Fund had options written was $(8,884,840). At April 30, 2021, the Fund had securities pledged in the amount of $114,120,795 to cover collateral requirements for options written.
See Notes to Financial Statements
77
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^ (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2021:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
U.S. Treasury Obligations | | $ | — | | | $ | 384,677,068 | | | $ | — | | | $ | 384,677,068 | | |
Short-Term Investments | | | — | | | | 23,322,231 | | | | — | | | | 23,322,231 | | |
Total Investments | | $ | — | | | $ | 407,999,299 | | | $ | — | | | $ | 407,999,299 | | |
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2021:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
Options Written | | | |
Liabilities | | $ | (4,276,180 | ) | | $ | — | | | $ | — | | | $ | (4,276,180 | ) | |
Total | | $ | (4,276,180 | ) | | $ | — | | | $ | — | | | $ | (4,276,180 | ) | |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
78
Statements of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
| | | COMMODITY
STRATEGY
FUND** | | GLOBAL
ALLOCATION
FUND | | LONG SHORT
FUND | | U.S. EQUITY
INDEX
PUTWRITE
STRATEGY
FUND | |
| | | April 30, 2021 | | April 30, 2021 | | April 30, 2021 | | April 30, 2021 | |
Assets | |
Investments in securities, at value*† (Note A)—
see Schedule of Investments: | |
| Unaffiliated issuers(a) | | $ | 150,751,741 | | | $ | 10,499,157 | | | $ | 4,597,218,654 | | | $ | 407,999,299 | | |
Cash | | | — | | | | — | | | | 2,576,832 | | | | — | | |
| Foreign currency(b) | | | — | | | | 10,010 | | | | 55 | | | | — | | |
Cash collateral segregated for short sales
(Note A) | | | — | | | | — | | | | 522,223,537 | | | | — | | |
Cash collateral segregated for futures contracts
(Note A) | | | — | | | | 53,521 | | | | 89,229,142 | | | | — | | |
Cash collateral segregated for over-the-counter
derivatives (Note A) | | | — | | | | — | | | | 214,480,000 | | | | — | | |
Receivable from broker | | | — | | | | — | | | | 25,182,833 | | | | — | | |
Dividends and interest receivable | | | 79,451 | | | | 28,869 | | | | 6,240,277 | | | | 2,051,215 | | |
Receivable for securities sold | | | — | | | | — | | | | 35,774,312 | | | | 1,379,975 | | |
Receivable for accumulated variation margin on
futures contracts (Note A) | | | 11,946,082 | | | | 25,985 | | | | — | | | | — | | |
Receivable from Management—net (Note B) | | | 38,181 | | | | 30,570 | | | | — | | | | — | | |
Receivable for Fund shares sold | | | 353,120 | | | | — | | | | 14,690,113 | | | | 75,488 | | |
Receivable for securities lending income (Note A) | | | — | | | | — | | | | 216 | | | | — | | |
Over-the-counter swap contracts, at value (Note A) | | | — | | | | 22,373 | | | | — | | | | — | | |
Prepaid expenses and other assets | | | 19,670 | | | | 39,355 | | | | 85,822 | | | | 32,069 | | |
Total Assets | | | 163,188,245 | | | | 10,709,840 | | | | 5,507,701,793 | | | | 411,538,046 | | |
Liabilities | |
| Investments sold short, at value(c) (Note A) | | | — | | | | — | | | | 449,853,803 | | | | — | | |
Over-the-counter swap contracts, at value (Note A) | | | — | | | | 8,570 | | | | 178,603,978 | | | | — | | |
Dividends and interest payable for short sales and
reverse repurchase agreements | | | — | | | | — | | | | 1,763,014 | | | | — | | |
Cash collateral segregated for futures contracts
due to broker (Note A) | | | 1,036,513 | | | | — | | | | — | | | | — | | |
Payable to investment manager—net (Notes A & B) | | | 57,397 | | | | 4,719 | | | | 4,218,439 | | | | 150,925 | | |
| Option contracts written, at value(d) (Note A) | | | — | | | | 6,433 | | | | 8,429,979 | | | | 4,276,180 | | |
Payable for securities purchased | | | 10,918,855 | | | | 8,632 | | | | 49,672,324 | | | | 14,145 | | |
Payable for Fund shares redeemed | | | 201,017 | | | | — | | | | 5,611,331 | | | | 148,099 | | |
Payable for accumulated variation margin on
futures contracts (Note A) | | | — | | | | — | | | | 43,215,643 | | | | — | | |
Payable for forward foreign currency contracts
(Note A) | | | — | | | | 1,094 | | | | — | | | | — | | |
Payable to administrator—net (Note B) | | | — | | | | — | | | | 673,361 | | | | 27,716 | | |
Payable to trustees | | | 6,317 | | | | 6,317 | | | | 6,317 | | | | 6,317 | | |
Payable for audit fees | | | 35,826 | | | | 28,585 | | | | 24,236 | | | | 23,654 | | |
Payable for custodian fees | | | 16,880 | | | | 29,179 | | | | 91,567 | | | | 16,320 | | |
Payable for legal fees | | | 29,163 | | | | 26,216 | | | | 26,148 | | | | 26,131 | | |
Payable for loaned securities collateral (Note A) | | | — | | | | — | | | | 506,680 | | | | — | | |
Other accrued expenses and payables | | | 17,885 | | | | 2,309 | | | | 90,615 | | | | 15,145 | | |
Total Liabilities | | | 12,319,853 | | | | 122,054 | | | | 742,787,435 | | | | 4,704,632 | | |
See Notes to Financial Statements
79
Statements of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
| | | COMMODITY
STRATEGY
FUND** | | GLOBAL
ALLOCATION
FUND | | LONG SHORT
FUND | | U.S. EQUITY
INDEX
PUTWRITE
STRATEGY
FUND | |
| | | April 30, 2021 | | April 30, 2021 | | April 30, 2021 | | April 30, 2021 | |
Private investment in public equity—derivative,
at value (Note A) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
Private investment in public equity—subscription
agreement (Note A) | | | — | | | | — | | | | — | | | | — | | |
Net Assets | | $ | 150,868,392 | | | $ | 10,587,786 | | | $ | 4,764,914,358 | | | $ | 406,833,414 | | |
Net Assets consist of: | | | |
Paid-in capital | | $ | 115,806,949 | | | $ | 8,552,677 | | | $ | 3,740,114,139 | | | $ | 340,743,530 | | |
Total distributable earnings/(losses) | | | 35,061,443 | | | | 2,035,109 | | | | 1,024,800,219 | | | | 66,089,884 | | |
Net Assets | | $ | 150,868,392 | | | $ | 10,587,786 | | | $ | 4,764,914,358 | | | $ | 406,833,414 | | |
Net Assets | | | |
Institutional Class | | $ | 126,382,923 | | | $ | 7,996,550 | | | $ | 4,565,417,931 | | | $ | 247,788,478 | | |
Class A | | | 24,448,301 | | | | 1,312,631 | | | | 141,616,401 | | | | 4,376,808 | | |
Class C | | | 37,168 | | | | 1,247,224 | | | | 57,880,026 | | | | 1,013,782 | | |
Class R6 | | | — | | | | 31,381 | | | | — | | | | 153,654,346 | | |
Shares Outstanding ($.001 par value;
unlimited shares authorized) | | | |
Institutional Class | | | 18,049,460 | | | | 603,376 | | | | 263,905,982 | | | | 19,205,401 | | |
Class A | | | 3,554,394 | | | | 99,725 | | | | 8,265,578 | | | | 339,779 | | |
Class C | | | 5,403 | | | | 97,629 | | | | 3,448,059 | | | | 79,967 | | |
Class R6 | | | — | | | | 2,367 | | | | — | | | | 11,901,389 | | |
Net Asset Value, offering and redemption
price per share | | | |
Institutional Class | | $ | 7.00 | | | $ | 13.25 | | | $ | 17.30 | | | $ | 12.90 | | |
Class R6 | | | — | | | | 13.26 | | | | — | | | | 12.91 | | |
Net Asset Value and redemption price per share | | | |
Class A | | $ | 6.88 | | | $ | 13.16 | | | $ | 17.13 | | | $ | 12.88 | | |
Offering Price per share | | | |
Class A‡ | | $ | 7.30 | | | $ | 13.96 | | | $ | 18.18 | | | $ | 13.67 | | |
Net Asset Value and offering price per share | | | |
Class C^ | | $ | 6.88 | | | $ | 12.78 | | | $ | 16.79 | | | $ | 12.68 | | |
† Securities on loan, at value: | | | |
Unaffiliated issuers | | $ | — | | | $ | — | | | $ | 496,521 | | | $ | — | | |
* Cost of Investments: | | | |
(a) Unaffiliated issuers | | $ | 150,591,636 | | | $ | 9,738,029 | | | $ | 3,288,471,973 | | | $ | 406,403,749 | | |
(b) Total cost of foreign currency | | $ | — | | | $ | 10,176 | | | $ | 55 | | | $ | — | | |
(c) Proceeds from investments sold short | | $ | — | | | $ | — | | | $ | 414,801,307 | | | $ | — | | |
(d) Premium received from option contracts written | | $ | — | | | $ | 7,345 | | | $ | 16,278,831 | | | $ | 7,118,883 | | |
** Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
‡ On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other circumstances described in the Fund's prospectus, offering price is reduced.
^ Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See Notes to Financial Statements
80
Statements of Operations (Unaudited)
Neuberger Berman Alternative Funds
| | | COMMODITY
STRATEGY
FUND(a) | | GLOBAL
ALLOCATION
FUND | | LONG SHORT
FUND | | U.S. EQUITY
INDEX
PUTWRITE
STRATEGY
FUND | |
| | | For the Six
Months Ended
April 30, 2021 | | For the Six
Months Ended
April 30, 2021 | | For the Six
Months Ended
April 30, 2021 | | For the Six
Months Ended
April 30, 2021 | |
Investment Income: | |
Income (Note A): | |
Dividend income—unaffiliated issuers | | $ | — | | | $ | 59,655 | | | $ | 25,701,154 | | | $ | — | | |
Dividend income—affiliated issuers (Note F) | | | — | | | | 12,380 | | | | — | | | | — | | |
Interest and other income—unaffiliated issuers | | | 293,338 | | | | 32,380 | | | | 10,711,918 | | | | 1,812,801 | | |
Income from securities loaned—net | | | — | | | | — | | | | 120,192 | | | | — | | |
Foreign taxes withheld | | | — | | | | (3,289 | ) | | | (330,328 | ) | | | — | | |
Total income | | $ | 293,338 | | | $ | 101,126 | | | $ | 36,202,936 | | | $ | 1,812,801 | | |
Expenses: | |
Investment management fees (Notes A & B) | | | 314,486 | | | | 27,727 | | | | 23,458,820 | | | | 868,510 | | |
Administration fees (Note B): | |
Institutional Class | | | 78,388 | | | | 5,533 | | | | 3,068,854 | | | | 181,237 | | |
Class A | | | 27,650 | | | | 1,674 | | | | 168,769 | | | | 5,983 | | |
Class C | | | 10 | | | | 1,804 | | | | 75,434 | | | | 1,182 | | |
Class R6 | | | — | | | | 7 | | | | — | | | | 34,711 | | |
Distribution fees (Note B): | |
Class A | | | 26,587 | | | | 1,609 | | | | 162,278 | | | | 5,752 | | |
Class C | | | 38 | | | | 6,939 | | | | 290,130 | | | | 4,547 | | |
Shareholder servicing agent fees: | |
Institutional Class | | | 742 | | | | 173 | | | | 15,233 | | | | 748 | | |
Class A | | | 2,252 | | | | 280 | | | | 1,508 | | | | 350 | | |
Class C | | | 15 | | | | 150 | | | | 757 | | | | 222 | | |
Class R6 | | | — | | | | 43 | | | | — | | | | 126 | | |
Audit fees | | | 35,825 | | | | 28,585 | | | | 25,236 | | | | 23,654 | | |
Subsidiary Administration Fees | | | 24,726 | | | | — | | | | — | | | | — | | |
Custodian and accounting fees | | | 46,751 | | | | 75,851 | | | | 348,080 | | | | 49,682 | | |
Insurance | | | 2,177 | | | | 237 | | | | 54,003 | | | | 4,957 | | |
Legal fees | | | 33,519 | | | | 28,312 | | | | 28,164 | | | | 28,227 | | |
Registration and filing fees | | | 30,255 | | | | 30,031 | | | | 66,945 | | | | 41,309 | | |
Shareholder reports | | | 5,178 | | | | 1,393 | | | | 85,679 | | | | 3,904 | | |
Trustees' fees and expenses | | | 23,609 | | | | 23,609 | | | | 23,609 | | | | 23,609 | | |
Dividend and interest expense on securities sold
short (Note A) | | | — | | | | — | | | | 7,248,273 | | | | — | | |
Interest | | | 2,550 | | | | 396 | | | | 71,172 | | | | — | | |
Miscellaneous | | | 9,886 | | | | 12,400 | | | | 141,736 | | | | 19,423 | | |
Total expenses | | | 664,644 | | | | 246,753 | | | | 35,334,680 | | | | 1,298,133 | | |
Expenses reimbursed by Management (Note B) | | | (162,503 | ) | | | (198,405 | ) | | | — | | | | (93,270 | ) | |
Investment management fees waived (Note A) | | | — | | | | (5,165 | ) | | | — | | | | — | | |
Total net expenses | | | 502,141 | | | | 43,183 | | | | 35,334,680 | | | | 1,204,863 | | |
Net investment income/(loss) | | $ | (208,803 | ) | | $ | 57,943 | | | $ | 868,256 | | | $ | 607,938 | | |
See Notes to Financial Statements
81
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
| | | COMMODITY
STRATEGY
FUND(a) | | GLOBAL
ALLOCATION
FUND | | LONG SHORT
FUND | | U.S. EQUITY
INDEX
PUTWRITE
STRATEGY
FUND | |
| | | For the Six
Months Ended
April 30, 2021 | | For the Six
Months Ended
April 30, 2021 | | For the Six
Months Ended
April 30, 2021 | | For the Six
Months Ended
April 30, 2021 | |
Realized and Unrealized Gain/(Loss) on
Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated
issuers | | $ | 47,470 | | | $ | 683,469 | | | $ | 276,806,470 | | | $ | — | | |
Transactions in investment securities of affiliated
issuers | | | — | | | | 583,205 | | | | — | | | | — | | |
Realized gain distributions from affiliated issuers | | | — | | | | 21,183 | | | | — | | | | — | | |
Closed short positions of unaffiliated issuers | | | — | | | | — | | | | (136,247,973 | ) | | | — | | |
Settlement of forward foreign currency contracts | | | — | | | | (7,677 | ) | | | — | | | | — | | |
Settlement of foreign currency transactions | | | — | | | | 4,551 | | | | 8,699 | | | | — | | |
Expiration or closing of futures contracts | | | 31,750,226 | | | | 47,818 | | | | (101,188,123 | ) | | | — | | |
Expiration or closing of option contracts written | | | — | | | | 68,890 | | | | 16,616,881 | | | | 56,373,966 | | |
Expiration or closing of swap contracts | | | — | | | | 3,246 | | | | (43,767,643 | ) | | | — | | |
Change in net unrealized appreciation/
(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | (56,640 | ) | | | 353,744 | | | | 641,676,397 | | | | (1,419,348 | ) | |
Investment securities of affiliated issuers | | | — | | | | (184,454 | ) | | | — | | | | — | | |
Short positions of unaffiliated issuers | | | — | | | | — | | | | (13,001,861 | ) | | | — | | |
Forward foreign currency contracts | | | — | | | | (2,435 | ) | | | — | | | | — | | |
Foreign currency translations | | | — | | | | (60 | ) | | | (14 | ) | | | — | | |
Futures contracts | | | 9,335,943 | | | | 25,985 | | | | (65,342,766 | ) | | | — | | |
Option contracts written | | | — | | | | 13,133 | | | | 4,248,862 | | | | 9,009,126 | | |
Private investment in public equity—derivative | | | — | | | | — | | | | — | | | | — | | |
Private investment in public equity—subscription
agreement | | | — | | | | — | | | | — | | | | — | | |
Swap contracts | | | — | | | | 13,803 | | | | (159,115,971 | ) | | | — | | |
Net gain/(loss) on investments | | | 41,076,999 | | | | 1,624,401 | | | | 420,692,958 | | | | 63,963,744 | | |
Net increase/(decrease) in net assets resulting
from operations | | $ | 40,868,196 | | | $ | 1,682,344 | | | $ | 421,561,214 | | | $ | 64,571,682 | | |
(a) Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
82
Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
| | | COMMODITY STRATEGY
FUND(a) | | GLOBAL
ALLOCATION FUND | | LONG SHORT FUND | | U.S. EQUITY INDEX PUTWRITE
STRATEGY FUND | |
| | | Six Months
Ended
April 30,
2021
(Unaudited) | | Fiscal Year
Ended
October 31,
2020 | | Six Months
Ended
April 30,
2021
(Unaudited) | | Fiscal Year
Ended
October 31,
2020 | | Six Months
Ended
April 30,
2021
(Unaudited) | | Fiscal Year
Ended
October 31,
2020 | | Six Months
Ended
April 30,
2021
(Unaudited) | | Fiscal Year
Ended
October 31,
2020 | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | (208,803 | ) | | $ | 940,335 | | | $ | 57,943 | | | $ | 249,403 | | | $ | 868,256 | | | $ | (3,177,544 | ) | | $ | 607,938 | | | $ | 3,675,659 | | |
Net realized gain/(loss) on investments | | | 31,797,696 | | | | (28,653,917 | ) | | | 1,404,685 | | | | (233,738 | ) | | | 12,228,311 | | | | 69,735,732 | | | | 56,373,966 | | | | 7,045,363 | | |
Change in net unrealized appreciation/(depreciation) of
investments | | | 9,279,303 | | | | 1,061,851 | | | | 219,716 | | | | (284,104 | ) | | | 408,464,647 | | | | 247,761,596 | | | | 7,589,778 | | | | (7,269,380 | ) | |
Net increase/(decrease) in net assets resulting
from operations | | | 40,868,196 | | | | (26,651,731 | ) | | | 1,682,344 | | | | (268,439 | ) | | | 421,561,214 | | | | 314,319,784 | | | | 64,571,682 | | | | 3,451,642 | | |
Distributions to Shareholders From (Note A): | |
Distributable earnings: | |
Institutional Class | | | (575,526 | ) | | | (2,329,766 | ) | | | (131,491 | ) | | | (384,527 | ) | | | (83,708,582 | ) | | | (50,110,558 | ) | | | (339,473 | ) | | | (12,320,449 | ) | |
Class A | | | (66,009 | ) | | | (263,335 | ) | | | (20,127 | ) | | | (57,847 | ) | | | (2,671,289 | ) | | | (1,533,863 | ) | | | (244 | ) | | | (1,442,808 | ) | |
Class C | | | — | (b) | | | (146 | ) | | | (14,091 | ) | | | (39,764 | ) | | | (1,306,112 | ) | | | (1,454,171 | ) | | | — | | | | (43,315 | ) | |
Class R6 | | | — | | | | — | | | | (574 | ) | | | (905 | ) | | | — | | | | — | | | | (275,703 | ) | | | (1,106,669 | ) | |
Tax return of capital: | |
Institutional Class | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (42,230 | ) | |
Class A | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (3,859 | ) | |
Class C | | | — | (b) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (170 | ) | |
Class R6 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (4,545 | ) | |
Total distributions to shareholders | | | (641,535 | ) | | | (2,593,247 | ) | | | (166,283 | ) | | | (483,043 | ) | | | (87,685,983 | ) | | | (53,098,592 | ) | | | (615,420 | ) | | | (14,964,045 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold: | |
Institutional Class | | | 21,948,964 | | | | 46,842,515 | | | | 1,083,334 | | | | 1,688,738 | | | | 1,084,773,893 | | | | 2,061,566,804 | | | | 33,029,469 | | | | 116,196,391 | | |
Class A | | | 2,690,342 | | | | 8,442,516 | | | | 151,774 | | | | 129,693 | | | | 53,326,693 | | | | 45,823,700 | | | | 421,847 | | | | 5,573,809 | | |
Class C | | | 35,000 | (b) | | | 8,250 | | | | — | | | | 168,588 | | | | 9,082,084 | | | | 10,375,945 | | | | 101,000 | | | | 24,007 | | |
Class R6 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 57,341,261 | | | | 90,724,672 | | |
Proceeds from reinvestment of dividends and distributions: | |
Institutional Class | | | 569,330 | | | | 2,310,028 | | | | 131,491 | | | | 384,526 | | | | 47,395,312 | | | | 22,757,997 | | | | 334,805 | | | | 12,041,897 | | |
Class A | | | 66,000 | | | | 261,469 | | | | 19,895 | | | | 57,633 | | | | 1,743,155 | | | | 1,145,352 | | | | 242 | | | | 1,238,184 | | |
Class C | | | — | (b) | | | 146 | | | | 13,857 | | | | 39,396 | | | | 1,112,667 | | | | 1,099,889 | | | | — | | | | 37,688 | | |
Class R6 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 275,641 | | | | 1,110,766 | | |
Payments for shares redeemed: | |
Institutional Class | | | (18,943,054 | ) | | | (79,271,860 | ) | | | (1,433,751 | ) | | | (6,406,024 | ) | | | (519,046,592 | ) | | | (800,873,692 | ) | | | (61,655,942 | ) | | | (120,881,693 | ) | |
Class A | | | (3,526,526 | ) | | | (9,336,309 | ) | | | (209,923 | ) | | | (962,184 | ) | | | (18,186,039 | ) | | | (21,766,038 | ) | | | (1,185,734 | ) | | | (30,789,788 | ) | |
Class C | | | (8,422 | )(b) | | | (19,204 | ) | | | (480,762 | ) | | | (506,303 | ) | | | (11,641,898 | ) | | | (21,873,447 | ) | | | (61,058 | ) | | | (231,221 | ) | |
Class R6 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (30,123,244 | ) | | | (5,355,572 | ) | |
Net increase/(decrease) from Fund share transactions | | | 2,831,634 | | | | (30,762,449 | ) | | | (724,085 | ) | | | (5,405,937 | ) | | | 648,559,275 | | | | 1,298,256,510 | | | | (1,521,713 | ) | | | 69,689,140 | | |
Net Increase/(Decrease) in Net Assets | | | 43,058,295 | | | | (60,007,427 | ) | | | 791,976 | | | | (6,157,419 | ) | | | 982,434,506 | | | | 1,559,477,702 | | | | 62,434,549 | | | | 58,176,737 | | |
Net Assets: | |
Beginning of period | | | 107,810,097 | | | | 167,817,524 | | | | 9,795,810 | | | | 15,953,229 | | | | 3,782,479,852 | | | | 2,223,002,150 | | | | 344,398,865 | | | | 286,222,128 | | |
End of period | | $ | 150,868,392 | | | $ | 107,810,097 | | | $ | 10,587,786 | | | $ | 9,795,810 | | | $ | 4,764,914,358 | | | $ | 3,782,479,852 | | | $ | 406,833,414 | | | $ | 344,398,865 | | |
(a) Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
(b) Neuberger Berman Commodity Strategy Fund Class C shares were fully redeemed on February 2, 2021. Operations recommenced on March 24, 2021. The data includes transactions for the full period ended April 30, 2021.
See Notes to Financial Statements
83
84
Notes to Financial Statements Alternative and Multi-Asset Class Fundsß (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Each of Neuberger Berman Commodity Strategy Fund ("Commodity Strategy"), Neuberger Berman Global Allocation Fund ("Global Allocation"), Neuberger Berman Long Short Fund ("Long Short"), and Neuberger Berman U.S. Equity Index PutWrite Strategy Fund ("U.S. Equity Index PutWrite Strategy") (each individually a "Fund," and collectively, the "Funds") is a separate operating series of the Trust. Under the 1940 Act, the status of a Fund that was registered as non-diversified may, under certain circumstances, change to that of a diversified Fund (Commodity Strategy, Global Allocation and Long Short became diversified in August 2015, December 2013 and December 2014, respectively). U.S. Equity Index PutWrite Strategy is diversified. Each Fund offers Institutional Class shares, Class A shares and Class C shares. Global Allocation and U.S. Equity Index PutWrite Strategy also offer Class R6 shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
A balance indicated with a "—", reflects either a zero balance or a balance that rounds to less than 1.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other series of the Trust.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management" or "NBIA") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Commodity Strategy invests in commodity-related instruments through Neuberger Berman Cayman Commodity Fund I Ltd. (the "CS Subsidiary"), which is organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Fund and the CS Subsidiary with the intent that Commodity Strategy will remain the sole shareholder of the CS Subsidiary. The CS Subsidiary is governed by its own Board of Directors.
As of April 30, 2021, the value of Commodity Strategy's investment in the CS Subsidiary was as follows:
Investment in
CS Subsidiary | | Percentage of
Net Assets | |
| $ | 30,074,024 | | | | 19.9 | % | |
2 Consolidation: The accompanying financial statements of Commodity Strategy present the consolidated accounts of Commodity Strategy and the CS Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation.
3 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of the Funds are carried at the value that Management believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds' investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ß Consolidated Notes to Financial Statements for Commodity Strategy
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ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – unadjusted quoted prices in active markets for identical investments
• Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3 – unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds' investments (long and short positions) in equity securities, convertible preferred stocks, exchange-traded funds ("ETFs"), preferred stocks, master limited partnerships and limited partnerships, warrants and exchange-traded options purchased and written, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Funds' investments for long and short positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid or offer quotations, respectively, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Funds:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available ("Other Market Information").
Convertible Bonds. Inputs used to value convertible bonds generally include underlying stock data, conversion rates, credit specific details, relative listed bond and preferred stock prices and Other Market Information.
High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.
U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
Asset-Backed Securities. Inputs used to value asset-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
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Emerging Markets Debt and Foreign Government Securities. Inputs used to value emerging markets debt and foreign government securities generally include dealer quotes, bond market activity, discounted cash flow models, and other relevant information such as credit spreads, benchmark curves and Other Market Information.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward foreign currency contracts ("forward FX contracts") is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services' networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of total return swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).
Option contracts that are traded over-the-counter are generally valued on the basis of quotations provided by broker-dealers or prices provided by independent pricing services who use a series of techniques including simulated pricing models and/or curve fitting (bootstrapping), which aids in determining the present value of the contracts. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, credit curves, volatility surfaces, and exchange rates (Level 2 inputs).
Publicly traded securities acquired via a private investment in public equity (PIPE) transaction are typically valued at a discount to the market price of an issuer's common stock. Discounts are applied due to certain trading restrictions imposed or a lack of marketability preceding the conversion to publicly traded securities. The primary inputs used in determining the discount are the length of the lock-up time period and volatility of the underlying security (Level 2 Inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies with a readily determinable fair value are valued using the respective fund's daily calculated net asset value ("NAV") per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer and/or analysts; an analysis of the company's or issuer's financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Funds' investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange ("NYSE") is open for business. The Board has
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approved the use of ICE Data Services ("ICE") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of ICE to evaluate the prices of foreign debt securities as of the time as of which a Fund's share price is calculated. ICE utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which a Fund's share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which a Fund's share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
In December 2020, the Securities and Exchange Commission ("SEC") adopted Rule 2a-5 under the 1940 Act, which establishes requirements for determining fair value in good faith for purposes of the 1940 Act, including related oversight and reporting requirements. The rule also defines when market quotations are "readily available" for purposes of the 1940 Act, the threshold for determining whether a fund must fair value a security. The rule became effective on March 8, 2021, however, the SEC adopted an eighteen-month transition period beginning from the effective date. Management is currently evaluating this guidance.
4 Foreign currency translations: The accounting records of the Funds and the CS Subsidiary are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statements of Operations.
5 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as a Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) and amortization of premium, where applicable, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statements of Operations. Included in net realized gain/(loss) on investments are proceeds from the settlement of class action litigation(s) in which certain of the Funds participated as a class member. The amount of such proceeds for the six months ended April 30, 2021, was $1,147 for Global Allocation.
6 Income tax information: Each Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of each Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent a Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Funds have adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statements of Operations. The Funds are subject to examination by U.S. federal and state tax authorities for
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returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2021, the Funds did not have any unrecognized tax positions.
The CS Subsidiary is a controlled foreign corporation under the U.S. Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, Commodity Strategy will include in its taxable income its share of the CS Subsidiary's current earnings and profits (including net realized gains). Any deficit generated by the CS Subsidiary will be disregarded for purposes of computing Commodity Strategy's taxable income in the current period and also disregarded for all future periods.
For federal income tax purposes, the estimated cost and unrealized appreciation/(depreciation) in value of investments held at April 30, 2021 were as follows:
| | | Cost | | Gross
Unrealized
Appreciation | | Gross
Unrealized
Depreciation | | Net Unrealized
Appreciation/
(Depreciation) | |
Commodity Strategy | | $ | 156,607,964 | | | $ | 13,962,025 | | | $ | 7,986,923 | | | $ | 5,975,102 | | |
Global Allocation | | | 9,822,300 | | | | 736,024 | | | | 15,031 | | | | 720,993 | | |
Long Short | | | 3,322,292,750 | | | | 1,347,727,638 | | | | 324,429,402 | | | | 1,023,298,236 | | |
U.S. Equity Index PutWrite Strategy | | | 406,403,749 | | | | 4,471,685 | | | | 33,432 | | | | 4,438,253 | | |
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Fund, timing differences and differing characterization of distributions made by each Fund. The Funds may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
Any permanent differences resulting from different book and tax treatment are reclassified at year-end and have no impact on net income, NAV or NAV per share of the Funds. For the year ended October 31, 2020, the Funds recorded permanent reclassifications primarily related to one or more of the following: wholly owned subsidiary income and gain (loss), prior year true up adjustments, net operating losses written off, and deemed distribution on shareholder redemptions. For the year ended October 31, 2020, the Funds recorded the following permanent reclassifications:
| | | Paid-in Capital | | Total Distributable
Earnings/(Losses) | |
Commodity Strategy | | $ | (26,152,116 | ) | | $ | 26,152,116 | | |
Global Allocation | | | 1,428 | | | | (1,428 | ) | |
Long Short | | | 14,773,237 | | | | (14,773,237 | ) | |
U.S. Equity Index PutWrite Strategy | | | 1 | | | | (1 | ) | |
The tax character of distributions paid during the years ended October 31, 2020, and October 31, 2019, was as follows:
| | | Distributions Paid From: | |
| | Ordinary
Income | | Long-Term
Capital Gain | | Return of
Capital | | Total | |
| | | 2020 | | 2019 | | 2020 | | 2019 | | 2020 | | 2019 | | 2020 | | 2019 | |
Commodity
Strategy | | $ | 2,593,247 | | | $ | 3,368,067 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,593,247 | | | $ | 3,368,067 | | |
Global Allocation | | | 290,984 | | | | 401,220 | | | | 192,059 | | | | 422,147 | | | | — | | | | — | | | | 483,043 | | | | 823,367 | | |
Long Short | | | — | | | | — | | | | 53,098,592 | | | | 146,654,901 | | | | — | | | | — | | | | 53,098,592 | | | | 146,654,901 | | |
U.S. Equity Index
PutWrite
Strategy | | | 9,063,074 | | | | 5,048,288 | | | | 5,850,166 | | | | — | | | | 50,804 | | | | — | | | | 14,964,044 | | | | 5,048,288 | | |
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As of October 31, 2020, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
| | | Undistributed
Ordinary
Income | | Undistributed
Tax-Exempt
Income | | Undistributed
Long-Term
Capital Gain | | Unrealized
Appreciation/
(Depreciation) | | Loss
Carryforwards
and Deferrals | | Other
Temporary
Differences | | Total | |
Commodity
Strategy | | $ | 641,048 | | | $ | — | | | $ | — | | | $ | (3,189,444 | ) | | $ | (2,616,464 | ) | | $ | (358 | ) | | $ | (5,165,218 | ) | |
Global
Allocation | | | 166,231 | | | | — | | | | — | | | | 501,480 | | | | (145,562 | ) | | | (3,101 | ) | | | 519,048 | | |
Long Short | | | — | | | | — | | | | 87,678,454 | | | | 614,798,862 | | | | (6,248,625 | ) | | | (5,303,703 | ) | | | 690,924,988 | | |
U.S. Equity Index
PutWrite Strategy | | | — | | | | — | | | | — | | | | 3,014,898 | | | | (877,500 | ) | | | (3,776 | ) | | | 2,133,622 | | |
The temporary differences between book basis and tax basis distributable earnings are primarily due to: losses disallowed and recognized on wash sales, straddles and unsettled short sales, mark-to-market adjustments on swaps, futures, forward FX contracts, options and passive foreign investment companies ("PFIC"), amortization of organizational expenses, amortization of bond premium, gain on constructive sale, wholly owned subsidiary inclusions, tax adjustments related to real estate investment trusts ("REITs"), PFIC, short sales, partnerships, swap contracts and other investments.
To the extent each Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of each Fund not to distribute such gains. Capital loss carryforward rules allow for RICs to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or long-term. As determined at October 31, 2020, the below Fund(s) had unused capital loss carryforwards available for federal income tax purposes to offset future net realized capital gains, as follows:
| | | Capital Loss Carryforwards | |
| | | Long-Term | | Short-Term | |
Commodity Strategy | | $ | 144,503 | | | $ | 2,471,961 | | |
Global Allocation | | | — | | | | 144,925 | | |
Long Short | | | — | | | | — | | |
U.S. Equity Index PutWrite Strategy | | | 362,540 | | | | 514,960 | | |
Under the current tax rules, the Funds may defer any realized late-year ordinary losses as occurring on the first day of the following fiscal year. Late-year ordinary losses represent ordinary losses realized on investment transactions after December 31. For the year ended October 31, 2020, Long Short elected to defer as late-year ordinary losses of $6,248,625.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
Foreign capital gains on certain foreign securities may be subject to foreign taxes, which are accrued as applicable. At April 30, 2021, there were no outstanding balances of accrued capital gains taxes for any Fund.
8 Distributions to shareholders: Each Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income, if any, are recorded on the ex-date and generally distributed once a year (usually in December) for Commodity Strategy, Global Allocation, Long Short and quarterly for U.S. Equity Index PutWrite Strategy. Distributions from net realized capital gains, if any, generally are distributed once a year (usually in December) and are recorded on the ex-date.
For Funds that invest in REITs, these Funds pass through to their shareholders substantially all REIT distributions and other income they receive, less operating expenses. The distributions received from REITs are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to
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these Funds until the following calendar year. For the year ended October 31, 2020, the character of distributions, if any, paid to shareholders of these Funds disclosed within the Statements of Changes in Net Assets is based on estimates made at that time. Based on past experience it is possible that a portion of these Funds' distributions during the current fiscal year, if any, will be considered tax return of capital, but the actual amount of the tax return of capital, if any, is not determinable until after each Fund's fiscal year-end. After calendar year-end, when these Funds learn the nature of the distributions paid by REITs during that year, distributions previously identified as income are often recharacterized as return of capital and/or capital gain. After all applicable REITs have informed these Funds of the actual breakdown of distributions paid to these Funds during their fiscal year, estimates previously recorded are adjusted to reflect actual results. As a result, the composition of these Funds' distributions as reported herein may differ from the final composition determined after calendar year-end and reported to these Funds shareholders on IRS Form 1099-DIV.
9 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., a Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which NBIA serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. Each Fund's expenses (other than those specific to each class) are allocated proportionally each day among its classes based upon the relative net assets of each class.
10 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
11 When-issued/delayed delivery securities: Each Fund may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time a Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the NAV. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to a Fund until payment takes place. At the time a Fund enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment. When-issued and delayed delivery transactions can have a leverage-like effect on a Fund, which can increase fluctuations in the Fund's NAV. Certain risks may arise upon entering into when-issued or delayed delivery securities transactions from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
Each Fund may also enter into a TBA agreement and "roll over" such agreement prior to the settlement date by selling the obligation to purchase the pools set forth in the agreement and entering into a new TBA agreement for future delivery of pools of mortgage-backed securities. TBA mortgage-backed securities may increase prepayment risks because the underlying mortgages may be less favorable than anticipated by a Fund.
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12 Securities sold short: Each Fund may engage in short sales, which are sales of securities which have been borrowed from a third party on the expectation that the market price will decline. If the price of the securities decreases, a Fund will make a profit by purchasing the securities in the open market at a price lower than the one at which it sold the securities. If the price of the securities increases, a Fund may have to cover its short positions at a price higher than the short sale price, resulting in a loss. Gains are limited to the price at which a Fund sold the security short, while losses are potentially unlimited in size. The Funds pledge securities and/or other assets, which may include cash collateral from securities lending activities, to the lender as collateral. Proceeds received from short sales may be maintained by the lender as collateral or may be released to the Funds and used to purchase additional securities or for any other purpose. Proceeds maintained by the lender are included in the "Cash collateral segregated for short sales" on the Statements of Assets and Liabilities. The Funds are required to segregate an amount of cash or liquid securities in an amount at least equal to the current market value of the securities sold short (less any additional collateral pledged to the lender). The Funds are contractually responsible to remit to the lender any dividends and interest payable on securities while those securities are being borrowed by the Fund. The Funds may receive or pay the net of the interest charged by the prime broker on the borrowed securities and a financing charge for the difference in the market value of the short position and the cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. These costs related to short sales (i.e., dividend and interest remitted to the lender and interest charged by the prime broker) are recorded as an expense of the Funds and are excluded from the contractual expense limitation. A net negative expense, if any, represents a gain to the Fund as the total cash rebates received exceeded the other costs related to short sales. The net amount of fees incurred during the six months ended April 30, 2021, are included in the "Dividend and interest expense on securities sold short" on the Statements of Operations and are as follows:
At April 30, 2021, Long Short had cash pledged in the amount of $522,223,537 to State Street Bank and Trust Company ("State Street") to cover collateral requirements for borrowing in connection with securities sold short.
13 Securities lending: Each Fund, using State Street as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees, if any, would be disclosed within the Statements of Operations under the caption "Income from securities loaned-net" and are net of expenses retained by State Street as compensation for its services as lending agent.
The initial cash collateral received by a Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). Thereafter, the value of the cash collateral is monitored on a daily basis, and cash collateral is moved daily between a counterparty and a Fund until the close of the transaction. A Fund may only receive collateral in the form of cash (U.S. dollars). Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street. The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities. Any increase or decrease in the fair value of the securities loaned and any interest earned or dividends paid or owed on those securities during the term of the loan would accrue to the Fund.
As of April 30, 2021, the Fund listed below had outstanding loans of securities to certain approved brokers each with a value as follows:
| | | Value of Securities
Loaned | |
Long Short | | $ | 496,521 | | |
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As of April 30, 2021, the Fund listed below had outstanding loans of securities to certain approved brokers for which it received collateral as follows:
Remaining Contractual Maturity of the Agreements | |
| | | Overnight and
Continuous | | Less Than 30
Days | | Between 30 &
90 Days | | Greater Than
90 Days | | Total | |
Securities Lending
Transactions(a) | |
| |
| |
| |
| |
| |
Common Stocks | | | | | | | | | | | |
Long Short | | $ | 506,680 | | | $ | — | | | $ | — | | | $ | — | | | $ | 506,680 | | |
(a) Amounts represent the payable for loaned securities collateral received.
14 Special purpose acquisition company: The Funds may acquire an interest in a special purpose acquisition company ("SPAC") in an IPO, via a private placement or a secondary market transaction. A SPAC is typically a publicly traded company that raises investment capital via an initial public offering for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash. To the extent the SPAC is invested in cash or similar securities, this may negatively affect a Fund's performance if the Fund is invested in the SPAC during such period. Because SPACs and similar entities are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity's management to identify and complete a profitable acquisition. There is no guarantee that the SPACs will complete an acquisition or that any acquisitions that are completed will be profitable. Some SPACs may pursue acquisitions only within certain industries or regions, which may increase the volatility of their prices. These transactions will require the approval of the respective shareholders and are subject to other customary closing conditions, including the receipt of certain regulatory approvals. If these conditions are not met, the SPAC's acquisition may not close and, to the extent a Fund had committed to participate in a private placement (i.e, PIPE transaction), such Fund will no longer be obligated to fulfill its commitment.
15 Private investment in public equity: The Funds may acquire equity securities of an issuer that are issued through a PIPE transaction, including on a when-issued basis. A Fund will generally earmark an amount of cash or high quality securities equal (on a daily mark to market basis) to the amount of its commitment to purchase the when-issued securities. PIPE transactions typically involve the purchase of securities directly from a publicly traded company or its affiliates in a private placement transaction, including securities issued by a SPAC, typically at a discount to the market price of the company's securities. There is a risk that if the market price of the securities drops below a set threshold, the company may have to issue additional stock at a significantly reduced price, which may dilute the value of a Fund's investment. Shares in PIPEs generally are not registered with the SEC until after a certain time period from the date the private sale is completed. This restricted period can last an uncertain amount of time and may be many months. Until the public registration process is completed, securities acquired via a PIPE are restricted as to resale and a Fund cannot freely trade the securities. Generally, such restrictions cause these securities to be illiquid during this time. PIPEs may contain provisions that the issuer will pay specified financial penalties to the holder if the issuer does not publicly register the restricted equity securities within a specified period of time, but there is no assurance that the restricted equity securities will be publicly registered, or that the registration will remain in effect. Certain PIPE transactions could be treated and presented as derivatives or commitments on the statement of assets and liabilities based on the terms and considerations of each agreement.
On January 23, 2021, Long Short entered into a subscription agreement with a SPAC, Spartan Acquisition Corp. II, and agreed to commit $18,000,000 to Spartan Acquisition Corp. II, for 1,800,000 shares of Sunlight Financial LLC Class A common stock at a purchase price of $10 per share, via a PIPE transaction, to be funded at closing. On February 3, 2021, Long Short entered into a subscription agreement with a SPAC, FTAC Olympus Acquisition
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Corp., and agreed to commit $7,209,000 to FTAC Olympus Acquisition Corp. for 720,900 shares of Payoneer Inc. common stock at a purchase price of $10 per share, via a PIPE transaction, to be funded at closing. At April 30, 2021, Long Short's PIPE investments in FTAC Olympus Acquisition Corp. and Spartan Acquisition Corp. II were considered commitments. The net appreciation/depreciation is stated in the Statements of Assets and Liabilities under "Private investment in public equity- subscription agreement" and shown separately in the Statements of Operations under "Change in net unrealized appreciation/(depreciation) in value of Private investment in public equity—subscription agreement." On February 22, 2021, Long Short entered into a subscription agreement with a SPAC, Churchill Capital Corp. IV, and agreed to commit $25,999,995 to Churchill Capital Corp. IV for 1,733,333 shares of Lucid Motors Class A common stock at a purchase price of $15 per share, via a PIPE transaction, to be funded at closing. At April 30, 2021, Long Short's PIPE investment in Churchill Capital Corp. IV was considered a derivative (See Note A-16). The PIPE transactions closing dates are to be determined and are subject to certain closing conditions being met. Long Short's commitment for all subscription agreements are reflected either in the Schedule of Investments under "Derivative Instruments" or in the chart below based on the applicable treatment.
SPAC | | Value as of 4/30/2021(b) | |
| FTAC Olympus Acquisition Corp.(a) | | $ | 7,209,000 | | |
| Spartan Acquisition Corp. II(a) | | | 18,000,000 | | |
(a) Investment fair valued as of April 30, 2021 in accordance with procedures approved by the Board of Trustees.
(b) These investments have been deemed by the investment manager to be illiquid, and are subject to restrictions on resale. At April 30, 2021, these investments amounted to $25,209,000 which represents 0.5% of net assets of the Fund.
| Restricted Security | | Subscription
Agreements
Date | | Amounts
Committed | | Amounts
Committed
Percentage of
Net Assets as
of Subscription
Agreements
Date | | Value as
of 4/30/2021 | | Fair Value
Percentage of
Net Assets as
of 4/30/2021 | |
FTAC Olympus Acquisition Corp. | | 1/21/2021 | | $ | 7,209,000 | | | | 0.2 | % | | $ | 7,209,000 | | | | 0.1 | % | |
Spartan Acquisition Corp. II | | 2/3/2021 | | | 18,000,000 | | | | 0.4 | % | | | 18,000,000 | | | | 0.4 | % | |
Total | | | | $ | 25,209,000 | | | | 0.6 | % | | $ | 25,209,000 | | | | 0.5 | % | |
16 Derivative instruments: Certain Funds' use of derivatives during the six months ended April 30, 2021, is described below. Please see the Schedule of Investments for each Fund's open positions in derivatives, if any, at April 30, 2021. The Funds have adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting. Accordingly, even though a Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives a fund could enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is more than a limited specified exposure to establish and maintain a derivatives risk management program and appoint a derivatives risk manager. While the new rule became effective February 19, 2021, funds will not be required to fully comply with the new rule until August 19, 2022. It is not currently clear what impact, if any, the new rule will have on the availability, liquidity or performance of derivatives. When fully implemented, the new rule may require changes in how a Fund will use derivatives, may adversely affect a Fund's performance and may increase costs related to a Fund's use of derivatives.
94
Futures contracts: During the six months ended April 30, 2021, Commodity Strategy used commodity futures contracts (through investments in the CS Subsidiary) to provide investment exposure to individual commodities, as well as to manage and/or adjust the risk profile of the Fund. During the six months ended April 30, 2021, Global Allocation used futures in an effort to enhance total return and to manage or adjust the risk profile and the investment exposure of the Fund to certain asset classes, countries and regions. In addition, Global Allocation also utilized futures to provide investment exposure to certain indices and markets other than the benchmark indices. During the six months ended April 30, 2021, Long Short used futures on broader market indices and U.S. Treasuries in an effort either to enhance returns or to manage or adjust the risk profile and the investment exposure of the Fund.
At the time a Fund or CS Subsidiary enters into a futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity exchange on which such futures contract is traded. Subsequent payments, known as "variation margin," to and from the broker are made on a daily basis, or as needed, as the market price of the futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by a Fund or CS Subsidiary as unrealized gains or losses.
Although some futures by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching futures. When the contracts are closed or expire, a Fund or CS Subsidiary recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to a Fund or CS Subsidiary because the exchange's clearinghouse assumes the position of the counterparty in each transaction. Thus, a Fund or CS Subsidiary is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, the futures transactions undertaken by a Fund or CS Subsidiary may cause the Fund or CS Subsidiary to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the timing of some capital gains and losses realized by the Fund or CS Subsidiary. Also, a Fund's or CS Subsidiary's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating such Fund's or CS Subsidiary's taxable income.
Forward foreign currency contracts: During the six months ended April 30, 2021, Global Allocation used forward FX contracts to obtain or reduce exposure to certain markets, establish net short or long positions for currencies and alter the Fund's exposure to markets and currencies.
A forward FX contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, and is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward FX contract fluctuates with changes in forward currency exchange rates. Forward FX contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain or loss. At the consummation of a forward FX contract to purchase or sell currency, a Fund may either exchange the currencies specified at the maturity of the forward FX contract or enter into a closing transaction involving the purchase or sale of an offsetting forward FX contract. Closing transactions with respect to forward FX contracts are usually performed with the counterparty to the original forward FX contract. The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a contract is included in "Net realized gain/(loss) on settlement of forward foreign currency contracts" in the Statements of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in a Fund's Statement of Assets and Liabilities. In addition, a Fund could be
95
exposed to risks associated with fluctuations in foreign currency and the risk the counterparty will fail to fulfill its obligation.
Total return basket swap contracts: During the six months ended April 30, 2021, Global Allocation used total return basket swaps to provide investment exposure to certain investments, primarily equity securities. During the six months ended April 30, 2021, Long Short used total return basket swaps to increase returns, reduce risks and for hedging purposes. A Fund may enter into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation/(depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as "financing costs". Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Funds and the swap counterparty. For over-the-counter ("OTC") total return basket swaps, cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an agreement between the Funds and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in unrealized appreciation/(depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as realized gains (losses) on closing of swap contracts in the Statements of Operations.
Total return swap contracts: During the six months ended April 30, 2021, Global Allocation used total return swaps to enhance total return and obtain or reduce exposure to certain markets. During the six months ended April 30, 2021, Long Short used total return swaps to increase returns, reduce risks and for hedging purposes. Total return swaps involve commitments to pay fixed or floating rate interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the reference security or index underlying the total return swap exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment or make a payment to the counterparty, respectively. Certain risks may arise when entering into total return swap transactions, including counterparty default, liquidity or unfavorable changes in the value of the underlying reference security or index. The value of the swap is adjusted daily and the change in value, if any, is recorded as unrealized appreciation or (depreciation) in the Statements of Assets and Liabilities. Payments received or made at the end of each measurement period are recorded as realized gain or loss in the Statements of Operations. For OTC total return swaps, cash settlement in and out of the swaps may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an agreement between the Fund and the counterparty.
Options: During the six months ended April 30, 2021, Global Allocation used options written to enhance total return, manage or adjust the risk profile of the Fund or the risk of individual positions, replace more traditional direct investments and obtain exposure to certain markets. During the six months ended April 30, 2021, Global Allocation used options purchased to enhance total return, manage or adjust the risk profile of the Fund, and replace more traditional direct investments. During the six months ended April 30, 2021, Long Short used options written to enhance total returns. During the six months ended April 30, 2021, Long Short used options purchased either for hedging purposes or to enhance total returns. During the six months ended April 30, 2021, U.S. Equity Index PutWrite Strategy used options written primarily to gain exposure to securities, markets, sectors or geographical areas and also to enhance total return and gain exposure more efficiently than through a direct purchase of the underlying security.
96
Premiums paid by a Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the asset is eliminated. For purchased call options, a Fund's loss is limited to the amount of the option premium paid.
Premiums received by a Fund upon writing a call option or a put option are recorded in the liability section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the liability is eliminated.
When a fund writes a call option on an underlying asset it does not own, its exposure on such an option is theoretically unlimited. When writing a covered call option, a Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, a Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a call or put option that a Fund has written expires unexercised, a Fund will realize a gain for the amount of the premium. All securities covering outstanding written options are held in escrow by the custodian bank.
Private Investment in Public Equity: As of April 30, 2021, Long Short's PIPE investment in Churchill Capital Corp. IV represents an unfunded subscription agreement in a private investment in public equity, which is considered a derivative instrument under ASC 815, is stated in the Statements of Assets and Liabilities under "Private investment in public equity-derivative, at value" and shown separately in the Statements of Operations under "Change in net unrealized appreciation/(depreciation) in value of Private investment in public equity—derivative." See Notes A-14 and A-15 of the Notes to Financial Statements for additional information.
At April 30, 2021, the Funds listed below had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives
Derivative Type | | Statements of
Assets and
Liabilities Location | | Interest Rate Risk | | Currency Risk | | Equity Risk | | Commodity Risk | | Total | |
Commodity Strategy | |
Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 13,887,891 |
| | $ | 13,887,891 |
| |
Total Value—Assets | | | | $ | — | | | $ | — | | | $ | — | | | $ | 13,887,891 | | | $ | 13,887,891 | | |
Global Allocation | |
| Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | 19,957 |
| | $ | — |
| | $ | 6,076 |
| | $ | — |
| | $ | 26,033 |
| |
Over-the-counter swaps | | Over-the-counter
swap contracts,
at value(a) | |
| — |
| |
| — |
| |
| 16,566 |
| |
| 5,807 |
| |
| 22,373 |
| |
Options purchased | | Investments in securities,
at value | |
| — |
| |
| 1,912 |
| |
| — |
| |
| — |
| |
| 1,912 |
| |
Total Value—Assets | |
| | $ | 19,957 | | | $ | 1,912 | | | $ | 22,642 | | | $ | 5,807 | | | $ | 50,318 | | |
97
Derivative Type | | Statements of
Assets and
Liabilities Location | | Interest Rate Risk | | Currency Risk | | Equity Risk | | Commodity Risk | | Total | |
Long Short | |
Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | 153,202 |
| | $ | — |
| | $ | 250,016 |
| | $ | — |
| | $ | 403,218 |
| |
Options purchased | | Investments in securities,
at value | |
| — |
| |
| — |
| |
| 10,961,851 |
| |
| — |
| |
| 10,961,851 |
| |
| PIPE | | Private investment
in public equity-
derivative, at value | |
| — |
| |
| — |
| |
| — |
| |
| — |
| |
| — |
| |
Total Value—Assets | |
| | $ | 153,202 | | | $ | — | | | $ | 11,211,867 | | | $ | — | | | $ | 11,365,069 | | |
Liability Derivatives
Derivative Type | | Statements of
Assets and
Liabilities Location | | Interest Rate Risk | | Currency Risk | | Equity Risk | | Commodity Risk | | Total | |
Commodity Strategy | |
Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | — |
| | $ | — |
| | $ | — |
| | $ | (1,941,809 | ) | | $ | (1,941,809 | ) | |
Total Value—Liabilities | | | | $ | — | | | $ | — | | | $ | — | | | $ | (1,941,809 | ) | | $ | (1,941,809 | ) | |
Global Allocation | |
Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | (48 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | (48 | ) | |
Forward FX contracts | | Payable for
forward foreign
currency contracts | |
| — |
| |
| (1,094 | ) | |
| — |
| |
| — |
| |
| (1,094 | ) | |
Over-the-counter swaps | | Over-the-counter
swap contracts,
at value(a) | |
| — |
| |
| — |
| |
| (8,570 | ) | |
| — |
| |
| (8,570 | ) | |
Options written | | Option contracts
written, at value | |
| — |
| |
| (575 | ) | |
| (5,858 | ) | |
| — |
| |
| (6,433 | ) | |
Total Value—Liabilities | | | | $ | (48 | ) | | $ | (1,669 | ) | | $ | (14,428 | ) | | $ | — | | | $ | (16,145 | ) | |
98
Derivative Type | | Statements of
Assets and
Liabilities Location | | Interest Rate Risk | | Currency Risk | | Equity Risk | | Commodity Risk | | Total | |
Long Short | |
Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | — |
| | $ | — |
| | $ | (43,618,861 | ) | | $ | — |
| | $ | (43,618,861 | ) | |
Over-the-counter swaps | | Over-the-counter
swap contracts,
at value(a) | |
| — |
| |
| — |
| |
| (178,603,978 | ) | |
| — |
| |
| (178,603,978 | ) | |
Options written | | Option contracts
written, at value | |
| — |
| |
| — |
| |
| (8,429,979 | ) | |
| — |
| |
| (8,429,979 | ) | |
Total Value—Liabilities | | | | $ | — | | | $ | — | | | $ | (230,652,818 | ) | | $ | — | | | $ | (230,652,818 | ) | |
U.S. Equity Index PutWrite Strategy | |
Options written | | Option contracts
written, at value | | $ | — |
| | $ | — |
| | $ | (4,276,180 | ) | | $ | — |
| | $ | (4,276,180 | ) | |
Total Value—Liabilities | | | | $ | — | | | $ | — | | | $ | (4,276,180 | ) | | $ | — | | | $ | (4,276,180 | ) | |
(a) "Over-the-counter swaps" reflect the cumulative unrealized appreciation/(depreciation) of the over-the-counter swap contracts plus accrued interest as of April 30, 2021.
The impact of the use of these derivative instruments on the Statements of Operations during the six months ended April 30, 2021, was as follows:
Realized Gain/(Loss)
Derivative Type | | Statements of
Operations
Location | | Interest Rate Risk | | Currency Risk | | Equity Risk | | Commodity Risk | | Total | |
Commodity Strategy | |
Futures | | Net realized
gain/(loss) on:
Expiration or
closing of
futures contracts | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 31,750,226 |
| | $ | 31,750,226 |
| |
Total Realized Gain/(Loss) | | | | $ | — | | | $ | — | | | $ | — | | | $ | 31,750,226 | | | $ | 31,750,226 | | |
Global Allocation
Futures | | Net realized
gain/(loss) on:
Expiration or
closing of
futures contracts | | $ | 44,078 |
| | $ | — |
| | $ | 3,740 |
| | $ | — |
| | $ | 47,818 |
| |
Forward FX contracts | | Net realized
gain/(loss) on:
Settlement of
forward foreign
currency contracts | |
| — |
| |
| (7,677 | ) | |
| — |
| |
| — |
| |
| (7,677 | ) | |
99
Derivative Type | | Statements of
Operations
Location | | Interest Rate Risk | | Currency Risk | | Equity Risk | | Commodity Risk | | Total | |
Swaps | | Net realized
gain/(loss) on:
Expiration or
closing of
swap contracts | | $ | — |
| | $ | — |
| | $ | 3,246 |
| | $ | — |
| | $ | 3,246 |
| |
Options purchased | | Net realized
gain/(loss) on:
Transactions in
investment securities
of unaffiliated issuers | |
| — |
| |
| — |
| |
| (15,776 | ) | |
| — |
| |
| (15,776 | ) | |
Options written | | Net realized
gain/(loss) on:
Expiration or
closing of option
contracts written | |
| — |
| |
| — |
| |
| 68,890 |
| |
| — |
| |
| 68,890 |
| |
Total Realized Gain/(Loss) | |
| | $ | 44,078 | | | $ | (7,677 | ) | | $ | 60,100 | | | $ | — | | | $ | 96,501 | | |
Long Short
Futures | | Net realized
gain/(loss) on:
Expiration or
closing of
futures contracts | | $ | (1,843,044 | ) | | $ | — |
| | $ | (99,345,079 | ) | | $ | — |
| | $ | (101,188,123 | ) | |
Swaps | | Net realized
gain/(loss) on:
Expiration or
closing of
swap contracts | |
| — |
| |
| — |
| |
| (43,767,643 | ) | |
| — |
| |
| (43,767,643 | ) | |
Options purchased | | Net realized
gain/(loss) on:
Transactions in
investment securities
of unaffiliated issuers | |
| — |
| |
| — |
| |
| (4,847,626 | ) | |
| — |
| |
| (4,847,626 | ) | |
Options written | | Net realized
gain/(loss) on:
Expiration or
closing of option
contracts written | |
| — |
| |
| — |
| |
| 16,616,881 |
| |
| — |
| |
| 16,616,881 |
| |
Total Realized Gain/(Loss) | | | | $ | (1,843,044 | ) | | $ | — | | | $ | (131,343,467 | ) | | $ | — | | | $ | (133,186,511 | ) | |
100
Derivative Type | | Statements of
Operations
Location | | Interest Rate Risk | | Currency Risk | | Equity Risk | | Commodity Risk | | Total | |
U.S. Equity Index PutWrite Strategy | |
Options written | | Net realized
gain/(loss) on:
Expiration or
closing of option
contracts written | | $ | — |
| | $ | — |
| | $ | 56,373,966 |
| | $ | — |
| | $ | 56,373,966 |
| |
Total Realized Gain/(Loss) | | | | $ | — | | | $ | — | | | $ | 56,373,966 | | | $ | — | | | $ | 56,373,966 | | |
Change in Appreciation/(Depreciation)
Derivative Type | | Statements of
Operations
Location | | Interest Rate Risk | | Currency Risk | | Equity Risk | | Commodity Risk | | Total | |
Commodity Strategy | |
Futures | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Futures contracts | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 9,335,943 |
| | $ | 9,335,943 |
| |
Total Change in
Appreciation/
(Depreciation) | |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 9,335,943 |
| | $ | 9,335,943 |
| |
Global Allocation
Futures | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Futures contracts | | $ | 19,909 |
| | $ | — |
| | $ | 6,076 |
| | $ | — |
| | $ | 25,985 |
| |
Forward FX contracts | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Forward foreign
currency contracts | |
| — |
| |
| (2,435 | ) | |
| — |
| |
| — |
| |
| (2,435 | ) | |
101
Derivative Type | | Statements of
Operations
Location | | Interest Rate Risk | | Currency Risk | | Equity Risk | | Commodity Risk | | Total | |
| Swaps | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Swap contracts | | $ | — |
| | $ | — |
| | $ | 7,996 |
| | $ | 5,807 |
| | $ | 13,803 |
| |
Options purchased | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Investment
securities of
unaffiliated issuers | |
| — |
| |
| (1,856 | ) | |
| (6,247 | ) | |
| — |
| |
| (8,103 | ) | |
| Options written | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Option contracts
written | |
| — |
| |
| 860 |
| |
| 12,273 |
| |
| — |
| |
| 13,133 |
| |
Total Change in
Appreciation/
(Depreciation) | |
| | $ | 19,909 |
| | $ | (3,431 | ) | | $ | 20,098 |
| | $ | 5,807 |
| | $ | 42,383 |
| |
Long Short
| Futures | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Futures contracts | | $ | (289,767 | ) | | $ | — |
| | $ | (65,052,999 | ) | | $ | — |
| | $ | (65,342,766 | ) | |
Swaps | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Swap contracts | |
| — |
| |
| — |
| |
| (159,115,971 | ) | |
| — |
| |
| (159,115,971 | ) | |
102
Derivative Type | | Statements of
Operations
Location | | Interest Rate Risk | | Currency Risk | | Equity Risk | | Commodity Risk | | Total | |
Options purchased | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Investment
securities of
unaffiliated issuers | | $ | — |
| | $ | — |
| | $ | 5,330,703 |
| | $ | — |
| | $ | 5,330,703 |
| |
Options written | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Option contracts
written | |
| — |
| |
| — |
| |
| 4,248,862 |
| |
| — |
| |
| 4,248,862 |
| |
| PIPE | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Private investment
in public
equity-derivative | |
| — |
| |
| — |
| |
| — |
| |
| — |
| |
| — |
| |
Total Change in
Appreciation/
(Depreciation) | |
| | $ | (289,767 | ) | | $ | — |
| | $ | (214,589,405 | ) | | $ | — |
| | $ | (214,879,172 | ) | |
U.S. Equity Index PutWrite Strategy | |
Options written | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Option contracts
written | | $ | — |
| | $ | — |
| | $ | 9,009,126 |
| | $ | — |
| | $ | 9,009,126 |
| |
Total Change in
Appreciation/
(Depreciation) | |
| | $ | — |
| | $ | — |
| | $ | 9,009,126 |
| | $ | — |
| | $ | 9,009,126 |
| |
While the Funds may receive redeemable preference shares, rights and warrants in connection with their investments in securities, these preference shares, rights and warrants are not considered "derivative instruments" under ASC 815.
103
The Funds are required to disclose both gross and net information for assets and liabilities related to OTC derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions that are eligible for offset or subject to an enforceable master netting, or similar agreement. Global Allocation and Long Short held one or more of these investments at April 30, 2021. The Funds' OTC derivative assets and liabilities at fair value by type and securities lending assets are reported gross in the Statements of Assets and Liabilities. The following tables present derivative and securities lending assets and liabilities by counterparty, net of amounts available for offset under a master netting, or similar agreement and net of the related collateral received by a Fund for assets and pledged by a Fund for liabilities as of April 30, 2021.
Description | |
Gross Amounts of
Recognized Assets | | Gross Amounts Offset
in the Statements of
Assets and Liabilities | | Net Amounts of Assets
Presented in the Statements
of Assets and Liabilities | |
Global Allocation | |
Over-the-counter
swap contracts | | $ | 22,373 | | | $ | — | | | $ | 22,373 | | |
Over-the-counter options | | | 1,912 | | | | — | | | | 1,912 | | |
Total | | $ | 24,285 | | | $ | — | | | $ | 24,285 | | |
Long Short | |
Securities lending | | $ | 496,521 | | | $ | — | | | $ | 496,521 | | |
Total | | $ | 496,521 | | | $ | — | | | $ | 496,521 | | |
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty | | Net Amounts of
Assets Presented in
the Statements of Assets
and Liabilities | | Liabilities
Available
for Offset | | Cash Collateral
Received(a) | | Net Amount(b) | |
Global Allocation | |
GSI | | $ | 17,594 | | | $ | (10,980 | ) | | $ | — | | | $ | 6,614 | | |
JPM | | | 6,691 | | | | (4,023 | ) | | | — | | | | 2,668 | | |
Total | | $ | 24,285 | | | $ | (15,003 | ) | | $ | — | | | $ | 9,282 | | |
Long Short | |
SSB | | $ | 496,521 | | | $ | — | | | $ | (496,521 | ) | | $ | — | | |
Total | | $ | 496,521 | | | $ | — | | | $ | (496,521 | ) | | $ | — | | |
Description | | Gross Amounts of
Recognized Liabilities | | Gross Amounts Offset
in the Statements
of Assets and Liabilities | | Net Amounts of Liabilities
Presented in the Statements
of Assets and Liabilities | |
Global Allocation | |
Forward FX contracts | | $ | (1,094 | ) | | $ | — | | | $ | (1,094 | ) | |
Over-the-counter swap contracts | | | (8,570 | ) | | | — | | | | (8,570 | ) | |
Over-the-counter options | | | (6,433 | ) | | | — | | | | (6,433 | ) | |
Total | | $ | (16,097 | ) | | $ | — | | | $ | (16,097 | ) | |
Long Short | |
Over-the-counter swap contracts | | $ | (178,603,978 | ) | | $ | — | | | $ | (178,603,978 | ) | |
Total | | $ | (178,603,978 | ) | | $ | — | | | $ | (178,603,978 | ) | |
104
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty | | Net Amounts of
Liabilities Presented in
the Statements of Assets
and Liabilities | | Assets
Available
for Offset | | Cash Collateral
Pledged(a) | | Net Amount(c) | |
Global Allocation | |
CITI | | $ | (1,094 | ) | | $ | — | | | $ | — | | | $ | (1,094 | ) | |
GSI | | | (10,980 | ) | | | 10,980 | | | | — | | | | — | | |
JPM | | | (4,023 | ) | | | 4,023 | | | | — | | | | — | | |
Total | | $ | (16,097 | ) | | $ | 15,003 | | | $ | — | | | $ | (1,094 | ) | |
Long Short | |
GSI | | $ | (8,748,831 | ) | | $ | — | | | $ | 8,748,831 | | | $ | — | | |
JPM | | | (169,855,147 | ) | | | — | | | | 169,855,147 | | | | — | | |
Total | | $ | (178,603,978 | ) | | $ | — | | | $ | 178,603,978 | | | $ | — | | |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty.
(b) Net Amount represents amounts subject to loss as of April 30, 2021, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized to each counterparty as of April 30, 2021.
17 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
18 Transactions with other funds managed by Neuberger Berman Investment Advisers LLC: The Funds and NBIA have obtained an exemptive order from the SEC that permits the Funds to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, subject to the terms and conditions of such order ("Exemptive Order"). During the six months ended April 30, 2021, Global Allocation invested in Commodity Strategy, Neuberger Berman Emerging Markets Equity Fund, Neuberger Berman Genesis Fund and Neuberger Berman International Select Fund (collectively the "Underlying Funds") (See Note F).
For Global Allocation's investment in the Underlying Funds, NBIA waived a portion of its management fee equal to the management fee it received from the Underlying Funds on those assets (the "Arrangement"). For the six months ended April 30, 2021, management fees waived under this Arrangement are reflected in the Statements of Operations under the caption "Investment management fees waived." For the six months ended April 30, 2021, distributions from income and capital gains received from the Underlying Funds on Global Allocation's investments is reflected in the Statements of Operations under the caption "Dividend income-affiliated issuers" and "Realized gain distributions from affiliated issuers". For the six months ended April 30, 2021, management fees waived under this Arrangement and distributions from income and capital gains received from Global Allocation's investments in the Underlying Funds were as follows:
| | | Management Fees Waived | | Distributions from Income
and Capital Gains | |
Global Allocation | | $ | 5,165 | | | $ | 33,563 | | |
105
19 Investment company securities and exchange-traded funds: The Funds may invest in shares of other registered investment companies, including ETFs, within the limitations prescribed by (a) the 1940 Act, (b) the Exemptive Order, or (c) the ETF's exemptive order or other relief. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. A Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will decrease returns.
In October 2020, the SEC adopted Rule 12d1-4, which permits a Fund to exceed the limits prescribed by Section 12 of the 1940 Act in the absence of an exemptive order, if the Fund complies with the adopted framework for fund of funds arrangements. Rule 12d1-4 contains elements from the SEC's current exemptive orders and rules permitting fund of funds arrangements, and includes (i) limits on control and voting; (ii) required evaluations and findings; (iii) required fund of funds investment agreements; and (iv) limits on complex structures. In connection with the new rule, on or about January 19, 2022, the SEC is expected to rescind the Funds' current exemptive order and Rule 12d1-2 under the 1940 Act, and if so, a Fund seeking to exceed the limits in Section 12 of the 1940 Act will need to rely on Rule 12d1-4.
20 Other: All net investment income and realized and unrealized capital gains and losses of each Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
21 Other matters—Coronavirus: The outbreak of the novel coronavirus in many countries has, among other things, disrupted global travel and supply chains, and adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility. The development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on global economic and market conditions. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact the issuers of the securities held by the Funds.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
Each Fund retains NBIA as its investment manager under a Management Agreement. For such investment management services, each Fund pays NBIA an investment management fee as a percentage of average daily net assets(a) according to the following table:
| | First
$250
million | | Next
$250
million | | Next
$250
million | | Next
$250
million | | Next
$500
million | | Next
$500
million | | Next
$2
billion | | Thereafter | |
For Commodity Strategy and CS Subsidiary: | | | |
| | | | | | 0.50 | % | | | 0.475 | % | | | 0.45 | % | | | 0.425 | % | | | 0.40 | % | | | 0.375 | % | | | 0.375 | % | | | 0.35 | % | |
For Global Allocation: | | | |
| | | | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.525 | % | | | 0.525 | % | | | 0.50 | % | | | 0.50 | % | |
For Long Short: | | | |
| | | | | | 1.20 | % | | | 1.175 | % | | | 1.15 | % | | | 1.125 | % | | | 1.10 | % | | | 1.075 | % | | | 1.075 | % | | | 1.05 | % | |
For U.S. Equity Index PutWrite Strategy: | | | |
| | | | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | |
(a) Less the NAV of the CS Subsidiary for Commodity Strategy.
106
Accordingly, for the six months ended April 30, 2021, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of each Fund's average daily net assets(a), as follows:
| | | Effective Rate | |
Commodity Strategy | | | 0.50 | % | |
CS Subsidiary | | | 0.50 | % | |
Global Allocation | | | 0.45 | %(b) | |
Long Short | | | 1.10 | % | |
(a) Less the NAV of the CS Subsidiary for Commodity Strategy.
(b) After management fee waiver (Note A).
Each Fund retains NBIA as its administrator under an Administration Agreement. The administration fee is assessed at the class level and each share class of a Fund, as applicable, pays NBIA an annual administration fee equal to the following: 0.26% for each of Class A and Class C; 0.15% for Institutional Class; and 0.05% for Class R6, each as a percentage of its average daily net assets. Additionally, NBIA retains State Street as its sub-administrator under a Sub-Administration Agreement. NBIA pays State Street a fee for all services received under the Sub-Administration Agreement.
NBIA has contractually agreed to waive fees and/or reimburse certain expenses of the Institutional Class, Class A, Class C and Class R6 of each Fund that offers those classes so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitations. The expenses of the CS Subsidiary are included in the total expenses used to calculate the reimbursement, which Commodity Strategy has agreed to share with the CS Subsidiary. For the six months ended April 30, 2021, the expenses of the CS Subsidiary amounted to $105,049.
At April 30, 2021, contingent liabilities to NBIA under the agreements were as follows:
| | | | | | | Expenses Reimbursed in
Year Ended October 31, | |
| | | | | | | 2018 | | 2019 | | 2020 | | 2021 | |
| | | | | | | Subject to Repayment Until
October 31, | |
Class | | Contractual
Expense
Limitation(a) | | Expiration | | 2021 | | 2022 | | 2023 | | 2024 | |
Commodity Strategy Institutional Class | | | 0.73 | % | | 10/31/24 | | $ | 227,405 | | | $ | 267,105 | | | $ | 291,571 | | | $ | 133,181 | | |
Commodity Strategy Class A | | | 1.09 | % | | 10/31/24 | | | 118,368 | | | | 88,930 | | | | 52,155 | | | | 29,299 | | |
| Commodity Strategy Class C(d) | | | 1.84 | % | | 10/31/24 | | | — | | | | — | | | | — | | | | 11 | | |
Global Allocation Institutional Class | | | 0.75 | % | | 10/31/24 | | | 329,169 | | | | 314,674 | | | | 315,601 | | | | 144,922 | | |
Global Allocation Class A | | | 1.11 | % | | 10/31/24 | | | 79,935 | | | | 63,743 | | | | 48,217 | | | | 25,573 | | |
Global Allocation Class C | | | 1.86 | % | | 10/31/24 | | | 63,702 | | | | 53,469 | | | | 51,809 | | | | 27,284 | | |
Global Allocation Class R6 | | | 0.65 | % | | 10/31/24 | | | — | | | | 604 | (c) | | | 826 | | | | 626 | | |
Long Short Institutional Class | | | 1.70 | % | | 10/31/24 | | | — | | | | — | | | | — | | | | — | | |
Long Short Class A | | | 2.06 | % | | 10/31/24 | | | — | | | | — | | | | — | | | | — | | |
Long Short Class C | | | 2.81 | % | | 10/31/24 | | | — | | | | — | | | | — | | | | — | | |
107
| | | | | | | Expenses Reimbursed in
Year Ended October 31, | |
| | | | | | | 2018 | | 2019 | | 2020 | | 2021 | |
| | | | | | | Subject to Repayment Until
October 31, | |
Class | | Contractual
Expense
Limitation(a) | | Expiration | | 2021 | | 2022 | | 2023 | | 2024 | |
U.S. Equity Index PutWrite
Strategy Institutional Class | | | 0.65 | % | | 10/31/24 | | $ | 238,341 | | | $ | 245,105 | | | $ | 209,397 | | | $ | 58,199 | | |
U.S. Equity Index PutWrite
Strategy Class A | | | 1.01 | % | | 10/31/24 | | | 8,937 | | | | 27,065 | | | | 18,661 | | | | 1,435 | | |
U.S. Equity Index PutWrite
Strategy Class C | | | 1.76 | % | | 10/31/24 | | | 1,190 | | | | 1,602 | | | | 1,166 | | | | 440 | | |
U.S. Equity Index PutWrite
Strategy Class R6 | | | 0.55 | %(b) | | 10/31/24 | | | 16,306 | | | | 21,621 | | | | 22,860 | | | | 33,196 | | |
(a) Expense limitation per annum of the respective class' average daily net assets.
(b) Classes that have had changes to their respective limitations are noted below.
Class | | Expense
limitation | | Prior to | |
U.S. Equity Index PutWrite Strategy Class R6 | | | 0.58 | % | | 12/6/18 | |
(c) Period from January 18, 2019 (Commencement of Operations) to October 31, 2019.
(d) Period from March 24, 2021 (Recommencement of Operations) to April 30, 2021.
Each Fund has agreed that each of its respective classes will repay NBIA for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class' annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays NBIA, whichever is lower. Any such repayment must be made within three years after the year in which NBIA incurred the expense.
During the six months ended April 30, 2021, there was no repayment to NBIA under these agreements.
Each Fund also has a distribution agreement with Neuberger Berman BD LLC (the "Distributor") with respect to each class of shares. The Distributor acts as agent in arranging for the sale of class shares without sales commission or other compensation, except as described below for Class A and Class C shares, and bears the advertising and promotion expenses.
However, the Distributor receives fees from Class A and Class C under their distribution plans (each a "Plan", collectively the "Plans") pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that, as compensation for administrative and other services provided to these classes, the Distributor's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, the Distributor receives from each of these classes a fee at the annual rate of 0.25% of Class A's and 1.00% of Class C's average daily net assets. The Distributor receives this amount to provide distribution and shareholder servicing for these classes and pays a portion of it to institutions that provide such services. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year may be more or less than the cost of distribution and other services provided to that class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules.
108
Class A shares of each Fund are generally sold with an initial sales charge of up to 5.75%. Class A shares of each Fund are generally sold with no contingent deferred sales charge ("CDSC"), except that a CDSC of 1.00% applies to certain redemptions made within 18 months following purchases of $1 million or more without an initial sales charge. Class C shares of each Fund are sold with no initial sales charge and a 1.00% CDSC if shares are sold within one year after purchase.
For the six months ended April 30, 2021, the Distributor, acting as underwriter and broker-dealer, received net initial sales charges from the purchase of Class A shares and CDSCs from the redemption of Class A and Class C shares as follows:
| | | Underwriter | |
| | | Net Initial
Sales Charge | | CDSC | |
Commodity Strategy Class A | | $ | 28 | | | $ | — | | |
Commodity Strategy Class C | | | — | | | | — | | |
Global Allocation Class A | | | — | | | | — | | |
Global Allocation Class C | | | — | | | | — | | |
Long Short Class A | | | 10,415 | | | | — | | |
Long Short Class C | | | — | | | | 2,224 | | |
U.S. Equity Index PutWrite Strategy Class A | | | 93 | | | | — | | |
U.S. Equity Index PutWrite Strategy Class C | | | — | | | | — | | |
Note C—Securities Transactions:
During the six months ended April 30, 2021, there were purchase and sale transactions of long-term securities (excluding swaps, futures, forward FX contracts and written option contracts) as follows:
| | | Purchases of
U.S. Government
and Agency
Obligations | | Purchases
excluding
U.S. Government
and Agency
Obligations | | Sales and
Maturities
of
U.S. Government
and Agency
Obligations | | Sales and
Maturities
excluding
U.S. Government
and Agency
Obligations | | Securities
Sold
Short | | Covers on
Securities
Sold
Short | |
Commodity Strategy | | $ | — | | | $ | 35,413,092 | | | $ | — | | | $ | 25,144,739 | | | $ | — | | | $ | — | | |
Global Allocation | | | 679,498 | | | | 8,593,701 | | | | 1,194,357 | | | | 8,801,377 | | | | — | | | | — | | |
Long Short | | | — | | | | 1,628,410,242 | | | | — | | | | 1,281,910,989 | | | | 419,500,763 | | | | 624,109,004 | | |
U.S. Equity Index
PutWrite Strategy | | | 154,561,113 | | | | — | | | | 62,500,000 | | | | — | | | | — | | | | — | | |
During the six months ended April 30, 2021, no brokerage commissions on securities transactions were paid to affiliated brokers.
109
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2021 and for the year ended October 31, 2020, was as follows:
| | | For the Six Months Ended April 30, 2021 | | For the Year Ended October 31, 2020 | |
| | | Shares
Sold | | Shares
Issued on
Reinvestment
of Dividends
and
Distributions | | Shares
Redeemed | | Total | | Shares
Sold | | Shares
Issued on
Reinvestment
of Dividends
and
Distributions | | Shares
Redeemed | | Total | |
| Commodity Strategy* | |
Institutional Class | | | 3,513,501 | | | | 99,359 | | | | (3,157,966 | ) | | | 454,894 | | | | 9,579,694 | | | | 385,647 | | | | (16,576,870 | ) | | | (6,611,529 | ) | |
Class A | | | 437,072 | | | | 11,703 | | | | (582,723 | ) | | | (133,948 | ) | | | 1,755,272 | | | | 44,317 | | | | (1,932,134 | ) | | | (132,545 | ) | |
Class C | | | 5,403 | | | | — | | | | (1,445 | ) | | | 3,958 | | | | — | | | | — | | | | — | | | | — | | |
Global Allocation | |
Institutional Class | | | 85,027 | | | | 10,562 | | | | (115,321 | ) | | | (19,732 | ) | | | 147,154 | | | | 32,894 | | | | (585,566 | ) | | | (405,518 | ) | |
Class A | | | 12,117 | | | | 1,607 | | | | (16,633 | ) | | | (2,909 | ) | | | 11,927 | | | | 4,956 | | | | (97,246 | ) | | | (80,363 | ) | |
Class C | | | — | | | | 1,150 | | | | (39,364 | ) | | | (38,214 | ) | | | 16,097 | | | | 3,474 | | | | (47,088 | ) | | | (27,517 | ) | |
Class R6 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Long Short | |
Institutional Class | | | 65,168,485 | | | | 2,858,583 | | | | (31,065,652 | ) | | | 36,961,416 | | | | 136,229,485 | | | | 1,547,111 | | | | (53,862,956 | ) | | | 83,913,640 | | |
Class A | | | 3,235,344 | | | | 106,031 | | | | (1,097,457 | ) | | | 2,243,918 | | | | 3,049,484 | | | | 78,181 | | | | (1,456,866 | ) | | | 1,670,799 | | |
Class C | | | 559,466 | | | | 68,896 | | | | (718,264 | ) | | | (89,902 | ) | | | 690,963 | | | | 75,854 | | | | (1,470,571 | ) | | | (703,754 | ) | |
U.S. Equity Index PutWrite Strategy | |
Institutional Class | | | 2,703,530 | | | | 27,748 | | | | (5,094,846 | ) | | | (2,363,568 | ) | | | 11,122,168 | | | | 1,113,821 | | | | (11,651,488 | ) | | | 584,501 | | |
Class A | | | 34,550 | | | | 20 | | | | (95,774 | ) | | | (61,204 | ) | | | 526,503 | | | | 112,159 | | | | (2,961,889 | ) | | | (2,323,227 | ) | |
Class C | | | 8,163 | | | | — | | | | (4,990 | ) | | | 3,173 | | | | 2,207 | | | | 3,474 | | | | (21,689 | ) | | | (16,008 | ) | |
Class R6 | | | 4,856,210 | | | | 22,792 | | | | (2,449,327 | ) | | | 2,429,675 | | | | 8,341,695 | | | | 102,284 | | | | (544,293 | ) | | | 7,899,686 | | |
* Commodity Strategy Class C shares were fully redeemed on February 2, 2021. Operations recommenced on March 24, 2021. The data includes share transactions for the full period ended April 30, 2021.
Note E—Line of Credit:
At April 30, 2021, each Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by NBIA also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum; provided that should the Administrative Agent of the Credit Facility determine that the Eurodollar rate is unavailable, then the interest rate option described in (b) shall be replaced with a benchmark replacement determined to be applicable by such Administrative Agent. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. Each Fund that is a participant has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due, and interest charged on any borrowing made by such Fund and other costs incurred by such Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that an individual fund will have access to all or any part of the $700,000,000 at any" particular time. There were no loans outstanding under the Credit Facility at April 30, 2021. During the period ended April 30, 2021, no Fund utilized the Credit Facility.
110
Note F—Investments in Affiliates(a):
| | Value at
October 31,
2020 | | Purchase
Cost | | Sales
Proceeds/
Return of
Capital | | Change in
Net Unrealized
Appreciation/
(Depreciation)
from
Investments
in Affiliated
Persons | | Net Realized
Gain/(Loss)
from
Investments
in Affiliated
Persons | | Distributions
from
Investments
in Affiliated
Persons(b) | | Shares
Held at
April 30,
2021 | | Value at
April 30,
2021 | |
Global Allocation | |
Commodity Strategy
Institutional Class | | $ | 420,889 | | | $ | — | | | $ | 466,458 | | | $ | 77,029 | | | $ | (31,460 | ) | | $ | — | | | | — | | | $ | — | | |
Neuberger Berman
Emerging Markets
Equity Fund Class R6 | | | 563,538 | | | | 3,119 | | | | 705,748 | | | | (93,454 | ) | | | 232,545 | | | | 3,119 | | | | — | | | | — | | |
Neuberger Berman
Genesis Fund Class R6 | | | 351,639 | | | | 15,735 | | | | 438,106 | | | | (48,995 | ) | | | 119,727 | | | | 15,735 | | | | — | | | | — | | |
Neuberger Berman
International Select
Fund Class R6 | | | 840,317 | | | | 14,709 | | | | 998,385 | | | | (119,034 | ) | | | 262,393 | | | | 14,709 | | | | — | | | | — | | |
Sub-total for affiliates
no longer held
as of 4/30/21 | | $ | 2,176,383 | | | $ | 33,563 | | | $ | 2,608,697 | | | $ | (184,454 | ) | | $ | 583,205 | | | $ | 33,563 | | | | | $ | — | | |
(a) Affiliated persons, as defined in the 1940 Act.
(b) Distributions received include distributions from net investment income and net realized capital gains, if any, from other investment companies managed by NBIA.
In addition, at April 30, 2021, there were affiliated persons, as defined in the 1940 Act, owning 2.50%, 0.63% and 0.96% of Commodity Strategy's, Global Allocation's and U.S. Equity Index PutWrite Strategy's outstanding shares, respectively.
Note G—Recent Accounting Pronouncement:
In March 2020, FASB issued Accounting Standards Update No. 2020-04 ("ASU 2020-04"), "Reference Rate Reform (Topic 848)". In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The guidance is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact of the guidance.
Note H—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of each Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
111
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112
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. Net Asset amounts with a zero balance, if any, may reflect actual amounts rounding to less than $0.1 million. A "—" indicates that the line item was not applicable in the corresponding period.
| | Net Asset
Value,
Beginning
of Period | | Net
Investment
Income/
(Loss)@ | | Net Gains
or
Losses on
Securities
(both
realized
and
unrealized) | | Total From
Investment
Operations | | Dividends
from Net
Investment
Income | | Distributions
from Net
Realized
Capital
Gains | | Total
Distributions | | Voluntary
Contribution
from
Management | | Net Asset
Value,
End of
Period | | Total
Returna | | Net Assets,
End of
Period
(in millions) | | Ratio
of Gross
Expenses to
Average
Net
Assets# | | Ratio
of Gross
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales)# | | Ratio
of Net
Expenses to
Average
Net
Assets | | Ratio
of Net
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales) | | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | | Portfolio
Turnover
Rate
(including
securities
sold
short) | | Portfolio
Turnover
Rate
(excluding
securities
sold
short) | |
| Commodity Strategy Fundb | |
Institutional Class | |
4/30/2021
(Unaudited) | | $ | 5.08 | | | $ | (0.01 | ) | | $ | 1.96 | | | $ | 1.95 | | | $ | (0.03 | ) | | $ | — | | | $ | (0.03 | ) | | $ | — | | | $ | 7.00 | | | | 38.60 | %* | | $ | 126.4 | | | | 0.99 | %** | | | 0.99 | %Ø** | | | 0.74 | %** | | | 0.74 | %Ø** | | | (0.27 | )%** | | | 31 | %* | | | 31 | %Ø* | |
10/31/2020 | | $ | 6.00 | | | $ | 0.04 | | | $ | (0.86 | ) | | $ | (0.82 | ) | | $ | (0.10 | ) | | $ | — | | | $ | (0.10 | ) | | $ | — | | | $ | 5.08 | | | | (13.98 | )% | | $ | 89.4 | | | | 0.99 | % | | | 0.99 | %Ø | | | 0.74 | % | | | 0.74 | %Ø | | | 0.74 | % | | | 109 | % | | | 109 | %Ø | |
10/31/2019 | | $ | 6.19 | | | $ | 0.12 | | | $ | (0.16 | ) | | $ | (0.04 | ) | | $ | (0.15 | ) | | $ | (0.00 | ) | | $ | (0.15 | ) | | $ | — | | | $ | 6.00 | | | | (0.41 | )% | | $ | 145.3 | | | | 0.96 | % | | | 0.96 | %Ø | | | 0.74 | % | | | 0.74 | %Ø | | | 1.99 | % | | | 88 | % | | | 88 | %Ø | |
10/31/2018 | | $ | 6.36 | | | $ | 0.08 | | | $ | (0.01 | ) | | $ | 0.07 | | | $ | (0.24 | ) | | $ | — | | | $ | (0.24 | ) | | $ | — | | | $ | 6.19 | | | | 1.19 | % | | $ | 100.3 | | | | 0.98 | % | | | 0.98 | %Ø | | | 0.74 | % | | | 0.74 | %Ø | | | 1.31 | % | | | 107 | % | | | 107 | %Ø | |
10/31/2017 | | $ | 5.99 | | | $ | 0.02 | | | $ | 0.35 | | | $ | 0.37 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 6.36 | | | | 6.18 | % | | $ | 83.1 | | | | 1.18 | % | | | 1.18 | %Ø | | | 0.85 | % | | | 0.85 | %Ø | | | 0.36 | % | | | 105 | % | | | 105 | %Ø | |
10/31/2016 | | $ | 6.20 | | | $ | (0.03 | ) | | $ | (0.18 | ) | | $ | (0.21 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 5.99 | | | | (3.39 | )% | | $ | 49.0 | | | | 1.65 | % | | | 1.65 | %Ø | | | 1.10 | % | | | 1.10 | %Ø | | | (0.44 | )% | | | 58 | % | | | 58 | %Ø | |
Class A | |
4/30/2021
(Unaudited) | | $ | 4.99 | | | $ | (0.02 | ) | | $ | 1.93 | | | $ | 1.91 | | | $ | (0.02 | ) | | $ | — | | | $ | (0.02 | ) | | $ | — | | | $ | 6.88 | | | | 38.32 | %* | | $ | 24.4 | | | | 1.37 | %** | | | 1.37 | %Ø** | | | 1.10 | %** | | | 1.10 | %Ø** | | | (0.63 | )%** | | | 31 | %* | | | 31 | %Ø* | |
10/31/2020 | | $ | 5.89 | | | $ | 0.02 | | | $ | (0.85 | ) | | $ | (0.83 | ) | | $ | (0.07 | ) | | $ | — | | | $ | (0.07 | ) | | $ | — | | | $ | 4.99 | | | | (14.29 | )% | | $ | 18.4 | | | | 1.36 | % | | | 1.36 | %Ø | | | 1.10 | % | | | 1.10 | %Ø | | | 0.34 | % | | | 109 | % | | | 109 | %Ø | |
10/31/2019 | | $ | 6.07 | | | $ | 0.09 | | | $ | (0.14 | ) | | $ | (0.05 | ) | | $ | (0.13 | ) | | $ | (0.00 | ) | | $ | (0.13 | ) | | $ | — | | | $ | 5.89 | | | | (0.64 | )% | | $ | 22.5 | | | | 1.37 | % | | | 1.37 | %Ø | | | 1.09 | % | | | 1.09 | %Ø | | | 1.65 | % | | | 88 | % | | | 88 | %Ø | |
10/31/2018 | | $ | 6.24 | | | $ | 0.06 | | | $ | (0.01 | ) | | $ | 0.05 | | | $ | (0.22 | ) | | $ | — | | | $ | (0.22 | ) | | $ | — | | | $ | 6.07 | | | | 0.81 | % | | $ | 47.9 | | | | 1.35 | % | | | 1.35 | %Ø | | | 1.10 | % | | | 1.10 | %Ø | | | 0.95 | % | | | 107 | % | | | 107 | %Ø | |
10/31/2017 | | $ | 5.90 | | | $ | (0.00 | ) | | $ | 0.34 | | | $ | 0.34 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 6.24 | | | | 5.76 | % | | $ | 42.4 | | | | 1.56 | % | | | 1.56 | %Ø | | | 1.21 | % | | | 1.21 | %Ø | | | (0.02 | )% | | | 105 | % | | | 105 | %Ø | |
10/31/2016 | | $ | 6.12 | | | $ | (0.05 | ) | | $ | (0.17 | ) | | $ | (0.22 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 5.90 | | | | (3.59 | )% | | $ | 33.3 | | | | 2.04 | % | | | 2.04 | %Ø | | | 1.46 | % | | | 1.46 | %Ø | | | (0.82 | )% | | | 58 | % | | | 58 | %Ø | |
Class C | |
Period from
3/24/2021j to
4/30/2021
(Unaudited) | | $ | 6.26 | | | $ | (0.01 | ) | | $ | 0.63 | | | $ | 0.62 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 6.88 | | | | 9.90 | %* | | $ | 0.0 | | | | 2.45 | %** | | | 2.45 | %Ø** | | | 1.84 | %** | | | 1.84 | %Ø** | | | (1.47 | )%** | | | 31 | %* | | | 31 | %^^Ø* | |
10/31/2020 | | $ | 5.66 | | | $ | (0.01 | ) | | $ | (0.84 | ) | | $ | (0.85 | ) | | $ | (0.03 | ) | | $ | — | | | $ | (0.03 | ) | | $ | — | | | $ | 4.78 | | | | (15.05 | )% | | $ | 0.0 | | | | 2.31 | % | | | 2.31 | %Ø | | | 1.86 | % | | | 1.86 | %Ø | | | (0.23 | )% | | | 109 | % | | | 109 | %Ø | |
10/31/2019 | | $ | 5.83 | | | $ | 0.05 | | | $ | (0.14 | ) | | $ | (0.09 | ) | | $ | (0.08 | ) | | $ | (0.00 | ) | | $ | (0.08 | ) | | $ | — | | | $ | 5.66 | | | | (1.51 | )% | | $ | 0.0 | | | | 2.32 | % | | | 2.32 | %Ø | | | 1.84 | % | | | 1.84 | %Ø | | | 0.88 | % | | | 88 | % | | | 88 | %Ø | |
10/31/2018 | | $ | 5.95 | | | $ | 0.01 | | | $ | — | | | $ | 0.01 | | | $ | (0.13 | ) | | $ | — | | | $ | (0.13 | ) | | $ | — | | | $ | 5.83 | | | | 0.15 | % | | $ | 0.0 | | | | 2.34 | % | | | 2.34 | %Ø | | | 1.85 | % | | | 1.85 | %Ø | | | 0.19 | % | | | 107 | % | | | 107 | %Ø | |
10/31/2017 | | $ | 5.71 | | | $ | (0.05 | ) | | $ | 0.29 | | | $ | 0.24 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 5.95 | | | | 4.20 | % | | $ | 0.0 | | | | 3.20 | % | | | 3.20 | %Ø | | | 2.03 | % | | | 2.03 | %Ø | | | (0.92 | )% | | | 105 | % | | | 105 | %Ø | |
10/31/2016 | | $ | 5.98 | | | $ | (0.09 | ) | | $ | (0.18 | ) | | $ | (0.27 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 5.71 | | | | (4.52 | )% | | $ | 0.1 | | | | 3.06 | % | | | 3.06 | %Ø | | | 2.21 | % | | | 2.21 | %Ø | | | (1.65 | )% | | | 58 | % | | | 58 | %Ø | |
See Notes to Financial Highlights
113
114
Financial Highlights (cont'd)
| | | Net Asset
Value,
Beginning
of Period | | Net
Investment
Income/
(Loss)@ | | Net Gains
or
Losses on
Securities
(both
realized
and
unrealized) | | Total From
Investment
Operations | | Dividends
from Net
Investment
Income | | Distributions
from Net
Realized
Capital
Gains | | Total
Distributions | | Voluntary
Contribution
from
Management | | Net Asset
Value,
End of
Period | | Total
Returna | | Net Assets,
End of
Period
(in millions) | | Ratio
of Gross
Expenses to
Average
Net
Assets# | | Ratio
of Gross
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales)# | | Ratio
of Net
Expenses to
Average
Net
Assets | | Ratio
of Net
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales) | | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | | Portfolio
Turnover
Rate
(including
securities
sold
short) | | Portfolio
Turnover
Rate
(excluding
securities
sold
short) | |
Global Allocation Fund | |
Institutional Class | |
4/30/2021
(Unaudited) | | $ | 11.42 | | | $ | 0.08 | | | $ | 1.98 | | | $ | 2.06 | | | $ | (0.23 | ) | | $ | — | | | $ | (0.23 | ) | | $ | — | | | $ | 13.25 | | | | 18.16 | %*d | | $ | 8.0 | | | | 4.69 | %** | | | 4.69 | %**Ø | | | 0.66 | %** | | | 0.66 | %**Ø | | | 1.35 | %** | | | 95 | %* | | | 95 | %cØ* | |
10/31/2020 | | $ | 11.65 | | | $ | 0.23 | | | $ | (0.09 | ) | | $ | 0.14 | | | $ | (0.23 | ) | | $ | (0.14 | ) | | $ | (0.37 | ) | | $ | — | | | $ | 11.42 | | | | 1.14 | %d | | $ | 7.1 | | | | 3.86 | % | | | 3.86 | %Ø | | | 0.55 | % | | | 0.55 | %Ø | | | 2.04 | % | | | 74 | % | | | 74 | %cØ | |
10/31/2019 | | $ | 11.15 | | | $ | 0.24 | | | $ | 0.80 | | | $ | 1.04 | | | $ | (0.25 | ) | | $ | (0.29 | ) | | $ | (0.54 | ) | | $ | — | | | $ | 11.65 | | | | 10.13 | %d | | $ | 12.0 | | | | 3.35 | % | | | 3.35 | %Ø | | | 0.49 | % | | | 0.49 | %Ø | | | 2.12 | % | | | 74 | % | | | 74 | %cØ | |
10/31/2018 | | $ | 12.14 | | | $ | 0.23 | | | $ | (0.58 | ) | | $ | (0.35 | ) | | $ | (0.22 | ) | | $ | (0.42 | ) | | $ | (0.64 | ) | | $ | — | | | $ | 11.15 | | | | (3.14 | )%d | | $ | 13.8 | | | | 3.04 | % | | | 3.04 | %Ø | | | 0.46 | % | | | 0.46 | %Ø | | | 1.96 | % | | | 59 | %c | | | 59 | %cØ | |
10/31/2017 | | $ | 10.49 | | | $ | 0.18 | | | $ | 1.52 | | | $ | 1.70 | | | $ | (0.05 | ) | | $ | — | | | $ | (0.05 | ) | | $ | — | | | $ | 12.14 | | | | 16.24 | % | | $ | 13.9 | | | | 3.59 | %e | | | 3.56 | % | | | 0.49 | %e | | | 0.46 | % | | | 1.63 | %e | | | 113 | %c | | | 101 | %c | |
10/31/2016 | | $ | 10.42 | | | $ | 0.10 | | | $ | (0.01 | ) | | $ | 0.09 | | | $ | (0.00 | ) | | $ | (0.02 | ) | | $ | (0.02 | ) | | $ | — | | | $ | 10.49 | | | | 0.87 | % | | $ | 10.1 | | | | 4.17 | % | | | 3.66 | % | | | 1.11 | % | | | 0.60 | % | | | 0.97 | % | | | 176 | %c | | | 174 | %c | |
Class A | |
4/30/2021
(Unaudited) | | $ | 11.33 | | | $ | 0.06 | | | $ | 1.96 | | | $ | 2.02 | | | $ | (0.19 | ) | | $ | — | | | $ | (0.19 | ) | | $ | — | | | $ | 13.16 | | | | 17.93 | %*d | | $ | 1.3 | | | | 5.09 | %** | | | 5.09 | %**Ø | | | 1.02 | %** | | | 1.02 | %**Ø | | | 1.00 | %** | | | 95 | %* | | | 95 | %cØ* | |
10/31/2020 | | $ | 11.55 | | | $ | 0.19 | | | $ | (0.09 | ) | | $ | 0.10 | | | $ | (0.18 | ) | | $ | (0.14 | ) | | $ | (0.32 | ) | | $ | — | | | $ | 11.33 | | | | 0.82 | %d | | $ | 1.2 | | | | 4.24 | % | | | 4.24 | %Ø | | | 0.91 | % | | | 0.91 | %Ø | | | 1.72 | % | | | 74 | % | | | 74 | %cØ | |
10/31/2019 | | $ | 11.05 | | | $ | 0.20 | | | $ | 0.79 | | | $ | 0.99 | | | $ | (0.20 | ) | | $ | (0.29 | ) | | $ | (0.49 | ) | | $ | — | | | $ | 11.55 | | | | 9.70 | %d | | $ | 2.1 | | | | 3.74 | % | | | 3.74 | %Ø | | | 0.84 | % | | | 0.84 | %Ø | | | 1.79 | % | | | 74 | % | | | 74 | %cØ | |
10/31/2018 | | $ | 12.04 | | | $ | 0.20 | | | $ | (0.59 | ) | | $ | (0.39 | ) | | $ | (0.18 | ) | | $ | (0.42 | ) | | $ | (0.60 | ) | | $ | — | | | $ | 11.05 | | | | (3.49 | )%d | | $ | 2.8 | | | | 3.46 | % | | | 3.46 | %Ø | | | 0.82 | % | | | 0.82 | %Ø | | | 1.70 | % | | | 59 | %c | | | 59 | %cØ | |
10/31/2017 | | $ | 10.40 | | | $ | 0.14 | | | $ | 1.50 | | | $ | 1.64 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 12.04 | | | | 15.77 | % | | $ | 3.9 | | | | 4.10 | %e | | | 4.05 | % | | | 0.89 | %e | | | 0.84 | % | | | 1.27 | %e | | | 113 | %c | | | 101 | %c | |
10/31/2016 | | $ | 10.36 | | | $ | 0.06 | | | $ | (0.00 | ) | | $ | 0.06 | | | $ | — | | | $ | (0.02 | ) | | $ | (0.02 | ) | | $ | — | | | $ | 10.40 | | | | 0.59 | % | | $ | 5.9 | | | | 4.53 | % | | | 4.01 | % | | | 1.49 | % | | | 0.96 | % | | | 0.64 | % | | | 176 | %c | | | 174 | %c | |
Class C | |
4/30/2021
(Unaudited) | | $ | 10.97 | | | $ | 0.01 | | | $ | 1.91 | | | $ | 1.92 | | | $ | (0.11 | ) | | $ | — | | | $ | (0.11 | ) | | $ | — | | | $ | 12.78 | | | | 17.59 | %*d | | $ | 1.2 | | | | 5.80 | %** | | | 5.80 | %**Ø | | | 1.76 | %** | | | 1.76 | %** | | | 0.24 | %** | | | 95 | %* | | | 95 | %cØ* | |
10/31/2020 | | $ | 11.20 | | | $ | 0.10 | | | $ | (0.09 | ) | | $ | 0.01 | | | $ | (0.10 | ) | | $ | (0.14 | ) | | $ | (0.24 | ) | | $ | — | | | $ | 10.97 | | | | 0.01 | %d | | $ | 1.5 | | | | 4.99 | % | | | 4.99 | %Ø | | | 1.66 | % | | | 1.66 | % | | | 0.89 | % | | | 74 | % | | | 74 | %cØ | |
10/31/2019 | | $ | 10.70 | | | $ | 0.11 | | | $ | 0.79 | | | $ | 0.90 | | | $ | (0.11 | ) | | $ | (0.29 | ) | | $ | (0.40 | ) | | $ | — | | | $ | 11.20 | | | | 8.97 | %d | | $ | 1.8 | | | | 4.47 | % | | | 4.47 | %Ø | | | 1.59 | % | | | 1.59 | %Ø | | | 1.01 | % | | | 74 | % | | | 74 | %cØ | |
10/31/2018 | | $ | 11.66 | | | $ | 0.11 | | | $ | (0.58 | ) | | $ | (0.47 | ) | | $ | (0.07 | ) | | $ | (0.42 | ) | | $ | (0.49 | ) | | $ | — | | | $ | 10.70 | | | | (4.25 | )%d | | $ | 2.3 | | | | 4.18 | % | | | 4.18 | %Ø | | | 1.57 | % | | | 1.57 | %Ø | | | 0.92 | % | | | 59 | %c | | | 59 | %cØ | |
10/31/2017 | | $ | 10.14 | | | $ | 0.05 | | | $ | 1.47 | | | $ | 1.52 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 11.66 | | | | 14.99 | % | | $ | 3.2 | | | | 4.84 | %e | | | 4.79 | % | | | 1.63 | %e | | | 1.59 | % | | | 0.50 | %e | | | 113 | %c | | | 101 | %c | |
10/31/2016 | | $ | 10.18 | | | $ | (0.01 | ) | | $ | (0.01 | ) | | $ | (0.02 | ) | | $ | — | | | $ | (0.02 | ) | | $ | (0.02 | ) | | $ | — | | | $ | 10.14 | | | | (0.19 | )% | | $ | 4.7 | | | | 5.26 | % | | | 4.74 | % | | | 2.24 | % | | | 1.71 | % | | | (0.10 | )% | | | 176 | %c | | | 174 | %c | |
Class R6 | |
4/30/2021
(Unaudited) | | $ | 11.43 | | | $ | 0.09 | | | $ | 1.98 | | | $ | 2.07 | | | $ | (0.24 | ) | | $ | — | | | $ | (0.24 | ) | | $ | — | | | $ | 13.26 | | | | 18.27 | %*d | | $ | 0.0 | | | | 4.87 | %** | | | 4.87 | %**Ø | | | 0.56 | %** | | | 0.56 | %**Ø | | | 1.45 | %** | | | 95 | %* | | | 95 | %cØ* | |
10/31/2020 | | $ | 11.65 | | | $ | 0.23 | | | $ | (0.07 | ) | | $ | 0.16 | | | $ | (0.24 | ) | | $ | (0.14 | ) | | $ | (0.38 | ) | | $ | — | | | $ | 11.43 | | | | 1.32 | %d | | $ | 0.0 | | | | 3.76 | % | | | 3.76 | %Ø | | | 0.45 | % | | | 0.45 | %Ø | | | 2.06 | % | | | 74 | % | | | 74 | %cØ | |
Period from
1/18/2019^ to
10/31/2019 | | $ | 10.56 | | | $ | 0.16 | | | $ | 0.93 | | | $ | 1.09 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 11.65 | | | | 10.32 | %* | | $ | 0.0 | | | | 3.55 | %** | | | 3.55 | %Ø** | | | 0.39 | %** | | | 0.39 | %Ø** | | | 1.78 | %** | | | 74 | %* | | | 74 | %^^cØ* | |
See Notes to Financial Highlights
115
116
Financial Highlights (cont'd)
| | | Net Asset
Value,
Beginning
of Period | | Net
Investment
Income/
(Loss)@ | | Net Gains
or
Losses on
Securities
(both
realized
and
unrealized) | | Total From
Investment
Operations | | Dividends
from Net
Investment
Income | | Distributions
from Net
Realized
Capital
Gains | | Total
Distributions | | Voluntary
Contribution
from
Management | | Net Asset
Value,
End of
Period | | Total
Returna | | Net Assets,
End of
Period
(in millions) | | Ratio
of Gross
Expenses to
Average
Net
Assets# | | Ratio
of Gross
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales)# | | Ratio
of Net
Expenses to
Average
Net
Assets | | Ratio
of Net
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales) | | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | | Portfolio
Turnover
Rate
(including
securities
sold
short) | | Portfolio
Turnover
Rate
(excluding
securities
sold
short) | |
Long Short Fund | |
Institutional Class | |
4/30/2021
(Unaudited) | | $ | 16.00 | | | $ | 0.01 | | | $ | 1.65 | | | $ | 1.66 | | | $ | — | | | $ | (0.36 | ) | | $ | (0.36 | ) | | $ | — | | | $ | 17.30 | | | | 10.46 | %* | | $ | 4,565.4 | | | | 1.63 | %** | | | 1.29 | %** | | | 1.63 | %** | | | 1.29 | %** | | | 0.07 | %** | | | 39 | %* | | | 33 | %* | |
10/31/2020 | | $ | 14.67 | | | $ | (0.01 | ) | | $ | 1.69 | | | $ | 1.68 | | | $ | — | | | $ | (0.35 | ) | | $ | (0.35 | ) | | $ | — | | | $ | 16.00 | | | | 11.68 | %d | | $ | 3,631.6 | | | | 1.80 | % | | | 1.30 | % | | | 1.80 | % | | | 1.30 | % | | | (0.08 | )% | | | 81 | % | | | 60 | % | |
10/31/2019 | | $ | 14.54 | | | $ | 0.04 | | | $ | 0.85 | | | $ | 0.89 | | | $ | — | | | $ | (0.76 | ) | | $ | (0.76 | ) | | $ | — | | | $ | 14.67 | | | | 6.98 | %d | | $ | 2,098.0 | | | | 1.78 | % | | | 1.33 | % | | | 1.78 | % | | | 1.33 | % | | | 0.28 | % | | | 66 | % | | | 47 | % | |
10/31/2018 | | $ | 14.21 | | | $ | 0.03 | | | $ | 0.30 | | | $ | 0.33 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 14.54 | | | | 2.32 | %d | | $ | 2,847.3 | | | | 1.60 | % | | | 1.31 | % | | | 1.60 | % | | | 1.31 | % | | | 0.23 | % | | | 83 | % | | | 69 | % | |
10/31/2017 | | $ | 12.74 | | | $ | 0.02 | | | $ | 1.45 | | | $ | 1.47 | | | $ | — | | | $ | — | | | $ | — | | | $ | 0.00 | | | $ | 14.21 | | | | 11.54 | %fg | | $ | 2,853.0 | | | | 1.80 | % | | | 1.33 | % | | | 1.80 | %h | | | 1.32 | %h | | | 0.12 | %h | | | 80 | % | | | 64 | % | |
10/31/2016 | | $ | 12.76 | | | $ | (0.03 | ) | | $ | 0.01 | | | $ | (0.02 | ) | | $ | (0.00 | ) | | $ | — | | | $ | (0.00 | ) | | $ | — | | | $ | 12.74 | | | | (0.14 | )% | | $ | 2,074.7 | | | | 1.91 | % | | | 1.33 | % | | | 1.91 | % | | | 1.33 | % | | | (0.22 | )% | | | 86 | % | | | 72 | % | |
Class A | |
4/30/2021
(Unaudited) | | $ | 15.88 | | | $ | (0.02 | ) | | $ | 1.63 | | | $ | 1.61 | | | $ | — | | | $ | (0.36 | ) | | $ | (0.36 | ) | | $ | — | | | $ | 17.13 | | | | 10.22 | %* | | $ | 141.6 | | | | 1.99 | %** | | | 1.65 | %** | | | 1.99 | %** | | | 1.65 | %** | | | (0.29 | )%** | | | 39 | %* | | | 33 | %* | |
10/31/2020 | | $ | 14.61 | | | $ | (0.07 | ) | | $ | 1.69 | | | $ | 1.62 | | | $ | — | | | $ | (0.35 | ) | | $ | (0.35 | ) | | $ | — | | | $ | 15.88 | | | | 11.31 | %d | | $ | 95.6 | | | | 2.15 | % | | | 1.67 | % | | | 2.15 | % | | | 1.67 | % | | | (0.43 | )% | | | 81 | % | | | 60 | % | |
| 10/31/2019i | | $ | 14.54 | | | $ | (0.01 | ) | | $ | 0.84 | | | $ | 0.83 | | | $ | — | | | $ | (0.76 | ) | | $ | (0.76 | ) | | $ | — | | | $ | 14.61 | | | | 6.54 | %d | | $ | 63.6 | | | | 2.13 | % | | | 1.69 | % | | | 2.13 | % | | | 1.69 | % | | | (0.08 | )% | | | 66 | % | | | 47 | % | |
| 10/31/2018i | | $ | 14.26 | | | $ | (0.02 | ) | | $ | 0.30 | | | $ | 0.28 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 14.54 | | | | 2.01 | %d | | $ | 105.9 | | | | 1.96 | % | | | 1.67 | % | | | 1.96 | % | | | 1.67 | % | | | (0.13 | )% | | | 83 | % | | | 69 | % | |
| 10/31/2017i | | $ | 12.83 | | | $ | (0.02 | ) | | $ | 1.45 | | | $ | 1.43 | | | $ | — | | | $ | — | | | $ | — | | | $ | 0.00 | | | $ | 14.26 | | | | 11.15 | %fg | | $ | 145.6 | | | | 2.16 | % | | | 1.68 | % | | | 2.16 | %h | | | 1.68 | %h | | | (0.18 | )%h | | | 80 | % | | | 64 | % | |
| 10/31/2016i | | $ | 12.89 | | | $ | (0.07 | ) | | $ | 0.01 | | | $ | (0.06 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 12.83 | | | | (0.48 | )% | | $ | 206.4 | | | | 2.28 | % | | | 1.69 | % | | | 2.28 | % | | | 1.69 | % | | | (0.59 | )% | | | 86 | % | | | 72 | % | |
Class C | |
4/30/2021
(Unaudited) | | $ | 15.62 | | | $ | (0.08 | ) | | $ | 1.61 | | | $ | 1.53 | | | $ | — | | | $ | (0.36 | ) | | $ | (0.36 | ) | | $ | — | | | $ | 16.79 | | | | 9.87 | %* | | $ | 57.9 | | | | 2.74 | %** | | | 2.40 | %** | | | 2.74 | %** | | | 2.40 | %** | | | (1.04 | )%** | | | 39 | %* | | | 33 | %* | |
10/31/2020 | | $ | 14.49 | | | $ | (0.17 | ) | | $ | 1.65 | | | $ | 1.48 | | | $ | — | | | $ | (0.35 | ) | | $ | (0.35 | ) | | $ | — | | | $ | 15.62 | | | | 10.42 | %d | | $ | 55.3 | | | | 2.90 | % | | | 2.41 | % | | | 2.90 | % | | | 2.41 | % | | | (1.14 | )% | | | 81 | % | | | 60 | % | |
| 10/31/2019i | | $ | 14.53 | | | $ | (0.12 | ) | | $ | 0.84 | | | $ | 0.72 | | | $ | — | | | $ | (0.76 | ) | | $ | (0.76 | ) | | $ | — | | | $ | 14.49 | | | | 5.79 | %d | | $ | 61.4 | | | | 2.88 | % | | | 2.44 | % | | | 2.88 | % | | | 2.44 | % | | | (0.82 | )% | | | 66 | % | | | 47 | % | |
| 10/31/2018i | | $ | 14.34 | | | $ | (0.13 | ) | | $ | 0.32 | | | $ | 0.19 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 14.53 | | | | 1.27 | %d | | $ | 77.6 | | | | 2.71 | % | | | 2.42 | % | | | 2.71 | % | | | 2.42 | % | | | (0.88 | )% | | | 83 | % | | | 69 | % | |
| 10/31/2017i | | $ | 13.00 | | | $ | (0.13 | ) | | $ | 1.47 | | | $ | 1.34 | | | $ | — | | | $ | — | | | $ | — | | | $ | 0.00 | | | $ | 14.34 | | | | 10.31 | %fg | | $ | 92.7 | | | | 2.90 | % | | | 2.43 | % | | | 2.90 | %h | | | 2.43 | %h | | | (0.94 | )%h | | | 80 | % | | | 64 | % | |
| 10/31/2016i | | $ | 13.18 | | | $ | (0.18 | ) | | $ | 0.00 | | | $ | (0.18 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 13.00 | | | | (1.30 | )% | | $ | 117.3 | | | | 3.02 | % | | | 2.44 | % | | | 3.02 | % | | | 2.44 | % | | | (1.33 | )% | | | 86 | % | | | 72 | % | |
See Notes to Financial Highlights
117
118
Financial Highlights (cont'd)
| | | Net Asset
Value,
Beginning
of Period | | Net
Investment
Income/
(Loss)@ | | Net Gains
or
Losses on
Securities
(both
realized
and
unrealized) | | Total From
Investment
Operations | | Dividends
from Net
Investment
Income | | Distributions
from Net
Realized
Capital
Gains | | Total
Distributions | | Voluntary
Contribution
from
Management | | Net Asset
Value,
End of
Period | | Total
Returna | | Net Assets,
End of
Period
(in millions) | | Ratio
of Gross
Expenses to
Average
Net
Assets# | | Ratio
of Gross
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales)# | | Ratio
of Net
Expenses to
Average
Net
Assets | | Ratio
of Net
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales) | | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | | Portfolio
Turnover
Rate
(including
securities
sold
short) | | Portfolio
Turnover
Rate
(excluding
securities
sold
short) | |
U.S. Equity Index PutWrite Strategy Fund | |
Institutional Class | |
4/30/2021
(Unaudited) | | $ | 10.93 | | | $ | 0.02 | | | $ | 1.97 | | | $ | 1.99 | | | $ | (0.02 | ) | | $ | — | | | $ | (0.02 | ) | | $ | — | | | $ | 12.90 | | | | 18.19 | %* | | $ | 247.8 | | | | 0.70 | %** | | | 0.70 | %Ø** | | | 0.65 | %** | | | 0.65 | %Ø** | | | 0.29 | %** | | | 20 | %* | | | 20 | %Ø* | |
10/31/2020 | | $ | 11.28 | | | $ | 0.14 | | | $ | 0.10 | | | $ | 0.24 | | | $ | (0.16 | ) | | $ | (0.43 | ) | | $ | (0.59 | ) | | $ | — | | | $ | 10.93 | | | | 2.22 | % | | $ | 235.6 | | | | 0.74 | % | | | 0.74 | %Ø | | | 0.66 | % | | | 0.66 | %Ø | | | 1.31 | % | | | 41 | % | | | 41 | %Ø | |
10/31/2019 | | $ | 10.65 | | | $ | 0.18 | | | $ | 0.66 | | | $ | 0.84 | | | $ | (0.21 | ) | | $ | — | | | $ | (0.21 | ) | | $ | — | | | $ | 11.28 | | | | 7.99 | % | | $ | 236.8 | | | | 0.76 | % | | | 0.76 | %Ø | | | 0.65 | % | | | 0.65 | %Ø | | | 1.65 | % | | | 31 | % | | | 31 | %Ø | |
10/31/2018 | | $ | 11.33 | | | $ | 0.12 | | | $ | (0.13 | ) | | $ | (0.01 | ) | | $ | (0.08 | ) | | $ | (0.59 | ) | | $ | (0.67 | ) | | $ | — | | | $ | 10.65 | | | | (0.16 | )% | | $ | 217.6 | | | | 0.74 | % | | | 0.74 | %Ø | | | 0.65 | % | | | 0.65 | %Ø | | | 1.09 | % | | | 56 | % | | | 56 | %Ø | |
10/31/2017 | | $ | 10.09 | | | $ | 0.05 | | | $ | 1.26 | | | $ | 1.31 | | | $ | (0.04 | ) | | $ | (0.03 | ) | | $ | (0.07 | ) | | $ | — | | | $ | 11.33 | | | | 13.05 | % | | $ | 152.0 | | | | 0.98 | % | | | 0.98 | %Ø | | | 0.65 | % | | | 0.65 | %Ø | | | 0.49 | % | | | 0 | % | | | 0 | %Ø | |
Period from
9/16/2016^ to
10/31/2016 | | $ | 10.00 | | | $ | 0.00 | | | $ | 0.09 | | | $ | 0.09 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.09 | | | | 0.90 | %* | | $ | 21.2 | | | | 3.84 | %‡** | | | 3.84 | %‡Ø** | | | 0.65 | %‡** | | | 0.65 | %‡Ø** | | | 0.26 | %‡** | | | 0 | %* | | | 0 | %Ø* | |
Class A | |
4/30/2021
(Unaudited) | | $ | 10.91 | | | $ | (0.00 | ) | | $ | 1.97 | | | $ | 1.97 | | | $ | (0.00 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | 12.88 | | | | 18.06 | %* | | $ | 4.4 | | | | 1.08 | %** | | | 1.08 | %Ø** | | | 1.01 | %** | | | 1.01 | %Ø** | | | (0.07 | )%** | | | 20 | %* | | | 20 | %Ø* | |
10/31/2020 | | $ | 11.27 | | | $ | 0.12 | | | $ | 0.07 | | | $ | 0.19 | | | $ | (0.12 | ) | | $ | (0.43 | ) | | $ | (0.55 | ) | | $ | — | | | $ | 10.91 | | | | 1.71 | % | | $ | 4.4 | | | | 1.11 | % | | | 1.11 | %Ø | | | 1.02 | % | | | 1.02 | %Ø | | | 1.08 | % | | | 41 | % | | | 41 | %Ø | |
10/31/2019 | | $ | 10.64 | | | $ | 0.14 | | | $ | 0.66 | | | $ | 0.80 | | | $ | (0.17 | ) | | $ | — | | | $ | (0.17 | ) | | $ | — | | | $ | 11.27 | | | | 7.63 | % | | $ | 30.7 | | | | 1.12 | % | | | 1.12 | %Ø | | | 1.01 | % | | | 1.01 | %Ø | | | 1.30 | % | | | 31 | % | | | 31 | %Ø | |
10/31/2018 | | $ | 11.33 | | | $ | 0.11 | | | $ | (0.16 | ) | | $ | (0.05 | ) | | $ | (0.05 | ) | | $ | (0.59 | ) | | $ | (0.64 | ) | | $ | — | | | $ | 10.64 | | | | (0.55 | )% | | $ | 18.4 | | | | 1.11 | % | | | 1.11 | %Ø | | | 1.01 | % | | | 1.01 | %Ø | | | 0.97 | % | | | 56 | % | | | 56 | %Ø | |
10/31/2017 | | $ | 10.09 | | | $ | 0.01 | | | $ | 1.27 | | | $ | 1.28 | | | $ | (0.01 | ) | | $ | (0.03 | ) | | $ | (0.04 | ) | | $ | — | | | $ | 11.33 | | | | 12.70 | % | | $ | 4.1 | | | | 1.35 | % | | | 1.35 | %Ø | | | 1.01 | % | | | 1.01 | %Ø | | | 0.13 | % | | | 0 | % | | | 0 | %Ø | |
Period from
9/16/2016^ to
10/31/2016 | | $ | 10.00 | | | $ | (0.00 | ) | | $ | 0.09 | | | $ | 0.09 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.09 | | | | 0.90 | %* | | $ | 0.4 | | | | 4.26 | %‡** | | | 4.26 | %‡Ø** | | | 1.01 | %‡** | | | 1.01 | %‡Ø** | | | (0.05 | )%‡** | | | 0 | %* | | | 0 | %Ø* | |
Class C | |
4/30/2021
(Unaudited) | | $ | 10.78 | | | $ | (0.05 | ) | | $ | 1.95 | | | $ | 1.90 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 12.68 | | | | 17.63 | %* | | $ | 1.0 | | | | 1.86 | %** | | | 1.86 | %Ø** | | | 1.76 | %** | | | 1.76 | %Ø** | | | (0.83 | )%** | | | 20 | %* | | | 20 | %Ø* | |
10/31/2020 | | $ | 11.14 | | | $ | 0.02 | | | $ | 0.09 | | | $ | 0.11 | | | $ | (0.04 | ) | | $ | (0.43 | ) | | $ | (0.47 | ) | | $ | — | | | $ | 10.78 | | | | 1.00 | % | | $ | 0.8 | | | | 1.89 | % | | | 1.89 | %Ø | | | 1.77 | % | | | 1.77 | %Ø | | | 0.22 | % | | | 41 | % | | | 41 | %Ø | |
10/31/2019 | | $ | 10.51 | | | $ | 0.06 | | | $ | 0.65 | | | $ | 0.71 | | | $ | (0.08 | ) | | $ | — | | | $ | (0.08 | ) | | $ | — | | | $ | 11.14 | | | | 6.86 | % | | $ | 1.0 | | | | 1.92 | % | | | 1.92 | %Ø | | | 1.76 | % | | | 1.76 | %Ø | | | 0.54 | % | | | 31 | % | | | 31 | %Ø | |
10/31/2018 | | $ | 11.24 | | | $ | (0.00 | ) | | $ | (0.13 | ) | | $ | (0.13 | ) | | $ | (0.01 | ) | | $ | (0.59 | ) | | $ | (0.60 | ) | | $ | — | | | $ | 10.51 | | | | (1.30 | )% | | $ | 1.2 | | | | 1.89 | % | | | 1.89 | %Ø | | | 1.76 | % | | | 1.76 | %Ø | | | (0.04 | )% | | | 56 | % | | | 56 | %Ø | |
10/31/2017 | | $ | 10.08 | | | $ | (0.07 | ) | | $ | 1.26 | | | $ | 1.19 | | | $ | — | | | $ | (0.03 | ) | | $ | (0.03 | ) | | $ | — | | | $ | 11.24 | | | | 11.81 | % | | $ | 0.5 | | | | 2.12 | % | | | 2.12 | %Ø | | | 1.76 | % | | | 1.76 | %Ø | | | (0.63 | )% | | | 0 | % | | | 0 | %Ø | |
Period from
9/16/2016^ to
10/31/2016 | | $ | 10.00 | | | $ | (0.01 | ) | | $ | 0.09 | | | $ | 0.08 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.08 | | | | 0.80 | %* | | $ | 0.1 | | | | 5.10 | %‡** | | | 5.10 | %‡Ø** | | | 1.76 | %‡** | | | 1.76 | %‡Ø** | | | (0.86 | )%‡** | | | 0 | %* | | | 0 | %Ø* | |
See Notes to Financial Highlights
119
120
Financial Highlights (cont'd)
| | | Net Asset
Value,
Beginning
of Period | | Net
Investment
Income/
(Loss)@ | | Net Gains
or
Losses on
Securities
(both
realized
and
unrealized) | | Total From
Investment
Operations | | Dividends
from Net
Investment
Income | | Distributions
from Net
Realized
Capital
Gains | | Total
Distributions | | Voluntary
Contribution
from
Management | | Net Asset
Value,
End of
Period | | Total
Returna | | Net Assets,
End of
Period
(in millions) | | Ratio
of Gross
Expenses to
Average
Net
Assets# | | Ratio
of Gross
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales)# | | Ratio
of Net
Expenses to
Average
Net
Assets | | Ratio
of Net
Expenses
to Average
Net Assets
(excluding
dividend
and interest
expense
relating to
short sales) | | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | | Portfolio
Turnover
Rate
(including
securities
sold
short) | | Portfolio
Turnover
Rate
(excluding
securities
sold
short) | |
U.S. Equity Index PutWrite Strategy Fund (cont'd) | |
Class R6 | |
4/30/2021
(Unaudited) | | $ | 10.93 | | | $ | 0.02 | | | $ | 1.98 | | | $ | 2.00 | | | $ | (0.02 | ) | | $ | — | | | $ | (0.02 | ) | | $ | — | | | $ | 12.91 | | | | 18.34 | %* | | $ | 153.7 | | | | 0.60 | %** | | | 0.60 | %Ø** | | | 0.55 | %** | | | 0.55 | %Ø** | | | 0.38 | %** | | | 20 | %* | | | 20 | %Ø* | |
10/31/2020 | | $ | 11.29 | | | $ | 0.14 | | | $ | 0.10 | | | $ | 0.24 | | | $ | (0.17 | ) | | $ | (0.43 | ) | | $ | (0.60 | ) | | $ | — | | | $ | 10.93 | | | | 2.23 | % | | $ | 103.5 | | | | 0.64 | % | | | 0.64 | %Ø | | | 0.55 | % | | | 0.55 | %Ø | | | 1.31 | % | | | 41 | % | | | 41 | %Ø | |
10/31/2019 | | $ | 10.66 | | | $ | 0.19 | | | $ | 0.66 | | | $ | 0.85 | | | $ | (0.22 | ) | | $ | — | | | $ | (0.22 | ) | | $ | — | | | $ | 11.29 | | | | 8.08 | % | | $ | 17.7 | | | | 0.66 | % | | | 0.66 | %Ø | | | 0.56 | % | | | 0.56 | %Ø | | | 1.75 | % | | | 31 | % | | | 31 | %Ø | |
10/31/2018 | | $ | 11.34 | | | $ | 0.12 | | | $ | (0.12 | ) | | $ | 0.00 | | | $ | (0.09 | ) | | $ | (0.59 | ) | | $ | (0.68 | ) | | $ | — | | | $ | 10.66 | | | | (0.09 | )% | | $ | 17.9 | | | | 0.68 | % | | | 0.68 | %Ø | | | 0.58 | % | | | 0.58 | %Ø | | | 1.12 | % | | | 56 | % | | | 56 | %Ø | |
10/31/2017 | | $ | 10.10 | | | $ | 0.06 | | | $ | 1.26 | | | $ | 1.32 | | | $ | (0.05 | ) | | $ | (0.03 | ) | | $ | (0.08 | ) | | $ | — | | | $ | 11.34 | | | | 13.08 | % | | $ | 12.2 | | | | 0.93 | % | | | 0.93 | %Ø | | | 0.58 | % | | | 0.58 | %Ø | | | 0.55 | % | | | 0 | % | | | 0 | %Ø | |
Period from
9/16/2016^ to
10/31/2016 | | $ | 10.00 | | | $ | 0.00 | | | $ | 0.10 | | | $ | 0.10 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10.10 | | | | 1.00 | %* | | $ | 4.8 | | | | 3.77 | %‡** | | | 3.77 | %‡Ø** | | | 0.58 | %‡** | | | 0.58 | %‡Ø** | | | 0.26 | %‡** | | | 0 | %* | | | 0 | %Ø* | |
See Notes to Financial Highlights
121
122
Notes to Financial Highlights Alternative and Multi-Asset Class Funds (Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee and/or if Long Short had not received refunds, plus interest, from State Street noted in (g) below for custodian out-of-pocket expenses previously paid during the year ended October 31, 2017.
** Annualized.
^ The date investment operations commenced.
* Not annualized.
‡ Organization expense, which is a non-recurring expense, is included in these ratios on a non-annualized basis.
Ø Commodity Strategy and U.S. Equity Index PutWrite Strategy did not engage in short sales. For the six months ended April 30, 2021 and the years ended October 31, 2020, 2019 and 2018, Global Allocation did not engage in short sales.
^^ Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended October 31, 2019 for Global Allocation and for the six months ended April 30, 2021 for Commodity Strategy.
a Total return based on per share NAV reflects the effects of changes in NAV on the performance of each Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested, but do not reflect the effect of sales charges. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. Total return would have been higher if Management had not recouped previously reimbursed and/or waived expenses.
b Consolidated financial highlights, see Note A in the Notes to Financial Statements.
c Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been:
| | | | | Including
Short
Sales | | Excluding
Short
Sales | | Including
Short
Sales | | Excluding
Short
Sales | |
| | | Year Ended
October 31, | | Year Ended | | Year Ended | |
| | | 2020 | | 2019 | | 2018 | | October 31, 2017 | | October 31, 2016 | |
Global Allocation | | | 176 | % | | | 159 | % | | | 129 | % | | | 165 | % | | | 154 | % | | | 182 | % | | | 183 | % | |
d The class action proceeds listed in Note A of the Notes to Financial Statements, if any, had no impact on the Funds' total returns for the six months ended April 30, 2021.The class action proceeds received in 2020, 2019 and 2018 had no impact on the Funds' total returns for the years ended October 31, 2020, 2019 and 2018.
e Dividend and interest expense relating to short sales, which is a non-recurring expense for Global Allocation, is included in these ratios on a non-annualized basis.
f The voluntary contribution received in 2017 for Long Short had no impact on the Fund's total returns for the year ended October 31, 2017.
g In May 2016, the Fund's custodian, State Street, announced that it had identified inconsistencies in the way in which Long Short was invoiced for categories of expenses, particularly those deemed "out-of-pocket" costs, from the Fund's inception through November 2015, and refunded to the Fund certain expenses, plus interest,
123
Notes to Financial Highlights Alternative and Multi-Asset Class Funds (Unaudited) (cont'd)
determined to be payable to the Fund for the period in question. These amounts were refunded to the Fund by State Street during the year ended October 31, 2017. These amounts had no impact on Long Short's total returns for the year ended October 31, 2017.
h The custodian expenses refund noted in (g) above is non-recurring and is included in these ratios. Had Long Short not received the refund, the annualized ratio of net expenses to average net assets, the annualized ratio of net expenses to average net assets (excluding dividend and interest expense relating to short sales) and the annualized ratio of net investment income/(loss) to average net assets would have been:
| | | Ratio of Net
Expenses to
Average Net
Assets | | Ratio of Net
Expenses to
Average
Net Assets
(excluding
dividend and
interest
expense
relating to
short sales) | | Ratio of Net
Investment
Income/
(Loss) to
Average
Net Assets | |
| | | Year Ended October 31, 2017 | |
Long Short Institutional Class | | | 1.80 | % | | | 1.32 | % | | | 0.12 | % | |
Long Short Class A | | | 2.16 | % | | | 1.68 | % | | | (0.18 | )% | |
Long Short Class C | | | 2.90 | % | | | 2.43 | % | | | (0.94 | )% | |
i After the close of business on December 7, 2018, Long Short's Class A and Class C shares underwent a stock split. The per share data presented here has been retroactively adjusted to reflect this split.
j Commodity Strategy Class C shares were fully redeemed on February 2, 2021. Operations recommenced on March 24, 2021.
124
Investment Manager and Administrator
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
Shareholder Services
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Distributor
Neuberger Berman BD LLC
1290 Avenue of the Americas
New York, NY 10104-0002
Shareholder Services
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Custodian
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Shareholder Servicing Agent
DST Asset Manager Solutions Inc.
430 West 7th Street, Suite 219189
Kansas City, MO 64105-1407
For Institutional Class Shareholders
address correspondence to:
Neuberger Berman Funds
PO Box 219189
Kansas City, MO 64121-9189
Intermediary Client Services 800.366.6264
For Class A, Class C and Class R6 Shareholders:
Please contact your investment provider
Legal Counsel
K&L Gates LLP
1601 K Street, NW
Washington, DC 20006-1600
Independent Registered Public Accounting Firms
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Tait, Weller & Baker LLP
Two Liberty Place
50 South 16th Street, Suite 2900
Philadelphia, PA 19102
125
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the SEC's website at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available, without charge upon request, by calling 800-877-9700 (toll-free), on the SEC's website at www.sec.gov, and on Neuberger Berman's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its report on Form N-PORT. The Trust's Form N-PORT is available on the SEC's website at www.sec.gov. The portfolio holdings information on Form N-PORT is available upon request, without charge, by calling 800-877-9700 (toll-free).
126
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
Retail Services: 800.877.9700
Broker-Dealer and Institutional Services: 800.366.6264/888.556.9030
www.nb.com
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Funds. This report is prepared for the general information of shareholders and is not an offer of shares of the Funds. Shares are sold only through the currently effective prospectus which you can obtain by calling 877.628.2583. An investor should consider carefully a Fund's investment objectives, risks and fees and expenses, which are described in its prospectus, before investing.
L0088 06/21
Item 2. Code of Ethics.
The Board of Trustees (“Board”) of Neuberger Berman Alternative Funds (“Registrant”) has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (“Code of Ethics”). During the period covered by this Form N-CSR, there were no substantive amendments to the Code of Ethics and there were no waivers from the Code of Ethics granted to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
Not applicable to semi-annual reports on Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Not applicable to semi-annual reports on Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Schedule of Investments.
The complete schedule of investments for each series is disclosed in the Registrant’s semi-annual report, which is included in Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no changes to the procedures by which shareholders may recommend nominees to the Board.
Item 11. Controls and Procedures.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 13. Exhibits.
The certification furnished pursuant to Rule 30a-2(b) under the Act and Section 906 of the Sarbanes-Oxley Act will not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (“Exchange Act”), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933, as amended, or the Exchange Act, except to the extent that the Registrant specifically incorporates it by reference.
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.
Joseph V. Amato
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.
Joseph V. Amato
John M. McGovern
