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, 2022
Contents
THE FUNDS | |
President's Letter | | | 1 | | |
PORTFOLIO COMMENTARY | |
Commodity Strategy Fund | | | 2 | | |
Global Allocation Fund | | | 4 | | |
Long Short Fund | | | 6 | | |
U.S. Equity Index PutWrite Strategy Fund | | | 8 | | |
FUND EXPENSE INFORMATION | | | 15 | | |
LEGEND | | | 17 | | |
SCHEDULE OF INVESTMENTS | |
Commodity Strategy Fund | | | 18 | | |
Global Allocation Fund | | | 25 | | |
Positions by Industry | | | 32 | | |
Long Short Fund | | | 37 | | |
U.S. Equity Index PutWrite Strategy Fund | | | 58 | | |
FINANCIAL STATEMENTS | | | 61 | | |
NOTES TO FINANCIAL STATEMENTS | | | 67 | | |
FINANCIAL HIGHLIGHTS (ALL CLASSES) | |
Commodity Strategy Fund | | | 91 | | |
Global Allocation Fund | | | 93 | | |
Long Short Fund | | | 95 | | |
U.S. Equity Index PutWrite Strategy Fund | | | 97 | | |
Directory | | | 103 | | |
Proxy Voting Policies and Procedures | | | 104 | | |
Quarterly Portfolio Schedule | | | 104 | | |
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. ©2022 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, 2022 (the reporting period).
The U.S. economy was resilient during the first half of the reporting period in the face of several headwinds, including the impact from COVID-19 and its variants, supply chain issues, 40-year high inflation and sharply rising interest rates. Economic growth then contracted over the first quarter of 2022, driven by the aforementioned issues, coupled with the repercussions from the war in Ukraine.
Another key factor which impacted the economy was the U.S. Federal Reserve Board's (Fed) monetary policy pivot in the face of persistent inflation. As widely telegraphed by the central bank, it raised the federal funds rate 0.25% (25 basis points) to a range between 0.25% and 0.50% at its meeting in March 2022—the first rate hike since 2018. The Fed currently expects to raise rates serval more times in the coming year, with Chair Jerome Powell indicating that more aggressive increases may be appropriate as it looks to curb inflation. In addition, the Fed is expected to begin reducing its balance sheet (quantitative tightening).
Both the global stock market and the overall fixed income market generated weak results during the reporting period. The global stock market was dragged down by a number of factors, including persistent inflation, rising interest rates, Fed monetary policy tightening, and the outbreak of war in Ukraine. All told, the S&P 500® Index returned –9.65% over the reporting period while international developed and emerging market equities, as measured by the MSCI EAFE® (Net) and MSCI Emerging Market (Net) Indices, returned –11.80% and –14.15%, respectively. Meanwhile, the overall U.S. taxable investment-grade fixed income market, as measured by the Bloomberg U.S. Aggregate Bond Index, returned –9.47%. Both short- and long-term Treasury yields moved sharply higher. The increase in rates was driven by expectations for aggressive Fed tightening, elevated inflation, and continued supply chain and labor shortages. Meanwhile, credit spreads widened as the period progressed.
As we look ahead, the global growth outlook has been clouded by cross-currents in the form of rising commodities and geopolitical events. However, we believe a number of factors should enable the U.S. economy to avoid recession in 2022. First, although decelerating, the U.S. economy was in a strong position entering the current spike in inflation. We believe that this provides a substantial cushion to withstand monetary policy changes; in sharp contrast to past scenarios when growth was fairly minimal and vulnerable to shocks. Key buffers also could help protect the expansion. In the U.S., we believe the consumer remains in excellent shape, with debt levels close to record lows while savings remain ample. All told, we believe the upward movement in interest rates and growth uncertainty have created an opportunity to put money to work, albeit with some caution given the significant change in market dynamics associated with inflation regime change.
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
1
Commodity Strategy Fund Commentary (Unaudited)
Neuberger Berman Commodity Strategy Fund Institutional Class generated a total return of 25.72% for the six-month period ended April 30, 2022 (the reporting period) and outperformed its benchmark, the Bloomberg Commodity Index (the Index), which provided a 25.46% 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 energy, nickel and agriculture being the top performers. Energy prices rose, partially due to supply chain issues associated with the war in Ukraine. Nickel prices fluctuated but rose sharply over the period. Within the agriculture space, corn, soybeans, and cotton generated the strongest returns. The supply of these commodities, as well as wheat, were significantly impacted due the repercussions from the war.
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 unleaded gasoline relative to the Index added the most value. Conversely, an underweight to natural gas detracted from returns. We tend to underweight this space due to its volatility. In agriculture, an overweight to corn was the most beneficial for returns. An overweight to industrial metals was another area of strength, driven by the Fund's overweights to nickel and zinc. Finally, in the livestock space an overweight to lean hogs contributed the most to performance. Elsewhere, the Fund's cryptocurrency exposure was a modest detractor from relative returns, as was the underweight to gold, along with overweights to palladium and platinum.
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 was additive to performance during the reporting period.
Over the last several quarters we have argued that the current inflationary environment is not transitory, but rather a reality that investors, producers, and consumers must accept. Supply chains and inventories were already strained as a result of the global pandemic. Now, inflation continues to break multi-decade highs and Russia's invasion of Ukraine only propelled prices higher. While the war in Ukraine has undoubtedly had an impact on commodities and inflation globally, we're hard pressed to attribute the majority of current price increases solely to this conflict. We believe that deglobalization, the transition to net zero and greener energy solutions, and many countries seeking to reinforce their supply chains and be less reliant on other economies, are all contributing to the current inflationary environment. We believe these complex, macro challenges are likely to require massive amounts of commodities to develop technologies (in the case of net zero) and also increase input prices across the board (deglobalization and supply chain reinforcement). With our belief that inflation is here to stay, we believe commodities are still one of investors' best bets to hedge inflation.
Sincerely,
HAKAN KAYA, DAVID YI WAN AND MICHAEL FOSTER
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.
2
Commodity Strategy Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | | NRBIX | |
Class A | | NRBAX | |
Class C | | NRBCX | |
PORTFOLIO BY INVESTMENT TYPE
(as a % of Total Net Assets) | |
Asset-Backed Securities | | | 18.8 | % | |
Corporate Bonds | | | 50.0 | | |
U.S. Treasury Obligations | | | 11.0 | | |
Short-Term Investments | | | 12.1 | | |
Other Assets Less Liabilities | | | 8.1 | * | |
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 | | | 20.6 | % | |
Bitcoin | | | 0.4 | | |
Energy | | | 32.8 | | |
Industrial Metals | | | 15.9 | | |
Livestock | | | 5.8 | | |
Precious Metals | | | 17.6 | | |
Softs | | | 6.9 | | |
Total | | | 100.0 | % | |
PERFORMANCE HIGHLIGHTS3
| | | | Six Month | | Average Annual Total Return
Ended 04/30/2022 | |
| | Inception
Date | | Period Ended
04/30/2022 | | 1 Year | | 5 Years | | Life of
Fund | |
At NAV | |
Institutional Class | | 08/27/2012 | | | 25.72 | % | | | 40.09 | % | | | 12.20 | % | | | 0.71 | % | |
Class A | | 08/27/2012 | | | 25.52 | % | | | 39.39 | % | | | 11.81 | % | | | 0.34 | % | |
| Class C6 | | 03/24/2021 | | | 25.11 | % | | | 38.57 | % | | | 11.96 | % | | | 0.59 | % | |
With Sales Charge | |
Class A | | | | | 18.25 | % | | | 31.37 | % | | | 10.50 | % | | | –0.28 | % | |
| Class C6 | |
| | | 24.29 | % | | | 37.66 | % | | | 11.96 | % | | | 0.59 | % | |
Index | |
| Bloomberg Commodity Index1,2 | |
| | | 25.46 | % | | | 43.53 | % | | | 10.22 | % | | | –0.56 | % | |
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 2021 were 0.99%,1.37% and 2.97% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.74%, 1.10% 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, 2022, 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
Global Allocation Fund Commentary (Unaudited)
Neuberger Berman Global Allocation Fund Institutional Class generated a –8.81% total return for the six-month period ended April 30, 2022 (the reporting period), outperforming its blended benchmark consisting of 60% MSCI All Country World Index (Net) and 40% Bloomberg Global Aggregate Index (collectively, the Index), which provided a –11.58% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Over the reporting period, markets have faced a flurry of challenging headwinds ranging from new COVID-19 mutations, the Russia-Ukraine war, unanchored inflation, declining growth, and central bank policy tightening. Coming into 2022, the U.S. economy was well supported, but beginning to show signs of transition from early to mid-cycle. Inflation emerged stickier than initially expected, with U.S. Federal Reserve Board (Fed) Chairman Jerome Powell retiring the term "transitory," and laying the foundation for a shift to a more hawkish policy stance. The Russian invasion of Ukraine became the catalyst for accelerating many of the structural risks that were on the horizon in late 2021. The Fed kicked off its hiking cycle in the first quarter of 2022 and introduced balance sheet run off that will take place over the coming quarters. U.S. yields rose sharply over the period, and the curve flattened, forecasts for global GDP growth saw meaningful downside revisions and inflation expectations accelerated.
Both the Fund's allocations to global equities and fixed income contributed to outperformance relative to the Index. Within equities, the non-U.S. systematic equity strategy was the primary driver of outperformance while the U.S. small cap position was a relative detractor. The overall underweight exposure to fixed income provided positive allocation effects. Opportunistic strategies were also additive to performance, led by contributions from strategic allocation tilts and the Fund's fundamental tactical asset allocation strategy, which provided uncorrelated returns to traditional market betas.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts contributed positively to performance during the reporting period.
Looking ahead, we have shifted to a more defensive stance on global equities with a preference for developed markets and a bias towards U.S. value and factor-based strategies. We remain cautious against the backdrop of a challenging growth-inflation mix and heighten volatility; however, in the near-term, we believe the valuation reset in equities may induce a counter-trend relief rally and for inflation to moderate as demand shifts from goods to services.
Within fixed income, we remain overweight short duration and prefer assets with less sensitivity to rates such as high yield. Corporate and consumer balance sheet remain robust, providing opportunities to pick up yield within certain segments of the credit market. In the near-term, we believe U.S. yields are nearing fully priced levels, and we anticipate a more two-way trading environment in the U.S. In other developed economies, the widening differential in financial conditions with U.S., has led us to shift our short duration overlays to Japanese government bonds, where we anticipate yields to play catch up over the coming months.
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.
4
Global Allocation Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | | NGLIX | |
Class A | | NGLAX | |
Class C | | NGLCX | |
Class R6 | | NRGLX | |
PERFORMANCE HIGHLIGHTS
| | | | Six Month | | Average Annual Total
Return Ended 04/30/2022 | |
| | Inception
Date | | Period Ended
04/30/2022 | | 1 Year | | 5 Years | | 10 Years | | Life of
Fund | |
At NAV | |
Institutional Class | | 12/29/2010 | | | –8.81 | % | | | –3.37 | % | | | 5.86 | % | | | 5.37 | % | | | 5.68 | % | |
Class A | | 12/29/2010 | | | –8.96 | % | | | –3.70 | % | | | 5.50 | % | | | 5.00 | % | | | 5.31 | % | |
Class C | | 12/29/2010 | | | –9.33 | % | | | –4.50 | % | | | 4.70 | % | | | 4.21 | % | | | 4.52 | % | |
| Class R65 | | 01/18/2019 | | | –8.71 | % | | | –3.27 | % | | | 5.94 | % | | | 5.40 | % | | | 5.72 | % | |
With Sales Charge | |
Class A | | | | | –14.20 | % | | | –9.22 | % | | | 4.26 | % | | | 4.37 | % | | | 4.76 | % | |
Class C | | | | | –10.12 | % | | | –5.34 | % | | | 4.70 | % | | | 4.21 | % | | | 4.52 | % | |
Index | |
| Blended Benchmark*1,2 | |
| | | –11.58 | % | | | –8.26 | % | | | 5.98 | % | | | 5.78 | % | | | 5.62 | % | |
| MSCI All Country World Index (Net)1,2 | | | | | –11.63 | % | | | –5.44 | % | | | 9.46 | % | | | 9.21 | % | | | 8.37 | % | |
* Blended Benchmark is composed of 60% MSCI All Country World Index (Net) and 40% Bloomberg Global Aggregate Index, rebalanced monthly. Effective August 24, 2021, the Bloomberg Barclays Global Aggregate Index changed its name to Bloomberg Global Aggregate Index.
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 2021 were 4.42%, 4.84%, 5.60% and 4.74% 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 were 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, 2022, 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.
5
Long Short Fund Commentary (Unaudited)
Neuberger Berman Long Short Fund Institutional Class generated a –5.91% total return for the six-month period ended April 30, 2022 (the reporting period), underperforming its primary benchmark, the HFRX® Equity Hedge Index (the Index), which returned –1.56% for the same period. However, the Fund outperformed its secondary benchmark, the S&P 500® Index, which provided a –9.65% total return for the reporting period. (Performance for all share classes is provided in the table immediately following this letter.)
The overall equity market was volatile and posted weak results during the reporting period. While corporate fundamentals were generally resilient, this was largely overshadowed by surging inflation, sharply rising interest rates, expectations for aggressive U.S. Federal Reserve Board rate hikes, supply chain constraints, and the repercussions from the ongoing war in Ukraine. All told, the S&P 500 Index returned –9.65% during the reporting period.
With the increase in market volatility and uncertainty expectations for future economic growth, we reduced modestly both the Fund's net and gross exposures. On an absolute basis, the Fund's largest sector weights were in Information Technology, Consumer Discretionary and Industrials.
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 continue to take a balanced approach and, on the margin, find Total Return investments to be more attractive relative to the prior reporting period, as mid-cycle economic dynamics have emerged. The Fund's short exposure includes both single name "Fundamental" shorts and "Market" shorts. During the reporting period, equity long exposure decreased against the backdrop of macroeconomic uncertainty, while Fundamental shorts increased. Market shorts that consist primarily of sector and market cap-specific indices to help manage broader portfolio exposures increased during the reporting period.
The Fund's aggregate use of futures, swap and option contracts contributed positively to performance during the reporting period.
As we progress through 2022, we believe numerous financial and economic factors need to normalize. These include, but are not limited to, central bank liquidity, government fiscal support, consumer behavior, stock market volatility, asset price returns, unprecedented demand shocks and inflationary pressures. We believe that the U.S. economy is still in a mid-cycle expansion, characterized by broader economic momentum, but at a more moderate pace of growth. We acknowledge the tragic events and conflict in Ukraine has created more uncertainty on the current economic recovery path. The previous cycle was the longest in history and ended only due to the exogenous shock of the COVID-19 pandemic. We continue our efforts to best understand company specific factors, as we believe this environment is flush with a confluence of fiscal policy considerations, monetary policy stimulus, public health concerns, geopolitical uncertainty, commodity price volatility, and inflation dynamics. As market dynamics change, we believe this can cause company market values to dislocate from their long-term potential values, creating potential opportunities both long and short. Nevertheless, we are mindful of the complex world in which we live and invest. Given the massive amounts of global stimulus, there is a risk that unchecked fiscal spending has consequences. We highlight these risks because the current environment necessitates a flexible approach in the complex, global world in which we operate. Moreover, we strongly believe the greatest risks to the global economy are still those that are unknown today—be they financial or geopolitical in nature. As always, we must be ready and able to adapt when the facts change.
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.
6
Long Short Fund (Unaudited)
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 | | | 73.4 | % | | | (13.0 | )% | |
Corporate Bonds | | | 1.3 | | | | (1.6 | ) | |
Exchange-Traded Funds | | | — | | | | (0.8 | ) | |
Loan Assignments | | | 0.5 | | | | — | | |
Master Limited Partnerships
and Limited Partnerships | | | 2.6 | | | | — | | |
Options Purchased | | | 0.0 | | | | — | | |
Preferred Stocks | | | 1.1 | | | | — | | |
Warrants | | | 0.1 | | | | — | | |
Short-Term Investments | | | 22.8 | | | | — | | |
Other Assets Less Liabilities | | | 13.6 | * | | | — | | |
Total | | | 115.4 | % | | | (15.4 | )% | |
* 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 04/30/2022 | |
| | Inception
Date | | Period Ended
04/30/2022 | | 1 Year | | 5 Years | | 10 Years | | Life of
Fund | |
At NAV | |
Institutional Class | | 12/29/2011 | | | –5.91 | % | | | –0.96 | % | | | 6.78 | % | | | 6.17 | % | | | 6.60 | % | |
Class A | | 12/29/2011 | | | –6.04 | % | | | –1.26 | % | | | 6.41 | % | | | 5.80 | % | | | 6.22 | % | |
Class C | | 12/29/2011 | | | –6.41 | % | | | –2.07 | % | | | 5.62 | % | | | 5.00 | % | | | 5.42 | % | |
With Sales Charge | |
Class A | | | | | –11.45 | % | | | –6.97 | % | | | 5.16 | % | | | 5.17 | % | | | 5.61 | % | |
Class C | | | | | –7.34 | % | | | –3.03 | % | | | 5.62 | % | | | 5.00 | % | | | 5.42 | % | |
Index | |
| HFRX® Equity Hedge Index1,2 | | | | | –1.56 | % | | | 3.91 | % | | | 4.15 | % | | | 3.49 | % | | | 3.78 | % | |
| S&P 500® Index1,2 | | | | | –9.65 | % | | | 0.21 | % | | | 13.66 | % | | | 13.67 | % | | | 14.49 | % | |
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 2021 were 1.60%, 1.96% and 2.71% 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, 2022, 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.
7
U.S. Equity Index PutWrite Strategy Fund Commentary (Unaudited)
Neuberger Berman U.S. Equity Index PutWrite Strategy Fund Institutional Class generated a total return of –7.02% over the six-month period ended April 30, 2022 (the reporting period), underperforming its benchmark, a blend consisting of 50% Cboe S&P 500 One-Week PutWrite Index and 50% Cboe S&P 500 PutWrite Index (collectively, the Index), which posted a –2.65% total return during the same period. (Performance for all share classes is provided in the table immediately following this letter.)
On February 28, 2022, the Fund began comparing its performance to the Index rather than the 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, because the Index has characteristics that are more representative of the Fund's investment strategy than its previous index. From the close of February 28, 2022 (the effective date of the change) through the end of the reporting period, the Fund's Institutional Class returned –3.52%, underperforming the Index, which returned –2.34%. For the entire reporting period, the Fund's Institutional Class returned –7.02%, underperforming the prior benchmark, which returned –3.84% for the reporting period.
Economies and financial markets always seem to present situations that possess enough ambiguity and lack historical analogs to keep investors uncertain about the future. Hence our long-term conviction in incorporating volatility-based strategies in portfolios to seek to capitalize on market uncertainty. The current dilemma for investors is no exception. The U.S. Federal Reserve Board (Fed) has set a course for an aggressive rate policy to fight inflation levels that haven't been seen for a generation. Layer on low unemployment, large government deficits, a changing geopolitical landscape, shifting environmental and social priorities, and relatively high equity valuations and the odds of a 'soft landing' for equity markets seem incredibly low, in our view. Thus, with a rare 'double negative' for the S&P 500® Index (–9.65%) and the Bloomberg U.S. Aggregate Bond Index (–9.47%), a 60/40 equity/bond allocation suffered significant losses during the reporting period.
Over the reporting period, both S&P 500 and Russell 2000® Index exposures detracted from Fund performance. The Fund's S&P 500 exposure was the largest detractor to relative performance over the period as it fell shy of the Cboe S&P 500 PutWrite Index (3rd Friday)1 and the Cboe S&P 500 One-Week PutWrite Index (weekly). Over the same period, the Fund's collateral holdings also detracted from performance. Despite recent events, the S&P 500's spirit appears to be unbreakable with any signs of weakness quickly eroded by renewed investor optimism. Looking at the price path of the S&P 500, the reversals between 3rd Fridays have led to remarkable differentials in index volatility levels between daily, monthly and 3rd Friday observations. Overall, of our years of experience in managing option strategies, equity index option markets have historically tended to 'average out' over multi-year time periods. As one would expect, strategy indexes following different option exposure methodologies, such as every Friday or multiple Fridays, can produce markedly different results over short-term periods. Specifically, the reduced levels of 3rd Friday S&P 500 price volatility has recently heavily favored options strategy indexes that reset exposures exclusively on 3rd Fridays. Given the relatively random variation in performance across monthly and one-week putwrite indexes for different underlying exposures, we remain confident in our beliefs that thoughtfully diversified option writing strategies have the potential to provide investors with higher long-term, risk-efficient return streams than strategies that pick a specific tenor and letting things roll with 'Lady Luck'.
During the first quarter of 2022 the Fund adjusted its average option notional exposure from the strategic target of 85% S&P 500 Index and 15% Russell 2000 Index to 100% S&P 500 Index. We believe the U.S. small cap public equity universe is evolving into a less productive investment opportunity for several reasons, including:
• Private equity capital has grown to material levels over the last two decades.
• With increased demand to find investments, private investors are holding investments until they reach larger market capitalizations than they have in the past.
• New investment vehicles such as Special Acquisition Corporations (SPACs) acquire or merge with smaller companies that results in the companies' dropping out of small cap indexes.
8
U.S. Equity Index PutWrite Strategy Fund Commentary (Unaudited)
• Some small cap indexes are relatively concentrated in a few names.
• Retail investors can now influence smaller company prices and create 'meme' stocks that may have an outsized effect on small cap index performance.
We believe the challenges facing public U.S. small cap equities have contributed to the erosion in the risk efficiency of a Russell 2000 Index putwrite strategy relative to a S&P 500 Index putwrite strategy. Hence, we have currently removed the Russell 2000 equity exposure from our Fund. We believe this adjustment has the potential to result in a reduction in strategy volatility levels and an overall increased level of risk efficiency. In addition, the team has been focused on alternatives to U.S. Treasuries for the strategy's collateral portfolio that can assume additional exposures to focus on creating a quarterly distribution to seek to enhance distributions.
At the end of last year, we suggested the real interest rates would be the most important stat of 2022 and inflation data and the Fed's comments have not disappointed. Which brings us to our belief that inflation or the fight against inflation will continue to promote elevated levels of equity market volatility. For the reporting period, the S&P 500 was near all-time highs with solid corporate profitability, the yield curve has inverted, and the Fed will need to be more aggressive in its policy than in previous rate cycles. We do not believe this will lead to a low equity volatility environment over the next few years. Russia's invasion of Ukraine is proving to be another short-term market concern, but we believe it has obscured what we believe is the beginning of a longer-term grind for equity markets. As we have stated in the past, we do not believe equity markets will offer negative returns in the coming years, rather we believe they won't offer double digit annualized returns as they have over the prior decade. In support of our views, the VIX futures markets seem to have a reasonable amount of skepticism about the future state of market volatility. While the VIX futures curve has been in backwardation (meaning longer-dated futures are priced lower than more near-term futures), markets continue to price volatility well above long-term averages.
Sincerely,
DEREK DEVENS AND RORY EWING
PORTFOLIO MANAGERS
1 The Cboe S&P 500 PutWrite Index (PUT) rolls a single, one-month at-the-money (ATM) put option on the S&P 500 Index on the 3rd Friday of every month. The Cboe S&P 500 One-Week PutWrite Index (WPUT) sells an at-the-money (ATM) put option on the S&P 500 Index on a weekly basis.
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 (Unaudited)
TICKER SYMBOLS
Institutional Class | | NUPIX | |
Class A | | NUPAX | |
Class C | | NUPCX | |
Class R6 | | NUPRX | |
PORTFOLIO BY INVESTMENT TYPE
(as a % of Total Net Assets) | |
Corporate Bonds | | | 14.5 | % | |
U.S. Treasury Obligations | | | 82.2 | | |
Put Options Written | | | (5.2 | ) | |
Short-Term Investments | | | 7.8 | | |
Other Assets Less Liabilities | | | 0.7 | | |
Total | | | 100.0 | % | |
PERFORMANCE HIGHLIGHTS4
| | | | Six Month | | Average Annual Total Return
Ended 04/30/2022 | |
| | Inception
Date | | Period Ended
04/30/2022 | | 1 Year | | 5 Years | | Life of
Fund | |
At NAV | | | | | | | | | |
| |
Institutional Class | | 09/16/2016 | | | –7.02 | % | | | –0.23 | % | | | 6.35 | % | | | 7.25 | % | |
Class A | | 09/16/2016 | | | –7.13 | % | | | –0.56 | % | | | 5.98 | % | | | 6.87 | % | |
Class C | | 09/16/2016 | | | –7.58 | % | | | –1.39 | % | | | 5.16 | % | | | 6.07 | % | |
Class R6 | | 09/16/2016 | | | –7.00 | % | | | –0.19 | % | | | 6.42 | % | | | 7.34 | % | |
With Sales Charge | |
Class A | |
| | | –12.46 | % | | | –6.31 | % | | | 4.73 | % | | | 5.75 | % | |
Class C | | | | | | | –8.35 | % | | | –2.21 | % | | | 5.16 | % | | | 6.07 | % | |
Index | | | | | | | | | |
| |
50% Cboe S&P 500 1-Wk
PutWrite Index / 50% Cboe
S&P 500 PutWrite Index*1,2 | |
| | | –2.65 | % | | | 5.93 | % | | | 3.80 | % | | | 4.77 | % | |
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 | |
| | | –3.84 | % | | | 4.14 | % | | | 2.76 | % | | | 3.83 | % | |
| S&P 500® Index1,2 | | | | | | | –9.65 | % | | | 0.21 | % | | | 13.66 | % | | | 14.41 | % | |
* On February 28, 2022, the Fund began comparing its performance to the 50% Cboe S&P 500 One-Week PutWrite Index/50% Cboe S&P 500 PutWrite Index rather than the 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 because the 50% Cboe S&P 500 One-Week PutWrite Index/50% Cboe S&P 500 PutWrite Index has characteristics that are more representative of the Fund's investment strategy than its previous index.
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 2021 were 0.70%, 1.07%, 1.86% and 0.60% 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, 2022, 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
Glossary of Indices (Unaudited)
Bloomberg 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 U.S. Aggregate Bond Index, the Bloomberg Pan-European Aggregate Bond Index, and the Bloomberg Asian-Pacific Aggregate Index. In addition to securities from these three indices, the Bloomberg Global Aggregate Index also includes investment grade Eurodollar, Euro-Yen, Canadian, and 144A Index-eligible securities not already in these three indices. Effective August 24, 2021 all Bloomberg Barclays fixed income indices were rebranded as "Bloomberg indices". At the end of March 2022, all index securities with a country of risk of Russia were removed from the index at a valuation of near zero. | |
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 (Unaudited) (cont'd)
50% Cboe S&P 500 One-Week PutWrite Index/50% Cboe S&P 500 PutWrite Index: | | The blended index is composed of 50% Cboe S&P 500 One-Week PutWrite Index (described above) and 50% Cboe S&P 500 PutWrite Index (described above) and is rebalanced monthly. | |
| 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 month 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 47 country indexes comprising 23 developed and 24 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: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Peru, the Philippines, Poland, Qatar, 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. Effective after the close on March 9, 2022, MSCI reclassified MSCI Russia Indexes from Emerging Markets to Standalone Markets status. At that time, all Russian securities were removed from this index at a final price of 0.00001, including both locally traded Russian equity constituents and Russian ADRs/GDRs constituents. | |
60% MSCI All Country World Index (Net) and 40% Bloomberg Global Aggregate Index: | | The blended index is composed of 60% MSCI All Country World Index (Net) (described above) and 40% Bloomberg 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. | |
13
Glossary of Indices (Unaudited) (cont'd)
| 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. | |
14
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, 2022 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.
15
Expense Example (Unaudited)
Neuberger Berman Alternative Funds | |
| | | ACTUAL | | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | |
| | | Beginning
Account
Value
11/1/21 | | Ending
Account
Value
4/30/22 | | Expenses Paid
During the
Period(1)
11/1/21 - 4/30/22 | | Expense
Ratio | | Beginning
Account
Value
11/1/21 | | Ending
Account
Value
4/30/22 | | Expenses Paid
During the
Period(2)
11/1/21 - 4/30/22 | | Expense
Ratio | |
Commodity Strategy Fund | |
Institutional Class | | $ | 1,000.00 | | | $ | 1,257.20 | | | $ | 4.09 | (3) | | | 0.73 | % | | $ | 1,000.00 | | | $ | 1,021.17 | | | $ | 3.66 | (3) | | | 0.73 | % | |
Class A | | $ | 1,000.00 | | | $ | 1,255.20 | | | $ | 6.09 | (3) | | | 1.09 | % | | $ | 1,000.00 | | | $ | 1,019.39 | | | $ | 5.46 | (3) | | | 1.09 | % | |
Class C | | $ | 1,000.00 | | | $ | 1,251.10 | | | $ | 10.33 | (3) | | | 1.85 | % | | $ | 1,000.00 | | | $ | 1,015.62 | | | $ | 9.25 | (3) | | | 1.85 | % | |
Global Allocation Fund | |
Institutional Class | | $ | 1,000.00 | | | $ | 911.90 | | | $ | 3.56 | | | | 0.75 | % | | $ | 1,000.00 | | | $ | 1,021.08 | | | $ | 3.76 | | | | 0.75 | % | |
Class A | | $ | 1,000.00 | | | $ | 910.40 | | | $ | 5.26 | | | | 1.11 | % | | $ | 1,000.00 | | | $ | 1,019.29 | | | $ | 5.56 | | | | 1.11 | % | |
Class C | | $ | 1,000.00 | | | $ | 906.70 | | | $ | 8.79 | | | | 1.86 | % | | $ | 1,000.00 | | | $ | 1,015.57 | | | $ | 9.30 | | | | 1.86 | % | |
Class R6 | | $ | 1,000.00 | | | $ | 912.90 | | | $ | 3.08 | | | | 0.65 | % | | $ | 1,000.00 | | | $ | 1,021.57 | | | $ | 3.26 | | | | 0.65 | % | |
Long Short Fund | |
Institutional Class | | $ | 1,000.00 | | | $ | 940.90 | | | $ | 8.04 | (4) | | | 1.67 | % | | $ | 1,000.00 | | | $ | 1,016.51 | | | $ | 8.35 | (4) | | | 1.67 | % | |
Class A | | $ | 1,000.00 | | | $ | 939.60 | | | $ | 9.62 | (4) | | | 2.00 | % | | $ | 1,000.00 | | | $ | 1,014.88 | | | $ | 9.99 | (4) | | | 2.00 | % | |
Class C | | $ | 1,000.00 | | | $ | 935.90 | | | $ | 13.34 | (4) | | | 2.78 | % | | $ | 1,000.00 | | | $ | 1,011.01 | | | $ | 13.86 | (4) | | | 2.78 | % | |
U.S. Equity Index PutWrite Strategy Fund | |
Institutional Class | | $ | 1,000.00 | | | $ | 929.80 | | | $ | 3.16 | | | | 0.66 | % | | $ | 1,000.00 | | | $ | 1,021.52 | | | $ | 3.31 | | | | 0.66 | % | |
Class A | | $ | 1,000.00 | | | $ | 928.70 | | | $ | 4.83 | | | | 1.01 | % | | $ | 1,000.00 | | | $ | 1,019.79 | | | $ | 5.06 | | | | 1.01 | % | |
Class C | | $ | 1,000.00 | | | $ | 924.20 | | | $ | 8.44 | | | | 1.77 | % | | $ | 1,000.00 | | | $ | 1,016.02 | | | $ | 8.85 | | | | 1.77 | % | |
Class R6 | | $ | 1,000.00 | | | $ | 930.00 | | | $ | 2.68 | | | | 0.56 | % | | $ | 1,000.00 | | | $ | 1,022.02 | | | $ | 2.81 | | | | 0.56 | % | |
(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 Financial Statements).
(4) Includes expenses of the Fund's blocker (See Note A of the Notes to Financial Statements).
16
Legend April 30, 2022 (Unaudited)
Neuberger Berman Alternative Funds
Benchmarks:
FEDL01 = US Federal Funds Effective Rate
LIBOR = London Interbank Offered Rate
OBFR = Overnight Bank Funding Rate
SOFR = Secured Overnight Financing Rate
Currency Abbreviations:
USD = United States Dollar
Counterparties:
GSI = Goldman Sachs International
JPM = JPMorgan Chase Bank N.A.
SSB = State Street Bank and Trust Company
Index Periods/Payment Frequencies:
1D = 1 Day
1M = 1 Month
3M = 3 Months
6M = 6 Months
T = Termination
Other Abbreviations:
Management
or NBIA = Neuberger Berman Investment Advisers LLC
PIPE = Private investment in public entity
17
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) April 30, 2022
PRINCIPAL AMOUNT | | | | VALUE | |
U.S. Treasury Obligations 11.0% | | | |
| | | | | U.S. Treasury Bills | | | | | |
$ | 7,375,000 | | | 0.32%, due 6/2/2022 | | $ | 7,372,903 | (a) | |
| | 20,000,000 | | | 0.47%, due 6/23/2022 | | | 19,982,948 | (a) | |
| | | | | Total U.S. Treasury Obligations (Cost $27,359,126) | | | 27,355,851 | | |
Asset-Backed Securities 18.8% | | | |
| | 2,055,000 | | | BMW Vehicle Lease Trust, Ser. 2022-1, Class A2, 0.67%, due 5/28/2024 | | | 2,037,122 | | |
| | | | | Capital One Prime Auto Receivables Trust | | | | | |
| | 1,295,981 | | | Ser. 2021-1, Class A2, 0.32%, due 2/18/2025 | | | 1,283,476 | | |
| | 3,601,000 | | | Ser. 2022-1, Class A2, 2.71%, due 6/16/2025 | | | 3,600,963 | (b) | |
| | 834,000 | | | CNH Equipment Trust, Ser. 2021-C, Class A2, 0.33%, due 1/15/2025 | | | 823,685 | | |
| | 570,000 | | | DLLMT LLC, Ser. 2021-1A, Class A2, 0.60%, due 3/20/2024 | | | 563,367 | (c) | |
| | 622,000 | | | DLLST LLC, Ser. 2022-1A, Class A2, 2.79%, due 1/22/2024 | | | 621,895 | (b)(c) | |
| | | | | Ford Credit Auto Lease Trust | | | | | |
| | 198,789 | | | Ser. 2021-A, Class A2, 0.19%, due 7/15/2023 | | | 198,605 | | |
| | 1,895,000 | | | Ser. 2022-A, Class A2A, 2.78%, due 10/15/2024 | | | 1,895,604 | | |
| | 1,950,000 | | | Ford Credit Auto Owner Trust, Ser. 2022-A, Class A2, 0.73%, due 9/15/2024 | | | 1,929,494 | | |
| | | | | GM Financial Consumer Automobile Receivables Trust | | | | | |
| | 122,261 | | | Ser. 2021-1, Class A2, 0.23%, due 11/16/2023 | | | 122,146 | | |
| | 1,963,570 | | | Ser. 2021-4, Class A2, 0.28%, due 11/18/2024 | | | 1,946,146 | | |
| | 650,000 | | | Ser. 2022-1, Class A2, 0.76%, due 2/18/2025 | | | 643,615 | | |
| | 877,000 | | | Ser. 2022-2, Class A2, 2.52%, due 5/16/2025 | | | 874,486 | | |
| | 1,000,000 | | | Golden Credit Card Trust, Ser. 2017-4A, Class A, (1M USD LIBOR + 0.52%), 1.07%, due 7/15/2024 | | | 1,000,405 | (c)(d) | |
| | 630,000 | | | Harley-Davidson Motorcycle Trust, Ser. 2022-A, Class A2A, 2.45%, due 5/15/2025 | | | 627,930 | | |
| | 2,428,000 | | | Honda Auto Receivables, Ser. 2021-4, Class A2, 0.39%, due 5/21/2024 | | | 2,404,649 | | |
| | 1,290,000 | | | HPEFS Equipment Trust, Ser. 2022-1A, Class A2, 1.02%, due 5/21/2029 | | | 1,270,541 | (c) | |
| | 1,168,591 | | | Hyundai Auto Lease Securitization Trust, Ser. 2021-B, Class A2, 0.19%, due 10/16/2023 | | | 1,161,009 | (c) | |
| | | | | Hyundai Auto Receivables Trust | | | | | |
| | 1,255,000 | | | Ser. 2021-C, Class A2A, 0.36%, due 10/15/2024 | | | 1,242,851 | | |
| | 2,119,000 | | | Ser. 2022-A, Class A2A, 1.81%, due 2/18/2025 | | | 2,104,397 | | |
| | 1,296,000 | | | Kubota Credit Owner Trust, Ser. 2022-1A, Class A2, 2.34%, due 4/15/2025 | | | 1,283,719 | (c) | |
| | | | | MMAF Equipment Finance LLC | | | | | |
| | 751,989 | | | Ser. 2021-A, Class A2, 0.30%, due 4/15/2024 | | | 747,219 | (c) | |
| | 1,005,000 | | | Ser. 2022-A, Class A2, 2.77%, due 2/13/2025 | | | 1,001,493 | (c) | |
| | | | | Navient Student Loan Trust | | | | | |
| | 222,193 | | | Ser. 2017-4A, Class A2, (1M USD LIBOR + 0.50%), 1.17%, due 9/27/2066 | | | 222,296 | (c)(d) | |
| | 199,395 | | | Ser. 2019-7A, Class A1, (1M USD LIBOR + 0.50%), 1.17%, due 1/25/2068 | | | 198,636 | (c)(d) | |
| | 237,283 | | | Ser. 2019-4A, Class A1, (1M USD LIBOR + 0.28%), 0.95%, due 7/25/2068 | | | 237,164 | (c)(d) | |
| | 1,000,160 | | | Nissan Auto Lease Trust, Ser. 2021-A, Class A2, 0.30%, due 12/15/2023 | | | 993,577 | | |
| | 120,011 | | | Santander Consumer Auto Receivables Trust, Ser. 2021-AA, Class A2, 0.23%, due 11/15/2023 | | | 119,930 | (c) | |
| | | | | Santander Retail Auto Lease Trust | | | | | |
| | 1,002,472 | | | Ser. 2021-A, Class A2, 0.32%, due 2/20/2024 | | | 992,839 | (c) | |
| | 1,285,000 | | | Ser. 2022-A, Class A2, 0.97%, due 3/20/2025 | | | 1,260,647 | (c) | |
| | 1,096,000 | | | Ser. 2022-B, Class A2, 2.84%, due 5/20/2025 | | | 1,093,073 | (c) | |
| | 1,089,306 | | | Tesla Auto Lease Trust, Ser. 2021-A, Class A2, 0.36%, due 3/20/2025 | | | 1,075,618 | (c) | |
| | | | | Toyota Auto Receivables Owner Trust | | | | | |
| | 1,620,000 | | | Ser. 2022-A, Class A2, 0.74%, due 10/15/2024 | | | 1,604,159 | | |
| | 800,000 | | | Ser. 2022-B, Class A2A, 2.35%, due 1/15/2025 | | | 798,054 | | |
| | | | | Toyota Lease Owner Trust | | | | | |
| | 1,967,977 | | | Ser. 2021-B, Class A2, 0.25%, due 3/20/2024 | | | 1,944,588 | (c) | |
| | 658,000 | | | Ser. 2022-A, Class A2, 1.73%, due 7/22/2024 | | | 649,416 | (c) | |
| | 1,434,000 | | | Verizon Owner Trust, Ser. 2020-B, Class A, 0.47%, due 2/20/2025 | | | 1,412,323 | | |
See Notes to Consolidated Financial Statements
18
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
| | | | | World Omni Auto Receivables Trust | | | | | |
$ | 77,772 | | | Ser. 2020-C, Class A2, 0.35%, due 12/15/2023 | | $ | 77,730 | | |
| | 747,840 | | | Ser. 2021-B, Class A2, 0.20%, due 7/15/2024 | | | 744,472 | | |
| | 2,007,000 | | | Ser. 2022-A, Class A2, 1.15%, due 4/15/2025 | | | 1,985,028 | | |
| | | | | World Omni Automobile Lease Securitization Trust | | | | | |
| | 398,180 | | | Ser. 2021-A, Class A2, 0.21%, due 4/15/2024 | | | 395,087 | | |
| | 1,555,000 | | | Ser. 2022-A, Class A2, 2.63%, due 10/15/2024 | | | 1,551,478 | | |
| | | | | Total Asset-Backed Securities (Cost $47,085,147) | | | 46,740,932 | | |
Corporate Bonds 50.0% | | | |
Agriculture 0.5% | | | |
| | 1,170,000 | | | BAT Capital Corp., (3M USD LIBOR + 0.88%), 1.39%, due 8/15/2022 | | | 1,170,696 | (d) | |
Auto Manufacturers 0.6% | | | |
| | 1,565,000 | | | Toyota Motor Credit Corp., (SOFR + 0.62%), 0.90%, due 3/22/2024 | | | 1,569,950 | (d) | |
Banks 19.0% | | | |
| | | | | Bank of America Corp. | | | | | |
| | 1,775,000 | | | (3M USD LIBOR + 0.79%), 1.37%, due 3/5/2024 | | | 1,775,285 | (d) | |
| | 3,015,000 | | | (SOFR + 1.10%), 1.35%, due 4/25/2025 | | | 3,018,769 | (d) | |
| | 3,048,000 | | | Bank of New York Mellon Corp., Ser. J, (SOFR + 0.20%), 0.48%, due 10/25/2024 | | | 3,019,732 | (d) | |
| | 2,750,000 | | | BNP Paribas SA, 2.95%, due 5/23/2022 | | | 2,752,455 | (c) | |
| | 2,290,000 | | | Capital One N.A., (3M USD LIBOR + 0.82%), 1.16%, due 8/8/2022 | | | 2,292,091 | (d) | |
| | | | | Citigroup, Inc. | | | | | |
| | 1,091,000 | | | (3M USD LIBOR + 1.43%), 1.95%, due 9/1/2023 | | | 1,092,965 | (d) | |
| | 4,138,000 | | | (3M USD LIBOR + 1.10%), 1.57%, due 5/17/2024 | | | 4,129,858 | (d) | |
| | 4,942,000 | | | Goldman Sachs Group, Inc., (3M USD LIBOR + 1.60%), 2.11%, due 11/29/2023 | | | 5,000,575 | (d) | |
| | 5,500,000 | | | JPMorgan Chase & Co., (SOFR + 0.58%), 0.86%, due 6/23/2025 | | | 5,435,058 | (d) | |
| | 1,155,000 | | | Lloyds Banking Group PLC, 2.91%, due 11/7/2023 | | | 1,153,024 | (e) | |
| | | | | Morgan Stanley | | | | | |
| | 215,000 | | | 0.56%, due 11/10/2023 | | | 212,048 | (e) | |
| | 5,034,000 | | | (SOFR + 0.63%), 0.90%, due 1/24/2025 | | | 4,984,916 | (d) | |
| | 270,000 | | | Royal Bank of Canada, (3M USD LIBOR + 0.36%), 1.40%, due 1/17/2023 | | | 269,891 | (d) | |
| | 875,000 | | | Toronto-Dominion Bank, (SOFR + 0.48%), 0.76%, due 1/27/2023 | | | 874,869 | (d) | |
| | | | | Truist Bank | | | | | |
| | 2,045,000 | | | (SOFR + 0.73%), 0.99%, due 3/9/2023 | | | 2,049,417 | (d) | |
| | 1,980,000 | | | (SOFR + 0.20%), 0.48%, due 1/17/2024 | | | 1,964,695 | (d) | |
| | 1,185,000 | | | U.S. Bank N.A., (3M USD LIBOR + 0.40%), 1.04%, due 12/9/2022 | | | 1,185,285 | (d) | |
| | 5,435,000 | | | Wells Fargo & Co., (3M USD LIBOR + 1.23%), 2.47%, due 10/31/2023 | | | 5,456,086 | (d) | |
| | 640,000 | | | Westpac Banking Corp., (3M USD LIBOR + 0.39%), 1.41%, due 1/13/2023 | | | 640,402 | (d) | |
| | | | | | | | | | 47,307,421 | | |
Computers 1.9% | | | |
| | 4,750,000 | | | IBM Corp., 2.85%, due 5/13/2022 | | | 4,752,713 | | |
Cosmetics — Personal Care 0.3% | | | |
| | 720,000 | | | GSK Consumer Healthcare Capital U.S. LLC, (SOFR + 0.89%), 1.17%, due 3/24/2024 | | | 720,774 | (c)(d) | |
See Notes to Consolidated Financial Statements
19
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Diversified Financial Services 2.1% | | | |
| | | | | American Express Co. | | | | | |
$ | 1,705,000 | | | (3M USD LIBOR + 0.61%), 1.90%, due 8/1/2022 | | $ | 1,706,016 | (d) | |
| | 2,325,000 | | | (SOFR + 0.93%), 1.18%, due 3/4/2025 | | | 2,340,584 | (d) | |
| | 1,175,000 | | | Capital One Financial Corp., (3M USD LIBOR + 0.72%), 1.96%, due 1/30/2023 | | | 1,173,811 | (d) | |
| | | | | | | | 5,220,411 | | |
Electric 5.9% | | | |
| | 1,855,000 | | | Duke Energy Corp., (SOFR + 0.25%), 0.51%, due 6/10/2023 | | | 1,847,965 | (d) | |
| | 2,745,000 | | | Florida Power & Light Co., (SOFR + 0.25%), 0.44%, due 5/10/2023 | | | 2,737,031 | (d) | |
| | | | | National Rural Utilities Cooperative Finance Corp. | | | | | |
| | 1,040,000 | | | (SOFR + 0.40%), 0.58%, due 8/7/2023 | | | 1,038,630 | (d) | |
| | 2,220,000 | | | Ser. D, (SOFR + 0.33%), 0.61%, due 10/18/2024 | | | 2,211,786 | (d) | |
| | 2,000,000 | | | NextEra Energy Capital Holdings, Inc., (SOFR + 0.40%), 0.68%, due 11/3/2023 | | | 1,989,052 | (d) | |
| | 3,767,000 | | | PPL Electric Utilities Corp., (SOFR + 0.33%), 0.61%, due 6/24/2024 | | | 3,745,037 | (d) | |
| | 1,102,000 | | | Southern California Edison Co., (SOFR + 0.47%), 0.71%, due 12/2/2022 | | | 1,101,596 | (d) | |
| | | | | | | | 14,671,097 | | |
Entertainment 0.5% | | | |
| | 1,190,000 | | | Magallanes, Inc., (SOFR + 1.78%), 2.05%, due 3/15/2024 | | | 1,200,861 | (c)(d) | |
Gas 0.7% | | | |
| | 565,000 | | | Atmos Energy Corp., (3M USD LIBOR + 0.38%), 1.02%, due 3/9/2023 | | | 565,288 | (d) | |
| | 601,000 | | | CenterPoint Energy Resources Corp., (3M USD LIBOR + 0.50%), 1.00%, due 3/2/2023 | | | 599,791 | (d) | |
| | 585,000 | | | Southern California Gas Co., (3M USD LIBOR + 0.35%), 1.15%, due 9/14/2023 | | | 581,827 | (d) | |
| | | | | | | | 1,746,906 | | |
Healthcare — Products 2.3% | | | |
| | 2,000,000 | | | Baxter Int'l, Inc., (SOFR + 0.26%), 0.49%, due 12/1/2023 | | | 1,990,814 | (c)(d) | |
| | | | | Thermo Fisher Scientific, Inc. | | | | | |
| | 1,995,000 | | | (SOFR + 0.35%), 0.63%, due 4/18/2023 | | | 1,991,919 | (d) | |
| | 1,755,000 | | | (SOFR + 0.39%), 0.67%, due 10/18/2023 | | | 1,750,142 | (d) | |
| | | | | | | | 5,732,875 | | |
Healthcare — Services 1.2% | | | |
| | 2,845,000 | | | Roche Holdings, Inc., (SOFR + 0.56%), 0.82%, due 3/10/2025 | | | 2,853,390 | (c)(d) | |
Insurance 1.0% | | | |
| | 1,025,000 | | | New York Life Global Funding, (3M USD LIBOR + 0.44%), 1.45%, due 7/12/2022 | | | 1,025,229 | (c)(d) | |
| | 1,356,000 | | | Protective Life Global Funding, (SOFR + 0.98%), 1.26%, due 3/28/2025 | | | 1,365,470 | (c)(d) | |
| | | | | | | | 2,390,699 | | |
Machinery — Construction & Mining 0.6% | | | |
| | | | | Caterpillar Financial Services Corp. | | | | | |
| | 240,000 | | | 0.95%, due 5/13/2022 | | | 239,965 | | |
| | 605,000 | | | (SOFR + 0.15%), 0.35%, due 11/17/2022 | | | 604,434 | (d) | |
| | 679,000 | | | (SOFR + 0.27%), 0.54%, due 9/13/2024 | | | 673,796 | (d) | |
| | | | | | | | 1,518,195 | | |
See Notes to Consolidated Financial Statements
20
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Machinery — Diversified 1.7% | | | |
| | | | | John Deere Capital Corp. | | | | | |
$ | 955,000 | | | (3M USD LIBOR + 0.55%), 1.13%, due 6/7/2023 | | $ | 958,493 | (d) | |
| | 2,323,000 | | | (SOFR + 0.12%), 0.40%, due 7/10/2023 | | | 2,314,786 | (d) | |
| | 605,000 | | | (SOFR + 0.20%), 0.48%, due 10/11/2024 | | | 605,096 | (d) | |
| | 398,000 | | | (SOFR + 0.56%), 0.80%, due 3/7/2025 | | | 399,575 | (d) | |
| | | | | | | | 4,277,950 | | |
Media 1.3% | | | |
| | 2,504,000 | | | Comcast Cable Communications Holdings, Inc., 9.46%, due 11/15/2022 | | | 2,595,777 | | |
| | 645,000 | | | Comcast Corp., (3M USD LIBOR + 0.63%), 1.67%, due 4/15/2024 | | | 648,152 | (d) | |
| | | | | | | | 3,243,929 | | |
Miscellaneous Manufacturer 1.1% | | | |
| | | | | General Electric Capital Corp. | | | | | |
| | 2,255,000 | | | (3M USD LIBOR + 1.00%), 1.83%, due 3/15/2023 | | | 2,258,096 | (d) | |
| | 580,000 | | | (3M USD LIBOR + 1.00%), 2.04%, due 4/15/2023 | | | 581,690 | (d) | |
| | | | | | | | 2,839,786 | | |
Pharmaceuticals 1.9% | | | |
| | 2,060,000 | | | AbbVie, Inc., (3M USD LIBOR + 0.65%), 1.13%, due 11/21/2022 | | | 2,062,451 | (d) | |
| | 830,000 | | | AstraZeneca PLC, (3M USD LIBOR + 0.62%), 1.32%, due 6/10/2022 | | | 830,786 | (d) | |
| | 1,810,000 | | | Bristol-Myers Squibb Co., (3M USD LIBOR + 0.38%), 0.84%, due 5/16/2022 | | | 1,810,008 | (d) | |
| | | | | | | | 4,703,245 | | |
Pipelines 1.9% | | | |
| | 3,040,000 | | | Enbridge, Inc., (SOFR + 0.63%), 0.83%, due 2/16/2024 | | | 3,043,743 | (d) | |
| | 1,670,000 | | | Kinder Morgan Energy Partners L.P., 3.95%, due 9/1/2022 | | | 1,671,262 | | |
| | | | | | | | 4,715,005 | | |
REITS 1.6% | | | |
| | 4,090,000 | | | Simon Property Group L.P., (SOFR + 0.43%), 0.71%, due 1/11/2024 | | | 4,079,596 | (d) | |
Retail 0.8% | | | |
| | 1,990,000 | | | Starbucks Corp., (SOFR + 0.42%), 0.61%, due 2/14/2024 | | | 1,991,866 | (d) | |
Semiconductor 0.6% | | | |
| | 1,397,000 | | | Analog Devices, Inc., (SOFR + 0.25%), 0.53%, due 10/1/2024 | | | 1,390,358 | (d) | |
Telecommunications 2.5% | | | |
| | | | | AT&T, Inc. | | | | | |
| | 455,000 | | | (3M USD LIBOR + 0.89%), 1.28%, due 2/15/2023 | | | 456,716 | (d) | |
| | 3,189,000 | | | (SOFR + 0.64%), 0.92%, due 3/25/2024 | | | 3,185,942 | (d) | |
| | 2,605,000 | | | Verizon Communications, Inc., (SOFR + 0.50%), 0.78%, due 3/22/2024 | | | 2,600,166 | (d) | |
| | | | | | | | 6,242,824 | | |
| | | | | Total Corporate Bonds (Cost $124,636,508) | | | 124,340,547 | | |
See Notes to Consolidated Financial Statements
21
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Short-Term Investments 12.1% | | | |
Investment Companies 12.1% | | | |
| 30,230,861
|
| | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.29%(f)
(Cost $30,230,861) | | $ | 30,230,861
| (g) | |
| | | | | Total Investments 91.9% (Cost $229,311,642) | | | 228,668,191 | | |
| | | | | Other Assets Less Liabilities 8.1% | | | 20,241,863 | (h) | |
| | | | | Net Assets 100.0% | | $ | 248,910,054 | | |
(a) Rate shown was the discount rate at the date of purchase.
(b) When-issued security. Total value of all such securities at April 30, 2022 amounted to $4,222,858, which represents 1.7% of net assets of the Fund.
(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, 2022, these securities amounted to $27,352,848, which represents 11.0% of net assets of the Fund.
(d) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2022 and changes periodically.
(e) 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.
(f) Represents 7-day effective yield as of April 30, 2022.
(g) 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 $30,230,861.
(h) Includes the impact of the Fund's open positions in derivatives at April 30, 2022.
Derivative Instruments
Futures contracts ("futures")
At April 30, 2022, 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) | |
5/2022 | | | 6 | | | Bitcoin | | $ | 1,148,550 | | | $ | (32,600 | ) | |
5/2022 | | | 113 | | | Lead | | | 6,381,675 | | | | (260,608 | ) | |
5/2022 | | | 95 | | | Nickel | | | 18,095,790 | | | | 2,939,352 | | |
5/2022 | | | 328 | | | Primary Aluminum | | | 24,891,100 | | | | (1,954,020 | ) | |
See Notes to Consolidated Financial Statements
22
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont'd)
Expiration
Date | | Number of
Contracts | | Open Contracts | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
5/2022 | | | 217 | | | Zinc | | $ | 22,466,281 | | | $ | 846,559 | | |
6/2022 | | | 187 | | | Gold 100 Oz. | | | 35,748,790 | | | | (1,301,074 | ) | |
6/2022 | | | 3 | | | Palladium | | | 692,100 | | | | (81,800 | ) | |
7/2022 | | | 419 | | | Corn | | | 17,042,825 | | | | 3,913,953 | | |
7/2022 | | | 125 | | | Low Sulphur Gasoil | | | 13,746,875 | | | | 3,845,176 | | |
7/2022 | | | 118 | | | New York Harbor ULSD | | | 18,324,810 | | | | 4,095,172 | | |
7/2022 | | | 47 | | | Platinum | | | 2,208,060 | | | | (337,622 | ) | |
7/2022 | | | 79 | | | Silver | | | 9,118,575 | | | | (650,707 | ) | |
7/2022 | | | 96 | | | Soybean | | | 8,086,800 | | | | 895,493 | | |
7/2022 | | | 240 | | | Soybean Meal | | | 10,375,200 | | | | 106,560 | | |
7/2022 | | | 130 | | | Soybean Oil | | | 6,566,040 | | | | 821,855 | | |
8/2022 | | | 41 | | | Cattle Feeder | | | 3,449,638 | | | | (107,281 | ) | |
8/2022 | | | 109 | | | Lead | | | 6,162,588 | | | | (462,556 | ) | |
8/2022 | | | 103 | | | Natural Gas | | | 7,574,620 | | | | 1,534,106 | | |
8/2022 | | | 288 | | | Primary Aluminum | | | 21,981,600 | | | | (1,504,572 | ) | |
8/2022 | | | 141 | | | RBOB Gasoline | | | 19,371,454 | | | | 1,416,757 | | |
8/2022 | | | 139 | | | WTI Crude Oil | | | 14,022,320 | | | | 239,352 | | |
8/2022 | | | 196 | | | Zinc | | | 20,093,675 | | | | (1,735,800 | ) | |
9/2022 | | | 155 | | | Brent Crude Oil | | | 16,039,400 | | | | 2,536,178 | | |
9/2022 | | | 111 | | | Cocoa | | | 2,857,140 | | | | (71,431 | ) | |
9/2022 | | | 36 | | | Coffee 'C' | | | 2,995,650 | | | | (60,004 | ) | |
9/2022 | | | 129 | | | Copper | | | 14,233,538 | | | | (1,176,729 | ) | |
9/2022 | | | 136 | | | Hard Red Winter Wheat | | | 7,541,200 | | | | 158,511 | | |
9/2022 | | | 62 | | | Nickel | | | 11,827,926 | | | | (748,045 | ) | |
9/2022 | | | 120 | | | Wheat | | | 6,349,500 | | | | 83,334 | | |
10/2022 | | | 195 | | | Lean Hogs | | | 7,289,100 | | | | (275,400 | ) | |
10/2022 | | | 90 | | | Live Cattle | | | 5,129,100 | | | | (11,421 | ) | |
10/2022 | | | 210 | | | Sugar 11 | | | 4,527,600 | | | | (59,069 | ) | |
12/2022 | | | 138 | | | Cotton No. 2 | | | 8,422,830 | | | | 462,394 | | |
Total Long Positions | | | | | | $ | 374,762,350 | | | $ | 13,064,013 | | |
See Notes to Consolidated Financial Statements
23
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) | |
5/2022 | | | 113 | | | Lead | | $ | (6,381,675 | ) | | $ | 524,707 | | |
5/2022 | | | 95 | | | Nickel | | | (18,095,790 | ) | | | 1,016,145 | | |
5/2022 | | | 328 | | | Primary Aluminum | | | (24,891,100 | ) | | | 1,956,658 | | |
5/2022 | | | 217 | | | Zinc | | | (22,466,281 | ) | | | 1,585,139 | | |
8/2022 | | | 50 | | | Lead | | | (2,826,875 | ) | | | 222,500 | | |
9/2022 | | | 36 | | | Nickel | | | (6,867,828 | ) | | | 238,683 | | |
8/2022 | | | 160 | | | Primary Aluminum | | | (12,212,000 | ) | | | 663,988 | | |
8/2022 | | | 91 | | | Zinc | | | (9,329,206 | ) | | | 725,156 | | |
Total Short Positions | | | | | | $ | (103,070,755 | ) | | $ | 6,932,976 | | |
Total Futures | | | | | | | | $ | 19,996,989 | | |
At April 30, 2022, the Fund had $4,147,789 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2022, the average notional value for the months where the Fund had futures outstanding was $269,581,763 for long positions and $(55,644,737) for short positions.
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2022:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
U.S. Treasury Obligations | | $ | — | | | $ | 27,355,851 | | | $ | — | | | $ | 27,355,851 | | |
Asset-Backed Securities | | | — | | | | 46,740,932 | | | | — | | | | 46,740,932 | | |
| Corporate Bonds(a) | | | — | | | | 124,340,547 | | | | — | | | | 124,340,547 | | |
Short-Term Investments | | | — | | | | 30,230,861 | | | | — | | | | 30,230,861 | | |
Total Investments | | $ | — | | | $ | 228,668,191 | | | $ | — | | | $ | 228,668,191 | | |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization.
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2022:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Futures(a) | |
Assets | | $ | 30,827,728 | | | $ | — | | | $ | — | | | $ | 30,827,728 | | |
Liabilities | | | (10,830,739 | ) | | | — | | | | — | | | | (10,830,739 | ) | |
Total | | $ | 19,996,989 | | | $ | — | | | $ | — | | | $ | 19,996,989 | | |
(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 Consolidated Financial Statements
24
Schedule of Investments Global Allocation Fund^ (Unaudited)
April 30, 2022
NUMBER OF SHARES | | | | VALUE | |
Common Stocks 60.1% | | | |
Australia 1.4% | | | |
| | 1,253 | | | APA Group | | $ | 10,068 | (a) | |
| | 492 | | | Aristocrat Leisure Ltd. | | | 11,416 | | |
| | 188 | | | ASX Ltd. | | | 11,366 | | |
| | 1,060 | | | Dexus | | | 8,288 | | |
| | 1,816 | | | Fortescue Metals Group Ltd. | | | 27,445 | | |
| | 401 | | | Rio Tinto PLC | | | 28,333 | | |
| | 472 | | | Sonic Healthcare Ltd. | | | 12,190 | | |
| | 3,050 | | | Telstra Corp. Ltd. | | | 8,658 | | |
| | 552 | | | Woodside Petroleum Ltd. | | | 12,009 | | |
| | | | 129,773 | | |
| Austria 0.0%(b) | | | |
| | 422 | | | Telekom Austria AG | | | 3,009 | * | |
Brazil 0.2% | | | |
| | 18 | | | MercadoLibre, Inc. | | | 17,525 | * | |
Canada 2.1% | | | |
| | 408 | | | Alimentation Couche-Tard, Inc. | | | 18,163 | | |
| | 454 | | | Bank of Nova Scotia | | | 28,750 | | |
| | 50 | | | Canadian Tire Corp. Ltd. Class A | | | 6,887 | | |
| | 35 | | | George Weston Ltd. | | | 4,354 | | |
| | 195 | | | Gildan Activewear, Inc. | | | 6,608 | | |
| | 307 | | | Great-West Lifeco, Inc. | | | 8,469 | | |
| | 284 | | | Hydro One Ltd. | | | 7,678 | (c) | |
| | 92 | | | Loblaw Cos. Ltd. | | | 8,416 | | |
| | 632 | | | Manulife Financial Corp. | | | 12,358 | | |
| | 245 | | | Metro, Inc. | | | 13,466 | | |
| | 120 | | | Nutrien Ltd. | | | 11,792 | | |
| | 458 | | | Power Corp. of Canada | | | 13,476 | | |
| | 202 | | | Rogers Communications, Inc. Class B | | | 11,004 | | |
| | 41 | | | Royal Bank of Canada | | | 4,141 | | |
| | 92 | | | TELUS Corp. | | | 2,302 | | |
| | 341 | | | Toronto-Dominion Bank | | | 24,630 | | |
| | 47 | | | Tourmaline Oil Corp. | | | 2,421 | | |
| | 89 | | | West Fraser Timber Co. Ltd. | | | 7,822 | | |
| | | | 192,737 | | |
Chile 0.1% | | | |
| | 399 | | | Antofagasta PLC | | | 7,638 | | |
China 0.2% | | | |
| | 1,844 | | | BOC Hong Kong Holdings Ltd. | | | 6,675 | | |
| | 42 | | | NXP Semiconductors NV | | | 7,178 | | |
| | | | 13,853 | | |
Denmark 0.6% | | | |
| | 9 | | | AP Moeller - Maersk A/S Class B | | | 26,048 | | |
| | 218 | | | Novo Nordisk A/S Class B | | | 24,901 | | |
| | | | 50,949 | | |
Finland 0.4% | | | |
| | 140 | | | Elisa OYJ | | | 8,207 | | |
| | 3,222 | | | Nordea Bank Abp | | | 32,124 | | |
| | | | 40,331 | | |
NUMBER OF SHARES | | | | VALUE | |
France 2.0% | | | |
| | 292 | | | Bureau Veritas SA | | $ | 8,388 | | |
| | 154 | | | Capgemini SE | | | 31,351 | | |
| | 395 | | | Cie de Saint-Gobain | | | 23,044 | | |
| | 58 | | | Cie Generale des Etablissements
Michelin SCA | |
| 7,184
|
| |
| | 84 | | | Eiffage SA | | | 8,295 | | |
| | 76 | | | Kering SA | | | 40,437 | | |
| | 216 | | | Klepierre SA | | | 5,170 | * | |
| | 135 | | | Publicis Groupe SA | | | 8,105 | | |
| | 49 | | | Sanofi | | | 5,179 | | |
| | 431 | | | Societe Generale SA | | | 10,359 | | |
| | 690 | | | TotalEnergies SE | | | 33,881 | | |
| | | | 181,393 | | |
Germany 1.2% | | | |
| | 94 | | | Allianz SE | | | 21,210 | | |
| | 86 | | | Deutsche Post AG | | | 3,674 | | |
| | 150 | | | GEA Group AG | | | 5,839 | | |
| | 376 | | | Mercedes-Benz Group AG | | | 26,245 | | |
| | 128 | | | Merck KGaA | | | 23,748 | | |
| | 258 | | | SAP SE | | | 26,147 | | |
| | | | 106,863 | | |
Hong Kong 0.4% | | | |
| | 258 | | | CK Asset Holdings Ltd. | | | 1,749 | | |
| | 300 | | | Hong Kong Exchanges & Clearing Ltd. | | | 12,726 | | |
| | 2,000 | | | Link REIT | | | 17,275 | | |
| | | | 31,750 | | |
Ireland 0.1% | | | |
| | 325 | | | CRH PLC | | | 12,846 | | |
Israel 0.2% | | | |
| | 1,400 | | | Bank Leumi Le-Israel BM | | | 14,693 | | |
Italy 0.2% | | | |
| | 1,086 | | | Assicurazioni Generali SpA | | | 20,561 | | |
Japan 3.7% | | | |
| | 1,800 | | | Astellas Pharma, Inc. | | | 27,406 | | |
| | 200 | | | Bridgestone Corp. | | | 7,331 | | |
| | 800 | | | Canon, Inc. | | | 18,407 | | |
| | 200 | | | Dai Nippon Printing Co. Ltd. | | | 4,180 | | |
| | 1,800 | | | Daiwa Securities Group, Inc. | | | 8,822 | | |
| | 343 | | | FUJIFILM Holdings Corp. | | | 18,855 | | |
| | 500 | | | Honda Motor Co. Ltd. | | | 13,152 | | |
| | 1,000 | | | Inpex Corp. | | | 11,898 | | |
| | 206 | | | Kajima Corp. | | | 2,296 | | |
| | 753 | | | KDDI Corp. | | | 24,935 | | |
| | 300 | | | MEIJI Holdings Co. Ltd. | | | 14,954 | | |
| | 900 | | | Mitsubishi Chemical Holdings Corp. | | | 5,488 | | |
| | 900 | | | Mitsubishi Electric Corp. | | | 9,427 | | |
| | 1,088 | | | Mitsui & Co. Ltd. | | | 26,347 | | |
| | 100 | | | Murata Manufacturing Co. Ltd. | | | 5,961 | | |
| | 700 | | | Nippon Telegraph & Telephone Corp. | | | 20,628 | | |
| | 200 | | | Nippon Yusen KK | | | 14,429 | | |
| | 946 | | | ORIX Corp. | | | 17,254 | | |
| | 745 | | | Sekisui House Ltd. | | | 12,939 | | |
See Notes to Financial Statements
25
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
| | 183 | | | Taisei Corp. | | $ | 4,957 | | |
| | 1,000 | | | Takeda Pharmaceutical Co. Ltd. | | | 29,016 | | |
| | 1,195 | | | Toyota Motor Corp. | | | 20,475 | | |
| | 100 | | | Trend Micro, Inc. | | | 5,576 | | |
| | 300 | | | Yamaha Motor Co. Ltd. | | | 6,194 | | |
| | | | 330,927 | | |
Netherlands 0.8% | | | |
| | 1,615 | | | Koninklijke Ahold Delhaize NV | | | 47,636 | | |
| | 1,307 | | | Koninklijke KPN NV | | | 4,510 | | |
| | 224 | | | Wolters Kluwer NV | | | 22,620 | | |
| | | | 74,766 | | |
New Zealand 0.1% | | | |
| | 1,871 | | | Spark New Zealand Ltd. | | | 5,917 | | |
Norway 0.4% | | | |
| | 997 | | | Equinor ASA | | | 33,698 | | |
Singapore 0.2% | | | |
| | 980 | | | Singapore Exchange Ltd. | | | 6,896 | | |
| | 380 | | | STMicroelectronics NV | | | 14,040 | | |
| | | | 20,936 | | |
South Africa 0.5% | | | |
| | 998 | | | Anglo American PLC | | | 44,202 | | |
Spain 0.6% | | | |
| | 3,869 | | | Banco Bilbao Vizcaya Argentaria SA | | | 20,302 | | |
| | 415 | | | Endesa SA | | | 8,697 | | |
| | 469 | | | Iberdrola SA | | | 5,389 | | |
| | 223 | | | Naturgy Energy Group SA | | | 6,708 | | |
| | 562 | | | Red Electrica Corp. SA | | | 11,316 | | |
| | | | 52,412 | | |
Sweden 0.3% | | | |
| | 1,590 | | | Ericsson LM, B Shares | | | 12,684 | | |
| 720 |
| | Skandinaviska Enskilda Banken AB
Class A | |
| 8,074 |
| |
| | 954 | | | Svenska Handelsbanken AB, A Shares | | | 9,622 | | |
| | | | 30,380 | | |
Switzerland 1.8% | | | |
| | 327 | | | ABB Ltd. | | | 9,811 | | |
| | 4 | | | Baloise Holding AG | | | 696 | | |
| 2 |
| | Chocoladefabriken Lindt &
Spruengli AG | |
| 22,430 |
| |
| | 53 | | | Kuehne & Nagel International AG | | | 14,826 | | |
| | 106 | | | Nestle SA | | | 13,684 | | |
| | 190 | | | Roche Holding AG | | | 70,455 | | |
| | 76 | | | Swiss Prime Site AG | | | 7,428 | | |
| | 3 | | | Swisscom AG | | | 1,774 | | |
| | 138 | | | TE Connectivity Ltd. | | | 17,220 | | |
| | | | 158,324 | | |
United Kingdom 2.0% | | | |
| | 1,451 | | | BAE Systems PLC | | | 13,402 | | |
| | 2,178 | | | Barclays PLC | | | 4,004 | | |
| | 2,280 | | | Kingfisher PLC | | | 7,190 | | |
| | 700 | | | Land Securities Group PLC | | | 6,565 | | |
| | 479 | | | Liberty Global PLC Class C | | | 11,352 | * | |
NUMBER OF SHARES | | | | VALUE | |
| | 115 | | | Linde PLC | | $ | 35,875 | | |
| | 22,066 | | | Lloyds Banking Group PLC | | | 12,533 | | |
| | 5,235 | | | NatWest Group plc | | | 14,044 | | |
| | 309 | | | Persimmon PLC | | | 8,048 | | |
| | 1,332 | | | RELX PLC | | | 39,681 | | |
| | 556 | | | Sage Group PLC | | | 5,102 | | |
| | 138 | | | Schroders PLC | | | 4,872 | | |
| | 309 | | | SSE PLC | | | 7,177 | | |
| | 3,192 | | | Tesco PLC | | | 10,844 | | |
| | | | 180,689 | | |
United States 40.6% | | | |
| | 168 | | | 3M Co. | | | 24,229 | | |
| | 60 | | | Abbott Laboratories | | | 6,810 | | |
| | 276 | | | AbbVie, Inc. | | | 40,539 | | |
| | 238 | | | Accenture PLC Class A | | | 71,486 | | |
| | 24 | | | Adobe, Inc. | | | 9,503 | * | |
| | 341 | | | Aflac, Inc. | | | 19,533 | | |
| | 299 | | | Agilent Technologies, Inc. | | | 35,662 | | |
| | 132 | | | Allstate Corp. | | | 16,703 | | |
| | 73 | | | Alphabet, Inc. Class A | | | 166,600 | * | |
| | 26 | | | Amazon.com, Inc. | | | 64,626 | * | |
| | 95 | | | American Express Co. | | | 16,597 | | |
| | 48 | | | Ameriprise Financial, Inc. | | | 12,744 | | |
| | 27 | | | Amgen, Inc. | | | 6,296 | | |
| | 93 | | | Anthem, Inc. | | | 46,680 | | |
| | 1,767 | | | Apple, Inc. | | | 278,568 | | |
| | 313 | | | Applied Materials, Inc. | | | 34,540 | | |
| | 197 | | | Archer-Daniels-Midland Co. | | | 17,643 | | |
| | 56 | | | Becton, Dickinson & Co. | | | 13,843 | | |
| | 86 | | | Berkshire Hathaway, Inc. Class B | | | 27,763 | * | |
| | 17 | | | BlackRock, Inc. | | | 10,620 | | |
| | 201 | | | Blackstone, Inc. | | | 20,416 | | |
| | 19 | | | Booking Holdings, Inc. | | | 41,996 | * | |
| | 393 | | | Bristol-Myers Squibb Co. | | | 29,581 | | |
| | 67 | | | Broadcom, Inc. | | | 37,144 | | |
| | 156 | | | Carlyle Group, Inc. | | | 5,661 | | |
| | 338 | | | CBRE Group, Inc. Class A | | | 28,068 | * | |
| | 71 | | | Celanese Corp. | | | 10,433 | | |
| | 300 | | | Cerner Corp. | | | 28,092 | | |
| | 61 | | | Chevron Corp. | | | 9,557 | | |
| | 27 | | | Chipotle Mexican Grill, Inc. | | | 39,301 | * | |
| | 108 | | | Chubb Ltd. | | | 22,297 | | |
| | 890 | | | Cisco Systems, Inc. | | | 43,592 | | |
| | 622 | | | Citigroup, Inc. | | | 29,987 | | |
| | 869 | | | Coca-Cola Co. | | | 56,146 | | |
| 382 |
| | Cognizant Technology Solutions Corp.
Class A | |
| 30,904 |
| |
| | 228 | | | Colgate-Palmolive Co. | | | 17,567 | | |
| | 1,440 | | | Comcast Corp. Class A | | | 57,254 | | |
| | 564 | | | ConocoPhillips | | | 53,873 | | |
| | 180 | | | Consolidated Edison, Inc. | | | 16,693 | | |
| | 1,032 | | | CSX Corp. | | | 35,439 | | |
| | 377 | | | CVS Health Corp. | | | 36,241 | | |
| | 173 | | | D.R. Horton, Inc. | | | 12,039 | | |
| | 647 | | | Devon Energy Corp. | | | 37,636 | | |
| | 71 | | | Dominion Energy, Inc. | | | 5,796 | | |
| | 136 | | | Dover Corp. | | | 18,129 | | |
| | 25 | | | Duke Energy Corp. | | | 2,754 | | |
| | 136 | | | Eastman Chemical Co. | | | 13,963 | | |
See Notes to Financial Statements
26
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
| | 283 | | | Electronic Arts, Inc. | | $ | 33,408 | | |
| | 447 | | | Emerson Electric Co. | | | 40,310 | | |
| | 61 | | | EOG Resources, Inc. | | | 7,122 | | |
| | 126 | | | Etsy, Inc. | | | 11,742 | * | |
| | 147 | | | Exelon Corp. | | | 6,877 | | |
| | 82 | | | Extra Space Storage, Inc. | | | 15,580 | | |
| | 192 | | | Ferguson PLC | | | 24,086 | | |
| | 601 | | | General Mills, Inc. | | | 42,509 | | |
| | 97 | | | Genuine Parts Co. | | | 12,615 | | |
| | 530 | | | Gilead Sciences, Inc. | | | 31,450 | | |
| | 160 | | | Goldman Sachs Group, Inc. | | | 48,878 | | |
| | 188 | | | Hartford Financial Services Group, Inc. | | | 13,147 | | |
| | 189 | | | Hologic, Inc. | | | 13,606 | * | |
| | 5 | | | Illinois Tool Works, Inc. | | | 986 | | |
| | 377 | | | Intel Corp. | | | 16,433 | | |
| | 379 | | | Interpublic Group of Cos., Inc. | | | 12,363 | | |
| | 69 | | | Intuit, Inc. | | | 28,894 | | |
| | 341 | | | JPMorgan Chase & Co. | | | 40,702 | | |
| | 210 | | | Kellogg Co. | | | 14,385 | | |
| | 100 | | | KLA Corp. | | | 31,926 | | |
| | 15 | | | L3Harris Technologies, Inc. | | | 3,484 | | |
| | 50 | | | Lam Research Corp. | | | 23,288 | | |
| | 275 | | | LKQ Corp. | | | 13,648 | | |
| | 23 | | | Lockheed Martin Corp. | | | 9,939 | | |
| | 166 | | | Marsh & McLennan Cos., Inc. | | | 26,842 | | |
| | 39 | | | MasterCard, Inc. Class A | | | 14,172 | | |
| | 34 | | | Medtronic PLC | | | 3,548 | | |
| | 555 | | | Merck & Co., Inc. | | | 49,223 | | |
| | 379 | | | MGM Resorts International | | | 15,554 | | |
| | 887 | | | Microsoft Corp. | | | 246,160 | | |
| | 174 | | | Morgan Stanley | | | 14,023 | | |
| | 114 | | | Motorola Solutions, Inc. | | | 24,361 | | |
| | 530 | | | NIKE, Inc. Class B | | | 66,091 | | |
| | 99 | | | Nucor Corp. | | | 15,323 | | |
| | 109 | | | NVIDIA Corp. | | | 20,216 | | |
| | 217 | | | Omnicom Group, Inc. | | | 16,520 | | |
| | 376 | | | ONEOK, Inc. | | | 23,812 | | |
| | 23 | | | Oracle Corp. | | | 1,688 | | |
| | 76 | | | Parker-Hannifin Corp. | | | 20,582 | | |
NUMBER OF SHARES | | | | VALUE | |
| | 89 | | | PepsiCo, Inc. | | $ | 15,282 | | |
| | 82 | | | Pioneer Natural Resources Co. | | | 19,063 | | |
| | 588 | | | Procter & Gamble Co. | | | 94,403 | | |
| | 237 | | | Prologis, Inc. | | | 37,989 | | |
| | 224 | | | Prudential Financial, Inc. | | | 24,306 | | |
| | 487 | | | Public Service Enterprise Group, Inc. | | | 33,924 | | |
| | 97 | | | Public Storage | | | 36,036 | | |
| | 186 | | | QUALCOMM, Inc. | | | 25,982 | | |
| | 138 | | | Quest Diagnostics, Inc. | | | 18,470 | | |
| | 43 | | | Reliance Steel & Aluminum Co. | | | 8,525 | | |
| | 143 | | | ResMed Inc. | | | 28,596 | | |
| | 108 | | | Robert Half International, Inc. | | | 10,618 | | |
| | 17 | | | S&P Global, Inc. | | | 6,401 | | |
| | 124 | | | Sealed Air Corp. | | | 7,962 | | |
| | 154 | | | Sempra Energy | | | 24,849 | | |
| | 53 | | | Snap-on, Inc. | | | 11,262 | | |
| | 72 | | | Southern Co. | | | 5,284 | | |
| | 127 | | | Steel Dynamics, Inc. | | | 10,890 | | |
| | 69 | | | STERIS PLC | | | 15,459 | | |
| | 221 | | | T. Rowe Price Group, Inc. | | | 27,192 | | |
| | 128 | | | Tesla, Inc. | | | 111,457 | * | |
| | 385 | | | Texas Instruments, Inc. | | | 65,546 | | |
| | 76 | | | Thermo Fisher Scientific, Inc. | | | 42,022 | | |
| | 47 | | | Tractor Supply Co. | | | 9,468 | | |
| | 78 | | | Trane Technologies PLC | | | 10,911 | | |
| | 203 | | | UGI Corp. | | | 6,963 | | |
| | 52 | | | Ulta Beauty, Inc. | | | 20,634 | * | |
| | 238 | | | Union Pacific Corp. | | | 55,761 | | |
| | 153 | | | United Parcel Service, Inc. Class B | | | 27,537 | | |
| | 114 | | | UnitedHealth Group, Inc. | | | 57,975 | | |
| | 390 | | | Verizon Communications, Inc. | | | 18,057 | | |
| | 105 | | | Visa, Inc. Class A | | | 22,379 | | |
| | 39 | | | W.W. Grainger, Inc. | | | 19,501 | | |
| | 10 | | | Walmart, Inc. | | | 1,530 | | |
| | 72 | | | West Pharmaceutical Services, Inc. | | | 22,684 | | |
| | | | 3,671,955 | | |
Total Common Stocks
(Cost $5,160,556) | |
| 5,428,127
|
| |
PRINCIPAL AMOUNT | | | | VALUE | |
U.S. Treasury Obligations 7.8% | | | |
$ | 5,000 | | | U.S. Treasury Bill, 0.09%, due 6/16/2022 | | | 4,997 | (d) | |
| | | | | U.S. Treasury Bonds | | | | | |
| | 15,000 | | | 3.50%, due 2/15/2039 | | | 15,962 | | |
| | 110,000 | | | 2.25%, due 5/15/2041-2/15/2052 | | | 94,504 | | |
| | 20,000 | | | 1.75%, due 8/15/2041 | | | 15,844 | | |
| | 35,000 | | | 3.13%, due 11/15/2041-8/15/2044 | | | 34,614 | | |
| | 180,000 | | | 2.38%, due 2/15/2042-5/15/2051 | | | 158,502 | | |
| | 85,000 | | | 3.63%, due 8/15/2043-2/15/2044 | | | 90,659 | | |
| | 150,000 | | | 3.00%, due 11/15/2044-2/15/2048 | | | 145,344 | | |
| | 15,000 | | | 2.50%, due 2/15/2045 | | | 13,278 | | |
| | 50,000 | | | 2.88%, due 8/15/2045 | | | 47,369 | | |
| | 15,000 | | | 2.75%, due 8/15/2047-11/15/2047 | | | 14,018 | | |
| | 10,000 | | | 1.25%, due 5/15/2050 | | | 6,666 | | |
| | 5,000 | | | 1.63%, due 11/15/2050 | | | 3,675 | | |
See Notes to Financial Statements
27
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
$ | 20,000 | | | 1.88%, due 2/15/2051-11/15/2051 | | $ | 15,685 | | |
| | | | | U.S. Treasury Notes | | | | | |
| | 20,000 | | | 1.38%, due 11/15/2031 | | | 17,466 | | |
| | 25,000 | | | 1.88%, due 2/15/2032 | | | 22,828 | | |
| | | | | Total U.S. Treasury Obligations (Cost $821,407) | | | 701,411 | | |
U.S. Government Agency Securities 0.3% | | | |
| | 20,000 | | | Fannie Mae Principal Strip, 0.00%, due 7/15/2037 | | | 11,761 | (l) | |
| | 10,000 | | | Federal Home Loan Bank, 5.50%, due 7/15/2036 | | | 12,192 | | |
| | | | | Total U.S. Government Agency Securities (Cost $25,463) | | | 23,953 | | |
Corporate Bonds 8.9% | | | |
Belgium 0.2% | | | |
| | 15,000 | | | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 2/1/2046 | | | 14,785 | | |
| | 5,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 4/15/2048 | | | 4,708 | | |
| | | | 19,493 | | |
Canada 0.1% | | | |
| | 5,000 | | | Canadian Natural Resources Ltd., 4.95%, due 6/1/2047 | | | 4,993 | | |
| | | | | Rogers Communications, Inc. | | | | | |
| | 5,000 | | | 4.35%, due 5/1/2049 | | | 4,415 | | |
| | 5,000 | | | 4.50%, due 3/15/2042 | | | 4,552 | (e) | |
| | | | 13,960 | | |
| France 0.0%(b) | | | |
| | 5,000 | | | Total Capital Int'l SA, 3.13%, due 5/29/2050 | | | 3,958 | | |
| Ireland 0.0%(b) | | | |
| | 5,000 | | | AerCap Ireland Capital Designated Activity Co./AerCap Global Aviation Trust, 3.85%, due 10/29/2041 | | | 3,864 | | |
Mexico 0.1% | | | |
| | 5,000 | | | Grupo Bimbo SAB de CV, 4.70%, due 11/10/2047 | | | 4,831 | (e) | |
Netherlands 0.1% | | | |
| | 5,000 | | | Shell Int'l Finance BV, 4.00%, due 5/10/2046 | | | 4,644 | | |
Supranational 0.1% | | | |
| | 5,000 | | | Asian Development Bank, 3.13%, due 4/27/2032 | | | 4,998 | | |
United Kingdom 0.5% | | | |
| | 10,000 | | | AstraZeneca PLC, 2.13%, due 8/6/2050 | | | 6,839 | | |
| | | | | BAT Capital Corp. | | | | | |
| | 10,000 | | | 2.73%, due 3/25/2031 | | | 8,208 | | |
| | 5,000 | | | 4.54%, due 8/15/2047 | | | 3,964 | | |
See Notes to Financial Statements
28
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
$ | 10,000 | | | BP Capital Markets PLC, 4.88%, due 3/22/2030 | | $ | 9,587 | (f)(g) | |
| | 15,000 | | | Natwest Group PLC, 3.03%, due 11/28/2035 | | | 12,574 | (g) | |
| | 10,000 | | | Vodafone Group PLC, 4.25%, due 9/17/2050 | | | 8,695 | | |
| | | | 49,867 | | |
United States 7.8% | | | |
| | | | | AbbVie, Inc. | | | | | |
| | 10,000 | | | 4.05%, due 11/21/2039 | | | 9,151 | | |
| | 10,000 | | | 4.45%, due 5/14/2046 | | | 9,412 | | |
| | 5,000 | | | Allstate Corp., 4.20%, due 12/15/2046 | | | 4,770 | | |
| | 10,000 | | | Altria Group, Inc., 3.88%, due 9/16/2046 | | | 7,527 | | |
| | 5,000 | | | American Int'l Group, Inc., 4.75%, due 4/1/2048 | | | 5,125 | | |
| | 5,000 | | | American Water Capital Corp., 4.15%, due 6/1/2049 | | | 4,648 | | |
| | 10,000 | | | Amgen, Inc., 4.40%, due 5/1/2045 | | | 9,294 | | |
| | 10,000 | | | Analog Devices, Inc., 2.95%, due 10/1/2051 | | | 7,837 | | |
| | 10,000 | | | Appalachian Power Co., Ser. Z, 3.70%, due 5/1/2050 | | | 8,351 | | |
| | 10,000 | | | Apple, Inc., 3.75%, due 11/13/2047 | | | 9,387 | | |
| | 5,000 | | | Aqua America, Inc., 4.28%, due 5/1/2049 | | | 4,633 | | |
| | | | | AT&T, Inc. | | | | | |
| | 10,000 | | | 3.50%, due 6/1/2041 | | | 8,310 | | |
| | 10,000 | | | 3.65%, due 6/1/2051 | | | 8,105 | | |
| | 10,000 | | | Baltimore Gas and Electric Co., 2.90%, due 6/15/2050 | | | 7,608 | | |
| | | | | Bank of America Corp. | | | | | |
| | 5,000 | | | 2.97%, due 7/21/2052 | | | 3,698 | (g) | |
| | 10,000 | | | 4.08%, due 3/20/2051 | | | 8,981 | (g) | |
| | 10,000 | | | 4.24%, due 4/24/2038 | | | 9,483 | (g) | |
| | 5,000 | | | Berkshire Hathaway Finance Corp., 4.25%, due 1/15/2049 | | | 4,839 | | |
| | | | | Boeing Co. | | | | | |
| | 10,000 | | | 3.25%, due 2/1/2035 | | | 8,009 | | |
| | 5,000 | | | 5.81%, due 5/1/2050 | | | 5,000 | (h) | |
| | 5,000 | | | BP Capital Markets America, Inc., 2.77%, due 11/10/2050 | | | 3,608 | | |
| | 5,000 | | | Bristol-Myers Squibb Co., 4.25%, due 10/26/2049 | | | 4,801 | | |
| | 10,000 | | | Broadcom, Inc., 3.75%, due 2/15/2051 | | | 7,659 | (e) | |
| | 5,000 | | | Burlington Northern Santa Fe LLC, 4.38%, due 9/1/2042 | | | 4,874 | | |
| | 10,000 | | | Capital One Financial Corp., 2.36%, due 7/29/2032 | | | 8,049 | (g) | |
| | 10,000 | | | Carrier Global Corp., 2.70%, due 2/15/2031 | | | 8,711 | | |
| | 10,000 | | | CDW LLC/CDW Finance Corp., 3.57%, due 12/1/2031 | | | 8,755 | | |
| | 15,000 | | | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, due 3/1/2050 | | | 12,289 | | |
| | 10,000 | | | Cigna Corp., 4.80%, due 8/15/2038 | | | 9,972 | | |
| | 5,000 | | | Coca-Cola Co., 2.50%, due 3/15/2051 | | | 3,690 | | |
| | | | | Comcast Corp. | | | | | |
| | 10,000 | | | 4.00%, due 8/15/2047 | | | 9,027 | | |
| | 10,000 | | | 4.65%, due 7/15/2042 | | | 9,886 | | |
| | 5,000 | | | Commonwealth Edison Co., 3.70%, due 3/1/2045 | | | 4,401 | | |
| | 5,000 | | | Constellation Brands, Inc., 3.75%, due 5/1/2050 | | | 4,175 | | |
| | 5,000 | | | Corebridge Financial, Inc., 3.90%, due 4/5/2032 | | | 4,693 | (e) | |
| | | | | Crown Castle Int'l Corp. | | | | | |
| | 5,000 | | | 2.90%, due 4/1/2041 | | | 3,728 | | |
| | 5,000 | | | 5.20%, due 2/15/2049 | | | 4,973 | | |
| | | | | CVS Health Corp. | | | | | |
| | 10,000 | | | 2.70%, due 8/21/2040 | | | 7,543 | | |
| | 10,000 | | | 5.05%, due 3/25/2048 | | | 10,060 | | |
| | 5,000 | | | Diamondback Energy, Inc., 4.40%, due 3/24/2051 | | | 4,489 | | |
See Notes to Financial Statements
29
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
| | | | | Discovery Communications LLC | | | | | |
$ | 5,000 | | | 4.00%, due 9/15/2055 | | $ | 3,750 | | |
| | 5,000 | | | 4.65%, due 5/15/2050 | | | 4,301 | | |
| | | | | Duke Energy Corp. | | | | | |
| | 5,000 | | | 3.50%, due 6/15/2051 | | | 3,918 | | |
| | 5,000 | | | 3.75%, due 9/1/2046 | | | 4,142 | | |
| | 10,000 | | | Duke Energy Progress LLC, 2.50%, due 8/15/2050 | | | 7,147 | | |
| | 5,000 | | | Emerson Electric Co., 2.80%, due 12/21/2051 | | | 3,806 | | |
| | 5,000 | | | Entergy Texas, Inc., 3.55%, due 9/30/2049 | | | 4,169 | | |
| | 10,000 | | | Enterprise Products Operating LLC, 3.20%, due 2/15/2052 | | | 7,333 | | |
| | 5,000 | | | Exelon Corp., 4.70%, due 4/15/2050 | | | 4,859 | | |
| | 10,000 | | | Exxon Mobil Corp., 4.23%, due 3/19/2040 | | | 9,786 | | |
| | 5,000 | | | Fox Corp., 5.48%, due 1/25/2039 | | | 5,176 | | |
| | 5,000 | | | Freeport-McMoRan, Inc., 5.45%, due 3/15/2043 | | | 4,998 | | |
| | 5,000 | | | General Electric Capital Corp., 5.88%, due 1/14/2038 | | | 5,512 | | |
| | 5,000 | | | General Motors Co., 5.00%, due 4/1/2035 | | | 4,732 | | |
| | 5,000 | | | Gilead Sciences, Inc., 4.75%, due 3/1/2046 | | | 4,951 | | |
| | 15,000 | | | Goldman Sachs Group, Inc., 4.02%, due 10/31/2038 | | | 13,706 | (g) | |
| | 5,000 | | | HCA, Inc., 5.25%, due 6/15/2049 | | | 4,766 | | |
| | 5,000 | | | Home Depot, Inc., 3.35%, due 4/15/2050 | | | 4,200 | | |
| | 5,000 | | | Jackson Financial, Inc., 4.00%, due 11/23/2051 | | | 3,912 | (e) | |
| | | | | JPMorgan Chase & Co. | | | | | |
| | 5,000 | | | 3.33%, due 4/22/2052 | | | 3,988 | (g) | |
| | 5,000 | | | 4.03%, due 7/24/2048 | | | 4,481 | (g) | |
| | 10,000 | | | 5.40%, due 1/6/2042 | | | 10,675 | | |
| | 10,000 | | | Kinder Morgan, Inc., 5.55%, due 6/1/2045 | | | 10,056 | | |
| | 5,000 | | | Kraft Heinz Foods Co., 5.20%, due 7/15/2045 | | | 4,891 | | |
| | 5,000 | | | Lockheed Martin Corp., 2.80%, due 6/15/2050 | | | 3,864 | | |
| | 5,000 | | | Lowe's Cos., Inc., 3.00%, due 10/15/2050 | | | 3,702 | | |
| | 5,000 | | | LYB Int'l Finance III LLC, 4.20%, due 5/1/2050 | | | 4,357 | | |
| | 5,000 | | | Magallanes, Inc., 5.39%, due 3/15/2062 | | | 4,438 | (e) | |
| | 5,000 | | | Magellan Midstream Partners L.P., 3.95%, due 3/1/2050 | | | 4,172 | | |
| | 5,000 | | | Masco Corp., 4.50%, due 5/15/2047 | | | 4,592 | | |
| | 10,000 | | | McDonald's Corp., 3.63%, due 9/1/2049 | | | 8,362 | | |
| | 10,000 | | | Merck & Co., Inc., 2.90%, due 12/10/2061 | | | 7,318 | | |
| | 5,000 | | | MetLife, Inc., 4.88%, due 11/13/2043 | | | 5,126 | | |
| | 10,000 | | | Micron Technology, Inc., 3.48%, due 11/1/2051 | | | 7,632 | | |
| | 10,000 | | | Microsoft Corp., 2.68%, due 6/1/2060 | | | 7,326 | | |
| | 5,000 | | | MidAmerican Energy Co., 4.25%, due 5/1/2046 | | | 4,828 | | |
| | | | | Morgan Stanley | | | | | |
| | 5,000 | | | 4.30%, due 1/27/2045 | | | 4,718 | | |
| | 10,000 | | | 4.38%, due 1/22/2047 | | | 9,591 | | |
| | 5,000 | | | MPLX L.P., 5.50%, due 2/15/2049 | | | 4,887 | | |
| | 10,000 | | | Nevada Power Co., Ser. EE, 3.13%, due 8/1/2050 | | | 7,746 | | |
| | 5,000 | | | Norfolk Southern Corp., 3.94%, due 11/1/2047 | | | 4,510 | | |
| | 5,000 | | | Oglethorpe Power Corp., 4.50%, due 4/1/2047 | | | 4,583 | (e) | |
| | | | | Oracle Corp. | | | | | |
| | 5,000 | | | 3.60%, due 4/1/2050 | | | 3,597 | | |
| | 5,000 | | | 3.95%, due 3/25/2051 | | | 3,798 | | |
| | 10,000 | | | 4.00%, due 7/15/2046 | | | 7,836 | | |
| | | | | Pacific Gas and Electric Co. | | | | | |
| | 10,000 | | | 3.50%, due 8/1/2050 | | | 6,971 | | |
| | 5,000 | | | 4.30%, due 3/15/2045 | | | 3,874 | | |
| | 10,000 | | | Paramount Global, 4.20%, due 5/19/2032 | | | 9,226 | | |
| | 10,000 | | | Pfizer, Inc., 2.70%, due 5/28/2050 | | | 7,819 | | |
| | 5,000 | | | Public Service Co. of Colorado, 4.05%, due 9/15/2049 | | | 4,752 | | |
| | 5,000 | | | Raytheon Technologies Corp., 4.35%, due 4/15/2047 | | | 4,821 | | |
See Notes to Financial Statements
30
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
$ | 10,000 | | | Royalty Pharma PLC, 2.20%, due 9/2/2030 | | $ | 8,344 | | |
| | 10,000 | | | salesforce.com, Inc., 2.70%, due 7/15/2041 | | | 7,941 | | |
| | | | | Southern California Edison Co. | | | | | |
| | 5,000 | | | Ser. 20A, 2.95%, due 2/1/2051 | | | 3,597 | | |
| | 5,000 | | | Ser. B, 4.88%, due 3/1/2049 | | | 4,841 | | |
| | 10,000 | | | Southwestern Public Service Co., 3.15%, due 5/1/2050 | | | 8,011 | | |
| | 10,000 | | | Starbucks Corp., 3.50%, due 11/15/2050 | | | 7,981 | | |
| | 5,000 | | | Sysco Corp., 6.60%, due 4/1/2050 | | | 5,944 | (h) | |
| | | | | T-Mobile USA, Inc. | | | | | |
| | 10,000 | | | 4.38%, due 4/15/2040 | | | 9,210 | | |
| | 5,000 | | | 4.50%, due 4/15/2050 | | | 4,557 | | |
| | 5,000 | | | Union Pacific Corp., 3.80%, due 10/1/2051 | | | 4,480 | | |
| | 5,000 | | | United Technologies Corp., 4.50%, due 6/1/2042 | | | 4,954 | | |
| | 5,000 | | | UnitedHealth Group, Inc., 4.20%, due 1/15/2047 | | | 4,831 | | |
| | 10,000 | | | Upjohn, Inc., 3.85%, due 6/22/2040 | | | 7,786 | | |
| | | | | Verizon Communications, Inc. | | | | | |
| | 5,000 | | | 3.40%, due 3/22/2041 | | | 4,203 | | |
| | 5,000 | | | 3.70%, due 3/22/2061 | | | 4,020 | | |
| | 10,000 | | | 4.13%, due 8/15/2046 | | | 9,074 | | |
| | 5,000 | | | Virginia Electric and Power Co., 2.45%, due 12/15/2050 | | | 3,493 | | |
| | 10,000 | | | Walmart, Inc., 2.50%, due 9/22/2041 | | | 8,024 | | |
| | 5,000 | | | Walt Disney Co., 4.70%, due 3/23/2050 | | | 5,095 | | |
| | | | | Wells Fargo & Co. | | | | | |
| | 10,000 | | | 3.07%, due 4/30/2041 | | | 8,038 | (g) | |
| | 5,000 | | | 5.01%, due 4/4/2051 | | | 5,200 | (g) | |
| | | | 702,876 | | |
| | | | | Total Corporate Bonds (Cost $1,018,931) | | | 808,491 | | |
NUMBER OF SHARES | | | | | |
Exchange-Traded Funds 19.8% | | | |
| | 5,470 | | | Invesco DB Commodity Index Tracking Fund | | | 150,589 | * | |
| | 2,595 | | | iShares Broad USD High Yield Corporate Bond ETF | | | 96,119 | | |
| | 30,309 | | | iShares Core International Aggregate Bond ETF | | | 1,543,637 | | |
| | | | | Total Exchange-Traded Funds (Cost $1,909,788) | | | 1,790,345 | | |
Short-Term Investments 1.8% | | | |
Investment Companies 1.8% | | | |
| | 164,680 | | | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.29%(i) (Cost $164,680) | | | 164,680 | (j) | |
| | | | | Total Investments 98.7% (Cost $9,100,825) | | | 8,917,007 | | |
| | | | | Other Assets Less Liabilities 1.3% | | | 119,261 | (k) | |
| | | | | Net Assets 100.0% | | $ | 9,036,268 | | |
* 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.
See Notes to Financial Statements
31
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
(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, 2022 amounted to $7,678, which represents 0.1% of net assets of the Fund.
(d) Rate shown was the discount rate at the date of purchase.
(e) 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, 2022, these securities amounted to $34,668, which represents 0.4% of net assets of the Fund.
(f) 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.
(g) 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.
(h) Step Security. 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 rate shown was the current rate as of April 30, 2022.
(i) Represents 7-day effective yield as of April 30, 2022.
(j) All or a portion of this security is segregated in connection with obligations for futures with a total value of $164,680.
(k) Includes the impact of the Fund's open positions in derivatives at April 30, 2022.
(l) Principal only security. This security entitles the holder to receive principal payments from an underlying pool of assets or on the security itself.
POSITIONS BY INDUSTRY
Industry | | Investments at
Value | | Percentage of
Net Assets | |
Exchange-Traded Funds* | | $ | 1,790,345 | | | | 19.8 | % | |
U.S. Treasury Obligations | | | 701,411 | | | | 7.8 | % | |
Banks | | | 355,773 | | | | 3.9 | % | |
Software | | | 353,568 | | | | 3.9 | % | |
Pharmaceuticals | | | 340,210 | | | | 3.8 | % | |
Technology Hardware, Storage & Peripherals | | | 315,830 | | | | 3.5 | % | |
Semiconductors & Semiconductor Equipment | | | 276,293 | | | | 3.0 | % | |
Oil, Gas & Consumable Fuels | | | 244,970 | | | | 2.7 | % | |
Insurance | | | 228,063 | | | | 2.5 | % | |
Capital Markets | | | 190,617 | | | | 2.1 | % | |
Automobiles | | | 177,523 | | | | 2.0 | % | |
Health Care Providers & Services | | | 171,556 | | | | 1.9 | % | |
IT Services | | | 170,292 | | | | 1.9 | % | |
Interactive Media & Services | | | 166,600 | | | | 1.8 | % | |
Media | | | 152,992 | | | | 1.7 | % | |
Metals & Mining | | | 142,356 | | | | 1.6 | % | |
Equity Real Estate Investment Trusts | | | 126,903 | | | | 1.4 | % | |
Food Products | | | 125,605 | | | | 1.4 | % | |
Textiles, Apparel & Luxury Goods | | | 113,136 | | | | 1.2 | % | |
Household Products | | | 111,970 | | | | 1.2 | % | |
See Notes to Financial Statements
32
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Industry | | Investments at
Value | | Percentage of
Net Assets | |
Hotels, Restaurants & Leisure | | $ | 108,267 | | | | 1.2 | % | |
Food & Staples Retailing | | | 104,409 | | | | 1.1 | % | |
Biotechnology | | | 100,874 | | | | 1.1 | % | |
Life Sciences Tools & Services | | | 100,368 | | | | 1.1 | % | |
Beverages | | | 98,786 | | | �� | 1.1 | % | |
Electric | | | 97,291 | | | | 1.1 | % | |
Internet & Direct Marketing Retail | | | 93,893 | | | | 1.0 | % | |
Road & Rail | | | 91,200 | | | | 1.0 | % | |
Diversified Telecommunication Services | | | 84,414 | | | | 0.9 | % | |
Chemicals | | | 81,908 | | | | 0.9 | % | |
Health Care Equipment & Supplies | | | 81,862 | | | | 0.9 | % | |
Professional Services | | | 81,307 | | | | 0.9 | % | |
Multi-Utilities | | | 81,262 | | | | 0.9 | % | |
Communications Equipment | | | 80,637 | | | | 0.9 | % | |
Trading Companies & Distributors | | | 69,934 | | | | 0.8 | % | |
Telecommunications | | | 65,141 | | | | 0.7 | % | |
Electrical Equipment | | | 59,548 | | | | 0.7 | % | |
Diversified Financial Services | | | 56,930 | | | | 0.6 | % | |
Machinery | | | 56,798 | | | | 0.6 | % | |
Marine | | | 55,303 | | | | 0.6 | % | |
Electric Utilities | | | 55,172 | | | | 0.6 | % | |
Aerospace & Defense | | | 53,473 | | | | 0.6 | % | |
Oil & Gas | | | 41,065 | | | | 0.4 | % | |
Entertainment | | | 37,846 | | | | 0.4 | % | |
Specialty Retail | | | 37,292 | | | | 0.4 | % | |
Real Estate Management & Development | | | 37,245 | | | | 0.4 | % | |
Wireless Telecommunication Services | | | 35,939 | | | | 0.4 | % | |
Building Products | | | 33,955 | | | | 0.4 | % | |
Household Durables | | | 33,026 | | | | 0.4 | % | |
Retail | | | 32,269 | | | | 0.4 | % | |
Air Freight & Logistics | | | 31,211 | | | | 0.3 | % | |
Health Care Technology | | | 28,092 | | | | 0.3 | % | |
Pipelines | | | 26,448 | | | | 0.3 | % | |
Distributors | | | 26,263 | | | | 0.3 | % | |
Industrial Conglomerates | | | 24,229 | | | | 0.3 | % | |
U.S. Government Agency Securities | | | 23,953 | | | | 0.3 | % | |
Gas Utilities | | | 23,739 | | | | 0.3 | % | |
Electronic Equipment, Instruments & Components | | | 23,181 | | | | 0.3 | % | |
Semiconductors | | | 23,128 | | | | 0.3 | % | |
Agriculture | | | 19,699 | | | | 0.2 | % | |
Consumer Finance | | | 16,597 | | | | 0.2 | % | |
Food | | | 15,666 | | | | 0.2 | % | |
Construction & Engineering | | | 15,548 | | | | 0.2 | % | |
Auto Components | | | 14,515 | | | | 0.2 | % | |
Transportation | | | 13,864 | | | | 0.2 | % | |
Building Materials | | | 13,303 | | | | 0.1 | % | |
Construction Materials | | | 12,846 | | | | 0.1 | % | |
Healthcare—Services | | | 9,597 | | | | 0.1 | % | |
Computers | | | 9,387 | | | | 0.1 | % | |
Water | | | 9,281 | | | | 0.1 | % | |
Office—Business Equipment | | | 8,755 | | | | 0.1 | % | |
Real Estate Investment Trusts | | | 8,701 | | | | 0.1 | % | |
Containers & Packaging | | | 7,962 | | | | 0.1 | % | |
Paper & Forest Products | | | 7,822 | | | | 0.1 | % | |
Multiline Retail | | | 6,887 | | | | 0.1 | % | |
See Notes to Financial Statements
33
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Industry | | Investments at
Value | | Percentage of
Net Assets | |
Miscellaneous Manufacturers | | $ | 5,512 | | | | 0.1 | % | |
Mining | | | 4,998 | | | | 0.1 | % | |
Multi-National | | | 4,998 | | | | 0.1 | % | |
Auto Manufacturers | | | 4,732 | | | | 0.1 | % | |
Commercial Services & Supplies | | | 4,180 | | | | 0.0 | %(a) | |
Electrical Components & Equipment | | | 3,806 | | | | 0.0 | %(a) | |
Short-Term Investments and Other Assets—Net | | | 283,941 | | | | 3.1 | % | |
| | | $ | 9,036,268 | | | | 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.
Derivative Instruments
Futures contracts ("futures")
At April 30, 2022, 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) | |
6/2022 | | | 3 | | | MSCI Emerging Markets Index | | $ | 158,610 | | | $ | (6,165 | ) | |
6/2023 | | | 4 | | | Euro, 90 day | | | 963,900 | | | | (2,567 | ) | |
Total Long Positions | | | | | | $ | 1,122,510 | | | $ | (8,732 | ) | |
Short Futures:
Expiration
Date | | Number of
Contracts | | Open Contracts | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
6/2022 | | | 1 | | | Euro-Bund | | $ | (162,030 | ) | | $ | 14,875 | | |
6/2022 | | | 1 | | | Euro-Buxl Bond, 30 Year | | | (180,375 | ) | | | 37,683 | | |
6/2022 | | | 4 | | | Euro-Schatz | | | (464,790 | ) | | | 628 | | |
6/2022 | | | 1 | | | S&P 500 E-Mini Index | | | (206,375 | ) | | | 16,634 | | |
6/2022 | | | 8 | | | U.S. Treasury Note, 10 Year | | | (953,250 | ) | | | 45,478 | | |
6/2022 | | | 1 | | | U.S. Treasury Ultra Bond | | | (160,438 | ) | | | 22,906 | | |
Total Short Positions | | | | | | $ | (2,127,258 | ) | | $ | 138,204 | | |
Total Futures | | | | | | | | $ | 129,472 | | |
For the six months ended April 30, 2022, the average notional value for the months where the Fund had futures outstanding was $933,954 for long positions and $(1,411,086) for short positions.
See Notes to Financial Statements
34
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Forward foreign currency contracts ("forward FX contracts")
At April 30, 2022, the Fund did not have any open positions in forward FX contracts.
For the six months ended April 30, 2022, the average notional value for the months where the Fund had forward FX contracts outstanding was $736,659.
Total return basket swap contracts ("total return basket swaps")
At April 30, 2022, the Fund did not have any open positions in total return basket swaps.
Total return swap contracts ("total return swaps")
At April 30, 2022, the Fund did not have any open positions in total return swaps.
For the six months ended April 30, 2022, the average notional value for the months where the Fund had total return basket swaps and total return swaps outstanding was $90,942 for long positions and $(112,355) for short positions.
Purchased option contracts ("options purchased")
At April 30, 2022, the Fund did not have any outstanding options purchased.
Written option contracts ("options written")
At April 30, 2022, the Fund did not have any outstanding options written.
For the six months ended April 30, 2022, the average market value for the months where the Fund had options purchased and options written outstanding was $1,522 and $(6,966), respectively.
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2022:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
Common Stocks | |
Australia | | $ | — | | | $ | 129,773 | | | $ | — | | | $ | 129,773 | | |
Austria | | | — | | | | 3,009 | | | | — | | | | 3,009 | | |
Chile | | | — | | | | 7,638 | | | | — | | | | 7,638 | | |
China | | | 7,178 | | | | 6,675 | | | | — | | | | 13,853 | | |
Denmark | | | — | | | | 50,949 | | | | — | | | | 50,949 | | |
Finland | | | — | | | | 40,331 | | | | — | | | | 40,331 | | |
France | | | — | | | | 181,393 | | | | — | | | | 181,393 | | |
Germany | | | — | | | | 106,863 | | | | — | | | | 106,863 | | |
Hong Kong | | | — | | | | 31,750 | | | | — | | | | 31,750 | | |
Ireland | | | — | | | | 12,846 | | | | — | | | | 12,846 | | |
Israel | | | — | | | | 14,693 | | | | — | | | | 14,693 | | |
Italy | | | — | | | | 20,561 | | | | — | | | | 20,561 | | |
Japan | | | — | | | | 330,927 | | | | — | | | | 330,927 | | |
See Notes to Financial Statements
35
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Asset Valuation Inputs (cont'd) | | Level 1 | | Level 2 | | Level 3 | | Total | |
Netherlands | | $ | — | | | $ | 74,766 | | | $ | — | | | $ | 74,766 | | |
New Zealand | | | — | | | | 5,917 | | | | — | | | | 5,917 | | |
Norway | | | — | | | | 33,698 | | | | — | | | | 33,698 | | |
Singapore | | | — | | | | 20,936 | | | | — | | | | 20,936 | | |
South Africa | | | — | | | | 44,202 | | | | — | | | | 44,202 | | |
Spain | | | — | | | | 52,412 | | | | — | | | | 52,412 | | |
Sweden | | | — | | | | 30,380 | | | | — | | | | 30,380 | | |
Switzerland | | | 17,220 | | | | 141,104 | | | | — | | | | 158,324 | | |
United Kingdom | | | 47,227 | | | | 133,462 | | | | — | | | | 180,689 | | |
United States | | | 3,647,869 | | | | 24,086 | | | | — | | | | 3,671,955 | | |
| Other Common Stocks(a) | | | 210,262 | | | | — | | | | — | | | | 210,262 | | |
Total Common Stocks | | | 3,929,756 | | | | 1,498,371 | | | | — | | | | 5,428,127 | | |
U.S. Treasury Obligations | | | — | | | | 701,411 | | | | — | | | | 701,411 | | |
U.S. Government Agency Securities | | | — | | | | 23,953 | | | | — | | | | 23,953 | | |
| Corporate Bonds(a) | | | — | | | | 808,491 | | | | — | | | | 808,491 | | |
Exchange-Traded Funds | | | 1,790,345 | | | | — | | | | — | | | | 1,790,345 | | |
Short-Term Investments | | | — | | | | 164,680 | | | | — | | | | 164,680 | | |
Total Investments | | $ | 5,720,101 | | | $ | 3,196,906 | | | $ | — | | | $ | 8,917,007 | | |
(a) The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary.
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2022:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Futures(a) | |
Assets | | $ | 138,204 | | | $ | — | | | $ | — | | | $ | 138,204 | | |
Liabilities | | | (8,732 | ) | | | — | | | | — | | | | (8,732 | ) | |
Total | | $ | 129,472 | | | $ | — | | | $ | — | | | $ | 129,472 | | |
(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
36
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) April 30, 2022
NUMBER OF SHARES | | | | VALUE | |
Long Positions 101.8% | | | |
Common Stocks 73.4% | | | |
Aerospace & Defense 0.6% | | | |
| | 129,200 | | | Airbus SE | | $ | 14,143,762 | (a) | |
| 186,000 |
| | Raytheon Technologies
Corp. | |
| 17,653,260 | (b) | |
| | | | 31,797,022 | | |
Banks 2.0% | | | |
| | 873,324 | | | JPMorgan Chase & Co. | | | 104,239,953 | (b) | |
Beverages 1.5% | | | |
| | 2,053,428 | | | Keurig Dr Pepper, Inc. | | | 76,798,207 | (b) | |
Capital Markets 3.6% | | | |
| | 7,746 | | | BlackRock, Inc. | | | 4,838,771 | | |
| 760,131 |
| | Brookfield Asset
Management, Inc.
Class A | |
| 37,900,132 |
| |
| | 278,194 | | | CME Group, Inc. | | | 61,019,072 | (b) | |
| | 228,663 | | | S&P Global, Inc. | | | 86,091,619 | (b) | |
| | | | 189,849,594 | | |
Chemicals 1.8% | | | |
| 176,908 |
| | Air Products &
Chemicals, Inc. | |
| 41,408,855 | (b) | |
| 484,303 |
| | Ashland Global
Holdings, Inc. | |
| 50,837,286 |
| |
| | | | 92,246,141 | | |
Commercial Services & Supplies 1.4% | | | |
| | 447,785 | | | Waste Management, Inc. | | | 73,633,765 | (b) | |
Computers 0.1% | | | |
| 359,091 |
| | Arctic Wolf
Networks, Inc. | |
| 3,950,001 | *(c)(d)(q) | |
Containers & Packaging 0.9% | | | |
| | 264,045 | | | Avery Dennison Corp. | | | 47,686,527 | | |
Diversified Consumer Services 0.1% | | | |
| 163,226 |
| | European Wax Center,
Inc. Class A | |
| 4,480,554 |
| |
Diversified Financial Services 2.5% | | | |
| 1,709,631 |
| | Apollo Global
Management, Inc. | |
| 85,071,238 |
| |
| | 1,424,901 | | | Equitable Holdings, Inc. | | | 41,079,896 | | |
| 1,800,000 |
| | Sunlight Financial
Holdings, Inc. | |
| 7,470,000 | * | |
| | | | 133,621,134 | | |
Diversified Telecommunication Services 0.2% | | | |
| 472,631 |
| | Frontier Communications
Parent, Inc. | |
| 12,472,732 | * | |
Electric Utilities 1.8% | | | |
| | 1,295,784 | | | NextEra Energy, Inc. | | | 92,026,580 | (b) | |
Electrical Equipment 0.8% | | | |
| | 1,312,010 | | | nVent Electric PLC | | | 44,319,698 | | |
NUMBER OF SHARES | | | | VALUE | |
Electronic Equipment, Instruments & Components 2.3% | | | |
| | 357,800 | | | Amphenol Corp. Class A | | $ | 25,582,700 | | |
| | 241,389 | | | CDW Corp. | | | 39,389,857 | | |
| | 445,429 | | | TE Connectivity Ltd. | | | 55,580,631 | | |
| | | | 120,553,188 | | |
Entertainment 1.1% | | | |
| | 566,582 | | | Activision Blizzard, Inc. | | | 42,833,599 | (b) | |
| | 79,502 | | | Netflix, Inc. | | | 15,341,819 | * | |
| | | | 58,175,418 | | |
Equity Real Estate Investment Trusts 0.7% | | | |
| 99,815 |
| | SBA Communications
Corp. | |
| 34,646,785 | (b) | |
Food & Staples Retailing 1.3% | | | |
| | 59,099 | | | Costco Wholesale Corp. | | | 31,424,120 | (b) | |
| | 236,771 | | | Walmart, Inc. | | | 36,223,596 | (b) | |
| | | | 67,647,716 | | |
Food Products 0.7% | | | |
| 440,415 |
| | Mondelez International,
Inc. Class A | |
| 28,397,959 | (b) | |
| | 1,000,000 | | | Whole Earth Brands, Inc. | | | 6,910,000 | * | |
| | | | 35,307,959 | | |
Health Care Equipment & Supplies 1.3% | | | |
| | 64,125 | | | Becton, Dickinson & Co. | | | 15,851,059 | | |
| | 12,825 | | | Embecta Corp. | | | 390,265 | * | |
| | 512,282 | | | Medtronic PLC | | | 53,461,749 | | |
| | | | 69,703,073 | | |
Health Care Providers & Services 1.9% | | | |
| | 192,566 | | | UnitedHealth Group, Inc. | | | 97,929,439 | (b) | |
Holding Companies — Diversified 0.2% | | | |
| 1,082,400 |
| | Independence Holdings
Corp. | |
| 10,704,936 | * | |
Hotels, Restaurants & Leisure 3.3% | | | |
| 943,636 |
| | First Watch Restaurant
Group, Inc. | |
| 12,267,268 | * | |
| 178,578 |
| | Marriott International,
Inc. Class A | |
| 31,701,167 | *(b) | |
| | 435,059 | | | McDonald's Corp. | | | 108,399,300 | (b) | |
| | 748,702 | | | Sweetgreen, Inc. Class A | | | 20,035,265 | *(d)(q) | |
| | | | 172,403,000 | | |
Household Durables 0.1% | | | |
| | 685,995 | | | Traeger, Inc. | | | 4,109,110 | * | |
Household Products 0.9% | | | |
| | 287,218 | | | Procter & Gamble Co. | | | 46,112,850 | (b) | |
Interactive Media & Services 3.7% | | | |
| | 46,066 | | | Alphabet, Inc. Class A | | | 105,131,365 | *(b) | |
| 447,226 |
| | Meta Platforms,
Inc. Class A | |
| 89,655,396 | *(b) | |
| | | | 194,786,761 | | |
See Notes to Consolidated Financial Statements
37
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Internet & Direct Marketing Retail 2.8% | | | |
| | 51,233 | | | Amazon.com, Inc. | | $ | 127,346,282 | *(b) | |
| | 688,501 | | | Chewy, Inc. Class A | | | 20,007,839 | *(b)(e) | |
| | | | 147,354,121 | | |
IT Services 3.5% | | | |
| 346,168 |
| | Fidelity National
Information Services, Inc. | |
| 34,322,557 | (b) | |
| | 125,439 | | | MasterCard, Inc. Class A | | | 45,582,024 | (b) | |
| | 305,997 | | | Okta, Inc. | | | 36,508,502 | *(b) | |
| | 1,115,507 | | | Repay Holdings Corp. | | | 14,925,484 | * | |
| | 233,231 | | | Visa, Inc. Class A | | | 49,708,523 | (b) | |
| | | | 181,047,090 | | |
Life Sciences Tools & Services 0.8% | | | |
| 74,129 |
| | Thermo Fisher
Scientific, Inc. | |
| 40,987,407 |
| |
Metals & Mining 0.4% | | | |
| | 297,600 | | | Alcoa Corp. | | | 20,177,280 | | |
Multi-Utilities 1.1% | | | |
| | 1,391,676 | | | CenterPoint Energy, Inc. | | | 42,599,202 | (b) | |
| | 180,354 | | | WEC Energy Group, Inc. | | | 18,044,418 | (b) | |
| | | | 60,643,620 | | |
Oil, Gas & Consumable Fuels 1.9% | | | |
| | 329,238 | | | Chevron Corp. | | | 51,581,718 | (b) | |
| | 1,016,530 | | | Enbridge, Inc. | | | 44,361,369 | (b) | |
| 329 |
| | Venture Global LNG,
Inc. Ser. C | |
| 3,245,256 | *(c)(d)(q) | |
| | | | 99,188,343 | | |
Pharmaceuticals 0.8% | | | |
| | 232,537 | | | Johnson & Johnson | | | 41,963,627 | (b) | |
Professional Services 1.6% | | | |
| 2,037,012 |
| | Dun & Bradstreet
Holdings, Inc. | |
| 32,164,419 | * | |
| | 264,582 | | | Equifax, Inc. | | | 53,847,729 | | |
| | | | 86,012,148 | | |
Road & Rail 2.2% | | | |
| | 517,204 | | | Uber Technologies, Inc. | | | 16,281,582 | * | |
| | 415,804 | | | Union Pacific Corp. | | | 97,418,719 | (b) | |
| | | | 113,700,301 | | |
Semiconductors & Semiconductor Equipment 1.0% | | | |
| | 241,696 | | | Analog Devices, Inc. | | | 37,313,028 | (b) | |
| | 29,397 | | | ASML Holding NV | | | 16,573,147 | | |
| | | | 53,886,175 | | |
Software 10.8% | | | |
| | 144,099 | | | Adobe, Inc. | | | 57,055,999 | *(b) | |
| | 590,354 | | | Anaplan, Inc. | | | 38,367,106 | * | |
| | 1,903,411 | | | AvidXchange Holdings, Inc. | | | 15,588,936 | * | |
| | 451,021 | | | DoubleVerify Holdings, Inc. | | | 9,809,707 | * | |
| | 179,381 | | | Grammarly, Inc. | | | 4,701,917 | *(c)(d)(q) | |
| | 595,996 | | | Microsoft Corp. | | | 165,400,810 | (b) | |
| | 1,391,408 | | | Paycor HCM, Inc. | | | 34,270,379 | * | |
| | 521,234 | | | salesforce, Inc. | | | 91,705,910 | *(b) | |
NUMBER OF SHARES | | | | VALUE | |
| | 88,048 | | | ServiceNow, Inc. | | $ | 42,095,749 | *(b) | |
| | 244,681 | | | Splunk, Inc. | | | 29,855,976 | *(b) | |
| | 233,238 | | | Workday, Inc. Class A | | | 48,210,294 | *(b) | |
| | 221,735 | | | Zendesk, Inc. | | | 27,060,539 | *(b) | |
| | | | 564,123,322 | | |
Specialty Retail 7.7% | | | |
| 181,290 |
| | Asbury Automotive
Group, Inc. | |
| 33,304,786 | * | |
| 2,026,590 |
| | Fanatics Holdings,
Inc. Class A | |
| 137,483,865 | *(c)(d)(q) | |
| | 189,594 | | | Five Below, Inc. | | | 29,785,217 | * | |
| 251,080 |
| | Floor & Decor Holdings,
Inc. Class A | |
| 20,016,098 | *(b) | |
| | 397,085 | | | Gap, Inc. | | | 4,931,796 | | |
| | 219,718 | | | Home Depot, Inc. | | | 66,003,287 | (b) | |
| | 1,779,099 | | | TJX Cos., Inc. | | | 109,023,187 | | |
| | | | 400,548,236 | | |
Technology Hardware, Storage & Peripherals 3.0% | | | |
| | 999,454 | | | Apple, Inc. | | | 157,563,923 | (b) | |
Textiles, Apparel & Luxury Goods 1.0% | | | |
| | 194,232 | | | NIKE, Inc. Class B | | | 24,220,731 | (b) | |
| 1,695,959 |
| | Under Armour,
Inc. Class A | |
| 26,049,930 | *(b) | |
| | | | 50,270,661 | | |
| |
| | Total Common Stocks
(Cost $3,190,023,316) | |
| 3,836,668,397 |
| |
Preferred Stocks 1.1% | | | |
Capital Markets 0.1% | | | |
| | 82,110 | | | Savage X, Inc. Ser. C | | | 3,949,984 | *(c)(d)(q) | |
Internet 0.4% | | | |
| | 23,000 | | | Fabletics, Inc. Ser. G | | | 23,000,000 | *(c)(d)(q) | |
IT Services 0.3% | | | |
| | 959,038 | | | Cybereason, Inc. Ser. F | | | 4,750,000 | *(c)(d)(q) | |
| | 658,071 | | | Druva, Inc. Ser. 4 | | | 6,167,968 | *(c)(d)(q) | |
| | 480,112 | | | Druva, Inc. Ser. 5 | | | 4,499,994 | *(c)(d)(q) | |
| | | | 15,417,962 | | |
Software 0.2% | | | |
| | 55,626 | | | Grammarly, Inc. Ser. 3 | | | 1,458,063 | *(c)(d)(q) | |
| | 78,686 | | | Signifyd, Inc. Ser. A | | | 1,515,492 | *(c)(d)(q) | |
| | 180,619 | | | Signifyd, Inc. Ser. Seed | | | 3,476,916 | *(c)(d)(q) | |
| | 325,371 | | | Videoamp, Inc. Ser. F1 | | | 5,135,005 | *(c)(d)(q) | |
| | | | 11,585,476 | | |
NUMBER OF UNITS | | | | | |
Entertainment 0.1% | | | |
| | 39,203 | | | A24 Films LLC | | | 4,463,653 | *(d)(q) | |
| |
| | Total Preferred Stocks
(Cost $58,686,273) | |
| 58,417,075 |
| |
See Notes to Consolidated Financial Statements
38
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
| Loan Assignments(f) 0.5% | | | |
Leisure Goods — Activities — Movies 0.5% | | | |
$ | 25,000,000
|
| | OneSpa World, LLC, Second Lien Term Loan, (3M USD LIBOR +7.50%), 8.71%,
due 3/18/2027 (Cost $24,692,525) | | $ | 25,500,000
| (c)(d)(q) | |
Corporate Bonds 1.3% | | | |
Miscellaneous Manufacturer 0.8% | | | |
| | 24,232,536 | | | Anagram International, Inc./Anagram Holdings LLC 10.00% Cash & 5.00% PIK, due 8/15/2025 | | | 25,807,651 | (g)(h) | |
| | 16,536,965 | | | 5.00% Cash & 5.00% PIK, due 8/15/2026 | | | 17,198,443 | (g)(h) | |
| | | | 43,006,094 | | |
Retail 0.5% | | | |
| | 27,199,035 | | | Party City Holdings, Inc., (6M USD LIBOR + 5.00%, Floor 5.75%), 5.75%, due 7/15/2025 | | | 23,663,161 | (b)(f)(g) | |
| | | | | Total Corporate Bonds (Cost $36,757,333) | | | 66,669,255 | | |
NUMBER OF UNITS | | | | VALUE | |
Master Limited Partnerships and Limited Partnerships 2.6% | | | |
Multi-Utilities 1.0% | | | |
| 799,233
|
| | Brookfield Infrastructure
Partners L.P. | | $ | 49,896,116
| (b) | |
Oil, Gas & Consumable Fuels 1.6% | | | |
| 3,295,196 |
| | Enterprise Products
Partners L.P. | |
| 85,378,528 | (b) | |
| |
| | Total Master Limited Partnerships
and Limited Partnerships
(Cost $98,358,451) | |
| 135,274,644 |
| |
NUMBER OF SHARES | | | | | |
Warrants 0.1% | | | |
Diversified Consumer Services 0.1% | | | |
| 52,600 |
| | OneSpaWorld Holdings
Ltd. Expires 3/19/2024 | |
| 155,433 | * | |
| 653,334 |
| | OneSpaWorld Holdings
Ltd. Expires 6/12/2025 | |
| 3,403,870 | *(d)(o) | |
| | | | 3,559,303 | | |
| Food Products 0.0%(p) | | | |
| 701,800 |
| | Whole Earth Brands, Inc.
Expires 6/25/2025 | |
| 327,390 | * | |
| 301,400 |
| | Whole Earth Brands, Inc.
Expires 6/25/2025 | |
| 140,603 | * | |
| | | | 467,993 | | |
| |
| | Total Warrants
(Cost $433,413) | |
| 4,027,296 |
| |
| |
| | Total Purchased Options(i) 0.0%(p)
(Cost $1,402,327) | |
| 1,622,667 |
| |
NUMBER OF SHARES | | | | VALUE | |
Short-Term Investments 22.8% | | | |
Investment Companies 22.8% | | | |
| 1,173,562,356
|
| | State Street Institutional
U.S. Government Money
Market Fund Premier
Class, 0.29%(j) | | $ | 1,173,562,356
| (a) | |
| 17,987,310 |
| | State Street Navigator
Securities Lending
Government Money
Market Portfolio, 0.32%(j) | |
| 17,987,310 | (k) | |
| |
| | Total Short-Term Investments
(Cost $1,191,549,666) | |
| 1,191,549,666 |
| |
| |
| | Total Long Positions (101.8%)
(Cost $4,601,903,304) | |
| 5,319,729,000 |
| |
| Short Positions(I) ((15.4)%) | | | |
Common Stocks Sold Short (13.0)% | | | |
Aerospace & Defense (0.2)% | | | |
| | (92,300 | ) | | Woodward, Inc. | | | (10,197,304 | ) | |
Air Freight & Logistics (0.1)% | | | |
| (51,100 | ) | | Expeditors International
of Washington, Inc. | |
| (5,062,477 | ) | |
Automobiles (0.1)% | | | |
| | (238,217 | ) | | Lucid Group, Inc. | | | (4,306,963 | )* | |
| Building Products 0.0%(p) | | | |
| | (49,296 | ) | | Masco Corp. | | | (2,597,406 | ) | |
See Notes to Consolidated Financial Statements
39
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Capital Markets (0.3)% | | | |
| (524,027
| ) | | Robinhood Markets,
Inc. Class A | | $ | (5,138,085
| )* | |
| | (76,173 | ) | | T Rowe Price Group, Inc. | | | (9,372,326 | ) | |
| | | | (14,510,411 | ) | |
Consumer Finance (0.4)% | | | |
| | (1,449,676 | ) | | SoFi Technologies, Inc. | | | (8,872,017 | )* | |
| | (139,279 | ) | | Upstart Holdings, Inc. | | | (10,448,711 | )* | |
| | | | (19,320,728 | ) | |
Containers & Packaging (0.3)% | | | |
| | (141,501 | ) | | AptarGroup, Inc. | | | (16,248,560 | ) | |
Electric Utilities (0.3)% | | | |
| | (191,784 | ) | | Southern Co. | | | (14,075,028 | ) | |
Equity Real Estate Investment Trusts (0.7)% | | | |
| | (290,823 | ) | | Iron Mountain, Inc. | | | (15,625,920 | ) | |
| (210,735 | ) | | Lamar Advertising Co.
Class A | |
| (23,267,251 | ) | |
| | | | (38,893,171 | ) | |
Food & Staples Retailing (0.7)% | | | |
| (76,196 | ) | | BJ's Wholesale Club
Holdings, Inc. | |
| (4,903,213 | )* | |
| (351,856 | ) | | Grocery Outlet Holding
Corp. | |
| (11,846,991 | )* | |
| | (186,808 | ) | | Kroger Co. | | | (10,080,160 | ) | |
| (266,146 | ) | | Sprouts Farmers
Market, Inc. | |
| (7,931,151 | )* | |
| | | | (34,761,515 | ) | |
Food Products (1.6)% | | | |
| | (320,036 | ) | | B&G Foods, Inc. | | | (8,618,569 | ) | |
| | (644,836 | ) | | Campbell Soup Co. | | | (30,449,156 | ) | |
| | (294,400 | ) | | Conagra Brands, Inc. | | | (10,283,392 | ) | |
| | (213,005 | ) | | General Mills, Inc. | | | (15,065,844 | ) | |
| | (375,002 | ) | | Hain Celestial Group, Inc. | | | (12,577,567 | )* | |
| | (513,252 | ) | | Sovos Brands, Inc. | | | (7,750,105 | )* | |
| | | | (84,744,633 | ) | |
Health Care Equipment & Supplies (0.1)% | | | |
| | (220,456 | ) | | Figs, Inc. Class A | | | (3,452,341 | )* | |
Health Care Technology (0.2)% | | | |
| | (187,092 | ) | | Doximity, Inc. Class A | | | (7,459,358 | )* | |
| (30,269 | ) | | Veeva Systems, Inc.
Class A | |
| (5,507,445 | )* | |
| | | | (12,966,803 | ) | |
Hotels, Restaurants & Leisure (0.2)% | | | |
| (680,253 | ) | | Arcos Dorados
Holdings, Inc. Class A | |
| (4,931,834 | ) | |
| | (99,229 | ) | | Dutch Bros, Inc. Class A | | | (4,740,170 | )* | |
| | | | (9,672,004 | ) | |
Household Durables (0.3)% | | | |
| | (59,696 | ) | | TopBuild Corp. | | | (10,813,334 | )* | |
| | (275,222 | ) | | Weber, Inc. Class A | | | (2,416,449 | ) | |
| | | | (13,229,783 | ) | |
NUMBER OF SHARES | | | | VALUE | |
Household Products (0.4)% | | | |
| (206,149
| ) | | Church & Dwight
Co., Inc. | | $ | (20,111,896
| ) | |
Industrial Conglomerates (0.4)% | | | |
| | (104,283 | ) | | 3M Co. | | | (15,039,694 | ) | |
| | (107,400 | ) | | General Electric Co. | | | (8,006,670 | ) | |
| | | | (23,046,364 | ) | |
Insurance (0.3)% | | | |
| | (863,386 | ) | | Lemonade, Inc. | | | (18,010,232 | )* | |
Interactive Media & Services (0.1)% | | | |
| | (686,310 | ) | | fuboTV, Inc. | | | (2,601,115 | )* | |
Internet & Direct Marketing Retail (0.2)% | | | |
| | (758,648 | ) | | 1stdibs.com, Inc. | | | (5,735,379 | )* | |
| | (617,840 | ) | | Poshmark, Inc. Class A | | | (6,820,953 | )* | |
| | (58,808 | ) | | ThredUp, Inc. Class A | | | (387,545 | )* | |
| | | | (12,943,877 | ) | |
IT Services (0.9)% | | | |
| (92,000 | ) | | Automatic Data
Processing, Inc. | |
| (20,072,560 | ) | |
| | (1,549,903 | ) | | Western Union Co. | | | (25,976,374 | ) | |
| | | | (46,048,934 | ) | |
Machinery (0.2)% | | | |
| | (62,598 | ) | | Illinois Tool Works, Inc. | | | (12,338,692 | ) | |
Media (1.2)% | | | |
| (1,000,585 | ) | | iHeartMedia, Inc.
Class A | |
| (15,999,354 | )* | |
| (536,763 | ) | | Interpublic Group of
Cos., Inc. | |
| (17,509,209 | ) | |
| | (232,526 | ) | | Omnicom Group, Inc. | | | (17,702,205 | ) | |
| | (401,735 | ) | | Paramount Global Class B | | | (11,698,523 | ) | |
| | | | (62,909,291 | ) | |
Multi-Utilities (0.5)% | | | |
| | (298,341 | ) | | Consolidated Edison, Inc. | | | (27,668,144 | ) | |
Multiline Retail (0.3)% | | | |
| | (61,581 | ) | | Dollar General Corp. | | | (14,627,335 | ) | |
Oil, Gas & Consumable Fuels (0.3)% | | | |
| | (373,222 | ) | | APA Corp. | | | (15,275,976 | ) | |
Real Estate Management & Development (0.2)% | | | |
| (1,638,593 | ) | | Opendoor
Technologies, Inc. | |
| (11,453,765 | )* | |
Semiconductors & Semiconductor Equipment (0.2)% | | | |
| | (49,100 | ) | | Texas Instruments, Inc. | | | (8,359,275 | ) | |
Software (1.6)% | | | |
| | (180,134 | ) | | Guidewire Software, Inc. | | | (15,660,850 | )* | |
| | (109,717 | ) | | Oracle Corp. | | | (8,053,228 | ) | |
| (1,164,399 | ) | | Palantir Technologies,
Inc. Class A | |
| (12,109,750 | )* | |
| | (55,403 | ) | | Paycom Software, Inc. | | | (15,594,282 | )* | |
| | (82,705 | ) | | Paylocity Holding Corp. | | | (15,683,349 | )* | |
| | (183,353 | ) | | SAP SE ADR | | | (18,481,982 | ) | |
| | | | (85,583,441 | ) | |
See Notes to Consolidated Financial Statements
40
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
NUMBER OF SHARES | | | | VALUE | |
Specialty Retail (0.7)% | | | |
| | (75,651 | ) | | AutoNation, Inc. | | $ | (8,768,707 | )* | |
| | (4,117 | ) | | AutoZone, Inc. | | | (8,050,670 | )* | |
| | (83,074 | ) | | CarMax, Inc. | | | (7,126,088 | )* | |
| | (95,288 | ) | | Carvana Co. | | | (5,522,893 | )* | |
NUMBER OF SHARES | | | | VALUE | |
| | (109,974 | ) | | Guess?, Inc. | | $ | (2,471,116 | ) | |
| (321,876 | ) | | Sally Beauty
Holdings, Inc. | |
| (4,866,765 | )* | |
| | | | (36,806,239 | ) | |
| |
| | Total Common Stocks Sold Short
(Proceeds $(750,610,158)) | |
| (681,823,703 | ) | |
PRINCIPAL AMOUNT | | | | VALUE | |
Corporate Bonds Sold Short (1.6)% | | | |
Advertising (0.1)% | | | |
$ | (5,000,000 | ) | | Clear Channel Worldwide Holdings, Inc., 5.13%, due 8/15/2027 | | $ | (4,711,750 | )(g) | |
Banks (0.2)% | | | |
| | (4,000,000 | ) | | BAC Capital Trust XIV, (3M USD LIBOR + 0.40%), 4.00%, due 5/16/2022 | | | (3,322,676 | )(f)(l) | |
| | (5,000,000 | ) | | PNC Financial Services Group, Inc., 3.40%, due 9/15/2026 | | | (4,325,000 | )(l)(m) | |
| | | | (7,647,676 | ) | |
Electric (0.1)% | | | |
| | (3,000,000 | ) | | Wisconsin Energy Corp., (3M USD LIBOR + 2.11%), 2.62%, due 5/15/2067 | | | (2,582,130 | )(f) | |
Entertainment (0.1)% | | | |
| | (5,000,000 | ) | | Cinemark USA, Inc., 5.25%, due 7/15/2028 | | | (4,455,800 | )(g) | |
| | | | (4,455,800 | ) | |
Insurance (0.1)% | | | |
| | (7,000,000 | ) | | Hartford Financial Services Group, Inc., (3M USD LIBOR + 2.13%), 2.63%, due 2/12/2047 | | | (6,184,987 | )(f)(g) | |
Lodging (0.1)% | | | |
| | (7,000,000 | ) | | Boyd Gaming Corp., 4.75%, due 12/1/2027 | | | (6,632,500 | ) | |
Media (0.4)% | | | |
| | (5,000,000 | ) | | Entercom Media Corp., 6.50%, due 5/1/2027 | | | (4,312,950 | )(g) | |
| | (10,000,000 | ) | | iHeartCommunications, Inc., 8.38%, due 5/1/2027 | | | (9,934,800 | ) | |
| | (6,000,000 | ) | | Univision Communications, Inc., 5.13%, due 2/15/2025 | | | (5,910,600 | )(g) | |
| | | | (20,158,350 | ) | |
Pipelines (0.2)% | | | |
| | (15,000,000 | ) | | TransCanada PipeLines Ltd., (3M USD LIBOR + 2.21%), 2.72%, due 5/15/2067 | | | (12,645,600 | )(f) | |
See Notes to Consolidated Financial Statements
41
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Retail (0.3)% | | | |
$ | (5,000,000 | ) | | Macy's Retail Holdings LLC, 5.88%, due 4/1/2029 | | $ | (4,759,500 | )(g) | |
| | (10,000,000 | ) | | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/1/2025 | | | (10,064,200 | ) | |
| | | | (14,823,700 | ) | |
| Software 0.0%(p) | | | |
| | (2,000,000 | ) | | MicroStrategy, Inc., 6.13%, due 6/15/2028 | | | (1,840,000 | )(g) | |
| | | | | Total Corporate Bonds Sold Short (Proceeds $(82,853,438)) | | | (81,682,493 | ) | |
NUMBER OF SHARES | | | | | |
Exchange-Traded Funds Sold Short (0.8)% | | | |
| | (178,300 | ) | | iShares iBoxx $ Investment Grade Corporate Bond ETF | | | (20,076,580 | ) | |
| | (319,115 | ) | | SPDR S&P Retail ETF | | | (22,424,211 | ) | |
| | | | | Total Exchange-Traded Funds Sold Short (Proceeds $(51,293,696)) | | | (42,500,791 | ) | |
| | | | | Total Short Positions (Proceeds $(884,757,292)) | | | (806,006,987 | ) | |
| | | | | Total Investments 86.4% (Cost $3,717,146,012) | | | 4,513,722,013 | | |
| | | | | Other Assets Less Liabilities 13.6% | | | 711,903,978 | (n) | |
| | | | | Net Assets 100.0% | | $ | 5,225,625,991 | | |
* Non-income producing security.
(a) All or a portion of this security is segregated in connection with obligations for securities sold short, options written, swaps and/or futures with a total value of $1,177,172,518.
(b) All or a portion of this security is pledged as collateral for options written.
(c) Value determined using significant unobservable inputs.
(d) Security fair valued as of April 30, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2022 amounted to $256,737,249, which represents 4.9% of net assets of the Fund.
(e) All or a portion of this security is on loan at April 30, 2022. Total value of all such securities at April 30, 2022 amounted to $15,839,734 for the Fund (see Note A of the Notes to Financial Statements).
(f) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2022 and changes periodically.
(g) 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, 2022, these securities amounted to $66,669,255 of long positions and $(32,175,587) of short positions, which represents 1.3% and (0.6)%, respectively, of net assets of the Fund.
(h) Payment-in-kind (PIK) security.
(i) See "Purchased option contracts" under Derivative Instruments.
(j) Represents 7-day effective yield as of April 30, 2022.
See Notes to Consolidated Financial Statements
42
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
(k) Represents investment of cash collateral received from securities lending.
(l) 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.
(m) 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.
(n) Includes the impact of the Fund's open positions in derivatives at April 30, 2022.
(o) Security acquired via a PIPE transaction.
(p) Represents less than 0.05% of net assets of the Fund.
(q) These securities have been deemed by Management to be illiquid, and are subject to restrictions on resale. At April 30, 2022, these securities amounted to $253,333,379, which represents 4.8% of net assets of the Fund.
Restricted Security | | Acquisition
Date | | Acquisition
Cost | | Acquisition
Cost
Percentage
of Net Assets
as of Acquisition
Date | | Value as of
4/30/2022 | | Fair Value
Percentage
of Net Assets
as of
4/30/2022 | |
A24 Films LLC (Preferred Units) | | 2/25/2022 | | $ | 4,463,654 | | | | 0.1 | % | | $ | 4,463,653 | | | | 0.1 | % | |
Arctic Wolf Networks, Inc. | | 12/31/2021 | | | 3,950,001 | | | | 0.1 | % | | | 3,950,001 | | | | 0.1 | % | |
Cybereason, Inc. (Ser. F Preferred Shares) | | 7/19/2021 | | | 4,750,000 | | | | 0.1 | % | | | 4,750,000 | | | | 0.1 | % | |
Druva, Inc. (Ser. 4 Preferred Shares) | | 6/14/2019 | | | 3,429,998 | | | | 0.1 | % | | | 6,167,968 | | | | 0.1 | % | |
Druva, Inc. (Ser. 5 Preferred Shares) | | 4/1/2021 | | | 4,500,000 | | | | 0.1 | % | | | 4,499,994 | | | | 0.1 | % | |
Fabletics LLC (Ser. G Preferred Shares) | | 1/10/2022 | | | 23,000,000 | | | | 0.4 | % | | | 23,000,000 | | | | 0.4 | % | |
Fanatics Holdings, Inc. Class A | | 8/13/2020 | | | 35,900,005 | | | | 1.0 | % | | | 133,943,092 | | | | 2.6 | % | |
| | | 4/29/2021 | | | 1,819,970 | | | | 0.0 | % | | | 3,540,773 | | | | 0.1 | % | |
Grammarly, Inc. Class A | | 12/23/2021 | | | 2,412,019 | | | | 0.0 | % | | | 2,412,019 | | | | 0.0 | % | |
| | | 1/24/2022 | | | 2,289,898 | | | | 0.0 | % | | | 2,289,898 | | | | 0.0 | % | |
Grammarly, Inc. (Ser. 3 Preferred Shares) | | 12/23/2021 | | | 747,957 | | | | 0.0 | % | | | 747,957 | | | | 0.0 | % | |
| | | 1/24/2022 | | | 710,106 | | | | 0.0 | % | | | 710,106 | | | | 0.0 | % | |
OneSpaWorld, LLC, Second Lien Term Loan | | 3/19/2019 | | | 24,562,500 | | | | 0.9 | % | | | 25,500,000 | | | | 0.5 | % | |
Savage X, Inc. (Ser. C Preferred Shares) | | 11/30/2021 | | | 3,949,984 | | | | 0.1 | % | | | 3,949,984 | | | | 0.1 | % | |
Signifyd, Inc. (Ser. A Preferred Shares) | | 5/24/2021 | | | 2,427,463 | | | | 0.1 | % | | | 1,515,492 | | | | 0.0 | % | |
Signifyd, Inc. (Ser. Seed Preferred Shares) | | 5/24/2021 | | | 5,572,106 | | | | 0.1 | % | | | 3,476,916 | | | | 0.1 | % | |
Sweetgreen, Inc. Class A | | 11/30/2018 | | | 7,520,004 | | | | 0.3 | % | | | 16,769,609 | | | | 0.3 | % | |
| | | 9/13/2019 | | | 1,009,430 | | | | 0.0 | % | | | 1,579,669 | | | | 0.0 | % | |
| | | 1/21/2021 | | | 873,383 | | | | 0.0 | % | | | 1,685,987 | | | | 0.0 | % | |
Venture Global LNG, Inc. Ser. C | | 11/21/2018 | | | 2,303,000 | | | | 0.1 | % | | | 3,245,256 | | | | 0.1 | % | |
Videoamp, Inc. (Ser. F1 Preferred Shares) | | 1/4/2022 | | | 5,135,005 | | | | 0.1 | % | | | 5,135,005 | | | | 0.1 | % | |
Total | | | | $ | 141,326,483 | | | | 3.6 | % | | $ | 253,333,379 | | | | 4.8 | % | |
See Notes to Consolidated Financial Statements
43
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2022, 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) | |
6/2022 | | | 203 | | | NASDAQ 100 E-Mini Index | | $ | (52,179,120 | ) | | $ | 1,778,889 | | |
6/2022 | | | 536 | | | Russell 2000 E-Mini Index | | | (49,882,840 | ) | | | 3,002,940 | | |
6/2022 | | | 2,117 | | | S&P 500 E-Mini Index | | | (436,895,875 | ) | | | 8,733,831 | | |
6/2022 | | | 158 | | | U.S. Long Bond | | | (22,228,625 | ) | | | 2,114,669 | | |
Total Futures | | | | | | $ | (561,186,460 | ) | | $ | 15,630,329 | | |
At April 30, 2022, the Fund had $37,113,791 deposited in a segregated account to cover margin requirements on open futures. For the six months ended April 30, 2022, the average notional value for the months where the Fund had futures outstanding was $(739,268,039) for short positions.
Total return basket swap contracts ("total return basket swaps")
At April 30, 2022, 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 | | | 0.19 | % | | | (0.09 | )% | | SOFR | | 3M/T | | 8/12/2022 | | $ | (10,878,872 | ) | |
GSI | | GSNBLIPO | | | (1.47 | )% | | | (1.80 | )% | | FEDL01 | | 1M/T | | 5/25/2023 | | | 14,517,230 | | |
GSI | | GSNBSPC4 | | | (3.59 | )% | | | (3.87 | )% | | SOFR | | 1M/T | | 7/21/2023 | | | 3,210,796 | | |
JPM | | JPNBGCND | | | (0.33 | )% | | | (0.65 | )% | | OBFR | | 3M/T | | 5/1/2023 | | | 11,349,031 | | |
JPM | | JPNBLQGS | | | 0.35 | % | | | 0.03 | % | | OBFR | | 1M/T | | 5/23/2023 | | | 46,583,047 | | |
JPM | | JPNBLQGS | | | 0.35 | % | | | 0.03 | % | | OBFR | | 1M/T | | 5/23/2023 | | | 2,531,553 | | |
JPM | | JPNBRMV3 | | | 0.31 | % | | | (0.01 | )% | | OBFR | | 3M/T | | 5/6/2022 | | | (34,452,277 | ) | |
Total | | | | | | | | | | | | | | $ | 32,860,508 | | |
(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. | | | (16,941 | ) | | $ | (2,251,184 | ) | | $ | (333,196 | ) | | | 3.1 | % | |
Nucor Corp. | | | (3,235 | ) | | | (1,640,710 | ) | | | (242,840 | ) | | | 2.2 | % | |
Mosaic Co./The | | | (7,309 | ) | | | (1,495,065 | ) | | | (221,283 | ) | | | 2.0 | % | |
Albemarle Corp. | | | (2,352 | ) | | | (1,486,214 | ) | | | (219,974 | ) | | | 2.0 | % | |
See Notes to Consolidated Financial Statements
44
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBVL (cont'd) | |
United Rentals Inc. | | | (1,429 | ) | | $ | (1,482,337 | ) | | $ | (219,400 | ) | | | 2.0 | % | |
Coterra Energy Inc. | | | (15,411 | ) | | | (1,453,957 | ) | | | (215,199 | ) | | | 2.0 | % | |
| SVB Financial Group | | | (828 | ) | | | (1,323,643 | ) | | | (195,911 | ) | | | 1.8 | % | |
Devon Energy Corp. | | | (6,868 | ) | | | (1,309,283 | ) | | | (193,786 | ) | | | 1.8 | % | |
Bath & Body Works Inc. | | | (7,238 | ) | | | (1,254,587 | ) | | | (185,691 | ) | | | 1.7 | % | |
Kroger Co./The | | | (7,083 | ) | | | (1,252,488 | ) | | | (185,380 | ) | | | 1.7 | % | |
McKesson Corp. | | | (1,178 | ) | | | (1,194,767 | ) | | | (176,837 | ) | | | 1.6 | % | |
Ameriprise Financial Inc. | | | (1,253 | ) | | | (1,090,023 | ) | | | (161,334 | ) | | | 1.5 | % | |
LKQ Corp. | | | (6,492 | ) | | | (1,055,831 | ) | | | (156,273 | ) | | | 1.4 | % | |
Marathon Oil Corp. | | | (12,833 | ) | | | (1,048,000 | ) | | | (155,114 | ) | | | 1.4 | % | |
CF Industries Holdings Inc. | | | (3,236 | ) | | | (1,026,933 | ) | | | (151,996 | ) | | | 1.4 | % | |
APA Corp. | | | (7,517 | ) | | | (1,008,278 | ) | | | (149,235 | ) | | | 1.4 | % | |
WW Grainger Inc. | | | (615 | ) | | | (1,008,111 | ) | | | (149,210 | ) | | | 1.4 | % | |
Seagate Technology Holdings PLC | | | (3,680 | ) | | | (989,390 | ) | | | (146,439 | ) | | | 1.4 | % | |
Halliburton Co. | | | (8,461 | ) | | | (987,623 | ) | | | (146,177 | ) | | | 1.3 | % | |
DaVita Inc. | | | (2,767 | ) | | | (982,613 | ) | | | (145,436 | ) | | | 1.3 | % | |
Iron Mountain Inc. | | | (5,401 | ) | | | (950,947 | ) | | | (140,749 | ) | | | 1.3 | % | |
Hess Corp. | | | (2,725 | ) | | | (920,487 | ) | | | (136,241 | ) | | | 1.3 | % | |
Parker-Hannifin Corp. | | | (1,005 | ) | | | (891,516 | ) | | | (131,953 | ) | | | 1.2 | % | |
Packaging Corp of America | | | (1,633 | ) | | | (862,262 | ) | | | (127,623 | ) | | | 1.2 | % | |
First Republic Bank/CA | | | (1,749 | ) | | | (855,521 | ) | | | (126,625 | ) | | | 1.2 | % | |
Affiliated Managers Group Inc. | | | (2,064 | ) | | | (849,146 | ) | | | (125,682 | ) | | | 1.2 | % | |
Capri Holdings Ltd. | | | (5,329 | ) | | | (832,955 | ) | | | (123,285 | ) | | | 1.1 | % | |
Interpublic Group of Cos Inc./The | | | (7,791 | ) | | | (832,855 | ) | | | (123,270 | ) | | | 1.1 | % | |
Lennar Corp. | | | (3,302 | ) | | | (827,682 | ) | | | (122,505 | ) | | | 1.1 | % | |
Eastman Chemical Co. | | | (2,451 | ) | | | (824,738 | ) | | | (122,069 | ) | | | 1.1 | % | |
Textron Inc. | | | (3,531 | ) | | | (801,331 | ) | | | (118,604 | ) | | | 1.1 | % | |
Skyworks Solutions Inc. | | | (2,131 | ) | | | (791,157 | ) | | | (117,099 | ) | | | 1.1 | % | |
Newell Brands Inc. | | | (10,426 | ) | | | (791,005 | ) | | | (117,076 | ) | | | 1.1 | % | |
Laboratory Corp of America Holdings | | | (1,001 | ) | | | (788,458 | ) | | | (116,699 | ) | | | 1.1 | % | |
Westrock Co. | | | (4,813 | ) | | | (781,177 | ) | | | (115,621 | ) | | | 1.1 | % | |
Sealed Air Corp. | | | (3,677 | ) | | | (773,688 | ) | | | (114,513 | ) | | | 1.1 | % | |
Williams Cos Inc./The | | | (6,884 | ) | | | (773,595 | ) | | | (114,499 | ) | | | 1.1 | % | |
Dow Inc. | | | (3,541 | ) | | | (771,604 | ) | | | (114,205 | ) | | | 1.1 | % | |
Valero Energy Corp. | | | (2,094 | ) | | | (764,986 | ) | | | (113,225 | ) | | | 1.0 | % | |
Regions Financial Corp. | | | (11,258 | ) | | | (764,435 | ) | | | (113,143 | ) | | | 1.0 | % | |
LyondellBasell Industries NV | | | (2,190 | ) | | | (760,989 | ) | | | (112,633 | ) | | | 1.0 | % | |
Fifth Third Bancorp. | | | (6,176 | ) | | | (759,598 | ) | | | (112,428 | ) | | | 1.0 | % | |
Fortune Brands Home & Security Inc. | | | (3,185 | ) | | | (743,673 | ) | | | (110,071 | ) | | | 1.0 | % | |
Zions Bancorp NA | | | (3,946 | ) | | | (730,753 | ) | | | (108,158 | ) | | | 1.0 | % | |
Whirlpool Corp. | | | (1,210 | ) | | | (719,536 | ) | | | (106,498 | ) | | | 1.0 | % | |
Quest Diagnostics Inc. | | | (1,639 | ) | | | (718,857 | ) | | | (106,398 | ) | | | 1.0 | % | |
See Notes to Consolidated Financial Statements
45
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSCBNBVL (cont'd) | |
AES Corp./The | | | (10,608 | ) | | $ | (709,840 | ) | | $ | (105,063 | ) | | | 1.0 | % | |
Cardinal Health Inc. | | | (3,725 | ) | | | (708,608 | ) | | | (104,881 | ) | | | 1.0 | % | |
Comerica Inc. | | | (2,637 | ) | | | (707,774 | ) | | | (104,757 | ) | | | 1.0 | % | |
eBay Inc. | | | (4,097 | ) | | | (697,021 | ) | | | (103,166 | ) | | | 1.0 | % | |
Other Securities | | | (244,715 | ) | | | (24,229,194 | ) | | | (3,586,142 | ) | | | 33.0 | % | |
| | | | | $ | (73,276,425 | ) | | $ | (10,845,592 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (33,280 | ) | | | |
| | | | | | | $ | (10,878,872 | ) | | | |
GSNBLIPO | |
Airbnb Inc. | | | (637 | ) | | $ | (1,010,857 | ) | | $ | 760,616 | | | | 5.2 | % | |
Ryan Specialty Group Holdings Inc. | | | (1,729 | ) | | | (662,727 | ) | | | 498,667 | | | | 3.4 | % | |
XPeng Inc. | | | (2,352 | ) | | | (599,900 | ) | | | 451,393 | | | | 3.1 | % | |
Snowflake Inc. | | | (331 | ) | | | (588,560 | ) | | | 442,860 | | | | 3.1 | % | |
Duolingo Inc. | | | (572 | ) | | | (512,581 | ) | | | 385,690 | | | | 2.7 | % | |
SentinelOne Inc. | | | (1,341 | ) | | | (462,267 | ) | | | 347,831 | | | | 2.4 | % | |
Unity Software Inc. | | | (630 | ) | | | (433,475 | ) | | | 326,167 | | | | 2.3 | % | |
DigitalOcean Holdings Inc. | | | (1,058 | ) | | | (432,252 | ) | | | 325,246 | | | | 2.2 | % | |
Bumble Inc. | | | (1,650 | ) | | | (410,137 | ) | | | 308,607 | | | | 2.1 | % | |
Affirm Holdings Inc. | | | (1,302 | ) | | | (387,243 | ) | | | 291,380 | | | | 2.0 | % | |
Driven Brands Holdings Inc. | | | (1,336 | ) | | | (386,087 | ) | | | 290,510 | | | | 2.0 | % | |
Atotech Ltd. | | | (1,745 | ) | | | (385,288 | ) | | | 289,909 | | | | 2.0 | % | |
DoorDash Inc. | | | (437 | ) | | | (369,185 | ) | | | 277,792 | | | | 1.9 | % | |
Lufax Holding Ltd. | | | (6,396 | ) | | | (367,928 | ) | | | 276,847 | | | | 1.9 | % | |
Endeavor Group Holdings Inc. | | | (1,531 | ) | | | (360,950 | ) | | | 271,596 | | | | 1.9 | % | |
Leslie's Inc. | | | (1,669 | ) | | | (339,134 | ) | | | 255,181 | | | | 1.8 | % | |
Ortho Clinical Diagnostics Holdings PLC | | | (1,852 | ) | | | (337,998 | ) | | | 254,326 | | | | 1.8 | % | |
Allegro MicroSystems Inc. | | | (1,335 | ) | | | (336,425 | ) | | | 253,142 | | | | 1.7 | % | |
Full Truck Alliance Co Ltd. | | | (5,089 | ) | | | (318,031 | ) | | | 239,301 | | | | 1.6 | % | |
Broadstone Net Lease Inc. | | | (1,442 | ) | | | (309,210 | ) | | | 232,664 | | | | 1.6 | % | |
Hayward Holdings Inc. | | | (1,770 | ) | | | (291,699 | ) | | | 219,488 | | | | 1.5 | % | |
C3.ai Inc. | | | (1,610 | ) | | | (283,469 | ) | | | 213,295 | | | | 1.5 | % | |
JFrog Ltd. | | | (1,290 | ) | | | (279,087 | ) | | | 209,999 | | | | 1.4 | % | |
Playtika Holding Corp. | | | (1,527 | ) | | | (278,196 | ) | | | 209,328 | | | | 1.4 | % | |
DoubleVerify Holdings Inc. | | | (1,165 | ) | | | (262,571 | ) | | | 197,571 | | | | 1.4 | % | |
Sotera Health Co. | | | (1,239 | ) | | | (261,648 | ) | | | 196,876 | | | | 1.4 | % | |
GoodRx Holdings Inc. | | | (1,859 | ) | | | (261,071 | ) | | | 196,442 | | | | 1.4 | % | |
ACV Auctions Inc. | | | (1,875 | ) | | | (259,400 | ) | | | 195,185 | | | | 1.3 | % | |
UiPath Inc. | | | (1,388 | ) | | | (256,524 | ) | | | 193,021 | | | | 1.3 | % | |
Datto Holding Corp. | | | (709 | ) | | | (254,970 | ) | | | 191,852 | | | | 1.3 | % | |
Petco Health & Wellness Co Inc. | | | (1,259 | ) | | | (251,345 | ) | | | 189,124 | | | | 1.3 | % | |
Certara Inc. | | | (1,304 | ) | | | (248,025 | ) | | | 186,626 | | | | 1.3 | % | |
Qualtrics International Inc. | | | (1,279 | ) | | | (245,734 | ) | | | 184,902 | | | | 1.3 | % | |
See Notes to Consolidated Financial Statements
46
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSNBLIPO (cont'd) | |
Clear Secure Inc. | | | (769 | ) | | $ | (242,609 | ) | | $ | 182,550 | | | | 1.3 | % | |
AppLovin Corp. | | | (585 | ) | | | (231,382 | ) | | | 174,102 | | | | 1.2 | % | |
DiDi Global Inc. | | | (11,778 | ) | | | (229,490 | ) | | | 172,679 | | | | 1.2 | % | |
Figs Inc. | | | (1,405 | ) | | | (227,985 | ) | | | 171,547 | | | | 1.2 | % | |
Shoals Technologies Group Inc. | | | (2,133 | ) | | | (220,656 | ) | | | 166,032 | | | | 1.1 | % | |
StepStone Group Inc. | | | (814 | ) | | | (216,128 | ) | | | 162,625 | | | | 1.1 | % | |
ContextLogic Inc. | | | (12,252 | ) | | | (215,877 | ) | | | 162,436 | | | | 1.1 | % | |
Maravai LifeSciences Holdings Inc. | | | (652 | ) | | | (207,601 | ) | | | 156,209 | | | | 1.1 | % | |
Coursera Inc. | | | (1,024 | ) | | | (199,713 | ) | | | 150,273 | | | | 1.0 | % | |
agilon health Inc. | | | (1,073 | ) | | | (197,670 | ) | | | 148,736 | | | | 1.0 | % | |
Olink Holding AB | | | (1,302 | ) | | | (195,327 | ) | | | 146,973 | | | | 1.0 | % | |
LifeStance Health Group Inc. | | | (2,773 | ) | | | (194,604 | ) | | | 146,429 | | | | 1.0 | % | |
Sumo Logic Inc. | | | (1,931 | ) | | | (187,728 | ) | | | 141,256 | | | | 1.0 | % | |
Duckhorn Portfolio Inc./The | | | (918 | ) | | | (184,730 | ) | | | 138,999 | | | | 1.0 | % | |
Dlocal Ltd./Uruguay | | | (757 | ) | | | (177,884 | ) | | | 133,848 | | | | 0.9 | % | |
Xometry Inc. | | | (508 | ) | | | (172,794 | ) | | | 130,019 | | | | 0.9 | % | |
Oscar Health Inc. | | | (2,165 | ) | | | (165,123 | ) | | | 124,246 | | | | 0.9 | % | |
Other Securities | | | (56,649 | ) | | | (3,367,834 | ) | | | 2,534,114 | | | | 17.5 | % | |
| | | | | $ | (19,279,109 | ) | | $ | 14,506,507 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 10,723 | | | | |
| | | | | | | $ | 14,517,230 | | | | |
GSNBSPC4 | |
QuantumScape Corp. | | | (6,509 | ) | | $ | (1,281,388 | ) | | $ | 204,391 | | | | 6.3 | % | |
Canoo Inc. | | | (18,284 | ) | | | (1,156,480 | ) | | | 184,467 | | | | 5.7 | % | |
Ardagh Metal Packaging SA | | | (11,783 | ) | | | (1,107,108 | ) | | | 176,592 | | | | 5.4 | % | |
Planet Labs PBC | | | (16,545 | ) | | | (1,096,655 | ) | | | 174,925 | | | | 5.4 | % | |
FREYR Battery SA | | | (9,187 | ) | | | (1,087,126 | ) | | | 173,405 | | | | 5.3 | % | |
Proterra Inc. | | | (13,249 | ) | | | (1,084,169 | ) | | | 172,933 | | | | 5.3 | % | |
WeWork Inc. | | | (11,639 | ) | | | (1,075,121 | ) | | | 171,490 | | | | 5.3 | % | |
Aurora Innovation Inc. | | | (18,593 | ) | | | (1,043,734 | ) | | | 166,483 | | | | 5.1 | % | |
Blade Air Mobility Inc. | | | (8,945 | ) | | | (1,014,916 | ) | | | 161,887 | | | | 5.0 | % | |
ironSource Ltd. | | | (16,519 | ) | | | (833,708 | ) | | | 132,983 | | | | 4.1 | % | |
SomaLogic Inc. | | | (9,719 | ) | | | (809,413 | ) | | | 129,108 | | | | 4.0 | % | |
Genius Sports Ltd. | | | (15,842 | ) | | | (797,462 | ) | | | 127,201 | | | | 3.9 | % | |
Butterfly Network Inc. | | | (17,546 | ) | | | (769,946 | ) | | | 122,812 | | | | 3.8 | % | |
AST SpaceMobile Inc. | | | (7,701 | ) | | | (764,151 | ) | | | 121,888 | | | | 3.8 | % | |
BTRS Holdings Inc. | | | (8,158 | ) | | | (722,395 | ) | | | 115,228 | | | | 3.5 | % | |
PLBY Group Inc. | | | (6,145 | ) | | | (715,791 | ) | | | 114,174 | | | | 3.5 | % | |
DocGo Inc. | | | (7,397 | ) | | | (684,255 | ) | | | 109,144 | | | | 3.4 | % | |
Hillman Solutions Corp. | | | (4,248 | ) | | | (651,016 | ) | | | 103,842 | | | | 3.2 | % | |
Arrival SA | | | (22,996 | ) | | | (584,834 | ) | | | 93,285 | | | | 2.9 | % | |
Algoma Steel Group Inc. | | | (4,128 | ) | | | (520,584 | ) | | | 83,037 | | | | 2.6 | % | |
See Notes to Consolidated Financial Statements
47
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
GSNBSPC4 (cont'd) | |
Taboola.com Ltd. | | | (6,635 | ) | | $ | (376,841 | ) | | $ | 60,109 | | | | 1.9 | % | |
Golden Nugget Online Gaming Inc. | | | (5,694 | ) | | | (375,917 | ) | | | 59,962 | | | | 1.8 | % | |
Vacasa Inc. | | | (3,842 | ) | | | (369,530 | ) | | | 58,943 | | | | 1.8 | % | |
GCM Grosvenor Inc. | | | (2,607 | ) | | | (283,379 | ) | | | 45,201 | | | | 1.4 | % | |
Advantage Solutions Inc. | | | (3,936 | ) | | | (260,917 | ) | | | 41,618 | | | | 1.3 | % | |
Skillsoft Corp. | | | (3,418 | ) | | | (240,996 | ) | | | 38,441 | | | | 1.2 | % | |
Vintage Wine Estates Inc. | | | (1,542 | ) | | | (209,921 | ) | | | 33,484 | | | | 1.0 | % | |
Whole Earth Brands Inc. | | | (1,738 | ) | | | (158,253 | ) | | | 25,242 | | | | 0.8 | % | |
CareMax Inc. | | | (1,688 | ) | | | (146,619 | ) | | | 23,387 | | | | 0.7 | % | |
Tango Therapeutics Inc. | | | (1,167 | ) | | | (113,225 | ) | | | 18,060 | | | | 0.6 | % | |
| | | | | $ | (20,335,850 | ) | | $ | 3,243,722 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (32,926 | ) | | | |
| | | | | | | $ | 3,210,796 | | | | |
JPNBGCND | |
Amazon.com Inc. | | | (3,636 | ) | | $ | (10,557,460 | ) | | $ | 2,258,108 | | | | 19.9 | % | |
Home Depot Inc./The | | | (7,956 | ) | | | (2,792,119 | ) | | | 597,199 | | | | 5.3 | % | |
Toyota Motor Corp. | | | (114,496 | ) | | | (2,305,809 | ) | | | 493,183 | | | | 4.3 | % | |
McDonald's Corp. | | | (6,942 | ) | | | (2,020,666 | ) | | | 432,195 | | | | 3.8 | % | |
LVMH Moet Hennessy Louis Vuitton SE | | | (2,609 | ) | | | (1,991,752 | ) | | | 426,011 | | | | 3.8 | % | |
Lowe's Cos Inc. | | | (7,592 | ) | | | (1,753,615 | ) | | | 375,076 | | | | 3.3 | % | |
NIKE Inc. | | | (11,930 | ) | | | (1,738,006 | ) | | | 371,738 | | | | 3.3 | % | |
Target Corp. | | | (4,969 | ) | | | (1,327,225 | ) | | | 283,877 | | | | 2.5 | % | |
Sony Group Corp. | | | (12,310 | ) | | | (1,244,239 | ) | | | 266,127 | | | | 2.3 | % | |
Booking Holdings Inc. | | | (446 | ) | | | (1,151,640 | ) | | | 246,321 | | | | 2.2 | % | |
Starbucks Corp. | | | (12,023 | ) | | | (1,048,341 | ) | | | 224,227 | | | | 2.0 | % | |
TJX Cos Inc./The | | | (12,477 | ) | | | (893,210 | ) | | | 191,046 | | | | 1.7 | % | |
Mercedes-Benz Group AG | | | (10,577 | ) | | | (874,642 | ) | | | 187,075 | | | | 1.6 | % | |
Cie Financiere Richemont SA | | | (5,779 | ) | | | (801,996 | ) | | | 171,537 | | | | 1.5 | % | |
AutoZone Inc. | | | (307 | ) | | | (702,315 | ) | | | 150,216 | | | | 1.3 | % | |
Dollar General Corp. | | | (2,525 | ) | | | (700,582 | ) | | | 149,846 | | | | 1.3 | % | |
Ford Motor Co. | | | (41,592 | ) | | | (688,017 | ) | | | 147,158 | | | | 1.3 | % | |
O'Reilly Automotive Inc. | | | (882 | ) | | | (624,846 | ) | | | 133,647 | | | | 1.2 | % | |
eBay Inc. | | | (10,228 | ) | | | (620,401 | ) | | | 132,696 | | | | 1.2 | % | |
Hermes International | | | (416 | ) | | | (608,545 | ) | | | 130,160 | | | | 1.1 | % | |
Hilton Worldwide Holdings Inc. | | | (3,348 | ) | | | (607,365 | ) | | | 129,908 | | | | 1.1 | % | |
General Motors Co. | | | (13,672 | ) | | | (605,507 | ) | | | 129,510 | | | | 1.1 | % | |
Chipotle Mexican Grill Inc. | | | (355 | ) | | | (602,877 | ) | | | 128,948 | | | | 1.1 | % | |
Marriott International Inc./MD | | | (2,885 | ) | | | (598,292 | ) | | | 127,967 | | | | 1.1 | % | |
Compass Group PLC | | | (22,557 | ) | | | (564,128 | ) | | | 120,660 | | | | 1.1 | % | |
Honda Motor Co Ltd. | | | (17,194 | ) | | | (529,573 | ) | | | 113,269 | | | | 1.0 | % | |
Kering SA | | | (815 | ) | | | (515,427 | ) | | | 110,243 | | | | 1.0 | % | |
Yum! Brands Inc. | | | (3,657 | ) | | | (499,958 | ) | | | 106,935 | | | | 0.9 | % | |
See Notes to Consolidated Financial Statements
48
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBGCND (cont'd) | |
Ross Stores Inc. | | | (4,252 | ) | | $ | (495,569 | ) | | $ | 105,996 | | | | 0.9 | % | |
Oriental Land Co Ltd./Japan | | | (2,750 | ) | | | (489,866 | ) | | | 104,776 | | | | 0.9 | % | |
Aptiv PLC | | | (3,850 | ) | | | (478,584 | ) | | | 102,363 | | | | 0.9 | % | |
Dollar Tree Inc. | | | (2,436 | ) | | | (462,387 | ) | | | 98,899 | | | | 0.9 | % | |
adidas AG | | | (1,787 | ) | | | (426,658 | ) | | | 91,257 | | | | 0.8 | % | |
Denso Corp. | | | (5,850 | ) | | | (419,344 | ) | | | 89,692 | | | | 0.8 | % | |
Bayerische Motoren Werke AG | | | (4,326 | ) | | | (418,539 | ) | | | 89,520 | | | | 0.8 | % | |
Volkswagen AG | | | (2,202 | ) | | | (404,279 | ) | | | 86,470 | | | | 0.8 | % | |
DR Horton Inc. | | | (4,916 | ) | | | (399,645 | ) | | | 85,479 | | | | 0.8 | % | |
Michelin | | | (2,691 | ) | | | (394,765 | ) | | | 84,435 | | | | 0.7 | % | |
Lennar Corp. | | | (4,122 | ) | | | (368,374 | ) | | | 78,791 | | | | 0.7 | % | |
Bandai Namco Holdings Inc. | | | (4,239 | ) | | | (338,275 | ) | | | 72,353 | | | | 0.6 | % | |
Magna International Inc. | | | (4,700 | ) | | | (331,683 | ) | | | 70,943 | | | | 0.6 | % | |
Fast Retailing Co Ltd. | | | (609 | ) | | | (329,797 | ) | | | 70,539 | | | | 0.6 | % | |
MGM Resorts International | | | (6,846 | ) | | | (328,213 | ) | | | 70,201 | | | | 0.6 | % | |
Expedia Group Inc. | | | (1,598 | ) | | | (326,323 | ) | | | 69,796 | | | | 0.6 | % | |
Ulta Beauty Inc. | | | (687 | ) | | | (318,564 | ) | | | 68,137 | | | | 0.6 | % | |
Genuine Parts Co. | | | (2,079 | ) | | | (315,798 | ) | | | 67,545 | | | | 0.6 | % | |
Best Buy Co Inc. | | | (2,956 | ) | | | (310,572 | ) | | | 66,427 | | | | 0.6 | % | |
Panasonic Holdings Corp. | | | (29,503 | ) | | | (308,439 | ) | | | 65,971 | | | | 0.6 | % | |
Industria de Diseno Textil SA | | | (12,231 | ) | | | (302,970 | ) | | | 64,802 | | | | 0.6 | % | |
LKQ Corp. | | | (5,033 | ) | | | (291,799 | ) | | | 62,412 | | | | 0.5 | % | |
Other Securities | | | (262,562 | ) | | | (5,836,549 | ) | | | 1,248,364 | | | | 11.2 | % | |
| | | | | $ | (53,065,545 | ) | | $ | 11,350,051 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | (1,020 | ) | | | |
| | | | | | | $ | 11,349,031 | | | | |
JPNBLQGS | |
Zendesk Inc. | | | (6,881 | ) | | $ | (2,543,147 | ) | | $ | 810,709 | | | | 1.7 | % | |
Sabre Corp. | | | (79,537 | ) | | | (2,521,803 | ) | | | 803,905 | | | | 1.7 | % | |
GoDaddy Inc. | | | (10,063 | ) | | | (2,462,499 | ) | | | 784,999 | | | | 1.7 | % | |
Sprouts Farmers Market Inc. | | | (23,895 | ) | | | (2,156,332 | ) | | | 687,399 | | | | 1.5 | % | |
Palo Alto Networks Inc. | | | (1,264 | ) | | | (2,148,206 | ) | | | 684,809 | | | | 1.5 | % | |
Pure Storage Inc. | | | (23,599 | ) | | | (2,093,863 | ) | | | 667,485 | | | | 1.4 | % | |
Zynga Inc. | | | (79,259 | ) | | | (1,984,940 | ) | | | 632,762 | | | | 1.4 | % | |
Performance Food Group Co. | | | (13,279 | ) | | | (1,980,414 | ) | | | 631,320 | | | | 1.4 | % | |
II-VI Inc. | | | (10,546 | ) | | | (1,954,769 | ) | | | 623,145 | | | | 1.3 | % | |
Jabil Inc. | | | (10,937 | ) | | | (1,912,108 | ) | | | 609,545 | | | | 1.3 | % | |
Lumentum Holdings Inc. | | | (7,462 | ) | | | (1,835,054 | ) | | | 584,981 | | | | 1.3 | % | |
Dropbox Inc. | | | (26,628 | ) | | | (1,753,819 | ) | | | 559,086 | | | | 1.2 | % | |
Live Nation Entertainment Inc. | | | (5,180 | ) | | | (1,645,079 | ) | | | 524,421 | | | | 1.1 | % | |
Marvell Technology Inc. | | | (9,314 | ) | | | (1,638,246 | ) | | | 522,243 | | | | 1.1 | % | |
Crowdstrike Holdings Inc. | | | (2,700 | ) | | | (1,624,886 | ) | | | 517,984 | | | | 1.1 | % | |
See Notes to Consolidated Financial Statements
49
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
Microchip Technology Inc. | | | (8,156 | ) | | $ | (1,610,441 | ) | | $ | 513,379 | | | | 1.1 | % | |
NXP Semiconductors NV | | | (3,098 | ) | | | (1,603,359 | ) | | | 511,122 | | | | 1.1 | % | |
Wolfspeed Inc. | | | (5,535 | ) | | | (1,537,188 | ) | | | 490,027 | | | | 1.1 | % | |
Nutanix Inc. | | | (20,244 | ) | | | (1,534,416 | ) | | | 489,144 | | | | 1.1 | % | |
Twitter Inc. | | | (10,296 | ) | | | (1,528,399 | ) | | | 487,226 | | | | 1.0 | % | |
New York Times Co./The | | | (13,122 | ) | | | (1,522,687 | ) | | | 485,405 | | | | 1.0 | % | |
Paramount Global | | | (16,733 | ) | | | (1,475,537 | ) | | | 470,374 | | | | 1.0 | % | |
Monolithic Power Systems Inc. | | | (1,239 | ) | | | (1,471,856 | ) | | | 469,201 | | | | 1.0 | % | |
F5 Inc. | | | (2,897 | ) | | | (1,468,903 | ) | | | 468,259 | | | | 1.0 | % | |
MongoDB Inc. | | | (1,336 | ) | | | (1,436,014 | ) | | | 457,775 | | | | 1.0 | % | |
Coty Inc. | | | (58,239 | ) | | | (1,430,317 | ) | | | 455,959 | | | | 1.0 | % | |
Silicon Laboratories Inc. | | | (3,407 | ) | | | (1,391,803 | ) | | | 443,681 | | | | 1.0 | % | |
Electronic Arts Inc. | | | (3,868 | ) | | | (1,382,834 | ) | | | 440,822 | | | | 0.9 | % | |
Datadog Inc. | | | (3,766 | ) | | | (1,377,473 | ) | | | 439,113 | | | | 0.9 | % | |
AmerisourceBergen Corp. | | | (2,864 | ) | | | (1,312,052 | ) | | | 418,258 | | | | 0.9 | % | |
Azenta Inc. | | | (5,628 | ) | | | (1,277,573 | ) | | | 407,267 | | | | 0.9 | % | |
Enphase Energy Inc. | | | (2,606 | ) | | | (1,273,701 | ) | | | 406,033 | | | | 0.9 | % | |
Maximus Inc. | | | (5,624 | ) | | | (1,241,121 | ) | | | 395,647 | | | | 0.8 | % | |
Dynatrace Inc. | | | (10,488 | ) | | | (1,218,389 | ) | | | 388,400 | | | | 0.8 | % | |
Zscaler Inc. | | | (1,981 | ) | | | (1,216,301 | ) | | | 387,735 | | | | 0.8 | % | |
United Natural Foods Inc. | | | (8,972 | ) | | | (1,166,458 | ) | | | 371,845 | | | | 0.8 | % | |
Trade Desk Inc./The | | | (6,404 | ) | | | (1,142,572 | ) | | | 364,231 | | | | 0.8 | % | |
iHeartMedia Inc. | | | (23,522 | ) | | | (1,138,965 | ) | | | 363,081 | | | | 0.8 | % | |
Synaptics Inc. | | | (2,504 | ) | | | (1,125,368 | ) | | | 358,747 | | | | 0.8 | % | |
Okta Inc. | | | (3,101 | ) | | | (1,120,261 | ) | | | 357,119 | | | | 0.8 | % | |
Incyte Corp. | | | (4,841 | ) | | | (1,098,945 | ) | | | 350,324 | | | | 0.8 | % | |
Take-Two Interactive Software Inc. | | | (3,027 | ) | | | (1,095,520 | ) | | | 349,232 | | | | 0.7 | % | |
Avalara Inc. | | | (4,725 | ) | | | (1,088,539 | ) | | | 347,006 | | | | 0.7 | % | |
StoneCo Ltd. | | | (38,100 | ) | | | (1,086,853 | ) | | | 346,469 | | | | 0.7 | % | |
Bill.com Holdings Inc. | | | (2,092 | ) | | | (1,081,286 | ) | | | 344,694 | | | | 0.7 | % | |
HubSpot Inc. | | | (896 | ) | | | (1,029,419 | ) | | | 328,160 | | | | 0.7 | % | |
Centene Corp. | | | (4,152 | ) | | | (1,012,888 | ) | | | 322,890 | | | | 0.7 | % | |
Lions Gate Entertainment Corp. | | | (26,538 | ) | | | (1,010,186 | ) | | | 322,029 | | | | 0.7 | % | |
Elastic NV | | | (4,343 | ) | | | (1,001,384 | ) | | | 319,223 | | | | 0.7 | % | |
Snowflake Inc. | | | (1,927 | ) | | | (1,000,353 | ) | | | 318,894 | | | | 0.7 | % | |
Other Securities | | | (582,194 | ) | | | (71,361,017 | ) | | | 22,748,585 | | | | 48.9 | % | |
| | | | | $ | (146,125,543 | ) | | $ | 46,582,149 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 898 | | | | |
| | | | | | | $ | 46,583,047 | | | | |
See Notes to Consolidated Financial Statements
50
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS | |
Zendesk Inc. | | | (402 | ) | | $ | (148,423 | ) | | $ | 39,400 | | | | 1.7 | % | |
Sabre Corp. | | | (4,642 | ) | | | (147,177 | ) | | | 39,069 | | | | 1.7 | % | |
GoDaddy Inc. | | | (587 | ) | | | (143,716 | ) | | | 38,150 | | | | 1.7 | % | |
Sprouts Farmers Market Inc. | | | (1,395 | ) | | | (125,848 | ) | | | 33,407 | | | | 1.5 | % | |
Palo Alto Networks Inc. | | | (74 | ) | | | (125,373 | ) | | | 33,281 | | | | 1.5 | % | |
Pure Storage Inc. | | | (1,377 | ) | | | (122,202 | ) | | | 32,439 | | | | 1.4 | % | |
Zynga Inc. | | | (4,626 | ) | | | (115,845 | ) | | | 30,752 | | | | 1.4 | % | |
Performance Food Group Co. | | | (775 | ) | | | (115,581 | ) | | | 30,682 | | | | 1.4 | % | |
II-VI Inc. | | | (615 | ) | | | (114,084 | ) | | | 30,284 | | | | 1.3 | % | |
Jabil Inc. | | | (638 | ) | | | (111,594 | ) | | | 29,623 | | | | 1.3 | % | |
Lumentum Holdings Inc. | | | (435 | ) | | | (107,097 | ) | | | 28,430 | | | | 1.3 | % | |
Dropbox Inc. | | | (1,554 | ) | | | (102,356 | ) | | | 27,171 | | | | 1.2 | % | |
Live Nation Entertainment Inc. | | | (302 | ) | | | (96,010 | ) | | | 25,486 | | | | 1.1 | % | |
Marvell Technology Inc. | | | (544 | ) | | | (95,611 | ) | | | 25,381 | | | | 1.1 | % | |
Crowdstrike Holdings Inc. | | | (158 | ) | | | (94,831 | ) | | | 25,174 | | | | 1.1 | % | |
Microchip Technology Inc. | | | (476 | ) | | | (93,988 | ) | | | 24,950 | | | | 1.1 | % | |
NXP Semiconductors NV | | | (181 | ) | | | (93,575 | ) | | | 24,840 | | | | 1.1 | % | |
Wolfspeed Inc. | | | (323 | ) | | | (89,713 | ) | | | 23,815 | | | | 1.1 | % | |
Nutanix Inc. | | | (1,181 | ) | | | (89,551 | ) | | | 23,772 | | | | 1.1 | % | |
Twitter Inc. | | | (601 | ) | | | (89,200 | ) | | | 23,679 | | | | 1.0 | % | |
New York Times Co./The | | | (766 | ) | | | (88,867 | ) | | | 23,590 | | | | 1.0 | % | |
Paramount Global | | | (977 | ) | | | (86,115 | ) | | | 22,860 | | | | 1.0 | % | |
Monolithic Power Systems Inc. | | | (72 | ) | | | (85,900 | ) | | | 22,803 | | | | 1.0 | % | |
F5 Inc. | | | (169 | ) | | | (85,728 | ) | | | 22,757 | | | | 1.0 | % | |
MongoDB Inc. | | | (78 | ) | | | (83,808 | ) | | | 22,247 | | | | 1.0 | % | |
Coty Inc. | | | (3,399 | ) | | | (83,476 | ) | | | 22,159 | | | | 1.0 | % | |
Silicon Laboratories Inc. | | | (199 | ) | | | (81,228 | ) | | | 21,563 | | | | 1.0 | % | |
Electronic Arts Inc. | | | (226 | ) | | | (80,705 | ) | | | 21,424 | | | | 0.9 | % | |
Datadog Inc. | | | (220 | ) | | | (80,392 | ) | | | 21,341 | | | | 0.9 | % | |
AmerisourceBergen Corp. | | | (167 | ) | | | (76,574 | ) | | | 20,327 | | | | 0.9 | % | |
Azenta Inc. | | | (328 | ) | | | (74,562 | ) | | | 19,793 | | | | 0.9 | % | |
Enphase Energy Inc. | | | (152 | ) | | | (74,336 | ) | | | 19,733 | | | | 0.9 | % | |
Maximus Inc. | | | (328 | ) | | | (72,434 | ) | | | 19,228 | | | | 0.8 | % | |
Dynatrace Inc. | | | (612 | ) | | | (71,107 | ) | | | 18,876 | | | | 0.8 | % | |
Zscaler Inc. | | | (116 | ) | | | (70,986 | ) | | | 18,844 | | | | 0.8 | % | |
United Natural Foods Inc. | | | (524 | ) | | | (68,077 | ) | | | 18,071 | | | | 0.8 | % | |
Trade Desk Inc./The | | | (374 | ) | | | (66,683 | ) | | | 17,701 | | | | 0.8 | % | |
iHeartMedia Inc. | | | (1,373 | ) | | | (66,472 | ) | | | 17,645 | | | | 0.8 | % | |
Synaptics Inc. | | | (146 | ) | | | (65,679 | ) | | | 17,435 | | | | 0.8 | % | |
Okta Inc. | | | (181 | ) | | | (65,381 | ) | | | 17,356 | | | | 0.8 | % | |
Incyte Corp. | | | (283 | ) | | | (64,136 | ) | | | 17,025 | | | | 0.8 | % | |
Take-Two Interactive Software Inc. | | | (177 | ) | | | (63,937 | ) | | | 16,972 | | | | 0.7 | % | |
See Notes to Consolidated Financial Statements
51
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBLQGS (cont'd) | |
Avalara Inc. | | | (276 | ) | | $ | (63,529 | ) | | $ | 16,864 | | | | 0.7 | % | |
StoneCo Ltd. | | | (2,224 | ) | | | (63,431 | ) | | | 16,838 | | | | 0.7 | % | |
Bill.com Holdings Inc. | | | (122 | ) | | | (63,106 | ) | | | 16,752 | | | | 0.7 | % | |
HubSpot Inc. | | | (52 | ) | | | (60,079 | ) | | | 15,948 | | | | 0.7 | % | |
Centene Corp. | | | (242 | ) | | | (59,114 | ) | | | 15,692 | | | | 0.7 | % | |
Lions Gate Entertainment Corp. | | | (1,549 | ) | | | (58,956 | ) | | | 15,650 | | | | 0.7 | % | |
Elastic NV | | | (253 | ) | | | (58,443 | ) | | | 15,514 | | | | 0.7 | % | |
Snowflake Inc. | | | (112 | ) | | | (58,382 | ) | | | 15,498 | | | | 0.7 | % | |
Other Securities | | | (33,977 | ) | | | (4,164,759 | ) | | | 1,105,563 | | | | 48.9 | % | |
| | | | | $ | (8,528,157 | ) | | $ | 2,263,854 | | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 267,699 | | | | |
| | | | | | | $ | 2,531,553 | | | | |
JPNBRMV3 | |
Freeport-McMoRan Inc. | | | (19,958 | ) | | | (1,992,236 | ) | | | (534,443 | ) | | | 1.5 | % | |
Newmont Corp. | | | (10,735 | ) | | | (1,925,241 | ) | | | (516,471 | ) | | | 1.5 | % | |
Archer-Daniels-Midland Co. | | | (7,578 | ) | | | (1,670,716 | ) | | | (448,191 | ) | | | 1.3 | % | |
Analog Devices Inc. | | | (4,229 | ) | | | (1,607,261 | ) | | | (431,168 | ) | | | 1.2 | % | |
Nucor Corp. | | | (4,151 | ) | | | (1,581,793 | ) | | | (424,336 | ) | | | 1.2 | % | |
Kroger Co./The | | | (10,654 | ) | | | (1,415,212 | ) | | | (379,649 | ) | | | 1.1 | % | |
Williams Cos Inc./The | | | (15,968 | ) | | | (1,347,922 | ) | | | (361,597 | ) | | | 1.0 | % | |
Devon Energy Corp. | | | (9,246 | ) | | | (1,323,999 | ) | | | (355,180 | ) | | | 1.0 | % | |
Agilent Technologies Inc. | | | (4,440 | ) | | | (1,303,679 | ) | | | (349,729 | ) | | | 1.0 | % | |
Roper Technologies Inc. | | | (1,126 | ) | | | (1,302,109 | ) | | | (349,307 | ) | | | 1.0 | % | |
Synopsys Inc. | | | (1,834 | ) | | | (1,294,935 | ) | | | (347,383 | ) | | | 1.0 | % | |
IQVIA Holdings Inc. | | | (2,409 | ) | | | (1,292,566 | ) | | | (346,747 | ) | | | 1.0 | % | |
Dollar Tree Inc. | | | (2,701 | ) | | | (1,080,001 | ) | | | (289,724 | ) | | | 0.8 | % | |
M&T Bank Corp. | | | (2,514 | ) | | | (1,031,324 | ) | | | (276,666 | ) | | | 0.8 | % | |
Ameriprise Financial Inc. | | | (1,568 | ) | | | (1,025,036 | ) | | | (274,979 | ) | | | 0.8 | % | |
Arthur J Gallagher & Co. | | | (2,467 | ) | | | (1,023,313 | ) | | | (274,517 | ) | | | 0.8 | % | |
Motorola Solutions Inc. | | | (1,943 | ) | | | (1,021,922 | ) | | | (274,144 | ) | | | 0.8 | % | |
Fidelity National Information Services Inc. | | | (4,067 | ) | | | (992,752 | ) | | | (266,318 | ) | | | 0.8 | % | |
Fifth Third Bancorp. | | | (10,579 | ) | | | (977,372 | ) | | | (262,193 | ) | | | 0.8 | % | |
Parker-Hannifin Corp. | | | (1,454 | ) | | | (969,180 | ) | | | (259,995 | ) | | | 0.8 | % | |
Willis Towers Watson PLC | | | (1,788 | ) | | | (945,542 | ) | | | (253,654 | ) | | | 0.7 | % | |
PACCAR Inc. | | | (4,588 | ) | | | (937,983 | ) | | | (251,626 | ) | | | 0.7 | % | |
Corning Inc. | | | (10,715 | ) | | | (928,226 | ) | | | (249,009 | ) | | | 0.7 | % | |
Republic Services Inc. | | | (2,757 | ) | | | (911,340 | ) | | | (244,479 | ) | | | 0.7 | % | |
Tyson Foods Inc. | | | (3,924 | ) | | | (899,901 | ) | | | (241,410 | ) | | | 0.7 | % | |
Hess Corp. | | | (3,547 | ) | | | (899,870 | ) | | | (241,402 | ) | | | 0.7 | % | |
Ball Corp. | | | (4,490 | ) | | | (897,039 | ) | | | (240,642 | ) | | | 0.7 | % | |
Keysight Technologies Inc. | | | (2,566 | ) | | | (886,118 | ) | | | (237,712 | ) | | | 0.7 | % | |
Hartford Financial Services Group Inc./The | | | (4,835 | ) | | | (832,323 | ) | | | (223,281 | ) | | | 0.6 | % | |
See Notes to Consolidated Financial Statements
52
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | | Shares | | Notional
Amount | | Unrealized
Appreciation/
(Depreciation) | | Component
Weighting | |
JPNBRMV3 (cont'd) | |
Zimmer Biomet Holdings Inc. | | | (2,789 | ) | | $ | (828,982 | ) | | $ | (222,385 | ) | | | 0.6 | % | |
First Republic Bank/CA | | | (2,231 | ) | | | (819,705 | ) | | | (219,896 | ) | | | 0.6 | % | |
ConocoPhillips | | | (3,381 | ) | | | (794,948 | ) | | | (213,255 | ) | | | 0.6 | % | |
Marvell Technology Inc. | | | (5,559 | ) | | | (794,740 | ) | | | (213,199 | ) | | | 0.6 | % | |
Mosaic Co./The | | | (5,139 | ) | | | (789,633 | ) | | | (211,829 | ) | | | 0.6 | % | |
AMETEK Inc. | | | (2,514 | ) | | | (781,274 | ) | | | (209,587 | ) | | | 0.6 | % | |
CF Industries Holdings Inc. | | | (3,272 | ) | | | (779,888 | ) | | | (209,215 | ) | | | 0.6 | % | |
McCormick & Co Inc./MD | | | (3,116 | ) | | | (771,546 | ) | | | (206,977 | ) | | | 0.6 | % | |
Laboratory Corp of America Holdings | | | (1,299 | ) | | | (768,356 | ) | | | (206,121 | ) | | | 0.6 | % | |
Regions Financial Corp. | | | (14,163 | ) | | | (722,385 | ) | | | (193,789 | ) | | | 0.6 | % | |
Canadian Pacific Railway Ltd. | | | (3,966 | ) | | | (715,784 | ) | | | (192,018 | ) | | | 0.6 | % | |
Marathon Oil Corp. | | | (11,344 | ) | | | (695,899 | ) | | | (186,684 | ) | | | 0.5 | % | |
Albemarle Corp. | | | (1,446 | ) | | | (686,271 | ) | | | (184,101 | ) | | | 0.5 | % | |
Discover Financial Services | | | (2,456 | ) | | | (679,912 | ) | | | (182,395 | ) | | | 0.5 | % | |
KeyCorp. | | | (13,914 | ) | | | (661,418 | ) | | | (177,434 | ) | | | 0.5 | % | |
Hologic Inc. | | | (3,666 | ) | | | (649,675 | ) | | | (174,284 | ) | | | 0.5 | % | |
Dover Corp. | | | (1,961 | ) | | | (643,447 | ) | | | (172,613 | ) | | | 0.5 | % | |
STERIS PLC | | | (1,153 | ) | | | (635,830 | ) | | | (170,570 | ) | | | 0.5 | % | |
Principal Financial Group Inc. | | | (3,769 | ) | | | (632,242 | ) | | | (169,607 | ) | | | 0.5 | % | |
Cincinnati Financial Corp. | | | (2,089 | ) | | | (630,692 | ) | | | (169,191 | ) | | | 0.5 | % | |
Genuine Parts Co. | | | (1,970 | ) | | | (630,580 | ) | | | (169,161 | ) | | | 0.5 | % | |
Other Securities | | | (676,595 | ) | | | (79,216,660 | ) | | | (21,250,884 | ) | | | 62.0 | % | |
| | | | | $ | (128,646,778 | ) | | $ | (34,511,147 | ) | | | |
Accrued Net Interest Receivable/(Payable) | | | | | | | 58,870 | | | | |
| | | | | | | $ | (34,452,277 | ) | | | |
Total Return Basket Swaps, at value | | | | | | $ | 32,860,508 | | | | |
(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, 2022.
See Notes to Consolidated Financial Statements
53
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Total return swap contracts ("total return swaps")
At April 30, 2022, the Fund had outstanding 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 | | S&P 500 Equal
Weight Total
Return Index | | USD | (224,856,519 | ) | | 5/4/2022 | |
| 0.47 | % | |
| 0.15 | % | | OBFR | |
| 1M/T |
| | $ | (56,491,496 | ) | | $ | — |
| | $ | (56,491,496 | ) | |
(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, 2022.
At April 30, 2022, the Fund had cash collateral of $100,320,000 deposited in segregated accounts for JPMorgan Chase Bank N.A. and cash collateral of $3,490,000 received from Goldman Sachs International, to cover collateral requirements on over-the-counter derivatives.
For the six months ended April 30, 2022, the average notional value for the months the Fund had total return basket swaps and total return swaps outstanding was $(750,897,731) for short positions.
Purchased option contracts ("options purchased")
At April 30, 2022, the Fund had outstanding options purchased as follows:
Description | | Number of
Contracts | | Notional
Amount | | Exercise
Price | | Expiration
Date | | Value | |
Calls | |
Capital Markets | |
iShares iBoxx High Yield Corporate Bond ETF | | | 13,139 | | | $ | 103,180,567 | | | $ | 75 | | | 7/15/2022 | | $ | 1,622,667 | | |
Total options purchased (cost $1,402,327) | | | | | | | | | | $ | 1,622,667 | | |
Written option contracts ("options written")
At April 30, 2022, the Fund had outstanding options written as follows:
Description | | Number of
Contracts | | Notional
Amount | | Exercise
Price | | Expiration
Date | | Value | |
Puts | |
Capital Markets | |
iShares iBoxx High Yield Corporate Bond ETF | | | 13,139 | | | $ | (103,180,567 | ) | | $ | 65 | | | 7/15/2022 | | $ | (315,336 | ) | |
Total options written (premium received $271,046) | | | | | | | | | | $ | (315,336 | ) | |
For the six months ended April 30, 2022, average market value for the months where the Fund had options purchased and options written outstanding was $3,027,123 and $(2,175,142), respectively. At April 30, 2022, the Fund had securities pledged in the amount of $760,849,293 to cover collateral requirements for options written.
See Notes to Consolidated Financial Statements
54
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2022:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3(c) | | Total | |
Investments: | |
Common Stocks | |
Aerospace & Defense | | $ | 17,653,260 | | | $ | 14,143,762 | | | $ | — | | | $ | 31,797,022 | | |
Computers | | | — | | | | — | | | | 3,950,001 | | | | 3,950,001 | | |
Hotels, Restaurants & Leisure | | | 152,367,735 | | | | 20,035,265 | | | | — | | | | 172,403,000 | | |
Oil, Gas & Consumable Fuels | | | 95,943,087 | | | | — | | | | 3,245,256 | | | | 99,188,343 | | |
Software | | | 559,421,405 | | | | — | | | | 4,701,917 | | | | 564,123,322 | | |
Specialty Retail | | | 263,064,371 | | | | — | | | | 137,483,865 | | | | 400,548,236 | | |
| Other Common Stocks(a) | | | 2,564,658,473 | | | | — | | | | — | | | | 2,564,658,473 | | |
Total Common Stocks | | | 3,653,108,331 | | | | 34,179,027 | | | | 149,381,039 | | | | 3,836,668,397 | | |
| Preferred Stocks(a) | | | — | | | | — | | | | 58,417,075 | | | | 58,417,075 | | |
| Loan Assignments(a) | | | — | | | | — | | | | 25,500,000 | | | | 25,500,000 | | |
| Corporate Bonds(a) | | | — | | | | 66,669,255 | | | | — | | | | 66,669,255 | | |
Master Limited Partnerships and Limited
Partnerships(a) | | | 135,274,644 | | | | — | | | | — | | | | 135,274,644 | | |
Warrants | |
Diversified Consumer Services | | | — | | | | 3,403,870 | | | | — | | | | 3,403,870 | | |
| Other Warrants(a) | | | 623,426 | | | | — | | | | — | | | | 623,426 | | |
Total Warrants | | | 623,426 | | | | 3,403,870 | | | | — | | | | 4,027,296 | | |
Short-Term Investments | | | — | | | | 1,191,549,666 | | | | — | | | | 1,191,549,666 | | |
| Options Purchased(b) | | | 1,622,667 | | | | — | | | | — | | | | 1,622,667 | | |
Total Investments | | $ | 3,790,629,068 | | | $ | 1,295,801,818 | | | $ | 233,298,114 | | | $ | 5,319,729,000 | | |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization.
(b) The "Purchased option contracts" table under Derivative Instruments provides information on the industry or sector categorization.
See Notes to Consolidated Financial Statements
55
Consolidated 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 11/1/2021 | | 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
4/30/2022 | | Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
4/30/2022 | |
Investments in Securities: | |
Common
Stocks(d)(h) | | $ | 103,106 | | | $ | — | | | $ | 5,153 | | | $ | 39,386 | | | $ | 8,652 | | | $ | (6,916 | ) | | $ | — | | | $ | — | | | $ | 149,381 | | | $ | 39,386 | | |
Preferred
Stocks(d) | | | 36,016 | | | | — | | | | — | | | | (6,203 | ) | | | 38,007 | | | | — | | | | — | | | | (9,403 | ) | | | 58,417 | | | | (3,007 | ) | |
Loan
Assignments(d) | | | 25,500 | | | | 24 | | | | — | | | | (24 | ) | | | — | | | | — | | | | — | | | | — | | | | 25,500 | | | | (24 | ) | |
Options
Purchased(h) | | | 15 | | | | — | | | | (603 | ) | | | 588 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Warrants(h) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Total | | $ | 164,637 | | | $ | 24 | | | $ | 4,550 | | | $ | 33,747 | | | $ | 46,659 | | | $ | (6,916 | ) | | $ | — | | | $ | (9,403 | ) | | $ | 233,298 | | | $ | 36,355 | | |
(d) Quantitative Information about Level 3 Fair Value Measurements:
Investment type | | Fair value
at 4/30/2022 | | Valuation
approach | | Unobservable
input(s) | |
Input value/
range | | Weighted
average(f) | | Impact to
valuation
from
increase
in input(g) | |
Common Stocks | | $ | 146,135,783 | | | Market Approach | | Transaction Price | | $ | 11.00 – $67.84 | | | $ | 65.95 | | | Increase | |
Common Stocks
| |
| 3,245,256
|
| | Market Approach
| | Enterprise value/EBITDA
multiple(e) (EV/EBITDA) | |
| 11.0
| x | |
| 11.0
| x | | Increase
| |
Preferred Stocks | | | 48,961,014 | | | Market Approach | | Transaction Price | | $ | 4.95 – $1,000 | | | $ | 478.60 | | | Increase | |
Preferred Stocks
| |
| 4,992,408
|
| | Market Approach
| | Enterprise value/Revenue
multiple(e) (EV/Revenue) | |
| 5.6
| x | |
| 5.6
| x | | Increase
| |
| | | | | | Expected Volatility | | | 70.0 | % | | | 70.0 | % | | Decrease | |
| | | | | | Option Term (Years) | | | 2.5 | | | | 2.5 | | | Decrease | |
| | | | | | Discount Rate | | | 0.3 | % | | | 0.3 | % | | Decrease | |
Preferred Units | | | 4,463,653 | | | Market Approach | | Transaction Price | | $ | 113.86 | | | $ | 113.86 | | | Increase | |
Loan Assignments | | | 25,500,000 | | | Market Approach | | Call Price | | $ | 102.00 | | | $ | 102.00 | | | Decrease | |
(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) At the beginning of the period, these investments were valued in accordance with the procedures approved by the Board of Trustees.
See Notes to Consolidated Financial Statements
56
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund's short investments as of April 30, 2022:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
| Common Stocks Sold Short(a) | | $ | (681,823,703 | ) | | $ | — | | | $ | — | | | $ | (681,823,703 | ) | |
| Corporate Bonds Sold Short(a) | | | — | | | | (81,682,493 | ) | | | — | | | | (81,682,493 | ) | |
Exchange-Traded Funds Sold Short | | | (42,500,791 | ) | | | — | | | | — | | | | (42,500,791 | ) | |
Total Short Positions | | $ | (724,324,494 | ) | | $ | (81,682,493 | ) | | $ | — | | | $ | (806,006,987 | ) | |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization.
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2022:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Futures(a) | |
Assets | | $ | 15,630,329 | | | $ | — | | | $ | — | | | $ | 15,630,329 | | |
Swaps | |
Assets | | | — | | | | 78,191,657 | | | | — | | | | 78,191,657 | | |
Liabilities | | | — | | | | (101,822,645 | ) | | | — | | | | (101,822,645 | ) | |
Options Written | |
Liabilities | | | (315,336 | ) | | | — | | | | — | | | | (315,336 | ) | |
Total | | $ | 15,314,993 | | | $ | (23,630,988 | ) | | $ | — | | | $ | (8,315,995 | ) | |
(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 Consolidated Financial Statements
57
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^ (Unaudited) April 30, 2022
PRINCIPAL AMOUNT | | | | VALUE | |
Corporate Bonds 14.5% | | | |
Diversified Financial Services 14.5% | | | |
$ | 92,226,000 | | | GS Finance Corp., 25.00%, due 2/16/2024 (Cost $92,478,797) | | $ | 85,227,692 | (a) | |
U.S. Treasury Obligations 82.2% | | | |
| | | | | U.S. Treasury Notes | | | | | |
| | 53,800,000 | | | 1.75%, due 6/15/2022 | | | 53,880,044 | | |
| | 77,200,000 | | | 1.50%, due 9/15/2022 | | | 77,254,281 | (b) | |
| | 76,000,000 | | | 1.63%, due 12/15/2022 | | | 76,000,000 | (b) | |
| | 77,600,000 | | | 0.50%, due 3/15/2023 | | | 76,608,781 | | |
| | 65,600,000 | | | 0.25%, due 6/15/2023 | | | 64,157,312 | | |
| | 139,100,000 | | | 0.13%, due 9/15/2023-12/15/2023 | | | 134,292,836 | (b) | |
| | | | | Total U.S. Treasury Obligations (Cost $489,505,864) | | | 482,193,254 | | |
NUMBER OF SHARES | | | | | |
Short-Term Investments 7.8% | | | |
Investment Companies 7.8% | | | |
| 45,935,907
|
| | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.29%(c)
(Cost $45,935,907) | |
| 45,935,907
| (d) | |
| | | | | Total Investments 104.5% (Cost $627,920,568) | | | 613,356,853 | | |
| | | | | Liabilities Less Other Assets (4.5)% | | | (26,649,470 | )(e) | |
| | | | | Net Assets 100.0% | | $ | 586,707,383 | | |
(a) Value determined using significant unobservable inputs.
(b) All or a portion of this security is pledged as collateral for options written.
(c) Represents 7-day effective yield as of April 30, 2022.
(d) All or a portion of this security is segregated in connection with obligations for options written with a total value of $45,935,907.
(e) Includes the impact of the Fund's open positions in derivatives at April 30, 2022.
See Notes to Financial Statements
58
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^ (Unaudited) (cont'd)
Derivative Instruments
Written option contracts ("options written")
At April 30, 2022, the Fund had outstanding options written as follows:
Description | | Number of
Contracts | | Notional
Amount | | Exercise
Price | | Expiration
Date | | Value | |
Puts | |
Index | |
S&P 500 Index | | | 47 | | | $ | (19,420,071 | ) | | $ | 4,180 | | | 5/6/2022 | | $ | (336,637 | ) | |
S&P 500 Index | | | 95 | | | | (39,253,335 | ) | | | 4,220 | | | 5/6/2022 | | | (1,108,650 | ) | |
S&P 500 Index | | | 147 | | | | (60,739,371 | ) | | | 4,225 | | | 5/6/2022 | | | (1,764,000 | ) | |
S&P 500 Index | | | 7 | | | | (2,892,351 | ) | | | 4,275 | | | 5/6/2022 | | | (108,150 | ) | |
S&P 500 Index | | | 4 | | | | (1,652,772 | ) | | | 4,325 | | | 5/6/2022 | | | (77,840 | ) | |
S&P 500 Index | | | 42 | | | | (17,354,106 | ) | | | 4,465 | | | 5/6/2022 | | | (1,369,200 | ) | |
S&P 500 Index | | | 5 | | | | (2,065,965 | ) | | | 4,490 | | | 5/6/2022 | | | (175,225 | ) | |
S&P 500 Index | | | 1 | | | | (413,193 | ) | | | 4,180 | | | 5/13/2022 | | | (9,580 | ) | |
S&P 500 Index | | | 2 | | | | (826,386 | ) | | | 4,220 | | | 5/13/2022 | | | (27,790 | ) | |
S&P 500 Index | | | 278 | | | | (114,867,654 | ) | | | 4,420 | | | 5/13/2022 | | | (8,003,620 | ) | |
S&P 500 Index | | | 19 | | | | (7,850,667 | ) | | | 4,430 | | | 5/13/2022 | | | (564,490 | ) | |
S&P 500 Index | | | 52 | | | | (21,486,036 | ) | | | 4,435 | | | 5/13/2022 | | | (1,568,840 | ) | |
S&P 500 Index | | | 1 | | | | (413,193 | ) | | | 4,505 | | | 5/13/2022 | | | (36,985 | ) | |
S&P 500 Index | | | 140 | | | | (57,847,020 | ) | | | 4,325 | | | 5/20/2022 | | | (3,063,900 | ) | |
S&P 500 Index | | | 83 | | | | (34,295,019 | ) | | | 4,380 | | | 5/20/2022 | | | (2,163,810 | ) | |
S&P 500 Index | | | 134 | | | | (55,367,862 | ) | | | 4,395 | | | 5/20/2022 | | | (3,658,870 | ) | |
S&P 500 Index | | | 3 | | | | (1,239,579 | ) | | | 4,420 | | | 5/20/2022 | | | (88,230 | ) | |
S&P 500 Index | | | 2 | | | | (826,386 | ) | | | 4,445 | | | 5/20/2022 | | | (63,240 | ) | |
S&P 500 Index | | | 136 | | | | (56,194,248 | ) | | | 4,185 | | | 5/27/2022 | | | (1,766,194 | ) | |
S&P 500 Index | | | 71 | | | | (29,336,703 | ) | | | 4,220 | | | 5/27/2022 | | | (1,196,350 | ) | |
S&P 500 Index | | | 100 | | | | (41,319,300 | ) | | | 4,230 | | | 5/27/2022 | | | (1,736,000 | ) | |
S&P 500 Index | | | 36 | | | | (14,874,948 | ) | | | 4,275 | | | 5/27/2022 | | | (713,880 | ) | |
S&P 500 Index | | | 6 | | | | (2,479,158 | ) | | | 4,280 | | | 5/27/2022 | | | (120,900 | ) | |
S&P 500 Index | | | 20 | | | | (8,263,860 | ) | | | 4,325 | | | 5/27/2022 | | | (459,000 | ) | |
S&P 500 Index | | | 4 | | | | (1,652,772 | ) | | | 4,185 | | | 6/3/2022 | | | (56,038 | ) | |
Total options written (premium received $15,120,781) | | | | | | | | $(30,237,419) | |
For the six months ended April 30, 2022, the average market value for the months where the Fund had options written outstanding was $(11,624,384). At April 30, 2022, the Fund had securities pledged in the amount of $127,956,422 to cover collateral requirements for options written.
See Notes to Financial Statements
59
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 the Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2022:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3(b) | | Total | |
Investments: | |
| Corporate Bonds(a) | | $ | — | | | $ | — | | | $ | 85,227,692 | | | $ | 85,227,692 | | |
U.S. Treasury Obligations | | | — | | | | 482,193,254 | | | | — | | | | 482,193,254 | | |
Short-Term Investments | | | — | | | | 45,935,907 | | | | — | | | | 45,935,907 | | |
Total Investments | | $ | — | | | $ | 528,129,161 | | | $ | 85,227,692 | | | $ | 613,356,853 | | |
(a) The Schedule of Investments provides information on the industry or sector categorization.
(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 11/1/2021 | | 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
4/30/2022 | | Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held at
4/30/2022 | |
Investments in Securities: | |
Corporate
Bonds(c) | | $ | — | | | $ | (21 | ) | | $ | — | | | $ | (7,251 | ) | | $ | 92,500 | | | $ | — | | | $ | — | | | $ | — | | | $ | 85,228 | | | $ | (7,251 | ) | |
Total | | $ | — | | | $ | (21 | ) | | $ | — | | | $ | (7,251 | ) | | $ | 92,500 | | | $ | — | | | $ | — | | | $ | — | | | $ | 85,228 | | | $ | (7,251 | ) | |
(c) Securities categorized as Level 3 were valued using 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.
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2022:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
Options Written | | | |
Liabilities | | $ | (30,237,419 | ) | | $ | — | | | $ | — | | | $ | (30,237,419 | ) | |
Total | | $ | (30,237,419 | ) | | $ | — | | | $ | — | | | $ | (30,237,419 | ) | |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
60
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, 2022 | | April 30, 2022 | | April 30, 2022 | | April 30, 2022 | |
Assets | |
Investments in securities, at value*† (Note A)—
see Schedule of Investments: | |
| Unaffiliated issuers(a) | | $ | 228,668,191 | | | $ | 8,917,007 | | | $ | 5,319,729,000 | | | $ | 613,356,853 | | |
Cash | | | 1,858 | | | | 550 | | | | 883,831 | | | | 550 | | |
| Foreign currency(b) | | | — | | | | 15,863 | | | | 2,739 | | | | — | | |
Cash collateral segregated for futures contracts
(Note A) | | | 4,147,789 | | | | — | | | | 37,113,791 | | | | — | | |
Receivable from broker (Note A) | | | — | | | | — | | | | 583,939,254 | | | | — | | |
Cash collateral segregated for over-the-counter
derivatives (Note A) | | | — | | | | — | | | | 100,320,000 | | | | — | | |
Dividends and interest receivable | | | 394,884 | | | | 30,573 | | | | 5,995,823 | | | | 4,947,829 | | |
Receivable for securities sold | | | — | | | | 879 | | | | 56,876,228 | | | | 2,168,450 | | |
Receivable for accumulated variation margin on
futures contracts (Note A) | | | 19,996,989 | | | | 129,472 | | | | 15,630,329 | | | | — | | |
Receivable from Management—net (Note B) | | | 32,356 | | | | 28,040 | | | | — | | | | — | | |
Receivable for Fund shares sold | | | 160,422 | | | | 250 | | | | 10,204,282 | | | | 1,060,282 | | |
Receivable for securities lending income (Note A) | | | — | | | | — | | | | 6,151 | | | | — | | |
Over-the-counter swap contracts, at value (Note A) | | | — | | | | — | | | | 78,191,657 | | | | — | | |
Prepaid expenses and other assets | | | 25,663 | | | | 47,930 | | | | 115,596 | | | | 79,037 | | |
Total Assets | | | 253,428,152 | | | | 9,170,564 | | | | 6,209,008,681 | | | | 621,613,001 | | |
Liabilities | |
| Investments sold short, at value(c) (Note A) | | | — | | | | — | | | | 806,006,987 | | | | — | | |
Over-the-counter swap contracts, at value (Note A) | | | — | | | | — | | | | 101,822,645 | | | | — | | |
Dividends and interest payable for short sales | | | — | | | | — | | | | 2,434,792 | | | | — | | |
Cash collateral segregated for over-the-counter
derivatives due to broker (Note A) | | | — | | | | — | | | | 3,490,000 | | | | — | | |
Cash collateral segregated for futures contracts
due to broker (Note A) | | | — | | | | 16,457 | | | | — | | | | — | | |
Payable to investment manager—net (Notes A & B) | | | 100,306 | | | | 4,262 | | | | 4,746,643 | | | | 225,697 | | |
| Option contracts written, at value(d) (Note A) | | | — | | | | — | | | | 315,336 | | | | 30,237,419 | | |
Payable for securities purchased | | | 4,222,631 | | | | 10,380 | | | | 42,473,772 | | | | 3,897,788 | | |
Payable for Fund shares redeemed | | | 64,305 | | | | — | | | | 2,952,473 | | | | 406,500 | | |
Payable to administrator—net (Note B) | | | — | | | | — | | | | 749,014 | | | | 45,223 | | |
Payable to trustees | | | 2,724 | | | | 2,778 | | | | 813 | | | | 2,593 | | |
Payable for audit fees | | | 35,447 | | | | 28,958 | | | | 28,958 | | | | 22,926 | | |
Payable for custodian fees | | | 34,162 | | | | 39,551 | | | | 270,610 | | | | 33,126 | | |
Payable for legal fees | | | 57,713 | | | | 31,337 | | | | 30,599 | | | | 28,051 | | |
Payable for loaned securities collateral (Note A) | | | — | | | | — | | | | 17,987,310 | | | | — | | |
Other accrued expenses and payables | | | 810 | | | | 573 | | | | 72,738 | | | | 6,295 | | |
Total Liabilities | | | 4,518,098 | | | | 134,296 | | | | 983,382,690 | | | | 34,905,618 | | |
Net Assets | | $ | 248,910,054 | | | $ | 9,036,268 | | | $ | 5,225,625,991 | | | $ | 586,707,383 | | |
See Notes to Financial Statements
61
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, 2022 | | April 30, 2022 | | April 30, 2022 | | April 30, 2022 | |
Net Assets consist of: | | | |
Paid-in capital | | $ | 267,010,261 | | | $ | 8,890,664 | | | $ | 4,119,526,073 | | | $ | 630,223,233 | | |
Total distributable earnings/(losses) | | | (18,100,207 | ) | | | 145,604 | | | | 1,106,099,918 | | | | (43,515,850 | ) | |
Net Assets | | $ | 248,910,054 | | | $ | 9,036,268 | | | $ | 5,225,625,991 | | | $ | 586,707,383 | | |
Net Assets | | | |
Institutional Class | | $ | 214,172,387 | | | $ | 7,124,988 | | | $ | 5,017,180,350 | | | $ | 311,403,902 | | |
Class A | | | 34,495,769 | | | | 1,149,735 | | | | 156,877,939 | | | | 6,103,601 | | |
Class C | | | 241,898 | | | | 735,203 | | | | 51,567,702 | | | | 1,333,574 | | |
Class R6 | | | — | | | | 26,342 | | | | — | | | | 267,866,306 | | |
Shares Outstanding ($.001 par value;
unlimited shares authorized) | | | |
Institutional Class | | | 33,106,595 | | | | 640,552 | | | | 296,151,351 | | | | 29,050,343 | | |
Class A | | | 5,480,236 | | | | 104,136 | | | | 9,385,098 | | | | 572,216 | | |
Class C | | | 38,596 | | | | 68,686 | | | | 3,173,482 | | | | 128,322 | | |
Class R6 | | | — | | | | 2,367 | | | | — | | | | 24,953,452 | | |
Net Asset Value, offering and redemption
price per share | | | |
Institutional Class | | $ | 6.47 | | | $ | 11.12 | | | $ | 16.94 | | | $ | 10.72 | | |
Class R6 | | | — | | | | 11.13 | | | | — | | | | 10.73 | | |
Net Asset Value and redemption
price per share | | | |
Class A | | $ | 6.29 | | | $ | 11.04 | | | $ | 16.72 | | | $ | 10.67 | | |
Offering Price per share | | | |
Class A‡ | | $ | 6.67 | | | $ | 11.71 | | | $ | 17.74 | | | $ | 11.32 | | |
Net Asset Value and offering price per share | | | |
Class C^ | | $ | 6.27 | | | $ | 10.70 | | | $ | 16.25 | | | $ | 10.39 | | |
†Securities on loan, at value: | | | |
Unaffiliated issuers | | $ | — | | | $ | — | | | $ | 15,839,734 | | | $ | — | | |
*Cost of Investments: | | | |
(a) Unaffiliated issuers | | $ | 229,311,642 | | | $ | 9,100,825 | | | $ | 4,601,903,304 | | | $ | 627,920,568 | | |
(b) Total cost of foreign currency | | $ | — | | | $ | 17,333 | | | $ | 2,740 | | | $ | — | | |
(c) Proceeds from investments sold short | | $ | — | | | $ | — | | | $ | 884,757,292 | | | $ | — | | |
(d) Premium received from option contracts written | | $ | — | | | $ | — | | | $ | 271,046 | | | $ | 15,120,781 | | |
** 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
62
Statements of Operations (Unaudited)
Neuberger Berman Alternative Funds
| | | COMMODITY
STRATEGY
FUND(a) | | GLOBAL
ALLOCATION
FUND | | LONG SHORT
FUND(a) | | U.S. EQUITY
INDEX
PUTWRITE
STRATEGY
FUND | |
| | | For the Six
Months Ended
April 30, 2022 | | For the Six
Months Ended
April 30, 2022 | | For the Six
Months Ended
April 30, 2022 | | For the Six
Months Ended
April 30, 2022 | |
Investment Income: | |
Income (Note A): | |
Dividend income—unaffiliated issuers | | $ | — | | | $ | 94,792 | | | $ | 28,542,045 | | | $ | — | | |
Interest and other income—unaffiliated issuers | | | 378,337 | | | | 26,139 | | | | 7,682,370 | | | | 4,858,321 | | |
Income from securities loaned—net | | | — | | | | — | | | | 86,011 | | | | — | | |
Foreign taxes withheld | | | — | | | | (5,337 | ) | | | (297,697 | ) | | | — | | |
Total income | | $ | 378,337 | | | $ | 115,594 | | | $ | 36,012,729 | | | $ | 4,858,321 | | |
Expenses: | |
Investment management fees (Notes A & B) | | | 485,625 | | | | 27,848 | | | | 28,821,141 | | | | 1,238,787 | | |
Administration fees (Note B): | |
Institutional Class | | | 123,625 | | | | 6,018 | | | | 3,817,119 | | | | 225,406 | | |
Class A | | | 38,154 | | | | 1,559 | | | | 204,974 | | | | 7,892 | | |
Class C | | | 97 | | | | 1,135 | | | | 69,766 | | | | 1,599 | | |
Class R6 | | | — | | | | 8 | | | | — | | | | 60,682 | | |
Distribution fees (Note B): | |
Class A | | | 36,687 | | | | 1,499 | | | | 197,091 | | | | 7,589 | | |
Class C | | | 375 | | | | 4,367 | | | | 268,330 | | | | 6,150 | | |
Shareholder servicing agent fees: | |
Institutional Class | | | 1,425 | | | | 199 | | | | 12,385 | | | | 769 | | |
Class A | | | 2,852 | | | | 320 | | | | 2,271 | | | | 555 | | |
Class C | | | 76 | | | | 153 | | | | 994 | | | | 266 | | |
Class R6 | | | — | | | | 57 | | | | — | | | | 700 | | |
Audit fees | | | 36,447 | | | | 30,708 | | | | 37,788 | | | | 23,926 | | |
Subsidiary Administration Fees | | | 24,795 | | | | — | | | | — | | | | — | | |
Custodian and accounting fees | | | 49,080 | | | | 62,706 | | | | 438,534 | | | | 52,800 | | |
Insurance | | | 1,997 | | | | 140 | | | | 63,036 | | | | 5,392 | | |
Legal fees | | | 75,370 | | | | 35,938 | | | | 35,223 | | | | 33,360 | | |
Registration and filing fees | | | 28,074 | | | | 31,861 | | | | 86,958 | | | | 53,613 | | |
Shareholder reports | | | 9,324 | | | | 1,020 | | | | 86,703 | | | | 5,291 | | |
Trustees' fees and expenses | | | 22,304 | | | | 22,304 | | | | 22,362 | | | | 22,309 | | |
Dividend and interest expense on securities sold
short (Note A) | | | — | | | | — | | | | 10,495,168 | | | | — | | |
Interest | | | 152 | | | | — | | | | 48,841 | | | | — | | |
Miscellaneous and other fees (Note A) | | | 5,972 | | | | 3,331 | | | | 113,193 | | | | 21,284 | | |
Total expenses | | | 942,431 | | | | 231,171 | | | | 44,821,877 | | | | 1,768,370 | | |
Expenses reimbursed by Management (Note B) | | | (178,136 | ) | | | (186,030 | ) | | | — | | | | (68,530 | ) | |
Total net expenses | | | 764,295 | | | | 45,141 | | | | 44,821,877 | | | | 1,699,840 | | |
Net investment income/(loss) | | $ | (385,958 | ) | | $ | 70,453 | | | $ | (8,809,148 | ) | | $ | 3,158,481 | | |
See Notes to Financial Statements
63
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
| | | COMMODITY
STRATEGY
FUND(a) | | GLOBAL
ALLOCATION
FUND | | LONG SHORT
FUND(a) | | U.S. EQUITY
INDEX
PUTWRITE
STRATEGY
FUND | |
| | | For the Six
Months Ended
April 30, 2022 | | For the Six
Months Ended
April 30, 2022 | | For the Six
Months Ended
April 30, 2022 | | For the Six
Months Ended
April 30, 2022 | |
Realized and Unrealized Gain/(Loss) on
Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated
issuers | | | (31,205 | ) | | | 174,890 | | | | 143,801,741 | | | | 11,244 | | |
Closed short positions of unaffiliated issuers | | | — | | | | — | | | | 30,311,864 | | | | — | | |
Settlement of forward foreign currency contracts | | | — | | | | 9,798 | | | | — | | | | — | | |
Settlement of foreign currency transactions | | | — | | | | (276 | ) | | | (19,758 | ) | | | — | | |
Expiration or closing of futures contracts | | | 31,977,569 | | | | 30,527 | | | | 44,996,248 | | | | — | | |
Expiration or closing of option contracts written | | | — | | | | (8,260 | ) | | | 548,254 | | | | (12,058,919 | ) | |
Expiration or closing of swap contracts | | | — | | | | (8,678 | ) | | | (19,239,430 | ) | | | — | | |
Change in net unrealized appreciation/
(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | (746,689 | ) | | | (1,245,486 | ) | | | (801,611,290 | ) | | | (14,535,896 | ) | |
Short positions of unaffiliated issuers | | | — | | | | — | | | | 124,916,401 | | | | — | | |
Forward foreign currency contracts | | | — | | | | 1,478 | | | | — | | | | — | | |
Foreign currency translations | | | — | | | | (1,996 | ) | | | (142 | ) | | | — | | |
Futures contracts | | | 14,949,802 | | | | 127,500 | | | | 42,310,492 | | | | — | | |
Option contracts written | | | — | | | | — | | | | (259,875 | ) | | | (18,425,194 | ) | |
Swap contracts | | | — | | | | (4,396 | ) | | | 117,659,894 | | | | — | | |
Net gain/(loss) on investments | | | 46,149,477 | | | | (924,899 | ) | | | (316,585,601 | ) | | | (45,008,765 | ) | |
Net increase/(decrease) in net assets resulting
from operations | | $ | 45,763,519 | | | $ | (854,446 | ) | | $ | (325,394,749 | ) | | $ | (41,850,284 | ) | |
(a) Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
64
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,
2022
(Unaudited) | | Fiscal Year
Ended
October 31,
2021 | | Six Months
Ended
April 30,
2022
(Unaudited) | | Fiscal Year
Ended
October 31,
2021 | | Six Months
Ended
April 30,
2022
(Unaudited)(a) | | Fiscal Year
Ended
October 31,
2021 | | Six Months
Ended
April 30,
2022
(Unaudited) | | Fiscal Year
Ended
October 31,
2021 | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | (385,958 | ) | | $ | (605,753 | ) | | $ | 70,453 | | | $ | 108,769 | | | $ | (8,809,148 | ) | | $ | (5,802,823 | ) | | $ | 3,158,481 | | | $ | 466,014 | | |
Net realized gain/(loss) on investments | | | 31,946,364 | | | | 56,535,991 | | | | 198,001 | | | | 1,711,202 | | | | 200,398,919 | | | | 34,803,231 | | | | (12,047,675 | ) | | | 89,259,513 | | |
Change in net unrealized appreciation/(depreciation) of
investments | | | 14,203,113 | | | | 2,323,541 | | | | (1,122,900 | ) | | | 484,906 | | | | (516,984,520 | ) | | | 654,256,671 | | | | (32,961,090 | ) | | | 6,432,262 | | |
Net increase/(decrease) in net assets resulting
from operations | | | 45,763,519 | | | | 58,253,779 | | | | (854,446 | ) | | | 2,304,877 | | | | (325,394,749 | ) | | | 683,257,079 | | | | (41,850,284 | ) | | | 96,157,789 | | |
Distributions to Shareholders From (Note A): | |
Distributable earnings: | |
Institutional Class | | | (46,096,951 | ) | | | (575,526 | ) | | | (1,233,467 | ) | | | (131,491 | ) | | | (58,747,314 | ) | | | (83,708,582 | ) | | | (49,113,155 | ) | | | (367,165 | ) | |
Class A | | | (9,160,442 | ) | | | (66,009 | ) | | | (162,665 | ) | | | (20,127 | ) | | | (1,833,236 | ) | | | (2,671,289 | ) | | | (1,049,045 | ) | | | (244 | ) | |
Class C | | | (13,555 | ) | | | — | (b) | | | (120,231 | ) | | | (14,091 | ) | | | (648,991 | ) | | | (1,306,112 | ) | | | (205,872 | ) | | | — | | |
Class R6 | | | — | | | | — | | | | (4,419 | ) | | | (574 | ) | | | — | | | | — | | | | (36,491,908 | ) | | | (334,871 | ) | |
Total distributions to shareholders | | | (55,270,948 | ) | | | (641,535 | ) | | | (1,520,782 | ) | | | (166,283 | ) | | | (61,229,541 | ) | | | (87,685,983 | ) | | | (86,859,980 | ) | | | (702,280 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold: | |
Institutional Class | | | 79,757,920 | | | | 44,013,444 | | | | 1,005,639 | | | | 1,562,220 | | | | 859,032,650 | | | | 1,868,129,701 | | | | 96,226,513 | | | | 83,049,271 | | |
Class A | | | 6,891,080 | | | | 6,431,839 | | | | 108,367 | | | | 232,033 | | | | 23,403,293 | | | | 77,844,591 | | | | 1,538,738 | | | | 1,655,352 | | |
Class C | | | 193,112 | | | | 35,000 | (b) | | | 45,910 | | | | — | | | | 5,543,116 | | | | 14,452,872 | | | | 315,519 | | | | 232,994 | | |
Class R6 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 155,503,802 | | | | 103,872,869 | | |
Proceeds from reinvestment of dividends and distributions: | |
Institutional Class | | | 45,825,965 | | | | 569,330 | | | | 1,233,467 | | | | 131,491 | | | | 34,762,818 | | | | 47,395,312 | | | | 48,916,873 | | | | 362,294 | | |
Class A | | | 9,129,267 | | | | 66,000 | | | | 157,153 | | | | 19,895 | | | | 1,404,540 | | | | 1,743,155 | | | | 1,046,238 | | | | 242 | | |
Class C | | | 9,547 | | | | — | (b) | | | 118,291 | | | | 13,857 | | | | 485,715 | | | | 1,112,667 | | | | 185,023 | | | | — | | |
Class R6 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 36,291,033 | | | | 334,797 | | |
Payments for shares redeemed: | |
Institutional Class | | | (51,463,279 | ) | | | (34,656,618 | ) | | | (1,935,688 | ) | | | (1,676,434 | ) | | | (697,629,087 | ) | | | (927,728,474 | ) | | | (48,988,083 | ) | | | (91,014,310 | ) | |
Class A | | | (6,032,007 | ) | | | (7,764,625 | ) | | | (123,355 | ) | | | (396,355 | ) | | | (15,034,624 | ) | | | (33,084,185 | ) | | | (646,797 | ) | | | (1,455,785 | ) | |
Class C | | | (2,411 | ) | | | (8,422 | )(b) | | | (208,093 | ) | | | (811,306 | ) | | | (7,314,260 | ) | | | (20,320,467 | ) | | | (37,201 | ) | | | (105,028 | ) | |
Class R6 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (70,839,713 | ) | | | (40,881,368 | ) | |
Net increase/(decrease) from Fund share transactions | | | 84,309,194 | | | | 8,685,948 | | | | 401,691 | | | | (924,599 | ) | | | 204,654,161 | | | | 1,029,545,172 | | | | 219,511,945 | | | | 56,051,328 | | |
Net Increase/(Decrease) in Net Assets | | | 74,801,765 | | | | 66,298,192 | | | | (1,973,537 | ) | | | 1,213,995 | | | | (181,970,129 | ) | | | 1,625,116,268 | | | | 90,801,681 | | | | 151,506,837 | | |
Net Assets: | |
Beginning of period | | | 174,108,289 | | | | 107,810,097 | | | | 11,009,805 | | | | 9,795,810 | | | | 5,407,596,120 | | | | 3,782,479,852 | | | | 495,905,702 | | | | 344,398,865 | | |
End of period | | $ | 248,910,054 | | | $ | 174,108,289 | | | $ | 9,036,268 | | | $ | 11,009,805 | | | $ | 5,225,625,991 | | | $ | 5,407,596,120 | | | $ | 586,707,383 | | | $ | 495,905,702 | | |
(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 October 31, 2021.
See Notes to Financial Statements
65
66
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 Management 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, 2022, the value of Commodity Strategy's investment in the CS Subsidiary was as follows:
Investment in
CS Subsidiary | | Percentage of
Net Assets | |
| $ | 45,561,354 | | | | 18.3 | % | |
On February 25, 2022, to facilitate compliance with certain requirements necessary to maintain its regulated investment company ("RIC") status, Long Short formed NB A24 Long Short Blocker LLC (the "LS Blocker"), a Delaware limited liability company, to hold interests in certain private placements. The LS Blocker is a wholly owned subsidiary of Long Short and Long Short will remain its sole member.
As of April 30, 2022, the value of Long Short's investment in the Blocker was as follows:
Investment in
LS Blocker | | Percentage of
Net Assets | |
| $ | 4,451,645 | | | | 0.1 | % | |
ß Consolidated Notes to Financial Statements for Commodity Strategy and Long Short
67
2 Consolidation: The accompanying financial statements of Commodity Strategy and Long Short present the consolidated accounts of Commodity Strategy and the CS Subsidiary, Long Short and the LS Blocker. 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.
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, 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 relevant 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").
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.
68
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.
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 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).
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 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
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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, which is 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 the rule.
4 Foreign currency translations: The accounting records of the Funds, the CS Subsidiary and the LS Blocker 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, 2022, was $502 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 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.
ASC 740 "Income Taxes" 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 returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2022, 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.
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The LS Blocker is taxed as a corporation under the U.S. Internal Revenue Code. As a U.S. shareholder of a corporation, Long Short will include in its taxable income its share of the LS Blocker's current earnings and profits (including net realized gains). Any deficit generated by the LS Blocker will be disregarded for purposes of computing Long Short'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, 2022 were as follows:
| | | Cost | | Gross
Unrealized
Appreciation | | Gross
Unrealized
Depreciation | | Net Unrealized
Appreciation/
(Depreciation) | |
Commodity Strategy | | $ | 295,775,365 | | | $ | 30,947,191 | | | $ | 78,026,095 | | | $ | (47,141,466 | ) | |
Global Allocation | | | 9,123,196 | | | | 727,635 | | | | 804,352 | | | | (76,717 | ) | |
Long Short | | | 4,628,103,439 | | | | 1,168,715,159 | | | | 238,192,858 | | | | 930,522,301 | | |
U.S. Equity Index PutWrite Strategy | | | 627,920,568 | | | | 27,631 | | | | 48,137,321 | | | | (48,109,690 | ) | |
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, 2021, 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, taxable overdistribution, and deemed distribution on shareholder redemptions. For the year ended October 31, 2021, the Funds recorded the following permanent reclassifications:
| | | Paid-in Capital | | Total Distributable
Earnings/(Losses) | |
Commodity Strategy | | $ | 61,039,804 | | | $ | (61,039,804 | ) | |
Global Allocation | | | 136,810 | | | | (136,810 | ) | |
Long Short | | | (206,228,124 | ) | | | 206,228,124 | | |
U.S. Equity Index PutWrite Strategy | | | 12,394,717 | | | | (12,394,717 | ) | |
The tax character of distributions paid during the years ended October 31, 2021, and October 31, 2020, was as follows:
| | | Distributions Paid From: | |
| | | Ordinary Income | | Long-Term Capital Gain | | Return of Capital | | Total | |
| | | 2021 | | 2020 | | 2021 | | 2020 | | 2021 | | 2020 | | 2021 | | 2020 | |
Commodity
Strategy | | $ | 641,535 | | | $ | 2,593,247 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 641,535 | | | $ | 2,593,247 | | |
Global Allocation | | | 166,283 | | | | 290,984 | | | | — | | | | 192,059 | | | | — | | | | — | | | | 166,283 | | | | 483,043 | | |
Long Short | | | — | | | | — | | | | 87,685,983 | | | | 53,098,592 | | | | — | | | | — | | | | 87,685,983 | | | | 53,098,592 | | |
U.S. Equity Index
PutWrite Strategy | | | 702,280 | | | | 9,063,074 | | | | — | | | | 5,850,166 | | | | — | | | | 50,804 | | | | 702,280 | | | | 14,964,044 | | |
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As of October 31, 2021, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
| | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gain | | Unrealized
Appreciation/
(Depreciation) | | Loss
Carryforwards
and Deferrals | | Other
Temporary
Differences | | Total | |
Commodity
Strategy | | $ | 55,270,497 | | | $ | — | | | $ | (61,313,298 | ) | | $ | (2,549,671 | ) | | $ | (306 | ) | | $ | (8,592,778 | ) | |
Global Allocation | | | 764,266 | | | | 731,246 | | | | 1,038,659 | | | | (10,842 | ) | | | (2,497 | ) | | | 2,520,832 | | |
Long Short | | | — | | | | 61,216,234 | | | | 1,447,286,351 | | | | (15,761,655 | ) | | | (16,722 | ) | | | 1,492,724,208 | | |
U.S. Equity Index
PutWrite Strategy | | | 38,742,222 | | | | 46,483,437 | | | | (27,819 | ) | | | — | | | | (3,426 | ) | | | 85,194,414 | | |
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, wholly owned subsidiary inclusions, tax adjustments related to real estate investment trusts ("REITs"), 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, 2021, 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 | | $ | 121,014 | | | $ | 2,428,657 | | |
During the year ended October 31, 2021, Commodity Strategy, Global Allocation and U.S. Equity Index PutWrite Strategy utilized capital loss carryforwards of $66,793, $145,941 and $877,498, respectively.
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, 2021, Long Short elected to defer as late-year ordinary losses of $14,151,095.
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, 2022, there were no outstanding balances of accrued capital gains taxes for any Fund.
As a result of several European Court of Justice ("ECJ") court cases in certain countries across the European Union ("EU"), certain of the Funds may file tax reclaims for previously withheld taxes on dividends earned in those countries ("ECJ tax reclaims"). These additional filings are subject to various administrative proceedings by the local jurisdictions' tax authorities within the EU, as well as a number of related judicial proceedings. Income recognized, if any, for ECJ tax reclaims would be reflected as "Interest and other income—unaffiliated issuers" in the Statements of Operations and the cost to file these additional ECJ tax reclaims, if any, would be reflected as "Miscellaneous and other fees" in the Statements of Operations. When the ECJ tax reclaim is "more likely than not" to not be sustained assuming examination by tax authorities due to the uncertainty that exists as to the ultimate resolution of these proceedings, the likelihood of receipt of these ECJ tax reclaims, and the potential timing of payment, no amounts are reflected in the Statements of Assets and Liabilities.
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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 these Funds until the following calendar year. For the year ended October 31, 2021, 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
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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.
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, 2022, are included in the "Dividend and interest expense on securities sold short" on the Statements of Operations and are as follows:
13 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, 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.
14 Derivative instruments: Certain Funds' use of derivatives during the six months ended April 30, 2022, is described below. Please see the Schedule of Investments for each Fund's open positions in derivatives, if any, at April 30, 2022.
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The disclosure requirements of ASC 815 "Derivatives and Hedging" ("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.
Futures contracts: During the six months ended April 30, 2022, Commodity Strategy used commodity futures contracts including bitcoin 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, 2022, 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, 2022, 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. Commodity Strategy or CS Subsidiary may invest in cash-settled bitcoin futures that are traded on commodity exchanges registered with the Commodity Futures Trading Commission.
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.
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Forward foreign currency contracts: During the six months ended April 30, 2022, 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 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, 2022, Global Allocation used total return basket swaps to provide investment exposure to certain investments, primarily equity securities. During the six months ended April 30, 2022, 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 according to the terms of the contract. 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, 2022, 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, 2022, 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
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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, 2022, 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, 2022, 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, 2022, Long Short used options written to enhance total returns. During the six months ended April 30, 2022, Long Short used options purchased either for hedging purposes or to enhance total returns. During the six months ended April 30, 2022, 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.
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.
At April 30, 2022, 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 | | Credit Risk | | Equity Risk | | Commodity
Risk | | Total | |
Commodity Strategy | |
Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 30,827,728 |
| | $ | 30,827,728 |
| |
Total Value—Assets | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 30,827,728 | | | $ | 30,827,728 | | |
Global Allocation | |
| Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | 121,570 |
| | $ | — |
| | $ | — |
| | $ | 16,634 |
| | $ | — |
| | $ | 138,204 |
| |
Total Value—Assets | | | | | | $ | 121,570 | | | $ | — | | | $ | — | | | $ | 16,634 | | | $ | — | | | $ | 138,204 | | |
77
Derivative Type | | Statements of
Assets and
Liabilities Location | | Interest
Rate Risk | | Currency
Risk | | Credit Risk | | Equity Risk | | Commodity
Risk | | Total | |
Long Short | |
Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | 2,114,669 |
| | $ | — |
| | $ | — |
| | $ | 13,515,660 |
| | $ | — |
| | $ | 15,630,329 |
| |
Over-the-counter swaps | | Over-the-counter
swap contracts,
at value(a) | |
| — |
| |
| — |
| |
| — |
| |
| 78,191,657 |
| |
| — |
| |
| 78,191,657 |
| |
Options purchased | | Investments in
securities, at value | |
| — |
| |
| — |
| |
| 1,622,667 |
| |
| — |
| |
| — |
| |
| 1,622,667 |
| |
Total Value—Assets | | | | | | $ | 2,114,669 | | | $ | — | | | $ | 1,622,667 | | | $ | 91,707,317 | | | $ | — | | | $ | 95,444,653 | | |
Liability Derivatives | |
Derivative Type | | Statements of
Assets and
Liabilities Location | | Interest
Rate Risk | | Currency
Risk | | Credit Risk | | Equity Risk | | Commodity
Risk | | Total | |
Commodity Strategy | |
Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | (10,830,739 | ) | | $ | (10,830,739 | ) | |
Total Value—Liabilities | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (10,830,739 | ) | | $ | (10,830,739 | ) | |
Global Allocation | |
Futures | | Receivable/Payable
for accumulated
variation margin on
futures contracts | | $ | — |
| | $ | (2,567 | ) | | $ | — |
| | $ | (6,165 | ) | | $ | — |
| | $ | (8,732 | ) | |
Total Value—Liabilities | | | | | | $ | — | | | $ | (2,567 | ) | | $ | — | | | $ | (6,165 | ) | | $ | — | | | $ | (8,732 | ) | |
Long Short | |
Over-the-counter swaps | | Over-the-counter
swap contracts,
at value(a) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | (101,822,645 | ) | | $ | — |
| | $ | (101,822,645 | ) | |
Options written | | Option contracts
written, at value | |
| — |
| |
| — |
| |
| (315,336 | ) | |
| — |
| |
| — |
| |
| (315,336 | ) | |
Total Value—Liabilities | | | | | | $ | — | | | $ | — | | | $ | (315,336 | ) | | $ | (101,822,645 | ) | | $ | — | | | $ | (102,137,981 | ) | |
U.S. Equity Index PutWrite Strategy | |
Options written | | Option contracts
written, at value | | $ | — |
| | $ | — |
| | $ | — |
| | $ | (30,237,419 | ) | | $ | — |
| | $ | (30,237,419 | ) | |
Total Value—Liabilities | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | (30,237,419 | ) | | $ | — | | | $ | (30,237,419 | ) | |
(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, 2022.
78
The impact of the use of these derivative instruments on the Statements of Operations during the six months ended April 30, 2022, was as follows:
Realized Gain/(Loss)
Derivative Type | | Statements of
Operations
Location | | Interest
Rate Risk | | Currency
Risk | | Credit Risk | | Equity Risk | | Commodity
Risk | | Total | |
Commodity Strategy | |
Futures | | Net realized
gain/(loss) on:
Expiration or
closing of
futures contracts | | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 31,977,569 |
| | $ | 31,977,569 |
| |
Total Realized Gain/(Loss) | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 31,977,569 | | | $ | 31,977,569 | | |
Global Allocation | |
Futures | | Net realized
gain/(loss) on:
Expiration or
closing of
futures contracts | | $ | 57,315 |
| | $ | — |
| | $ | — |
| | $ | (26,788 | ) | | $ | — |
| | $ | 30,527 |
| |
Forward FX contracts | | Net realized
gain/(loss) on:
Settlement of
forward foreign
currency contracts | |
| — |
| |
| 9,798 |
| |
| — |
| |
| — |
| |
| — |
| |
| 9,798 |
| |
Swaps | | Net realized
gain/(loss) on:
Expiration or
closing of
swap contracts | |
| — |
| |
| — |
| |
| — |
| |
| (8,678 | ) | |
| — |
| |
| (8,678 | ) | |
Options purchased | | Net realized
gain/(loss) on:
Transactions in
investment securities
of unaffiliated issuers | |
| — |
| |
| — |
| |
| — |
| |
| (2,719 | ) | |
| — |
| |
| (2,719 | ) | |
Options written | | Net realized
gain/(loss) on:
Expiration or
closing of option
contracts written | |
| — |
| |
| — |
| |
| — |
| |
| (8,260 | ) | |
| — |
| |
| (8,260 | ) | |
Total Realized Gain/(Loss) | | | | | | $ | 57,315 | | | $ | 9,798 | | | $ | — | | | $ | (46,445 | ) | | $ | — | | | $ | 20,668 | | |
79
Derivative Type | | Statements of
Operations
Location | | Interest
Rate Risk | | Currency
Risk | | Credit Risk | | Equity Risk | | Commodity
Risk | | Total | |
Long Short | |
Futures | | Net realized
gain/(loss) on:
Expiration or
closing of
futures contracts | | $ | 1,492,128 |
| | $ | — |
| | $ | — |
| | $ | 43,504,120 |
| | $ | — |
| | $ | 44,996,248 |
| |
Swaps | | Net realized
gain/(loss) on:
Expiration or
closing of
swap contracts | |
| — |
| |
| — |
| |
| — |
| |
| (19,239,430 | ) | |
| — |
| |
| (19,239,430 | ) | |
Options purchased | | Net realized
gain/(loss) on:
Transactions in
investment securities
of unaffiliated issuers | |
| — |
| |
| — |
| |
| — |
| |
| (2,096,101 | ) | |
| — |
| |
| (2,096,101 | ) | |
Options written | | Net realized
gain/(loss) on:
Expiration or
closing of option
contracts written | |
| — |
| |
| — |
| |
| — |
| |
| 548,254 |
| |
| — |
| |
| 548,254 |
| |
Total Realized Gain/(Loss) | | | | | | $ | 1,492,128 | | | $ | — | | | $ | — | | | $ | 22,716,843 | | | $ | — | | | $ | 24,208,971 | | |
U.S. Equity Index PutWrite Strategy | |
Options written | | Net realized
gain/(loss) on:
Expiration or
closing of option
contracts written | | $ | — |
| | $ | — |
| | $ | — |
| | $ | (12,058,919 | ) | | $ | — |
| | $ | (12,058,919 | ) | |
Total Realized Gain/(Loss) | | | | | | $ | — | | | $ | — | | | $ | — | | | $ | (12,058,919 | ) | | $ | — | | | $ | (12,058,919 | ) | |
Change in Appreciation/(Depreciation) | |
Derivative Type | | Statements of
Operations
Location | | Interest
Rate Risk | | Currency
Risk | | Credit Risk | | Equity Risk | | Commodity
Risk | | Total | |
Commodity Strategy | |
Futures | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Futures contracts | | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 14,949,802 |
| | $ | 14,949,802 |
| |
Total Change in
Appreciation/
(Depreciation) | |
| |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| |
80
Derivative Type | | Statements of
Operations
Location | | Interest
Rate Risk | | Currency
Risk | | Credit Risk | | Equity Risk | | Commodity
Risk | | Total | |
Global Allocation | |
Futures | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Futures contracts | | $ | 117,031 |
| | $ | — |
| | $ | — |
| | $ | 10,469 |
| | $ | — |
| | $ | 127,500 |
| |
Forward FX contracts | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Forward foreign
currency contracts | |
| — |
| |
| 1,478 |
| |
| — |
| |
| — |
| |
| — |
| |
| 1,478 |
| |
Swaps | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Swap contracts | |
| — |
| |
| — |
| |
| — |
| |
| (4,396 | ) | |
| — |
| |
| (4,396 | ) | |
Total Change in
Appreciation/
(Depreciation) | |
| |
| | $ | 117,031 |
| | $ | 1,478 |
| | $ | — |
| | $ | 6,073 |
| | $ | — |
| | $ | 124,582 |
| |
Long Short | |
Futures | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Futures contracts | | $ | 1,699,918 |
| | $ | — |
| | $ | — |
| | $ | 40,610,574 |
| | $ | — |
| | $ | 42,310,492 |
| |
Swaps | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Swap contracts | |
| — |
| |
| — |
| |
| — |
| |
| 117,659,894 |
| |
| — |
| |
| 117,659,894 |
| |
Options purchased | | Change in
net unrealized
appreciation/
(depreciation)
in value of:
Investment securities
of unaffiliated issuers | |
| — |
| |
| — |
| |
| 220,340 |
| |
| (1,926,252 | ) | |
| — |
| |
| (1,705,912 | ) | |
81
Derivative Type | | Statements of
Operations
Location | | Interest
Rate Risk | | Currency
Risk | | Credit Risk | | Equity Risk | | Commodity
Risk | | Total | |
Options written | | Change in
net unrealized
appreciation/
(depreciation)
in value of: Option
contracts written | | $ | — |
| | $ | — |
| | $ | (44,290 | ) | | $ | (215,585 | ) | | $ | — |
| | $ | (259,875 | ) | |
Total Change in
Appreciation/
(Depreciation) | |
| |
| | $ | 1,699,918 |
| | $ | — |
| | $ | 176,050 |
| | $ | 156,128,631 |
| | $ | — |
| | $ | 158,004,599 |
| |
U.S. Equity Index PutWrite Strategy | |
Options written | | Change in
net unrealized
appreciation/
(depreciation)
in value of: Option
contracts written | | $ | — |
| | $ | — |
| | $ | — |
| | $ | (18,425,194 | ) | | $ | — |
| | $ | (18,425,194 | ) | |
Total Change in
Appreciation/
(Depreciation) | |
| |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | (18,425,194 | ) | | $ | — |
| | $ | (18,425,194 | ) | |
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.
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, 2022. 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, 2022.
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 | |
Long Short | |
Over-the-counter swap contracts | | $ | 78,191,657 | | | $ | — | | | $ | 78,191,657 | | |
Securities lending | | | 15,839,734 | | | | — | | | | 15,839,734 | | |
Total | | $ | 94,031,391 | | | $ | — | | | $ | 94,031,391 | | |
82
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) | |
Long Short | |
GSI | | $ | 17,728,026 | | | $ | (10,878,872 | ) | | $ | (3,490,000 | ) | | $ | 3,359,154 | | |
JPM | | | 60,463,631 | | | | (60,463,631 | ) | | | — | | | | — | | |
SSB | | | 15,839,734 | | | | — | | | | (15,839,734 | ) | | | — | | |
Total | | $ | 94,031,391 | | | $ | (71,342,503 | ) | | $ | (19,329,734 | ) | | $ | 3,359,154 | | |
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 | |
Long Short | |
Over-the-counter swap contracts | | $ | (101,822,645 | ) | | $ | — | | | $ | (101,822,645 | ) | |
Total | | $ | (101,822,645 | ) | | $ | — | | | $ | (101,822,645 | ) | |
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) | |
Long Short | |
GSI | | $ | (10,878,872 | ) | | $ | 10,878,872 | | | $ | — | | | $ | — | | |
JPM | | | (90,943,773 | ) | | | 60,463,631 | | | | 30,480,142 | | | | — | | |
Total | | $ | (101,822,645 | ) | | $ | 71,342,503 | | | $ | 30,480,142 | | | $ | — | | |
(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, 2022, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized to each counterparty as of April 30, 2022.
15 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.
83
As of April 30, 2022, 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 | | $ | 15,839,734 | | |
As of April 30, 2022, 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 | | $ | 17,987,310 | | | $ | — | | | $ | — | | | $ | — | | | $ | 17,987,310 | | |
(a) Amounts represent the payable for loaned securities collateral received.
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 liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
17 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 the 1940 Act, in reliance on rules adopted by the SEC, particularly Rule 12d1-4 under the 1940 Act, which became effective on January 19, 2022, or any other applicable exemptive relief. Prior to the effectiveness of Rule 12d1-4, a Fund was permitted 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 exemptive orders. These exemptive orders along with Rule 12d1-2 were rescinded upon the effectiveness of Rule 12d1-4. Rule 12d1-4 contains elements from the SEC's prior exemptive orders 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. 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.
18 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.
84
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.
Accordingly, for the six months ended April 30, 2022, 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 | | | 0.55 | % | |
Long Short | | | 1.09 | % | |
(a) Less the NAV of the CS Subsidiary for Commodity Strategy.
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, 2022, the expenses of the CS Subsidiary amounted to $134,064. The expenses of the
85
LS Blocker are included in the total expenses used to calculate the reimbursement, if any, which Long Short has agreed to share with the LS Blocker. For the period ended April 30, 2022, the expenses of the LS Blocker amounted to $12,008.
At April 30, 2022, contingent liabilities to NBIA under the agreements were as follows:
| | | | | | | Expenses Reimbursed in
Year Ended October 31, | |
| | | | | | | 2019 | | 2020 | | 2021 | | 2022 | |
| | | | | | | Subject to Repayment Until
October 31, | |
Class | | Contractual
Expense
Limitation(a) | | Expiration | | 2022 | | 2023 | | 2024 | | 2025 | |
Commodity Strategy Institutional Class | | | 0.73 | % | | 10/31/25 | | $ | 267,105 | | | $ | 291,571 | | | $ | 300,249 | | | $ | 148,766 | | |
Commodity Strategy Class A | | | 1.09 | % | | 10/31/25 | | | 88,930 | | | | 52,155 | | | | 63,318 | | | | 29,227 | | |
| Commodity Strategy Class C(d) | | | 1.84 | % | | 10/31/25 | | | — | | | | — | | | | 237 | | | | 131 | | |
Global Allocation Institutional Class | | | 0.75 | % | | 10/31/25 | | | 314,674 | | | | 315,601 | | | | 288,277 | | | | 146,885 | | |
Global Allocation Class A | | | 1.11 | % | | 10/31/25 | | | 63,743 | | | | 48,217 | | | | 48,692 | | | | 22,405 | | |
Global Allocation Class C | | | 1.86 | % | | 10/31/25 | | | 53,469 | | | | 51,809 | | | | 46,103 | | | | 16145 | | |
Global Allocation Class R6 | | | 0.65 | % | | 10/31/25 | | | 604 | (c) | | | 826 | | | | 1,266 | | | | 595 | | |
Long Short Institutional Class | | | 1.70 | % | | 10/31/25 | | | — | | | | — | | | | — | | | | — | | |
Long Short Class A | | | 2.06 | % | | 10/31/25 | | | — | | | | — | | | | — | | | | — | | |
Long Short Class C | | | 2.81 | % | | 10/31/25 | | | — | | | | — | | | | — | | | | — | | |
U.S. Equity Index PutWrite Strategy
Institutional Class | | | 0.65 | % | | 10/31/25 | | | 245,105 | | | | 209,397 | | | | 103,376 | | | | 36,787 | | |
U.S. Equity Index PutWrite Strategy Class A | | | 1.01 | % | | 10/31/25 | | | 27,065 | | | | 18,661 | | | | 2,636 | | | | 1,283 | | |
U.S. Equity Index PutWrite Strategy Class C | | | 1.76 | % | | 10/31/25 | | | 1,602 | | | | 1,166 | | | | 906 | | | | 418 | | |
U.S. Equity Index PutWrite Strategy Class R6 | | | 0.55 | %(b) | | 10/31/25 | | | 21,621 | | | | 22,860 | | | | 63,224 | | | | 30,042 | | |
(a) Expense limitation per annum of the respective class's 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 October 31, 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'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, 2022, 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.
86
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 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, 2022, 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 | | $ | 635 | | | $ | — | | |
Commodity Strategy Class C | | | — | | | | 24 | | |
Global Allocation Class A | | | 269 | | | | — | | |
Global Allocation Class C | | | — | | | | — | | |
Long Short Class A | | | 7,825 | | | | — | | |
Long Short Class C | | | — | | | | 8,530 | | |
U.S. Equity Index PutWrite Strategy Class A | | | 3,403 | | | | — | | |
U.S. Equity Index PutWrite Strategy Class C | | | — | | | | — | | |
Note C—Securities Transactions:
During the six months ended April 30, 2022, 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 | | $ | — | | | $ | 108,271,977 | | | $ | — | | | $ | 63,969,954 | | | $ | — | | | $ | — | | |
Global Allocation | | | 863,433 | | | | 2,518,095 | | | | 896,788 | | | | 3,320,156 | | | | — | | | | — | | |
Long Short | | | — | | | | 1,182,994,186 | | | | — | | | | 1,342,265,265 | | | | 495,167,569 | | | | 806,577,065 | | |
U.S. Equity Index
PutWrite Strategy | | | 106,326,813 | | | | 92,499,446 | | | | 93,934,242 | | | | — | | | | — | | | | — | | |
87
During the six months ended April 30, 2022, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2022, and for the year ended October 31, 2021, was as follows:
| | | For the Six Months Ended April 30, 2022 | | For the Year Ended October 31, 2021 | |
| | | 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(a) | |
Institutional Class | | | 13,652,215 | | | | (8,688,275 | ) | | | 9,239,106 | | | | 14,203,046 | | | | 6,517,032 | | | | 99,359 | | | | (5,307,408 | ) | | | 1,308,983 | | |
Class A | | | 1,178,466 | | | | (1,081,278 | ) | | | 1,890,117 | | | | 1,987,305 | | | | 956,126 | | | | 11,703 | | | | (1,163,240 | ) | | | (195,411 | ) | |
Class C | | | 31,607 | | | | (395 | ) | | | 1,981 | | | | 33,193 | | | | 5,403 | | | | — | | | | (1,445 | ) | | | 3,958 | | |
Global Allocation | |
Institutional Class | | | 76,179 | | | | 100,691 | | | | (157,302 | ) | | | 19,568 | | | | 120,404 | | | | 10,562 | | | | (133,090 | ) | | | (2,124 | ) | |
Class A | | | 9,208 | | | | 12,902 | | | | (9,913 | ) | | | 12,197 | | | | 18,065 | | | | 1,607 | | | | (30,367 | ) | | | (10,695 | ) | |
Class C | | | 4,188 | | | | 9,991 | | | | (9,913 | ) | | | (3,796 | ) | | | — | | | | 1,150 | | | | (64,511 | ) | | | (63,361 | ) | |
Class R6 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Long Short | |
Institutional Class | | | 48,977,384 | | | | 1,961,784 | | | | (39,892,413 | ) | | | 11,046,755 | | | | 109,562,327 | | | | 2,858,583 | | | | (54,260,880 | ) | | | 58,160,030 | | |
Class A | | | 1,350,330 | | | | 80,214 | | | | (872,273 | ) | | | 558,271 | | | | 4,645,499 | | | | 106,031 | | | | (1,946,363 | ) | | | 2,805,167 | | |
Class C | | | 326,459 | | | | 28,471 | | | | (431,867 | ) | | | (76,937 | ) | | | 873,895 | | | | 68,896 | | | | (1,230,333 | ) | | | (287,542 | ) | |
U.S. Equity Index PutWrite Strategy | |
Institutional Class | | | 8,175,001 | | | | 4,214,882 | | | | (4,089,516 | ) | | | 8,300,367 | | | | 6,431,784 | | | | 29,823 | | | | (7,280,600 | ) | | | (818,993 | ) | |
Class A | | | 124,535 | | | | 90,526 | | | | (54,346 | ) | | | 160,715 | | | | 126,357 | | | | 21 | | | | (115,860 | ) | | | 10,518 | | |
Class C | | | 28,182 | | | | 16,403 | | | | (3,117 | ) | | | 41,468 | | | | 18,406 | | | | — | | | | (8,346 | ) | | | 10,060 | | |
Class R6 | | | 13,362,964 | | | | 3,122,041 | | | | (6,104,771 | ) | | | 10,380,234 | | | | 8,313,782 | | | | 27,253 | | | | (3,239,531 | ) | | | 5,101,504 | | |
(a) 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 October 31, 2021.
Note E—Line of Credit:
At April 30, 2022, 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
88
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, 2022. During the six months ended April 30, 2022, no Fund utilized the Credit Facility.
Note F—Investments in Affiliates(a):
At April 30, 2022, affiliated persons owned outstanding shares of the following Funds:
| | | Affiliated person(s)
percentage
ownership of
outstanding shares | |
Commodity Strategy | | | 1.95 | % | |
Global Allocation | | | 0.66 | % | |
| U.S. Equity Index PutWrite Strategy | | | 0.02 | % | |
(a) Affiliated persons, as defined in the 1940 Act.
Note G—Recent Accounting Pronouncement:
In January 2021, the FASB issued Accounting Standards Update No. 2021-01 ("ASU 2021-01"), "Reference Rate Reform (Topic 848)". ASU 2021-01 is an update of ASU 2020-04, which is 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 ASU 2021-01 update clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. The amendments in this update are effective immediately through December 31, 2022, for all entities. Management is currently evaluating the implications, if any, of the additional requirements and its impact on the Funds' financial statements.
Note H—Change in Independent Auditors:
Effective on December 15, 2021, Tait, Weller & Baker LLP ("Tait") ceased to serve as the independent registered public accounting firm of Long Short (the "Change in Auditor Fund"). Tait did not resign and did not decline to stand for re-election. The decision to change independent registered public accounting firms was recommended by the Audit Committee of the Board and was approved by the Board.
Tait's reports on the Change in Auditor Fund's financial statements for the fiscal years ended October 31, 2021 and October 31, 2020 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principle.
During the fiscal years ended October 31, 2021 and October 31, 2020 and during the subsequent interim period through December 15, 2021: (i) there were no disagreements with Tait on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of Tait, would have caused Tait to make reference to the subject matter of the disagreements in connection with its reports on the Change in Auditor Fund's financial statements for such periods; and (ii) there
89
were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.
On December 15, 2021, the Audit Committee of the Board recommended, and the Board approved, the selection of Ernst & Young LLP ("EY") as the Change in Auditor Fund's independent registered public accounting firm for the fiscal year ended October 31, 2022. During the Change in Auditor Fund's fiscal years ended October 31, 2021 and October 31, 2020, and the subsequent period through December 15, 2021, neither the Change in Auditor Fund, nor anyone on their behalf consulted with EY on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Change in Auditor Fund's financial statements; or (ii) concerned the subject of a disagreement (as described in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).
Note I—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 certain issuers of the securities held by the Funds and in turn, may impact the financial performance of the Funds.
Russia's Invasion of Ukraine: Russia's invasion of Ukraine, and corresponding events in late February 2022, have had, and could continue to have, severe adverse effects on regional and global economic markets for securities and commodities. Following Russia's actions, various governments, including the United States, have issued broad-ranging economic sanctions against Russia. The current events have had, and could continue to have, an adverse effect on global markets performance and liquidity, thereby negatively affecting the value of a Fund's investments beyond any direct exposure to Russian or Ukrainian issuers. The duration of ongoing hostilities and the vast array of sanctions and related events cannot be predicted. Those events present material uncertainty and risk with respect to markets globally and the performance of a Fund and its investments or operations could be negatively impacted.
Note J—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.
90
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 Assets 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 | | 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 | |
4/30/2022
(Unaudited) | | $ | 7.80 | | | $ | (0.01 | ) | | $ | 1.24 | | | $ | 1.23 | | | $ | (2.56 | ) | | $ | — | | | $ | — | | | $ | (2.56 | ) | | $ | — | | | $ | 6.47 | | | | 25.72 | %* | | $ | 214.2 | | | | 0.91 | %** | | | 0.91 | %Ø** | | | 0.73 | %** | | | 0.73 | %Ø** | | | (0.34 | )%** | | | 56 | %* | | | 56 | %Ø* | |
10/31/2021 | | $ | 5.08 | | | $ | (0.02 | ) | | $ | 2.77 | | | $ | 2.75 | | | $ | (0.03 | ) | | $ | — | | | $ | — | | | $ | (0.03 | ) | | $ | — | | | $ | 7.80 | | | | 54.44 | %d | | $ | 147.4 | | | | 0.99 | % | | | 0.99 | %Ø | | | 0.74 | % | | | 0.74 | %Ø | | | (0.36 | )% | | | 56 | % | | | 56 | %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 | |
Class A | |
4/30/2022
(Unaudited) | | $ | 7.64 | | | $ | (0.02 | ) | | $ | 1.20 | | | $ | 1.18 | | | $ | (2.53 | ) | | $ | — | | | $ | — | | | $ | (2.53 | ) | | $ | — | | | $ | 6.29 | | | | 25.52 | %* | | $ | 34.5 | | | | 1.29 | %** | | | 1.29 | %Ø** | | | 1.09 | %** | | | 1.09 | %Ø** | | | (0.71 | )%** | | | 56 | %* | | | 56 | %Ø* | |
10/31/2021 | | $ | 4.99 | | | $ | (0.05 | ) | | $ | 2.72 | | | $ | 2.67 | | | $ | (0.02 | ) | | $ | — | | | $ | — | | | $ | (0.02 | ) | | $ | — | | | $ | 7.64 | | | | 53.60 | %d | | $ | 26.7 | | | | 1.37 | % | | | 1.37 | %Ø | | | 1.10 | % | | | 1.10 | %Ø | | | (0.72 | )% | | | 56 | % | | | 56 | %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 | |
Class C | |
4/30/2022
(Unaudited)j | | $ | 7.62 | | | $ | (0.04 | ) | | $ | 1.20 | | | $ | 1.16 | | | $ | (2.51 | ) | | $ | — | | | $ | — | | | $ | (2.51 | ) | | $ | — | | | $ | 6.27 | | | | 25.11 | %* | | $ | 0.2 | | | | 2.22 | %** | | | 2.22 | %Ø** | | | 1.84 | %** | | | 1.84 | %Ø** | | | (1.36 | )%** | | | 56 | %* | | | 56 | %*Ø | |
10/31/2021 | | $ | 6.26 | | | $ | (0.07 | ) | | $ | 1.43 | | | $ | 1.36 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 7.62 | | | | 21.73 | %d* | | $ | 0.0 | | | | 2.97 | %** | | | 2.97 | %Ø** | | | 1.86 | %** | | | 1.86 | %Ø** | | | (1.55 | )%** | | | 56 | %* | | | 56 | %*^^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 | |
See Notes to Financial Highlights
91
92
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 | | Tax
Return of
Capital | | 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 | |
4/30/2022
(Unaudited) | | $ | 14.04 | | | $ | 0.09 | | | $ | (1.16 | ) | | $ | (1.07 | ) | | $ | (0.19 | ) | | $ | (1.66 | ) | | $ | — | | | $ | (1.85 | ) | | $ | — | | | $ | 11.12 | | | | (8.81 | )%*d | | $ | 7.1 | | | | 4.41 | %** | | | 4.41 | %Ø** | | | 0.75 | %** | | | 0.75 | %Ø** | | | 1.53 | %** | | | 35 | %* | | | 35 | %*Ø | |
10/31/2021 | | $ | 11.42 | | | $ | 0.16 | | | $ | 2.69 | | | $ | 2.85 | | | $ | (0.23 | ) | | $ | — | | | $ | — | | | $ | (0.23 | ) | | $ | — | | | $ | 14.04 | | | | 25.21 | %d | | $ | 8.7 | | | | 4.40 | % | | | 4.40 | %Ø | | | 0.72 | % | | | 0.72 | %Ø | | | 1.21 | % | | | 138 | % | | | 138 | %Ø | |
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 | |
Class A | |
4/30/2022
(Unaudited) | | $ | 13.92 | | | $ | 0.07 | | | $ | (1.15 | ) | | $ | (1.08 | ) | | $ | (0.14 | ) | | $ | (1.66 | ) | | $ | — | | | $ | (1.80 | ) | | $ | — | | | $ | 11.04 | | | | (8.96 | )%*d | | $ | 1.1 | | | | 4.85 | %** | | | 4.85 | %Ø** | | | 1.11 | %** | | | 1.11 | %Ø** | | | 1.15 | %** | | | 35 | %* | | | 35 | %*Ø | |
10/31/2021 | | $ | 11.33 | | | $ | 0.11 | | | $ | 2.67 | | | $ | 2.78 | | | $ | (0.19 | ) | | $ | — | | | $ | — | | | $ | (0.19 | ) | | $ | — | | | $ | 13.92 | | | | 24.74 | %d | | $ | 1.3 | | | | 4.82 | % | | | 4.82 | %Ø | | | 1.07 | % | | | 1.07 | %Ø | | | 0.86 | % | | | 138 | % | | | 138 | %Ø | |
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 | |
Class C | |
4/30/2022
(Unaudited) | | $ | 13.46 | | | $ | 0.02 | | | $ | (1.12 | ) | | $ | (1.10 | ) | | $ | (0.00 | ) | | $ | (1.66 | ) | | $ | — | | | $ | (1.66 | ) | | $ | — | | | $ | 10.70 | | | | (9.33 | )%*d | | $ | 0.7 | | | | 5.56 | %** | | | 5.56 | %Ø** | | | 1.86 | % | | | 1.86 | %Ø** | | | 0.41 | %** | | | 35 | %* | | | 35 | %*Ø | |
10/31/2021 | | $ | 10.97 | | | $ | 0.02 | | | $ | 2.58 | | | $ | 2.60 | | | $ | (0.11 | ) | | $ | — | | | $ | — | | | $ | (0.11 | ) | | $ | — | | | $ | 13.46 | | | | 23.84 | %d | | $ | 1.0 | | | | 5.58 | % | | | 5.58 | %Ø | | | 1.81 | % | | | 1.81 | %Ø | | | 0.12 | % | | | 138 | % | | | 138 | %Ø | |
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 | %Ø | | | 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 | |
See Notes to Financial Highlights
93
94
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 | | Tax
Return of
Capital | | 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 (cont'd) | |
Class R6 | |
4/30/2022
(Unaudited) | | $ | 14.05 | | | $ | 0.10 | | | $ | (1.15 | ) | | $ | (1.05 | ) | | $ | (0.21 | ) | | $ | (1.66 | ) | | $ | — | | | $ | (1.87 | ) | | $ | — | | | $ | 11.13 | | | | (8.71 | )%d | | $ | 0.0 | | | | 4.71 | %** | | | 4.71 | %Ø** | | | 0.65 | %** | | | 0.65 | %Ø** | | | 1.63 | %** | | | 35 | %* | | | 35 | %*Ø | |
10/31/2021 | | $ | 11.43 | | | $ | 0.17 | | | $ | 2.69 | | | $ | 2.86 | | | $ | (0.24 | ) | | $ | — | | | $ | — | | | $ | (0.24 | ) | | $ | — | | | $ | 14.05 | | | | 25.32 | %d | | $ | 0.0 | | | | 4.72 | % | | | 4.72 | %Ø | | | 0.61 | % | | | 0.61 | %Ø | | | 1.31 | % | | | 138 | % | | | 138 | %Ø | |
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* | |
Long Short Fund | |
Institutional Class | |
4/30/2022b
(Unaudited) | | $ | 18.21 | | | $ | (0.03 | ) | | $ | (1.04 | ) | | $ | (1.07 | ) | | $ | — | | | $ | (0.20 | ) | | $ | — | | | $ | (0.20 | ) | | $ | — | | | $ | 16.94 | | | | (5.91 | )%* | | $ | 5,017.2 | | | | 1.67 | %** | | | 1.27 | %** | | | 1.67 | %** | | | 1.27 | %** | | | (0.31 | )%** | | | 32 | %* | | | 26 | %* | |
10/31/2021 | | $ | 16.00 | | | $ | (0.02 | ) | | $ | 2.59 | | | $ | 2.57 | | | $ | — | | | $ | (0.36 | ) | | $ | — | | | $ | (0.36 | ) | | $ | — | | | $ | 18.21 | | | | 16.27 | %d | | $ | 5,191.6 | | | | 1.59 | % | | | 1.28 | % | | | 1.59 | % | | | 1.28 | % | | | (0.10 | )% | | | 60 | % | | | 49 | % | |
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 | % | |
Class A | |
4/30/2022b
(Unaudited) | | $ | 18.00 | | | $ | (0.06 | ) | | $ | (1.02 | ) | | $ | (1.08 | ) | | $ | — | | | $ | (0.20 | ) | | $ | — | | | $ | (0.20 | ) | | $ | — | | | $ | 16.72 | | | | (6.04 | )%* | | $ | 156.9 | | | | 2.03 | %** | | | 1.64 | %** | | | 2.03 | %** | | | 1.64 | %** | | | (0.67 | )%** | | | 32 | %* | | | 26 | %* | |
10/31/2021 | | $ | 15.88 | | | $ | (0.08 | ) | | $ | 2.56 | | | $ | 2.48 | | | $ | — | | | $ | (0.36 | ) | | $ | — | | | $ | (0.36 | ) | | $ | — | | | $ | 18.00 | | | | 15.82 | %d | | $ | 158.9 | | | | 1.96 | % | | | 1.64 | % | | | 1.96 | % | | | 1.64 | % | | | (0.46 | )% | | | 60 | % | | | 49 | % | |
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 | % | |
See Notes to Financial Highlights
95
96
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 | | Tax
Return of
Capital | | 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 (cont'd) | |
Class C | |
4/30/2022b
(Unaudited) | | $ | 17.57 | | | $ | (0.12 | ) | | $ | (1.00 | ) | | $ | (1.12 | ) | | $ | — | | | $ | (0.20 | ) | | $ | — | | | $ | (0.20 | ) | | $ | — | | | $ | 16.25 | | | | (6.41 | )%* | | $ | 51.6 | | | | 2.78 | %** | | | 2.39 | %** | | | 2.78 | % | | | 2.39 | %** | | | (1.42 | )%** | | | 32 | %* | | | 26 | %* | |
10/31/2021 | | $ | 15.62 | | | $ | (0.20 | ) | | $ | 2.51 | | | $ | 2.31 | | | $ | — | | | $ | (0.36 | ) | | $ | — | | | $ | (0.36 | ) | | $ | — | | | $ | 17.57 | | | | 14.98 | %d | | $ | 57.1 | | | | 2.71 | % | | | 2.39 | % | | | 2.71 | % | | | 2.39 | % | | | (1.20 | )% | | | 60 | % | | | 49 | % | |
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 | % | |
U.S. Equity Index PutWrite Strategy Fund | |
Institutional Class | |
4/30/2022
(Unaudited) | | $ | 13.84 | | | $ | 0.06 | | | $ | (0.86 | ) | | $ | (0.80 | ) | | $ | (0.03 | ) | | $ | (2.29 | ) | | $ | — | | | $ | (2.32 | ) | | $ | — | | | $ | 10.72 | | | | (7.02 | )%* | | $ | 311.4 | | | | 0.68 | %** | | | 0.68 | %**Ø | | | 0.66 | %** | | | 0.66 | %**Ø | | | 1.05 | %** | | | 19 | %* | | | 19 | %*Ø | |
10/31/2021 | | $ | 10.93 | | | $ | 0.01 | | | $ | 2.92 | | | $ | 2.93 | | | $ | (0.01 | ) | | $ | (0.01 | ) | | $ | — | | | $ | (0.02 | ) | | $ | — | | | $ | 13.84 | | | | 26.82 | % | | $ | 287.2 | | | | 0.69 | % | | | 0.69 | %Ø | | | 0.65 | % | | | 0.65 | %Ø | | | 0.09 | % | | | 38 | % | | | 38 | %Ø | |
10/31/2020 | | $ | 11.28 | | | $ | 0.14 | | | $ | 0.10 | | | $ | 0.24 | | | $ | (0.16 | ) | | $ | (0.43 | ) | | $ | (0.00 | ) | | $ | (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 | |
Class A | |
4/30/2022
(Unaudited) | | $ | 13.79 | | | $ | 0.04 | | | $ | (0.85 | ) | | $ | (0.81 | ) | | $ | (0.02 | ) | | $ | (2.29 | ) | | $ | — | | | $ | (2.31 | ) | | $ | — | | | $ | 10.67 | | | | (7.13 | )%* | | $ | 6.1 | | | | 1.06 | %** | | | 1.06 | %**Ø | | | 1.01 | %** | | | 1.01 | %**Ø | | | 0.68 | %** | | | 19 | %* | | | 19 | %*Ø | |
10/31/2021 | | $ | 10.91 | | | $ | (0.03 | ) | | $ | 2.91 | | | $ | 2.88 | | | $ | 0.01 | | | $ | (0.01 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | 13.79 | | | | 26.40 | % | | $ | 5.7 | | | | 1.07 | % | | | 1.07 | %Ø | | | 1.01 | % | | | 1.01 | %Ø | | | (0.27 | )% | | | 38 | % | | | 38 | %Ø | |
10/31/2020 | | $ | 11.27 | | | $ | 0.12 | | | $ | 0.07 | | | $ | 0.19 | | | $ | (0.12 | ) | | $ | (0.43 | ) | | $ | (0.00 | ) | | $ | (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 | |
See Notes to Financial Highlights
97
98
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 | | Tax
Return of
Capital | | 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 C | |
4/30/2022
(Unaudited) | | $ | 13.53 | | | $ | 0.00 | | | $ | (0.85 | ) | | $ | (0.85 | ) | | $ | (0.00 | ) | | $ | (2.29 | ) | | $ | — | | | $ | (2.29 | ) | | $ | — | | | $ | 10.39 | | | | (7.58 | )%* | | $ | 1.3 | | | | 1.83 | %** | | | 1.83 | %**Ø | | | 1.77 | %** | | | 1.77 | %**Ø | | | — | %** | | | 19 | %* | | | 19 | %*Ø | |
10/31/2021 | | $ | 10.78 | | | $ | (0.13 | ) | | $ | 2.88 | | | $ | 2.75 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 13.53 | | | | 25.51 | % | | $ | 1.2 | | | | 1.85 | % | | | 1.85 | %Ø | | | 1.76 | % | | | 1.76 | %Ø | | | (1.04 | )% | | | 38 | % | | | 38 | %Ø | |
10/31/2020 | | $ | 11.14 | | | $ | 0.02 | | | $ | 0.09 | | | $ | 0.11 | | | $ | (0.04 | ) | | $ | (0.43 | ) | | $ | (0.00 | ) | | $ | (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 | |
Class R6 | |
4/30/2022
(Unaudited) | | $ | 13.85 | | | $ | 0.08 | | | $ | (0.88 | ) | | $ | (0.80 | ) | | $ | (0.03 | ) | | $ | (2.29 | ) | | $ | — | | | $ | (2.32 | ) | | $ | — | | | $ | 10.73 | | | | (7.00 | )%* | | $ | 267.9 | | | | 0.58 | %** | | | 0.58 | %**Ø | | | 0.56 | %** | | | 0.56 | %**Ø | | | 1.28 | %** | | | 19 | %* | | | 19 | %*Ø | |
10/31/2021 | | $ | 10.93 | | | $ | 0.02 | | | $ | 2.93 | | | $ | 2.95 | | | $ | (0.02 | ) | | $ | (0.01 | ) | | $ | — | | | $ | (0.03 | ) | | $ | — | | | $ | 13.85 | | | | 27.01 | % | | $ | 201.9 | | | | 0.59 | % | | | 0.59 | %Ø | | | 0.55 | % | | | 0.55 | %Ø | | | 0.17 | % | | | 38 | % | | | 38 | %Ø | |
10/31/2020 | | $ | 11.29 | | | $ | 0.14 | | | $ | 0.10 | | | $ | 0.24 | | | $ | (0.17 | ) | | $ | (0.43 | ) | | $ | (0.00 | ) | | $ | (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 | |
See Notes to Financial Highlights
99
100
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.
Ø Commodity Strategy and U.S. Equity Index PutWrite Strategy did not engage in short sales. For the six months ended April 30, 2022 and for the years ended October 31, 2021, 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 year ended October 31, 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 | |
| | | Year Ended
October 31, | | Year Ended | |
| | | 2020 | | 2019 | | 2018 | | October 31, 2017 | |
Global Allocation | | | 176 | % | | | 159 | % | | | 129 | % | | | 165 | % | | | 154 | % | |
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, 2022. The class action proceeds received in 2021, 2020, 2019 and 2018 had no impact on the Funds' total returns for the years ended October 31, 2021, 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, determined to be payable to the Fund for the period in question. These amounts were refunded to the Fund by
101
Notes to Financial Highlights Alternative and Multi-Asset Class Funds (Unaudited) (cont'd)
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. The Financial highlights presented are only for the period after commencement of operations.
102
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
* Please refer to Note H—Change in Independent Auditors in the Notes to Financial Statements for more information
103
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).
104
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 06/22
